Washington, D.C. 20549
HOMESTEAD FUNDS, INC.
Danielle C. Sieverling
Homestead Funds, Inc.
Bibb L. Strench
Washington, D.C. 20004-2415
Enclosed is your copy of the 2009 Homestead Funds semi-annual report. Please read it to better understand the performance of your investments through mid-year.
For the first six months of 2009, the morass in the capital markets reflected the overall deterioration in the economy. The stock market painted the most vivid picture of investor pessimism and uncertainty, trading at levels not seen since 1996. For the first nine weeks of the year through March 9th, the S&P 500 stock index was down 25 percentage points (this after falling 37% in 2008), only to rally 36% to close the six month period with a slight gain of 3.16%.
In the fixed income markets, the yield on the benchmark 10-year Treasury note trended higher as concerns persisted over the inflationary implications of government spending and a weak dollar. Low yields at the start of this year were due largely to a flight to quality as investors fled any perception of credit risk and illiquidity in corporate bonds. As the year progressed, however, yield spreads contracted along with signs of stability in the capital markets. These indications were perhaps most evident in the corporate and high-yield markets where performance appeared solid compared to the most recent experience of 2008.
Several explanations have been put forth for the stabilization of the economy and, thus, the capital markets. One explanation would be the massive government-supported liquidity provided to financial markets. Another would be the markets’ self-correcting mechanism, which may have taken hold without government intervention. In hindsight, the credit crunch did not allow the government the luxury of an orderly intervention and actions that were taken may be considered by some as being arbitrary in nature. Nevertheless, market conditions necessitated drastic action. The excesses that had built up in the credit markets have dissipated and a return to rational expectations should prevail into the foreseeable future.
As if we need to be reminded, volatility is an ever-present factor in the markets. The markets’ ups and downs are a good reminder to make sure that your asset allocation is in line with your financial goals, keeping in mind your tolerance for risk. A Homestead Funds’ representative can help you check your overall asset allocation. Please give us a call at 1-800-258-3030 between the hours of 8:30 am and 5:00 pm ET.
Peter R. Morris
Must be preceded or accompanied by a prospectus. RE Investment Corporation, Distributor: 8/2009
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| PORTFOLIO OF INVESTMENTS | |
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| FINANCIAL HIGHLIGHTS | |
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The investment commentaries on the following pages were prepared for each fund by its portfolio manager. The views expressed are those of the portfolio manager for each fund as of June 30, 2009, and may have changed since that date. The opinions stated may contain forward-looking statements and may discuss the impact of domestic and foreign markets, industry and economic trends and governmental regulations of the funds and their holdings. Such statements are subject to uncertainty, and the impact on the funds might be materially different from what is described here.
MARKET CONDITIONS
Investors experienced two very different market environments in the first half of 2009. For much of the first three months, fear reigned in the marketplace as investors avoided anything associated with risk (stocks, corporate bonds) and fled to the relative safety of government bonds and money market instruments. Shortly before the close of the first quarter, however, sentiment reversed itself, and investors started buying the same risky securities that they had been avoiding a few months earlier, marking the beginning of a trend that held for much of the second quarter. It is not an exaggeration to say that many investors experienced a kind of market whiplash over the first six months of 2009.
During this six-month period, the Federal Reserve (Fed) kept the federal funds rate at a range between 0.00% and 0.25%. The Fed set this target range at its last meeting in December 2008 in an effort to unfreeze credit markets and to stimulate the economy. By May, it was evident that combined efforts by the Fed and the Treasury Department to unfreeze credit markets were starting to work as LIBOR rates fell back to historically more normal levels. Additionally, money started to leave government-only money funds, and prime money funds began to reduce their Treasury holdings in favor of slightly higher-yielding commercial paper.
In late March, the Treasury Department extended its Temporary Guarantee Program through the close of business on September 18, 2009. Homestead Funds’ Board of Directors approved the Fund’s participation in this extension. The Temporary Guarantee Program protects Fund shareholders with balances as of September 19, 2008, in the event the Fund cannot maintain a $1.00 net asset value and must liquidate. If the number of shares an investor holds fluctuates, the investor will be covered for either the number of shares held as of the close of business on September 19 or the current amount on the date payment is triggered, whichever is less. Shares acquired after September 19, 2008, are not covered by the program. For more information about the program’s scope, limitations and cost, please refer to the Fund’s most recent prospectus.
FUND PERFORMANCE
The Daily Income Fund earned a total return of 0.25% for the six months ending June 30, and its seven-day effective annualized yield was 0.28%. This performance reflects the result of the Fed’s actions to keep the federal funds rate at historic lows in an effort to shore up the financial markets and prevent a deepening economic crisis.
In this very challenging market environment, the Fund continues to operate in accordance with its standard of investing in high-quality instruments, with an emphasis on safety, liquidity and yield. In addition, the Fund has taken further steps to preserve and protect shareholder assets. First, the Fund increased its diversification into business sectors outside the financial services industry, the sector hardest hit by the credit crunch. Second, within the financial services industry, the Fund took pains to purchase instruments backed either directly or indirectly by the U.S. government.
In an effort to partially offset the lower returns offered in money markets, steps were taken to carefully lengthen the Fund’s average maturity. Generally, the longer the time until maturity, the higher the yield returned on any given money market investment. The average maturity of the Fund was 23 days on December 31, 2008; it was increased to 42 days by June 30, 2009.
OUTLOOK
With unclear market conditions, high unemployment and the continued rationing of credit by banks, we expect it is unlikely that the Fed will raise the target range for the federal funds rate in the near future. Most likely, the Fed will continue to try to find a balance between providing enough stimuli for the economy to grow and avoiding an inflationary environment stemming from an unsustainable increase in the money supply. As soon as the Fed is convinced that the economy is recovering, we expect the introduction of a series of gradual interest rate hikes in order to curb potential inflation. This will allow the Fund to offer shareholders a more attractive return on their investment.
2 |Performance Evaluation |
Daily Income Fund
| AVERAGE ANNUAL TOTAL RETURNS | | 1 Year | | | 5 Year | | | 10 Year | |
| periods ended 06/30/09 | |
| Daily Income Fund | | | 1.05 | % | | | 2.85 | % | | | 2.79 | % |
The returns quoted in the above table represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment may be worth more or less than its original cost. The Daily Income Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
| YIELD | |
| Annualized 7-day effective yield quoted 06/30/09 | | | 0.28 | % |
| SECURITY DIVERSIFICATION | | on 12/31/08 | | | on 06/30/09 | |
| (% of total investments) | |
| Commercial paper | | | | 83.7 | % | | | 56.0 | % |
| Corporate bonds | | | | 0.0 | % | | | 24.5 | % |
| U.S. Government obligations | | | | 4.1 | % | | | 6.7 | % |
| Certificates of deposit | | | | 2.3 | % | | | 3.4 | % |
| Cash equivalents | | | | 9.9 | % | | | 9.4 | % |
| | Total | | | 100.0 | % | | | 100.0 | % |
| MATURITY | | on 12/31/08 | on 06/30/09 |
| | Average Weighted Maturity | 23 days | 42 days |
Performance Evaluation |3
PERFORMANCE EVALUATION
MARKET CONDITIONS
The Federal Reserve’s two-pronged attack on the credit crunch with both traditional solutions (short-term interest rate cuts) and non-traditional solutions (liquidity facilities, direct purchases of assets) yielded positive results as investors’ risk appetite returned during the first half of 2009. The bond market re-priced credit risk to a more favorable economic landscape going forward, as opposed to the extremely pessimistic outlook that existed throughout much of the fourth quarter of 2008. The “safety-at-any-price” trade was replaced by a much more rational trade where relative value once again played a major part in the investment decision-making process.
While the stock market as measured by the S&P 500 Index did not bottom until early March 2009, the credit markets started to heal almost immediately as the year began and picked up steam as it became more likely that no major financial institution would be allowed to fail and that corporate America once more was gaining access to credit at a reasonable price. Fears of a depression were replaced with the realization that an economic recovery would likely eventually take hold, given the massive monetary and fiscal stimulus underway both domestically and internationally. Not surprisingly, commodities reacted strongly to the stimulus, as the broad Reuters/Jefferies CRB Index rose 9% in the first half of 2009 and crude oil rose a staggering 57% over the same period with world economies moving closer to recovery.
Although the credit, stock and commodities markets indicate that the worst of the economic crisis is over, the overall picture is still bleak. The June unemployment rate rose to 9.5%, compared to 7.2% at year-end. Total job losses of almost 6.5 million since the recession began make this the second longest period of job losses since World War II. Industrial production through May declined 6.4% from December levels and is down almost 15% from the recession’s start. Domestic auto sales, which peaked at an average annual rate of 17.0 million in 2005 and fell to 13.2 million in 2008, averaged just 9.6 million in the first half of 2009.
While the Conference Board Consumer Confidence Index plunged in 2008, it recovered modestly in the first half of 2009, rising to 49.3 in June from 38.6 in December in spite of rising unemployment. The new administration’s significant spending plans have raised hopes that better times lie ahead, particularly as they relate to job creation. In addition, the Consumer Price Index, despite rising gasoline prices, rose just 0.6% through May after a 0.1% increase for 2008. Most importantly, the consumer’s primary asset, housing, is showing some signs of a bottoming process as low mortgage rates and falling prices have led to record affordability, which has led to increasing, albeit modest, sales even in the hardest-hit areas like California. In spite of the consumer’s rising optimism, the savings rate has rebounded to 6.9% in May 2009, the highest level since December 1993. This is compared to a 0.4% savings rate at the start of the recession.
The Federal Reserve’s policymaking committee—the Federal Open Market Committee (FOMC)—maintained its federal funds target rate at a range of 0.00% to 0.25% throughout the first half of the year. The central bank expanded its quantitative easing strategy by boosting the amount of U.S. Treasury and mortgage-related debt it was going to purchase by an additional $1.15 trillion in an effort to keep yields from rising as credit demands recover and economic indicators improve. The FOMC’s most recent policy statement notes that although the economic contraction is slowing and inflation appears that it will remain subdued, further risks to growth remain.
The first half of 2009 saw credit spreads contract significantly, while U.S. Treasury yields rose modestly from the secular lows seen in late 2008. Two-year Treasury note yields rose 34 basis points to 1.11% from 0.77%,
4 |Performance Evaluation
while the five-year Treasury note yield rose 101 basis points to 2.56% from 1.55%.
FUND PERFORMANCE
The Short-Term Government Securities Fund returned 1.37% for the first half of 2009, as compared to its benchmark index’s return of -0.88%. Relative outperformance was a result of tighter credit spreads’ positive impact on the Fund’s asset-backed securities, mortgage-backed securities and FDIC-backed corporate debt, offset partially by weaker valuations in the U.S. Treasury and agency sectors.
The Short-Term Bond Fund returned 9.26% for the first half of 2009 as compared to its benchmark index’s return of 2.18%. The Fund’s relative outperformance was a result of tighter credit spreads’ positive impact on most of the Fund’s sectors, with asset-backed securities a particularly strong sector. Corporate bonds and mortgages were also very strong performers during the first half of the year, while U.S. government and agency debt provided the only negative contributions to Fund performance, due to rising yields.
OUTLOOK
Thus far in 2009, the bond market has had a much more positive outlook on the economy and credit than the most recent experience of 2008. Yet the speed and magnitude of the recovery is surprising given the still difficult economic environment worldwide. The recession in the United States continues unabated, albeit perhaps at a lesser rate, but with unemployment still high, it is difficult to see the consumer as a source of strength, particularly given the desire to reduce debt and increase savings. Business activity could rebound as inventories are depleted further in line with sales, but credit availability is still an issue for many small- and medium-sized companies. State and local governments are feeling the pinch, as well, leaving the federal government and its massive stimulus as the primary source of economic activity. While the federal budget deficit was $454.8 billion in fiscal year 2008, it has already exceeded $1 trillion for the first nine months of fiscal year 2009, as revenues slump and spending increases. The size of this deficit is without precedent and clearly a long-term negative, but a necessary evil in the short run given the economy’s condition.
The Federal Reserve’s zero-interest-rate policy and various liquidity programs have prevented a much deeper downturn, yet the expansion of the central bank’s balance sheet to more than double the levels seen prior to the collapse of Lehman Brothers in 2008 will have to be addressed at some point in the future. While some of the assets will “roll off” naturally as credit markets continue to heal, other assets ranging from sub-prime mortgages to U.S. Treasury bonds will need to be liquidated. The longer the Federal Reserve’s balance sheet remains elevated, the more difficult it may be to unwind without a noticeable market disruption. It is doubtful, however, that the unwinding of assets or short-term rate hikes will occur in the near term in the absence of a major economic rebound coupled with rising employment.
Given the likelihood of the Federal Reserve’s holding short-term rates steady and prospects for an economic recovery uncertain at best, interest rates should remain low for the foreseeable future. While credit spreads have contracted in the first half and may be due for a correction, we believe that they are unlikely, in general, to revisit year-end levels in the absence of another major financial calamity. Due to the massive issuance of U.S. Treasury securities to fund budget deficits, an eventual economic recovery could be accompanied over the longer term by a much less accommodative Federal Reserve and rising inflationary pressures. In turn, this could result in significant upward pressure on interest rates. For now, however, it is our prediction that the bond market should remain fairly friendly to investors.
Performance Evaluation |5
Short-Term Government Securities Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | 10 Year | |
| periods ended 06/30/09 | |
| | Short-Term Government Securities Fund | | | 5.24 | % | | | 3.66 | % | | | 3.94 | % |
| | Merrill Lynch 1-4.99 Year U.S. Treasury Index | | | 5.48 | % | | | 4.48 | % | | | 5.03 | % |
| SECURITY DIVERSIFICATION | | | | on 12/31/08 | | | on 06/30/09 | |
| (% of total investments) | |
| | Government-guaranteed agencies | | | | 47.8 | % | | | 48.6 | % |
| | Corporate bonds | | | | 8.5 | % | | | 19.7 | % |
| | Mortgage-backed securities | | | | 16.0 | % | | | 10.0 | % |
| | Municipal bonds | | | | 8.2 | % | | | 7.7 | % |
| | U.S. Treasuries | | | | 10.1 | % | | | 6.6 | % |
| | Asset-backed securities | | | | 6.4 | % | | | 5.3 | % |
| | Commercial paper | | | | 1.8 | % | | | 0.0 | % |
| | Cash equivalents | | | | 1.2 | % | | | 2.1 | % |
| | | Total | | | 100.0 | % | | | 100.0 | % |
| MATURITY | | on 12/31/08 | on 06/30/09 |
| | Average Weighted Maturity | 2.94 years | 2.79 years |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the Merrill Lynch 1-4.99 Year U.S. Treasury Index made on December 31, 1998.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Short-Term Government Securities Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
6 |Performance Evaluation
Short-Term Bond Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | 10 Year | |
| periods ended 06/30/09 | |
| | Short-Term Bond Fund | | | 5.39 | % | | | 3.65 | % | | | 4.22 | % |
| | Merrill Lynch 1-4.99 Year Corp./Gov. Index | | | 5.05 | % | | | 4.32 | % | | | 5.19 | % |
| SECURITY DIVERSIFICATION | | | | on 12/31/08 | | | on 06/30/09 | |
| (% of total investments) | |
| | Corporate bonds | | | | 45.3 | % | | | 36.5 | % |
| | Asset-backed securities | | | | 24.6 | % | | | 23.8 | % |
| | Mortgage-backed securities | | | | 20.8 | % | | | 19.2 | % |
| | Municipal bonds | | | | 3.0 | % | | | 7.7 | % |
| | Yankee bonds | | | | 0.0 | %* | | | 4.2 | % |
| | U.S. Government obligations | | | | 4.5 | % | | | 3.7 | % |
| | Cash equivalents | | | | 1.8 | % | | | 4.9 | % |
| | | Total | | | 100.0 | % | | | 100.0 | % |
* For 12/31/08, Yankee bonds were accounted for in corporate bonds.
| MATURITY | | on 12/31/08 | on 06/30/09 |
| | Average Weighted Maturity | 2.93 years | 2.96 years |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the Merrill Lynch 1-4.99 Year Corp./Gov. Index made on December 31, 1998.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Short-Term Bond Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
Performance Evaluation |7
PERFORMANCE EVALUATION
MARKET CONDITIONS
Equity investors dealt with a whipsaw effect in the first half of 2009. Following a low point in early March, a broad market recovery ensued, stretching into mid-June. That stretch led the Standard & Poor’s 500 Index to its third best recovery from a low on record. While results in June were more subdued, a positive second quarter return was the first since the third quarter of 2007, and the largest since 1998.
Solid gains were posted across the style spectrum during that second quarter. Much of the improvement in market sentiment derived from the significant amount of stimulus in the financial system and an improvement in credit markets, allowing companies to be valued at narrower risk premiums. After maintaining a rapid pace in April and May, the market slowed down, entering a period of consolidation and trading within an identifiable range. Sizable rebounds in many financial names led all areas.
For the first full six months of 2009, the technology sector, which boasts the heaviest weighting out of all sectors in the Index, posted strong returns. Financials, one of the top three sectors by percentage and a standout performer during the second quarter, also performed well during the six-month period.
INDEX AND FUND PERFORMANCE
The broad market metric and the Fund’s benchmark, the Standard & Poor’s 500 Index, returned 3.16% for the first six months of 2009. The Fund tracked its benchmark with a return of 3.01%.
Among the Index’s holdings, Microsoft, IBM and JPMorgan Chase were all among top contributors to the return for this six-month period, a reflection of strong share price appreciation and these companies having a relatively heavy representation in the Index.
Shareholders should be mindful that this Fund is designed to track the Standard & Poor’s 500 Stock Index, whether that benchmark moves up or down. The Standard and Poor’s 500 Index is a market capitalization-weighted index of 500 stocks. The Index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Unlike an actively managed portfolio, this Fund does not reflect the manager’s positive or negative view of the investment opportunities or risks ahead or that individual’s independent stock selections and weightings. Instead, the Fund’s portfolio is constructed to replicate the Index’s performance.
8 |Performance Evaluation
Stock Index Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | Since Inception (10/99) | |
| periods ended 06/30/09 | |
| | Stock Index Fund | | | –26.64 | % | | | –2.83 | % | | | –2.76 | % |
| | Standard & Poor’s 500 Stock Index | | | –26.22 | % | | | –2.24 | % | | | –2.11 | % |
| INDUSTRY DIVERSIFICATION | | | % of Total Net Assets at 6/30/09* | | | | | % of Total Net Assets at 6/30/09* | |
| | Consumer non-cyclical | | | 23.7 | % | | Industrial | | | 9.7 | % |
| | Financials | | | 13.1 | % | | Consumer cyclical | | | 8.2 | % |
| | Technology | | | 12.7 | % | | Utilities | | | 3.8 | % |
| | Energy | | | 12.2 | % | | Basic materials | | | 2.6 | % |
| | Communications | | | 11.3 | % | | Short-term and other assets | | | 2.7 | % |
| | Total | | | | | | | | | 100.0 | % |
| TOP TEN HOLDINGS | | | % of Total Net Assets at 6/30/09* | | | | | % of Total Net Assets at 6/30/09* | |
| | Exxon Mobil Corp. | | | 4.1 | % | | International Business Machines Corp. | | | 1.7 | % |
| | Microsoft Corp. | | | 2.2 | % | | JPMorgan Chase & Co. | | | 1.6 | % |
| | Johnson & Johnson | | | 1.9 | % | | Chevron Corp. | | | 1.6 | % |
| | Procter & Gamble Co. (The) | | | 1.8 | % | | Apple Inc. | | | 1.5 | % |
| | AT&T Inc. | | | 1.8 | % | | General Electric Co. | | | 1.5 | % |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the Standard & Poor’s 500 Stock Index made at the Fund’s inception on October 28, 1999.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Stock Index Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
* Holdings information is for the S&P 500 Index Master Portfolio, managed by Barclays Global Fund Advisors, the portfolio in which the Stock Index Fund invests all of its assets. Please refer to the Appendix for the complete annual report of the S&P 500 Index Master Portfolio.
Performance Evaluation |9
PERFORMANCE EVALUATION
MARKET CONDITIONS
The major stock market indices began the year in great difficulty, reaching an intra-day low of 667 for the S&P 500 Index on March 6, 2009. Subsequently, the S&P 500 Index rebounded 34% to finish the first half of the year at 919. The nadir was coincident with capital infusions at many of the largest financial institutions that marked the easing of one of the most severe liquidity crises in decades. The rebound reflected the Federal Reserve’s efforts to restore confidence in the banking system and the long-term viability of many large banks.
Though unemployment numbers continued to indicate weakness in the labor market throughout the first half of 2009, investors eventually shrugged off the news, showing a renewed interest in equities as the spring season began. Several factors contributed to positive investor sentiment and healthy stock market performance in the latter half of the first six months of 2009. Those included an economic stimulus package that was passed by Congress and signed by the president in February and the rebuilding of inventories, which had become uncomfortably low in a number of circumstances owing to the precipitous decline in economic activity last fall. In addition, rates of decline in economic activity narrowed throughout the first half.
FUND PERFORMANCE
The Value Fund returned 2.29% for the first half of the year and its benchmark, the unmanaged S&P 500 Index, returned 3.16%. The Fund narrowly trailed its benchmark index in part due to its results in the information technology and financial sectors. Though the Fund’s positions in the information technology sector increased during the first half of the year, they did not appreciate as much as the overall sector. As for financials, the Fund’s positions in banks fared well; positions in insurance companies, however, were under pressure as regulators required capital raises to increase confidence in the companies’ ability to meet potential policy claims. On the positive side, the Fund’s positions in the consumer discretionary, consumer staples and health care sectors outperformed their respective sector indices, as well as the overall index. Strong rebounds in Cooper Tire & Rubber and Dillard’s made the difference in the consumer discretionary sector, while Dean Foods and JM Smucker Company contributed in the consumer staples sector. The Fund’s better-than-index results in the health care sector were due to both strong performance from health care equipment and supply companies Hospira and Covidien, as well as Schering-Plough’s announced sale to Merck.
During the first six months of 2009, we took an initial position in Wells Fargo Company, a large diversified financial services company providing banking, insurance, mortgage, consumer finance, investment and investment banking and brokerage services. For Wells Fargo, low funding costs and improvement in the competitive landscape offset some deterioration in credit and the unintended consequences of regulatory reign.
In the first half of the year, we also added to positions in Avery Dennison, Baker Hughes, Cisco Systems, ConocoPhillips and Dell. Fifth Third Corporation was eliminated from the Fund.
OUTLOOK
At the start of the second half of the year, there are more than the usual number of issues facing investors and the broader economy. The new administration has proposed significant policy changes, including health care, along with regulatory changes across a number of industries. The federal government is now more deeply involved than usual in the financial and automotive industries, including significant direct ownership positions. As corporate management and investors alike try to assess the potential consequences in these uncertain times, it will be difficult to determine where to best allocate capital. As a result, we may witness a “wait and see” mentality influence the market until policy direction becomes more evident. Though this may be frustrating in the short term, it creates the potential for more attractive valuations. We will be looking for such opportunities in order to either add to present holdings or to initiate new positions.
10 |Performance Evaluation
Value Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | 10 Year | |
| periods ended 06/30/09 | |
| | Value Fund | | | –25.26 | % | | | –1.00 | % | | | 0.91 | % |
| | Standard & Poor’s 500 Stock Index | | | –26.22 | % | | | –2.24 | % | | | –2.22 | % |
| INDUSTRY DIVERSIFICATION | | | % of Total Investment at 06/30/09 | | | | | | % of Total Investment at 06/30/09 | |
| | Health care | | | 24.9 | % | | Materials | | | | 6.9 | % |
| | Information technology | | | 18.7 | % | | Consumer staples | | | | 4.8 | % |
| | Industrials | | | 15.2 | % | | Utilities | | | | 3.7 | % |
| | Energy | | | 10.6 | % | | Consumer discretionary | | | | 2.3 | % |
| | Financials | | | 9.9 | % | | Cash equivalents | | | | 3.0 | % |
| | Total | | | | | | | | | | 100.0 | % |
| TOP TEN HOLDINGS | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Abbott Laboratories | | | 4.6 | % | | Intel Corporation | | | 4.0 | % |
| | Dell Inc. | | | 4.3 | % | | JPMorgan Chase & Co. | | | 3.7 | % |
| | Bristol-Myers Squibb Co. | | | 4.1 | % | | Cisco Systems, Inc. | | | 3.6 | % |
| | Pfizer Inc. | | | 4.1 | % | | Hewlett-Packard Co. | | | 3.4 | % |
| | Hospira, Inc. | | | 4.0 | % | | Parker-Hannifin Corp. | | | 3.3 | % |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the Standard & Poor’s 500 Stock Index made on December 31, 1998.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Value Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
Performance Evaluation |11
PERFORMANCE EVALUATION
MARKET CONDITIONS
U.S. equities enjoyed positive returns for the six months ended June 30, 2009, helped by a dramatic rebound that began in March. In terms of returns by style, growth-oriented shares outperformed value by a wide margin across all capitalization ranges. Looking at returns by size, mid-cap stocks did best, followed by large- and small-company shares, as measured by the Russell indices. Within the large-cap growth index, information technology shares were by far the best performers, thanks to their comparative lack of debt and healthy balance sheets. Other notable performers were the economically sensitive materials, energy and consumer discretionary sectors. The traditionally defensive-oriented consumer staples segment was the only sector to suffer negative results for the six months.
FUND PERFORMANCE
The Fund managed strong positive results in the six months ended June 30, 2009, returning 20.24%, while significantly outperforming its benchmark, the Russell 1000 Growth Index, which returned 11.53%. In absolute terms, information technology shares contributed most by far to performance. Consumer staples was the only sector in the portfolio to have negative results for the six months. Relative to the benchmark, holdings in the information technology, financials and consumer discretionary sectors contributed most to outperformance. No sector detracted from relative results for the six months, though materials and telecommunication services contributed the least.
The portfolio’s outperformance of the Russell 1000 Growth Index was driven by stock choices in the information technology sector. The sector was home to a number of key contributors, including chip maker Marvell Technology Group, computer and consumer electronics maker Apple, BlackBerry manufacturer Research in Motion and computer networking equipment company Juniper Networks. Apple, Research in Motion and Juniper Networks all produced better-than-expected financial results given the difficult economic environment. Marvell did well thanks to an anticipated increase in demand for electronics down the road. We favor the information technology sector in general because we believe we are able to find superior growth opportunities in this sector relative to others.
A key contribution to the Fund’s performance came from consumer discretionary shares, which benefited from a sharp rebound in the second quarter. The leading contributor was online retailer Amazon.com, which announced surprisingly strong results that suggest it is gaining market share from rivals. Online travel agent Expedia was another source of strength. The company has done a good job cutting costs and benefited in the second quarter from signs of economic stability.
No sector detracted from the Fund’s relative results for the six months. In terms of individual companies, casino giant MGM Mirage was one of the leading detractors, hurt by challenging economic conditions and worries about its ability to manage a large debt load related to a massive Las Vegas construction project.
OUTLOOK
We are encouraged by the stock market’s rebound, as well as recent improvements we’ve seen in consumer confidence and manufacturing data. However, we do not anticipate a rapid transition from recession to recovery because of challenges facing consumers in the form of challenging job and housing markets. But despite that economic uncertainty, our investment approach remains unchanged. We continue to construct the portfolio based on high-quality companies with solid balance sheets and superior management teams that we believe will successfully weather the weak economy. We are confident that our philosophy—which is focused on bottom-up stock selection, fundamental research and adhering to our investment process regardless of short-term market swings—can lead to consistent outperformance over the long term.
12 |Performance Evaluation
Growth Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | Since Inception (01/01) | |
| periods ended 06/30/09 | |
| | Growth Fund | | | -19.11 | % | | | -1.38 | % | | | -8.34 | % |
| | Russell 1000 Growth Index | | | -24.50 | % | | | -1.83 | % | | | -4.87 | % |
| | Standard & Poor’s 500 Stock Index | | | -26.22 | % | | | -2.24 | % | | | -2.59 | % |
| | Nasdaq-100 Stock Index | | | -19.02 | % | | | -0.03 | % | | | -6.33 | % |
| INDUSTRY DIVERSIFICATION | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Information technology | | | 31.5 | % | | Telecommunication services | | | 5.3 | % |
| | Health care | | | 15.6 | % | | Consumer staples | | | 4.4 | % |
| | Consumer discretionary | | | 13.0 | % | | Materials | | | 2.6 | % |
| | Financials | | | 12.1 | % | | Utilities | | | 1.5 | % |
| | Energy | | | 6.4 | % | | Cash equivalents | | | 1.3 | % |
| | Industrials | | | 6.3 | % | | | | | | |
| | Total | | | | | | | | | 100.0 | % |
| TOP TEN HOLDINGS | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Apple Inc. | | | 4.7 | % | | Qualcomm Inc. | | | 3.3 | % |
| | Amazon.com Inc. | | | 4.0 | % | | Gilead Sciences Inc. | | | 3.1 | % |
| | Juniper Networks, Inc. | | | 3.7 | % | | American Tower Corp. (Class A) | | | 3.0 | % |
| | Danaher Corp. | | | 3.4 | % | | Medco Health Solutions Inc. | | | 2.9 | % |
| | Google Inc. (Class A) | | | 3.4 | % | | Microsoft Corp. | | | 2.9 | % |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and its benchmark indices made at the Fund’s inception on January 22, 2001. The Nasdaq-100 Stock Index was the benchmark for the Fund before the Fund revised its investment objective. Effective December 5, 2008, the Fund’s benchmarks are the Russell 1000 Growth Index and the Standard & Poor’s 500 Stock Index.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Growth Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
* Performance information for the Growth Fund (formerly the Nasdaq-100 Index Tracking StockSM Fund) reflects its previous investment strategy of matching, as closely as possible, before expenses, the performance of the Nasdaq-100 Stock Index. On November 18, 2008, shareholders approved a change to the Fund’s investment objective and this change became effective on December 5, 2008.
Performance Evaluation |13
PERFORMANCE EVALUATION
MARKET CONDITIONS
After many years of bettering the large-capitalization indices, small-capitalization indices lagged in the first quarter of 2009. However, in March, when the equity market began its upward move, small-cap stocks ended the first half of 2009 either on par with, or slightly better than, their large-cap counterparts.
FUND PERFORMANCE
The Fund returned 12.11% in the first six months of 2009, while its benchmark Russell 2000 Index returned 2.63%. The Fund’s results exceeded those of the index due to appreciation among the consumer discretionary, consumer staples and financial sectors. In consumer discretionary, Cooper Tire and Rubber, Nordstrom and Cracker Barrel Old Country Store led the way. Stock price increases at Cardinal Financial and Asset Acceptance Capital led the better-than-index results in the financial sector. Other stocks that made positive contributions included Western Digital, United Natural Foods and Westlake Chemical.
In the first half of the year, we initiated positions in two trucking companies, Knight Transportation and Werner Enterprises. We also initiated a position in Saint Mary Land & Exploration Company, an independent oil and gas exploration and development firm.
Eliminated from the portfolio in the first half of the year was City Bank (Lynnwood, Washington). City Bank’s operations were primarily involved in residential construction in the Pacific Northwest. Its financial condition was severely compromised by the collapse in the residential mortgage market in 2008. We believe that management disclosure inconsistencies and a lack of clarity with the bank’s methods of determining its stated asset values indicated that a turnaround in its fortunes was not imminent. As a result, the position was sold.
OUTLOOK
For many investors, the economy appears to have reached a level where conditions seem unlikely to get notably worse. However, “guarded optimism” probably describes the present mood among investors. Having concluded that the worst is over, most investors are not yet convinced conditions are ripe for the economy to improve dramatically. The overuse of leverage by financial entities and consumers is still in the process of unwinding itself and will require some time to find a new equilibrium.
In the still undecided state of today’s markets, investors are likely to incorrectly assess companies’ fundamental strengths, which, in turn, could provide attractive investment opportunities for the Fund in the second half of 2009. We believe that today’s difficult economic environment, while unpleasant, should allow small-capitalization companies to make strategic and tactical moves in order to position themselves for the next economic upturn. We are constantly vigilant for such situations, and the present time is no exception.
14 |Performance Evaluation
Small-Company Stock Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | 10 Year | |
| periods ended 06/30/09 | |
| | Small-Company Stock Fund | | | -19.32 | % | | | 1.06 | % | | | 4.58 | % |
| | Russell 2000 Index | | | -25.02 | % | | | -1.71 | % | | | 2.38 | % |
| INDUSTRY DIVERSIFICATION | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Industrials | | | 25.6 | % | | Energy | | | 7.0 | % |
| | Consumer discretionary | | | 19.5 | % | | Materials | | | 6.5 | % |
| | Financials | | | 14.9 | % | | Health care | | | 2.9 | % |
| | Consumer staples | | | 11.4 | % | | Utilities | | | 1.7 | % |
| | Information technology | | | 7.4 | % | | Cash equivalents | | | 3.1 | % |
| | Total | | | | | | | | | 100.0 | % |
| TOP TEN HOLDINGS | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Brinker International, Inc. | | | 6.5 | % | | J.M. Smucker Co. (The) | | | 4.1 | % |
| | Nordstrom, Inc. | | | 4.9 | % | | Alberto-Culver Co. (Class A) | | | 4.0 | % |
| | Western Digital Corp. | | | 4.4 | % | | Applied Industrial Technologies, Inc. | | | 3.8 | % |
| | National Bankshares, Inc. (Virginia) | | | 4.3 | % | | Regal Beloit Corp. | | | 3.6 | % |
| | Westlake Chemical Corp. | | | 4.3 | % | | Carlisle Companies, Inc. | | | 3.5 | % |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the Russell 2000 Index made on December 31, 1998.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Small-Company Stock Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
Performance Evaluation |15
PERFORMANCE EVALUATION
MARKET CONDITIONS
While foreign equity markets remained under pressure during most of the first quarter of 2009, announcements around the globe designed to stimulate growth drove a powerful rally in late March, which continued throughout the second quarter. Fears of a worldwide depression subsided, tempering the global anxiety that dominated the better part of the past year. Unprecedented government stimulus programs, financial bailouts and easy monetary conditions appear to be arresting the pace of economic deterioration. For the most part, reported profits, while still under severe pressure, failed to produce further negative reactions as markets seem to have priced in worst-case scenarios.
As equity markets rallied in the second half of the period, government bond yields continued to fall. In addition, compared to the U.S. dollar, the Japanese yen fell by 6%, the British pound rose almost 13% and the Euro increased less than 1%. Developed international equities gained 8% for the six-month period, while emerging-market equities returned an impressive 36%.
FUND PERFORMANCE
Despite this surge in global market performance, the Fund underperformed its benchmark for the first half of 2009, returning 3.4% versus a gain of 8.0% for the MSCI EAFE Index. This relative underperformance can be attributed primarily to the fact that riskier assets, such as emerging markets, small-caps and highly leveraged companies, came back into favor, while the more defensive, high-quality companies, such as those in the Fund, clearly lagged. Despite these results, we believe the Fund remains well-positioned for later this year and looking into 2010.
During the first six months, we continued to position the portfolio into high-quality early cyclicals in anticipation of an eventual recovery. Taking advantage of market weakness, we increased positions in Cap Gemini, Adecco, Vale, Shin-Etsu Chemical, Iberdrola and Saint-Gobain. As markets rallied and valuations grew untenable, we temporarily discontinued this strategy. Looking forward, however, we believe that we are well-positioned to renew this strategy in order to take advantage of better valuations as they present themselves.
OUTLOOK
From a broad perspective, the prospects for the global economy certainly seem brighter than they did at the start of the year. Confidence is improving, the housing market is showing some signs of life and corporate profit warnings appear to have peaked. But major headwinds persist. Unemployment is high and rising, banks have yet to fully address their balance sheet issues, capacity utilization remains very depressed and protectionism and re-regulation are on the top of many government agendas. Perhaps the most significant concern is the mountain of debt being issued by governments globally as they attempt to spend their way out of a multitude of problems. The long-term impact is likely to be rising inflation, greater currency instability and higher taxes, all contributing to a more muted than typical recovery.
From a stock market perspective, valuations are attractive, particularly in developed areas like Europe and Japan. Some emerging markets also look appealing, since many developing countries have avoided excess consumption and leverage and will be highly geared to economic growth during a recovery.
While an assessment of the macro-environment isimportant, our approach is to direct fundamental research efforts at the company level, looking for undervalued stocks with solid long-term prospects while selling those that become overvalued. We expect that the exuberance of the period may subside somewhat as we move through the second half of the year. With our disciplined approach to security valuation, we are willing to be patient in building positions on market weakness.
16 |Performance Evaluation
International Value Fund
| AVERAGE ANNUAL TOTAL RETURNS | | | 1 Year | | | 5 Year | | | Since Inception (01/01) | |
| periods ended 06/30/09 | |
| | International Value Fund* | | | -24.47 | % | | | 3.51 | % | | | 0.72 | % |
| | MSCI® EAFE® Index | | | -31.35 | % | | | 2.31 | % | | | 1.15 | % |
| COUNTRY DIVERSIFICATION | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Britain | | | 18.1 | % | | China | | | 2.4 | % |
| | Japan | | | 17.4 | % | | Canada | | | 2.1 | % |
| | Switzerland | | | 10.3 | % | | Thailand | | | 1.8 | % |
| | France | | | 10.1 | % | | Netherlands | | | 1.4 | % |
| | Spain | | | 7.4 | % | | Sweden | | | 1.2 | % |
| | Italy | | | 6.1 | % | | Taiwan | | | 1.2 | % |
| | Singapore | | | 5.0 | % | | Brazil | | | 1.1 | % |
| | Hong Kong | | | 4.3 | % | | Republic of South Korea | | | 1.0 | % |
| | Norway | | | 4.0 | % | | Cash equivalents | | | 2.3 | % |
| | Germany | | | 2.8 | % | | | | | | |
| | Total | | | | | | | | | 100.00 | % |
| TOP TEN HOLDINGS | | | % of Total Investment at 06/30/09 | | | | | % of Total Investment at 06/30/09 | |
| | Telefónica SA | | | 3.9 | % | | Daito Trust Construction Co., Ltd. | | | 2.5 | % |
| | Vodafone Group PLC | | | 2.7 | % | | Bank of China Ltd. | | | 2.4 | % |
| | Novartis AG REG | | | 2.7 | % | | Unilever PLC | | | 2.4 | % |
| | New World Development Company Ltd. | | | 2.7 | % | | Sumitomo Corp. | | | 2.4 | % |
| | Eni SpA | | | 2.6 | % | | Vivendi SA | | | 2.4 | % |
PERFORMANCE COMPARISON
Comparison of the change in value of a $10,000 investment in the Fund and the MSCI® EAFE® Index made at the Fund’s inception on January 22, 2001.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The International Value Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on Fund distributions or the redemption of Fund shares.
* The performance information for the International Value Fund (formerly the International Stock Index Fund) reflects its investment experience in the State Street MSCI® EAFE® Index Portfolio from inception through October 16, 2005, and in the Vanguard Developed Markets Index Fund from October 17, 2005 to June 9, 2006. Mercator Asset Management, L.P.’s role as subadvisor began June 12, 2006.
Performance Evaluation |17
As a shareholder, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, service fees, and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in each of the Homestead Funds 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 January 1, 2009 and held through June 30, 2009.
ACTUAL EXPENSES
The first line for each Fund in the table on the following page 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 entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period. Although the funds charge no sales loads or transaction fees, you will be charged a redemption fee equal to 2.00% of the net amount of the redemption (except for the Daily Income Fund, Short- Term Government Securities Fund, and Short-Term Bond Fund), if you redeem your shares less than 30 calendar days after you purchase them.
Individual Retirement Arrangements (IRAs) and Educational Savings Accounts (ESAs) are charged a $13.00 annual custodial fee. The charge is automatically deducted from your account in the fourth quarter or, if you close your account, at the time of redemption. A fee is collected for each IRA or ESA account, as distinguished by account type (Traditional IRA, Roth
IRA, or ESA) and Social Security Number. For example, if you have both a Traditional IRA and a Roth IRA account, each would be charged a fee. But only one fee would be collected for each account type, regardless of the number of funds held by each account type. These fees are not included in the example below. If included, the costs shown would be higher.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line for each Fund in the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 the Funds 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.
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 the redemption fee charged on sales of shares held less than 30 days, or the custodial account fee. Therefore, the hypothetical information in the example is useful in comparing your 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.
| | | | Beginning Account Value 1/1/2009 | | | Ending Account Value 6/30/2009 | | | Expenses Paid During the Perioda | | | Annualized Expense Ratio | |
| DAILY INCOME FUND | | | | | | | | | | | | | |
| | Actual Return | | $ | 1,000.00 | | | $ | 1,002.50 | | | $ | 2.63 | | | | 0.53 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 2.66 | | | | 0.53 | % |
| SHORT-TERM GOVERNMENT SECURITIES FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,013.78 | | | | 3.74 | | | | 0.75 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 3.76 | | | | 0.75 | % |
| SHORT-TERM BOND FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,096.25 | | | | 4.12 | | | | 0.80 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 4.01 | | | | 0.80 | % |
STOCK INDEX FUNDb | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,030.48 | | | | 3.77 | | | | 0.75 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 3.76 | | | | 0.75 | % |
| VALUE FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,023.12 | | | | 4.41 | | | | 0.88 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 4.41 | | | | 0.88 | % |
| GROWTH FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,220.26 | | | | 5.13 | | | | 0.95 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 4.76 | | | | 0.95 | % |
| SMALL-COMPANY STOCK FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,127.38 | | | | 7.62 | | | | 1.46 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 7.32 | | | | 1.46 | % |
| INTERNATIONAL VALUE FUND | | | | | | | | | | | | | | | | | |
| | Actual Return | | | 1,000.00 | | | | 1,034.38 | | | | 4.98 | | | | 0.99 | % |
| | Hypothetical (5% return before expenses) | | | 1,000.00 | | | | 1,025.26 | | | | 4.96 | | | | 0.99 | % |
| a. | The dollar amounts shown as “Expenses Paid During the Period” are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181, then divided by 365. |
| | |
| b. | The Stock Index Fund is a feeder fund that invests substantially all of its assets in a master portfolio. The example reflects the expenses of both the feeder fund and the master portfolio. |
PROXY VOTING POLICIES AND PROCEDURES
The policies and procedures used to determine how to vote proxies relating to the Funds’ portfolio securities are available without charge online at www.homesteadfunds.com or upon request by calling the Chief Compliance Officer at 1-800-258-3030. This information also is available on the Securities and Exchange Commission’s website at www.sec.gov.
PROXY VOTING RECORD
For the most recent twelve-month period ended June 30, information regarding how proxies relating to portfolio securities were voted on behalf of each of the Funds is available without charge online at www.homesteadfunds.com and on the Securities and Exchange Commission’s website at www.sec.gov.
QUARTERLY DISCLOSURE OF PORTFOLIO HOLDINGS
The Funds file complete schedules of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. Portfolio holdings for the second and fourth quarter of each fiscal year are filed as part of the Funds’ semiannual and annual reports. The Funds’ Form N-Q, semiannual and annual reports are available on the Commission’s website at www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent quarterly portfolio holdings and semi-annual and annual report also can be accessed on the Funds’ website at www.homesteadfunds.com.
20 | Regulatory and Shareholder Matters |
June 30, 2009 (Unaudited)
| CORPORATE NOTES | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (24.5% of portfolio) | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| AT&T Inc. | | | 4.13 | % | | 09/15/09 | | $ | 3,500,000 | | | $ | 3,521,179 | |
| Bank of America Corp. | | | 5.63 | | | 07/15/09 | | | 1,000,000 | | | | 1,001,044 | |
| Bank of America Corp. | | | 1.00 | | | 08/14/09 | | | 5,100,000 | | | | 5,088,177 | |
| Bank of America Corp. | | | 4.13 | | | 09/10/09 | | | 3,000,000 | | | | 3,004,181 | |
| Bank of America Corp. | | | 4.75 | | | 11/20/09 | | | 500,000 | | | | 506,096 | |
| Citigroup Funding Inc. | | | 8.55 | | | 07/15/09 | | | 190,000 | | | | 190,576 | |
| Citigroup Funding Inc. | | | 4.25 | | | 07/29/09 | | | 8,300,000 | | | | 8,306,850 | |
| Citigroup Funding Inc. | | | 1.35 | | | 10/22/09 | | | 900,000 | | | | 892,055 | |
| Deere & Co. | | | 4.40 | | | 07/15/09 | | | 3,800,000 | | | | 3,804,344 | |
| E.I. du Pont de Nemours & Co. | | | 6.88 | | | 10/15/09 | | | 50,000 | | | | 50,623 | |
| General Electric Capital Corp. | | | 4.13 | | | 09/01/09 | | | 1,350,000 | | | | 1,358,069 | |
| General Electric Capital Corp. | | | 4.63 | | | 09/15/09 | | | 4,500,000 | | | | 4,524,118 | |
| General Electric Capital Corp. | | | 1.00 | | | 12/15/09 | | | 3,000,000 | | | | 2,992,080 | |
| HSBC Finance Corp. | | | 1.00 | | | 10/21/09 | | | 964,000 | | | | 960,819 | |
| HSBC Finance Corp. | | | 1.13 | | | 11/16/09 | | | 1,400,000 | | | | 1,386,979 | |
| HSBC Finance Corp. | | | 4.13 | | | 11/16/09 | | | 3,500,000 | | | | 3,525,544 | |
| Wal-Mart Stores, Inc. | | | 6.88 | | | 08/10/09 | | | 3,035,000 | | | | 3,056,427 | |
| Wells Fargo & Co. | | | 0.73 | | | 09/15/09 | | | 5,165,000 | | | | 5,153,502 | |
| Total Corporate Notes (Cost $49,322,663) | | | | | | | | | | | | | 49,322,663 | |
| COMMERCIAL PAPER | | | | | | | | | | |
| (56.0% of portfolio) | | | | | | | | | | |
| | | | | | | | | | | | | | |
| American Honda Finance Corp. | | | 0.75 | | 07/06/09 | | | 1,870,000 | | | | 1,869,805 | |
| American Honda Finance Corp. | | | 0.70 | | 08/12/09 | | | 2,400,000 | | | | 2,398,040 | |
| American Honda Finance Corp. | | | 0.40 | | 08/19/09 | | | 3,300,000 | | | | 3,298,203 | |
| Campbell Soup Co. | | | 0.23 | | 08/05/09 | | | 3,200,000 | | | | 3,199,284 | |
| Campbell Soup Co. | | | 0.24 | | 08/13/09 | | | 3,200,000 | | | | 3,199,083 | |
| Chevron Funding Corp. | | | 0.17 | | 07/06/09 | | | 3,000,000 | | | | 2,999,929 | |
| Cola-Cola Co. | | | 0.21 | | 08/11/09 | | | 3,000,000 | | | | 2,999,283 | |
| Cola-Cola Co. | | | 0.25 | | 08/17/09 | | | 3,770,000 | | | | 3,768,770 | |
| Cola-Cola Co. | | | 0.24 | | 09/01/09 | | | 2,790,000 | | | | 2,788,847 | |
| ConocoPhillips Qatar Funding Ltd. | | | 0.20 | | 07/01/09 | | | 2,980,000 | | | | 2,980,000 | |
| ConocoPhillips Qatar Funding Ltd. | | | 0.40 | | 07/14/09 | | | 1,050,000 | | | | 1,049,848 | |
| ConocoPhillips Qatar Funding Ltd. | | | 0.27 | | 07/15/09 | | | 2,500,000 | | | | 2,499,738 | |
| ConocoPhillips Qatar Funding Ltd. | | | 0.33 | | 07/22/09 | | | 3,050,000 | | | | 3,049,413 | |
| E.I. du Pont de Nemours & Company | | | 0.25 | | 07/21/09 | | | 3,000,000 | | | | 2,999,583 | |
| Eli Lilly & Co. | | | 0.19 | | 07/28/09 | | | 2,000,000 | | | | 1,999,715 | |
| Florida Power & Light Company | | | 0.20 | | 07/08/09 | | | 2,000,000 | | | | 1,999,922 | |
| Hewlett Packard Co. | | | 0.18 | | 07/02/09 | | | 5,000,000 | | | | 4,999,975 | |
| HSBC Finance Corp. | | | 0.60 | | 08/06/09 | | | 2,000,000 | | | | 1,998,800 | |
| L’Oreal SA | | | 0.25 | | 07/14/09 | | | 2,550,000 | | | | 2,549,770 | |
| L’Oreal SA | | | 0.30 | | 07/16/09 | | | 1,000,000 | | | | 999,875 | |
| L’Oreal SA | | | 0.21 | | 08/12/09 | | | 3,000,000 | | | | 2,999,265 | |
| L’Oreal SA | | | 0.22 | | 08/19/09 | | | 3,050,000 | | | | 3,049,087 | |
| MetLife Funding Inc. | | | 0.27 | | 07/07/09 | | | 2,550,000 | | | | 2,549,885 | |
| MetLife Funding Inc. | | | 0.30 | | 07/07/09 | | | 2,000,000 | | | | 1,999,900 | |
| MetLife Funding Inc. | | | 0.29 | | 07/22/09 | | | 5,040,000 | | | | 5,039,147 | |
| Nestle Capital Corp. | | | 0.20 | | 07/29/09 | | | 2,000,000 | | | | 1,999,689 | |
| Nestle Capital Corp. | | | 0.20 | | 08/04/09 | | | 2,000,000 | | | | 1,999,622 | |
| Nestle Capital Corp. | | | 0.18 | | 08/31/09 | | | 2,900,000 | | | | 2,899,116 | |
| PepsiCo, Inc. | | | 0.17 | | 07/06/09 | | | 2,000,000 | | | | 1,999,953 | |
| Pfizer Inc. | | | 0.21 | | 08/04/09 | | | 3,000,000 | | | | 2,999,405 | |
| Pfizer Inc. | | | 0.16 | | 08/05/09 | | | 3,000,000 | | | | 2,999,533 | |
| Pfizer Inc. | | | 0.16 | | 08/11/09 | | | 3,550,000 | | | | 3,549,353 | |
| Proctor & Gamble Co. | | | 0.19 | | 07/09/09 | | | 2,000,000 | | | | 1,999,916 | |
| Prudential Funding Corp. | | | 0.44 | | 08/03/09 | | | 1,900,000 | | | | 1,899,234 | |
| Prudential Funding Corp. | | | 0.60 | | 09/21/09 | | | 2,960,000 | | | | 2,955,955 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|21 |
PORTFOLIO OF INVESTMENTS: Daily Income Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Commercial Paper continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Prudential Funding Corp. | | | 0.45 | % | | 09/28/09 | | $ | 1,000,000 | | | $ | 998,888 | |
| Total S.A. | | | 0.25 | | | 08/25/09 | | | 3,000,000 | | | | 2,998,854 | |
| Total S.A. | | | 0.24 | | | 09/09/09 | | | 3,500,000 | | | | 3,498,367 | |
| Toyota Motor Credit Corp. | | | 0.35 | | | 07/27/09 | | | 3,000,000 | | | | 2,999,242 | |
| Toyota Motor Credit Corp. | | | 0.35 | | | 07/30/09 | | | 3,570,000 | | | | 3,568,993 | |
| Toyota Motor Credit Corp. | | | 0.35 | | | 07/31/09 | | | 3,000,000 | | | | 2,999,125 | |
| UBS Finance Delaware LLC. | | | 0.67 | | | 09/16/09 | | | 1,000,000 | | | | 998,567 | |
| Total Commercial Paper (Cost $112,648,979) | | | | | | | | | | | | | 112,648,979 | |
| | | | | | | | | | | | | | | |
| U.S. GOVERNMENT AGENCY OBLIGATIONS | | | | | | | | | | | | | | |
| (6.7% of portfolio) | | | | | | | | | | | | | | |
| Federal Home Loan Bank | | | 0.25 | | | 07/01/09 | | | 1,100,000 | | | | 1,100,000 | |
| Federal Home Loan Bank | | | 0.00 | (a) | | 07/10/09 | | | 4,000,000 | | | | 3,999,590 | |
| Federal Home Loan Bank | | | 0.20 | | | 07/31/09 | | | 2,143,000 | | | | 2,142,652 | |
| Federal Home Loan Bank | | | 0.21 | | | 08/07/09 | | | 2,140,000 | | | | 2,139,538 | |
| Federal Home Loan Mortgage Corp. | | | 0.00 | (a) | | 08/10/09 | | | 2,000,000 | | | | 1,999,600 | |
| Federal National Mortgage Association | | | 0.00 | (a) | | 07/08/09 | | | 2,000,000 | | | | 1,999,841 | |
| Federal National Mortgage Association | | | 5.13 | | | 07/13/09 | | | 100,000 | | | | 100,149 | |
| Total U.S. Government Agency Obligations (Cost $13,481,370) | | | | | | | | | | | | | 13,481,370 | |
| | | | | | | | | | | | | | | |
| CERTIFICATES OF DEPOSIT | | | | | | | | | | | | | | |
| (3.4% of portfolio) | | | | | | | | | | | | | | |
| Alliance Bank & Trust—Gastonia, NC | | | 0.80 | | | 12/30/09 | | | 245,000 | | | | 245,000 | |
| Associated Bank—Green Bay, WI | | | 1.10 | | | 07/14/09 | | | 245,000 | | | | 245,000 | |
| Bank of North Carolina | | | 0.75 | | | 03/10/10 | | | 245,000 | | | | 245,000 | |
| Bank of the Cascades—Bend, OR | | | 0.95 | | | 08/13/09 | | | 245,000 | | | | 245,000 | |
| Beal Bank—Las Vegas, NV | | | 0.80 | | | 12/16/09 | | | 245,000 | | | | 245,000 | |
| Cardinal Bank—McLean, VA | | | 0.75 | | | 12/28/09 | | | 245,000 | | | | 245,000 | |
| CIT Bank—Salt Lake City, UT | | | 0.65 | | | 11/20/09 | | | 245,000 | | | | 245,000 | |
| City National Bank | | | 1.05 | | | 07/14/09 | | | 245,000 | | | | 245,000 | |
| Columbus Bank & Trust Co. | | | 0.75 | | | 02/08/10 | | | 245,000 | | | | 245,000 | |
| Comerica Bank | | | 1.00 | | | 12/28/09 | | | 245,000 | | | | 245,000 | |
| East West Bank—Pasadena, CA | | | 0.90 | | | 03/10/10 | | | 245,000 | | | | 245,000 | |
| First American Bank—Carpentersville, IL | | | 0.80 | | | 03/03/10 | | | 245,000 | | | | 245,000 | |
| First Bank Troy, NC | | | 0.60 | | | 09/30/09 | | | 245,000 | | | | 245,000 | |
| Foundations Bank—Pewaukee, WI | | | 1.00 | | | 03/29/10 | | | 245,000 | | | | 245,000 | |
| Four Oaks Bank & Trust Co. | | | 0.75 | | | 02/05/10 | | | 245,000 | | | | 245,000 | |
| Hudson Valley Bank, N.A. | | | 0.70 | | | 09/04/09 | | | 245,000 | | | | 245,000 | |
| Midfirst Bank | | | 0.65 | | | 04/08/10 | | | 245,000 | | | | 245,000 | |
| New York Community Bank | | | 0.70 | | | 08/25/09 | | | 245,000 | | | | 245,000 | |
| Park National Bank—Newark, OH | | | 1.20 | | | 07/27/09 | | | 245,000 | | | | 245,000 | |
| Pinnacle National Bank | | | 0.65 | | | 09/23/09 | | | 245,000 | | | | 245,000 | |
| Sovereign Bank | | | 1.30 | | | 07/23/09 | | | 245,000 | | | | 245,000 | |
| Standard Bank & Trust Co. | | | 0.75 | | | 08/27/09 | | | 245,000 | | | | 245,000 | |
| State Bank of India | | | 0.60 | | | 01/08/10 | | | 245,000 | | | | 245,000 | |
| Stillwater National Bank & Trust Co. | | | 0.80 | | | 03/10/10 | | | 245,000 | | | | 245,000 | |
| Texas Capital Bancshares, Inc. | | | 0.75 | | | 09/25/09 | | | 245,000 | | | | 245,000 | |
| Wilmington Trust Co. | | | 0.85 | | | 12/24/09 | | | 245,000 | | | | 245,000 | |
| Wright Express Financial Services Corp. | | | 0.80 | | | 03/24/10 | | | 245,000 | | | | 245,000 | |
| Yadkin Valley Bank & Trust Co. | | | 0.90 | | | 03/15/10 | | | 245,000 | | | | 245,000 | |
| Total Certificates of Deposit (Cost $6,860,000) | | | | | | | | | | | | | 6,860,000 | |
The accompanying notes are an integral part of these financial statements.
22 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Daily Income Fund (continued)
June 30, 2009 (Unaudited)
| MONEY MARKET ACCOUNTS | | Interest Rate | | | Maturity Date | | Shares | | | Value | |
| (9.4% of portfolio) | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| SSgA Prime Money Market Fund | | | 0.34 | (b)% | | | | $ | 9,803,000 | | | $ | 9,803,000 | |
| SSgA Money Market Fund | | | 0.25 | (b) | | | | | 9,007,986 | | | | 9,007,986 | |
| Total Money Market Accounts (Cost $18,810,986) | | | | | | | | | | | | | 18,810,986 | |
| TOTAL INVESTMENTS IN SECURITIES | | | | | | | | | | | | | | |
| (Cost $201,123,998)—100% | | | | | | | | | | | | $ | 201,123,998 | |
| (a) | Zero coupon security, purchased at a discount. |
| (b) | 7-day yield at June 30, 2009. |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|23 |
June 30, 2009 (Unaudited)
| ASSET BACKED SECURITIES | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (5.3% of portfolio) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Small Business Administration 93-20J | | | 5.90 | % | | 10/01/13 | | $ | 35,377 | | | $ | 36,645 | |
| Small Business Administration 98-20D | | | 6.15 | | | 04/01/18 | | | 45,451 | | | | 48,532 | |
| Small Business Administration 98-20E | | | 6.30 | | | 05/01/18 | | | 39,386 | | | | 42,159 | |
| Small Business Administration 98-20H | | | 6.15 | | | 08/01/18 | | | 18,492 | | | | 19,708 | |
| Small Business Administration 99-20D | | | 6.15 | | | 04/01/19 | | | 61,140 | | | | 64,994 | |
| Small Business Administration 04-20B | | | 4.72 | | | 02/01/24 | | | 118,701 | | | | 122,758 | |
| Small Business Administration 04-20C | | | 4.34 | | | 03/01/24 | | | 160,829 | | | | 164,178 | |
| Small Business Administration 05-10E | | | 4.54 | | | 09/01/15 | | | 59,141 | | | | 61,268 | |
| Small Business Administration Pool # 100075 | | | 3.50 | | | 05/25/19 | | | 46,712 | | | | 44,676 | |
| Small Business Administration Pool # 500724 | | | 4.00 | (a) | | 12/25/13 | | | 10,264 | | | | 10,382 | |
| Small Business Administration Pool # 502261 | | | 1.38 | (a) | | 10/25/17 | | | 18,911 | | | | 18,584 | |
| Small Business Administration Pool # 502477 | | | 1.25 | (a) | | 09/25/18 | | | 51,945 | | | | 50,794 | |
| Small Business Administration Pool # 502543 | | | 0.95 | (a) | | 01/25/19 | | | 91,917 | | | | 90,880 | |
| Small Business Administration Pool # 502684 | | | 1.25 | (a) | | 07/25/19 | | | 4,059 | | | | 4,037 | |
| Small Business Administration Pool # 503278 | | | 0.88 | (a) | | 02/25/21 | | | 37,967 | | | | 37,496 | |
| Small Business Administration Pool # 503463 | | | 1.13 | (a) | | 09/25/21 | | | 27,149 | | | | 26,734 | |
| Small Business Administration Pool # 504305 | | | 0.88 | (a) | | 10/25/23 | | | 11,312 | | | | 11,081 | |
| Small Business Investment Companies 02-20K | | | 5.08 | | | 11/01/22 | | | 52,162 | | | | 54,535 | |
| Small Business Investment Companies 02-P10B | | | 5.20 | | | 08/10/12 | | | 114,820 | | | | 118,880 | |
| Small Business Investment Companies 03-10A | | | 4.63 | | | 03/10/13 | | | 667,122 | | | | 683,492 | |
| Small Business Investment Companies 03-10B | | | 3.39 | | | 03/01/13 | | | 61,689 | | | | 62,732 | |
| Small Business Investment Companies 03-P10A | | | 4.52 | | | 02/10/13 | | | 17,648 | | | | 18,064 | |
| Small Business Investment Companies 03-P10B | | | 5.14 | | | 08/10/13 | | | 62,921 | | | | 65,423 | |
| Small Business Investment Companies 04-10A | | | 4.12 | | | 03/01/14 | | | 355,949 | | | | 356,002 | |
| Small Business Investment Companies 04-10B | | | 4.68 | | | 09/10/14 | | | 394,306 | | | | 402,866 | |
| Small Business Investment Companies 04-P10A | | | 4.50 | | | 02/10/14 | | | 76,710 | | | | 78,301 | |
| Small Business Investment Companies 05-P10A | | | 4.64 | | | 02/10/15 | | | 125,640 | | | | 128,099 | |
| Small Business Investment Companies 05-10B | | | 4.94 | | | 09/10/15 | | | 295,434 | | | | 301,289 | |
| Small Business Investment Companies 07-10A | | | 5.38 | | | 03/10/17 | | | 110,755 | | | | 116,669 | |
Total Asset Backed Securities (Cost $3,098,159) | | | | | | | | | | | | | 3,241,258 | |
| | | | | | | | | | | | | | | |
| MORTGAGE BACKED SECURITIES | | | | | | | | | | | | | | |
| (10.0% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GNMA #1928 | | | 7.00 | | | 11/20/09 | | | 95 | | | | 96 | |
| GNMA #2602 | | | 6.00 | | | 06/20/28 | | | 87,052 | | | | 91,078 | |
| GNMA #2707 | | | 5.50 | | | 01/20/14 | | | 15,016 | | | | 15,708 | |
| GNMA #8004 | | | 4.63 | (a) | | 07/20/22 | | | 40,560 | | | | 41,512 | |
| GNMA #8006 | | | 4.63 | (a) | | 07/20/22 | | | 33,834 | | | | 34,640 | |
| GNMA #8038 | | | 4.63 | (a) | | 08/20/22 | | | 19,375 | | | | 19,837 | |
| GNMA #8040 | | | 4.63 | (a) | | 08/20/22 | | | 48,835 | | | | 50,091 | |
| GNMA #8054 | | | 4.13 | (a) | | 10/20/22 | | | 11,639 | | | | 11,805 | |
| GNMA #8076 | | | 4.13 | (a) | | 11/20/22 | | | 20,237 | | | | 20,553 | |
| GNMA #8102 | | | 4.00 | (a) | | 02/20/16 | | | 9,834 | | | | 10,052 | |
| GNMA #8103 | | | 4.50 | (a) | | 02/20/16 | | | 35,402 | | | | 36,131 | |
| GNMA #8157 | | | 4.38 | (a) | | 03/20/23 | | | 37,102 | | | | 37,882 | |
| GNMA #8191 | | | 5.38 | (a) | | 05/20/23 | | | 63,441 | | | | 65,375 | |
| GNMA #8215 | | | 5.38 | (a) | | 04/20/17 | | | 5,658 | | | | 5,838 | |
| GNMA #8259 | | | 4.63 | (a) | | 08/20/23 | | | 16,735 | | | | 17,117 | |
| GNMA #8297 | | | 4.13 | (a) | | 12/20/17 | | | 18,136 | | | | 18,388 | |
| GNMA #8332 | | | 4.50 | (a) | | 03/20/18 | | | 10,600 | | | | 10,876 | |
| GNMA #8344 | | | 5.50 | (a) | | 04/20/18 | | | 23,812 | | | | 24,671 | |
| GNMA #8384 | | | 4.38 | (a) | | 03/20/24 | | | 9,158 | | | | 9,337 | |
| GNMA #8393 | | | 4.63 | (a) | | 08/20/18 | | | 9,151 | | | | 9,421 | |
| GNMA #8400 | | | 4.63 | (a) | | 08/20/18 | | | 19,096 | | | | 19,574 | |
| GNMA #8405 | | | 4.63 | (a) | | 09/20/18 | | | 17,158 | | | | 17,666 | |
| GNMA #8423 | | | 5.38 | (a) | | 05/20/24 | | | 10,786 | | | | 11,127 | |
| GNMA #8429 | | | 4.13 | (a) | | 11/20/18 | | | 17,800 | | | | 18,163 | |
| GNMA #8459 | | | 4.63 | (a) | | 07/20/24 | | | 16,455 | | | | 16,854 | |
The accompanying notes are an integral part of these financial statements.
24 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Government Securities Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Mortgage Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GNMA #8499 | | | 5.88 | (a)% | | 05/20/19 | | $ | 10,357 | | | $ | 10,757 | |
| GNMA #8518 | | | 4.13 | (a) | | 10/20/24 | | | 16,820 | | | | 17,074 | |
| GNMA #8532 | | | 4.13 | (a) | | 10/20/24 | | | 20,581 | | | | 21,075 | |
| GNMA #8591 | | | 4.38 | (a) | | 02/20/25 | | | 49,833 | | | | 50,888 | |
| GNMA #8638 | | | 5.38 | (a) | | 06/20/25 | | | 17,628 | | | | 18,185 | |
| GNMA #8648 | | | 4.63 | (a) | | 07/20/25 | | | 24,663 | | | | 25,227 | |
| GNMA #8663 | | | 4.63 | (a) | | 07/20/25 | | | 21,951 | | | | 22,522 | |
| GNMA #8680 | | | 4.63 | (a) | | 08/20/20 | | | 24,202 | | | | 25,011 | |
| GNMA #8687 | | | 4.63 | (a) | | 08/20/25 | | | 5,409 | | | | 5,580 | |
| GNMA #8702 | | | 4.13 | (a) | | 10/20/20 | | | 9,885 | | | | 10,178 | |
| GNMA #8747 | | | 4.13 | (a) | | 11/20/25 | | | 16,320 | | | | 16,577 | |
| GNMA #8807 | | | 4.63 | (a) | | 07/20/21 | | | 21,351 | | | | 21,865 | |
| GNMA #8836 | | | 4.63 | (a) | | 09/20/21 | | | 19,000 | | | | 19,452 | |
| GNMA #8847 | | | 5.38 | (a) | | 04/20/26 | | | 19,556 | | | | 20,154 | |
| GNMA #8869 | | | 4.13 | (a) | | 11/20/21 | | | 64,094 | | | | 65,121 | |
| GNMA #8873 | | | 4.13 | (a) | | 11/20/21 | | | 25,608 | | | | 26,196 | |
| GNMA #8877 | | | 5.38 | (a) | | 05/20/26 | | | 5,338 | | | | 5,509 | |
| GNMA #8883 | | | 4.13 | (a) | | 12/20/21 | | | 21,970 | | | | 22,315 | |
| GNMA #8915 | | | 4.38 | (a) | | 02/20/22 | | | 20,809 | | | | 21,250 | |
| GNMA #8934 | | | 4.38 | (a) | | 03/20/22 | | | 36,762 | | | | 37,553 | |
| GNMA #8978 | | | 5.38 | (a) | | 05/20/22 | | | 93,970 | | | | 96,957 | |
| GNMA #80053 | | | 4.38 | (a) | | 03/20/27 | | | 4,156 | | | | 4,243 | |
| GNMA #80058 | | | 5.38 | (a) | | 04/20/27 | | | 4,298 | | | | 4,429 | |
| GNMA #80185 | | | 5.38 | (a) | | 04/20/28 | | | 44,896 | | | | 46,268 | |
| GNMA #80264 | | | 4.25 | (a) | | 03/20/29 | | | 44,651 | | | | 45,355 | |
| GNMA #80283 | | | 5.38 | (a) | | 05/20/29 | | | 30,325 | | | | 31,251 | |
| GNMA #80300 | | | 4.63 | (a) | | 07/20/29 | | | 26,266 | | | | 26,896 | |
| GNMA #80309 | | | 4.63 | (a) | | 08/20/29 | | | 10,535 | | | | 10,771 | |
| GNMA #80363 | | | 4.25 | (a) | | 01/20/30 | | | 83,113 | | | | 84,482 | |
| GNMA #80426 | | | 4.63 | (a) | | 07/20/30 | | | 3,910 | | | | 4,006 | |
| GNMA #80452 | | | 4.63 | (a) | | 09/20/30 | | | 23,013 | | | | 23,566 | |
| GNMA #80475 | | | 3.88 | (a) | | 12/20/30 | | | 46,689 | | | | 47,376 | |
| GNMA #80577 | | | 3.75 | (a) | | 02/20/32 | | | 7,880 | | | | 7,964 | |
| GNMA #80684 | | | 5.38 | (a) | | 04/20/33 | | | 26,860 | | | | 27,627 | |
| GNMA #81129 | | | 5.50 | (a) | | 10/20/34 | | | 444,710 | | | | 456,278 | |
| GNMA #510280 | | | 6.00 | | | 08/15/14 | | | 12,890 | | | | 13,787 | |
| GNMA #583189 | | | 4.50 | | | 02/20/17 | | | 68,291 | | | | 70,777 | |
| GNMA #607494 | | | 5.00 | | | 04/15/19 | | | 64,304 | | | | 67,625 | |
| GNMA #616274 | | | 5.00 | | | 02/15/19 | | | 54,375 | | | | 57,183 | |
| GNMA #780336 | | | 6.50 | | | 02/15/11 | | | 1,738 | | | | 1,747 | |
| GNMA 1996-4 | | | 7.00 | | | 04/16/26 | | | 7,949 | | | | 8,579 | |
| GNMA 2001-53 | | | 5.50 | | | 12/20/31 | | | 61,379 | | | | 63,884 | |
| GNMA 2001-53 | | | 0.67 | (a) | | 10/20/31 | | | 11,321 | | | | 11,245 | |
| GNMA 2001-61 | | | 0.82 | (a) | | 09/20/30 | | | 19,201 | | | | 19,169 | |
| GNMA 2002-15 | | | 5.50 | | | 11/20/31 | | | 116,022 | | | | 118,351 | |
| GNMA 2002-20 | | | 4.50 | | | 03/20/32 | | | 33,901 | | | | 35,125 | |
| GNMA 2002-88 | | | 5.00 | | | 05/16/31 | | | 120,100 | | | | 123,758 | |
| GNMA 2003-11 | | | 4.00 | | | 10/17/29 | | | 64,604 | | | | 63,695 | |
| GNMA 2003-12 | | | 4.50 | | | 02/20/32 | | | 46,848 | | | | 48,012 | |
| GNMA 2003-26 | | | 0.77 | (a) | | 04/16/33 | | | 21,337 | | | | 21,022 | |
| GNMA 2003-97 | | | 4.50 | | | 03/20/33 | | | 99,050 | | | | 101,759 | |
| GNMA 2004-17 | | | 4.50 | | | 12/20/33 | | | 236,389 | | | | 243,388 | |
| GNMA 2004-17 | | | 4.50 | | | 12/17/26 | | | 238,023 | | | | 239,561 | |
| GNMA 2004-102 | | | 5.50 | | | 04/20/34 | | | 91,992 | | | | 98,857 | |
| GNMA 2005-56 | | | 5.00 | | | 08/20/31 | | | 214,417 | | | | 219,268 | |
| GNMA 2006-36 | | | 6.00 | | | 02/20/21 | | | 7,279 | | | | 7,278 | |
| GNMA 2007-11 | | | 5.50 | | | 03/20/37 | | | 332,361 | | | | 333,931 | |
| GNMA 2007-30 | | | 5.50 | | | 03/20/35 | | | 123,294 | | | | 125,793 | |
| GNMA 2008-50 | | | 5.50 | | | 06/16/38 | | | 911,952 | | | | 922,730 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|25 |
PORTFOLIO OF INVESTMENTS: Short-Term Government Securities Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Mortgage Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Government Lease Trust 99-C1A(b) | | | 4.00 | % | | 05/18/11 | | $ | 522,959 | | | $ | 540,245 | |
| Government Lease Trust 99-C1A(b) | | | 4.00 | | | 05/18/11 | | | 165,000 | | | | 170,505 | |
| GS Mortgage Securities Corp. II 2001-LIBA(b) | | | 6.73 | | | 02/14/16 | | | 315,000 | | | | 339,062 | |
| Total Mortgage Backed Securities (Cost $5,883,768) | | | | | | | | | | | | | 6,060,086 | |
| | | | | | | | | | | | | | | |
| MUNICIPAL BONDS | | | | | | | | | | | | | | |
| (7.7% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Anchorage, Alaska | | | 5.50 | | | 12/01/20 | | | 150,000 | | | | 159,856 | |
| Arizona State University | | | 5.38 | | | 07/01/19 | | | 700,000 | | | | 782,621 | |
| Broward County, Florida | | | 5.25 | | | 01/01/16 | | | 250,000 | | | | 268,252 | |
| Broward County, Florida | | | 5.25 | | | 01/01/17 | | | 300,000 | | | | 321,903 | |
| East Lansing, Michigan | | | 7.45 | | | 04/01/20 | | | 300,000 | | | | 311,715 | |
| Hartford Connecticut Parking System | | | 9.33 | | | 07/01/25 | | | 250,000 | | | | 268,858 | |
| Johnson City, Tennessee—Public Building Authority | | | 7.00 | | | 09/01/18 | | | 100,000 | | | | 109,326 | |
| Mesa, Arizona Industrial Development Authority | | | 5.63 | | | 01/01/29 | | | 1,000,000 | | | | 1,034,930 | |
| Newton County, Georgia Hospital Authority | | | 5.75 | | | 02/01/12 | | | 250,000 | | | | 260,122 | |
| Philadephia, PA Hospitals & Higher Education Facilities Authority | | | 6.00 | | | 10/01/29 | | | 330,000 | | | | 340,824 | |
| Tucson, Arizona Industrial Development Authority | | | 6.00 | | | 07/01/30 | | | 750,000 | | | | 794,288 | |
| Total Municipal Bonds (Cost $4,562,175) | | | | | | | | | | | | | 4,652,695 | |
| | | | | | | | | | | | | | | |
| CORPORATE BONDS | | | | | | | | | | | | | | |
| (19.7% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| American Express Bank | | | 1.70 | | | 11/29/10 | | | 250,000 | | | | 248,834 | |
| Bank of America N.A. | | | 1.50 | | | 03/04/10 | | | 250,000 | | | | 250,564 | |
| Branch Banking & Trust | | | 1.40 | | | 03/04/10 | | | 250,000 | | | | 250,401 | |
| CIT Bank | | | 1.80 | | | 11/29/10 | | | 250,000 | | | | 249,176 | |
| Citibank N.A. | | | 1.50 | | | 07/12/11 | | | 350,000 | | | | 350,905 | |
| Citibank N.A. | | | 1.63 | | | 03/30/11 | | | 1,000,000 | | | | 1,007,824 | |
| Discover Bank | | | 1.55 | | | 11/08/10 | | | 100,000 | | | | 99,453 | |
| GE Capital Financial Inc. | | | 2.50 | | | 05/31/11 | | | 250,000 | | | | 249,498 | |
| General Electric Capital Corp. | | | 1.80 | | | 03/11/11 | | | 1,000,000 | | | | 1,009,016 | |
| General Electric Capital Corp. | | | 1.63 | | | 01/07/11 | | | 1,000,000 | | | | 1,009,631 | |
| General Electric Capital Corp. | | | 3.00 | | | 12/09/11 | | | 1,000,000 | | | | 1,031,649 | |
| GMAC LLC | | | 2.20 | | | 12/19/12 | | | 500,000 | | | | 497,985 | |
| JPMorgan Chase & Co. | | | 1.65 | | | 02/23/11 | | | 1,000,000 | | | | 1,008,523 | |
| Morgan Stanley | | | 3.25 | | | 12/01/11 | | | 1,000,000 | | | | 1,037,384 | |
| New York Community Bank | | | 3.00 | | | 12/16/11 | | | 1,000,000 | | | | 1,027,877 | |
| Oriental Bank & Trust | | | 2.75 | | | 03/16/12 | | | 1,000,000 | | | | 1,014,627 | |
| Rowan Companies Inc. | | | 2.80 | | | 10/20/13 | | | 85,713 | | | | 85,579 | |
| Sallie Mae Bank | | | 1.15 | | | 05/28/10 | | | 150,000 | | | | 149,679 | |
| Sallie Mae Bank | | | 2.35 | | | 05/06/11 | | | 100,000 | | | | 99,673 | |
| State Street Corp. | | | 1.85 | | | 03/15/11 | | | 1,000,000 | | | | 1,011,443 | |
| SunTrust Bank | | | 0.35 | (a) | | 01/29/10 | | | 250,000 | | | | 245,280 | |
| Total Corporate Bonds (Cost $11,771,041) | | | | | | | | | | | | | 11,935,001 | |
| | | | | | | | | | | | | | | |
| U. S. GOVERNMENT AND AGENCY OBLIGATIONS | | | | | | | | | | | | | | |
| (55.2% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Government Trust Certificate (Israel Trust) | | | 0.00 | (c) | | 09/15/09 | | | 1,000,000 | | | | 998,376 | |
| Government Trust Certificate (Israel Trust) | | | 0.00 | (c) | | 05/15/10 | | | 225,000 | | | | 222,767 | |
| Government Trust Certificate (Sri Lanka Trust) | | | 1.30 | (a) | | 06/15/12 | | | 75,000 | | | | 75,000 | |
| National Archives Facility Trust | | | 8.50 | | | 09/01/19 | | | 49,375 | | | | 59,054 | |
| Overseas Private Investment Corp. | | | 5.30 | (d) | | 09/15/10 | | | 2,000,000 | | | | 2,345,580 | |
| Overseas Private Investment Corp. | | | 4.91 | (d) | | 09/15/10 | | | 2,000,000 | | | | 2,258,060 | |
| Overseas Private Investment Corp. | | | 5.35 | (d) | | 07/31/11 | | | 1,000,000 | | | | 1,163,910 | |
The accompanying notes are an integral part of these financial statements.
26 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Government Securities Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (U.S. Government And Agency Obligations continued) | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Overseas Private Investment Corp. | | | 4.55 | (d)% | | 09/15/11 | | $ | 2,000,000 | | | $ | 2,171,340 | |
| Overseas Private Investment Corp. | | | 4.90 | (e) | | 12/10/17 | | | 1,500,000 | | | | 1,607,025 | |
| Overseas Private Investment Corp. | | | 4.87 | (d) | | 09/07/13 | | | 1,000,000 | | | | 1,088,270 | |
| Overseas Private Investment Corp. | | | 5.08 | (e) | | 12/10/13 | | | 250,000 | | | | 313,735 | |
| Overseas Private Investment Corp. | | | 4.10 | | | 11/15/14 | | | 160,720 | | | | 162,501 | |
| Overseas Private Investment Corp. | | | 3.74 | | | 04/15/15 | | | 129,805 | | | | 135,806 | |
| Overseas Private Investment Corp. | | | 3.62 | | | 09/15/16 | | | 84,175 | | | | 87,867 | |
| Overseas Private Investment Corp. | | | 4.59 | (e) | | 12/09/16 | | | 1,000,000 | | | | 1,076,420 | |
| Overseas Private Investment Corp. | | | 4.59 | (e) | | 12/09/16 | | | 1,300,000 | | | | 1,399,346 | |
| Overseas Private Investment Corp. | | | 5.66 | (e) | | 06/10/18 | | | 500,000 | | | | 513,385 | |
| Philippine Power Trust I(b) | | | 5.40 | | | 09/26/18 | | | 565,476 | | | | 573,890 | |
| Private Export Funding Corp. | | | 6.67 | | | 09/15/09 | | | 1,025,000 | | | | 1,038,618 | |
| Private Export Funding Corp. | | | 7.20 | | | 01/15/10 | | | 1,000,000 | | | | 1,036,420 | |
| Private Export Funding Corp. | | | 4.97 | | | 08/15/13 | | | 1,100,000 | | | | 1,192,441 | |
| SALLIE MAE | | | 7.30 | | | 08/01/12 | | | 1,875,000 | | | | 2,184,977 | |
| U.S. Department of Housing and Urban Development | | | 7.50 | | | 08/01/11 | | | 250,000 | | | | 251,450 | |
| U.S. Department of Housing and Urban Development | | | 4.79 | | | 08/01/11 | | | 514,000 | | | | 550,049 | |
| U.S. Department of Housing and Urban Development | | | 3.44 | | | 08/01/11 | | | 1,250,000 | | | | 1,303,127 | |
| U.S. Department of Housing and Urban Development | | | 6.93 | | | 08/01/13 | | | 1,200,000 | | | | 1,202,754 | |
| U.S. Department of Housing and Urban Development | | | 7.72 | | | 08/01/13 | | | 1,000,000 | | | | 1,006,065 | |
| U.S. Department of Housing and Urban Development | | | 7.63 | | | 08/01/14 | | | 425,000 | | | | 426,359 | |
| U.S. Department of Housing and Urban Development | | | 7.91 | | | 08/01/17 | | | 500,000 | | | | 502,974 | |
| U.S. Department of Housing and Urban Development | | | 7.93 | | | 08/01/18 | | | 1,000,000 | | | | 1,005,656 | |
| U.S. Department of Housing and Urban Development | | | 6.07 | | | 08/01/21 | | | 500,000 | | | | 530,329 | |
| U.S. Department of Housing and Urban Development | | | 6.12 | | | 08/01/22 | | | 1,000,000 | | | | 1,060,515 | |
| United States Treasury Note | | | 1.38 | | | 05/15/12 | | | 4,000,000 | | | | 3,977,520 | |
| Total U.S. Government and Agency Obligations (Cost $32,884,649) | | | | | | | | | | | | | 33,521,586 | |
| MONEY MARKET ACCOUNTS | | Interest Rate | | | Shares | | | Value | |
| (2.1% of portfolio) | | | | | | | | | |
| | | | | | | | | | |
| SSgA Prime Money Market Fund | | | 0.34 | (f) | | | 1,276,000 | | | | 1,276,000 | |
| SSgA Money Market Fund | | | 0.25 | (f) | | | 477 | | | | 477 | |
| Total Money Market Accounts (Cost $1,276,477) | | | | | | | | | | | 1,276,477 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $59,476,269)—100% | | | | | | | | | | $ | 60,687,103 | |
| (a) | Variable coupon rate as of June 30, 2009. |
| (b) | 144A security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. Total of such securities at period-end amounts to $1,623,702 and represents 2.7% of total investment. |
| (c) | Zero coupon rate. |
| (d) | Interest is paid at maturity. |
| (e) | Interest is paid at put date. |
| (f) | 7-day yield at June 30, 2009. |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|27 |
June 30, 2009 (Unaudited)
| CORPORATE BONDS | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (36.5% of portfolio) | | | | | | | | | | | |
| | | | | | | | | | | | |
| BASIC INDUSTRIES—6.8% | | | | | | | | | | | |
| Chevron Corp. | | | 3.45 | % | | 03/03/12 | | $ | 250,000 | | | $ | 257,874 | |
| Colgate-Palmolive Co. | | | 0.42 | (a) | | 08/22/42 | | | 2,500,000 | | | | 2,501,422 | |
| Cooper Industries Inc. | | | 5.50 | | | 11/01/09 | | | 370,000 | | | | 375,419 | |
| General Dynamics Corp. | | | 1.80 | | | 07/15/11 | | | 225,000 | | | | 224,589 | |
| General Electric Co. | | | 5.00 | | | 02/01/13 | | | 1,625,000 | | | | 1,690,839 | |
| Halliburton Co.(b) | | | 5.50 | | | 10/15/10 | | | 100,000 | | | | 104,589 | |
| Ingersoll-Rand Global Holding Co. LTD. | | | 9.50 | | | 04/15/14 | | | 350,000 | | | | 383,280 | |
| ITT Corp. | | | 1.07 | (a) | | 08/25/48 | | | 730,000 | | | | 672,892 | |
| Minnesota Mining & Manufacturing Co. | | | 0.98 | (a) | | 09/30/27 | | | 250,000 | | | | 247,333 | |
| PACCAR Inc. | | | 6.38 | | | 02/15/12 | | | 1,300,000 | | | | 1,405,845 | |
| Pepsico Capital Resources Inc. | | | 0.00 | (c) | | 04/01/12 | | | 420,000 | | | | 367,621 | |
| PPG Industries Inc. | | | 5.75 | | | 03/15/13 | | | 470,000 | | | | 488,554 | |
| SeaRiver Maritime, Inc. | | | 0.00 | (c) | | 09/01/12 | | | 750,000 | | | | 697,500 | |
| Snap-on Inc. | | | 1.27 | (a) | | 01/12/10 | | | 3,675,000 | | | | 3,637,978 | |
| Vulcan Materials Co. | | | 1.88 | (a) | | 12/15/10 | | | 1,800,000 | | | | 1,791,130 | |
| Whirlpool Corp. | | | 8.00 | | | 05/01/12 | | | 125,000 | | | | 129,372 | |
| Total Basic Industries | | | | | | | | | | | | | 14,976,237 | |
| | | | | | | | | | | | | | | |
| CONSUMER STAPLES—1.1% | | | | | | | | | | | | | | |
| Beverages | | | | | | | | | | | | | | |
| Brown-Forman Corp. | | | 1.31 | (a) | | 04/01/10 | | | 1,100,000 | | | | 1,098,533 | |
| Food Products | | | | | | | | | | | | | | |
| General Mills Inc. | | | 11.97 | (a) | | 10/15/22 | | | 675,000 | | | | 760,699 | |
| H.J. Heinz Co.(b) | | | 15.59 | (a) | | 12/01/20 | | | 150,000 | | | | 186,804 | |
| Ralston Purina Co. | | | 9.25 | | | 10/15/09 | | | 300,000 | | | | 306,618 | |
| Total Consumer Staples | | | | | | | | | | | | | 2,352,654 | |
| | | | | | | | | | | | | | | |
| CONSUMER DISCRETIONARY—0.1% | | | | | | | | | | | | | | |
| Specialty Retail | | | | | | | | | | | | | | |
| Home Depot Inc. | | | 0.75 | (a) | | 12/16/09 | | | 230,000 | | | | 229,299 | |
| Total Consumer Discretionary | | | | | | | | | | | | | 229,299 | |
| | | | | | | | | | | | | | | |
| FINANCE—17.7% | | | | | | | | | | | | | | |
| Banks | | | | | | | | | | | | | | |
| American Express Bank FSB | | | 0.37 | (a) | | 04/26/10 | | | 1,125,000 | | | | 1,111,018 | |
| American Express Credit Corp. | | | 7.30 | | | 08/20/13 | | | 525,000 | | | | 545,847 | |
| Bank of America Corp. | | | 4.70 | | | 10/15/09 | | | 465,000 | | | | 464,671 | |
| Bank of America Corp. | | | 4.75 | | | 12/15/09 | | | 245,000 | | | | 244,642 | |
| Bank of America Corp. | | | 7.23 | | | 08/15/12 | | | 200,000 | | | | 211,378 | |
| BA Covered Bond Issuer(b) | | | 5.50 | | | 06/14/12 | | | 800,000 | | | | 787,016 | |
| Comerica Bank | | | 0.37 | (a) | | 08/07/09 | | | 420,000 | | | | 419,269 | |
| Comerica Bank | | | 0.74 | (a) | | 08/24/09 | | | 335,000 | | | | 332,900 | |
| Comerica Bank | | | 0.42 | (a) | | 05/10/10 | | | 225,000 | | | | 218,592 | |
| Comerica Bank | | | 0.40 | (a) | | 06/30/10 | | | 1,350,000 | | | | 1,305,269 | |
| Comerica Bank | | | 7.13 | | | 12/01/13 | | | 460,000 | | | | 428,357 | |
| Fifth Third Bank | | | 4.20 | | | 02/23/10 | | | 900,000 | | | | 899,341 | |
| First Tennesse Bank N.A. | | | 0.75 | (a) | | 12/17/09 | | | 1,950,000 | | | | 1,925,241 | |
| HSBC Finance Corp. | | | 6.75 | | | 05/15/11 | | | 225,000 | | | | 231,343 | |
| HSBC Finance Corp. | | | 1.17 | (a) | | 08/09/11 | | | 950,000 | | | | 859,751 | |
| HSBC Finance Corp. | | | 5.00 | | | 12/15/11 | | | 250,000 | | | | 246,305 | |
| Key Bank N.A. | | | 7.41 | | | 10/15/27 | | | 1,050,000 | | | | 941,240 | |
| Landesbank Baden—Wueterttemberg NY | | | 5.05 | | | 12/30/15 | | | 100,000 | | | | 92,977 | |
| Union Bank N.A. | | | 5.95 | | | 05/11/16 | | | 525,000 | | | | 485,676 | |
| US Bank N.A.(b) | | | 5.92 | | | 05/25/12 | | | 589,856 | | | | 616,966 | |
The accompanying notes are an integral part of these financial statements.
28 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Corporate Bonds continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Consumer Loans | | | | | | | | | | | |
| American General Finance Corp. | | | 3.88 | % | | 10/01/09 | | $ | 1,215,000 | | | $ | 1,160,323 | |
| American General Finance Corp. | | | 8.45 | | | 10/15/09 | | | 900,000 | | | | 865,430 | |
| American General Finance Corp. | | | 4.88 | | | 07/15/12 | | | 375,000 | | | | 221,998 | |
| CIT Group Inc. | | | 6.00 | | | 07/15/09 | | | 125,000 | | | | 124,360 | |
| CIT Group Inc. | | | 0.97 | (a) | | 08/17/09 | | | 1,630,000 | | | | 1,584,163 | |
| CIT Group Inc. | | | 0.76 | (a) | | 03/12/10 | | | 925,000 | | | | 787,858 | |
| CIT Group Inc. | | | 7.63 | | | 11/30/12 | | | 275,000 | | | | 188,305 | |
| General Electric Capital Corp. | | | 3.25 | | | 07/15/10 | | | 100,000 | | | | 98,475 | |
| General Electric Capital Corp. | | | 1.19 | (a) | | 02/18/11 | | | 260,000 | | | | 247,251 | |
| General Electric Capital Corp. | | | 5.00 | (d) | | 09/12/11 | | | 295,000 | | | | 294,957 | |
| PACCAR Financial Corp. | | | 4.64 | (a) | | 01/12/11 | | | 1,125,000 | | | | 1,122,664 | |
| Textron Financial Corp. | | | 4.60 | | | 05/03/10 | | | 1,745,000 | | | | 1,666,461 | |
| Toyota Motor Credit Corp. | | | 2.75 | | | 08/06/09 | | | 29,545 | | | | 29,591 | |
| | | | | | | | | | | | | | | |
| Insurance | | | | | | | | | | | | | | |
| Genworth Global Funding | | | 0.93 | (a) | | 11/27/09 | | | 1,170,000 | | | | 1,136,069 | |
| Genworth Global Funding | | | 5.20 | | | 10/08/10 | | | 1,925,000 | | | | 1,875,574 | |
| Genworth Global Funding | | | 5.13 | | | 03/15/11 | | | 250,000 | | | | 241,297 | |
| Genworth Global Funding | | | 5.38 | | | 09/15/11 | | | 1,590,000 | | | | 1,511,669 | |
| Hartford Life Global Funding | | | 0.80 | (a) | | 09/15/09 | | | 1,075,000 | | | | 1,070,632 | |
| Hartford Life Global Funding | | | 0.92 | (a) | | 10/15/09 | | | 1,750,000 | | | | 1,739,129 | |
| Hartford Life Global Funding | | | 0.80 | (a) | | 03/15/10 | | | 350,000 | | | | 333,798 | |
| Hartford Life Global Funding | | | 1.63 | (a) | | 05/14/10 | | | 1,650,000 | | | | 1,526,943 | |
| MBIA Global Funding LLC(b) | | | 4.38 | | | 03/15/10 | | | 1,015,000 | | | | 845,083 | |
| Monumental Global Funding Ltd.(b) | | | 0.50 | (a) | | 06/16/10 | | | 700,000 | | | | 672,000 | |
| Principal Life Income Funding | | | 4.00 | | | 12/15/09 | | | 350,000 | | | | 349,851 | |
| Principal Life Income Funding | | | 1.02 | (a) | | 03/01/12 | | | 500,000 | | | | 447,070 | |
| Protective Life Secured Trust | | | 4.15 | | | 06/15/10 | | | 100,000 | | | | 97,839 | |
| Protective Life Secured Trust | | | 4.00 | | | 04/01/11 | | | 450,000 | | | | 444,514 | |
| Protective Life Secured Trust | | | 1.19 | (a) | | 07/10/12 | | | 750,000 | | | | 675,330 | |
| Reliance Standard Life(b) | | | 5.63 | | | 03/15/11 | | | 800,000 | | | | 849,154 | |
| Travelers Insurance Co. Institutional Funding Ltd. | | | 1.11 | (a) | | 06/15/11 | | | 300,000 | | | | 270,898 | |
| | | | | | | | | | | | | | | |
| Investment Banker/ Broker | | | | | | | | | | | | | | |
| Bear Stearns Cos., Inc. | | | 5.85 | | | 07/19/10 | | | 1,450,000 | | | | 1,489,452 | |
| Morgan Stanley Inc. | | | 3.01 | (a) | | 05/14/10 | | | 1,100,000 | | | | 1,096,791 | |
| | | | | | | | | | | | | | | |
| Mortgage | | | | | | | | | | | | | | |
| Residential Capital LLC | | | 8.50 | | | 05/15/10 | | | 1,215,000 | | | | 1,057,050 | |
| Residential Capital LLC | | | 8.38 | | | 06/30/10 | | | 415,000 | | | | 302,950 | |
| Total Finance | | | | | | | | | | | | | 38,792,728 | |
| | | | | | | | | | | | | | | |
| HEALTH CARE—1.6% | | | | | | | | | | | | | | |
| Health Care Providers and Services | | | | | | | | | | | | | | |
| Roche Holdings Inc.(b) | | | 4.50 | | | 03/01/12 | | | 1,075,000 | | | | 1,130,142 | |
| | | | | | | | | | | | | | | |
| Pharmaceuticals | | | | | | | | | | | | | | |
| Allergan Inc. | | | 7.47 | | | 04/17/12 | | | 350,000 | | | | 367,708 | |
| Elly Lilly & Co. | | | 3.55 | | | 03/06/12 | | | 225,000 | | | | 233,096 | |
| Hospira Inc. | | | 1.08 | (a) | | 03/30/10 | | | 440,000 | | | | 436,063 | |
| Merck & Co. Inc. | | | 0.27 | (a) | | 08/22/42 | | | 750,000 | | | | 740,701 | |
| Pfizer Inc. | | | 4.45 | | | 03/15/12 | | | 675,000 | | | | 708,236 | |
| Total Health Care | | | | | | | | | | | | | 3,615,946 | |
| | | | | | | | | | | | | | | |
| INFORMATION TECHNOLOGY—1.0% | | | | | | | | | | | | | | |
| Communication Equipment | | | | | | | | | | | | | | |
| Cisco Systems Inc. | | | 5.25 | | | 02/22/11 | | | 450,000 | | | | 474,498 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|29 |
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Corporate Bonds continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Computers | | | | | | | | | | | |
| Dell Inc. | | | 3.38 | % | | 06/15/12 | | $ | 225,000 | | | $ | 229,036 | |
| Hewlett Packard Co. | | | 2.25 | | | 05/27/11 | | | 450,000 | | | | 451,371 | |
| Hewlett Packard Co. | | | 4.25 | | | 02/24/12 | | | 975,000 | | | | 1,017,646 | |
| Total Information Technology | | | | | | | | | | | | | 2,172,551 | |
| | | | | | | | | | | | | | | |
| TRANSPORTATION—2.6% | | | | | | | | | | | | | | |
| Airline | | | | | | | | | | | | | | |
| Southwest Airlines Inc. | | | 8.70 | | | 07/01/11 | | | 302,723 | | | | 314,121 | |
| Southwest Airlines Inc. | | | 7.22 | | | 07/01/13 | | | 836,805 | | | | 859,565 | |
| | | | | | | | | | | | | | | |
| Road & Rail | | | | | | | | | | | | | | |
| Burlington Northern & Santa Fe Railway Co. | | | 6.20 | | | 05/01/13 | | | 225,000 | | | | 234,841 | |
| Burlington Northern & Santa Fe Railway Co. | | | 4.58 | | | 01/15/21 | | | 1,202,214 | | | | 1,104,540 | |
| Burlington Northern & Santa Fe Railway Co. | | | 4.83 | | | 01/15/23 | | | 178,394 | | | | 178,215 | |
| Burlington Northern & Santa Fe Railway Co. | | | 4.97 | | | 04/01/23 | | | 169,244 | | | | 163,743 | |
| Consolidated Rail Corp. | | | 6.76 | | | 05/25/15 | | | 139,099 | | | | 129,880 | |
| CSX Transportation Inc. | | | 8.38 | | | 10/15/14 | | | 240,259 | | | | 264,756 | |
| GATX Corp. | | | 9.00 | | | 11/15/13 | | | 241,553 | | | | 262,792 | |
| GATX Corp. | | | 8.75 | | | 05/15/14 | | | 125,000 | | | | 131,414 | |
| Union Pacific Railroad Co. | | | 6.85 | | | 01/02/19 | | | 100,462 | | | | 107,204 | |
| Union Tank Car Co. | | | 6.79 | | | 05/01/10 | | | 1,400,000 | | | | 1,448,336 | |
| | | | | | | | | | | | | | | |
| Special Purpose Entity | | | | | | | | | | | | | | |
| Toll Road Investor Partnership II LLP(b) | | | 0.00 | (c) | | 02/15/10 | | | 500,000 | | | | 480,716 | |
| Total Transportation | | | | | | | | | | | | | 5,680,123 | |
| | | | | | | | | | | | | | | |
| UTILITIES—5.6% | | | | | | | | | | | | | | |
| Electric & Gas | | | | | | | | | | | | | | |
| Aquila Inc. | | | 11.88 | | | 07/01/12 | | | 250,000 | | | | 276,250 | |
| Colonial Pipeline(b) | | | 7.75 | | | 11/01/10 | | | 565,000 | | | | 603,455 | |
| Empire District Electric Co. | | | 8.13 | | | 11/01/09 | | | 225,000 | | | | 227,361 | |
| Keyspan Gas East Corp. | | | 7.88 | | | 02/01/10 | | | 1,450,000 | | | | 1,498,207 | |
| Michigan Consolidated Gas Co. | | | 7.06 | | | 05/01/12 | | | 325,000 | | | | 347,021 | |
| Nisource Finance Corp. | | | 1.23 | (a) | | 11/23/09 | | | 900,000 | | | | 892,853 | |
| Nisource Finance Corp. | | | 7.88 | | | 11/15/10 | | | 325,000 | | | | 335,689 | |
| Northern Illinois Gas Co. | | | 6.63 | | | 02/01/11 | | | 405,000 | | | | 433,449 | |
| Ohio Power Co. | | | 1.35 | (a) | | 04/05/10 | | | 190,000 | | | | 187,922 | |
| Pacific Gas & Electric Co. | | | 1.60 | (a) | | 06/10/10 | | | 1,000,000 | | | | 1,004,938 | |
| Questar Pipeline Co. | | | 7.41 | | | 10/01/09 | | | 750,000 | | | | 759,060 | |
| Southern California Gas Co. | | | 4.80 | | | 10/01/12 | | | 165,000 | | | | 174,234 | |
| Southern Co. Capital Funding, Inc. | | | 5.75 | | | 11/15/15 | | | 525,000 | | | | 507,656 | |
| Washington Gas Light Co. | | | 1.46 | (a) | | 08/26/10 | | | 1,125,000 | | | | 1,125,036 | |
| | | | | | | | | | | | | | | |
| Telephone | | | | | | | | | | | | | | |
| AT&T Corp. | | | 7.30 | | | 11/15/11 | | | 250,000 | | | | 274,161 | |
| GTE California Inc. | | | 6.70 | | | 09/01/09 | | | 700,000 | | | | 705,268 | |
| Nextel Communications, Inc. | | | 7.38 | | | 08/01/15 | | | 1,350,000 | | | | 1,076,625 | |
| NYNEX Corp. | | | 9.55 | | | 05/01/10 | | | 13,512 | | | | 13,470 | |
| SBC Communications Capital Corp. | | | 7.00 | | | 10/01/12 | | | 450,000 | | | | 455,762 | |
| Verizon Pennsylvania Inc. | | | 5.65 | | | 11/15/11 | | | 1,350,000 | | | | 1,414,434 | |
| Total Utilities | | | | | | | | | | | | | 12,312,851 | |
| Total Corporate Bonds (Cost $79,041,362) | | | | | | | | | | | | | 80,132,389 | |
| | | | | | | | | | | | | | | |
| YANKEE BONDS | | | | | | | | | | | | | | |
| (4.2% of portfolio) | | | | | | | | | | | | | | |
| Bank of Ireland | | | 0.66 | (a) | | 12/18/09 | | | 650,000 | | | | 643,971 | |
| Bank of Scotland PLC(b) | | | 4.00 | | | 09/15/09 | | | 675,000 | | | | 670,712 | |
The accompanying notes are an integral part of these financial statements.
30 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | | Face Amount | | | Value | |
| (Yankee Bonds continued) | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| Canadian National Railway Co. | | | 7.52 | % | | 01/03/10 | | | $ | 280,760 | | | $ | 288,613 | |
| CIT Group Funding Co. of Canada | | | 4.65 | | | 07/01/10 | | | | 675,000 | | | | 573,678 | |
| Hydro-Quebec | | | 6.27 | | | 01/03/26 | | | | 80,000 | | | | 84,719 | |
| International Bank for Reconstruction and Development | | | 0.00 | (c) | | 01/15/11 | | | | 875,000 | | | | 856,601 | |
| International Bank for Reconstruction and Development | | | 0.00 | (c) | | 04/15/11 | | | | 250,000 | | | | 243,850 | |
| International Bank for Reconstruction and Development | | | 0.00 | (c) | | 10/15/11 | | | | 250,000 | | | | 240,770 | |
| International Bank for Reconstruction and Development | | | 4.00 | (d) | | 07/03/13 | | | | 865,000 | | | | 865,180 | |
| International Multifoods Inc. | | | 6.60 | | | 11/13/09 | | | | 250,000 | | | | 254,190 | |
| Japan Finance Corp. | | | 2.00 | | | 06/24/11 | | | | 1,125,000 | | | | 1,127,034 | |
| Korea Development Bank | | | 8.00 | | | 01/23/14 | | | | 500,000 | | | | 542,192 | |
| Province of Ontario | | 3.38 | | | 05/20/11 | | | | | 1,125,000 | | | | 1,161,230 | |
| Royal Philips Electronics NV | | | 4.63 | | | 03/11/13 | | | | 475,000 | | | | 486,055 | |
| Scotland International Financial No. 2(b) | | | 6.50 | | | 02/15/11 | | | | 100,000 | | | | 95,957 | |
| Shell International Finance BV | | | 5.63 | | | 06/27/11 | | | | 1,100,000 | | | | 1,183,032 | |
| Total Yankee Bonds (Cost $9,090,893) | | | | | | | | | | | | | | | 9,317,784 | |
| | | | | | | | | | | | | | | | | |
| ASSET BACKED SECURITIES | | | | | | | | | | | | | | | | |
| (23.8% of portfolio) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| ACLC Franchise Loan Receivables Trust 97-A(b) | | | 0.77 | (a) | | 09/17/12 | | | | 11,779 | | | | 8,304 | |
| ACLC Franchise Loan Receivables Trust 97-B(b) | | | 6.73 | | | 04/15/14 | | | | 336,761 | | | | 275,227 | |
| Advanta Business Card Master Trust 06-A3 | | | 5.30 | | | 05/21/12 | | | | 1,621,143 | | | | 1,442,817 | |
| Advanta Business Card Master Trust 06-A5 | | | 5.10 | | | 09/20/12 | | | | 1,382,609 | | | | 1,244,348 | |
| AEP Texas Central Transition Funding 06-A | | | 4.98 | | | 07/01/15 | | | | 360,000 | | | | 376,552 | |
| Americredit Automobile Receivables Trust 05-AX | | | 3.93 | | | 10/06/11 | | | | 774,773 | | | | 775,516 | |
| Americredit Automobile Receivables Trust 05-CF | | | 4.63 | | | 06/06/12 | | | | 104,541 | | | | 106,173 | |
| Americredit Automobile Receivables Trust 05-DA | | | 5.02 | | | 11/06/12 | | | | 140,000 | | | | 141,839 | |
| Americredit Automobile Receivables Trust 06-AF | | | 5.56 | | | 09/06/11 | | | | 64,605 | | | | 64,669 | |
| Americredit Automobile Receivables Trust 06-AF | | | 5.64 | | | 09/06/13 | | | | 300,000 | | | | 300,825 | |
| Americredit Automobile Receivables Trust 06-BG | | | 5.21 | | | 10/06/11 | | | | 115,587 | | | | 115,396 | |
| Americredit Automobile Receivables Trust 06-BG | | | 5.21 | | | 09/06/13 | | | | 1,190,000 | | | | 1,135,260 | |
| Americredit Automobile Receivables Trust 06-RM | | | 5.42 | | | 08/08/11 | | | | 828,371 | | | | 842,474 | |
| Americredit Automobile Receivables Trust 06-RM | | | 5.53 | | | 01/06/14 | | | | 2,960,000 | | | | 2,816,702 | |
| Americredit Automobile Receivables Trust 07-AX | | | 0.36 | (a) | | 10/06/13 | | | | 1,775,000 | | | | 1,489,488 | |
| Americredit Automobile Receivables Trust 07-CM | | | 0.40 | (a) | | 04/07/14 | | | | 1,125,000 | | | | 923,167 | |
| Americredit Automobile Receivables Trust 07-CM | | | 5.55 | | | 04/07/14 | | | | 150,000 | | | | 136,524 | |
| Americredit Automobile Receivables Trust 07-DF | | | 5.49 | | | 07/06/12 | | | | 76,849 | | | | 77,337 | |
| Americredit Automobile Receivables Trust 07-DF | | | 5.56 | | | 06/06/14 | | | | 455,000 | | | | 407,868 | |
| Americredit Automobile Receivables Trust 08-AF | | | 2.07 | (a) | | 01/12/12 | | | | 140,462 | | | | 139,936 | |
| Americredit Automobile Receivables Trust 08-AF | | | 6.96 | | | 10/14/14 | | | | 400,000 | | | | 365,287 | |
| Atlantic City Electric Transition Funding LLC 03-1 | | | 2.89 | | | 07/20/11 | | | | 35,720 | | | | 35,760 | |
| Bayview Auto Trust 05-LJ1 | | | 4.09 | | | 05/25/12 | | | | 567,921 | | | | 575,134 | |
| Capital One Auto Finance Trust 06-B | | | 5.45 | | | 02/15/11 | | | | 4,265 | | | | 4,268 | |
| Capital One Auto Finance Trust 07-B | | | 5.03 | | | 04/15/12 | | | | 568,198 | | | | 573,968 | |
| Caterpillar Financial Asset Trust 07-A | | | 5.34 | | | 06/25/12 | | | | 449,645 | | | | 459,036 | |
| Charming Shoppes Master Trust 04-1A(b) | | | 1.27 | (a) | | 05/15/14 | | | | 500,000 | | | | 458,512 | |
| CIT Equipment Collateral 08-VT1 | | | 6.59 | | | 12/22/14 | | | | 1,325,000 | | | | 1,336,346 | |
| CIT Marine Trust 99-A | | | 6.25 | | | 11/15/19 | | | | 664,320 | | | | 564,148 | |
| CIT RV Trust 99-A | | | 6.24 | | | 08/15/15 | | | | 17,531 | | | | 17,576 | |
| CPS Auto Trust 05-C(b) | | | 4.79 | | | 05/15/12 | | | | 263,287 | | | | 258,470 | |
| CPS Auto Trust 06-A(b) | | | 5.33 | | | 11/15/12 | | | | 1,245,141 | | | | 1,206,548 | |
| CPS Auto Trust 07-A(b) | | | 5.04 | | | 09/15/11 | | | | 729,312 | | | | 723,682 | |
| CPS Auto Trust 07-C(b) | | | 5.92 | | | 05/15/14 | | | | 1,584,990 | | | | 1,478,598 | |
| CPS Auto Trust 08-A(b) | | | 6.48 | | | 07/15/13 | | | | 475,000 | | | | 454,536 | |
| Credit Acceptance Auto Dealer Loan Trust 07-2(b) | | | 6.16 | | | 04/15/13 | | | | 362,560 | | | | 359,639 | |
| Daimler Chrysler Auto Trust 06-A | | | 5.01 | | | 01/08/11 | | | | 406,821 | | | | 408,849 | |
| Drive Auto Receivables Trust 06-1(b) | | | 5.54 | (d) | | 12/16/13 | | | | 534,863 | | | | 535,347 | |
| DVI Receivables Corp. 00-2 | | | 7.12 | | | 11/12/09 | | | | 98,350 | | | | 2,213 | |
| DVI Receivables Corp. 01-2 | | | 3.52 | | | 11/11/09 | | | | 337,953 | | | | 7,604 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|31 |
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Asset Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| DVI Receivables Corp. 02-1 | | | 4.57 | % | | 06/11/10 | | $ | 199,065 | | | $ | 2,986 | |
| DVI Receivables Corp. 03-1 | | | 0.82 | (a) | | 03/14/11 | | | 434,439 | | | | 14,119 | |
| E-Trade RV & Marine Trust 04-1 | | | 3.62 | | | 10/08/18 | | | 480,118 | | | | 467,655 | |
| Ford Credit Auto Owner Trust 07-A | | | 5.47 | | | 06/15/12 | | | 745,000 | | | | 777,872 | |
| GE Dealer Floorplan Master Note Trust 06-4 | | | 0.33 | (a) | | 10/20/11 | | | 2,175,000 | | | | 2,157,507 | |
| Great America Leasing Receivables 06-1(b) | | | 5.39 | | | 09/15/11 | | | 495,000 | | | | 504,303 | |
| GS Auto Loan Trust 07-1 | | | 5.48 | | | 12/15/14 | | | 1,825,000 | | | | 1,887,388 | |
| Hertz Vehicle Financing LLC 05-2(b) | | | 5.08 | | | 11/25/11 | | | 1,350,000 | | | | 1,317,067 | |
| Household Automotive Trust 06-1 | | | 5.43 | | | 06/17/11 | | | 201,594 | | | | 204,820 | |
| Household Credit Card Master Note Trust 07-2 | | | 0.87 | (a) | | 07/15/13 | | | 175,000 | | | | 168,803 | |
| Key Corp Student Loan Trust 01-A | | | 0.87 | (a) | | 06/27/31 | | | 1,012,131 | | | | 867,745 | |
| Key Corp Student Loan Trust 03-A | | | 1.40 | (a) | | 10/25/25 | | | 594,171 | | | | 582,195 | |
| Key Corp Student Loan Trust 04-A | | | 1.39 | (a) | | 10/28/41 | | | 1,041,226 | | | | 535,256 | |
| Key Corp Student Loan Trust 05-A | | | 0.73 | (a) | | 03/27/24 | | | 415,000 | | | | 342,707 | |
| Key Corp Student Loan Trust 06-A | | | 0.63 | (a) | | 09/27/21 | | | 332,913 | | | | 327,739 | |
| Long Beach Auto Receivables Trust 04-C | | | 3.78 | | | 07/15/11 | | | 165,148 | | | | 163,864 | |
| Long Beach Auto Receivables Trust 05-A | | | 4.25 | | | 04/15/12 | | | 161,516 | | | | 159,072 | |
| Long Beach Auto Receivables Trust 05-B | | | 4.52 | | | 06/15/12 | | | 883,757 | | | | 874,956 | |
| Long Beach Auto Receivables Trust 06-A | | | 5.50 | | | 05/15/13 | | | 1,420,059 | | | | 1,421,868 | |
| Long Beach Auto Receivables Trust 06-B | | | 5.17 | | | 08/15/11 | | | 992,441 | | | | 994,125 | |
| Long Beach Auto Receivables Trust 06-B | | | 5.18 | | | 09/15/13 | | | 650,000 | | | | 619,625 | |
| Long Beach Auto Receivables Trust 07-A | | | 4.97 | | | 10/15/11 | | | 111,303 | | | | 111,439 | |
| Long Beach Auto Receivables Trust 07-A | | | 5.03 | | | 01/15/14 | | | 275,000 | | | | 262,879 | |
| Marriott Vacation Club Owners Trust 06-1A(b) | | | 5.74 | | | 04/20/28 | | | 236,088 | | | | 208,115 | |
| Marriott Vacation Club Owners Trust 08-1A(b) | | | 7.20 | | | 05/20/30 | | | 568,235 | | | | 523,677 | |
| Merrill Auto Trust Securitization 07-01 | | | 0.38 | (a) | | 12/15/13 | | | 665,000 | | | | 638,382 | |
| National Collegiate Student Loan Trust 04-1 | | | 0.87 | (a) | | 06/25/27 | | | 287,110 | | | | 243,461 | |
| National Collegiate Student Loan Trust 05-1 | | | 0.45 | (a) | | 10/26/26 | | | 1,185,000 | | | | 836,478 | |
| National Collegiate Student Loan Trust 05-3 | | | 0.55 | (a) | | 07/25/28 | | | 700,000 | | | | 382,899 | |
| National Collegiate Student Loan Trust 06-1 | | | 0.50 | (a) | | 05/25/26 | | | 825,000 | | | | 448,030 | |
| Navistar Financial Dealer Note Master Trust 05-A | | | 0.42 | (a) | | 02/25/13 | | | 500,000 | | | | 473,907 | |
| Prestige Auto Receivables Trust 05-1A(b) | | | 4.37 | | | 06/15/12 | | | 152,807 | | | | 151,636 | |
| Prestige Auto Receivables Trust 06-1A(b) | | | 5.25 | | | 06/17/13 | | | 683,589 | | | | 693,486 | |
| Santander Drive Auto Receivables Trust 07-2 | | | 1.12 | (a) | | 08/15/14 | | | 1,055,795 | | | | 968,221 | |
| Santander Drive Auto Receivables Trust 07-3 | | | 5.52 | | | 10/15/14 | | | 1,800,000 | | | | 1,644,462 | |
| SLM Credit Student Loan Trust 06-A | | | 0.71 | (a) | | 12/15/20 | | | 200,000 | | | | 188,993 | |
| SLM Student Loan Trust 03-B | | | 1.03 | (a) | | 03/15/22 | | | 2,700,000 | | | | 2,054,413 | |
| SLM Student Loan Trust 05-B | | | 0.67 | (a) | | 12/16/19 | | | 429,724 | | | | 422,249 | |
| Small Business Administration 02-20K | | | 5.08 | | | 11/01/22 | | | 182,566 | | | | 190,871 | |
| Small Business Administration 03-10B | | | 3.39 | | | 03/01/13 | | | 138,801 | | | | 141,147 | |
| Small Business Administration 03-P10B | | | 5.14 | | | 08/10/13 | | | 75,505 | | | | 78,508 | |
| Small Business Administration 05-10E | | | 4.54 | | | 09/01/15 | | | 147,852 | | | | 153,170 | |
| Textron Financial Floorplan Master Note Trust-AA(b) | | | 0.38 | (a) | | 03/13/12 | | | 2,025,000 | | | | 1,538,757 | |
| Triad Automobile Receivables Trust 06-B | | | 5.41 | | | 08/12/11 | | | 210,899 | | | | 211,953 | |
| Triad Automobile Receivables Trust 06-B | | | 5.52 | | | 11/12/12 | | | 125,000 | | | | 120,179 | |
| Triad Automobile Receivables Trust 06-C | | | 5.26 | | | 11/14/11 | | | 445,689 | | | | 448,101 | |
| Triad Automobile Receivables Trust 06-C | | | 5.31 | | | 05/13/13 | | | 492,000 | | | | 482,624 | |
| UPFC Auto Receivables Trust 05-B | | | 4.98 | | | 08/15/11 | | | 123,166 | | | | 117,616 | |
| UPFC Auto Receivables Trust 06-A | | | 5.49 | | | 05/15/12 | | | 190,291 | | | | 188,070 | |
| UPFC Auto Receivables Trust 06-B | | | 5.01 | | | 08/15/12 | | | 103,100 | | | | 101,181 | |
| UPFC Auto Receivables Trust 07 –A | | | 5.53 | | | 07/15/13 | | | 149,928 | | | | 152,631 | |
| USXL Funding LLC 06-1A(b) | | | 5.38 | | | 04/15/14 | | | 244,250 | | | | 228,326 | |
| Washington Mutual Master Note Trust 07-A4A(b) | | | 5.20 | | | 10/15/14 | | | 925,000 | | | | 960,424 | |
| Total Asset Backed Securities (Cost $52,749,959) | | | | | | | | | | | | | 52,403,900 | |
The accompanying notes are an integral part of these financial statements.
32 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| MORTGAGE BACKED SECURITIES | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (19.2% of portfolio) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Accredited Mortgage Loan Trust 03-1 | | | 4.33 | (a) | | 06/25/33 | | $ | 260,842 | | | $ | 187,838 | |
| Accredited Mortgage Loan Trust 04-3 | | | 3.92 | (a) | | 10/25/34 | | | 7,723 | | | | 7,625 | |
| ACE Securities Corp. 06-SL1 | | | 0.47 | (a) | | 09/25/35 | | | 257,731 | | | | 69,107 | |
| ACE Securities Corp. 06-ASL1 | | | 0.45 | (a) | | 02/25/36 | | | 830,252 | | | | 164,668 | |
| Adjustable Rate Mortgage Trust 05-10 | | | 4.74 | (a) | | 01/25/36 | | | 194,202 | | | | 133,670 | |
| American Business Financial Services 02-1 | | | 7.01 | | | 12/15/32 | | | 89,394 | | | | 49,295 | |
| American Home Mortgage Investment Trust 05-03 | | | 4.97 | | | 09/25/35 | | | 71,997 | | | | 61,880 | |
| Amresco Residential Securities 98-1 | | | 7.57 | | | 10/25/27 | | | 112,415 | | | | 78,286 | |
| Banc of America Alternative Loan Trust Inc. 07-2 | | | 5.75 | | | 06/25/37 | | | 301,644 | | | | 191,545 | |
| Banc of America Funding Corp. 04-A | | | 5.00 | (a) | | 09/20/34 | | | 160,488 | | | | 143,423 | |
| Banc of America Funding Corp. 05-G | | | 5.24 | (a) | | 10/20/35 | | | 1,512,552 | | | | 1,174,078 | |
| Banc of America Funding Corp. 07-5 | | | 6.50 | | | 07/25/37 | | | 192,630 | | | | 146,218 | |
| Banc of America Mortgage Securites Inc. 02-J | | | 5.57 | (a) | | 09/25/32 | | | 21,541 | | | | 18,914 | |
| Banc of America Mortgage Securities Inc. 05-1 | | | 5.00 | | | 02/25/20 | | | 134,261 | | | | 101,295 | |
| Banc of America Mortgage Securities Inc. 05-C | | | 4.71 | (a) | | 04/25/35 | | | 110,302 | | | | 74,881 | |
| Bayview Financial Asset Trust 07-SSR1(b) | | | 0.76 | (a) | | 03/25/37 | | | 226,607 | | | | 132,685 | |
| Bear Stearns Adjustable Rate Mortgage Trust 04-10 | | | 4.56 | (a) | | 01/25/35 | | | 713,037 | | | | 522,521 | |
| Bear Stearns Adjustable Rate Mortgage Trust 05-12 | | | 5.44 | (a) | | 02/25/36 | | | 145,439 | | | | 89,088 | |
| Bear Stearns ALT-A Trust 04-11 | | | 5.12 | (a) | | 11/25/34 | | | 34,203 | | | | 20,666 | |
| Bear Stearns ALT-A Trust 05-4 | | | 5.36 | (a) | | 05/25/35 | | | 198,307 | | | | 128,204 | |
| Bear Stearns ALT-A Trust 05-9 | | | 5.75 | (a) | | 11/25/35 | | | 125,814 | | | | 74,693 | |
| Bear Stearns ALT-A Trust 06-6 | | | 5.68 | (a) | | 11/25/36 | | | 306,182 | | | | 155,026 | |
| Bear Stearns Asset Backed Securities Trust 03-3 | | | 0.90 | (a) | | 06/25/43 | | | 127,481 | | | | 85,957 | |
| Chase Mortgage Finance Corp. 03-S2 | | | 5.00 | | | 03/25/18 | | | 67,129 | | | | 66,772 | |
| Chase Mortgage Finance Corp. 05-A1 | | | 5.41 | (a) | | 12/25/35 | | | 76,205 | | | | 59,343 | |
| Chase Mortgage Finance Corp. 06-A1 | | | 5.97 | (a) | | 09/25/36 | | | 64,628 | | | | 47,690 | |
| Chaseflex Trust 05-2 | | | 6.00 | | | 06/25/35 | | | 208,021 | | | | 144,542 | |
| CITICORP Mortgage Securities, Inc. 88-11 | | | 3.84 | (a) | | 08/25/18 | | | 42,059 | | | | 40,919 | |
| CITICORP Mortgage Securities, Inc. 88-17 | | | 4.34 | (a) | | 11/25/18 | | | 62,991 | | | | 57,041 | |
| CITICORP Mortgage Securities, Inc. 07-1 | | | 5.50 | | | 01/25/22 | | | 833,039 | | | | 709,723 | |
| Citigroup Mortgage Loan Trust, Inc. 05-7 | | | 4.23 | (a) | | 09/25/35 | | | 518,505 | | | | 278,227 | |
| Cityscape Home Equity Loan Trust 96-2 | | | 8.10 | | | 08/25/26 | | | 288,891 | | | | 288,164 | |
| CMO Trust 17 | | | 7.25 | | | 04/20/18 | | | 1,541 | | | | 1,603 | |
| Conseco Finance Securitizations Corp. 01-2 | | | 6.60 | | | 02/01/33 | | | 297,056 | | | | 191,351 | |
| Contimortgage Home Equity Loan Trust 95-2 | | | 8.10 | | | 08/15/25 | | | 56,938 | | | | 48,924 | |
| Countrywide Alternative Loan Trust 04-24CB | | | 6.00 | | | 11/25/34 | | | 127,557 | | | | 106,490 | |
| Countrywide Alternative Loan Trust 05-11CB | | | 5.50 | | | 06/25/35 | | | 386,255 | | | | 303,194 | |
| Countrywide Alternative Loan Trust 05-43 | | | 5.64 | (a) | | 10/25/35 | | | 75,857 | | | | 42,790 | |
| Countrywide Asset Backed Certificate 02-S4 | | | 5.22 | (a) | | 10/25/17 | | | 839,224 | | | | 762,019 | |
| Countrywide Asset Backed Certificate 04-S1 | | | 4.62 | | | 02/25/35 | | | 198,799 | | | | 140,941 | |
| Countrywide Asset Backed Certificate 06-S7 | | | 5.71 | | | 11/25/35 | | | 278,840 | | | | 52,602 | |
| Countrywide Asset Backed Certificate 07-S3 | | | 0.42 | (a) | | 05/25/37 | | | 568,638 | | | | 392,873 | |
| Countrywide Asset Backed Certificate 07-S1 | | | 5.69 | | | 11/25/36 | | | 350,388 | | | | 140,160 | |
| Countrywide Home Loans 03-49 | | | 4.59 | (a) | | 12/19/33 | | | 200,257 | | | | 183,642 | |
| Countrywide Home Loans 03-56 | | | 4.49 | | | 12/25/33 | | | 89,344 | | | | 86,988 | |
| Countrywide Home Loans 03-J13 | | | 5.25 | | | 01/25/24 | | | 557,735 | | | | 544,251 | |
| Countrywide Home Loans 05-HYB8 | | | 5.49 | (a) | | 12/20/35 | | | 261,929 | | | | 161,429 | |
| Countrywide Home Loans 06-HYB5 | | | 5.78 | (a) | | 09/20/36 | | | 139,061 | | | | 63,694 | |
| Credit Suisse First Boston Mortgage 03-21 | | | 4.75 | | | 08/25/18 | | | 340,360 | | | | 296,929 | |
| Credit Suisse First Boston Mortgage 03-21 | | | 1.81 | (a) | | 09/25/33 | | | 51,508 | | | | 39,673 | |
| Credit Suisse First Boston Mortgage 03-AR24 | | | 4.25 | (a) | | 10/25/33 | | | 518,692 | | | | 424,847 | |
| Credit Suisse First Boston Mortgage 03-FFA | | | 6.10 | (a) | | 02/25/33 | | | 417,159 | | | | 354,744 | |
| Credit Suisse First Boston Mortgage 04-4 | | | 5.50 | | | 06/25/15 | | | 272,635 | | | | 261,743 | |
| Credit Suisse First Boston Mortgage 04-AR3 | | | 4.19 | (a) | | 04/25/34 | | | 143,180 | | | | 120,429 | |
| Credit Suisse First Boston Mortgage 05-10 | | | 5.25 | | | 11/25/20 | | | 567,113 | | | | 497,808 | |
| Credit Suisse First Boston Mortgage 06-1 | | | 0.44 | (a) | | 05/25/36 | | | 975,875 | | | | 506,188 | |
| Credit Suisse First Boston Mortgage 06-2 | | | 5.41 | (a) | | 07/25/36 | | | 1,120,000 | | | | 76,280 | |
| DLJ Mortgage Acceptance Corp. 91-3 | | | 4.17 | (a) | | 02/20/21 | | | 46,173 | | | | 46,124 | |
| FHLMC 2419 | | | 5.50 | | | 03/15/17 | | | 6,853 | | | | 7,331 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|33 |
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Mortgage Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| FHLMC 2586 | | | 3.50 | % | | 12/15/32 | | $ | 192,555 | | | $ | 193,585 | |
| FHLMC 2649 | | | 4.50 | | | 07/15/18 | | | 670,426 | | | | 681,826 | |
| FHLMC 3061 | | | 5.50 | | | 07/15/16 | | | 472,440 | | | | 507,751 | |
| FHLMC 3071 | | | 5.75 | | | 11/15/34 | | | 65,092 | | | | 66,359 | |
| FHLMC 780754 | | | 4.66 | (a) | | 08/01/33 | | | 43,913 | | | | 44,782 | |
| FHLMC M80833 | | | 4.00 | | | 08/01/10 | | | 249,672 | | | | 254,294 | |
| FHLMC M80848 | | | 3.00 | | | 07/01/10 | | | 176,571 | | | | 178,682 | |
| FHLMC M90951 | | | 4.50 | | | 10/01/09 | | | 70,115 | | | | 70,519 | |
| FHLMC R009 | | | 5.75 | | | 12/15/18 | | | 429,875 | | | | 444,897 | |
| FHLMC R010 | | | 5.50 | | | 12/15/19 | | | 942,156 | | | | 969,587 | |
| FHLMC R013 | | | 6.00 | | | 12/15/21 | | | 368,932 | | | | 382,219 | |
| First Alliance Mortgage Loan Trust 94-1 | | | 5.85 | | | 04/25/25 | | | 23,945 | | | | 14,760 | |
| First Alliance Mortgage Loan Trust 94-2 | | | 7.63 | | | 07/25/25 | | | 32,779 | | | | 22,531 | |
| First Alliance Mortgage Loan Trust 94-3 | | | 7.83 | | | 10/25/25 | | | 720 | | | | 563 | |
| First Horizon Mortgage Alternative Mortgage Securities 04-AA3 | | | 5.12 | (a) | | 09/25/34 | | | 50,940 | | | | 34,248 | |
| First Horizon Mortgage Pass-Through Trust 05-AR2 | | | 3.18 | (a) | | 05/25/35 | | | 273,290 | | | | 210,497 | |
| Flagstar Home Equity Loan Trust 07-1A(b) | | | 5.77 | | | 01/25/35 | | | 250,000 | | | | 184,816 | |
| FNMA 03-05 | | | 4.25 | | | 08/25/22 | | | 150,722 | | | | 155,097 | |
| FNMA 03-38 | | | 5.00 | | | 03/25/23 | | | 172,644 | | | | 180,390 | |
| FNMA 03-81 | | | 4.75 | | | 09/25/18 | | | 282,635 | | | | 289,711 | |
| FNMA 03-86 | | | 4.50 | | | 09/25/18 | | | 349,347 | | | | 350,272 | |
| FNMA 04-34 | | | 5.50 | | | 05/25/19 | | | 495,205 | | | | 501,064 | |
| FNMA 05-14 | | | 0.61 | (a) | | 03/25/35 | | | 30,853 | | | | 30,352 | |
| FNMA 06-10 | | | 5.75 | | | 09/25/20 | | | 63,425 | | | | 65,908 | |
| FNMA 813842 | | | 4.21 | (a) | | 01/01/35 | | | 48,508 | | | | 49,253 | |
| GMAC Mortgage Corp. Loan Trust 05-AR3 | | | 4.86 | (a) | | 06/19/35 | | | 222,482 | | | | 180,830 | |
| GMAC Mortgage Corp. Loan Trust 05-HE2 | | | 4.62 | | | 11/25/35 | | | 26,293 | | | | 24,898 | |
| GMAC Mortgage Corp. Loan Trust 06-HE3 | | | 5.75 | | | 10/25/36 | | | 199,040 | | | | 123,342 | |
| GMAC Mortgage Corp. Loan Trust 07-HE1 | | | 5.95 | | | 08/25/37 | | | 1,100,000 | | | | 337,873 | |
| GNMA 02-15 | | | 5.50 | | | 11/20/31 | | | 85,856 | | | | 87,580 | |
| GNMA 02-88 | | | 5.00 | | | 05/16/31 | | | 60,050 | | | | 61,879 | |
| GNMA 03-11 | | | 4.00 | | | 10/17/29 | | | 335,444 | | | | 330,724 | |
| GNMA 03-12 | | | 4.50 | | | 02/20/32 | | | 93,697 | | | | 96,023 | |
| GNMA 03-26 | | | 0.77 | (a) | | 04/16/33 | | | 48,009 | | | | 47,299 | |
| GNMA 03-92 | | | 4.50 | | | 12/16/26 | | | 32,857 | | | | 33,527 | |
| GNMA 04-17 | | | 4.50 | | | 12/20/33 | | | 99,037 | | | | 101,969 | |
| GNMA 06-36 | | | 6.00 | | | 02/20/21 | | | 12,131 | | | | 12,131 | |
| GNMA 583189 | | | 4.50 | | | 02/20/17 | | | 40,975 | | | | 42,466 | |
| Green Tree Financial Corp. 98-5 | | | 6.22 | | | 03/01/30 | | | 253,135 | | | | 203,080 | |
| GS Mortgage Loan Trust 03-3F | | | 5.00 | | | 04/25/33 | | | 63,393 | | | | 63,375 | |
| GS Mortgage Loan Trust 03-10 | | | 4.94 | (a) | | 10/25/33 | | | 471,574 | | | | 404,744 | |
| GS Mortgage Loan Trust 05-8F | | | 5.50 | | | 10/25/20 | | | 234,389 | | | | 214,832 | |
| GS Mortgage Loan Trust 05-AR3 | | | 5.03 | (a) | | 05/25/35 | | | 192,870 | | | | 109,247 | |
| GS Mortgage Loan Trust 05-AR6 | | | 4.56 | (a) | | 09/25/35 | | | 150,730 | | | | 123,556 | |
| Home Equity Mortgage Loan Asset-Backed Trust 06-A | | | 5.77 | | | 05/25/36 | | | 253,627 | | | | 226,581 | |
| Home Equity Mortgage Trust 06-1 | | | 5.28 | (a) | | 05/25/36 | | | 1,430,000 | | | | 224,601 | |
| IMPAC Secured Assets Corp. 03-3 | | | 4.20 | | | 08/25/32 | | | 459,400 | | | | 405,227 | |
| Indymac Indx Mortgage Loan Trust 04-AR6 | | | 4.93 | (a) | | 10/25/34 | | | 24,520 | | | | 18,233 | |
| Indymac Indx Mortgage Loan Trust 05-AR15 | | | 5.10 | (a) | | 09/25/35 | | | 78,564 | | | | 48,572 | |
| Indymac Indx Mortgage Loan Trust 05-L1 | | | 0.51 | (a) | | 06/25/10 | | | 511,523 | | | | 401,583 | |
| JP Morgan Mortgage Trust 04-A3 | | | 4.96 | (a) | | 07/25/34 | | | 478,978 | | | | 431,784 | |
| JP Morgan Mortgage Trust 05-A2 | | | 5.20 | (a) | | 04/25/35 | | | 1,165,608 | | | | 830,654 | |
| JP Morgan Residential Mortgage Acceptance Corp.06-R1(b) | | | 4.95 | (a) | | 09/28/44 | | | 1,404,041 | | | | 790,580 | |
| Lehman ABS Manufactured Housing Contract 01-B | | | 4.35 | | | 05/15/14 | | | 193,388 | | | | 124,449 | |
| Master Adjustable Rate Mortgages Trust 04-13 | | | 4.37 | (a) | | 04/21/34 | | | 93,265 | | | | 81,588 | |
| Master Adjustable Rate Mortgages Trust 05-1 | | | 5.22 | (a) | | 01/25/35 | | | 100,716 | | | | 80,946 | |
| Master Alternative Loans Trust 03-5 | | | 6.00 | | | 08/25/33 | | | 123,551 | | | | 104,381 | |
| Master Asset Securitization Trust 03-6 | | | 5.00 | | | 07/25/18 | | | 82,205 | | | | 81,768 | |
| Master Asset Securitization Trust 06-1 | | | 6.00 | | | 10/25/22 | | | 582,695 | | | | 448,610 | |
The accompanying notes are an integral part of these financial statements.
34 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Mortgage Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Merrill Lynch Mortgage Investors Trust 03-A2 | | | 3.05 | (a)% | | 02/25/33 | | $ | 76,464 | | | $ | 58,377 | |
| Merrill Lynch Mortgage Investors Trust 06-SL1 | | | 0.49 | (a) | | 09/25/36 | | | 920,182 | | | | 192,079 | |
| Morgan Stanley Capital Inc. 04-1 | | | 5.00 | | | 11/25/18 | | | 446,422 | | | | 421,979 | |
| Morgan Stanley Mortgage Loan Trust 04-4 | | | 4.75 | | | 08/25/34 | | | 7,831 | | | | 7,735 | |
| Morgan Stanley Mortgage Loan Trust 05-5AR | | | 5.52 | (a) | | 09/25/35 | | | 75,789 | | | | 46,603 | |
| Morgan Stanley Mortgage Loan Trust 06-1AR | | | 5.49 | (a) | | 02/25/36 | | | 220,405 | | | | 123,791 | |
| Morgan Stanley Mortgage Loan Trust 07-10XS | | | 6.00 | | | 02/25/37 | | | 611,578 | | | | 504,506 | |
| MSDWCC HELOC Trust 03-2 | | | 0.57 | (a) | | 04/25/16 | | | 886,522 | | | | 496,480 | |
| New Century Home Equity Loan Trust 97-NC5 | | | 7.20 | | | 10/25/28 | | | 567 | | | | 566 | |
| Nomura Asset Acceptance Corporation 06-AF2 | | | 0.41 | (a) | | 08/25/36 | | | 402,304 | | | | 284,471 | |
| Novastar Home Equity Loan 06-3 | | | 0.42 | (a) | | 10/25/36 | | | 342,621 | | | | 289,409 | |
| Oakwood Mortgage Investors, Inc. 99-D | | | 7.84 | | | 11/15/29 | | | 458,544 | | | | 256,887 | |
| Oakwood Mortgage Investors, Inc. 02-A | | | 0.57 | (a) | | 09/15/14 | | | 269,159 | | | | 98,281 | |
| Option One Mortgage Loan Trust 07-FXD1 | | | 5.60 | | | 01/25/37 | | | 260,000 | | | | 202,960 | |
| Option One Mortgage Loan Trust 07-FXD2 | | | 5.90 | | | 03/25/37 | | | 140,961 | | | | 124,877 | |
| Prime Mortgage Trust 05-2 | | | 5.00 | | | 07/25/20 | | | 398,597 | | | | 372,564 | |
| Residential Accredit Loans, Inc. 02-QS9 | | | 0.91 | (a) | | 07/25/32 | | | 10,421 | | | | 7,399 | |
| Residential Accredit Loans, Inc. 05-QS5 | | | 5.70 | | | 04/25/35 | | | 95,009 | | | | 76,735 | |
| Residential Accredit Loans, Inc. 06-QS4 | | | 6.00 | | | 04/25/36 | | | 679,204 | | | | 383,644 | |
| Residential Asset Mortgage Products Inc. 02-RS5 | | | 4.75 | | | 09/25/32 | | | 409,269 | | | | 268,129 | |
| Residential Asset Securitization Trust 04-A3 | | | 5.25 | | | 06/25/34 | | | 136,274 | | | | 89,197 | |
| Residential Asset Securitization Trust 05-A14 | | | 5.50 | | | 12/25/35 | | | 409,681 | | | | 277,160 | |
| Residential Funding Mortgage Securities 00-HI5 | | | 7.48 | (a) | | 12/25/25 | | | 1,277,277 | | | | 1,124,677 | |
| Residential Funding Mortgage Securities I 03-S11 | | | 3.50 | | | 06/25/18 | | | 74,483 | | | | 74,138 | |
| Residential Funding Mortgage Securities I 03-S15 | | | 4.50 | | | 08/25/18 | | | 240,959 | | | | 236,103 | |
| Residential Funding Mortgage Securities I 03-S17 | | | 5.50 | | | 09/25/33 | | | 407,640 | | | | 383,025 | |
| Residential Funding Mortgage Securities I 05-SA2 | | | 4.34 | (a) | | 06/25/35 | | | 65,458 | | | | 42,560 | |
| Residential Funding Mortgage Securities I 06-SA1 | | | 5.56 | (a) | | 02/25/36 | | | 74,789 | | | | 46,030 | |
| Ryland Acceptance Corp. 64 E | | | 3.50 | (a) | | 04/01/18 | | | 64,137 | | | | 64,513 | |
| SACO I Trust 05-6 | | | 0.57 | (a) | | 09/25/35 | | | 952,464 | | | | 339,304 | |
| Salomon Brothers Mortgage Securities 97-LB6 | | | 6.82 | | | 12/25/27 | | | 58 | | | | 58 | |
| Structured Adjustable Rate Mortgage Loan Trust 04-3AC | | | 3.98 | (a) | | 03/25/34 | | | 34,871 | | | | 27,573 | |
| Structured Adjustable Rate Mortgage Loan Trust 04-4 | | | 5.47 | (a) | | 04/25/34 | | | 2,661,023 | | | | 2,069,416 | |
| Structured Adjustable Rate Mortgage Loan Trust 04-8 | | | 4.66 | (a) | | 07/25/34 | | | 700,000 | | | | 631,713 | |
| Structured Adjustable Rate Mortgage Loan Trust 04-11 | | | 4.07 | (a) | | 08/25/34 | | | 68,486 | | | | 45,783 | |
| Structured Adjustable Rate Mortgage Loan Trust 04-18 | | | 4.11 | (a) | | 12/25/34 | | | 133,244 | | | | 60,277 | |
| Structured Adjustable Rate Mortgage Loan Trust 05-11 | | | 5.32 | (a) | | 05/25/35 | | | 602,512 | | | | 331,554 | |
| Structured Adjustable Rate Mortgage Loan Trust 06-1 | | | 5.62 | (a) | | 02/25/36 | | | 69,295 | | | | 40,905 | |
| Structured Adjustable Rate Mortgage Loan Trust 06-1 | | | 5.62 | (a) | | 02/25/36 | | | 338,182 | | | | 232,853 | |
| Structured Adjustable Rate Mortgage Loan Trust 06-4 | | | 5.88 | (a) | | 05/25/36 | | | 213,890 | | | | 125,117 | |
| Structured Adjustable Rate Mortgage Loan Trust 06-4 | | | 5.87 | (a) | | 05/25/36 | | | 213,487 | | | | 110,047 | |
| Structured Asset Mortgage Investments 04-AR5 | | | 4.22 | (a) | | 10/19/34 | | | 43,082 | | | | 32,407 | |
| Structured Asset Securities Corp. 98-RF1(b) | | | 8.55 | (a) | | 04/15/27 | | | 66,828 | | | | 57,611 | |
| Structured Asset Securities Corp. 03-8 | | | 5.00 | | | 04/25/33 | | | 92,198 | | | | 63,266 | |
| Structured Asset Securities Corp. 03-21 | | | 5.50 | | | 07/25/33 | | | 169,522 | | | | 168,811 | |
| Structured Asset Securities Corp. 03-37A | | | 3.79 | (a) | | 12/25/33 | | | 352,854 | | | | 300,226 | |
| Structured Asset Securities Corp. 04-3 | | | 5.54 | (a) | | 03/25/24 | | | 458,193 | | | | 397,875 | |
| Vanderbilt Mortgage & Finance 03-A | | | 0.97 | (a) | | 05/07/26 | | | 528,275 | | | | 439,929 | |
| Wachovia Mortgage Loan Trust 06-A | | | 5.24 | (a) | | 05/20/36 | | | 464,502 | | | | 330,039 | |
| Washington Mutual Mortgage Securities Corp. 04-AR3 | | | 3.14 | (a) | | 06/25/34 | | | 146,312 | | | | 128,226 | |
| Washington Mutual Mortgage Securities Corp. 04-AR14 | | | 4.21 | (a) | | 01/25/35 | | | 243,364 | | | | 214,191 | |
| Washington Mutual Mortgage Securities Corp. 05-AR7 | | | 4.91 | (a) | | 08/25/35 | | | 397,643 | | | | 341,603 | |
| Washington Mutual Mortgage Securities Corp. 05-AR12 | | | 4.82 | (a) | | 10/25/35 | | | 52,157 | | | | 40,603 | |
| Washington Mutual Mortgage Securities Corp. 05-AR15 | | | 0.56 | (a) | | 11/25/45 | | | 384,277 | | | | 301,510 | |
| Washington Mutual MSC Mortgage Pass-Through Certificates 03-MS2 | | | 5.00 | | | 03/25/18 | | | 274,715 | | | | 273,256 | |
| Wells Fargo Mortgage Backed Securities Trust 03-6 | | | 5.00 | | | 06/25/18 | | | 61,259 | | | | 60,933 | |
| Wells Fargo Mortgage Backed Securities Trust 03-17 | | | 5.00 | | | 01/25/34 | | | 309,833 | | | | 293,037 | |
| Wells Fargo Mortgage Backed Securities Trust 04-B | | | 4.90 | (a) | | 02/25/34 | | | 111,498 | | | | 99,625 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|35 |
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| | | Interest Rate | | | Maturity Date | | Face Amount | | | Value | |
| (Mortgage Backed Securities continued) | | | | | | | | | | | |
| | | | | | | | | | | | |
| Wells Fargo Mortgage Backed Securities Trust 04-BB | | | 4.55 | (a)% | | 01/25/35 | | $ | 63,032 | | | $ | 55,876 | |
| Wells Fargo Mortgage Backed Securities Trust 04-E | | | 4.86 | (a) | | 05/25/34 | | | 182,116 | | | | 162,962 | |
| Wells Fargo Mortgage Backed Securities Trust 04-EE | | | 4.47 | (a) | | 12/25/34 | | | 75,089 | | | | 69,375 | |
| Wells Fargo Mortgage Backed Securities Trust 04-F | | | 4.72 | (a) | | 06/25/34 | | | 1,137,540 | | | | 1,032,798 | |
| Wells Fargo Mortgage Backed Securities Trust 04-I | | | 4.97 | (a) | | 07/25/34 | | | 10,914 | | | | 9,120 | |
| Wells Fargo Mortgage Backed Securities Trust 04-K | | | 4.47 | (a) | | 07/25/34 | | | 384,284 | | | | 345,892 | |
| Wells Fargo Mortgage Backed Securities Trust 04-K | | | 4.72 | (a) | | 07/25/34 | | | 186,775 | | | | 164,721 | |
| Wells Fargo Mortgage Backed Securities Trust 04-K | | | 4.72 | (a) | | 07/25/34 | | | 867,710 | | | | 783,820 | |
| Wells Fargo Mortgage Backed Securities Trust 04-R | | | 4.27 | (a) | | 09/25/34 | | | 155,124 | | | | 127,583 | |
| Wells Fargo Mortgage Backed Securities Trust 05-AR13 | | | 5.31 | (a) | | 05/25/35 | | | 250,000 | | | | 176,840 | |
| Wells Fargo Mortgage Backed Securities Trust 05-AR14 | | | 5.39 | (a) | | 08/25/35 | | | 98,298 | | | | 74,521 | |
| Wells Fargo Mortgage Backed Securities Trust 05-AR15 | | | 5.11 | (a) | | 09/25/35 | | | 633,801 | | | | 482,838 | |
| Wells Fargo Mortgage Backed Securities Trust 05-AR16 | | | 5.26 | (a) | | 10/25/35 | | | 158,016 | | | | 132,997 | |
| Wells Fargo Mortgage Backed Securities Trust 06-AR4 | | | 5.77 | (a) | | 04/25/36 | | | 118,502 | | | | 87,537 | |
| Wells Fargo Mortgage Backed Securities Trust 06-16 | | | 5.00 | | | 11/25/36 | | | 83,629 | | | | 76,984 | |
| Wells Fargo Mortgage Backed Securities Trust 06-AR19 | | | 5.63 | (a) | | 12/25/36 | | | 72,837 | | | | 49,130 | |
| Total Mortgage Backed Securities (Cost $53,627,478) | | | | | | | | | | | | | 42,087,543 | |
| | | | | | | | | | | | | | | |
| MUNICIPAL BONDS | | | | | | | | | | | | | | |
| (7.7% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Burlington Kansas Environmental Improvement | | | 5.13 | (a) | | 09/01/35 | | | 1,175,000 | | | | 1,219,709 | |
| California, State of | | | 5.65 | | | 04/01/39 | | | 125,000 | | | | 123,051 | |
| Chicago Illinois Public Building Commission | | | 7.13 | | | 01/01/10 | | | 250,000 | | | | 255,945 | |
| Fiscal Year 2005 Securitization Corp. New York | | | 3.51 | | | 10/01/12 | | | 380,000 | | | | 383,963 | |
| Florida State Municipal Power Agency | | | 4.87 | | | 10/01/11 | | | 1,975,000 | | | | 2,029,313 | |
| Genessee County Michigan | | | 3.50 | | | 10/01/10 | | | 2,175,000 | | | | 2,192,509 | |
| Louisiana State Gas & Fuels Tax | | | 3.00 | (a) | | 05/01/43 | | | 450,000 | | | | 446,198 | |
| Luzerne County Pennsylvania | | | 5.20 | | | 11/15/13 | | | 110,000 | | | | 111,257 | |
| Luzerne County Pennsylvania | | | 5.20 | | | 11/15/13 | | | 565,000 | | | | 574,373 | |
| Medical University South Carolina Hospital Authority | | | 4.47 | | | 08/15/11 | | | 370,000 | | | | 365,168 | |
| New Orleans Louisiana Aviation Board | | | 4.50 | | | 01/01/12 | | | 935,000 | | | | 946,398 | |
| Oakland California Redevelopment Agency | | | 7.25 | | | 09/01/15 | | | 400,000 | | | | 399,548 | |
| Orange County California Pension Obligation | | | 0.00 | (c) | | 09/01/12 | | | 1,650,000 | | | | 1,401,708 | |
| Philadelphia Pennsylvania Authority for Industrial Development | | | 0.00 | (c) | | 04/15/15 | | | 4,075,000 | | | | 2,712,483 | |
| Santa Cruz County California Redevelopment Agency | | | 7.88 | | | 09/01/30 | | | 220,000 | | | | 239,028 | |
| Vermont Housing Finance Agency | | | 8.00 | (a) | | 05/01/37 | | | 1,225,000 | | | | 1,225,000 | |
| Wayne County Michigan | | | 4.00 | | | 12/01/09 | | | 1,175,000 | | | | 1,181,368 | |
| Wayne County Michigan | | | 4.50 | | | 06/01/10 | | | 1,175,000 | | | | 1,189,182 | |
| Total Municipal Bonds (Cost $16,780,034) | | | | | | | | | | | | | 16,996,201 | |
| | | | | | | | | | | | | | | |
| U.S. GOVERNMENT AND AGENCY OBLIGATIONS | | | | | | | | | | | | | | |
| (3.7% of portfolio) | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| Bartram Trail CDC Inc.(b) | | | 5.50 | (a) | | 07/01/32 | | | 799,000 | | | | 822,283 | |
| Federal Home Loan Bank | | | 4.30 | | | 06/10/13 | | | 100,000 | | | | 100,044 | |
| Federal Home Loan Mortgage Corp. | | | 4.35 | | | 07/02/13 | | | 100,000 | | | | 100,011 | |
| Government Trust Certificate (Sri Lanka Trust) | | | 1.30 | (a) | | 06/15/12 | | | 150,000 | | | | 150,000 | |
| Overseas Private Investment Corp. | | | 5.30 | (e) | | 09/15/10 | | | 250,000 | | | | 293,197 | |
| Overseas Private Investment Corp. | | | 4.10 | | | 11/15/14 | | | 505,120 | | | | 510,717 | |
| Overseas Private Investment Corp. | | | 4.91 | (e) | | 09/15/10 | | | 2,500,000 | | | | 2,822,575 | |
| Tennessee Valley Authority | | | 4.50 | | | 10/15/13 | | | 100,000 | | | | 98,629 | |
| Tennessee Valley Authority | | | 8.25 | (d) | | 04/15/42 | | | 775,000 | | | | 718,436 | |
| U.S. Department of Housing & Urban Development | | | 6.07 | | | 08/01/21 | | | 115,000 | | | | 121,976 | |
| U.S. Department of Housing & Urban Development | | | 7.50 | | | 08/01/11 | | | 180,000 | | | | 181,044 | |
| U.S. Department of Housing & Urban Development | | | 6.12 | | | 08/01/22 | | | 675,000 | | | | 715,848 | |
| U.S. Department of Housing & Urban Development | | | 3.44 | | | 08/01/11 | | | 1,375,000 | | | | 1,433,440 | |
| Total U.S. Government and Agency Obligations (Cost $7,791,068) | | | | | | | | | | | | | 8,068,200 | |
The accompanying notes are an integral part of these financial statements.
36 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Short-Term Bond Fund (continued)
June 30, 2009 (Unaudited)
| MONEY MARKET ACCOUNTS | | Interest Rate | | | Shares | | | Value | |
| (4.9% of portfolio) | | | | | | | | | |
| | | | | | | | | | |
| SSgA Prime Money Market Fund | | | 0.34 | (f)% | | | 10,722,000 | | | $ | 10,722,000 | |
| SSgA Money Market Fund | | | 0.25 | (f) | | | 1,732 | | | | 1,732 | |
| Total Money Market Accounts (Cost $10,723,732) | | | | | | | | | | | 10,723,732 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $229,804,526)—100% | | | | | | | | | | $ | 219,729,749 | |
| (a) | Variable coupon rate as of June 30, 2009. |
| (b) | 144A security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. Total of such securities at period-end amounts to $20,915,223 and represents 9.52% of total investments. |
| (c) | Zero coupon security, purchased at a discount. |
| (d) | Step coupon security, the current rate may be adjusted updwards before maturity date. |
| (e) | Interest is paid at maturity. |
| (f) | 7-day yield at June 30, 2009. |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|37 |
June 30, 2009 (Unaudited)
| | | Cost | | | Value | |
| Investment in S&P 500 Index Master Portfolio | | $ | 39,240,991 | | | $ | 42,079,769 | |
Substantially all the assets of the Stock Index Fund are invested in the S&P 500 Index Master Portfolio managed by Barclays Global Advisors. As of June 30, 2009, the Stock Index Fund’s ownership interest in the S&P 500 Index Master Portfolio was 2.48%.
The accompanying notes are an integral part of these financial statements.
38 | Portfolio of Investments
June 30, 2009 (Unaudited)
| COMMON STOCKS | | Shares | | | Value | |
| (97.0% of portfolio) | | | | | | |
| | | | | | | |
| CONSUMER DISCRETIONARY—2.3% | | | | | | |
| Auto Components | | | | | | |
| Cooper Tire & Rubber Co. | | | 440,000 | | | $ | 4,364,800 | |
| Multiline Retail | | | | | | | | |
| Dillard’s, Inc. (Class A) | | | 367,700 | | | | 3,382,840 | |
| Restaurants | | | | | | | | |
| Tim Hortons Inc. | | | 56,852 | | | | 1,395,148 | |
| Total Consumer Discretionary | | | | | | | 9,142,788 | |
| | | | | | | | | |
| CONSUMER STAPLES—4.8% | | | | | | | | |
| Food Products | | | | | | | | |
| Dean Foods Co.(a) | | | 634,800 | | | | 12,181,812 | |
| J.M. Smucker Co. (The) | | | 148,853 | | | | 7,243,187 | |
| Total Consumer Staples | | | | | | | 19,424,999 | |
| | | | | | | | | |
| ENERGY—10.6% | | | | | | | | |
| Energy Equipment & Services | | | | | | | | |
| Baker Hughes Inc. | | | 187,000 | | | | 6,814,280 | |
| Oil & Gas | | | | | | | | |
| Chevron Corp. | | | 200,000 | | | | 13,250,000 | |
| ConocoPhillips | | | 244,000 | | | | 10,262,640 | |
| Marathon Oil Corp. | | | 428,000 | | | | 12,895,640 | |
| Total Energy | | | | | | | 43,222,560 | |
| | | | | | | | | |
| FINANCIALS—9.9% | | | | | | | | |
| Commercial Banks | | | | | | | | |
| Bank of America Corp. | | | 230,200 | | | | 3,038,640 | |
| Commerce Bancshares, Inc. | | | 25,895 | | | | 824,238 | |
| Wells Fargo & Company | | | 100,000 | | | | 2,426,000 | |
| Diversified Financial Services | | | | | | | | |
| JPMorgan Chase & Co. | | | 442,600 | | | | 15,097,086 | |
| Insurance | | | | | | | | |
| Allstate Corp. (The) | | | 285,000 | | | | 6,954,000 | |
| Chubb Corp. (The) | | | 122,000 | | | | 4,865,360 | |
| Principal Financial Group, Inc.(a) | | | 142,800 | | | | 2,690,352 | |
| Unum Group | | | 286,300 | | | | 4,540,718 | |
| Total Financials | | | | | | | 40,436,394 | |
| | | | | | | | | |
| HEALTH CARE—24.9% | | | | | | | | |
| Health Care Equipment & Supplies | | | | | | | | |
| Covidien PLC | | | 207,600 | | | | 7,772,544 | |
| Hospira, Inc.(a) | | | 421,500 | | | | 16,236,180 | |
| Pharmaceuticals | | | | | | | | |
| Abbott Laboratories | | | 399,000 | | | | 18,768,960 | |
| Bristol-Myers Squibb Co. | | | 829,700 | | | | 16,851,207 | |
| Pfizer Inc. | | | 1,107,000 | | | | 16,605,000 | |
| GlaxoSmithKline plc ADR | | | 354,000 | | | | 12,510,360 | |
| Schering-Plough Corp. | | | 500,000 | | | | 12,560,000 | |
| Total Health Care | | | | | | | 101,304,251 | |
| | | | | | | | | |
| INDUSTRIALS—15.2% | | | | | | | | |
| Airlines | | | | | | | | |
| Southwest Airlines Co. | | | 795,600 | | | | 5,354,388 | |
| Commercial Services & Supplies | | | | | | | | |
| Avery Dennison Corp. | | | 393,500 | | | | 10,105,080 | |
| R.R. Donnelley & Sons Co. | | | 121,700 | | | | 1,414,154 | |
| Industrial Conglomerates | | | | | | | | |
| Honeywell International Inc. | | | 231,100 | | | | 7,256,540 | |
| Parker-Hannifin Corp. | | | 316,462 | | | | 13,595,207 | |
| Tyco International Ltd. | | | 164,850 | | | | 4,282,803 | |
| Machinery | | | | | | | | |
| Flowserve Corp. | | | 95,300 | | | | 6,652,893 | |
| Distributers | | | | | | | | |
| Applied Industrial Technologies, Inc. | | | 130,500 | | | | 2,570,850 | |
| Genuine Parts Co. | | | 315,400 | | | | 10,584,824 | |
| Total Industrials | | | | | | | 61,816,739 | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY—18.7% | | | | | | | | |
| Communications Equipment | | | | | | | | |
| Cisco Systems, Inc.(a) | | | 788,500 | | | | 14,697,640 | |
| Computers & Peripherals | | | | | | | | |
| Dell Inc.(a) | | | 1,282,000 | | | | 17,601,860 | |
| Hewlett-Packard Co. | | | 354,000 | | | | 13,682,100 | |
| Electronic Equipment, Instruments & Components | | | | | | | | |
| Motorola, Inc. | | | 99,000 | | | | 656,370 | |
| Tyco Electronics Ltd. | | | 164,850 | | | | 3,064,561 | |
| IT Services | | | | | | | | |
| SAIC, Inc.(a) | | | 553,000 | | | | 10,258,150 | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Intel Corporation | | | 978,000 | | | | 16,185,900 | |
| Total Information Technology | | | | | | | 76,146,581 | |
| | | | | | | | | |
| MATERIALS—6.9% | | | | | | | | |
| Chemicals | | | | | | | | |
| Dow Chemical Co. (The) | | | 651,900 | | | | 10,521,666 | |
| Containers & Packaging | | | | | | | | |
| Bemis Co., Inc. | | | 433,600 | | | | 10,926,720 | |
| Pactiv Corp.(a) | | | 301,200 | | | | 6,536,040 | |
| Total Materials | | | | | | | 27,984,426 | |
| | | | | | | | | |
| UTILITIES—3.7% | | | | | | | | |
| Gas Utilities | | | | | | | | |
| El Paso Corp. | | | 701,664 | | | | 6,476,359 | |
| Multi-Utilities | | | | | | | | |
| Questar Corp. | | | 271,000 | | | | 8,417,260 | |
| Total Utilities | | | | | | | 14,893,619 | |
| Total Common Stocks (Cost $394,996,312) | | | | | | | 394,372,357 | |
| | | | | | | | | |
| MONEY MARKET ACCOUNTS | | | | | | | | |
| (3.0% of portfolio) | | | | | | | | |
| | | | | | | | | |
| SSgA Prime Money Market Fund, 0.34%(b) | | | 12,216,000 | | | | 12,216,000 | |
| SSgA Money Market Fund, 0.25%(b) | | | 601 | | | | 601 | |
| Total Money Market Accounts (Cost $12,216,601) | | | | | | | 12,216,601 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $407,212,913)—100% | | | | | | $ | 406,588,958 | |
| (a) | Non-income producing. |
| (b) | 7-day yield at June 30, 2009. |
| ADR– | American Depository Receipt |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|39 |
June 30, 2009 (Unaudited)
| COMMON STOCKS | | Shares | | | Value | |
| (98.7% of portfolio) | | | | | | |
| | | | | | | |
| CONSUMER DISCRETIONARY—13.0% | | | | | | |
| Apparel, Accessories, Luxury Goods | | | | | | |
| Nike Inc. | | | 900 | | | $ | 46,602 | |
| Auto Components | | | | | | | | |
| O’Reilly Automotive, Inc.(a) | | | 1,800 | | | | 68,544 | |
| Hotels, Restaurants & Liesure | | | | | | | | |
| Marriott International Inc. (Class A) | | | 9,033 | | | | 199,363 | |
| MGM MIRAGE(a) | | | 6,900 | | | | 44,091 | |
| Yum Brands Inc. | | | 3,100 | | | | 116,690 | |
| Internet & Catalog Retail | | | | | | | | |
| Amazon.com Inc.(a) | | | 4,850 | | | | 405,751 | |
| Expedia Inc.(a) | | | 7,250 | | | | 109,548 | |
| Multiline Retail | | | | | | | | |
| Kohls Corp.(a) | | | 2,600 | | | | 111,150 | |
| Specialty Retail | | | | | | | | |
| Bed Bath & Beyond(a) | | | 4,600 | | | | 141,450 | |
| Lowe’s Companies, Inc. | | | 3,900 | | | | 79,581 | |
| Total Consumer Discretionary | | | | | | | 1,322,770 | |
| | | | | | | | | |
| CONSUMER STAPLES—4.4% | | | | | | | | |
| Food & Staples Products | | | | | | | | |
| CVS Caremark Corp. | | | 3,800 | | | | 121,106 | |
| Walmart Stores Inc. | | | 5,400 | | | | 266,420 | |
| Household & Personal Products | | | | | | | | |
| Procter & Gamble Company | | | 1,100 | | | | 56,210 | |
| Total Consumer Staples | | | | | | | 443,736 | |
| | | | | | | | | |
| ENERGY—6.4% | | | | | | | | |
| Energy Equipment & Services | | | | | | | | |
| Schlumberger Ltd. | | | 4,600 | | | | 248,906 | |
| Oil, Gas & Consumable Fuels | | | | | | | | |
| EOG Resources Inc. | | | 2,200 | | | | 149,424 | |
| Petroleo Brasileiro S.A. ADR | | | 3,900 | | | | 130,104 | |
| Suncor Energy Inc. | | | 3,900 | | | | 118,326 | |
| Total Energy | | | | | | | 646,760 | |
| | | | | | | | | |
| FINANCIALS—12.1% | | | | | | | | |
| Capital Markets | | | | | | | | |
| Franklin Resources Inc. | | | 1,600 | | | | 115,216 | |
| Goldman Sachs Group Inc. | | | 1,380 | | | | 203,467 | |
| Morgan Stanley | | | 1,600 | | | | 45,616 | |
| Charles Schwab Corp. | | | 5,100 | | | | 89,454 | |
| State Street Corp. | | | 4,500 | | | | 212,400 | |
| Commercial Banks | | | | | | | | |
| JPMorgan Chase & Co. | | | 3,400 | | | | 115,974 | |
| Wells Fargo Company | | | 4,200 | | | | 101,892 | |
| Consumer Finance | | | | | | | | |
| American Express Co. | | | 4,300 | | | | 99,932 | |
| MasterCard Inc. | | | 900 | | | | 150,579 | |
| Western Union Company (The) | | | 5,300 | | | | 86,920 | |
| Total Financials | | | | | | | 1,221,450 | |
| | | | | | | | | |
| HEALTH CARE—15.6% | | | | | | | | |
| Biotechnology | | | | | | | | |
| Amgen Inc.(a) | | | 1,250 | | | | 66,175 | |
| Celgene Corp.(a) | | | 3,550 | | | | 169,832 | |
| Gilead Sciences Inc.(a) | | | 6,650 | | | | 311,486 | |
| Health Care Equipment & Supplies | | | | | | | | |
| Baxter International Inc. | | | 2,200 | | | | 116,512 | |
| Intuitive Surgical, Inc.(a) | | | 400 | | | | 65,464 | |
| Stryker Corp. | | | 2,400 | | | | 95,376 | |
| Health Care Providers & Services | | | | | | | | |
| McKesson Corp. | | | 4,000 | | | | 176,000 | |
| Medco Health Solutions Inc.(a) | | | 6,500 | | | | 296,465 | |
| WellPoint, Inc.(a) | | | 2,300 | | | | 117,047 | |
| Pharmaceuticals | | | | | | | | |
| Allergan Inc. | | | 3,600 | | | | 171,288 | |
| Total Health Care | | | | | | | 1,585,645 | |
| | | | | | | | | |
| INDUSTRIALS—6.3% | | | | | | | | |
| Aerospace & Defense | | | | | | | | |
| Lockheed Martin Corp. | | | 1,250 | | | | 100,813 | |
| Air Freight & Logistics | | | | | | | | |
| Expeditors International of Washington Inc. | | | 3,800 | | | | 126,692 | |
| Constructions & Engineering | | | | | | | | |
| Fluor Corp. | | | 1,200 | | | | 61,548 | |
| Machinery | | | | | | | | |
| Danaher Corp. | | | 5,650 | | | | 348,831 | |
| Total Industrials | | | | | | | 637,884 | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY—31.5% | | | | | | | | |
| Communications Equipment | | | | | | | | |
| Corning Inc. | | | 3,400 | | | | 54,604 | |
| Internet Software & Services | | | | | | | | |
| Juniper Networks, Inc.(a) | | | 16,000 | | | | 377,600 | |
| Qualcomm Inc. | | | 7,500 | | | | 339,000 | |
| Research In Motion, Ltd.(a) | | | 1,700 | | | | 120,785 | |
| Computers & Peripherals | | | | | | | | |
| Apple Inc.(a) | | | 3,310 | | | | 471,443 | |
| Electronic Equipment, Instruments & Components | | | | | | | | |
| First Solar Inc.(a) | | | 340 | | | | 71,333 | |
| Sunpower Corp. (Class B)(a) | | | 2,200 | | | | 52,690 | |
| Internet Software & Services | | | | | | | | |
| Google Inc. (Class A)(a) | | | 810 | | | | 341,488 | |
| IT Services | | | | | | | | |
| Accenture Ltd. (Class A) | | | 4,800 | | | | 160,608 | |
| Semiconductors & Semiconductor Equipment | | | | | | | | |
| Broadcom Corp. (Class A)(a) | | | 6,200 | | | | 153,697 | |
| Xilinx Inc. | | | 7,700 | | | | 157,542 | |
| Marvell Technology Group Ltd.(a) | | | 16,900 | | | | 196,716 | |
| ASML Holding NV NY ADR | | | 7,000 | | | | 151,550 | |
| Intel Corporation | | | 8,400 | | | | 139,020 | |
The accompanying notes are an integral part of these financial statements.
40 | Portfolio of Investments
PORTFOLIO OF INVESTMENTS: Growth Fund (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| (Common Stocks continued) | | | | | | |
| | | | | | | |
| Software | | | | | | |
| Microsoft Corp. | | | 12,400 | | | $ | 294,748 | |
| Salesforce Com Inc.(a) | | | 2,900 | | | | 110,693 | |
| Total Information Technology | | | | | | | 3,193,517 | |
| | | | | | | | | |
| MATERIALS—2.6% | | | | | | | | |
| Chemicals | | | | | | | | |
| Monsanto Co. | | | 900 | | | | 66,906 | |
| Praxair Inc. | | | 2,750 | | | | 195,443 | |
| Total Materials | | | | | | | 262,349 | |
| | | | | | | | | |
| TELECOMMUNICATION SERVICES—5.3% | | | | | | | | |
| Wireless Telecommunication Services | | | | | | | | |
| American Tower Corp. (Class A)(a) | | | 9,700 | | | | 305,841 | |
| Crown Castle International Corp.(a) | | | 7,300 | | | | 175,346 | |
| MetroPCS Communications Inc.(a) | | | 4,400 | | | | 58,564 | |
| Total Telecommunication Services | | | | | | | 539,751 | |
| | | | | | | | | |
| UTILITIES—1.5% | | | | | | | | |
| Independent Power Producers & Energy Traders | | | | | | | | |
| NRG Energy Inc.(a) | | | 5,800 | | | | 150,568 | |
| Total Utilities | | | | | | | 150,568 | |
| Total Common Stocks (Cost $8,217,318) | | | | | | | 10,004,430 | |
| | | | | | | | | |
| MONEY MARKET ACCOUNTS | | | | | | | | |
| (1.3% of portfolio) | | | | | | | | |
| SSgA Prime Money Market Fund, 0.34%(b) | | | 127,000 | | | | 127,000 | |
| SSgA Money Market Fund, 0.25%(b) | | | 807 | | | | 807 | |
| Total Money Market Accounts (Cost $127,807) | | | | | | | 127,807 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $8,345,125)—100% | | | | | | $ | 10,132,237 | |
| (a) | Non-income producing. |
| (b) | 7-day yield at June 30, 2009. |
| ADR– | American Depository Receipt |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|41 |
June 30, 2009 (Unaudited)
| COMMON STOCKS | | Shares | | | Value | |
| (96.9% of portfolio) | | | | | | |
| | | | | | | |
| CONSUMER DISCRETIONARY—19.5% | | | | | | |
| Auto Components | | | | | | |
| Cooper Tire & Rubber Co. | | | 150,100 | | | $ | 1,488,992 | |
| Restaurants | | | | | | | | |
| Brinker International, Inc. | | | 185,000 | | | | 3,150,550 | |
| Cracker Barrel Old Country Store, Inc. | | | 53,100 | | | | 1,481,490 | |
| O’Charley’s Inc. | | | 20,660 | | | | 191,105 | |
| Specialty Retail | | | | | | | | |
| Nordstrom, Inc. | | | 120,000 | | | | 2,386,800 | |
| Sally Beauty Holdings, Inc.(a) | | | 114,000 | | | | 725,040 | |
| Total Consumer Discretionary | | | | | | | 9,423,977 | |
| | | | | | | | | |
| CONSUMER STAPLES—11.4% | | | | | | | | |
| Food Distribution | | | | | | | | |
| United Natural Foods, Inc.(a) | | | 60,100 | | | | 1,577,625 | |
| Food Products | | | | | | | | |
| J.M. Smucker Co. (The) | | | 40,868 | | | | 1,988,637 | |
| Personal Products | | | | | | | | |
| Alberto-Culver Co. (Class A) | | | 76,000 | | | | 1,932,680 | |
| Total Consumer Staples | | | | | | | 5,498,942 | |
| | | | | | | | | |
| ENERGY—7.0% | | | | | | | | |
| Energy Equipment & Services | | | | | | | | |
| Helmerich & Payne, Inc. | | | 35,000 | | | | 1,080,450 | |
| Oil & Gas | | | | | | | | |
| Cimarex Energy Co. | | | 59,400 | | | | 1,683,396 | |
| St. Mary Land & Exploration Co. | | | 29,000 | | | | 605,230 | |
| Total Energy | | | | | | | 3,369,076 | |
| | | | | | | | | |
| FINANCIALS—14.9% | | | | | | | | |
| Commercial Banks | | | | | | | | |
| Cardinal Financial Corp. | | | 184,000 | | | | 1,440,720 | |
| First National Bancshares, Inc.(a) | | | 59,597 | | | | 68,239 | |
| Middleburg Financial Corp. | | | 75,400 | | | | 1,037,504 | |
| National Bankshares, Inc. (Virginia) | | | 86,000 | | | | 2,064,000 | |
| Southcoast Financial Corp.(a) | | | 51,370 | | | | 311,302 | |
| Valley National Bancorp | | | 105,934 | | | | 1,239,428 | |
| Diversified Financial Services | | | | | | | | |
| Asset Acceptance Capital Corp.(a) | | | 131,600 | | | | 1,012,004 | |
| Total Financials | | | | | | | 7,173,197 | |
| | | | | | | | | |
| HEALTH CARE—2.9% | | | | | | | | |
| Health Care Equipment & Supplies | | | | | | | | |
| STERIS Corp. | | | 53,000 | | | | 1,382,240 | |
| Total Health Care | | | | | | | 1,382,240 | |
| | | | | | | | | |
| INDUSTRIALS—25.6% | | | | | | | | |
| Aerospace & Defense | | | | | | | | |
| Triumph Group, Inc. | | | 41,900 | | | | 1,676,000 | |
| Distributers | | | | | | | | |
| Applied Industrial Technologies, Inc. | | | 93,450 | | | | 1,840,965 | |
| Electrical Equipment | | | | | | | | |
| Rofin-Sinar Technologies Inc.(a) | | | 49,700 | | | | 994,497 | |
| Industrial Conglomerates | | | | | | | | |
| Carlisle Companies, Inc. | | | 70,900 | | | | 1,704,436 | |
| CLARCOR Inc. | | | 51,200 | | | | 1,494,528 | |
| Standex International Corp. | | | 19,500 | | | | 226,200 | |
| Machinery | | | | | | | | |
| Flowserve Corp. | | | 14,500 | | | | 1,012,245 | |
| Manitowoc Co., Inc. (The) | | | 255,200 | | | | 1,342,352 | |
| Regal Beloit Corp. | | | 43,500 | | | | 1,727,820 | |
| Road & Rail | | | | | | | | |
| Knight Transportation, Inc. | | | 10,000 | | | | 165,500 | |
| Werner Enterprises, Inc. | | | 10,000 | | | | 181,200 | |
| Total Industrials | | | | | | | 12,365,743 | |
| | | | | | | | | |
| INFORMATION TECHNOLOGY—7.4% | | | | | | | | |
| Communications Equipment | | | | | | | | |
| Belden, Inc. | | | 86,750 | | | | 1,448,725 | |
| Computers & Peripherals | | | | | | | | |
| Western Digital Corp.(a) | | | 80,000 | | | | 2,120,000 | |
| Total Information Technology | | | | | | | 3,568,725 | |
| | | | | | | | | |
| MATERIALS—6.5% | | | | | | | | |
| Chemicals | | | | | | | | |
| Westlake Chemical Corp. | | | 100,700 | | | | 2,053,273 | |
| Containers & Packaging | | | | | | | | |
| Pactiv Corp.(a) | | | 50,000 | | | | 1,085,000 | |
| Total Materials | | | | | | | 3,138,273 | |
| | | | | | | | | |
| UTILITIES—1.7% | | | | | | | | |
| Multi-Utilities | | | | | | | | |
| Questar Corp. | | | 26,600 | | | | 826,196 | |
| Total Utilities | | | | | | | 826,196 | |
| Total Common Stocks (Cost $45,274,953) | | | | | | | 46,746,369 | |
| | | | | | | | | |
| MONEY MARKET ACCOUNTS | | | | | | | | |
| (3.1% of portfolio) | | | | | | | | |
| SSgA Prime Money Market Fund, 0.34%(b) | | | 1,502,000 | | | | 1,502,000 | |
| SSgA Money Market Fund, 0.25%(b) | | | 594 | | | | 594 | |
| Total Money Market Accounts (Cost $1,502,594) | | | | | | | 1,502,594 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $46,777,547)—100% | | | | | | $ | 48,248,963 | |
| (a) | Non-income producing. |
| (b) | 7-day yield at June 30, 2009. |
The accompanying notes are an integral part of these financial statements.
42 | Portfolio of Investments
June 30, 2009 (Unaudited)
| COMMON STOCKS | | Shares | | | Value | |
| (97.7% of portfolio) | | | | | | |
| | | | | | | |
| BRAZIL—1.1% | | | | | | |
| Vale SA—SP—ADR | | | 58,100 | | | $ | 1,024,303 | |
| Total Brazil | | | | | | | 1,024,303 | |
| | | | | | | | | |
| BRITAIN—18.1% | | | | | | | | |
| AstraZeneca PLC | | | 35,700 | | | | 1,572,134 | |
| British Sky Broadcasting Group PLC | | | 217,600 | | | | 1,632,379 | |
| BP PLC | | | 244,500 | | | | 1,934,766 | |
| GlaxoSmithKline PLC | | | 89,100 | | | | 1,569,012 | |
| Kingfisher PLC | | | 639,400 | | | | 1,874,446 | |
| Pearson PLC | | | 215,000 | | | | 2,159,584 | |
| Unilever PLC | | | 100,100 | | | | 2,348,929 | |
| Vodafone Group PLC | | | 1,363,674 | | | | 2,635,945 | |
| WPP Group PLC | | | 260,300 | | | | 1,731,279 | |
| Total Britain | | | | | | | 17,458,474 | |
| | | | | | | | | |
| CANADA—2.1% | | | | | | | | |
| Bank of Montreal | | | 47,600 | | | | 2,006,063 | |
| Total Canada | | | | | | | 2,006,063 | |
| | | | | | | | | |
| CHINA—2.4% | | | | | | | | |
| Bank of China Ltd. | | | 4,995,800 | | | | 2,367,174 | |
| Total China | | | | | | | 2,367,174 | |
| | | | | | | | | |
| FRANCE—10.1% | | | | | | | | |
| AXA SA | | | 100,800 | | | | 1,905,657 | |
| Cap Gemini | | | 49,700 | | | | 1,835,728 | |
| Compagnie de Saint-Gobain | | | 52,328 | | | | 1,749,659 | |
| Schneider Electric SA | | | 25,400 | | | | 1,942,583 | |
| Vivendi SA | | | 95,500 | | | | 2,287,635 | |
| Total France | | | | | | | 9,721,262 | |
| | | | | | | | | |
| GERMANY—2.8% | | | | | | | | |
| Adidas AG | | | 20,200 | | | | 769,696 | |
| Siemens AG REG | | | 28,100 | | | | 1,945,374 | |
| Total Germany | | | | | | | 2,715,070 | |
| | | | | | | | | |
| HONG KONG—4.3% | | | | | | | | |
| Hutchinson Whampoa Ltd. | | | 239,000 | | | | 1,553,673 | |
| New World Development Company Ltd. | | | 1,450,000 | | | | 2,602,421 | |
| Total Hong Kong | | | | | | | 4,156,094 | |
| | | | | | | | | |
| ITALY—6.1% | | | | | | | | |
| Enel SpA | | | 151,000 | | | | 735,621 | |
| Eni SpA | | | 107,800 | | | | 2,557,323 | |
| Finmeccanica SpA | | | 139,340 | | | | 1,966,223 | |
| Saipem SpA | | | 28,300 | | | | 690,817 | |
| Total Italy | | | | | | | 5,949,984 | |
| | | | | | | | | |
| JAPAN—17.4% | | | | | | | | |
| Bridgestone Corp. | | | 76,600 | | | | 1,196,557 | |
| Daiichi Sankyo Co., Ltd. | | | 62,200 | | | | 1,112,992 | |
| Daito Trust Construction Co., Ltd. | | | 51,100 | | | | 2,398,622 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 239,400 | | | | 1,471,638 | |
| Mitsui Sumitomo Insurance Holdings, Inc. | | | 63,055 | | | | 1,644,281 | |
| Shin Etsu Chemical Co., Ltd. | | | 34,300 | | | | 1,584,153 | |
| Sumitomo Corp. | | | 226,300 | | | | 2,288,425 | |
| Sumitomo Trust & Banking Co. | | | 417,200 | | | | 2,245,838 | |
| Takeda Pharmaceutical Co., Ltd | | | 37,800 | | | | 1,468,780 | |
| Toyota Motor Corp. | | | 38,300 | | | | 1,447,905 | |
| Total Japan | | | | | | | 16,859,191 | |
| | | | | | | | | |
| NETHERLANDS—1.4% | | | | | | | | |
| AkzoNobel NV | | | 10,000 | | | | 440,051 | |
| ING Groep NV | | | 94,600 | | | | 952,158 | |
| Total Netherlands | | | | | | | 1,392,209 | |
| | | | | | | | | |
| NORWAY—4.0% | | | | | | | | |
| Norsk Hydro ASA | | | 300,300 | | | | 1,549,391 | |
| StatoilHydro ASA | | | 115,795 | | | | 2,287,406 | |
| Total Norway | | | | | | | 3,836,797 | |
| | | | | | | | | |
| REPUBLIC OF SOUTH KOREA—1.0% | | | | | | | | |
| KB Financial Group Inc. | | | 28,500 | | | | 949,164 | |
| Total Republic of South Korea | | | | | | | 949,164 | |
| | | | | | | | | |
| SINGAPORE—5.0% | | | | | | | | |
| Keppel Corp. | | | 262,300 | | | | 1,245,310 | |
| Singapore Airlines | | | 176,600 | | | | 1,617,936 | |
| Singapore Telecommunications, Ltd. | | | 962,800 | | | | 1,986,770 | |
| Total Singapore | | | | | | | 4,850,016 | |
| | | | | | | | | |
| SPAIN—7.4% | | | | | | | | |
| BBV Argentaria SA | | | 123,691 | | | | 1,558,684 | |
| Iberdrola SA | | | 219,100 | | | | 1,781,872 | |
| Telefónica SA | | | 167,400 | | | | 3,795,793 | |
| Total Spain | | | | | | | 7,136,349 | |
| | | | | | | | | |
| SWEDEN—1.2% | | | | | | | | |
| Ericsson LM (Class B) | | | 120,300 | | | | 1,176,685 | |
| Total Sweden | | | | | | | 1,176,685 | |
| | | | | | | | | |
| SWITZERLAND—10.3% | | | | | | | | |
| Adecco SA REG | | | 51,000 | | | | 2,129,788 | |
| Givaudan SA REG | | | 3,332 | | | | 2,041,112 | |
| Holcim Ltd. | | | 17,420 | | | | 992,295 | |
| Nestlé SA REG | | | 59,100 | | | | 2,230,502 | |
| Novartis AG REG | | | 64,600 | | | | 2,624,599 | |
| Total Switzerland | | | | | | | 10,018,296 | |
| | | | | | | | | |
| TAIWAN—1.2% | | | | | | | | |
| Taiwan Semiconductor SP ADR | | | 122,091 | | | | 1,148,876 | |
| Total Taiwan | | | | | | | 1,148,876 | |
| | | | | | | | | |
| THAILAND—1.8% | | | | | | | | |
| PTT Public Company Ltd. | | | 252,300 | | | | 1,732,850 | |
| Total Thailand | | | | | | | 1,732,850 | |
| Total Common Stocks (Cost $119,690,336) | | | | | | | 94,498,857 | |
The accompanying notes are an integral part of these financial statements.
Portfolio of Investments|43 |
PORTFOLIO OF INVESTMENTS: International Value Fund (continued)
June 30, 2009 (Unaudited)
| MONEY MARKET ACCOUNTS | | Shares | | | Value | |
| (2.3% of portfolio) | | | | | | |
| | | | | | | | | |
| SSgA Prime Money Market Fund, 0.34%(a) | | | 787 | | | $ | 787 | |
| SSgA Money Market Fund, 0.29%(a) | | | 2,180,000 | | | | 2,180,000 | |
| Total Money Market Accounts (Cost $2,180,787) | | | | | | | 2,180,787 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $121,871,123)—100% | | | | | | $ | 96,679,644 | |
| (a) | 7-day yield at June 30, 2009. |
| ADR– | American Depository Receipt |
| REG– | Registered shares |
The accompanying notes are an integral part of these financial statements.
44 | Portfolio of Investments
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Portfolio of Investments|45 |
June 30, 2009 (Unaudited)
| ASSETS | | Daily Income Fund | | | Short-Term Government Securities Fund | | | Short-Term Bond Fund | |
| | | | | | | | | | |
| Investments in securities, at value (cost: $201,123,998; $59,476,269; $229,804,526; $39,240,991; $407,212,913; $8,345,125; $46,777,547; $121,871,123) | | $ | 201,123,998 | | | $ | 60,687,103 | | | $ | 219,729,749 | |
| Cash | | | — | | | | — | | | | 490 | |
| Receivables | | | | | | | | | | | | |
| Investment securities sold | | | — | | | | — | | | | — | |
| Dividends and interest | | | 556,899 | | | | 603,071 | | | | 1,455,057 | |
| Capital shares sold | | | 103,792 | | | | 77,061 | | | | 5,158 | |
| Due from RE Advisers | | | — | | | | — | | | | — | |
| Prepaid expenses | | | 38,333 | | | | 13,346 | | | | 24,039 | |
| Total assets | | | 201,823,022 | | | | 61,380,581 | | | | 221,214,493 | |
| | | | | | | | | | | | | |
| LIABILITIES | | | | | | | | | | | | |
| Payables | | | | | | | | | | | | |
| Investment securities purchased | | | 4,953,210 | | | | — | | | | 1,551,045 | |
| Accrued expenses | | | 82,472 | | | | 59,770 | | | | 142,057 | |
| Due to Board Members | | | 4,186 | | | | 1,201 | | | | 4,875 | |
| Due to RE Advisers | | | 101,258 | | | | 48,337 | | | | 221,595 | |
| Capital shares redeemed | | | 153,763 | | | | 19,260 | | | | 165,542 | |
| Dividends | | | 1,123 | | | | 4,916 | | | | 30,634 | |
| Total liabilities | | | 5,296,012 | | | | 133,484 | | | | 2,115,748 | |
| NET ASSETS | | $ | 196,527,010 | | | $ | 61,247,097 | | | $ | 219,098,745 | |
| | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | |
| Unrealized appreciation (depreciation) of investments | | $ | — | | | $ | 1,210,834 | | | $ | (10,074,777 | ) |
| Undistributed net income (loss) | | | (1,718 | ) | | | (600 | ) | | | (13,090 | ) |
| Undistributed net realized gain (loss) from investments and futures transactions | | | (69 | ) | | | 151,328 | | | | 18,127 | |
| Paid-in-capital applicable to outstanding shares of 196,528,729 of Daily Income Fund, 11,641,794 Short-Term Government Securities Fund, 43,992,296 of Short-Term Bond Fund, 6,150,434 of Stock Index Fund, 18,186,862 of Value Fund, 2,539,532 of Growth Fund, 3,637,301 of Small-Company Stock Fund, and 15,937,550 of International Value Fund | | | 196,528,797 | | | | 59,885,535 | | | | 229,168,485 | |
| NET ASSETS | | $ | 196,527,010 | | | $ | 61,247,097 | | | $ | 219,098,745 | |
| NET ASSET VALUE PER SHARE | | $ | 1.00 | | | $ | 5.26 | | | $ | 4.98 | |
The accompanying notes are an integral part of these financial statements.
46 | Statements of Assets and Liabilities |
| Stock Index Fund | | | Value Fund | | | Growth Fund | | | Small-Company Stock Fund | | | International Value Fund | |
| | | | | | | | | | | | | | |
| $ | 42,079,769 | | | $ | 406,588,958 | | | $ | 10,132,237 | | | $ | 48,248,963 | | | $ | 96,679,644 | |
| | — | | | | — | | | | — | | | | — | | | | 215,223 | |
| | — | | | | — | | | | 75,634 | | | | — | | | | — | |
| | — | | | | 577,300 | | | | 5,488 | | | | 36,140 | | | | 556,440 | |
| | 27,634 | | | | 41,951 | | | | 45,344 | | | | 60,859 | | | | 20,511 | |
| | — | | | | — | | | | 5,038 | | | | — | | | | — | |
| | 10,316 | | | | 49,256 | | | | 7,618 | | | | 13,257 | | | | 16,865 | |
| | 42,117,719 | | | | 407,257,465 | | | | 10,271,359 | | | | 48,359,219 | | | | 97,488,683 | |
| | | | | | | | | | | | | | | | | | | |
| | 3,910 | | | | — | | | | 129,049 | | | | — | | | | 53,190 | |
| | 32,609 | | | | 304,778 | | | | 30,183 | | | | 100,877 | | | | 74,362 | |
| | 1,032 | | | | 11,109 | | | | 181 | | | | 1,175 | | | | 2,340 | |
| | 15,458 | | | | 438,027 | | | | — | | | | 81,753 | | | | 120,290 | |
| | — | | | | 210,138 | | | | 124 | | | | 35,051 | | | | 52,217 | |
| | — | | | | 237,828 | | | | — | | | | — | | | | — | |
| | 53,009 | | | | 1,201,880 | | | | 159,537 | | | | 218,856 | | | | 302,399 | |
| $ | 42,064,710 | | | $ | 406,055,585 | | | $ | 10,111,822 | | | $ | 48,140,363 | | | $ | 97,186,284 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 2,838,778 | | | $ | (623,955 | ) | | $ | 1,787,112 | | | $ | 1,471,416 | | | $ | (25,191,479 | ) |
| | 383,301 | | | | 2,272 | | | | (4,864 | ) | | | 128,992 | | | | 1,666,051 | |
| | (10,579,792 | ) | | | (42,821,979 | ) | | | (3,211,892 | ) | | | (2,681,136 | ) | | | (19,621,690 | ) |
| | 49,422,423 | | | | 449,499,247 | | | | 11,541,466 | | | | 49,221,091 | | | | 140,333,402 | |
| $ | 42,064,710 | | | $ | 406,055,585 | | | $ | 10,111,822 | | | $ | 48,140,363 | | | $ | 97,186,284 | |
| $ | 6.84 | | | $ | 22.33 | | | $ | 3.98 | | | $ | 13.24 | | | $ | 6.10 | |
| | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
Statements of Assets and Liabilities |47 |
For the Period Ended June 30, 2009
| INVESTMENT INCOME | | Daily Income Fund | | | Short-Term Government Securities Fund | | | Short-Term Bond Fund | |
| Interest | | $ | 998,694 | | | $ | 1,017,304 | | | $ | 8,125,601 | |
| Dividends | | | — | | | | — | | | | — | |
| Allocated from Master | | | | | | | | | | | | |
| Income | | | — | | | | — | | | | — | |
| Expense | | | — | | | | — | | | | — | |
| Total investment income | | | 998,694 | | | | 1,017,304 | | | | 8,125,601 | |
| | | | | | | | | | | | | |
| EXPENSES | | | | | | | | | | | | |
| Management fees | | | 480,010 | | | | 131,246 | | | | 617,772 | |
| Shareholder servicing fees | | | 55,582 | | | | 28,443 | | | | 54,908 | |
| Custodian and accounting fees | | | 31,652 | | | | 31,467 | | | | 80,392 | |
| Legal and audit fees | | | 26,266 | | | | 9,958 | | | | 30,389 | |
| Printing | | | 10,950 | | | | 4,838 | | | | 13,447 | |
| Registration fees | | | 2,822 | | | | 10,725 | | | | 12,859 | |
| Directors and Board meeting expenses | | | 14,474 | | | | 4,466 | | | | 15,715 | |
| Insurance | | | 7,655 | | | | 2,310 | | | | 10,000 | |
| Communication | | | 6,903 | | | | 2,587 | | | | 7,606 | |
| Other expenses | | | 20,452 | | | | 1,883 | | | | 7,624 | |
| Temporary Treasury Guarantee Program participation fee | | | 40,458 | | | | — | | | | — | |
| Administration fees | | | — | | | | — | | | | — | |
| Total expenses | | | 697,224 | | | | 227,923 | | | | 850,712 | |
| Less fees waived and expenses reimbursed by RE Advisers | | | (186,456 | ) | | | (9,321 | ) | | | (27,495 | ) |
| Net expenses | | | 510,768 | | | | 218,602 | | | | 823,217 | |
| NET INVESTMENT INCOME (LOSS) | | | 487,926 | | | | 798,702 | | | | 7,302,384 | |
| | | | | | | | | | | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
| Net realized gain on investments (loss) | | | — | | | | 151,328 | | | | 152,411 | |
| Net change in unrealized appreciation (depreciation) | | | — | | | | (187,239 | ) | | | 11,256,120 | |
| NET GAIN (LOSS) ON INVESTMENTS | | | — | | | | (35,911 | ) | | | 11,408,531 | |
| NET INCREASE IN NET ASSETS FROM OPERATIONS | | $ | 487,926 | | | $ | 762,791 | | | $ | 18,710,915 | |
| (a) | Represents realized and unrealized gain on investments allocated from the master portfolio. |
The accompanying notes are an integral part of these financial statements.
48 | Statements of Operations |
| Stock Index Fund | | | Value Fund | | | Growth Fund | | | Small-Company Stock Fund | | | International Value Fund | |
| $ | — | | | $ | 376,178 | | | $ | 449 | | | $ | 7,282 | | | $ | 18,584 | |
| | — | | | | 4,999,931 | | | | 31,880 | | | | 448,127 | | | | 2,032,934 | |
| | 526,205 | | | | — | | | | — | | | | — | | | | — | |
| | (9,459 | ) | | | — | | | | — | | | | — | | | | — | |
| | 516,746 | | | | 5,376,109 | | | | 32,329 | | | | 455,409 | | | | 2,051,518 | |
| | | | | | | | | | | | | | | | | | | |
| | — | | | | 1,092,012 | | | | 24,970 | | | | 189,733 | | | | 319,863 | |
| | 43,323 | | | | 222,945 | | | | 26,373 | | | | 65,897 | | | | 37,756 | |
| | 5,201 | | | | 77,292 | | | | 15,802 | | | | 17,207 | | | | 42,911 | |
| | 8,396 | | | | 67,150 | | | | 1,270 | | | | 8,432 | | | | 13,695 | |
| | 10,163 | | | | 59,305 | | | | 4,015 | | | | 15,376 | | | | 8,672 | |
| | 10,973 | | | | 21,580 | | | | 9,416 | | | | 12,030 | | | | 10,949 | |
| | 3,331 | | | | 37,185 | | | | 620 | | | | 4,362 | | | | 6,280 | |
| | 2,815 | | | | 34,317 | | | | 422 | | | | 3,667 | | | | 5,387 | |
| | 4,359 | | | | 28,828 | | | | 1,659 | | | | 6,547 | | | | 4,375 | |
| | 2,152 | | | | 24,727 | | | | 451 | | | | 2,933 | | | | 3,813 | |
| | — | | | | — | | | | — | | | | — | | | | — | |
| | 47,226 | | | | — | | | | — | | | | — | | | | — | |
| | 137,939 | | | | 1,665,341 | | | | 84,998 | | | | 326,184 | | | | 453,701 | |
| | (5,050 | ) | | | — | | | | (47,895 | ) | | | — | | | | (32,279 | ) |
| | 132,889 | | | | 1,665,341 | | | | 37,103 | | | | 326,184 | | | | 421,422 | |
| | 383,857 | | | | 3,710,768 | | | | (4,774 | ) | | | 129,225 | | | | 1,630,096 | |
| | | | | | | | | | | | | | | | | | | |
| | (1,018,013 | )(a) | | | (22,999,781 | ) | | | 370,320 | | | | (1,321,132 | ) | | | (13,895,470 | ) |
| | 1,798,216 | (a) | | | 24,214,181 | | | | 1,056,811 | | | | 6,492,199 | | | | 15,369,453 | |
| | 780,203 | | | | 1,214,400 | | | | 1,427,131 | | | | 5,171,067 | | | | 1,473,983 | |
| $ | 1,164,060 | | | $ | 4,925,168 | | | $ | 1,422,357 | | | $ | 5,300,292 | | | $ | 3,104,079 | |
The accompanying notes are an integral part of these financial statements.
Statements of Operations |49 |
| | | Daily Income Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | |
| Operations | | | | | | |
| Net investment income (loss) | | $ | 487,926 | | | $ | 3,591,746 | |
| Net realized gain (loss) on investments | | | — | | | | (179,758 | ) |
| Net change in unrealized appreciation (depreciation) | | | — | | | | — | |
| Increase (decrease) in net assets from operations | | | 487,926 | | | | 3,411,988 | |
| Distributions to Shareholders | | | | | | | | |
| Net investment income | | | (487,926 | ) | | | (3,593,464 | ) |
| Net realized gain on investments | | | — | | | | — | |
| Total distributions to shareholders | | | (487,926 | ) | | | (3,593,464 | ) |
| Capital Share Transactions | | | | | | | | |
| Net capital share transactions (See Note 6) | | | 14,516,019 | | | | 32,691,790 | |
| Redemption fees received (See Note 5) | | | — | | | | — | |
| Total increase (decrease) in net assets from capital transactions | | | 14,516,019 | | | | 32,691,790 | |
| Capital Contributions (See Note 5) | | | — | | | | 197,781 | |
| TOTAL INCREASE (DECREASE) IN NET ASSETS | | | 14,516,019 | | | | 32,708,095 | |
| NET ASSETS | | | | | | | | |
| Beginning of period | | | 182,010,991 | | | | 149,302,896 | |
| End of period | | | 196,527,010 | | | | 182,010,991 | |
| | | | | | | | | |
| | | Value Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | |
| Operations | | | | | | | | |
| Net investment income (loss) | | $ | 3,710,768 | | | $ | 11,462,509 | |
| Net realized gain (loss) on investments | | | (22,999,781 | ) | | | (19,485,205 | ) |
| Net change in unrealized appreciation (depreciation) | | | 24,214,181 | | | | (249,903,804 | ) |
| Increase (decrease) in net assets from operations | | | 4,925,168 | | | | (257,926,500 | ) |
| Distributions to Shareholders | | | | | | | | |
| Net investment income | | | (3,703,597 | ) | | | (11,468,058 | ) |
| Net realized gain on investments | | | — | | | | — | |
| Total distributions to shareholders | | | (3,703,597 | ) | | | (11,468,058 | ) |
| Capital Share Transactions | | | | | | | | |
| Net capital share transactions (See Note 6) | | | (17,907,723 | ) | | | (31,319,413 | ) |
| Redemption fees received (See Note 5) | | | 1,777 | | | | 48,114 | |
| Total increase (decrease) in net assets from capital transactions | | | (17,905,946 | ) | | | (31,271,299 | ) |
| Capital Contributions (See Note 5) | | | — | | | | — | |
| TOTAL INCREASE (DECREASE) IN NET ASSETS | | | (16,684,375 | ) | | | (300,665,857 | ) |
| NET ASSETS | | | | | | | | |
| Beginning of period | | | 422,739,960 | | | | 723,405,817 | |
| End of period | | | 406,055,585 | | | | 422,739,960 | |
50 | Statements of Changes in Net Assets |
| Short-Term Government Securities Fund | | | Short-Term Bond Fund | | | Stock-Index Fund | |
| Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | |
| $ | 798,702 | | | $ | 1,454,452 | | | $ | 7,302,384 | | | $ | 12,182,650 | | | $ | 383,857 | | | $ | 955,956 | |
| | 151,328 | | | | 125,977 | | | | 152,411 | | | | (16,169 | ) | | | (1,018,013 | ) | | | (3,254,917 | ) |
| | (187,239 | ) | | | 991,251 | | | | 11,256,120 | | | | (20,207,551 | ) | | | 1,798,216 | | | | (21,202,397 | ) |
| | 762,791 | | | | 2,571,680 | | | | 18,710,915 | | | | (8,041,070 | ) | | | 1,164,060 | | | | (23,501,358 | ) |
| | (798,857 | ) | | | (1,455,301 | ) | | | (7,313,271 | ) | | | (12,209,670 | ) | | | — | | | | (1,284,772 | ) |
| | — | | | | (126,780 | ) | | | — | | | | — | | | | — | | | | — | |
| | (798,857 | ) | | | (1,582,081 | ) | | | (7,313,271 | ) | | | (12,209,670 | ) | | | — | | | | (1,284,772 | ) |
| | 4,929,374 | | | | 15,901,398 | | | | 3,369,149 | | | | (4,008,424 | ) | | | 1,113,900 | | | | 2,238,771 | |
| | — | | | | — | | | | 19 | | | | — | | | | 556 | | | | 1,446 | |
| | 4,929,374 | | | | 15,901,398 | | | | 3,369,168 | | | | (4,008,424 | ) | | | 1,114,456 | | | | 2,240,217 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | 4,893,308 | | | | 16,890,997 | | | | 14,766,812 | | | | (24,259,164 | ) | | | 2,278,516 | | | | (22,545,913 | ) |
| | 56,353,789 | | | | 39,462,792 | | | | 204,331,933 | | | | 228,591,097 | | | | 39,786,194 | | | | 62,332,107 | |
| | 61,247,097 | | | | 56,353,789 | | | | 219,098,745 | | | | 204,331,933 | | | | 42,064,710 | | | | 39,786,194 | |
| | | | | | | | | | | | | | | | | | | | | | | |
| Growth Fund | | | Small-Company Stock Fund | | | International Value Fund | |
| Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31 2008 | |
| $ | (4,774 | ) | | $ | (50,893 | ) | | $ | 129,225 | | | $ | 434,364 | | | $ | 1,630,096 | | | $ | 3,263,988 | |
| | 370,320 | | | | (3,312,931 | ) | | | (1,321,132 | ) | | | (1,360,004 | ) | | | (13,895,470 | ) | | | (3,789,485 | ) |
| | 1,056,811 | | | | (1,003,598 | ) | | | 6,492,199 | | | | (22,558,481 | ) | | | 15,369,453 | | | | (50,517,167 | ) |
| | 1,422,357 | | | | (4,367,422 | ) | | | 5,300,292 | | | | (23,484,121 | ) | | | 3,104,079 | | | | (51,042,664 | ) |
| | — | | | | — | | | | — | | | | (434,597 | ) | | | — | | | | (5,414,249 | ) |
| | — | | | | (311,255 | ) | | | — | | | | — | | | | — | | | | (1,718,258 | ) |
| | — | | | | (311,255 | ) | | | — | | | | (434,597 | ) | | | — | | | | (7,132,507 | ) |
| | 1,982,391 | | | | 2,383,078 | | | | (2,203,740 | ) | | | 2,046,596 | | | | 1,366,376 | | | | 9,910,639 | |
| | 21 | | | | 1,394 | | | | 2,601 | | | | 3,639 | | | | (105 | ) | | | 9,628 | |
| | 1,982,412 | | | | 2,384,472 | | | | (2,201,139 | ) | | | 2,050,235 | | | | 1,366,271 | | | | 9,920,267 | |
| | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | 3,404,769 | | | | (2,294,205 | ) | | | 3,099,153 | | | | (21,868,483 | ) | | | 4,470,350 | | | | (48,254,904 | ) |
| | 6,707,053 | | | | 9,001,258 | | | | 45,041,210 | | | | 66,909,693 | | | | 92,715,934 | | | | 140,970,838 | |
| | 10,111,822 | | | | 6,707,053 | | | | 48,140,363 | | | | 45,041,210 | | | | 97,186,284 | | | | 92,715,934 | |
Statements of Changes in Net Assets |51 |
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| | | | | | | | | | | | | | | | | | | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.03 | (a,f) | | | 0.02 | | | | 0.05 | | | | 0.04 | | | | 0.02 | | | | 0.01 | (a,b) |
| Net realized and unrealized gain (loss) on investments | | | — | | | | — | (c) | | | | | | — | | | | — | | | | — | |
| Capital contribution | | | — | | | | — | (c) | | | — | | | | — | | | | — | | | | — | |
| Total from investment operations | | | 0.03 | | | | 0.02 | | | | 0.05 | | | | 0.04 | | | | 0.02 | | | | 0.01 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.03 | ) | | | (0.02 | ) | | | (0.05 | ) | | | (0.04 | ) | | | (0.02 | ) | | | (0.01 | ) |
| Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (0.03 | ) | | | (0.02 | ) | | | (0.05 | ) | | | (0.04 | ) | | | (0.02 | ) | | | (0.01 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | | | $ | 1.00 | |
| TOTAL RETURN | | | 0.25 | %(d) | | | 2.14 | % | | | 4.62 | % | | | 4.37 | % | | | 2.49 | % | | | 0.65 | %(a,b) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 196,527 | | | $ | 182,011 | | | $ | 149,303 | | | $ | 127,625 | | | $ | 105,123 | | | $ | 90,279 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 0.79 | %(e) | | | 0.69 | % | | | 0.71 | % | | | 0.74 | % | | | 0.76 | % | | | 0.79 | % |
| Ratio of net investment income to average net assets | | | 0.51 | %(e,f) | | | 2.08 | % | | | 4.52 | % | | | 4.30 | % | | | 2.48 | % | | | 0.66 | %(a,b) |
| Ratio of expenses to average net assets | | | 0.53 | %(e,f) | | | 0.69 | % | | | 0.71 | % | | | 0.74 | % | | | 0.76 | % | | | 0.75 | %(a,b) |
| (a) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. |
| (b) | For the period July 1, 2003 to June 30, 2004, RE Advisers voluntarily reduced the amount of the expense limitation from 0.80% to 0.70%. On July 1, 2004, RE Advisers reinstated the expense limitation of 0.80% as set forth in the Expense Limitation Agreement with RE Advisers. |
| (c) | Less than $0.01 per share. |
| (d) | Aggregate total return for period. |
| (e) | Annualized. |
| (f) | On January 27, 2009, RE Advisers voluntarily and temporarily reduced the amount of the expense limitation from 0.80% to 0.50%. |
The accompanying notes are an integral part of these financial statements.
52 | Financial Highlights |
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 5.26 | | | $ | 5.17 | | | $ | 5.10 | | | $ | 5.06 | | | $ | 5.11 | | | $ | 5.16 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (a) | | | 0.07 | | | | 0.16 | | | | 0.20 | | | | 0.14 | | | | 0.13 | | | | 0.10 | |
| Net realized and unrealized gain (loss) on investments | | | — | (b) | | | 0.10 | | | | 0.07 | | | | 0.05 | | | | (0.05 | ) | | | (0.05 | ) |
| Total from investment operations | | | 0.07 | | | | 0.26 | | | | 0.27 | | | | 0.19 | | | | 0.08 | | | | 0.05 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.07 | ) | | | (0.16 | ) | | | (0.20 | ) | | | (0.14 | ) | | | (0.13 | ) | | | (0.10 | ) |
| Net realized gain | | | — | | | | (0.01 | ) | | | — | | | | (0.01 | ) | | | — | (b) | | | — | |
| Total distributions | | | (0.07 | ) | | | (0.17 | ) | | | (0.20 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.10 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 5.26 | | | $ | 5.26 | | | $ | 5.17 | | | $ | 5.10 | | | $ | 5.06 | | | $ | 5.11 | |
| TOTAL RETURN (a) | | | 1.37 | %(c) | | | 5.16 | % | | | 5.50 | % | | | 3.87 | % | | | 1.65 | % | | | 1.03 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 61,247 | | | $ | 56,354 | | | $ | 39,463 | | | $ | 40,779 | | | $ | 39,953 | | | $ | 43,296 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 0.78 | %(d) | | | 0.82 | % | | | 0.87 | % | | | 0.87 | % | | | 0.83 | % | | | 0.82 | % |
| Ratio of net investment income to average net assets (a) | | | 2.74 | %(d) | | | 3.06 | % | | | 4.00 | % | | | 2.89 | % | | | 2.59 | % | | | 1.98 | % |
| Ratio of expenses to average net assets (a) | | | 0.75 | %(d) | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % |
| Portfolio turnover rate | | | 25 | % | | | 50 | % | | | 47 | % | | | 30 | % | | | 31 | % | | | 41 | % |
| (a) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. |
| (b) | Less than $.01 per share. |
| (c) | Aggregate total return for the period. |
| (d) | Annualized. |
The accompanying notes are an integral part of these financial statements.
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| | | | | | | | | | | | | | | | | | | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 4.72 | | | $ | 5.17 | | | $ | 5.16 | | | $ | 5.13 | | | $ | 5.17 | | | $ | 5.23 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (a) | | | 0.17 | | | | 0.27 | | | | 0.22 | | | | 0.19 | | | | 0.16 | | | | 0.15 | (b) |
| Net realized and unrealized gain (loss) on investments | | | 0.26 | | | | (0.45 | ) | | | 0.01 | | | | 0.03 | | | | (0.04 | ) | | | (0.06 | ) |
| Total from investment operations | | | 0.43 | | | | (0.18 | ) | | | 0.23 | | | | 0.22 | | | | 0.12 | | | | 0.09 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.17 | ) | | | (0.27 | ) | | | (0.22 | ) | | | (0.19 | ) | | | (0.16 | ) | | | (0.15 | ) |
| Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | (0.17 | ) | | | (0.27 | ) | | | (0.22 | ) | | | (0.19 | ) | | | (0.16 | ) | | | (0.15 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 4.98 | | | $ | 4.72 | | | $ | 5.17 | | | $ | 5.16 | | | $ | 5.13 | | | $ | 5.17 | |
| TOTAL RETURN (a) | | | 9.26 | %(c) | | | (3.52 | )% | | | 4.62 | % | | | 4.38 | % | | | 2.29 | % | | | 1.65 | %(b) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 219,099 | | | $ | 204,332 | | | $ | 228,591 | | | $ | 208,482 | | | $ | 199,441 | | | $ | 202,388 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 0.83 | %(d) | | | 0.81 | % | | | 0.82 | % | | | 0.84 | % | | | 0.83 | % | | | 0.82 | % |
| Ratio of net investment income to average net assets (a) | | | 7.09 | %(d) | | | 5.49 | % | | | 4.33 | % | | | 3.71 | % | | | 3.04 | % | | | 2.75 | %(b) |
| Ratio of expenses to average net assets (a) | | | 0.80 | %(d) | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.75 | %(b) |
| Portfolio turnover rate | | | 25 | % | | | 56 | % | | | 41 | % | | | 40 | % | | | 34 | % | | | 45 | % |
| (a) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. |
| (b) | On December 1, 2004, RE Advisers increased the amount of the expense limitation from 0.75% to 0.80%. |
| (c) | Aggregate total return for the period. |
| (d) | Annualized. |
The accompanying notes are an integral part of these financial statements.
54 | Financial Highlights |
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 6.64 | | | $ | 10.94 | | | $ | 10.57 | | | $ | 9.30 | | | $ | 9.03 | | | $ | 8.29 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.07 | (a) | | | 0.17 | | | | 0.15 | | | | 0.13 | | | | 0.11 | | | | 0.10 | |
| Net realized and unrealized gain (loss) on investments | | | 0.13 | | | | (4.25 | ) | | | 0.37 | | | | 1.27 | | | | 0.27 | | | | 0.74 | |
| Total from investment operations | | | 0.20 | | | | (4.08 | ) | | | 0.52 | | | | 1.40 | | | | 0.38 | | | | 0.84 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (0.22 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.10 | ) |
| Net realized gain | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total distributions | | | — | | | | (0.22 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.11 | ) | | | (0.10 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 6.84 | | | $ | 6.64 | | | $ | 10.94 | | | $ | 10.57 | | | $ | 9.30 | | | $ | 9.03 | |
| TOTAL RETURN | | | 3.01 | %(c) | | | (37.41 | )% | | | 4.91 | % | | | 15.01 | % | | | 4.23 | % | | | 10.15 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 42,065 | | | $ | 39,786 | | | $ | 62,332 | | | $ | 56,508 | | | $ | 47,547 | | | $ | 44,364 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 0.78 | %(d) | | | 0.59 | % | | | 0.64 | % | | | 0.68 | % | | | 0.64 | % | | | 0.75 | % |
| Ratio of net investment income to average net assets | | | 2.03 | %(a,d) | | | 1.82 | % | | | 1.44 | % | | | 1.32 | % | | | 1.25 | % | | | 1.31 | % |
| Ratio of expenses to average net assets | | | 0.75 | %(a,d) | | | 0.59 | % | | | 0.64 | % | | | 0.68 | % | | | 0.64 | % | | | 0.75 | % |
| Portfolio turnover rate (b) | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
| (a) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. |
| (b) | See Appendix for the portfolio turnover of the S & P 500 Index Master Portfolio. |
| (c) | Aggregate total return for the period. |
| (d) | Annualized. |
The accompanying notes are an integral part of these financial statements.
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 22.03 | | | $ | 35.48 | | | $ | 35.94 | | | $ | 32.78 | | | $ | 30.44 | | | $ | 27.52 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.21 | | | | 0.59 | | | | 0.83 | | | | 0.57 | | | | 0.42 | | | | 0.35 | |
| Net realized and unrealized gain (loss) on investments | | | 0.30 | | | | (13.45 | ) | | | 0.37 | | | | 5.25 | | | | 2.90 | | | | 3.68 | |
| Total from investment operations | | | 0.51 | | | | (12.86 | ) | | | 1.20 | | | | 5.82 | | | | 3.32 | | | | 4.03 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.21 | ) | | | (0.59 | ) | | | (0.83 | ) | | | (0.57 | ) | | | (0.42 | ) | | | (0.35 | ) |
| Net realized gain | | | — | | | | — | | | | (0.83 | ) | | | (2.09 | ) | | | (0.56 | ) | | | (0.76 | ) |
| Total distributions | | | (0.21 | ) | | | (0.59 | ) | | | (1.66 | ) | | | (2.66 | ) | | | (0.98 | ) | | | (1.11 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 22.33 | | | $ | 22.03 | | | $ | 35.48 | | | $ | 35.94 | | | $ | 32.78 | | | $ | 30.44 | |
| TOTAL RETURN | | | 2.29 | %(a) | | | (36.43 | )% | | | 3.25 | % | | | 17.82 | % | | | 10.94 | % | | | 14.71 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 406,056 | | | $ | 422,740 | | | $ | 723,406 | | | $ | 649,478 | | | $ | 469,598 | | | $ | 402,346 | |
| Ratio of net investment income to average net assets | | | 1.96 | %(b) | | | 1.96 | % | | | 2.23 | % | | | 1.68 | % | | | 1.33 | % | | | 1.23 | % |
| Ratio of expenses to average net assets | | | 0.88 | %(b) | | | 0.70 | % | | | 0.66 | % | | | 0.71 | % | | | 0.76 | % | | | 0.82 | % |
| Portfolio turnover rate | | | 1 | % | | | 6 | % | | | 4 | % | | | 13 | % | | | 8 | % | | | 8 | % |
| (a) | Aggregate total return for the period. |
| (b) | Annualized. |
The accompanying notes are an integral part of these financial statements.
56 | Financial Highlights |
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 3.31 | | | $ | 5.87 | | | $ | 5.22 | | | $ | 5.06 | | | $ | 5.44 | | | $ | 5.00 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment loss | | | — | (a) | | | (0.03 | ) | | | (0.05 | ) | | | (0.07 | ) | | | (0.06 | ) | | | (0.02 | ) |
| Net realized and unrealized gain (loss) on investments | | | 0.67 | | | | (2.37 | ) | | | 0.91 | | | | 0.35 | | | | 0.04 | | | | 0.46 | |
| Total from investment operations | | | 0.67 | | | | (2.40 | ) | | | 0.86 | | | | 0.28 | | | | (0.02 | ) | | | 0.44 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Net realized gain | | | — | | | | (0.16 | ) | | | (0.21 | ) | | | (0.12 | ) | | | (0.36 | ) | | | — | |
| Total distributions | | | 0.00 | | | | (0.16 | ) | | | (0.21 | ) | | | (0.12 | ) | | | (0.36 | ) | | | — | |
| NET ASSET VALUE, END OF PERIOD | | $ | 3.98 | | | $ | 3.31 | | | $ | 5.87 | | | $ | 5.22 | | | $ | 5.06 | | | $ | 5.44 | |
| TOTAL RETURN | | | 20.24 | %(b) | | | (40.93 | )%(d) | | | 17.55 | % | | | 5.48 | % | | | 0.07 | % | | | 8.80 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 10,112 | | | $ | 6,707 | | | $ | 9,001 | | | $ | 6,776 | | | $ | 6,851 | | | $ | 6,816 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 1.58 | %(c) | | | 1.30 | % | | | 1.26 | % | | | 1.50 | % | | | 1.43 | % | | | 1.50 | % |
| Ratio of net investment income (loss) to average net assets | | | (0.12 | )%(c,d) | | | (0.61 | )%(d) | | | (0.93 | )% | | | (1.16 | )% | | | (1.07 | )% | | | (0.44 | )% |
| Ratio of expenses to average net assets | | | 0.95 | %(c,d) | | | 0.93 | %(d) | | | 1.26 | % | | | 1.50 | % | | | 1.43 | % | | | 1.50 | % |
| Expense ratio of underlying exchange traded fund | | | N/A | (e) | | | 0.18 | %(d) | | | 0.20 | % | | | 0.20 | % | | | 0.20 | % | | | 0.20 | % |
| Effective expense ratio | | | 0.95 | %(c,d) | | | 1.11 | % | | | 1.46 | % | | | 1.70 | % | | | 1.63 | % | | | 1.70 | % |
| Portfolio turnover rate | | | 42 | % | | | 96 | %(f) | | | 19 | % | | | 27 | % | | | 26 | % | | | 55 | % |
| (a) | Less than $0.01 per share. |
| (b) | Aggregate total return for the period. |
| (c) | Annualized. |
| (d) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. On April 29, 2008, the expense limitation agreement was revised from 1.50% to 0.75%. Further, on December 5, 2008 the expense limitation agreement was revised from 0.75% to 0.95%. |
| (e) | On December 5, 2008, the Nasdaq-100 Index Tracking Stock Fund changed its name, investment strategies and objective. At that time the Fund sold its entire position in PowerShares QQQ, the underlying exchange traded fund. The expense ratio of the underlying exchage traded fund is prorated for January 1, 2008 to December 4, 2008. |
| (f) | The portfolio turnover is unusually high because on December 5, 2008, the Nasdaq-100 Tracking Stock Fund sold its entire position in the PowerShares QQQ and invested the entire portfolio in individual securities with a new investment strategy and objective. |
The accompanying notes are an integral part of these financial statements.
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 11.81 | | | $ | 18.16 | | | $ | 19.06 | | | $ | 17.00 | | | $ | 15.69 | | | $ | 13.89 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss) | | | 0.03 | | | | 0.11 | | | | 0.19 | | | | 0.23 | | | | 0.05 | | | | (0.01 | ) |
| Net realized and unrealized gain (loss) on investments | | | 1.40 | | | | (6.35 | ) | | | 0.06 | | | | 2.60 | | | | 1.44 | | | | 1.85 | |
| Total from investment operations | | | 1.43 | | | | (6.24 | ) | | | 0.25 | | | | 2.83 | | | | 1.49 | | | | 1.84 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (0.11 | ) | | | (0.19 | ) | | | (0.23 | ) | | | (0.05 | ) | | | — | |
| Net realized gain | | | — | | | | — | | | | (0.96 | ) | | | (0.54 | ) | | | (0.13 | ) | | | (0.04 | ) |
| Total distributions | | | — | | | | (0.11 | ) | | | (1.15 | ) | | | (0.77 | ) | | | (0.18 | ) | | | (0.04 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 13.24 | | | $ | 11.81 | | | $ | 18.16 | | | $ | 19.06 | | | $ | 17.00 | | | $ | 15.69 | |
| TOTAL RETURN | | | 12.11 | %(a) | | | (34.33 | )% | | | 1.36 | % | | | 16.69 | % | | | 9.52 | % | | | 13.24 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 48,140 | | | $ | 45,041 | | | $ | 66,910 | | | $ | 63,515 | | | $ | 47,871 | | | $ | 38,937 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 1.46 | %(b) | | | 1.25 | % | | | 1.19 | % | | | 1.23 | % | | | 1.30 | % | | | 1.37 | % |
| Ratio of net investment income (loss) to average net assets | | | 0.58 | %(b) | | | 0.73 | % | | | 0.99 | % | | | 1.29 | % | | | 0.34 | % | | | (0.07 | )% |
| Ratio of expenses to average net assets | | | 1.46 | %(b) | | | 1.25 | % | | | 1.19 | % | | | 1.23 | % | | | 1.30 | % | | | 1.37 | % |
| Portfolio turnover rate | | | 6 | % | | | 26 | % | | | 18 | % | | | 5 | % | | | 9 | % | | | 6 | % |
| (a) | Aggregate total return for the period. |
| (b) | Annualized. |
The accompanying notes are an integral part of these financial statements.
58 | Financial Highlights |
For a Share Outstanding Throughout Each Period
| | | | | | Year Ended December 31, | |
| | | Six Months Ended June 30, 2009 (Unaudited) | | | 2008 | | | 2007 | | | 2006 | | | 2005 | | | 2004 | |
| NET ASSET VALUE, BEGINNING OF YEAR | | $ | 5.90 | | | $ | 9.84 | | | $ | 9.72 | | | $ | 7.79 | | | $ | 9.48 | | | $ | 8.36 | |
| Income from investment operations | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 0.11 | (a) | | | 0.23 | (a) | | | 0.36 | (a) | | | 0.05 | (a) | | | 0.36 | | | | 0.07 | (a) |
| Net realized and unrealized gain on investments | | | 0.09 | | | | (3.68 | ) | | | 0.44 | | | | 1.96 | | | | 1.00 | | | | 1.40 | |
| Capital contribution | | | — | | | | — | | | | — | | | | — | | | | — | | | | 0.03 | |
| Total from investment operations | | | 0.20 | | | | (3.45 | ) | | | 0.80 | | | | 2.01 | | | | 1.36 | | | | 1.50 | |
| Distributions | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | — | | | | (0.37 | ) | | | (0.29 | ) | | | (0.07 | ) | | | (0.16 | ) | | | (0.15 | ) |
| Net realized gain | | | — | | | | (0.12 | ) | | | (0.39 | ) | | | (0.01 | ) | | | (2.89 | ) | | | (0.23 | ) |
| Total distributions | | | — | | | | (0.49 | ) | | | (0.68 | ) | | | (0.08 | ) | | | (3.05 | ) | | | (0.38 | ) |
| NET ASSET VALUE, END OF PERIOD | | $ | 6.10 | | | $ | 5.90 | | | $ | 9.84 | | | $ | 9.72 | | | $ | 7.79 | | | $ | 9.48 | |
| TOTAL RETURN | | | 3.39 | %(f) | | | (35.43 | )% | | | 8.21 | % | | | 25.79 | % | | | 14.31 | % | | | 17.94 | %(a,b) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| RATIOS/SUPPLEMENTAL DATA | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (thousands) | | $ | 97,186 | | | $ | 92,716 | | | $ | 140,971 | | | $ | 91,903 | | | $ | 13,081 | | | $ | 7,439 | |
| Ratio of gross expenses before voluntary expense limitation to average net assets | | | 1.06 | %(g) | | | 1.01 | % | | | 1.00 | % | | | 1.04 | %(d) | | | 1.21 | %(c,d) | | | 1.76 | %(c) |
| Ratio of net investment income to average net assets | | | 3.82 | %(a,g) | | | 2.73 | %(a) | | | 2.81 | %(a) | | | 0.95 | %(a) | | | 3.76 | % | | | 0.90 | %(a) |
| Ratio of expenses to average net assets | | | 0.99 | %(a,g) | | | 0.98 | %(a) | | | 0.99 | %(a) | | | 0.99 | %(a,d) | | | 1.21 | %(c,d) | | | 1.50 | %(a,c) |
| Portfolio turnover rate | | | 20 | % | | | 25 | % | | | 22 | % | | | 55 | % | | | 1 | % | | | N/A | (e) |
| (a) | Excludes excess investment management fees and other expenses in accordance with the Expense Limitation Agreement with RE Advisers. |
| (b) | The total return reflects a capital contribution of $23,772. Without the capital contribution, the total return would have been 17.58%. |
| (c) | Expenses include the allocated expenses from the State Street MSCI® EAFE® Index Portfolio, the master portfolio in which the International Value Fund invested substantially all of its assets from inception until October 17, 2005. |
| (d) | Expenses do not include the expenses of the Vanguard Developed Markets Index Fund, the Fund in which the International Value Fund invested substantially all of its assets for the period October 18, 2005—June 11, 2006. |
| (e) | The International Value Fund was a feeder of the State Street MSCI® EAFE® Index Portfolio. Portfolio turnover was calculated by the master portfolio, not the feeder fund. |
| (f) | Aggregate total return for the period. |
| (g) | Annualized. |
The accompanying notes are an integral part of these financial statements.
1. ORGANIZATION
Homestead Funds, Inc. (“Homestead Funds”) is a Maryland corporation registered with the Securities and Exchange Commission under the Investment Company Act of 1940 (“the Act”) as an open-end management investment company. Homestead Funds currently consists of eight funds: Daily Income Fund, Short-Term Government Securities Fund, Short-Term Bond Fund, Stock Index Fund, Value Fund, Growth Fund, Small-Company Stock Fund, and International Value Fund (the “Funds”).
Each Fund is a separate investment portfolio with distinct investment objectives, investment programs, policies and restrictions. The investment objectives of the Funds, as well as the nature and risks of the investment activities of each Fund, are set forth more fully in Homestead Funds’ Prospectus and Statement of Additional Information.
The Stock Index Fund seeks to achieve its investment objective by investing substantially all of its asset in one or more securities that are designed to track the performance of the S&P 500 Index. At June 30, 2009, the Stock Index Fund was operating as a feeder fund, whereby substantially all of its assets are invested in the S&P 500 Index Master Portfolio (“Master Portfolio”), an open-end investment company managed by Barclays Global Advisors. At June 30, 2009, the Stock Index Fund’s investment constituted 2.36% of the Master Portfolio. The financial statements of the Master Portfolio are contained in the Appendix of this report and should be read in conjunction with the financial statements for the Stock Index Fund.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Security valuation: Daily Income Fund values all money market instruments on an amortized cost basis, which approximates market value. Under the amortized cost method, discounts and premiums on securities purchased are amortized over the life of the respective securities.
The Short-Term Government Securities, Short-Term Bond, Value, Growth, Small-Company Stock, and International Value Funds value investments in common stocks, preferred stocks, and convertible preferred stocks traded on national securities exchanges and certain over-the-counter securities at the last quoted sale price at the close of the New York Stock Exchange. Equity securities listed on the Nasdaq market system are valued at the Nasdaq official closing price, usually as of 4:00 pm, eastern time on the valuation date. In the event a security price is not available or events occur after the close of the primary market on which a security is traded, but before the time the net asset value of the fund is calculated, that could affect the price of a security, and materially impact the price of a Fund, the Board of Directors has adopted valuation guidelines for the Short-Term Government Securities, Short-Term Bond, Value, Growth, Small-Company Stock, and International Value Funds. The guidelines are to be followed by RE Advisers Corporation, a registered investment manager under the Investment Advisers Act of 1940, to determine a price that accurately reflects the fair value of a given security. Short-term debt instruments (with the exception of commercial paper), intermediate and long-term bonds, convertible bonds, and other debt securities are generally valued at market prices furnished by an independent pricing service. Commercial paper is valued on an amortized cost basis, which approximates market value. Regulated investment companies are valued at the net asset value determined as of the close of the New York Stock Exchange on the valuation date.
The Stock Index Fund records its investment in the Master Portfolio at the market value of its proportionate interest in the net assets of the Master Portfolio. The Board of Trustees of the Master Portfolio has adopted “fair value” pricing procedures, which could impact the valuation of the Stock Index Fund. Valuation of the securities is discussed in the notes to the Master Portfolio’s financial statements included in the Appendix of this report.
The Funds have adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective December 1, 2007. In accordance with FAS 157, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction between market participants at the measurement date. FAS 157 also established a three-tier hierarchy based upon the inputs used to value an asset for disclosure of fair value measurements. The three-tier hierarchy of inputs is summarized below:
| • | Level 1—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 the fund’s own assumptions used to determine the fair value of investments). |
The inputs or methodologies 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 to value the Funds’ investments as of June 30, 2009:
| Fund | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Daily Income Fund | | $ | — | | | $ | 201,123,998 | | | $ | — | | | $ | 201,123,998 | |
| Short-Term Government Securities Fund | | $ | — | | | $ | 60,687,103 | | | $ | — | | | $ | 60,687,103 | |
| Short-Term Bond Fund | | $ | — | | | $ | 219,570,140 | | | $ | 159,609 | | | $ | 219,729,749 | |
| Value Fund | | $ | 394,372,357 | | | $ | 12,216,601 | | | $ | — | | | $ | 406,588,958 | |
| Growth Fund | | $ | 10,004,430 | | | $ | 127,807 | | | $ | — | | | $ | 10,132,237 | |
| Small-Company Stock Fund | | $ | 46,746,369 | | | $ | 1,502,594 | | | $ | — | | | $ | 48,248,963 | |
| International Value Fund | | $ | 4,179,242 | | | $ | 92,500,402 | | | $ | — | | | $ | 96,679,644 | |
| Short-Term Bond Fund-Level 3 | | Investments in Securities | |
| Balance as of December 31, 2008 | | $ | 104,071 | |
| Net purchase at cost | | | 92,031 | |
| Realized gain | | | 557 | |
| Change in unrealized appreciation/(depreciation) | | | (37,614 | ) |
| Accretion | | | 564 | |
| Balance as of June 30, 2009 | | $ | 159,609 | |
Distributions to shareholders: Dividends to shareholders are recorded on the ex-dividend date. Income dividends for the Daily Income, Short- Term Government Securities and Short-Term Bond Funds are declared daily and paid monthly.
Income dividends for Value Fund are declared and paid semi-annually. Income dividends for the Stock Index, Growth, Small-Company Stock, and International Value Funds are declared and paid annually. Capital gains dividends, if any, are declared and paid at the end of each fiscal year, more frequently, if necessary.
60 | Notes to Financial Statements |
Use of estimates in the preparation of financial statements: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make 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 revenues and expenses during the reporting period. Actual results could differ from those estimates.
Other: Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premiums and accretion of discount, and expenses are recorded on the accrual basis. Investment transactions are recorded on the trade date. Realized gains and losses from investment transactions are reported on the identified cost basis.
The Stock Index Fund records a pro rata share of the Master Portfolio’s income, expenses, and realized and unrealized gains and losses in addition to the fund’s own expenses which are accrued daily.
In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future and therefore cannot be estimated; however, based on experience, the risk of material loss from claims is considered remote.
3. FEDERAL INCOME TAX INFORMATION
The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income to its shareholders. Therefore, no provision for Federal income taxes is required.
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are primarily due to differing treatments for futures and options transactions, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, partnership investments, and excise tax regulations.
Permanent book and tax basis differences, if any, relating to shareholder distributions will result in reclassifications to paid-in capital. This includes net operating losses not utilized during the current year, return of capital, and pay down losses. These reclassifications have no effect on net assets or net asset values per share. Any taxable gain remaining at fiscal year end is distributed in the following year.
At June 30, 2009, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value was as follows:
| | | Tax Cost | | | Tax Unrealized Gain | | | Tax Unrealized (Loss) | | | Net Unrealized Gain (Loss) | |
| Daily Income Fund | | $ | 201,123,998 | | | $ | — | | | $ | — | | | $ | — | |
| Short-Term Government Securities Fund | | $ | 229,804,526 | | | $ | 1,266,094 | | | $ | (55,260 | ) | | $ | 1,210,834 | |
| Short-Term Bond Fund | | $ | 59,476,269 | | | $ | 6,040,699 | | | $ | (16,115,476 | ) | | $ | (10,074,777 | ) |
| Value Fund | | $ | 407,549,907 | | | $ | 79,068,293 | | | $ | (80,029,243 | ) | | $ | (960,949 | ) |
| Growth Fund | | $ | 8,345,264 | | | $ | 1,839,407 | | | $ | (52,434 | ) | | $ | 1,787,973 | |
| Small-Company Stock Fund | | $ | 46,777,547 | | | $ | 8,811,929 | | | $ | (7,340,513 | ) | | $ | 1,471,416 | |
| International Value Fund | | $ | 122,639,067 | | | $ | 3,918,870 | | | $ | (29,878,293 | ) | | $ | (25,959,423 | ) |
Net unrealized appreciation/(depreciation) of Stock Index Fund in the Master Portfolio consists of an allocated portion of the portfolio’s unrealized appreciation/(depreciation). For information pertaining to the unrealized appreciation/(depreciation) for the Master Portfolio, please refer to the Appendix of this report.
4. INVESTMENT TRANSACTIONS
Purchases and proceeds from sales of securities, other than short-term and U.S. Government securities, for the period ended June 30, 2009, were as follows:
| | | Purchases | | | Proceeds from Sale | |
| Short-Term Government Securities Fund | | | 8,715,386 | | | | 5,198,846 | |
| Short-Term Bond Fund | | | 50,335,643 | | | | 54,421,536 | |
| Value Fund | | | 4,939,212 | | | | 25,095,296 | |
| Growth Fund | | | 5,205,232 | | | | 3,258,963 | |
| Small-Company Stock Fund | | | 2,615,458 | | | | 3,265,314 | |
| International Value Fund | | | 23,761,711 | | | | 16,179,484 | |
Purchases and proceeds from sales of long-term U.S. Government securities, for the period ended June 30, 2009, were as follows:
| | | Purchases | | | Proceeds from Sale | |
| Short-Term Government Securities Fund | | | 10,896,025 | | | | 6,686,210 | |
| Short-Term Bond Fund | | | 722,149 | | | | 1,647,000 | |
For information pertaining to the purchases and proceeds from sales of securities for the Stock Index Fund please refer to the Appendix of this report.
5. RELATED PARTIES
The investment management agreements between Homestead Funds, with respect to each Fund (other than the Stock Index Fund), and RE Advisers Corporation (“RE Advisers”), an indirect, wholly-owned subsidiary of National Rural Electric Cooperative Association (“NRECA”), provide for an annual investment management fee, computed daily and paid monthly, based on each Fund’s average daily net assets. The annualized management fee rates for the Funds are 0.50% of average daily net assets for Daily Income Fund; 0.45% of average daily net assets for Short-Term Government Securities Fund;0.60% of average daily net assets for Short-Term Bond Fund; 0.65% of average daily net assets up to $200 million, 0.50% of average daily net assets up to the next $200 million, 0.40% of average daily net assets in excess of $400 million for Value Fund; 0.65% of average daily net assets up to $250 million and 0.60% of average daily net assets in excess of $250 million for the Growth Fund; 0.85% of average daily net assets up to $200 million and 0.75% of average daily net assets in excess of $200 million for Small-Company Stock Fund; and 0.75% of average daily net assets up to $300 million, 0.65% of average daily net assets up to the next $100 million, 0.55% of average daily net assets up to the next $100 million, and 0.50% of average daily net assets in excess of $500 million for International Value Fund.
T. Rowe Price Associates, Inc. (“T. Rowe”) is the Subadvisor for the Growth Fund and Mercator Asset Management, L.P. (“Mercator”) is the Subadvisor for the International Value Fund. The Subadvisors select, buy, and sell securities under the supervision of RE Advisers and the Board of Directors. RE Advisers pays the Subadvisors from the fees it receives from the Funds.
With respect to the Stock Index Fund, an Administrative Service Agreement with RE Advisers has been contracted, under which RE Advisers provides certain administrative services to the Fund. Pursuant to this agreement, RE Advisers receives a fee of 0.25% of the Fund’s average daily net assets. In addition, the Stock Index Fund is allocated a management fee from the Master Portfolio, calculated daily at an annual rate of 0.05% of its average daily net assets. This fee includes advisory, custody, and administrative fees provided by the Master Portfolio on behalf of its investors.
RE Advisers has agreed, as part of the Expense Limitation Agreement entered into with Homestead Funds, with respect to each Fund, to waive its management fee and/or reimburse for all Fund operating expenses, excluding certain non-recurring expenses, which in any year exceed 0.80% of the average daily net assets of the Daily
Notes to Financial Statements | 61 |
Income Fund and Short-Term Bond Fund, 0.75% of the average daily net assets of the Short-Term Government Securities Fund and Stock Index Fund, 1.25% of the average daily net assets of Value Fund, 0.95% of the average daily net assets of Growth Fund, 1.50% of the average daily net assets of Small-Company Stock Fund and 0.99% of the average daily net assets of the International Value Fund.
On January 27, 2009 RE Advisers voluntarily and temporarilly reduced the expense limitation from 0.80% to 0.50%. Further, on August 14, 2009, RE Advisers agreed to waive additional fees or reimburse expenses, if necessary in order to assist the Daily Income Fund in maintaining a minimum yield.
Pursuant to the Expense Limitation Agreement, management fees waived for the period ended June 30, 2009, amounted to $186,456 for Daily Income Fund, $9,321 for Short-Term Government Securities Fund, $27,495 for Short-Term Bond Fund, $5,050 for Stock Index Fund, $24,970 for Growth Fund, and $32,279 for International Value Fund. Additionally, RE Advisers reimbursed the Growth Fund $22,925.
The Stock Index, Value, Growth, Small-Company Stock, and International Value Funds each receive a 2% redemption fee on shares sold within 60 days of purchase.
On November 18, 2008, shareholders of the Nasdaq-100 Index Tracking Stock FundSM approved a change to the Fund’s investment objective effective December 5, 2008. On December 5, 2008 the Fund’s name was changed to the Growth Fund and T. Rowe Price Associates became the Fund’s subadvisor. At that time, the Fund sold its entire position of the Powershares QQQ Trust and began purchasing equity securities that meet the Fund’s investment strategy and objective.
On June 10, 2008, and December 22, 2008 RE Advisers made voluntary capital contributions to the Daily Income Fund in the amount of $54,636 and $143,145, respectively, to offset losses incurred due to the sale of securities prior to their maturity.
62 | Notes to Financial Statements |
6. CAPITAL SHARE TRANSACTIONS
As of June 30, 2009, 500 million shares of $.01 par value capital shares are authorized for Daily Income Fund, 200 million shares for Short-Term Bond Fund, and 100 million shares for Short-Term Government Securities Fund, Stock Index Fund, Value Fund, Growth Fund, Small-Company Stock Fund, and International Value Fund. Transactions in capital shares were as follows:
| | | Shares Sold | | | Shares Issued In Reinvestment of Dividends | | | Total Shares Issued | | | Total Shares Redeemed | | | Net Increase (Decrease) | |
| Period Ended June 30, 2009 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| In Dollars | | | | | | | | | | | | | | | |
| Daily Income Fund | | $ | 59,051,994 | | | $ | 476,721 | | | $ | 59,528,715 | | | $ | (45,012,696 | ) | | $ | 14,516,019 | |
| Short-Term Government Securities Fund | | $ | 12,475,290 | | | $ | 762,468 | | | $ | 13,237,758 | | | $ | (8,308,384 | ) | | $ | 4,929,374 | |
| Short-Term Bond Fund | | $ | 13,802,969 | | | $ | 7,121,706 | | | $ | 20,924,675 | | | $ | (17,555,526 | ) | | $ | 3,369,149 | |
| Stock Index Fund | | $ | 3,085,974 | | | $ | — | | | $ | 3,085,974 | | | $ | (1,972,074 | ) | | $ | 1,113,900 | |
| Value Fund | | $ | 23,195,390 | | | $ | 3,465,545 | | | $ | 26,660,935 | | | $ | (44,568,658 | ) | | $ | (17,907,723 | ) |
| Growth Fund | | $ | 3,192,174 | | | $ | — | | | $ | 3,192,174 | | | $ | (1,209,783 | ) | | $ | 1,982,391 | |
| Small-Company Stock Fund | | $ | 4,144,547 | | | $ | — | | | $ | 4,144,547 | | | $ | (6,348,287 | ) | | $ | (2,203,740 | ) |
| International Value Fund | | $ | 8,650,260 | | | $ | — | | | $ | 8,650,260 | | | $ | (7,283,884 | ) | | $ | 1,366,376 | |
| | | | | | | | | | | | | | | | | | | | | |
| In Shares | | | | | | | | | | | | | | | | | | | | |
| Daily Income Fund | | | 59,052,036 | | | | 476,721 | | | | 59,528,757 | | | | (45,012,696 | ) | | | 14,516,061 | |
| Short-Term Government Securities Fund | | | 2,371,143 | | | | 144,896 | | | | 2,516,039 | | | | (1,578,430 | ) | | | 937,609 | |
| Short-Term Bond Fund | | | 2,861,204 | | | | 1,470,284 | | | | 4,331,488 | | | | (3,663,522 | ) | | | 667,966 | |
| Stock Index Fund | | | 479,609 | | | | — | | | | 479,609 | | | | (317,938 | ) | | | 161,671 | |
| Value Fund | | | 1,138,354 | | | | 155,197 | | | | 1,293,551 | | | | (2,293,999 | ) | | | (1,000,448 | ) |
| Growth Fund | | | 893,538 | | | | — | | | | 893,538 | | | | (380,589 | ) | | | 512,949 | |
| Small-Company Stock Fund | | | 348,946 | | | | — | | | | 348,946 | | | | (523,948 | ) | | | (175,002 | ) |
| International Value Fund | | | 1,585,794 | | | | — | | | | 1,585,794 | | | | (1,351,609 | ) | | | 234,185 | |
| | | | | | | | | | | | | | | | | | | | | |
| Year Ended December 31, 2008 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | |
| In Dollars | | | | | | | | | | | | | | | | | | | | |
| Daily Income Fund | | $ | 122,968,084 | | | $ | 3,495,921 | | | $ | 126,464,005 | | | $ | (93,772,214 | ) | | $ | 32,691,791 | |
| Short-Term Government Securities Fund | | $ | 28,271,039 | | | $ | 1,506,445 | | | $ | 29,777,484 | | | $ | (13,876,086 | ) | | $ | 15,901,398 | |
| Short-Term Bond Fund | | $ | 34,971,815 | | | $ | 11,785,215 | | | $ | 46,757,030 | | | $ | (50,765,454 | ) | | $ | (4,008,424 | ) |
| Stock Index Fund | | $ | 9,027,934 | | | $ | 1,274,762 | | | $ | 10,302,696 | | | $ | (8,063,925 | ) | | $ | 2,238,771 | |
| Value Fund | | $ | 101,066,715 | | | $ | 10,249,005 | | | $ | 111,315,720 | | | $ | (142,635,133 | ) | | $ | (31,319,413 | ) |
| Growth Fund | | $ | 4,640,345 | | | $ | 311,089 | | | $ | 4,951,434 | | | $ | (2,568,356 | ) | | $ | 2,383,078 | |
| Small-Company Stock Fund | | $ | 13,539,331 | | | $ | 425,920 | | | $ | 13,965,251 | | | $ | (11,918,655 | ) | | $ | 2,046,596 | |
| International Value Fund | | $ | 28,064,273 | | | $ | 7,079,291 | | | $ | 35,143,564 | | | $ | (25,232,925 | ) | | $ | 9,910,639 | |
| | | | | | | | | | | | | | | | | | | | | |
| In Shares | | | | | | | | | | | | | | | | | | | | |
| Daily Income Fund | | | 122,968,084 | | | | 3,495,921 | | | | 126,464,005 | | | | (93,772,214 | ) | | | 32,691,791 | |
| Short-Term Government Securities Fund | | | 5,456,374 | | | | 290,036 | | | | 5,746,410 | | | | (2,678,540 | ) | | | 3,067,870 | |
| Short-Term Bond Fund | | | 6,931,629 | | | | 2,378,344 | | | | 9,309,973 | | | | (10,217,010 | ) | | | (907,037 | ) |
| Stock Index Fund | | | 981,813 | | | | 179,211 | | | | 1,161,024 | | | | (868,386 | ) | | | 292,638 | |
| Value Fund | | | 3,387,538 | | | | 406,296 | | | | 3,793,834 | | | | (4,995,803 | ) | | | (1,201,969 | ) |
| Growth Fund | | | 984,789 | | | | 91,348 | | | | 1,076,137 | | | | (583,779 | ) | | | 492,358 | |
| Small-Company Stock Fund | | | 832,793 | | | | 36,047 | | | | 868,840 | | | | (741,644 | ) | | | 127,196 | |
| International Value Fund | | | 3,450,685 | | | | 1,109,462 | | | | 4,560,147 | | | | (3,179,418 | ) | | | 1,380,729 | |
Notes to Financial Statements | 63 | |
James F. Perna, Director and Chairman of the Board
Peter R. Morris, Director and President
Anthony M. Marinello, Director and Vice President
Douglas W. Johnson, Director and Chairman of the Audit Committee
Francis P. Lucier, Director
Kenneth R. Meyer, Director
Sheldon C. Petersen, Director
Mark Rose, Director
Anthony C. Williams, Director
Amy M. DiMauro, Treasurer
Danielle C. Sieverling, Chief Compliance Officer
Kelly Bowers Whetstone, Secretary
64 | Directors and Officers |
June 30, 2009 (Unaudited)
| COMMON STOCKS | | Shares | | | Value | |
| (97.42% of net assets) | | | | | | |
| | | | | | | |
| ADVERTISING—0.15% | | | | | | |
| Interpublic Group of Companies Inc. (The) (a)(b) | | | 99,201 | | | $ | 500,965 | |
| Omnicom Group Inc. (b) | | | 64,102 | | | | 2,024,341 | |
| Total Advertising | | | | | | | 2,525,306 | |
| | | | | | | | | |
| AEROSPACE & DEFENSE—2.20% | | | | | | | | |
| Boeing Co. (The)(b) | | | 149,374 | | | | 6,348,395 | |
| General Dynamics Corp. | | | 79,349 | | | | 4,395,141 | |
| Goodrich Corp. (b) | | | 25,169 | | | | 1,257,695 | |
| L-3 Communications Holdings Inc. (b) | | | 24,229 | | | | 1,681,008 | |
| Lockheed Martin Corp. | | | 67,262 | | | | 5,424,680 | |
| Northrop Grumman Corp. (b) | | | 66,998 | | | | 3,060,469 | |
| Raytheon Co. (b) | | | 81,316 | | | | 3,612,870 | |
| Rockwell Collins Inc. (b) | | | 32,192 | | | | 1,343,372 | |
| United Technologies Corp. | | | 193,570 | | | | 10,057,897 | |
| Total Aerospace & Defense | | | | | | | 37,181,527 | |
| | | | | | | | | |
| AGRICULTURE—2.36% | | | | | | | | |
| Altria Group Inc. | | | 423,876 | | | | 6,947,328 | |
| Archer-Daniels-Midland Co. | | | 131,451 | | | | 3,518,943 | |
| Lorillard Inc. | | | 34,442 | | | | 2,334,134 | |
| Monsanto Co. | | | 112,182 | | | | 8,339,610 | |
| Philip Morris International Inc. (b) | | | 402,728 | | | | 17,566,995 | |
| Reynolds American Inc. | | | 34,492 | | | | 1,332,081 | |
| Total Agriculture | | | | | | | 40,039,091 | |
| | | | | | | | | |
| AIRLINES—0.06% | | | | | | | | |
| Southwest Airlines Co. (b) | | | 150,333 | | | | 1,011,741 | |
| Total Airlines | | | | | | | 1,011,741 | |
| | | | | | | | | |
| APPAREL—0.44% | | | | | | | | |
| Coach Inc. | | | 66,015 | | | | 1,774,483 | |
| Nike Inc. Class B (b) | | | 79,876 | | | | 4,135,979 | |
| Polo Ralph Lauren Corp. | | | 11,591 | | | | 620,582 | |
| VF Corp. (b) | | | 17,847 | | | | 987,831 | |
| Total Apparel | | | | | | | 7,518,875 | |
| | | | | | | | | |
| AUTO MANUFACTURERS—0.38% | | | | | | | | |
| Ford Motor Co. (a) | | | 659,803 | | | | 4,005,004 | |
| PACCAR Inc. (b) | | | 74,257 | | | | 2,414,095 | |
| Total Auto Manufacturers | | | | | | | 6,419,099 | |
| | | | | | | | | |
| AUTO PARTS & EQUIPMENT—0.19% | | | | | | | | |
| Goodyear Tire & Rubber Co. (The) (a) | | | 50,560 | | | | 569,306 | |
| Johnson Controls Inc. (b) | | | 120,802 | | | | 2,623,819 | |
| Total Auto Parts & Equipment | | | | | | | 3,193,125 | |
| | | | | | | | | |
| BANKS—4.81% | | | | | | | | |
| Bank of America Corp. | | | 1,658,070 | | | | 21,886,524 | |
| Bank of New York Mellon Corp. (The) | | | 245,090 | | | | 7,183,588 | |
| BB&T Corp. | | | 130,212 | | | | 2,862,060 | |
| Comerica Inc. | | | 30,769 | | | | 650,764 | |
| Discover Financial Services | | | 98,238 | | | | 1,008,904 | |
| Fifth Third Bancorp | | | 150,667 | | | | 1,069,736 | |
| First Horizon National Corp. (a) | | | 44,943 | | | | 539,316 | |
| Huntington Bancshares Inc. (b) | | | 111,448 | | | | 465,853 | |
| KeyCorp | | | 145,137 | | | | 760,518 | |
| M&T Bank Corp. (b) | | | 15,878 | | | | 808,667 | |
| Marshall & Ilsley Corp. | | | 72,233 | | | | 346,718 | |
| Northern Trust Corp. | | | 48,967 | | | | 2,628,549 | |
| PNC Financial Services Group Inc. (The) | | | 94,366 | | | | 3,662,344 | |
| Regions Financial Corp. (b) | | | 224,749 | | | | 907,986 | |
| State Street Corp. | | | 101,227 | | | | 4,777,914 | |
| SunTrust Banks Inc. | | | 95,271 | | | | 1,567,208 | |
| U.S. Bancorp (b) | | | 388,739 | | | | 6,966,203 | |
| Wells Fargo & Co. | | | 954,572 | | | | 23,157,917 | |
| Zions Bancorporation (b) | | | 23,844 | | | | 275,637 | |
| Total Banks | | | | | | | 81,526,406 | |
| | | | | | | | | |
| BEVERAGES—2.53% | | | | | | | | |
| Brown-Forman Corp. Class B (b) | | | 20,323 | | | | 873,483 | |
| Coca-Cola Co. (The) (b) | | | 408,720 | | | | 19,614,473 | |
| Coca-Cola Enterprises Inc. | | | 64,362 | | | | 1,071,627 | |
| Constellation Brands Inc. Class A (a) | | | 39,063 | | | | 495,319 | |
| Dr Pepper Snapple Group Inc. (a) | | | 52,262 | | | | 1,107,432 | |
| Molson Coors Brewing Co. Class B | | | 30,341 | | | | 1,284,335 | |
| Pepsi Bottling Group Inc. | | | 27,068 | | | | 915,981 | |
| PepsiCo Inc. (b) | | | 319,530 | | | | 17,561,369 | |
| Total Beverages | | | | | | | 42,924,019 | |
| | | | | | | | | |
| BIOTECHNOLOGY—1.39% | | | | | | | | |
| Amgen Inc. (a) | | | 208,005 | | | | 11,011,785 | |
| Biogen Idec Inc. (a) | | | 59,618 | | | | 2,691,753 | |
| Celgene Corp. (a)(b) | | | 94,422 | | | | 4,517,148 | |
| Genzyme Corp. (a)(b) | | | 55,436 | | | | 3,086,122 | |
| Life Technologies Corp. (a) | | | 35,755 | | | | 1,491,699 | |
| Millipore Corp. (a) | | | 11,124 | | | | 781,016 | |
| Total Biotechnology | | | | | | | 23,579,523 | |
| | | | | | | | | |
| BUILDING MATERIALS—0.04% | | | | | | | | |
| Masco Corp. (b) | | | 74,051 | | | | 709,409 | |
| Total Building Materials | | | | | | | 709,409 | |
| | | | | | | | | |
| CHEMICALS—1.33% | | | | | | | | |
| Air Products and Chemicals Inc. (b) | | | 42,946 | | | | 2,773,882 | |
| CF Industries Holdings Inc. | | | 9,918 | | | | 735,321 | |
| Dow Chemical Co. (The) | | | 220,583 | | | | 3,560,210 | |
| E.I. du Pont de Nemours and Co. | | | 184,912 | | | | 4,737,445 | |
| Eastman Chemical Co. (b) | | | 14,579 | | | | 552,544 | |
| Ecolab Inc. (b) | | | 34,357 | | | | 1,339,579 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| (Chemicals continued) | | | | | | |
| International Flavors & Fragrances Inc. (b) | | | 16,256 | | | $ | 531,896 | |
| PPG Industries Inc. (b) | | | 33,965 | | | | 1,491,063 | |
| Praxair Inc. (b) | | | 63,197 | | | | 4,491,411 | |
| Sherwin-Williams Co. (The) (b) | | | 20,327 | | | | 1,092,576 | |
| Sigma-Aldrich Corp. (b) | | | 25,420 | | | | 1,259,815 | |
| Total Chemicals | | | | | | | 22,565,742 | |
| | | | | | | | | |
| COAL—0.19% | | | | | | | | |
| CONSOL Energy Inc. | | | 37,581 | | | | 1,276,251 | |
| Massey Energy Co. (b) | | | 17,752 | | | | 346,874 | |
| Peabody Energy Corp. (b) | | | 54,859 | | | | 1,654,547 | |
| Total Coal | | | | | | | 3,277,672 | |
| | | | | | | | | |
| COMMERCIAL SERVICES—0.81% | | | | | | | | |
| Apollo Group Inc. Class A (a)(b) | | | 22,010 | | | | 1,565,351 | |
| Convergys Corp. (a) | | | 25,380 | | | | 235,526 | |
| DeVry Inc. | | | 12,640 | | | | 632,506 | |
| Equifax(b) | | | 26,260 | | | | 685,386 | |
| H&R Block Inc. (b) | | | 69,089 | | | | 1,190,403 | |
| Iron Mountain Inc. (a)(b) | | | 37,358 | | | | 1,074,042 | |
| McKesson Corp. | | | 55,961 | | | | 2,462,284 | |
| Monster Worldwide Inc. (a)(b) | | | 26,159 | | | | 308,938 | |
| Moody’s Corp. | | | 39,532 | | | | 1,041,668 | |
| Quanta Services Inc. (a) | | | 39,957 | | | | 924,205 | |
| R.R. Donnelley & Sons Co. | | | 43,079 | | | | 500,578 | |
| Robert Half International Inc. (b) | | | 32,043 | | | | 756,856 | |
| Western Union Co. | | | 145,557 | | | | 2,387,135 | |
| Total Commercial Services | | | | | | | 13,764,878 | |
| | | | | | | | | |
| COMPUTERS—5.50% | | | | | | | | |
| Affiliated Computer Services Inc. Class A (a) | | | 20,255 | | | | 899,727 | |
| Apple Inc. (a) | | | 182,862 | | | | 26,045,035 | |
| Cognizant Technology Solutions Corp. Class A (a)(b) | | | 60,335 | | | | 1,610,944 | |
| Computer Sciences Corp. (a) | | | 31,043 | | | | 1,375,205 | |
| Dell Inc. (a)(b) | | | 354,624 | | | | 4,868,988 | |
| EMC Corp. (a) | | | 414,577 | | | | 5,430,959 | |
| Hewlett-Packard Co. | | | 489,864 | | | | 18,933,244 | |
| International Business Machines Corp. | | | 271,134 | | | | 28,311,812 | |
| Lexmark International Inc. Class A (a)(b) | | | 15,437 | | | | 244,676 | |
| NetApp Inc. (a)(b) | | | 67,846 | | | | 1,337,923 | |
| SanDisk Corp. (a)(b) | | | 47,254 | | | | 694,161 | |
| Sun Microsystems Inc. (a) | | | 150,628 | | | | 1,388,790 | |
| Teradata Corp. (a) | | | 36,343 | | | | 851,516 | |
| Western Digital Corp. (a) | | | 45,619 | | | | 1,208,903 | |
| Total Computers | | | | | | | 93,201,883 | |
| | | | | | | | | |
| COSMETICS & PERSONAL CARE—2.41% | | | | | | | | |
| Avon Products Inc. (b) | | | 86,698 | | | | 2,235,074 | |
| Colgate-Palmolive Co. | | | 102,763 | | | | 7,269,455 | |
| Estee Lauder Companies Inc. (The) Class A (b) | | | 24,028 | | | | 784,995 | |
| Procter & Gamble Co. (The) | | | 598,045 | | | | 30,560,100 | |
| Total Cosmetics & Personal Care | | | | | | | 40,849,624 | |
| | | | | | | | | |
| DISTRIBUTION & WHOLESALE—0.18% | | | | | | | | |
| Fastenal Co. | | | 26,319 | | | | 873,001 | |
| Genuine Parts Co. | | | 32,607 | | | | 1,094,291 | |
| W.W. Grainger Inc. (b) | | | 13,033 | | | | 1,067,142 | |
| Total Distribution & Wholesale | | | | | | | 3,034,434 | |
| | | | | | | | | |
| DIVERSIFIED FINANCIAL SERVICES—4.90% | | | | | | | | |
| American Express Co. | | | 243,445 | | | | 5,657,662 | |
| Ameriprise Financial Inc. | | | 52,301 | | | | 1,269,345 | |
| Capital One Financial Corp. | | | 91,941 | | | | 2,011,669 | |
| Charles Schwab Corp. (The) (b) | | | 191,748 | | | | 3,363,260 | |
| CIT Group Inc. | | | 75,731 | | | | 162,822 | |
| Citigroup Inc. (b) | | | 1,121,667 | | | | 3,331,351 | |
| CME Group Inc. | | | 13,650 | | | | 4,246,651 | |
| E*TRADE Financial Corp. (a) | | | 206,479 | | | | 264,293 | |
| Federated Investors Inc. Class B | | | 18,116 | | | | 436,414 | |
| Franklin Resources Inc. | | | 30,995 | | | | 2,231,950 | |
| Goldman Sachs Group Inc. (The) | | | 103,125 | | | | 15,204,750 | |
| IntercontinentalExchange Inc. (a) | | | 14,838 | | | | 1,695,093 | |
| Invesco Ltd. | | | 84,328 | | | | 1,502,725 | |
| Janus Capital Group Inc. | | | 33,579 | | | | 382,801 | |
| JPMorgan Chase & Co. | | | 799,813 | | | | 27,281,621 | |
| Legg Mason Inc. | | | 30,055 | | | | 732,741 | |
| Morgan Stanley | | | 277,121 | | | | 7,900,720 | |
| NASDAQ OMX Group Inc. (The) (a) | | | 28,161 | | | | 600,111 | |
| NYSE Euronext Inc. | | | 53,596 | | | | 1,460,491 | |
| SLM Corp. (a) | | | 95,835 | | | | 984,225 | |
| T. Rowe Price Group Inc. (b) | | | 52,500 | | | | 2,187,675 | |
| Total Diversified Financial Services | | | | | | | 82,908,370 | |
| | | | | | | | | |
| ELECTRIC—3.64% | | | | | | | | |
| AES Corp. (The) (a)(b) | | | 136,635 | | | | 1,586,332 | |
| Allegheny Energy Inc. (b) | | | 34,178 | | | | 876,666 | |
| Ameren Corp. (b) | | | 42,803 | | | | 1,065,367 | |
| American Electric Power Co. Inc. (b) | | | 95,730 | | | | 2,765,640 | |
| CenterPoint Energy Inc. | | | 69,245 | | | | 767,235 | |
| CMS Energy Corp. (b) | | | 47,382 | | | | 572,375 | |
| Consolidated Edison Inc. (b) | | | 55,889 | | | | 2,091,366 | |
| Constellation Energy Group Inc. (b) | | | 40,351 | | | | 1,072,530 | |
| Dominion Resources Inc. (b) | | | 119,933 | | | | 4,008,161 | |
| DTE Energy Co. (b) | | | 33,526 | | | | 1,072,832 | |
| Duke Energy Corp. (b) | | | 262,460 | | | | 3,829,291 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| (Electric continued) | | | | | | |
| | | | | | | |
| Dynegy Inc. Class A (a)(b) | | | 104,575 | | | $ | 237,385 | |
| Edison International | | | 66,512 | | | | 2,092,468 | |
| Entergy Corp. | | | 40,205 | | | | 3,116,692 | |
| Exelon Corp. | | | 134,821 | | | | 6,904,183 | |
| FirstEnergy Corp. | | | 62,468 | | | | 2,420,635 | |
| FPL Group Inc. (b) | | | 83,757 | | | | 4,762,423 | |
| Integrys Energy Group Inc. | | | 16,065 | | | | 481,789 | |
| Northeast Utilities | | | 34,883 | | | | 778,240 | |
| Pepco Holdings Inc. | | | 44,898 | | | | 603,429 | |
| PG&E Corp. (b) | | | 74,872 | | | | 2,878,080 | |
| Pinnacle West Capital Corp. (b) | | | 21,158 | | | | 637,914 | |
| PPL Corp. (b) | | | 76,668 | | | | 2,526,977 | |
| Progress Energy Inc. (b) | | | 56,317 | | | | 2,130,472 | |
| Public Service Enterprise Group Inc. (b) | | | 103,710 | | | | 3,384,057 | |
| SCANA Corp. (b) | | | 24,421 | | | | 792,950 | |
| Southern Co. | | | 159,567 | | | | 4,972,108 | |
| TECO Energy Inc. (b) | | | 44,313 | | | | 528,654 | |
| Wisconsin Energy Corp. | | | 24,218 | | | | 985,915 | |
| Xcel Energy Inc. (b) | | | 92,021 | | | | 1,694,107 | |
| Total Electric | | | | | | | 61,636,273 | |
| | | | | | | | | |
| ELECTRICAL COMPONENTS & EQUIPMENT—0.32% | | | | | | | | |
| Emerson Electric Co. | | | 154,778 | | | | 5,014,807 | |
| Molex Inc. (b) | | | 28,010 | | | | 435,556 | |
| Total Electrical Components & Equipment | | | | | | | 5,450,363 | |
| | | | | | | | | |
| ELECTRONICS—0.51% | | | | | | | | |
| Agilent Technologies Inc. (a) | | | 71,852 | | | | 1,459,314 | |
| Amphenol Corp. Class A (b) | | | 35,594 | | | | 1,126,194 | |
| FLIR Systems Inc. (a)(b) | | | 30,495 | | | | 687,967 | |
| Jabil Circuit Inc. | | | 44,010 | | | | 326,554 | |
| PerkinElmer Inc. (b) | | | 24,783 | | | | 431,224 | |
| Thermo Fisher Scientific Inc. (a)(b) | | | 86,110 | | | | 3,510,705 | |
| Waters Corp. (a)(b) | | | 20,479 | | | | 1,054,054 | |
| Total Electronics | | | | | | | 8,596,012 | |
| | | | | | | | | |
| ENGINEERING & CONSTRUCTION—0.17% | | | | | | | | |
| Fluor Corp. (b) | | | 36,987 | | | | 1,897,063 | |
| Jacobs Engineering Group Inc. (a)(b) | | | 24,860 | | | | 1,046,357 | |
| Total Engineering & Construction | | | | | | | 2,943,420 | |
| | | | | | | | | |
| ENTERTAINMENT—0.06% | | | | | | | | |
| International Game Technology (b) | | | 59,686 | | | | 949,007 | |
| Total Entertainment | | | | | | | 949,007 | |
| | | | | | | | | |
| ENVIRONMENTAL CONTROL—0.32% | | | | | | | | |
| Republic Services Inc. (b) | | | 65,120 | | | | 1,589,579 | |
| Stericycle Inc. (a)(b) | | | 17,687 | | | | 911,411 | |
| Waste Management Inc. (b) | | | 100,529 | | | | 2,830,897 | |
| Total Environmental Control | | | | | | | 5,331,887 | |
| | | | | | | | | |
| FOOD—2.03% | | | | | | | | |
| Campbell Soup Co. (b) | | | 41,374 | | | | 1,217,223 | |
| ConAgra Foods Inc. (b) | | | 91,619 | | | | 1,746,258 | |
| Dean Foods Co. (a) | | | 36,292 | | | | 696,443 | |
| General Mills Inc. (b) | | | 67,882 | | | | 3,802,750 | |
| H.J. Heinz Co. | | | 64,436 | | | | 2,300,365 | |
| Hershey Co. (The) | | | 34,344 | | | | 1,236,384 | |
| Hormel Foods Corp. | | | 14,579 | | | | 503,559 | |
| J.M. Smucker Co. (The) | | | 24,451 | | | | 1,189,786 | |
| Kellogg Co. (b) | | | 51,625 | | | | 2,404,176 | |
| Kraft Foods Inc. Class A | | | 301,051 | | | | 7,628,632 | |
| Kroger Co. (The) | | | 133,706 | | | | 2,948,217 | |
| McCormick & Co. Inc. NVS (b) | | | 26,935 | | | | 876,196 | |
| Safeway Inc. (b) | | | 87,177 | | | | 1,775,795 | |
| Sara Lee Corp. (b) | | | 145,845 | | | | 1,423,447 | |
| SUPERVALU Inc. | | | 43,040 | | | | 557,368 | |
| Sysco Corp. (b) | | | 121,702 | | | | 2,735,861 | |
| Tyson Foods Inc. Class A (b) | | | 63,044 | | | | 794,985 | |
| Whole Foods Market Inc. (b) | | | 29,502 | | | | 559,948 | |
| Total Food | | | | | | | 34,397,393 | |
| | | | | | | | | |
| FOREST PRODUCTS & PAPER—0.25% | | | | | | | | |
| International Paper Co. | | | 88,382 | | | | 1,337,220 | |
| MeadWestvaco Corp. (b) | | | 34,856 | | | | 571,987 | |
| Plum Creek Timber Co. Inc. (b) | | | 34,266 | | | | 1,020,441 | |
| Weyerhaeuser Co. (b) | | | 43,710 | | | | 1,330,095 | |
| Total Forest Products & Paper | | | | | | | 4,259,743 | |
| | | | | | | | | |
| GAS—0.20% | | | | | | | | |
| Nicor Inc. | | | 9,098 | | | | 314,973 | |
| NiSource Inc. | | | 57,628 | | | | 671,942 | |
| Sempra Energy (b) | | | 49,926 | | | | 2,477,827 | |
| Total Gas | | | | | | | 3,464,742 | |
| | | | | | | | | |
| HAND & MACHINE TOOLS—0.07% | | | | | | | | |
| Black & Decker Corp. (The) (b) | | | 12,384 | | | | 354,925 | |
| Snap-On Inc. (b) | | | 12,087 | | | | 347,380 | |
| Stanley Works (The) (b) | | | 16,479 | | | | 557,649 | |
| Total Hand & Machine Tools | | | | | | | 1,259,954 | |
| | | | | | | | | |
| HEALTH CARE—PRODUCTS—3.85% | | | | | | | | |
| Baxter International Inc. (b) | | | 124,529 | | | | 6,595,056 | |
| Becton, Dickinson and Co. | | | 49,452 | | | | 3,526,422 | |
| Boston Scientific Corp. (a)(b) | | | 307,449 | | | | 3,117,533 | |
| C.R. Bard Inc. (b) | | | 20,204 | | | | 1,504,188 | |
| DENTSPLY International Inc. (b) | | | 30,794 | | | | 939,833 | |
| Intuitive Surgical Inc. (a)(b) | | | 7,890 | | | | 1,291,277 | |
| Johnson & Johnson | | | 565,375 | | | | 32,113,300 | |
| Medtronic Inc. | | | 229,145 | | | | 7,994,869 | |
| Patterson Companies Inc. (a)(b) | | | 18,873 | | | | 409,544 | |
| St. Jude Medical Inc. (a) | | | 70,530 | | | | 2,898,783 | |
| Stryker Corp. (b) | | | 49,282 | | | | 1,958,467 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| (Health Care—Products continued) | | | | | | |
| | | | | | | |
| Varian Medical Systems Inc. (a)(b) | | | 25,786 | | | $ | 906,120 | |
| Zimmer Holdings Inc. (a) | | | 44,679 | | | | 1,903,325 | |
| Total Health Care—Products | | | | | | | 65,158,717 | |
| | | | | | | | | |
| HEALTH CARE—SERVICES—1.17% | | | | | | | | |
| Aetna Inc. | | | 92,621 | | | | 2,320,156 | |
| Coventry Health Care Inc. (a)(b) | | | 30,695 | | | | 574,303 | |
| DaVita Inc. (a)(b) | | | 21,493 | | | | 1,063,044 | |
| Humana Inc. (a)(b) | | | 34,840 | | | | 1,123,938 | |
| Laboratory Corp. of America Holdings(a)(b) | | | 22,224 | | | | 1,506,565 | |
| Quest Diagnostics Inc. (b) | | | 31,239 | | | | 1,762,817 | |
| Tenet Healthcare Corp. (a) | | | 84,956 | | | | 239,576 | |
| UnitedHealth Group Inc. | | | 244,861 | | | | 6,116,628 | |
| WellPoint Inc. (a) | | | 99,854 | | | | 5,081,570 | |
| Total Health Care—Services | | | | | | | 19,788,597 | |
| | | | | | | | | |
| HOLDING COMPANIES—DIVERSIFIED—0.05% | | | | | | | | |
| Leucadia National Corp. (a) | | | 37,012 | | | | 780,583 | |
| Total Holding Companies—Diversified | | | | | | | 780,583 | |
| | | | | | | | | |
| HOME BUILDERS—0.10% | | | | | | | | |
| Centex Corp. (b) | | | 25,426 | | | | 215,104 | |
| D.R. Horton Inc. (b) | | | 57,772 | | | | 540,746 | |
| KB Home | | | 16,233 | | | | 222,067 | |
| Lennar Corp. Class A | | | 28,949 | | | | 280,516 | |
| Pulte Homes Inc. | | | 44,917 | | | | 396,617 | |
| Total Home Builders | | | | | | | 1,655,050 | |
| | | | | | | | | |
| HOME FURNISHINGS—0.05% | | | | | | | | |
| Harman International | | | | | | | | |
| Industries Inc. (b) | | | 12,074 | | | | 226,991 | |
| Whirlpool Corp. (b) | | | 15,381 | | | | 654,615 | |
| Total Home Furnishings | | | | | | | 881,606 | |
| | | | | | | | | |
| HOUSEHOLD PRODUCTS & WARES—0.45% | | | | | | | | |
| Avery Dennison Corp. (b) | | | 22,375 | | | | 574,590 | |
| Clorox Co. (The) | | | 28,426 | | | | 1,587,024 | |
| Fortune Brands Inc. (b) | | | 31,248 | | | | 1,085,556 | |
| Kimberly-Clark Corp. | | | 84,788 | | | | 4,445,435 | |
| Total Household Products & Wares | | | | | | | 7,692,605 | |
| | | | | | | | | |
| HOUSEWARES—0.04% | | | | | | | | |
| Newell Rubbermaid Inc. (b) | | | 58,177 | | | | 605,623 | |
| Total Housewares | | | | | | | 605,623 | |
| | | | | | | | | |
| INSURANCE—2.36% | | | | | | | | |
| Aflac Inc. (b) | | | 95,521 | | | | 2,969,748 | |
| Allstate Corp. (The) | | | 109,466 | | | | 2,670,970 | |
| American International Group | | | | | | | | |
| Inc. (b) | | | 554,020 | | | | 642,663 | |
| Aon Corp. | | | 55,935 | | | | 2,118,258 | |
| Assurant Inc. | | | 24,311 | | | | 585,652 | |
| Chubb Corp. | | | 72,891 | | | | 2,906,893 | |
| CIGNA Corp. | | | 55,622 | | | | 1,339,934 | |
| Cincinnati Financial Corp. (b) | | | 32,753 | | | | 732,030 | |
| Genworth Financial Inc. | | | | | | | | |
| Class A | | | 90,929 | | | | 635,594 | |
| Hartford Financial Services | | | | | | | | |
| Group Inc. (The) | | | 65,627 | | | | 778,992 | |
| Lincoln National Corp. | | | 60,704 | | | | 1,044,716 | |
| Loews Corp. | | | 73,781 | | | | 2,021,599 | |
| Marsh & McLennan Companies Inc. | | | 105,347 | | | | 2,120,635 | |
| MBIA Inc. (a) | | | 40,352 | | | | 174,724 | |
| MetLife Inc. | | | 167,663 | | | | 5,031,567 | |
| Principal Financial Group Inc. (b) | | | 63,665 | | | | 1,199,449 | |
| Progressive Corp. (The) (a)(b) | | | 137,798 | | | | 2,082,128 | |
| Prudential Financial Inc. (b) | | | 93,629 | | | | 3,484,871 | |
| Torchmark Corp. | | | 17,321 | | | | 641,570 | |
| Travelers Companies Inc. (The) | | | 119,780 | | | | 4,915,771 | |
| Unum Group | | | 67,988 | | | | 1,078,290 | |
| XL Capital Ltd. Class A | | | 70,528 | | | | 808,251 | |
| Total Insurance | | | | | | | 39,984,305 | |
| | | | | | | | | |
| INTERNET—2.39% | | | | | | | | |
| Akamai Technologies Inc. (a)(b) | | | 35,386 | | | | 678,703 | |
| Amazon.com Inc. (a) | | | 65,907 | | | | 5,513,780 | |
| eBay Inc. (a)(b) | | | 219,806 | | | | 3,765,277 | |
| Expedia Inc. (a)(b) | | | 43,936 | | | | 663,873 | |
| Google Inc. Class A (a)(b) | | | 49,200 | | | | 20,742,228 | |
| McAfee Inc. (a) | | | 30,931 | | | | 1,304,979 | |
| Symantec Corp. (a) | | | 169,161 | | | | 2,632,145 | |
| VeriSign Inc. (a)(b) | | | 39,843 | | | | 736,299 | |
| Yahoo! Inc. (a) | | | 286,234 | | | | 4,482,424 | |
| Total Internet | | | | | | | 40,519,708 | |
| | | | | | | | | |
| IRON & STEEL—0.30% | | | | | | | | |
| AK Steel Holding Corp. (b) | | | 23,542 | | | | 451,771 | |
| Allegheny Technologies Inc. (b) | | | 19,410 | | | | 677,991 | |
| Nucor Corp. (b) | | | 64,335 | | | | 2,858,404 | |
| United States Steel Corp. | | | 28,708 | | | | 1,026,024 | |
| Total Iron & Steel | | | | | | | 5,014,190 | |
| | | | | | | | | |
| LEISURE TIME—0.18% | | | | | | | | |
| Carnival Corp. | | | 89,274 | | | | 2,300,591 | |
| Harley-Davidson Inc. (b) | | | 48,724 | | | | 789,816 | |
| Total Leisure Time | | | | | | | 3,090,407 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| LODGING—0.18% | | | | | | |
| Marriott International Inc. Class A (b) | | $ | 59,646 | | | | 1,316,387 | |
| Starwood Hotels & Resorts Worldwide Inc. (b) | | | 37,215 | | | | 826,173 | |
| Wyndham Worldwide Corp. | | | 37,193 | | | | 450,779 | |
| Wynn Resorts Ltd. (a)(b) | | | 12,786 | | | | 451,346 | |
| Total Lodging | | | | | | | 3,044,685 | |
| | | | | | | | | |
| MACHINERY—0.64% | | | | | | | | |
| Caterpillar Inc. (b) | | | 123,615 | | | | 4,084,240 | |
| Cummins Inc. (b) | | | 40,741 | | | | 1,434,491 | |
| Deere & Co. (b) | | | 87,503 | | | | 3,495,745 | |
| Flowserve Corp. | | | 11,702 | | | | 816,917 | |
| Manitowoc Co. Inc. (The) (b) | | | 27,353 | | | | 143,877 | |
| Rockwell Automation Inc. (b) | | | 28,643 | | | | 920,013 | |
| Total Machinery | | | | | | | 10,895,283 | |
| | | | | | | | | |
| MANUFACTURING—3.17% | | | | | | | | |
| Cooper Industries Ltd. Class A | | | 34,885 | | | | 1,083,179 | |
| Danaher Corp. (b) | | | 52,396 | | | | 3,234,929 | |
| Dover Corp. (b) | | | 37,889 | | | | 1,253,747 | |
| Eastman Kodak Co. | | | 53,284 | | | | 157,721 | |
| Eaton Corp. (b) | | | 33,705 | | | | 1,503,580 | |
| General Electric Co. | | | 2,168,632 | | | | 25,416,367 | |
| Honeywell International Inc. (b) | | | 152,503 | | | | 4,788,594 | |
| Illinois Tool Works Inc. | | | 79,471 | | | | 2,967,447 | |
| ITT Corp. (b) | | | 36,867 | | | | 1,640,581 | |
| Leggett & Platt Inc. (b) | | | 32,959 | | | | 501,966 | |
| Pall Corp. | | | 23,982 | | | | 636,962 | |
| Parker Hannifin Corp. (b) | | | 33,025 | | | | 1,418,754 | |
| Textron Inc. (b) | | | 51,098 | | | | 493,607 | |
| 3M Co. | | | 142,509 | | | | 8,564,791 | |
| Total Manufacturing | | | | | | | 53,662,225 | |
| | | | | | | | | |
| MEDIA—2.36% | | | | | | | | |
| CBS Corp. Class B | | | 140,147 | | | | 969,817 | |
| Comcast Corp. Class A | | | 591,961 | | | | 8,577,515 | |
| DIRECTV Group Inc. (The) (a) | | | 105,485 | | | | 2,606,534 | |
| Gannett Co. Inc. | | | 48,072 | | | | 171,617 | |
| McGraw-Hill Companies Inc. (The) | | | 64,450 | | | | 1,940,589 | |
| Meredith Corp. | | | 6,969 | | | | 178,058 | |
| New York Times Co. (The) Class A (b) | | | 24,016 | | | | 132,328 | |
| News Corp. Class A (b) | | | 471,304 | | | | 4,293,579 | |
| Scripps Networks Interactive Inc. Class A | | | 18,872 | | | | 525,208 | |
| Time Warner Cable Inc. | | | 72,364 | | | | 2,291,768 | |
| Time Warner Inc. | | | 245,045 | | | | 6,172,684 | |
| Viacom Inc. Class B (a) | | | 125,001 | | | | 2,837,523 | |
| Walt Disney Co. (The) | | | 380,804 | | | | 8,884,157 | |
| Washington Post Co. (The) Class B (b) | | | 1,264 | | | | 445,156 | |
| Total Media | | | | | | | 40,026,533 | |
| | | | | | | | | |
| METAL FABRICATE & HARDWARE—0.12% | | | | | | | | |
| Precision Castparts Corp. | | | 28,760 | | | | $ 2,100,343 | |
| Total Metal Fabricate & Hardware | | | | | | | 2,100,343 | |
| | | | | | | | | |
| MINING—0.69% | | | | | | | | |
| Alcoa Inc. (b) | | | 199,745 | | | | 2,063,366 | |
| Freeport-McMoRan Copper & Gold Inc. | | | 84,269 | | | | 4,222,720 | |
| Newmont Mining Corp. | | | 100,243 | | | | 4,096,931 | |
| Titanium Metals Corp. | | | 18,784 | | | | 172,625 | |
| Vulcan Materials Co. | | | 24,984 | | | | 1,076,810 | |
| Total Mining | | | | | | | 11,632,452 | |
| | | | | | | | | |
| OFFICE & BUSINESS EQUIPMENT—0.12% | | | | | | | | |
| Pitney Bowes Inc. (b) | | | 42,240 | | | | 926,323 | |
| Xerox Corp. | | | 175,551 | | | | 1,137,570 | |
| Total Office & Business Equipment | | | | | | | 2,063,893 | |
| | | | | | | | | |
| OIL & GAS—10.09% | | | | | | | | |
| Anadarko Petroleum | | | | | | | | |
| Corp. (b) | | | 102,344 | | | | 4,645,394 | |
| Apache Corp. | | | 68,581 | | | | 4,948,119 | |
| Cabot Oil & Gas Corp. | | | 20,684 | | | | 633,758 | |
| Chesapeake Energy Corp. (b) | | | 114,867 | | | | 2,277,813 | |
| Chevron Corp. | | | 411,342 | | | | 27,251,408 | |
| ConocoPhillips | | | 304,305 | | | | 12,799,068 | |
| Denbury Resources Inc. (a)(b) | | | 51,007 | | | | 751,333 | |
| Devon Energy Corp. (b) | | | 91,061 | | | | 4,962,825 | |
| Diamond Offshore Drilling Inc. (b) | | | 14,037 | | | | 1,165,773 | |
| ENSCO International Inc. (b) | | | 28,613 | | | | 997,735 | |
| EOG Resources Inc. (b) | | | 51,145 | | | | 3,473,768 | |
| EQT Corp. (b) | | | 27,162 | | | | 948,225 | |
| Exxon Mobil Corp. | | | 1,000,767 | | | | 69,963,620 | |
| Hess Corp. | | | 58,132 | | �� | | 3,124,595 | |
| Marathon Oil Corp. | | | 144,587 | | | | 4,356,406 | |
| Murphy Oil Corp. (b) | | | 38,863 | | | | 2,111,038 | |
| Nabors Industries Ltd.(a)(b) | | | 59,373 | | | | 925,031 | |
| Noble Energy Inc. (b) | | | 35,400 | | | | 2,087,538 | |
| Occidental Petroleum Corp. (b) | | | 166,399 | | | | 10,950,718 | |
| Pioneer Natural Resources Co. (b) | | | 24,383 | | | | 621,767 | |
| Range Resources Corp. (b) | | | 31,786 | | | | 1,316,258 | |
| Rowan Companies Inc. | | | 23,674 | | | | 457,382 | |
| Southwestern Energy Co.(a)(b) | | | 70,263 | | | | 2,729,718 | |
| Sunoco Inc. (b) | | | 23,728 | | | | 550,490 | |
| Tesoro Corp. | | | 28,979 | | | | 368,903 | |
| Valero Energy Corp. | | | 114,054 | | | | 1,926,372 | |
| XTO Energy Inc. | | | 118,965 | | | | 4,537,325 | |
| Total Oil & Gas | | | | | | | 170,882,380 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| OIL & GAS SERVICES—1.56% | | | | | | |
| Baker Hughes Inc. | | | 63,004 | | | $ | 2,295,866 | |
| BJ Services Co. (b) | | | 59,107 | | | | 805,628 | |
| Cameron International Corp. (a)(b) | | | 45,499 | | | | 1,287,622 | |
| FMC Technologies Inc. (a)(b) | | | 25,854 | | | | 971,593 | |
| Halliburton Co. (b) | | | 183,149 | | | | 3,791,184 | |
| National Oilwell Varco Inc. (a) | | | 85,519 | | | | 2,793,051 | |
| Schlumberger Ltd. | | | 245,699 | | | | 13,294,773 | |
| Smith International Inc. (b) | | | 44,541 | | | | 1,146,931 | |
| Total Oil & Gas Services | | | | | | | 26,386,648 | |
| | | | | | | | | |
| PACKAGING & CONTAINERS—0.21% | | | | | | | | |
| Ball Corp. | | | 19,117 | | | | 863,324 | |
| Bemis Co. Inc. (b) | | | 20,963 | | | | 528,268 | |
| Owens-Illinois Inc. (a)(b) | | | 34,705 | | | | 972,087 | |
| Pactiv Corp. (a)(b) | | | 27,499 | | | | 596,728 | |
| Sealed Air Corp. (b) | | | 32,383 | | | | 597,466 | |
| Total Packaging & Containers | | | | | | | 3,557,873 | |
| | | | | | | | | |
| PHARMACEUTICALS—6.68% | | | | | | | | |
| Abbott Laboratories | | | 317,366 | | | | 14,928,897 | |
| Allergan Inc. (b) | | | 63,016 | | | | 2,998,301 | |
| AmerisourceBergen Corp. | | | 62,657 | | | | 1,111,535 | |
| Bristol-Myers Squibb Co. | | | 405,658 | | | | 8,238,914 | |
| Cardinal Health Inc. (b) | | | 73,639 | | | | 2,249,671 | |
| Cephalon Inc. (a)(b) | | | 15,137 | | | | 857,511 | |
| Eli Lilly and Co. (b) | | | 207,414 | | | | 7,184,821 | |
| Express Scripts Inc. (a) | | | 55,557 | | | | 3,819,544 | |
| Forest Laboratories Inc. (a) | | | 61,703 | | | | 1,549,362 | |
| Gilead Sciences Inc. (a) | | | 186,350 | | | | 8,728,634 | |
| Hospira Inc. (a)(b) | | | 32,334 | | | | 1,245,506 | |
| King Pharmaceuticals Inc. (a)(b) | | | 51,510 | | | | 496,041 | |
| Medco Health Solutions Inc. (a) | | | 99,420 | | | | 4,534,546 | |
| Merck & Co. Inc. (b) | | | 433,233 | | | | 12,113,195 | |
| Mylan Inc. (a)(b) | | | 61,932 | | | | 808,213 | |
| Pfizer Inc. | | | 1,385,085 | | | | 20,776,275 | |
| Schering-Plough Corp. | | | 334,192 | | | | 8,394,903 | |
| Watson Pharmaceuticals Inc. (a) | | | 21,022 | | | | 708,231 | |
| Wyeth | | | 273,432 | | | | 12,411,078 | |
| Total Pharmaceuticals | | | | | | | 113,155,178 | |
| | | | | | | | | |
| PIPELINES—0.38% | | | | | | | | |
| El Paso Corp. | | | 144,094 | | | | 1,329,988 | |
| Questar Corp. | | | 35,495 | | | | 1,102,475 | |
| Spectra Energy Corp. (b) | | | 131,402 | | | | 2,223,322 | |
| Williams Companies Inc. (The) | | | 118,537 | | | | 1,850,363 | |
| Total Pipelines | | | | | | | 6,506,148 | |
| | | | | | | | | |
| REAL ESTATE—0.03% | | | | | | | | |
| CB Richard Ellis Group Inc. Class A (a) | | | 46,010 | | | | 430,654 | |
| Total Real Estate | | | | | | | 430,654 | |
| | | | | | | | | |
| REAL ESTATE INVESTMENT TRUSTS—0.88% | | | | | | | | |
| Apartment Investment and Management Co. Class A | | | 24,729 | | | | 218,852 | |
| AvalonBay Communities Inc. (b) | | | 16,301 | | | | 911,878 | |
| Boston Properties Inc. | | | 24,442 | | | | 1,165,883 | |
| Equity Residential (b) | | | 55,502 | | | | 1,233,809 | |
| HCP Inc. (b) | | | 55,862 | | | | 1,183,716 | |
| Health Care REIT Inc. (b) | | | 22,436 | | | | 765,068 | |
| Host Hotels & Resorts Inc. | | | 123,259 | | | | 1,034,143 | |
| Kimco Realty Corp. (b) | | | 63,921 | | | | 642,406 | |
| ProLogis | | | 86,160 | | | | 694,450 | |
| Public Storage (b) | | | 25,452 | | | | 1,666,597 | |
| Simon Property Group Inc. | | | 57,432 | | | | 2,953,728 | |
| Ventas Inc. (b) | | | 32,088 | | | | 958,148 | |
| Vornado Realty Trust (b) | | | 32,545 | | | | 1,465,501 | |
| Total Real Estate Investment Trusts | | | | | | | 14,894,179 | |
| | | | | | | | | |
| RETAIL—6.22% | | | | | | | | |
| Abercrombie & Fitch Co. Class A (b) | | | 18,268 | | | | 463,825 | |
| AutoNation Inc. (a)(b) | | | 23,372 | | | | 405,504 | |
| AutoZone Inc. (a) | | | 7,554 | | | | 1,141,485 | |
| Bed Bath & Beyond Inc. (a)(b) | | | 52,757 | | | | 1,622,278 | |
| Best Buy Co. Inc. | | | 69,097 | | | | 2,314,059 | |
| Big Lots Inc. (a) | | | 17,175 | | | | 361,190 | |
| Costco Wholesale Corp. (b) | | | 89,022 | | | | 4,068,305 | |
| CVS Caremark Corp. | | | 298,654 | | | | 9,518,103 | |
| Darden Restaurants Inc. (b) | | | 28,429 | | | | 937,588 | |
| Family Dollar Stores Inc. (b) | | | 28,451 | | | | 805,163 | |
| GameStop Corp. Class A (a)(b) | | | 33,806 | | | | 744,070 | |
| Gap Inc. (The) | | | 94,715 | | | | 1,553,326 | |
| Home Depot Inc. (The) | | | 347,430 | | | | 8,209,771 | |
| J.C. Penney Co. Inc. (b) | | | 44,971 | | | | 1,291,117 | |
| Kohl’s Corp. (a)(b) | | | 62,417 | | | | 2,668,327 | |
| Limited Brands Inc. (b) | | | 54,571 | | | | 653,215 | |
| Lowe’s Companies Inc. (b) | | | 300,346 | | | | 5,829,716 | |
| Macy’s Inc. (b) | | | 84,900 | | | | 998,424 | |
| McDonald’s Corp. | | | 226,600 | | | | 13,027,234 | |
| Nordstrom Inc. | | | 32,788 | | | | 652,153 | |
| Office Depot Inc. (a) | | | 56,955 | | | | 259,715 | |
| O’Reilly Automotive Inc. (a)(b) | | | 27,733 | | | | 1,056,073 | |
| RadioShack Corp. (b) | | | 24,694 | | | | 344,728 | |
| Sears Holdings Corp. (a)(b) | | | 11,101 | | | | 738,439 | |
| Staples Inc. (b) | | | 146,189 | | | | 2,948,632 | |
| Starbucks Corp. (a)(b) | | | 150,723 | | | | 2,093,542 | |
| Target Corp. | | | 154,259 | | | | 6,088,603 | |
| Tiffany & Co. | | | 25,563 | | | | 648,278 | |
| TJX Companies Inc. (The) (b) | | | 85,318 | | | | 2,684,104 | |
| Walgreen Co. (b) | | | 202,846 | | | | 5,963,672 | |
| Wal-Mart Stores Inc. | | | 458,014 | | | | 22,186,198 | |
| Yum! Brands Inc. | | | 94,775 | | | | 3,159,799 | |
| Total Retail | | | | | | | 105,436,636 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| | | Shares | | | Value | |
| SAVINGS & LOANS—0.15% | | | | | | |
| Hudson City Bancorp Inc. (b) | | | 106,648 | | | $ | 1,417,352 | |
| People’s United Financial Inc. (b) | | | 71,848 | | | | 1,080,594 | |
| Total Savings & Loans | | | | | | | 2,497,946 | |
| | | | | | | | | |
| SEMICONDUCTORS—2.45% | | | | | | | | |
| Advanced Micro Devices Inc. (a)(b) | | | 114,752 | | | | 444,090 | |
| Altera Corp. (b) | | | 60,918 | | | | 991,745 | |
| Analog Devices Inc. (b) | | | 59,646 | | | | 1,478,028 | |
| Applied Materials Inc. (b) | | | 274,935 | | | | 3,016,037 | |
| Broadcom Corp. Class A (a)(b) | | | 87,632 | | | | 2,172,397 | |
| Intel Corp. | | | 1,142,029 | | | | 18,900,580 | |
| KLA-Tencor Corp. (b) | | | 33,865 | | | | 855,091 | |
| Linear Technology Corp. | | | 45,408 | | | | 1,060,277 | |
| LSI Corp. (a) | | | 133,993 | | | | 611,008 | |
| MEMC Electronic Materials Inc. (a)(b) | | | 46,719 | | | | 832,065 | |
| Microchip Technology Inc. (b) | | | 37,816 | | | | 852,751 | |
| Micron Technology Inc. (a)(b) | | | 173,595 | | | | 878,391 | |
| National Semiconductor Corp. | | | 40,401 | | | | 507,033 | |
| Novellus Systems Inc. (a) | | | 19,918 | | | | 332,631 | |
| NVIDIA Corp. (a)(b) | | | 110,061 | | | | 1,242,589 | |
| QLogic Corp. (a) | | | 24,851 | | | | 315,111 | |
| Teradyne Inc. (a)(b) | | | 35,964 | | | | 246,713 | |
| Texas Instruments Inc. (b) | | | 262,192 | | | | 5,584,690 | |
| Xilinx Inc. (b) | | | 55,940 | | | | 1,144,532 | |
| Total Semiconductors | | | | | | | 41,465,759 | |
| | | | | | | | | |
| SOFTWARE—4.64% | | | | | | | | |
| Adobe Systems Inc. (a)(b) | | | 108,401 | | | | 3,067,748 | |
| Autodesk Inc. (a) | | | 47,035 | | | | 892,724 | |
| Automatic Data Processing Inc. | | | 103,384 | | | | 3,663,929 | |
| BMC Software Inc. (a) | | | 38,271 | | | | 1,293,177 | |
| CA Inc. | | | 80,018 | | | | 1,394,714 | |
| Citrix Systems Inc. (a)(b) | | | 37,409 | | | | 1,192,973 | |
| Compuware Corp. (a)(b) | | | 51,332 | | | | 352,138 | |
| Dun & Bradstreet Corp. (The) | | | 11,166 | | | | 906,791 | |
| Electronic Arts Inc. (a)(b) | | | 66,073 | | | | 1,435,106 | |
| Fidelity National Information Services Inc. (b) | | | 38,389 | | | | 766,244 | |
| Fiserv Inc. (a)(b) | | | 32,278 | | | | 1,475,105 | |
| IMS Health Inc. | | | 38,122 | | | | 484,149 | |
| Intuit Inc. (a)(b) | | | 65,335 | | | | 1,839,834 | |
| MasterCard Inc. Class A | | | 14,825 | | | | 2,480,371 | |
| Microsoft Corp. (b) | | | 1,570,236 | | | | 37,324,510 | |
| Novell Inc. (a) | | | 74,108 | | | | 335,709 | |
| Oracle Corp. (b) | | | 777,680 | | | | 16,657,906 | |
| Paychex Inc. (b) | | | 65,259 | | | | 1,644,527 | |
| Salesforce.com Inc. (a)(b) | | | 21,862 | | | | 834,473 | |
| Total System Services Inc. | | | 39,638 | | | | 530,753 | |
| Total Software | | | | | | | 78,572,881 | |
| | | | | | | | | |
| TELECOMMUNICATIONS—6.39% | | | | | | | | |
| American Tower Corp. Class A (a) | | | 81,291 | | | | 2,563,105 | |
| AT&T Inc. (b) | | | 1,210,378 | | | | 30,065,789 | |
| CenturyTel Inc. (b) | | | 20,227 | | | | 620,969 | |
| Ciena Corp. (a) | | | 19,409 | | | | 200,883 | |
| Cisco Systems Inc. (a) | | | 1,183,763 | | | | 22,065,342 | |
| Corning Inc. | | | 318,513 | | | | 5,115,319 | |
| Embarq Corp. (b) | | | 28,811 | | | | 1,211,791 | |
| Frontier Communications Corp. (b) | | | 65,299 | | | | 466,235 | |
| Harris Corp. (b) | | | 27,471 | | | | 779,078 | |
| JDS Uniphase Corp. (a) | | | 43,679 | | | | 249,844 | |
| Juniper Networks Inc. (a)(b) | | | 108,191 | | | | 2,553,308 | |
| MetroPCS Communications Inc. (a) | | | 51,907 | | | | 690,882 | |
| Motorola Inc. (b) | | | 462,236 | | | | 3,064,625 | |
| QUALCOMM Inc. | | | 339,235 | | | | 15,333,422 | |
| Qwest Communications International Inc. (b) | | | 299,089 | | | | 1,241,219 | |
| Sprint Nextel Corp. (a) | | | 583,973 | | | | 2,808,910 | |
| Tellabs Inc. (a) | | | 81,837 | | | | 468,926 | |
| Verizon Communications Inc. | | | 583,257 | | | | 17,923,488 | |
| Windstream Corp. (b) | | | 91,100 | | | | 761,596 | |
| Total Telecommunications | | | | | | | 108,184,731 | |
| | | | | | | | | |
| TEXTILES—0.04% | | | | | | | | |
| Cintas Corp. (b) | | | 27,457 | | | | 627,118 | |
| Total Textiles | | | | | | | 627,118 | |
| | | | | | | | | |
| TOYS, GAMES & HOBBIES—0.11% | | | | | | | | |
| Hasbro Inc. | | | 24,903 | | | | 603,649 | |
| Mattel Inc. (b) | | | 74,291 | | | | 1,192,371 | |
| Total Toys, Games & Hobbies | | | | | | | 1,796,020 | |
| | | | | | | | | |
| TRANSPORTATION—1.93% | | | | | | | | |
| Burlington Northern Santa Fe Corp. (b) | | | 57,523 | | | | 4,230,241 | |
| C.H. Robinson Worldwide Inc. (b) | | | 34,609 | | | | 1,804,859 | |
| CSX Corp. | | | 80,959 | | | | 2,803,610 | |
| Expeditors International Washington Inc. (b) | | | 43,037 | | | | 1,434,854 | |
| FedEx Corp. | | | 63,781 | | | | 3,547,499 | |
| Norfolk Southern Corp. | | | 75,878 | | | | 2,858,324 | |
| Ryder System Inc. (b) | | | 11,550 | | | | 322,476 | |
| Union Pacific Corp. | | | 103,778 | | | | 5,402,683 | |
| United Parcel Service Inc. Class B | | | 204,469 | | | | 10,221,405 | |
| Total Transportation | | | | | | | 32,625,951 | |
| Total Common Stocks (Cost $2,048,793,292) | | | | | | | 1,650,136,425 | |
The accompanying notes are an integral part of these financial statements.
PORTFOLIO OF INVESTMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
| SHORT-TERM INVESTMENTS | | Shares | | | Value | |
| (20.74% of net assets) | | | | | | |
| | | | | | | |
| MONEY MARKET FUNDS—20.35% | | | | | | |
| Barclays Global Investors Funds Institutional Money Market Fund, SL Agency Shares, 0.40%(c)(d)(e) | | | 299,024,349 | | | | 299,024,349 | |
| Barclays Global Investors Funds Prime Money Market Fund, SL Agency Shares, 0.32%(c)(d)(e) | | | 45,778,724 | | | | 45,778,724 | |
| Total Money Market Funds | | | | | | | 344,803,073 | |
| | | | | | | | | |
| SHORT-TERM INVESTMENTS | | Principal | | | Value | |
| U.S. TREASURY OBLIGATIONS —0.39% | | | | | | | | |
| U.S. Treasury Bill, 0.18%, 09/17/09 (f)(g) | | $ | 6,600,000 | | | | 6,597,400 | |
| Total U.S. Treasury Obligations | | | | | | | 6,597,400 | |
| Total Short-Term Investments (Cost $351,400,547) | | | | | | | 351,400,473 | |
| TOTAL INVESTMENTS IN SECURITIES (Cost $2,400,193,839)—118.16% | | | | | | | 2,001,536,898 | |
| OTHER ASSETS, LESS LIABILITIES—(18.16)% | | | | | | | (307,653,887 | ) |
| NET ASSETS—100.00% | | | | | | $ | 1,693,883,011 | |
| NVS— | Non-Voting Shares |
| (a) | Non-income earning security. |
| (b) | All or a portion of this security represents a security on loan. See Note 4. |
| (c) | Affiliated issuer. See Note 2. |
| (d) | The rate quoted is the annualized seven-day yield of the fund at period end. |
| (e) | All or a portion of this security represents an investment of securities lending collateral. See Note 4. |
| (f) | The rate quoted is the yield to maturity. |
| (g) | This U.S. Treasury Bill is held in a segregated account in connection with the Master Portfolio’s holdings of futures contracts. See Note 1. |
As of June 30, 2009, the open futures contracts held by the Master Portfolio were as follows:
| FUTURES CONTRACTS (EXPIRATION DATE) | | Number of Contracts | | | Notional Contract Value | | | Net Unrealized Depreciation | | | Net Realized Gain on Closed Contracts | |
| S&P 500 Index (September 2009) | | | 946 | | | $ | 43,303,150 | | | $ | (1,365,949 | ) | | $ | 6,685,534 | |
| | | | | | | $ | 43,303,150 | | | $ | (1,365,949 | ) | | $ | 6,685,534 | |
The accompanying notes are an integral part of these financial statements.
STATEMENT OF ASSETS AND LIABILITIES; S&P 500 Index Master Portfolio
June 30, 2009 (Unaudited)
| ASSETS | | | |
| Investments, at cost: | | | |
| Unaffiliated issuers | | $ | 2,055,390,766 | |
| Affiliated issuers (Note 2) | | | 344,803,073 | |
| Total cost of investments | | | 2,400,193,839 | |
| Investments in securities, at fair value (including securities on loan (a)) (Note 1): | | | | |
| Unaffiliated issuers | | | 1,656,733,825 | |
| Affiliated issuers (Note 2) | | | 344,803,073 | |
| Total fair value of investments | | | 2,001,536,898 | |
| Receivables: | | | | |
| Investment securities sold | | | 1,361,122 | |
| Dividends and interest | | | 2,436,757 | |
| Total assets | | | 2,005,334,777 | |
| | | | | |
| LIABILITIES | | | | |
| Payables: | | | | |
| Investment securities purchased | | | 2,872,349 | |
| Due to broker— variation margin | | | 276,025 | |
| Collateral for securities on loan (Note 4) | | | 308,220,513 | |
| Investment advisory fees (Note 2) | | | 67,979 | |
| Accrued expenses: | | | | |
| Professional fees (Note 2) | | | 12,160 | |
| Independent trustees’ fees (Note 2) | | | 2,740 | |
| Total liabilities | | | 311,451,766 | |
| NET ASSETS | | $ | 1,693,883,011 | |
| (a) | Securities on loan with a value of $301,219,965. See Note 4. |
The accompanying notes are an integral part of these financial statements.
STATEMENT OF OPERATIONS: S&P 500 Index Master Portfolio
For the Six Months Ended June 30, 2009 (Unaudited)
| NET INVESTMENT INCOME | | | |
| Dividends from unaffiliated issuers | | $ | 20,560,376 | |
| Interest from unaffiliated issuers | | | 5,494 | |
| Interest from affiliated issuers (Note 2) | | | 58,523 | |
| Securities lending income from affiliated issuers (Note 2) | | | 907,541 | |
| Total investment income | | | 21,531,934 | |
| | | | | |
| EXPENSES (Note 2) | | | | |
| Investment advisory fees | | | 387,014 | |
| Professional fees | | | 11,763 | |
| Independent trustees’ fees | | | 7,936 | |
| Total expenses | | | 406,713 | |
| Less expense reductions (Note 2) | | | (19,699 | ) |
| Net expenses | | | 387,014 | |
| NET INVESTMENT INCOME | | | 21,144,920 | |
| | | | | |
| REALIZED AND UNREALIZED GAIN (LOSS) | | | | |
| Net realized loss from sale of investments in unaffiliated issuers | | | (48,727,459 | ) |
| Net realized gain on futures contracts | | | 6,685,534 | |
| Net change in unrealized appreciation (depreciation) of investments | | | 73,270,203 | |
| Net change in unrealized appreciation (depreciation) of futures contracts | | | (1,697,376 | ) |
| NET REALIZED AND UNREALIZED GAIN | | | 29,530,902 | |
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 50,675,822 | |
The accompanying notes are an integral part of these financial statements.
STATEMENTS OF CHANGES IN NET ASSETS: S&P 500 Index Master Portfolio
| INCREASE (DECREASE) IN NET ASSETS: | | For the Six Months Ended June 30, 2009 (Unaudited) | | | For the Year Ended December 31, 2008 | |
| Operations: | | | | | | |
| Net investment income | | $ | 21,144,920 | | | $ | 55,448,050 | |
| Net realized loss | | | (42,041,925 | ) | | | (142,694,921 | ) |
| Net change in unrealized appreciation (depreciation) | | | 71,572,827 | | | | (937,962,325 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 50,675,822 | | | | (1,025,209,196 | ) |
| Interestholder transactions: | | | | | | | | |
| Contributions | | | 275,449,924 | | | | 600,316,999 | |
| Withdrawals | | | (323,222,457 | ) | | | (804,875,751 | ) |
| Net decrease in net assets resulting from interestholder transactions | | | (47,772,533 | ) | | | (204,558,752 | ) |
| INCREASE (DECREASE) IN NET ASSETS | | | 2,903,289 | | | | (1,229,767,948 | ) |
| NET ASSETS | | | | | | | | |
| Beginning of period | | | 1,690,979,722 | | | | 2,920,747,670 | |
| End of Period | | $ | 1,693,883,011 | | | $ | 1,690,979,722 | |
The accompanying notes are an integral part of these financial statements.
NOTES TO FINANCIAL STATEMENTS: S&P 500 Index Master Portfolio
June 30, 2009 (Unaudited)
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end series management investment company organized as a Delaware statutory trust.
These financial statements relate only to the S&P 500 Index Master Portfolio (the “Master Portfolio”).
Pursuant to MIP’s organizational documents, the Master Portfolio’s officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Master Portfolio. Additionally, in the normal course of business, the Master Portfolio enters into contracts with service providers that contain general indemnification clauses. The Master Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Master Portfolio that have not yet occurred.
1. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by MIP in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Security Valuation: The securities and other assets of the Master Portfolio are valued pursuant to the pricing policy and procedures approved by the Board of Trustees of MIP (the “Board”). The Master Portfolio is subject to the provisions of Financial Accounting Standards Board (“FASB”) Statement of Financial Accounting Standards No. 157 (“FAS 157”), “Fair Value Measurements.” This standard establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. Inputs may be based on independent market data (“observable inputs”) or they may be internally developed (“unobservable inputs”). The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy under FAS 157 are as follows:
| • | Level 1— Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Master Portfolio has the ability to access at the measurement date (a “Level 1 Price”); |
| | |
| • | Level 2— Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (a “Level 2 Price”); |
| | |
| • | Level 3— Inputs that are unobservable for the asset or liability (a “Level 3 Price”). |
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics, and other factors. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3 of the fair value hierarchy.
The level of a value determined for a financial instrument within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement in its entirety. The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Master Portfolio’s perceived risk of that instrument.
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 Prices, include active listed equities and certain U.S. government securities. The Master Portfolio does not adjust the quoted price for such instruments, even in situations where the Master Portfolio holds a large position and a sale could reasonably impact the quoted price.
Investments that trade in markets that are not considered to be active, but whose values are based on inputs such as quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified within Level 2. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, certain mortgage products, less liquid listed equities, and state, municipal and provincial obligations. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or nontransferability, which are generally based on available market information.
Investments whose values are classified as Level 3 Prices have significant unobservable inputs, as they may trade infrequently or not at all. Investments whose values are classified as Level 3 Prices may include unlisted securities related to corporate actions, securities whose trading have been suspended or which have been de-listed from its primary trading exchange, less liquid corporate debt securities (including distressed debt instruments), collateralized debt obligations, and less liquid mortgage securities (backed by either commercial or residential real estate). When observable prices are not available for these securities, the Master Portfolio uses one or more valuation techniques (e.g., the market approach or the income approach) for which sufficient and reliable data is available. Within Level 3 of the fair value hierarchy, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.
The inputs used by the Master Portfolio in estimating the value of Level 3 Prices may include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 Prices may also be adjusted to reflect illiquidity and/or non-transferability, with
NOTES TO FINANCIAL STATEMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
the amount of such discount estimated by the Master Portfolio in the absence of market information. The fair value measurement of Level 3 Prices does not include transaction costs that may have been capitalized as part of the security’s cost basis. Assumptions used by the Master Portfolio due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Master Portfolio’s results of operations.
Derivative instruments can be exchange-traded or privately negotiated over-the-counter. Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 of the fair value hierarchy.
Fair value pricing could result in a difference between the prices used to calculate the Master Portfolio’s net assets and the prices used by the Master Portfolio’s underlying index, which in turn, could result in a difference between the Master Portfolio’s performance and the performance of the Master Portfolio’s underlying index.
As of June 30, 2009, the value of each of the Master Portfolio’s investments was classified as a Level 1 Price. The breakdown of the Master Portfolio’s investments into major categories is disclosed in its Portfolio of Investments.
Security transactions and income recognition: Security transactions are accounted for on trade date. Dividend income is recognized on the ex-dividend date, net of any foreign tax withheld at source, and interest income is accrued daily. Non-cash divideds received in the form of stock in an elective dividend, if any, are recorded as dividend income at fair value. Distributions received by the Master Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Realized gains and losses on investment transactions are determined using the specific identification method. The Master Portfolio amortizes premiums and accretes discounts on debt securities purchased using a constant yield to maturity method.
Federal Income Taxes: In general, MIP believes that the Master Portfolio has and will continue to be operated in a manner so as to qualify it as a non-publicly traded partnership for federal income tax purposes. Provided that the Master Portfolio so qualifies, it will not be subject to any federal income tax on its income and gains (if any). However, each interestholder in the Master Portfolio will be taxed on its distributive share of the Master Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership for federal income tax purposes, the Master Portfolio will be deemed to have “passed through” to its interestholders any interest, dividends, gains or losses of the Master Portfolio for such purposes. The determination of such share will be made in accordance with the Internal Revenue Code of 1986, as amended (the “Code”), and regulations promulgated thereunder.
It is intended that the Master Portfolio’s assets, income and distributions will be managed in such a way that an entity electing and qualifying as a “regulated investment company” under the Code can continue to so qualify by investing substantially all of its assets through the Master Portfolio, provided that the regulated investment company meets other requirements for such qualifications not within the control of the Master Portfolio (e.g., distributing at least 90% of the regulated investment company’s “investment company taxable income” annually).
As of June 30, 2009, the cost of investments for federal income tax purposes for the Master Portfolio was $2,455,203,813. Net unrealized depreciation aggregated $453,666,915 of which $252,332,142 represented gross unrealized appreciation on securities and $705,999,057 represented gross unrealized depreciation on securities.
Management has reviewed the tax position as of June 30, 2009, inclusive of the prior three open tax return years, and has determined that no provision for income tax is required in the Master Portfolio’s financial statements.
Derivative Instruments and Hedging Activities: Effective January 1, 2009, the Master Portfolio adopted FASB Statement No. 161, “Disclosures about Derivative Instruments and Hedging Activities—an amendment of FASB Statement No. 133” (“FAS 161”). FAS 161 requires enhanced financial statement disclosures that enable investors to understand how and why the Master Portfolio uses derivatives, how derivatives are accounted for, and how the derivative instruments affect the Master Portfolio’s results of operations and financial position.
Futures Contracts: The Master Portfolio is subject to equity price risk in the normal course of pursuing its investment objective. The Master Portfolio may enter into futures contracts as substitutes for comparable positions in underlying securities, to position the portfolio for anticipated changes in markets, or to offset a potential decline in the value of other holdings. A futures contract is an agreement between two parties, a buyer and a seller, to exchange a particular commodity or financial instrument at a specific price on a specific date in the future. Upon entering into a futures contract, the Master Portfolio is required to pledge to the broker and hold in a segregated account, an amount of cash, U.S. government securities or other high-quality debt and equity securities equal to the minimum “initial margin” requirements of the exchange. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as “variation margin” and are recorded by the Master Portfolio as receivables or payables in the accompanying Statement of Assets and Liabilities. When the contract is closed, the Master Portfolio records a “realized gain (loss) on futures contracts” in its Statement of Operations, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include the risk of default by the counterparty, imperfect correlation between the price of the futures contract and movements in the price of the underlying asset and the possibility that there may be an illiquid market. The amount at risk for futures contracts may exceed the amount reflected in the financial statements. Futures contracts are standardized and traded on exchanges, where the exchange serves as the ultimate counterparty for all contracts. Consequently, the primary credit risk on futures contracts is the creditworthiness of the exchange.
As of June 30, 2009, the Master Portfolio has pledged to brokers a U.S. Treasury Bill with a total face amount of $6,600,000 for initial margin requirements on outstanding futures contracts.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Pursuant to an Investment Advisory Contract with the Master Portfolio, Barclays Global Fund Advisors (“BGFA”) provides investment advisory services to the Master Portfolio. BGFA is a California corporation indirectly owned by Barclays Bank PLC. BGFA is entitled to receive an
NOTES TO FINANCIAL STATEMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
annual investment advisory fee of 0.05% of the average daily net assets of the Master Portfolio as compensation for investment advisory services. From time to time, BGFA may waive a portion of its advisory fees. Any such waivers will reduce the expenses of the Master Portfolio and, accordingly, have a favorable impact on its performance.
The fees and expenses of the Master Portfolio’s trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and MIP’s independent registered public accounting firm (the “independent expenses”) are paid directly by the Master Portfolio. BGFA has contractually agreed to cap the expenses of the Master Portfolio at the rate at which the Master Portfolio pays an advisory fee to BGFA by providing an offsetting credit against the investment advisory fees paid by the Master Portfolio in an amount equal to the independent expenses.
For the six months ended June 30, 2009, BGFA credited investment advisory fees for the Master Portfolio in the amount of $19,699.
State Street Bank and Trust Company (“State Street”) serves as the custodian and sub-administrator of the Master Portfolio. State Street will not be entitled to receive fees for its custodial services, so long as it is entitled to receive a separate fee from Barclays Global Investors, N.A. (“BGI”) for its services as sub-administrator of the Master Portfolio.
SEI Investments Distribution Company (“SEI”) is the sponsor and placement agent for the Master Portfolio. SEI does not receive any fee from the Master Portfolio for acting as placement agent.
Pursuant to an exemptive order issued by the U.S. Securities and Exchange Commission (“SEC”), BGI serves as securities lending agent for MIP. BGI is an affiliate of BGFA, the Master Portfolio’s investment adviser. As securities lending agent, BGI receives, as fees, a share of the income earned on investment of the cash collateral received for the loan of securities. For the six months ended June 30, 2009, BGI earned $907,541 in securities lending agent fees for its services to the Master Portfolio.
MIP has entered into an administration services arrangement with BGI, which has agreed to provide general administration services, such as managing and coordinating third-party service relationships (e.g., the Master Portfolio’s custodian, financial printer, legal counsel and independent registered public accounting firm), to the Master Portfolio. BGI is not entitled to compensation for providing administration services to the Master Portfolio, for so long as BGI is entitled to compensation for providing administration services to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BGI (or an affiliate) receives investment advisory fees from the Master Portfolio. BGI may delegate certain of its administration duties to sub-administrators.
Cross trades for the six months ended June 30, 2009, if any, were executed by the Master Portfolio pursuant to Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds to which BGFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.
The Master Portfolio may invest in certain money market funds managed by BGFA, the Master Portfolio’s investment adviser, including the Government Money Market Fund (“GMMF”), Institutional Money Market Fund (“IMMF”), Prime Money Market Fund (“PMMF”) and Treasury Money Market Fund (“TMMF”) of Barclays Global Investors Funds. These money market funds seek to achieve their investment objectives by investing in high-quality, short-term money market instruments that, at the time of investment, have remaining maturities of 397 calendar days or less from the date of acquisition. The GMMF, IMMF, PMMF and TMMF are feeder funds in a master/ feeder fund structure that invest substantially all of their assets in the Government Money Market Master Portfolio, Money Market Master Portfolio, Prime Money Market Master Portfolio and Treasury Money Market Master Portfolio (collectively, the “Money Market Master Portfolios”), respectively, which are also managed by BGFA. While the GMMF, IMMF, PMMF and TMMF do not directly charge an investment advisory fee, the Money Market Master Portfolios in which they invest do charge an investment advisory fee. Income distributions from the GMMF, IMMF, PMMF and TMMF are declared daily and paid monthly from net investment income. Income distributions earned by the Master Portfolio from temporary cash investments are recorded as interest from affiliated issuers in the accompanying Statement of Operations. Income distributions earned by the Master Portfolio from the investment of securities lending collateral, if any, are included in securities lending income in the accompanying Statement of Operations.
Certain officers and trustees of MIP are also officers of BGI and/or BGFA. As of June 30, 2009, these officers of BGI and/or BGFA collectively owned less than 1% of MIP’s outstanding beneficial interests.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments) for the Master Portfolio were $34,219,957 and $40,215,618, respectively, for the six months ended June 30, 2009.
4. PORTFOLIO SECURITIES LOANED
The Master Portfolio may lend its investment securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter, at a value equal to at least 100% of the current market value of the securities on loan. The risks to the Master Portfolio of securities lending are that the borrower may not provide additional collateral when required or may not return the securities when due. Any securities lending cash collateral may be reinvested in certain short-term instruments either directly on behalf of the Master Portfolio or through one or more joint accounts or money market funds, including those managed by BGFA; such reinvestments are subject to market risk.
NOTES TO FINANCIAL STATEMENTS: S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
As of June 30, 2009, the Master Portfolio had loaned securities which were collateralized by cash. The cash collateral received was invested in money market funds managed by BGFA. The market value of the securities on loan as of June 30, 2009 and the value of the related collateral are disclosed in the Statement of Assets and Liabilities. Securities lending income, as disclosed in the Master Portfolio’s Statement of Operations, represents the income earned from the investment of the cash collateral, net of rebates paid to, or fees paid by, borrowers and less the fees paid to BGI as securities lending agent.
5. FINANCIAL HIGHLIGHTS
Financial highlights for the Master Portfolio were as follows:
| | | Six Months Ended June 30, 2009 (Unaudited) | | | Year Ended December 31, 2008 | | | Year Ended December 31, 2007 | | | Year Ended December 31, 2006 | | | Year Ended December 31, 2005 | | | Year Ended December 31, 2004 | |
| Ratio of expenses to average net assets(a) | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % |
| Ratio of expenses to average net assets prior to expense reductions(a) | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % | | | 0.05 | % | | | n/a | | | | n/a | |
| Ratio of net investment income to average net assets(a) | | | 2.73 | % | | | 2.32 | % | | | 1.98 | % | | | 1.93 | % | | | 1.84 | % | | | 1.91 | % |
| Portfolio turnover rate(b) | | | 2 | % | | | 8 | % | | | 7 | % | | | 14 | % | | | 10 | % | | | 14 | % |
| Total return | | | 3.30 | %(c) | | | (36.86 | )% | | | 5.54 | % | | | 15.75 | % | | | 4.87 | % | | | 10.82 | % |
| (a) | Annualized for periods of less than one year. |
| (b) | Portfolio turnover rates include in-kind transactions, if any. |
| (c) | Not annualized. |
6. BLACKROCK TRANSACTION
On June 16, 2009, Barclays PLC, the ultimate parent company of BGI and BGFA, accepted a binding offer and entered into an agreement to sell its interests in BGFA, BGI and certain affiliated companies, to BlackRock, Inc., (the “BlackRock Transaction”). The BlackRock Transaction is subject to certain regulatory approvals, as well as other conditions to closing.
Under the 1940 Act, completion of the BlackRock Transaction will cause the automatic termination of the Master Portfolio’s current investment advisory agreement with BGFA. In order for the investment management of the Master Portfolio to continue uninterrupted, the Board will be asked to approve a new investment advisory agreement for the Master Portfolio. If approved by the Board, the new investment advisory agreement will be submitted for approval by the investors in the Master Portfolio (each, a “Fund”). Each Fund will in turn call a meeting of its shareholders at which shareholders will vote to instruct the Fund how to vote on the Master Portfolio’s new investment advisory agreement.
7. REVIEW OF SUBSEQUENT EVENTS
In connection with the preparation of the financial statements of the Master Portfolio as of and for the six months ended June 30, 2009, events and transactions subsequent to June 30, 2009 through August 28, 2009, the date the financial statements were issued, have been evaluated by the Master Portfolio’s management for possible adjustment and/or disclosure. No subsequent events requiring financial statement disclosure have been identified.
BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACT:
S&P 500 Index Master Portfolio
June 30, 2009 (Unaudited)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Master Investment Portfolio (“MIP”) Board of Trustees (the “Board”), including a majority of Trustees who are not “interested persons” of MIP, as that term is defined in the 1940 Act (the “Independent Trustees”), is required annually to consider the Investment Advisory Contract between MIP and BGFA (the “Advisory Contract”) on behalf of the S&P 500 Index Master Portfolio (the “Master Portfolio”). As required by Section 15(c), the Board requested, and BGFA provided, such information as the Board deemed to be reasonably necessary to evaluate the terms of the Advisory Contract. At a meeting held on March 18-19, 2009, the Board approved the selection of BGFA and the continuance of the Advisory Contract, based on its review of qualitative and quantitative information provided by BGFA. In selecting BGFA and approving the Advisory Contract for the Master Portfolio, the Board, including the Independent Trustees, advised by their independent counsel, considered the following factors, none of which was controlling, and made the following conclusions:
Nature, Extent and Quality of Services Provided by BGFA
The Board anticipated that there would be no diminution in the scope of services required of or provided by BGFA under the Advisory Contract for the coming year as compared to the scope of services provided by BGFA over the past year. In reviewing the scope of these services, the Board considered BGFA’s investment philosophy and experience, noting that, over the past several years, BGFA and its affiliates have committed significant resources to the support of the Master Portfolio. The Board considered in particular that BGFA’s services for the Master Portfolio capitalizes on BGFA’s core competencies as an industry leader in index management, including the effective use of its proprietary investment model that maximizes efficiencies in implementing index changes and in maintaining fully invested portfolios. The Board also considered services provided by BGFA and its affiliates in connection with analyzing corporate actions, employing customized trading strategies, reviewing securities lending opportunities and overseeing intermediaries that provide BGI feeder fund shareholder support and processing functions.
The Board also considered BGFA’s compliance program and its compliance record with respect to the Master Portfolio. The Board noted that BGFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board and has made appropriate officers available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the senior management and relevant investment and other personnel, including those persons responsible for the day-to-day management of the Master Portfolio and the adequacy of the time and attention that such persons devote to the Master Portfolio. The Board also considered the reputation and overall financial strength of BGFA and its affiliates, as well as the Board’s past experience with BGFA. In addition to the above considerations, the Board reviewed and considered BGFA’s investment processes and strategies, and matters related to BGFA’s portfolio transaction policies and procedures. In addition, the Board reviewed the performance of (i) other registered investment companies with substantially similar investment objectives and strategies as the Master Portfolio for which BGFA provides investment advisory services, and (ii) the Master Portfolio’s published performance benchmark, the S&P 500 Index. The Board noted that the Master Portfolio, net of expenses, underperformed its published benchmark on an annualized basis in 2008 and over three years, over five years, and over ten years, which would be expected, such underperformance being attributable to the effect of fees, and noted that the published benchmark is an index, which does not have expenses. The Board also noted that during BGFA’s term as investment adviser, the Master Portfolio has met its investment objective consistently over time. Based on this review, the Board concluded that the nature, extent and quality of services to be provided by BGFA to the Master Portfolio under the Advisory Contract were appropriate and supported the Board’s approval of the Advisory Contract for the coming year.
Master Portfolio’s Expenses and Performance of the Master Portfolio
The Board reviewed statistical information prepared by Lipper Inc. (“Lipper”), an independent provider of investment company data, regarding the expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses of the Master Portfolio in comparison with the same information for other investment companies registered under the 1940 Act, objectively selected by Lipper as comprising the Master Portfolio’s peer group pursuant to Lipper’s proprietary methodology and registered funds that would otherwise have been excluded from Lipper’s comparison groups because of their size or other differentiating factors, but were nonetheless included at the request of BGFA (the “Lipper Expense Group”). In addition, the Board reviewed statistical information prepared by Lipper regarding the performance of the Master Portfolio for the one-, three-, five-, and ten-year periods ended December 31, 2008, and as compared to the performance of other registered investment companies with similar investment objectives, as selected by Lipper as comprising such Master Portfolio’s peer group pursuant to Lipper’s proprietary methodology and registered investment companies that would otherwise have been excluded from Lipper’s comparison groups because of their size or other differentiating factors, but were nonetheless included at the request of BGFA (the “Lipper Performance Group,” and collectively with the Lipper Expense Group, the “Lipper Groups”). The Board considered that the component funds of the Lipper Groups are publicly available funds, more analogous in overall expense structure to the Barclays Global Investors Funds S&P 500 Stock Fund than to underlying Master Portfolio, which is not available for investment except to other investment companies. In support of its review of the statistical information, the Board was provided with a detailed description of the methodology used by Lipper to determine the Lipper Groups and to prepare this information.
The Board noted that the Master Portfolio generally performed in line with its performance benchmark index over relevant periods. The Board noted that the advisory fee rate for the Master Portfolio was lower than the median of the advisory fee rates of the funds in its Lipper Expense Group, and the overall expenses for the Master Portfolio were lower than median of the overall expenses of the funds in its Lipper Expense Group. Based on this review, the Board concluded that the investment advisory fees and expense levels and the historical performance of the Master Portfolio, as managed by BGFA, as compared to the investment advisory fees and expense levels and performance of the funds in the Lipper Expense Groups, were satisfactory for the purposes of approving the Advisory Contract for the coming year.
BOARD REVIEW AND APPROVAL OF INVESTMENT ADVISORY CONTRACT:
S&P 500 Index Master Portfolio (continued)
June 30, 2009 (Unaudited)
Costs of Services Provided to Master Portfolio and Profits Realized by BGFA and Affiliates
The Board reviewed information about the profitability to BGFA of the Master Portfolio, and the Barclays Global Investors Fund, separately and together, based on the fees payable to BGFA, and its affiliates (including fees under the Advisory Contract), and all other sources of revenue and expense to BGFA and its affiliates from the operations of the Master Portfolio and the Barclays Global Investors Fund for the last calendar year. The Board discussed the sources of direct and ancillary revenue with management, including the revenues to BGI from securities lending by MIP (including any securities lending by the Master Portfolio), revenues received from transactions for MIP executed through affiliates (including any such transactions for the Master Portfolio), and any fee revenue from any investments by the Master Portfolio in other funds for which BGFA provides advisory services and/or BGI provides administration services. The Board also noted that BGFA had provided information relating to management estimates of 2009 profitability from the operations of the Master Portfolio; however, the Board considered these forward-looking estimates to be of limited value, and did not base its conclusions on this information. Based on this review, the Board concluded that the profits realized by BGFA and its affiliates under the Advisory Contract and from other relationships between the Master Portfolio and BGFA and/or its affiliates were within the range the Board considered reasonable and appropriate.
Economies of Scale
In connection with its review of BGFA’s profitability analysis, the Board received information regarding economies of scale or other efficiencies that may result from increases in the Master Portfolio’s asset levels. The Board noted that the Advisory Contract does not provide any breakpoints in the investment advisory fee rate as a result of any increases in the asset levels of the Master Portfolio. However, the Board noted that the investment advisory fee rate for the Master Portfolio had been set initially at the lower end of the marketplace so as to afford the Master Portfolio’s interestholders the opportunity to share in anticipated economies of scale from inception. The Board also noted the difficulty of considering the potential for economies of scale based on advisory services independently and separately from any potential for economies of scale based on other services provided by BGFA and its affiliates. Based on the profitability analysis presented to the Board, the Board discussed the potential for future economies of scale as the asset levels of the Master Portfolio increases. In light of this analysis and the relatively low investment advisory fee rate for the Master Portfolio, the Board determined that whether further economies of scale may be realized by the Master Portfolio or reflected in fee levels was not a significant factor at this juncture in its consideration of whether to approve the Advisory Contract.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BGFA and its Affiliates
The Board considered the Master Portfolio’s annual investment advisory fee rate under the Advisory Contract in comparison to the investment advisory/management fee rates for other funds/accounts with substantially similar investment objectives and strategies for which BGFA (or its affiliate BGI) provides investment advisory/management services, including other funds registered under the 1940 Act, collective funds and separate accounts (collectively, the “Other Accounts”). The Board noted that BGFA had provided information distinguishing the level of services provided to the Other Accounts from the level of services provided to the Master Portfolio. In the context of the comparative fee analysis, the Board compared the nature and extent of services provided to the Master Portfolio to the nature and extent of services provided to the Other Accounts, including, among other things, the level of complexity in managing the Master Portfolio and the Other Accounts under differing regulatory requirements and client guidelines.
The Board noted that the investment advisory fee rate under the Advisory Contract for the Master Portfolio was generally within the ranges of the investment advisory/management fee rates for the Other Accounts. The Board further noted that any differences between the investment advisory fee rate for the Master Portfolio and the investment advisory/management fee rates for the Other Accounts appeared to be attributable to, among other things, the type and level of services provided and/or the asset levels of the Other Accounts. Based on this review, the Board determined that the investment advisory fee rate under the Advisory Contract does not constitute fees that are so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded that the investment advisory fee rate under the Advisory Contract is fair and reasonable.
Other Benefits to BGFA and/or its Affiliates
The Board reviewed any ancillary revenue received by BGFA and/or its affiliates in connection with the services provided to MIP and the Master Portfolio by BGFA, such as any payment of revenue to BGI, MIP’s securities lending agent, for loaning any portfolio securities, payment of administration fees to BGI, MIP’s administrator, and payment of advisory fees and/or administration fees to BGFA and BGI in connection with any investments by the Master Portfolio in other funds for which BGFA provides investment advisory services and/or BGI provides administration services, as well as the associated voluntary waivers by BGFA and/or its affiliates of these fees, if any. The Board noted that BGFA does not use soft dollars or consider the value of research or other services that may be provided to BGFA (including its affiliates) in selecting brokers for portfolio transactions for the Master Portfolio. The Board further noted that during the past year no portfolio transactions were placed through a BGFA affiliate, as would be required to be reported to and considered by the Board pursuant to Rule 17e-1 under the 1940 Act. The Board concluded that any ancillary benefits would not be disadvantageous to the Master Portfolio’s interestholders.
Based on this analysis, the Board determined that the Advisory Contract, including the investment advisory fee rate thereunder, is fair and reasonable in light of all relevant circumstances and concluded that it is in the best interest of the Master Portfolio and its interestholders to approve the Advisory Contract for the coming year.
Homestead Funds
4301 Wilson Blvd.
Arlington, VA 22203
1-800-258-3030
www.homesteadfunds.com
This report is authorized for distribution to shareholders and others who have received a copy of the prospectus.
Distributor: RE Investment Corporation.
| Item 2. | Code of Ethics. |
| | Not required in this filing. |
| | |
| Item 3. | Audit Committee Financial Expert. |
| | Not required in this filing. |
| | |
| Item 4. | Principal Accountant Fees and Services. |
| | Not required in this filing. |
| | |
| Item 5. | Audit Committee of Listed Registrants. |
| | Not applicable. |
| | |
| Item 6. | Schedule of Investments. |
| | Not applicable, as schedule is included in Item 1. |
| | |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| | Not applicable. |
| | |
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
| | Not applicable. |
| | |
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| | Not applicable. |
| | |
| Item 10. | Submission of Matters to a Vote of Security Holders. |
| | Not applicable. |
| | |
| Item 11. | Controls and Procedures. |
| | |
| (a) | Disclosure Controls and Procedures. |
| | |
| | The registrant’s principal executive officer and principal financial officer concluded that the registrant's Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
| | |
| (b) | Internal Control. |
| | |
| | There were no changes in registrant's internal control over financial reporting that occurred during the registrant's second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. |
| | |
| Item 12. | Exhibits. |
| | |
| (a)(1) | Not required with this filing. |
| | |
| A separate certification for the principal executive officer and principal financial officer of the registrant, as required by Rule 30a-2(a) under the Investment Company Act of 1940, is filed herewith. |
| | |
| (a)(3) | Not applicable. |
| | |
| A certification by the registrant’s principal executive officer and principal financial officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. |
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.
| | Homestead Funds, Inc. |
| | |
| By: | /s/ Peter R. Morris |
| | Peter R. Morris |
| | President |
| | (Principal Executive Officer) |
| | |
| | |
| Date: | September 4, 2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | |
| | |
| | |
| | (Principal Executive Officer) |
| | |
| | |
| Date: | September 4, 2009 |
| | |
| | |
| By: | /s/ Amy M. DiMauro |
| | Amy M. DiMauro |
| | Treasurer |
| | (Principal Financial Officer) |
| | |
| | |
| Date: | September 4, 2009 |
