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UNITED STATES |
SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
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FORM N-CSR |
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED |
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Investment Company Act File Number: 811-05476 |
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LORD ABBETT GLOBAL FUND, INC. |
(Exact name of Registrant as specified in charter) |
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90 Hudson Street, Jersey City, NJ 07302 |
(Address of principal executive offices) (Zip code) |
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Thomas R. Phillips, Esq., Vice President & Assistant Secretary |
90 Hudson Street, Jersey City, NJ 07302 |
(Name and address of agent for service) |
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Registrant’s telephone number, including area code: (800) 201-6984 |
Date of fiscal year end: 12/31
Date of reporting period: 6/30/2012
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Item 1: | Report(s) to Shareholders. |
2 0 1 2
L O R D A B B E T T
S E M I A N N U A L
R E P O R T
Lord Abbett
Emerging Markets Currency Fund
Global Allocation Fund
For the six-month period ended June 30, 2012
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Lord Abbett Global Fund |
Lord Abbett Emerging Markets Currency Fund and |
Lord Abbett Global Allocation Fund |
Semiannual Report |
For the six-month period ended June 30, 2012 |
From left to right: Robert S. Dow, Director and Chairman of the Lord Abbett Funds; E. Thayer Bigelow, Independent Lead Director of the Lord Abbett Funds; and Daria L. Foster, Director and President of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this semiannual report of the Lord Abbett Emerging Markets Currency Fund and Lord Abbett Global Allocation Fund for the six-month period ended June 30, 2012. For additional information about the Funds, please visit our Website at www.lordabbett.com, where you can access the quarterly commentaries by the Funds’ portfolio managers. General information about Lord Abbett mutual funds, as well as in-depth discussions of market trends and investment strategies, is also provided in Lord Abbett Insights, a quarterly newsletter available on our Website.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
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Best regards, |
Robert S. Dow |
Chairman |
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1
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Expense Example |
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2012 through June 30, 2012).
Actual Expenses
For each class of each Fund, the first line of the table on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 1/1/12 – 6/30/12” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
2
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Emerging Markets Currency Fund |
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Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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| Beginning |
| Ending |
| Expenses |
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| 1/1/12 |
| 6/30/12 |
| 1/1/12 - |
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Class A |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,047.80 |
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| $ | 5.09 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,019.88 |
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| $ | 5.02 |
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Class B |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,043.50 |
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| $ | 9.15 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,015.92 |
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| $ | 9.02 |
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Class C |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,042.40 |
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| $ | 8.58 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,016.48 |
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| $ | 8.47 |
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Class F |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,046.60 |
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| $ | 4.58 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,020.38 |
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| $ | 4.52 |
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Class I |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,047.20 |
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| $ | 4.05 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,020.91 |
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| $ | 4.00 |
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Class P |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,045.00 |
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| $ | 6.33 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,018.75 |
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| $ | 6.25 |
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Class R2 |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,045.70 |
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| $ | 7.14 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,017.87 |
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| $ | 7.04 |
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Class R3 |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,044.80 |
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| $ | 6.59 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,018.46 |
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| $ | 6.50 |
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† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.00% for Class A, 1.80% for Class B, 1.69% for Class C, 0.90% for Class F, 0.80% for Class I, 1.25% for Class P, 1.40% for Class R2 and 1.30% for Class R3) multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period). |
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Portfolio Holdings Presented by Sector |
June 30, 2012 |
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Sector* |
| %** |
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Asset-Backed |
| 11.30% |
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Automotive |
| 0.41% |
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Banking |
| 7.20% |
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Basic Industry |
| 3.13% |
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Capital Goods |
| 0.27% |
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Consumer Cyclical |
| 3.50% |
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Consumer Non-Cyclical |
| 1.63% |
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Energy |
| 7.17% |
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Financial Services |
| 5.23% |
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Foreign Government |
| 3.76% |
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Sector* |
| %** |
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Health Care |
| 1.49% |
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Insurance |
| 0.36% |
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Media |
| 2.08% |
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Mortgage-Backed |
| 39.18% |
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Real Estate |
| 1.94% |
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Services |
| 1.33% |
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Technology & Electronics |
| 2.30% |
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Telecommunications |
| 1.54% |
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Utility |
| 1.58% |
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Short-Term Investment |
| 4.60% |
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Total |
| 100.00% |
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* | A sector may comprise several industries. |
** | Represents percent of total investments. |
3
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Global Allocation Fund |
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Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. |
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| Beginning |
| Ending |
| Expenses |
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| 1/1/12 |
| 6/30/12 |
| 1/1/12 - |
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Class A |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,041.00 |
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| $ | 1.52 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,023.37 |
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| $ | 1.51 |
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Class B |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,037.40 |
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| $ | 5.30 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,019.67 |
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| $ | 5.25 |
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Class C |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,037.60 |
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| $ | 5.22 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,019.73 |
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| $ | 5.17 |
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Class F |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,042.70 |
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| $ | 0.76 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,024.12 |
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| $ | 0.75 |
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Class I |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,043.00 |
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| $ | 0.25 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,024.61 |
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| $ | 0.25 |
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Class R2 |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,039.60 |
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| $ | 3.30 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,021.63 |
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| $ | 3.27 |
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Class R3 |
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Actual |
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| $ | 1,000.00 |
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| $ | 1,039.80 |
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| $ | 2.64 |
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Hypothetical (5% Return Before Expenses) |
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| $ | 1,000.00 |
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| $ | 1,022.30 |
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| $ | 2.61 |
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† | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.30% for Class A, 1.05% for Class B, 1.03% for Class C, 0.15% for Class F, 0.05% for Class I, 0.65% for Class R2 and 0.52% for Class R3) multiplied by the average account value over the period, multiplied by 182/366 (to reflect one-half year period). |
# | Does not include expenses of Underlying Funds in which Global Allocation Fund invests. |
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Portfolio Holdings Presented by Portfolio Allocation |
June 30, 2012 |
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Portfolio Allocation |
| %* |
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Equity |
| 68.83% |
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Fixed Income |
| 31.04% |
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Short-Term Investment |
| 0.13% |
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Total |
| 100.00% |
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* | Represents percent of total investments. |
4
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Schedule of Investments (unaudited) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
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Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
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ASSET-BACKED SECURITIES 11.32% |
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Automobiles 5.50% |
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Ally Auto Receivables Trust 2011-2 A2 |
| 0.67% |
| 10/15/2013 |
| 0.13 |
| $ | 212 |
| $ | 212,029 |
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Ally Auto Receivables Trust 2011-3 A2 |
| 0.362% | # | 1/15/2014 |
| 0.03 |
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| 157 |
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| 157,019 |
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Ally Auto Receivables Trust 2011-5 A2 |
| 0.80% |
| 6/16/2014 |
| 0.50 |
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| 1,056 |
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| 1,057,370 |
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Ally Auto Receivables Trust 2012-1 A2 |
| 0.71% |
| 9/15/2014 |
| 0.64 |
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| 1,200 |
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| 1,201,682 |
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AmeriCredit Automobile Receivables |
| 0.90% |
| 9/8/2014 |
| 0.23 |
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| 336 |
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| 336,703 |
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AmeriCredit Automobile Receivables |
| 0.84% |
| 11/10/2014 |
| 0.36 |
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| 430 |
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| 430,921 |
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AmeriCredit Automobile Receivables |
| 0.92% |
| 3/9/2015 |
| 0.54 |
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| 698 |
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| 699,767 |
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AmeriCredit Automobile Receivables |
| 1.19% |
| 8/8/2015 |
| 0.73 |
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| 691 |
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| 693,297 |
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AmeriCredit Automobile Receivables |
| 0.91% |
| 10/8/2015 |
| 0.82 |
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| 1,000 |
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| 1,002,368 |
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AmeriCredit Automobile Receivables |
| 0.71% |
| 12/8/2015 |
| 0.92 |
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| 595 |
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| 595,162 |
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Bank of America Auto Trust 2012-1 A2 |
| 0.59% |
| 11/17/2014 |
| 0.80 |
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| 1,000 |
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| 1,000,451 |
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CarMax Auto Owner Trust 2010-3 A2 |
| 0.75% |
| 9/16/2013 |
| 0.03 |
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| 44 |
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| 43,699 |
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CarMax Auto Owner Trust 2011-1 A2 |
| 0.72% |
| 11/15/2013 |
| 0.05 |
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| 227 |
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| 227,068 |
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CarMax Auto Owner Trust 2011-2 A2 |
| 0.68% |
| 9/15/2014 |
| 0.40 |
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| 1,055 |
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| 1,055,898 |
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CarMax Auto Owner Trust 2011-3 A2 |
| 0.70% |
| 11/17/2014 |
| 0.46 |
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| 1,210 |
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| 1,211,516 |
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CarMax Auto Owner Trust 2012-1 A2 |
| 0.59% |
| 3/16/2015 |
| 0.74 |
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| 900 |
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| 900,599 |
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Chrysler Financial Auto Securitization |
| 0.91% |
| 8/8/2013 |
| 0.15 |
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| 922 |
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| 922,857 |
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Ford Credit Auto Lease Trust 2010-B A3† |
| 0.91% |
| 7/15/2013 |
| 0.08 |
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| 336 |
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| 335,726 |
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Ford Credit Auto Lease Trust 2011-A A2 |
| 0.74% |
| 9/15/2013 |
| 0.34 |
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| 1,166 |
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| 1,167,074 |
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Ford Credit Auto Lease Trust 2012-A A2 |
| 0.63% |
| 4/15/2014 |
| 0.79 |
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| 775 |
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| 775,233 |
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Ford Credit Auto Owner Trust 2012-A A2 |
| 0.62% |
| 9/15/2014 |
| 0.48 |
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| 290 |
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| 289,935 |
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Harley-Davidson Motorcycle Trust |
| 0.71% |
| 5/15/2015 |
| 0.49 |
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| 725 |
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| 725,848 |
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Huntington Auto Trust 2012-1 A2 |
| 0.54% |
| 11/17/2014 |
| 0.81 |
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| 1,000 |
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| 1,000,212 |
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Mercedes-Benz Auto Lease Trust |
| 0.79% |
| 4/15/2013 |
| 0.03 |
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| 50 |
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| 49,805 |
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Mercedes-Benz Auto Lease Trust |
| 0.66% |
| 4/15/2014 |
| 0.72 |
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| 775 |
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| 775,300 |
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Nissan Auto Receivables Owner Trust |
| 0.54% |
| 10/15/2014 |
| 0.80 |
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| 615 |
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| 615,132 |
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| See Notes to Financial Statements. | 5 |
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Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
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Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
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Automobiles (continued) |
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Porsche Financial Auto Securitization |
| 0.56% |
| 12/16/2013 |
| 0.07 |
| $ | 180 |
| $ | 180,364 |
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Santander Consumer Acquired |
| 0.91% |
| 11/15/2013 |
| 0.03 |
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| 79 |
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| 79,369 |
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Santander Drive Auto Receivables |
| 0.95% |
| 8/15/2013 |
| 0.06 |
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| 105 |
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| 104,585 |
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Santander Drive Auto Receivables |
| 1.37% |
| 8/15/2013 |
| 0.06 |
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| 144 |
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| 144,542 |
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Santander Drive Auto Receivables |
| 1.83% |
| 11/17/2014 |
| 0.71 |
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| 845 |
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| 852,509 |
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Santander Drive Auto Receivables |
| 0.94% |
| 2/18/2014 |
| 0.26 |
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| 771 |
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| 771,683 |
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Santander Drive Auto Receivables |
| 1.04% |
| 4/15/2014 |
| 0.31 |
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| 615 |
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| 615,137 |
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Santander Drive Auto Receivables |
| 1.37% |
| 3/16/2015 |
| 0.60 |
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| 542 |
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| 544,351 |
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Santander Drive Auto Receivables |
| 0.91% |
| 5/15/2015 |
| 0.77 |
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| 1,500 |
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| 1,502,995 |
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Santander Drive Auto Receivables |
| 0.79% |
| 8/17/2015 |
| — |
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| 685 |
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| 684,957 |
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Total |
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| 22,963,163 |
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Credit Cards 3.18% |
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American Express Credit Account |
| 0.282% | # | 2/17/2015 |
| 0.03 |
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| 525 |
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| 525,007 |
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American Express Issuance Trust |
| 0.492% | # | 7/15/2013 |
| 0.03 |
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| 1,000 |
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| 1,000,237 |
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Capital One Multi-Asset Execution |
| 0.322% | # | 9/15/2015 |
| 0.03 |
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| 100 |
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| 99,979 |
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Capital One Multi-Asset Execution |
| 0.302% | # | 1/15/2016 |
| 0.03 |
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| 400 |
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| 399,841 |
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Chase Issuance Trust 2004-A8 |
| 0.362% | # | 9/15/2015 |
| 0.03 |
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| 500 |
|
| 500,359 |
|
Chase Issuance Trust 2005-A6 |
| 0.312% | # | 7/15/2014 |
| 0.03 |
|
| 1,400 |
|
| 1,400,050 |
|
Chase Issuance Trust 2007-A17 A |
| 5.12% |
| 10/15/2014 |
| 0.28 |
|
| 500 |
|
| 507,040 |
|
Chase Issuance Trust 2008-A4 |
| 4.65% |
| 3/15/2015 |
| 0.68 |
|
| 1,100 |
|
| 1,132,811 |
|
Citibank Credit Card Issuance Trust |
| 0.493% | # | 12/17/2014 |
| 0.03 |
|
| 300 |
|
| 300,298 |
|
Citibank Credit Card Issuance Trust |
| 0.594% | # | 8/20/2014 |
| 0.04 |
|
| 1,000 |
|
| 1,000,446 |
|
Citibank Omni Master Trust 2009-A14A† |
| 2.992% | # | 8/15/2018 |
| 0.08 |
|
| 975 |
|
| 1,024,357 |
|
Discover Card Master Trust 2008-A4 |
| 5.65% |
| 12/15/2015 |
| 0.92 |
|
| 400 |
|
| 419,850 |
|
|
|
|
6 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
| |||||||||||||
Credit Cards (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Discover Card Master Trust 2009-A2 A |
| 1.542% | # | 2/17/2015 |
| 0.03 |
| $ | 1,545 |
| $ | 1,547,519 |
|
Discover Card Master Trust 2010-A1 |
| 0.892% | # | 9/15/2015 |
| 0.03 |
|
| 750 |
|
| 752,938 |
|
GE Capital Credit Card Master Note |
| 3.69% |
| 7/15/2015 |
| 0.03 |
|
| 1,900 |
|
| 1,900,000 |
|
World Financial Network Credit Card |
| 0.372% | # | 2/15/2017 |
| 0.03 |
|
| 750 |
|
| 748,504 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 13,259,236 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Equity 0.01% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Option One Mortgage Loan Trust |
| 5.90% |
| 3/25/2037 |
| 0.44 |
|
| 48 |
|
| 47,333 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other 2.63% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Nelnet Student Loan Trust 2010-3A A† |
| 1.246% | # | 7/27/2048 |
| 0.05 |
|
| 318 |
|
| 317,626 |
|
Nelnet Student Loan Trust 2010-4A A† |
| 1.045% | # | 4/25/2046 |
| 0.08 |
|
| 1,018 |
|
| 1,026,506 |
|
SLM Student Loan Trust 2007-2 A2 |
| 0.466% | # | 7/25/2017 |
| 0.05 |
|
| 1,205 |
|
| 1,201,230 |
|
SLM Student Loan Trust 2007-7 A2(a) |
| 0.666% | # | 1/25/2016 |
| 0.06 |
|
| 938 |
|
| 937,428 |
|
SLM Student Loan Trust 2008-3 A1 |
| 0.966% | # | 1/25/2014 |
| 0.06 |
|
| 264 |
|
| 263,878 |
|
SLM Student Loan Trust 2010-A 2A† |
| 3.492% | # | 5/16/2044 |
| 0.10 |
|
| 1,010 |
|
| 1,047,690 |
|
SLM Student Loan Trust 2010-B A1† |
| 2.162% | # | 8/15/2016 |
| 0.03 |
|
| 264 |
|
| 264,981 |
|
SLM Student Loan Trust 2010-C A1† |
| 1.892% | # | 12/15/2017 |
| 0.03 |
|
| 830 |
|
| 831,849 |
|
SLM Student Loan Trust 2011-1 A1 |
| 0.765% | # | 3/25/2026 |
| 0.06 |
|
| 1,263 |
|
| 1,263,306 |
|
SLM Student Loan Trust 2011-A A1† |
| 1.242% | # | 10/15/2024 |
| 0.03 |
|
| 1,028 |
|
| 1,027,681 |
|
SLM Student Loan Trust 2011-B A1† |
| 1.092% | # | 12/16/2024 |
| 0.03 |
|
| 1,334 |
|
| 1,330,276 |
|
SLM Student Loan Trust 2012-A A1† |
| 1.642% | # | 8/15/2025 |
| 0.04 |
|
| 898 |
|
| 905,650 |
|
SLM Student Loan Trust 2012-C A1† |
| 1.339% | # | 8/15/2023 |
| 0.03 |
|
| 575 |
|
| 575,311 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 10,993,412 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total Asset-Backed Securities (cost $47,255,294) |
|
|
|
|
|
| 47,263,144 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| ||
CORPORATE BONDS 39.67% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency/Government Related 0.35% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. |
| 1.00% |
| 6/29/2017 |
| 4.86 |
|
| 1,470 |
|
| 1,475,368 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Loans 0.41% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC |
| 8.70% |
| 10/1/2014 |
| 2.03 |
|
| 1,500 |
|
| 1,711,419 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Banking 8.61% |
|
|
|
|
|
|
|
|
|
|
|
|
|
American Express Bank FSB |
| 5.50% |
| 4/16/2013 |
| 0.77 |
|
| 4,000 |
|
| 4,150,084 |
|
Bank of Nova Scotia (Canada)†(b) |
| 2.15% |
| 8/3/2016 |
| 3.89 |
|
| 890 |
|
| 925,861 |
|
|
|
|
| See Notes to Financial Statements. | 7 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
| |||||||||||||
Banking (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Bank plc (United Kingdom)†(b) |
| 2.50% |
| 9/21/2015 |
| 3.06 |
| $ | 530 |
| $ | 541,387 |
|
Canadian Imperial Bank of Commerce |
| 2.00% |
| 2/4/2013 |
| 0.59 |
|
| 1,000 |
|
| 1,009,375 |
|
Caribbean Development Bank† |
| 0.766% | # | 7/19/2013 |
| 1.06 |
|
| 1,000 |
|
| 1,000,244 |
|
Central American Bank for Economic |
| 6.75% |
| 4/15/2013 |
| 0.78 |
|
| 515 |
|
| 538,746 |
|
Citigroup, Inc. |
| 5.50% |
| 4/11/2013 |
| 0.75 |
|
| 4,000 |
|
| 4,113,884 |
|
Citigroup, Inc. |
| 6.00% |
| 12/13/2013 |
| 1.38 |
|
| 425 |
|
| 446,809 |
|
Commonwealth Bank of Australia |
| 2.70% |
| 11/25/2014 |
| 2.33 |
|
| 610 |
|
| 637,843 |
|
Compagnie de Financement Foncier |
| 1.625% |
| 7/23/2012 |
| 0.07 |
|
| 2,200 |
|
| 2,200,468 |
|
Compagnie de Financement Foncier |
| 2.125% |
| 4/22/2013 |
| 0.80 |
|
| 1,100 |
|
| 1,106,549 |
|
Credit Suisse AG (Guernsey)†(b) |
| 1.625% |
| 3/6/2015 |
| 2.61 |
|
| 1,225 |
|
| 1,231,728 |
|
DnB NOR Boligkreditt AS (Norway)†(b) |
| 2.10% |
| 10/14/2015 |
| 3.16 |
|
| 1,280 |
|
| 1,307,327 |
|
European Investment Bank (Luxembourg)(b) |
| 1.625% |
| 6/15/2017 |
| 4.75 |
|
| 1,080 |
|
| 1,089,204 |
|
European Investment Bank (Luxembourg)(b) |
| 4.875% |
| 2/16/2016 |
| 3.32 |
|
| 439 |
|
| 496,490 |
|
European Investment Bank (Luxembourg)(b) |
| 5.125% |
| 9/13/2016 |
| 3.80 |
|
| 432 |
|
| 500,241 |
|
Goldman Sachs Group, Inc. (The) |
| 1.466% | # | 2/7/2014 |
| 0.09 |
|
| 1,000 |
|
| 988,515 |
|
HSBC USA, Inc. |
| 2.375% |
| 2/13/2015 |
| 2.50 |
|
| 1,250 |
|
| 1,265,045 |
|
JPMorgan Chase & Co. |
| 1.211% | # | 9/30/2013 |
| 0.24 |
|
| 2,000 |
|
| 2,007,876 |
|
JPMorgan Chase & Co. |
| 1.218% | # | 5/2/2014 |
| 0.21 |
|
| 1,000 |
|
| 999,705 |
|
JPMorgan Chase & Co. |
| 1.518% | # | 3/20/2015 |
| 0.21 |
|
| 2,000 |
|
| 1,996,820 |
|
Merrill Lynch & Co., Inc. |
| 5.45% |
| 2/5/2013 |
| 0.57 |
|
| 500 |
|
| 510,128 |
|
Merrill Lynch & Co., Inc. |
| 6.05% |
| 8/15/2012 |
| 0.11 |
|
| 200 |
|
| 201,106 |
|
Morgan Stanley |
| 2.066% | # | 1/24/2014 |
| 0.05 |
|
| 750 |
|
| 729,310 |
|
Sparebank 1 Boligkreditt AS (Norway)†(b) |
| 2.30% |
| 6/30/2017 |
| 4.68 |
|
| 1,280 |
|
| 1,287,346 |
|
Swedbank Hypotek AB (Sweden)†(b) |
| 2.95% |
| 3/28/2016 |
| 3.52 |
|
| 830 |
|
| 865,135 |
|
Toronto-Dominion Bank (The) (Canada)†(b) |
| 1.625% |
| 9/14/2016 |
| 4.04 |
|
| 1,460 |
|
| 1,488,597 |
|
Westpac Banking Corp. (Australia)†(b) |
| 2.90% |
| 9/10/2014 |
| 2.12 |
|
| 1,680 |
|
| 1,758,337 |
|
Zions Bancorporation |
| 7.75% |
| 9/23/2014 |
| 2.01 |
|
| 500 |
|
| 542,552 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 35,936,712 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages 0.24% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Dr. Pepper Snapple Group, Inc. |
| 2.35% |
| 12/21/2012 |
| 0.46 |
|
| 1,000 |
|
| 1,007,873 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
| |||||||||||||
Chemicals 1.43% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airgas, Inc. |
| 2.85% |
| 10/1/2013 |
| 1.21 |
| $ | 2,500 |
| $ | 2,554,568 |
|
Airgas, Inc. |
| 7.125% |
| 10/1/2018 |
| 1.17 |
|
| 500 |
|
| 539,612 |
|
Methanex Corp. (Canada)(b) |
| 8.75% |
| 8/15/2012 |
| 0.13 |
|
| 2,000 |
|
| 2,007,464 |
|
Yara International ASA (Norway)†(b) |
| 5.25% |
| 12/15/2014 |
| 2.32 |
|
| 800 |
|
| 857,927 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 5,959,571 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 0.92% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hewlett-Packard Co. |
| 0.593% | # | 9/13/2012 |
| 0.19 |
|
| 1,000 |
|
| 1,000,504 |
|
Hewlett-Packard Co. |
| 2.018% | # | 9/19/2014 |
| 0.21 |
|
| 1,000 |
|
| 1,011,917 |
|
Hewlett-Packard Co. |
| 4.50% |
| 3/1/2013 |
| 0.64 |
|
| 1,000 |
|
| 1,022,394 |
|
Seagate Technology International† |
| 10.00% |
| 5/1/2014 |
| 1.68 |
|
| 715 |
|
| 797,225 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 3,832,040 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer/Commercial/Lease Financing 3.84% |
|
|
|
|
|
|
|
|
|
|
| ||
General Electric Capital Corp. |
| 0.608% | # | 6/20/2014 |
| 0.21 |
|
| 1,089 |
|
| 1,077,429 |
|
General Electric Capital Corp. |
| 1.166% | # | 4/24/2014 |
| 0.05 |
|
| 2,000 |
|
| 2,001,082 |
|
General Electric Capital Corp. |
| 5.40% |
| 9/20/2013 |
| 1.17 |
|
| 9,000 |
|
| 9,480,906 |
|
Nordea Eiendomskreditt AS (Norway)†(b) |
| 2.125% |
| 9/22/2016 |
| 4.01 |
|
| 940 |
|
| 949,800 |
|
SLM Corp. |
| 5.125% |
| 8/27/2012 |
| 0.14 |
|
| 1,500 |
|
| 1,505,673 |
|
SLM Corp. |
| 5.375% |
| 1/15/2013 |
| 0.51 |
|
| 1,000 |
|
| 1,021,234 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 16,036,124 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products 0.36% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Avon Products, Inc. |
| 4.80% |
| 3/1/2013 |
| 0.64 |
|
| 1,460 |
|
| 1,478,871 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 0.86% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Macy’s Retail Holdings, Inc. |
| 5.875% |
| 1/15/2013 |
| 0.51 |
|
| 3,500 |
|
| 3,585,606 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Goods 0.27% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ingersoll-Rand Global Holding Co., Ltd. |
| 9.50% |
| 4/15/2014 |
| 1.64 |
|
| 1,000 |
|
| 1,137,096 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric: Integrated 1.58% |
|
|
|
|
|
|
|
|
|
|
|
|
|
KCP&L Greater Missouri Operations Co. |
| 11.875% |
| 7/1/2012 |
| 0.01 |
|
| 2,250 |
|
| 2,250,000 |
|
MidAmerican Energy Holdings Co. |
| 3.15% |
| 7/15/2012 |
| 0.03 |
|
| 1,936 |
|
| 1,937,423 |
|
MidAmerican Energy Holdings Co. |
| 5.875% |
| 10/1/2012 |
| 0.23 |
|
| 1,889 |
|
| 1,912,860 |
|
TAQA Abu Dhabi National Energy Co. |
| 5.62% |
| 10/25/2012 |
| 0.31 |
|
| 500 |
|
| 508,062 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 6,608,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 9 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
| |||||||||||||
Electronics 0.28% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Maxim Integrated Products, Inc. |
| 3.45% |
| 6/14/2013 |
| 0.93 |
| $ | 1,150 |
| $ | 1,178,773 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy: Exploration & Production 1.35% |
|
|
|
|
|
|
|
|
|
|
|
|
|
GlobalSantaFe Corp. |
| 5.00% |
| 2/15/2013 |
| 0.61 |
|
| 700 |
|
| 715,974 |
|
Nabors Industries, Inc. |
| 5.375% |
| 8/15/2012 |
| 0.11 |
|
| 1,300 |
|
| 1,305,269 |
|
Petrohawk Energy Corp. |
| 10.50% |
| 8/1/2014 |
| 0.55 |
|
| 1,500 |
|
| 1,662,687 |
|
Ras Laffan Liquefied Natural Gas Co., Ltd. III |
| 4.50% |
| 9/30/2012 |
| 0.25 |
|
| 890 |
|
| 898,900 |
|
Woodside Finance Ltd. (Australia)†(b) |
| 5.00% |
| 11/15/2013 |
| 1.33 |
|
| 1,000 |
|
| 1,042,938 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 5,625,768 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Environmental 0.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Waste Management, Inc. |
| 6.375% |
| 11/15/2012 |
| 0.36 |
|
| 1,000 |
|
| 1,019,686 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailers 0.48% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Safeway, Inc. |
| 1.968% | # | 12/12/2013 |
| 0.19 |
|
| 2,000 |
|
| 2,006,830 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food: Wholesale 0.62% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Kraft Foods, Inc. |
| 6.00% |
| 2/11/2013 |
| 0.58 |
|
| 2,500 |
|
| 2,577,157 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forestry/Paper 0.40% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Georgia-Pacific LLC† |
| 8.25% |
| 5/1/2016 |
| 0.80 |
|
| 1,500 |
|
| 1,656,110 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Distribution 3.49% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Buckeye Partners LP |
| 4.625% |
| 7/15/2013 |
| 0.98 |
|
| 1,500 |
|
| 1,537,035 |
|
Energy Transfer Partners LP |
| 6.00% |
| 7/1/2013 |
| 0.97 |
|
| 2,800 |
|
| 2,919,991 |
|
Enterprise Products Operating LLC |
| 4.60% |
| 8/1/2012 |
| 0.07 |
|
| 2,275 |
|
| 2,281,632 |
|
Enterprise Products Operating LLC |
| 6.125% |
| 2/1/2013 |
| 0.55 |
|
| 1,600 |
|
| 1,644,214 |
|
Florida Gas Transmission Co. LLC† |
| 7.00% |
| 7/17/2012 |
| 0.03 |
|
| 1,000 |
|
| 1,001,546 |
|
Kinder Morgan Energy Partners LP |
| 5.85% |
| 9/15/2012 |
| 0.19 |
|
| 1,000 |
|
| 1,009,766 |
|
NiSource Finance Corp. |
| 6.15% |
| 3/1/2013 |
| 0.64 |
|
| 2,500 |
|
| 2,585,592 |
|
Southeast Supply Header LLC† |
| 4.85% |
| 8/15/2014 |
| 1.98 |
|
| 1,500 |
|
| 1,579,586 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total |
|
|
|
|
|
|
|
|
|
|
| 14,559,362 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Facilities 0.36% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Quest Diagnostics, Inc. |
| 1.318% | # | 3/24/2014 |
| 0.23 |
|
| 1,500 |
|
| 1,513,085 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Services 0.22% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Medco Health Solutions, Inc. |
| 6.125% |
| 3/15/2013 |
| 0.68 |
|
| 890 |
|
| 922,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household & Leisure Products 0.37% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Whirlpool Corp. |
| 5.50% |
| 3/1/2013 |
| 0.64 |
| $ | 1,500 |
| $ | 1,539,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Energy 0.71% |
|
|
|
|
|
|
|
|
|
|
|
|
|
BP Capital Markets plc |
| 1.092% | # | 12/6/2013 |
| 1.45 |
|
| 2,000 |
|
| 2,017,398 |
|
SeaRiver Maritime, Inc. |
| Zero Coupon |
| 9/1/2012 |
| 0.07 |
|
| 950 |
|
| 944,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 2,961,949 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure 0.26% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Universal City Development Partners |
| 8.875% |
| 11/15/2015 |
| 0.36 |
|
| 1,000 |
|
| 1,071,618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media: Cable 0.98% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cox Communications, Inc. |
| 4.625% |
| 6/1/2013 |
| 0.89 |
|
| 3,600 |
|
| 3,727,174 |
|
Cox Communications, Inc. |
| 7.125% |
| 10/1/2012 |
| 0.24 |
|
| 361 |
|
| 366,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 4,093,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media: Diversified 0.77% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Historic TW, Inc. |
| 9.125% |
| 1/15/2013 |
| 0.50 |
|
| 3,100 |
|
| 3,229,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Medical Products 0.54% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agilent Technologies, Inc. |
| 4.45% |
| 9/14/2012 |
| 0.19 |
|
| 250 |
|
| 251,721 |
|
CareFusion Corp. |
| 4.125% |
| 8/1/2012 |
| 0.07 |
|
| 1,500 |
|
| 1,504,036 |
|
Life Technologies Corp. |
| 3.375% |
| 3/1/2013 |
| 0.64 |
|
| 500 |
|
| 506,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 2,261,840 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals/Mining (Excluding Steel) 1.31% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Anglo American Capital plc |
| 9.375% |
| 4/8/2014 |
| 1.62 |
|
| 2,000 |
|
| 2,250,098 |
|
Glencore Funding LLC† |
| 6.00% |
| 4/15/2014 |
| 1.67 |
|
| 500 |
|
| 525,832 |
|
Teck Resources Ltd. (Canada)(b) |
| 10.75% |
| 5/15/2019 |
| 4.99 |
|
| 1,000 |
|
| 1,204,014 |
|
Xstrata Canada Corp. (Canada)(b) |
| 7.25% |
| 7/15/2012 |
| 0.04 |
|
| 1,500 |
|
| 1,502,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 5,482,725 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil Field Equipment & Services 0.50% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cameron International Corp. |
| 1.397% | # | 6/2/2014 |
| 0.16 |
|
| 1,300 |
|
| 1,298,834 |
|
National Oilwell Varco, Inc. |
| 6.125% |
| 8/15/2015 |
| 0.11 |
|
| 250 |
|
| 253,870 |
|
Weatherford International Ltd. |
| 5.15% |
| 3/15/2013 |
| 0.69 |
|
| 500 |
|
| 513,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 2,066,309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 11 |
Schedule of Investments (unaudited)(continued)
EMERGING MARKETS CURRENCY FUND June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil Refining & Marketing 0.85% |
|
|
|
|
|
|
|
|
|
|
|
|
|
NuStar Logistics LP |
| 6.05% |
| 3/15/2013 |
| 0.67 |
| $ | 500 |
| $ | 514,202 |
|
Phillips 66† |
| 1.95% |
| 3/5/2015 |
| 2.58 |
|
| 2,000 |
|
| 2,015,626 |
|
Valero Energy Corp. |
| 6.70% |
| 1/15/2013 |
| 0.51 |
|
| 1,000 |
|
| 1,029,163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 3,558,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.37% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Biogen Idec, Inc. |
| 6.00% |
| 3/1/2013 |
| 0.64 |
|
| 500 |
|
| 516,405 |
|
Teva Pharmaceutical Finance Co. BV |
| 1.366% | # | 11/8/2013 |
| 0.10 |
|
| 1,000 |
|
| 1,008,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 1,524,541 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty 0.36% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Liberty Mutual Group, Inc.† |
| 7.25% |
| 9/1/2012 |
| 0.16 |
|
| 1,500 |
|
| 1,513,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment Trusts 1.70% |
|
|
|
|
|
|
|
|
|
|
|
|
|
AvalonBay Communities, Inc. |
| 6.125% |
| 11/1/2012 |
| 0.32 |
|
| 2,448 |
|
| 2,487,440 |
|
DDR Corp. |
| 5.375% |
| 10/15/2012 |
| 0.03 |
|
| 2,525 |
|
| 2,528,048 |
|
Federal Realty Investment Trust |
| 5.40% |
| 12/1/2013 |
| 1.36 |
|
| 500 |
|
| 524,927 |
|
Nationwide Health Properties, Inc. |
| 6.25% |
| 2/1/2013 |
| 0.55 |
|
| 1,000 |
|
| 1,027,159 |
|
UDR, Inc. |
| 6.05% |
| 6/1/2013 |
| 0.88 |
|
| 520 |
|
| 538,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 7,105,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.41% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Darden Restaurants, Inc. |
| 5.625% |
| 10/15/2012 |
| 0.28 |
|
| 710 |
|
| 718,868 |
|
Yum! Brands, Inc. |
| 7.70% |
| 7/1/2012 |
| 0.01 |
|
| 1,000 |
|
| 1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 1,718,868 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software/Services 1.10% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Sciences Corp. |
| 5.50% |
| 3/15/2013 |
| 0.68 |
|
| 1,000 |
|
| 1,027,500 |
|
Fidelity National Information Services, Inc. |
| 7.625% |
| 7/15/2017 |
| 0.97 |
|
| 500 |
|
| 553,750 |
|
Western Union Co. (The) |
| 1.048% | # | 3/7/2013 |
| 0.18 |
|
| 3,000 |
|
| 3,013,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 4,594,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail 1.15% |
|
|
|
|
|
|
|
|
|
|
|
|
|
QVC, Inc.† |
| 7.125% |
| 4/15/2017 |
| 0.75 |
|
| 2,500 |
|
| 2,656,243 |
|
VF Corp. |
| 1.217% | # | 8/23/2013 |
| 0.14 |
|
| 2,150 |
|
| 2,150,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
|
|
|
|
|
|
|
| 4,806,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
Telecommunications: Integrated/Services 0.46% |
|
|
|
|
|
|
|
|
|
|
| ||
Qwest Communications International, Inc. |
| 7.125% |
| 4/1/2018 |
| 0.71 |
| $ | 300 |
| $ | 317,625 |
|
Qwest Communications International, Inc. |
| 8.00% |
| 10/1/2015 |
| 0.24 |
|
| 1,500 |
|
| 1,583,513 |
|
Total |
|
|
|
|
|
|
|
|
|
|
| 1,901,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications: Wireless 0.25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
American Tower Corp. |
| 4.625% |
| 4/1/2015 |
| 2.55 |
|
| 1,000 |
|
| 1,059,180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.42% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Reynolds American, Inc. |
| 7.25% |
| 6/1/2013 |
| 0.88 |
|
| 1,675 |
|
| 1,768,470 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transportation (Excluding Air/Rail) 0.84% |
|
|
|
|
|
|
|
|
|
|
| ||
ERAC USA Finance LLC† |
| 2.25% |
| 1/10/2014 |
| 1.47 |
|
| 1,000 |
|
| 1,006,376 |
|
ERAC USA Finance LLC† |
| 5.80% |
| 10/15/2012 |
| 0.28 |
|
| 1,000 |
|
| 1,012,366 |
|
Ryder System, Inc. |
| 6.00% |
| 3/1/2013 |
| 0.64 |
|
| 1,425 |
|
| 1,466,995 |
|
Total |
|
|
|
|
|
|
|
|
|
|
| 3,485,737 |
|
Total Corporate Bonds (cost $165,302,585) |
|
|
|
|
|
|
|
|
|
|
| 165,572,894 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN BOND(c) 0.33% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ziggo Finance BV† |
| 6.125% |
| 11/15/2017 |
| 4.56 |
| EUR | 1,000 |
|
| 1,357,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT OBLIGATIONS 3.77% |
|
|
|
|
|
|
|
|
|
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Poland 0.24% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Poland Government Bond(b) |
| 6.25% |
| 7/3/2012 |
| — |
| $ | 1,000 |
|
| 1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Turkey 3.46% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Turkey Government Bond(c) |
| Zero Coupon |
| 8/8/2012 |
| 0.11 |
| TRY | 26,300 |
|
| 14,427,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Arab Emirates 0.07% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Emirate of Abu Dhabi†(b) |
| 5.50% |
| 8/2/2012 |
| 0.08 |
| $ | 300 |
|
| 301,590 |
|
Total Foreign Government Obligations (cost $15,600,213) |
|
|
|
|
|
|
|
|
| 15,729,580 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT SPONSORED ENTERPRISES BOND 0.35% |
|
|
|
|
|
|
|
|
| ||||
Federal Home Loan Bank(d) |
| 1.00% |
| 6/21/2017 |
| 4.84 |
|
| 1,450 |
|
| 1,452,820 |
|
|
|
|
| See Notes to Financial Statements. | 13 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
GOVERNMENT SPONSORED ENTERPRISES COLLATERALIZED MORTGAGE OBLIGATIONS 3.22% | |||||||||||||
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K005 A1 |
| 3.484% |
| 4/25/2019 |
| 3.65 |
| $ | 1,652 |
|
| $1,797,444 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K006 A1 |
| 3.398% |
| 7/25/2019 |
| 3.84 |
|
| 1,710 |
|
| 1,860,256 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K007 A1 |
| 3.342% |
| 12/25/2019 |
| 3.98 |
|
| 2,120 |
|
| 2,307,214 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K008 A1 |
| 2.746% |
| 12/25/2019 |
| 4.19 |
|
| 752 |
|
| 800,829 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K009 A1 |
| 2.757% |
| 5/25/2020 |
| 3.96 |
|
| 849 |
|
| 904,472 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K017 A1 |
| 1.891% |
| 12/25/2020 |
| 4.56 |
|
| 1,449 |
|
| 1,493,412 |
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
|
K706 A1 |
| 1.691% |
| 6/25/2018 |
| 3.65 |
|
| 666 |
|
| 681,385 |
|
Federal National Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
2011-M3 A1 |
| 2.072% |
| 7/25/2021 |
| 3.83 |
|
| 823 |
|
| 852,995 |
|
Federal National Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
2011-M8 A1(d) |
| 1.977% |
| 8/25/2021 |
| 4.75 |
|
| 1,926 |
|
| 1,988,793 |
|
Federal National Mortgage Assoc. |
|
|
|
|
|
|
|
|
|
|
|
|
|
2012-M2 A1 |
| 1.824% |
| 2/25/2022 |
| 5.02 |
|
| 748 |
|
| 765,925 |
|
Total Government Sponsored Enterprises Collateralized Mortgage Obligations |
|
| 13,452,725 |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS 11.94% | |||||||||||||
Federal Home Loan Mortgage Corp. |
| 2.373% | # | 10/1/2035 |
| 0.44 |
|
| 1,068 |
|
| 1,123,657 |
|
Federal Home Loan Mortgage Corp. |
| 2.465% | # | 6/1/2037 |
| 0.74 |
|
| 1,578 |
|
| 1,678,284 |
|
Federal Home Loan Mortgage Corp. |
| 2.481% | # | 6/1/2038 |
| 0.95 |
|
| 389 |
|
| 413,040 |
|
Federal Home Loan Mortgage Corp. |
| 2.587% | # | 12/1/2036 |
| 0.67 |
|
| 1,269 |
|
| 1,355,254 |
|
Federal Home Loan Mortgage Corp. |
| 2.588% | # | 5/1/2035 |
| 0.86 |
|
| 1,526 |
|
| 1,631,338 |
|
Federal Home Loan Mortgage Corp. |
| 2.591% | # | 2/1/2035 |
| 0.68 |
|
| 2,648 |
|
| 2,824,648 |
|
Federal Home Loan Mortgage Corp. |
| 2.596% | # | 5/1/2035 |
| 0.69 |
|
| 640 |
|
| 684,415 |
|
Federal Home Loan Mortgage Corp. |
| 2.634% | # | 4/1/2037 |
| 0.75 |
|
| 864 |
|
| 920,900 |
|
Federal Home Loan Mortgage Corp. |
| 2.644% | # | 12/1/2035 |
| 0.81 |
|
| 1,463 |
|
| 1,560,055 |
|
Federal Home Loan Mortgage Corp. |
| 2.655% | # | 5/1/2036 |
| 0.68 |
|
| 683 |
|
| 728,492 |
|
Federal Home Loan Mortgage Corp. |
| 2.663% | # | 3/1/2036 |
| 0.82 |
|
| 893 |
|
| 951,107 |
|
Federal Home Loan Mortgage Corp. |
| 2.681% | # | 4/1/2037 |
| 0.87 |
|
| 413 |
|
| 440,338 |
|
Federal Home Loan Mortgage Corp. |
| 2.693% | # | 8/1/2038 |
| 0.89 |
|
| 280 |
|
| 299,095 |
|
Federal Home Loan Mortgage Corp. |
| 2.768% | # | 4/1/2038 |
| 0.97 |
|
| 1,417 |
|
| 1,510,264 |
|
Federal Home Loan Mortgage Corp. |
| 2.779% | # | 9/1/2036 |
| 0.81 |
|
| 1,073 |
|
| 1,148,768 |
|
|
|
14 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
|
| Fair |
| |
GOVERNMENT SPONSORED ENTERPRISES PASS-THROUGHS (continued) | |||||||||||||
Federal Home Loan Mortgage Corp. |
| 2.816% | # | 2/1/2037 |
| 0.59 |
| $ | 1,639 |
| $ | 1,759,725 |
|
Federal Home Loan Mortgage Corp. |
| 2.892% | # | 3/1/2038 |
| 0.66 |
|
| 1,025 |
|
| 1,094,129 |
|
Federal Home Loan Mortgage Corp. |
| 2.958% | # | 12/1/2041 |
| 2.57 |
|
| 866 |
|
| 909,968 |
|
Federal Home Loan Mortgage Corp. |
| 3.395% | # | 10/1/2039 |
| 0.80 |
|
| 339 |
|
| 363,604 |
|
Federal Home Loan Mortgage Corp. |
| 3.653% | # | 10/1/2038 |
| 0.77 |
|
| 730 |
|
| 779,407 |
|
Federal Home Loan Mortgage Corp. |
| 5.00% |
| 5/1/2021 |
| 2.21 |
|
| 240 |
|
| 258,243 |
|
Federal Home Loan Mortgage Corp. |
| 5.069% | # | 7/1/2036 |
| 1.38 |
|
| 546 |
|
| 586,051 |
|
Federal National Mortgage Assoc. |
| 2.235% | # | 6/1/2037 |
| 0.53 |
|
| 382 |
|
| 405,954 |
|
Federal National Mortgage Assoc. |
| 2.291% | # | 1/1/2035 |
| 0.46 |
|
| 1,014 |
|
| 1,081,865 |
|
Federal National Mortgage Assoc. |
| 2.335% | # | 2/1/2036 |
| 0.82 |
|
| 622 |
|
| 661,701 |
|
Federal National Mortgage Assoc. |
| 2.394% | # | 11/1/2036 |
| 0.72 |
|
| 282 |
|
| 299,608 |
|
Federal National Mortgage Assoc. |
| 2.529% | # | 1/1/2040 |
| 0.77 |
|
| 282 |
|
| 297,769 |
|
Federal National Mortgage Assoc. |
| 2.548% | # | 8/1/2037 |
| 0.58 |
|
| 690 |
|
| 734,729 |
|
Federal National Mortgage Assoc. |
| 2.55% | # | 9/1/2038 |
| 0.65 |
|
| 542 |
|
| 577,683 |
|
Federal National Mortgage Assoc. |
| 2.664% | # | 10/1/2036 |
| 0.46 |
|
| 1,074 |
|
| 1,140,964 |
|
Federal National Mortgage Assoc. |
| 2.704% |
| 2/1/2038 |
| 0.56 |
|
| 322 |
|
| 342,885 |
|
Federal National Mortgage Assoc. |
| 2.712% | # | 1/1/2042 |
| 3.55 |
|
| 553 |
|
| 576,736 |
|
Federal National Mortgage Assoc. |
| 2.726% | # | 3/1/2039 |
| 0.72 |
|
| 656 |
|
| 697,897 |
|
Federal National Mortgage Assoc. |
| 2.95% |
| 3/1/2015 |
| 2.61 |
|
| 1,000 |
|
| 1,049,941 |
|
Federal National Mortgage Assoc. |
| 3.005% | # | 8/1/2037 |
| 0.64 |
|
| 379 |
|
| 402,462 |
|
Federal National Mortgage Assoc. |
| 3.18% |
| 11/1/2014 |
| 2.26 |
|
| 1,156 |
|
| 1,208,961 |
|
Federal National Mortgage Assoc. |
| 3.211% | # | 11/1/2038 |
| 0.65 |
|
| 1,038 |
|
| 1,110,887 |
|
Federal National Mortgage Assoc.(e) |
| 4.50% |
| TBA |
| 2.52 |
|
| 5,500 |
|
| 5,896,172 |
|
Federal National Mortgage Assoc. |
| 4.616% | # | 11/1/2038 |
| 1.16 |
|
| 624 |
|
| 669,592 |
|
Federal National Mortgage Assoc. |
| 5.50% |
| 2/1/2034 |
| 2.99 |
|
| 2,081 |
|
| 2,287,756 |
|
Federal National Mortgage Assoc. |
| 5.50% |
| 11/1/2034 |
| 3.00 |
|
| 2,329 |
|
| 2,559,293 |
|
Federal National Mortgage Assoc. |
| 5.50% |
| 8/1/2037 |
| 3.03 |
|
| 4,380 |
|
| 4,804,929 |
|
Total Government Sponsored Enterprises Pass-Throughs (cost $49,478,917) |
|
|
|
|
| 49,828,566 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES 23.66% | |||||||||||||
7 WTC Depositor LLC Trust 2012-7WTC A† |
| 4.082% |
| 3/13/2031 |
| 3.16 |
|
| 200 |
|
| 203,765 |
|
Americold LLC Trust 2010-ARTA A1† |
| 3.847% |
| 1/14/2029 |
| 4.15 |
|
| 532 |
|
| 570,023 |
|
Arkle Master Issuer plc 2010-1A 2A† |
| 1.616% | # | 5/17/2060 |
| -0.12 |
|
| 200 |
|
| 200,398 |
|
Arkle Master Issuer plc 2010-2A 1A1† |
| 1.866% | # | 5/17/2060 |
| -0.12 |
|
| 400 |
|
| 402,006 |
|
Arkle Master Issuer plc 2011-1A 2A† |
| 1.716% | # | 5/17/2060 |
| 1.12 |
|
| 400 |
|
| 401,646 |
|
Banc of America Commercial Mortgage, |
| 4.742% |
| 7/10/2043 |
| 0.77 |
|
| 466 |
|
| 471,987 |
|
|
|
|
| See Notes to Financial Statements. | 15 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Banc of America Re-REMIC Trust 2011 |
| 2.415% |
| 11/17/2039 |
| 1.20 |
| $ | 750 |
| $ | 743,652 |
|
Banc of America Re-REMIC Trust 2011 |
| 1.501% |
| 5/17/2046 |
| 0.27 |
|
| 727 |
|
| 724,517 |
|
Bear Stearns Commercial Mortgage |
| 5.127% |
| 10/12/2042 |
| 0.04 |
|
| 703 |
|
| 703,184 |
|
Bear Stearns Commercial Mortgage |
| 5.70% |
| 6/11/2050 |
| 4.47 |
|
| 698 |
|
| 807,755 |
|
Citigroup Commercial Mortgage Trust |
| 4.639% |
| 5/15/2043 |
| 1.39 |
|
| 798 |
|
| 804,459 |
|
Citigroup/Deutsche Bank Commercial |
| 5.394% | # | 7/15/2044 |
| 2.85 |
|
| 860 |
|
| 959,627 |
|
Citigroup/Deutsche Bank Commercial |
| 5.322% |
| 12/11/2049 |
| 3.95 |
|
| 1,167 |
|
| 1,301,847 |
|
Commercial Mortgage Pass-Through |
| 5.69% |
| 6/10/2046 |
| 0.03 |
|
| 13 |
|
| 12,745 |
|
Commercial Mortgage Pass-Through |
| 0.422% | # | 6/15/2022 |
| 0.89 |
|
| 941 |
|
| 894,736 |
|
Commercial Mortgage Pass-Through |
| 3.156% |
| 7/10/2046 |
| 2.76 |
|
| 1,764 |
|
| 1,853,154 |
|
Commercial Mortgage Pass-Through |
| 3.826% | # | 7/17/2028 |
| 0.97 |
|
| 696 |
|
| 703,905 |
|
Commercial Mortgage Pass-Through |
| 4.554% |
| 6/9/2028 |
| 3.54 |
|
| 600 |
|
| 611,524 |
|
Commercial Mortgage Pass-Through |
| 2.365% |
| 2/10/2029 |
| 4.32 |
|
| 1,275 |
|
| 1,312,825 |
|
Credit Suisse Mortgage Capital |
| 5.593% | # | 2/15/2039 |
| 2.16 |
|
| 528 |
|
| 538,648 |
|
Credit Suisse Mortgage Capital |
| 6.008% | # | 6/15/2038 |
| 3.31 |
|
| 1,900 |
|
| 2,161,837 |
|
Credit Suisse Mortgage Capital |
| 5.311% |
| 12/15/2039 |
| 3.69 |
|
| 1,018 |
|
| 1,134,192 |
|
Credit Suisse Mortgage Capital |
| 5.383% |
| 2/15/2040 |
| 3.87 |
|
| 500 |
|
| 526,245 |
|
CS First Boston Mortgage Securities |
| 5.183% |
| 11/15/2036 |
| 0.11 |
|
| 256 |
|
| 255,703 |
|
CS First Boston Mortgage Securities |
| 4.94% |
| 12/15/2035 |
| 0.24 |
|
| 1,328 |
|
| 1,335,670 |
|
CS First Boston Mortgage Securities Corp. |
| 5.137% |
| 8/15/2036 |
| 0.81 |
|
| 1,482 |
|
| 1,528,242 |
|
|
|
16 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
CS First Boston Mortgage Securities Corp. |
| 4.801% |
| 3/15/2036 |
| 0.44 |
| $ | 1,549 |
| $ | 1,570,681 |
|
CW Capital Cobalt Ltd. 2006-C1 A4 |
| 5.223% |
| 8/15/2048 |
| 3.76 |
|
| 1,900 |
|
| 2,107,242 |
|
DBUBS Mortgage Trust 2011-LC1A A1† |
| 3.742% |
| 11/10/2046 |
| 3.17 |
|
| 2,309 |
|
| 2,481,423 |
|
DBUBS Mortgage Trust 2011-LC2A A1† |
| 3.527% |
| 7/10/2044 |
| 4.04 |
|
| 1,316 |
|
| 1,419,109 |
|
DBUBS Mortgage Trust 2011-LC2A A2† |
| 3.386% |
| 7/10/2044 |
| 3.59 |
|
| 1,205 |
|
| 1,290,254 |
|
DBUBS Mortgage Trust 2011-LC3A A2 |
| 3.642% |
| 8/10/2044 |
| 3.62 |
|
| 1,850 |
|
| 2,000,966 |
|
DDR Corp. 2009-DDR1 A† |
| 3.807% |
| 10/14/2022 |
| 2.12 |
|
| 964 |
|
| 1,014,718 |
|
DDR Corp. 2009-DDR1 B† |
| 5.73% |
| 10/14/2022 |
| 2.13 |
|
| 500 |
|
| 538,614 |
|
Extended Stay America Trust |
| 4.221% |
| 11/5/2027 |
| 3.06 |
|
| 500 |
|
| 506,158 |
|
Extended Stay America Trust |
| 4.86% |
| 11/5/2027 |
| 3.02 |
|
| 1,200 |
|
| 1,216,403 |
|
Fosse Master Issuer plc 2011-1A A2† |
| 1.866% | # | 10/18/2054 |
| 0.04 |
|
| 500 |
|
| 502,995 |
|
Fosse Master Issuer plc 2012-1A 2A2† |
| 1.727% | # | 10/18/2054 |
| 0.04 |
|
| 300 |
|
| 300,519 |
|
Fosse Master Issuer plc 2012-1A 2B1† |
| 2.277% | # | 10/18/2054 |
| 0.04 |
|
| 350 |
|
| 350,633 |
|
GE Capital Commercial Mortgage Corp. |
| 4.996% |
| 12/10/2037 |
| 0.21 |
|
| 813 |
|
| 816,563 |
|
GE Capital Commercial Mortgage Corp. |
| 4.974% |
| 7/10/2045 |
| 2.75 |
|
| 1,250 |
|
| 1,378,196 |
|
GMAC Commercial Mortgage Securities, |
| 5.457% | # | 5/10/2040 |
| 0.94 |
|
| 900 |
|
| 936,586 |
|
Gracechurch Mortgage Financing plc |
| 0.567% | # | 11/20/2056 |
| -0.11 |
|
| 470 |
|
| 469,286 |
|
Greenwich Capital Commercial Funding |
| 4.948% |
| 1/11/2035 |
| 0.27 |
|
| 581 |
|
| 584,551 |
|
Greenwich Capital Commercial Funding |
| 5.117% |
| 4/10/2037 |
| 0.03 |
|
| 496 |
|
| 497,879 |
|
Greenwich Capital Commercial Funding |
| 5.736% |
| 12/10/2049 |
| 4.36 |
|
| 950 |
|
| 1,056,781 |
|
Greenwich Capital Commercial Funding |
| 5.381% |
| 3/10/2039 |
| 1.33 |
|
| 758 |
|
| 776,118 |
|
Greenwich Capital Commercial Funding |
| 5.444% |
| 3/10/2039 |
| 3.94 |
|
| 1,500 |
|
| 1,670,056 |
|
GS Mortgage Securities Corp. II |
| 4.68% |
| 7/10/2039 |
| 0.97 |
|
| 325 |
|
| 327,390 |
|
GS Mortgage Securities Corp. II |
| 5.553% |
| 4/10/2038 |
| 3.06 |
|
| 640 |
|
| 714,222 |
|
GS Mortgage Securities Corp. II |
| 5.56% |
| 11/10/2039 |
| 3.63 |
|
| 1,500 |
|
| 1,712,831 |
|
|
|
|
| See Notes to Financial Statements. | 17 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
GS Mortgage Securities Corp. II |
| 1.731% | # | 3/6/2020 |
| 0.59 |
| $ | 615 |
| $ | 608,889 |
|
GS Mortgage Securities Corp. II |
| 3.679% |
| 8/10/2043 |
| 3.33 |
|
| 1,258 |
|
| 1,351,378 |
|
GS Mortgage Securities Corp. II |
| 3.849% |
| 12/10/2043 |
| 3.29 |
|
| 1,724 |
|
| 1,861,640 |
|
GS Mortgage Securities Corp. II |
| 3.215% |
| 2/10/2021 |
| 1.54 |
|
| 500 |
|
| 506,950 |
|
GS Mortgage Securities Corp. II |
| 2.331% |
| 3/10/2044 |
| 1.78 |
|
| 1,330 |
|
| 1,359,747 |
|
GS Mortgage Securities Corp. II |
| 3.645% |
| 3/10/2044 |
| 3.31 |
|
| 1,600 |
|
| 1,717,910 |
|
GS Mortgage Securities Corp. II |
| 2.999% |
| 8/10/2044 |
| 3.72 |
|
| 1,000 |
|
| 1,057,993 |
|
Holmes Master Issuer plc 2010-1A A2† |
| 1.867% | # | 10/15/2054 |
| -0.20 |
|
| 600 |
|
| 603,142 |
|
Holmes Master Issuer plc 2012-1A A2† |
| 2.117% | # | 10/15/2054 |
| 0.04 |
|
| 500 |
|
| 504,067 |
|
JPMorgan Chase Commercial Mortgage |
| 5.376% |
| 7/12/2037 |
| 0.04 |
|
| 221 |
|
| 220,772 |
|
JPMorgan Chase Commercial Mortgage |
| 5.05% |
| 12/12/2034 |
| 0.27 |
|
| 688 |
|
| 692,380 |
|
JPMorgan Chase Commercial Mortgage |
| 5.161% |
| 10/12/2037 |
| 0.22 |
|
| 805 |
|
| 809,555 |
|
JPMorgan Chase Commercial Mortgage |
| 4.475% |
| 7/15/2041 |
| 0.80 |
|
| 713 |
|
| 716,629 |
|
JPMorgan Chase Commercial Mortgage |
| 5.336% |
| 5/15/2047 |
| 3.89 |
|
| 1,779 |
|
| 1,975,776 |
|
JPMorgan Chase Commercial Mortgage |
| 5.994% | # | 6/15/2049 |
| 1.47 |
|
| 913 |
|
| 914,528 |
|
JPMorgan Chase Commercial Mortgage |
| 0.372% | # | 1/15/2049 |
| 0.65 |
|
| 807 |
|
| 799,468 |
|
JPMorgan Chase Commercial Mortgage |
| 2.749% |
| 11/15/2043 |
| 2.82 |
|
| 1,902 |
|
| 1,971,939 |
|
JPMorgan Chase Commercial Mortgage |
| 3.364% |
| 11/13/2044 |
| 4.03 |
|
| 2,000 |
|
| 2,143,326 |
|
LB-UBS Commercial Mortgage Trust |
| 5.318% |
| 2/15/2040 |
| 0.51 |
|
| 244 |
|
| 245,854 |
|
Merrill Lynch Floating Trust 2008-LAQA A1† |
| 0.779% | # | 7/9/2021 |
| 0.01 |
|
| 776 |
|
| 760,688 |
|
Merrill Lynch Mortgage Trust 2005-CIP1 A2 |
| 4.96% |
| 7/12/2038 |
| 1.71 |
|
| 246 |
|
| 249,729 |
|
|
|
18 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Merrill Lynch Mortgage Trust |
| 0.491% | # | 11/12/2037 |
| 0.21 |
| $ | 1,600 |
| $ | 1,593,646 |
|
Merrill Lynch Mortgage Trust 2005-CKI1 A6 |
| 5.39% | # | 11/12/2037 |
| 2.83 |
|
| 240 |
|
| 268,302 |
|
Merrill Lynch Mortgage Trust |
| 4.556% |
| 6/12/2043 |
| 0.73 |
|
| 192 |
|
| 192,013 |
|
Merrill Lynch Mortgage Trust |
| 4.806% |
| 9/12/2042 |
| 0.04 |
|
| 134 |
|
| 134,257 |
|
Merrill Lynch Mortgage Trust |
| 0.551% | # | 6/12/2050 |
| 0.02 |
|
| 251 |
|
| 250,633 |
|
Merrill Lynch/Countrywide Commercial |
| 5.439% |
| 2/12/2039 |
| 0.18 |
|
| 66 |
|
| 66,120 |
|
Merrill Lynch/Countrywide Commercial |
| 5.172% |
| 12/12/2049 |
| 3.75 |
|
| 1,000 |
|
| 1,112,865 |
|
Merrill Lynch/Countrywide Commercial |
| 0.451% | # | 6/12/2050 |
| 1.58 |
|
| 217 |
|
| 214,285 |
|
Morgan Stanley Capital I 2005-HQ6 A4A |
| 4.989% |
| 8/13/2042 |
| 2.62 |
|
| 980 |
|
| 1,075,970 |
|
Morgan Stanley Capital I 2005-HQ7 A4 |
| 5.369% | # | 11/14/2042 |
| 2.74 |
|
| 800 |
|
| 890,113 |
|
Morgan Stanley Capital I 2006-T21 A2 |
| 5.09% |
| 10/12/2052 |
| 0.04 |
|
| 296 |
|
| 296,715 |
|
Morgan Stanley Capital I 2007-HQ12 A3 |
| 5.781% | # | 4/12/2049 |
| 2.85 |
|
| 955 |
|
| 1,014,253 |
|
Morgan Stanley Capital I 2007-XLF9 A2† |
| 0.802% | # | 12/15/2020 |
| 0.02 |
|
| 491 |
|
| 474,948 |
|
Morgan Stanley Capital I 2011-C1 A2† |
| 3.884% |
| 9/15/2047 |
| 3.22 |
|
| 1,515 |
|
| 1,635,542 |
|
Morgan Stanley Capital I 2011-C2 A2† |
| 3.476% |
| 6/15/2044 |
| 3.59 |
|
| 750 |
|
| 803,722 |
|
Morgan Stanley Dean Witter Capital I |
| 6.39% |
| 7/15/2033 |
| 0.04 |
|
| 87 |
|
| 87,295 |
|
Morgan Stanley Re-REMIC Trust |
| 3.25% |
| 12/17/2043 |
| 0.05 |
|
| 122 |
|
| 121,559 |
|
Morgan Stanley Re-REMIC Trust |
| 5.979% | # | 8/15/2045 |
| 4.12 |
|
| 1,500 |
|
| 1,706,492 |
|
Permanent Master Issuer plc 2010-1A† |
| 1.617% | # | 7/15/2042 |
| 0.53 |
|
| 850 |
|
| 852,105 |
|
RBSCF Trust 2010-MB1 A2† |
| 3.686% |
| 4/15/2024 |
| 2.59 |
|
| 1,580 |
|
| 1,678,334 |
|
RBSCF Trust 2010-RR3 CSCA† |
| 5.467% |
| 9/16/2039 |
| 3.50 |
|
| 300 |
|
| 330,441 |
|
Sequoia Mortgage Trust 2012-3 A2 |
| 3.00% | # | 7/25/2042 |
| 4.39 |
|
| 350 |
|
| 355,469 |
|
Silverstone Master Issuer plc 2011-1A† |
| 2.016% | # | 1/21/2055 |
| 0.06 |
|
| 400 |
|
| 402,793 |
|
Silverstone Master Issuer plc 2012-1A† |
| 2.016% | # | 1/21/2055 |
| 0.07 |
|
| 800 |
|
| 807,140 |
|
UBS-Barclays Commercial Mortgage Trust |
| 2.113% |
| 5/10/2063 |
| 4.66 |
|
| 2,100 |
|
| 2,141,951 |
|
Vornado DP LLC 2010-VNO A1† |
| 2.97% |
| 9/13/2028 |
| 4.03 |
|
| 853 |
|
| 899,598 |
|
Wachovia Bank Commercial Mortgage Trust 2002-C2 A4 |
| 4.98% |
| 11/15/2034 |
| 0.23 |
|
| 234 |
|
| 235,555 |
|
|
|
|
| See Notes to Financial Statements. | 19 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
| Modified | ~ | Principal |
| Fair |
| ||
NON-AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | |||||||||||||
Wachovia Bank Commercial Mortgage Trust |
| 4.241 | % | 10/15/2035 |
| 0.36 |
| $ | 427 |
| $ | 430,412 |
|
Wachovia Bank Commercial Mortgage Trust |
| 4.807 | % | 4/15/2042 |
| 1.31 |
|
| 499 |
|
| 519,583 |
|
Wachovia Bank Commercial Mortgage Trust |
| 4.661 | % | 5/15/2044 |
| 2.35 |
|
| 315 |
|
| 321,046 |
|
Wachovia Bank Commercial Mortgage Trust |
| 6.011 | %# | 6/15/2045 |
| 3.45 |
|
| 1,470 |
|
| 1,683,363 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.765 | % | 7/15/2045 |
| 3.49 |
|
| 1,100 |
|
| 1,244,642 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.795 | % | 7/15/2045 |
| 3.56 |
|
| 645 |
|
| 688,634 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.572 | % | 10/15/2048 |
| 3.69 |
|
| 1,250 |
|
| 1,390,478 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.246 | % | 12/15/2043 |
| 1.60 |
|
| 373 |
|
| 386,214 |
|
Wachovia Bank Commercial Mortgage Trust |
| 5.342 | % | 12/15/2043 |
| 3.99 |
|
| 1,650 |
|
| 1,786,788 |
|
WF-RBS Commercial Mortgage Trust |
| 3.791 | % | 2/15/2044 |
| 3.28 |
|
| 1,500 |
|
| 1,615,576 |
|
WF-RBS Commercial Mortgage Trust |
| 2.30 | % | 6/15/2045 |
| 4.99 |
|
| 530 |
|
| 537,201 |
|
Total Non-Agency Commercial Mortgage-Backed Securities (cost $97,980,374) |
|
| 98,722,879 |
| |||||||||
Total Long-Term Investments (cost $391,272,664) |
|
|
|
|
| 393,379,856 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 5.98% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Paper 1.37% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Cyclical 0.24% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Newell Rubbermaid, Inc. |
| 1.326 | % | 9/5/2012 |
|
|
|
| 1,000 |
|
| 997,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Energy 0.30% |
|
|
|
|
|
|
|
|
|
|
|
|
|
BP Capital Markets plc |
| 0.777 | % | 2/11/2013 |
|
|
|
| 1,250 |
|
| 1,243,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications 0.83% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Vodafone Group plc |
| 0.01 | % | 2/8/2013 |
|
|
|
| 500 |
|
| 496,299 |
|
Vodafone Group plc |
| 1.004 | % | 7/9/2012 |
|
|
|
| 3,000 |
|
| 2,999,334 |
|
Total |
|
|
|
|
|
|
|
|
|
|
| 3,495,633 |
|
Total Commercial Paper (cost $5,736,921) |
|
|
|
|
|
|
|
|
|
|
| 5,736,921 |
|
|
|
20 | See Notes to Financial Statements. |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
| Interest |
| Maturity |
|
|
| Principal |
| Fair |
| ||
| |||||||||||||
Repurchase Agreement 4.61% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement dated 6/29/2012, |
| 0.09% |
| 7/2/2012 |
|
|
| $ | 19,241 |
| $ | 19,241,000 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Total Short-Term Investments (cost $24,977,921) |
| 24,977,921 |
| ||||||||||
|
| ||||||||||||
Total Investments in Securities 100.24% (cost $416,250,585) |
|
| 418,357,777 |
| |||||||||
|
|
| |||||||||||
Liabilities in Excess of Cash, Foreign Cash and Other Assets(f) (0.24%) |
|
| (1,021,029 | ) | |||||||||
|
|
| |||||||||||
Net Assets 100.00% |
|
|
|
|
|
|
|
|
|
| $ | 417,336,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EUR |
| euro. |
TRY |
| Turkish lira. |
~ |
| Modified Duration is the change in the value of a fixed income security that will result from a 1% change in market interest rates. Duration is expressed as a number of years, and generally, the larger a duration, the greater the interest-rate risk or reward for a portfolio’s underlying bond prices. The sum of these weighted values within a portfolio, including applicable aggregated interest rate exposure, is divided by the sum of the market values (or notional values where appropriate) of all fixed income securities. |
# |
| Variable rate security. The interest rate represents the rate in effect at June 30, 2012. |
† |
| Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional buyers. |
(a) |
| Security has been partially segregated to cover margin requirements for open futures contracts as of June 30, 2012. |
(b) |
| Foreign security traded in U.S. dollars. |
(c) |
| Investment in non-U.S. dollar denominated securities. |
(d) |
| Security has been partially segregated to cover the unrealized appreciation on the forward foreign currency exchange contracts as of June 30, 2012. |
(e) |
| To-be-announced (“TBA”). Security purchased on a forward commitment basis with an approximate principal and maturity date. Actual principal and maturity will be determined upon settlement when the specific mortgage pools are assigned. |
(f) |
| Liabilities in Excess of Cash, Foreign Cash and Other Assets include net unrealized appreciation/depreciation on futures contracts, forward foreign currency exchange contracts and swaps as follows: |
Open Futures Contracts at June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
| Expiration |
| Contracts |
| Position |
| Market |
|
| Unrealized |
| |||
U.S. 2-Year Treasury Note |
| September 2012 |
| 121 |
| Short |
| $ | (26,642,688 | ) |
|
| $ | 22,416 |
|
U.S. 5-Year Treasury Note |
| September 2012 |
| 704 |
| Short |
|
| (87,274,000 | ) |
|
|
| 141,602 |
|
|
|
|
|
|
|
|
|
|
| ||||||
Totals |
|
|
|
|
|
|
| $ | (113,916,688 | ) |
|
| $ | 164,018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 21 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
Open Forward Foreign Currency Exchange Contracts at June 30, 2012: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward |
| Transaction |
| Counterparty |
| Expiration |
|
| Foreign |
| U.S. $ |
| U.S. $ |
| Unrealized |
| ||||
Argentine peso |
| Buy |
| J.P. Morgan |
| 7/5/2012 |
|
| 22,100,000 |
| $ | 4,556,701 |
| $ | 4,873,798 |
|
| $ | 317,097 |
|
Argentine peso |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 1,180,000 |
|
| 254,037 |
|
| 253,355 |
|
|
| (682 | ) |
Argentine peso |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 60,385,000 |
|
| 13,127,174 |
|
| 12,965,110 |
|
|
| (162,064 | ) |
Argentine peso |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 1,595,000 |
|
| 340,448 |
|
| 342,458 |
|
|
| 2,010 |
|
Argentine peso |
| Buy |
| Deutsche Bank |
| 9/10/2012 |
|
| 25,305,000 |
|
| 4,981,299 |
|
| 5,221,888 |
|
|
| 240,589 |
|
Argentine peso |
| Buy |
| Credit Suisse |
| 9/10/2012 |
|
| 44,875,000 |
|
| 8,835,401 |
|
| 9,260,313 |
|
|
| 424,912 |
|
Argentine peso |
| Buy |
| Barclays Bank plc |
| 10/2/2012 |
|
| 24,630,000 |
|
| 4,887,875 |
|
| 4,920,825 |
|
|
| 32,950 |
|
Brazilian real |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 4,400,000 |
|
| 2,146,027 |
|
| 2,185,985 |
|
|
| 39,958 |
|
Brazilian real |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 3,598,000 |
|
| 1,935,762 |
|
| 1,787,540 |
|
|
| (148,222 | ) |
Brazilian real |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 7,535,000 |
|
| 4,084,011 |
|
| 3,743,499 |
|
|
| (340,512 | ) |
Brazilian real |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 325,000 |
|
| 174,225 |
|
| 161,465 |
|
|
| (12,760 | ) |
Brazilian real |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 1,445,000 |
|
| 758,132 |
|
| 714,323 |
|
|
| (43,809 | ) |
Brazilian real |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 420,000 |
|
| 218,750 |
|
| 207,623 |
|
|
| (11,127 | ) |
Brazilian real |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 6,290,000 |
|
| 3,268,381 |
|
| 3,109,407 |
|
|
| (158,974 | ) |
Brazilian real |
| Buy |
| Goldman Sachs |
| 8/6/2012 |
|
| 8,210,000 |
|
| 4,131,857 |
|
| 4,058,542 |
|
|
| (73,315 | ) |
Brazilian real |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 5,110,000 |
|
| 2,495,239 |
|
| 2,511,895 |
|
|
| 16,656 |
|
Brazilian real |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 14,870,000 |
|
| 7,329,456 |
|
| 7,309,565 |
|
|
| (19,891 | ) |
Chilean peso |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 2,100,000,000 |
|
| 4,028,391 |
|
| 4,188,899 |
|
|
| 160,508 |
|
Chilean peso |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 137,065,000 |
|
| 280,698 |
|
| 273,405 |
|
|
| (7,293 | ) |
Chilean peso |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 4,821,465,000 |
|
| 9,859,847 |
|
| 9,584,465 |
|
|
| (275,382 | ) |
Chilean peso |
| Buy |
| Credit Suisse |
| 8/6/2012 |
|
| 1,065,025,000 |
|
| 2,183,323 |
|
| 2,117,135 |
|
|
| (66,188 | ) |
Chilean peso |
| Buy |
| Credit Suisse |
| 9/10/2012 |
|
| 2,140,000,000 |
|
| 4,165,856 |
|
| 4,234,060 |
|
|
| 68,204 |
|
Chilean peso |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 2,395,000,000 |
|
| 4,707,617 |
|
| 4,738,586 |
|
|
| 30,969 |
|
Chilean peso |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 1,060,000,000 |
|
| 2,082,515 |
|
| 2,097,245 |
|
|
| 14,730 |
|
Chilean peso |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 3,004,455,000 |
|
| 5,804,028 |
|
| 5,944,413 |
|
|
| 140,385 |
|
Chinese yuan renminbi |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 830,000 |
|
| 131,319 |
|
| 130,758 |
|
|
| (561 | ) |
Chinese yuan renminbi |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 33,842,000 |
|
| 5,356,866 |
|
| 5,331,450 |
|
|
| (25,416 | ) |
Chinese yuan renminbi |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 46,525,000 |
|
| 7,359,222 |
|
| 7,329,523 |
|
|
| (29,699 | ) |
Chinese yuan renminbi |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 920,000 |
|
| 145,524 |
|
| 145,211 |
|
|
| (313 | ) |
Chinese yuan renminbi |
| Buy |
| Deutsche Bank |
| 8/6/2012 |
|
| 1,090,000 |
|
| 172,427 |
|
| 172,044 |
|
|
| (383 | ) |
Chinese yuan renminbi |
| Buy |
| Credit Suisse |
| 9/10/2012 |
|
| 40,275,000 |
|
| 6,339,525 |
|
| 6,339,639 |
|
|
| 114 |
|
Colombian peso |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 460,000,000 |
|
| 249,551 |
|
| 257,562 |
|
|
| 8,011 |
|
Colombian peso |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 11,600,000,000 |
|
| 6,290,672 |
|
| 6,495,052 |
|
|
| 204,380 |
|
Colombian peso |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 6,168,000,000 |
|
| 3,464,195 |
|
| 3,453,576 |
|
|
| (10,619 | ) |
Colombian peso |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 2,190,000,000 |
|
| 1,231,029 |
|
| 1,226,221 |
|
|
| (4,808 | ) |
Colombian peso |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 3,936,895,000 |
|
| 2,195,091 |
|
| 2,204,339 |
|
|
| 9,248 |
|
Colombian peso |
| Buy |
| Deutsche Bank |
| 7/30/2012 |
|
| 10,327,000,000 |
|
| 5,692,630 |
|
| 5,761,709 |
|
|
| 69,079 |
|
Colombian peso |
| Buy |
| Goldman Sachs |
| 8/6/2012 |
|
| 19,485,350,000 |
|
| 10,934,540 |
|
| 10,855,499 |
|
|
| (79,041 | ) |
Czech koruna |
| Buy |
| Deutsche Bank |
| 7/13/2012 |
|
| 80,000,000 |
|
| 4,330,893 |
|
| 3,966,890 |
|
|
| (364,003 | ) |
Czech koruna |
| Buy |
| Goldman Sachs |
| 8/6/2012 |
|
| 75,080,000 |
|
| 3,982,496 |
|
| 3,722,538 |
|
|
| (259,958 | ) |
Czech koruna |
| Buy |
| Goldman Sachs |
| 8/6/2012 |
|
| 6,665,000 |
|
| 350,007 |
|
| 330,457 |
|
|
| (19,550 | ) |
Hong Kong dollar |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 19,113,000 |
|
| 2,463,069 |
|
| 2,463,731 |
|
|
| 662 |
|
Hong Kong dollar |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 80,825,000 |
|
| 10,416,990 |
|
| 10,418,617 |
|
|
| 1,627 |
|
Hong Kong dollar |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 34,140,000 |
|
| 4,400,556 |
|
| 4,401,107 |
|
|
| 551 |
|
Hungarian forint |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 973,995,000 |
|
| 4,379,474 |
|
| 4,307,304 |
|
|
| (72,170 | ) |
Hungarian forint |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 354,615,000 |
|
| 1,557,994 |
|
| 1,563,113 |
|
|
| 5,119 |
|
Hungarian forint |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 1,458,595,000 |
|
| 6,685,589 |
|
| 6,429,364 |
|
|
| (256,225 | ) |
Hungarian forint |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 70,000,000 |
|
| 284,215 |
|
| 308,554 |
|
|
| 24,339 |
|
|
|
|
22 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward |
| Transaction |
| Counterparty |
| Expiration |
|
| Foreign |
| U.S. $ |
| U.S. $ |
| Unrealized |
| ||||
Hungarian forint |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 1,843,595,000 |
| $ | 7,492,766 |
| $ | 8,126,412 |
|
| $ | 633,646 |
|
Indian rupee |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 165,301,000 |
|
| 3,182,538 |
|
| 2,962,752 |
|
|
| (219,786 | ) |
Indian rupee |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 58,265,000 |
|
| 1,134,002 |
|
| 1,044,305 |
|
|
| (89,697 | ) |
Indian rupee |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 9,000,000 |
|
| 173,277 |
|
| 161,310 |
|
|
| (11,967 | ) |
Indian rupee |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 90,450,000 |
|
| 1,708,861 |
|
| 1,622,585 |
|
|
| (86,276 | ) |
Indian rupee |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 352,240,000 |
|
| 6,554,156 |
|
| 6,318,844 |
|
|
| (235,312 | ) |
Indian rupee |
| Buy |
| Goldman Sachs |
| 9/10/2012 |
|
| 17,000,000 |
|
| 294,878 |
|
| 302,527 |
|
|
| 7,649 |
|
Indian rupee |
| Buy |
| Goldman Sachs |
| 9/10/2012 |
|
| 155,000,000 |
|
| 2,736,099 |
|
| 2,758,337 |
|
|
| 22,238 |
|
Indian rupee |
| Buy |
| Goldman Sachs |
| 9/10/2012 |
|
| 420,087,547 |
|
| 7,406,339 |
|
| 7,475,762 |
|
|
| 69,423 |
|
Indonesian rupiah |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 13,928,819,000 |
|
| 1,506,633 |
|
| 1,481,955 |
|
|
| (24,678 | ) |
Indonesian rupiah |
| Buy |
| UBS AG |
| 7/13/2012 |
|
| 45,876,015,000 |
|
| 4,962,251 |
|
| 4,880,972 |
|
|
| (81,279 | ) |
Indonesian rupiah |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 4,825,570,000 |
|
| 521,401 |
|
| 512,536 |
|
|
| (8,865 | ) |
Indonesian rupiah |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 70,645,415,000 |
|
| 7,638,168 |
|
| 7,503,434 |
|
|
| (134,734 | ) |
Indonesian rupiah |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 19,750,000,000 |
|
| 2,045,572 |
|
| 2,088,842 |
|
|
| 43,270 |
|
Indonesian rupiah |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 44,730,000,000 |
|
| 4,637,636 |
|
| 4,730,830 |
|
|
| 93,194 |
|
Indonesian rupiah |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 25,521,000,000 |
|
| 2,602,856 |
|
| 2,699,207 |
|
|
| 96,351 |
|
Indonesian rupiah |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 3,750,000,000 |
|
| 381,679 |
|
| 396,616 |
|
|
| 14,937 |
|
Israeli new shekel |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 8,360,000 |
|
| 2,222,813 |
|
| 2,137,054 |
|
|
| (85,759 | ) |
Malaysian ringgit |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 2,710,000 |
|
| 880,900 |
|
| 854,842 |
|
|
| (26,058 | ) |
Malaysian ringgit |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 405,000 |
|
| 130,772 |
|
| 127,753 |
|
|
| (3,019 | ) |
Malaysian ringgit |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 5,750,000 |
|
| 1,874,246 |
|
| 1,813,779 |
|
|
| (60,467 | ) |
Malaysian ringgit |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 11,830,000 |
|
| 3,839,039 |
|
| 3,744,278 |
|
|
| (94,761 | ) |
Malaysian ringgit |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 530,000 |
|
| 171,855 |
|
| 167,749 |
|
|
| (4,106 | ) |
Malaysian ringgit |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 17,385,000 |
|
| 5,494,627 |
|
| 5,492,807 |
|
|
| (1,820 | ) |
Mexican peso |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 2,235,000 |
|
| 175,205 |
|
| 167,381 |
|
|
| (7,824 | ) |
Mexican peso |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 43,345,000 |
|
| 3,380,122 |
|
| 3,246,144 |
|
|
| (133,978 | ) |
Mexican peso |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 1,660,000 |
|
| 129,841 |
|
| 124,319 |
|
|
| (5,522 | ) |
Mexican peso |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 2,305,000 |
|
| 172,807 |
|
| 172,221 |
|
|
| (586 | ) |
Mexican peso |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 237,890,000 |
|
| 17,965,759 |
|
| 17,774,212 |
|
|
| (191,547 | ) |
Mexican peso |
| Buy |
| Deutsche Bank |
| 9/10/2012 |
|
| 2,955,000 |
|
| 204,152 |
|
| 220,058 |
|
|
| 15,906 |
|
Mexican peso |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 14,560,000 |
|
| 1,042,427 |
|
| 1,084,281 |
|
|
| 41,854 |
|
Mexican peso |
| Buy |
| Deutsche Bank |
| 9/10/2012 |
|
| 173,500,000 |
|
| 12,219,170 |
|
| 12,920,520 |
|
|
| 701,350 |
|
Peruvian Nuevo sol |
| Buy |
| Credit Suisse |
| 7/13/2012 |
|
| 5,775,000 |
|
| 2,158,879 |
|
| 2,164,804 |
|
|
| 5,925 |
|
Peruvian Nuevo sol |
| Buy |
| Credit Suisse |
| 7/13/2012 |
|
| 345,000 |
|
| 129,675 |
|
| 129,326 |
|
|
| (349 | ) |
Peruvian Nuevo sol |
| Buy |
| Credit Suisse |
| 9/10/2012 |
|
| 26,035,000 |
|
| 9,615,882 |
|
| 9,715,552 |
|
|
| 99,670 |
|
Philippine peso |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 69,130,000 |
|
| 1,600,973 |
|
| 1,642,817 |
|
|
| 41,844 |
|
Philippine peso |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 90,390,000 |
|
| 2,107,484 |
|
| 2,148,043 |
|
|
| 40,559 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 619,355,000 |
|
| 14,647,156 |
|
| 14,756,704 |
|
|
| 109,548 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 11,120,000 |
|
| 262,611 |
|
| 264,944 |
|
|
| 2,333 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 18,200,000 |
|
| 415,810 |
|
| 432,917 |
|
|
| 17,107 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 330,000,000 |
|
| 7,603,687 |
|
| 7,849,603 |
|
|
| 245,916 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 104,525,000 |
|
| 2,401,769 |
|
| 2,486,302 |
|
|
| 84,533 |
|
Philippine peso |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 239,895,000 |
|
| 5,471,433 |
|
| 5,706,304 |
|
|
| 234,871 |
|
Polish zloty |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 550,000 |
|
| 175,079 |
|
| 164,880 |
|
|
| (10,199 | ) |
Polish zloty |
| Buy |
| Goldman Sachs |
| 7/13/2012 |
|
| 71,750,000 |
|
| 22,675,558 |
|
| 21,509,385 |
|
|
| (1,166,173 | ) |
Polish zloty |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 555,000 |
|
| 172,381 |
|
| 165,891 |
|
|
| (6,490 | ) |
Polish zloty |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 2,110,000 |
|
| 658,305 |
|
| 630,686 |
|
|
| (27,619 | ) |
Polish zloty |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 1,170,000 |
|
| 341,190 |
|
| 349,717 |
|
|
| 8,527 |
|
Polish zloty |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 1,100,000 |
|
| 307,620 |
|
| 327,444 |
|
|
| 19,824 |
|
Polish zloty |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 2,200,000 |
|
| 626,704 |
|
| 654,888 |
|
|
| 28,184 |
|
|
|
|
| See Notes to Financial Statements. | 23 |
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward |
| Transaction |
| Counterparty |
| Expiration |
|
| Foreign |
| U.S. $ |
| U.S. $ |
| Unrealized |
| ||||
Polish zloty |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 36,100,000 |
| $ | 10,067,488 |
| $ | 10,746,113 |
|
| $ | 678,625 |
|
Romanian new leu |
| Buy |
| Goldman Sachs |
| 8/6/2012 |
|
| 5,235,000 |
|
| 1,571,600 |
|
| 1,482,461 |
|
|
| (89,139 | ) |
Russian ruble |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 56,806,000 |
|
| 1,902,093 |
|
| 1,751,543 |
|
|
| (150,550 | ) |
Russian ruble |
| Buy |
| Barclays Bank plc |
| 7/13/2012 |
|
| 232,710,000 |
|
| 7,836,541 |
|
| 7,175,326 |
|
|
| (661,215 | ) |
Russian ruble |
| Buy |
| J.P. Morgan |
| 8/6/2012 |
|
| 11,650,000 |
|
| 388,722 |
|
| 357,910 |
|
|
| (30,812 | ) |
Russian ruble |
| Buy |
| J.P. Morgan |
| 8/6/2012 |
|
| 195,720,000 |
|
| 6,563,380 |
|
| 6,012,885 |
|
|
| (550,495 | ) |
Russian ruble |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 96,000,000 |
|
| 2,914,832 |
|
| 2,927,110 |
|
|
| 12,278 |
|
Russian ruble |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 154,610,000 |
|
| 4,685,293 |
|
| 4,714,172 |
|
|
| 28,879 |
|
Russian ruble |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 61,050,000 |
|
| 1,852,807 |
|
| 1,861,459 |
|
|
| 8,652 |
|
Russian ruble |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 219,710,000 |
|
| 6,714,648 |
|
| 6,699,118 |
|
|
| (15,530 | ) |
Singapore dollar |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 165,000 |
|
| 130,560 |
|
| 130,254 |
|
|
| (306 | ) |
Singapore dollar |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 10,990,000 |
|
| 8,703,572 |
|
| 8,675,723 |
|
|
| (27,849 | ) |
Singapore dollar |
| Buy |
| Morgan Stanley |
| 8/6/2012 |
|
| 270,000 |
|
| 215,952 |
|
| 213,143 |
|
|
| (2,809 | ) |
Singapore dollar |
| Buy |
| Morgan Stanley |
| 8/6/2012 |
|
| 6,225,000 |
|
| 4,991,340 |
|
| 4,914,130 |
|
|
| (77,210 | ) |
Singapore dollar |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 375,000 |
|
| 291,469 |
|
| 296,050 |
|
|
| 4,581 |
|
Singapore dollar |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 4,830,000 |
|
| 3,750,524 |
|
| 3,813,121 |
|
|
| 62,597 |
|
South African rand |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 16,640,000 |
|
| 2,149,038 |
|
| 2,032,429 |
|
|
| (116,609 | ) |
South African rand |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 15,575,000 |
|
| 1,966,032 |
|
| 1,895,536 |
|
|
| (70,496 | ) |
South African rand |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 2,150,000 |
|
| 247,930 |
|
| 260,344 |
|
|
| 12,414 |
|
South African rand |
| Buy |
| UBS AG |
| 9/10/2012 |
|
| 2,400,000 |
|
| 281,138 |
|
| 290,616 |
|
|
| 9,478 |
|
South African rand |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 162,695,000 |
|
| 18,862,751 |
|
| 19,700,737 |
|
|
| 837,986 |
|
South Korean won |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 14,895,250,000 |
|
| 13,108,554 |
|
| 12,982,767 |
|
|
| (125,787 | ) |
South Korean won |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 298,470,000 |
|
| 262,541 |
|
| 260,148 |
|
|
| (2,393 | ) |
South Korean won |
| Buy |
| J.P. Morgan |
| 8/6/2012 |
|
| 5,000,000,000 |
|
| 4,229,224 |
|
| 4,358,022 |
|
|
| 128,798 |
|
South Korean won |
| Buy |
| J.P. Morgan |
| 9/10/2012 |
|
| 5,000,000,000 |
|
| 4,207,869 |
|
| 4,345,672 |
|
|
| 137,803 |
|
South Korean won |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 4,860,000,000 |
|
| 4,198,486 |
|
| 4,223,993 |
|
|
| 25,507 |
|
Taiwan dollar |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 53,225,000 |
|
| 1,810,990 |
|
| 1,786,383 |
|
|
| (24,607 | ) |
Thai baht |
| Buy |
| Deutsche Bank |
| 7/13/2012 |
|
| 50,815,000 |
|
| 1,640,252 |
|
| 1,598,865 |
|
|
| (41,387 | ) |
Thai baht |
| Buy |
| Deutsche Bank |
| 7/13/2012 |
|
| 12,450,000 |
|
| 402,678 |
|
| 391,732 |
|
|
| (10,946 | ) |
Thai baht |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 121,090,000 |
|
| 3,898,583 |
|
| 3,803,831 |
|
|
| (94,752 | ) |
Thai baht |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 243,140,000 |
|
| 7,874,572 |
|
| 7,637,819 |
|
|
| (236,753 | ) |
Thai baht |
| Buy |
| UBS AG |
| 8/6/2012 |
|
| 8,170,000 |
|
| 262,811 |
|
| 256,647 |
|
|
| (6,164 | ) |
Thai baht |
| Buy |
| Barclays Bank plc |
| 9/10/2012 |
|
| 370,000,000 |
|
| 11,555,278 |
|
| 11,599,264 |
|
|
| 43,986 |
|
Turkish lira |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 400,000 |
|
| 218,794 |
|
| 220,630 |
|
|
| 1,836 |
|
Turkish lira |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 14,600,000 |
|
| 7,836,402 |
|
| 8,053,001 |
|
|
| 216,599 |
|
Turkish lira |
| Buy |
| J.P. Morgan |
| 7/13/2012 |
|
| 1,815,000 |
|
| 990,342 |
|
| 1,001,110 |
|
|
| 10,768 |
|
Turkish lira |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 315,000 |
|
| 171,959 |
|
| 172,831 |
|
|
| 872 |
|
Turkish lira |
| Buy |
| Barclays Bank plc |
| 8/6/2012 |
|
| 680,000 |
|
| 371,151 |
|
| 373,095 |
|
|
| 1,944 |
|
Turkish lira |
| Buy |
| Goldman Sachs |
| 9/10/2012 |
|
| 600,000 |
|
| 314,432 |
|
| 326,946 |
|
|
| 12,514 |
|
Turkish lira |
| Buy |
| Goldman Sachs |
| 9/10/2012 |
|
| 26,045,000 |
|
| 13,762,219 |
|
| 14,192,157 |
|
|
| 429,938 |
|
Argentine peso |
| Sell |
| Barclays Bank plc |
| 7/5/2012 |
|
| 22,100,000 |
|
| 4,890,462 |
|
| 4,873,798 |
|
|
| 16,664 |
|
Brazilian real |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 1,115,000 |
|
| 546,890 |
|
| 553,948 |
|
|
| (7,058 | ) |
Chinese yuan renminbi |
| Sell |
| UBS AG |
| 7/13/2012 |
|
| 56,400,000 |
|
| 8,863,744 |
|
| 8,885,225 |
|
|
| (21,481 | ) |
Chinese yuan renminbi |
| Sell |
| Credit Suisse |
| 7/13/2012 |
|
| 24,797,000 |
|
| 3,903,810 |
|
| 3,906,506 |
|
|
| (2,696 | ) |
Chinese yuan renminbi |
| Sell |
| Credit Suisse |
| 8/6/2012 |
|
| 2,010,000 |
|
| 315,864 |
|
| 317,255 |
|
|
| (1,391 | ) |
Chinese yuan renminbi |
| Sell |
| Credit Suisse |
| 9/10/2012 |
|
| 40,275,000 |
|
| 6,316,161 |
|
| 6,339,639 |
|
|
| (23,478 | ) |
Czech koruna |
| Sell |
| Goldman Sachs |
| 7/13/2012 |
|
| 80,000,000 |
|
| 3,851,301 |
|
| 3,966,890 |
|
|
| (115,589 | ) |
Czech koruna |
| Sell |
| Goldman Sachs |
| 8/6/2012 |
|
| 81,745,000 |
|
| 3,935,251 |
|
| 4,052,995 |
|
|
| (117,744 | ) |
euro |
| Sell |
| UBS AG |
| 9/10/2012 |
|
| 3,355,000 |
|
| 4,187,443 |
|
| 4,248,503 |
|
|
| (61,060 | ) |
euro |
| Sell |
| J.P. Morgan |
| 9/20/2012 |
|
| 1,072,000 |
|
| 1,345,521 |
|
| 1,357,639 |
|
|
| (12,118 | ) |
|
|
|
24 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited)(continued) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward |
| Transaction |
| Counterparty |
| Expiration |
|
| Foreign |
| U.S. $ |
| U.S. $ |
| Unrealized |
| ||||
Hong Kong dollar |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 65,845,000 |
| $ | 8,488,571 |
| $ | 8,487,644 |
|
| $ | 927 |
|
Hong Kong dollar |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 34,093,000 |
|
| 4,393,219 |
|
| 4,394,703 |
|
|
| (1,484 | ) |
Hong Kong dollar |
| Sell |
| Barclays Bank plc |
| 8/6/2012 |
|
| 34,140,000 |
|
| 4,399,499 |
|
| 4,401,107 |
|
|
| (1,608 | ) |
Hungarian forint |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 70,000,000 |
|
| 286,690 |
|
| 309,561 |
|
|
| (22,871 | ) |
Hungarian forint |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 535,000,000 |
|
| 2,360,051 |
|
| 2,365,934 |
|
|
| (5,883 | ) |
Indian rupee |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 14,000,000 |
|
| 247,180 |
|
| 250,927 |
|
|
| (3,747 | ) |
Indonesian rupiah |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 2,700,000,000 |
|
| 283,762 |
|
| 287,266 |
|
|
| (3,504 | ) |
Israeli new shekel |
| Sell |
| Morgan Stanley |
| 7/13/2012 |
|
| 8,360,000 |
|
| 2,205,979 |
|
| 2,137,054 |
|
|
| 68,925 |
|
Malaysian ringgit |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 6,830,000 |
|
| 2,140,596 |
|
| 2,154,454 |
|
|
| (13,858 | ) |
Malaysian ringgit |
| Sell |
| Barclays Bank plc |
| 8/6/2012 |
|
| 11,900,000 |
|
| 3,699,099 |
|
| 3,766,434 |
|
|
| (67,335 | ) |
Mexican peso |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 3,545,000 |
|
| 248,313 |
|
| 265,488 |
|
|
| (17,175 | ) |
Mexican peso |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 30,730,000 |
|
| 2,181,134 |
|
| 2,301,396 |
|
|
| (120,262 | ) |
Mexican peso |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 5,780,000 |
|
| 420,773 |
|
| 432,869 |
|
|
| (12,096 | ) |
Mexican peso |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 4,565,000 |
|
| 333,540 |
|
| 341,877 |
|
|
| (8,337 | ) |
Peruvian Nuevo sol |
| Sell |
| Credit Suisse |
| 7/13/2012 |
|
| 6,120,000 |
|
| 2,278,905 |
|
| 2,294,130 |
|
|
| (15,225 | ) |
Peruvian Nuevo sol |
| Sell |
| Credit Suisse |
| 9/10/2012 |
|
| 7,800,000 |
|
| 2,858,190 |
|
| 2,910,747 |
|
|
| (52,557 | ) |
Peruvian Nuevo sol |
| Sell |
| Credit Suisse |
| 9/10/2012 |
|
| 5,035,000 |
|
| 1,871,747 |
|
| 1,878,925 |
|
|
| (7,178 | ) |
Peruvian Nuevo sol |
| Sell |
| Credit Suisse |
| 9/10/2012 |
|
| 1,900,000 |
|
| 705,271 |
|
| 709,028 |
|
|
| (3,757 | ) |
Philippine peso |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 159,520,000 |
|
| 3,766,706 |
|
| 3,790,860 |
|
|
| (24,154 | ) |
Philippine peso |
| Sell |
| Barclays Bank plc |
| 8/6/2012 |
|
| 18,000,000 |
|
| 424,628 |
|
| 428,867 |
|
|
| (4,239 | ) |
Philippine peso |
| Sell |
| J.P. Morgan |
| 8/6/2012 |
|
| 12,355,000 |
|
| 291,529 |
|
| 294,369 |
|
|
| (2,840 | ) |
Polish zloty |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 2,855,000 |
|
| 838,154 |
|
| 855,879 |
|
|
| (17,725 | ) |
Polish zloty |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 1,570,000 |
|
| 458,179 |
|
| 470,658 |
|
|
| (12,479 | ) |
Polish zloty |
| Sell |
| Barclays Bank plc |
| 7/13/2012 |
|
| 1,270,000 |
|
| 379,938 |
|
| 380,724 |
|
|
| (786 | ) |
Romanian new leu |
| Sell |
| UBS AG |
| 8/6/2012 |
|
| 5,235,000 |
|
| 1,548,382 |
|
| 1,482,461 |
|
|
| 65,921 |
|
Singapore dollar |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 5,920,000 |
|
| 4,641,863 |
|
| 4,673,365 |
|
|
| (31,502 | ) |
Singapore dollar |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 2,800,000 |
|
| 2,162,914 |
|
| 2,210,376 |
|
|
| (47,462 | ) |
Singapore dollar |
| Sell |
| Morgan Stanley |
| 7/13/2012 |
|
| 2,435,000 |
|
| 1,894,293 |
|
| 1,922,237 |
|
|
| (27,944 | ) |
Singapore dollar |
| Sell |
| Morgan Stanley |
| 8/6/2012 |
|
| 6,495,000 |
|
| 5,052,902 |
|
| 5,127,273 |
|
|
| (74,371 | ) |
South African rand |
| Sell |
| Goldman Sachs |
| 7/13/2012 |
|
| 3,495,000 |
|
| 419,422 |
|
| 426,883 |
|
|
| (7,461 | ) |
South African rand |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 3,470,000 |
|
| 421,283 |
|
| 423,830 |
|
|
| (2,547 | ) |
South African rand |
| Sell |
| UBS AG |
| 7/13/2012 |
|
| 9,675,000 |
|
| 1,144,199 |
|
| 1,181,715 |
|
|
| (37,516 | ) |
South African rand |
| Sell |
| UBS AG |
| 8/6/2012 |
|
| 15,575,000 |
|
| 1,835,441 |
|
| 1,895,536 |
|
|
| (60,095 | ) |
Taiwan dollar |
| Sell |
| Barclays Bank plc |
| 8/6/2012 |
|
| 53,225,000 |
|
| 1,836,611 |
|
| 1,786,383 |
|
|
| 50,228 |
|
Thai baht |
| Sell |
| Deutsche Bank |
| 7/13/2012 |
|
| 14,625,000 |
|
| 463,000 |
|
| 460,167 |
|
|
| 2,833 |
|
Turkish lira |
| Sell |
| J.P. Morgan |
| 7/13/2012 |
|
| 770,000 |
|
| 418,724 |
|
| 424,713 |
|
|
| (5,989 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
Net Unrealized Depreciation on Forward Foreign Currency Exchange Contracts |
|
|
|
|
|
| $ | (1,211,937 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements. | 25 |
|
Schedule of Investments (unaudited)(concluded) |
EMERGING MARKETS CURRENCY FUND June 30, 2012 |
|
Credit Default Swaps on Indexes - Sell Protection at June 30, 2012*: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap |
| Fund |
| Referenced |
| Termination |
| Notional |
| Market |
| Upfront |
| Unrealized |
| Credit Default |
| ||||||
J.P. Morgan |
| .10% |
| Markit CMBX. |
| 10/12/2052 |
| 1,350,000 |
| 1,302,750 |
|
| $ | 50,817 |
|
| $ | 3,567 |
|
| $ | 47,250 |
|
Morgan Stanley |
| .10% |
| Markit CMBX. |
| 10/12/2052 |
| 1,000,000 |
| 965,000 |
|
|
| 36,135 |
|
|
| 1,135 |
|
|
| 35,000 |
|
UBS AG |
| .07% |
| Markit CMBX. |
| 3/15/2049 |
| 1,300,000 |
| 1,235,000 |
|
|
| 72,834 |
|
|
| 7,834 |
|
|
| 65,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Totals on Credit Default Swaps |
|
|
|
|
|
|
|
| $ | 159,786 |
|
| $ | 12,536 |
|
| $ | 147,250 |
| ||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
| If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
** |
| Upfront payments received are presented net of amortization (See Note 2(m)). |
*** |
| Includes upfront payments received. |
Interest Rate Swap at June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Swap |
| Payments Made |
| Payments Received |
| Termination |
| Notional |
| Market |
| Unrealized |
|
Barclays Bank plc |
| 0.555% |
| 3-Month LIBOR Index |
| 3/9/2014 |
| $12,000,000 |
| $11,998,920 |
| $(1,080 | ) |
|
|
|
26 | See Notes to Financial Statements. |
|
|
Schedule of Investments (unaudited) |
GLOBAL ALLOCATION FUND June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
| Shares |
| Value |
| ||
| |||||||||||
INVESTMENTS IN UNDERLYING FUNDS(a) 100.18% |
|
|
|
|
|
|
|
|
|
|
|
Lord Abbett Affiliated Fund, |
|
|
|
|
|
| 523,954 |
| $ | 5,900 |
|
Lord Abbett Equity Trust- |
|
|
|
|
|
| 48,908 |
|
| 827 |
|
Lord Abbett Equity Trust- |
|
|
|
|
|
| 55,831 |
|
| 907 |
|
Lord Abbett Global Fund, |
|
|
|
|
|
| 4,704,412 |
|
| 29,826 |
|
Lord Abbett Research Fund, |
|
|
|
|
|
| 509,111 |
|
| 10,141 |
|
Lord Abbett Investment |
|
|
|
|
|
| 2,682,470 |
|
| 20,575 |
|
Lord Abbett Securities |
|
|
|
|
|
| 8,969,402 |
|
| 66,194 |
|
Lord Abbett Mid Cap Stock |
|
|
|
|
|
| 1,820,409 |
|
| 29,563 |
|
Lord Abbett Investment |
|
|
|
|
|
| 173,695 |
|
| 797 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Underlying Funds |
|
|
|
|
|
|
|
|
| 164,730 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Investments |
|
|
|
|
| Principal |
| Value |
| ||
| |||||||||||
SHORT-TERM INVESTMENTS 0.14% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreement |
|
|
|
|
|
| $224 |
| $ | 224 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities 100.32% |
|
|
|
|
|
|
|
|
| 164,954 |
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities in Excess of |
|
|
|
|
|
|
|
|
| (523 | ) |
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.00% |
|
|
|
|
|
|
|
| $ | 164,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
| Non-income producing security. |
(a) |
| Affiliated issuer (See Note 9). |
(b) |
| Fund investment objective is long-term growth of capital and income without excessive fluctuations in market value. |
(c) |
| Fund investment objective is total return. |
(d) |
| Fund investment objective is to seek high total return. |
(e) |
| Fund investment objective is capital appreciation. |
(f) |
| Fund investment objective is to seek a high current income and the opportunity for capital appreciation to produce a high total return. |
(g) |
| Fund investment objective is to seek a high level of total return. |
(h) |
| Fund investment objective is to seek capital appreciation through investments, primarily in equity securities, which are believed to be undervalued in the marketplace. |
(i) |
| Fund investment objective is to seek a high level of income consistent with preservation of capital. |
|
|
|
| See Notes to Financial Statements. | 27 |
|
Statements of Assets and Liabilities (unaudited) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
| Emerging Markets |
| Global |
| ||
ASSETS: |
|
|
|
|
|
|
|
Investments in securities, at cost |
| $ | 416,250,585 |
| $ | 173,139,653 |
|
Investments in securities, at fair value |
| $ | 418,357,777 |
| $ | 164,954,200 |
|
Cash |
|
| 7,305,121 |
|
| — |
|
Foreign cash, at value (cost $24,998 and $0, respectively) |
|
| 23,399 |
|
| — |
|
Receivables: |
|
|
|
|
|
|
|
Interest and dividends |
|
| 3,373,553 |
|
| 1,670,305 |
|
Investment securities sold |
|
| 3,471,526 |
|
| — |
|
Capital shares sold |
|
| 1,668,908 |
|
| 2,093,688 |
|
From affiliates (See Note 3) |
|
| — |
|
| 33,893 |
|
Variation margin |
|
| 153,960 |
|
| — |
|
Unrealized appreciation on forward foreign currency |
|
| 7,362,310 |
|
| — |
|
Prepaid expenses and other assets |
|
| 57,798 |
|
| 45,173 |
|
Total assets |
|
| 441,774,352 |
|
| 168,797,259 |
|
LIABILITIES: |
|
|
|
|
|
|
|
Payables: |
|
|
|
|
|
|
|
Investment securities purchased |
|
| 13,535,559 |
|
| 1,786,413 |
|
Capital shares reacquired |
|
| 816,858 |
|
| 508,832 |
|
Management fee |
|
| 168,394 |
|
| 6,559 |
|
12b-1 distribution fees |
|
| 49,117 |
|
| 54,583 |
|
Directors’ fees |
|
| 45,530 |
|
| 28,725 |
|
Fund administration |
|
| 13,472 |
|
| — |
|
Variation margin |
|
| 129 |
|
| — |
|
To affiliates (See Note 3) |
|
| 27,469 |
|
| — |
|
Unrealized depreciation on forward foreign currency |
|
| 8,574,247 |
|
| — |
|
Unrealized depreciation on interest rate swaps |
|
| 1,080 |
|
| — |
|
Credit default swap agreements payable, at fair value |
|
| 147,250 |
|
| — |
|
Distributions payable |
|
| 921,076 |
|
| 1,904,449 |
|
Accrued expenses and other liabilities |
|
| 137,423 |
|
| 76,802 |
|
Total liabilities |
|
| 24,437,604 |
|
| 4,366,363 |
|
NET ASSETS |
| $ | 417,336,748 |
| $ | 164,430,896 |
|
COMPOSITION OF NET ASSETS: |
|
|
|
|
|
|
|
Paid-in capital |
| $ | 441,022,116 |
| $ | 178,066,814 |
|
Distributions in excess of net investment income |
|
| (2,984,453 | ) |
| (12,319 | ) |
Accumulated net realized loss on investments, futures |
|
| (21,774,905 | ) |
| (5,437,714 | ) |
Net unrealized appreciation (depreciation) on investments, |
|
| 1,073,990 |
|
| (8,185,885 | ) |
Net Assets |
| $ | 417,336,748 |
| $ | 164,430,896 |
|
|
|
|
28 | See Notes to Financial Statements. |
|
|
Statements of Assets and Liabilities (unaudited)(concluded) |
June 30, 2012 |
|
|
|
|
|
|
|
|
|
| Emerging Markets |
| Global |
| ||
Net assets by class: |
|
|
|
|
|
|
|
Class A Shares |
| $ | 78,546,022 |
| $ | 109,090,815 |
|
Class B Shares |
| $ | 1,418,903 |
| $ | 7,318,592 |
|
Class C Shares |
| $ | 33,014,638 |
| $ | 26,955,657 |
|
Class F Shares |
| $ | 73,175,120 |
| $ | 2,267,236 |
|
Class I Shares |
| $ | 230,433,478 |
| $ | 14,512,761 |
|
Class P Shares |
| $ | 9,518 |
|
| — |
|
Class R2 Shares |
| $ | 273,403 |
| $ | 98,505 |
|
Class R3 Shares |
| $ | 465,666 |
| $ | 4,187,330 |
|
Outstanding shares by class: |
|
|
|
|
|
|
|
Class A Shares (415 million and 430 million shares |
|
| 12,353,350 |
|
| 10,366,793 |
|
Class B Shares (30 million and 15 million shares |
|
| 222,137 |
|
| 753,489 |
|
Class C Shares (100 million and 20 million shares |
|
| 5,162,464 |
|
| 2,770,898 |
|
Class F Shares (100 million and 20 million shares |
|
| 11,517,033 |
|
| 215,409 |
|
Class I Shares (100 million and 15 million shares |
|
| 36,318,120 |
|
| 1,371,890 |
|
Class P Shares (20 million and 20 million shares |
|
| 1,498 |
|
| — |
|
Class R2 Shares (20 million and 20 million shares |
|
| 42,933 |
|
| 9,208 |
|
Class R3 Shares (20 million and 20 million shares |
|
| 73,467 |
|
| 395,970 |
|
Net asset value, offering and redemption price per share |
|
|
|
|
|
|
|
Class A Shares-Net asset value |
|
| $6.36 |
|
| $10.52 |
|
Class A Shares-Maximum offering price |
|
| $6.51 |
|
| $11.16 |
|
Class B Shares-Net asset value |
|
| $6.39 |
|
| $9.71 |
|
Class C Shares-Net asset value |
|
| $6.40 |
|
| $9.73 |
|
Class F Shares-Net asset value |
|
| $6.35 |
|
| $10.53 |
|
Class I Shares-Net asset value |
|
| $6.34 |
|
| $10.58 |
|
Class P Shares-Net asset value |
|
| $6.35 |
|
| — |
|
Class R2 Shares-Net asset value |
|
| $6.37 |
|
| $10.70 |
|
Class R3 Shares-Net asset value |
|
| $6.34 |
|
| $10.57 |
|
|
|
|
| See Notes to Financial Statements. | 29 |
|
Statements of Operations (unaudited) |
For the Six Months Ended June 30, 2012 |
|
|
|
|
|
|
|
|
|
| Emerging Markets |
| Global |
| ||
Investment income: |
|
|
|
|
|
|
|
Dividends |
| $ | — |
| $ | 3,340,889 |
|
Interest and other |
|
| 4,190,834 |
|
| 4 |
|
Total investment income |
|
| 4,190,834 |
|
| 3,340,893 |
|
Expenses: |
|
|
|
|
|
|
|
Management fee |
|
| 982,263 |
|
| 211,414 |
|
12b-1 distribution plan-Class A |
|
| 81,606 |
|
| 139,650 |
|
12b-1 distribution plan-Class B |
|
| 7,713 |
|
| 40,065 |
|
12b-1 distribution plan-Class C |
|
| 155,492 |
|
| 133,553 |
|
12b-1 distribution plan-Class F |
|
| 36,684 |
|
| 1,547 |
|
12b-1 distribution plan-Class P |
|
| 21 |
|
| — |
|
12b-1 distribution plan-Class R2 |
|
| 974 |
|
| 287 |
|
12b-1 distribution plan-Class R3 |
|
| 1,092 |
|
| 9,120 |
|
Shareholder servicing |
|
| 167,384 |
|
| 175,781 |
|
Professional |
|
| 33,994 |
|
| 17,952 |
|
Reports to shareholders |
|
| 30,504 |
|
| 16,144 |
|
Fund administration |
|
| 78,581 |
|
| — |
|
Custody |
|
| 44,488 |
|
| 2,658 |
|
Directors’ fees |
|
| 5,358 |
|
| 2,579 |
|
Registration |
|
| 58,207 |
|
| 42,749 |
|
Subsidy (See Note 3) |
|
| 159,724 |
|
| — |
|
Other |
|
| 9,939 |
|
| 3,868 |
|
Gross expenses |
|
| 1,854,024 |
|
| 797,367 |
|
Expense reductions (See Note 7) |
|
| (73 | ) |
| (54 | ) |
Expenses assumed by Underlying Funds (See Note 3) |
|
| — |
|
| (261,677 | ) |
Management fee waived (See Note 3) |
|
| — |
|
| (169,131 | ) |
Net expenses |
|
| 1,853,951 |
|
| 366,505 |
|
Net investment income |
|
| 2,336,883 |
|
| 2,974,388 |
|
Net realized and unrealized gain (loss): |
|
|
|
|
|
|
|
Net realized gain (loss) on investments, futures contracts, |
|
| (2,000,426 | ) |
| 82,414 |
|
Net change in unrealized appreciation/depreciation on |
|
| 13,280,726 |
|
| 3,559,203 |
|
Net realized and unrealized gain |
|
| 11,280,300 |
|
| 3,641,617 |
|
Net Increase in Net Assets Resulting From Operations |
| $ | 13,617,183 |
| $ | 6,616,005 |
|
|
|
|
30 | See Notes to Financial Statements. |
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
| Emerging Markets Currency Fund |
| ||||
|
| ||||||
INCREASE IN NET ASSETS |
| For the Six Months |
| For the Year Ended |
| ||
Operations: |
|
|
|
|
|
|
|
Net investment income |
| $ | 2,336,883 |
| $ | 3,805,399 |
|
Net realized loss on investments, futures contracts, |
|
| (2,000,426 | ) |
| (15,808,061 | ) |
Net change in unrealized appreciation/depreciation |
|
| 13,280,726 |
|
| (11,943,156 | ) |
Net increase (decrease) in net assets resulting |
|
| 13,617,183 |
|
| (23,945,818 | ) |
Distributions to shareholders from: |
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
Class A |
|
| (1,078,525 | ) |
| (2,718,531 | ) |
Class B |
|
| (14,432 | ) |
| (40,038 | ) |
Class C |
|
| (347,091 | ) |
| (780,752 | ) |
Class F |
|
| (1,004,770 | ) |
| (2,383,764 | ) |
Class I |
|
| (2,853,332 | ) |
| (2,505,265 | ) |
Class P |
|
| (115 | ) |
| (721 | ) |
Class R2 |
|
| (3,638 | ) |
| (5,230 | ) |
Class R3 |
|
| (5,332 | ) |
| (8,516 | ) |
Net realized gain |
|
|
|
|
|
|
|
Class A |
|
| — |
|
| (566,339 | ) |
Class B |
|
| — |
|
| (10,197 | ) |
Class C |
|
| — |
|
| (216,782 | ) |
Class F |
|
| — |
|
| (514,300 | ) |
Class I |
|
| — |
|
| (470,622 | ) |
Class P |
|
| — |
|
| (150 | ) |
Class R2 |
|
| — |
|
| (1,502 | ) |
Class R3 |
|
| — |
|
| (1,571 | ) |
Total distributions to shareholders |
|
| (5,307,235 | ) |
| (10,224,280 | ) |
Capital share transactions (Net of share conversions) (See Note 11): |
|
|
|
|
|
|
|
Net proceeds from sales of shares |
|
| 152,370,313 |
|
| 248,487,758 |
|
Reinvestment of distributions |
|
| 4,713,410 |
|
| 7,936,574 |
|
Cost of shares reacquired |
|
| (63,078,585 | ) |
| (183,015,119 | ) |
Net increase in net assets resulting from capital |
|
| 94,005,138 |
|
| 73,409,213 |
|
Net increase in net assets |
|
| 102,315,086 |
|
| 39,239,115 |
|
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
| $ | 315,021,662 |
| $ | 275,782,547 |
|
End of period |
| $ | 417,336,748 |
| $ | 315,021,662 |
|
Distributions in excess of net investment income |
| $ | (2,984,453 | ) | $ | (14,101 | ) |
|
|
|
| See Notes to Financial Statements. | 31 |
Statements of Changes in Net Assets (concluded)
|
|
|
|
|
|
|
|
|
| Global Allocation Fund |
| ||||
|
| ||||||
INCREASE IN NET ASSETS |
| For the Six Months |
| For the Year Ended |
| ||
Operations: |
|
|
|
|
|
|
|
Net investment income |
| $ | 2,974,388 |
| $ | 5,025,344 |
|
Capital gains distributions received from |
|
| — |
|
| 1,533,247 |
|
Net realized gain (loss) on investments and foreign |
|
| 82,414 |
|
| (450,756 | ) |
Net change in unrealized appreciation/depreciation on |
|
| 3,559,203 |
|
| (19,608,555 | ) |
Net increase (decrease) in net assets resulting |
|
| 6,616,005 |
|
| (13,500,720 | ) |
Distributions to shareholders from: |
|
|
|
|
|
|
|
Net investment income |
|
|
|
|
|
|
|
Class A |
|
| (2,015,436 | ) |
| (3,589,090 | ) |
Class B |
|
| (121,558 | ) |
| (256,468 | ) |
Class C |
|
| (439,711 | ) |
| (759,643 | ) |
Class F |
|
| (50,097 | ) |
| (99,816 | ) |
Class I |
|
| (283,183 | ) |
| (391,082 | ) |
Class R2 |
|
| (1,579 | ) |
| (993 | ) |
Class R3 |
|
| (70,655 | ) |
| (94,353 | ) |
Total distributions to shareholders |
|
| (2,982,219 | ) |
| (5,191,445 | ) |
Capital share transactions (Net of share conversions) (See Note 11): |
|
|
|
|
|
|
|
Net proceeds from sales of shares |
|
| 15,219,563 |
|
| 60,938,657 |
|
Reinvestment of distributions |
|
| 2,797,983 |
|
| 4,812,956 |
|
Cost of shares reacquired |
|
| (20,649,789 | ) |
| (41,052,164 | ) |
Net increase (decrease) in net assets resulting from |
|
| (2,632,243 | ) |
| 24,699,449 |
|
Net increase in net assets |
|
| 1,001,543 |
|
| 6,007,284 |
|
NET ASSETS: |
|
|
|
|
|
|
|
Beginning of period |
| $ | 163,429,353 |
| $ | 157,422,069 |
|
End of period |
| $ | 164,430,896 |
| $ | 163,429,353 |
|
Distributions in excess of net investment income |
| $ | (12,319 | ) | $ | (4,488 | ) |
|
|
|
32 | See Notes to Financial Statements. |
|
|
Financial Highlights |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
| $6.15 |
|
|
| $6.74 |
|
| $6.70 |
|
| $5.72 |
|
| $6.73 |
|
| $6.84 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .04 |
|
|
| .08 |
|
| .11 |
|
| .17 |
|
| .24 |
|
| .22 |
|
Net realized and |
|
|
| .25 |
|
|
| (.46 | ) |
| .27 |
|
| .99 |
|
| (1.01 | ) |
| .31 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .29 |
|
|
| (.38 | ) |
| .38 |
|
| 1.16 |
|
| (.77 | ) |
| .53 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.08 | ) |
|
| (.18 | ) |
| (.20 | ) |
| (.18 | ) |
| (.14 | ) |
| (.64 | ) |
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
| — |
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.10 | ) |
| — |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.08 | ) |
|
| (.21 | ) |
| (.34 | ) |
| (.18 | ) |
| (.24 | ) |
| (.64 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.36 |
|
|
| $6.15 |
|
| $6.74 |
|
| $6.70 |
|
| $5.72 |
|
| $6.73 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.78 | %(c) |
|
| (5.87 | )% |
| 5.79 | % |
| 20.53 | % |
| (11.90 | )% |
| 7.98 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .50 | %(c) |
|
| 1.02 | % |
| 1.17 | % |
| 1.27 | % |
| 1.23 | % |
| 1.14 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .50 | %(c) |
|
| 1.02 | % |
| 1.17 | % |
| 1.27 | % |
| 1.22 | % |
| 1.14 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .50 | %(c) |
|
| 1.02 | % |
| 1.17 | % |
| 1.27 | % |
| 1.27 | % |
| 1.83 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| .56 | %(c) |
|
| 1.18 | % |
| 1.68 | % |
| 2.69 | % |
| 3.59 | % |
| 3.25 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $78,546 |
|
|
| $80,034 |
|
| $98,279 |
|
| $109,152 |
|
| $83,426 |
|
| $44,148 |
|
Portfolio turnover rate |
|
|
| 84.72 | %(c) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
| 301.30 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 33 |
|
Financial Highlights (continued) |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class B Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
|
| 2011 |
|
| 2010 |
|
| 2009 |
|
| 2008 |
|
| 2007 |
| ||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
|
| $6.18 |
|
|
| $6.77 |
|
| $6.73 |
|
| $5.74 |
|
| $6.74 |
|
| $6.85 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .01 |
|
|
| .03 |
|
| .07 |
|
| .13 |
|
| .19 |
|
| .18 |
|
Net realized and |
|
|
| .26 |
|
|
| (.46 | ) |
| .26 |
|
| .99 |
|
| (1.00 | ) |
| .28 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .27 |
|
|
| (.43 | ) |
| .33 |
|
| 1.12 |
|
| (.81 | ) |
| .46 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.06 | ) |
|
| (.13 | ) |
| (.15 | ) |
| (.13 | ) |
| (.11 | ) |
| (.57 | ) |
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
| — |
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.08 | ) |
| — |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.06 | ) |
|
| (.16 | ) |
| (.29 | ) |
| (.13 | ) |
| (.19 | ) |
| (.57 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.39 |
|
|
| $6.18 |
|
| $6.77 |
|
| $6.73 |
|
| $5.74 |
|
| $6.74 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.35 | %(c) |
|
| (6.55 | )% |
| 5.10 | % |
| 19.68 | % |
| (12.37 | )% |
| 7.26 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .89 | %(c) |
|
| 1.80 | % |
| 1.83 | % |
| 1.93 | % |
| 1.88 | % |
| 1.79 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .89 | %(c) |
|
| 1.80 | % |
| 1.83 | % |
| 1.93 | % |
| 1.88 | % |
| 1.79 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .89 | %(c) |
|
| 1.80 | % |
| 1.83 | % |
| 1.93 | % |
| 1.95 | % |
| 2.46 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| .17 | %(c) |
|
| .44 | % |
| 1.05 | % |
| 2.11 | % |
| 2.93 | % |
| 2.58 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $1,419 |
|
|
| $1,674 |
|
| $2,693 |
|
| $3,884 |
|
| $4,105 |
|
| $3,303 |
|
Portfolio turnover rate |
|
|
| 84.72 | %(c) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
| 301.30 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
34 | See Notes to Financial Statements. |
|
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class C Shares |
| ||||||||||||||||||
|
|
| |||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
| |||||||||||||||||
|
|
|
| ||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, |
|
|
| $6.19 |
|
|
| $6.78 |
|
| $6.74 |
|
| $5.74 |
|
| $6.75 |
|
| $6.86 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .01 |
|
|
| .03 |
|
| .07 |
|
| .13 |
|
| .19 |
|
| .18 |
|
Net realized and |
|
|
| .26 |
|
|
| (.46 | ) |
| .26 |
|
| 1.00 |
|
| (1.01 | ) |
| .30 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .27 |
|
|
| (.43 | ) |
| .33 |
|
| 1.13 |
|
| (.82 | ) |
| .48 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.06 | ) |
|
| (.13 | ) |
| (.15 | ) |
| (.13 | ) |
| (.11 | ) |
| (.59 | ) |
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
| — |
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.08 | ) |
| — |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.06 | ) |
|
| (.16 | ) |
| (.29 | ) |
| (.13 | ) |
| (.19 | ) |
| (.59 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.40 |
|
|
| $6.19 |
|
| $6.78 |
|
| $6.74 |
|
| $5.74 |
|
| $6.75 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return(b) |
|
|
| 4.24 | %(c) |
|
| (6.44 | )% |
| 5.09 | % |
| 19.85 | % |
| (12.50 | )% |
| 7.27 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, excluding |
|
|
| .84 | %(c) |
|
| 1.69 | % |
| 1.82 | % |
| 1.91 | % |
| 1.87 | % |
| 1.79 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, including |
|
|
| .84 | %(c) |
|
| 1.69 | % |
| 1.82 | % |
| 1.91 | % |
| 1.87 | % |
| 1.79 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, excluding |
|
|
| .84 | %(c) |
|
| 1.69 | % |
| 1.82 | % |
| 1.91 | % |
| 1.91 | % |
| 2.47 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| .23 | %(c) |
|
| .51 | % |
| 1.02 | % |
| 2.03 | % |
| 2.95 | % |
| 2.60 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
| $ | 33,015 |
|
| $ | 36,551 |
| $ | 34,232 |
| $ | 27,512 |
| $ | 18,407 |
| $ | 5,952 |
|
Portfolio turnover rate |
|
|
| 84.72 | %(c) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
| 301.30 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 35 |
Financial Highlights (continued)
EMERGING MARKETS CURRENCY FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class F Shares |
| ||||||||||||||||||||
|
|
| |||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
|
| |||||||||
|
|
|
|
| 9/28/2007(a) |
| |||||||||||||||||
|
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
|
| ||||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, |
|
|
| $6.15 |
|
|
| $6.74 |
|
| $6.69 |
|
| $5.71 |
|
| $6.73 |
|
|
| $6.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .04 |
|
|
| .09 |
|
| .13 |
|
| .18 |
|
| .25 |
|
|
| .07 |
|
|
Net realized and |
|
|
| .25 |
|
|
| (.47 | ) |
| .27 |
|
| .99 |
|
| (1.01 | ) |
|
| .17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .29 |
|
|
| (.38 | ) |
| .40 |
|
| 1.17 |
|
| (.76 | ) |
|
| .24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.09 | ) |
|
| (.18 | ) |
| (.21 | ) |
| (.19 | ) |
| (.15 | ) |
|
| (.43 | ) |
|
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
|
| — |
|
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.11 | ) |
|
| — |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.09 | ) |
|
| (.21 | ) |
| (.35 | ) |
| (.19 | ) |
| (.26 | ) |
|
| (.43 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.35 |
|
|
| $6.15 |
|
| $6.74 |
|
| $6.69 |
|
| $5.71 |
|
|
| $6.73 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return(c) |
|
|
| 4.66 | %(d) |
|
| (5.77 | )% |
| 6.20 | % |
| 20.82 | % |
| (11.76 | )% |
|
| 3.56 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, excluding |
|
|
| .45 | %(d) |
|
| .91 | % |
| .92 | % |
| .98 | % |
| .96 | % |
|
| .16 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, including |
|
|
| .45 | %(d) |
|
| .91 | % |
| .92 | % |
| .98 | % |
| .96 | % |
|
| .16 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses, excluding |
|
|
| .45 | %(d) |
|
| .91 | % |
| .92 | % |
| .98 | % |
| .98 | % |
|
| .17 | %(d) |
|
Net investment income |
|
|
| .61 | %(d) |
|
| 1.27 | % |
| 1.88 | % |
| 2.72 | % |
| 3.94 | % |
|
| 1.02 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
| $ | 73,175 |
|
| $ | 76,795 |
| $ | 61,059 |
| $ | 24,463 |
|
| $710 |
|
|
| $10 |
|
|
Portfolio turnover rate |
|
|
| 84.72 | %(d) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
|
| 301.30 | % |
|
|
|
(a) | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
|
|
|
36 | See Notes to Financial Statements. |
|
|
Financial Highlights (continued) |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
| $6.14 |
|
| $6.73 |
| $6.69 |
| $5.72 |
| $6.73 |
| $6.85 |
| ||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .04 |
|
|
| .09 |
|
| .13 |
|
| .19 |
|
| .26 |
|
| .25 |
|
Net realized and |
|
|
| .25 |
|
|
| (.46 | ) |
| .27 |
|
| .98 |
|
| (1.00 | ) |
| .29 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .29 |
|
|
| (.37 | ) |
| .40 |
|
| 1.17 |
|
| (.74 | ) |
| .54 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.09 | ) |
|
| (.19 | ) |
| (.22 | ) |
| (.20 | ) |
| (.15 | ) |
| (.66 | ) |
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
| — |
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.12 | ) |
| — |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.09 | ) |
|
| (.22 | ) |
| (.36 | ) |
| (.20 | ) |
| (.27 | ) |
| (.66 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
| $6.34 |
|
| $6.14 |
| $6.73 |
| $6.69 |
| $5.72 |
| $6.73 |
| ||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.72 | %(c) |
|
| (5.68 | )% |
| 6.17 | % |
| 20.89 | % |
| (11.47 | )% |
| 8.20 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .39 | %(c) |
|
| .81 | % |
| .83 | % |
| .92 | % |
| .88 | % |
| .77 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .39 | %(c) |
|
| .81 | % |
| .83 | % |
| .92 | % |
| .87 | % |
| .77 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .39 | %(c) |
|
| .81 | % |
| .83 | % |
| .92 | % |
| .90 | % |
| 1.45 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| .66 | %(c) |
|
| 1.40 | % |
| 2.00 | % |
| 3.06 | % |
| 3.96 | % |
| 3.64 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
| $230,433 |
|
| $119,329 |
| $79,092 |
| $27,176 |
| $19,830 |
| $888 |
| ||||||
Portfolio turnover rate |
|
|
| 84.72 | %(c) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
| 301.30 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 37 |
|
Financial Highlights (continued) |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class P Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
Net asset value, |
|
| $6.14 |
|
| $6.74 |
| $6.69 |
| $5.71 |
| $6.71 |
| $6.82 |
| ||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .03 |
|
|
| .07 |
|
| .11 |
|
| .16 |
|
| .24 |
|
| .22 |
|
Net realized and |
|
|
| .26 |
|
|
| (.48 | ) |
| .27 |
|
| .99 |
|
| (1.01 | ) |
| .30 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .29 |
|
|
| (.41 | ) |
| .38 |
|
| 1.15 |
|
| (.77 | ) |
| .52 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.08 | ) |
|
| (.16 | ) |
| (.19 | ) |
| (.17 | ) |
| (.13 | ) |
| (.63 | ) |
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
| — |
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.10 | ) |
| — |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.08 | ) |
|
| (.19 | ) |
| (.33 | ) |
| (.17 | ) |
| (.23 | ) |
| (.63 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
| $6.35 |
|
| $6.14 |
| $6.74 |
| $6.69 |
| $5.71 |
| $6.71 |
| ||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.50 | %(c) |
|
| (6.07 | )% |
| 5.87 | % |
| 20.43 | % |
| (11.91 | )% |
| 7.96 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .61 | %(c) |
|
| 1.25 | % |
| 1.27 | % |
| 1.32 | % |
| 1.30 | % |
| 1.17 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .61 | %(c) |
|
| 1.25 | % |
| 1.27 | % |
| 1.32 | % |
| 1.30 | % |
| 1.17 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .61 | %(c) |
|
| 1.25 | % |
| 1.27 | % |
| 1.32 | % |
| 1.37 | % |
| 1.93 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| .46 | %(c) |
|
| .98 | % |
| 1.61 | % |
| 2.50 | % |
| 3.52 | % |
| 3.30 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
| $10 |
|
| $9 |
| $32 |
| $16 |
| $4 |
| $9 |
| ||||||
Portfolio turnover rate |
|
|
| 84.72 | %(c) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
| 301.30 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
|
|
|
38 | See Notes to Financial Statements. |
|
|
Financial Highlights (continued) |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Class R2 Shares |
| ||||||||||||||||||||
|
| ||||||||||||||||||||||
|
| Six Months |
|
|
| 9/28/2007(a) |
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
|
| ||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, |
|
|
| $6.16 |
|
|
| $6.75 |
|
| $6.71 |
|
| $5.72 |
|
| $6.73 |
|
|
| $6.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .02 |
|
|
| .05 |
|
| .09 |
|
| .15 |
|
| .25 |
|
|
| .06 |
|
|
Net realized and |
|
|
| .26 |
|
|
| (.46 | ) |
| .27 |
|
| 1.00 |
|
| (1.01 | ) |
|
| .17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .28 |
|
|
| (.41 | ) |
| .36 |
|
| 1.15 |
|
| (.76 | ) |
|
| .23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.07 | ) |
|
| (.15 | ) |
| (.18 | ) |
| (.16 | ) |
| (.14 | ) |
|
| (.42 | ) |
|
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
|
| — |
|
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.11 | ) |
|
| — |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.07 | ) |
|
| (.18 | ) |
| (.32 | ) |
| (.16 | ) |
| (.25 | ) |
|
| (.42 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.37 |
|
|
| $6.16 |
|
| $6.75 |
|
| $6.71 |
|
| $5.72 |
|
|
| $6.73 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||||
Total Return(c) |
|
|
| 4.57 | %(d) |
|
| (6.22 | )% |
| 5.54 | % |
| 20.12 | % |
| (11.63 | )% |
|
| 3.45 | %(d) |
|
| |||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .70 | %(d) |
|
| 1.41 | % |
| 1.42 | % |
| 1.50 | % |
| 1.08 | % |
|
| .27 | %(d) |
|
| |||||||||||||||||||||||
Expenses, including |
|
|
| .70 | %(d) |
|
| 1.41 | % |
| 1.42 | % |
| 1.50 | % |
| 1.07 | % |
|
| .27 | %(d) |
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .70 | %(d) |
|
| 1.41 | % |
| 1.42 | % |
| 1.50 | % |
| 1.15 | % |
|
| .28 | %(d) |
|
| |||||||||||||||||||||||
Net investment income |
|
|
| .37 | %(d) |
|
| .76 | % |
| 1.39 | % |
| 2.44 | % |
| 3.74 | % |
|
| .92 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $273 |
|
|
| $218 |
|
| $70 |
|
| $23 |
|
| $12 |
|
|
| $10 |
|
|
Portfolio turnover rate |
|
|
| 84.72 | %(d) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
|
| 301.30 | % |
|
|
|
(a) | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
|
|
|
| See Notes to Financial Statements. | 39 |
|
Financial Highlights (concluded) |
EMERGING MARKETS CURRENCY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Class R3 Shares |
| ||||||||||||||||||||
|
| ||||||||||||||||||||||
|
| Six Months |
|
|
| 9/28/2007(a) |
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
|
| ||||||||||||
Per Share Operating Performance | |||||||||||||||||||||||
Net asset value, |
|
|
| $6.14 |
|
|
| $6.73 |
|
| $6.70 |
|
| $5.72 |
|
| $6.73 |
|
|
| $6.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .03 |
|
|
| .06 |
|
| .10 |
|
| .16 |
|
| .23 |
|
|
| .07 |
|
|
Net realized and |
|
|
| .25 |
|
|
| (.46 | ) |
| .26 |
|
| .99 |
|
| (.99 | ) |
|
| .17 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .28 |
|
|
| (.40 | ) |
| .36 |
|
| 1.15 |
|
| (.76 | ) |
|
| .24 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to shareholders |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.08 | ) |
|
| (.16 | ) |
| (.19 | ) |
| (.17 | ) |
| (.14 | ) |
|
| (.43 | ) |
|
Net realized gain |
|
|
| — |
|
|
| (.03 | ) |
| (.14 | ) |
| — |
|
| — |
|
|
| — |
|
|
Return of capital |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.11 | ) |
|
| — |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.08 | ) |
|
| (.19 | ) |
| (.33 | ) |
| (.17 | ) |
| (.25 | ) |
|
| (.43 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $6.34 |
|
|
| $6.14 |
|
| $6.73 |
|
| $6.70 |
|
| $5.72 |
|
|
| $6.73 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||||
Total Return(c) |
|
|
| 4.48 | %(d) |
|
| (6.14 | )% |
| 5.49 | % |
| 20.33 | % |
| (11.76 | )% |
|
| 3.48 | %(d) |
|
| |||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .64 | %(d) |
|
| 1.31 | % |
| 1.33 | % |
| 1.41 | % |
| 1.26 | % |
|
| .25 | %(d) |
|
| |||||||||||||||||||||||
Expenses, including |
|
|
| .64 | %(d) |
|
| 1.31 | % |
| 1.33 | % |
| 1.41 | % |
| 1.26 | % |
|
| .25 | %(d) |
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .64 | %(d) |
|
| 1.31 | % |
| 1.33 | % |
| 1.41 | % |
| 1.30 | % |
|
| .25 | %(d) |
|
| |||||||||||||||||||||||
Net investment income |
|
|
| .43 | %(d) |
|
| .92 | % |
| 1.48 | % |
| 2.52 | % |
| 3.50 | % |
|
| .95 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $466 |
|
|
| $411 |
|
| $326 |
|
| $103 |
|
| $57 |
|
|
| $10 |
|
|
Portfolio turnover rate |
|
|
| 84.72 | %(d) |
|
| 130.30 | % |
| 113.50 | % |
| 90.72 | % |
| 83.70 | % |
|
| 301.30 | % |
|
|
|
(a) | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
|
|
|
40 | See Notes to Financial Statements. |
|
|
Financial Highlights |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class A Shares | |||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance | |||||||||||||||||||||
Net asset value, |
|
|
| $10.29 |
|
|
| $11.41 |
|
| $10.56 |
|
| $7.95 |
|
| $13.15 |
|
| $13.17 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .20 |
|
|
| .35 |
|
| .33 |
|
| .28 |
|
| .26 |
|
| .06 |
|
Net realized and |
|
|
| .23 |
|
|
| (1.12 | ) |
| .84 |
|
| 2.66 |
|
| (5.10 | ) |
| 1.48 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .43 |
|
|
| (.77 | ) |
| 1.17 |
|
| 2.94 |
|
| (4.84 | ) |
| 1.54 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.20 | ) |
|
| (.35 | ) |
| (.32 | ) |
| (.33 | ) |
| (.17 | ) |
| (.03 | ) |
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.19 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.20 | ) |
|
| (.35 | ) |
| (.32 | ) |
| (.33 | ) |
| (.36 | ) |
| (1.56 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $10.52 |
|
|
| $10.29 |
|
| $11.41 |
|
| $10.56 |
|
| $7.95 |
|
| $13.15 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.10 | %(c) |
|
| (6.89 | )% |
| 11.36 | % |
| 37.83 | % |
| (37.33 | )% |
| 11.82 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .15 | %(c)(d) |
|
| .28 | %(d) |
| .35 | %(d) |
| .35 | %(d) |
| 1.07 | %(d) |
| 1.60 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .15 | %(c)(d) |
|
| .28 | %(d) |
| .35 | %(d) |
| .35 | %(d) |
| 1.06 | %(d) |
| 1.60 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .40 | %(c)(d) |
|
| .84 | %(d) |
| .94 | %(d) |
| 1.17 | %(d) |
| 1.60 | %(d) |
| 1.71 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 1.82 | %(c)(d) |
|
| 3.11 | %(d) |
| 3.07 | %(d) |
| 3.15 | %(d) |
| 2.40 | %(d) |
| .45 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $109,091 |
|
|
| $108,217 |
|
| $107,234 |
|
| $83,625 |
|
| $53,568 |
|
| $94,321 |
|
Portfolio turnover rate |
|
|
| 20.15 | %(c) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
| 147.44 | % |
| 87.01 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
| See Notes to Financial Statements. | 41 |
|
Financial Highlights (continued) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class B Shares | |||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance | |||||||||||||||||||||
Net asset value, |
|
|
| $9.51 |
|
|
| $10.57 |
|
| $9.81 |
|
| $7.38 |
|
| $12.25 |
|
| $12.42 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| .14 |
|
|
| .24 |
|
| .23 |
|
| .21 |
|
| .18 |
|
| (.03 | ) |
Net realized and |
|
|
| .22 |
|
|
| (1.03 | ) |
| .79 |
|
| 2.48 |
|
| (4.74 | ) |
| 1.39 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .36 |
|
|
| (.79 | ) |
| 1.02 |
|
| 2.69 |
|
| (4.56 | ) |
| 1.36 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.16 | ) |
|
| (.27 | ) |
| (.26 | ) |
| (.26 | ) |
| (.12 | ) |
| — |
|
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.19 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.16 | ) |
|
| (.27 | ) |
| (.26 | ) |
| (.26 | ) |
| (.31 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $9.71 |
|
|
| $9.51 |
|
| $10.57 |
|
| $9.81 |
|
| $7.38 |
|
| $12.25 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 3.74 | %(c) |
|
| (7.56 | )% |
| 10.60 | % |
| 37.10 | % |
| (37.74 | )% |
| 11.08 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .52 | %(c)(d) |
|
| .99 | %(d) |
| 1.00 | %(d) |
| 1.00 | %(d) |
| 1.72 | %(d) |
| 2.25 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .52 | %(c)(d) |
|
| .99 | %(d) |
| 1.00 | %(d) |
| 1.00 | %(d) |
| 1.72 | %(d) |
| 2.25 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .77 | %(c)(d) |
|
| 1.55 | %(d) |
| 1.59 | %(d) |
| 1.82 | %(d) |
| 2.26 | %(d) |
| 2.36 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 1.39 | %(c)(d) |
|
| 2.29 | %(d) |
| 2.35 | %(d) |
| 2.49 | %(d) |
| 1.74 | %(d) |
| (.20 | )% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $7,319 |
|
|
| $8,276 |
|
| $11,389 |
|
| $10,668 |
|
| $7,194 |
|
| $12,653 |
|
Portfolio turnover rate |
|
|
| 20.15 | %(c) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
| 147.44 | % |
| 87.01 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
42 | See Notes to Financial Statements. |
|
|
Financial Highlights (continued) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class C Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| Year Ended 12/31 |
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net asset value, |
|
|
| $9.53 |
|
|
| $10.59 |
|
| $9.83 |
|
| $7.40 |
|
| $12.28 |
|
| $12.44 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| .15 |
|
|
| .25 |
|
| .24 |
|
| .22 |
|
| .18 |
|
| (.03 | ) |
Net realized and |
|
|
| .21 |
|
|
| (1.03 | ) |
| .78 |
|
| 2.47 |
|
| (4.75 | ) |
| 1.40 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .36 |
|
|
| (.78 | ) |
| 1.02 |
|
| 2.69 |
|
| (4.57 | ) |
| 1.37 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.16 | ) |
|
| (.28 | ) |
| (.26 | ) |
| (.26 | ) |
| (.12 | ) |
| — |
|
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.19 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.16 | ) |
|
| (.28 | ) |
| (.26 | ) |
| (.26 | ) |
| (.31 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $9.73 |
|
|
| $9.53 |
|
| $10.59 |
|
| $9.83 |
|
| $7.40 |
|
| $12.28 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 3.76 | %(c) |
|
| (7.48 | )% |
| 10.58 | % |
| 37.00 | % |
| (37.73 | )% |
| 11.14 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .51 | %(c)(d) |
|
| .97 | %(d) |
| 1.00 | %(d) |
| 1.00 | %(d) |
| 1.71 | %(d) |
| 2.25 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .51 | %(c)(d) |
|
| .97 | %(d) |
| 1.00 | %(d) |
| 1.00 | %(d) |
| 1.71 | %(d) |
| 2.25 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .77 | %(c)(d) |
|
| 1.53 | %(d) |
| 1.59 | %(d) |
| 1.80 | %(d) |
| 2.25 | %(d) |
| 2.36 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 1.47 | %(c)(d) |
|
| 2.42 | %(d) |
| 2.46 | %(d) |
| 2.55 | %(d) |
| 1.76 | %(d) |
| (.20 | )% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $26,956 |
|
|
| $26,322 |
|
| $25,893 |
|
| $17,741 |
|
| $9,428 |
|
| $16,104 |
|
Portfolio turnover rate |
|
|
| 20.15 | %(c) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
| 147.44 | % |
| 87.01 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
| See Notes to Financial Statements. | 43 |
|
Financial Highlights (continued) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class F Shares |
| ||||||||||||||||||||
|
| ||||||||||||||||||||||
|
| Six Months |
|
|
| 9/28/2007(a) |
| ||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||
|
|
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
|
| ||||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net asset value, |
|
|
| $10.29 |
|
|
| $11.41 |
|
| $10.56 |
|
| $7.95 |
|
| $13.12 |
|
|
| $14.71 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .18 |
|
|
| .37 |
|
| .39 |
|
| .35 |
|
| .32 |
|
|
| .01 |
|
|
Net realized and |
|
|
| .26 |
|
|
| (1.12 | ) |
| .80 |
|
| 2.61 |
|
| (5.11 | ) |
|
| (.26 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .44 |
|
|
| (.75 | ) |
| 1.19 |
|
| 2.96 |
|
| (4.79 | ) |
|
| (.25 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.20 | ) |
|
| (.37 | ) |
| (.34 | ) |
| (.35 | ) |
| (.19 | ) |
|
| (.07 | ) |
|
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.19 | ) |
|
| (1.27 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.20 | ) |
|
| (.37 | ) |
| (.34 | ) |
| (.35 | ) |
| (.38 | ) |
|
| (1.34 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $10.53 |
|
|
| $10.29 |
|
| $11.41 |
|
| $10.56 |
|
| $7.95 |
|
|
| $13.12 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||||
Total Return(c) |
|
|
| 4.27 | %(d) |
|
| (6.72 | )% |
| 11.57 | % |
| 38.16 | % |
| (37.09 | )% |
|
| (1.67 | )%(d) |
|
| |||||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .07 | %(d)(e) |
|
| .10 | %(e) |
| .10 | %(e) |
| .10 | %(e) |
| .62 | %(e) |
|
| .30 | %(d) |
|
| |||||||||||||||||||||||
Expenses, including |
|
|
| .07 | %(d)(e) |
|
| .10 | %(e) |
| .10 | %(e) |
| .10 | %(e) |
| .61 | %(e) |
|
| .30 | %(d) |
|
| |||||||||||||||||||||||
Expenses, excluding |
|
|
| .33 | %(d)(e) |
|
| .66 | %(e) |
| .69 | %(e) |
| .83 | %(e) |
| 1.26 | %(e) |
|
| .39 | %(d) |
|
| |||||||||||||||||||||||
Net investment income |
|
|
| 1.70 | %(d)(e) |
|
| 3.36 | %(e) |
| 3.63 | %(e) |
| 3.66 | %(e) |
| 3.02 | %(e) |
|
| .04 | %(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $2,267 |
|
|
| $3,156 |
|
| $2,256 |
|
| $641 |
|
| $9 |
|
|
| $10 |
|
|
Portfolio turnover rate |
|
|
| 20.15 | %(d) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
| 147.44 | % |
|
| 87.01 | % |
|
|
|
(a) | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
44 | See Notes to Financial Statements. |
|
|
Financial Highlights (continued) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I Shares |
| ||||||||||||||||||
|
| ||||||||||||||||||||
|
| Six Months |
|
|
| ||||||||||||||||
|
|
|
|
| |||||||||||||||||
|
|
| Year Ended 12/31 |
| |||||||||||||||||
|
|
| |||||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
| 2008 |
| 2007 |
| |||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net asset value, |
|
|
| $10.34 |
|
|
| $11.47 |
|
| $10.61 |
|
| $7.98 |
|
| $13.18 |
|
| $13.19 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(a) |
|
|
| .21 |
|
|
| .38 |
|
| .37 |
|
| .32 |
|
| .31 |
|
| .11 |
|
Net realized and |
|
|
| .24 |
|
|
| (1.13 | ) |
| .84 |
|
| 2.67 |
|
| (5.13 | ) |
| 1.49 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total from investment |
|
|
| .45 |
|
|
| (.75 | ) |
| 1.21 |
|
| 2.99 |
|
| (4.82 | ) |
| 1.60 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.21 | ) |
|
| (.38 | ) |
| (.35 | ) |
| (.36 | ) |
| (.19 | ) |
| (.08 | ) |
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
| (.19 | ) |
| (1.53 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Total distributions |
|
|
| (.21 | ) |
|
| (.38 | ) |
| (.35 | ) |
| (.36 | ) |
| (.38 | ) |
| (1.61 | ) |
|
|
|
|
|
|
|
|
|
| ||||||||||||
Net asset value, |
|
|
| $10.58 |
|
|
| $10.34 |
|
| $11.47 |
|
| $10.61 |
|
| $7.98 |
|
| $13.18 |
|
|
|
|
|
|
|
|
|
|
| ||||||||||||
| |||||||||||||||||||||
Total Return(b) |
|
|
| 4.30 | %(c) |
|
| (6.69 | )% |
| 11.69 | % |
| 38.39 | % |
| (37.10 | )% |
| 12.25 | % |
| |||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .02 | %(c)(d) |
|
| .00 | %(d) |
| .00 | %(d) |
| .00 | %(d) |
| .69 | %(d) |
| 1.25 | % |
| |||||||||||||||||||||
Expenses, including |
|
|
| .02 | %(c)(d) |
|
| .00 | %(d) |
| .00 | %(d) |
| .00 | %(d) |
| .69 | %(d) |
| 1.25 | % |
| |||||||||||||||||||||
Expenses, excluding |
|
|
| .28 | %(c)(d) |
|
| .57 | %(d) |
| .60 | %(d) |
| .80 | %(d) |
| 1.25 | %(d) |
| 1.36 | % |
| |||||||||||||||||||||
Net investment income |
|
|
| 1.95 | %(c)(d) |
|
| 3.38 | %(d) |
| 3.40 | %(d) |
| 3.55 | %(d) |
| 2.85 | %(d) |
| .78 | % |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, |
|
|
| $14,513 |
|
|
| $14,086 |
|
| $8,460 |
|
| $1,055 |
|
| $557 |
|
| $804 |
|
Portfolio turnover rate |
|
|
| 20.15 | %(c) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
| 147.44 | % |
| 87.01 | % |
|
|
(a) | Calculated using average shares outstanding during the period. |
(b) | Total return assumes the reinvestment of all distributions. |
(c) | Not annualized. |
(d) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
| See Notes to Financial Statements. | 45 |
|
Financial Highlights (continued) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class R2 Shares |
| |||||||||||||||||
|
| |||||||||||||||||||
|
| Six Months |
|
|
| 6/23/2008(a) |
| |||||||||||||
|
|
|
|
|
| |||||||||||||||
|
|
|
|
| ||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
|
| |||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
Net asset value, |
|
|
| $10.46 |
|
|
| $11.55 |
|
| $10.64 |
|
| $7.96 |
|
|
| $11.83 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .19 |
|
|
| .49 |
|
| .36 |
|
| .31 |
|
|
| .18 |
|
|
Net realized and |
|
|
| .23 |
|
|
| (1.26 | ) |
| .85 |
|
| 2.68 |
|
|
| (3.70 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total from investment |
|
|
| .42 |
|
|
| (.77 | ) |
| 1.21 |
|
| 2.99 |
|
|
| (3.52 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.18 | ) |
|
| (.32 | ) |
| (.30 | ) |
| (.31 | ) |
|
| (.16 | ) |
|
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
|
| (.19 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total distributions |
|
|
| (.18 | ) |
|
| (.32 | ) |
| (.30 | ) |
| (.31 | ) |
|
| (.35 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period |
|
|
| $10.70 |
|
|
| $10.46 |
|
| $11.55 |
|
| $10.64 |
|
|
| $7.96 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
| ||||||||||||||||||||
Total Return(c) |
|
|
| 3.96 | %(d) |
|
| (6.77 | )% |
| 11.63 | % |
| 38.36 | % |
|
| (30.36 | )%(d) |
|
| ||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||
Expenses, excluding |
|
|
| .32 | %(d)(e) |
|
| .34 | %(e) |
| .05 | %(e) |
| .00 | %(e) |
|
| .32 | %(d)(e) |
|
| ||||||||||||||||||||
Expenses, including |
|
|
| .32 | %(d)(e) |
|
| .34 | %(e) |
| .05 | %(e) |
| .00 | %(e) |
|
| .32 | %(d)(e) |
|
| ||||||||||||||||||||
Expenses, excluding |
|
|
| .58 | %(d)(e) |
|
| .93 | %(e) |
| .65 | %(e) |
| .81 | %(e) |
|
| .87 | %(d)(e) |
|
| ||||||||||||||||||||
Net investment income |
|
|
| 1.68 | %(d)(e) |
|
| 4.44 | %(e) |
| 3.38 | %(e) |
| 3.46 | %(e) |
|
| 1.88 | %(d)(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
|
| $99 |
|
|
| $88 |
|
| $11 |
|
| $10 |
|
|
| $7 |
|
|
Portfolio turnover rate |
|
|
| 20.15 | %(d) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
|
| 147.44 | % |
|
|
|
(a) | Commencement of operations was 6/23/2008, SEC effective date was 9/14/2007 and date shares first became available to the public was 7/1/2008. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
46 | See Notes to Financial Statements. |
|
|
Financial Highlights (concluded) |
GLOBAL ALLOCATION FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class R3 Shares |
| |||||||||||||||||
|
|
| ||||||||||||||||||
|
| Six Months |
|
|
| 6/23/2008(a) |
| |||||||||||||
|
|
|
|
|
| |||||||||||||||
|
|
| Year Ended 12/31 |
|
| |||||||||||||||
|
|
|
|
| ||||||||||||||||
|
|
| 2011 |
| 2010 |
| 2009 |
|
| |||||||||||
Per Share Operating Performance |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Net asset value, |
|
|
| $10.34 |
|
|
| $11.47 |
|
| $10.62 |
|
| $7.95 |
|
|
| $11.83 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income(b) |
|
|
| .20 |
|
|
| .34 |
|
| .34 |
|
| .37 |
|
|
| .18 |
|
|
Net realized and |
|
|
| .22 |
|
|
| (1.14 | ) |
| .82 |
|
| 2.62 |
|
|
| (3.70 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total from investment |
|
|
| .42 |
|
|
| (.80 | ) |
| 1.16 |
|
| 2.99 |
|
|
| (3.52 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Distributions to |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
| (.19 | ) |
|
| (.33 | ) |
| (.31 | ) |
| (.32 | ) |
|
| (.17 | ) |
|
Net realized gain |
|
|
| — |
|
|
| — |
|
| — |
|
| — |
|
|
| (.19 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Total distributions |
|
|
| (.19 | ) |
|
| (.33 | ) |
| (.31 | ) |
| (.32 | ) |
|
| (.36 | ) |
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
Net asset value, end of period |
|
|
| $10.57 |
|
|
| $10.34 |
|
| $11.47 |
|
| $10.62 |
|
|
| $7.95 |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
| ||||||||||||||||||||
Total Return(c) |
|
|
| 3.98 | %(d) |
|
| (7.10 | )% |
| 11.17 | % |
| 38.40 | % |
|
| (30.40 | )%(d) |
|
| ||||||||||||||||||||
Ratios to Average Net Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||
Expenses, excluding |
|
|
| .26 | %(d)(e) |
|
| .47 | %(e) |
| .50 | %(e) |
| .26 | %(e) |
|
| .27 | %(d)(e) |
|
| ||||||||||||||||||||
Expenses, including |
|
|
| .26 | %(d)(e) |
|
| .47 | %(e) |
| .50 | %(e) |
| .26 | %(e) |
|
| .26 | %(d)(e) |
|
| ||||||||||||||||||||
Expenses, excluding |
|
|
| .51 | %(d)(e) |
|
| 1.04 | %(e) |
| 1.10 | %(e) |
| .92 | %(e) |
|
| .82 | %(d)(e) |
|
| ||||||||||||||||||||
Net investment income |
|
|
| 1.80 | %(d)(e) |
|
| 3.03 | %(e) |
| 3.20 | %(e) |
| 3.79 | %(e) |
|
| 1.93 | %(d)(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000) |
|
|
| $4,187 |
|
|
| $3,285 |
|
| $2,179 |
|
| $51 |
|
|
| $7 |
|
|
Portfolio turnover rate |
|
|
| 20.15 | %(d) |
|
| 27.66 | % |
| 9.48 | % |
| 6.81 | % |
|
| 147.44 | % |
|
|
|
(a) | Commencement of operations was 6/23/2008, SEC effective date was 9/14/2007 and date shares first became available to the public was 7/1/2008. |
(b) | Calculated using average shares outstanding during the period. |
(c) | Total return assumes the reinvestment of all distributions. |
(d) | Not annualized. |
(e) | Does not include expenses of the Underlying Funds in which the Fund invests. |
|
|
|
| See Notes to Financial Statements. | 47 |
Notes to Financial Statements (unaudited)
|
|
|
1. | ORGANIZATION |
|
Lord Abbett Global Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and was incorporated under Maryland law on February 23, 1988. The Company consists of the following two portfolios (each, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Emerging Markets Currency Fund (“Emerging Markets Currency Fund”), Class A, B, C, F, I, P, R2 and R3 shares; and Lord Abbett Global Allocation Fund (“Global Allocation Fund”), Class A, B, C, F, I, P, R2 and R3 shares. Global Allocation Fund is diversified as defined in the Act and Emerging Markets Currency Fund is non-diversified as defined in the Act.
Emerging Markets Currency Fund’s investment objective is to seek high total return. Global Allocation Fund’s investment objective is total return. Global Allocation Fund invests in other mutual funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”).
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. The Funds no longer issue Class B shares for purchase. Emerging Markets Currency Fund’s Class P shares are closed to substantially all new investors, with certain exceptions as set forth in the Funds’ prospectus. As of the date of this report, Global Allocation Fund has not issued Class P shares.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
|
|
|
2. | SIGNIFICANT ACCOUNTING POLICIES |
|
|
|
(a) | Investment Valuation–Under procedures approved by the Funds’ Board of Directors (the “Board”), Lord Abbett, each Fund’s investment manager, has formed a Pricing Committee to administer the pricing and valuation of portfolio investments and to ensure that prices utilized reasonably reflect fair value. Among other things, these procedures allow the Funds to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value. |
|
|
| Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock |
48
Notes to Financial Statements (unaudited)(continued)
|
|
| Exchange LLC (“NYSE”). Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued at the mean between the bid and asked prices on the basis of prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Exchange-traded options and futures contracts are valued at the last sale price in the market where they are principally traded. If no sale has occurred, the mean between the most recently quoted bid and asked prices is used. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Swaps are valued daily using independent pricing services or quotations from broker/dealer to the extent available. |
|
|
| Securities for which prices are not readily available are valued at fair value as determined by the Pricing Committee and approved in good faith by the Board. The Pricing Committee considers a number of factors, including unobservable inputs, when arriving at fair value. The Pricing Committee may use observable inputs such as yield curves, broker quotes, observable trading activity, option adjusted spread models and other relevant information to determine fair value of portfolio investments. The Board or a designated committee thereof regularly reviews fair value determinations made by the Pricing Committee and employs techniques such as reviewing of any related market activity, reviewing inputs and assumptions, and transactional back-testing comparison analysis. |
|
|
| Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
|
|
(b) | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
|
|
(c) | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
|
|
(d) | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
|
|
| Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ filed U.S. federal tax returns remains open for the fiscal years ended December 31, 2008 through December 31, 2011. The statutes of limitations on the Company’s state and local tax returns may remain open for an additional year depending upon the jurisdiction. |
49
Notes to Financial Statements (unaudited)(continued)
|
|
(e) | Expenses–Expenses incurred by the Company that do not specifically relate to an individual fund are generally allocated to the Funds within the Company on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
|
|
(f) | Foreign Transactions–The books and records of Emerging Markets Currency Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in the Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations. The Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
|
|
| The Fund uses foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms. |
|
|
(g) | Forward Foreign Currency Exchange Contracts–Emerging Markets Currency Fund may enter into forward foreign currency exchange contracts in order to reduce its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings or gain or reduce exposure to foreign currency for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations. |
|
|
(h) | Futures Contracts–Emerging Markets Currency Fund may purchase and sell futures contracts to enhance returns, to attempt to hedge some of its investment risk, or as a substitute position for holding the underlying asset on which the instrument is based. At the time of entering into a futures transaction, an investor is required to deposit and maintain a specified amount of cash or eligible securities called “initial margin.” Subsequent payments made or received by the Fund called “variation margin” are made on a daily basis as the market price of the futures contract fluctuates. The Fund will record an unrealized gain (loss) based on the amount of variation margin. When a contract is closed, a realized gain (loss) is recorded equal to the difference between the opening and closing value of the contract. |
50
Notes to Financial Statements (unaudited)(continued)
|
|
(i) | When-Issued, Forward Transactions or To-Be-Announced (“TBA”) Transactions–Emerging Markets Currency Fund may purchase portfolio securities on a when-issued or forward basis. When-issued, forward transactions or TBA transactions involve a commitment by the Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at the Fund’s custodian in order to pay for the commitment. At the time the Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. The Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
|
|
(j) | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
|
|
(k) | Mortgage Dollar Rolls–Emerging Markets Currency Fund may enter into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. During the roll period, the Fund loses the right to receive principal (including prepayments of principal) and interest paid on the securities sold. |
|
|
(l) | Interest Rate Swaps–Emerging Markets Currency Fund may invest in interest rate swaps in order to enhance returns or hedge against interest rate risk. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The interest rate swap agreement will normally be entered into on a zero coupon basis, meaning that the floating rate will be based on the cumulative of the variable rate, and the fixed rate will compound until the swap’s maturity date, at which point the payments would be netted. The swaps are valued daily and any unrealized gain (loss) is included in the Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies on the Fund’s Statement of Operations. A liquidation payment received or made at the termination or maturity of the swap is recorded in realized gain (loss) and is included in Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions on the Fund’s Statement of Operations. |
51
Notes to Financial Statements (unaudited)(continued)
|
|
(m) | Credit Default Swaps–Emerging Markets Currency Fund may enter into credit default swap contracts in order to hedge credit risk or for speculation purposes. As a seller of a credit default swap contract (“seller of protection”), the Fund is required to pay the notional amount or other agreed-upon value of a referenced debt obligation to the counterparty in the event of a default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract. |
|
|
| As a purchaser of a credit default swap contract (“buyer of protection”), the Fund would receive the notional amount or other agreed upon value of a referenced debt obligation from the counterparty in the event of default by or other credit event involving the referenced issuer, obligation or index. In return, the Fund would make periodic payments to the counterparty over the term of the contracts, provided no event of default has occurred. |
|
|
| These credit default swaps may have as a reference obligation corporate or sovereign issuers or credit indices. These credit indices are comprised of a basket of securities representing a particular sector of the market. During the period, Emerging Markets Currency Fund entered into credit default swaps based on CMBX indices, which are comprised of commercial mortgage-backed securities. |
|
|
| Credit default swaps are fair valued based upon quotations from counterparties, brokers or market-makers and the change in value, if any, is recorded as an unrealized appreciation or depreciation. For a credit default swap sold by the Fund, payment of the agreed-upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation purchased/received. For a credit default swap purchased by the Fund, the agreed-upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund. |
|
|
| Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the custodian bank or broker in accordance with the swap agreement. The value and credit rating of each credit default swap where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. The maximum potential amount of future payments (undiscounted) that the Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities. |
|
|
(n) | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing |
52
Notes to Financial Statements (unaudited)(continued)
|
|
|
|
| the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: | ||
|
|
|
|
| • | Level 1 – | unadjusted quoted prices in active markets for identical investments; |
|
|
|
|
| • | Level 2 – | other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
|
|
|
|
| • | Level 3 – | significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
|
|
|
|
| The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||
|
|
|
|
| The following is a summary of the inputs used as of June 30, 2012 in valuing each Fund’s investments carried at fair value: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Emerging Markets Currency Fund |
| ||||||||||
|
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||
| Investment Type* |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
|
| |||||||||||||
| Asset-Backed Securities |
| $ | — |
| $ | 47,263,144 |
| $ | — |
| $ | 47,263,144 |
|
| Corporate Bonds |
|
| — |
|
| 165,572,894 |
|
| — |
|
| 165,572,894 |
|
| Foreign Bond |
|
| — |
|
| 1,357,248 |
|
| — |
|
| 1,357,248 |
|
| Foreign Government Obligations |
|
| — |
|
| 15,729,580 |
|
| — |
|
| 15,729,580 |
|
| Government Sponsored Enterprises Bond |
|
| — |
|
| 1,452,820 |
|
| — |
|
| 1,452,820 |
|
| Government Sponsored Enterprises |
|
| — |
|
| 13,452,725 |
|
| — |
|
| 13,452,725 |
|
| Government Sponsored Enterprises Pass- |
|
| — |
|
| 49,828,566 |
|
| — |
|
| 49,828,566 |
|
| Non-Agency Commercial Mortgage- |
|
| — |
|
| 98,722,879 |
|
| — |
|
| 98,722,879 |
|
| Commercial Paper |
|
| — |
|
| 5,736,921 |
|
| — |
|
| 5,736,921 |
|
| Repurchase Agreement |
|
| — |
|
| 19,241,000 |
|
| — |
|
| 19,241,000 |
|
|
| |||||||||||||
| Total |
| $ | — |
| $ | 418,357,777 |
| $ | — |
| $ | 418,357,777 |
|
|
|
53
Notes to Financial Statements (unaudited)(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Emerging Markets Currency Fund |
| ||||||||||
|
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type* |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
|
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
| Forward Foreign Currency Exchange Contracts |
| ||||||||||||
| Asset |
| $ | — |
| $ | 7,362,310 |
| $ | — |
| $ | 7,362,310 |
|
| Liabilities |
|
| — |
|
| (8,574,247 | ) |
| — |
|
| (8,574,247 | ) |
| Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset |
|
| 164,018 |
|
| — |
|
| — |
|
| 164,018 |
|
| Liabilities |
|
| — |
|
| — |
|
| — |
|
| — |
|
| Credit Default Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
| — |
|
| 12,536 |
|
| — |
|
| 12,536 |
|
| Liabilities |
|
| — |
|
| — |
|
| — |
|
| — |
|
| Interest Rate Swap |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
| — |
|
| — |
|
| — |
|
| — |
|
| Liabilities |
|
| — |
|
| (1,080 | ) |
| — |
|
| (1,080 | ) |
|
| |||||||||||||
| Total |
| $ | 164,018 |
| $ | (1,200,481 | ) | $ | — |
| $ | (1,036,463 | ) |
|
|
|
|
|
| * | See Schedule of Investments for fair values in each industry. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Global Allocation Fund |
| ||||||||||
|
| |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Type |
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
|
| |||||||||||||
| Investment in Underlying Funds |
| $ | 164,730 |
| $ | — |
| $ | — |
| $ | 164,730 |
|
| Repurchase Agreement |
|
| — |
|
| 224 |
|
| — |
|
| 224 |
|
|
| |||||||||||||
| Total |
| $ | 164,730 |
| $ | 224 |
| $ | — |
| $ | 164,594 |
|
|
|
|
|
(o) | Disclosures about Derivative Instruments and Hedging Activities–Emerging Markets Currency Fund entered into forward foreign currency exchange contracts during the six months ended June 30, 2012 (as described in note 2(g)). A forward foreign currency exchange contract reduces the Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. The Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. The Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on foreign currency exchange contracts and deposits as collateral. |
|
|
| Emerging Markets Currency Fund entered into U.S. Treasury futures contracts during the six months ended June 30, 2012 (as described in note 2(h)) to hedge against changes in interest rates. The Fund bears the risk of interest rates moving unexpectedly, in which case the Fund may not achieve the anticipated benefits of the futures contracts and realize a loss. There is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees futures against default. |
54
Notes to Financial Statements (unaudited)(continued)
|
|
| Emerging Markets Currency Fund entered into credit default swaps during the six months ended June 30, 2012 (as described in note 2(m)) to hedge credit risk or for speculative purposes. Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying security in the event of a defined credit event, such as payment default or bankruptcy. Under a credit default swap one party acts as a guarantor by receiving the fixed periodic payment in exchange for the commitment to purchase the underlying security at par if the defined credit event occurs. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain or loss on swap transactions in the Statements of Operations. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. |
|
|
| Emerging Markets Currency Fund entered into interest rate swaps during the six months ended June 30, 2012 (as described in note 2(l)) to hedge against interest rate risk. The Fund’s use of interest rate swaps involves the risk that Lord Abbett will not accurately predict expectations of interest rates, and the Fund’s returns could be reduced as a result. The Fund’s risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the life of the contract, to the extent that amount is positive. |
|
|
| As of June 30, 2012, Emerging Markets Currency Fund had the following derivatives, grouped into appropriate risk categories that illustrate how and why the Fund uses derivative instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Derivatives |
| Interest Rate |
| Forward Foreign |
| Credit |
| Fair Value |
| ||||
Futures Contracts(1) |
| $ | 164,018 |
| $ | — |
| $ | ��� |
| $ | 164,018 |
|
Forward Foreign Currency |
|
| — |
|
| 7,362,310 |
|
| — |
|
| 7,362,310 |
|
Credit Default Swaps(3) |
|
| — |
|
| — |
|
| 12,536 |
|
| 12,536 |
|
Total |
| $ | 164,018 |
| $ | 7,362,310 |
| $ | 12,536 |
| $ | 7,538,864 |
|
Liability Derivatives |
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency |
| $ | — |
| $ | 8,574,247 |
| $ | — |
| $ | 8,574,247 |
|
Interest Rate Swap(5) |
|
| 1,080 |
|
| — |
|
| — |
|
| 1,080 |
|
Total |
| $ | 1,080 |
| $ | 8,574,247 |
| $ | — |
| $ | 8,575,327 |
|
|
|
(1) | Statements of Assets and Liabilities location: Includes cumulative unrealized appreciation/depreciation of futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
(2) | Statements of Assets and Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
(3) | Statements of Assets and Liabilities location: Includes unrealized appreciation/depreciation of credit default swaps as reported in the Schedule of Investments. Unrealized appreciation/depreciation comprised of the upfront payment less the swap agreements payable at fair value. |
(4) | Statements of Assets and Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
(5) | Statements of Assets and Liabilities location: Unrealized depreciation on swaps. |
55
Notes to Financial Statements (unaudited)(continued)
Transactions in derivative instruments during the six months ended June 30, 2012, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate |
| Forward Foreign |
| Credit |
| Total |
| ||||
Net Realized Gain (Loss)(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
| $ | (1,134,457 | ) | $ | — |
| $ | — |
| $ | (1,134,457 | ) |
Forward Foreign Currency |
|
| — |
|
| 304,042 |
|
| — |
|
| 304,042 |
|
Credit Default Swaps |
|
| — |
|
| — |
|
| 1,130 |
|
| 1,130 |
|
Interest Rate Swaps |
|
| 45,117 |
|
| — |
|
| — |
|
| 45,117 |
|
Net Change in Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts |
| $ | 416,749 |
| $ | — |
| $ | — |
| $ | 416,749 |
|
Forward Foreign Currency |
|
|
|
|
| 6,586,185 |
|
|
|
|
| 6,586,185 |
|
Credit Default Swaps |
|
| — |
|
| — |
|
| 12,536 |
|
| 12,536 |
|
Interest Rate Swaps |
|
| (1,080 | ) |
| — |
|
| — |
|
| (1,080 | ) |
Average Number of Contracts/ |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts(3) |
|
| 679 |
|
| — |
|
| — |
|
| 679 |
|
Forward Foreign Currency |
| $ | — |
| $ | 549,380,297 |
| $ | — |
| $ | 549,380,297 |
|
Credit Default Swaps(4) |
|
| — |
|
| — |
|
| 2,038,362 |
|
| 2,038,362 |
|
Interest Rate Swaps(4) |
|
| 33,444,045 |
|
| — |
|
| — |
|
| 33,444,045 |
|
|
|
* | Calculated based on the number of contracts or notional amounts for the six months ended June 30, 2012. |
(1) | Statement of Operations location: Net realized gain (loss) on investments, futures contracts, swaps and foreign currency related transactions. |
(2) | Statement of Operations location: Net change in unrealized appreciation/depreciation on investments, futures contracts, swaps and translation of assets and liabilities denominated in foreign currencies. |
(3) | Amount represents number of contracts. |
(4) | Amount represents notional amount in U.S. dollars. |
|
|
|
3. | MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES |
|
|
Management Fee |
The Company has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio. |
|
The management fee is based on each Fund’s average daily net assets at the following annual rates: |
Emerging Markets Currency Fund
|
|
First $1 billion | .50% |
Over $1 billion | .45% |
Global Allocation Fund | .25%(1) |
|
|
(1) | For the period ended June 30, 2012 and continuing through April 30, 2013 Lord Abbett has contractually agreed to waive .20% of its management fee for Global Allocation Fund. This agreement may be terminated only upon approval of the Board. |
56
Notes to Financial Statements (unaudited)(continued)
For the six months ended June 30, 2012, the effective management fee, net of waivers, paid to Lord Abbett was at an annualized rate of .50% and .05% of average daily net assets for Emerging Markets Currency Fund and Global Allocation Fund, respectively.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of Emerging Markets Currency Fund’s average daily net assets. Global Allocation Fund does not pay such a fee.
Global Allocation Fund has entered into a Servicing Arrangement with the Underlying Funds in which it invests (Lord Abbett Affiliated Fund, Inc.; Lord Abbett Equity Trust – Lord Abbett Calibrated Large Cap Value Fund and Lord Abbett Calibrated Mid Cap Value Fund; Lord Abbett Emerging Markets Currency Fund; Lord Abbett Investment Trust – Lord Abbett High Yield Fund and Lord Abbett Short Duration Income Fund; Lord Abbett Mid Cap Stock Fund, Inc.; Lord Abbett Research Fund, Inc. – Lord Abbett Growth Opportunities Fund; and Lord Abbett Securities Trust – Lord Abbett International Dividend Income Fund) pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of Global Allocation Fund in proportion to the average daily value of total Underlying Fund shares owned by Global Allocation Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds in Global Allocation Fund’s Statement of Operations and Receivables from affiliates on Global Allocation Fund’s Statement of Assets and Liabilities. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on Emerging Markets Currency Fund’s Statement of Operations and Payable to affiliates on Emerging Markets Currency Fund’s Statement of Assets and Liabilities.
As of June 30, 2012, the percentages of Emerging Markets Currency Fund’s outstanding shares owned by Lord Abbett Balanced Strategy Fund, Lord Abbett Diversified Income Strategy Fund and Global Allocation Fund were 32.19%, 12.51% and 7.16%, respectively.
|
12b-1 Distribution Plan |
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The fees are accrued daily at annual rates based upon each Fund’s average daily net assets as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Emerging Markets Currency Fund |
|
|
|
|
|
|
|
|
| |||||||
Fees* |
| Class A |
| Class B |
| Class C(1) |
| Class F |
| Class P |
| Class R2 |
| Class R3 |
| |
Service |
|
| .15% |
| .25% |
| .25% |
| — |
| .25% |
| .25% |
| .25% |
|
Distribution |
|
| .05% |
| .75% |
| .75% |
| .10% |
| .20% |
| .35% |
| .25% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Allocation Fund |
|
|
|
|
|
|
|
|
|
| ||||||
Fees* |
| Class A |
| Class B |
| Class C(1) |
| Class F |
| Class P |
| Class R2 |
| Class R3 |
| |
Service |
|
| .25% |
| .25% |
| .25% |
| — |
| .25% |
| .25% |
| .25% |
|
Distribution |
|
| — |
| .75% |
| .75% |
| .10% |
| .20% |
| .35% |
| .25% |
|
|
|
* | The Fund may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
(1) | The Class C 12b-1 fee is a blended rate calculated based on 1.00% of the Fund’s average daily net assets attributable to Class C shares held for less than one year and .80% (.05% service, .75% distribution) of the Fund’s average daily net assets attributable to Class C shares held for one year or more. All Class C shareholders of the Fund will bear Rule 12b-1 fees at the same rate. |
Class I shares do not have a distribution plan.
57
Notes to Financial Statements (unaudited)(continued)
|
|
|
|
|
|
|
| Distributor |
| Dealers’ |
|
Emerging Markets Currency Fund |
| $2,850 |
| $17,585 |
|
Global Allocation Fund |
| 36,640 |
| 209,758 |
|
Distributor received the following amount of CDSCs for the six months ended June 30, 2012:
|
|
|
|
|
|
|
| Class A |
| Class C |
|
Emerging Markets Currency Fund |
| $3,101 |
| $5,209 |
|
Global Allocation Fund |
| 965 |
| 2,055 |
|
Two Directors and certain of the Company’s officers have an interest in Lord Abbett.
|
|
|
4. | DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS |
|
Dividends from net investment income, if any, are declared daily and paid monthly for Emerging Markets Currency Fund and declared and paid quarterly for Global Allocation Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
The tax character of distributions paid during the six months ended June 30, 2012 and the fiscal year ended December 31, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Emerging Markets |
| Global Allocation Fund |
| ||||||||
| |||||||||||||
|
| Six Months |
| Year Ended |
| Six Months |
| Year Ended |
| ||||
| |||||||||||||
Distributions paid from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Ordinary income |
| $ | 5,307,235 |
| $ | 10,224,280 |
| $ | 2,982,219 |
| $ | 5,191,445 |
|
Total distributions paid |
| $ | 5,307,235 |
| $ | 10,224,280 |
| $ | 2,982,219 |
| $ | 5,191,445 |
|
|
As of December 31, 2011, the capital loss carryforwards, along with the related expiration dates were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2016 |
| 2017 |
| 2018 |
| Indefinite |
| Total |
| |||||
| ||||||||||||||||
Emerging Markets Currency Fund |
| $ | — |
| $ | — |
| $ | — |
| $ | 13,872,572 |
| $ | 13,872,572 |
|
Global Allocation Fund |
|
| 2,394,085 |
|
| 1,738,042 |
|
| 8,248 |
|
| — |
|
| 4,140,375 |
|
58
Notes to Financial Statements (unaudited)(continued)
In accordance with the Regulated Investment Company Modernization Act of 2010, the Funds will carryforward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) indefinitely. Post-enactment losses will retain their character as either short-term or long-term and be utilized before any pre-enactment losses.
As of June 30, 2012, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
| Emerging Markets |
| Global |
| ||
| |||||||
Tax cost |
| $ | 418,396,357 |
| $ | 174,504,440 |
|
| |||||||
Gross unrealized gain |
|
| 552,971 |
|
| 2,082,031 |
|
Gross unrealized loss |
|
| (591,551 | ) |
| (11,632,271 | ) |
| |||||||
Net unrealized security loss |
| $ | (38,580 | ) | $ | (9,550,240 | ) |
|
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain distributions received, wash sales and amortization of premium.
|
|
|
5. | PORTFOLIO SECURITIES TRANSACTIONS |
|
Purchases and sales of investment securities (excluding short-term investments) for the six months ended June 30, 2012 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. |
| Non-U.S. |
| U.S. |
| Non-U.S. |
| ||||
| |||||||||||||
Emerging Markets Currency Fund |
| $ | 162,561,908 |
| $ | 281,894,340 |
| $ | 137,084,387 |
| $ | 174,995,100 |
|
Global Allocation Fund |
|
| — |
|
| 34,194,183 |
|
| — |
|
| 36,553,185 |
|
|
|
* | Includes U.S. Government sponsored enterprises securities. |
|
|
|
6. | DIRECTORS’ REMUNERATION |
|
The Company’s officers and the two Directors who are associated with Lord Abbett do not receive any compensation from the Company for serving in such capacities. Independent Directors’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all Independent Directors under which Independent Directors must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Directors’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Directors’ fees on the Statements of Operations and in Directors’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
|
|
|
7. | EXPENSE REDUCTIONS |
|
The Company has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
|
|
|
8. | CUSTODIAN AND ACCOUNTING AGENT |
|
State Street Bank and Trust Company (“SSB”) is the Company’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
59
Notes to Financial Statements (unaudited)(continued)
|
|
|
9. | TRANSACTIONS WITH AFFILIATED ISSUERS |
|
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. Global Allocation Fund had the following transactions with affiliated issuers (i.e. the Underlying Funds) during the six months ended June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Issuer |
| Balance of |
| Gross |
| Gross |
| Balance of |
| Value at |
| Net Realized |
| Dividend |
| |||||||
| ||||||||||||||||||||||
Lord Abbett Affiliated |
|
| 879,534 |
|
| 16,958 |
|
| (372,538 | ) |
| 523,954 |
| $ | 5,899,718 |
| $ | (253,694 | ) | $ | 70,418 |
|
Lord Abbett Equity Trust – |
|
| — |
|
| 48,908 |
|
| — |
|
| 48,908 |
|
| 826,551 |
|
| — |
|
| — |
|
Lord Abbett Equity Trust – |
|
| — |
|
| 55,831 |
|
| — |
|
| 55,831 |
|
| 906,700 |
|
| — |
|
| — |
|
Lord Abbett Research |
|
| 280,095 |
|
| — |
|
| (280,095 | ) |
| — |
|
| — |
|
| 683,997 |
|
| — |
|
Lord Abbett Global |
|
| 4,259,290 |
|
| 681,867 |
|
| (236,745 | ) |
| 4,704,412 |
|
| 29,825,973 |
|
| (202,623 | ) |
| 416,659 |
|
Lord Abbett Research |
|
| 424,166 |
|
| 238,983 |
|
| (154,038 | ) |
| 509,111 |
|
| 10,141,488 |
|
| 345,718 |
|
| — |
|
Lord Abbett Investment |
|
| 3,221,977 |
|
| 159,647 |
|
| (699,154 | ) |
| 2,682,470 |
|
| 20,574,547 |
|
| 330,635 |
|
| 854,374 |
|
Lord Abbett Securities |
|
| 275,056 |
|
| — |
|
| (275,056 | ) |
| — |
|
| — |
|
| (333,505 | ) |
| — |
|
Lord Abbett Securities |
|
| 7,778,351 |
|
| 1,776,810 |
|
| (585,759 | ) |
| 8,969,402 |
|
| 66,194,190 |
|
| (1,001,312 | ) |
| 1,998,983 |
|
Lord Abbett Securities |
|
| 519,861 |
|
| — |
|
| (519,861 | ) |
| — |
|
| — |
|
| 536,803 |
|
| — |
|
Lord Abbett Mid Cap |
|
| 1,394,088 |
|
| 437,885 |
|
| (11,564 | ) |
| 1,820,409 |
|
| 29,563,448 |
|
| (23,205 | ) |
| — |
|
Lord Abbett Investment |
|
| — |
|
| 173,695 |
|
| — |
|
| 173,695 |
|
| 797,259 |
|
| — |
|
| 455 |
|
| ||||||||||||||||||||||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 164,729,874 |
| $ | 82,814 |
| $ | 3,340,889 |
|
|
60
Notes to Financial Statements (unaudited)(continued)
|
|
|
10. | INVESTMENT RISKS |
|
Each Fund is subject to the risks of investing in securities that are issued by non-U.S. entities, the risks of investing in derivatives, liquidity risk, and the risks from leverage.
Foreign securities may pose greater risks than domestic securities, including greater price fluctuations, less government regulation, and higher transaction costs. These risks generally are greater for emerging markets securities. Foreign investments also may be affected by changes in currency rates or currency controls.
Derivatives are subject to risks such as liquidity risk, leveraging risk, interest rate risk, market risk, and credit risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with the value of the underlying asset, rate, or index. Whether a Fund’s use of derivatives is successful will depend on, among other things, the Fund’s ability to correctly forecast market movements, changes in foreign exchange and interest rates, and other factors. If a Fund incorrectly forecasts these and other factors, its performance could suffer. The Fund’s use of derivatives could result in a loss exceeding the amount of the Fund’s investment in these instruments.
Emerging Markets Currency Fund may invest in swap contracts. Swap contracts are bilateral agreements between a fund and its counterparty. Each party is exposed to the risk of default by the other. In addition, swap contracts may involve a small investment of cash compared to the risk assumed, with the result that small changes may produce disproportionate and substantial gains or losses to the Fund.
Emerging Markets Currency Fund may invest in credit default swap contracts. Such contracts are subject to the risk that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates, and that Lord Abbett does not correctly predict the creditworthiness of the issuers of the reference obligation on which the credit default swap is based.
Illiquid securities may lower a Fund’s returns since the Fund may be unable to sell these securities at its desired time or price.
Leverage, including borrowing, may increase volatility in a Fund by magnifying the effect of changes in the value of the Fund’s holdings. The use of leverage may cause investors in a Fund to lose more money in adverse environments than would be the case in the absence of leverage.
Emerging Markets Currency Fund is subject to the general risks and considerations associated with investing in debt securities, including interest rate risk. When interest rates rise, the prices of debt securities and an investment in Emerging Markets Currency Fund are likely to decline. In times of economic uncertainty, high-yield debt securities (or “junk bonds”) may decline in price, even when interest rates are falling. There is also the risk that an issuer of a debt security will fail to make timely payments of principal or interest to Emerging Markets Currency Fund, a risk that is greater with junk bonds.
The mortgage-related securities in which a Fund may invest may be particularly sensitive to changes in prevailing interest rates, economic conditions, including delinquencies and/or defaults. These changes can affect the value, income and/or liquidity of such positions. When interest rates are declining, the value of these securities with prepayment features may not increase as much as other fixed income securities. Early principal repayment may deprive a Fund of income payments
61
Notes to Financial Statements (unaudited)(continued)
above current market rates. Alternatively, rising interest rates may cause payments to occur at a slower-than-expected rate, extending the duration of a security and typically reducing its value. The payment rate will thus affect the price and volatility of a mortgage-related security.
Foreign currency exchange rates may fluctuate significantly over short periods of time. Emerging Markets Currency Fund’s use of currency-related transactions involves the risk that Lord Abbett will not accurately predict currency movements, and the Fund’s returns could be reduced as a result. A decline in the value of foreign currencies relative to the U.S. dollar will reduce the value of securities held by Emerging Markets Currency Fund that are denominated in those currencies.
The securities markets of developing or emerging countries tend to be less liquid, are especially subject to greater price volatility, have a smaller market capitalization, have less government regulation and may not be subject to as extensive and frequent accounting, financial, and other reporting requirements as securities issued in more developed countries.
Emerging Markets Currency Fund believes that its investment strategies with respect to foreign currencies will generate qualifying income under current U.S. federal income tax law. However, there can be no assurance that the U.S. Treasury Department will not issue regulations in the future (possibly with retroactive effect) that would treat some or all of the Fund’s foreign currency gains as nonqualifying income.
The value of Global Allocation Fund’s investments will fluctuate in response to various factors related to domestic and foreign equity and fixed income markets, as well as the financial condition and prospects of issuers in which the Fund invests through its Underlying Funds. Because equity and fixed income investments can move in different directions or to different degrees, fixed income investments may counteract some of the volatility experienced by equity holdings, but the diminished risk that may accompany this investment approach also may result in lower returns.
These factors can affect each Fund’s performance.
|
|
|
11. | SUMMARY OF CAPITAL TRANSACTIONS |
|
Transactions in shares of capital stock were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Emerging Markets Currency Fund |
| Six Months Ended |
| Year Ended |
| ||||||||
Class A Shares |
| Shares |
| Amount |
| Shares |
| Amount |
| ||||
Shares sold |
|
| 2,213,345 |
| $ | 14,237,234 |
|
| 8,042,498 |
| $ | 54,934,85 |
|
Converted from Class B* |
|
| 13,273 |
|
| 85,144 |
|
| 49,173 |
|
| 329,946 |
|
Reinvestment of distributions |
|
| 146,722 |
|
| 942,761 |
|
| 406,470 |
|
| 2,743,393 |
|
Shares reacquired |
|
| (3,033,733 | ) |
| (19,423,644 | ) |
| (10,063,478 | ) |
| (66,321,610 | ) |
Decrease |
|
| (660,393 | ) | $ | (4,158,505 | ) |
| (1,565,337 | ) | $ | (8,313,396 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class B Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 5,025 |
| $ | 31,834 |
|
| 54,439 |
| $ | 374,013 |
|
Reinvestment of distributions |
|
| 1,986 |
|
| 12,831 |
|
| 6,305 |
|
| 42,818 |
|
Shares reacquired |
|
| (42,602 | ) |
| (269,722 | ) |
| (138,481 | ) |
| (944,167 | ) |
Converted to Class A* |
|
| (13,215 | ) |
| (85,144 | ) |
| (48,945 | ) |
| (329,946 | ) |
Decrease |
|
| (48,806 | ) | $ | (310,201 | ) |
| (126,682 | ) | $ | (857,282 | ) |
62
Notes to Financial Statements (unaudited)(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Six Months Ended |
| Year Ended |
| ||||||||
Class C Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 433,979 |
| $ | 2,800,786 |
|
| 2,997,946 |
| $ | 20,772,720 |
|
Reinvestment of distributions |
|
| 32,644 |
|
| 211,089 |
|
| 89,235 |
|
| 605,405 |
|
Shares reacquired |
|
| (1,213,043 | ) |
| (7,787,328 | ) |
| (2,227,080 | ) |
| (14,750,988 | ) |
Increase (decrease) |
|
| (746,420 | ) | $ | (4,775,453 | ) |
| 860,101 |
| $ | 6,627,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 2,672,585 |
| $ | 17,071,905 |
|
| 15,480,091 |
| $ | 105,393,750 |
|
Reinvestment of distributions |
|
| 108,896 |
|
| 698,921 |
|
| 238,973 |
|
| 1,605,297 |
|
Shares reacquired |
|
| (3,760,869 | ) |
| (23,794,168 | ) |
| (12,288,261 | ) |
| (80,218,894 | ) |
Increase (decrease) |
|
| (979,388 | ) | $ | (6,023,342 | ) |
| 3,430,803 |
| $ | 26,780,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 18,239,938 |
| $ | 117,806,286 |
|
| 10,250,596 |
| $ | 66,097,561 |
|
Reinvestment of distributions |
|
| 444,148 |
|
| 2,842,267 |
|
| 436,631 |
|
| 2,928,856 |
|
Shares reacquired |
|
| (1,809,984 | ) |
| (11,454,113 | ) |
| (3,000,823 | ) |
| (20,128,580 | ) |
Increase |
|
| 16,874,102 |
| $ | 109,194,440 |
|
| 7,686,404 |
| $ | 48,897,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class P Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Reinvestment of distributions |
|
| 17 |
| $ | 114 |
|
| 128 |
| $ | 863 |
|
Shares reacquired |
|
| — | (a) |
| (1 | ) |
| (3,359 | ) |
| (20,941 | ) |
Increase (decrease) |
|
| 17 |
| $ | 113 |
|
| (3,231 | ) | $ | (20,078 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R2 Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 33,197 |
| $ | 206,137 |
|
| 48,682 |
| $ | 333,963 |
|
Reinvestment of distributions |
|
| 27 |
|
| 173 |
|
| 47 |
|
| 320 |
|
Shares reacquired |
|
| (25,747 | ) |
| (167,967 | ) |
| (23,632 | ) |
| (156,078 | ) |
Increase |
|
| 7,477 |
| $ | 38,343 |
|
| 25,097 |
| $ | 178,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R3 Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 33,676 |
| $ | 216,131 |
|
| 85,804 |
| $ | 580,876 |
|
Reinvestment of distributions |
|
| 820 |
|
| 5,254 |
|
| 1,436 |
|
| 9,622 |
|
Shares reacquired |
|
| (28,037 | ) |
| (181,642 | ) |
| (68,613 | ) |
| (473,861 | ) |
Increase |
|
| 6,459 |
| $ | 39,743 |
|
| 18,627 |
| $ | 116,637 |
|
|
|
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
(a) | Value is less than 1 share. |
63
Notes to Financial Statements (unaudited)(concluded)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Global Allocation Fund |
| Six Months Ended |
| Year Ended |
| ||||||||
Class A Shares |
|
| Shares |
|
| Amount |
|
| Shares |
|
| Amount |
|
Shares sold |
|
| 884,850 |
| $ | 9,660,518 |
|
| 3,141,147 |
| $ | 35,841,205 |
|
Converted from Class B* |
|
| 61,967 |
|
| 686,191 |
|
| 100,996 |
|
| 1,123,609 |
|
Reinvestment of distributions |
|
| 177,780 |
|
| 1,914,510 |
|
| 309,788 |
|
| 3,371,367 |
|
Shares reacquired |
|
| (1,275,748 | ) |
| (13,836,002 | ) |
| (2,432,427 | ) |
| (27,168,071 | ) |
Increase (decrease) |
|
| (151,151 | ) | $ | (1,574,783 | ) |
| 1,119,504 |
| $ | 13,168,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class B Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 25,236 |
| $ | 255,069 |
|
| 95,196 |
| $ | 997,594 |
|
Reinvestment of distributions |
|
| 11,849 |
|
| 117,682 |
|
| 23,867 |
|
| 241,953 |
|
Shares reacquired |
|
| (86,599 | ) |
| (863,353 | ) |
| (217,119 | ) |
| (2,269,523 | ) |
Converted to Class A* |
|
| (67,114 | ) |
| (686,191 | ) |
| (109,212 | ) |
| (1,123,609 | ) |
Decrease |
|
| (116,628 | ) | $ | (1,176,793 | ) |
| (207,268 | ) | $ | (2,153,585 | ) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class C Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 351,287 |
| $ | 3,530,243 |
|
| 996,301 |
| $ | 10,477,099 |
|
Reinvestment of distributions |
|
| 39,504 |
|
| 392,631 |
|
| 66,860 |
|
| 675,333 |
|
Shares reacquired |
|
| (382,722 | ) |
| (3,814,306 | ) |
| (744,587 | ) |
| (7,698,624 | ) |
Increase |
|
| 8,069 |
| $ | 108,568 |
|
| 318,574 |
| $ | 3,453,808 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class F Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 44,176 |
| $ | 486,022 |
|
| 244,564 |
| $ | 2,732,678 |
|
Reinvestment of distributions |
|
| 3,532 |
|
| 38,320 |
|
| 6,415 |
|
| 69,102 |
|
Shares reacquired |
|
| (139,049 | ) |
| (1,477,122 | ) |
| (141,974 | ) |
| (1,526,669 | ) |
Increase (decrease) |
|
| (91,341 | ) | $ | (952,780 | ) |
| 109,005 |
| $ | 1,275,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class I Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 11,235 |
| $ | 123,613 |
|
| 728,207 |
| $ | 8,677,626 |
|
Reinvestment of distributions |
|
| 24,261 |
|
| 262,810 |
|
| 33,621 |
|
| 359,884 |
|
Shares reacquired |
|
| (25,665 | ) |
| (283,557 | ) |
| (137,434 | ) |
| (1,625,116 | ) |
Increase |
|
| 9,831 |
| $ | 102,866 |
|
| 624,394 |
| $ | 7,412,394 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R2 Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 771 |
| $ | 8,647 |
|
| 7,432 |
| $ | 77,958 |
|
Reinvestment of distributions |
|
| 144 |
|
| 1,579 |
|
| 94 |
|
| 993 |
|
Shares reacquired |
|
| (165 | ) |
| (1,761 | ) |
| (1 | ) |
| (6 | ) |
Increase |
|
| 750 |
| $ | 8,465 |
|
| 7,525 |
| $ | 78,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Class R3 Shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares sold |
|
| 106,127 |
| $ | 1,155,451 |
|
| 186,035 |
| $ | 2,134,497 |
|
Reinvestment of distributions |
|
| 6,523 |
|
| 70,451 |
|
| 8,651 |
|
| 94,324 |
|
Shares reacquired |
|
| (34,353 | ) |
| (373,688 | ) |
| (67,026 | ) |
| (764,155 | ) |
Increase |
|
| 78,297 |
| $ | 852,214 |
|
| 127,660 |
| $ | 1,464,666 |
|
|
|
* | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
64
Investments in Underlying Funds (unaudited)
Global Allocation Fund invests in Underlying Funds managed by Lord Abbett. As of June 30, 2012 Global Allocation Fund’s long-term investments were allocated among the Underlying Funds as follows:
|
|
|
|
|
Underlying Fund Name |
| % of Investments |
| |
| ||||
Lord Abbett Affiliated Fund, Inc. - Class I |
|
| 3.58% |
|
Lord Abbett Equity Trust - Calibrated Large Cap Value Fund - Class I |
|
| 0.50% |
|
Lord Abbett Equity Trust - Calibrated Mid Cap Value Fund - Class I |
|
| 0.55% |
|
Lord Abbett Global Fund, Inc. - Emerging Markets Currency Fund - Class I |
|
| 18.11% |
|
Lord Abbett Research Fund, Inc. - Growth Opportunities Fund - Class I |
|
| 6.16% |
|
Lord Abbett Investment Trust - High Yield Fund - Class I |
|
| 12.49% |
|
Lord Abbett Securities Trust - International Dividend Income Fund - Class I |
|
| 40.18% |
|
Lord Abbett Mid Cap Stock Fund, Inc. (formerly, Mid-Cap Value Fund, Inc.) - Class I |
|
| 17.95% |
|
Lord Abbett Investment Trust - Short Duration Income Fund - Class I |
|
| 0.48% |
|
|
The Ten Largest Holdings and the Holdings by Sector, as of June 30, 2012, for each Underlying Fund are presented below. Each Underlying Fund’s portfolio holdings as of the end of the month are available at www.lordabbett.com.
|
|
|
|
|
Lord Abbett Affiliated Fund, Inc. |
|
|
|
|
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Wells Fargo & Co. |
|
| 3.82% |
|
Pfizer, Inc. |
|
| 3.30% |
|
Exxon Mobil Corp. |
|
| 3.26% |
|
JPMorgan Chase & Co. |
|
| 3.03% |
|
Chevron Corp. |
|
| 2.86% |
|
AT&T, Inc. |
|
| 2.78% |
|
General Electric Co. |
|
| 2.38% |
|
Johnson & Johnson |
|
| 1.87% |
|
Goldman Sachs Group, Inc. (The) |
|
| 1.78% |
|
Capital One Financial Corp. |
|
| 1.77% |
|
|
65
Investments in Underlying Funds (unaudited)(continued)
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
|
| 9.71% |
|
Consumer Staples |
|
| 7.80% |
|
Energy |
|
| 15.04% |
|
Financials |
|
| 23.63% |
|
Health Care |
|
| 13.66% |
|
Industrials |
|
| 7.97% |
|
Information Technology |
|
| 7.12% |
|
Materials |
|
| 5.19% |
|
Telecommunication Services |
|
| 4.78% |
|
Utilities |
|
| 3.01% |
|
Short-Term Investment |
|
| 2.09% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
|
|
|
|
|
Lord Abbett Equity Trust - Calibrated Large Cap Value Fund |
|
|
|
|
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Exxon Mobil Corp. |
|
| 5.85% |
|
Merck & Co., Inc. |
|
| 3.30% |
|
AT&T, Inc. |
|
| 2.91% |
|
ConocoPhillips |
|
| 2.42% |
|
JPMorgan Chase & Co. |
|
| 2.34% |
|
Wells Fargo & Co. |
|
| 2.13% |
|
Time Warner, Inc. |
|
| 2.03% |
|
Chevron Corp. |
|
| 2.02% |
|
Bank of America Corp. |
|
| 1.89% |
|
FirstEnergy Corp. |
|
| 1.76% |
|
| ||||
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
|
| 8.04% |
|
Consumer Staples |
|
| 7.61% |
|
Energy |
|
| 15.86% |
|
Financials |
|
| 26.02% |
|
Health Care |
|
| 12.13% |
|
Industrials |
|
| 8.67% |
|
Information Technology |
|
| 7.26% |
|
Materials |
|
| 3.79% |
|
Telecommunication Services |
|
| 3.59% |
|
Utilities |
|
| 6.80% |
|
Short-Term Investment |
|
| 0.23% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
66
Investments in Underlying Funds (unaudited)(continued)
|
|
|
|
|
Lord Abbett Equity Trust - Calibrated Mid Cap Value Fund |
|
|
|
|
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
PPL Corp. |
|
| 2.22% |
|
Noble Energy, Inc. |
|
| 2.08% |
|
International Paper Co. |
|
| 2.05% |
|
SunTrust Banks, Inc. |
|
| 1.96% |
|
Entergy Corp. |
|
| 1.95% |
|
AES Corp. (The) |
|
| 1.93% |
|
Macy’s, Inc. |
|
| 1.93% |
|
Eaton Corp. |
|
| 1.87% |
|
Dover Corp. |
|
| 1.83% |
|
Comerica, Inc. |
|
| 1.77% |
|
| ||||
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
|
| 9.27% |
|
Consumer Staples |
|
| 4.96% |
|
Energy |
|
| 8.03% |
|
Financials |
|
| 30.95% |
|
Health Care |
|
| 7.77% |
|
Industrials |
|
| 10.45% |
|
Information Technology |
|
| 10.31% |
|
Materials |
|
| 5.49% |
|
Telecommunication Services |
|
| 0.26% |
|
Utilities |
|
| 12.20% |
|
Short-Term Investment |
|
| 0.31% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
|
|
|
|
|
Lord Abbett Global Fund, Inc. - Emerging Markets Currency Fund |
|
|
|
|
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Turkey Government Bond, Zero Coupon, 8/8/2012 |
|
| 3.45% |
|
General Electric Capital Corp., 5.40%, 9/20/2013 |
|
| 2.27% |
|
Federal National Mortgage Assoc., 4.50%, TBA |
|
| 1.41% |
|
Federal National Mortgage Assoc., 5.50%, 8/1/2037 |
|
| 1.15% |
|
American Express Bank FSB, 5.50%, 4/16/2013 |
|
| 0.99% |
|
Citigroup, Inc., 5.50%, 4/11/2013 |
|
| 0.98% |
|
Cox Communications, Inc., 4.625%, 6/1/2013 |
|
| 0.89% |
|
Macy’s Retail Holdings, Inc., 5.875%, 1/15/2013 |
|
| 0.86% |
|
Historic TW, Inc., 9.125%, 1/15/2013 |
|
| 0.77% |
|
Western Union Co. (The), 1.048%, 3/7/2013 |
|
| 0.72% |
|
|
67
Investments in Underlying Funds (unaudited)(continued)
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Asset-Backed |
|
| 11.30% |
|
Automotive |
|
| 0.41% |
|
Banking |
|
| 7.20% |
|
Basic Industry |
|
| 3.13% |
|
Capital Goods |
|
| 0.27% |
|
Consumer Cyclical |
|
| 3.50% |
|
Consumer Non-Cyclical |
|
| 1.63% |
|
Energy |
|
| 7.17% |
|
Financial Services |
|
| 5.23% |
|
Foreign Government |
|
| 3.76% |
|
Health Care |
|
| 1.49% |
|
Insurance |
|
| 0.36% |
|
Media |
|
| 2.08% |
|
Mortgage-Backed |
|
| 39.18% |
|
Real Estate |
|
| 1.94% |
|
Services |
|
| 1.33% |
|
Technology & Electronics |
|
| 2.30% |
|
Telecommunications |
|
| 1.54% |
|
Utility |
|
| 1.58% |
|
Short-Term Investment |
|
| 4.60% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
Lord Abbett Research Fund, Inc. - Growth Opportunities Fund
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
SXC Health Solutions Corp. |
|
| 2.54% |
|
Dollar General Corp. |
|
| 2.35% |
|
Discovery Communications, Inc. Class A |
|
| 2.09% |
|
DaVita, Inc. |
|
| 1.98% |
|
Whole Foods Market, Inc. |
|
| 1.95% |
|
Agilent Technologies, Inc. |
|
| 1.94% |
|
Citrix Systems, Inc. |
|
| 1.93% |
|
Watson Pharmaceuticals, Inc. |
|
| 1.83% |
|
IDEXX Laboratories, Inc. |
|
| 1.67% |
|
Teradata Corp. |
|
| 1.66% |
|
| ||||
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
|
| 22.78% |
|
Consumer Staples |
|
| 8.67% |
|
Energy |
|
| 3.94% |
|
Financials |
|
| 6.54% |
|
Health Care |
|
| 17.41% |
|
Industrials |
|
| 12.11% |
|
Information Technology |
|
| 21.49% |
|
Materials |
|
| 6.46% |
|
Utilities |
|
| 0.31% |
|
Short-Term Investment |
|
| 0.29% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
68
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Investment Trust - High Yield Fund
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Intelsat Bermuda Ltd., 11.50%, 2/4/2017 |
|
| 0.99% |
|
Alliance Data Systems Corp., 6.375%, 4/1/2020 |
|
| 0.81% |
|
Sprint Nextel Corp., 9.00%, 11/15/2018 |
|
| 0.69% |
|
AMC Networks, Inc., 7.75%, 7/15/2021 |
|
| 0.68% |
|
First Niagara Financial Group, Inc., 7.25%, 12/15/2021 |
|
| 0.66% |
|
Liberty Mutual Group, Inc., 10.75%, 6/15/2058 |
|
| 0.65% |
|
HCA, Inc., 6.50%, 2/15/2020 |
|
| 0.62% |
|
Lions Gate Entertainment, Inc., 10.25%, 11/1/2016 |
|
| 0.59% |
|
Oasis Petroleum, Inc.,7.25%, 2/1/2019 |
|
| 0.59% |
|
Air Lease Corp., 5.625%, 4/1/2017 |
|
| 0.58% |
|
| ||||
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Agency |
|
| 0.00% | ** |
Automotive |
|
| 3.55% |
|
Banking |
|
| 3.95% |
|
Basic Industry |
|
| 9.63% |
|
Capital Goods |
|
| 5.43% |
|
Consumer Cyclical |
|
| 5.66% |
|
Consumer Non-Cyclical |
|
| 4.63% |
|
Energy |
|
| 12.77% |
|
Financial Services |
|
| 6.85% |
|
Foreign Government |
|
| 0.98% |
|
Healthcare |
|
| 4.28% |
|
Insurance |
|
| 0.65% |
|
Media |
|
| 7.45% |
|
Real Estate |
|
| 0.54% |
|
Services |
|
| 13.85% |
|
Technology & Electronics |
|
| 5.96% |
|
Telecommunications |
|
| 7.20% |
|
Transportation |
|
| 0.17% |
|
Utility |
|
| 3.63% |
|
Short-Term Investment |
|
| 2.82% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
** | Amount is less than .01%. |
Lord Abbett Securities Trust - International Dividend Income Fund
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Admiral Group plc |
|
| 2.10% |
|
ProSiebenSat.1 Media AG |
|
| 1.90% |
|
Telstra Corp., Ltd. |
|
| 1.86% |
|
Telenor ASA |
|
| 1.74% |
|
Spark Infrastructure Group |
|
| 1.72% |
|
E. On AG |
|
| 1.65% |
|
SembCorp Marine Ltd. |
|
| 1.64% |
|
CSM |
|
| 1.63% |
|
Seadrill Ltd. |
|
| 1.61% |
|
SSE plc |
|
| 1.61% |
|
|
69
Investments in Underlying Funds (unaudited)(continued)
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
|
| 11.37% |
|
Consumer Staples |
|
| 11.08% |
|
Energy |
|
| 5.21% |
|
Financials |
|
| 21.79% |
|
Health Care |
|
| 3.20% |
|
Industrials |
|
| 10.99% |
|
Information Technology |
|
| 4.20% |
|
Materials |
|
| 4.67% |
|
Telecommunication Services |
|
| 13.58% |
|
Utilities |
|
| 11.14% |
|
Short-Term Investment |
|
| 2.77% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
Lord Abbett Mid Cap Stock Fund, Inc. (formerly, Lord Abbett Mid-Cap Value Fund, Inc.)
|
|
|
|
|
Ten Largest Holdings |
| % of Investments |
| |
| ||||
Interpublic Group of Cos., Inc. (The) |
|
| 2.64% |
|
Fiserv, Inc. |
|
| 2.07% |
|
Watson Pharmaceuticals, Inc. |
|
| 1.95% |
|
Omnicom Group, Inc. |
|
| 1.91% |
|
Ashland, Inc. |
|
| 1.87% |
|
Bunge Ltd. |
|
| 1.86% |
|
PartnerRe Ltd. |
|
| 1.80% |
|
Mylan, Inc. |
|
| 1.71% |
|
Everest Re Group Ltd. |
|
| 1.61% |
|
URS Corp. |
|
| 1.45% |
|
| ||||
|
|
|
|
|
Holdings by Sector* |
| % of Investments |
| |
| ||||
Consumer Discretionary |
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| 11.63% |
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Consumer Staples |
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| 3.95% |
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Energy |
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| 6.49% |
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Financials |
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| 24.54% |
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Health Care |
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| 12.08% |
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Industrials |
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| 13.10% |
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Information Technology |
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| 9.79% |
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Materials |
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| 8.22% |
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Telecommunication Services |
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| 1.20% |
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Utilities |
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| 4.95% |
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Short-Term Investment |
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| 4.05% |
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Total |
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| 100.00% |
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* | A sector may comprise several industries. |
70
Investments in Underlying Funds (unaudited)(concluded)
Lord Abbett Investment Trust - Short Duration Income Fund
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Ten Largest Holdings |
| % of Investments |
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| ||||
Georgia-Pacific LLC, 8.25%, 5/1/2016 |
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| 1.08% |
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UBS-Barclays Commercial Mortgage Trust 2012-C2 A2, 2.113%, 7/10/2017 |
|
| 0.80% |
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JPMorgan Chase & Co., 3.45%, 3/1/2016 |
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| 0.72% |
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Federal Home Loan Mortgage Corp., 2.604%, 2/1/2035 |
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| 0.66% |
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Anglo American Capital plc, 9.375%, 4/8/2019 |
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| 0.53% |
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DBUBS Mortgage Trust 2011-LC1A A1, 3.742%, 11/10/2046 |
|
| 0.49% |
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Wachovia Bank Commercial Mortgage Trust 2006-C27 A3, 5.765%, 7/15/2045 |
|
| 0.48% |
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Petrohawk Energy Corp., 10.50%, 8/1/2014 |
|
| 0.47% |
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Wachovia Bank Commercial Mortgage Trust 2007-C31 A4, 5.509%, 4/15/2047 |
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| 0.47% |
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Teck Resources Ltd., 10.75%, 5/15/2019 |
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| 0.46% |
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| ||||
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Holdings by Sector* |
| % of Investments |
| |
| ||||
Auto |
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| 0.45% |
|
Basic Industry |
|
| 2.42% |
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Consumer Cyclical |
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| 2.23% |
|
Consumer Discretionary |
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| 2.65% |
|
Consumer Non-Cyclical |
|
| 0.09% |
|
Consumer Services |
|
| 0.58% |
|
Consumer Staples |
|
| 1.30% |
|
Energy |
|
| 5.05% |
|
Financial Services |
|
| 51.37% |
|
Foreign Government |
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| 0.87% |
|
Health Care |
|
| 1.16% |
|
Integrated Oils |
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| 1.94% |
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Materials & Processing |
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| 3.78% |
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Municipal |
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| 0.31% |
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Other |
|
| 0.02% |
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Producer Durables |
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| 0.69% |
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Technology |
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| 2.54% |
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Telecommunications |
|
| 2.58% |
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Transportation |
|
| 0.86% |
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U.S. Government |
|
| 12.16% |
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Utilities |
|
| 2.67% |
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Short-Term Investments |
|
| 4.28% |
|
| ||||
Total |
|
| 100.00% |
|
|
|
|
* | A sector may comprise several industries. |
71
Householding
The Company has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
72
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This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus. | Lord Abbett Global Fund, Inc. |
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Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC. | Lord Abbett Emerging Markets Currency Fund | LAGF-3-0612 |
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Item 2: | Code of Ethics. |
| Not applicable. |
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Item 3: | Audit Committee Financial Expert. |
| Not applicable. |
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Item 4: | Principal Accountant Fees and Services. |
| Not applicable. |
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Item 5: | Audit Committee of Listed Registrants. |
| Not applicable. |
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Item 6: | Investments. |
| Not applicable. |
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Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| Not applicable. |
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Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
| Not applicable. |
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Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| Not applicable. |
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Item 10: | Submission of Matters to a Vote of Security Holders. |
| Not applicable. |
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Item 11: | Controls and Procedures. |
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| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
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| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the 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. |
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Item 12: | Exhibits. |
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| (a)(1) | Amendments to Code of Ethics – Not applicable. |
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| (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
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| (a)(3) | Not applicable. |
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| (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. |
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.
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| LORD ABBETT GLOBAL FUND, INC. | ||
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| By: | /s/ Robert S. Dow | |
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| Robert S. Dow | |
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| Chief Executive Officer and Chairman |
Date: August 21, 2012
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| By: | /s/ Joan A. Binstock | |
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| Joan A. Binstock | |
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| Chief Financial Officer and Vice President |
Date: August 21, 2012
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.
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| By: | /s/ Robert S. Dow | |
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| ||
|
| Robert S. Dow | |
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| Chief Executive Officer and Chairman |
Date: August 21, 2012
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| By: | /s/ Joan A. Binstock | |
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| ||
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| Joan A. Binstock | |
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| Chief Financial Officer and Vice President |
Date: August 21, 2012