UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-5349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Suite 500, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Peter V. Bonanno, Esq. | Copies to: | |
Goldman, Sachs & Co. | Jack Murphy, Esq. | |
One New York Plaza | Dechert | |
New York, New York 10004 | 1775 I Street, NW | |
Washington, DC 20006 | ||
(Name and address of agents for service) |
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: February 28
Date of reporting period: February 28, 2007
ITEM 1. | REPORTS TO STOCKHOLDERS. | |
The Semiannual Report to Stockholders is filed herewith. |
STRUCTURED EQUITY FUNDS | Semiannual Report February 28, 2007 |
Long-term capital growth potential through diversified portfolios of equity investments using a proprietary quantitative approach to stock selection and portfolio construction. |
n | GOLDMAN SACHS STRUCTURED LARGE CAP VALUE FUND | |
n | GOLDMAN SACHS STRUCTURED U.S. EQUITY FUND | |
n | GOLDMAN SACHS STRUCTURED LARGE CAP GROWTH FUND | |
n | GOLDMAN SACHS STRUCTURED SMALL CAP EQUITY FUND | |
n | GOLDMAN SACHS STRUCTURED INTERNATIONAL EQUITY FUND |
The Structured Large Cap Value Fund invests in a broadly diversified portfolio of large-capitalization U.S. equity investments and is subject to market risk so that the value of the securities in which it invests may go up or down in response to the prospects of individual companies, particular industry sectors and/or general economic conditions. |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
n Comprehensive – We calculate expected excess returns for more than 3,500 stocks on a daily basis. n Rigorous – We evaluate stocks based on fundamental investment criteria that have outperformed historically. | n Objective – Our stock selection process is free from the emotion that can lead to biased investment decisions. |
n Our computer optimization process allocates risk to our best investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. | n We use a unique, proprietary risk model that is more precise, more focused and faster to respond because it seeks to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified portfolio that: n Maintains style, sector, risk and capitalization characteristics similar to the benchmark. n Offers broad access to a clearly defined equity universe. | n Aims to generate excess returns that are positive, consistent and repeatable. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 7.81%, 7.44%, 7.37%, 8.00%, and 7.71%, respectively. These returns compare to the 9.82% cumulative total return of the Fund’s benchmark, the Russell 1000 Value Index (with dividends reinvested), over the same time period. | |
The reporting period was noteworthy for two market anomalies — both of which had a negative effect on the Fund’s relative performance. One was the ongoing “junk rally,” in which lower-quality stocks (typically, stocks with zero or negative earnings, low S&P quality rankings and other stocks considered more speculative) outperformed higher-quality stocks. The second was an abrupt change in direction in the market when stocks prices declined dramatically during the final two days of the period. | |
The proprietary stock selection model developed by the Global Quantitative Equity team focuses on investment criteria that have demonstrated strong predictability of future stock returns over long periods of time. While short-term market anomalies do not appear to have a significant effect on the long-term performance of our models, they can have an impact in the near term. This was certainly the case during the reporting period. Our models did not generate the level of outperformance necessary to overcome the effects of the junk rally. | |
Our model is based on six investment themes. The Valuation theme attempts to identify stocks that we believe are not appropriately priced by the market, by typically comparing a company’s intrinsic, or underlying value, to its current market price. Profitability assesses whether the company has better-than-average profit margins and operates efficiently relative to its peers. Earnings Quality evaluates what percentage of a company’s earnings are coming from more persistent, cash-based sources, as opposed to accounting accruals, such as accounts payable, accounts receivable, inventories, future tax liability and future interest expenses. Management Impact assesses a company’s management strategy and behavior by looking at their investing and financing decisions. Momentum predicts a change in a stock caused by an under-reaction to company-specific information. Finally, Analyst Sentiment looks at how the views of Wall Street analysts about a company’s earnings and prospects are changing over time. |
We believe that our six themes demonstrate a statistically significant ability to forecast returns and also work well across different types of stocks and in a variety of market environments. However, the six-month reporting period — characterized by speculation and over-exuberance — did not follow the historical patterns we have observed over longer periods of time. This was particularly true in the large cap segment of the market. |
As a result, our forecast model, which we use to evaluate investment opportunities for the Fund, performed below expectations. The largest detractor from relative returns during the period was our Analyst Sentiment theme. Analyst Sentiment captures the broad change in earnings estimates and stock recommendations made by fundamental research analysts. Our historical research has shown that investors tend to pay more for stocks about which analysts are becoming more positive. But during the reporting period, we found that this relationship didn’t hold true and investors generally ignored the changing views of the analyst community. | |
Another major detractor from relative performance was our Momentum theme. The Momentum theme does not always work successfully in atypical markets (markets where investor sentiment is changing sharply and out-of-favor stocks suddenly become the best performers.) | |
The shift in investor preference for lower-quality stocks, which started in early August caused our Momentum theme to detract from relative performance. Over the six months, sentiment seemed to shift back and forth. While performance was closer to normal for December and January for this theme, investor preferences appeared to shift again at the beginning of February, and the model fared poorly for the rest of the reporting period. Our quantitative process assumes that investors will behave more or less rationally, which they did less than usual during the period. | |
Also detracting from performance was our Management Impact theme. On the positive side, Profitability, Valuation and Earnings Quality contributed slightly to our relative return. | |
In keeping with our management approach, the Fund was invested in a broadly diversified number of stocks and we limited the size of our sector exposures. Our process is designed with the expectation that not all factors will work at any given time. However, we anticipate that those factors that do can take up the slack of those that don’t. We did not get this offset during the period as the change in market sentiment and a preference for lower-quality securities apparently led investors to ignore factors we considered important, such as profitability, when they made stock selections. | |
As a result, our stock selection was negative overall. Within sectors, we underperformed the most in the Utilities, Consumer Discretionary, Materials and Health Care sectors. | |
We continue to believe that cheaper stocks should outpace more expensive ones and good momentum stocks should do better than poor momentum stocks. We also prefer companies about which fundamental research analysts are becoming more positive, and firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. The weights on our six investment themes will continue to vary depending on their expected returns and risk and diversification benefit, along with their anticipated impact on portfolio turnover. |
As always, we take a long-term view of market patterns and look for inefficiencies that offer opportunities for our shareholders. We continue to invest based on a three- to five-year time horizon and continue to look for ways to enhance our quantitative model through our on-going research effort. While investors can expect speculative periods to reoccur, it is our experience that these periods tend to be unsustainable and short-lived. We believe that, eventually, historic trends — on which our model is based — will reassert themselves. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Quantitative Equity Investment Team | |
New York, March 27, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | Russell 1000 Value Index2 | ||||||||
Class A | 7.81 | % | 9.82 | % | ||||||
Class B | 7.44 | 9.82 | ||||||||
Class C | 7.37 | 9.82 | ||||||||
Institutional | 8.00 | 9.82 | ||||||||
Service | 7.71 | 9.82 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 1000 Value Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 11.33 | % | 8.69 | % | 6.30 | % | 12/31/98 | |||||||||
Class B | 11.74 | 8.80 | 6.23 | 12/31/98 | ||||||||||||
Class C | 15.92 | 9.10 | 6.25 | 12/31/98 | ||||||||||||
Institutional | 18.27 | 10.35 | 7.45 | 12/31/98 | ||||||||||||
Service | 17.75 | 9.83 | 6.95 | 12/31/98 | ||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
EXPENSE RATIOS4 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 0.95 | % | 1.09 | % | ||||||
Class B | 1.70 | 1.84 | ||||||||
Class C | 1.70 | 1.84 | ||||||||
Institutional | 0.55 | 0.69 | ||||||||
Service | 1.05 | 1.19 | ||||||||
4 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/075 |
Holding | % of Net Assets | Line of Business | ||||||
Exxon Mobil Corp. | 7.2 | % | Oil & Gas | |||||
J.P. Morgan Chase & Co. | 3.9 | Diversified Financials | ||||||
Pfizer, Inc. | 3.6 | Pharmaceuticals | ||||||
Bank of America Corp. | 3.4 | Banks | ||||||
Citigroup, Inc. | 3.1 | Diversified Financials | ||||||
AT&T, Inc. | 2.8 | Diversified Telecommunication Services | ||||||
Wells Fargo & Co. | 2.6 | Banks | ||||||
Time Warner, Inc. | 2.6 | Media | ||||||
Chevron Corp. | 2.4 | Oil & Gas | ||||||
U.S. Bancorp | 2.3 | Banks | ||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION6 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 6.85%, 6.43%, 6.42%, 7.05%, and 6.79%, respectively. These returns compare to the 8.93% cumulative total return of the Fund’s benchmark, the S&P 500 Index (with dividends reinvested), over the same time period. | |
The reporting period was noteworthy for two market anomalies — both of which had a negative effect on the Fund’s relative performance. One was the ongoing “junk rally,” in which lower-quality stocks (typically, stocks with zero or negative earnings, low S&P quality rankings and other stocks considered more speculative) outperformed higher-quality stocks. The second was an abrupt change in direction in the market when stock prices declined dramatically during the final two days of the period. | |
The proprietary stock selection model developed by the Global Quantitative Equity team focuses on investment criteria that have demonstrated strong predictability of future stock returns over long periods of time. While short-term market anomalies do not appear to have a significant effect on the long-term performance of our models, they can have an impact in the near term. This was certainly the case during the reporting period. Our models did not generate the level of outperformance necessary to overcome the effects of the junk rally. | |
Our model is based on six investment themes. The Valuation theme attempts to identify stocks that we believe are not appropriately priced by the market, by typically comparing a company’s intrinsic, or underlying value, to its current market price. Profitability assesses whether the company has better-than-average profit margins and operates efficiently relative to its peers. Earnings Quality evaluates what percentage of a company’s earnings are coming from more persistent, cash-based sources, as opposed to accounting accruals, such as accounts payable, accounts receivable, inventories, future tax liability and future interest expenses. Management Impact assesses a company’s management strategy and behavior by looking at their investing and financing decisions. Momentum predicts a change in a stock caused by an under-reaction to company-specific information. Finally, Analyst Sentiment looks at how the views of Wall Street analysts about a company’s earnings and prospects are changing over time. |
We believe that our six themes demonstrate a statistically significant ability to forecast returns and also work well across different types of stocks and in a variety of market environments. However, the six-month reporting period — characterized by speculation and over-exuberance — did not follow the historical patterns we have observed over longer periods of time. |
As a result, our forecast model, which we use to evaluate investment opportunities for the Fund, performed below expectations. The largest detractor from relative returns during the period was our Momentum theme. The price momentum theme does not always work successfully in atypical markets (markets where investor sentiment is changing sharply and out-of-favor stocks suddenly become the best performers.) | |
The shift in investor preference for lower-quality stocks, which started in early August caused our Momentum theme to detract from relative performance. Over the six months, sentiment seemed to shift back and forth. While performance was closer to normal for December and January for this theme, investor preferences appeared to shift again at the beginning of February, and the model fared poorly for the rest of the reporting period. Our quantitative process assumes that investors will behave more or less rationally, which they did less than usual during the period. | |
Another detractor was Analyst Sentiment. Our Analyst Sentiment theme captures the broad change in earnings estimates and stock recommendations made by fundamental research analysts. Our historical research has shown that investors tend to pay more for stocks about which analysts are becoming more positive. But during the reporting period, we found that this relationship didn’t hold and investors generally ignored the changing views of the analyst community. | |
Also detracting from performance were two of our other themes — Management Impact and Earnings Quality. On the positive side, our Valuation and Profitability themes contributed slightly to our relative return. | |
In keeping with our management approach, the Fund was invested in a broadly diversified number of stocks and we limited the size of our sector exposures. Our process is designed with the expectation that not all factors will work at any given time. However, we anticipate that those factors that do can take up the slack of those that don’t. We did not get this offset during the period as the change in market sentiment and a preference for lower-quality securities apparently led investors to ignore themes we considered important, such as profitability, when they made stock selections. | |
As a result, our stock selection was negative overall. Within sectors, we underperformed the most in the Consumer Discretionary, Health Care and Utilities sectors. | |
We continue to believe that cheaper stocks should outpace more expensive ones and good momentum stocks should do better than poor momentum stocks. We also prefer companies about which fundamental research analysts are becoming more positive, and firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. The weights on our six investment themes will continue to vary depending on their expected returns and risk and diversification benefit, along with their anticipated impact on portfolio turnover. |
As always, we take a long-term view of market patterns and look for inefficiencies that offer opportunities for our shareholders. We continue to invest based on a three- to five-year time horizon and continue to look for ways to enhance our quantitative model through our on-going research effort. While investors can expect speculative periods to reoccur, it is our experience that these periods tend to be unsustainable and short-lived. We believe that, eventually, historic trends — on which our model is based — will reassert themselves. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Quantitative Equity Investment Team | |
New York, March 27, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | S&P 500 Index2 | ||||||||
Class A | 6.85 | % | 8.93 | % | ||||||
Class B | 6.43 | 8.93 | ||||||||
Class C | 6.42 | 8.93 | ||||||||
Institutional | 7.05 | 8.93 | ||||||||
Service | 6.79 | 8.93 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P 500 Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 6.82 | % | 5.84 | % | 7.62 | % | 9.78 | % | 5/24/91 | |||||||||||
Class B | 7.04 | 5.93 | 7.46 | 8.12 | 5/1/96 | |||||||||||||||
Class C | 11.18 | 6.27 | n/a | 5.39 | 8/15/97 | |||||||||||||||
Institutional | 13.51 | 7.48 | 8.70 | 10.76 | 6/15/95 | |||||||||||||||
Service | 12.95 | 6.95 | 8.16 | 10.14 | 4 | 5/24/91 | ||||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
4 | Performance data for Service Shares prior to June 7, 1996 (commencement of operations) is that of Class A Shares (excluding the impact of front-end sales charges applicable to Class A Shares since Service Shares are not subject to any sales charges). Performance of Class A Shares of the Structured U.S. Equity Fund reflects the expenses applicable to the Fund’s Class A Shares. The fees applicable to Service Shares are different from those applicable to Class A Shares which impact performance ratings and rankings for a class of shares. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
EXPENSE RATIOS5 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 0.95 | % | 1.15 | % | ||||||
Class B | 1.70 | 1.90 | ||||||||
Class C | 1.70 | 1.90 | ||||||||
Institutional | 0.55 | 0.75 | ||||||||
Service | 1.05 | 1.25 | ||||||||
5 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/076 |
Holding | % of Net Assets | Line of Business | ||||||
Exxon Mobil Corp. | 4.9 | % | Oil & Gas | |||||
J.P. Morgan Chase & Co. | 3.0 | Diversified Financials | ||||||
Pfizer, Inc. | 2.9 | Pharmaceuticals | ||||||
Cisco Systems, Inc. | 2.8 | Communications Equipment | ||||||
Microsoft Corp. | 2.8 | Software | ||||||
Bank of America Corp. | 2.6 | Banks | ||||||
Merck & Co., Inc. | 2.4 | Pharmaceuticals | ||||||
Hewlett-Packard Co. | 2.4 | Computers & Peripherals | ||||||
Time Warner, Inc. | 2.2 | Media | ||||||
General Electric Corp. | 2.1 | Industrial Conglomerates | ||||||
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION7 |
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 6.20%, 5.84%, 5.83%, 6.43%, and 6.11%, respectively. These returns compare to the 9.54% cumulative total return of the Fund’s benchmark, the Russell 1000 Growth Index (with dividends reinvested), over the same time period. | |
The reporting period was noteworthy for two market anomalies — both of which had a negative effect on the Fund’s relative performance. One was the ongoing “junk rally,” in which lower-quality stocks (typically, stocks with zero or negative earnings, low S&P quality rankings and other stocks considered more speculative) outperformed higher-quality stocks. The second was an abrupt change in direction in the market when stocks prices declined dramatically during the final two days of the period. | |
The proprietary stock selection model developed by the Global Quantitative Equity team focuses on investment criteria that have demonstrated strong predictability of future stock returns over long periods of time. While short-term market anomalies do not appear to have a significant effect on the long-term performance of our models, they can have an impact in the near term. This was certainly the case during the reporting period. Our models did not generate the level of outperformance necessary to overcome the effects of the junk rally. | |
Our model is based on six investment themes. The Valuation theme attempts to identify stocks that we believe are not appropriately priced by the market, by typically comparing a company’s intrinsic, or underlying value, to its current market price. Profitability assesses whether the company has better-than-average profit margins and operates efficiently relative to its peers. Earnings Quality evaluates what percentage of a company’s earnings are coming from more persistent, cash-based sources, as opposed to accounting accruals, such as accounts payable, accounts receivable, inventories, future tax liability and future interest expenses. Management Impact assesses a company’s management strategy and behavior by looking at their investing and financing decisions. Momentum predicts a change in a stock caused by an under-reaction to company-specific information. Finally, Analyst Sentiment looks at how the views of Wall Street analysts about a company’s earnings and prospects are changing over time. |
We believe that our six themes demonstrate a statistically significant ability to forecast returns and also work well across different types of stocks and in a variety of market environments. However, the six-month reporting period — characterized by speculation and over-exuberance — did not follow the historical patterns we have observed over longer periods of time. This was particularly true in the large cap segment of the market. |
As a result, our forecast model, which we use to evaluate investment opportunities for the Fund, performed below expectations. The largest detractor from relative returns during the period was our Momentum theme. The Momentum theme does not always work successfully in atypical markets (markets where investor sentiment is changing sharply and out-of-favor stocks suddenly become the best performers.) | |
The shift in investor preference for lower-quality stocks, which started in early August caused our Momentum theme to detract from relative performance. Over the six months, sentiment seemed to shift back and forth. While performance was closer to normal for December and January for this theme, investor preferences appeared to shift again at the beginning of February, and the model fared poorly for the rest of the reporting period. Our quantitative process assumes that investors will behave more or less rationally, which they did less than usual during the period. | |
Another detractor from performance was our Analyst Sentiment theme. Analyst Sentiment captures the broad change in earnings estimates and stock recommendations made by fundamental research analysts. Our historical research has shown that investors tend to pay more for stocks about which analysts are becoming more positive. But during the reporting period, we found that this relationship didn’t hold and investors generally ignored the changing views of the analyst community. | |
Also detracting from performance were two of our other themes — Management Impact and Earnings Quality. On the positive side, our Valuation and Profitability themes contributed slightly to our relative return. | |
In keeping with our management approach, the Fund was invested in a broadly diversified number of stocks and we limited the size of our sector exposures. Our process is designed with the expectation that not all factors will work at any given time. However, we anticipate that those factors that do can take up the slack of those that don’t. We did not get this offset during the period as the change in market sentiment and a preference for lower-quality securities apparently led investors to ignore themes we considered important, such as profitability, when they made stock selections. | |
As a result, our stock selection was negative overall. Within sectors, we underperformed the most in the Information Technology, Consumer Discretionary and Financials sectors. Our holdings in the Technology sector detracted most from relative performance over the reporting period. | |
We continue to believe that cheaper stocks should outpace more expensive ones and good momentum stocks should do better than poor momentum stocks. We also prefer companies about which fundamental research analysts are becoming more positive, and firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. The weights on our six investment themes will continue to vary depending on their expected returns and risk and diversification benefit, along with their anticipated impact on portfolio turnover. |
As always, we take a long-term view of market patterns and look for inefficiencies that offer opportunities for our shareholders. We continue to invest based on a three- to five-year time horizon and continue to look for ways to enhance our quantitative model through our on-going research effort. While investors can expect speculative periods to reoccur, it is our experience that these periods tend to be unsustainable and short-lived. We believe that, eventually, historic trends — on which our model is based — will reassert themselves. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Quantitative Equity Investment Team | |
New York, March 27, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | Russell 1000 Growth Index2 | ||||||||
Class A | 6.20 | % | 9.54 | % | ||||||
Class B | 5.84 | 9.54 | ||||||||
Class C | 5.83 | 9.54 | ||||||||
Institutional | 6.43 | 9.54 | ||||||||
Service | 6.11 | 9.54 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 1000 Growth Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 1.86 | % | 2.42 | % | 4.88 | % | 9.42 | % | 11/11/91 | |||||||||||
Class B | 1.97 | 2.45 | n/a | 4.01 | 5/1/97 | |||||||||||||||
Class C | 5.97 | 2.81 | n/a | 2.32 | 8/15/97 | |||||||||||||||
Institutional | 8.20 | 4.00 | 5.87 | 4 | 10.11 | 4 | 11/11/91 | |||||||||||||
Service | 7.59 | 3.50 | 5.38 | 4 | 9.77 | 4 | 11/11/91 | |||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
4 | Performance data for Institutional and Service Shares prior to May 1, 1997 (commencement of operations) is that of Class A Shares. Class A Share performance for such period is that of a predecessor separate account (which converted into Class A Shares) adjusted to reflect the higher fees and expenses applicable to the Fund’s Class A Shares. Although the predecessor separate account was managed by Goldman Sachs Asset Management in a manner and pursuant to investment objectives in all material respects equivalent to management and investment objectives of the Structured Large Cap Growth Fund, the separate account was not registered under the Investment Company Act of 1940, as amended (the “Act”) and was not subject to certain investment restrictions imposed by the Act. If it had registered under the Act, performance might have been adversely affected. The fees applicable to Institutional and Service Shares are different from those applicable to Class A Shares, which impacts performance ratings and rankings for a class of shares. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
EXPENSE RATIOS5 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 0.95 | % | 1.16 | % | ||||||
Class B | 1.70 | 1.91 | ||||||||
Class C | 1.70 | 1.91 | ||||||||
Institutional | 0.55 | 0.76 | ||||||||
Service | 1.05 | 1.26 | ||||||||
5 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/076 |
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 4.1 | % | Software | |||||
Cisco Systems, Inc. | 3.6 | Communications Equipment | ||||||
Hewlett-Packard Co. | 2.4 | Computers & Peripherals | ||||||
Amgen, Inc. | 2.1 | Biotechnology | ||||||
Merck & Co., Inc. | 1.9 | Pharmaceuticals | ||||||
Texas Instruments, Inc. | 1.9 | Semiconductor Equipment & Products | ||||||
Johnson & Johnson | 1.8 | Pharmaceuticals | ||||||
Exxon Mobil Corp. | 1.8 | Oil & Gas | ||||||
Marriott International, Inc. | 1.8 | Hotels, Restaurants & Leisure | ||||||
The Walt Disney Co. | 1.7 | Media | ||||||
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION7 |
7 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 10.41%, 10.06%, 10.10%, 10.71%, and 10.43%, respectively. These returns compare to the 10.76% cumulative total return of the Fund’s benchmark, the Russell 2000 Index (with dividends reinvested), over the same time period. | |
The reporting period was noteworthy for two market anomalies — both of which had a negative effect on the Fund’s relative performance. One was the ongoing “junk rally,” in which lower-quality stocks (typically, stocks with zero or negative earnings, low S&P quality rankings and other stocks considered more speculative) outperformed higher-quality stocks. The second was an abrupt change in direction in the market when stocks prices declined dramatically during the final two days of the period. | |
The proprietary stock selection model developed by the Global Quantitative Equity team focuses on investment criteria that have demonstrated strong predictability of future stock returns over long periods of time. While short-term market anomalies do not appear to have a significant effect on the long-term performance of our models, they can have an impact in the near term. This was certainly the case during the reporting period. Our models did not generate the level of outperformance necessary to overcome the effects of the junk rally. | |
Our model is based on six investment themes. The Valuation theme attempts to identify stocks that we believe are not appropriately priced by the market, by typically comparing a company’s intrinsic, or underlying value, to its current market price. Profitability assesses whether the company has better-than-average profit margins and operates efficiently. Earnings Quality evaluates what percentage of a company’s earnings are coming from more persistent, cash-based sources, as opposed to accounting accruals, such as accounts payable, accounts receivable, inventories, future tax liability and future interest expenses. Management Impact assesses a company’s management strategy and behavior by looking at their financing decisions. Momentum predicts a change in a stock caused by an under-reaction to company-specific information. Finally, Analyst Sentiment looks at how the views of Wall Street analysts about a company’s earnings and prospects are changing over time. |
We believe that our six themes demonstrate a statistically significant ability to forecast returns and also work well across different types of stocks and in a variety of market environments. However, the six-month reporting period — characterized by speculation and over-exuberance — did not follow the historical patterns we have observed over longer periods of time. |
As a result, our forecast model, which we use to evaluate investment opportunities for the Fund, performed below expectations. The largest detractor from relative returns was our Analyst Sentiment theme. Analyst Sentiment captures the broad change in earnings estimates and stock recommendations made by fundamental research analysts. Our historical research has shown that investors tend to pay more for stocks about which analysts are becoming more positive. But during the reporting period, we found that this relationship didn’t hold true and investors generally ignored the changing views of the analyst community. | |
Also detracting slightly were three of our other themes — Momentum, Management Impact and Earnings Quality. On the positive side, our Profitability and Valuation themes contributed slightly to our relative return. | |
In keeping with our management approach, the Fund was broadly diversified across a number of stocks and we limited the size of our sector exposures. Our stock selection was negative overall. Within sectors, we underperformed the most in the Industrials, Information Technology and Materials sectors. | |
We continue to believe that cheaper stocks should outpace more expensive ones and good momentum stocks should do better than poor momentum stocks. We also prefer companies about which fundamental research analysts are becoming more positive, and firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. The weights on our six investment themes will continue to vary depending on their expected returns and risk and diversification benefit, along with their anticipated impact on portfolio turnover. | |
As always, we take a long-term view of market patterns and look for inefficiencies that offer opportunities for our shareholders. We continue to invest based on a three- to five-year time horizon and continue to look for ways to enhance our quantitative model through our on-going research effort. While investors can expect speculative periods to reoccur, it is our experience that these periods tend to be unsustainable and short-lived. Eventually, we believe historic trends — on which our model is based — will reassert themselves. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Quantitative Equity Investment Team | |
New York, March 27, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | Russell 2000 Index2 | ||||||||
Class A | 10.41 | % | 10.76 | % | ||||||
Class B | 10.06 | 10.76 | ||||||||
Class C | 10.10 | 10.76 | ||||||||
Institutional | 10.71 | 10.76 | ||||||||
Service | 10.43 | 10.76 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charge. |
2 | The Russell 2000 Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000 Index. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 6.31 | % | 10.01 | % | 7.75 | % | 8/15/97 | |||||||||
Class B | 6.40 | 10.08 | 7.60 | 8/15/97 | ||||||||||||
Class C | 10.61 | 10.43 | 7.63 | 8/15/97 | ||||||||||||
Institutional | 13.02 | 11.71 | 8.83 | 8/15/97 | ||||||||||||
Service | 12.41 | 11.16 | 8.31 | 8/15/97 | ||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
EXPENSE RATIOS4 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.25 | % | 1.36 | % | ||||||
Class B | 2.00 | 2.11 | ||||||||
Class C | 2.00 | 2.11 | ||||||||
Institutional | 0.85 | 0.96 | ||||||||
Service | 1.35 | 1.46 | ||||||||
4 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/075 |
Holding | % of Net Assets | Line of Business | ||||
Jack in the Box, Inc. | 1.6 | % | Hotels, Restaurants & Leisure | |||
Belden CDT, Inc. | 1.6 | Electrical Equipment | ||||
NBTY, Inc. | 1.6 | Personal Products | ||||
Marvel Entertainment, Inc. | 1.5 | Leisure Equipment & Products | ||||
Immucor, Inc. | 1.5 | Health Care Equipment & Supplies | ||||
Tempur-Pedic International, Inc. | 1.5 | Household Durables | ||||
UTStarcom, Inc. | 1.4 | Communications Equipment | ||||
Amtel Corp. | 1.4 | Semiconductor Equipment & Products | ||||
Polycom, Inc. | 1.4 | Communications Equipment | ||||
Millennium Pharmaceuticals, Inc. | 1.4 | Biotechnology | ||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
SECTOR ALLOCATION6 |
6 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Short-term Investments include repurchase agreements and securities lending collateral, if any. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
n Comprehensive – We forecast returns on over 5,000 stocks, 21 countries and 9 currencies on a daily basis. n Rigorous – We evaluate stocks, countries, and currencies based on fundamental investment criteria that have outperformed historically. | n Objective – Our stock and equity market selection process is free from emotion that can lead to biased investment decisions. |
n Our computer optimization process allocates risk to our best investment ideas and constructs funds that strive to neutralize systematic risks and deliver better returns. | n We use unique, proprietary risk models that are more precise, more focused and faster to respond because they seek to identify, track and manage risk specific to our process, using daily data. |
Fully invested, well-diversified International portfolio that: n Blends top-down market views with bottom-up stock selection. n Maintains style, sector, risk and capitalization characteristics similar to the benchmark. | n Aims to achieve excess returns by taking intentional country bets and many small diversified stock positions. |
Over the six-month period that ended February 28, 2007, the Fund’s Class A, B, C, Institutional and Service Shares generated cumulative total returns, without sales charges, of 12.75%, 12.32%, 12.31%, 13.02%, and 12.76%, respectively. These returns compare to the 12.26% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged, with dividends reinvested), over the same time period. | |
The Structured International Equity Fund seeks to generate returns using two strategies — stock selection and intentional country over- and underweights relative to the benchmark. These sources of return tend to be uncorrelated with each other. During the six-month reporting period, stock selection contributed positively to performance while country selection detracted slightly. |
In keeping with our investment approach, we take minimal size and sector bets. We use our quantitative process to look for stocks, countries, and currencies that have good momentum and appear to offer a good value. As always, our goal is to find companies about which fundamental research analysts are increasingly positive — firms that are profitable, have sustainable earnings, and use their capital to enhance shareholder value. We also prefer countries and currencies that exhibit strong economic growth, countries with favorable risk/return tradeoffs, and currencies that are associated with positive expected fund flows. Over the long term, these factors have contributed positively to the Fund’s returns and they typically work well at various times and under different market environments. | |
Using our proprietary stock-selection models, we calculate expected returns on over 5,000 international stocks on a daily basis. Our models are based on six investment themes, which we believe demonstrate a statistically significant ability to forecast returns and also work well across different types of stocks and in a variety of market environments. Five of our themes — Valuation, Momentum, Analyst Sentiment, Profitability, and Earnings Quality — contributed positively to stock selection during the six-month reporting period, while Management Impact detracted from performance. | |
Stock selection was strongest in Continental Europe and weakest in Japan. Among sectors, the portfolio’s holdings in the Materials sector outpaced those in the benchmark while our positions in the Consumer Discretionary sector detracted most from relative returns. |
To determine our country over- and underweights relative to the benchmark, we use our proprietary country/currency selection models, which are based on five investment themes: Valuation, Momentum, Risk Premium, Fund Flows and Macro. Our country selection was slightly negative for the period. An underweight in Australia and an overweight in Switzerland were the largest detractors. Our overweight in Germany and our underweight in the UK added the most to the Fund’s relative performance. | |
As always, we take a long-term view of market patterns and look for inefficiencies that offer opportunities for our shareholders. We continue to invest based on a three- to five-year time horizon and continue to look for ways to enhance our quantitative model through our on-going research effort. In the months ahead, we believe that cheaper stocks, countries and currencies should outpace more expensive ones and those with good momentum should do better than those with poor momentum. We favor companies about which fundamental research analysts are becoming more positive. We also prefer countries and currencies that exhibit strong economic growth, countries with favorable risk/return tradeoffs, and currencies that are associated with positive expected fund flows. Investors should expect the value we add over time to be the result of stock and country selection, as opposed to sector or size allocations. | |
We thank you for your investment and look forward to your continued confidence. | |
Goldman Sachs Global Quantitative Equity Investment Team | |
New York, March 27, 2007 |
PERFORMANCE REVIEW |
September 1, 2006–February 28, 2007 | Fund Total Return (based on NAV)1 | MSCI EAFE Index2 | ||||||||
Class A | 12.75 | % | 12.26 | % | ||||||
Class B | 12.32 | 12.26 | ||||||||
Class C | 12.31 | 12.26 | ||||||||
Institutional | 13.02 | 12.26 | ||||||||
Service | 12.76 | 12.26 | ||||||||
1 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index (unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. The Index is unmanaged and the figures for the Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
STANDARDIZED AVERAGE ANNUAL TOTAL RETURNS3 |
For the period ended 12/31/06 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 20.29 | % | 14.24 | % | 5.74 | % | 8/15/97 | |||||||||
Class B | 21.06 | 14.56 | 5.80 | 8/15/97 | ||||||||||||
Class C | 25.20 | 14.82 | 5.81 | 8/15/97 | ||||||||||||
Institutional | 27.76 | 16.13 | 7.01 | 8/15/97 | ||||||||||||
Service | 27.16 | 15.55 | 6.49 | 8/15/97 | ||||||||||||
3 | The Standardized Total Returns are average annual total returns as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.5% for Class A Shares, the assumed contingent deferred sales charge for Class B Shares (5% maximum declining to 0% after six years) and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional and Service Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. The Fund will charge a 2% redemption fee on the redemption of shares (including by exchange) held for 30 calendar days or less. Performance figures do not reflect the deduction of the redemption fee. If reflected, the redemption fee would reduce the performance quoted. |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our Web site at: www.goldmansachsfunds.com to obtain the most recent month-end returns. Performance reflects expense limitations in effect. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
EXPENSE RATIOS4 |
Current Expense Ratio | Expense Ratio Before Waivers | |||||||||
Class A | 1.25 | % | 1.36 | % | ||||||
Class B | 2.00 | 2.09 | ||||||||
Class C | 2.00 | 2.09 | ||||||||
Institutional | 0.85 | 0.94 | ||||||||
Service | 1.35 | 1.44 | ||||||||
4 | The expense ratios of the Fund, both with and without waivers and expense limitations, are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights. The waivers and expense limitations are voluntary and may be modified or terminated at any time at the option of the Investment Adviser. If this occurs, the expense ratios may change without shareholder approval. |
TOP 10 HOLDINGS AS OF 2/28/075 |
Holding | % of Net Assets | Country | Line of Business | |||||||
Roche Holding AG | 3.1 | % | Switzerland | Pharmaceuticals | ||||||
Vivendi SA | 3.1 | France | Media | |||||||
Zurich Financial Services AG | 2.9 | Switzerland | Insurance | |||||||
Deutsche Bank AG | 2.5 | Germany | Banks | |||||||
Unilever NV | 2.3 | Netherlands | Food Products | |||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 2.3 | Germany | Insurance | |||||||
Nestle SA | 1.9 | Switzerland | Food Products | |||||||
Total SA | 1.8 | France | Oil & Gas | |||||||
Deutsche Lufthansa AG | 1.7 | Germany | Airlines | |||||||
Cap Gemini SA | 1.7 | France | IT Consulting & Services | |||||||
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
Shares | Description | Value | ||||||||
Common Stocks – 97.0% | ||||||||||
Aerospace & Defense – 3.1% | ||||||||||
113,800 | Lockheed Martin Corp. | $ | 11,070,464 | |||||||
348,000 | Northrop Grumman Corp. | 25,003,800 | ||||||||
311,700 | Raytheon Co. | 16,691,535 | ||||||||
52,765,799 | ||||||||||
Air Freight & Couriers – 0.3% | ||||||||||
93,700 | Ryder System, Inc. | 4,819,928 | ||||||||
Auto Components – 0.0% | ||||||||||
41,100 | ArvinMeritor, Inc. | 750,486 | ||||||||
Banks – 9.5% | ||||||||||
1,160,048 | Bank of America Corp. | 59,011,642 | ||||||||
127,000 | BB&T Corp. | 5,394,960 | ||||||||
26,600 | Comerica, Inc. | 1,606,374 | ||||||||
97,700 | Hudson City Bancorp, Inc. | 1,309,180 | ||||||||
91,600 | Regions Financial Corp. | 3,281,112 | ||||||||
30,900 | SunTrust Banks, Inc. | 2,605,179 | ||||||||
1,088,000 | U.S. Bancorp | 38,798,080 | ||||||||
96,400 | UnionBanCal Corp. | 5,896,788 | ||||||||
17,700 | Washington Mutual, Inc. | 762,516 | ||||||||
1,313,400 | Wells Fargo & Co. | 45,574,980 | ||||||||
164,240,811 | ||||||||||
Beverages – 0.6% | ||||||||||
116,400 | Molson Coors Brewing Co. – Class B | 9,828,816 | ||||||||
Biotechnology – 1.4% | ||||||||||
239,200 | Biogen Idec, Inc.* | 10,809,448 | ||||||||
70,300 | Celgene Corp.* | 3,746,990 | ||||||||
95,100 | Genzyme Corp.* | 5,877,180 | ||||||||
19,400 | Gilead Sciences, Inc.* | 1,388,264 | ||||||||
168,200 | Millennium Pharmaceuticals, Inc.* | 1,816,560 | ||||||||
23,638,442 | ||||||||||
Building Products – 0.0% | ||||||||||
14,900 | American Standard Companies, Inc. | 789,551 | ||||||||
Chemicals – 1.2% | ||||||||||
64,000 | Albemarle Corp. | 5,238,400 | ||||||||
186,700 | Ashland, Inc. | 12,243,786 | ||||||||
87,600 | Hercules, Inc.* | 1,766,016 | ||||||||
25,400 | Lyondell Chemical Co. | 809,244 | ||||||||
16,400 | The Lubrizol Corp. | 852,800 | ||||||||
20,910,246 | ||||||||||
Commercial Services & Supplies – 0.8% | ||||||||||
9,900 | ITT Educational Services, Inc.* | 791,802 | ||||||||
170,100 | Manpower, Inc. | 12,638,430 | ||||||||
21,000 | R.R. Donnelley & Sons Co. | 759,780 | ||||||||
14,190,012 | ||||||||||
Communications Equipment – 1.5% | ||||||||||
997,700 | Cisco Systems, Inc.* | 25,880,338 | ||||||||
24,200 | Polycom, Inc.* | 771,980 | ||||||||
26,652,318 | ||||||||||
Computers & Peripherals – 2.1% | ||||||||||
858,250 | Hewlett-Packard Co. | 33,797,885 | ||||||||
47,300 | Lexmark International, Inc.* | 2,864,488 | ||||||||
36,662,373 | ||||||||||
Containers & Packaging – 0.3% | ||||||||||
145,100 | Pactiv Corp.* | 4,672,220 | ||||||||
Diversified Financials – 12.5% | ||||||||||
258,500 | AmeriCredit Corp.*(a) | 6,312,570 | ||||||||
485,800 | Ameriprise Financial, Inc. | 28,399,868 | ||||||||
1,059,300 | Citigroup, Inc. | 53,388,720 | ||||||||
732,267 | Countrywide Financial Corp.(a) | 28,031,181 | ||||||||
1,373,300 | JPMorgan Chase & Co. | 67,841,020 | ||||||||
66,200 | Janus Capital Group, Inc.(a) | 1,406,750 | ||||||||
144,600 | Merrill Lynch & Co., Inc. | 12,100,128 | ||||||||
128,500 | Moody’s Corp. | 8,316,520 | ||||||||
56,000 | Nuveen Investments, Inc. | 2,726,640 | ||||||||
12,900 | Principal Financial Group, Inc. | 785,481 | ||||||||
107,858 | SEI Investments Co. | 6,520,016 | ||||||||
215,828,894 | ||||||||||
Diversified Telecommunication Services – 4.3% | ||||||||||
25,800 | ALLTEL Corp. | 1,563,222 | ||||||||
1,331,235 | AT&T, Inc.(a) | 48,989,448 | ||||||||
287,500 | CenturyTel, Inc. | 12,865,625 | ||||||||
42,200 | Citizens Communications Co. | 635,954 | ||||||||
504,900 | Sprint Nextel Corp. | 9,734,472 | ||||||||
20,700 | Verizon Communications, Inc. | 774,801 | ||||||||
74,563,522 | ||||||||||
Electric Utilities – 4.1% | ||||||||||
38,100 | Alliant Energy Corp. | 1,593,342 | ||||||||
90,800 | Constellation Energy Group, Inc. | 7,143,236 | ||||||||
114,000 | Entergy Corp. | 11,251,800 | ||||||||
129,200 | FirstEnergy Corp. | 8,084,044 | ||||||||
86,100 | Northeast Utilities | 2,502,066 | ||||||||
39,300 | OGE Energy Corp. | 1,517,373 | ||||||||
658,700 | PG&E Corp. | 30,576,854 | ||||||||
495,493 | Reliant Energy, Inc.*(a) | 8,378,787 | ||||||||
71,047,502 | ||||||||||
Electrical Equipment – 0.5% | ||||||||||
100,100 | Energizer Holdings, Inc.* | 8,600,592 | ||||||||
Electronic Equipment & Instruments – 0.0% | ||||||||||
14,300 | Waters Corp.* | 775,918 | ||||||||
Food & Drug Retailing – 1.8% | ||||||||||
55,100 | Ruddick Corp. | 1,560,983 | ||||||||
865,900 | Safeway, Inc. | 29,934,163 | ||||||||
31,495,146 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Food Products – 1.4% | ||||||||||
43,600 | Corn Products International, Inc. | $ | 1,393,892 | |||||||
309,200 | Dean Foods Co.* | 13,926,368 | ||||||||
31,700 | Sensient Technologies Corp. | 776,333 | ||||||||
405,792 | Tyson Foods, Inc. | 7,405,704 | ||||||||
23,502,297 | ||||||||||
Gas Utilities – 0.1% | ||||||||||
20,900 | Atmos Energy Corp. | 658,768 | ||||||||
18,400 | ONEOK, Inc. | 766,544 | ||||||||
1,425,312 | ||||||||||
Healthcare Equipment & Supplies – 0.3% | ||||||||||
143,400 | Applera Corp. – Applied Biosystems Group | 4,428,192 | ||||||||
Healthcare Providers & Services – 2.0% | ||||||||||
385,500 | AmerisourceBergen Corp. | 20,304,285 | ||||||||
66,900 | CIGNA Corp. | 9,533,250 | ||||||||
12,900 | Humana, Inc.* | 771,936 | ||||||||
14,200 | McKesson Corp. | 791,792 | ||||||||
122,600 | Service Corp. International | 1,438,098 | ||||||||
15,100 | WellCare Health Plans, Inc.* | 1,239,861 | ||||||||
34,079,222 | ||||||||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||||
45,300 | Bob Evans Farms, Inc. | 1,638,048 | ||||||||
566,600 | Marriott International, Inc. | 27,145,806 | ||||||||
28,783,854 | ||||||||||
Household Durables – 0.1% | ||||||||||
60,400 | American Greetings Corp. | 1,414,568 | ||||||||
Household Products – 0.7% | ||||||||||
197,900 | Procter & Gamble Co. | 12,564,671 | ||||||||
Industrial Conglomerates – 1.5% | ||||||||||
739,700 | General Electric Co. | 25,830,324 | ||||||||
Insurance – 8.1% | ||||||||||
41,200 | ACE Ltd. | 2,313,792 | ||||||||
5,250 | Alleghany Corp.* | 2,050,755 | ||||||||
239,000 | AMBAC Financial Group, Inc. | 20,945,960 | ||||||||
56,800 | American International Group, Inc. | 3,811,280 | ||||||||
204,500 | CNA Financial Corp.*(a) | 8,396,770 | ||||||||
653,300 | Genworth Financial, Inc. | 23,107,221 | ||||||||
63,000 | Lincoln National Corp. | 4,293,450 | ||||||||
737,600 | Loews Corp. | 32,041,344 | ||||||||
212,848 | MBIA, Inc. | 14,148,006 | ||||||||
90,800 | Nationwide Financial Services, Inc. | 4,866,880 | ||||||||
172,600 | Old Republic International Corp. | 3,852,432 | ||||||||
109,995 | Radian Group, Inc. | 6,319,213 | ||||||||
20,300 | Reinsurance Group of America, Inc. | 1,158,724 | ||||||||
275,600 | The PMI Group, Inc. | 12,917,372 | ||||||||
140,223,199 | ||||||||||
Internet Software & Services – 0.3% | ||||||||||
112,200 | IAC/InterActiveCorp.* | 4,398,240 | ||||||||
IT Consulting & Services – 0.4% | ||||||||||
129,549 | Computer Sciences Corp.* | 6,857,028 | ||||||||
Leisure Equipment & Products – 0.4% | ||||||||||
138,100 | Hasbro, Inc. | 3,906,849 | ||||||||
74,938 | Marvel Entertainment, Inc.*(a) | 2,082,527 | ||||||||
5,989,376 | ||||||||||
Machinery – 0.7% | ||||||||||
162,700 | AGCO Corp.* | 5,897,875 | ||||||||
24,600 | PACCAR, Inc. | 1,709,454 | ||||||||
65,400 | SPX Corp. | 4,571,460 | ||||||||
12,178,789 | ||||||||||
Marine – 0.3% | ||||||||||
76,601 | Overseas Shipholding Group, Inc. | 4,640,488 | ||||||||
Media – 5.9% | ||||||||||
716,177 | CBS Corp. Class B | 21,735,972 | ||||||||
82,500 | Comcast Corp.* | 2,121,900 | ||||||||
52,900 | Scholastic Corp.* | 1,840,391 | ||||||||
1,162,800 | The DIRECTV Group, Inc.* | 26,232,768 | ||||||||
70,300 | The McGraw-Hill Companies, Inc. | 4,542,083 | ||||||||
2,183,700 | Time Warner, Inc. | 44,438,295 | ||||||||
100,911,409 | ||||||||||
Metals & Mining – 1.1% | ||||||||||
293,800 | Nucor Corp. | 17,883,606 | ||||||||
46,700 | Steel Dynamics, Inc. | 1,762,458 | ||||||||
19,646,064 | ||||||||||
Multi-Utilities – 1.7% | ||||||||||
1,364,400 | Duke Energy Corp. | 26,865,036 | ||||||||
3,365 | Dynegy, Inc.* | 27,627 | ||||||||
65,300 | NiSource, Inc. | 1,553,487 | ||||||||
28,446,150 | ||||||||||
Multiline Retail – 0.2% | ||||||||||
80,645 | Dillard’s, Inc. | 2,693,543 | ||||||||
Oil & Gas – 14.2% | ||||||||||
606,333 | Chevron Corp. | 41,600,507 | ||||||||
488,150 | Devon Energy Corp. | 32,076,337 | ||||||||
1,734,461 | Exxon Mobil Corp. | 124,326,164 | ||||||||
132,800 | Hess Corp. | 7,045,040 | ||||||||
291,500 | Holly Corp. | 16,169,505 | ||||||||
106,500 | Marathon Oil Corp. | 9,663,810 | ||||||||
29,400 | Pioneer Natural Resources Co. | 1,130,430 | ||||||||
56,300 | Plains Exploration & Production Co.* | 2,568,969 | ||||||||
79,500 | SEACOR Holdings, Inc.* | 7,695,600 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Oil & Gas – (continued) | ||||||||||
28,000 | Tesoro Corp. | $ | 2,551,920 | |||||||
244,828,282 | ||||||||||
Personal Products – 0.1% | ||||||||||
77,600 | Alberto-Culver Co. | 1,718,840 | ||||||||
17,000 | The Estee Lauder Companies, Inc. | 813,960 | ||||||||
2,532,800 | ||||||||||
Pharmaceuticals – 4.3% | ||||||||||
248,900 | Merck & Co., Inc. | 10,991,424 | ||||||||
2,503,700 | Pfizer, Inc. | 62,492,352 | ||||||||
73,483,776 | ||||||||||
Real Estate – 3.3% | ||||||||||
80,800 | Boston Properties, Inc. (REIT)(a) | 9,704,080 | ||||||||
6,500 | BRE Properties, Inc. (REIT) | 431,275 | ||||||||
160,900 | Health Care Property Investors, Inc. (REIT) | 5,916,293 | ||||||||
415,500 | HRPT Properties Trust | 5,368,260 | ||||||||
241,900 | iStar Financial, Inc. (REIT) | 11,574,915 | ||||||||
7,600 | Jones Lang LaSalle, Inc. | 804,460 | ||||||||
93,100 | ProLogis (REIT) | 6,156,703 | ||||||||
97,000 | SL Green Realty Corp. | 14,148,420 | ||||||||
900 | Starwood Hotels & Resorts Worldwide, Inc. | 59,220 | ||||||||
61,500 | Thornburg Mortgage, Inc.(a) | 1,557,180 | ||||||||
17,000 | Ventas, Inc. | 779,110 | ||||||||
56,499,916 | ||||||||||
Semiconductor Equipment & Products – 0.1% | ||||||||||
184,200 | Atmel Corp.* | 1,020,468 | ||||||||
Software – 0.3% | ||||||||||
175,800 | Synopsys, Inc.* | 4,496,964 | ||||||||
Specialty Retail – 0.5% | ||||||||||
303,100 | AutoNation, Inc.* | 6,656,076 | ||||||||
30,000 | Dick’s Sporting Goods, Inc.* | 1,570,200 | ||||||||
16,500 | OfficeMax, Inc. | 856,350 | ||||||||
9,082,626 | ||||||||||
Textiles & Apparel – 0.5% | ||||||||||
265,738 | Jones Apparel Group, Inc. | 8,748,095 | ||||||||
Tobacco – 1.7% | ||||||||||
26,000 | Universal Corp. | 1,369,420 | ||||||||
487,400 | UST, Inc. | 28,298,444 | ||||||||
29,667,864 | ||||||||||
Wireless Telecommunication Services – 1.1% | ||||||||||
56,800 | Leap Wireless International, Inc.* | 3,837,976 | ||||||||
178,100 | Telephone & Data Systems, Inc. | 9,918,389 | ||||||||
63,700 | United States Cellular Corp.* | 4,570,475 | ||||||||
18,326,840 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,528,220,819) | $ | 1,668,932,933 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 2.4% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 41,900,000 | 5.335 | % | 03/01/07 | $ | 41,900,000 | ||||||||||
Maturity Value: $41,906,209 | ||||||||||||||||
(Cost $41,900,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,570,120,819) | $ | 1,710,832,933 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 3.3% | ||||||||||
57,116,500 | Boston Global Investment Trust – Enhanced Portfolio | $ | 57,116,500 | |||||||
(Cost $57,116,500) | ||||||||||
TOTAL INVESTMENTS – 102.7% | ||||||||||
(Cost $1,627,237,319) | $ | 1,767,949,433 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.7)% | (45,744,150 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,722,205,283 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
(b) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on page 51. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION |
Number of | Settlement | Market | Unrealized | |||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||
S&P Mini 500 Index | 660 | March 2007 | $ | 46,493,700 | $(1,303,913) | |||||||
Shares | Description | Value | ||||||||
Common Stocks – 99.6% | ||||||||||
Aerospace & Defense – 4.1% | ||||||||||
281,800 | Lockheed Martin Corp. | $ | 27,413,504 | |||||||
223,400 | Northrop Grumman Corp. | 16,051,290 | ||||||||
497,700 | Raytheon Co. | 26,651,835 | ||||||||
600 | The Boeing Co. | 52,362 | ||||||||
70,168,991 | ||||||||||
Air Freight & Couriers – 0.1% | ||||||||||
34,700 | Ryder System, Inc. | 1,784,968 | ||||||||
Automobiles – 0.3% | ||||||||||
29,300 | Avis Budget Group, Inc.* | 779,087 | ||||||||
61,400 | Harley-Davidson, Inc. | 4,046,260 | ||||||||
4,825,347 | ||||||||||
Banks – 5.5% | ||||||||||
861,249 | Bank of America Corp. | 43,811,737 | ||||||||
326,544 | Hudson City Bancorp, Inc. | 4,375,690 | ||||||||
66,000 | Regions Financial Corp. | 2,364,120 | ||||||||
390,475 | U.S. Bancorp | 13,924,338 | ||||||||
22,700 | Wachovia Corp. | 1,256,899 | ||||||||
810,963 | Wells Fargo & Co. | 28,140,416 | ||||||||
93,873,200 | ||||||||||
Beverages – 0.6% | ||||||||||
80,400 | Coca-Cola Enterprises, Inc. | 1,615,236 | ||||||||
18,500 | Molson Coors Brewing Co. Class B | 1,562,140 | ||||||||
146,800 | The Coca-Cola Co. | 6,852,624 | ||||||||
10,030,000 | ||||||||||
Biotechnology – 2.3% | ||||||||||
412,155 | Amgen, Inc.* | 26,485,080 | ||||||||
35,500 | Biogen Idec, Inc.* | 1,604,245 | ||||||||
174,372 | Celgene Corp.* | 9,294,028 | ||||||||
10,000 | Gilead Sciences, Inc.* | 715,600 | ||||||||
133,700 | Millennium Pharmaceuticals, Inc.* | 1,443,960 | ||||||||
39,542,913 | ||||||||||
Chemicals – 0.9% | ||||||||||
77,165 | Ashland, Inc. | 5,060,481 | ||||||||
203,852 | Monsanto Co. | 10,740,962 | ||||||||
15,801,443 | ||||||||||
Commercial Services & Supplies – 1.1% | ||||||||||
135,100 | Emdeon Corp.* | 2,018,394 | ||||||||
9,800 | ITT Educational Services, Inc.* | 783,804 | ||||||||
212,684 | Manpower, Inc. | 15,802,421 | ||||||||
18,604,619 | ||||||||||
Communications Equipment – 3.0% | ||||||||||
1,858,248 | Cisco Systems, Inc.* | 48,202,953 | ||||||||
54,000 | Polycom, Inc.* | 1,722,600 | ||||||||
100,200 | UTStarcom, Inc.*(a) | 925,848 | ||||||||
50,851,401 | ||||||||||
Computers & Peripherals – 3.7% | ||||||||||
1,036,800 | Hewlett-Packard Co. | $ | 40,829,184 | |||||||
388,000 | Lexmark International, Inc.*(a) | 23,497,280 | ||||||||
64,326,464 | ||||||||||
Diversified Financials – 9.0% | ||||||||||
147,700 | AmeriCredit Corp.*(a) | 3,606,834 | ||||||||
46,700 | Ameriprise Financial, Inc. | 2,730,082 | ||||||||
71,400 | BlackRock, Inc.(a) | 11,355,456 | ||||||||
309,670 | Citigroup, Inc. | 15,607,368 | ||||||||
492,152 | Countrywide Financial Corp. | 18,839,579 | ||||||||
1,025,112 | JPMorgan Chase & Co. | 50,640,533 | ||||||||
426,399 | Merrill Lynch & Co., Inc. | 35,681,068 | ||||||||
172,800 | Moody’s Corp. | 11,183,616 | ||||||||
69,500 | SEI Investments Co. | 4,201,275 | ||||||||
153,845,811 | ||||||||||
Diversified Telecommunication Services – 3.1% | ||||||||||
16,000 | ALLTEL Corp. | 969,440 | ||||||||
796,015 | AT&T, Inc. | 29,293,352 | ||||||||
193,600 | CenturyTel, Inc. | 8,663,600 | ||||||||
362,630 | Sprint Nextel Corp. | 6,991,506 | ||||||||
208,400 | Verizon Communications, Inc. | 7,800,412 | ||||||||
53,718,310 | ||||||||||
Electric Utilities – 2.8% | ||||||||||
6,700 | American Electric Power Co., Inc. | 300,562 | ||||||||
17,600 | Entergy Corp. | 1,737,120 | ||||||||
636,648 | PG&E Corp. | 29,553,200 | ||||||||
49,500 | Reliant Energy, Inc.* | 837,045 | ||||||||
227,701 | TXU Corp. | 15,062,421 | ||||||||
47,490,348 | ||||||||||
Electrical Equipment – 0.7% | ||||||||||
133,700 | Energizer Holdings, Inc.* | 11,487,504 | ||||||||
Electronic Equipment & Instruments – 0.3% | ||||||||||
89,000 | Ingram Micro, Inc.* | 1,729,270 | ||||||||
35,552 | Thermo Fisher Scientific, Inc.* | 1,609,439 | ||||||||
24,500 | Varian, Inc.* | 1,333,535 | ||||||||
13,800 | Waters Corp.* | 748,788 | ||||||||
5,421,032 | ||||||||||
Energy Equipment & Services – 0.4% | ||||||||||
13,800 | GlobalSantaFe Corp. | 795,294 | ||||||||
58,400 | SEACOR Holdings, Inc.* | 5,653,120 | ||||||||
6,448,414 | ||||||||||
Food & Drug Retailing – 1.7% | ||||||||||
838,600 | Safeway, Inc. | 28,990,402 | ||||||||
Food Products – 1.8% | ||||||||||
25,400 | General Mills, Inc. | 1,431,544 | ||||||||
553,900 | Kraft Foods, Inc.(a) | 17,680,488 | ||||||||
621,000 | Tyson Foods, Inc. | 11,333,250 | ||||||||
30,445,282 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Healthcare Equipment & Supplies – 1.1% | ||||||||||
364,800 | Applera Corp. - Applied Biosystems Group | $ | 11,265,024 | |||||||
1,400 | Medtronic, Inc. | 70,504 | ||||||||
81,000 | Zimmer Holdings, Inc.* | 6,830,730 | ||||||||
18,166,258 | ||||||||||
Healthcare Providers & Services – 2.9% | ||||||||||
543,769 | AmerisourceBergen Corp. | 28,640,313 | ||||||||
51,670 | Caremark Rx, Inc. | 3,182,356 | ||||||||
47,200 | CIGNA Corp. | 6,726,000 | ||||||||
113,900 | Humana, Inc.* | 6,815,776 | ||||||||
56,800 | McKesson Corp. | 3,167,168 | ||||||||
11,300 | WellCare Health Plans, Inc.* | 927,843 | ||||||||
49,459,456 | ||||||||||
Hotels, Restaurants & Leisure – 2.1% | ||||||||||
36,600 | International Game Technology | 1,509,750 | ||||||||
621,600 | Marriott International, Inc. | 29,780,856 | ||||||||
53,000 | McDonald’s Corp. | 2,317,160 | ||||||||
34,900 | Yum! Brands, Inc. | 2,022,106 | ||||||||
35,629,872 | ||||||||||
Household Durables – 0.0% | ||||||||||
27,900 | American Greetings Corp. | 653,418 | ||||||||
Household Products – 0.4% | ||||||||||
23,063 | Colgate-Palmolive Co. | 1,553,523 | ||||||||
91,469 | Procter & Gamble Co. | 5,807,367 | ||||||||
7,360,890 | ||||||||||
Industrial Conglomerates – 3.3% | ||||||||||
1,026,820 | General Electric Co. | 35,856,554 | ||||||||
112,412 | Reynolds American, Inc.(a) | 6,862,753 | ||||||||
442,200 | Tyco International Ltd. | 13,633,026 | ||||||||
56,352,333 | ||||||||||
Insurance – 5.1% | ||||||||||
166,499 | AMBAC Financial Group, Inc. | 14,591,972 | ||||||||
623,000 | Genworth Financial, Inc. | 22,035,510 | ||||||||
707,988 | Loews Corp. | 30,754,999 | ||||||||
267,521 | MBIA, Inc. | 17,782,121 | ||||||||
14,700 | Nationwide Financial Services, Inc. | 787,920 | ||||||||
33,600 | The PMI Group, Inc. | 1,574,832 | ||||||||
87,527,354 | ||||||||||
Internet Software & Services – 0.2% | ||||||||||
97,900 | IAC/InterActiveCorp.* | 3,837,680 | ||||||||
IT Consulting & Services – 2.7% | ||||||||||
731,100 | Accenture Ltd. | 26,100,270 | ||||||||
374,818 | Computer Sciences Corp.* | 19,839,117 | ||||||||
45,939,387 | ||||||||||
Leisure Equipment & Products – 0.0% | ||||||||||
21,600 | Hasbro, Inc. | 611,064 | ||||||||
Machinery – 2.3% | ||||||||||
36,900 | AGCO Corp.* | 1,337,625 | ||||||||
280,900 | Deere & Co. | 30,455,178 | ||||||||
70,800 | PACCAR, Inc. | 4,919,892 | ||||||||
36,400 | SPX Corp. | 2,544,360 | ||||||||
39,257,055 | ||||||||||
Marine – 0.0% | ||||||||||
2,000 | Overseas Shipholding Group, Inc. | 121,160 | ||||||||
Media – 6.8% | ||||||||||
785,381 | CBS Corp. Class B | 23,836,313 | ||||||||
225,033 | Comcast Corp.* | 5,787,849 | ||||||||
9,700 | Gannett Co., Inc. | 594,222 | ||||||||
68,700 | News Corp. | 1,547,811 | ||||||||
24,900 | News Corp. Class B | 593,616 | ||||||||
799,554 | The DIRECTV Group, Inc.* | 18,037,938 | ||||||||
75,990 | The McGraw-Hill Companies, Inc. | 4,909,714 | ||||||||
675,032 | The Walt Disney Co. | 23,126,596 | ||||||||
1,860,228 | Time Warner, Inc. | 37,855,640 | ||||||||
116,289,699 | ||||||||||
Metals & Mining – 1.8% | ||||||||||
22,800 | Newmont Mining Corp. | 1,027,596 | ||||||||
236,800 | Nucor Corp. | 14,414,016 | ||||||||
300 | Phelps Dodge Corp. | 37,473 | ||||||||
219,400 | Southern Copper Corp.(a) | 15,445,760 | ||||||||
30,924,845 | ||||||||||
Multi-Utilities – 0.0% | ||||||||||
12,200 | Duke Energy Corp. | 240,218 | ||||||||
Multiline Retail – 0.9% | ||||||||||
70,800 | Big Lots, Inc.* | 1,772,124 | ||||||||
255,250 | Costco Wholesale Corp. | 14,265,922 | ||||||||
2,400 | Dillard’s, Inc. | 80,160 | ||||||||
16,118,206 | ||||||||||
Oil & Gas – 9.5% | ||||||||||
304,700 | Chevron Corp. | 20,905,467 | ||||||||
126,300 | ConocoPhillips | 8,262,546 | ||||||||
461,844 | Devon Energy Corp. | 30,347,769 | ||||||||
1,170,421 | Exxon Mobil Corp. | 83,895,778 | ||||||||
98,300 | Holly Corp. | 5,452,701 | ||||||||
28,000 | Tesoro Corp. | 2,551,920 | ||||||||
212,800 | Valero Energy Corp. | 12,267,920 | ||||||||
163,684,101 | ||||||||||
Personal Products – 0.0% | ||||||||||
17,300 | The Estee Lauder Companies, Inc. | 828,324 | ||||||||
Pharmaceuticals – 6.8% | ||||||||||
60,000 | Forest Laboratories, Inc.* | 3,105,600 | ||||||||
352,537 | Johnson & Johnson | 22,227,458 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Pharmaceuticals – (continued) | ||||||||||
924,645 | Merck & Co., Inc. | $ | 40,832,323 | |||||||
2,007,200 | Pfizer, Inc. | 50,099,712 | ||||||||
32,900 | Schering-Plough Corp. | 772,492 | ||||||||
117,037,585 | ||||||||||
Real Estate – 1.1% | ||||||||||
82,600 | Boston Properties, Inc. (REIT)(a) | 9,920,260 | ||||||||
79,400 | Health Care Property Investors, Inc. (REIT) | 2,919,538 | ||||||||
92,400 | HRPT Properties Trust (REIT) | 1,193,808 | ||||||||
30,400 | iStar Financial, Inc. (REIT) | 1,454,640 | ||||||||
11,300 | ProLogis (REIT) | 747,269 | ||||||||
17,600 | Public Storage, Inc. (REIT) | 1,782,352 | ||||||||
1,100 | SL Green Realty Corp. | 160,446 | ||||||||
18,178,313 | ||||||||||
Road & Rail – 0.6% | ||||||||||
280,100 | CSX Corp. | 10,551,367 | ||||||||
Semiconductor Equipment & Products – 2.4% | ||||||||||
603,900 | Atmel Corp.* | 3,345,606 | ||||||||
4,900 | MEMC Electronic Materials, Inc.* | 252,693 | ||||||||
719,400 | Micron Technology, Inc.* | 8,532,084 | ||||||||
332,900 | Novellus Systems, Inc.* | 10,719,380 | ||||||||
571,867 | Texas Instruments, Inc. | 17,705,002 | ||||||||
40,554,765 | ||||||||||
Software – 4.2% | ||||||||||
93,200 | Intuit, Inc.* | 2,750,332 | ||||||||
104,400 | Mentor Graphics Corp.* | 1,763,316 | ||||||||
1,701,380 | Microsoft Corp. | 47,927,875 | ||||||||
512,900 | Symantec Corp.* | 8,770,590 | ||||||||
404,256 | Synopsys, Inc.* | 10,340,868 | ||||||||
71,552,981 | ||||||||||
Specialty Retail – 2.1% | ||||||||||
46,100 | American Eagle Outfitters, Inc. | 1,431,405 | ||||||||
554,975 | AutoNation, Inc.* | 12,187,251 | ||||||||
611,687 | Office Depot, Inc.* | 20,405,878 | ||||||||
32,800 | Payless ShoeSource, Inc.* | 1,013,520 | ||||||||
33,700 | United Auto Group, Inc. | 740,052 | ||||||||
35,778,106 | ||||||||||
Textiles & Apparel – 0.1% | ||||||||||
65,802 | Jones Apparel Group, Inc. | 2,166,202 | ||||||||
Tobacco – 1.6% | ||||||||||
87,000 | Altria Group, Inc. | 7,332,360 | ||||||||
339,800 | UST, Inc. | 19,728,788 | ||||||||
27,061,148 | ||||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||
1,100 | Telephone & Data Systems, Inc. | $ | 61,259 | |||||||
700 | Telephone & Data Systems, Inc. – Special Shares | 35,868 | ||||||||
46,310 | United States Cellular Corp.* | 3,322,747 | ||||||||
3,419,874 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,533,606,797) | $ | 1,706,958,110 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 0.6% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 10,100,000 | 5.335 | % | 03/01/07 | $ | 10,100,000 | ||||||||||
Maturity Value: $10,101,497 | ||||||||||||||||
(Cost $10,100,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,543,706,797) | $ | 1,717,058,110 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 3.9% | ||||||||||
66,042,875 | Boston Global Investment Trust – Enhanced Portfolio | $ | 66,042,875 | |||||||
(Cost $66,042,875) | ||||||||||
TOTAL INVESTMENTS – 104.1% | ||||||||||
(Cost $1,609,749,672) | $ | 1,783,100,985 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.1)% | (69,548,141 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,713,552,844 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
(b) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on page 51. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION |
Number of | Settlement | Market | Unrealized | |||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||
S&P Mini 500 Index | 159 | March 2007 | $11,200,755 | $ | (297,478 | ) | ||||||||
Shares | Description | Value | ||||||||
Common Stocks – 95.7% | ||||||||||
Aerospace & Defense – 4.6% | ||||||||||
245,700 | Lockheed Martin Corp.(a) | $ | 23,901,696 | |||||||
292,600 | Northrop Grumman Corp. | 21,023,310 | ||||||||
204,900 | Raytheon Co. | 10,972,395 | ||||||||
184,100 | United Technologies Corp. | 12,082,483 | ||||||||
67,979,884 | ||||||||||
Automobiles – 1.6% | ||||||||||
354,800 | Harley-Davidson, Inc.(a) | 23,381,320 | ||||||||
Beverages – 0.9% | ||||||||||
298,700 | The Coca-Cola Co. | 13,943,316 | ||||||||
Biotechnology – 3.6% | ||||||||||
489,300 | Amgen, Inc.* | 31,442,418 | ||||||||
88,400 | Biogen Idec, Inc.* | 3,994,796 | ||||||||
177,600 | Celgene Corp.* | 9,466,080 | ||||||||
56,600 | Genzyme Corp.* | 3,497,880 | ||||||||
451,949 | Millennium Pharmaceuticals, Inc.* | 4,881,049 | ||||||||
53,282,223 | ||||||||||
Building Products – 0.0% | ||||||||||
400 | Crane Co. | 15,236 | ||||||||
Chemical – 0.0% | ||||||||||
3,100 | Monsanto Co. | 163,339 | ||||||||
Commercial Services & Supplies – 2.5% | ||||||||||
176,600 | Convergys Corp.* | 4,542,152 | ||||||||
513,500 | Emdeon Corp.*(a) | 7,671,690 | ||||||||
8,200 | ITT Educational Services, Inc.* | 655,836 | ||||||||
301,900 | Manpower, Inc. | 22,431,170 | ||||||||
47,100 | Total System Services Inc. | 1,470,462 | ||||||||
36,771,310 | ||||||||||
Communications Equipment – 4.1% | ||||||||||
2,051,400 | Cisco Systems, Inc.* | 53,213,316 | ||||||||
197,900 | Polycom, Inc.* | 6,313,010 | ||||||||
87,800 | UTStarcom, Inc.*(a) | 811,272 | ||||||||
60,337,598 | ||||||||||
Computers & Peripherals – 4.7% | ||||||||||
886,850 | Hewlett-Packard Co. | 34,924,153 | ||||||||
106,100 | International Business Machines Corp. | 9,868,361 | ||||||||
309,700 | Lexmark International, Inc.*(a) | 18,755,432 | ||||||||
118,900 | NVIDIA Corp.* | 3,685,900 | ||||||||
241,700 | Sun Microsystems, Inc.* | 1,481,621 | ||||||||
68,715,467 | ||||||||||
Containers & Packaging – 0.0% | ||||||||||
16,000 | Crown Holdings, Inc.* | 365,440 | ||||||||
Diversified Financials – 5.1% | ||||||||||
193,300 | AmeriCredit Corp.*(a) | 4,720,386 | ||||||||
153,600 | Ameriprise Financial, Inc. | 8,979,456 | ||||||||
26,900 | BlackRock, Inc. | 4,278,176 | ||||||||
93,000 | Countrywide Financial Corp. | 3,560,040 | ||||||||
384,000 | JPMorgan Chase & Co. | 18,969,600 | ||||||||
101,200 | Merrill Lynch & Co., Inc. | 8,468,416 | ||||||||
230,752 | Moody’s Corp. | 14,934,269 | ||||||||
52,900 | Morgan Stanley | 3,963,268 | ||||||||
93,700 | SEI Investments Co. | 5,664,165 | ||||||||
52,900 | T. Rowe Price Group, Inc. | 2,463,024 | ||||||||
76,000,800 | ||||||||||
Diversified Telecommunication Service – 0.1% | ||||||||||
77,347 | Sprint Nextel Corp. | 1,491,250 | ||||||||
Electric Utilities – 0.7% | ||||||||||
123,700 | PG&E Corp. | 5,742,154 | ||||||||
64,500 | TXU Corp. | 4,266,675 | ||||||||
10,008,829 | ||||||||||
Electrical Equipment – 0.9% | ||||||||||
159,500 | Energizer Holdings, Inc.* | 13,704,240 | ||||||||
Electronic Equipment & Instruments – 1.2% | ||||||||||
23,200 | Avnet, Inc.* | 848,424 | ||||||||
62,500 | Ingram Micro, Inc.* | 1,214,375 | ||||||||
223,900 | Intersil Corp. | 5,922,155 | ||||||||
30,300 | Tech Data Corp.* | 1,129,584 | ||||||||
18,700 | Varian, Inc.* | 1,017,841 | ||||||||
131,800 | Waters Corp.* | 7,151,468 | ||||||||
17,283,847 | ||||||||||
Energy Equipment & Services – 0.7% | ||||||||||
36,600 | SEACOR Holdings, Inc.* | 3,542,880 | ||||||||
125,300 | Tidewater, Inc.(a) | 6,511,841 | ||||||||
10,054,721 | ||||||||||
Food & Drug Retailing – 1.4% | ||||||||||
139,100 | CVS Corp.(a) | 4,369,131 | ||||||||
453,500 | Safeway, Inc. | 15,677,495 | ||||||||
20,046,626 | ||||||||||
Food Products – 1.3% | ||||||||||
95,200 | ConAgra Foods, Inc. | 2,401,896 | ||||||||
178,400 | General Mills, Inc. | 10,054,624 | ||||||||
144,500 | Kraft Foods, Inc.(a) | 4,612,440 | ||||||||
97,500 | Tyson Foods, Inc. | 1,779,375 | ||||||||
18,848,335 | ||||||||||
Healthcare Equipment & Supplies – 2.9% | ||||||||||
378,000 | Applera Corp. – Applied Biosystems Group | 11,672,640 | ||||||||
80,400 | Baxter International, Inc. | 4,020,804 | ||||||||
8,700 | Kinetic Concepts, Inc.* | 427,605 | ||||||||
298,400 | Medtronic, Inc. | 15,027,424 | ||||||||
14,500 | Respironics, Inc.* | 594,065 | ||||||||
12,900 | Stryker Corp. | 800,058 | ||||||||
122,900 | Zimmer Holdings, Inc.* | 10,364,157 | ||||||||
42,906,753 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Healthcare Providers & Services – 4.5% | ||||||||||
440,600 | AmerisourceBergen Corp. | $ | 23,206,402 | |||||||
73,100 | Caremark Rx, Inc. | 4,502,229 | ||||||||
301,700 | Humana, Inc.* | 18,053,728 | ||||||||
10,100 | McKesson Corp. | 563,176 | ||||||||
53,000 | Universal Health Services, Inc. Class B | 3,066,580 | ||||||||
207,900 | WellCare Health Plans, Inc.* | 17,070,669 | ||||||||
66,462,784 | ||||||||||
Hotels, Restaurants & Leisure – 3.4% | ||||||||||
135,600 | International Game Technology | 5,593,500 | ||||||||
540,106 | Marriott International, Inc. | 25,876,478 | ||||||||
299,900 | Starbucks Corp.* | 9,266,910 | ||||||||
65,100 | Wendy’s International, Inc. | 2,089,059 | ||||||||
130,700 | Yum! Brands, Inc. | 7,572,758 | ||||||||
50,398,705 | ||||||||||
Household Products – 0.4% | ||||||||||
87,600 | Colgate-Palmolive Co. | 5,900,736 | ||||||||
Industrial Conglomerates – 1.8% | ||||||||||
42,300 | 3M Co. | 3,133,584 | ||||||||
378,900 | General Electric Co. | 13,231,188 | ||||||||
342,900 | Tyco International Ltd. | 10,571,607 | ||||||||
26,936,379 | ||||||||||
Insurance – 1.8% | ||||||||||
39,700 | AMBAC Financial Group, Inc. | 3,479,308 | ||||||||
24,700 | Axis Capital Holdings Ltd. | 835,107 | ||||||||
252,600 | Loews Corp. | 10,972,944 | ||||||||
163,048 | MBIA, Inc. | 10,837,801 | ||||||||
26,125,160 | ||||||||||
Internet Software & Services – 1.5% | ||||||||||
35,325 | Google, Inc.* | 15,876,821 | ||||||||
172,600 | IAC/InterActiveCorp.* | 6,765,920 | ||||||||
22,642,741 | ||||||||||
IT Consulting & Services – 2.4% | ||||||||||
200,700 | Accenture Ltd. | 7,164,990 | ||||||||
246,250 | Computer Sciences Corp.* | 13,034,013 | ||||||||
580,200 | First Data Corp. | 14,812,506 | ||||||||
35,011,509 | ||||||||||
Machinery – 3.4% | ||||||||||
560,100 | AGCO Corp.* | 20,303,625 | ||||||||
173,100 | Deere & Co. | 18,767,502 | ||||||||
88,500 | PACCAR, Inc. | 6,149,865 | ||||||||
75,400 | Terex Corp.* | 4,964,336 | ||||||||
50,185,328 | ||||||||||
Marine – 0.1% | ||||||||||
25,900 | Overseas Shipholding Group, Inc. | 1,569,022 | ||||||||
Media – 5.9% | ||||||||||
468,059 | CBS Corp. Class B | 14,205,591 | ||||||||
167,250 | Comcast Corp.*(a) | 4,301,670 | ||||||||
922,200 | The DIRECTV Group, Inc.* | 20,804,832 | ||||||||
724,000 | The Walt Disney Co. | 24,804,240 | ||||||||
1,144,000 | Time Warner, Inc. | 23,280,400 | ||||||||
87,396,733 | ||||||||||
Metals & Mining – 2.3% | ||||||||||
47,200 | Newmont Mining Corp. | 2,127,304 | ||||||||
207,200 | Nucor Corp. | 12,612,264 | ||||||||
283,100 | Southern Copper Corp.(a) | 19,930,240 | ||||||||
34,669,808 | ||||||||||
Multi-Utilities – 0.2% | ||||||||||
116,300 | Duke Energy Corp. | 2,289,947 | ||||||||
Multiline Retail – 1.6% | ||||||||||
170,000 | Costco Wholesale Corp. | 9,501,300 | ||||||||
113,000 | Dillard’s, Inc. | 3,774,200 | ||||||||
221,000 | Wal-Mart Stores, Inc. | 10,674,300 | ||||||||
23,949,800 | ||||||||||
Oil & Gas – 3.3% | ||||||||||
334,700 | Devon Energy Corp. | 21,993,137 | ||||||||
369,600 | Exxon Mobil Corp. | 26,492,928 | ||||||||
1,800 | Tesoro Corp. | 164,052 | ||||||||
48,650,117 | ||||||||||
Personal Products – 0.2% | ||||||||||
119,100 | Alberto-Culver Co. | 2,638,065 | ||||||||
Pharmaceuticals – 5.9% | ||||||||||
301,700 | Forest Laboratories, Inc.*(a) | 15,615,992 | ||||||||
431,100 | Johnson & Johnson | 27,180,855 | ||||||||
629,000 | Merck & Co., Inc. | 27,776,640 | ||||||||
628,800 | Pfizer, Inc. | 15,694,848 | ||||||||
32,500 | Schering-Plough Corp. | 763,100 | ||||||||
87,031,435 | ||||||||||
Real Estate – 1.2% | ||||||||||
50,400 | Boston Properties, Inc. (REIT) | 6,053,040 | ||||||||
14,800 | Health Care Property Investors, Inc. (REIT) | 544,196 | ||||||||
109,500 | HRPT Properties Trust | 1,414,740 | ||||||||
58,600 | Jones Lang LaSalle, Inc. | 6,202,810 | ||||||||
20,800 | SL Green Realty Corp. | 3,033,888 | ||||||||
17,248,674 | ||||||||||
Road & Rail – 1.7% | ||||||||||
610,500 | CSX Corp. | 22,997,535 | ||||||||
71,200 | J.B. Hunt Transportation Services, Inc. | 1,891,072 | ||||||||
24,888,607 | ||||||||||
Semiconductor Equipment & Products – 5.5% | ||||||||||
132,100 | Atmel Corp.* | 731,834 | ||||||||
55,450 | Intel Corp. | 1,100,682 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Semiconductor Equipment & Products – (continued) | ||||||||||
195,600 | MEMC Electronic Materials, Inc.* | $ | 10,087,092 | |||||||
1,772,100 | Micron Technology, Inc.* | 21,017,106 | ||||||||
630,400 | Novellus Systems, Inc.* | 20,298,880 | ||||||||
895,900 | Texas Instruments, Inc. | 27,737,064 | ||||||||
80,972,658 | ||||||||||
Software – 7.2% | ||||||||||
2,400 | BMC Software, Inc.* | 74,064 | ||||||||
336,100 | Intuit, Inc.* | 9,918,311 | ||||||||
91,200 | Mentor Graphics Corp.* | 1,540,368 | ||||||||
2,141,500 | Microsoft Corp. | 60,326,055 | ||||||||
1,377,900 | Symantec Corp.* | 23,562,090 | ||||||||
439,300 | Synopsys, Inc.* | 11,237,294 | ||||||||
106,658,182 | ||||||||||
Specialty Retail – 2.9% | ||||||||||
611,350 | American Eagle Outfitters, Inc.(a) | 18,982,418 | ||||||||
180,700 | AutoNation, Inc.* | 3,968,172 | ||||||||
501,100 | Office Depot, Inc.* | 16,716,696 | ||||||||
96,800 | The TJX Companies, Inc. | 2,662,000 | ||||||||
42,329,286 | ||||||||||
Textiles & Apparel – 0.1% | ||||||||||
59,300 | Jones Apparel Group, Inc. | 1,952,156 | ||||||||
Tobacco – 1.8% | ||||||||||
28,000 | Altria Group, Inc. | 2,359,840 | ||||||||
414,800 | UST, Inc.(a) | 24,083,288 | ||||||||
26,443,128 | ||||||||||
Trading Companies & Distributors – 0.2% | ||||||||||
29,900 | W.W. Grainger, Inc. | 2,306,785 | ||||||||
Wireless Telecommunication Services – 0.1% | ||||||||||
22,700 | Leap Wireless International, Inc.* | 1,533,839 | ||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,331,076,336) | $ | 1,411,492,118 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 3.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 55,200,000 | 5.335 | % | 03/01/07 | $ | 55,200,000 | ||||||||||
Maturity Value: $55,208,180 | ||||||||||||||||
(Cost $55,200,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,386,276,336) | $ | 1,466,692,118 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 7.9% | ||||||||||
117,234,938 | Boston Global Investment Trust – Enhanced Portfolio | $ | 117,234,938 | |||||||
(Cost $117,234,938) | ||||||||||
TOTAL INVESTMENTS – 107.3% | ||||||||||
(Cost $1,503,511,274) | $ | 1,583,927,056 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (7.3)% | (108,330,068 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,475,596,988 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
(b) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on page 51. |
Investment Abbreviation: | ||||||
REIT | — | Real Estate Investment Trust | ||||
ADDITIONAL INVESTMENT INFORMATION |
Number of | Settlement | Market | Unrealized | |||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||
S&P Mini 500 Index | 833 | March 2007 | $ | 58,680,685 | $ | (1,688,940 | ) | |||||||
Shares | Description | Value | ||||||||
Common Stocks – 97.4% | ||||||||||
Aerospace & Defense – 1.3% | ||||||||||
22,395 | Kaman Corp. | $ | 510,830 | |||||||
128,450 | Triumph Group, Inc. | 6,886,205 | ||||||||
176,350 | United Industrial Corp.(a) | 9,514,082 | ||||||||
16,911,117 | ||||||||||
Airlines – 0.0% | ||||||||||
46,100 | ExpressJet Holdings, Inc.* | 333,303 | ||||||||
Auto Components – 1.0% | ||||||||||
704,600 | ArvinMeritor, Inc. | 12,865,996 | ||||||||
Banks – 6.7% | ||||||||||
100 | 1st Source Corp. | 2,631 | ||||||||
47,400 | Ameris Bancorp | 1,160,826 | ||||||||
100 | BancFirst Corp. | 4,701 | ||||||||
100 | BancorpSouth, Inc. | 2,490 | ||||||||
956 | BancTrust Financial Group, Inc. | 21,214 | ||||||||
56,200 | Bank Mutual Corp. | 656,978 | ||||||||
100 | Bank of Granite Corp. | 1,797 | ||||||||
100 | BankFinancial Corp. | 1,746 | ||||||||
34,933 | BankUnited Financial Corp. | 853,064 | ||||||||
11,300 | Banner Corp. | 471,323 | ||||||||
100 | BOK Financial Corp. | 5,013 | ||||||||
6,200 | Camden National Corp. | 275,156 | ||||||||
100 | Capitol Bancorp Ltd. | 4,025 | ||||||||
247,906 | Cascade Bancorp(a) | 6,450,514 | ||||||||
37,800 | Central Pacific Financial Corp. | 1,424,682 | ||||||||
39,900 | Chittenden Corp. | 1,220,541 | ||||||||
100 | City Holding Co. | 3,934 | ||||||||
46,949 | City National Corp. | 3,388,779 | ||||||||
10,100 | CoBiz, Inc. | 206,848 | ||||||||
100 | Columbia Bancorp | 2,403 | ||||||||
139,200 | Downey Financial Corp.(a) | 9,123,168 | ||||||||
100 | Enterprise Financial Services Corp. | 2,882 | ||||||||
12,850 | First Citizens BancShares, Inc. | 2,692,332 | ||||||||
50,800 | First Indiana Corp. | 1,118,108 | ||||||||
100 | First Merchants Corp. | 2,463 | ||||||||
32,541 | First Regional Bancorp.* | 1,023,740 | ||||||||
5,830 | First South Bancorp, Inc.(a) | 161,841 | ||||||||
205,900 | Frontier Financial Corp. | 5,386,344 | ||||||||
39,800 | Greater Bay Bancorp | 1,066,640 | ||||||||
8,100 | Greene County Bancshares, Inc. | 275,886 | ||||||||
92,049 | Hancock Holding Co. | 4,102,624 | ||||||||
207,717 | Hanmi Financial Corp. | 4,056,713 | ||||||||
4,000 | Heritage Commerce Corp. | 101,040 | ||||||||
56,985 | Horizon Financial Corp. | 1,249,681 | ||||||||
20,675 | IBERIABANK Corp. | 1,117,070 | ||||||||
21,111 | Intervest Bancshares Corp.* | 593,008 | ||||||||
4,700 | Lakeland Financial Corp. | 108,852 | ||||||||
74,000 | Mid-State Bancshares | 2,726,160 | ||||||||
169,400 | Nara Bancorp, Inc. | 3,135,594 | ||||||||
41,500 | Partners Trust Financial Group, Inc. | 470,610 | ||||||||
128,410 | PFF Bancorp, Inc. | 4,060,324 | ||||||||
32,300 | Pinnacle Financial Partners, Inc.* | 1,000,977 | ||||||||
41,500 | Placer Sierra Bancshares | 1,123,820 | ||||||||
102,297 | Preferred Bank | 4,217,705 | ||||||||
163,700 | Provident Financial Services, Inc. | 2,874,572 | ||||||||
100 | Renasant Corp. | 2,430 | ||||||||
100 | Republic Bancorp, Inc. | 2,187 | ||||||||
2,622 | Shore Bancshares, Inc. | 68,591 | ||||||||
33,700 | Sierra Bancorp(a) | 967,527 | ||||||||
56,500 | Signature Bank* | 1,735,680 | ||||||||
100 | Simmons First National Corp. | 2,780 | ||||||||
2,400 | Smithtown Bancorp, Inc. | 66,192 | ||||||||
7,200 | Southwest Bancorp, Inc. | 183,312 | ||||||||
77,250 | Sterling Bancshares, Inc. | 893,010 | ||||||||
38,800 | Sterling Financial Corp. | 1,276,132 | ||||||||
76,200 | Susquehanna Bancshares, Inc. | 1,848,612 | ||||||||
18,500 | Tompkins Trustco, Inc. | 761,275 | ||||||||
23,280 | TriCo Bancshares | 567,566 | ||||||||
100 | U.S.B. Holding Co., Inc. | 2,270 | ||||||||
232,400 | Umpqua Holdings Corp. | 6,277,124 | ||||||||
100 | United Community Banks, Inc. | 3,267 | ||||||||
46,400 | United Community Financial Corp. | 500,656 | ||||||||
1,667 | United Security Bancshares(a) | 34,624 | ||||||||
100 | Vineyard National Bancorp Co. | 2,445 | ||||||||
100 | Virginia Financial Group, Inc. | 2,412 | ||||||||
100 | Washington Trust Bancorp, Inc. | 2,783 | ||||||||
100 | West Coast Bancorp | 3,035 | ||||||||
127,200 | Wilshire Bancorp, Inc. | 2,167,488 | ||||||||
85,322,217 | ||||||||||
Biotechnology – 1.9% | ||||||||||
116,300 | Applera Corp. - Celera Group* | 1,617,733 | ||||||||
100 | Array BioPharma, Inc.* | 1,173 | ||||||||
1,618,938 | Millennium Pharmaceuticals, Inc.* | 17,484,530 | ||||||||
15,500 | Pharmanet Development Group, Inc.* | 314,960 | ||||||||
22,900 | Rigel Pharmaceuticals, Inc.* | 239,763 | ||||||||
372,800 | Savient Pharmaceuticals, Inc.* | 5,047,712 | ||||||||
24,705,871 | ||||||||||
Building Products – 0.0% | ||||||||||
100 | American Woodmark Corp. | 3,974 | ||||||||
9,700 | PW Eagle, Inc.(a) | 322,234 | ||||||||
326,208 | ||||||||||
Chemicals – 2.4% | ||||||||||
82,628 | Innospec, Inc. | 4,281,783 | ||||||||
163,998 | NewMarket Corp. | 7,197,872 | ||||||||
344,700 | OM Group, Inc.* | 17,465,949 | ||||||||
26,275 | Penford Corp. | 543,630 | ||||||||
29,200 | Stepan Co. | 789,860 | ||||||||
30,279,094 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Commercial Services & Supplies – 7.6% | ||||||||||
7,100 | ABM Industries, Inc. | $ | 186,801 | |||||||
177,000 | Advance America Cash Advance Centers, Inc. | 2,412,510 | ||||||||
183,599 | Amrep Corp.*(a) | 16,595,514 | ||||||||
126,184 | Arbitron, Inc. | 5,654,305 | ||||||||
61,100 | Bowne & Co., Inc. | 948,883 | ||||||||
10,200 | Clark, Inc. | 175,236 | ||||||||
47,800 | Consolidated Graphics, Inc.* | 3,406,228 | ||||||||
216,200 | Convergys Corp.* | 5,560,664 | ||||||||
133,124 | CPI Corp. | 6,656,200 | ||||||||
301,100 | CSG Systems International, Inc.*(a) | 7,425,126 | ||||||||
74,800 | Dollar Financial Corp.* | 1,916,376 | ||||||||
477,400 | Emdeon Corp.* | 7,132,356 | ||||||||
138,500 | First Consulting Group, Inc.* | 1,673,080 | ||||||||
48,800 | ICT Group, Inc.* | 1,320,528 | ||||||||
100 | ITT Educational Services, Inc.* | 7,998 | ||||||||
84,390 | Lightbridge, Inc.* | 1,362,054 | ||||||||
119,300 | PHH Corp.* | 3,374,997 | ||||||||
79,300 | Pre-Paid Legal Services, Inc.*(a) | 3,281,434 | ||||||||
626,345 | Spherion Corp.* | 5,555,680 | ||||||||
21,890 | Standard Parking Corp.* | 744,041 | ||||||||
267,100 | TeleTech Holdings, Inc.* | 8,408,308 | ||||||||
352,504 | Volt Information Sciences, Inc.*(a) | 12,052,112 | ||||||||
7,876 | Waste Industries USA, Inc. | 199,814 | ||||||||
96,050,245 | ||||||||||
Communications Equipment – 5.5% | ||||||||||
88,027 | Anaren, Inc.* | 1,467,410 | ||||||||
1,509,175 | Brocade Communications Systems, Inc.* | 13,597,667 | ||||||||
146,800 | C-COR, Inc.* | 2,003,820 | ||||||||
264,100 | Carrier Access Corp.* | 1,307,295 | ||||||||
405,474 | InterDigital Communications Corp.* | 14,078,057 | ||||||||
558,300 | Polycom, Inc.* | 17,809,770 | ||||||||
90,898 | Symmetricom, Inc.* | 768,997 | ||||||||
1,987,335 | UTStarcom, Inc.*(a) | 18,362,976 | ||||||||
69,395,992 | ||||||||||
Construction & Engineering – 1.2% | ||||||||||
37,200 | Comfort Systems USA, Inc. | 506,292 | ||||||||
245,298 | EMCOR Group, Inc.* | 14,732,598 | ||||||||
24,900 | Infrasource Services, Inc.* | 610,548 | ||||||||
15,849,438 | ||||||||||
Containers & Packaging – 0.9% | ||||||||||
100 | AEP Industries, Inc.* | 4,532 | ||||||||
15,200 | Greif, Inc. | 1,784,936 | ||||||||
280,400 | Rock-Tenn Co. | 9,104,588 | ||||||||
10,894,056 | ||||||||||
Diversified Financials – 1.8% | ||||||||||
100 | Advanta Corp. Class B | 4,177 | ||||||||
2,600 | Capital Southwest Corp. | 358,124 | ||||||||
146,300 | Cash America International, Inc. | 5,941,243 | ||||||||
32,452 | Credit Acceptance Corp.* | 794,749 | ||||||||
392,696 | EZCORP., Inc.*(a) | 5,831,536 | ||||||||
142,000 | First Cash Financial Services, Inc.* | 3,192,160 | ||||||||
100 | GB&T Bancshares, Inc. | 1,923 | ||||||||
100 | Heartland Financial USA, Inc. | 2,591 | ||||||||
4,900 | Knight Capital Group, Inc.* | 77,469 | ||||||||
13,600 | Piper Jaffray Cos., Inc.* | 885,496 | ||||||||
22,600 | Rewards Network, Inc.* | 121,136 | ||||||||
43,614 | SWS Group, Inc. | 1,149,665 | ||||||||
8,600 | The First Marblehead Corp. | 388,204 | ||||||||
114,370 | World Acceptance Corp.* | 4,689,170 | ||||||||
23,437,643 | ||||||||||
Diversified Telecommunication Services – 0.3% | ||||||||||
100 | Atlantic Tele-Network, Inc. | 2,820 | ||||||||
100,741 | CT Communications, Inc. | 2,374,465 | ||||||||
165,300 | Ditech Networks, Inc.* | 1,281,075 | ||||||||
100 | General Communication, Inc.* | 1,483 | ||||||||
3,659,843 | ||||||||||
Electric Utilities – 1.0% | ||||||||||
100 | Alliant Energy Corp. | 4,182 | ||||||||
46,700 | IDACORP, Inc. | 1,627,028 | ||||||||
16,100 | NGP Capital Resources Co. | 248,584 | ||||||||
27,700 | Northeast Utilities | 804,962 | ||||||||
100 | NorthWestern Corp. | 3,606 | ||||||||
39,700 | OGE Energy Corp. | 1,532,817 | ||||||||
427,417 | Reliant Energy, Inc.* | 7,227,621 | ||||||||
20,946 | UIL Holdings Corp. | 763,063 | ||||||||
12,211,863 | ||||||||||
Electrical Equipment – 3.3% | ||||||||||
21,000 | Acuity Brands, Inc. | 1,163,400 | ||||||||
426,068 | Belden CDT, Inc. | 19,756,773 | ||||||||
100 | Energizer Holdings, Inc.* | 8,592 | ||||||||
297,800 | General Cable Corp.* | 14,875,110 | ||||||||
100 | II-VI, Inc.* | 3,092 | ||||||||
157,156 | Superior Essex, Inc.* | 4,999,133 | ||||||||
31,800 | Woodward Governor Co. | 1,324,788 | ||||||||
42,130,888 | ||||||||||
Electronic Equipment & Instruments – 1.3% | ||||||||||
78,900 | Coherent, Inc.*(a) | 2,371,734 | ||||||||
287,150 | Exar Corp.* | 3,862,168 | ||||||||
100 | Greatbatch, Inc.* | 2,596 | ||||||||
52,000 | Ingram Micro, Inc.* | 1,010,360 | ||||||||
181,300 | Intevac, Inc.* | 4,944,051 | ||||||||
100 | Mettler-Toledo International, Inc.* | 8,636 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Electronic Equipment & Instruments – (continued) | ||||||||||
20,800 | Tech Data Corp.* | $ | 775,424 | |||||||
65,100 | Waters Corp.* | 3,532,326 | ||||||||
16,507,295 | ||||||||||
Energy Equipment & Services – 1.8% | ||||||||||
19,700 | Dawson Geophysical Co.* | 829,567 | ||||||||
113,600 | Input/Output, Inc.*(a) | 1,541,552 | ||||||||
21,200 | Matrix Service Co.*(a) | 380,116 | ||||||||
98,072 | SEACOR Holdings, Inc.* | 9,493,395 | ||||||||
61,900 | T-3 Energy Services, Inc.* | 1,313,518 | ||||||||
160,500 | Trico Marine Services, Inc.* | 5,848,620 | ||||||||
52,050 | Universal Compression Holdings, Inc.* | 3,484,747 | ||||||||
22,891,515 | ||||||||||
Food & Drug Retailing – 1.8% | ||||||||||
93,022 | Ingles Markets, Inc. | 3,551,580 | ||||||||
76,381 | Longs Drug Stores Corp. | 3,518,109 | ||||||||
35,900 | Nash Finch Co. | 1,079,154 | ||||||||
143,709 | Performance Food Group Co.* | 4,235,104 | ||||||||
100 | Smart & Final, Inc.* | 2,145 | ||||||||
95,141 | Spartan Stores, Inc. | 2,244,376 | ||||||||
456,000 | Terra Industries, Inc.*(a) | 7,957,200 | ||||||||
100 | Village Super Market, Inc. | 7,786 | ||||||||
22,595,454 | ||||||||||
Food Products – 1.6% | ||||||||||
157,137 | Imperial Sugar Co.(a) | 4,850,819 | ||||||||
161,371 | MGP Ingredients, Inc.(a) | 3,201,601 | ||||||||
86,000 | Pilgrim’s Pride Corp. | 2,635,040 | ||||||||
100 | Seaboard Corp. | 215,000 | ||||||||
53,600 | Sensient Technologies Corp. | 1,312,664 | ||||||||
141,525 | USANA Health Sciences, Inc.*(a) | 8,218,357 | ||||||||
20,433,481 | ||||||||||
Gas Utilities – 0.1% | ||||||||||
100 | Atmos Energy Corp. | 3,152 | ||||||||
22,400 | ONEOK, Inc. | 933,184 | ||||||||
936,336 | ||||||||||
Health Care Equipment & Supplies – 4.9% | ||||||||||
73,000 | Bio-Rad Laboratories, Inc.* | 5,177,160 | ||||||||
25,900 | CONMED Corp.* | 708,624 | ||||||||
625,775 | Immucor, Inc.* | 18,610,548 | ||||||||
100 | Kensey Nash Corp.* | 2,866 | ||||||||
150 | Medical Action Industries, Inc.* | 3,333 | ||||||||
15,700 | Molecular Devices Corp.* | 554,053 | ||||||||
372,000 | Noven Pharmaceuticals, Inc.* | 9,158,640 | ||||||||
81,187 | Palomar Medical Technologies, Inc.*(a) | 3,318,925 | ||||||||
131,600 | Viasys Healthcare, Inc.* | 4,070,388 | ||||||||
192,900 | West Pharmaceutical Services, Inc. | 8,730,654 | ||||||||
440,600 | Zoll Medical Corp.* | 12,253,086 | ||||||||
62,588,277 | ||||||||||
Health Care Providers & Services – 3.9% | ||||||||||
439,820 | AMERIGROUP Corp.* | 14,549,245 | ||||||||
93,800 | Apria Healthcare Group, Inc.* | 2,987,530 | ||||||||
332,533 | CorVel Corp.* | 10,015,894 | ||||||||
27,900 | Genesis HealthCare Corp.* | 1,759,095 | ||||||||
52,200 | MedCath Corp.* | 1,514,844 | ||||||||
300,349 | Molina Healthcare, Inc.* | 9,358,875 | ||||||||
100 | Service Corp. International | 1,173 | ||||||||
117,900 | Stewart Enterprises, Inc. | 932,589 | ||||||||
108,100 | WellCare Health Plans, Inc.* | 8,876,091 | ||||||||
49,995,336 | ||||||||||
Hotels, Restaurants & Leisure – 3.0% | ||||||||||
99,200 | Bob Evans Farms, Inc. | 3,587,072 | ||||||||
6,300 | Buffalo Wild Wings, Inc.* | 346,500 | ||||||||
105,467 | CEC Entertainment, Inc.* | 4,497,113 | ||||||||
17,500 | Choice Hotels International, Inc. | 656,075 | ||||||||
295,017 | Jack in the Box, Inc.*(a) | 20,161,462 | ||||||||
8,800 | Krispy Kreme Doughnuts, Inc.*(a) | 89,496 | ||||||||
77,900 | Landry’s Restaurants, Inc. | 2,291,818 | ||||||||
64,300 | Live Nation, Inc.* | 1,487,902 | ||||||||
178,800 | O’Charley’s, Inc.* | 3,749,436 | ||||||||
4,204 | The Marcus Corp. | 92,572 | ||||||||
28,900 | Trump Entertainment Resorts, Inc.*(a) | 508,351 | ||||||||
4,800 | WMS Industries, Inc.* | 179,664 | ||||||||
37,647,461 | ||||||||||
Household Durables – 2.8% | ||||||||||
433,200 | American Greetings Corp.(a) | 10,145,544 | ||||||||
50,100 | Blyth, Inc. | 1,027,050 | ||||||||
15,000 | DTS, Inc.* | 362,850 | ||||||||
100 | Interface, Inc. | 1,582 | ||||||||
297,667 | Kimball International, Inc. Class B | 6,259,937 | ||||||||
738,300 | Tempur-Pedic International, Inc.(a) | 18,376,287 | ||||||||
36,173,250 | ||||||||||
Industrial Conglomerates – 0.2% | ||||||||||
129,500 | Tredegar Corp. | 2,889,145 | ||||||||
Insurance – 2.9% | ||||||||||
7,000 | Affirmative Insurance Holdings, Inc. | 113,050 | ||||||||
2,250 | Alleghany Corp.* | 878,895 | ||||||||
8,300 | American Physicians Capital, Inc.* | 307,764 | ||||||||
3,900 | Baldwin & Lyons, Inc. | 96,213 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Insurance – (continued) | ||||||||||
100 | Darwin Professional Underwriters, Inc.* | $ | 2,401 | |||||||
24,381 | FBL Financial Group, Inc. | 949,152 | ||||||||
100 | James River Group, Inc. | 2,826 | ||||||||
91,400 | LandAmerica Financial Group, Inc.(a) | 6,358,698 | ||||||||
21,359 | Meadowbrook Insurance Group, Inc.* | 224,910 | ||||||||
100 | National Interstate Corp. | 2,621 | ||||||||
4,900 | NYMAGIC, Inc. | 192,913 | ||||||||
237,200 | Odyssey Re Holdings Corp. | 9,241,312 | ||||||||
53,052 | Reinsurance Group of America, Inc. | 3,028,208 | ||||||||
20,498 | Seabright Insurance Holdings* | 385,158 | ||||||||
160,452 | Stewart Information Services Corp. | 6,514,351 | ||||||||
143,400 | The PMI Group, Inc. | 6,721,158 | ||||||||
57,100 | Tower Group, Inc. | 1,951,678 | ||||||||
100 | Wesco Financial Corp. | 47,445 | ||||||||
37,018,753 | ||||||||||
Internet & Catalog Retail – 0.5% | ||||||||||
220,200 | Systemax, Inc.*(a) | 5,846,310 | ||||||||
Internet Software & Services – 3.2% | ||||||||||
17,900 | Altiris, Inc.* | 582,466 | ||||||||
194,600 | Digital River, Inc.* | 10,778,894 | ||||||||
98,600 | InfoSpace, Inc.* | 2,248,080 | ||||||||
560,237 | Interwoven, Inc.* | 8,526,807 | ||||||||
1,054,366 | RealNetworks, Inc.* | 8,603,627 | ||||||||
551,900 | S1 Corp.* | 2,858,842 | ||||||||
230,904 | SonicWALL, Inc.* | 2,013,483 | ||||||||
29,000 | Travelzoo, Inc.* | 974,690 | ||||||||
284,700 | United Online, Inc. | 3,743,805 | ||||||||
27,800 | Vignette Corp.* | 495,952 | ||||||||
40,826,646 | ||||||||||
IT Consulting & Services – 0.4% | ||||||||||
121,700 | Agilysys, Inc. | 2,555,700 | ||||||||
52,000 | Covansys Corp.* | 1,282,320 | ||||||||
34,000 | SYNNEX Corp.* | 642,600 | ||||||||
100 | Tyler Technologies, Inc.* | 1,363 | ||||||||
4,481,983 | ||||||||||
Leisure Equipment & Products – 1.5% | ||||||||||
100 | Hasbro, Inc. | 2,829 | ||||||||
675,600 | Marvel Entertainment, Inc.*(a) | 18,774,924 | ||||||||
18,777,753 | ||||||||||
Machinery – 1.8% | ||||||||||
188,700 | AGCO Corp.* | 6,840,375 | ||||||||
10,000 | Ampco-Pittsburgh Corp. | 253,500 | ||||||||
39,300 | EnPro Industries, Inc.* | 1,493,007 | ||||||||
58,800 | NACCO Industries, Inc. | 7,551,684 | ||||||||
45,700 | Robbins & Myers, Inc. | 1,790,069 | ||||||||
77,100 | SPX Corp. | 5,389,290 | ||||||||
23,317,925 | ||||||||||
Marine – 0.0% | ||||||||||
100 | Horizon Lines, Inc. | 2,899 | ||||||||
Media – 0.6% | ||||||||||
22,600 | Catalina Marketing Corp. | 707,380 | ||||||||
39,800 | LodgeNet Entertainment Corp.* | 1,017,288 | ||||||||
166,200 | Scholastic Corp.* | 5,782,098 | ||||||||
7,506,766 | ||||||||||
Metals & Mining – 0.6% | ||||||||||
463,900 | USEC, Inc.* | 6,578,102 | ||||||||
27,500 | Wheeling-Pittsburgh Corp.*(a) | 680,625 | ||||||||
7,258,727 | ||||||||||
Multi-Utilities – 0.6% | ||||||||||
259,623 | Avista Corp. | 6,075,178 | ||||||||
36,500 | Westar Energy, Inc. | 980,755 | ||||||||
7,055,933 | ||||||||||
Multiline Retail – 0.9% | ||||||||||
290,700 | Big Lots, Inc.*(a) | 7,276,221 | ||||||||
113,045 | Dillard’s, Inc. | 3,775,703 | ||||||||
11,051,924 | ||||||||||
Office Electronics – 1.0% | ||||||||||
908,681 | IKON Office Solutions, Inc. | 12,703,360 | ||||||||
Oil & Gas – 2.5% | ||||||||||
18,100 | Cabot Oil & Gas Corp. | 1,222,836 | ||||||||
257,401 | Holly Corp. | 14,278,033 | ||||||||
100 | Plains Exploration & Production Co.* | 4,563 | ||||||||
43,800 | Pogo Producing Co. | 2,093,202 | ||||||||
324,863 | Swift Energy Co.* | 12,617,679 | ||||||||
100 | Tesoro Corp. | 9,114 | ||||||||
19,200 | The Houston Exploration Co.* | 1,006,464 | ||||||||
31,231,891 | ||||||||||
Paper & Forest Products – 0.1% | ||||||||||
91,400 | Buckeye Technologies, Inc.* | 1,162,608 | ||||||||
Personal Products – 1.5% | ||||||||||
100 | Alberto-Culver Co. | 2,215 | ||||||||
404,058 | NBTY, Inc.* | 19,669,544 | ||||||||
19,671,759 | ||||||||||
Pharmaceuticals – 1.0% | ||||||||||
179,200 | Bradley Pharmaceuticals, Inc.*(a) | 3,472,896 | ||||||||
54,874 | Caraco Pharmaceutical Laboratories Ltd.* | 595,931 | ||||||||
187,221 | Pain Therapeutics, Inc.*(a) | 1,477,174 | ||||||||
66,600 | POZEN, Inc.*(a) | 1,047,618 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Pharmaceuticals – (continued) | ||||||||||
26,900 | Sciele Pharma, Inc.* | $ | 618,700 | |||||||
187,200 | The Medicines Co.* | 5,048,784 | ||||||||
12,261,103 | ||||||||||
Real Estate – 8.2% | ||||||||||
100 | Agree Realty Corp. | 3,384 | ||||||||
527,277 | American Home Mortgage Investment Corp.(a) | 14,421,026 | ||||||||
593,294 | Anthracite Capital, Inc. | 7,422,108 | ||||||||
100 | Arbor Realty Trust, Inc. | 3,079 | ||||||||
171,400 | Cousins Properties, Inc. | 5,885,876 | ||||||||
268,900 | Crystal River Capital, Inc.(a) | 6,854,261 | ||||||||
147,400 | Entertainment Properties Trust | 9,654,700 | ||||||||
17,400 | Gramercy Capital Corp. | 559,584 | ||||||||
693,300 | HRPT Properties Trust | 8,957,436 | ||||||||
51,300 | iStar Financial, Inc. | 2,454,705 | ||||||||
316,026 | Jer Investors Trust, Inc. | 6,010,814 | ||||||||
121,474 | Jones Lang LaSalle, Inc. | 12,858,023 | ||||||||
100 | Kite Realty Group Trust | 2,026 | ||||||||
168,291 | Medical Properties Trust, Inc.(a) | 2,584,950 | ||||||||
120,450 | National Health Investors, Inc. | 3,661,680 | ||||||||
247,300 | NorthStar Realty Finance Corp. | 3,751,541 | ||||||||
14,925 | PS Business Parks, Inc. | 1,074,600 | ||||||||
170,100 | Redwood Trust, Inc. | 9,185,400 | ||||||||
100 | Resource Capital Corp. | 1,661 | ||||||||
100 | Saul Centers, Inc. | 5,730 | ||||||||
323,350 | Senior Housing Properties Trust | 7,740,999 | ||||||||
48,539 | Winston Hotels, Inc. | 681,488 | ||||||||
103,775,071 | ||||||||||
Road & Rail – 1.0% | ||||||||||
158,500 | Dollar Thrifty Automotive Group, Inc.* | 8,230,905 | ||||||||
17,466 | P.A.M. Transportation Services, Inc.* | 399,971 | ||||||||
105,650 | Saia, Inc.* | 2,877,906 | ||||||||
75,064 | U.S. Xpress Enterprises, Inc.* | 1,447,985 | ||||||||
12,956,767 | ||||||||||
Semiconductor Equipment & Products – 2.8% | ||||||||||
100 | Actel Corp.* | 1,674 | ||||||||
3,226,246 | Atmel Corp.* | 17,873,403 | ||||||||
647,228 | Cirrus Logic, Inc.* | 5,611,467 | ||||||||
179,800 | Lattice Semiconductor Corp.* | 1,107,568 | ||||||||
488,552 | MPS Group, Inc.* | 6,996,064 | ||||||||
28,100 | Novellus Systems, Inc.* | 904,820 | ||||||||
79,700 | Silicon Image, Inc.* | 702,157 | ||||||||
321,900 | Skyworks Solutions, Inc.* | 2,124,540 | ||||||||
84,900 | Virage Logic Corp.* | 694,482 | ||||||||
36,016,175 | ||||||||||
Software – 4.4% | ||||||||||
100 | Actuate Corp.* | 530 | ||||||||
105,203 | Ansoft Corp.* | 3,260,241 | ||||||||
159,800 | Blackbaud, Inc. | 3,656,224 | ||||||||
646,842 | Captaris, Inc.* | 4,016,889 | ||||||||
133,449 | Gerber Scientific, Inc.* | 1,406,553 | ||||||||
100 | Manhattan Associates, Inc.* | 2,782 | ||||||||
1,017,077 | Mentor Graphics Corp.* | 17,178,431 | ||||||||
107,500 | MicroStrategy, Inc.*(a) | 13,552,525 | ||||||||
21,980 | NetScout Systems, Inc.* | 189,687 | ||||||||
10,100 | OPNET Technologies, Inc.* | 143,016 | ||||||||
12,200 | Pegasystems, Inc. | 107,848 | ||||||||
38,300 | Sybase, Inc.* | 957,117 | ||||||||
404,581 | Synopsys, Inc.* | 10,349,182 | ||||||||
22,288 | The Ultimate Software Group, Inc.* | 593,752 | ||||||||
55,414,777 | ||||||||||
Specialty Retail – 3.4% | ||||||||||
454,689 | Asbury Automotive Group, Inc. | 12,144,743 | ||||||||
100 | AutoNation, Inc.* | 2,196 | ||||||||
107,600 | Charlotte Russe Holdings, Inc.* | 3,140,844 | ||||||||
100 | Dick’s Sporting Goods, Inc.* | 5,234 | ||||||||
21,800 | Group 1 Automotive, Inc. | 1,008,686 | ||||||||
208,054 | Gymboree Corp.* | 7,841,556 | ||||||||
100 | Haverty Furniture Cos., Inc. | 1,461 | ||||||||
194,100 | Jo-Ann Stores, Inc.*(a) | 4,373,073 | ||||||||
15,200 | OfficeMax, Inc. | 788,880 | ||||||||
82,900 | Payless ShoeSource, Inc.* | 2,561,610 | ||||||||
20,100 | Rush Enterprises, Inc.* | 373,257 | ||||||||
215,700 | Sonic Automotive, Inc. | 6,341,580 | ||||||||
202,000 | United Auto Group, Inc. | 4,435,920 | ||||||||
43,019,040 | ||||||||||
Textiles & Apparel – 2.1% | ||||||||||
93,800 | Brown Shoe Co., Inc. | 4,811,940 | ||||||||
59,600 | Deckers Outdoor Corp.* | 3,885,920 | ||||||||
264,500 | Jones Apparel Group, Inc. | 8,707,340 | ||||||||
80,200 | Kellwood Co. | 2,528,706 | ||||||||
44,500 | Maidenform Brands, Inc.* | 814,795 | ||||||||
144,975 | Perry Ellis International, Inc.* | 4,428,986 | ||||||||
52,200 | Skechers U.S.A., Inc.* | 1,822,824 | ||||||||
27,000,511 | ||||||||||
Tobacco – 0.0% | ||||||||||
15,300 | Alliance One International, Inc.* | 128,673 | ||||||||
100 | Universal Corp. | 5,267 | ||||||||
133,940 | ||||||||||
Wireless Telecommunication Services – 0.1% | ||||||||||
100 | EMS Technologies, Inc.* | 2,003 | ||||||||
85,200 | USA Mobility, Inc.* | 1,651,176 | ||||||||
1,653,179 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $1,132,917,690) | $ | 1,237,177,124 | ||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Repurchase Agreement(b) – 1.7% | ||||||||||||||||
Joint Repurchase Agreement Account II | ||||||||||||||||
$ | 21,700,000 | 5.335 | % | 03/01/07 | $ | 21,700,000 | ||||||||||
Maturity Value: $21,703,216 | ||||||||||||||||
(Cost $21,700,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $1,154,617,690) | $ | 1,258,877,124 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 13.8% | ||||||||||
175,613,825 | Boston Global Investment Trust – Enhanced Portfolio | |||||||||
(Cost $175,613,825) | $ | 175,613,825 | ||||||||
TOTAL INVESTMENTS – 112.9% | ||||||||||
(Cost $1,330,231,515) | $ | 1,434,490,949 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (12.9)% | (163,551,447 | ) | ||||||||
NET ASSETS – 100.0% | $ | 1,270,939,502 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
(b) | Joint repurchase agreement was entered into on February 28, 2007. Additional information appears on page 51. |
ADDITIONAL INVESTMENT INFORMATION |
Number of | Settlement | Market | Unrealized | |||||||||||||
Type | Contracts Long | Month | Value | Loss | ||||||||||||
Russell E Mini 2000 Index | 324 | March 2007 | $ | 25,748,280 | $ | (710,842 | ) | |||||||||
Shares | Description | Value | ||||||||
Common Stocks – 95.6% | ||||||||||
Australia – 1.2% | ||||||||||
59,438 | Amcor Ltd. (Containers & Packaging) | $ | 341,293 | |||||||
5,652 | Ansell Ltd. (Healthcare Equipment & Supplies) | 51,991 | ||||||||
76,198 | APN News & Media Ltd. (Media) | 356,995 | ||||||||
1,948 | Australia and New Zealand Banking Group Ltd. (Banks) | 45,050 | ||||||||
178,889 | BHP Billiton Ltd. (Metals & Mining) | 3,823,881 | ||||||||
16,480 | BlueScope Steel Ltd. (Metals & Mining) | 121,451 | ||||||||
120,495 | Caltex Australia Ltd. (Oil & Gas) | 2,112,045 | ||||||||
71,750 | Centro Properties Group (Real Estate) | 586,800 | ||||||||
351,564 | Coles Group Ltd. (Food & Drug Retailing) | 4,252,218 | ||||||||
281,897 | Commonwealth Property Office Fund (Real Estate) | 306,379 | ||||||||
28,138 | CSL Ltd. (Pharmaceuticals) | 1,729,846 | ||||||||
151,944 | Downer EDI Ltd. (Commercial Services & Supplies) | 878,618 | ||||||||
120,622 | Foster’s Group Ltd. (Beverages) | 600,798 | ||||||||
282,073 | GPT Group (Real Estate) | 1,121,976 | ||||||||
1,628,630 | Insurance Australia Group Ltd. (Insurance) | 7,709,746 | ||||||||
516,591 | Investa Property Group (Real Estate) | 963,598 | ||||||||
13,718 | Lend Lease Corp. Ltd. (Real Estate) | 195,144 | ||||||||
174,349 | National Australia Bank Ltd. (Banks) | 5,543,242 | ||||||||
44,008 | Orica Ltd. (Chemicals) | 860,130 | ||||||||
146,077 | Pacific Brands Ltd. (Commercial Services & Supplies) | 337,599 | ||||||||
167,973 | QBE Insurance Group Ltd. (Insurance) | 4,255,520 | ||||||||
257,735 | Stockland (Real Estate) | 1,759,598 | ||||||||
671,749 | Telstra Corp. Ltd. (Diversified Telecommunication Services) | 2,254,694 | ||||||||
55,829 | Toll Holdings Ltd. (Air Freight & Couriers) | 855,402 | ||||||||
22,589 | Wesfarmers Ltd. (Industrial Conglomerates) | 649,051 | ||||||||
207,489 | Zinifex Ltd. (Metals & Mining) | 2,734,212 | ||||||||
44,447,277 | ||||||||||
Austria – 1.4% | ||||||||||
4,560 | Flughafen Wien AG (Transportation Infrastructure) | 422,423 | ||||||||
2,086 | Mayr-Melnhof Karton AG (Containers & Packaging) | 403,948 | ||||||||
24,815 | Oesterreichische Elektrizitaetswirtschafts AG (Verbund)(a) (Electric Utilities) | 1,043,081 | ||||||||
79,935 | Telekom Austria AG (Diversified Telecommunication Services) | 1,996,742 | ||||||||
732,529 | Voestalpine AG (Metals & Mining) | 45,229,685 | ||||||||
49,095,879 | ||||||||||
Belgium – 3.4% | ||||||||||
51,811 | Bekaert NV (Electrical Equipment) | 6,210,150 | ||||||||
2,604 | Cofinimmo (Real Estate) | 518,698 | ||||||||
17,676 | Colruyt SA (Food & Drug Retailing) | 3,849,786 | ||||||||
8,810 | Compagnie Maritime Belge SA (Marine) | 469,441 | ||||||||
211,677 | Delhaize Group (Food & Drug Retailing) | 17,610,920 | ||||||||
123,883 | Dexia (Banks) | 3,648,871 | ||||||||
1,353,832 | Fortis (Diversified Financials) | 58,168,877 | ||||||||
68,073 | InBev NV (Beverages) | 4,507,932 | ||||||||
30,140 | KBC GROEP NV (Banks) | 3,661,961 | ||||||||
21,015 | Mobistar SA (Diversified Telecommunication Services) | 1,774,045 | ||||||||
35,292 | Omega Pharma SA (Healthcare Equipment & Supplies) | 2,723,920 | ||||||||
1,711 | S.A. D’Ieteren NV (Distributors) | 639,466 | ||||||||
72,880 | Solvay SA (Chemicals) | 10,359,144 | ||||||||
102,490 | UCB SA(a) (Pharmaceuticals) | 6,618,000 | ||||||||
120,761,211 | ||||||||||
Denmark – 1.8% | ||||||||||
141,600 | Carlsberg A/S Class B(a) (Beverages) | 14,603,354 | ||||||||
812,000 | Danske Bank A/S (Banks) | 37,470,352 | ||||||||
16,500 | East Asiatic Co. Ltd. A/S (Food Products) | 725,327 | ||||||||
121,200 | Novo-Nordisk A/S Class B (Pharmaceuticals) | 10,406,129 | ||||||||
63,205,162 | ||||||||||
France – 11.3% | ||||||||||
647,103 | Air France-KLM(a) (Airlines) | 28,048,106 | ||||||||
43,066 | Alstom* (Construction & Engineering) | 5,191,607 | ||||||||
532,572 | BNP Paribas(a) (Banks) | 55,534,955 | ||||||||
58,567 | Business Objects SA* (Software) | 2,119,469 | ||||||||
850,020 | Cap Gemini SA(a) (IT Consulting & Services) | 59,359,998 | ||||||||
104,735 | Compagnie Generale des Etablissements Michelin Class B (Auto Components) | 10,879,925 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
France – (continued) | ||||||||||
3,852 | Gecina SA (Real Estate) | $ | 707,777 | |||||||
370,375 | Publicis Groupe(a) (Media) | 16,586,835 | ||||||||
146,267 | Schneider Electric SA(a) (Electrical Equipment) | 17,727,701 | ||||||||
43,787 | Societe BIC SA(a) (Commercial Services & Supplies) | 2,991,068 | ||||||||
10,798 | Societe Generale Series A(a) (Banks) | 1,815,919 | ||||||||
376,147 | Sodexho Alliance SA(a) (Hotels, Restaurants & Leisure) | 25,952,067 | ||||||||
976,903 | Total SA(a) (Oil & Gas) | 65,796,997 | ||||||||
2,806,446 | Vivendi SA(a) (Media) | 110,728,407 | ||||||||
403,440,831 | ||||||||||
Germany – 12.6% | ||||||||||
264,337 | BASF AG (Chemicals) | 26,885,964 | ||||||||
92,211 | Beiersdorf AG (Personal Products) | 5,982,286 | ||||||||
58,350 | Celesio AG (Healthcare Providers & Services) | 3,311,745 | ||||||||
668,703 | Deutsche Bank AG (Banks) | 87,738,474 | ||||||||
2,272,973 | Deutsche Lufthansa AG (Airlines) | 61,558,366 | ||||||||
289,589 | E.ON AG (Electric Utilities) | 37,961,612 | ||||||||
137,865 | Hochtief AG (Construction & Engineering) | 12,010,986 | ||||||||
1,969,071 | Infineon Technologies AG* (Semiconductor Equipment & Products) | 30,176,696 | ||||||||
520,231 | Muenchener Rueckversicherungs-Gesellschaft AG (Insurance) | 82,897,733 | ||||||||
299,160 | Siemens AG (Electrical Equipment) | 31,595,798 | ||||||||
510,367 | ThyssenKrupp AG (Metals & Mining) | 25,014,921 | ||||||||
361,123 | Volkswagen AG(a) (Automobiles) | 45,529,612 | ||||||||
450,664,193 | ||||||||||
Hong Kong – 5.6% | ||||||||||
371,000 | ASM Pacific Technology Ltd. (Semiconductor Equipment & Products) | 2,163,513 | ||||||||
4,052,000 | Boc Hong Kong Holdings Ltd. (Banks) | 9,806,068 | ||||||||
4,366,000 | Cathay Pacific Airways Ltd. (Airlines) | 10,918,483 | ||||||||
203,000 | Cheung Kong (Holdings) Ltd. (Real Estate) | 2,489,670 | ||||||||
1,993,500 | CLP Holdings Ltd. (Electric Utilities) | 14,676,052 | ||||||||
265,500 | Esprit Holdings Ltd. (Specialty Retail) | 2,766,718 | ||||||||
3,289,000 | Foxconn International Holdings Ltd.* (Wireless Telecommunication Services) | 8,668,871 | ||||||||
1,382,000 | Giordano International Ltd. (Specialty Retail) | 646,036 | ||||||||
299,100 | Hang Seng Bank Ltd. (Banks) | 4,073,185 | ||||||||
2,291,000 | Henderson Land Development Co. Ltd. (Real Estate) | 12,988,275 | ||||||||
1,517,500 | Hong Kong Electric Holdings Ltd. (Electric Utilities) | 7,634,914 | ||||||||
1,629,500 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 16,787,967 | ||||||||
66,000 | Hopewell Holdings Ltd. (Industrial Conglomerates) | 253,841 | ||||||||
1,913,000 | Hutchison Whampoa Ltd. (Industrial Conglomerates) | 18,155,925 | ||||||||
1,173,000 | Kerry Properties Ltd. (Real Estate) | 5,818,533 | ||||||||
67,500 | Kingboard Chemical Holdings Ltd. (Electronic Equipment & Instruments) | 282,837 | ||||||||
1,944,000 | Li & Fung Ltd. (Distributors) | 6,180,493 | ||||||||
3,331,000 | New World Development Co. Ltd. (Real Estate) | 7,329,261 | ||||||||
708,000 | Orient Overseas International Ltd. (Marine) | 5,779,580 | ||||||||
272,000 | Shangri-La Asia Ltd. (Hotels, Restaurants & Leisure) | 703,326 | ||||||||
1,026,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 12,172,515 | ||||||||
1,619,000 | Swire Pacific Ltd. (Diversified Financials) | 18,302,703 | ||||||||
453,000 | Television Broadcasts Ltd. (Media) | 2,951,153 | ||||||||
362,000 | Texwinca Holdings Ltd. (Textiles & Apparel) | 257,767 | ||||||||
773,600 | The Bank of East Asia Ltd. (Banks) | 4,443,668 | ||||||||
1,986,000 | The Link REIT (Real Estate) | 4,623,171 | ||||||||
2,393,000 | The Wharf (Holdings) Ltd. (Real Estate) | 8,479,166 | ||||||||
343,500 | Wing Hang Bank Ltd. (Banks) | 3,875,223 | ||||||||
1,914,000 | Yue Yuen Industrial (Holdings) Ltd. (Specialty Retail) | 6,579,417 | ||||||||
199,808,331 | ||||||||||
Italy – 1.9% | ||||||||||
668,246 | Autogrill S.p.A. (Hotels, Restaurants & Leisure) | 12,047,483 | ||||||||
110,018 | Banca Monte dei Paschi di Siena S.p.A (Banks) | 708,640 | ||||||||
54,137 | Banca Popolare di Milano Scarl (Banks) | 836,871 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Italy – (continued) | ||||||||||
240,162 | Benetton Group S.p.A. (Textiles & Apparel) | $ | 3,947,808 | |||||||
958,463 | Eni S.p.A. (Oil & Gas) | 29,355,203 | ||||||||
43,155 | Fiat S.p.A.*(a) (Automobiles) | 1,021,814 | ||||||||
545,129 | Finmeccanica S.p.A. (Aerospace & Defense) | 16,049,641 | ||||||||
88,369 | Italcementi S.p.A.(a) (Construction Materials) | 2,648,645 | ||||||||
772,968 | Telecom Italia S.p.A. (Diversified Telecommunication Services) | 2,336,769 | ||||||||
309,935 | Telecom Italia S.p.A. (Diversified Telecommunication Services) | 786,390 | ||||||||
69,739,264 | ||||||||||
Japan – 17.3% | ||||||||||
41,800 | Aderans Co. Ltd.(a) (Personal Products) | 1,082,070 | ||||||||
356,100 | Alps Electric Co. Ltd. (Electronic Equipment & Instruments) | 4,272,099 | ||||||||
902,000 | AMADA Co. Ltd. (Machinery) | 10,262,816 | ||||||||
181,600 | Aoyama Trading Co. Ltd. (Specialty Retail) | 5,751,480 | ||||||||
190,500 | Asahi Breweries Ltd. (Beverages) | 3,130,147 | ||||||||
834,000 | ASAHI KASEI Corp. (Chemicals) | 6,109,919 | ||||||||
69,400 | Autobacs Seven Co. Ltd. (Specialty Retail) | 2,767,348 | ||||||||
260,800 | Canon Marketing Japan, Inc.(a) (Office Electronics) | 5,671,849 | ||||||||
297,400 | Canon, Inc. (Office Electronics) | 16,108,381 | ||||||||
540,000 | Central Glass Co. Ltd. (Building Products) | 3,614,766 | ||||||||
101,100 | CSK HOLDINGS Corp.(a) (IT Consulting & Services) | 4,442,629 | ||||||||
584,000 | Dai Nippon Printing Co. Ltd. (Commercial Services & Supplies) | 8,834,930 | ||||||||
225,000 | DAIICHI SANKYO Co. Ltd. (Pharmaceuticals) | 7,263,559 | ||||||||
1,152,000 | Daiwa Securities Group, Inc. (Diversified Financials) | 14,661,503 | ||||||||
326,500 | Elpida Memory, Inc.*(a) (Computers & Peripherals) | 14,689,944 | ||||||||
6,000 | Fuji Soft, Inc. (Software) | 175,281 | ||||||||
527,600 | FUJIFILM Holdings Corp. (Leisure Equipment & Products) | 22,601,746 | ||||||||
511,000 | Fujikura Ltd. (Electrical Equipment) | 3,597,009 | ||||||||
1,034,000 | Gunze Ltd. (Textiles & Apparel) | 5,925,579 | ||||||||
1,110,000 | Hankyu Department Stores, Inc. (Multiline Retail) | 10,323,777 | ||||||||
56,000 | HINO MOTORS Ltd. (Machinery) | 311,636 | ||||||||
392,000 | Hitachi Ltd. (Electronic Equipment & Instruments) | 2,736,685 | ||||||||
155,400 | Hokkaido Electric Power Co., Inc. (Electric Utilities) | 4,259,501 | ||||||||
1,064,300 | Honda Motor Co. Ltd. (Automobiles) | 39,554,741 | ||||||||
224 | Japan Prime Realty Investment Corp. (Real Estate) | 926,068 | ||||||||
20 | Japan Real Estate Investment Corp. (Real Estate) | 246,584 | ||||||||
25 | Japan Retail Fund Investment Corp. (Real Estate) | 233,941 | ||||||||
1,467 | JAPAN TOBACCO, Inc. (Tobacco) | 6,709,035 | ||||||||
258,000 | Kamigumi Co. Ltd. (Marine) | 2,301,936 | ||||||||
225,000 | Kawasaki Kisen Kaisha Ltd.(a) (Marine) | 2,248,889 | ||||||||
10,600 | KOKUYO Co. Ltd. (Commercial Services & Supplies) | 142,716 | ||||||||
37,000 | KOMORI Corp. (Machinery) | 802,183 | ||||||||
137,500 | KONICA MINOLTA HOLDINGS, Inc.* (Leisure Equipment & Products) | 1,764,321 | ||||||||
117,500 | Kyocera Corp. (Electronic Equipment & Instruments) | 10,627,376 | ||||||||
345,400 | Leopalace21 Corp. (Real Estate) | 10,928,011 | ||||||||
608,000 | Matsushita Electric Industrial Co. Ltd. (Household Durables) | 12,213,964 | ||||||||
377,000 | Matsushita Electric Works Ltd. (Electrical Equipment) | 4,302,683 | ||||||||
2,300 | Millea Holdings, Inc. (Insurance) | 85,875 | ||||||||
1,077,000 | Mitsubishi Electric Corp. (Electrical Equipment) | 10,824,974 | ||||||||
828,000 | Mitsubishi Heavy Industries Ltd. (Machinery) | 4,703,618 | ||||||||
1,130 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 13,856,592 | ||||||||
1,278,000 | Mitsui Chemicals, Inc. (Chemicals) | 11,110,158 | ||||||||
122 | Nippon Building Fund, Inc. (Real Estate) | 1,782,226 | ||||||||
1,107,000 | Nippon Express Co. Ltd. (Road & Rail) | 7,086,710 | ||||||||
2,206,000 | Nippon Oil Corp. (Oil & Gas) | 16,111,499 | ||||||||
8,417,000 | Nippon Steel Corp. (Metals & Mining) | 57,510,694 | ||||||||
7,081 | Nippon Telephone & Telegraph Corp. (Diversified Telecommunication Services) | 37,510,896 | ||||||||
354,000 | Nippon Yusen Kabushiki Kaisha (Marine) | 2,800,361 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Japan – (continued) | ||||||||||
95,000 | NISSHINBO INDUSTRIES, Inc. (Textiles & Apparel) | $ | 1,251,413 | |||||||
298,800 | Nomura Holdings, Inc. (Diversified Financials) | 6,470,841 | ||||||||
20 | Nomura Real Estate Office Fund, Inc. (Real Estate) | 238,313 | ||||||||
44,200 | Nomura Research Institute Ltd. (IT Consulting & Services) | 6,725,508 | ||||||||
370,000 | NSK Ltd. (Machinery) | 3,235,347 | ||||||||
1,029 | NTT Data Corp. (IT Consulting & Services) | 5,213,414 | ||||||||
1,221,000 | Obayashi Corp. (Construction & Engineering) | 8,229,504 | ||||||||
51,970 | ORIX Corp. (Diversified Financials) | 14,316,541 | ||||||||
423,000 | Pioneer Corp.(a) (Household Durables) | 5,821,454 | ||||||||
2,462 | Resona Holdings, Inc.(a) (Banks) | 6,996,898 | ||||||||
722,000 | Ricoh Co. Ltd. (Office Electronics) | 16,024,272 | ||||||||
37,400 | Santen Pharmaceutical Co., Ltd. (Pharmaceuticals) | 1,021,391 | ||||||||
50 | Sapporo Hokuyo Holdings, Inc. (Banks) | 521,634 | ||||||||
359,000 | Seino Holdings Co. Ltd. (Road & Rail) | 3,615,970 | ||||||||
348,000 | Sekisui Chemical Co. Ltd. (Household Durables) | 2,880,178 | ||||||||
160,600 | Shimachu Co. Ltd. (Specialty Retail) | 4,825,815 | ||||||||
2,473,000 | Sompo Japan Insurance, Inc. (Insurance) | 33,250,910 | ||||||||
1,217 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 11,839,642 | ||||||||
43,000 | Sumitomo Realty & Development Co. Ltd. (Real Estate) | 1,715,993 | ||||||||
77,000 | Suzuken Co. Ltd. (Healthcare Providers & Services) | 2,760,299 | ||||||||
453,000 | Tanabe Seiyaku Co. Ltd. (Pharmaceuticals) | 6,132,063 | ||||||||
8,900 | TDK Corp. (Electronic Equipment & Instruments) | 741,085 | ||||||||
56,000 | The Bank of Fukuoka Ltd. (Banks) | 472,878 | ||||||||
404,000 | The Bank of Yokohama Ltd. (Banks) | 3,315,241 | ||||||||
376,000 | The NISHI-NIPPON CITY BANK Ltd. (Banks) | 1,809,288 | ||||||||
371,000 | The Sumitomo Trust & Banking Co. Ltd. (Diversified Financials) | 4,205,688 | ||||||||
537,700 | The Tokyo Electric Power Co., Inc. (Electric Utilities) | 18,775,867 | ||||||||
53,000 | Tokyo Broadcasting System, Inc. (Media) | 1,756,743 | ||||||||
672,000 | Toppan Printing Co. Ltd. (Commercial Services & Supplies) | 6,800,907 | ||||||||
1,453,000 | Toshiba Corp.(a) (Computers & Peripherals) | 9,210,188 | ||||||||
10,100 | Uni-Charm Corp. (Household Products) | 604,043 | ||||||||
81,000 | UNY Co. Ltd. (Multiline Retail) | 1,133,735 | ||||||||
20,630 | USS Co. Ltd. (Specialty Retail) | 1,301,735 | ||||||||
1,050 | West Japan Railway Co. (Road & Rail) | 4,974,611 | ||||||||
219,300 | Yamaha Corp. (Leisure Equipment & Products) | 5,005,298 | ||||||||
618,175,412 | ||||||||||
Netherlands – 7.6% | ||||||||||
2,553,184 | Aegon NV (Insurance) | 50,478,811 | ||||||||
220,697 | Akzo Nobel NV (Chemicals) | 13,586,159 | ||||||||
566,162 | ASML Holding NV* (Semiconductor Equipment & Products) | 13,914,233 | ||||||||
264,179 | Heineken NV (Beverages) | 13,012,151 | ||||||||
2,560,742 | Koninklijke (Royal) KPN NV (Diversified Telecommunication Services) | 39,512,602 | ||||||||
24,506 | Koninklijke DSM NV (Chemicals) | 1,060,737 | ||||||||
243,831 | Oce NV(a) (Office Electronics) | 4,055,388 | ||||||||
114,689 | Rodamco Europe NV (Real Estate) | 15,776,645 | ||||||||
634,118 | Royal Dutch Shell PLC Series B(a) (Oil & Gas) | 20,623,353 | ||||||||
365,234 | TNT NV (Air Freight & Couriers) | 15,696,449 | ||||||||
3,223,037 | Unilever NV (Food Products) | 83,403,983 | ||||||||
66,925 | Vedior NV (Commercial Services & Supplies) | 1,457,817 | ||||||||
272,578,328 | ||||||||||
Norway – 2.2% | ||||||||||
36,600 | Aker Kvaerner ASA (Construction & Engineering) | 4,228,791 | ||||||||
669,950 | Norsk Hydro ASA (Oil & Gas) | 20,645,252 | ||||||||
441,720 | Orkla ASA (Beverages) | 28,719,716 | ||||||||
42,500 | Petroleum Geo-Services ASA* (Oil & Gas) | 984,253 | ||||||||
244,700 | SeaDrill Ltd.* (Energy Equipment & Services) | 3,756,868 | ||||||||
57,700 | Statoil ASA(a) (Oil & Gas) | 1,472,117 | ||||||||
137,200 | Tandberg ASA (Electronic Equipment & Instruments) | 2,452,639 |
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
Norway – (continued) | ||||||||||
41,000 | Telenor ASA (Diversified Telecommunication Services) | $ | 758,696 | |||||||
522,500 | Yara International ASA (Chemicals) | 14,452,219 | ||||||||
77,470,551 | ||||||||||
Singapore – 1.3% | ||||||||||
1,496,500 | Allgreen Properties Ltd. (Real Estate) | 1,550,093 | ||||||||
529,575 | Ascendas Real Estate Investment Trust (Real Estate) | 835,274 | ||||||||
629,000 | Capitaland Ltd. (Real Estate) | 2,905,546 | ||||||||
83,950 | Creative Technology Ltd. (Computers & Peripherals) | 544,089 | ||||||||
359,112 | Cycle & Carriage Ltd. (Distributors) | 2,987,060 | ||||||||
238,000 | DBS Group Holdings Ltd. (Banks) | 3,353,782 | ||||||||
157,500 | Fraser and Neave Ltd. (Beverages) | 507,476 | ||||||||
1,000 | Haw Par Corp. Ltd. (Industrial Conglomerates) | 4,845 | ||||||||
422,000 | Keppel Corp. Ltd. (Diversified Financials) | 5,000,821 | ||||||||
295,000 | Oversea-Chinese Banking Corp. Ltd. (Banks) | 1,642,053 | ||||||||
27,880 | SembCorp Industries Ltd. (Construction & Engineering) | 80,693 | ||||||||
585,000 | Singapore Airlines Ltd. (Airlines) | 6,051,206 | ||||||||
334,000 | Singapore Exchange Ltd. (Diversified Financials) | 1,490,138 | ||||||||
2,004,780 | Singapore Telecommunications Ltd. (Diversified Telecommunication Services) | 4,173,023 | ||||||||
1,044,000 | ST Assembly Test Services Ltd.* (Semiconductor Equipment & Products) | 1,036,479 | ||||||||
1,199,000 | Suntec Real Estate Investment Trust (Real Estate) | 1,451,714 | ||||||||
732,000 | United Overseas Bank Ltd. (Banks) | 9,875,234 | ||||||||
124,000 | UOL Group Ltd. (Hotels, Restaurants & Leisure) | 410,361 | ||||||||
319,000 | Want Want Holdings Ltd. (Food Products) | 492,316 | ||||||||
1,491,000 | Wing Tai Holdings Ltd. (Real Estate) | 2,655,929 | ||||||||
47,048,132 | ||||||||||
Spain – 1.4% | ||||||||||
1,279,599 | Banco Popular Espanol SA (Banks) | 25,146,884 | ||||||||
577,147 | Banco Santander Central Hispano SA (Banks) | 10,685,380 | ||||||||
129,749 | Endesa SA (Electric Utilities) | 6,588,235 | ||||||||
58,662 | Gas Natural SDG SA (Gas Utilities) | 2,507,700 | ||||||||
405,179 | Iberia Lineas Aereas de Espana SA (Airlines) | 1,707,943 | ||||||||
47,934 | Union Fenosa SA (Electric Utilities) | 2,400,960 | ||||||||
49,037,102 | ||||||||||
Sweden – 3.8% | ||||||||||
16,700 | Billerud (Containers & Packaging) | 245,090 | ||||||||
931,400 | Electrolux AB Series B(a) (Household Durables) | 20,801,515 | ||||||||
1,551,800 | Nordea Bank AB (Banks) | 23,528,985 | ||||||||
262,200 | Securitas AB Series B (Commercial Services & Supplies) | 3,904,528 | ||||||||
724,000 | Swedish Match AB Co. (Tobacco) | 12,501,170 | ||||||||
2,515,000 | Telefonaktiebolaget LM Ericsson Series B (Diversified Telecommunication Services) | 8,962,557 | ||||||||
4,237,500 | TeliaSonera AB (Diversified Telecommunication Services) | 35,595,078 | ||||||||
34,950 | Volvo AB (Machinery) | 2,764,272 | ||||||||
369,500 | Volvo AB Series B (Machinery) | 28,395,268 | ||||||||
136,698,463 | ||||||||||
Switzerland – 13.7% | ||||||||||
416,734 | Adecco SA (Commercial Services & Supplies) | 27,680,748 | ||||||||
260,543 | Compagnie Financiere Richemont AG (Specialty Retail) | 14,332,648 | ||||||||
487,808 | Credit Suisse Group (Banks) | 33,705,757 | ||||||||
8,597 | Geberit AG (Building Products) | 14,161,335 | ||||||||
11,515 | Givaudan SA (Chemicals) | 10,214,591 | ||||||||
103,092 | Kudelski SA(a) (Electronic Equipment & Instruments) | 3,810,623 | ||||||||
178,726 | Nestle SA (Food Products) | 66,488,914 | ||||||||
466,161 | Novartis AG(a) (Pharmaceuticals) | 25,872,687 | ||||||||
624,217 | Roche Holding AG* (Pharmaceuticals) | 111,078,835 | ||||||||
60,912 | Swatch Group AG-Br (Textiles & Apparel) | 14,835,050 | ||||||||
63,534 | Swatch Group AG-Reg (Textiles & Apparel) | 3,119,337 | ||||||||
45,486 | Swisscom AG (Diversified Telecommunication Services) | 17,055,100 | ||||||||
756,130 | UBS AG(a) (Diversified Financials) | 44,648,782 | ||||||||
365,967 | Zurich Financial Services AG (Insurance) | 104,435,556 | ||||||||
491,439,963 | ||||||||||
Shares | Description | Value | ||||||||
Common Stocks – (continued) | ||||||||||
United Kingdom – 9.1% | ||||||||||
986,168 | 3i Group PLC (Diversified Financials) | $ | 21,550,694 | |||||||
333,603 | Anglo American PLC (Metals & Mining) | 15,745,237 | ||||||||
719,994 | AstraZeneca PLC (Pharmaceuticals) | 40,375,121 | ||||||||
103,121 | BHP Billiton PLC (Metals & Mining) | 2,065,796 | ||||||||
333,231 | BP PLC ADR (Oil & Gas) | 20,540,359 | ||||||||
1,308,108 | British Airways PLC* (Airlines) | 13,771,875 | ||||||||
358,189 | BT Group PLC (Diversified Telecommunication Services) | 2,076,293 | ||||||||
574,105 | Centrica PLC (Gas Utilities) | 4,204,560 | ||||||||
109,315 | Compass Group PLC (Hotels, Restaurants & Leisure) | 648,458 | ||||||||
193,977 | Cookson Group PLC (Electronic Equipment & Instruments) | 2,227,201 | ||||||||
53,004 | Corus Group PLC (Metals & Mining) | 624,054 | ||||||||
296,566 | Daily Mail and General Trust (Media) | 4,491,960 | ||||||||
1,945,098 | DSG International PLC (Specialty Retail) | 6,504,720 | ||||||||
146,230 | Enterprise Inns PLC (Specialty Retail) | 1,802,469 | ||||||||
73,256 | George Wimpey PLC (Household Durables) | 814,613 | ||||||||
681,101 | HBOS PLC (Banks) | 14,415,726 | ||||||||
26,778 | IMI PLC (Machinery) | 266,844 | ||||||||
31,300 | Inchcape PLC (Specialty Retail) | 319,817 | ||||||||
195,982 | Next PLC (Multiline Retail) | 7,837,712 | ||||||||
18,550 | Novo-Nordisk A/S (Pharmaceuticals) | 1,597,690 | ||||||||
176,173 | Rolls-Royce Group PLC* (Aerospace & Defense) | 1,693,370 | ||||||||
5,129,472 | Royal & Sun Alliance Insurance Group PLC (Insurance) | 15,425,694 | ||||||||
1,027,191 | Royal Bank of Scotland Group PLC (Banks) | 40,386,488 | ||||||||
117,017 | Royal Dutch Shell PLC ADR (Oil & Gas) | 7,611,956 | ||||||||
298,450 | Royal Dutch Shell PLC Series B (Oil & Gas) | 9,626,987 | ||||||||
89,910 | Scottish and Southern Energy PLC (Electric Utilities) | 2,531,562 | ||||||||
65,604 | Taylor Woodrow PLC (Household Durables) | 522,385 | ||||||||
750,078 | Tesco PLC (Food & Drug Retailing) | 6,349,845 | ||||||||
2,345 | The Berkeley Group Holdings PLC* (Real Estate) | 69,827 | ||||||||
65,541 | The Davis Service Group PLC (Industrial Conglomerates) | 663,629 | ||||||||
39,390 | Travis Perkins PLC (Specialty Retail) | 1,508,816 | ||||||||
1,682,190 | Unilever PLC (Personal Products) | 45,062,207 | ||||||||
1,123,949 | Vodafone Group PLC ADR (Wireless Telecommunication Services) | 31,358,177 | ||||||||
324,692,142 | ||||||||||
TOTAL COMMON STOCKS | ||||||||||
(Cost $2,951,422,684) | $ | 3,418,302,241 | ||||||||
Preferred Stock – 0.2% | ||||||||||
Germany – 0.2% | ||||||||||
Volkswagen AG (Automobiles) | ||||||||||
87,823 | Volkswagon AG (Automobiles) | $ | 7,738,246 | |||||||
(Cost $6,558,748) | ||||||||||
Principal | Interest | Maturity | ||||||||||||||
Amount | Rate | Date | Value | |||||||||||||
Short-Term Obligation – 3.6% | ||||||||||||||||
State Street Bank & Trust Euro – Time Deposit | ||||||||||||||||
$ | 130,191,000 | 4.85 | % | 03/01/07 | $ | 130,191,000 | ||||||||||
(Cost $130,191,000) | ||||||||||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING COLLATERAL | ||||||||||||||||
(Cost $3,088,172,432) | $ | 3,556,231,487 | ||||||||||||||
Shares | Description | Value | ||||||||
Securities Lending Collateral – 5.5% | ||||||||||
195,041,006 | Boston Global Investment Trust – Enhanced Portfolio | $ | 195,041,006 | |||||||
(Cost $195,041,006) | ||||||||||
TOTAL INVESTMENTS – 104.9% | ||||||||||
(Cost $3,283,213,438) | $ | 3,751,272,493 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.9)% | (173,700,758 | ) | ||||||||
NET ASSETS – 100.0% | $ | 3,577,571,735 | ||||||||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
Investment Abbreviations: | ||||||
ADR | — | American Depositary Receipt | ||||
REIT | — | Real Estate Investment Trust | ||||
As a % of | ||||||
Net Assets | ||||||
Investments Industry Classifications† | ||||||
Aerospace & Defense | 0.5 | % | ||||
Air Freight & Couriers | 0.5 | |||||
Airlines | 3.4 | |||||
Auto Components | 0.3 | |||||
Automobiles | 2.6 | |||||
Banks | 11.8 | |||||
Beverages | 1.8 | |||||
Building Products | 0.5 | |||||
Chemicals | 2.7 | |||||
Commercial Services & Supplies | 1.5 | |||||
Computers & Peripherals | 0.7 | |||||
Construction & Engineering | 0.8 | |||||
Construction Materials | 0.1 | |||||
Distributors | 0.3 | |||||
Diversified Financials | 5.7 | |||||
Diversified Telecommunication Services | 4.3 | |||||
Electric Utilities | 2.7 | |||||
Electrical Equipment | 2.1 | |||||
Electronic Equipment & Instruments | 0.8 | |||||
Energy Equipment & Services | 0.1 | |||||
Food & Drug Retailing | 0.9 | |||||
Food Products | 4.2 | |||||
Gas Utilities | 0.2 | |||||
Healthcare Equipment & Supplies | 0.1 | |||||
Healthcare Providers & Services | 0.2 | |||||
Hotels, Restaurants & Leisure | 1.1 | |||||
Household Durables | 1.2 | |||||
Industrial Conglomerates | 0.6 | |||||
Insurance | 8.3 | |||||
IT Consulting & Services | 2.1 | |||||
Leisure Equipment & Products | 0.8 | |||||
Machinery | 1.4 | |||||
Marine | 0.4 | |||||
Media | 3.8 | |||||
Metals & Mining | 4.3 | |||||
Multiline Retail | 0.5 | |||||
Office Electronics | 1.2 | |||||
Oil & Gas | 5.5 | |||||
Personal Products | 1.5 | |||||
Pharmaceuticals | 5.9 | |||||
Real Estate | 2.8 | |||||
Road & Rail | 0.4 | |||||
Semiconductor Equipment & Products | 1.3 | |||||
Short-term Investments* | 9.1 | |||||
Software | 0.1 | |||||
Specialty Retail | 1.4 | |||||
Textiles & Apparel | 0.8 | |||||
Tobacco | 0.5 | |||||
Wireless Telecommunication Services | 1.1 | |||||
TOTAL INVESTMENTS | 104.9 | % | ||||
† | Industry concentrations greater than one-tenth of one percent are disclosed. |
* | Short-term investments include short-term obligations and securities lending collateral. |
ADDITIONAL INVESTMENT INFORMATION |
Number of | ||||||||||||||
Contracts | Settlement | Unrealized | ||||||||||||
Type | Long | Month | Market Value | Loss | ||||||||||
FTSE 100 Index | 293 | March 2007 | $ | 35,359,663 | $ | (991,533 | ) | |||||||
SPI 200 Index | 95 | March 2007 | 10,857,755 | (156,132 | ) | |||||||||
Dow Jones Euro Stoxx 50 Index | 870 | March 2007 | 47,049,328 | (1,426,203 | ) | |||||||||
TOPIX Index | 220 | March 2007 | 32,428,551 | (226,358 | ) | |||||||||
TOTAL | $ | 125,695,297 | $ | (2,800,226 | ) | |||||||||
ADDITIONAL INVESTMENT INFORMATION (continued) |
Fund | Principal Amount | |||
Structured Large Cap Value | $ | 41,900,000 | ||
Structured U.S. Equity | 10,100,000 | |||
Structured Large Cap Growth | 55,200,000 | |||
Structured Small Cap Equity | 21,700,000 | |||
Principal | Interest | Maturity | Maturity | |||||||||||
Counterparty | Amount | Rate | Date | Value | ||||||||||
ABN Amro, Inc. | $ | 1,000,000,000 | 5.33 | % | 03/01/07 | $ | 1,000,148,056 | |||||||
Banc of America Securities LLC | 900,000,000 | 5.33 | 03/01/07 | 900,133,250 | ||||||||||
Barclays Capital PLC | 750,000,000 | 5.34 | 03/01/07 | 750,111,250 | ||||||||||
Citigroup Global Markets, Inc. | 1,000,000,000 | 5.34 | 03/01/07 | 1,000,148,333 | ||||||||||
Credit Suisse Securities (USA) LLC | 1,000,000,000 | 5.33 | 03/01/07 | 1,000,148,056 | ||||||||||
Deutsche Bank Securities, Inc. | 3,750,000,000 | 5.34 | 03/01/07 | 3,750,556,250 | ||||||||||
Greenwich Capital Markets | 300,000,000 | 5.34 | 03/01/07 | 300,044,500 | ||||||||||
Merrill Lynch | 1,000,000,000 | 5.33 | 03/01/07 | 1,000,148,056 | ||||||||||
Morgan Stanley & Co. | 800,000,000 | 5.33 | 03/01/07 | 800,118,444 | ||||||||||
UBS Securities LLC | 507,500,000 | 5.33 | 03/01/07 | 507,575,138 | ||||||||||
Wachovia Capital Markets | 250,000,000 | 5.33 | 03/01/07 | 250,037,014 | ||||||||||
TOTAL | $ | 11,257,500,000 | $ | 11,259,168,347 | ||||||||||
Structured Large | |||||||||
Cap Value Fund | |||||||||
Assets: | |||||||||
Investments in securities, at value (identified cost $1,570,120,819, $1,543,706,797, $1,386,276,336, $1,154,617,690 and $3,088,172,432, respectively)(a) | $ | 1,710,832,933 | |||||||
Foreign currencies, at value (identified cost $2,524,723, Structured International Equity only) | — | ||||||||
Securities lending collateral, at value which equals cost | 57,116,500 | ||||||||
Cash(b) | 3,476,285 | ||||||||
Receivables: | |||||||||
Fund shares sold | 7,458,133 | ||||||||
Dividends and interest, at value | 3,854,539 | ||||||||
Investment securities sold | — | ||||||||
Due from broker/variation margin | 436,463 | ||||||||
Foreign tax reclaims, at value | — | ||||||||
Securities lending income | 4,765 | ||||||||
Other assets | 55,947 | ||||||||
Total assets | 1,783,235,565 | ||||||||
Liabilities: | |||||||||
Due to custodian | — | ||||||||
Payables: | |||||||||
Payable upon return of securities loaned | 57,116,500 | ||||||||
Fund shares repurchased | 2,754,711 | ||||||||
Amounts owed to affiliates | 1,010,136 | ||||||||
Due to broker/variation margin, at value | — | ||||||||
Accrued expenses | 148,935 | ||||||||
Total liabilities | 61,030,282 | ||||||||
Net Assets: | |||||||||
Paid-in capital | 1,543,051,284 | ||||||||
Accumulated undistributed (distribution in excess of) net investment income | 3,717,608 | ||||||||
Accumulated net realized gain (loss) on investment, futures and foreign currency transactions | 36,028,190 | ||||||||
Net unrealized gain on investments, futures and translation of assets denominated in foreign currencies | 139,408,201 | ||||||||
NET ASSETS | $ | 1,722,205,283 | |||||||
Net Assets: | |||||||||
Class A | $ | 632,497,113 | |||||||
Class B | 19,391,065 | ||||||||
Class C | 24,731,532 | ||||||||
Institutional | 1,038,841,707 | ||||||||
Service | 6,743,866 | ||||||||
Shares Outstanding: | |||||||||
Class A | 43,788,392 | ||||||||
Class B | 1,353,466 | ||||||||
Class C | 1,724,489 | ||||||||
Institutional | 71,903,870 | ||||||||
Service | 465,049 | ||||||||
Total shares of beneficial interest outstanding, $0.001 par value (unlimited number of shares authorized) | 119,235,266 | ||||||||
Net asset value, offering and redemption price per share:(c) | |||||||||
Class A | $14.44 | ||||||||
Class B | 14.33 | ||||||||
Class C | 14.34 | ||||||||
Institutional | 14.45 | ||||||||
Service | 14.50 | ||||||||
(a) | Includes loaned securities having a market value of $56,530,325, $65,183,192, $115,444,852, $171,559,679 and $185,129,503 for Structured Large Cap Value, Structured U.S. Equity, Structured Large Cap Growth, Structured Small Cap Equity and Structured International Equity Funds, respectively. |
(b) | Includes restricted cash of $3,416,000, $745,500, $2,134,500, 799,375 and 5,955,194 for the Structured Large Cap Value, Structured U.S. Equity, Structured Large Cap Growth, Structured Small Cap Equity and Structured International Equity Funds, respectively, relating to initial margin requirements on futures transactions. |
(c) | Maximum public offering price per share (NAV per share multiplied by 1.0582) for Class A Shares of the Structured Large Cap Value, Structured U.S. Equity, Structured Large Cap Growth, Structured Small Cap Equity and Structured International Equity Funds is $15.28, $34.50, $14.83, $15.17 and $15.93, respectively. At redemption, Class B and Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
Structured U.S. | Structured Large | Structured Small | Structured International | |||||||||||||||
Equity Fund | Cap Growth Fund | Cap Equity Fund | Equity Fund | |||||||||||||||
$ | 1,717,058,110 | $ | 1,466,692,118 | $ | 1,258,877,124 | $ | 3,556,231,487 | |||||||||||
— | — | — | 2,554,942 | |||||||||||||||
66,042,875 | 117,234,938 | 175,613,825 | 195,041,006 | |||||||||||||||
829,882 | 2,134,500 | 799,375 | 11,019,506 | |||||||||||||||
3,583,344 | 7,489,889 | 11,692,687 | 14,349,187 | |||||||||||||||
3,777,145 | 1,900,738 | 431,070 | 2,298,095 | |||||||||||||||
— | — | 1,438,807 | — | |||||||||||||||
108,120 | 682,307 | 491,769 | — | |||||||||||||||
— | — | — | 135,090 | |||||||||||||||
37,805 | 44,635 | 192,593 | 91,919 | |||||||||||||||
45,774 | 21,422 | 12,516 | 253,819 | |||||||||||||||
1,791,483,055 | 1,596,200,547 | 1,449,549,766 | 3,781,975,051 | |||||||||||||||
— | 112,547 | 219,932 | — | |||||||||||||||
66,042,875 | 117,234,938 | 175,613,825 | 195,041,006 | |||||||||||||||
10,227,791 | 2,223,103 | 1,511,953 | 3,833,259 | |||||||||||||||
1,246,297 | 876,923 | 1,038,779 | 2,537,264 | |||||||||||||||
— | — | — | 2,546,238 | |||||||||||||||
413,248 | 156,048 | 225,775 | 445,549 | |||||||||||||||
77,930,211 | 120,603,559 | 178,610,264 | 204,403,316 | |||||||||||||||
1,510,124,024 | 1,619,324,846 | 1,146,339,266 | 2,996,445,834 | |||||||||||||||
3,206,314 | 2,903,115 | 2,675,370 | (2,141,498 | ) | ||||||||||||||
27,168,671 | (225,357,815 | ) | 18,376,274 | 117,967,118 | ||||||||||||||
173,053,835 | 78,726,842 | 103,548,592 | 465,300,281 | |||||||||||||||
$ | 1,713,552,844 | $ | 1,475,596,988 | $ | 1,270,939,502 | $ | 3,577,571,735 | |||||||||||
$ | 772,511,608 | $ | 490,915,526 | $ | 299,901,903 | $ | 1,089,164,820 | |||||||||||
123,935,223 | 33,942,711 | 14,622,921 | 12,382,603 | |||||||||||||||
58,566,827 | 21,784,025 | 26,160,718 | 9,749,060 | |||||||||||||||
742,490,509 | 928,670,436 | 900,975,996 | 2,413,836,292 | |||||||||||||||
16,048,677 | 284,290 | 29,277,964 | 52,438,960 | |||||||||||||||
23,697,705 | 35,036,436 | 20,908,782 | 72,367,538 | |||||||||||||||
4,045,918 | 2,600,198 | 1,114,966 | 831,924 | |||||||||||||||
1,921,816 | 1,668,280 | 1,986,557 | 656,108 | |||||||||||||||
22,303,657 | 64,439,741 | 60,679,681 | 156,949,780 | |||||||||||||||
496,831 | 20,447 | 2,068,037 | 3,475,410 | |||||||||||||||
52,465,927 | 103,765,102 | 86,758,023 | 234,280,760 | |||||||||||||||
$32.60 | $14.01 | $14.34 | $15.05 | |||||||||||||||
30.63 | 13.05 | 13.12 | 14.88 | |||||||||||||||
30.47 | 13.06 | 13.17 | 14.86 | |||||||||||||||
33.29 | 14.41 | 14.85 | 15.38 | |||||||||||||||
32.30 | 13.90 | 14.16 | 15.09 | |||||||||||||||
Structured Large | |||||||
Cap Value Fund | |||||||
Investment income: | |||||||
Dividends(a) | $ | 16,110,716 | |||||
Interest (including securities lending income of $32,397, $97,895, $106,235, $771,615 and $497,854, respectively) | 1,214,173 | ||||||
Total income | 17,324,889 | ||||||
Expenses: | |||||||
Management fees | 4,598,008 | ||||||
Distribution and service fees(b) | 923,330 | ||||||
Transfer Agent fees(b) | 761,961 | ||||||
Custody and accounting fees | 71,314 | ||||||
Service share fees | 9,057 | ||||||
Registration fees | 59,038 | ||||||
Professional fees | 10,597 | ||||||
Trustee fees | 8,119 | ||||||
Other | 23,292 | ||||||
Total expenses | 6,464,716 | ||||||
Less — expense reductions | (845,149 | ) | |||||
Net expenses | 5,619,567 | ||||||
NET INVESTMENT INCOME | 11,705,322 | ||||||
Realized and unrealized gain (loss) on investment, futures and foreign currency related transactions: | |||||||
Net realized gain (loss) from: | |||||||
Investment transactions | 49,274,307 | ||||||
Futures transactions | 4,391,856 | ||||||
Foreign currency related transactions | — | ||||||
Net change in unrealized gain (loss) on: | |||||||
Investments | 45,526,318 | ||||||
Futures | (1,466,315 | ) | |||||
Translation of assets and liabilities denominated in foreign currencies | — | ||||||
Net realized and unrealized gain on investment, futures and foreign currency related transactions | 97,726,166 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 109,431,488 | |||||
(a) | For Structured International Equity Fund foreign taxes withheld on dividends were $568,486. |
(b) | Class specific distribution and service, and transfer agent fees were as follows: |
Distribution and Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||
Fund | Class A | Class B | Class C | Class A | Class B | Class C | Institutional | Service | ||||||||||||||||||||||||
Structured Large Cap Value | 704,283 | 97,480 | 121,567 | 535,255 | 18,521 | 23,098 | 184,362 | 725 | ||||||||||||||||||||||||
Structured U.S. Equity | 895,971 | 632,305 | 294,018 | 680,938 | 120,138 | 55,864 | 139,936 | 2,967 | ||||||||||||||||||||||||
Structured Large Cap Growth | 538,666 | 189,608 | 114,117 | 409,388 | 36,025 | 21,682 | 156,818 | 107 | ||||||||||||||||||||||||
Structured Small Cap Equity | 295,811 | 77,364 | 132,126 | 224,817 | 14,699 | 25,104 | 140,269 | 5,911 | ||||||||||||||||||||||||
Structured International Equity | 1,077,812 | 54,781 | 42,275 | 819,137 | 10,408 | 8,032 | 378,018 | 9,159 |
Structured U.S. | Structured Large | Structured Small | Structured International | |||||||||||||
Equity Fund | Cap Growth Fund | Cap Equity Fund | Equity Fund | |||||||||||||
$ | 14,885,166 | $ | 6,823,787 | $ | 5,736,813 | $ | 10,717,974 | |||||||||
495,991 | 1,030,921 | 1,552,341 | 4,498,790 | |||||||||||||
15,381,157 | 7,854,710 | 7,289,154 | 15,216,764 | |||||||||||||
5,253,297 | 4,147,994 | 4,290,150 | 11,077,460 | |||||||||||||
1,822,294 | 842,391 | 505,301 | 1,174,868 | |||||||||||||
999,843 | 624,020 | 410,800 | 1,224,754 | |||||||||||||
69,681 | 76,060 | 87,520 | 448,406 | |||||||||||||
37,090 | 1,339 | 73,891 | 114,487 | |||||||||||||
38,198 | 41,751 | 25,294 | 52,394 | |||||||||||||
15,096 | 11,797 | 11,047 | 13,717 | |||||||||||||
8,119 | 8,119 | 8,119 | 8,119 | |||||||||||||
26,488 | 19,566 | 32,839 | 25,153 | |||||||||||||
8,270,106 | 5,773,037 | 5,444,961 | 14,139,358 | |||||||||||||
(1,279,032 | ) | (1,041,396 | ) | (358,009 | ) | (706,893 | ) | |||||||||
6,991,074 | 4,731,641 | 5,086,952 | 13,432,465 | |||||||||||||
8,390,083 | 3,123,069 | 2,202,202 | 1,784,299 | |||||||||||||
61,141,713 | 29,781,569 | 31,456,488 | 146,834,929 | |||||||||||||
2,011,376 | 2,422,921 | (1,321,453 | ) | 14,681,797 | ||||||||||||
— | — | — | (265,892 | ) | ||||||||||||
31,615,265 | 30,664,870 | 53,679,561 | 173,299,957 | |||||||||||||
(453,630 | ) | (1,738,415 | ) | (758,694 | ) | (3,754,657 | ) | |||||||||
— | — | — | 23,695 | |||||||||||||
94,314,724 | 61,130,945 | 83,055,902 | 330,819,829 | |||||||||||||
$ | 102,704,807 | $ | 64,254,014 | $ | 85,258,104 | $ | 332,604,128 | |||||||||
Structured Large Cap Value Fund | Structured U.S. Equity Fund | ||||||||||||||||||
For the | For the | ||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | ||||||||||||||||
February 28, 2007 | Year Ended | February 28, 2007 | Year Ended | ||||||||||||||||
(Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | ||||||||||||||||
From operations: | |||||||||||||||||||
Net investment income | $ | 11,705,322 | $ | 13,010,930 | $ | 8,390,083 | $ | 8,858,747 | |||||||||||
Net realized gain from investment, futures and foreign currency related transactions | 53,666,163 | 58,693,681 | 63,153,089 | 71,702,033 | |||||||||||||||
Net change in unrealized gain (loss) on investments, futures and translations of assets and liabilities denominated in foreign currencies | 44,060,003 | 33,392,843 | 31,161,635 | 9,900,715 | |||||||||||||||
Net increase in net assets resulting from operations | 109,431,488 | 105,097,454 | 102,704,807 | 90,461,495 | |||||||||||||||
Distributions to shareholders: | |||||||||||||||||||
From net investment income | |||||||||||||||||||
Class A Shares | (3,318,575 | ) | (2,873,123 | ) | (5,844,276 | ) | (1,716,964 | ) | |||||||||||
Class B Shares | (43,598 | ) | (44,614 | ) | (503,305 | ) | — | ||||||||||||
Class C Shares | (56,802 | ) | (56,450 | ) | (251,563 | ) | — | ||||||||||||
Institutional Shares | (7,263,310 | ) | (7,678,282 | ) | (7,910,668 | ) | (1,696,849 | ) | |||||||||||
Service Shares | (16,901 | ) | (4,076 | ) | (106,851 | ) | (30,886 | ) | |||||||||||
From net realized gains | |||||||||||||||||||
Class A Shares | (22,316,879 | ) | (4,285,315 | ) | (23,874,216 | ) | — | ||||||||||||
Class B Shares | (727,017 | ) | (363,911 | ) | (4,750,298 | ) | — | ||||||||||||
Class C Shares | (915,251 | ) | (405,173 | ) | (2,191,344 | ) | — | ||||||||||||
Institutional Shares | (37,269,966 | ) | (9,199,305 | ) | (22,832,224 | ) | — | ||||||||||||
Service Shares | (136,644 | ) | (11,795 | ) | (487,603 | ) | — | ||||||||||||
Total distributions to shareholders | (72,064,943 | ) | (24,922,044 | ) | (68,752,348 | ) | (3,444,699 | ) | |||||||||||
From share transactions: | |||||||||||||||||||
Net proceeds from sales of shares | 691,821,152 | 928,703,576 | 277,532,497 | 298,683,756 | |||||||||||||||
Proceeds received in connection with merger | — | — | 135,600,019 | 317,455,844 | |||||||||||||||
Reinvestment of dividends and distributions | 66,557,925 | 24,360,857 | 55,550,133 | 2,815,736 | |||||||||||||||
Cost of shares repurchased | (270,641,182 | ) | (449,399,467 | ) | (173,089,091 | ) | (226,017,702 | ) | |||||||||||
Net increase in net assets resulting from share transactions | 487,737,895 | 503,664,966 | 295,593,558 | 392,937,634 | |||||||||||||||
TOTAL INCREASE | 525,104,440 | 583,840,376 | 329,546,017 | 479,954,430 | |||||||||||||||
Net assets: | |||||||||||||||||||
Beginning of period | 1,197,100,843 | 613,260,467 | 1,384,006,827 | 904,052,397 | |||||||||||||||
End of period | $ | 1,722,205,283 | $ | 1,197,100,843 | $ | 1,713,552,844 | $ | 1,384,006,827 | |||||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 3,717,608 | $ | 2,711,472 | $ | 3,206,314 | $ | 9,432,894 | |||||||||||
(a) | Net of $8,324 in redemption fees remitted to the Structured International Equity Fund. |
(b) | Net of $12,509 in redemption fees remitted to the Structured International Equity Fund. |
Structured Large Cap Growth Fund | Structured Small Cap Equity Fund | Structured International Equity Fund | ||||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||||||
Six Months Ended | For the | Six Months Ended | For the | Six Months Ended | For the | |||||||||||||||||||
February 28, 2007 | Year Ended | February 28, 2007 | Year Ended | February 28, 2007 | Year Ended | |||||||||||||||||||
(Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | |||||||||||||||||||
$ | 3,123,069 | $ | 2,753,701 | $ | 2,202,202 | $ | 1,213,480 | $ | 1,784,299 | $ | 31,245,424 | |||||||||||||
32,204,490 | 24,642,753 | 30,135,035 | 63,223,540 | 161,250,834 | 130,677,544 | |||||||||||||||||||
28,926,455 | 5,715,763 | 52,920,867 | (56,812,634 | ) | 169,568,995 | 181,928,964 | ||||||||||||||||||
64,254,014 | 33,112,217 | 85,258,104 | 7,624,386 | 332,604,128 | 343,851,932 | |||||||||||||||||||
(282,609 | ) | (61,768 | ) | (83,818 | ) | — | (9,741,353 | ) | (2,922,097 | ) | ||||||||||||||
— | — | — | — | (44,917 | ) | (10,166 | ) | |||||||||||||||||
— | — | — | — | (47,721 | ) | (7,525 | ) | |||||||||||||||||
(2,690,386 | ) | (1,056,728 | ) | (2,402,416 | ) | — | (25,733,287 | ) | (9,610,748 | ) | ||||||||||||||
— | — | — | — | (488,805 | ) | (228,125 | ) | |||||||||||||||||
— | — | (13,298,046 | ) | (11,827,515 | ) | (47,158,552 | ) | (2,262,969 | ) | |||||||||||||||
— | — | (955,761 | ) | (1,545,039 | ) | (625,828 | ) | (56,886 | ) | |||||||||||||||
— | — | (1,588,284 | ) | (2,159,938 | ) | (488,575 | ) | (35,333 | ) | |||||||||||||||
— | — | (36,269,152 | ) | (23,891,295 | ) | (99,173,301 | ) | (5,464,148 | ) | |||||||||||||||
— | — | (1,680,540 | ) | (2,922,036 | ) | (2,611,177 | ) | (176,662 | ) | |||||||||||||||
(2,972,995 | ) | (1,118,496 | ) | (56,278,017 | ) | (42,345,823 | ) | (186,113,516 | ) | (20,774,659 | ) | |||||||||||||
766,744,312 | 551,621,998 | 558,993,410 | 374,245,022 | 1,265,447,293 | 1,389,843,174 | |||||||||||||||||||
— | — | — | 130,127,854 | — | — | |||||||||||||||||||
2,959,727 | 1,112,044 | 51,514,973 | 38,670,425 | 174,112,108 | 19,338,652 | |||||||||||||||||||
(219,239,622 | ) | (247,018,355 | ) | (129,754,976 | ) | (313,773,175 | ) | (468,033,618 | ) (a) | (298,767,113 | ) (b) | |||||||||||||
550,464,417 | 305,715,687 | 480,753,407 | 229,270,126 | 971,525,783 | 1,110,414,713 | |||||||||||||||||||
611,745,436 | 337,709,408 | 509,733,494 | 194,548,689 | 1,118,016,395 | 1,433,491,986 | |||||||||||||||||||
863,851,552 | 526,142,144 | 761,206,008 | 566,657,319 | 2,459,555,340 | 1,026,063,354 | |||||||||||||||||||
$ | 1,475,596,988 | $ | 863,851,552 | $ | 1,270,939,502 | $ | 761,206,008 | $ | 3,577,571,735 | $ | 2,459,555,340 | |||||||||||||
$ | 2,903,115 | $ | 2,753,041 | $ | 2,675,370 | $ | 2,959,402 | $ | (2,141,498 | ) | $ | 32,130,286 | ||||||||||||
1. ORGANIZATION |
2. SIGNIFICANT ACCOUNTING POLICIES |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
3. AGREEMENTS |
Contractual | ||||||
Average Daily | Management Fee | |||||
Fund | Net Assets | Annual Rate | ||||
Structured Large Cap Value | First $1 Billion | 0.60 | % | |||
Next $1 Billion | 0.54 | |||||
Over $2 Billion | 0.51 | |||||
Structured U.S. Equity and Structured Large Cap Growth | First $1 Billion | 0.65 | ||||
Next $1 Billion | 0.59 | |||||
Over $2 Billion | 0.56 | |||||
Structured Small Cap Equity | First $2 Billion | 0.85 | ||||
Over $2 Billion | 0.77 | |||||
Structured International Equity | First $1 Billion | 0.85 | ||||
Next $1 Billion | 0.77 | |||||
Over $2 Billion | 0.73 | |||||
3. AGREEMENTS (continued) |
Contingent Deferred | ||||||||||||
Sales Load | Sales Charge | |||||||||||
Fund | Class A | Class B | Class C | |||||||||
Structured Large Cap Value | $ | 104,900 | $ | — | $ | — | ||||||
Structured U.S. Equity | 54,800 | — | — | |||||||||
Structured Large Cap Growth | 7,400 | 200 | — | |||||||||
Structured Small Cap Equity | 12,100 | — | — | |||||||||
Structured International Equity | 207,100 | 200 | — | |||||||||
Expense Credits | ||||||||||||||||||||
Management Fee | Other Expense | Custody | Transfer Agent | Total Expense | ||||||||||||||||
Fund | Waiver | Reimbursement | Fee | Fee | Reductions | |||||||||||||||
Structured Large Cap Value | $ | 690 | $ | 142 | $ | 3 | $ | 10 | $ | 845 | ||||||||||
Structured U.S. Equity | 1,131 | 125 | 3 | 20 | 1,279 | |||||||||||||||
Structured Large Cap Growth | 893 | 132 | 7 | 9 | 1,041 | |||||||||||||||
Structured Small Cap Equity | 202 | 145 | 5 | 6 | 358 | |||||||||||||||
Structured International Equity | 198 | 491 | 1 | 17 | 707 | |||||||||||||||
3. AGREEMENTS (continued) |
Management | Distribution and | Transfer | Over | |||||||||||||||||
Fund | Fees | Service Fees | Agent Fees | Reimbursement | Total | |||||||||||||||
Structured Large Cap Value | $ | 677 | $ | 158 | $ | 132 | $ | 43 | $ | 1,010 | ||||||||||
Structured U.S. Equity | 696 | 301 | 169 | 80 | 1,246 | |||||||||||||||
Structured Large Cap Growth | 576 | 140 | 109 | 52 | 877 | |||||||||||||||
Structured Small Cap Equity | 804 | 92 | 80 | 63 | 1,039 | |||||||||||||||
Structured International Equity | 2,074 | 225 | 236 | 2 | 2,537 | |||||||||||||||
4. PORTFOLIO SECURITIES TRANSACTIONS |
Fund | Purchases | Sales and Maturities | ||||||
Structured Large Cap Value | $ | 1,225,510,751 | $ | 804,716,486 | ||||
Structured U.S. Equity | 878,039,040 | 767,989,200 | ||||||
Structured Large Cap Growth | 1,190,295,244 | 683,173,927 | ||||||
Structured Small Cap Equity | 936,150,423 | 544,173,872 | ||||||
Structured International Equity | 1,607,456,267 | 851,095,902 | ||||||
5. SECURITIES LENDING |
Earnings Received | ||||||||||||
Earnings of BGA | by the Funds | Amount Payable to | ||||||||||
Relating to | From Lending to | Goldman Sachs | ||||||||||
Securities | Goldman Sachs for | Upon Return of | ||||||||||
Loaned for the six | the six months | Securities Loaned | ||||||||||
months ended | ended | as of | ||||||||||
Fund | February 28, 2007 | February 28, 2007 | February 28, 2007 | |||||||||
Structured Large Cap Value | $ | 4,360 | $ | 2,751 | $ | 21,358,750 | ||||||
Structured U.S. Equity | 15,579 | 13,402 | 18,761,250 | |||||||||
Structured Large Cap Growth | 17,227 | 34,682 | 14,855,500 | |||||||||
Structured Small Cap Equity | 111,825 | 122,248 | 40,162,000 | |||||||||
Structured International Equity | 80,832 | 125,375 | 33,964,325 | |||||||||
6. LINE OF CREDIT FACILITY |
7. TAX INFORMATION |
Structured | Structured | ||||||||||||
Structured | Large Cap | International | |||||||||||
U.S. Equity | Growth | Equity | |||||||||||
Capital loss carryforward*: | |||||||||||||
Expiring 2010 | $ | (21,317,839 | ) | $ | (110,628,623 | ) | $ | (506,100 | ) | ||||
Expiring 2011 | — | (145,633,770 | ) | — | |||||||||
Total capital loss carryforward | $ | (21,317,839 | ) | $ | (256,262,393 | ) | $ | (506,100 | ) | ||||
* | Expiration occurs on August 31 of the year indicated. Due to fund mergers, utilization of these losses may be limited under the Internal Revenue Code. |
Structured | Structured | Structured | Structured | |||||||||||||||||
Large Cap | Structured | Large Cap | Small Cap | International | ||||||||||||||||
Value | U.S. Equity | Growth | Equity | Equity | ||||||||||||||||
Tax cost | $ | 1,628,831,942 | $ | 1,614,825,540 | $ | 1,504,761,711 | $ | 1,332,542,005 | $ | 3,285,043,930 | ||||||||||
Gross unrealized gain | 153,762,786 | 194,412,679 | 109,190,466 | 131,979,895 | 494,030,530 | |||||||||||||||
Gross unrealized loss | (14,645,295 | ) | (26,137,234 | ) | (30,025,121 | ) | (30,030,951 | ) | (27,801,967 | ) | ||||||||||
Net unrealized security gain | $ | 139,117,491 | $ | 168,275,445 | $ | 79,165,345 | $ | 101,948,944 | $ | 466,228,563 | ||||||||||
8. OTHER MATTERS |
Goldman Sachs | ||||||||||||||||
Goldman Sachs | Growth and Income | Goldman Sachs | Goldman Sachs | |||||||||||||
Balanced Strategy | Strategy | Growth Strategy | Equity Growth | |||||||||||||
Fund | Portfolio | Portfolio | Portfolio | Strategy Portfolio | ||||||||||||
Structured Large Cap Value | —% | 29% | 35% | 12% | ||||||||||||
Structured Large Cap Growth | 5 | 35 | 40 | 14 | ||||||||||||
Structured Small Cap Equity | — | 14 | 15 | 5 | ||||||||||||
Structured International Equity | — | 24 | 29 | 12 | ||||||||||||
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of September 22, 2006 | |||||||||
Structured U.S. Equity Class A/Research Select Class A | 1,379,024 | $ | 44,170,186 | 5,709,612 | ||||||||
Structured U.S. Equity Class B/Research Select Class B | 2,141,624 | $ | 64,527,239 | 8,743,634 | ||||||||
Structured U.S. Equity Class C/Research Select Class C | 841,873 | $ | 25,247,845 | 3,418,791 | ||||||||
Structured U.S. Equity Institutional Class/Research Select Institutional Class | 50,557 | $ | 1,654,749 | 208,843 | ||||||||
8. OTHER MATTERS (continued) |
Survivor Fund’s | ||||||||||||||||||||
Survivor Fund’s | Acquired Fund’s | Aggregate | ||||||||||||||||||
Aggregate | Aggregate | Acquired | Acquired | Net Assets | ||||||||||||||||
Net Assets | Net Assets | Fund’s | Fund’s | immediately | ||||||||||||||||
before | before | Unrealized | Capital Loss | after | ||||||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | Carryforward* | acquisition | |||||||||||||||
Structured U.S. Equity/ Research Select | $ | 1,399,118,665 | $ | 135,600,019 | $ | 4,980,654 | $ | (395,775,952 | ) | $ | 1,534,718,684 | |||||||||
* | Utilization of these losses may be limited under the Internal Revenue Code. |
Exchanged Shares | Acquired Fund’s | |||||||||||
of Survivor | Value of | Shares Outstanding | ||||||||||
Survivor/Acquired Fund | Issued | Exchanged Shares | as of June 5, 2006 | |||||||||
Structured U.S. Equity Class A/First Funds Core Equity Portfolio Class A | 978,718 | $ | 30,761,079 | 1,891,444 | ||||||||
Structured U.S. Equity Class A/First Funds Core Equity Portfolio Class C | 831,164 | 26,123,429 | 1,701,135 | |||||||||
Structured U.S. Equity Class B/First Funds Core Equity Portfolio Class B | 243,801 | 7,223,819 | 463,904 | |||||||||
Structured U.S. Equity Institutional Class/First Funds Core Equity Portfolio Class I | 7,897,369 | 253,347,517 | 15,536,316 | |||||||||
Structured Small Cap Equity Class A/First Funds Capital Appreciation Portfolio Class A | 242,404 | 3,541,520 | 298,468 | |||||||||
Structured Small Cap Equity Class A/First Funds Capital Appreciation Portfolio Class C | 36,325 | 530,704 | 48,454 | |||||||||
Structured Small Cap Equity Class B/First Funds Capital Appreciation Portfolio Class B | 127,675 | 1,722,346 | 150,246 | |||||||||
Structured Small Cap Equity Institutional Class/First Funds Capital Appreciation Portfolio Class I | 8,234,016 | 124,333,284 | 10,138,925 | |||||||||
8. OTHER MATTERS (continued) |
Survivor Fund’s | Acquired Fund’s | Survivor Fund’s | ||||||||||||||
Aggregate | Aggregate | Acquired | Aggregate | |||||||||||||
Net Assets | Net Assets | Fund’s | Net Assets | |||||||||||||
before | before | Unrealized | immediately | |||||||||||||
Survivor/Acquired Fund | acquisition | acquisition | Appreciation | after acquisition | ||||||||||||
Structured U.S. Equity/First Funds Core Equity Portfolio | $ | 1,015,801,262 | $ | 317,455,844 | $ | 34,533,591 | $ | 1,333,257,106 | ||||||||
Structured Small Cap Equity /First Funds Capital Appreciation Portfolio | $ | 682,529,826 | $ | 130,127,854 | $ | 19,883,232 | $ | 812,657,680 | ||||||||
8. OTHER MATTERS (continued) |
9. SUMMARY OF SHARE TRANSACTIONS |
Structured Large Cap Value Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 16,786,111 | $ | 244,373,973 | 25,532,218 | $ | 345,499,377 | ||||||||||
Shares converted from Class B(a) | 19,432 | 276,853 | 69,556 | 912,765 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 1,707,659 | 24,671,090 | 532,010 | 6,989,988 | ||||||||||||
Shares repurchased | (6,040,887 | ) | (88,086,383 | ) | (9,505,137 | ) | (127,546,622 | ) | ||||||||
12,472,315 | 181,235,533 | 16,628,647 | 225,855,508 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 77,662 | 1,126,535 | 229,911 | 3,042,680 | ||||||||||||
Shares converted to Class A | (19,592 | ) | (276,853 | ) | (70,167 | ) | (912,765 | ) | ||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 45,931 | 659,727 | 27,326 | 353,752 | ||||||||||||
Shares repurchased | (133,689 | ) | (1,941,015 | ) | (430,798 | ) | (5,687,157 | ) | ||||||||
(29,688 | ) | (431,606 | ) | (243,728 | ) | (3,203,490 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 319,655 | 4,620,957 | 527,302 | 6,992,195 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 61,125 | 878,587 | 32,767 | 424,719 | ||||||||||||
Shares repurchased | (294,706 | ) | (4,271,010 | ) | (561,874 | ) | (7,452,153 | ) | ||||||||
86,074 | 1,228,534 | (1,805 | ) | (35,239 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 30,022,681 | 436,382,605 | 42,516,476 | 571,488,724 | ||||||||||||
Shares issued in connection with merger | — | — | — | — | ||||||||||||
Reinvestment of dividends and distributions | 2,791,784 | 40,296,234 | 1,262,081 | 16,578,172 | ||||||||||||
Shares repurchased | (12,012,060 | ) | (176,058,133 | ) | (23,009,917 | ) | (307,840,152 | ) | ||||||||
20,802,405 | 300,620,706 | 20,768,640 | 280,226,744 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 360,043 | 5,317,082 | 121,591 | 1,680,600 | ||||||||||||
Reinvestment of dividends and distributions | 3,603 | 52,287 | 1,089 | 14,226 | ||||||||||||
Shares repurchased | (19,350 | ) | (284,641 | ) | (64,699 | ) | (873,383 | ) | ||||||||
344,296 | 5,084,728 | 57,981 | �� | 821,443 | ||||||||||||
NET INCREASE | 33,675,402 | $ | 487,737,895 | 37,209,735 | $ | 503,664,966 | ||||||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Structured U.S. Equity Fund | Structured Large Cap Growth Fund | |||||||||||||||||||||||||||||||
For the Six Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||
February 28, 2007 | For the Year Ended | February 28, 2007 | For the Year Ended | |||||||||||||||||||||||||||||
(Unaudited) | August 31, 2006 | (Unaudited) | August 31, 2006 | |||||||||||||||||||||||||||||
Shares | Dollars | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||||||
4,563,768 | $ | 151,718,712 | 4,613,451 | $ | 142,873,179 | 16,688,387 | $ | 233,072,885 | 15,276,119 | $ | 199,732,380 | |||||||||||||||||||||
176,895 | 5,767,071 | 386,363 | 11,746,340 | 181,401 | 2,486,933 | 447,436 | 5,815,347 | |||||||||||||||||||||||||
1,379,024 | 44,170,186 | 1,809,882 | 56,884,508 | — | — | — | — | |||||||||||||||||||||||||
841,239 | 27,668,330 | 54,042 | 1,639,094 | 19,570 | 276,911 | 4,541 | 59,855 | |||||||||||||||||||||||||
(2,513,807 | ) | (83,429,630 | ) | (3,995,041 | ) | (122,652,714 | ) | (5,374,208 | ) | (76,270,980 | ) | (5,495,448 | ) | (72,501,227 | ) | |||||||||||||||||
4,447,119 | 145,894,669 | 2,868,697 | 90,490,407 | 11,515,150 | 159,565,749 | 10,232,648 | 133,106,355 | |||||||||||||||||||||||||
63,902 | 1,993,102 | 116,019 | 3,354,017 | 42,757 | 559,869 | 132,890 | 1,642,170 | |||||||||||||||||||||||||
(188,068 | ) | (5,767,071 | ) | (409,321 | ) | (11,746,340 | ) | (194,330 | ) | (2,486,933 | ) | (477,079 | ) | (5,815,347 | ) | |||||||||||||||||
2,141,625 | 64,527,239 | 243,801 | 7,223,819 | — | — | — | — | |||||||||||||||||||||||||
150,233 | 4,651,225 | — | — | — | — | — | — | |||||||||||||||||||||||||
(732,334 | ) | (22,804,301 | ) | (1,285,974 | ) | (37,134,431 | ) | (649,404 | ) | (8,423,232 | ) | (1,805,964 | ) | (22,106,869 | ) | |||||||||||||||||
1,435,358 | 42,600,194 | (1,335,475 | ) | (38,302,935 | ) | (800,977 | ) | (10,350,296 | ) | (2,150,153 | ) | (26,280,046 | ) | |||||||||||||||||||
113,062 | 3,510,437 | 204,239 | 5,908,011 | 84,966 | 1,108,720 | 167,316 | 2,058,876 | |||||||||||||||||||||||||
841,873 | 25,247,845 | — | — | — | — | — | — | |||||||||||||||||||||||||
68,945 | 2,123,497 | — | — | — | — | — | — | |||||||||||||||||||||||||
(332,097 | ) | (10,354,799 | ) | (375,281 | ) | (10,835,948 | ) | (265,895 | ) | (3,481,479 | ) | (830,159 | ) | (10,301,976 | ) | |||||||||||||||||
691,783 | 20,526,980 | (171,042 | ) | (4,927,937 | ) | (180,929 | ) | (2,372,759 | ) | (662,843 | ) | (8,243,100 | ) | |||||||||||||||||||
3,418,866 | 116,484,431 | 4,477,783 | 140,971,110 | 37,175,187 | 530,934,526 | 25,906,686 | 348,090,391 | |||||||||||||||||||||||||
50,557 | 1,654,749 | 7,897,369 | 253,347,517 | — | — | — | — | |||||||||||||||||||||||||
613,244 | 20,580,448 | 37,172 | 1,148,613 | 184,513 | 2,682,816 | 77,882 | 1,052,189 | |||||||||||||||||||||||||
(1,614,235 | ) | (54,863,460 | ) | (1,648,028 | ) | (51,535,457 | ) | (8,894,239 | ) | (129,939,105 | ) | (10,489,114 | ) | (142,036,561 | ) | |||||||||||||||||
2,468,432 | 83,856,168 | 10,764,296 | 343,931,783 | 28,465,461 | 403,678,237 | 15,495,454 | 207,106,019 | |||||||||||||||||||||||||
116,911 | 3,825,815 | 182,926 | 5,577,439 | 81,724 | 1,068,312 | 7,283 | 98,181 | |||||||||||||||||||||||||
16,153 | 526,633 | 932 | 28,029 | — | — | — | — | |||||||||||||||||||||||||
(49,496 | ) | (1,636,901 | ) | (128,228 | ) | (3,859,152 | ) | (81,145 | ) | (1,124,826 | ) | (5,698 | ) | (71,722 | ) | |||||||||||||||||
83,568 | 2,715,547 | 55,630 | 1,746,316 | 579 | (56,514 | ) | 1,585 | 26,459 | ||||||||||||||||||||||||
9,126,260 | $ | 295,593,558 | 12,182,106 | $ | 392,937,634 | 38,999,284 | $ | 550,464,417 | 22,916,691 | $ | 305,715,687 | |||||||||||||||||||||
9. SUMMARY OF SHARE TRANSACTIONS (continued) |
Structured Small Cap Equity Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 9,995,460 | $ | 146,229,195 | 8,153,980 | $ | 117,078,380 | ||||||||||
Shares converted from Class B(a) | 51,158 | 724,686 | 113,275 | 1,614,534 | ||||||||||||
Shares issued in connection with merger | — | — | 278,729 | 4,072,224 | ||||||||||||
Reinvestment of dividends and distributions | 878,637 | 12,511,794 | 813,060 | 11,244,622 | ||||||||||||
Shares repurchased | (3,498,667 | ) | (50,722,435 | ) | (6,523,181 | ) | (93,312,132 | ) | ||||||||
7,426,588 | 108,743,240 | 2,835,863 | 40,697,628 | |||||||||||||
Class B Shares | ||||||||||||||||
Shares sold | 30,260 | 405,460 | 127,749 | 1,704,896 | ||||||||||||
Shares converted to Class A | (55,686 | ) | (724,686 | ) | (122,183 | ) | (1,614,534 | ) | ||||||||
Shares issued in connection with merger | — | — | 127,675 | 1,722,346 | ||||||||||||
Reinvestment of dividends and distributions | 63,000 | 821,515 | 106,848 | 1,369,787 | ||||||||||||
Shares repurchased | (199,179 | ) | (2,636,807 | ) | (401,916 | ) | (5,326,308 | ) | ||||||||
(161,605 | ) | (2,134,518 | ) | (161,827 | ) | (2,143,813 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 305,590 | 4,077,985 | 882,834 | 11,784,175 | ||||||||||||
Reinvestment of dividends and distributions | 106,662 | 1,397,275 | 152,774 | 1,966,195 | ||||||||||||
Shares repurchased | (459,328 | ) | (6,150,647 | ) | (827,711 | ) | (10,902,937 | ) | ||||||||
(47,076 | ) | (675,387 | ) | 207,897 | 2,847,433 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 27,074,434 | 404,450,276 | 15,688,113 | 230,700,270 | ||||||||||||
Shares issued in connection with merger | — | — | 8,234,016 | 124,333,284 | ||||||||||||
Reinvestment of dividends and distributions | 2,431,520 | 35,816,288 | 1,580,760 | 22,541,641 | ||||||||||||
Shares repurchased | (4,242,945 | ) | (63,952,469 | ) | (12,082,876 | ) | (182,619,082 | ) | ||||||||
25,263,009 | 376,314,095 | 13,420,013 | 194,956,113 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 267,267 | 3,830,494 | 921,548 | 12,977,301 | ||||||||||||
Reinvestment of dividends and distributions | 68,855 | 968,101 | 113,254 | 1,548,180 | ||||||||||||
Shares repurchased | (438,541 | ) | (6,292,618 | ) | (1,532,095 | ) | (21,612,716 | ) | ||||||||
(102,419 | ) | (1,494,023 | ) | (497,293 | ) | (7,087,235 | ) | |||||||||
NET INCREASE | 32,378,497 | $ | 480,753,407 | 15,804,653 | $ | 229,270,126 | ||||||||||
(a) | Class B Shares automatically convert into Class A Shares at the end of the calendar quarter that is eight years after the initial purchase date of either the Fund or another Goldman Sachs Fund. |
Structured International Equity Fund | ||||||||||||||||
For the Six Months Ended | ||||||||||||||||
February 28, 2007 | For the Year Ended | |||||||||||||||
(Unaudited) | August 31, 2006 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
26,894,982 | $ | 398,102,526 | 33,603,419 | $ | 446,667,684 | |||||||||||
19,268 | 275,344 | 73,208 | 947,165 | |||||||||||||
— | — | — | — | |||||||||||||
3,570,389 | 51,663,540 | 408,328 | 4,969,353 | |||||||||||||
(9,902,137 | ) | (145,769,464 | ) | (7,401,756 | ) | (96,221,866 | ) | |||||||||
20,582,502 | 304,271,946 | 26,683,199 | 356,362,336 | |||||||||||||
170,537 | 2,499,109 | 336,131 | 4,338,428 | |||||||||||||
(19,533 | ) | (275,344 | ) | (74,128 | ) | (947,165 | ) | |||||||||
— | — | — | — | |||||||||||||
42,525 | 609,386 | 5,222 | 62,977 | |||||||||||||
(93,301 | ) | (1,344,897 | ) | (235,976 | ) | (3,006,076 | ) | |||||||||
100,228 | 1,488,254 | 31,249 | 448,164 | |||||||||||||
180,764 | 2,623,498 | 162,983 | 2,146,302 | |||||||||||||
31,045 | 444,253 | 3,061 | 36,944 | |||||||||||||
(60,491 | ) | (881,489 | ) | (79,389 | ) | (1,043,407 | ) | |||||||||
151,318 | 2,186,262 | 86,655 | 1,139,839 | |||||||||||||
56,330,495 | 850,831,915 | 68,630,073 | 920,070,546 | |||||||||||||
— | — | — | — | |||||||||||||
8,133,155 | 120,208,030 | 1,135,451 | 14,079,590 | |||||||||||||
(21,397,478 | ) | (317,148,057 | ) | (14,300,707 | ) | (193,365,457 | ) | |||||||||
43,066,172 | 653,891,888 | 55,464,817 | 740,784,679 | |||||||||||||
766,436 | 11,390,245 | 1,273,906 | 16,620,214 | |||||||||||||
81,799 | 1,186,899 | 15,544 | 189,788 | |||||||||||||
(193,224 | ) | (2,889,711 | ) | (381,277 | ) | (5,130,307 | ) | |||||||||
655,011 | 9,687,433 | 908,173 | 11,679,695 | |||||||||||||
64,555,231 | $ | 971,525,783 | 83,174,093 | $ | 1,110,414,713 | |||||||||||
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 13.99 | $ | 0.09 | $ | 1.00 | $ | 1.09 | $ | (0.09 | ) | $ | (0.55 | ) | $ | (0.64 | ) | |||||||||||||||
2007 - B | 13.88 | 0.04 | 0.99 | 1.03 | (0.03 | ) | (0.55 | ) | (0.58 | ) | ||||||||||||||||||||||
2007 - C | 13.90 | 0.04 | 0.98 | 1.02 | (0.03 | ) | (0.55 | ) | (0.58 | ) | ||||||||||||||||||||||
2007 - Institutional | 14.00 | 0.12 | 1.00 | 1.12 | (0.12 | ) | (0.55 | ) | (0.67 | ) | ||||||||||||||||||||||
2007 - Service | 14.06 | 0.09 | 0.99 | 1.08 | (0.09 | ) | (0.55 | ) | (0.64 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | 12.69 | 0.17 | 1.51 | 1.68 | (0.14 | ) | (0.24 | ) | (0.38 | ) | ||||||||||||||||||||||
2006 - B | 12.59 | 0.07 | 1.49 | 1.56 | (0.03 | ) | (0.24 | ) | (0.27 | ) | ||||||||||||||||||||||
2006 - C | 12.60 | 0.07 | 1.50 | 1.57 | (0.03 | ) | (0.24 | ) | (0.27 | ) | ||||||||||||||||||||||
2006 - Institutional | 12.69 | 0.23 | 1.50 | 1.73 | (0.18 | ) | (0.24 | ) | (0.42 | ) | ||||||||||||||||||||||
2006 - Service | 12.73 | 0.17 | 1.50 | 1.67 | (0.10 | ) | (0.24 | ) | (0.34 | ) | ||||||||||||||||||||||
2005 - A | 11.15 | 0.12 | 1.76 | 1.88 | (0.09 | ) | (0.25 | ) | (0.34 | ) | ||||||||||||||||||||||
2005 - B | 11.06 | 0.03 | 1.76 | 1.79 | (0.01 | ) | (0.25 | ) | (0.26 | ) | ||||||||||||||||||||||
2005 - C | 11.07 | 0.03 | 1.76 | 1.79 | (0.01 | ) | (0.25 | ) | (0.26 | ) | ||||||||||||||||||||||
2005 - Institutional | 11.14 | 0.17 | 1.77 | 1.94 | (0.14 | ) | (0.25 | ) | (0.39 | ) | ||||||||||||||||||||||
2005 - Service | 11.18 | 0.11 | 1.77 | 1.88 | (0.08 | ) | (0.25 | ) | (0.33 | ) | ||||||||||||||||||||||
2004 - A | 9.48 | 0.04 | 1.75 | 1.79 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2004 - B | 9.40 | (0.04 | ) | 1.74 | 1.70 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - C | 9.42 | (0.04 | ) | 1.73 | 1.69 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||
2004 - Institutional | 9.47 | 0.09 | 1.74 | 1.83 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2004 - Service | 9.50 | 0.03 | 1.76 | 1.79 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2003 - A | 8.74 | 0.10 | 0.74 | 0.84 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - B | 8.67 | 0.03 | 0.73 | 0.76 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2003 - C | 8.68 | 0.03 | 0.74 | 0.77 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2003 - Institutional | 8.74 | 0.13 | 0.73 | 0.86 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2003 - Service | 8.74 | 0.09 | 0.74 | 0.83 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2002 - A | 10.31 | 0.07 | (1.57 | ) | (1.50 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2002 - B | 10.24 | — | (c) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - C | 10.25 | — | (c) | (1.56 | ) | (1.56 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||
2002 - Institutional | 10.31 | 0.11 | (1.57 | ) | (1.46 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2002 - Service | 10.31 | 0.07 | (1.58 | ) | (1.51 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total returns could be reduced if sales or redemption charges were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Amount is less than $0.005 per share. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 14.44 | 7.81 | % | $ | 632,497 | 0.95 | %(e) | 1.30 | %(e) | 1.06 | %(e) | 1.19 | %(e) | 54 | % | |||||||||||||||||||
14.33 | 7.44 | 19,391 | 1.70 | (e) | 0.52 | (e) | 1.81 | (e) | 0.41 | (e) | 54 | |||||||||||||||||||||||
14.34 | 7.37 | 24,731 | 1.70 | (e) | 0.53 | (e) | 1.81 | (e) | 0.42 | (e) | 54 | |||||||||||||||||||||||
14.45 | 8.00 | 1,038,842 | 0.55 | (e) | 1.71 | (e) | 0.66 | (e) | 1.60 | (e) | 54 | |||||||||||||||||||||||
14.50 | 7.71 | 6,744 | 1.05 | (e) | 1.30 | (e) | 1.16 | (e) | 1.20 | (e) | 54 | |||||||||||||||||||||||
13.99 | 13.43 | 438,245 | 0.99 | 1.31 | 1.10 | 1.20 | 127 | |||||||||||||||||||||||||||
13.88 | 12.56 | 19,200 | 1.75 | 0.49 | 1.84 | 0.40 | 127 | |||||||||||||||||||||||||||
13.90 | 12.66 | 22,768 | 1.75 | 0.51 | 1.84 | 0.41 | 127 | |||||||||||||||||||||||||||
14.00 | 13.92 | 715,191 | 0.59 | 1.69 | 0.69 | 1.59 | 127 | |||||||||||||||||||||||||||
14.06 | 13.35 | 1,697 | 1.11 | 1.28 | 1.20 | 1.19 | 127 | |||||||||||||||||||||||||||
12.69 | 17.13 | 186,441 | 1.10 | 0.99 | 1.14 | 0.95 | 132 | |||||||||||||||||||||||||||
12.59 | 16.32 | 20,479 | 1.85 | 0.22 | 1.89 | 0.18 | 132 | |||||||||||||||||||||||||||
12.60 | 16.32 | 20,666 | 1.85 | 0.22 | 1.89 | 0.18 | 132 | |||||||||||||||||||||||||||
12.69 | 17.69 | 384,875 | 0.70 | 1.39 | 0.74 | 1.35 | 132 | |||||||||||||||||||||||||||
12.73 | 17.06 | 799 | 1.20 | 0.87 | 1.24 | 0.83 | 132 | |||||||||||||||||||||||||||
11.15 | 18.93 | 100,374 | 1.10 | 0.95 | 1.15 | 0.90 | 154 | |||||||||||||||||||||||||||
11.06 | 18.09 | 19,819 | 1.85 | 0.19 | 1.90 | 0.14 | 154 | |||||||||||||||||||||||||||
11.07 | 17.97 | 17,027 | 1.85 | 0.19 | 1.90 | 0.14 | 154 | |||||||||||||||||||||||||||
11.14 | 19.41 | 194,541 | 0.70 | 1.36 | 0.75 | 1.31 | 154 | |||||||||||||||||||||||||||
11.18 | 18.89 | 487 | 1.20 | 0.84 | 1.25 | 0.79 | 154 | |||||||||||||||||||||||||||
9.48 | 9.70 | 79,866 | 1.11 | 1.13 | 1.22 | 1.02 | 102 | |||||||||||||||||||||||||||
9.40 | 8.83 | 18,077 | 1.86 | 0.38 | 1.97 | 0.27 | 102 | |||||||||||||||||||||||||||
9.42 | 8.95 | 13,798 | 1.86 | 0.37 | 1.97 | 0.26 | 102 | |||||||||||||||||||||||||||
9.47 | 10.03 | 145,059 | 0.71 | 1.52 | 0.82 | 1.41 | 102 | |||||||||||||||||||||||||||
9.50 | 9.58 | 327 | 1.21 | 1.02 | 1.32 | 0.91 | 102 | |||||||||||||||||||||||||||
8.74 | (14.61 | ) | 76,472 | 1.11 | 0.76 | 1.20 | 0.67 | 112 | ||||||||||||||||||||||||||
8.67 | (15.28 | ) | 18,828 | 1.86 | — | (d) | 1.95 | (0.09 | ) | 112 | ||||||||||||||||||||||||
8.68 | (15.26 | ) | 12,533 | 1.86 | 0.01 | 1.95 | (0.08 | ) | 112 | |||||||||||||||||||||||||
8.74 | (14.25 | ) | 108,613 | 0.71 | 1.15 | 0.80 | 1.06 | 112 | ||||||||||||||||||||||||||
8.74 | (14.70 | ) | 281 | 1.21 | 0.72 | 1.30 | 0.63 | 112 | ||||||||||||||||||||||||||
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 31.79 | $ | 0.16 | $ | 2.03 | $ | 2.19 | $ | (0.27 | ) | $ | (1.11 | ) | $ | (1.38 | ) | |||||||||||||||
2007 - B | 29.92 | 0.04 | 1.90 | 1.94 | (0.12 | ) | (1.11 | ) | (1.23 | ) | ||||||||||||||||||||||
2007 - C | 29.78 | 0.04 | 1.89 | 1.93 | (0.13 | ) | (1.11 | ) | (1.24 | ) | ||||||||||||||||||||||
2007 - Institutional | 32.48 | 0.23 | 2.07 | 2.30 | (0.38 | ) | (1.11 | ) | (1.49 | ) | ||||||||||||||||||||||
2007 - Service | 31.50 | 0.14 | 2.01 | 2.15 | (0.24 | ) | (1.11 | ) | (1.35 | ) | ||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | 29.13 | 0.24 | 2.53 | 2.77 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2006 - B | 27.52 | —(d | ) | 2.40 | 2.40 | — | — | — | ||||||||||||||||||||||||
2006 - C | 27.39 | 0.01 | 2.38 | 2.39 | — | — | — | |||||||||||||||||||||||||
2006 - Institutional | 29.72 | 0.38 | 2.56 | 2.94 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||||
2006 - Service | 28.88 | 0.21 | 2.50 | 2.71 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||||
2005 - A | 25.81 | 0.26 | (c) | 3.28 | 3.54 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||||||
2005 - B | 24.39 | 0.05 | (c) | 3.09 | 3.14 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||
2005 - C | 24.30 | 0.05 | (c) | 3.07 | 3.12 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||
2005 - Institutional | 26.32 | 0.36 | (c) | 3.37 | 3.73 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||||
2005 - Service | 25.60 | 0.23 | (c) | 3.25 | 3.48 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||||||
2004 - A | 22.57 | 0.11 | 3.20 | 3.31 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2004 - B | 21.42 | (0.08 | ) | 3.05 | 2.97 | — | — | — | ||||||||||||||||||||||||
2004 - C | 21.34 | (0.08 | ) | 3.04 | 2.96 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 23.00 | 0.21 | 3.27 | 3.48 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||||
2004 - Service | 22.40 | 0.08 | 3.19 | 3.27 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2003 - A | 20.18 | 0.09 | 2.31 | 2.40 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2003 - B | 19.28 | (0.06 | ) | 2.20 | 2.14 | — | — | — | ||||||||||||||||||||||||
2003 - C | 19.20 | (0.06 | ) | 2.20 | 2.14 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 20.57 | 0.17 | 2.37 | 2.54 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2003 - Service | 20.03 | 0.07 | 2.30 | 2.37 | — | — | — | |||||||||||||||||||||||||
2002 - A | 24.30 | 0.04 | (4.16 | ) | (4.12 | ) | — | — | — | |||||||||||||||||||||||
2002 - B | 23.39 | (0.13 | ) | (3.98 | ) | (4.11 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 23.29 | (0.12 | ) | (3.97 | ) | (4.09 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 24.68 | 0.14 | (4.25 | ) | (4.11 | ) | — | — | — | |||||||||||||||||||||||
2002 - Service | 24.15 | 0.02 | (4.14 | ) | (4.12 | ) | — | — | — | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Reflects income recognized from a special dividend which amounted to $0.10 per share and .03% of average net assets. |
(d) | Amount is less than $0.005. |
(e) | Annualized. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 32.60 | 6.85 | % | $ | 772,512 | 0.95 | %(e) | 0.95 | %(e) | 1.11 | %(e) | 0.79 | %(e) | 48 | % | |||||||||||||||||||
30.63 | 6.43 | 123,935 | 1.70 | (e) | 0.23 | (e) | 1.86 | (e) | 0.07 | (e) | 48 | |||||||||||||||||||||||
30.47 | 6.42 | 58,567 | 1.70 | (e) | 0.23 | (e) | 1.86 | (e) | 0.07 | (e) | 48 | |||||||||||||||||||||||
33.29 | 7.05 | 742,490 | 0.55 | (e) | 1.35 | (e) | 0.71 | (e) | 1.19 | (e) | 48 | |||||||||||||||||||||||
32.30 | 6.79 | 16,049 | 1.05 | (e) | 0.84 | (e) | 1.21 | (e) | 0.68 | (e) | 48 | |||||||||||||||||||||||
31.79 | 9.51 | 611,999 | 0.99 | 0.79 | 1.15 | 0.64 | 129 | |||||||||||||||||||||||||||
29.92 | 8.72 | 78,110 | 1.75 | 0.01 | 1.90 | (0.13 | ) | 129 | ||||||||||||||||||||||||||
29.78 | 8.73 | 36,628 | 1.75 | 0.03 | 1.90 | (0.12 | ) | 129 | ||||||||||||||||||||||||||
32.48 | 9.97 | 644,250 | 0.59 | 1.22 | 0.75 | 1.06 | 129 | |||||||||||||||||||||||||||
31.50 | 9.39 | 13,019 | 1.09 | 0.70 | 1.25 | 0.55 | 129 | |||||||||||||||||||||||||||
29.13 | 13.75 | 477,204 | 1.09 | 0.93 | (c) | 1.19 | 0.83 | (c) | 142 | |||||||||||||||||||||||||
27.52 | 12.87 | 108,595 | 1.84 | 0.19 | (c) | 1.94 | 0.09 | (c) | 142 | |||||||||||||||||||||||||
27.39 | 12.86 | 38,380 | 1.84 | 0.20 | (c) | 1.94 | 0.10 | (c) | 142 | |||||||||||||||||||||||||
29.72 | 14.16 | 269,545 | 0.69 | 1.23 | (c) | 0.79 | 1.13 | (c) | 142 | |||||||||||||||||||||||||
28.88 | 13.61 | 10,328 | 1.15 | 0.84 | (c) | 1.25 | 0.74 | (c) | 142 | |||||||||||||||||||||||||
25.81 | 14.71 | 398,346 | 1.13 | 0.43 | 1.25 | 0.31 | 112 | |||||||||||||||||||||||||||
24.39 | 13.87 | 115,492 | 1.88 | (0.32 | ) | 2.00 | (0.44 | ) | 112 | |||||||||||||||||||||||||
24.30 | 13.87 | 38,656 | 1.88 | (0.32 | ) | 2.00 | (0.44 | ) | 112 | |||||||||||||||||||||||||
26.32 | 15.18 | 140,587 | 0.73 | 0.83 | 0.85 | 0.71 | 112 | |||||||||||||||||||||||||||
25.60 | 14.60 | 9,215 | 1.23 | 0.33 | 1.35 | 0.21 | 112 | |||||||||||||||||||||||||||
22.57 | 11.90 | 351,673 | 1.15 | 0.44 | 1.26 | 0.33 | 74 | |||||||||||||||||||||||||||
21.42 | 11.10 | 118,993 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | �� | ||||||||||||||||||||||||
21.34 | 11.15 | 36,546 | 1.90 | (0.31 | ) | 2.01 | (0.42 | ) | 74 | |||||||||||||||||||||||||
23.00 | 12.40 | 131,457 | 0.75 | 0.84 | 0.86 | 0.73 | 74 | |||||||||||||||||||||||||||
22.40 | 11.83 | 7,717 | 1.25 | 0.34 | 1.36 | 0.23 | 74 | |||||||||||||||||||||||||||
20.18 | (16.95 | ) | 340,934 | 1.14 | 0.19 | 1.24 | 0.09 | 74 | ||||||||||||||||||||||||||
19.28 | (17.57 | ) | 125,243 | 1.89 | (0.57 | ) | 1.99 | (0.67 | ) | 74 | ||||||||||||||||||||||||
19.20 | (17.56 | ) | 36,223 | 1.89 | (0.56 | ) | 1.99 | (0.66 | ) | 74 | ||||||||||||||||||||||||
20.57 | (16.65 | ) | 163,439 | 0.74 | 0.59 | 0.84 | 0.49 | 74 | ||||||||||||||||||||||||||
20.03 | (17.06 | ) | 6,484 | 1.24 | 0.09 | 1.34 | (0.01 | ) | 74 | |||||||||||||||||||||||||
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 13.20 | $ | 0.02 | $ | 0.80 | $ | 0.82 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | ||||||||||||||||
2007 - B | 12.33 | (0.03 | ) | 0.75 | 0.72 | — | — | — | ||||||||||||||||||||||||
2007 - C | 12.34 | (0.03 | ) | 0.75 | 0.72 | — | — | — | ||||||||||||||||||||||||
2007 - Institutional | 13.58 | 0.05 | 0.82 | 0.87 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2007 - Service | 13.10 | 0.01 | 0.79 | 0.80 | — | — | — | |||||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | 12.55 | 0.04 | 0.61 | 0.65 | — | (f) | — | — | (f) | |||||||||||||||||||||||
2006 - B | 11.81 | (0.06 | ) | 0.58 | 0.52 | — | — | — | ||||||||||||||||||||||||
2006 - C | 11.81 | (0.06 | ) | 0.59 | 0.53 | — | — | — | ||||||||||||||||||||||||
2006 - Institutional | 12.89 | 0.09 | 0.64 | 0.73 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||||||
2006 - Service | 12.43 | 0.02 | 0.65 | 0.67 | — | — | — | |||||||||||||||||||||||||
2005 - A | 11.13 | 0.04 | (c) | 1.38 | (d) | 1.42 | — | — | — | |||||||||||||||||||||||
2005 - B | 10.55 | (0.04 | )(c) | 1.30 | (d) | 1.26 | — | — | — | |||||||||||||||||||||||
2005 - C | 10.55 | (0.04 | )(c) | 1.30 | (d) | 1.26 | — | — | — | |||||||||||||||||||||||
2005 - Institutional | 11.38 | 0.08 | (c) | 1.43 | (d) | 1.51 | — | — | — | |||||||||||||||||||||||
2005 - Service | 11.04 | 0.04 | (c) | 1.35 | (d) | 1.39 | — | — | — | |||||||||||||||||||||||
2004 - A | 10.33 | (0.01 | ) | 0.81 | 0.80 | — | — | — | ||||||||||||||||||||||||
2004 - B | 9.87 | (0.09 | ) | 0.77 | 0.68 | — | — | — | ||||||||||||||||||||||||
2004 - C | 9.87 | (0.09 | ) | 0.77 | 0.68 | — | — | — | ||||||||||||||||||||||||
2004 - Institutional | 10.52 | 0.03 | 0.83 | 0.86 | — | — | — | |||||||||||||||||||||||||
2004 - Service | 10.26 | (0.02 | ) | 0.80 | 0.78 | — | — | — | ||||||||||||||||||||||||
2003 - A | 9.06 | (0.01 | ) | 1.28 | 1.27 | — | — | — | ||||||||||||||||||||||||
2003 - B | 8.72 | (0.07 | ) | 1.22 | 1.15 | — | — | — | ||||||||||||||||||||||||
2003 - C | 8.72 | (0.07 | ) | 1.22 | 1.15 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 9.19 | 0.03 | 1.30 | 1.33 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 9.01 | (0.02 | ) | 1.27 | 1.25 | — | — | — | ||||||||||||||||||||||||
2002 - A | 11.51 | (0.03 | ) | (2.38 | ) | (2.41 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - B | 11.16 | (0.11 | ) | (2.29 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - C | 11.17 | (0.11 | ) | (2.30 | ) | (2.41 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
2002 - Institutional | 11.63 | 0.01 | (2.41 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||||
2002 - Service | 11.45 | (0.04 | ) | (2.36 | ) | (2.40 | ) | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Reflects income recognized from a special dividend which amounted to $0.03 per share and 0.30% of average net assets. |
(d) | Reflects an increase of $0.01 due to payments by affiliates during the period to reimburse certain security claims. |
(e) | Performance has not been restated to reflect the impact of security claims recorded during the period. If restated, the performance would have been 12.67%, 11.85%, 11.85%, 13.18% and 12,50% for Class A, Class B, Class C, Institutional and Service Shares, respectively. |
(f) | Amount is less than $0.005 per share. |
(g) | Annualized. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | at end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 14.01 | 6.20 | % | $ | 490,916 | 0.95 | %(g) | 0.28 | %(g) | 1.11 | %(g) | 0.11 | %(g) | 56 | % | |||||||||||||||||||
13.05 | 5.84 | 33,943 | 1.70 | (g) | (0.51 | )(g) | 1.87 | (g) | (0.67 | )(g) | 56 | |||||||||||||||||||||||
13.06 | 5.83 | 21,784 | 1.70 | (g) | (0.51 | )(g) | 1.87 | (g) | (0.67 | )(g) | 56 | |||||||||||||||||||||||
14.41 | 6.43 | 928,670 | 0.55 | (g) | 0.68 | (g) | 0.71 | (g) | 0.52 | (g) | 56 | |||||||||||||||||||||||
13.90 | 6.11 | 284 | 1.05 | (g) | 0.08 | (g) | 1.22 | (g) | (0.10 | )(g) | 56 | |||||||||||||||||||||||
13.20 | 5.21 | 310,386 | 1.00 | 0.29 | 1.20 | 0.09 | 111 | |||||||||||||||||||||||||||
12.33 | 4.40 | 41,947 | 1.76 | (0.52 | ) | 1.95 | (0.72 | ) | 111 | |||||||||||||||||||||||||
12.34 | 4.49 | 22,811 | 1.76 | (0.52 | ) | 1.95 | (0.71 | ) | 111 | |||||||||||||||||||||||||
13.58 | 5.66 | 488,448 | 0.60 | 0.69 | 0.80 | 0.49 | 111 | |||||||||||||||||||||||||||
13.10 | 5.39 | 260 | 1.10 | 0.16 | 1.30 | (0.05 | ) | 111 | ||||||||||||||||||||||||||
12.55 | 12.76 | (e) | 166,792 | 1.11 | 0.37 | (c) | 1.24 | 0.24 | (c) | 146 | ||||||||||||||||||||||||
11.81 | 11.94 | (e) | 65,545 | 1.86 | (0.32 | )(c) | 1.99 | (0.45 | )(c) | 146 | ||||||||||||||||||||||||
11.81 | 11.94 | (e) | 29,672 | 1.86 | (0.32 | )(c) | 1.99 | (0.45 | )(c) | 146 | ||||||||||||||||||||||||
12.89 | 13.27 | (e) | 263,906 | 0.71 | 0.65 | (c) | 0.84 | 0.52 | (c) | 146 | ||||||||||||||||||||||||
12.43 | 12.59 | (e) | 227 | 1.21 | 0.38 | (c) | 1.34 | 0.25 | (c) | 146 | ||||||||||||||||||||||||
11.13 | 7.74 | 120,872 | 1.15 | (0.10 | ) | 1.29 | (0.24 | ) | 149 | |||||||||||||||||||||||||
10.55 | 6.89 | 78,810 | 1.90 | (0.85 | ) | 2.04 | (0.99 | ) | 149 | |||||||||||||||||||||||||
10.55 | 6.89 | 32,901 | 1.90 | (0.85 | ) | 2.04 | (0.99 | ) | 149 | |||||||||||||||||||||||||
11.38 | 8.17 | 109,353 | 0.75 | 0.31 | 0.89 | 0.17 | 149 | |||||||||||||||||||||||||||
11.04 | 7.60 | 361 | 1.25 | (0.20 | ) | 1.39 | (0.34 | ) | 149 | |||||||||||||||||||||||||
10.33 | 14.02 | 127,317 | 1.18 | (0.07 | ) | 1.31 | (0.20 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 91,084 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
9.87 | 13.19 | 36,553 | 1.93 | (0.82 | ) | 2.06 | (0.95 | ) | 119 | |||||||||||||||||||||||||
10.52 | 14.47 | 114,524 | 0.78 | 0.33 | 0.91 | 0.20 | 119 | |||||||||||||||||||||||||||
10.26 | 13.87 | 410 | 1.28 | (0.17 | ) | 1.41 | (0.30 | ) | 119 | |||||||||||||||||||||||||
9.06 | (21.04 | ) | 139,593 | 1.17 | (0.32 | ) | 1.27 | (0.42 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.61 | ) | 99,959 | 1.92 | (1.06 | ) | 2.02 | (1.16 | ) | 113 | ||||||||||||||||||||||||
8.72 | (21.68 | ) | 41,627 | 1.92 | (1.07 | ) | 2.02 | (1.17 | ) | 113 | ||||||||||||||||||||||||
9.19 | (20.74 | ) | 131,590 | 0.77 | 0.08 | 0.87 | (0.02 | ) | 113 | |||||||||||||||||||||||||
9.01 | (21.06 | ) | 409 | 1.27 | (0.41 | ) | 1.37 | (0.51 | ) | 113 | ||||||||||||||||||||||||
Income (loss) from | Distributions | |||||||||||||||||||||||||||||||
investment operations | to shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 13.76 | $ | 0.01 | $ | 1.42 | $ | 1.43 | $ | (0.01 | ) | $ | (0.84 | ) | $ | (0.85 | ) | |||||||||||||||
2007 - B | 12.69 | (0.04 | ) | 1.31 | 1.27 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||||||
2007 - C | 12.74 | (0.03 | ) | 1.30 | 1.27 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||||||
2007 - Institutional | 14.23 | 0.04 | 1.48 | 1.52 | (0.06 | ) | (0.84 | ) | (0.90 | ) | ||||||||||||||||||||||
2007 - Service | 13.59 | 0.01 | 1.40 | 1.41 | — | (0.84 | ) | (0.84 | ) | |||||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | 14.55 | — | (d) | 0.35 | 0.35 | — | (1.14 | ) | (1.14 | ) | ||||||||||||||||||||||
2006 - B | 13.60 | (0.10 | ) | 0.33 | 0.23 | — | (1.14 | ) | (1.14 | ) | ||||||||||||||||||||||
2006 - C | 13.64 | (0.10 | ) | 0.34 | 0.24 | — | (1.14 | ) | (1.14 | ) | ||||||||||||||||||||||
2006 - Institutional | 14.95 | 0.06 | 0.36 | 0.42 | — | (1.14 | ) | (1.14 | ) | |||||||||||||||||||||||
2006 - Service | 14.40 | (0.01 | ) | 0.34 | 0.33 | — | (1.14 | ) | (1.14 | ) | ||||||||||||||||||||||
2005 - A | 12.24 | (0.02 | ) | 3.02 | 3.00 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - B | 11.56 | (0.11 | ) | 2.84 | 2.73 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - C | 11.60 | (0.11 | ) | 2.84 | 2.73 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2005 - Institutional | 12.52 | 0.04 | 3.08 | 3.12 | — | (0.69 | ) | (0.69 | ) | |||||||||||||||||||||||
2005 - Service | 12.13 | (0.03 | ) | 2.99 | 2.96 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - A | 11.61 | (0.04 | ) | 1.38 | 1.34 | (0.02 | ) | (0.69 | ) | (0.71 | ) | |||||||||||||||||||||
2004 - B | 11.06 | (0.13 | ) | 1.32 | 1.19 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - C | 11.10 | (0.13 | ) | 1.32 | 1.19 | — | (0.69 | ) | (0.69 | ) | ||||||||||||||||||||||
2004 - Institutional | 11.84 | 0.01 | 1.41 | 1.42 | (0.05 | ) | (0.69 | ) | (0.74 | ) | ||||||||||||||||||||||
2004 - Service | 11.53 | (0.05 | ) | 1.36 | 1.31 | (0.02 | ) | (0.69 | ) | (0.71 | ) | |||||||||||||||||||||
2003 - A | 9.36 | 0.02 | 2.23 | 2.25 | — | — | — | |||||||||||||||||||||||||
2003 - B | 8.99 | (0.05 | ) | 2.12 | 2.07 | — | — | — | ||||||||||||||||||||||||
2003 - C | 9.01 | (0.05 | ) | 2.14 | 2.09 | — | — | — | ||||||||||||||||||||||||
2003 - Institutional | 9.51 | 0.06 | 2.27 | 2.33 | — | — | — | |||||||||||||||||||||||||
2003 - Service | 9.30 | 0.01 | 2.22 | 2.23 | — | — | — | |||||||||||||||||||||||||
2002 - A | 10.59 | — | (d) | (0.83 | ) | (0.83 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - B | 10.26 | (0.08 | ) | (0.79 | ) | (0.87 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - C | 10.29 | (0.07 | ) | (0.81 | ) | (0.88 | ) | — | (0.40 | ) | (0.40 | ) | ||||||||||||||||||||
2002 - Institutional | 10.76 | 0.04 | (0.85 | ) | (0.81 | ) | (0.04 | ) | (0.40 | ) | (0.44 | ) | ||||||||||||||||||||
2002 - Service | 10.55 | 0.01 | (0.84 | ) | (0.83 | ) | (0.02 | ) | (0.40 | ) | (0.42 | ) | ||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Annualized. |
(d) | Amount is less than $0.005 per share. |
(e) | Amount is less than 0.005%. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 14.34 | 10.41 | % | $ | 299,902 | 1.25 | %(c) | 0.19 | %(c) | 1.32 | %(c) | 0.12 | %(c) | 55 | % | |||||||||||||||||||
13.12 | 10.06 | 14,623 | 2.00 | (c) | (0.53 | )(c) | 2.08 | (c) | (0.61 | )(c) | 55 | |||||||||||||||||||||||
13.17 | 10.10 | 26,161 | 2.00 | (c) | (0.53 | )(c) | 2.08 | (c) | (0.60 | )(c) | 55 | |||||||||||||||||||||||
14.85 | 10.71 | 900,976 | 0.85 | (c) | 0.59 | (c) | 0.92 | (c) | 0.52 | (c) | 55 | |||||||||||||||||||||||
14.16 | 10.43 | 29,278 | 1.35 | (c) | 0.12 | (c) | 1.42 | (c) | 0.04 | (c) | 55 | |||||||||||||||||||||||
13.76 | 2.42 | 185,508 | 1.27 | — | (e) | 1.37 | (0.09 | ) | 151 | |||||||||||||||||||||||||
12.69 | 1.66 | 16,197 | 2.02 | (0.75 | ) | 2.11 | (0.84 | ) | 151 | |||||||||||||||||||||||||
12.74 | 1.65 | 25,899 | 2.02 | (0.75 | ) | 2.11 | (0.84 | ) | 151 | |||||||||||||||||||||||||
14.23 | 2.77 | 504,101 | 0.87 | 0.40 | 0.97 | 0.30 | 151 | |||||||||||||||||||||||||||
13.59 | 2.30 | 29,501 | 1.37 | (0.09 | ) | 1.46 | (0.18 | ) | 151 | |||||||||||||||||||||||||
14.55 | 24.97 | 154,877 | 1.33 | (0.15 | ) | 1.41 | (0.23 | ) | 149 | |||||||||||||||||||||||||
13.60 | 24.07 | 19,555 | 2.08 | (0.89 | ) | 2.16 | (0.97 | ) | 149 | |||||||||||||||||||||||||
13.64 | 24.09 | 24,901 | 2.08 | (0.90 | ) | 2.16 | (0.98 | ) | 149 | |||||||||||||||||||||||||
14.95 | 25.57 | 328,912 | 0.93 | 0.25 | 1.01 | 0.17 | 149 | |||||||||||||||||||||||||||
14.40 | 24.86 | 38,412 | 1.43 | (0.26 | ) | 1.51 | (0.34 | ) | 149 | |||||||||||||||||||||||||
12.24 | 11.87 | 114,684 | 1.33 | (0.30 | ) | 1.43 | (0.40 | ) | 153 | |||||||||||||||||||||||||
11.56 | 11.08 | 19,642 | 2.08 | (1.04 | ) | 2.18 | (1.14 | ) | 153 | |||||||||||||||||||||||||
11.60 | 11.05 | 20,915 | 2.08 | (1.05 | ) | 2.18 | (1.15 | ) | 153 | |||||||||||||||||||||||||
12.52 | 12.31 | 145,003 | 0.93 | 0.10 | 1.03 | — | 153 | |||||||||||||||||||||||||||
12.13 | 11.79 | 42,618 | 1.43 | (0.40 | ) | 1.53 | (0.50 | ) | 153 | |||||||||||||||||||||||||
11.61 | 24.04 | 89,340 | 1.34 | 0.25 | 1.52 | 0.07 | 149 | |||||||||||||||||||||||||||
11.06 | 23.03 | 19,408 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.10 | 23.09 | 16,463 | 2.09 | (0.51 | ) | 2.27 | (0.69 | ) | 149 | |||||||||||||||||||||||||
11.84 | 24.50 | 111,957 | 0.94 | 0.65 | 1.12 | 0.47 | 149 | |||||||||||||||||||||||||||
11.53 | 23.87 | 40,775 | 1.44 | 0.15 | 1.62 | (0.03 | ) | 149 | ||||||||||||||||||||||||||
9.36 | (8.20 | ) | 57,014 | 1.34 | 0.01 | 1.58 | (0.23 | ) | 136 | |||||||||||||||||||||||||
8.99 | (8.88 | ) | 16,854 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.01 | (8.95 | ) | 11,504 | 2.09 | (0.74 | ) | 2.33 | (0.98 | ) | 136 | ||||||||||||||||||||||||
9.51 | (7.93 | ) | 57,683 | 0.94 | 0.39 | 1.18 | 0.15 | 136 | ||||||||||||||||||||||||||
9.30 | (8.27 | ) | 28,999 | 1.44 | 0.15 | 1.68 | (0.09 | ) | 136 | |||||||||||||||||||||||||
Income (loss) from | Distributions to | |||||||||||||||||||||||||||||||
investment operations | shareholders | |||||||||||||||||||||||||||||||
Net asset | ||||||||||||||||||||||||||||||||
value, | Net | Net realized | Total from | From net | From net | |||||||||||||||||||||||||||
beginning | investment | and unrealized | investment | investment | realized | Total | ||||||||||||||||||||||||||
Year - Share Class | of period | income (loss)(a) | gain (loss) | operations | income | gains | distributions | |||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED FEBRUARY 28, (Unaudited) | ||||||||||||||||||||||||||||||||
2007 - A | $ | 14.29 | $ | (0.01 | ) | $ | 1.79 | $ | 1.78 | $ | (0.17 | ) | $ | (0.85 | ) | $ | (1.02 | ) | ||||||||||||||
2007 - B | 14.09 | (0.06 | ) | 1.76 | 1.70 | (0.06 | ) | (0.85 | ) | (0.91 | ) | |||||||||||||||||||||
2007 - C | 14.09 | (0.06 | ) | 1.76 | 1.70 | (0.08 | ) | (0.85 | ) | (0.93 | ) | |||||||||||||||||||||
2007 - Institutional | 14.59 | 0.02 | 1.84 | 1.86 | (0.22 | ) | (0.85 | ) | (1.07 | ) | ||||||||||||||||||||||
2007 - Service | 14.31 | (0.02 | ) | 1.81 | 1.79 | (0.16 | ) | (0.85 | ) | (1.01 | ) | |||||||||||||||||||||
FOR THE YEARS ENDED AUGUST 31, | ||||||||||||||||||||||||||||||||
2006 - A | 11.70 | 0.21 | 2.57 | 2.78 | (0.11 | ) | (0.08 | ) | (0.19 | ) | ||||||||||||||||||||||
2006 - B | 11.53 | 0.08 | 2.57 | 2.65 | (0.01 | ) | (0.08 | ) | (0.09 | ) | ||||||||||||||||||||||
2006 - C | 11.54 | 0.09 | 2.56 | 2.65 | (0.02 | ) | (0.08 | ) | (0.10 | ) | ||||||||||||||||||||||
2006 - Institutional | 11.93 | 0.27 | 2.61 | 2.88 | (0.14 | ) | (0.08 | ) | (0.22 | ) | ||||||||||||||||||||||
2006 - Service | 11.73 | 0.18 | 2.59 | 2.77 | (0.11 | ) | (0.08 | ) | (0.19 | ) | ||||||||||||||||||||||
2005 - A | 9.49 | 0.18 | 2.10 | 2.28 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2005 - B | 9.37 | 0.08 | 2.08 | 2.16 | — | — | — | |||||||||||||||||||||||||
2005 - C | 9.37 | 0.08 | 2.09 | 2.17 | — | — | — | |||||||||||||||||||||||||
2005 - Institutional | 9.68 | 0.22 | 2.14 | 2.36 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2005 - Service | 9.54 | 0.29 | 1.98 | 2.27 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2004 - A | 7.66 | 0.10 | 1.80 | 1.90 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||
2004 - B | 7.56 | 0.04 | 1.80 | 1.84 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||
2004 - C | 7.56 | 0.04 | 1.79 | 1.83 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||||
2004 - Institutional | 7.80 | 0.15 | 1.84 | 1.99 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2004 - Service | 7.70 | 0.15 | 1.77 | 1.92 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||
2003 - A | 7.35 | 0.08 | 0.28 | 0.36 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||||||
2003 - B | 7.24 | 0.04 | 0.28 | 0.32 | — | (c) | — | — | (c) | |||||||||||||||||||||||
2003 - C | 7.25 | 0.04 | 0.28 | 0.32 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
2003 - Institutional | 7.49 | 0.12 | 0.29 | 0.41 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||||||
2003 - Service | 7.39 | 0.10 | 0.27 | 0.37 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||||
2002 - A | 8.38 | 0.03 | (1.06 | ) | (1.03 | ) | — | — | — | |||||||||||||||||||||||
2002 - B | 8.29 | (0.01 | ) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - C | 8.30 | (0.01 | ) | (1.04 | ) | (1.05 | ) | — | — | — | ||||||||||||||||||||||
2002 - Institutional | 8.50 | 0.08 | (1.07 | ) | (0.99 | ) | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
2002 - Service | 8.41 | 0.05 | (1.07 | ) | (1.02 | ) | — | — | — | |||||||||||||||||||||||
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges. Total return would be reduced if a sales or redemption charge were taken into account. Total returns for periods less than one full year are not annualized. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
(c) | Amount is less than $0.005 per share. |
(d) | Annualized. |
Ratios assuming no | ||||||||||||||||||||||||||||||||||
expense reductions | ||||||||||||||||||||||||||||||||||
Ratio of | Ratio of | |||||||||||||||||||||||||||||||||
Net assets, | Ratio of | net investment | Ratio of | net investment | ||||||||||||||||||||||||||||||
Net asset | end of | net expenses | income (loss) | total expenses | income (loss) | Portfolio | ||||||||||||||||||||||||||||
value, end | Total | period | to average | to average | to average | to average | turnover | |||||||||||||||||||||||||||
of period | return(b) | (in 000s) | net assets | net assets | net assets | net assets | rate | |||||||||||||||||||||||||||
$ | 15.05 | 12.75 | % | $ | 1,089,165 | 1.22 | %(d) | (0.14 | )%(d) | 1.27 | %(d) | (0.19 | )%(d) | 31 | % | |||||||||||||||||||
14.88 | 12.32 | 12,383 | 1.97 | (d) | (0.89 | )(d) | 2.02 | (d) | (0.95 | )(d) | 31 | |||||||||||||||||||||||
14.86 | 12.31 | 9,749 | 1.97 | (d) | (0.89 | )(d) | 2.02 | (d) | (0.94 | )(d) | 31 | |||||||||||||||||||||||
15.38 | 13.02 | 2,413,836 | 0.82 | (d) | 0.27 | (d) | 0.87 | (d) | 0.22 | (d) | 31 | |||||||||||||||||||||||
15.09 | 12.76 | 52,439 | 1.32 | (d) | (0.24 | )(d) | 1.37 | (d) | (0.29 | )(d) | 31 | |||||||||||||||||||||||
14.29 | 24.02 | 739,861 | 1.26 | 1.63 | 1.35 | 1.54 | 59 | |||||||||||||||||||||||||||
14.09 | 23.18 | 10,306 | 2.02 | 0.64 | 2.11 | 0.55 | 59 | |||||||||||||||||||||||||||
14.09 | 23.10 | 7,110 | 2.02 | 0.67 | 2.11 | 0.58 | 59 | |||||||||||||||||||||||||||
14.59 | 24.52 | 1,661,909 | 0.86 | 2.01 | 0.95 | 1.92 | 59 | |||||||||||||||||||||||||||
14.31 | 23.87 | 40,369 | 1.37 | 1.38 | 1.46 | 1.29 | 59 | |||||||||||||||||||||||||||
11.70 | 24.12 | 293,591 | 1.39 | 1.64 | 1.40 | 1.63 | 73 | |||||||||||||||||||||||||||
11.53 | 23.05 | 8,075 | 2.14 | 0.75 | 2.15 | 0.74 | 73 | |||||||||||||||||||||||||||
11.54 | 23.16 | 4,824 | 2.14 | 0.75 | 2.15 | 0.74 | 73 | |||||||||||||||||||||||||||
11.93 | 24.51 | 697,144 | 0.99 | 1.96 | 1.00 | 1.95 | 73 | |||||||||||||||||||||||||||
11.73 | 23.93 | 22,429 | 1.49 | 2.33 | 1.50 | 2.32 | 73 | |||||||||||||||||||||||||||
9.49 | 24.85 | 130,291 | 1.59 | 1.08 | 1.68 | 0.99 | 99 | |||||||||||||||||||||||||||
9.37 | 24.31 | 6,408 | 2.16 | 0.45 | 2.25 | 0.36 | 99 | |||||||||||||||||||||||||||
9.37 | 24.28 | 3,747 | 2.16 | 0.43 | 2.25 | 0.34 | 99 | |||||||||||||||||||||||||||
9.68 | 25.71 | 261,118 | 1.01 | 1.65 | 1.10 | 1.56 | 99 | |||||||||||||||||||||||||||
9.54 | 25.08 | 144 | 1.51 | 1.55 | 1.60 | 1.46 | 99 | |||||||||||||||||||||||||||
7.66 | 5.00 | 95,015 | 1.67 | 1.12 | 1.84 | 0.95 | 122 | |||||||||||||||||||||||||||
7.56 | 4.45 | 5,574 | 2.17 | 0.56 | 2.34 | 0.39 | 122 | |||||||||||||||||||||||||||
7.56 | 4.38 | 3,646 | 2.17 | 0.64 | 2.34 | 0.47 | 122 | |||||||||||||||||||||||||||
7.80 | 5.64 | 158,021 | 1.02 | 1.73 | 1.19 | 1.56 | 122 | |||||||||||||||||||||||||||
7.70 | 5.14 | 31 | 1.52 | 1.45 | 1.69 | 1.28 | 122 | |||||||||||||||||||||||||||
7.35 | (12.29 | ) | 72,405 | 1.67 | 0.38 | 1.82 | 0.23 | 115 | ||||||||||||||||||||||||||
7.24 | (12.67 | ) | 6,434 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.25 | (12.65 | ) | 3,963 | 2.17 | (0.07 | ) | 2.32 | (0.22 | ) | 115 | ||||||||||||||||||||||||
7.49 | (11.68 | ) | 188,858 | 1.02 | 1.02 | 1.17 | 0.87 | 115 | ||||||||||||||||||||||||||
7.39 | (12.13 | ) | 18 | 1.52 | 0.60 | 1.67 | 0.45 | 115 | ||||||||||||||||||||||||||
Structured Large Cap | Structured U.S. | Structured Large Cap | Structured Small Cap | Structured International | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Value Fund | Equity Fund | Growth Fund | Equity Fund | Equity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expenses | Expenses | Expenses | Expenses | Expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Paid | Paid | Paid | Paid | Paid | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning | Ending | for the | Beginning | Ending | for the | Beginning | Ending | for the | Beginning | Ending | for the | Beginning | Ending | for the | ||||||||||||||||||||||||||||||||||||||||||||||
Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | Account | Account | 6 months | ||||||||||||||||||||||||||||||||||||||||||||||
Value | Value | ended | Value | Value | ended | Value | Value | ended | Value | Value | ended | Value | Value | ended | ||||||||||||||||||||||||||||||||||||||||||||||
Share Class | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | 9/1/06 | 2/28/07 | 2/28/07* | |||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,078.10 | $ | 4.91 | $ | 1,000.00 | $ | 1,068.50 | $ | 4.88 | $ | 1,000.00 | $ | 1,062.00 | $ | 4.86 | $ | 1,000.00 | $ | 1,104.10 | $ | 6.53 | $ | 1,000.00 | $ | 1,127.50 | $ | 6.41 | ||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.07 | + | 4.77 | 1,000.00 | 1,020.08 | + | 4.77 | 1,000.00 | 1,020.08 | + | 4.76 | 1,000.00 | 1,018.59 | + | 6.26 | 1,000.00 | 1,018.77 | + | 6.08 | ||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,074.40 | 8.75 | 1,000.00 | 1,064.30 | 8.73 | 1,000.00 | 1,058.40 | 8.67 | 1,000.00 | 1,100.60 | 10.40 | 1,000.00 | 1,123.20 | 10.34 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.36 | + | 8.50 | 1,000.00 | 1,016.34 | + | 8.53 | 1,000.00 | 1,016.37 | + | 8.49 | 1,000.00 | 1,014.89 | + | 9.98 | 1,000.00 | 1,015.05 | + | 9.81 | ||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,073.70 | 8.74 | 1,000.00 | 1,064.20 | 8.72 | 1,000.00 | 1,058.30 | 8.67 | 1,000.00 | 1,101.00 | 10.41 | 1,000.00 | 1,123.10 | 10.34 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.36 | + | 8.50 | 1,000.00 | 1,016.34 | + | 8.52 | 1,000.00 | 1,016.37 | + | 8.49 | 1,000.00 | 1,014.89 | + | 9.98 | 1,000.00 | 1,015.05 | + | 9.82 | ||||||||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,080.00 | 2.85 | 1,000.00 | 1,070.50 | 2.83 | 1,000.00 | 1,064.30 | 2.82 | 1,000.00 | 1,107.10 | 4.45 | 1,000.00 | 1,130.20 | 4.30 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.06 | + | 2.77 | 1,000.00 | 1,022.06 | + | 2.76 | 1,000.00 | 1,022.06 | + | 2.77 | 1,000.00 | 1,020.57 | + | 4.27 | 1,000.00 | 1,020.75 | + | 4.08 | ||||||||||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,077.10 | 5.45 | 1,000.00 | 1,067.90 | 5.39 | 1,000.00 | 1,061.10 | 5.35 | 1,000.00 | 1,104.30 | 7.03 | 1,000.00 | 1,127.60 | 6.93 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.55 | + | 5.30 | 1,000.00 | 1,019.58 | + | 5.26 | 1,000.00 | 1,019.61 | + | 5.24 | 1,000.00 | 1,018.11 | + | 6.75 | 1,000.00 | 1,018.28 | + | 6.58 | ||||||||||||||||||||||||||||||||||||||||
* | Expenses for each share class are calculated using each Fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended February 28, 2007. Expenses are calculated by multiplying the annualized expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Class A | Class B | Class C | Institutional | Service | |||||||||||||||
Structured Large Cap Value | 0.95 | % | 1.70 | % | 1.70 | % | 0.55 | % | 1.05 | % | ||||||||||
Structured U.S. Equity | 0.95 | 1.70 | 1.70 | 0.55 | 1.05 | |||||||||||||||
Structured Large Cap Growth | 0.95 | 1.70 | 1.70 | 0.55 | 1.05 | |||||||||||||||
Structured Small Cap Equity | 1.25 | 2.00 | 2.00 | 0.85 | 1.35 | |||||||||||||||
Structured International Equity | 1.22 | 1.96 | 1.96 | 0.82 | 1.31 | |||||||||||||||
+ | Hypothetical expenses are based on each Fund’s actual expense ratios and an assumed rate of return |
GOLDMAN SACHS FUNDS |
Money Market Funds1 Fixed Income Funds ▪ Enhanced Income Fund ▪ Ultra-Short Duration Government Fund ▪ Short Duration Government Fund ▪ Short Duration Tax-Free Fund ▪ California Intermediate AMT-Free Municipal Fund ▪ New York Intermediate AMT-Free Municipal Fund ▪ Tennessee Municipal Fund ▪ Municipal Income Fund ▪ U.S. Mortgages Fund ▪ Government Income Fund ▪ Core Fixed Income Fund ▪ Core Plus Fixed Income Fund ▪ Investment Grade Credit Fund ▪ Global Income Fund ▪ High Yield Municipal Fund ▪ High Yield Fund ▪ Emerging Markets Debt Fund | Domestic Equity Funds ▪ Balanced Fund ▪ Growth and Income Fund ▪ Structured Large Cap Value ▪ Large Cap Value Fund ▪ Structured U.S. Equity Fund ▪ Structured U.S. Equity Flex Fund ▪ Structured Large Cap Growth Fund ▪ Capital Growth Fund ▪ Strategic Growth Fund ▪ Concentrated Growth Fund ▪ Mid Cap Value Fund ▪ Growth Opportunities Fund ▪ Small/ Mid Cap Growth Fund ▪ Structured Small Cap Equity Fund ▪ Small Cap Value Fund | International Equity Funds ▪ Structured International Equity Fund ▪ Structured International Equity Flex Fund ▪ Concentrated International Equity Fund2 ▪ Japanese Equity Fund ▪ International Small Cap Fund ▪ Asia Equity Fund ▪ Emerging Markets Equity Fund ▪ BRIC Fund (Brazil, Russia, India, China) Asset Allocation Funds3 Specialty Funds3 ▪ U.S. Equity Dividend and Premium Fund ▪ Structured Tax-Managed Equity Fund ▪ Real Estate Securities Fund ▪ International Real Estate Securities Fund ▪ Tollkeeper FundSM ▪ Commodity Strategy Fund |
1 | An investment in a money market fund is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Funds. |
2 | Effective December 26, 2006 the International Equity Fund was renamed the Concentrated International Equity Fund. |
3 | Individual Funds within the Asset Allocation and Specialty categories will have various placement on the risk/return spectrum and may have greater or lesser risk than that indicated by the placement of the general Asset Allocation or Specialty category. |
The Goldman Sachs Tollkeeper FundSM is a registered service mark of Goldman, Sachs & Co. |
TRUSTEES Ashok N. Bakhru, Chairman John P. Coblentz, Jr. Patrick T. Harker Mary Patterson McPherson Alan A. Shuch Richard P. Strubel | OFFICERS Kaysie P. Uniacke, President James A. Fitzpatrick, Vice President James A. McNamara, Vice President John M. Perlowski, Treasurer Peter V. Bonanno, Secretary |
GOLDMAN, SACHS & CO. Distributor and Transfer Agent | GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser |
Copyright 2007 Goldman, Sachs & Co. All rights reserved. 07-780 | STRUCTSAR / 134.3K / 04-07 |
ITEM 2. | CODE OF ETHICS. |
(a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). | |||
(b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. | |||
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. | |||
(d) | A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. | |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. John P. Coblentz, Jr. is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. | |
N/A |
* | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PricewaterhouseCoopers LLP for the 12 months ended December 31, 2006 and December 31, 2005 were approximately $476,400 and $411,200 respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PricewaterhouseCoopers LLP for non-audit services for the twelve months ended November 25, 2006 and November 26, 2005 were approximately $5.9 million and $5.2 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
The aggregate non-audit fees billed to GST by Ernst & Young LLP for the 12 months ended December 31, 2006 and December 31, 2005 were approximately $107,400 and $84,850, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by Ernst & Young LLP for non-audit services for the twelve months ended December 31, 2006 and December 31, 2005 were approximately $55.9 million and $49.0 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2005 and 2006 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. | |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. | |
Schedule of Investments is included as part of the Report to Stockholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. | |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. | |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. | |
ITEM 11. | CONTROLS AND PROCEDURES. | |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | ||
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 11(a)(1) of the registrant’s Form N-CSR filed on March 8, 2004 for its Real Estate Securities Fund (Accession Number 0000950123-04-0002984). | ||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
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. |
Goldman Sachs Trust | ||||||
By: | /s/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2007 |
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/ Kaysie P. Uniacke | |||||
Kaysie P. Uniacke | ||||||
President/Principal Executive Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2007 | |||||
By: | /s/ John M. Perlowski | |||||
John M. Perlowski | ||||||
Treasurer/Principal Financial Officer | ||||||
Goldman Sachs Trust | ||||||
Date: | May 9, 2007 |