Morgan Stanley Pathway Funds NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-06318

CONSULTING GROUP CAPITAL MARKETS FUNDS

(Exact name of registrant as specified in charter)

2000 Westchester Avenue

Purchase, NY 10577

(Address of principal executive offices)(Zip code)

CT Corp

155 Federal Street Suite 700

Boston, MA 02110

(Name and address of agent for service)

Registrant’s telephone number, including area code: (877) 937-6739

Date of fiscal year end: 8/31

Date of reporting period: 8/31/2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.

ITEM 1. REPORTS TO STOCKHOLDERS

LOGO

Consulting Group

Capital Markets Funds

TRAK^®

Annual Report

>>August 31, 2012

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Large Capitalization Growth Investments

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Large Capitalization Value Equity Investments

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Small Capitalization Growth Investments

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Small Capitalization Value Equity Investments

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International Equity Investments

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Emerging Markets Equity Investments

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Core Fixed Income Investments

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High Yield Investments

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International Fixed Income Investments

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Municipal Bond Investments

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Money Market Investments

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Table of Contents


SHAREHOLDER LETTER			i

CONSULTING GROUP CAPITAL MARKETS FUNDS PERFORMANCE SUMMARY

LARGE CAPITALIZATION GROWTH INVESTMENTS			1

LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS			4

SMALL CAPITALIZATION GROWTH INVESTMENTS			7

SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS			9

INTERNATIONAL EQUITY INVESTMENTS			11

EMERGING MARKETS EQUITY INVESTMENTS			13

CORE FIXED INCOME INVESTMENTS			15

HIGH YIELD INVESTMENTS			18

INTERNATIONAL FIXED INCOME INVESTMENTS			20

MUNICIPAL BOND INVESTMENTS			22

MONEY MARKET INVESTMENTS			24

FUND EXPENSES			29

SCHEDULESOF INVESTMENTS			31

STATEMENTSOF ASSETSAND LIABILITIES			142

STATEMENTSOF OPERATIONS			143

STATEMENTSOF CHANGESIN NET ASSETS			144

FINANCIAL HIGHLIGHTS			146

NOTESTO FINANCIAL STATEMENTS			152

REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM			190

BOARD APPROVALOF MANAGEMENT AGREEMENTAND INVESTMENT ADVISORY AGREEMENTS			191

ADDITIONAL INFORMATION			193

IMPORTANT TAX INFORMATION			197

Consulting Group

Capital Markets Funds

DEAR SHAREHOLDER,

Political elections and global economic growth, as well as the monetary union and debt crisis in the Eurozone, were among the dominant topics that persistently confronted the financial markets during the fiscal annual reporting period ended August 31, 2012. Increased volatility in the equity and fixed income markets, encompassing ebbs and flows reflecting “risk-on” or “risk-off” investor shifts in global sentiments, defined the one-year period as investors continued to deal with uncertainties related to the global environment.

Despite a tumultuous year, domestic U.S. equities delivered strong performance results during the period. Better-than-expected economic data in the United States (“U.S.”), combined with accommodative Federal Reserve policies, created a general tone of cautious optimism throughout the year. Given that backdrop, it was not surprising to see large market capitalization stocks in the U.S. among the performance leaders from a market capitalization perspective, as investors sought and rewarded companies perceived to have greater relative stability in their earnings.

U.S. investors in overseas stocks were not as fortunate. Developed international and emerging markets equities generally ended the annual period in negative territory. Although foreign equities appeared to have been invigorated at times during the year, boosted in large part by a belief that Europe had made some progress toward containing its sovereign debt woes, a European recession and signs of a slowdown in global economic growth diminished investor enthusiasm. Notably, developed equities in the Pacific region and in Japan came under pressure, while emerging markets stocks in countries such as China and Russia typically lost value. At the same time, currency effects generally had a negative impact on performance, as the U.S. dollar strengthened relative to foreign currencies, hurting unhedged U.S.-based investors venturing into international and emerging markets.

Fueled by falling yields and rising prices, domestic taxable and tax-exempt bonds generated solid advances over the fiscal year. Investors in long-term maturing Treasury bonds were especially rewarded during the year, as negative headline news generally prompted intermittent “flight-to-safety” trades that sparked rallies in the Treasury market. Yields in other bond market segments also contracted to lower levels in the period, benefiting investments in municipal bonds, corporate issues, mortgage-backed securities, and high yield debt. Returns on money market funds continued to remain depressed, reflecting the Federal Reserve Board’s 0% to 0.25% target range for short-term interest rates.

The positive and negative confidence disposition expressed by investors, as they appeared to embrace risk or gravitate toward risk aversion over the fiscal year, draws attention to the challenges clearly faced by the Consulting Group Capital Markets (“CGCM”) Funds and active investment advisers managing portfolios through periods of uncertainty and characterized by rapidly rotating risk environments.

Consulting Group Capital Markets Funds

CGCM Large Capitalization Growth Investments gained +15.7% in the annual period, exceeding the average +14.1% total return of mutual funds included in the Lipper Large-Cap Growth Funds Average investment category ⁱ, but lower than the +17.4% increase in the Russell 1000^® Growth Indexⁱⁱ. An overweight exposure to the Information Technology sector, combined with positive stock selections in the Information Technology (IT services) and Telecommunication Services (wireless) sectors, contributed to returns, while investments in the Consumer Discretionary (specialty retail, hotels restaurants & leisure) and Health Care (biotechnology) sectors unfavorably affected performance in the yearly period.

Large Capitalization Value Equity Investments registered a total return of +12.5% in the fiscal year, trailing the average +14.6% rise in the performance of mutual funds included in the Lipper Large-Cap Value Funds Average investment categoryⁱⁱⁱ and the +17.3% advance in the Russell 1000^® Value Index^iv. An overweight allocation to the Energy sector and an underweight exposure to the Consumer Discretionary sector, in addition to stock selections in the Information Technology (semiconductors & semiconductor equipment), Health Care (pharmaceuticals), Energy (equipment & services), Telecommunication Services (wireless), and Industrials (commercial services & supplies) sectors, negatively impacted relative returns in the annual fiscal period.

Small Capitalization Growth Investments generated an +11.5% return in the twelve-month fiscal period ending August 31, 2012, as compared to the average +11.9% increase in mutual funds included in the Lipper Small-Cap Growth Funds Average investment category^v and the +12.7% gain in the Russell 2000^® Growth Index^vi. An underweight exposure to the Health Care sector, combined with underperforming security selections in the Health Care (biotechnology), Energy (equipment & services), and Consumer Discretionary (specialty retail) sectors, adversely affected one-year relative performance.

Small Capitalization Value Equity Investments experienced an increase of +16.9% in the fiscal year, exceeding the average +11.7% rise in mutual fund included in the Lipper Small-Cap Value Funds Average investment category^vii and the +14.1% gain in the Russell 2000^® Value Index^viii. Favorable contributions from holdings in the Materials (chemicals), Information Technology (semiconductors & semiconductor equipment), Industrials (electrical equipment, marine), Energy (equipment & services), and Consumer Discretionary (leisure equipment & products) sectors helped relative performance over the period.

International Equity Investments fell slightly on an absolute basis, posting a decline of -0.1% in the fiscal period. Relative performance was marginally lower than the negligible -0.0% retreat in the MSCI EAFE^® Index^ix (Net), as well as the average +0.1% rise in mutual funds included in the Lipper International Large-Cap Core Average investment category^x. Stock selections in the Information Technology (semiconductors & semiconductor equipment) sector, in addition to selective country exposures, contributed to one-year returns in the fiscal period. In particular, overweight allocations to China and South Korea, respectively, combined with an underweight position in Japan and Spain, added value. However, a concurrent overweight exposure to Brazil, combined with investments in Australia, China, and Hong Kong, as well as in various sectors including Energy (oil gas & consumable fuels) and Financials (commercial banks), detracted from performance during the year.

Emerging Markets Equity Investments declined -6.5% in the one-year period, marginally surpassing the average -6.8% decline in mutual funds included in the Lipper Emerging Markets Average investment category^xi, but lagging the -5.8% decline in the MSCI Emerging Markets Index^xii (Net). An overweight position to Turkey and an underweight exposure to India, combined with favorable stock selections in the Telecommunication Services (wireless), Information Technology (IT Services), and Industrials (construction & engineering) sectors, enhanced relative performance in period. Sector exposures, including an underweight allocation to the Materials sector, as well as selective investments in Brazil, Russia, and South Africa, also benefited relative returns. Conversely, an exposure to Argentina and an underweight allocation to Malaysia, in combination with unsuccessful stock selections in the Energy (oil gas & consumable fuels), Financials (real estate management & development, commercial banks), Materials (chemicals, metals & mining), and Consumer Discretionary (hotels restaurants & leisure) sectors, hurt relative performance over the year. Selective investments in China and Hong Kong also detracted from relative returns in the fiscal period.

Core Fixed Income Investments advanced +7.6% in the fiscal performance period, outperforming both the average +7.0% rise in mutual funds included in the Lipper Intermediate Investment Grade Debt Funds Average investment category^xiii and the +5.8% increase in the Barclays Capital U.S. Aggregate Bond^TM Index^xiv. Contributions from investment grade and high yield sector selections helped relative performance in the period, offsetting declines from interest rate management and individual bond selections.

High Yield Investments gained +11.6% in the annual fiscal reporting period, trailing the average +12.1% increase in mutual funds included in the Lipper High Current Yield Funds Average investment category^xv and the +13.9% return of the Barclays Capital U.S. High Yield Index^xvi. Interest rate management, sector, and individual bond selections all detracted from relative performance over the period.

International Fixed Income Investments experienced a total return of +7.5% in the fiscal period, outperforming the +5.2% increase in the Citigroup Non-USD World Government Bond Index (USD) Hedged^xvii and significantly above the average +0.3% rise in mutual funds included in the Lipper International Income Funds Average investment category^xviii. Selective developed and emerging market country exposures, sector selections (investment grade, high yield, and mortgage-backed securities), and bond selections generally contributed to relative performance in the period. The strong performance of the U.S. dollar, as well as the fund’s mandate to hedge a majority of its foreign currency exposure, also impacted relative returns.

Municipal Bond Investments’ twelve-month performance of +7.2% lagged the +8.8% return of the Barclays Capital U.S. Municipal Bond Index^xix and also underperformed the average +11.0% gain in mutual funds included in the Lipper General Municipal Debt Funds Average investment category^xx. Yield curve positioning and a higher quality bias affected relative returns unfavorably over the fiscal year. Investors who sought higher yields in lower-quality municipal securities and in longer-maturing bonds benefited, as lower-quality municipal issues generally outperformed higher-quality ones and the prices of longer-term maturing debt rallied in the period.

Information regarding the sub-advisers of the CGCM Funds and commentary specific to each individual investment manager is available in the Annual Report following this Shareholder Letter.

As the fiscal reporting period came to an end, central bank intervention globally provided the ignition needed to inspire a summer rally in risk assets. Investors, at least for the moment, generally appeared to put aside unease related to the monetary union and debt crisis in the Eurozone and a deceleration in various national economies. In addition, the U.S. continued to cope with a slow economy, high unemployment, as well uncertainty surrounding approaching political elections and a potential “fiscal cliff” scheduled to take effect on January 1, 2013. Although we remain optimistic over the long-term prospects for the CGCM Funds going forward, challenges certainly remain, and diversified investors should bear in mind that market volatility may potentially provide opportunities for patient investors who maintain a long-term orientation. Investors who require individualized assistance should seek guidance from their Financial Advisor.

We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the CGCM Funds.

Sincerely,

LOGO

James F. Walker

Chief Executive Officer

October 19, 2012

iii

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. To obtain performance data current to the most recent month-end, please visit our website at https://www.smithbarney.com/products_services/managed_money/trak/trak_cgcm.html.

Shares of the Funds are available to participants in advisory programs or asset based fee programs sponsored by Morgan Stanley Smith Barney LLC (“Morgan Stanley”), including the TRAK^® Personalized Investment Advisory Service (“TRAK^®”), or other investment advisory programs approved by Morgan Stanley. The advisory services provide investors with asset allocation recommendations, which are implemented through the Funds. The fees and expenses of these other investment advisory programs may vary, but are generally expected to be comparable to the annual fees paid by TRAK^® participants, which may be up to 2.00%. Shareholders who acquire shares of the Funds through an investment advisory program other than through TRAK^® may pay higher or lower fees.

All index performance reflects no deduction for fees, expenses or taxes. Please note an investor cannot invest directly in an index.

RISKS: Certain of the Funds may invest in derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. Foreign securities are subject to certain risks of overseas investing including currency fluctuations and changes in political and economic conditions, which could result in significant market fluctuations. These risks are magnified in emerging or developing markets. Investments in small or medium-capitalization companies may involve a higher degree of risk and volatility than investments in larger, more established companies. Certain of the Funds may invest in high yield bonds, which involve greater credit and liquidity risks than investment grade bonds.

The Lipper Large-Cap Growth Funds Average investment category — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) above Lipper’s USDE large-cap floor. Large-cap growth funds typically have an above-average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500^® Index.

The Russell 1000^® Growth Index is a capitalization weighted total return index which is comprised of 1,000 of the largest capitalized U.S.-domiciled companies with greater-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ.

iii

The Lipper Large-Cap Value Funds Average investment category — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) above Lipper’s USDE large-cap floor. Large-cap value funds typically have a below average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500^® Index.

The Russell 1000^® Value Index is a capitalization weighted total return index which is comprised of 1,000 of the largest capitalized U.S.-domiciled companies with greater than average value orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ.

The Lipper Small-Cap Growth Funds Average investment category — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) below Lipper’s USDE small-cap ceiling. Small-cap growth funds typically have an above-average price-to-earnings ratio, price-to-book ratio, and three year sales-per-share growth value, compared to the S&P Small-Cap 600 Index.

The Russell 2000^® Growth Index is a capitalization weighted total return index which is comprised of 2,000 of the smallest capitalized U.S.-domiciled companies with greater-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ.

vii

The Lipper Small-Cap Value Funds Average investment category — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) below Lipper’s USDE small-cap ceiling. Small-cap value funds typically have a below-average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P Small-Cap 600 Index.

viii

The Russell 2000^® Value Index is a capitalization weighted total return index which is comprised of 2,000 of the smallest capitalized U.S.-domiciled companies with less-than-average growth orientation whose common stock is traded in the U.S. on the New York Stock Exchange, American Stock Exchange and NASDAQ.

ix	The MSCI EAFE^® Index is a composite portfolio or equity total returns for the countries of Australia, New Zealand and countries in Europe and the Far East, weighted based on each country’s market capitalization. MSCI EAFE^® Index is a registered trademark of MSCI Inc.

The Lipper International Large-Cap Core Average investment category — Funds that, by portfolio practice, invest at least 75% of their equity assets in companies strictly outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s international large-cap floor. International large-cap core funds typically have an average price-to-cash flow ratio, price-to-book ratio, and three-year sales-per-share growth value compared to their large-cap-specific subset of the S&P/Citigroup World ex-U.S. BMI.

xi	The Lipper Emerging Markets Funds Average investment category — Funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures.

xii	The MSCI Emerging Markets Index is an index comprised of thirteen emerging markets open to direct foreign participation.

xiii	The Lipper Intermediate Investment Grade Debt Funds Average investment category – Funds that invest primarily in investment-grade debt issues (rated in the top four grades) with dollar-weighted average maturities of five to ten years.

xiv

The Barclays Capital U.S. Aggregate Bond^TM Index is composed of the Barclays Capital Intermediate Government/Credit Bond Index and the Barclays Capital Mortgage-Backed Securities Index and includes treasury issues, agency issues, Corporate bond issues and mortgage-backed securities. Barclays Capital U.S. Aggregate Bond Index is a trademark of Barclays Capital.

The Lipper High Current Yield Funds Average investment category – Funds that aim to provide a high level of current yield from fixed income securities, with a substantial portion in medium- or lower-grade debt issues. The funds may invest in high-yielding government bonds (typically, of developing markets or higher-yielding OECD countries), Corporate and municipal bonds, eurobonds, convertible bonds, and preferred shares.

xvi	The Barclays Capital U.S. High Yield Index is composed of fixed rate, publicly issued, non-investment grade debt registered with the SEC. All bonds must be dollar-denominated, non-convertible and have at least one year remaining to maturity as well as an outstanding par value of $100 million.

xvii	The Citigroup Non-USD WGBI (World Government Bond Index) (USD) Hedged and Unhedged are market capitalization weighted indexes that are designed to represent the hedged performance of the government bond markets in thirteen developed countries, excluding the U.S.

xviii

The Lipper International Income Funds Average investment category – Funds that state in their prospectus that they invest primarily in U.S. dollar and non-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness.

xix

The Barclays Capital U.S. Municipal Bond Index is a weighted composite which is comprised of more than 15,000 bonds issued within the last five years, having a minimum credit rating of at least Baa and maturity of at least two years, excluding all bonds subject to the Alternative Minimum Tax and bonds with floating or zero coupons.

xx	The Lipper General Municipal Debt Funds Average investment category – Funds that invest primarily in municipal debt issues in the top four credit ratings.


Performance of the Consulting Group Capital Markets Funds *For the Year Ended August 31, 2012† (unaudited)**

Large Capitalization Growth Investments	15.71	%
Russell 1000^® Growth Index (1)	17.37

Large Capitalization Value Equity Investments	12.50
Russell 1000^® Value Index (2)	17.30

Small Capitalization Growth Investments	11.54
Russell 2000^® Growth Index (3)	12.72

Small Capitalization Value Equity Investments	16.93
Russell 2000^® Value Index (4)	14.08

International Equity Investments	-0.06
MSCI EAFE^® Index (5)	-0.04

Emerging Markets Equity Investments	-6.52
MSCI Emerging Markets Index (6)	-5.80

Core Fixed Income Investments	7.58
Barclays Capital U.S. Aggregate Bond™ Index (7)	5.78

High Yield Investments	11.57
Barclays Capital U.S. High Yield Index (8)	13.89

International Fixed Income Investments	7.53
Citigroup Non-USD WGB (USD) — Hedged (9)	5.18

Municipal Bond Investments	7.23
Barclays Capital U.S. Municipal Bond Index (10)	8.78

Money Market Investments**	0.02
90-day Treasury Bill Index	0.06

See pages 26 through 27 for all footnotes.

LOGO

Large Capitalization Growth Investments

ABOUTTHE SUBADVISERS

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Delaware Management Company (“Delaware”)

Delaware invests primarily in common stocks of large capitalization growth-oriented companies that Delaware believes have long-term capital appreciation potential and are expected to grow faster than the U.S. economy. Using a bottom up approach, Delaware seeks to select securities of companies that it believes have attractive end market potential, dominant business models and strong free cash flow generation that are attractively priced compared to the intrinsic value of the securities. Delaware also considers a company’s operational efficiencies, management’s plans for capital allocation and the company’s shareholder orientation. Delaware currently defines large capitalization companies as those that, at the time of investment, have market capitalizations within the range of market capitalizations of companies in the Russell 1000^® Growth Index. While the market capitalization of companies in the Russell 1000^® Growth Index ranged from approximately $746 million to $624 billion as of August 31, 2012, Delaware will normally invest in common stocks of companies with market capitalizations of at least $3 billion at the time of purchase.

•

Wells Capital Management, Inc. (“WellsCap”)

WellsCap employs both proprietary screens and intensive grassroots research in order to identify high-growth companies expected to outperform their peers. Their investment philosophy is firmly rooted in the belief that successful investing is the result of focusing on companies with favorable underlying fundamentals, strong growth potential and solid management teams. Security selection is based on fundamental research. This research process works to “surround” an investment by focusing on the company’s financials and verifying fundamentals with the management team, mid-level employees, customers, competitors, suppliers and/or distributors.

•

Westfield Capital Management Company, L.P. (“Westfield”)

Westfield uses an active management style and favors investing in earnings stocks given its conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Westfield believes that reasonably priced stocks with high earnings potential are best identified through in-depth, fundamental research.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for CGCM Large Capitalization Growth Investments (“Fund”) were Delaware Management Company (“Delaware”), Wells Capital Management, Inc. (“WellsCap”), Westfield Capital Management Company, L.P. (“Westfield”) and Frontier Capital Management Co., LLC (“Frontier”).

The portion of the Fund managed by Delaware outperformed the Fund’s benchmark, the Russell 1000^® Growth Index (“benchmark”), during the year ended August 31, 2012. Typical of Delaware’s concentrated portfolio approach, stock selection was a significant factor in the Portfolio’s performance. Solid stock selection in the Technology and Energy sectors was meaningful to returns. Stock selection also helped performance in the Financial sector, and an overweight in that sector increased relative performance. Regarding the portfolio holdings in the Financial sector, it is important to note that Delaware seeks companies that are transaction-based, as opposed to “spread lending” companies, preferring business model characteristics that include high incremental margins and the ability to self-fund their businesses. In Delaware’s view, transaction-based Financials generally lack the need to access funding through the capital markets — a feature that it believes has plagued many spread lenders in the last few years.

The portion of the Fund managed by WellsCap outperformed the benchmark for the year ended August 31, 2012. Emerging from uncertainty created by debates over budget deficits and the downgrade of U.S. government debt, the economy showed continued signs of recovery and growth. Strength in corporate earnings combined with moderate, but not stellar, growth in Growth Domestic Product (“GDP”) and employment provided the backdrop for healthy returns. The return progression was not consistently positive, however, as bouts of “risk-off” mitigated clear periods of “risk-on”. Concerns over the European debt crisis, a slowdown in U.S. job growth and fears of a hard landing in China weighed on investor sentiment. By working within WellsCap’s process to manage risk and return through portfolio construction, the portfolio was tilted toward “core holdings”, domestic exposure and secular growth. This positioning stabilized returns allowing for portfolio outperformance. As can be expected from a fundamentally driven, bottom-up manager, stock selection was the primary contributor to investment returns. Portfolio holdings in the computer and peripheral and IT services industries within Information Technology were the primary drivers of sector returns. Also contributing nicely to relative returns for the year was stock selection in the Materials, Telecommunications Services and Industrials sectors. World oil prices were volatile throughout the period, with dramatic swings from quarter to quarter based on changes in attitude toward global growth or availability of supply. As a result, stock selection within the Energy sector was challenged resulting in a performance headwind.

• Frontier Capital Management Co., LLC (“Frontier”)

Frontier is a research-driven firm specializing in the management of growth-oriented U.S. equity portfolios. They believe that growth must be purchased at a reasonable price and that fundamental, bottom-up research is the cornerstone to adding value. The firm’s philosophy since its founding in 1980 is that stock prices ultimately follow earnings growth. Frontier believes that there are three key drivers of long-term, consistent performance and look for companies that possess 1) improving business models, 2) unrecognized earnings power and 3) attractive valuations.

The portion of the Fund managed by Westfield underperformed the Fund’s benchmark during the year ended August 31, 2012. Portfolio investments within the Industrials and Consumer Staples sectors were the most significant positive contributors to relative returns. Health Care was the largest detractor from relative results, while investments within the Energy and Financials sectors also hindered relative performance. Concerns about a double-dip recession intensified during the second half of 2011, prompting a retreat from risky assets of all types. Investors hid in slower growth names that provided stable yet predictable earnings growth at higher earnings multiples. Given Westfield’s growth-at-a-reasonable price process, many of these outperformers did not fit its investment criteria, and therefore Westfield had only limited exposure to them. Market dynamics reversed sharply as 2012 began. A strengthening domestic economy and accommodative monetary policy around the globe helped revive investor appetite for stocks. However, as the year progressed, the risk-off environment returned and “bond proxies” were again the big outperformers. The portfolio lagged its benchmark during the market selloff. During July and August, the market began to climb higher, despite wavering economic indicators. Cyclically-oriented sectors, namely Energy and Materials, experienced solid advances. The portfolio’s exposure to these sectors, combined with positive stock selection, added to relative returns during this two-month period. When searching for new investment candidates, Westfield typically focuses on firms that can deliver consistent organic revenue growth, based on the belief that solid operational performance will eventually manifest itself in above-average financial performance. Defensive stocks with little-to-no growth are very expensive and have outperformed during the last two years. Westfield continues to see far better risk/rewards in high-quality growth companies reliant on some global GDP growth.

The portion of the Fund managed by Frontier, with an emphasis on midcap growth stocks, underperformed the Fund’s large cap growth benchmark, but outperformed the Russell Midcap^® Growth Index, for the year ended August 31, 2012. Healthy corporate profits and coordinated global easing by central banks helped to propel the markets forward. Frontier’s relative performance was aided by the Consumer Discretionary, Energy and Financials sectors. Consumer Discretionary stocks performed well and Energy holdings performed well due to a focus on exploration and production companies with reliable, fast growing domestic shale positions. Financials prospered by identifying the need for greater outsourcing by major financial services firms to processing companies. Looking forward, Frontier’s discipline continues to balance valuation with growth. It is likely that economic activity will remain muted given greater fiscal constraints, questionable economic conditions abroad, as well as persistent unemployment continuing domestically. As such, Frontier remains focused on companies that show sustained earnings improvement driven by favorable secular demand and innovation, market share gains in growth markets, margin expansion initiatives, and opportunities to utilize balance sheet and cash flow resources. Frontier believes such businesses will be accorded premium equity valuations in a period of low growth and expects the portfolio to benefit from this dynamic.

LOGO

The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.smithbarney.com.

The following graph depicts the performance of Large Capitalization Growth Investments vs. the Russell 1000^® Growth Index¹ and the Lipper Large-Cap Growth Funds Average.¹¹

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

LARGE CAPITALIZATION GROWTH INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		7.09	%		5.43	%
10 year		7.50			5.77
5 year		2.21			0.44
3 year		14.13			11.98
1 year		15.71			13.42

See pages 26 through 27 for all footnotes.

Large Capitalization Value Equity Investments

ABOUTTHE SUBADVISERS

•

Cambiar Investors, LLC (“Cambiar”)

Cambiar utilizes a bottom-up process that seeks to identify companies that are attractively priced, demonstrate positive developments not yet recognized by the market and offer significant appreciation potential within a one- to two-year time frame.

•

NFJ Investment Group, LLC (“NFJ”)

The NFJ investment process initially screens for positive fundamentals by applying a screen over a universe of approximately 800 stocks in order to identify companies with positive fundamental characteristics. After the screen has been applied, NFJ then conducts in-depth research and analysis by reviewing each of the remaining 150-200 possible investments for low price-to-earnings multiples, high dividend yields, positive prospective earnings and quality operations. As part of the portfolio construction process, industry concentration is mitigated by avoiding overexposure to any one sector by restricting the number of stocks held within a single industry. The portfolio generally holds 40 to 50 companies. NFJ’s process involves regular portfolio and universe monitoring for buy and sell candidates. NFJ continually repeats its research process in order to identify new buy and sell candidates. The sell discipline is an important part of NFJ’s process. A stock is sold when an alternative stock with equally strong fundamentals demonstrates a substantially lower price-to-earnings ratio, and/or a substantially higher dividend yield.

•

Artisan Partners Limited Partnership (“Artisan”)

The Artisan mid-cap value strategy employs a bottom-up investment process to construct a diversified portfolio of U.S. mid-cap value companies that Artisan’s mid-cap value investment team believes are undervalued, in solid financial condition and have attractive business economics. Artisan believes companies with these characteristics are less likely to experience eroding values over the long-term.

For the period from September 1, 2011, through August 31, 2012, the Sub-advisers for Large Capitalization Value Equity Investments (“Fund”) were Cambiar Investors, LLC (“Cambiar”), NFJ Investment Group, LLC (“NFJ”), Cullen Capital Management, LLC (“Cullen”), Artisan Partners Limited Partnership (“Artisan”) and HGK Asset Management, Inc. (“HGK”).

The portion of the Fund managed by Cambiar Investors LLC (“Cambiar”) underperformed the Fund’s benchmark, the Russell 1000^® Value Index, for the year ended August 31, 2012. Risk aversion and a strong preference for dividend yield were dominant investment themes over the past year; Telecom, Consumer Staples and Utilities were three of the top-performing sectors in the index over this timeframe. Although Cambiar had exposure to companies in these more defensive sectors, such holdings were overshadowed by Cambiar’s higher exposure to cyclical sectors such as Energy, Materials and Technology. As part of Cambiar’s ongoing portfolio reviews, it made select changes where its original thesis was no longer intact, or if a more attractive opportunity presented itself. In other cases, Cambiar continues to stay the course with a given holding – despite underperformance in the short-term. It would be an unforced error to move into Utilities and related safe-haven stocks at this juncture, as the valuations accorded to businesses with perceived stability are very high – relative to their own history as well as to Cambiar’s other holdings. A key element to Cambiar’s investment discipline is mean reversion; at present, many such “bunker” stocks are at or near their historical peak valuations, while many of Cambiar’s positions are trading at levels last seen in the 2008-2009 timeframe. Convergence is likely at some point, with timing likely tied to the abatement in the various macro issues on which the market is currently focused.

The portion of the Fund managed by NFJ outperformed the benchmark for the year ended August 31, 2012. This reporting period was marked by volatile equity returns, as investors were whipsawed by news of U.S. fiscal policy and Europe’s seemingly intractable sovereign debt crisis. Investors kicked off 2012 in a celebratory mood, amid better-than-consensus economic reports and fresh waves of monetary easing in Europe and Asia. As the period commenced, the strategy generally protected on the downside when the market was down, and trailed when the benchmark spiked into double-digit returns. Outperformance can be attributed to strong stock selection, though negative sector weight deviations detracted somewhat from returns. Issue selection was strongest in Financials, Consumer Staples and Information Technology. Stock picks in Industrials and Health Care performed well but lagged those sectors within the benchmark. The strategy’s overweight in Energy and Materials presented a headwind as these sectors delivered the weakest returns in the benchmark due largely to macroeconomic and global growth concerns. NFJ has been overweight in these two sectors as a consequence of finding attractive valuations and sizable defensible yields among many Energy and Materials names. Conversely, NFJ’s underweight in Utilities and Financials was beneficial for the period. During the period, NFJ has found many Utilities securities to be overvalued as investors pile into the sector seeking a replacement for bond yields, while the Financials sector continues to be plagued by unappealing dividends, balance sheet concerns and regulatory uncertainty.

•

Cullen Capital Management, LLC (“Cullen”)

Cullen is a boutique investment adviser who has specialized in value investing since 1983. Cullen utilizes a disciplined approach in constructing investment portfolios. Individual securities are first screened for attractive price to earnings and price to book ratios as well as high absolute dividend yields. Dividend yields, payout ratios and dividend policies of screened securities are then reviewed to ensure the company can maintain and grow the dividend. Additionally, an independent assessment of the company is made through financial analysis, comparative and competitive evaluation, and management capabilities to specifically identify catalysts to encourage above average earnings and dividend growth over the anticipated three-to-five year investment horizon.

•

HGK Asset Management, Inc. (“HGK”)

HGK invests in undervalued securities through disciplined, fundamentally driven quantitative and qualitative security analysis. This analysis is coupled with a risk adverse approach to portfolio construction. HGK’s value driven domestic equity investment process has been employed in its current form since 1991. The equity team screens for disciplined companies with improving cash flows selling below their discounted present value. Rigorous qualitative fundamental analysis is applied to make the final security selection. During this analysis, the equity team focuses on undervalued companies that operate from a position of competitive advantage and whose management teams understand the principles of shareholder wealth creation.

The portion of the Fund managed by Artisan with an emphasis on midcap value stocks underperformed the Fund’s large cap value benchmark, as well as the Russell Midcap^® Value Index, for the year ended August 31, 2012. U.S. mid-cap stocks turned in healthy gains despite persistent worries about Euro zone sovereign debt issues and sluggish economic growth around the world. The bulk of portfolio underperformance during the period was driven by Technology holdings. Artisan remains substantially overweight in the Technology sector due to its belief that the sector represents among the best risk/reward tradeoffs available based on a bottom-up assessment of business economics, balance sheet strength, and valuations. Accordingly, an overweight position in the sector contributed negatively to relative results, as Technology shares were up, but by less than the broader benchmark. Stock selection in the sector was also weak, driven by select holdings. The portfolio’s Energy and Consumer Staples stocks also contributed negatively to relative underperformance. Partially offsetting these weaknesses was strong stock selection in the Industrials, Utilities and Financials sectors. Artisan’s investment team is always mindful of macroeconomic risks and having appropriate economic diversification, but its process is not driven by benchmark sector weights. While this worked against relative results during the period, it is a reminder of how important it is for the team to remain committed to its process and maintain a long-term perspective.

The portion of the Fund managed by Cullen outperformed the Fund’s benchmark for the year ended August 31, 2012. Similar to the experience in 2010 and 2011, a turbulent year led into a strong first quarter of market performance, followed by a volatile and difficult second quarter. Outperformance during the period was primarily attributable to the portfolio’s defensive nature and strong stock selection. Cullen’s adherence to a fundamental, valuation-based methodology that focuses on price discipline, dividend yield and dividend growth has given a significant degree of downside protection during heightened periods of volatility. From an allocation perspective, the portfolio benefitted from its continued overweight to non-cyclical sectors, Consumer Staples and Health Care and underweight to cyclical sectors, Energy, Financials, and Materials. An underweight allocation to Information Technology and Consumer Discretionary was a small detractor as stocks in these sectors were top performers in the first quarter. Stock selection was however the core driver to outperformance, with notable strength in Consumer Staples, Industrials, and Utilities. Since inception, Cullen’s investment team has adhered to a philosophy focused on the long-term prospect of companies trading at attractive valuation levels, have leading market positions, and a strong commitment to enhancing shareholder value through responsible dividend policies.

The portion of the Fund managed by HGK performed in-line with the Fund’s benchmark for the year ended August 31, 2012. The fiscal year was marked by a number of unusual events including Standard and Poor’s credit rating downgrade of U.S. sovereign debt, concerns over global recession, and the potential breakup of Europe’s monetary union. In light of these macroeconomic conditions, the portfolio maintained a relatively defensive sector allocation for most of the year. Despite the Fund’s cautious stance towards the market, the portfolio was able to perform in line with its benchmark due to strong security selection. Security selection in most sectors was positive, though it was most significant in the Financials and Energy sectors. Conversely, on a relative basis, security selection in the Consumer Discretionary sector was the largest detractor, as HGK’s holdings provided strongly positive returns but trailed the benchmark.

HGK continues to maintain a conservatively-positioned portfolio as it finds an exceptional number of high-quality companies with strong balance sheets pricing in unusually conservative expectations. Currently, HGK favors securities in the Technology and Health Care sectors. These securities are supported by attractive valuations, adequately supported dividend yields and relatively inelastic demand for their products.

The following graph depicts the performance of the Large Capitalization Value Equity Investments vs. the Russell 1000^® Value Index² and the Lipper Large-Cap Value Funds Average.¹²

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		7.02	%		5.36	%
10 year		5.24			3.55
5 year		-1.81			-3.50
3 year		11.45			9.34
1 year		12.50			10.27

See pages 26 through 27 for all footnotes.

Small Capitalization Growth Investments

ABOUTTHE SUBADVISERS

•

Wall Street Associates (“WSA”)

WSA follows a bottom-up investment style. It looks for companies with superior earnings growth, strong balance sheets, attractive valuations and potentially positive earning surprises.

•

Westfield Capital Management Company, L.P. (“Westfield”)

Westfield favors investing in earnings growth stocks given its conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for the CGCM Small Capitalization Growth Investments (“Fund”) were Wall Street Associates (“WSA”), and Westfield Capital Management Company, L.P. (“Westfield”).

The portion of the Fund managed by WSA underperformed the benchmark, the Russell 2000^® Growth Index, during the period. Throughout much of the year ended August 31, 2012, equity markets gyrated as recurrent concerns over the expanding Eurozone crisis, worries about how much emerging economies might slow in the coming months, weak jobs reports and “fiscal cliff” fears caused investors’ appetite for risk to wax and wane. The Fund outperformed its benchmark for the first six months of the fiscal year, as the equity market generally moved higher. As spring approached the market swooned and was primarily moved by political and global macro-economic news flow. Investments in the Technology sector provided the greatest contribution to portfolio return, driven by strong stock selection. The portfolio benefitted from exposure to the semiconductor and software groups. Stock selection was also additive in the Consumer Discretionary sector. Specialty Retail, Education, Gaming and Entertainment added to portfolio returns. Investments in the Health Care sector produced double-digit returns and added to performance. Energy stocks declined significantly during the period amid falling commodity prices, abundant supply and curtailed global demand. This group, which had been the top performing sector in the prior fiscal year, declined significantly during the period. Although WSA decreased its exposure to the group, the stocks had a negative impact on portfolio performance.

The portion of the Fund managed by Westfield underperformed the Fund’s benchmark for the year. Portfolio investments within the Information Technology, Materials, and Financials sectors were the most significant positive contributors to relative returns. Health Care was the largest detractor from relative results, while investments within the Industrials and Consumer Discretionary sectors also hindered relative performance. Concerns over a double-dip recession intensified during the second half of 2011, prompting a retreat from all types of higher-risk assets. Investors hid in slower-growth names that provided stable yet predictable earnings growth at higher earnings multiples. Given Westfield’s growth-at-a-reasonable price process, many of these outperformers did not fit its investment criteria, and therefore it had only limited exposure to them. Market dynamics reversed sharply with the start of 2012. A strengthening domestic economy and accommodative monetary policy around the globe helped revive investor appetite for stocks. As the year progressed, the risk-off environment returned and “bond proxies” were again the big outperformers. When searching for new investment candidates, Westfield typically focuses on firms that can deliver consistent organic revenue growth, based on the belief that stellar operational performance will eventually manifest itself in above-average financial performance. Defensive stocks with little-to-no growth are very expensive and have outperformed during the last two years. Westfield continues to see far better risk/rewards in high-quality growth companies reliant on some global GDP growth.

The following graph depicts the performance of Small Capitalization Growth Investments vs. the Russell 2000^® Growth Index³ and the Lipper Small-Cap Growth Funds Average.¹³

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

SMALL CAPITALIZATION GROWTH INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		8.45	%		6.77	%
10 year		8.19			6.45
5 year		1.62			-0.14
3 year		15.09			12.92
1 year		11.54			9.33

See pages 26 through 27 for all footnotes.

Small Capitalization Value Equity Investments

ABOUTTHE SUBADVISERS

•

Rutabaga Capital Management, LLC (“Rutabaga”)

Rutabaga focuses exclusively on micro- and small capitalization stocks and looks to unearth uncommon or currently out-of-favor stocks. The firm’s analysts employ extensive bottom-up fundamental research to identify high quality companies with catalysts to increase margins and intrinsic value but are neglected or misperceived by the market.

•

NFJ Investment Group, LLC (“NFJ”)

NFJ employs an active management style that invests in a diversified portfolio of small capitalization common stocks that it believes are undervalued in the marketplace generally and within their respective industries. NFJ also considers valuation factors such as price-to-book, price-to-cash flow, dividend policy and industry outlook in selecting stocks for investment.

•

Delaware Management Company (“Delaware”)

Delaware will invest, under normal market conditions, at least 80% of its net assets, plus any borrowings for investment purposes, in the equity securities of small capitalization companies or in other investments with similar economic characteristics. Delaware will consider small capitalization companies to be companies with market capitalizations not exceeding $3 billion or the highest month-end market capitalization value of any stock in the Russell 2000^® Index for the previous 12 months, whichever is greater. Securities of companies whose market capitalizations no longer meet this definition after purchase by the Fund still will be considered to be securities of small capitalization companies for purpose of the Fund’s 80% investment policy. The size of the companies in the Index change with market conditions and the composition of the Index.

For the period September 1, 2011, through August 31, 2012, the Sub-advisers for CGCM Small Capitalization Value Equity Investments (“Fund”) were Rutabaga Capital Management LLC (“Rutabaga”), NFJ Investment Group LLC (“NFJ”), and Delaware Management Company (“Delaware”).

The portion of the Fund managed by Rutabaga substantially outperformed the Fund’s benchmark, the Russell 2000^® Value Index, for the year ended August 31, 2012. The portfolio had underperformed the previous fiscal year, primarily as a result of the poor performance of some of Rutabaga’s economically sensitive stocks due to investor concerns about the prospects of another global recession in late 2011 and early 2012. However, the global economy did not collapse and many of those economically sensitive stocks rebounded in late 2011 and into 2012, helping to drive the strong investment performance. Additionally, three of Rutabaga’s top nine performing stocks were acquired by strategic competitors at healthy premiums to their recent stock prices. Over the past twelve months, Rutabaga’s investment team replenished the portfolio with several new investment ideas, and the team feels comfortable with the overall risk/reward of the portfolio.

The portion of the Fund managed by NFJ underperformed the benchmark for the year ended August 31, 2012. The first half of the period presented a difficult environment, as the strategy generally lagged during months characterized by optimistic investor sentiment and strong benchmark returns. During the second half of the period, news of Europe’s seemingly intractable sovereign debt crisis and slowing growth in China drove investors into more defensive and high yielding sectors, causing valuations to jump among many REITs, limited partnerships, and issuers in the Telecommunications and Utilities sectors. Allocations to more attractively valued securities presented a headwind, as macro-economic concerns overshadowed fundamentals. Underperformance can be attributed to negative sector weight deviations and stock selection. Issue selection was strongest in Consumer Discretionary and Consumer Staples. Stock picks lagged in the Industrials and Telecommunications sectors. The strategy’s overweight in Energy and Materials, and underweight in Financials dragged on returns. NFJ has been overweight in these two sectors as a consequence of finding attractive valuations and sizable defensible yields among many Energy and Materials names. The underweight in the Financials sector resulted from the hefty benchmark weight in this sector (over 35%), combined with balance sheet concerns and low yields relative to the rest of the market. Conversely, an underweight in the Information Technology sector contributed to returns.

The portion of the Fund managed by Delaware outperformed the Fund’s benchmark for the year ended August 31, 2012. U.S. economic growth remains subpar following the recession with GDP growth, hovering in the 1.5 – 2.0% range, and unemployment remains above 8.0%. The housing market began to show signs of stability, which Delaware believes should add to GDP growth in future quarters. Corporate profitability and cash flow remain strong, but revenue growth remains subdued. Company balance sheets generally continue to be very solid, with many companies paying down debt and buying back stock and paying dividends. Delaware was again disappointed by the lack of significant merger and acquisition (“M&A”) activity in the companies reflected in its portfolio holdings. However, it still believes that M&A activity could increase as companies gain more clarity on future regulatory and tax policy. The outperformance resulted from strong stock selection in the Consumer Services, Financials, Technology and Basic Industry sectors. Detractors from performance were an underweight position and poor stock selection in REITs and poor stock selection in the Energy sector. In general, stock selection was the most significant factor in the portfolio’s outperformance.

The following graph depicts the performance of Small Capitalization Value Equity Investments vs. the Russell 2000^® Value Index⁴ and the Lipper Small-Cap Value Funds Average.¹⁴

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		10.08	%		8.37	%
10 year		10.74			8.96
5 year		4.96			3.15
3 year		15.54			13.36
1 year		16.93			14.61

See pages 26 through 27 for all footnotes.

International Equity Investments

ABOUTTHE SUBADVISERS

•

Schroder Investment Management North America, Inc. (“Schroder”)

Schroder uses a bottom-up growth oriented strategy for stock selection. Schroder employs a fundamental, research driven approach to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroder’s concentrated, “best ideas” portfolio blends both core and opportunistic holdings.

•

Philadelphia International Advisors LP (“PIA”)

PIA utilizes a fundamental bottom-up process and quantitative screening in its approach to international investing. It selects stocks to buy and sell by evaluating a company’s growth outlook and market valuation based on traditional value characteristics, positive company-specific catalysts and other operating and financial conditions. It selects countries primarily by evaluating a country’s valuation ratios such as price-to-earnings and dividend yield, prospective economic growth, government policies and other factors.

•

Thornburg Investment Management, Inc. (“Thornburg”)

Thornburg employs a bottom-up investment process that seeks to acquire promising companies with sound business fundamentals at a time when their intrinsic value is not fully recognized by the marketplace. Thornburg’s idea of value centers on its assessment of the intrinsic worth of an investment, as compared to today’s price, based on intensive fundamental research.

•

Marsico Capital Management, LLC (“Marsico”)

Marsico uses an approach that combines top-down macroeconomic analysis with bottom-up stock selection. The top-down approach takes into consideration such macro-economic factors as interest rates, inflation, demographics, the regulatory environment and the global competitive landscape. In determining whether a particular company may be a suitable investment, Marsico may focus on any of a number of different attributes that may include the company’s specific market expertise or dominance; its franchise durability and pricing power; solid fundamentals; strong and ethical management; commitment to shareholder interests; and reasonable valuations in the context of projected growth rates.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for CGCM International Equity Investments (“Fund”) were Schroder Investment Management North America Inc. (“Schroder”), Philadelphia International Advisors LP (“PIA”), Thornburg Investment Management, Inc. (“Thornburg”) and Marsico Capital Management, LLC (“Marsico”).

The portion of the Fund managed by Schroder during the year ended August 31, 2012, was in-line with the Fund’s benchmark, the MSCI EAFE^® Index. Markets began the period with extreme volatility, as the Eurozone’s debt problems reached crisis point. For the remainder of the period, markets swung between optimism and disappointment regarding the region. International markets ended the period broadly flat, helped by central bank policies and a summer rally. Performance in Utilities was the largest source of added value by sector. Investors valued more stable growth opportunities given the turbulent market conditions. Exposure to Information Technology was also rewarding. Performance in Materials was the main detractor. The slowdown in global growth and in China in particular, weighed on the portfolio’s mining stocks as investors worried about the strength of demand for raw materials. Schroder has continued to pursue companies which, irrespective of the short-term market uncertainties, are benefiting from longer-term global trends. The portfolio is balanced between growth defensives and more cyclical industries, and Schroder’s trading activity has, as ever, focused on stock-specific situations where it feels there is potential for good growth, valuation upside and catalysts ahead.

The portion of the Fund managed by PIA underperformed the Fund’s benchmark during the year ended August 31, 2012. The majority of the PIA’s relative underperformance can be attributed to stock selection in the Industrials and Financials sectors. While Financials stocks overall held up reasonably well over the course of the year, results within the sector were quite mixed. Insurance companies outperformed the index; however, these positive results were overshadowed by poor performance within European bank holdings. Volatile markets driven in large part to the European sovereign debt crisis, combined with economic uncertainty, have led to a flight to safety and as such, the defensively oriented Consumer Staples and Health Care sectors significantly outperformed the overall market. The portfolio’s underweight positions within these sectors, particularly in the richly priced Consumer Staples, also had a negative impact on returns. Holdings within the UK, Canada, and Korea performed well. The portfolio’s modest exposure to emerging markets, which underperformed their develop market counterparts, weighed on returns; however, the allocation to international small cap stocks aided returns on both an absolute and relative basis.

The portion of the Fund managed by Thornburg performed in-line with the Fund’s benchmark for the year ended August 31, 2012. Concerns about the fate of the euro zone, slowing growth in China, and muted U.S. economic recovery weighed on markets during the period. This led investors to seek safety in more defensively oriented stocks. Allocation and currency effect were positive relative to the benchmark, but the impact of stock selection offset these gains. Stock selection in the Consumer Discretionary sector and an underweight allocation in the Materials sector, the worst-performing sector in the benchmark, helped the portfolio during the period. In addition, underweight positions in Japan and Spain contributed to relative performance. Stock selection in the Financials, Energy, and Information Technology sectors were the main drag on portfolio performance during the period. Three of the top five detractors came from these sectors. The European financial crisis and potential hard landing in China weighed on the Financials sector, particularly European and Chinese bank holdings. Emerging market stocks also detracted from relative performance, particularly in Russia and Taiwan. While is it not possible to know the magnitude and duration of global economic headwinds, Thornburg has constructed the portfolio to avoid some of the more likely and severe downside risks in Europe. With its bottom-up investment process, Thornburg will continue to evaluate opportunities one stock at a time, and balance the portfolio accordingly across our three baskets: basic values, consistent earners, and emerging franchises.

The following graph depicts the performance of International Equity Investments vs. the MSCI EAFE^® Index⁵ and the Lipper International Large-Cap Core Funds Average.¹⁵

The portion of the Fund managed by Marsico outperformed the Fund’s benchmark for the year ended August 31, 2012. Stock selection in a number of sectors had a positive effect on performance. In particular, stock selection in the Information Technology, Consumer Staples and Industrials sectors was strong. Several of Marsico’s Information Technology holdings also posted solid gains. An underweight allocation to the weak-performing Materials sector benefited performance relative to the benchmark. The Fund also benefited from currency effect. In particular, an underweighted posture to equities denominated in the weak-performing euro added to returns. An overweight allocation to the weak-performing Information Technology sector and no exposure to Utilities, the strongest-performing sector in the benchmark, hampered performance.

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INTERNATIONAL EQUITY INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		5.08	%		3.46	%
10 year		6.72			5
5 year		-4.3			-5.95
3 year		4.25			2.29
1 year		-0.06			-2.04

See pages 26 through 27 for all footnotes.

Emerging Markets Equity Investments

ABOUTTHE SUBADVISERS

•

SSgA Funds Management, Inc. (“SSgA”)

SSgA uses quantitative analysis to identify countries and stocks which are undervalued relative to their growth rates. It employs an investment process that combines top-down country selection with bottom-up stock selection to determine an optimal country and security mix.

•

Newgate Capital Management, LLC (“Newgate”)

Newgate seeks long-term growth of capital by using a top-down value approach to identify undervalued countries, regions and sectors. Newgate incorporates geopolitical and macroeconomic factors into its strategy through fundamental quantitative analysis and more than 150 years combined investment experience of its professionals.

•

Lazard Asset Management, LLC (“Lazard”)

Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 235 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for the CGCM Emerging Markets Equity Investments (“Fund”) were SSgA Funds Management, Inc. (“SSgA”), Newgate Capital Management LLC (“Newgate”), and Lazard Asset Management LLC (“Lazard”).

The portion of the Fund managed by SSgA underperformed the Fund’s benchmark, the MSCI Emerging Markets Index, for the year ended August 31, 2012. The Fund utilizes both a country selection and a stock selection model in its investment process. The underperformance of the portfolio over the year was largely a result of stock selection, while country selection was only marginally negative. The drivers of this underperformance were various positions in Taiwan, China, Poland and Brazil. Stock selection in these countries was quite weak, and the model was not able to determine in which names to invest. In some of the smaller countries, such as Poland and Malaysia, SSgA’s portfolio was hurt by both its country positioning and stock selection within those countries. SSgA’s stock selection in Korea contributed positively to overall performance, Korea has a breadth of names that can positively impact the portfolio. Additionally, the Fund benefitted from its overweight position in Thailand. The Thai market has been one of the best-performing Asian markets, as its domestic economy has been resilient in the face of the global slowdown. The year ended August 31, 2012, was difficult due to the risk-on/risk-off theme that has dominated global markets. As the year progressed, it became increasingly evident that economic activity in the United States, the Eurozone and China slowed significantly. Emerging markets investors faced and will continue to face policy-driven markets, with the risk-on/risk-off trade leading to choppy trading. The Eurozone crisis impacts emerging markets via several channels: trade, investment, commodities and finance. The Europe/Middle East/Africa region will be the most seriously affected region in emerging markets should the Eurozone recession intensify. Earnings revisions in emerging markets have been negative in recent months, but earnings were expected to grow by +12% in 2012 and +15.5% in 2013. At fiscal year-end, emerging equities traded at roughly 9.4 times next 12-month earnings. A high degree of policy uncertainty continues to characterize the global economy, and in general, a “flight to safety” to the U.S. dollar is not emerging market friendly.

The portion of the Fund managed by Newgate underperformed the Fund’s benchmark for the year ended August 31, 2012. Newgate employs a top-down, thematic approach to investing that seeks to find undervalued companies given its view on the global economy and other geopolitical considerations. At the beginning of the period, the portfolio was positioned for modest economic expansion, with a substantial weighting in materials stocks and in countries where natural resources are central to the economy and market returns, especially Brazil. Newgate’s “more optimistic than most” view proved correct for the first seven months of the year. However, as the Chinese economy slowed and economic considerations regarding Europe and the United States began to weigh heavily on investor sentiment, equity prices faltered and materials positions underperformed the markets. Newgate reduced allocations to Materials companies, resulting in less exposure to Brazil and China. The portfolio continues to hold Materials, but with greater concentration in gold stocks and less reliance on copper and coal stocks that are highly correlated with the global economy. Newgate’s allocation to Chinese companies was the largest detractor from benchmark-relative performance. Newgate believes that the market has overreacted to an economic slowdown that was thoroughly telegraphed by the government, and also believes that the government has the policy tools necessary to prevent further economic deterioration. Newgate ended the new fiscal year with an overallocation to India and Korea and a reduced, though still overweight, allocation to Chinese equities.

The following graph depicts the performance of Emerging Markets Equity Investments vs. the MSCI Emerging Markets Index⁶ and the Lipper Emerging Markets Funds Average.¹⁶

The portion of the Fund managed by Lazard outperformed the Fund’s benchmark for the year ended August 31, 2012. Equities in the developing world were buffeted by investor concerns over a European sovereign debt default. This ultimately resulted in relatively little change in the markets. The benchmark declined by approximately -5.5%, in U.S. dollar terms, with Asian stocks performing considerably better than either eastern European equities or Latin American shares. Latin American markets diverged dramatically with Brazilian shares selling off heavily due to risk aversion. Mexican and Colombian equities finished higher during the period, aided by decent earnings. The Consumer Staples, Health Care, Information Technology, and Telecom Services sectors performed relatively well. The Materials, Energy, and Industrials sectors underperformed the benchmark. Stock selection in the Telecom Services and Consumer Staples sectors, as well as in Brazil, Russia, and South Africa, benefited performance. A higher-than-benchmark exposure to Turkey also helped performance. On the other hand, exposure to Argentina (which is not a constituent country of the benchmark) hurt performance.

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

EMERGING MARKETS EQUITY INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (4/20/1994)		5.26	%		3.62	%
10 year		13.26			11.44
5 year		-1.97			-3.66
3 year		5.83			3.83
1 year		-6.52			-8.37

See pages 26 through 27 for all footnotes.

Core Fixed Income Investments

ABOUTTHE SUBADVISERS

•

BlackRock Financial Management, Inc. (“BlackRock”)

BlackRock employs a relative value approach which entails portfolio duration within a narrow range and value added through sector and sub-sector rotation within the corporate and mortgage sectors. BlackRock evaluates securities within a risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of securities.

•

Pacific Investment Management Company, LLC (“PIMCO”)

PIMCO employs “top-down” and “bottom-up” investment techniques. It implements the following “top-down” strategies: duration and volatility analysis, sector evaluation and yield curve shape analysis. PIMCO also employs the following “bottom-up” strategies: credit analysis, quantitative research, issue selection and cost-effective trading.

•

Western Asset Management Company (“Western Asset”)

Western Asset emphasizes three key strategies to enhance total return: (i) adjusting the allocation among the key sectors of the fixed-income market depending on its forecast of relative values; (ii) tracking the duration of the overall portfolio so that it falls within a narrow band relative to the benchmark index, with adjustment made to reflect its long-term outlook for interest rates; and (iii) purchasing undervalued securities in each of the key sectors of the bond market while keeping overall quality high.

•

Metropolitan West Asset Management, LLC (“MetWest”)

MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including (i) duration management, (ii) yield curve positioning, (iii) sector allocation, (iv) security selection, and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for CGCM Core Fixed Income Investments (“Fund”) were BlackRock Financial Management Inc. (“BlackRock”), Pacific Investment Management Company LLC (“PIMCO”), Western Asset Management Company (“Western Asset”) and Metropolitan West Asset Management LLC (“MetWest”).

The portion of the Fund managed by BlackRock outperformed the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2012. The largest contributor to performance for the year was corporate security selection as BlackRock’s bias to own higher-beta credit benefited as investors continued to reach for yield. In addition, an overweight to CMBS benefitted returns as the sector experienced strong performance. Also contributing to returns during the year was the portfolio’s duration and yield curve positioning. In October, the portfolio was long duration, which contributed to performance as markets rallied following the settlement of the debt ceiling crisis. In April, however, the portfolio’s short duration position impaired performance as the Good Friday jobs report shocked to the downside and caused yields to plummet. Additionally, the portfolio benefitted from yield curve flattening positions during 2011, and successfully trading the yield curve tactically throughout the rest of the period. Partially offsetting this positive performance was the portfolio’s corporate underweight during the beginning of 2012, as the unseasonably warm weather helped to artificially boost the economy, thus benefiting the credit sector. Also detracting from performance was the portfolio’s supranational/foreign agency allocation. The portfolio has and continues to position itself well given slow growth in the U.S. and significant tail risks in Europe.

The portion of the Fund managed by PIMCO outperformed the Fund’s benchmark index for the year ended August 31, 2012. The portfolio’s underweight to U.S. duration detracted from performance, as Treasury yields fell due to uncertainty over stability of the Eurozone. This was partially mitigated by exposure to duration in Australia, as yields also fell in this market, especially in the latter half of the fiscal year. An underweight to investment grade credit detracted from returns, as the sector outperformed Treasury securities of similar duration; however, this effect was more than offset by a focus on the bonds of financial companies, which outperformed the broader investment grade corporate sector. Overall positioning of Agency mortgage-backed securities (“MBS”), especially an underweight during the second half of the year, was negative for performance as these securities outperformed like-duration Treasuries; however, within Agency MBS, active relative value positioning among Fannie Mae, Freddie Mac, and Ginnie Mae securities helped to mitigate this impact. Additionally, out-of-index allocations to select non-Agency mortgages and emerging market debt also added to returns given continued investor demand. PIMCO expects muted real global growth amid increasingly ineffective short-term solutions from policymakers as well as worsening data out of the U.S. and other developed and emerging economies. Going forward, PIMCO will continue to retain broad defensive risk positioning while focusing on yield derived from high-quality sources.

The portion of the Fund managed by Western Asset outperformed the Fund’s benchmark for the year ended August 31, 2012. Western Asset managed the Fund’s portfolio using its fundamental, value-oriented investment philosophy. The portfolio’s exposure to non-agency mortgage-backed securities significantly contributed to returns over the twelve months as coupon payments and principal paydowns remained steady and risk markets recovered from the lows of the fourth quarter of 2011. The high yield and investment grade credit sectors were also meaningful contributors to performance, as Western Asset added to exposure when spreads became more attractive toward the end of 2011. Western Asset’s overweight to agency mortgage-backed securities added to performance as the sector outperformed over the twelve month period. Given the outperformance of the mortgage sectors, Western Asset has moved the portfolio’s positioning back to equal-weight for agency mortgage-backed securities and cut down exposure to non-agency mortgage-backed securities. During the reporting period, Western Asset utilized U.S. Treasury futures and options as well as Eurodollar futures to manage the Fund’s duration and to maintain a particular exposure to the yield curve. Similarly the Fund employed Euro-Bobl futures to manage exposure to the German yield curve. Western Asset maintained a tactical, largely underweight duration position and employed a yield curve flattening strategy during the year. Both the tactical duration positioning and curve flattening strategy added to performance as the curve ended the period flatter.

The portion of the Fund managed by MetWest outperformed the Fund’s benchmark for the year ended August 31, 2012. Outperformance in MetWest’s portfolio most significantly resulted from its bottom-up strategies of sector allocation and security selection. The portfolio remained underweight to U.S. Treasury securities throughout the year, in favor of spread sectors within the fixed income market, which benefitted performance as all non-government sectors outperformed U.S. Treasuries on a duration-adjusted basis. Corporate security selection was additive, particularly the allocation to financials, which benefitted from solid investor sponsorship on improving fundamentals and limited new issuance. Balance sheets are generally in better condition as both banks and industrial credits have continued to reduce leverage. Among mortgages, the allocation to both Agency MBS and non-Agency MBS contributed to performance throughout the year, as both benefitted from robust investor demand and restrained new supply. Non-Agency MBS were among the best performers as these highly supportive technicals combined with improving roll rates, increased credit burnout, and a shorter foreclosure pipeline. The allocation to Agency MBS continued to emphasize specified pools with low loan balances and seasoned collateral, while non-Agency MBS focus remains on top of the capital structure, low dollar priced assets, backed by alt-a and subprime collateral. Commercial MBS holdings also contributed to returns, as the sector was a top performer in the fixed income market over the past 12 months. Duration positioning remained shorter than the benchmark, resulting in a drag on performance as rates fell across the curve.

The following graph depicts the performance of Core Fixed Income Investments vs. the Barclays Capital U.S. Aggregate Bond^TM Index⁷ and the Lipper Intermediate Investment Grade Debt Funds Average.¹⁷

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

CORE FIXED INCOME INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		6.19	%		4.54	%
10 year		5.92			4.22
5 year		7.77			5.92
3 year		8.07			6.04
1 year		7.58			5.45

See pages 26 through 27 for all footnotes.

High Yield Investments

ABOUTTHE SUBADVISERS

•

PENN Capital Management Co., Inc. (“PENN Capital”)

PENN Capital’s initial universe is well-defined and includes all domestic, corporate cash paying dollar denominated bond issues that have spread-to-treasury and yield characteristics that are consistent with or wider than the single-B credit tier. PENN Capital’s investment team determines sectors/industries that may offer relative value based on its macro-economic outlook. The team will review and evaluate the economic cycle, business environment, industry/sector analysis and interest rates. PENN Capital then scans this group for companies with spreads to treasury that are wider than comparable companies, industry averages and historical averages. The team analyzes the liquidity outlook of the company through qualitative research, including bank loan facility analysis, covenant review analysis and asset value analysis. After the high yield bond universe has been narrowed and potential relative value is identified, the team performs its qualitative research to confirm or justify the credit’s value. The team determines whether or not the credit is suitable for the portfolio given its impact on PENN Capital’s current industry weightings and the diversification it brings to the basket of credits currently held within an industry.

•

Western Asset Management Company (“Western Asset”)

Western Asset combines traditional analysis with innovative technology applied to all sectors of the market. Western Asset believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are (i) sector and sub-sector allocation; (ii) issue selection; (iii) duration; and (iv) term structure.

For the period of September 1, 2011, through August 31, 2012, the Sub-advisers for CGCM High Yield Investments (“Fund”) were PENN Capital Management Co., Inc. (“PENN Capital”) and Western Asset Management. Company (“Western Asset”) .

The portion of the Fund managed by PENN Capital benefited from credits impacted by positive credit technicals, M&A and special situations throughout the year. The proprietary PENN Risk Rating continued to find the most attractive relative value in B and CC rated credits with special situations; which continued as a trend over the course of the trailing 12 months. After outperforming the Fund’s benchmark, the Barclays Capital U.S. High Yield Index, through the summer of 2011 by minimizing exposure to the lowest quality bonds the strategy trailed the broader market beta rally in October of last year. Despite the underperformance, the strategy was able to take advantage of PENN Capital’s proprietary research process to find individual opportunities through the beta rally. This allowed PENN Capital to trade more on fundamentals minimizing the impact of the daily routine of “risk-on, risk-off” that pulled the market down in the second quarter of 2012. Looking ahead in the context of geopolitical uncertainty, the high yield bond market has remained an asset class whose returns best reflect actual fundamentals of U.S. based companies. PENN Capital expects this backdrop to further support this scenario for High Yield through central bank policy and an economy growing not too soft as to raise the risk of recession and not too fast to allow interest rates to rise. Finally, PENN Capital expects a relatively low default risk to the market; which will continue to create a positive setting for the market.

The portion of the Fund managed by Western Asset outperformed the Fund’s benchmark for the year ended August 31, 2012. The portfolio exhibited strong performance for the year and edged out the performance of its benchmark. Exposure to specific securities boosted relative returns. Due to solid balance sheet management and fundamental improvements, these companies benefited more than other companies during the market rally over the last year. However, not all overweights generated excess returns. Western Asset’s ratings biases also added to outperformance. The strategy maintained an overweight exposure to lower rated CCC bonds and an underweight to BB-rated bonds. Western Asset’s view that lower-rated bonds offered outsized returns given a market outlook for strong fundamentals and low default rates paid off, as lower-quality CCC issues outperformed higher-rated BB issues. Sector positioning was a net detractor. A focus on Energy and Transportation issuers was not rewarded, as these sectors lagged the performance of the overall market. Additionally, the portfolio remained underweight to the outperforming Financials and Technology sectors, which ultimately took away from relative returns.The High Yield market continued to deliver sizeable returns in a “Goldilocks”- like scenario for the asset class.

The following graph depicts the performance of High Yield Investments vs. the Barclays Capital U.S. High Yield Index⁸ and the Lipper High Current Yield Funds Average.¹⁸

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

HIGH YIELD INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2010†


	Without TRAK Fee			With TRAK Fee*
Since inception (7/13/1998)		4.60	%		2.96	%
10 year		8.50			6.76
5 year		8.08			6.23
3 year		13.55			11.42
1 year		11.57			9.37

See pages 26 through 27 for all footnotes.

International Fixed Income Investments

ABOUTTHE SUBADVISERS

•

Pacific Investment Management Company LLC (“PIMCO”)

PIMCO’s total return approach focuses on both capital appreciation and income while managing overall risk. PIMCO employs a core philosophy toward managing global bonds focusing on both economic and credit fundamentals as key determinants of value in fixed income markets, limiting volatility with respect to the benchmark index.

For the period of September 1, 2011, through August 31, 2012, the Sub-adviser for CGCM International Fixed Income Investments (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).

The Fund outperformed its benchmark, the Citigroup Global Markets Non-U.S. Dollar (“USD”) World Government Bond Index (“WGBI”) (USD) Hedged, for the year ended August 31, 2012. The portfolio’s overweight to duration in Australia was a positive contributor to returns as yields in this market fell amid the global slowdown. In Japan, where yields also fell, an underweight to duration negatively impacted performance. U.S. duration positioning during this period of declining rates contributed to performance, while tactical duration positioning in core Europe was in aggregate negative for returns. Off-benchmark allocations to high-quality sectors, such as Agency mortgage-backed securities (“MBS”) and investment grade credit, benefited performance as these securities outperformed government bonds. Modest allocations to non-Agency and Commercial MBS also contributed to returns as investors sought high-quality sources of income. Lastly, a decreasing out-of-index exposure to emerging market debt also contributed to performance as the returns of securities of select emerging market economies were supported by economic fundamentals which remained healthier than those of developed nations, despite increasing vulnerability to a global slowdown. PIMCO expects muted real global growth amid increasingly ineffective short-term solutions from policymakers as well as worsening data out of the U.S. and other developed and emerging economies. Going forward, PIMCO will continue to retain broad defensive risk positioning while focusing on yield derived from high-quality sources.

The following graph depicts the performance of International Fixed Income Investments vs. the Citigroup Global Markets Non-USD WGBI (USD)– Hedged,⁹ the Citigroup Global Markets Non-USD WGBI (USD)–Unhedged⁹ and Lipper International Income Funds Average.¹⁹

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

INTERNATIONAL FIXED INCOME INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		6.46	%		4.81	%
10 year		6.63			4.92
5 year		7.06			5.21
3 year		7.3			5.28
1 year		7.53			5.4

See pages 26 through 27 for all footnotes.

Municipal Bond Investments

ABOUTTHE SUBADVISERS

•

McDonnell Investment Management, LLC (“McDonnell”)

McDonnell employs a value-added approach to active municipal bond management utilizing a team oriented philosophy. This approach attempts to maximize after-tax total returns while reducing the volatility in relative rates of return. By limiting dependence on market timing and tightly controlling duration, McDonnell reduces the portfolio’s exposure to interest rate risk relative to the benchmark. McDonnell utilizes extensive internal research to identify relative value opportunities among sectors and securities and to control credit risk. Additionally, McDonnell seeks to exploit yield curve anomalies through quantitative analysis of historical spreads and future expectations.

For the period of September 1, 2011, through August 31, 2012, the Sub-adviser for CGCM Municipal Bond Investments (“Fund”) was McDonnell Investment Management, LLC (“McDonnell”).

Municipal gains were solid, as credit spreads tightened and the yield curve flattened allowing longer, lower-quality securities to post the highest returns for the year. The municipal market experienced a sharp increase in new issue supply versus last year’s paltry pace. Supply was easily absorbed as strong demand from banks and retail mutual fund investors provided ample cash available for investment. That being said, credit vigilance remains critical as fiscal challenges facing issuers continue to be formidable. Given the prolonged economic downturn, weaker municipalities will struggle as reduced revenue from taxes as well as decreased State aid put pressure on local budgets.

The Fund, managed by McDonnell, underperformed the Fund’s benchmark, the Barclays Capital U.S. Municipal Bond Index, for the year primarily due to continued spread compression and yield curve positioning while security selection and modestly long duration enhanced performance. The Fund has higher overall credit quality than the benchmark with an underweight in the A and BBB rated buckets, and is overweight in the 10-year portion of the curve, which produced appreciably lower returns than the 15-30 year range. The anticipated spread widening and higher long-term yields failed to materialize this year; nevertheless, McDonnell believes when the economy shows consistent signs of improvement this most likely will occur. To enhance yield, McDonnell continues to focus on security selection in long-dated bonds in the Higher Education, Hospital, Public Power, and Airport sectors. As a result of McDonnell’s credit concerns, it has avoided some of the larger issuers, such as Illinois and Puerto Rico, which significantly contributed to benchmark performance this year. McDonnell’s core sector holdings continue to include Local Governments, Water & Sewer, and Sales and Income Tax-backed bonds. McDonnell continues to favor a bulleted posture consistent with the respective index duration and seeks to reduce exposure to weaker credits as spread compression has eliminated a significant yield advantage.

The following graph depicts the performance of Municipal Bond Investments vs. the Barclays Capital U.S. Municipal Bond Index¹⁰ and the Lipper General Municipal Debt Funds Average.²⁰

LOGO

The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

MUNICIPAL BOND INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		5.31	%		3.68	%
10 year		4.55			2.87
5 year		5.55			3.74
3 year		6.12			4.12
1 year		7.23			5.11

See pages 26 through 27 for all footnotes.

Money Market Investments

ABOUTTHE SUBADVISERS

•

The Dreyfus Corporation (“Dreyfus”)

Dreyfus seeks to improve the Fund’s yield through actively managing sector allocations and the average maturity of the Fund. Dreyfus monitors the spread relationships between U.S. Treasury and government agency issues, and purchases agencies when they provide a yield advantage. In addition, Dreyfus will change the maturity structure modestly to reflect its outlook on interest rates.

For the period of September 1, 2011, through August 31, 2012, the Sub-adviser for CGCM Money Market Investments (“Fund”) was The Dreyfus Corporation (“Dreyfus”).

The Fund, managed by Dreyfus, maintained its focus on the primary goal of providing liquidity. The Fund was affected by the same post-crisis factors as in the prior year, namely historically low rates combined with generally improving credit markets. On the monetary policy front, the past year has been marked by a continuation of post-crisis monetary easing to support a still-disappointing recovery. To that effect, the Federal Open Market Committee has committed to keeping rates low until at least 2014, and has replaced outright securities purchases with sterilized asset purchases dubbed “Operation Twist” in a bid to lower mortgage rates. This has resulted in lower rates across the curve, and contributed to keeping short-end rates range-bound. Beyond the traditional effect of monetary policy on money market rates, new drivers have appeared post-crisis. First, ongoing implementation of the Dodd-Frank Wall Street Reform and Consumer Protection Act and Basel III encourage financial institutions to reduce leverage and wholesale funding, contributing to a scarcity of available investments for money market investors. Second, the ongoing European sovereign crisis added to the challenges, which the industry and the Fund have navigated seamlessly to date. Finally, political developments will undoubtedly generate volatility in the months ahead with the approaching budget vote, presidential election and fiscal cliff.

MONEY MARKET INVESTMENTS (unaudited)

Average Annual Total Returns for the Period Ended August 31, 2012†


	Without TRAK Fee			With TRAK Fee*
Since inception (11/18/1991)		2.99	%		1.39	%
10 year		1.67			0.03
5 year		0.89			-0.87
3 year		0.29			-1.6
1 year		0.02			-1.96

Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/or expense reimbursements, the total return would have been lower.

The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

RISKS: An investment in a money market fund is neither insured nor guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the value of your investment at one dollar per share, it is possible to lose money by investing in the Fund.

See pages 26 through 27 for all footnotes.

FOOTNOTES

†

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at https://www.smithbarney.com/products- services/managed- money/trak/trak-cgcm.html.

*	The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which in the case of TRAK^® may be up to 2.00%. The performance data shown does not reflect this fee, which would reduce returns.

**	Consulting Group Advisory Services, LLC (“CGAS”), a business of Morgan Stanley Smith Barney Holdings LLC (‘MSSBH”), voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield.

The Russell 1000^® Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Russell 1000^® Value Index measures the performance of those Russell 1000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Russell 2000^® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Russell 2000^® Value Index measures the performance of those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The MSCI EAFE^® Index is a composite portfolio of equity total returns for the countries of Australia, New Zealand and countries in Europe and the Far East, weighted based on each country’s market capitalization. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The MSCI Emerging Markets Index is an index comprised of twenty-five emerging markets open to direct foreign participation. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Barclays Capital U.S. Aggregate Bond^TM Index is composed of the Barclays Capital Intermediate Government/Credit Bond Index and the Barclays Capital Mortgage-Backed Securities Index and includes treasury issues, agency issues, corporate bond issues and mortgage-backed securities. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Barclays Capital U.S. High Yield Index is composed of fixed rate, publicly issued, non-investment grade debt registered with the SEC. All bonds must be dollar-denominated, non-convertible, and have at least one year remaining to maturity as well as an outstanding par value of $100 million. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

The Citigroup Non-USD World Government Bond Index Hedged and Unhedged are each subsets of the Citigroup World Bond Index, which excludes Corporate bonds denominated in US dollars. It contains foreign government and supranational bonds denominated in Australian, Austrian, Belgian, British, Canadian, Danish, Dutch, French, German, Italian, Japanese, Spanish and Swedish currencies. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

10.

The Barclays Capital U.S. Municipal Bond Index is a weighted composite that is comprised of more than 15,000 bonds issued within the last five years, having a minimum credit rating of at least Baa and maturity of at least two years, excluding all bonds subject to the Alternative Minimum Tax and bonds with floating or zero coupons. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index.

11.	The Lipper Large-Cap Growth Funds Average is comprised of the Fund’s peer group of mutual funds investing in growth oriented funds. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

12.	The Lipper Large-Cap Value Funds Average is comprised of the Fund’s peer group of mutual funds investing in value oriented funds. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

13.

The Lipper Small-Cap Growth Funds Average is comprised of the Fund’s peer group of mutual funds which limit their investments to small cap growth companies. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

14.

The Lipper Small-Cap Value Funds Average is comprised of the Fund’s peer group of mutual funds which limit their investments to small cap value companies. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

15.	The Lipper International Large-Cap Core Average includes the 30 largest large-cap core funds tracked by Lipper Inc. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

16.

The Lipper Emerging Markets Funds Average is an equally weighted average of the funds that seek long-term capital appreciation by investing at least 65% of total assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

17.

Lipper Intermediate Investment Grade Debt Funds Average is an average of the total returns reported by all of the mutual funds designated by Lipper Analytical Services, Inc. as falling into the category, and is not adjusted to reflect any sales charges. However, these total returns are reported net of expenses or other fees that the SEC requires to be reflected in a fund’s performance. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

18.

Lipper High Current Yield Bond Average, an unmanaged index published by Lipper Inc., includes the 30 largest funds that are generally similar to the Fund, although some funds in the index may have somewhat different investment policies or objectives. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

19.

The Lipper International Income Funds Average is an equally weighted average of the funds that invest primarily in US dollar and non-US dollar debt securities of issuers located in at least three countries, excluding the United States. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

20.

The Lipper General Municipal Debt Funds Average is an average of funds that invest at least 65% of their assets in municipal debt issues in the top four credit ratings. The total return of the Lipper Average does not include the effect of sales charges. Please note that an investor cannot invest directly in an index.

Fund Expenses

(unaudited)

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which in the case of TRAK^® may be up to 2.00%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on March 1, 2012, and held for the six months ended August 31, 2012.

Actual Expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, 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 under the heading entitled “Expenses Paid During the Period”.

Based on Actual Total Return⁽¹⁾


Fund	Total Return Without TRAK Fee⁽²⁾			Beginning Account Value		Ending Account Value		Annualized Expense Ratios⁽³⁾			Expense Paid During the Period⁽⁴⁾
Large Capitalization Growth Investments		1.93	%	$	1,000.00	$	1,019.30		0.69	%	$	3.50
Large Capitalization Value Equity Investments		0.75	%		1,000.00		1,007.50		0.70	%		3.53
Small Capitalization Growth Investments		-2.65	%		1,000.00		973.50		0.98	%		4.86
Small Capitalization Value Investments		0.08	%		1,000.00		1,000.80		1.00	%		5.03
International Equity Investments		-4.96	%		1,000.00		950.40		0.88	%		4.31
Emerging Markets Equity Investments		-9.96	%		1,000.00		900.40		0.94	%		4.49
Core Fixed Income Investments		4.40	%		1,000.00		1,044.00		0.53	%		2.72
High Yield Investments		4.37	%		1,000.00		1,043.70		0.79	%		4.06
International Fixed Income Investments		4.14	%		1,000.00		1,041.40		0.64	%		3.28
Municipal Bond Investments		2.06	%		1,000.00		1,020.60		0.58	%		2.95
Money Market Investments		0.01	%⁽⁵⁾		1,000.00		1,000.10		0.23	%		1.16

(1)	For the six months ended August 31, 2012.

(2)

Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which in the case of TRAK^® may be up to 2.00%. Total return is not annualized as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower.

(3)	Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from expense ratios in the Financial Highlights.

(4)	Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

(5)	CGAS, a business of MSSBH, voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield.

Fund Expenses

(unaudited) (continued)

Hypothetical Example for Comparison Purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.

Based on Hypothetical Total Return⁽¹⁾


Fund	Hypothetical Annualized Total Return			Beginning Account Value		Ending Account Value		Annualized Expense Ratios⁽²⁾			Expense Paid During the Period⁽³⁾
Large Capitalization Growth Investments		5.00	%	$	1,000.00	$	1,021.67		0.69	%		3.51
Large Capitalization Value Equity Investments		5.00	%		1,000.00	$	1,021.62		0.70	%		3.56
Small Capitalization Growth Investments		5.00	%		1,000.00	$	1,020.21		0.98	%		4.98
Small Capitalization Value Equity Investments		5.00	%		1,000.00	$	1,020.11		1.00	%		5.08
International Equity Investments		5.00	%		1,000.00	$	1,020.71		0.88	%		4.47
Emerging Markets Equity Investments		5.00	%		1,000.00	$	1,020.41		0.94	%		4.77
Core Fixed Income Investments		5.00	%		1,000.00	$	1,022.47		0.53	%		2.69
High Yield Investments		5.00	%		1,000.00	$	1,021.17		0.79	%		4.01
International Fixed Income Investments		5.00	%		1,000.00	$	1,021.92		0.64	%		3.25
Municipal Bond Investments		5.00	%		1,000.00	$	1,022.22		0.58	%		2.95
Money Market Investments		5.00	%		1,000.00	$	1,023.98		0.23	%		1.17

(1)	For the six months ended August 31, 2012.

(2)	Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from the expense ratios in the Financial Highlights.

(3)	Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

Schedules of Investments

August 31, 2012

Large Capitalization Growth Investments


Shares		Security	Value
	COMMON STOCKS — 96.6%
	CONSUMER DISCRETIONARY — 14.7%
	Automobiles — 0.1%
	41,600	Harley-Davidson Inc.	$	1,745,536

	Distributors — 0.1%
	39,700	LKQ Corp.*		1,498,278

	Diversified Consumer Services — 0.3%
	162,625	Apollo Group Inc., Class A Shares*		4,366,481

	Hotels, Restaurants & Leisure — 1.6%
	120,350	Las Vegas Sands Corp.		5,101,637
	323,961	Starbucks Corp.		16,071,705
	25,700	Starwood Hotels & Resorts Worldwide Inc.		1,416,841
	38,100	Wyndham Worldwide Corp.		1,986,534
	14,300	Yum! Brands Inc.		911,196

		Total Hotels, Restaurants & Leisure		25,487,913

	Internet & Catalog Retail — 3.5%
	61,600	Amazon.com Inc.*		15,290,968
	775,075	Liberty Interactive Corp., Class A Shares*		14,137,368
	42,525	priceline.com Inc.*		25,709,339

		Total Internet & Catalog Retail		55,137,675

	Media — 2.5%
	185,800	CBS Corp., Class B Shares		6,751,972
	378,550	Comcast Corp., Class A Shares		12,692,781
	31,900	Discovery Communications Inc., Class A Shares*		1,749,396
	57,000	Imax Corp.*(a)		1,151,970
	172,860	Viacom Inc., Class B Shares		8,644,729
	173,290	Walt Disney Co. (The)		8,572,656

		Total Media		39,563,504

	Multiline Retail — 1.0%
	249,000	Dollar General Corp.*		12,716,430
	50,100	Dollar Tree Inc.*		2,413,317
	14,400	Family Dollar Stores Inc.		916,416

		Total Multiline Retail		16,046,163

	Specialty Retail — 3.8%
	43,000	Bed Bath & Beyond Inc.*		2,888,310
	79,300	Chico’s FAS Inc.		1,501,942
	29,700	Dick’s Sporting Goods Inc.		1,477,872
	267,290	Home Depot Inc. (The)		15,168,709
	189,000	Limited Brands Inc.		9,185,400
	312,330	Lowe’s Cos., Inc.		8,895,158
	20,500	O’Reilly Automotive Inc.*		1,741,475
	684,900	Staples Inc.		7,479,108
	187,300	TJX Cos. Inc.		8,576,467
	21,800	Urban Outfitters Inc.*		818,372

		Total Specialty Retail		57,732,813

	Textiles, Apparel & Luxury Goods — 1.8%
	93,963	Lululemon Athletica Inc.*(a)		6,125,448
	194,156	NIKE Inc., Class B Shares		18,903,028
	31,800	Steven Madden Ltd.*		1,364,856
	11,200	V.F. Corp.		1,710,016

		Total Textiles, Apparel & Luxury Goods		28,103,348

		TOTAL CONSUMER DISCRETIONARY		229,681,711

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments


Shares		Security	Value
	CONSUMER STAPLES — 5.0%
	Beverages — 0.6%
	20,865	Brown-Forman Corp., Class B Shares	$	1,337,447
	140,400	Monster Beverage Corp.*		8,273,772

		Total Beverages		9,611,219

	Food & Staples Retailing — 1.9%
	12,800	Casey’s General Stores Inc.		723,840
	391,375	Walgreen Co.		13,995,570
	147,870	Whole Foods Market Inc.		14,306,423

		Total Food & Staples Retailing		29,025,833

	Food Products — 2.5%
	259,256	Hershey Co. (The)		18,619,766
	479,195	Kraft Foods Inc., Class A Shares		19,900,967
	21,900	Mead Johnson Nutrition Co., Class A Shares		1,605,927

		Total Food Products		40,126,660

		TOTAL CONSUMER STAPLES		78,763,712

	ENERGY — 8.0%
	Energy Equipment & Services — 1.9%
	15,400	Cameron International Corp.*		842,534
	74,300	Ensco PLC, Class A Shares		4,262,591
	407,350	Halliburton Co.		13,344,786
	83,000	McDermott International Inc.*		924,620
	125,010	National-Oilwell Varco Inc.		9,850,788

		Total Energy Equipment & Services		29,225,319

	Oil, Gas & Consumable Fuels — 6.1%
	23,200	Cabot Oil & Gas Corp.		960,712
	22,600	Concho Resources Inc.*		2,028,124
	26,900	Continental Resources Inc.*		1,992,214
	216,400	EOG Resources Inc.		23,436,120
	30,000	InterOil Corp.*(a)		2,386,200
	513,478	Kinder Morgan Inc.		18,367,108
	172,700	Kodiak Oil & Gas Corp., Class afo aft Shares*		1,543,938
	85,460	Occidental Petroleum Corp.		7,264,955
	75,800	Pioneer Natural Resources Co.		7,379,888
	263,900	Suncor Energy Inc.		8,254,792
	450,640	Valero Energy Corp.		14,087,006
	268,600	Williams Cos., Inc. (The)		8,667,722

		Total Oil, Gas & Consumable Fuels		96,368,779

		TOTAL ENERGY		125,594,098

	FINANCIALS — 4.7%
	Capital Markets — 0.9%
	80,900	Jefferies Group Inc.		1,188,421
	81,000	Raymond James Financial Inc.		2,851,200
	205,380	State Street Corp.		8,543,808
	34,000	T. Rowe Price Group Inc.		2,088,960

		Total Capital Markets		14,672,389

	Diversified Financial Services — 2.5%
	177,200	CME Group Inc., Class A Shares		9,728,280
	124,450	IntercontinentalExchange Inc.*		17,012,315
	303,040	JPMorgan Chase & Co.		11,254,906
	34,300	Moody’s Corp.		1,358,280

		Total Diversified Financial Services		39,353,781

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments


Shares		Security	Value
	FINANCIALS — 4.7%—(continued)
	Insurance — 1.3%
	25,300	Allied World Assurance Co. Holdings AG	$	1,986,809
	46,100	Arthur J. Gallagher & Co.		1,646,692
	100,100	Fidelity National Financial Inc., Class A Shares		1,885,884
	728,500	Progressive Corp. (The)		14,227,605

		Total Insurance		19,746,990

		TOTAL FINANCIALS		73,773,160

	HEALTH CARE — 13.0%
	Biotechnology — 3.5%
	74,414	Alexion Pharmaceuticals Inc.*		7,977,925
	293,957	Celgene Corp.*		21,176,662
	188,600	Gilead Sciences Inc.*		10,880,334
	43,300	Myriad Genetics Inc.*		1,082,067
	9,800	Onyx Pharmaceuticals Inc.*		704,816
	29,400	Seattle Genetics Inc.*(a)		780,276
	212,912	Vertex Pharmaceuticals Inc.*		11,354,597

		Total Biotechnology		53,956,677

	Health Care Equipment & Supplies — 1.2%
	134,730	Cooper Cos., Inc. (The)		11,297,111
	11,100	Edwards Lifesciences Corp.*		1,133,421
	14,200	Intuitive Surgical Inc.*		6,983,418

		Total Health Care Equipment & Supplies		19,413,950

	Health Care Providers & Services — 1.4%
	266,849	Cardinal Health Inc.		10,553,878
	20,676	Catamaran Corp.*		1,801,913
	23,400	Centene Corp.*		950,274
	13,300	DaVita Inc.*		1,293,691
	21,700	Mednax Inc.*		1,503,376
	112,600	UnitedHealth Group Inc.		6,114,180

		Total Health Care Providers & Services		22,217,312

	Health Care Technology — 0.0%
	10,200	Cerner Corp.*		746,028

	Life Sciences Tools & Services — 0.8%
	218,200	Thermo Fisher Scientific Inc.		12,513,770

	Pharmaceuticals — 6.1%
	192,000	Abbott Laboratories		12,583,680
	309,850	Allergan Inc.		26,687,380
	317,860	Merck & Co., Inc.		13,683,873
	108,550	Novo Nordisk, ADR		17,054,291
	92,968	Perrigo Co.		10,223,691
	7,300	Shire PLC, ADR		660,942
	435,113	Warner Chilcott PLC, Class A Shares		5,926,239
	89,670	Watson Pharmaceuticals Inc.*		7,294,655

		Total Pharmaceuticals		94,114,751

		TOTAL HEALTH CARE		202,962,488

	INDUSTRIALS — 9.3%
	Aerospace & Defense — 2.1%
	58,900	BE Aerospace Inc.*		2,371,314
	127,693	Precision Castparts Corp.		20,568,788
	131,660	United Technologies Corp.		10,513,051

		Total Aerospace & Defense		33,453,153

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments


Shares		Security	Value
	INDUSTRIALS — 9.3%—(continued)
	Air Freight & Logistics — 0.0%
	47,800	UTi Worldwide Inc.	$	656,294

	Airlines — 0.2%
	25,300	Alaska Air Group Inc.*		848,815
	87,400	United Continental Holdings Inc.*		1,612,530

		Total Airlines		2,461,345

	Commercial Services & Supplies — 0.1%
	58,100	Waste Connections Inc.		1,681,995

	Construction & Engineering — 0.2%
	108,300	Quanta Services Inc.*		2,599,200

	Electrical Equipment — 0.1%
	50,675	AMETEK Inc.		1,738,659

	Industrial Conglomerates — 3.0%
	452,320	Danaher Corp.		24,230,783
	406,510	General Electric Co.		8,418,822
	266,430	Tyco International Ltd.		15,021,324

		Total Industrial Conglomerates		47,670,929

	Machinery — 1.8%
	79,225	Caterpillar Inc.		6,760,269
	57,275	Cummins Inc.		5,561,975
	26,333	Eaton Corp.(a)		1,177,612
	24,200	Pall Corp.		1,343,342
	191,565	Stanley Black & Decker Inc.		12,601,146

		Total Machinery		27,444,344

	Professional Services — 0.1%
	27,800	Verisk Analytics Inc., Class A Shares*		1,348,856

	Road & Rail — 1.1%
	499,200	Hertz Global Holdings Inc.*		7,078,656
	87,097	Union Pacific Corp.		10,577,060

		Total Road & Rail		17,655,716

	Trading Companies & Distributors — 0.6%
	55,500	MRC Global Inc.*		1,222,665
	13,200	MSC Industrial Direct Co., Inc., Class A Shares		914,760
	34,600	WESCO International Inc.*		1,999,188
	22,315	WW Grainger Inc.		4,595,997

		Total Trading Companies & Distributors		8,732,610

		TOTAL INDUSTRIALS		145,443,101

	INFORMATION TECHNOLOGY — 34.9%
	Communications Equipment — 3.8%
	355,990	Cisco Systems Inc.		6,792,289
	45,332	F5 Networks Inc.*		4,419,417
	466,081	Polycom Inc.*		4,856,564
	719,325	QUALCOMM Inc.		44,209,714

		Total Communications Equipment		60,277,984

	Computers & Peripherals — 9.1%
	200,289	Apple Inc.		133,240,254
	303,040	EMC Corp.*		7,966,922
	24,200	NetApp Inc.*		835,384

		Total Computers & Peripherals		142,042,560

	Electronic Equipment, Instruments & Components — 0.1%
	66,600	Jabil Circuit Inc.		1,517,148

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments


Shares		Security	Value
	INFORMATION TECHNOLOGY — 34.9%—(continued)
	Internet Software & Services — 5.5%
	31,200	Akamai Technologies Inc.*	$	1,170,312
	33,660	Baidu Inc., ADR*		3,751,070
	321,200	eBay Inc.*		15,247,364
	76,065	Google Inc., Class A Shares*		52,111,371
	299,450	VeriSign Inc.*		14,277,776

		Total Internet Software & Services		86,557,893

	IT Services — 8.1%
	24,700	Alliance Data Systems Corp.*		3,399,955
	243,325	Cognizant Technology Solutions Corp., Class A Shares*		15,640,931
	42,600	Gartner Inc.*		2,104,014
	40,000	Jack Henry & Associates Inc.		1,478,400
	70,375	MasterCard Inc., Class A Shares		29,761,588
	34,600	NeuStar Inc., Class A Shares*		1,299,922
	298,875	Teradata Corp.*		22,828,073
	105,000	Total System Services Inc.		2,433,900
	25,000	VeriFone Systems Inc.*		868,500
	352,955	Visa Inc., Class A Shares	��	45,266,478
	17,500	Wright Express Corp.*		1,152,200

		Total IT Services		126,233,961

	Semiconductors & Semiconductor Equipment — 1.3%
	31,500	Altera Corp.		1,175,895
	18,600	Avago Technologies Ltd.		680,202
	436,389	Broadcom Corp., Class A Shares*		15,504,901
	83,800	Fairchild Semiconductor International Inc., Class A Shares*		1,216,776
	30,800	Maxim Integrated Products Inc.		835,912
	69,600	Teradyne Inc.*		1,087,152

		Total Semiconductors & Semiconductor Equipment		20,500,838

	Software — 7.0%
	490,750	Adobe Systems Inc.*		15,345,753
	23,600	Autodesk Inc.*		732,780
	409,675	BMC Software Inc.*		16,960,545
	107,300	Cadence Design Systems Inc.*		1,416,360
	148,110	Check Point Software Technologies Ltd.*		6,826,390
	231,770	Citrix Systems Inc.*		18,006,211
	338,550	Intuit Inc.		19,818,717
	21,400	MICROS Systems Inc.*		1,084,124
	544,920	Microsoft Corp.		16,794,434
	385,480	Oracle Corp.		12,200,442

		Total Software		109,185,756

		TOTAL INFORMATION TECHNOLOGY		546,316,140

	MATERIALS — 4.3%
	Chemicals — 3.4%
	27,700	Celanese Corp., Series A, Class A Shares		1,059,802
	9,660	CF Industries Holdings Inc.		1,999,717
	26,400	Cytec Industries Inc.		1,807,608
	104,640	FMC Corp.		5,684,045
	220,360	Monsanto Co.		19,195,559
	86,650	PPG Industries Inc.		9,533,233
	12,760	Sherwin-Williams Co. (The)		1,825,701
	188,100	Syngenta AG, ADR		12,715,560

		Total Chemicals		53,821,225

	Containers & Packaging — 0.1%
	32,300	Crown Holdings Inc.*		1,170,875

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments


Shares		Security	Value
	MATERIALS — 4.3%—(continued)
	Metals & Mining — 0.1%
	28,800	Allegheny Technologies Inc.	$	853,632

	Paper & Forest Products — 0.7%
	330,090	International Paper Co.		11,407,910

		TOTAL MATERIALS		67,253,642

	TELECOMMUNICATION SERVICES — 2.7%
	Wireless Telecommunication Services — 2.7%
	655,775	Crown Castle International Corp.*		41,615,482

		TOTAL COMMON STOCKS (Cost — $1,096,191,386)		1,511,403,534

	WARRANTS — 0.0%
	ENERGY — 0.0%
	Oil, Gas & Consumable Fuels — 0.0%
	238,096	Kinder Morgan Inc.*		750,002

		TOTAL WARRANTS (Cost — $221,385)		750,002

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,096,412,771)		1,512,153,536


Face Amount
	SHORT-TERM INVESTMENTS (b) — 4.3%
	MONEY MARKET FUND — 0.6%
	9,755,298	Invesco STIT — Government & Agency Portfolio(c) (Cost — $9,755,298)		9,755,298

	TIME DEPOSITS — 3.3%
	37,499,597	Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		37,499,597
	1,936	BBH — Grand Cayman, 0.030% due 9/4/12		1,936
	3,842,924	HSBC Bank — Grand Cayman, 0.030% due 9/4/12		3,842,924
	10,376,335	JPMorgan Chase & Co. — London, 0.030% due 9/4/12		10,376,335

		TOTAL TIME DEPOSITS (Cost — $51,720,792)		51,720,792

	U.S. GOVERNMENT AGENCY — 0.4%
	6,415,000	Federal Home Loan Bank (FHLB) Discount Notes, 0.001% due 9/4/12(d) (Cost — $6,414,999)		6,414,999

		TOTAL SHORT-TERM INVESTMENTS (Cost — $67,891,089)		67,891,089

		TOTAL INVESTMENTS — 100.9% (Cost — $1,164,303,860#)		1,580,044,625

		Liabilities in Excess of Other Assets — (0.9)%		(14,086,882	)

		TOTAL NET ASSETS — 100.0%	$	1,565,957,743

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 3.7%.

(c)	Represents investment of collateral received from securities lending transactions.

(d)	Rate shown represents yield-to-maturity.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Growth Investments

#	Aggregate cost for federal income tax purposes is $1,186,938,345.

Abbreviations used in this schedule:

ADR — American Depositary Receipts

PLC — Public Limited Company

Summary of Investments by Security Sector*


Information Technology	34.6	%
Consumer Discretionary	14.5
Health Care	12.8
Industrials	9.2
Energy	8.0
Consumer Staples	5.0
Financials	4.7
Materials	4.3
Telecommunication Services	2.6
Short-Term Investments	4.3

	100.0	%

*	As a percentage of total investments.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	COMMON STOCKS — 95.2%
	CONSUMER DISCRETIONARY — 6.0%
	Distributors — 0.4%
	66,000	Genuine Parts Co.	$	4,168,560

	Diversified Consumer Services — 0.2%
	118,800	H&R Block Inc.		1,967,328

	Hotels, Restaurants & Leisure — 0.8%
	248,000	Carnival Corp.		8,600,640

	Household Durables — 0.4%
	16,700	Mohawk Industries Inc.*		1,203,235
	39,900	Whirlpool Corp.		3,010,854

		Total Household Durables		4,214,089

	Internet & Catalog Retail — 0.1%
	33,200	Liberty Interactive Corp., Class A Shares*		605,568

	Leisure Equipment & Products — 0.5%
	164,000	Mattel Inc.		5,762,960

	Media — 1.1%
	172,649	Comcast Corp., Class A Shares		5,788,921
	39,800	Omnicom Group Inc.		2,044,526
	90,600	Time Warner Inc.		3,764,430

		Total Media		11,597,877

	Multiline Retail — 1.0%
	66,724	Kohl’s Corp.		3,482,993
	132,800	Target Corp.		8,511,152

		Total Multiline Retail		11,994,145

	Specialty Retail — 1.0%
	169,661	Best Buy Co., Inc.		3,009,786
	749,600	Staples Inc.		8,185,632

		Total Specialty Retail		11,195,418

	Textiles, Apparel & Luxury Goods — 0.5%
	36,405	V.F. Corp.		5,558,315

		TOTAL CONSUMER DISCRETIONARY		65,664,900

	CONSUMER STAPLES — 9.7%
	Beverages — 0.7%
	46,500	Diageo PLC, ADR		5,078,730
	25,600	Molson Coors Brewing Co., Class B Shares		1,140,224
	23,300	PepsiCo Inc.		1,687,619

		Total Beverages		7,906,573

	Food & Staples Retailing — 2.3%
	283,577	CVS Caremark Corp.		12,916,932
	101,900	Kroger Co. (The)		2,270,332
	199,942	Sysco Corp.		6,058,243
	46,800	Wal-Mart Stores Inc.		3,397,680

		Total Food & Staples Retailing		24,643,187

	Food Products — 3.1%
	481,949	Archer-Daniels-Midland Co.		12,892,136
	90,000	HJ Heinz Co.		5,014,800
	121,200	Kraft Foods Inc., Class A Shares		5,033,436
	309,100	Unilever NV, NY Registered Shares		10,750,498

		Total Food Products		33,690,870

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	CONSUMER STAPLES — 9.7%—(continued)
	Household Products — 2.3%
	185,077	Kimberly-Clark Corp.	$	15,472,437
	138,900	Procter & Gamble Co.		9,332,691

		Total Household Products		24,805,128

	Tobacco — 1.3%
	162,500	Altria Group Inc.		5,518,500
	57,250	Philip Morris International Inc.		5,112,425
	76,000	Reynolds American Inc.		3,503,600

		Total Tobacco		14,134,525

		TOTAL CONSUMER STAPLES		105,180,283

	ENERGY — 15.0%
	Energy Equipment & Services — 3.1%
	98,420	Ensco PLC, Class A Shares		5,646,355
	329,000	Halliburton Co.		10,778,040
	135,600	McDermott International Inc.*		1,510,584
	108,100	National-Oilwell Varco Inc.		8,518,280
	99,500	Patterson-UTI Energy Inc.		1,511,405
	275,100	Superior Energy Services Inc.*		5,713,827

		Total Energy Equipment & Services		33,678,491

	Oil, Gas & Consumable Fuels — 11.9%
	246,928	Chevron Corp.		27,695,445
	39,900	Cimarex Energy Co.		2,282,679
	357,251	ConocoPhillips		20,288,284
	148,500	Devon Energy Corp.		8,587,755
	85,708	Exxon Mobil Corp.		7,482,308
	33,000	Hess Corp.		1,667,490
	382,456	Marathon Oil Corp.		10,639,926
	142,413	Marathon Petroleum Corp.		7,369,873
	148,530	Murphy Oil Corp.		7,624,045
	81,000	Occidental Petroleum Corp.		6,885,810
	102,700	Phillips 66		4,313,400
	45,400	Royal Dutch Shell PLC, Class A Shares, ADR		3,176,638
	186,500	Royal Dutch Shell PLC, Class B Shares, ADR		13,463,435
	65,400	Southwestern Energy Co.*		2,035,902
	127,100	Total SA, ADR		6,337,206

		Total Oil, Gas & Consumable Fuels		129,850,196

		TOTAL ENERGY		163,528,687

	FINANCIALS — 16.6%
	Capital Markets — 1.7%
	61,300	Ameriprise Financial Inc.		3,365,983
	60,902	Goldman Sachs Group Inc. (The)		6,438,559
	25,200	Northern Trust Corp.		1,170,288
	184,969	State Street Corp.		7,694,711

		Total Capital Markets		18,669,541

	Commercial Banks — 1.8%
	632,506	Fifth Third Bancorp		9,576,141
	84,300	HSBC Holdings PLC, ADR		3,678,009
	53,700	PNC Financial Services Group Inc.		3,337,992
	101,200	Wells Fargo & Co.		3,443,836

		Total Commercial Banks		20,035,978

	Consumer Finance — 0.7%
	126,100	Capital One Financial Corp.		7,128,433

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	FINANCIALS — 16.6%—(continued)
	Diversified Financial Services — 2.7%
	613,011	Bank of America Corp.	$	4,897,958
	491,980	JPMorgan Chase & Co.		18,272,137
	230,000	NYSE Euronext		5,761,500

		Total Diversified Financial Services		28,931,595

	Insurance — 8.2%
	76,000	ACE Ltd.		5,603,480
	7,947	Alleghany Corp.*		2,679,331
	15,600	Allied World Assurance Co. Holdings AG		1,225,068
	406,489	Allstate Corp. (The)		15,153,910
	39,697	Aon PLC		2,062,656
	48,300	Arch Capital Group Ltd.*		1,927,653
	58,500	Fidelity National Financial Inc., Class A Shares		1,102,140
	44,400	Loews Corp.		1,804,860
	520,116	MetLife Inc.		17,751,559
	79,500	PartnerRe Ltd.		5,835,300
	122,100	Progressive Corp. (The)		2,384,613
	162,000	Prudential Financial Inc.		8,830,620
	5,800	Torchmark Corp.		296,844
	260,800	Travelers Cos., Inc. (The)		16,884,192
	1,300	Validus Holdings Ltd.		43,563
	151,700	Willis Group Holdings PLC		5,661,444

		Total Insurance		89,247,233

	Real Estate Investment Trusts (REITs) — 1.5%
	257,000	Annaly Capital Management Inc.		4,448,670
	32,600	Hatteras Financial Corp.		945,074
	122,000	HCP Inc.		5,594,920
	94,000	Health Care REIT Inc.		5,493,360

		Total Real Estate Investment Trusts (REITs)		16,482,024

		TOTAL FINANCIALS		180,494,804

	HEALTH CARE — 13.3%
	Health Care Equipment & Supplies — 2.8%
	147,000	Baxter International Inc.		8,625,960
	17,500	Becton Dickinson and Co.		1,329,650
	301,600	Medtronic Inc.		12,263,056
	205,284	St. Jude Medical Inc.		7,751,524

		Total Health Care Equipment & Supplies		29,970,190

	Health Care Providers & Services — 2.2%
	245,000	Aetna Inc.		9,410,450
	48,590	Cigna Corp.		2,223,964
	51,750	McKesson Corp.		4,507,943
	136,584	UnitedHealth Group Inc.		7,416,511

		Total Health Care Providers & Services		23,558,868

	Life Sciences Tools & Services — 0.1%
	17,400	Covance Inc.*		831,546

	Pharmaceuticals — 8.2%
	85,700	Abbott Laboratories		5,616,778
	192,500	AstraZeneca PLC, ADR(a)		9,007,075
	51,800	Bristol-Myers Squibb Co.		1,709,918
	296,150	Eli Lilly & Co.		13,300,097
	172,000	Hospira Inc.*		5,775,760
	234,165	Johnson & Johnson		15,789,746
	403,140	Merck & Co., Inc.		17,355,176
	695,375	Pfizer Inc.		16,591,648

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	HEALTH CARE — 13.3%—(continued)
	Pharmaceuticals — 8.2%—(continued)
	140,300	Teva Pharmaceutical Industries Ltd., ADR	$	5,553,074

		Total Pharmaceuticals		90,699,272

		TOTAL HEALTH CARE		145,059,876

	INDUSTRIALS — 11.1%
	Aerospace & Defense — 3.5%
	60,500	Boeing Co. (The)		4,319,700
	116,950	General Dynamics Corp.		7,661,395
	149,800	Honeywell International Inc.		8,755,810
	24,500	L-3 Communications Holdings Inc.		1,720,880
	38,200	Lockheed Martin Corp.		3,481,548
	53,800	Northrop Grumman Corp.		3,598,682
	95,360	Raytheon Co.		5,389,747
	44,800	Rockwell Collins Inc.		2,189,376
	71,900	Spirit Aerosystems Holdings Inc., Class A Shares*		1,787,434

		Total Aerospace & Defense		38,904,572

	Commercial Services & Supplies — 0.2%
	83,400	R.R. Donnelley & Sons Co.(a)		915,732
	28,500	Republic Services Inc., Class A Shares		788,025

		Total Commercial Services & Supplies		1,703,757

	Construction & Engineering — 1.0%
	55,400	Jacobs Engineering Group Inc.*		2,190,516
	332,000	KBR Inc.		8,993,880

		Total Construction & Engineering		11,184,396

	Electrical Equipment — 0.2%
	24,200	Hubbell Inc., Class B Shares		1,955,844

	Industrial Conglomerates — 2.6%
	54,450	3M Co.		5,042,070
	141,152	Danaher Corp.		7,561,513
	762,511	General Electric Co.		15,791,602

		Total Industrial Conglomerates		28,395,185

	Machinery — 1.7%
	137,200	Dover Corp.		7,931,532
	190,000	Eaton Corp.(a)		8,496,800
	13,400	Flowserve Corp.		1,710,644

		Total Machinery		18,138,976

	Professional Services — 0.5%
	25,400	Dun & Bradstreet Corp. (The)		2,056,130
	33,000	Manpower Inc.		1,224,630
	31,100	Towers Watson & Co., Class A Shares		1,689,352

		Total Professional Services		4,970,112

	Road & Rail — 1.4%
	116,600	Norfolk Southern Corp.		8,448,836
	21,500	Ryder System Inc.		860,215
	47,400	Union Pacific Corp.		5,756,256

		Total Road & Rail		15,065,307

		TOTAL INDUSTRIALS		120,318,149

	INFORMATION TECHNOLOGY — 11.8%
	Communications Equipment — 1.7%
	575,881	Cisco Systems Inc.		10,987,810
	77,300	Harris Corp.		3,635,419

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	INFORMATION TECHNOLOGY — 11.8%—(continued)
	Communications Equipment — 1.7%—(continued)
	90,305	Motorola Solutions Inc.	$	4,303,936

		Total Communications Equipment		18,927,165

	Computers & Peripherals — 0.4%
	177,012	Hewlett-Packard Co.		2,987,963
	54,900	Lexmark International Inc., Class A Shares(a)		1,191,879

		Total Computers & Peripherals		4,179,842

	Electronic Equipment, Instruments & Components — 2.2%
	66,300	Arrow Electronics Inc.*		2,403,375
	84,300	Avnet Inc.*		2,715,303
	500,000	Corning Inc.		5,995,000
	1,310,000	Flextronics International Ltd.*		8,816,300
	100,400	FLIR Systems Inc.		1,987,920
	129,500	Ingram Micro Inc., Class A Shares*		1,977,465

		Total Electronic Equipment, Instruments & Components		23,895,363

	Internet Software & Services — 0.1%
	26,100	Open Text Corp.*(a)		1,404,180

	IT Services — 1.4%
	66,800	Broadridge Financial Solutions Inc.		1,581,824
	136,300	SAIC Inc.		1,664,223
	7,100	Total System Services Inc.		164,578
	652,900	Western Union Co. (The)		11,497,569

		Total IT Services		14,908,194

	Office Electronics — 0.2%
	338,500	Xerox Corp.		2,494,745

	Semiconductors & Semiconductor Equipment — 2.7%
	64,800	Analog Devices Inc.		2,575,152
	166,300	Applied Materials Inc.		1,944,047
	712,800	Intel Corp.		17,698,824
	56,300	Lam Research Corp.*		1,921,519
	900,000	ON Semiconductor Corp.*		5,607,000

		Total Semiconductors & Semiconductor Equipment		29,746,542

	Software — 3.1%
	32,400	Autodesk Inc.*		1,006,020
	10,300	BMC Software Inc.*		426,420
	124,000	CA Inc.		3,227,720
	417,292	Microsoft Corp.		12,860,939
	177,889	Oracle Corp.		5,630,187
	490,000	Symantec Corp.*		8,736,700
	39,500	Synopsys Inc.*		1,304,685

		Total Software		33,192,671

		TOTAL INFORMATION TECHNOLOGY		128,748,702

	MATERIALS — 4.5%
	Chemicals — 2.2%
	293,000	Dow Chemical Co. (The)		8,587,830
	127,900	EI du Pont de Nemours & Co.		6,363,025
	144,800	Mosaic Co. (The)		8,385,368

		Total Chemicals		23,336,223

	Metals & Mining — 1.2%
	70,400	Barrick Gold Corp.(a)		2,711,808
	293,155	Freeport-McMoRan Copper & Gold Inc.		10,585,827

		Total Metals & Mining		13,297,635

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments


Shares		Security	Value
	MATERIALS — 4.5%—(continued)
	Paper & Forest Products — 1.1%
	347,421	International Paper Co.	$	12,006,870

		TOTAL MATERIALS		48,640,728

	TELECOMMUNICATION SERVICES — 3.5%
	Diversified Telecommunication Services — 2.3%
	246,800	AT&T Inc.		9,042,752
	254,400	CenturyLink Inc.		10,750,944
	119,550	Verizon Communications Inc.		5,133,477

		Total Diversified Telecommunication Services		24,927,173

	Wireless Telecommunication Services — 1.2%
	450,000	Vodafone Group PLC, ADR		13,014,000

		TOTAL TELECOMMUNICATION SERVICES		37,941,173

	UTILITIES — 3.7%
	Electric Utilities — 2.3%
	277,850	American Electric Power Co., Inc.		11,944,771
	112,995	Entergy Corp.		7,692,700
	74,200	NextEra Energy Inc.		4,994,402
	10,500	OGE Energy Corp.		567,525

		Total Electric Utilities		25,199,398

	Multi-Utilities — 1.3%
	83,800	Ameren Corp.		2,741,936
	90,450	Dominion Resources Inc.		4,746,816
	185,500	Public Service Enterprise Group Inc.		5,872,930
	7,400	SCANA Corp.		350,464

		Total Multi-Utilities		13,712,146

	Water Utilities — 0.1%
	23,900	American Water Works Co., Inc.		881,193

		TOTAL UTILITIES		39,792,737

		TOTAL COMMON STOCKS (Cost — $873,614,486)		1,035,370,039

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $873,614,486)		1,035,370,039

Face Amount
	SHORT-TERM INVESTMENTS (b) — 6.7%
	MONEY MARKET FUND — 2.1%
	22,847,068	Invesco STIT — Government & Agency Portfolio(c) (Cost — $22,847,068)		22,847,068

	TIME DEPOSITS — 4.6%
	20,107,157	Bank of America — London, 0.030% due 9/4/12		20,107,157
	20,265,015	Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		20,265,015
	9,386,217	Wells Fargo — Grand Cayman, 0.030% due 9/4/12		9,386,217

		TOTAL TIME DEPOSITS (Cost — $49,758,389)		49,758,389

		TOTAL SHORT-TERM INVESTMENTS (Cost — $72,605,457)		72,605,457

		TOTAL INVESTMENTS — 101.9% (Cost — $946,219,943#)		1,107,975,496

		Liabilities in Excess of Other Assets — (1.9)%		(20,760,962	)

		TOTAL NET ASSETS — 100.0%	$	1,087,214,534

See Notes to Financial Statements.

Schedules of Investments

(continued)

Large Capitalization Value Equity Investments

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 4.6%.

(c)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $966,899,099.

Abbreviations used in this schedule:

ADR — American Depositary Receipts

PLC — Public Limited Company

REIT — Real Estate Investment Trust

Summary of Investments by Security Sector*


Financials	16.3	%
Energy	14.8
Health Care	13.1
Information Technology	11.6
Industrials	10.9
Consumer Staples	9.5
Consumer Discretionary	5.9
Materials	4.4
Utilities	3.6
Telecommunication Services	3.4
Short-Term Investments	6.5

	100.0	%

*	As a percentage of total investments.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Shares		Security	Value
	COMMON STOCKS — 96.3%
	CONSUMER DISCRETIONARY — 17.1%
	Auto Components — 0.6%
	53,900	Amerigon Inc.*	$	639,793
	30,840	Tenneco Inc.*		936,611

		Total Auto Components		1,576,404

	Diversified Consumer Services — 1.8%
	23,100	Coinstar Inc.(a)*		1,180,872
	436,680	Stewart Enterprises Inc., Class A Shares		3,213,965

		Total Diversified Consumer Services		4,394,837

	Hotels, Restaurants & Leisure — 5.2%
	58,000	AFC Enterprises Inc.*		1,393,160
	18,200	Buffalo Wild Wings Inc.*		1,397,396
	75,700	Caribou Coffee Co., Inc.*		968,203
	107,780	Cheesecake Factory Inc. (The)		3,579,374
	40,740	Life Time Fitness Inc.(a)*		1,934,335
	37,500	Red Robin Gourmet Burgers Inc.*		1,162,875
	155,300	Shuffle Master Inc.*		2,355,901

		Total Hotels, Restaurants & Leisure		12,791,244

	Household Durables — 1.1%
	38,400	Meritage Homes Corp.*		1,431,168
	43,600	Ryland Group Inc. (The)*		1,168,916

		Total Household Durables		2,600,084

	Internet & Catalog Retail — 0.4%
	42,360	HomeAway Inc.(a)*		1,002,238

	Media — 0.6%
	90,728	Rentrak Corp.*		1,583,204

	Multiline Retail — 0.6%
	90,700	Gordmans Stores Inc.*		1,594,506

	Specialty Retail — 6.5%
	93,770	Aeropostale Inc.*		1,306,216
	42,900	ANN Inc.*		1,526,382
	185,559	bebe stores Inc.		1,007,585
	99,000	Conn’s Inc.(a)*		2,292,840
	55,400	Express Inc.*		864,794
	93,240	Finish Line Inc. (The), Class A Shares		2,140,790
	45,100	Francesca’s Holdings Corp.(a)*		1,593,383
	18,300	Genesco Inc.*		1,292,895
	32,900	Monro Muffler Brake Inc.		1,113,665
	55,700	Rent-A-Center Inc.		1,965,096
	39,680	Tilly’s Inc., Class A Shares*		727,731

		Total Specialty Retail		15,831,377

	Textiles, Apparel & Luxury Goods — 0.3%
	13,200	Lululemon Athletica Inc.*		860,508

		TOTAL CONSUMER DISCRETIONARY		42,234,402

	CONSUMER STAPLES — 3.2%
	Food & Staples Retailing — 2.0%
	24,400	Casey’s General Stores Inc.		1,379,820
	91,280	Natural Grocers by Vitamin Cottage Inc.*		1,960,694
	50,100	Susser Holdings Corp.*		1,704,402

		Total Food & Staples Retailing		5,044,916

	Food Products — 1.2%
	27,100	Annie’s Inc.(a)*		1,126,005

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Shares		Security	Value
	CONSUMER STAPLES — 3.2%—(continued)
	Food Products — 1.2%—(continued)
	22,450	B&G Foods Inc., Class A Shares	$	657,112
	99,600	Smart Balance Inc.*		1,154,364

		Total Food Products		2,937,481

		TOTAL CONSUMER STAPLES		7,982,397

	ENERGY — 7.2%
	Energy Equipment & Services — 4.2%
	57,900	Basic Energy Services Inc.*		642,690
	60,100	Helix Energy Solutions Group Inc.*		1,058,962
	27,400	Hornbeck Offshore Services Inc.*		1,064,216
	35,980	Oil States International Inc.*		2,815,075
	220,400	Parker Drilling Co.*		912,456
	144,900	Pioneer Energy Services Corp.*		1,115,730
	137,600	Superior Energy Services Inc.*		2,857,952

		Total Energy Equipment & Services		10,467,081

	Oil, Gas & Consumable Fuels — 3.0%
	131,300	Kodiak Oil & Gas Corp., Class afo aft Shares*		1,173,822
	119,080	Matador Resources Co.*		1,212,234
	40,100	Oasis Petroleum Inc.*		1,176,133
	97,370	Tesoro Corp.		3,869,484

		Total Oil, Gas & Consumable Fuels		7,431,673

		TOTAL ENERGY		17,898,754

	FINANCIALS — 5.8%
	Capital Markets — 0.3%
	77,380	FXCM Inc., Class A Shares		677,849

	Commercial Banks — 1.5%
	113,040	East West Bancorp Inc.		2,480,097
	108,420	Umpqua Holdings Corp.		1,370,429

		Total Commercial Banks		3,850,526

	Consumer Finance — 0.8%
	106,130	DFC Global Corp.*		1,976,141

	Insurance — 1.2%
	88,540	Validus Holdings Ltd.(a)		2,966,975

	Real Estate Investment Trusts (REITs) — 0.8%
	73,460	LaSalle Hotel Properties		2,001,785

	Real Estate Management & Development — 1.2%
	53,950	Alexander & Baldwin Inc.*		1,597,999
	30,100	Zillow Inc., Class A Shares(a)*		1,252,461

		Total Real Estate Management & Development		2,850,460

		TOTAL FINANCIALS		14,323,736

	HEALTH CARE — 18.0%
	Biotechnology — 3.5%
	184,900	Achillion Pharmaceuticals Inc.(a)*		1,299,847
	53,990	Alkermes PLC*		990,717
	28,410	Cubist Pharmaceuticals Inc.*		1,312,542
	149,340	Idenix Pharmaceuticals Inc.*		843,771
	19,530	Medivation Inc.*		2,047,916
	132,500	NPS Pharmaceuticals Inc.*		1,009,650
	20,720	United Therapeutics Corp.*		1,121,366

		Total Biotechnology		8,625,809

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Shares		Security	Value
	HEALTH CARE — 18.0%—(continued)
	Health Care Equipment & Supplies — 5.4%
	122,590	ArthroCare Corp.*	$	3,626,212
	107,260	Masimo Corp.*		2,368,301
	45,490	Orthofix International NV*		1,925,137
	103,780	Quidel Corp.(a)*		1,685,387
	242,900	Spectranetics Corp.*		2,948,806
	60,500	Tornier NV(a)*		1,084,160

		Total Health Care Equipment & Supplies		13,638,003

	Health Care Providers & Services — 3.4%
	282,520	Health Management Associates Inc., Class A Shares*		2,164,103
	45,300	Health Net Inc.*		1,053,225
	1,250	MWI Veterinary Supply Inc.*		126,025
	175,160	Team Health Holdings Inc.*		5,000,818

		Total Health Care Providers & Services		8,344,171

	Health Care Technology — 0.7%
	63,100	HealthStream Inc.*		1,793,302

	Life Sciences Tools & Services — 2.0%
	59,900	Fluidigm Corp.*		936,836
	120,760	ICON PLC, ADR*		2,767,819
	42,600	PerkinElmer Inc.		1,162,980

		Total Life Sciences Tools & Services		4,867,635

	Pharmaceuticals — 3.0%
	127,300	Akorn Inc.*		1,761,832
	118,500	Pacira Pharmaceuticals Inc.*		2,151,960
	57,100	Questcor Pharmaceuticals Inc.(a)*		2,480,424
	137,300	Transcept Pharmaceuticals Inc.(a)*		917,164

		Total Pharmaceuticals		7,311,380

		TOTAL HEALTH CARE		44,580,300

	INDUSTRIALS — 20.7%
	Aerospace & Defense — 1.7%
	84,350	Hexcel Corp.*		1,912,215
	37,170	Triumph Group Inc.		2,209,013

		Total Aerospace & Defense		4,121,228

	Air Freight & Logistics — 0.9%
	27,550	HUB Group Inc., Class A Shares*		829,255
	91,500	XPO Logistics Inc.(a)*		1,356,945

		Total Air Freight & Logistics		2,186,200

	Commercial Services & Supplies — 2.1%
	173,400	InnerWorkings Inc.*		2,089,470
	51,890	Progressive Waste Solutions Ltd.		1,028,979
	212,850	Steelcase Inc., Class A Shares		2,064,645

		Total Commercial Services & Supplies		5,183,094

	Machinery — 5.4%
	32,360	CLARCOR Inc.		1,557,810
	70,410	Colfax Corp.*		2,315,785
	13,520	Gardner Denver Inc.		814,986
	63,800	Rexnord Corp.*		960,190
	37,100	Sun Hydraulics Corp.		858,865
	128,920	Titan International Inc.(a)		2,691,849
	162,400	Wabash National Corp.*		1,086,456
	22,100	Wabtec Corp.		1,726,894

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Shares		Security	Value
	INDUSTRIALS — 20.7%—(continued)
	Machinery — 5.4%—(continued)
	46,600	Westport Innovations Inc.(a)*	$	1,640,786

		Total Machinery		13,653,621

	Marine — 0.3%
	31,740	Matson Inc.		720,181

	Professional Services — 3.8%
	34,100	Advisory Board Co. (The)*		1,511,653
	48,400	Corporate Executive Board Co. (The)		2,253,504
	120,980	Huron Consulting Group Inc.*		3,904,025
	23,700	Mistras Group Inc.*		516,897
	71,600	On Assignment Inc.*		1,182,116

		Total Professional Services		9,368,195

	Road & Rail — 4.3%
	91,000	Arkansas Best Corp.		835,380
	112,940	Avis Budget Group Inc.*		1,854,474
	119,180	Heartland Express Inc.		1,551,723
	22,600	J.B. Hunt Transport Services Inc.		1,185,144
	26,450	Old Dominion Freight Line Inc.*		1,184,431
	69,900	Roadrunner Transportation Systems Inc.*		1,221,852
	59,900	Saia Inc.*		1,299,830
	172,290	Swift Transportation Co., Class A Shares*		1,404,164

		Total Road & Rail		10,536,998

	Trading Companies & Distributors — 2.2%
	64,330	Beacon Roofing Supply Inc.*		1,810,246
	24,560	Titan Machinery Inc.*		566,108
	41,720	Watsco Inc.		3,148,191

		Total Trading Companies & Distributors		5,524,545

		TOTAL INDUSTRIALS		51,294,062

	INFORMATION TECHNOLOGY — 21.9%
	Communications Equipment — 2.2%
	103,960	Aruba Networks Inc.*		2,042,814
	22,690	Emulex Corp.*		155,427
	32,900	NETGEAR Inc.*		1,203,153
	101,186	Procera Networks Inc.*		2,144,131

		Total Communications Equipment		5,545,525

	Electronic Equipment, Instruments & Components — 0.6%
	46,000	Fabrinet*		551,080
	24,400	Universal Display Corp.(a)*		985,028

		Total Electronic Equipment, Instruments & Components		1,536,108

	Internet Software & Services — 2.5%
	29,710	CoStar Group Inc.*		2,413,938
	75,500	E2open Inc.*		963,380
	18,900	Rackspace Hosting Inc.*		1,133,622
	48,100	SPS Commerce Inc.*		1,681,095

		Total Internet Software & Services		6,192,035

	IT Services — 1.0%
	104,515	MoneyGram International Inc.*		1,667,015
	88,630	WNS Holdings Ltd., ADR*		919,979

		Total IT Services		2,586,994

	Semiconductors & Semiconductor Equipment — 4.9%
	51,210	ATMI Inc.*		968,381
	42,250	Cirrus Logic Inc.*		1,760,558

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Shares		Security	Value
	INFORMATION TECHNOLOGY — 21.9%—(continued)
	Semiconductors & Semiconductor Equipment — 4.9%—(continued)
	99,990	Fairchild Semiconductor International Inc., Class A Shares*	$	1,451,855
	29,500	Mellanox Technologies Ltd., Class d Shares*		3,374,505
	41,270	Monolithic Power Systems Inc.*		889,781
	107,300	Nova Measuring Instruments Ltd.*		843,378
	74,300	Peregrine Semiconductor Corp.*		1,181,370
	94,500	Silicon Motion Technology Corp., ADR(a)*		1,449,630

		Total Semiconductors & Semiconductor Equipment		11,919,458

	Software — 10.7%
	54,000	Allot Communications Ltd., Class d Shares*		1,426,680
	90,800	Aspen Technology Inc.*		2,213,704
	158,090	Cadence Design Systems Inc.*		2,086,788
	169,200	Callidus Software Inc.(a)*		756,324
	31,300	CommVault Systems Inc.*		1,578,146
	20,600	Concur Technologies Inc.*		1,491,440
	169,590	Fortinet Inc.*		4,495,830
	37,500	Guidewire Software Inc.*		1,070,625
	48,600	Kenexa Corp.*		2,227,824
	78,561	Net 1 UEPS Technologies Inc.*		751,043
	56,200	PROS Holdings Inc.*		971,136
	131,330	QLIK Technologies Inc.*		2,777,630
	31,380	SolarWinds Inc.*		1,722,134
	26,400	Sourcefire Inc.*		1,369,896
	12,490	Ultimate Software Group Inc.*		1,238,883

		Total Software		26,178,083

		TOTAL INFORMATION TECHNOLOGY		53,958,203

	MATERIALS — 2.4%
	Chemicals — 1.4%
	55,140	Georgia Gulf Corp.		2,185,750
	19,740	Westlake Chemical Corp.		1,357,717

		Total Chemicals		3,543,467

	Metals & Mining — 0.4%
	19,000	Haynes International Inc.		926,250

	Paper & Forest Products — 0.6%
	74,190	KapStone Paper and Packaging Corp.*		1,486,026

		TOTAL MATERIALS		5,955,743

		TOTAL COMMON STOCKS (Cost — $187,970,617)		238,227,597

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $187,970,617)		238,227,597

Face Amount
	SHORT-TERM INVESTMENTS (b) — 11.7%
	MONEY MARKET FUND — 8.1%
$	19,954,594	Invesco STIT — Government & Agency Portfolio(c) (Cost — $19,954,594)		19,954,594

	TIME DEPOSITS — 3.6%
	4,446,352	Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		4,446,352
	987,881	HSBC Bank — Grand Cayman, 0.030% due 9/4/12		987,881

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Growth Investments


Face Amount		Security	Value
	TIME DEPOSITS — 3.6%—(continued)
$	3,510,714	Wells Fargo — Grand Cayman, 0.030% due 9/4/12	$	3,510,714

		TOTAL TIME DEPOSITS (Cost — $8,944,947)		8,944,947

		TOTAL SHORT-TERM INVESTMENTS (Cost — $28,899,541)		28,899,541

		TOTAL INVESTMENTS — 108.0% (Cost — $216,870,158#)		267,127,138

		Liabilities in Excess of Other Assets — (8.0)%		(19,712,848	)

		TOTAL NET ASSETS — 100.0%	$	247,414,290

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 3.6%.

(c)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $218,412,690.

Abbreviations used in this schedule:

ADR — American Depositary Receipts

PLC — Public Limited Company

REIT — Real Estate Investment Trust

Summary of Investments by Security Sector*


Information Technology	20.2	%
Industrials	19.2
Health Care	16.7
Consumer Discretionary	15.8
Energy	6.7
Financials	5.4
Consumer Staples	3.0
Materials	2.2
Short-Term Investments	10.8

	100.0	%

*	As a percentage of total investments.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	COMMON STOCKS — 94.7%
	CONSUMER DISCRETIONARY — 16.5%
	Auto Components — 1.4%
	9,500	Autoliv Inc.	$	563,255
	308,971	Modine Manufacturing Co.*		2,165,887

		Total Auto Components		2,729,142

	Automobiles — 1.2%
	74,029	Thor Industries Inc.		2,327,472

	Diversified Consumer Services — 1.6%
	118,259	Regis Corp.		2,129,845
	70,000	Service Corp. International		912,800

		Total Diversified Consumer Services		3,042,645

	Hotels, Restaurants & Leisure — 4.1%
	21,300	Brinker International Inc.		733,998
	18,900	CEC Entertainment Inc.		561,519
	23,800	Cheesecake Factory Inc. (The)		790,398
	44,006	International Game Technology		540,834
	90,371	International Speedway Corp., Class A Shares		2,404,771
	26,300	Jack in the Box Inc.*		686,167
	73,519	Marriott Vacations Worldwide Corp.*		2,361,430

		Total Hotels, Restaurants & Leisure		8,079,117

	Household Durables — 0.6%
	15,035	Harman International Industries Inc.		692,061
	14,100	Meritage Homes Corp.*		525,507

		Total Household Durables		1,217,568

	Leisure Equipment & Products — 1.6%
	99,816	Brunswick Corp.		2,364,641
	15,900	Sturm Ruger & Co., Inc.(a)		688,470

		Total Leisure Equipment & Products		3,053,111

	Media — 1.0%
	33,400	Cinemark Holdings Inc.		782,228
	36,300	Meredith Corp.(a)		1,181,928

		Total Media		1,964,156

	Multiline Retail — 0.3%
	20,200	Big Lots Inc.*		614,888

	Specialty Retail — 3.6%
	23,900	Aaron’s Inc.		713,893
	15,500	Buckle Inc. (The)(a)		705,870
	23,800	Cato Corp. (The), Class A Shares		699,006
	11,600	Children’s Place Retail Stores Inc. (The)*		660,504
	32,000	Finish Line Inc. (The), Class A Shares		734,720
	6,500	Genesco Inc.*		459,225
	12,400	Group 1 Automotive Inc.		682,124
	17,600	Guess? Inc.		458,656
	25,200	Men’s Wearhouse Inc. (The)		796,320
	12,700	Rent-A-Center Inc.		448,056
	31,200	Stage Stores Inc.		668,304

		Total Specialty Retail		7,026,678

	Textiles, Apparel & Luxury Goods — 1.1%
	20,300	True Religion Apparel Inc.		470,757
	10,400	Warnaco Group Inc. (The)*		534,768

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	CONSUMER DISCRETIONARY — 16.5%—(continued)
	Textiles, Apparel & Luxury Goods — 1.1%—(continued)
	24,000	Wolverine World Wide Inc.	$	1,128,720

		Total Textiles, Apparel & Luxury Goods		2,134,245

		TOTAL CONSUMER DISCRETIONARY		32,189,022

	CONSUMER STAPLES — 3.0%
	Beverages — 0.3%
	18,400	Embotelladora Andina SA, Class B Shares, ADR		605,728

	Food & Staples Retailing — 1.7%
	15,700	Andersons Inc. (The)		630,669
	8,718	Casey’s General Stores Inc.		493,003
	38,300	Harris Teeter Supermarkets Inc.		1,496,381
	13,600	Weis Markets Inc.		573,240

		Total Food & Staples Retailing		3,193,293

	Food Products — 0.7%
	18,200	Cal-Maine Foods Inc.		731,276
	12,400	Ingredion Inc.		667,492

		Total Food Products		1,398,768

	Tobacco — 0.3%
	13,500	Universal Corp.		640,305

		TOTAL CONSUMER STAPLES		5,838,094

	ENERGY — 4.5%
	Energy Equipment & Services — 1.5%
	14,700	Bristow Group Inc.		689,283
	58,700	Helix Energy Solutions Group Inc.*		1,034,294
	44,600	Patterson-UTI Energy Inc.		677,474
	10,400	Tidewater Inc.		493,272

		Total Energy Equipment & Services		2,894,323

	Oil, Gas & Consumable Fuels — 3.0%
	16,600	Berry Petroleum Co., Class A Shares		611,544
	8,500	Cimarex Energy Co.		486,285
	21,500	CVR Energy Inc.*		641,130
	13,200	Energen Corp.		673,860
	46,100	Forest Oil Corp.*		341,601
	17,300	HollyFrontier Corp.		697,017
	38,300	Whiting Petroleum Corp.*		1,705,116
	20,300	World Fuel Services Corp.		755,363

		Total Oil, Gas & Consumable Fuels		5,911,916

		TOTAL ENERGY		8,806,239

	FINANCIALS — 21.0%
	Capital Markets — 1.7%
	135,148	KBW Inc.		2,066,413
	20,400	Raymond James Financial Inc.		718,080
	27,800	SEI Investments Co.		604,650

		Total Capital Markets		3,389,143

	Commercial Banks — 8.4%
	39,600	Bank of Hawaii Corp.		1,830,708
	64,600	Boston Private Financial Holdings Inc.		613,054
	137,988	Cathay General Bancorp		2,258,864
	10,247	Comerica Inc.		314,685
	39,500	Community Bank System Inc.		1,107,580
	10,500	Cullen/Frost Bankers Inc.		583,800
	26,300	CVB Financial Corp.		314,285

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	FINANCIALS — 21.0%—(continued)
	Commercial Banks — 8.4%—(continued)
	72,085	East West Bancorp Inc.	$	1,581,545
	49,800	First Financial Bancorp		810,744
	41,600	First Midwest Bancorp Inc.		491,296
	65,100	Fulton Financial Corp.		633,423
	35,441	Hancock Holding Co.		1,050,471
	34,100	Independent Bank Corp.(a)		994,356
	49,000	NBT Bancorp Inc.		1,030,470
	48,800	Old National Bancorp		644,160
	16,400	Prosperity Bancshares Inc.		690,440
	22,600	S & T Bancorp Inc.		392,110
	25,200	Trustmark Corp.		596,988
	23,300	WesBanco Inc.		473,456

		Total Commercial Banks		16,412,435

	Consumer Finance — 0.3%
	14,400	Cash America International Inc.		559,008

	Insurance — 5.4%
	49,400	American Equity Investment Life Holding Co.		571,064
	16,900	American Financial Group Inc.		634,764
	78,014	AMERISAFE Inc.*		1,961,272
	23,200	Infinity Property & Casualty Corp.		1,301,520
	79,762	National Interstate Corp.		1,982,086
	37,800	Platinum Underwriters Holdings Ltd.		1,502,172
	60,900	Selective Insurance Group Inc.		1,091,937
	9,900	StanCorp Financial Group Inc.		309,078
	19,246	Validus Holdings Ltd.(a)		644,933
	12,700	W.R. Berkley Corp.		474,726

		Total Insurance		10,473,552

	Real Estate Investment Trusts (REITs) — 4.4%
	23,500	American Realty Capital Trust Inc.		277,300
	251,473	Ashford Hospitality Trust Inc.		2,082,195
	48,664	Brandywine Realty Trust		593,701
	41,300	Education Realty Trust Inc.		477,428
	62,300	Franklin Street Properties Corp.		692,776
	16,200	Government Properties Income Trust(a)		365,958
	20,600	Hatteras Financial Corp.		597,194
	20,200	Highwoods Properties Inc.		658,722
	26,500	Omega Healthcare Investors Inc.		636,530
	10,000	PS Business Parks Inc.		681,700
	23,117	Retail Properties of America Inc., Class A Shares		259,373
	6,070	Sovran Self Storage Inc.		345,080
	13,323	Starwood Property Trust Inc.		313,757
	18,600	Washington Real Estate Investment Trust		499,596

		Total Real Estate Investment Trusts (REITs)		8,481,310

	Real Estate Management & Development — 0.4%
	24,400	Alexander & Baldwin Inc.*		722,728

	Thrifts & Mortgage Finance — 0.4%
	22,655	Astoria Financial Corp.(a)		228,136
	37,500	Washington Federal Inc.		603,750

		Total Thrifts & Mortgage Finance		831,886

		TOTAL FINANCIALS		40,870,062

	HEALTH CARE — 4.7%
	Health Care Equipment & Supplies — 3.3%
	17,800	Cooper Cos., Inc. (The)		1,492,530

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	HEALTH CARE — 4.7%—(continued)
	Health Care Equipment & Supplies — 3.3%—(continued)
	9,700	Haemonetics Corp.*	$	714,599
	28,500	Invacare Corp.		391,590
	22,300	STERIS Corp.		763,552
	22,800	Teleflex Inc.		1,505,483
	31,593	West Pharmaceutical Services Inc.		1,495,929

		Total Health Care Equipment & Supplies		6,363,683

	Health Care Providers & Services — 1.1%
	47,750	Owens & Minor Inc.		1,336,523
	20,500	Universal Health Services Inc., Class B Shares		818,975

		Total Health Care Providers & Services		2,155,498

	Life Sciences Tools & Services — 0.3%
	24,200	PerkinElmer Inc.		660,660

		TOTAL HEALTH CARE		9,179,841

	INDUSTRIALS — 21.8%
	Aerospace & Defense — 0.9%
	13,200	Alliant Techsystems Inc.		646,668
	20,100	Curtiss-Wright Corp.		604,206
	14,400	Elbit Systems Ltd.		451,440

		Total Aerospace & Defense		1,702,314

	Commercial Services & Supplies — 4.8%
	247,328	ACCO Brands Corp.*		1,629,892
	42,900	Brink’s Co. (The)		954,954
	42,100	Ennis Inc.		614,239
	32,800	Knoll Inc.		476,912
	167,843	Schawk Inc., Class A Shares		2,192,030
	9,900	UniFirst Corp.		628,749
	20,600	United Stationers Inc.		498,314
	117,471	Viad Corp.		2,404,630

		Total Commercial Services & Supplies		9,399,720

	Construction & Engineering — 1.4%
	28,300	Chicago Bridge & Iron Co. NV, Class NY Shares		1,042,006
	149,779	Great Lakes Dredge & Dock Corp.		1,094,884
	22,800	KBR Inc.		617,652

		Total Construction & Engineering		2,754,542

	Electrical Equipment — 2.1%
	18,600	Belden Inc.		634,818
	62,637	EnerSys Inc.*		2,333,228
	17,900	Regal-Beloit Corp.		1,218,274

		Total Electrical Equipment		4,186,320

	Machinery — 9.2%
	33,800	Actuant Corp., Class A Shares		950,456
	32,800	Altra Holdings Inc.		603,848
	25,400	Barnes Group Inc.		601,218
	118,294	Briggs & Stratton Corp.(a)		2,048,852
	15,500	Crane Co.		588,845
	162,010	Douglas Dynamics Inc.		2,271,380
	16,500	Gardner Denver Inc.		994,620
	109,700	Harsco Corp.		2,236,783
	32,094	ITT Corp.		638,671
	150,262	John Bean Technologies Corp.		2,398,182
	17,300	Kennametal Inc.		637,332
	634,822	Mueller Water Products Inc., Class A Shares		2,431,369

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	INDUSTRIALS — 21.8%—(continued)
	Machinery — 9.2%—(continued)
	29,200	Titan International Inc.(a)	$	609,696
	9,000	Twin Disc Inc.		166,590
	6,000	Valmont Industries Inc.		760,500

		Total Machinery		17,938,342

	Marine — 0.6%
	11,000	Kirby Corp.*		579,150
	24,700	Matson Inc.		560,443

		Total Marine		1,139,593

	Road & Rail — 1.6%
	21,600	Saia Inc.*		468,720
	117,374	Werner Enterprises Inc.		2,611,572

		Total Road & Rail		3,080,292

	Trading Companies & Distributors — 1.2%
	17,600	TAL International Group Inc.		598,576
	53,500	United Rentals Inc.*		1,728,585

		Total Trading Companies & Distributors		2,327,161

		TOTAL INDUSTRIALS		42,528,284

	INFORMATION TECHNOLOGY — 8.6%
	Communications Equipment — 0.6%
	16,400	Black Box Corp.		426,236
	132,200	Brocade Communications Systems Inc.*		766,760

		Total Communications Equipment		1,192,996

	Computers & Peripherals — 0.5%
	13,081	Diebold Inc.		426,179
	30,000	Electronics for Imaging Inc.*		463,500

		Total Computers & Peripherals		889,679

	Electronic Equipment, Instruments & Components — 1.6%
	57,500	AVX Corp.		588,800
	26,700	Jabil Circuit Inc.		608,226
	17,000	Tech Data Corp.*		825,860
	107,700	Vishay Intertechnology Inc.*		1,029,612

		Total Electronic Equipment, Instruments & Components		3,052,498

	Internet Software & Services — 0.3%
	22,300	j2 Global Inc.(a)		657,181

	IT Services — 0.7%
	407,456	Lionbridge Technologies Inc.*		1,430,171

	Semiconductors & Semiconductor Equipment — 2.1%
	66,400	Brooks Automation Inc.		531,864
	48,200	Cirrus Logic Inc.*		2,008,494
	88,700	ON Semiconductor Corp.*		552,601
	110,900	RF Micro Devices Inc.*		415,875
	41,500	Teradyne Inc.*		648,230

		Total Semiconductors & Semiconductor Equipment		4,157,064

	Software — 2.8%
	121,300	Compuware Corp.*		1,213,000
	13,300	Fair Isaac Corp.		568,043
	25,300	NetScout Systems Inc.*		600,875
	51,300	Parametric Technology Corp.*		1,090,125
	11,120	QAD Inc., Class A Shares*		136,220
	2,780	QAD Inc., Class B Shares*		32,609

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	INFORMATION TECHNOLOGY — 8.6%—(continued)
	Software — 2.8%—(continued)
	51,800	Synopsys Inc.*	$	1,710,954

		Total Software		5,351,826

		TOTAL INFORMATION TECHNOLOGY		16,731,415

	MATERIALS — 10.9%
	Chemicals — 7.0%
	25,600	Albemarle Corp.		1,401,088
	15,700	Cabot Corp.		546,831
	18,500	Cytec Industries Inc.		1,266,695
	6,500	Ferro Corp.*		21,320
	65,538	Georgia Gulf Corp.		2,597,926
	28,700	HB Fuller Co.		872,767
	12,600	Innophos Holdings Inc.		595,854
	7,400	International Flavors & Fragrances Inc.		447,848
	101,593	Kraton Performance Polymers Inc.*		2,179,170
	22,000	Methanex Corp.		655,820
	3,100	NewMarket Corp.		762,972
	4,500	Olin Corp.		96,435
	13,700	Scotts Miracle-Gro Co. (The), Class A Shares		570,605
	16,400	Sensient Technologies Corp.		587,940
	19,000	Valspar Corp.		1,013,460

		Total Chemicals		13,616,731

	Containers & Packaging — 1.6%
	88,045	Myers Industries Inc.		1,303,066
	10,400	Rock-Tenn Co., Class A Shares		694,408
	13,200	Silgan Holdings Inc.		553,476
	19,700	Sonoco Products Co.		602,623

		Total Containers & Packaging		3,153,573

	Metals & Mining — 1.7%
	53,400	HudBay Minerals Inc.		456,036
	36,000	IAMGOLD Corp.		471,600
	16,000	Kaiser Aluminum Corp.		893,600
	9,200	Royal Gold Inc.		809,784
	49,000	Steel Dynamics Inc.		598,780

		Total Metals & Mining		3,229,800

	Paper & Forest Products — 0.6%
	23,200	Buckeye Technologies Inc.		703,424
	33,300	P.H. Glatfelter Co.		559,440

		Total Paper & Forest Products		1,262,864

		TOTAL MATERIALS		21,262,968

	TELECOMMUNICATION SERVICES — 0.3%
	Diversified Telecommunication Services — 0.3%
	62,800	Premiere Global Services Inc.*		581,528

	UTILITIES — 3.4%
	Electric Utilities — 1.2%
	35,992	El Paso Electric Co.		1,190,975
	24,500	Portland General Electric Co.		657,580
	19,700	Westar Energy Inc.		573,664

		Total Electric Utilities		2,422,219

	Gas Utilities — 1.6%
	15,100	AGL Resources Inc.		598,715
	17,100	Atmos Energy Corp.		597,474

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments


Shares		Security	Value
	UTILITIES — 3.4%—(continued)
	Gas Utilities — 1.6%—(continued)
	25,900	Southwest Gas Corp.	$	1,107,225
	22,700	UGI Corp.		691,896

		Total Gas Utilities		2,995,310

	Multi-Utilities — 0.6%
	13,800	Black Hills Corp.		471,960
	19,000	NorthWestern Corp.		695,400

		Total Multi-Utilities		1,167,360

		TOTAL UTILITIES		6,584,889

		TOTAL COMMON STOCKS
		(Cost — $135,006,409)		184,572,342

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
		(Cost — $135,006,409)		184,572,342

Face Amount
	SHORT-TERM INVESTMENTS (b) — 8.3%
	COMMERCIAL PAPER — 0.8%
	1,555,000	Abbey National North America LLC, 0.170% due 9/4/12(c)
		(Cost — $1,554,971)		1,554,971

	MONEY MARKET FUND — 3.1%
	5,954,665	Invesco STIT — Government & Agency Portfolio(d)
		(Cost — $5,954,665)		5,954,665

	TIME DEPOSITS — 4.4%
	4,550,193	Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		4,550,193
	2,616	BBH — Grand Cayman, 0.030% due 9/4/12		2,616
	4,167,613	Wells Fargo — Grand Cayman, 0.030% due 9/4/12		4,167,613

		TOTAL TIME DEPOSITS
		(Cost — $8,720,422)		8,720,422

		TOTAL SHORT-TERM INVESTMENTS
		(Cost — $16,230,058)		16,230,058

		TOTAL INVESTMENTS — 103.0%
		(Cost — $151,236,467#)		200,802,400

		Liabilities in Excess of Other Assets — (3.0)%		(5,904,672	)

		TOTAL NET ASSETS — 100.0%	$	194,897,728

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 5.2%.

(c)	Rate shown represents yield-to-maturity.

(d)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $153,594,584.

Abbreviations used in this schedule:

ADR — American Depositary Receipts

REIT — Real Estate Investment Trust

See Notes to Financial Statements.

Schedules of Investments

(continued)

Small Capitalization Value Equity Investments

Summary of Investments by Security Sector*


Industrials	21.2	%
Financials	20.3
Consumer Discretionary	16.0
Materials	10.6
Information Technology	8.3
Health Care	4.6
Energy	4.4
Utilities	3.3
Consumer Staples	2.9
Telecommunication Services	0.3
Short-Term Investments	8.1

	100.0	%

*	As a percentage of total investments.

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	COMMON STOCKS — 94.3%
	Argentina — 0.3%
	15,439	MercadoLibre Inc.	$	1,228,636

	Australia — 2.3%
	26,129	Abacus Property Group		54,541
	2,075	Adelaide Brighton Ltd.		6,261
	34,920	Aditya Birla Minerals Ltd.		14,795
	110,921	Amcor Ltd.		863,090
	215,715	APN News & Media Ltd.		63,529
	22,744	Ardent Leisure Group		29,731
	152,119	Arrium Ltd.		101,389
	203,031	Aspen Group		58,745
	403,785	Atlas Iron Ltd.		563,289
	22,568	Ausenco Ltd.		69,962
	34,244	Australand Property Group		102,266
	76,850	Australia & New Zealand Banking Group Ltd.		1,971,028
	5,467	Australian Infrastructure Fund, Class Miscella Shares		17,400
	5,703	Bank of Queensland Ltd.		44,494
	92,812	Beach Energy Ltd.		113,171
	30,000	BlueScope Steel Ltd.*		10,385
	86,937	CSG Ltd.		69,623
	280,383	Downer EDI Ltd.*		1,031,451
	111,530	Emeco Holdings Ltd.		89,895
	404	Flight Centre Ltd.		9,978
	875	GrainCorp Ltd.(a)*		8,337
	9,621	GrainCorp Ltd., Class A Shares		91,664
	289,945	Grange Resources Ltd.		89,884
	25,000	Hills Holdings Ltd.		30,871
	29,907	Mincor Resources NL		17,925
	809,954	Mount Gibson Iron Ltd.		610,985
	2,947	Myer Holdings Ltd.		6,060
	51,931	National Australia Bank Ltd.		1,352,840
	51,721	Newcrest Mining Ltd.		1,317,440
	10,587	Nufarm Ltd.		63,999
	4,753	Panoramic Resources Ltd.		2,628
	16,320	Primary Health Care Ltd.		62,904
	29,289	Programmed Maintenance Services Ltd.		68,098
	43,506	Seven West Media Ltd.		65,862
	3,388	Skilled Group Ltd.		9,208
	40,492	Spark Infrastructure Group(b)		67,785
	16,688	STW Communications Group Ltd.		17,676
	33,681	Tassal Group Ltd.		43,157
	202,112	Toll Holdings Ltd.		966,986
	12,586	Transfield Services Ltd.		23,866

		Total Australia		10,203,198

	Austria — 0.0%
	6,652	Austria Technologie & Systemtechnik AG		58,654
	5,687	EVN AG		76,541
	109	Oesterreichische Post AG		3,654
	1,706	Strabag SE		38,347

		Total Austria		177,196

	Belgium — 0.9%
	47,028	Anheuser-Busch InBev NV		3,950,315
	2,823	Arseus NV		45,736
	4,746	Cie Maritime Belge SA		95,516
	370	Elia System Operator SA		14,458
	1,325	Exmar NV		9,383

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Belgium — 0.9%—(continued)
	1,143	Gimv NV	$	52,635
	724	NV Bekaert SA		18,906
	2,488	Recticel SA		15,679

		Total Belgium		4,202,628

	Bermuda — 0.0%
	17,698	Catlin Group Ltd.		128,741

	Brazil — 2.3%
	77,200	Banco do Brasil SA, ADR(c)		910,674
	165,900	BM&FBovespa SA		878,383
	126,600	BR Malls Participações SA		1,577,551
	28,190	BRF — Brasil Foods SA		452,767
	17,999	Cia Brasileira de Distribuição Grupo Pao de Açúcar, Class A Shares, ADR		771,797
	38,900	Embraer SA, ADR		1,048,355
	75,800	Itaú Unibanco Holding SA, ADR		1,198,398
	60,100	Natura Cosméticos SA		1,506,681
	82,206	Petróleo Brasileiro SA, ADR		1,737,835

		Total Brazil		10,082,441
			��
	Canada — 2.9%
	46,503	Canadian National Railway Co.		4,254,528
	40,439	Cenovus Energy Inc.		1,324,323
	23,780	First Quantum Minerals Ltd.		457,855
	25,127	Imax Corp.(c)*		507,817
	19,988	Potash Corp. of Saskatchewan Inc.		817,921
	41,668	Potash Corp. of Saskatchewan Inc. (NYSE Shares)		1,711,305
	28,564	Shoppers Drug Mart Corp.		1,213,166
	49,706	Suncor Energy Inc.(c)		1,552,714
	15,185	Toronto-Dominion Bank (The)		1,241,527

		Total Canada		13,081,156

	China — 3.3%
	2,000	AAC Technologies Holdings Inc.		6,820
	35,432	Baidu Inc., ADR*		3,948,542
	115,457	China Life Insurance Co., Ltd., Class H Shares		309,620
	741,294	China Merchants Bank Co., Ltd., Class H Shares		1,278,769
	150,000	China Shenhua Energy Co., Ltd., Class H Shares		546,330
	99,000	China XLX Fertiliser Ltd.		24,198
	2,268,715	CNOOC Ltd.		4,323,145
	3,380,000	Industrial & Commercial Bank of China, Class H Shares		1,838,970
	377,096	Sinopharm Group Co., Class H Shares		1,198,434
	40,159	Tencent Holdings Ltd.		1,226,055

		Total China		14,700,883

	Denmark — 1.3%
	1,106	Dfds AS		52,267
	2,030	East Asiatic Co., Ltd.		41,628
	36,107	Novo Nordisk AS, Class B Shares		5,685,710
	4,294	Pandora AS		58,014
	4,349	Schouw & Co.		97,990

		Total Denmark		5,935,609

	Finland — 0.3%
	41,090	Oriola-KD Oyj, Class B Shares		98,202
	9,828	Outokumpu Oyj*		8,789
	17,649	Technopolis Oyj		75,923
	3,430	Tieto Oyj		58,849
	94,337	UPM-Kymmene Oyj		1,044,817

		Total Finland		1,286,580

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	France — 8.4%
	46,479	Acanthe Developpement SA(c)	$	22,801
	20,003	Air Liquide SA		2,353,790
	7,906	Arkema SA		673,048
	74,392	BNP Paribas SA		3,233,449
	13,063	Cap Gemini SA		480,205
	9,512	Casino Guichard Perrachon SA		844,227
	3,246	Cegid Group		57,121
	36,116	Cie de Saint-Gobain		1,239,063
	2,607	Cie des Alpes		41,974
	29,859	Cie Générale des Établissements Michelin, Class B Shares		2,142,692
	13,287	Cie Générale d’Optique Essilor International SA		1,159,719
	1,056	Ciments Français SA		61,101
	2,861	Crédit Agricole Nord de France		43,544
	29,555	Danone SA		1,842,059
	70	Derichebourg SA		211
	877	Devoteam SA		9,994
	360	Eiffage SA		11,187
	45	Euler Hermes SA		2,788
	90,162	GDF Suez		2,220,006
	8,126	Jacquet Metal Service		78,264
	10,796	L’Oréal SA		1,327,285
	24,575	LVMH Moët Hennessy Louis Vuitton SA		4,012,333
	2,753	Maisons France Confort		80,685
	2,072	Nexity SA		50,666
	16,839	Pernod-Ricard SA		1,814,571
	4,500	Plastic Omnium SA		123,565
	40,142	Publicis Groupe SA		2,083,578
	3,102	Rallye SA		93,254
	30,004	Safran SA		1,051,262
	39,047	Sanofi		3,194,948
	30,585	Schneider Electric SA		1,931,646
	]34,356	Total SA		1,715,839
	5,340	Unibail-Rodamco SE		1,089,148
	2,498	Valeo SA		118,159
	67,325	Veolia Environnement SA		712,707
	50,561	Vivendi SA		991,495

		Total France		36,908,384

	Germany — 9.5%
	58,985	Adidas AG		4,615,627
	32,326	Allianz SE		3,548,508
	2,144	Aurubis AG		116,126
	29,952	BASF SE		2,328,699
	15,118	Bayer AG		1,172,728
	34,061	Bayerische Motoren Werke AG		2,470,364
	71	Bilfinger Berger AG		5,968
	789	Cewe Color Holding AG		28,543
	53,610	Daimler AG, Registered Shares		2,629,900
	69,450	Deutsche Lufthansa AG		856,979
	97,464	Deutsche Telekom AG		1,162,814
	7,463	Freenet AG		114,432
	35,111	Fresenius Medical Care AG & Co. KGaA		2,531,943
	82,231	GEA Group AG		2,172,119
	42	Gerresheimer AG		2,107
	27,087	Hannover Rüeckversicherung AG		1,654,847
	2,366	Indus Holding AG		57,513
	211,275	Infineon Technologies AG		1,460,309
	13,220	Jenoptik AG		98,742

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Germany — 9.5%—(continued)
	50,735	Kabel Deutschland Holding AG*	$	3,363,157
	2,003	Leoni AG		75,080
	7,669	Linde AG		1,208,218
	40,230	Metro AG		1,211,949
	2,688	MLP AG		15,556
	2,075	Rheinmetall AG		102,692
	34,827	SAP AG		2,295,932
	38,470	Siemens AG		3,649,535
	5,988	Sixt AG		106,051
	226	Stada Arzneimittel AG		6,356
	29,726	Symrise AG		1,006,375
	10,556	Volkswagen AG		1,719,483
	4,726	Wacker Neuson SE		67,976

		Total Germany		41,856,628

	Greece — 0.0%
	5,678	Eurobank Properties Real Estate Investment Co.		28,925
	8,227	Hellenic Petroleum SA		58,986
	6,005	Metka SA		43,659
	5,855	Motor Oil Hellas Corinth Refineries SA		35,056

		Total Greece		166,626

	Hong Kong — 2.8%
	628,600	AIA Group Ltd.		2,163,869
	332,000	Century City International Holdings Ltd.*		21,830
	23,000	Champion REIT		10,052
	69,500	China Mobile Ltd.		741,926
	133,200	China Resources Enterprise Ltd.		397,558
	272,000	China Ting Group Holdings Ltd.		13,151
	918,000	China Unicom Hong Kong Ltd.		1,451,037
	264,000	City Telecom HK Ltd.		62,628
	624,000	COSCO Pacific Ltd.		771,523
	557,598	CSI Properties Ltd.		23,005
	41,500	Dickson Concepts International Ltd.*		22,258
	468,000	Emperor International Holdings		96,541
	102,000	Glorious Sun Enterprises Ltd.		30,772
	271,000	Hang Lung Properties Ltd.		922,399
	133,400	Hong Kong Exchanges & Clearing Ltd.		1,774,929
	56,610	Jardine Strategic Holdings Ltd.		1,881,716
	65,100	Kingboard Chemical Holdings Ltd.		142,180
	17,000	Kowloon Development Co., Ltd.		16,745
	84,000	Norstar Founders Group Ltd.(a)(d)*		0
	418,000	Oriental Press Group		43,113
	774,000	Pacific Andes International Holdings Ltd.		39,417
	74,000	Regal Hotels International Holdings Ltd.		30,053
	5,000	SmarTone Telecommunications Holding Ltd.		10,662
	96,000	SOCAM Development Ltd.		89,115
	52,000	Sun Hung Kai Properties Ltd.		674,445
	60,900	Swire Pacific Ltd., Class A Shares		721,570
	178,000	Truly International Holdings		23,867
	476,000	Victory City International Holdings Ltd.		49,096
	36,000	VST Holdings Ltd.		6,869

		Total Hong Kong		12,232,326

	Ireland — 2.3%
	43,053	Accenture PLC, Class A Shares		2,652,065
	35,483	Aer Lingus Group PLC		47,623
	12,518	Beazley PLC		32,901
	4,686	C&C Group PLC		21,249

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Ireland — 2.3%—(continued)
	32,300	Covidien PLC	$	1,810,415
	76,028	Greencore Group PLC		95,572
	28,286	Seagate Technology PLC		905,435
	122,279	Shire PLC		3,716,254
	88,103	Total Produce PLC		45,436
	18,524	United Drug PLC		60,581
	70,906	WPP PLC		916,639

		Total Ireland		10,304,170

	Isle of Man — 0.0%
	2,808	Playtech Ltd.		17,248

	Israel — 2.0%
	16,513	Alony Hetz Properties & Investments Ltd.		70,023
	1,290	Alrov Properties and Lodgings Ltd.*		17,633
	106,306	Check Point Software Technologies Ltd.*		4,899,644
	15,280	Clal Industries & Investments Ltd.		38,114
	1,653	Gilat Satellite Networks Ltd.*		5,344
	3,404	Israel Land Development Co., Ltd. (The)		14,749
	118	Mellanox Technologies Ltd.*		13,902
	1,572	Norstar Holdings Inc.		24,703
	53	Paz Oil Co., Ltd.		5,279
	974	Plasson Industries Ltd.		22,655
	96,533	Teva Pharmaceutical Industries Ltd., ADR		3,820,776

		Total Israel		8,932,822

	Italy — 0.5%
	688	Autostrada Torino-Milano SpA		4,933
	1,130	Danieli & C Officine Meccaniche SpA		13,929
	7,083	Hera SpA		10,442
	41,921	Immobiliare Grande Distribuzione		41,077
	64,457	IMMSI SpA		36,485
	3,317	Indesit Co. SpA		15,020
	30,536	Italcementi SpA		72,978
	4,825	Lottomatica Group SpA		100,505
	95,900	Prada SpA(c)		738,758
	1,282	Recordati SpA		9,200
	859	Società Cattolica di Assicurazioni SCRL*		11,475
	9,252	Società Iniziative Autostradali e Servizi SpA		66,334
	9,304	Sogefi SpA		23,149
	1,250,107	Telecom Italia SpA		1,163,610

		Total Italy		2,307,895

	Japan — 11.3%
	5,000	77 Bank Ltd. (The)		19,090
	17,800	Airport Facilities Co., Ltd.		80,005
	5,000	Akita Bank Ltd. (The)		14,429
	4,000	Alpha Systems Inc.		53,732
	1,700	Aoyama Trading Co., Ltd.		33,364
	4,000	ASKA Pharmaceutical Co., Ltd.		21,554
	29,700	Astellas Pharma Inc.		1,448,688
	41,000	Atsugi Co., Ltd.		47,641
	700	Autobacs Seven Co., Ltd.		32,982
	23,000	Bank of Nagoya Ltd. (The)		78,120
	26,000	Bank of Saga Ltd. (The)		60,755
	10,350	Belluna Co., Ltd.		85,507
	33,200	Bridgestone Corp.		769,431
	64,200	Canon Inc.		2,127,295
	600	Canon Marketing Japan Inc.		8,267
	3,600	Cawachi Ltd.		68,952

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Japan — 11.3%—(continued)
	55,000	Chori Co., Ltd.	$	66,718
	45,000	Chuetsu Pulp & Paper Co., Ltd.		76,997
	1,000	Coca-Cola Central Japan Co., Ltd.		12,705
	4,200	Corona Corp.		55,024
	531	Dai-ichi Life Insurance Co., Ltd. (The)		540,391
	10,000	Dainichiseika Color & Chemicals Manufacturing Co., Ltd.		42,265
	2,000	Daishi Bank Ltd. (The)		6,308
	800	DCM Holdings Co., Ltd.		5,261
	29,100	Dena Co., Ltd.(c)		810,036
	11,000	DIC Corp.		18,119
	4,200	EDION Corp.		18,449
	27,000	Eighteenth Bank Ltd. (The)		68,263
	28,020	FANUC Corp.		4,576,082
	216,000	Fujitsu Ltd.		877,073
	19,000	Fuso Pharmaceutical Industries Ltd.		59,439
	2,700	Glory Ltd.		60,023
	8,400	Hakuto Co., Ltd.		79,586
	12,000	Hanwa Co., Ltd.		40,452
	200	Hibiya Engineering Ltd.		2,352
	35,000	Higashi-Nippon Bank Ltd. (The)		77,316
	3,400	Hitachi Capital Corp.		59,434
	400	Hogy Medical Co., Ltd.		19,817
	107,500	Honda Motor Co., Ltd.		3,393,221
	29,400	Hoya Corp.		662,969
	36,600	Ibiden Co., Ltd.		552,400
	13,100	Inabata & Co., Ltd.		85,811
	20,000	Jaccs Co., Ltd.		72,017
	2,000	Japan Pulp & Paper Co., Ltd.		6,589
	15,000	Japan Vilene Co., Ltd.		64,355
	15,000	J-Oil Mills Inc.		42,138
	70,000	JSR Corp.		1,188,789
	28,000	Juroku Bank Ltd. (The)*		92,958
	8,300	Kaga Electronics Co., Ltd.		81,288
	800	Kato Sangyo Co., Ltd.		15,016
	256	KDDI Corp.		1,830,556
	300	Kissei Pharmaceutical Co., Ltd.		5,221
	12,300	Kojima Co., Ltd.		34,396
	131,969	Komatsu Ltd.		2,595,063
	30,000	Kurabo Industries Ltd.		49,416
	62,200	Kuraray Co., Ltd.		717,188
	4,000	Kyodo Printing Co., Ltd.		9,347
	1,300	KYORIN Holdings Inc.		30,012
	1,800	Mars Engineering Corp.		43,095
	96,000	Marubeni Corp.		615,361
	17,000	Marudai Food Co., Ltd.		61,648
	8,000	Maruzen Showa Unyu Co., Ltd.		25,231
	10,000	Mie Bank Ltd. (The)		22,218
	2,600	Mikuni Coca-Cola Bottling Co., Ltd.		22,376
	600	Mirait Holdings Corp.		4,290
	151,400	Mitsubishi Corp.		2,781,902
	13,000	Mitsui Home Co., Ltd.		65,237
	33,000	Miyazaki Bank Ltd. (The)		82,168
	9,500	Nagase & Co., Ltd.		110,630
	3,200	Namura Shipbuilding Co., Ltd.		9,643
	6,300	NEC Capital Solutions Ltd.		86,236
	200	NEC Mobiling Ltd.		7,981
	19,000	Nice Holdings Inc.		45,853
	5,400	Nichii Gakkan Co.		55,369

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Japan — 11.3%—(continued)
	23,000	Nihon Yamamura Glass Co., Ltd.	$	52,863
	7,000	Nippon Road Co., Ltd. (The)		25,206
	34,000	Nippon Steel Trading Co., Ltd.		84,658
	32,900	Nippon Telegraph & Telephone Corp.		1,518,655
	150,500	Nissan Motor Co., Ltd.		1,402,860
	18,000	Nisshin Oillio Group Ltd. (The)		69,872
	5,000	Nissin Corp.		12,769
	39,750	NKSJ Holdings Inc.		714,652
	1,000	Nohmi Bosai Ltd.		6,384
	29,900	Nomura Research Institute Ltd.		624,229
	26,000	Oita Bank Ltd. (The)*		81,670
	9,700	Onoken Co., Ltd.		78,403
	6,200	Otsuka Kagu Ltd.		58,267
	4,900	Paltac Corp.		69,638
	130,400	Rakuten Inc.		1,258,793
	2,900	Riso Kagaku Corp.		49,953
	8,300	Ryoyo Electro Corp.		81,288
	7,500	S Foods Inc.		65,792
	8,000	Sakai Chemical Industry Co., Ltd.		22,473
	18,000	Sanki Engineering Co., Ltd.		89,178
	5,800	Sanshin Electronics Co., Ltd.		41,325
	22,000	Sanyo Shokai Ltd.		67,139
	86,000	Sekisui Chemical Co., Ltd.		702,803
	26,000	Sekisui Plastics Co., Ltd.		66,399
	19,000	Senko Co., Ltd.		80,789
	7,700	Senshukai Co., Ltd.		48,669
	36,700	Seven & I Holdings Co., Ltd.		1,112,973
	8,900	Shimamura Co., Ltd.		1,055,749
	12,400	Shinko Electric Industries Co., Ltd.*		81,226
	9,000	Shinko Shoji Co., Ltd.		81,249
	6,000	Showa Corp.		51,867
	9,000	Sinanen Co., Ltd.		38,269
	77	SKY Perfect JSAT Holdings Inc.		34,412
	89,100	Sony Financial Holdings Inc.		1,465,374
	36,000	Sumikin Bussan Corp.		87,799
	55,600	Sumitomo Mitsui Financial Group Inc.		1,720,927
	361,000	Sumitomo Mitsui Trust Holdings Inc.		1,004,891
	29,000	Sumitomo Realty & Development Co., Ltd.		706,902
	4,300	Takasago Thermal Engineering Co., Ltd.		33,218
	6,300	Tenma Corp.		69,182
	27,000	Toho Bank Ltd. (The)		85,846
	6,100	Tohokushinsha Film Corp.		47,513
	12,000	Tokyo Energy & Systems Inc.		55,928
	25,000	Tokyo Tekko Co., Ltd.		74,379
	5,800	Toppan Forms Co., Ltd.		53,397
	3,000	Torii Pharmaceutical Co., Ltd.		66,118
	374,000	Toshiba Corp.		1,193,896
	6,600	Touei Housing Corp.		67,251
	23,000	Toyo Kohan Co., Ltd.		67,841
	65,849	Toyota Motor Corp.		2,602,346
	9,700	TSI Holdings Co., Ltd.		61,806
	32,000	Uchida Yoko Co., Ltd.		82,947
	19,200	Unicharm Corp.		1,116,721
	14,000	UNY Co., Ltd.		116,019
	6,800	Vital KSK Holdings Inc.		66,250
	900	Yachiyo Bank Ltd. (The)		17,181
	74,000	Yaskawa Electric Corp.		484,735
	21,000	Yodogawa Steel Works Ltd.		72,400

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Japan — 11.3%—(continued)
	7,200	Yokohama Reito Co., Ltd.	$	57,184
	7,600	Yonekyu Corp.		67,543
	2,000	Yurtec Corp.		6,359

		Total Japan		49,472,335

	Jersey, Channel Islands — 0.0%
	11,381	Phoenix Group Holdings		88,457

	Luxembourg — 0.8%
	34	GAGFAH SA*		368
	41,063	Millicom International Cellular SA		3,536,437
	16,484	Regus PLC		27,219

		Total Luxembourg		3,564,024

	Mexico — 1.0%
	1,280,700	América Móvil SAB de CV		1,634,551
	967,900	Wal-Mart de Mexico SAB de CV, Class V Shares		2,580,297

		Total Mexico		4,214,848

	Netherlands — 4.2%
	23,607	ASML Holding NV		1,337,272
	9,380	BE Semiconductor Industries NV		70,556
	1,162	CSM NV		19,586
	2,022	Heijmans NV		17,371
	431,507	ING Groep NV*		3,301,134
	90,627	Koninklijke Ahold NV		1,120,573
	101,761	Koninklijke KPN NV		872,960
	47,835	LyondellBasell Industries NV, Class A Shares		2,336,261
	5,825	Mediq NV		68,705
	3,591	Nieuwe Steen Investments NV		29,916
	25,965	PostNL NV*		93,049
	193,226	Reed Elsevier NV(c)		2,522,852
	82,053	Royal Dutch Shell PLC, Class B Shares		2,956,413
	2,578	Vastned Retail NV		105,065
	96	Wereldhave NV		4,930
	105,461	Yandex NV, Class A Shares(c)*		2,227,336
	46,039	Ziggo NV(c)*		1,438,488

		Total Netherlands		18,522,467

	New Zealand — 0.0%
	8,668	Infratil Ltd.		14,558
	10,100	New Zealand Oil & Gas Ltd.		6,818
	22,185	Nuplex Industries Ltd.		52,592
	2,455	Ryman Healthcare Ltd.		7,536
	6,410	Vector Ltd.		13,908

		Total New Zealand		95,412

	Norway — 1.8%
	6,909	Atea ASA		64,325
	49,654	BW Offshore Ltd.		36,299
	163,172	DNB ASA		1,873,665
	2,869	Fred Olsen Energy ASA		121,685
	20,940	Kvaerner ASA		51,447
	5,892	Petroleum Geo-Services ASA		89,497
	51,558	Pronova BioPharma AS		86,315
	25,130	Seadrill Ltd.		1,032,496
	16,242	SpareBank 1 SMN		94,932
	95,019	Statoil ASA		2,437,729
	43,800	Telenor ASA		799,728

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Norway — 1.8%—(continued)
	40,089	TGS Nopec Geophysical Co. ASA	$	1,170,184

		Total Norway		7,858,302

	Peru — 0.0%
	1,376	Copeinca ASA		10,249

	Portugal — 0.0%
	27,705	Mota-Engil SGPS SA		37,636
	54,751	Sonae		34,710
	14,249	Sonaecom — SGPS SA		22,243

		Total Portugal		94,589

	Singapore — 0.7%
	94,600	AIMS AMP Capital Industrial REIT		98,933
	54,000	Cambridge Industrial Trust		26,830
	17,000	CapitaRetail China Trust*		20,163
	270,000	Chip Eng Seng Corp., Ltd.		96,286
	95,000	Frasers Commercial Trust		85,267
	16,000	Mapletree Logistics Trust		14,232
	8,444	Miclyn Express Offshore Ltd.		19,022
	4,016	OM Holdings Ltd.*		1,452
	355,000	SembCorp. Industries Ltd.		1,607,365
	21,000	Suntec Real Estate Investment Trust		24,318
	20,000	Swiber Holdings Ltd.*		9,456
	21,000	United Engineers Ltd.		38,370
	64,000	United Overseas Bank Ltd.		979,092
	2,000	Venture Corp., Ltd.		12,437
	63,000	Yanlord Land Group Ltd.		58,817

		Total Singapore		3,092,040

	South Africa — 0.2%
	52,678	MTN Group Ltd.		985,897

	South Korea — 2.4%
	3,302	Hyundai Mobis		895,700
	9,068	Hyundai Motor Co.		1,923,830
	14,285	Kia Motors Corp.		933,767
	1,249	Lotte Shopping Co., Ltd.		352,025
	12,045	POSCO, ADR		981,668
	5,068	Samsung Electronics Co., Ltd.		5,512,388

		Total South Korea		10,599,378

	Spain — 0.3%
	2,594	Bolsas y Mercados Españoles SA		59,123
	1,724	Corp Financiera Alba		55,883
	512	Ebro Foods SA		8,398
	2,876	Grupo Catalana Occidente SA		43,049
	11,879	Inditex SA		1,321,022
	3,552	Pescanova SA		61,925

		Total Spain		1,549,400

	Sweden — 1.7%
	4,414	Bilia AB, Class A Shares		56,188
	11,715	Billerud AB		96,910
	10,555	Duni AB		87,314
	18,671	Elekta AB, Class B Shares(c)		952,098
	11,030	Haldex AB		55,329
	60,492	Hennes & Mauritz AB, Class B Shares		2,189,905
	48,838	Hexagon AB, Class B Shares		981,409
	24,857	Klovern AB		90,136
	2,920	NCC AB, Class A Shares		53,693

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	Sweden — 1.7%—(continued)
	3,560	NCC AB, Class B Shares	$	65,084
	7,059	Nolato AB, Class B Shares		72,792
	7,667	Peab AB		34,081
	5,089	Saab AB, Class B Shares		90,731
	110,156	Sandvik AB		1,474,627
	40,000	Svenska Handelsbanken AB, Class A Shares		1,395,482

		Total Sweden		7,695,779

	Switzerland — 7.4%
	600	Acino Holding AG*		68,817
	3,078	Ascom Holding AG*		22,568
	2,557	BKW AG		81,153
	69,840	Credit Suisse Group AG*		1,348,957
	312	Helvetia Holding AG		102,780
	2,009	Implenia AG*		72,073
	67,258	Julius Baer Group Ltd.*		2,209,996
	144,887	Nestlé SA		9,007,064
	84,150	Novartis AG		4,958,037
	42,997	Roche Holding AG		7,827,463
	2,234	Schweizerische National-Versicherungs-Gesellschaft AG		85,410
	785	Siegfried Holding AG*		99,903
	5,467	Swatch Group AG (The)		2,237,880
	3,540	Syngenta AG		1,193,596
	132	Valiant Holding*		10,626
	577	Valora Holding AG		92,953
	52,795	Xstrata PLC		797,405
	10,007	Zurich Insurance Group AG*		2,405,579

		Total Switzerland		32,622,260

	Taiwan — 0.4%
	122,513	Taiwan Semiconductor Manufacturing Co., Ltd., ADR		1,800,941

	Thailand — 0.3%
	84,300	Bangkok Bank PCL, NVDR		507,068
	114,200	Kasikornbank PCL, NVDR		617,494

		Total Thailand		1,124,562

	United Kingdom — 21.0%
	4,423	Aberdeen Asset Management PLC		19,553
	13,623	Aero Inventory PLC(a)(d)*		0
	101,449	AMEC PLC		1,784,585
	22,477	Amlin PLC		137,478
	1,396	Anglo Pacific Group PLC		5,176
	277,921	ARM Holdings PLC		2,530,412
	190,160	Aviva PLC		983,621
	19,000	Avocet Mining PLC		27,365
	223,406	Barclays PLC		649,377
	1,252	Bellway PLC		17,258
	234,509	BG Group PLC		4,791,080
	136,753	BHP Billiton PLC		3,982,607
	1,173	Bodycote PLC		6,479
	363,510	BP PLC		2,544,822
	60,564	British American Tobacco PLC		3,171,639
	190,205	British Sky Broadcasting Group PLC		2,295,961
	176,818	Britvic PLC		896,378
	1,372	Cairn Energy PLC*		6,246
	134,985	Capita Group PLC (The)		1,545,897
	7,489	Carillion PLC		32,976
	49,403	Carnival PLC		1,691,858
	560,471	Centrica PLC		2,904,425

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	United Kingdom — 21.0%—(continued)
	4,972	Chesnara PLC	$	14,669
	1,527	Close Brothers Group PLC		18,880
	1,302	Computacenter PLC		7,893
	9,574	Cookson Group PLC		90,966
	20,723	CSR PLC		107,027
	1,183	Dairy Crest Group PLC		6,418
	83,714	Debenhams PLC		128,140
	103,027	Diageo PLC		2,819,020
	10,940	Drax Group PLC		80,865
	13,228	DS Smith PLC		33,886
	3,295	easyJet PLC		27,753
	2,618	Electrocomponents PLC		9,231
	8,623	EnQuest PLC*		15,210
	30,767	Firstgroup PLC		119,566
	10,592	Galliford Try PLC		107,107
	140,832	GlaxoSmithKline PLC		3,183,275
	8,581	Greene King PLC		75,746
	8,397	Hargreaves Services PLC		95,699
	20,100	Hays PLC		21,919
	10,863	Henderson Group PLC		18,282
	13,939	Hill & Smith Holdings PLC		76,280
	27,500	Home Retail Group PLC		40,938
	269,938	HSBC Holdings PLC		2,335,242
	413,167	HSBC Holdings PLC, London Shares		3,585,505
	9,290	Hunting PLC		117,371
	1,366	IG Group Holdings PLC		9,328
	3,238	Immunodiagnostic Systems Holdings PLC*		12,840
	22,273	Inchcape PLC		130,189
	57,621	Inmarsat PLC		523,256
	55,896	InterContinental Hotels Group PLC		1,423,029
	25,242	Intermediate Capital Group PLC		112,870
	21,765	Interserve PLC		123,629
	10,591	John Wood Group PLC		137,839
	12,673	Keller Group PLC		102,721
	781,065	Kingfisher PLC		3,414,478
	30,043	Laird PLC		111,606
	84,206	Lookers PLC		93,831
	5,558	Mapeley Ltd.(a)(d)*		0
	46,520	Marston’s PLC		82,055
	34,039	McBride PLC*		68,976
	72,684	Mecom Group PLC		100,015
	26,372	Melrose Resources PLC		53,858
	875	Millennium & Copthorne Hotels PLC		6,666
	17,997	Mondi PLC		158,292
	9,927	Morgan Sindall Group PLC		98,650
	14,029	National Express Group PLC		48,355
	25,602	Next PLC		1,451,804
	39,999	Pace PLC		113,569
	72,828	Pearson PLC		1,380,461
	3,370	Persimmon PLC		37,312
	14,129	Petropavlovsk PLC		77,969
	13,349	Phoenix IT Group Ltd.		44,572
	434,342	Premier Oil PLC*		2,575,996
	3,594	Provident Financial PLC		75,251
	315,196	Prudential PLC		3,934,716
	43,937	PV Crystalox Solar PLC*		5,506
	78,690	Reckitt Benckiser Group PLC		4,443,525
	68,004	Rexam PLC		457,144

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Shares		Security	Value
	United Kingdom — 21.0%—(continued)
	72,750	Rio Tinto PLC	$	3,156,659
	111,728	ROK PLC(a)(d)*		0
	307,110	Rolls-Royce Holdings PLC*		3,999,402
	36,700	SABMiller PLC		1,618,045
	104,552	Smith & Nephew PLC		1,106,155
	25,319	St. Ives PLC		31,125
	200,359	Standard Chartered PLC		4,422,318
	2,902	Synergy Health PLC		40,577
	7,838	TalkTalk Telecom Group PLC		24,119
	33,118	Taylor Wimpey PLC		26,923
	425,211	Tesco PLC		2,270,265
	16,151	Tullett Prebon PLC		74,294
	76,632	Tullow Oil PLC		1,656,777
	30,980	Unilever PLC		1,112,540
	135,219	United Utilities Group PLC		1,520,694
	1,394,152	Vodafone Group PLC		4,013,698
	2,929	WH Smith PLC		27,899
	53,226	Whitbread PLC		1,798,297
	29,961	William Hill PLC		142,715
	272,504	WM Morrison Supermarkets PLC		1,210,288

		Total United Kingdom		92,825,179

	United States — 1.7%
	16,833	Perrigo Co.		1,851,125
	40,175	Schlumberger Ltd.		2,907,866
	13,515	Wynn Resorts Ltd.		1,394,343
	23,500	Yum! Brands Inc.		1,497,420

		Total United States		7,650,754

		TOTAL COMMON STOCKS (Cost — $379,750,752)		417,620,040

	PREFERRED STOCKS — 0.5%
	Australia — 0.0%
	259	Multiplex SITES Trust*		20,102

	Germany — 0.5%
	63	Draegerwerk AG & Co. KGaA, 0.260%		5,826
	12,700	Volkswagen AG, 2.090%		2,242,847

		Total Germany		2,248,673

	Italy — 0.0%
	337	Unipol Gruppo Finanziario SpA*		479

		TOTAL PREFERRED STOCKS (Cost — $1,516,190)		2,269,254

	RIGHTS — 0.0%
	Singapore — 0.0%
	1,204	OM Holdings Ltd.(a)* (Cost $0)		0

	WARRANTS — 0.1%
	Luxembourg — 0.1%
	464,723	Idea Cellular Ltd., expires 3/13/17(b)* (Cost $804,482)		623,565

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $382,071,424)		420,512,859

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments


Face Amount†			Security	Value
	SHORT-TERM INVESTMENTS (e) — 32.2%
	MONEY MARKET FUND — 1.4%
	6,243,716		Invesco STIT — Government & Agency Portfolio (f) (Cost — $6,243,716)	$	6,243,716

	TIME DEPOSITS — 30.8%
	3,224,457		Bank of America — London, 0.030% due 9/4/12		3,224,457
	47,547,648		Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		47,547,648
			BBH — Grand Cayman:
	7,844,846	^EUR	-0.036% due 9/3/12		9,867,639
	154,853	^CHF	0.005% due 9/3/12		162,200
	3,045,578	^HKD	0.005% due 9/3/12		392,658
	673,957	^JPY	0.010% due 9/3/12		8,605
	365	^GBP	0.052% due 9/3/12		579
	240	^SEK	0.550% due 9/3/12		36
	1	^NZD	1.650% due 9/3/12		1
	2,236	^AUD	2.648% due 9/3/12		2,311
	297	^CAD	0.195% due 9/4/12		301
	42,417,343		HSBC Bank — Grand Cayman, 0.030% due 9/4/12		42,417,343
	80,265	^GBP	JPMorgan Chase & Co. — London, 0.052% due 9/3/12		127,316
	33,043,110		Wells Fargo — Grand Cayman, 0.030% due 9/4/12		33,043,110

			TOTAL TIME DEPOSITS (Cost — $136,794,204)		136,794,204

			TOTAL SHORT-TERM INVESTMENTS (Cost — $143,037,920)		143,037,920

			TOTAL INVESTMENTS — 127.1% (Cost — $525,109,344#)		563,550,779

			Liabilities in Excess of Other Assets — (27.1)%		(119,987,374	)

			TOTAL NET ASSETS — 100.0%	$	443,563,405

†	Face amount denominated in U.S. dollars, unless otherwise noted.

*	Non-income producing security.

(a)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c)	All or a portion of this security is on loan (See Note 1).

(d)	Illiquid security.

(e)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 30.8%.

(f)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $536,363,748.

Abbreviations used in this schedule:


ADR	—	American Depositary Receipts
AUD	—	Australian Dollar
CAD	—	Canadian Dollar
CHF	—	Swiss Franc
EUR	—	Euro Dollar
GBP	—	British Pound
HKD	—	Hong Kong Dollar
JPY	—	Japanese Yen
NVDR	—	Non-Voting Depositary Receipt
NYSE	—	New York Stock Exchange
NZD	—	New Zealand Dollar

See Notes to Financial Statements.

Schedules of Investments

(continued)

International Equity Investments

Abbreviations used in this schedule:


PCL	—	Public Company Limited
PLC	—	Public Limited Company
REIT	—	Real Estate Investment Trust
SEK	—	Swedish Krona

Summary of Investments by Security Sector*


Consumer Discretionary	12.6	%
Financials	12.1
Consumer Staples	8.7
Health Care	8.3
Industrials	7.8
Information Technology	7.5
Energy	6.4
Materials	5.6
Telecommunication Services	4.2
Utilities	1.4
Short-Term Investments	25.4

	100.0	%

*	As a percentage of total investments.

For details of other financial instruments held by this fund, refer to Note 3.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	COMMON STOCKS — 91.8%
	Argentina — 0.2%
	117,679	YPF SA, ADR	$	1,472,164

	Brazil — 13.4%
	94,377	Banco Bradesco SA, ADR		1,549,670
	1,117,711	Banco do Brasil SA		12,760,629
	94,300	BM&FBovespa SA		499,286
	28,700	BR Properties SA		349,147
	36,419	BRF — Brasil Foods SA		584,935
	403,100	CCR SA		3,621,318
	164,100	Cia de Bebidas das Américas, ADR		6,171,801
	25,200	Cia de Saneamento Basico do Estado de Sao Paulo, ADR		2,144,772
	78,925	Cia Energética de Minas Gerais, ADR		1,341,725
	23,500	Cia Hering		513,323
	418,500	Cia Siderúrgica Nacional SA, ADR		2,017,170
	328,848	Cielo SA		9,719,589
	30,300	Ez Tec Empreendimentos e Participações SA		365,627
	200,900	Gafisa SA, ADR(a)*		825,699
	37,500	Iochpe-Maxion SA		531,743
	10,936	Itaú Unibanco Holding SA, ADR		172,898
	77,576	Lojas Renner SA		2,556,892
	200,100	Natura Cosméticos SA		5,016,421
	78,600	Obrascón Huarte Lain Brasil SA		760,701
	163,439	Petróleo Brasileiro SA, ADR		3,455,100
	170,192	Petróleo Brasileiro SA, Class A Shares, ADR		3,502,551
	746,100	Redecard SA		12,328,740
	358,300	Souza Cruz SA		4,801,804
	120,199	Telefónica Brasil SA, ADR		2,568,653
	61,700	Ultrapar Participações SA		1,318,876
	226,510	Vale SA		3,768,566
	668,077	Vale SA, Class B Shares, ADR		10,936,420

		Total Brazil		94,184,056

	Canada — 0.5%
	114,912	First Quantum Minerals Ltd.		2,212,490
	53,879	Yamana Gold Inc.		922,947

		Total Canada		3,135,437

	Chile — 0.2%
	799,528	Empresa Nacional de Electricidad SA		1,325,115

	China — 10.1%
	428,000	Agile Property Holdings Ltd.		491,110
	31,159	Baidu Inc., ADR*		3,472,359
	7,063,400	Bank of China Ltd., Class H Shares		2,568,079
	1,312,500	BBMG Corp., Class H Shares		800,398
	528,000	China Communications Construction Co., Ltd., Class H Shares		405,719
	21,519,580	China Construction Bank Corp., Class H Shares		14,149,771
	3,908,000	China Minsheng Banking Corp., Ltd., Class H Shares(a)		3,189,361
	1,569,000	China National Building Material Co., Ltd., Class H Shares(a)		1,468,605
	1,602,000	China Petroleum & Chemical Corp., Class H Shares		1,509,820
	1,689,000	China Railway Construction Corp., Ltd., Class H Shares		1,276,065
	63,000	China Shanshui Cement Group Ltd.		32,977
	211,000	China Shenhua Energy Co., Ltd., Class H Shares		768,504
	5,087,805	CNOOC Ltd.		9,695,056
	254	Country Garden Holdings Co., Ltd.		89
	492,000	Dongfeng Motor Group Co., Ltd., Class H Shares		636,860
	287,000	Dongyue Group(a)		136,168
	150,000	ENN Energy Holdings Ltd.		595,645
	9,328,590	Evergrande Real Estate Group Ltd.(a)		3,572,053

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	China — 10.1%—(continued)
	156,000	Great Wall Motor Co., Ltd., Class H Shares	$	353,179
	542,800	Guangzhou R&F Properties Co., Ltd., Class H Shares(a)		629,836
	81,500	Hengan International Group Co., Ltd.		819,066
	676,000	Huaneng Power International Inc., Class H Shares		465,407
	10,764,050	Industrial & Commercial Bank of China, Class H Shares		5,856,438
	50,800	Inner Mongolia Yitai Coal Co., Class B Shares		276,606
	990,000	Jiangxi Copper Co., Ltd., Class H Shares		2,146,874
	1,222,000	Lenovo Group Ltd.		994,136
	50,100	NetEase Inc., ADR(a)*		2,608,707
	859,500	PetroChina Co., Ltd., Class H Shares		1,038,319
	582,000	PICC Property & Casualty Co., Ltd., Class H Shares*		700,084
	139,000	Ping An Insurance Group Co. of China Ltd., Class H Shares		1,003,571
	672,000	Shanghai Electric Group Co., Ltd., Class H Shares		270,314
	403,000	Soho China Ltd.		255,632
	132,900	Tencent Holdings Ltd.		4,057,440
	604,800	Weichai Power Co., Ltd., Class H Shares(a)		1,598,494
	264,000	Yanzhou Coal Mining Co., Ltd., Class H Shares		376,448
	350,000	Zhejiang Expressway Co., Ltd., Class H Shares		230,587
	2,414,000	Zijin Mining Group Co., Ltd., Class H Shares(a)		756,291
	1,361,000	Zoomlion Heavy Industry Science & Technology Co., Ltd., Class H Shares(a)		1,456,403

		Total China		70,662,471

	Colombia — 0.7%
	188,121	Pacific Rubiales Energy Corp.		4,596,691

	Cyprus — 0.1%
	45,059	Globaltrans Investment PLC, GDR		847,109

	Egypt — 1.1%
	480,890	Commercial International Bank Egypt SAE		2,371,847
	65,764	Eastern Tobacco		829,762
	91,520	Orascom Construction Industries		4,125,842

		Total Egypt		7,327,451

	France — 0.4%
	55,421	CFAO SA		2,598,837

	Hong Kong — 3.4%
	444,000	China Mobile Ltd.		4,739,785
	98,413	China Mobile Ltd., ADR		5,283,793
	861,000	China Overseas Land & Investment Ltd.		1,944,835
	768,000	China Resources Land Ltd.		1,483,264
	874,000	China Unicom Hong Kong Ltd.		1,381,489
	516,000	COSCO Pacific Ltd.		637,990
	631,000	Galaxy Entertainment Group Ltd.(a)*		1,793,839
	622,000	Guangdong Investment Ltd.		460,307
	4,468,200	Huabao International Holdings Ltd.(a)		2,298,533
	7,355,500	REXLot Holdings Ltd.(a)		531,062
	106,000	Shanghai Industrial Holdings Ltd.		291,776
	1,268,000	Shimao Property Holdings Ltd.(a)		1,915,986
	1,834,000	Shougang Fushan Resources Group Ltd.		484,729
	1,524,000	Yuexiu Property Co., Ltd.		357,604

		Total Hong Kong		23,604,992

	Hungary — 0.6%
	247,216	OTP Bank PLC		3,916,802

	India — 3.6%
	52,834	Ambuja Cements Ltd., GDR(b)		176,466
	53,929	Dr. Reddy’s Laboratories Ltd., ADR		1,620,027
	7,235	GAIL India Ltd., GDR(b)		278,475
	163,563	HDFC Bank Ltd., ADR		5,492,446

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	India — 3.6%—(continued)
	143,466	ICICI Bank Ltd., ADR	$	4,666,949
	128,284	Infosys Ltd., ADR(a)		5,455,919
	172,546	ITC Ltd., GDR*		831,499
	5,540	Larsen & Toubro Ltd., GDR		133,846
	62,678	Mahindra & Mahindra Ltd., GDR		852,421
	49,192	Reliance Industries Ltd., London Shares, GDR(c)		1,345,401
	10,054	State Bank of India Ltd., London Shares, GDR		698,753
	72,318	Sterlite Industries India Ltd., ADR		510,565
	123,309	Tata Motors Ltd., ADR		2,604,286
	2,400	Ultratech Cement Ltd., GDR		73,068
	12,309	Wipro Ltd., ADR(a)		95,764

		Total India		24,835,885

	Indonesia — 3.6%
	12,769,619	Adaro Energy Tbk PT		1,834,754
	6,598,162	Bank Mandiri Persero Tbk PT		5,397,553
	843,000	Bank Rakyat Indonesia Persero Tbk PT		614,457
	485,500	Charoen Pokphand Indonesia Tbk PT		137,478
	177,000	Indo Tambangraya Megah Tbk PT		709,114
	1,932,000	Perusahaan Gas Negara PT		749,701
	1,992,500	Semen Gresik Persero Tbk PT		2,591,190
	736,000	Tambang Batubara Bukit Asam Tbk PT		1,126,964
	832,996	Telekomunikasi Indonesia Tbk PT		812,466
	200,300	Telekomunikasi Indonesia Tbk PT, ADR		7,731,579
	1,626,378	United Tractors Tbk PT		3,419,914

		Total Indonesia		25,125,170

	Luxembourg — 0.3%
	55,674	Oriflame Cosmetics SA		1,943,985

	Malaysia — 0.8%
	77,600	Alliance Financial Group Bhd		102,573
	141,100	British American Tobacco Malaysia Bhd		2,880,254
	114,000	DiGi.Com Bhd		175,497
	150,000	Malayan Banking Bhd		439,270
	42,700	RHB Capital Bhd		99,490
	65,300	Sime Darby Bhd		205,023
	65,400	Telekom Malaysia Bhd		127,263
	68,000	Tenaga Nasional Bhd		148,862
	456,400	UMW Holdings Bhd		1,489,928

		Total Malaysia		5,668,160

	Mexico — 4.2%
	31,300	Alfa SAB de CV, Class A Shares		500,225
	430,216	América Móvil SAB de CV, Class L Shares, ADR		11,009,227
	32,700	Cemex SAB de CV, ADR*		244,269
	2,400	Fomento Económico Mexicano SAB de CV, ADR		202,800
	809,241	Genomma Lab Internacional SAB de CV, Class B Shares*		1,628,694
	137,100	Grupo Financiero Banorte SAB de CV, Class O Shares		695,986
	2,985,527	Grupo México SAB de CV, Class B Shares		8,881,196
	142,500	Grupo Televisa SAB, ADR		3,274,650
	8,405	Industrias Peñoles SAB de CV		342,949
	1,120,400	Kimberly-Clark de México SAB de CV, Class A Shares		2,283,707

		Total Mexico		29,063,703

	Netherlands — 0.2%
	17,000	VimpelCom Ltd., ADR		180,710
	66,208	Yandex NV, Class A Shares(a)*		1,398,313

		Total Netherlands		1,579,023

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	Nigeria — 0.0%
	28,570	Guaranty Trust Bank PLC, GDR(c)	$	160,932

	Pakistan — 0.7%
	1,105,862	Oil & Gas Development Co., Ltd.		2,086,693
	1,084,744	Pakistan Petroleum Ltd.		2,558,413

		Total Pakistan		4,645,106

	Peru — 1.0%
	116,912	Cia de Minas Buenaventura SA, ADR		4,052,170
	21,610	Credicorp Ltd.		2,604,653

		Total Peru		6,656,823

	Philippines — 1.5%
	344,800	Aboitiz Power Corp.		278,263
	223,034	Bank of the Philippine Islands		397,046
	364,920	DMCI Holdings Inc.		501,516
	99,010	First Philippine Holdings Corp.		178,961
	288,426	Metropolitan Bank & Trust		623,337
	113,200	Philippine Long Distance Telephone Co., ADR		7,278,759
	39,570	SM Investments Corp.		665,918
	756,700	SM Prime Holdings Inc.		251,455

		Total Philippines		10,175,255

	Russia — 8.4%
	502,471	Gazprom OAO, ADR		4,856,382
	658,914	Gazprom OAO, London Shares, ADR		6,417,163
	32,452	Lukoil OAO		1,922,781
	8,000	Lukoil OAO, ADR		454,560
	115,514	Lukoil OAO, London Shares, ADR		6,561,195
	79,373	Magnit OJSC, GDR(c)		2,531,205
	566,153	Mobile Telesystems OJSC, ADR(a)		10,422,877
	439,096	Rosneft Oil Co., GDR		2,595,057
	5,916,036	Sberbank of Russia		17,008,604
	27,599	Severstal OAO		331,188
	25,823	Tatneft, ADR		985,664
	835,783	TNK-BP Holding		2,223,183
	74,038	Uralkali OJSC, GDR		2,862,309

		Total Russia		59,172,168

	South Africa — 9.5%
	189,022	African Bank Investments Ltd.		732,316
	79,204	AngloGold Ashanti Ltd.		2,482,127
	7,094	Assore Ltd.		258,771
	122,958	AVI Ltd.		850,134
	61,188	Barloworld Ltd.		517,878
	208,800	Bidvest Group Ltd.		5,077,657
	19,702	Exxaro Resources Ltd.		351,424
	916,738	FirstRand Ltd.		2,999,786
	123,509	Foschini Group Ltd. (The)		1,987,628
	42,836	Gold Fields Ltd.		515,896
	294,795	Growthpoint Properties Ltd.		963,937
	95,018	Imperial Holdings Ltd.		2,312,374
	19,192	Kumba Iron Ore Ltd.		1,098,156
	46,335	Liberty Holdings Ltd.		507,110
	338,297	Life Healthcare Group Holdings Ltd.		1,286,446
	25,628	Massmart Holdings Ltd.		519,816
	160,133	MTN Group Ltd.		2,996,976
	793,710	Murray & Roberts Holdings Ltd.*		2,063,575
	45,549	Naspers Ltd., Class N Shares		2,655,159
	194,892	Nedbank Group Ltd.		4,298,021

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	South Africa — 9.5%—(continued)
	733,553	Pretoria Portland Cement Co., Ltd.	$	2,326,033
	947,017	Sanlam Ltd.		4,174,721
	36,803	Sasol Ltd.		1,591,364
	361,874	Shoprite Holdings Ltd.		7,289,892
	243,226	Standard Bank Group Ltd.		3,218,368
	98,513	Tiger Brands Ltd.		3,251,766
	397,875	Truworths International Ltd.		4,517,668
	235,708	Vodacom Group Ltd.		3,005,936
	357,252	Woolworths Holdings Ltd.		2,555,222

		Total South Africa		66,406,157

	South Korea — 14.4%
	8,655	Daelim Industrials Co., Ltd.		677,985
	8,087	Dongbu Insurance Co., Ltd.		330,657
	1,562	Doosan Corp.		186,707
	29,884	Hana Financial Group Inc.		893,673
	39,878	Hite Jinro Co., Ltd.		784,474
	10,920	Hotel Shilla Co., Ltd.		517,294
	32,225	Hyundai Engineering & Construction Co., Ltd.		1,802,280
	2,427	Hyundai Heavy Industries Co., Ltd.		495,634
	33,280	Hyundai Marine & Fire Insurance Co., Ltd.		960,000
	22,422	Hyundai Mobis		6,082,185
	40,064	Hyundai Motor Co.		8,499,817
	84,110	Industrials Bank of Korea		894,077
	266,872	KB Financial Group Inc.		8,651,681
	2,260	KCC Corp.		564,203
	54,824	Kia Motors Corp.		3,583,679
	663,538	Korea Life Insurance Co., Ltd.		4,155,893
	101,855	KT&G Corp.		7,718,194
	20,840	NHN Corp.		4,770,625
	13,200	POSCO		4,296,754
	23,020	Samsung Electronics Co., Ltd.		25,038,513
	32,140	Samsung Heavy Industries Co., Ltd.		1,053,282
	338,986	Shinhan Financial Group Co., Ltd.		10,555,933
	7,483	SK Holdings Co., Ltd.		1,102,383
	3,621	SK Innovation Co., Ltd.		522,260
	8,805	SK Telecom Co., Ltd.		1,130,141
	104,040	Woongjin Coway Co., Ltd.		3,602,302
	166,510	Woori Finance Holdings Co., Ltd.		1,586,369

		Total South Korea		100,456,995

	Taiwan — 5.8%
	2,320,859	Advanced Semiconductor Engineering Inc.		1,739,751
	342,523	Asia Cement Corp.		394,311
	99,000	Asustek Computer Inc.		990,596
	1,233,666	Chinatrust Financial Holding Co., Ltd.		738,994
	335,000	Chipbond Technology Corp.		492,713
	182,936	Chunghwa Telecom Co., Ltd.		554,036
	494,000	Compal Electronics Inc.		433,957
	422,000	Coretronic Corp.		390,479
	201,062	Far Eastern New Century Corp.		211,949
	87,000	Farglory Land Development Co., Ltd.		156,927
	206,000	Formosa Chemicals & Fibre Corp.		532,889
	76,830	Formosa Plastics Corp.		207,489
	560,889	Fubon Financial Holding Co., Ltd.		558,411
	113,000	Highwealth Construction Corp.		189,077
	1,573,282	Hon Hai Precision Industry Co., Ltd.		4,464,705
	527,475	Hon Hai Precision Industry Co., Ltd., London Shares, GDR		3,038,256
	44,283	HTC Corp.		382,338

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares		Security	Value
	Taiwan — 5.8%—(continued)
	67,345	HTC Corp., GDR	$	2,325,086
	244,215	Lite-On Technology Corp.		296,258
	519,000	MediaTek Inc.		5,557,861
	566,114	Mega Financial Holding Co., Ltd.		427,209
	138	Pacific Electric Wire & Cable Co., Ltd.(d)*		0
	361,270	Pou Chen Corp.		349,398
	140,316	Silitech Technology Corp.		264,366
	124,988	Taiwan Mobile Co., Ltd.		464,282
	2,224,031	Taiwan Semiconductor Manufacturing Co., Ltd.		6,199,779
	537,215	Taiwan Semiconductor Manufacturing Co., Ltd., ADR(a)		7,897,061
	164,381	Tripod Technology Corp.		363,066
	105,000	TSRC Corp.		221,371
	1,225,000	United Microelectronics Corp.		491,935

		Total Taiwan		40,334,550

	Thailand — 2.1%
	179,050	Advanced Info Service PCL		1,220,210
	153,200	Advanced Info Service PCL, NVDR		1,063,651
	224,800	Bangkok Bank PCL, NVDR		1,352,180
	43,850	Banpu PCL		631,339
	2,007,000	CP ALL PCL		2,215,373
	564,400	CP ALL PCL, NVDR		622,998
	384,500	PTT Exploration & Production PCL		1,833,003
	102,600	PTT PCL, NVDR		1,083,283
	6,535,900	Sansiri PCL, NVDR		485,148
	258,100	Siam Cement PCL		3,030,641
	348,300	Thai Oil PCL, NVDR		729,920

		Total Thailand		14,267,746

	Turkey — 4.2%
	881,027	Akbank TAS		3,481,439
	367	Aktaş Elektrik Ticaret A(d)*		0
	87,528	Arcelik A		484,607
	5,207	BIM Birlesik Magazalar A		214,212
	22,238	Ford Otomotiv Sanayi A		218,464
	1,242,345	Kardemir Karabük Demir Çelik Sanayi ve Ticaret A, Class D Shares		793,132
	876,058	KOC Holding A		3,567,875
	22,734	Koza Altin Işletmeleri A		447,924
	1,088,514	Turkcell iletişim Hizmetleri A*		6,469,979
	960,340	Türkiye Garanti Bankasi A		4,122,538
	172,246	Türkiye Halk Bankasi A		1,554,669
	2,360,002	Türkiye Iş Bankasi, Class C Shares		7,195,603
	243,983	Türkiye Vakiflar Bankasi TAO, Class D Shares		553,225

		Total Turkey		29,103,667

	United Kingdom — 0.1%
	18,875	Anglo American PLC		530,446

	United States — 0.7%
	62,148	Las Vegas Sands Corp.		2,634,454
	58,380	Southern Copper Corp.		1,899,685

		Total United States		4,534,139

		TOTAL COMMON STOCKS (Cost — $538,598,554)		638,331,035

	PREFERRED STOCKS — 1.8%
	Brazil — 1.4%
	61,146	Banco Bradesco SA, 0.700%		993,828
	104,055	Cia Energética de Minas Gerais, 4.250%		1,775,805
	397,154	Itaú Unibanco Holding SA, 0.620%		6,200,794

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments


Shares			Security	Value
	Brazil — 1.4%—(continued)
	202,958		Klabin SA, 3.160%	$	909,655

			Total Brazil		9,880,082

	Russia — 0.1%
	533		AK Transneft OAO, 1.640%		844,272

	South Korea — 0.3%
	3,027		Samsung Electronics Co., Ltd., 0.680%		1,946,615

			TOTAL PREFERRED STOCKS (Cost — $9,324,283)		12,670,969

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $547,922,837)		651,002,004

Face Amount†
	SHORT-TERM INVESTMENTS (e) — 9.9%
	MONEY MARKET FUND — 4.2%
	28,945,863		Invesco STIT — Government & Agency Portfolio (f) (Cost — $28,945,863)		28,945,863

	TIME DEPOSITS — 5.7%
	15,321,329		Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		15,321,329
			BBH — Grand Cayman:
	1,685	^EUR	-0.036% due 9/3/12		2,120
	4,969,353	^HKD	0.005% due 9/3/12		640,686
	773	^GBP	0.052% due 9/3/12		1,227
	1,667,054	^ZAR	4.150% due 9/3/12		198,725
	1,965,374		HSBC Bank — Grand Cayman, 0.030% due 9/4/12		1,965,374
	5,491,540		JPMorgan Chase & Co. — London, 0.030% due 9/4/12		5,491,540
	16,294,249		Wells Fargo — Grand Cayman, 0.030% due 9/4/12		16,294,249

			TOTAL TIME DEPOSITS (Cost — $39,915,250)		39,915,250

			TOTAL SHORT-TERM INVESTMENTS (Cost — $68,861,113)		68,861,113

			TOTAL INVESTMENTS — 103.5% (Cost — $616,783,950#)		719,863,117

			Liabilities in Excess of Other Assets — (3.5)%		(24,660,310	)

			TOTAL NET ASSETS — 100.0%	$	695,202,807

†	Face amount denominated in U.S. dollars, unless otherwise noted.

*	Non-income producing security.

(a)	All or a portion of this security is on loan (See Note 1).

(b)	Illiquid security.

(c)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(d)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(e)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 5.7%.

(f)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $648,219,830.

Abbreviations used in this schedule:


ADR	—	American Depositary Receipts
EUR	—	Euro Dollar
GBP	—	British Pound

See Notes to Financial Statements.

Schedules of Investments

(continued)

Emerging Markets Equity Investments

Abbreviations used in this schedule:


GDR	—	Global Depositary Receipt
HKD	—	Hong Kong Dollar
NVDR	—	Non-Voting Depositary Receipt
PCL	—	Public Company Limited
PLC	—	Public Limited Company
ZAR	—	South African Rand

Summary of Investments by Security Sector*


Financials	23.9	%
Information Technology	14.9
Energy	9.8
Telecommunication Services	9.5
Materials	9.5
Consumer Discretionary	8.1
Consumer Staples	7.8
Industrials	4.9
Utilities	1.4
Health Care	0.6
Short-Term Investments	9.6

	100.0	%

*	As a percentage of total investments.

For details of other financial instruments held by this fund, refer to Note 3.

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	MORTGAGE-BACKED SECURITIES — 27.1%
	FHLMC — 7.4%
			Federal Home Loan Mortgage Corp. (FHLMC):
$	14,565		11.500% due 10/1/15	$	14,650
	1,633		9.500% due 6/1/16		1,640
	81,018		8.500% due 11/1/16 — 7/1/17		86,044
	17,526		8.000% due 1/1/17 — 6/1/17		18,080
	53,176		2.625% due 12/1/34(a)		56,826
	58,163		2.754% due 1/1/35(a)		62,474
	579,712		2.837% due 3/1/36(a)(b)		621,834
	49,867		2.320% due 2/1/37(a)		52,483
	138,999		2.184% due 5/1/37(a)		145,933
	124,942		2.870% due 5/1/37(a)		133,168
	1,112,372		5.923% due 5/1/37(a)		1,205,202
	140,067		3.130% due 3/1/41(a)		147,538
	300,000		2.051% due 7/1/42(a)		310,808
			Gold:
	10,960,729		5.500% due 10/1/13 — 2/1/40(b)		12,115,862
	1,546,509		6.500% due 7/1/14 — 9/1/39(b)		1,741,597
	2,051,724		6.000% due 5/1/16 — 6/1/39		2,248,844
	8,286		8.500% due 2/1/18		9,172
	3,261,958		5.000% due 6/1/21 — 4/1/41		3,557,261
	24,992,654		4.000% due 10/1/25 — 10/1/42(c)		27,011,835
	7,334,224		3.500% due 12/1/25 — 6/1/42(c)		7,813,025
	3,755,000		2.500% due 9/15/27 — 10/15/27(c)		3,890,522
	13,352,757		4.500% due 4/1/29 — 6/1/42		14,724,372

			TOTAL FHLMC		75,969,170

	FNMA — 13.8%
			Federal National Mortgage Association (FNMA):
	18,729,436		4.000% due 5/1/13 — 6/1/42		20,314,136
	10,694,628		5.500% due 2/1/14 — 5/1/40		11,771,285
	2,207		8.500% due 4/1/17		2,471
	8,685		8.000% due 8/1/17		9,057
	1,229,687		4.761% due 2/1/20		1,442,221
	1,242,536		4.671% due 7/1/20		1,455,901
	1,297,283		3.975% due 11/1/20		1,481,103
	7,173,829		6.000% due 9/1/21 — 7/1/39		7,941,230
	156		9.500% due 11/1/21		160
	7,400,535		5.000% due 12/1/21 — 7/1/40		8,133,522
	1,546,291		3.264% due 1/1/22		1,699,448
	15,710,751		4.500% due 3/1/24 — 12/1/41		17,081,950
	30,806,847		3.500% due 9/15/25 — 9/15/42(c)		32,907,121
	22,830,814		3.000% due 8/1/26 — 10/15/42(c)		23,804,177
	444,997		7.000% due 9/1/26 — 4/1/37(b)		505,148
	1,792,235		2.500% due 1/1/27 — 9/1/27(c)		1,862,556
	46,624		2.690% due 3/1/30(a)(b)		47,122
	751,332		2.678% due 3/1/34(a)		791,434
	15,585		2.488% due 12/1/34(a)		16,657
	163,569		2.497% due 12/1/34(a)		174,863
	242,717		2.607% due 9/1/35(a)		259,610
	181,746		2.063% due 10/1/35(a)		189,625
	245,339		2.145% due 10/1/35(a)		257,040
	204,387		2.021% due 11/1/35(a)(b)		213,395
	50,597		2.110% due 11/1/35 (a)		53,148
	177,824		2.117% due 11/1/35(a)		185,974
	45,266		2.118% due 11/1/35(a)		47,460
	57,765		2.130% due 11/1/35(a)		60,688

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	FNMA — 13.8%—(continued)
$	40,722		2.150% due 11/1/35(a)	$	42,756
	633,449		2.250% due 1/1/36(a)		669,018
	350,298		5.725% due 6/1/36(a)		381,735
	523,316		3.005% due 8/1/36(a)		561,183
	714,896		6.238% due 9/1/36(a)		772,147
	81,963		2.692% due 12/1/36(a)		88,247
	316,738		5.852% due 2/1/37(a)		344,704
	623,779		2.502% due 4/1/37(a)		659,536
	736,818		5.506% due 4/1/37(a)		793,687
	854,135		5.646% due 5/1/37(a)		923,759
	783,444		5.931% due 8/1/37(a)		852,061
	914,741		6.500% due 9/1/37 — 5/1/40		1,041,130
	229,652		2.974% due 2/1/41(a)		241,213
	549,214		3.240% due 7/1/41(a)		579,929
	298,937		2.025% due 7/1/42(a)		309,670
	104,742		2.324% due 7/1/42(a)		109,054

			TOTAL FNMA		141,078,331

	GNMA — 5.9%
			Government National Mortgage Association (GNMA):
	3,069		9.500% due 12/15/16 — 8/15/17		3,099
	22,574		8.500% due 1/20/17 — 5/15/30		25,097
	15,631		9.000% due 4/20/17 — 9/15/30		17,782
	105,060		1.625% due 2/20/26 — 10/20/27(a)(b)		109,371
	1,272		8.000% due 3/20/30(b)		1,594
	35,437		2.000% due 5/20/30(a)(b)		37,023
	14,388		4.500% due 9/15/33(b)		15,890
	1,694,976		6.000% due 12/15/33 — 9/1/42(c)		1,913,824
	560,477		6.500% due 1/15/34 — 10/15/38		640,003
	2,650,068		5.000% due 10/15/34 — 9/15/40		2,947,559
	392,962		5.500% due 5/15/37 — 6/15/38		439,180
	929,138		4.000% due 6/15/41 — 7/15/41		1,022,102
	5,100,000		3.500% due 9/15/41(c)		5,514,375
	28,000,000		3.000% due 10/1/42(c)		29,330,000
			Government National Mortgage Association II (GNMA):
	956,178		6.000% due 7/20/37 — 4/20/41		1,080,664
	1,822,331		5.000% due 9/15/39 — 9/20/41(c)		2,029,639
	10,550,771		4.500% due 1/20/40 — 10/20/41		11,732,598
	1,221,999		4.000% due 11/20/40 — 7/20/42		1,345,623
	1,696,582		3.500% due 7/20/42		1,836,756

			TOTAL GNMA		60,042,179

			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $268,285,977)		277,089,680

	ASSET-BACKED SECURITIES — 1.5%
	Automobiles — 0.2%
	1,050,000	AAA	AmeriCredit Automobile Receivables Trust, Series 2011-2, Class A3, 1.610% due 10/8/15		1,058,148
	960,000	AAA	Santander Drive Auto Receivables Trust, Series 2012-2, Class A3, 1.220% due 12/15/15		968,295

			Total Automobiles		2,026,443

	Credit Card — 0.2%
	449,905	Aaa(d)	321 Henderson Receivables I LLC, Series 2012-2A, Class A, 3.840% due 10/15/59(e)		450,720
	1,695,000	AAA	Arran Funding Ltd., Series 2012-1A, Class A1, 0.940% due 7/15/15(a)(e)		1,696,170

			Total Credit Card		2,146,890

	Student Loan — 1.1%
	840,805	AA+	CIT Education Loan Trust, Series 2007-1, Class A, 0.558% due 3/25/42(a)(e)		765,764
	850,000	AA+	EFS Volunteer LLC, Series 2010-1, Class A2, 1.301% due 10/25/35(a)(e)		810,547

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Student Loan — 1.1%—(continued)
$	1,716,392	AAA	Keycorp Student Loan Trust, Series 2002-A, Class 1A2, 0.617% due 8/27/31(a)	$	1,571,410
	500,000	AA+	Nelnet Education Loan Funding Inc., Series 2004-2A, Class A5C, 1.090% due 2/25/39(a)		444,661
			SLM Student Loan Trust:
	873,163	AAA	Series 2012-A, Class A1, 1.640% due 8/15/25(a)(e)		879,922
	900,000	AAA	Series 2005-4, Class A3, 0.571% due 1/25/27(a)		853,438
	935,000	AAA	Series 2011-B, Class A2, 3.740% due 2/15/29(e)		999,997
	199,553	AA+	Series 2003-4, Class A5A, 1.218% due 3/15/33(a)(e)		194,190
	880,000	AA+	Series 2005-5, Class A5, 1.201% due 10/25/40(a)		825,000
	1,698,907	AAA	Series 2010-A, Class 2A, 3.490% due 5/16/44(a)(b)(e)		1,762,612
	680,000	AAA	Series 2012-D, Class A2, 2.950% due 2/15/46(e)		704,769
	705,000	AAA	Series 2012-C, Class A2, 3.310% due 10/15/46(e)		730,770

			Total Student Loan		10,543,080

			TOTAL ASSET-BACKED SECURITIES (Cost — $14,627,287)		14,716,413

	COLLATERALIZED MORTGAGE OBLIGATIONS — 14.4%
			Accredited Mortgage Loan Trust:
	126,516	AAA	Series 2005-3, Class A1, 0.480% due 9/25/35(a)		120,979
	2,800,000	B-	Series 2007-1, Class A4, 0.456% due 2/25/37(a)		1,309,266
	127,227	AAA	ACE Securities Corp., Series 2004-SD1, Class A1, 0.726% due 11/25/33(a)		123,917
			Adjustable Rate Mortgage Trust:
	2,517,658	CCC	Series 2005-10, Class 3A11, 5.126% due 1/25/36(a)(b)		2,256,932
	3,200,000	CCC	Series 2005-10, Class 3A31, 5.126% due 1/25/36(a)(b)		2,887,909
	158,803	CC	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 0.886% due 6/25/29(a)		71,272
	942,175	CCC	American Home Mortgage Assets, Series 2006-1, Class 2A1, 0.426% due 5/25/46(a)(b)		549,880
	880,000	AAA	Arkle Master Issuer PLC, Series 2010-2A, Class 1A1, 1.835% due 5/17/60(a)(e)		888,464
	785,895	AAA	Asset Backed Funding Certificates, Series 2004-OPT5, Class A1, 0.586% due 6/25/34(a)(b)		603,395
			Asset Backed Securities Corp. Home Equity:
	96,665	AAA	Series 2004-HE6, Class A1, 0.511% due 9/25/34(a)(b)		85,109
	1,956,000	BBB-	Series 2005-HE5, Class M3, 0.716% due 6/25/35(a)		1,504,319
	5,500,000	A-	Series 2006-HE3, Class A5, 0.506% due 3/25/36(a)		1,844,826
	5,474,086	AA+	Avoca CLO I BV, Series III-X, Class A, 1.433% due 9/15/21(a)		6,539,161
			Banc of America Commercial Mortgage Inc.:
	1,280,000	AAA	Series 2005-2, Class A5, 4.857% due 7/10/43(a)		1,403,655
	855,000	A+	Series 2007-2, Class A4, 5.803% due 4/10/49(a)		996,825
			Banc of America Funding Corp.:
	1,641	AAA	Series 2003-1, Class A1, 6.000% due 5/20/33		1,738
	1,154,174	AAA	Series 2006-G, Class 2A3, 0.407% due 7/20/36(a)		1,163,619
			Banc of America Merrill Lynch Commercial Mortgage Inc.:
	57,000	A	Series 2005-3, Class AM, 4.727% due 7/10/43		60,156
	117,000	A+	Series 2006-1, Class AM, 5.421% due 9/10/45(a)		128,502
	925,319	Aaa(d)	Series 2007-1, Class A3, 5.449% due 1/15/49		984,482
			Banc of America Mortgage Securities Inc.:
	218,564	AAA	Series 2004-F, Class 1A1, 2.998% due 7/25/34(a)(b)		207,134
	923,718	CCC	Series 2006-B, Class 4A1, 6.132% due 11/20/46(a)		812,980
	231,074	AAA	Bayview Financial Acquisition Trust, Series 2004-A, Class A, 0.911% due 2/28/44(a)		225,555
			Bear Stearns Adjustable Rate Mortgage Trust:
	21,855	AAA	Series 2002-11, Class 1A1, 5.657% due 2/25/33(a)(b)		22,107
	386,580	AAA	Series 2005-2, Class A2, 3.078% due 3/25/35(a)(b)		389,075
	324,896	CCC	Series 2005-4, Class 3A1, 2.981% due 8/25/35(a)(b)		280,800
	857,135	D	Series 2007-3, Class 1A1, 3.117% due 5/25/47(a)(b)		616,425
			Bear Stearns ALT-A Trust:
	412,650	B-	Series 2005-2, Class 2A4, 2.843% due 4/25/35(a)		317,782
	325,575	AAA	Series 2005-4, Class 23A2, 2.889% due 5/25/35(a)(b)		299,998
	455,732	CCC	Series 2005-7, Class 22A1, 3.003% due 9/25/35(a)(b)		345,612
			Bear Stearns Asset Backed Securities Trust:
	1,369,789	AAA	Series 2005-TC2, Class A3, 0.606% due 8/25/35(a)		1,323,905

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating†��	Security	Value
$	633,954	CCC	Series 2007-HE7, Class 1A1, 1.236% due 10/25/37(a)(b)	$	419,355
			Bear Stearns Commercial Mortgage Securities:
	210,000	A-	Series 2005-PW10, Class AM, 5.449% due 12/11/40(a)		222,029
	1,540,000	Aaa(d)	Series 2005-T20, Class A4A, 5.297% due 10/12/42(a)		1,730,195
	192,036	AAA	Series 2007-PW17, Class A3, 5.736% due 6/11/50		198,278
	32,376	B	Bear Stearns Second Lien Trust, Series 2007-SV1A, Class A1, 0.456% due 12/25/36(a)(b)(e)		32,147
	916,585	BBB	Bear Stearns Structured Products Inc., Series 2007-EMX1, Class A1, 1.236% due 3/25/37(a)(e)		824,090
	1,700,000	A+	Centex Home Equity, Series 2006-A, Class AV4, 0.486% due 6/25/36(a)		1,296,306
			Chase Funding Mortgage Loan Asset-Backed Certificates:
	779	AAA	Series 2002-2, Class 2A1, 0.736% due 5/25/32(a)		712
	1,001	AAA	Series 2002-3, Class 2A1, 0.876% due 8/25/32(a)		754
	762,980	BBB	Chase Mortgage Finance Corp., Series 2007-A1, Class 5A1, 3.015% due 2/25/37(a)(b)		758,947
	440,000	Aa3(d)	Commercial Mortgage Pass Through Certificates, Series 2006-C8, Class AM, 5.347% due 12/10/46		464,051
			Countrywide Alternative Loan Trust:
	606,298	BB+	Series 2005-24, Class 4A1, 0.467% due 7/20/35(a)		414,118
	408,553	CCC	Series 2005-27, Class 2A3, 1.708% due 8/25/35(a)		275,408
	734,834	CCC	Series 2005-59, Class 1A1, 0.567% due 11/20/35(a)		457,356
	1,080,117	CCC	Series 2006-OA17, Class 1A1A, 0.432% due 12/20/46(a)(b)		619,208
	484,893	CCC	Series 2006-OA21, Class A1, 0.427% due 3/20/47(a)		267,554
	998,151	D	Series 2006-OA9, Class 2A1A, 0.447% due 7/20/46(a)(b)		447,748
			Countrywide Asset-Backed Certificates:
	1,582	B-	Series 2001-BC3, Class A, 0.716% due 12/25/31(a)		923
	5,025	AAA	Series 2002-3, Class 1A1, 0.976% due 5/25/32(a)		4,124
	12,759	AAA	Series 2003-BC2, Class 2A1, 0.836% due 6/25/33(a)		11,491
	27,612	AAA	Series 2004-SD4, Class A1, 0.616% due 12/25/34(a)(e)		26,569
	41,034	BBB	Series 2005-4, Class AF3, 4.456% due 10/25/35(a)		41,252
	626,925	CCC	Series 2006-SD3, Class A1, 0.566% due 7/25/36(a)(e)		343,577
	659,404	AA-	Series 2007-13, Class 2A2, 1.036% due 10/25/47(a)		481,776
	261,781	AA-	Series 2007-8, Class 2A1, 0.296% due 11/25/37(a)		258,687
			Countrywide Home Loan Mortgage Pass Through Trust:
	61,309	CCC	Series 2004-R2, Class 1AF1, 0.656% due 11/25/34(a)(e)		51,029
	282,019	CC	Series 2005-11, Class 3A3, 2.893% due 4/25/35(a)		148,872
	187,474	CCC	Series 2005-11, Class 6A1, 0.536% due 3/25/35(a)		126,928
	503,780	CC	Series 2005-R1, Class 1AF1, 0.596% due 3/25/35(a)(e)		414,917
			Credit Suisse First Boston Mortgage Securities Corp.:
	731,094	AAA	Series 2004-AR7, Class 2A1, 3.025% due 11/25/34(a)		737,800
	523,880	D	Series 2005-10, Class 5A6, 5.500% due 11/25/35		442,757
	972,236	B+	Series 2005-6, Class 8A1, 4.500% due 7/25/20		1,005,494
	2,800,000	Aaa(d)	Series 2010-UD1, Class A, 5.930% due 12/18/49(a)(b)(e)		3,159,604
			Credit Suisse Mortgage Capital Certificates:
	70,000	AAA	Series 2006-C1, Class A4, 5.591% due 2/15/39(a)		79,609
	975,000	A+	Series 2006-C5, Class A3, 5.311% due 12/15/39		1,105,145
	771,058	Aaa(d)	Series 2007-C1, Class AAB, 5.336% due 2/15/40		808,421
	325,954	AAA	Credit-Based Asset Servicing and Securitization LLC, Series 2004-CB4, Class A5, step bond to yield, 6.280% due 5/25/35(b)		289,393
	560,000	Aaa(d)	DBRR Trust, Series 2011-LC2, Class A4A, 4.537% due 7/12/44(a)(e)		651,336
	178,276	CCC	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 0.637% due 11/19/44(a)		101,283
			EMC Mortgage Loan Trust:
	5,781	BB(f)	Series 2002-B, Class A1, 0.886% due 2/25/41(a)(e)		4,878
	30,750	BBB-	Series 2003-A, Class A1, 0.786% due 8/25/40(a)(e)		25,881
	1,164,871	A	Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 1.936% due 9/25/33(a)		1,024,365
			Extended Stay America Trust:
	755,000	A	Series 2010-ESHA, Class C, 4.860% due 11/5/27(e)		767,213
	555,000	BBB	Series 2010-ESHA, Class D, 5.498% due 11/5/27(e)		564,969
	390,184	AA+	Federal Home Loan Bank (FHLB), Series 9W-2012, Class 1, 4.770% due 9/20/12		413,108

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
			Federal Home Loan Mortgage Corp. (FHLMC):
$	8,053	NR	Series 1865, Class DA, 26.318% due 2/15/24(a)	$	12,619
	99,718	NR	Series 4063, Class S, 5.711% due 6/15/42(a)		22,571
	782,339	NR	Series T-61, Class 1A1, 1.521% due 7/25/44(a)(b)		796,752
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	109,461	AAA(f)	Series 2808, Class FT, 0.590% due 4/15/33(a)		109,600
	164,918	NR	Series 3062, Class MC, 5.250% due 3/15/35		169,692
	3,663,160	NR	Series 3349, Class AS, 6.261% due 7/15/37(a)		629,246
	985,674	NR	Series 3451, Class SB, 5.791% due 5/15/38(a)		104,757
	511,744	NR	Series 3621, Class SB, 5.991% due 1/15/40(a)		70,288
	7,923,964	NR	Series 3866, Class SA, 5.711% due 5/15/41(a)		930,972
	1,292,688	NR	Series 4057, Class SA, 5.811% due 4/15/39(a)		297,585
	436,090	NR	Series R007, Class ZA, 6.000% due 5/15/36		512,286
			Federal National Mortgage Association (FNMA):
	37,148	NR	Series 2000-34, Class F, 0.686% due 10/25/30(a)(b)		37,350
	180,890	NR	Series 2000-T6, Class A3, 3.759% due 1/25/28(a)		192,495
	59,685	NR	Series 2002-T6, Class A1, 3.310% due 2/25/32		61,916
	34,561	NR	Series 2004-88, Class HA, 6.500% due 7/25/34		37,017
			Federal National Mortgage Association (FNMA), Interest Strip:
	571,902	NR	Series 409, Class C13, 3.500% due 11/25/41		77,414
	1,151,880	NR	Series 409, Class C18, 4.000% due 4/25/42		167,860
	280,468	NR	Series 409, Class C22, 4.500% due 11/25/39		38,809
			Federal National Mortgage Association (FNMA), REMICS:
	93,862	NR	Series 2002-34, Class FE, 0.637% due 5/18/32(a)(b)		94,410
	185,351	NR	Series 2004-38, Class FK, 0.586% due 5/25/34(a)		185,971
	1,260,110	NR	Series 2005-117, Class LC, 5.500% due 11/25/35		1,380,837
	495,920	NR	Series 2005-27, Class ND, 5.500% due 3/25/32		508,869
	211,533	NR	Series 2005-64, Class EA, 5.250% due 6/25/32		218,524
	111,994	NR	Series 2005-69, Class LE, 5.500% due 11/25/33		115,523
	3,968,467	NR	Series 2006-27, Class SH, 6.465% due 4/25/36(a)		668,627
	3,911,144	NR	Series 2006-51, Class SP, 6.415% due 3/25/36(a)		568,540
	2,718,602	NR	Series 2007-68, Class SC, 6.465% due 7/25/37(a)		403,601
	4,679,509	NR	Series 2008-18, Class SM, 6.765% due 3/25/38(a)		795,710
	1,112,405	NR	Series 2009-101, Class NS, 5.925% due 12/25/39(a)		133,928
	425,910	NR	Series 2010-118, Class YB, 6.265% due 10/25/40(a)		60,727
	800,715	NR	Series 2010-142, Class SM, 6.295% due 12/25/40(a)		117,495
	1,802,739	NR	Series 2010-27, Class SG, 4.765% due 4/25/40(a)		181,127
	555,000	NR	Series 2011-52, Class GB, 5.000% due 6/25/41		640,743
	1,304,807	NR	Series 2011-87, Class SJ, 5.715% due 9/25/41(a)		184,079
	1,029,057	NR	Series 2011-90, Class QI, 5.000% due 5/25/34		143,358
	719,195	NR	Series 2011-96, Class BS, 6.195% due 5/25/41(a)		147,934
	780,000	NR	Series 2011-99, Class DB, 5.000% due 10/25/41		905,738
	1,500,000	NR	Series 2012-25, Class B, 6.500% due 3/25/42		1,786,963
	1,900,000	NR	Series 2012-35, Class MB, 5.500% due 4/25/42		2,163,879
	900,000	NR	Series 2012-46, Class BA, 6.000% due 5/25/42		1,024,914
	1,400,000	NR	Series 2012-51, Class B, 7.000% due 5/25/42		1,676,124
	495,313	NR	Series 2012-63, Class DS, 6.315% due 3/25/39(a)		98,638
	600,000	NR	Series 2012-74, Class SA, 6.415% due 3/25/42(a)		125,450
	100,000	NR	Series 2012-75, Class AO, 0.000% due 3/25/42(g)		87,279
	600,000	NR	Series 2012-75, Class AS, 6.415% due 3/25/42(a)		125,452
	2,250,000	NR	Series 2012-76, Class AC, 6.500% due 7/25/42		2,629,653
	5,643,538	NR	Series 2012-84, Class KS, 5.765% due 8/25/42(a)		738,088
			FHLMC Multifamily Structured Pass Through Certificates:
	3,016,698	NR	Series K006, Class AX1, 1.220% due 1/25/20(a)		181,427
	2,254,406	NR	Series K007, Class X1, 1.403% due 4/25/20(a)		154,258
	1,825,831	NR	Series K008, Class X1, 1.835% due 6/25/20(a)		174,409
	932,415	NR	Series K009, Class X1, 1.676% due 8/25/20(a)		78,401
	970,253	NR	Series K014, Class X1, 1.447% due 4/25/21(a)		81,914

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
$	1,141,192	AAA(f)	Series K016, Class X1, 1.740% due 10/25/21(a)	$	124,882
	747,374	AAA(f)	Series K017, Class X1, 1.607% due 12/25/21(a)		75,226
	4,346,501	NR	Series K702, Class X1, 1.726% due 2/25/18(a)		310,623
	4,000,000	CCC	First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2D, 0.476% due 10/25/36(a)		1,894,010
	1,075,000	AAA	Ford Credit Floorplan Master Owner Trust, Series 2011-2, Class A1, 1.320% due 9/15/15		1,084,758
	380,000	BBB(f)	FREMF Mortgage Trust, Series 2012-K709, Class C, 3.872% due 4/25/45(a)(e)		344,534
	535,000	BBB+	GE Capital Commercial Mortgage Corp., Series 2007-C1, Class A4, 5.543% due 12/10/49		601,512
	120,000	AAA	GMAC Commercial Mortgage Securities Inc., Series 2006-C1, Class A4, 5.238% due 11/10/45(a)		133,067
	913,139	BBB+	GMAC Mortgage Corp. Loan Trust, Series 2004-VF1, Class A1, 0.986% due 2/25/31(a)(e)		810,751
			Government National Mortgage Association (GNMA):
	75,800	NR	Series 2000-35, Class F, 0.789% due 12/16/25(a)(b)		76,592
	66,623	NR	Series 2002-21, Class FV, 0.639% due 3/16/32(a)(b)		67,198
	5,090,422	NR	Series 2008-51, Class GS, 5.992% due 6/16/38(a)		885,154
	587,155	NR	Series 2009-106, Class SU, 5.963% due 5/20/37(a)		91,087
	167,867	NR	Series 2010-107, Class SG, 5.913% due 2/20/38(a)		24,486
	559,509	NR	Series 2010-113, Class BS, 5.763% due 9/20/40(a)		86,933
	488,754	NR	Series 2010-121, Class SE, 5.763% due 9/20/40(a)		75,702
	744,334	NR	Series 2010-3, Class MS, 6.313% due 11/20/38(a)		110,874
	202,375	NR	Series 2010-31, Class GS, 6.263% due 3/20/39(a)		28,417
	1,475,192	NR	Series 2010-35, Class AS, 5.513% due 3/20/40(a)		224,184
	149,964	NR	Series 2010-37, Class SG, 5.463% due 3/20/40(a)		23,363
	495,140	NR	Series 2010-85, Class HS, 6.413% due 1/20/40(a)		80,515
	462,289	NR	Series 2010-93, Class PS, 6.463% due 6/20/35(a)		51,739
	293,529	NR	Series 2011-11, Class SA, 5.763% due 1/20/41(a)		43,537
	67,961	NR	Series 2011-32, Class S, 5.762% due 3/16/41(a)		8,926
	225,846	NR	Series 2011-32, Class SD, 5.763% due 3/20/41(a)		35,277
	763,870	NR	Series 2011-40, Class SA, 5.892% due 2/16/36(a)		95,102
	314,276	NR	Series 2011-70, Class BS, 6.462% due 12/16/36(a)		40,706
	868,651	A	Granite Mortgages PLC, Series 2004-3, Class 3A2, 1.298% due 9/20/44(a)		1,349,745
			Greenwich Capital Commercial Funding Corp.:
	340,000	A-	Series 2006-GG7, Class A4, 6.070% due 7/10/38(a)		393,858
	90,000	BB+	Series 2006-GG7, Class AM, 6.070% due 7/10/38(a)		95,883
			GS Mortgage Securities Corp. II:
	825,000	AA-	Series 2005-GG4, Class A4, 4.761% due 7/10/39		889,312
	1,925,000	Aaa(d)	Series 2011-GC5, Class A4, 3.707% due 8/10/44		2,116,565
	188,471	CCC	GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF, 0.586% due 9/25/35(a)(e)		153,172
	271,664	AAA	GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 2.645% due 9/25/35(a)(b)		273,560
			Harborview Mortgage Loan Trust:
	787,150	BBB+	Series 2004-5, Class 2A6, 2.644% due 6/19/34(a)		761,022
	232,566	D	Series 2006-2, Class 1A, 3.010% due 2/25/36(a)		142,876
			Home Equity Asset Trust:
	233,848	BBB+	Series 2007-1, Class 2A1, 0.296% due 5/25/37(a)		230,740
	44,386	BBB	Series 2007-2, Class 2A1, 0.346% due 7/25/37(a)		43,727
	234,725	AAA	HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3, 0.426% due 12/25/35(a)		223,302
	5,009	AA+	Impac CMB Trust, Series 2003-1, Class 1A1, 1.036% due 3/25/33(a)		4,444
	224,727	CCC	Indymac INDA Mortgage Loan Trust, Series 2007-AR7, Class 1A1, 5.493% due 11/25/37(a)		190,505
			Indymac Index Mortgage Loan Trust:
	109,139	B-	Series 2004-AR15, Class 1A1, 2.710% due 2/25/35(a)		87,946
	143,714	CCC	Series 2005-AR15, Class A2, 4.806% due 9/25/35(a)		114,871
	1,137,203	D	Series 2007-AR5, Class 1A1, 3.145% due 5/25/37(a)		554,497
	1,421,508	CCC	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.396% due 8/25/36(a)		449,846
			JP Morgan Chase Commercial Mortgage Securities Corp.:
	541,625	AAA	Series 2003-C1, Class A2, 4.985% due 1/12/37		546,504
	649,952	Aaa(d)	Series 2003-ML1A, Class A2, 4.767% due 3/12/39		655,312
	101,000	BBB+	Series 2006-LDP8, Class AM, 5.440% due 5/15/45		111,676
	65,000	A-	Series 2006-LDP9, Class A3, 5.336% due 5/15/47		73,869
	390,000	BBB-	Series 2007-CB20, Class AM, 6.088% due 2/12/51(a)		426,123

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
$	3,247,254	Aaa(d)	Series 2012-CBX, Class XA, 2.237% due 6/16/45(a)	$	383,986
	123,770	B	JP Morgan Mortgage Acquisition Corp., Series 2007-CH1, Class AF2, step bond to yield, 5.453% due 11/25/36		123,494
			JP Morgan Mortgage Trust:
	141,207	AAA	Series 2005-A1, Class 6T1, 5.012% due 2/25/35(a)(b)		144,141
	44,368	Caa1(d)	Series 2006-S2, Class 2A2, 5.875% due 6/25/21		43,540
			LB-UBS Commercial Mortgage Trust:
	40,000	AAA	Series 2006-C1, Class A4, 5.156% due 2/15/31		44,871
	30,000	AAA	Series 2006-C6, Class A4, 5.372% due 9/15/39		34,734
	360,000	BBB+	Series 2006-C7, Class AM, 5.378% due 11/15/38		369,914
			Lehman XS Trust:
	255,319	B	Series 2005-5N, Class 1A1, 0.536% due 11/25/35(a)		184,717
	212,785	D	Series 2005-7N, Class 1A1B, 0.536% due 12/25/35(a)		66,072
	6,811,448	D	Series 2007-12N, Class 1A3A, 0.436% due 7/25/47(a)		2,123,663
	2,530,956	CCC	Series 2007-16N, Class 2A2, 1.086% due 9/25/47(a)		1,701,563
			MASTR Adjustable Rate Mortgages Trust:
	1,900,000	AAA	Series 2004-13, Class 3A7, 2.623% due 11/21/34(a)		1,922,098
	122,211	AAA	Series 2004-4, Class 4A1, 2.749% due 5/25/34(a)(b)		114,296
	1,084,434	AAA	MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1, 2.510% due 10/25/32(a)		1,101,177
	510,000	CCC	Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.486% due 7/25/37(a)		237,543
			Merrill Lynch Mortgage Investors Inc.:
	155,988	AA+	Series 2004-A3, Class 4A3, 4.979% due 5/25/34(a)		159,125
	2,150,000	AAA	Series 2006-FF1, Class A2C, 0.436% due 8/25/36(a)		1,987,482
			Merrill Lynch Mortgage Trust:
	860,000	Aaa(d)	Series 2004-KEY2, Class A4, 4.864% due 8/12/39(a)		929,334
	670,000	AAA	Series 2006-C1, Class A4, 5.847% due 5/12/39(a)		770,176
	260,000	Aa3(d)	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485% due 3/12/51(a)		290,396
	800,872	AAA	Mid-State Trust, Series 2004-1, Class A, 6.005% due 8/15/37		852,923
	73,027	B1(d)	MLCC Mortgage Investors Inc., Series 2005-1, Class 2A1, 2.499% due 4/25/35(a)		69,882
			Morgan Stanley Capital I:
	1,394,466	Aaa(d)	Series 2003-IQ4, Class A2, 4.070% due 5/15/40		1,414,554
	337,683	AAA	Series 2004-SD3, Class A, 0.696% due 6/25/34(a)(e)		302,130
	480,000	BBB	Series 2007-HQ12, Class A5, 5.771% due 4/12/49(a)		535,670
	200,000	BBB+	Series 2007-IQ14, Class A4, 5.692% due 4/15/49(a)		226,519
	509,037	AAA	Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A2, 2.825% due 10/25/34(a)		483,507
	2,500,000	B-	Nationstar Home Equity Loan Trust, Series 2007-A, Class AV4, 0.466% due 3/25/37(a)		1,307,721
	2,130,000	AA+	New Century Home Equity Loan Trust, Series 2005-3, Class M1, 0.716% due 7/25/35(a)		2,034,873
			Opteum Mortgage Acceptance Corp.:
	2,017,687	AAA	Series 2005-3, Class APT, 0.526% due 7/25/35(a)		1,837,086
	1,079,751	CCC	Series 2006-2, Class A1C, 0.506% due 7/25/36(a)		564,863
			Option One Mortgage Loan Trust:
	2,662	AAA	Series 2002-6, Class A2, 1.036% due 11/25/32(a)		2,250
	14,141	AAA	Series 2003-1, Class A2, 1.076% due 2/25/33(a)		11,674
	555,487	AAA	Park Place Securities Inc., Series 2005-WHQ2, Class A2D, 0.566% due 5/25/35(a)		546,522
			Permanent Master Issuer PLC:
	1,000,000	AAA	Series 2011-1A, Class 1A1, 1.835% due 7/15/42(a)(b)(e)		1,012,827
	1,900,000	AAA	Series 2011-1A, Class 1A3, 1.797% due 7/15/42(a)(e)		2,421,151
	549,121	AAA	Plymouth Rock CLO Ltd., Inc., Series 2010-1A, Class A, 1.937% due 2/16/19(a)(b)(e)		548,768
			Popular ABS Mortgage Pass-Through Trust:
	955,806	AAA	Series 2005-3, Class AF6, step bond to yield, 4.759% due 7/25/35		968,582
	2,787,000	AA+	Series 2006-C, Class A4, 0.486% due 7/25/36(a)		1,687,012
			Prime Mortgage Trust:
	451,840	CCC	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(e)		439,114
	191,731	CCC	Series 2006-DR1, Class 1A2, 6.000% due 5/25/35(e)		188,481
	1,752,938	CCC	Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(e)		1,661,915
	18,756	AAA	Public Service New Hampshire Funding LLC, Series 2001-1, Class A3, 6.480% due 5/1/15		19,131

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
			Residential Accredit Loans Inc.:
$	139,970	AAA	Series 2005-QA1, Class A1, 0.536% due 1/25/35(a)(b)	$	121,624
	1,451,445	CCC	Series 2007-QS8, Class A10, 6.000% due 6/25/37		1,051,285
			Residential Asset Mortgage Products Inc.:
	5,979	B-	Series 2003-RS4, Class AIIB, 0.896% due 5/25/33(a)		4,676
	1,247,258	AAA	Series 2003-RS9, Class AI6A, step bond to yield, 6.110% due 10/25/33		1,223,305
	536,064	AAA	Series 2004-RZ1, Class AI7, 4.030% due 1/25/33(a)		538,435
	142,493	CCC	Series 2004-SL4, Class A5, 7.500% due 7/25/32		135,410
	223,273	D	SACO I Inc., Series 2006-7, Class A1, 0.496% due 7/25/36(a)		123,035
			Small Business Administration Participation Certificates:
	102,765	NR	Series 1993-20K, Class 1, 6.150% due 11/1/13(b)		105,220
	57,158	NR	Series 1995-20J, Class 1, 6.850% due 10/1/15(b)		59,924
	108,334	NR	Series 1995-20K, Class 1, 6.650% due 11/1/15(b)		113,678
	89,586	NR	Series 1996-20G, Class 1, 7.700% due 7/1/16(b)		95,954
	458,282	NR	Series 1999-20L, Class 1, 7.190% due 12/1/19(b)		512,959
	342,009	NR	Series 2000-20A, Class 1, 7.590% due 1/1/20(b)		388,130
	765,666	NR	Series 2002-20K, Class 1, 5.080% due 11/1/22(b)		849,692
	184,761	BBB+	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 2.796% due 11/25/34(a)		154,520
	551,822	AAA	Structured Asset Investment Loan Trust, Series 2004-BNC1, Class A2, 1.236% due 9/25/34(a)		482,199
	390,348	AAA	Structured Asset Mortgage Investments Inc., Series 2005-AR5, Class A3, 0.487% due 7/19/35(a)(b)		367,958
			Structured Asset Securities Corp.:
	5,423	A-	Series 2002-14A, Class 2A1, 2.459% due 7/25/32(a)(b)		5,365
	178,075	AAA	Series 2003-AL1, Class A, 3.357% due 4/25/31(e)		173,767
	273,941	CC	Series 2005-RF3, Class 1A, 0.586% due 6/25/35(a)(e)		221,303
	910,733	BB	Series 2007-BC4, Class A3, 0.486% due 11/25/37(a)		847,502
	150,960	NR	U.S. Small Business Administration, Series 2005-P10A, Class 1, 4.638% due 2/10/15		160,152
	827,353	AAA	Vanderbilt Mortgage Finance, Series 2001-A, Class A4, 7.235% due 6/7/28(a)		858,287
	300,000	AA+	Venture CDO Ltd., Series 2007-8A, Class A2A, 0.673% due 7/22/21(a)(b)(e)		285,019
	30,000	AA	Wachovia Bank Commercial Mortgage Trust, Series 2006-C27, Class A3, 5.765% due 7/15/45(a)		34,432
			WaMu Mortgage Pass Through Certificates:
	40,884	AA	Series 2004-AR11, Class A, 2.449% due 10/25/34(a)		40,846
	159,659	AAA	Series 2004-AR12, Class A2A, 0.578% due 10/25/44(a)		139,625
	444,770	AAA	Series 2005-AR11, Class A1A, 0.556% due 8/25/45(a)		399,424
	1,144,269	AAA	Series 2005-AR13, Class A1A1, 0.526% due 10/25/45(a)(b)		1,000,697
	443,283	B+	Series 2005-AR15, Class A1A2, 0.516% due 11/25/45(a)		357,787
	416,804	AAA	Series 2005-AR19, Class A1A2, 0.526% due 12/25/45(a)		358,728
	1,000,000	B-	Series 2005-AR4, Class A5, 2.514% due 4/25/35(a)		875,941
	2,875,935	AAA	Series 2006-AR1, Class 2A1A, 1.218% due 1/25/46(a)		2,589,667
	1,096,334	B	Series 2006-AR13, Class 2A, 2.616% due 10/25/46(a)(b)		922,152
	610,203	CCC	Series 2007-HY4, Class 4A1, 2.482% due 9/25/36(a)		470,774
	950,350	CCC	Series 2007-OA2, Class 1A, 0.848% due 3/25/47(a)(b)		624,670
	1,255,391	D	Series 2007-OA2, Class 2A, 0.847% due 1/25/47(a)		582,305
	1,191,798	CCC	Series 2007-OA5, Class 1A, 0.898% due 6/25/47(a)		875,223
	2,120,353	AA	Washington Mutual Inc., Series 2006-AR3, Class A1A, 1.148% due 2/25/46(a)		1,798,411
	2,184,000	B-	Wells Fargo Home Equity Trust, Series 2006-3, Class A3, 0.446% due 1/25/37(a)		849,109
			Wells Fargo Mortgage Backed Securities Trust:
	1,770,918	Caa1(d)	Series 2006-12, Class A3, 6.000% due 10/25/36(b)		1,685,412
	538,743	CCC	Series 2006-AR2, Class 2A1, 2.617% due 3/25/36(a)(b)		510,146
	133,488	Caa2(d)	Series 2006-AR7, Class 2A4, 2.623% due 5/25/36(a)(b)		109,573
			WF-RBS Commercial Mortgage Trust:
	795,000	Aaa(d)	Series 2011-C2, Class A2, 3.791% due 2/15/44(e)		864,886
	1,035,000	Aaa(d)	Series 2011-C5, Class A4, 3.667% due 11/15/44		1,131,247
	2,055,305	Aaa(d)	Series 2012-C7, Class XA, 1.768% due 6/15/45(a)(e)		226,897

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $152,787,628)		147,252,593

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 26.3%
	Aerospace & Defense — 0.2%
$	300,000	A	Goodrich Corp., Senior Unsecured Notes, 6.290% due 7/1/16(b)	$	353,901
			United Technologies Corp., Senior Unsecured Notes:
	830,000	A	3.100% due 6/1/22		884,843
	445,000	A	4.500% due 6/1/42		507,799

			Total Aerospace & Defense		1,746,543

	Airlines — 0.5%
			Continental Airlines Inc., Pass Thru Certificates:
	243,917	BBB+	6.648% due 9/15/17		257,332
	393,676	BBB+	7.256% due 3/15/20		425,170
	1,213,865	A-	Delta Air Lines 2009-1 Class A Pass Through Trust, Pass Thru Certificates, 7.750% due 12/17/19		1,386,841
	706,878	BBB-	JetBlue Airways 2004-2 G-1 Pass Through Trust, Pass Thru Certificates, 0.810% due 8/15/16(a)		665,856
	625,000	BB+	JetBlue Airways 2004-2 G-2 Pass Through Trust, Pass Thru Certificates, 0.885% due 11/15/16(a)		540,625
	355,003	A-	Northwest Airlines Inc., Pass Thru Certificates, 7.041% due 4/1/22		395,608
	87,707	BBB+	UAL 2009-2A Pass Through Trust, Pass Thru Certificates, 9.750% due 1/15/17		100,424
	946,456	BBB+	United Air Lines Inc., Pass Thru Certificates, 10.400% due 11/1/16		1,090,791

			Total Airlines		4,862,647

	Automobiles — 0.4%
			Daimler Finance North America LLC, Company Guaranteed Notes:
	1,030,000	A-	1.875% due 9/15/14(e)		1,044,841
	540,000	A-	2.625% due 9/15/16(e)		562,329
			Volkswagen International Finance NV, Company Guaranteed Notes:
	1,600,000	A-	0.911% due 10/1/12(a)(b)(e)		1,600,000
	1,200,000	A-	1.071% due 4/1/14(a)(b)(e)		1,201,498

			Total Automobiles		4,408,668

	Beverages — 0.8%
			Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	300,000	A	5.375% due 1/15/20		366,953
	620,000	A	5.000% due 4/15/20		746,435
	585,000	A	2.500% due 7/15/22		595,415
	260,000	A	3.750% due 7/15/42		267,477
	545,000	A-	Coca-Cola Femsa SAB de CV, Senior Unsecured Notes, 4.625% due 2/15/20		621,478
	403,000	A-	Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20		474,043
	200,000	A-	Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22		208,740
	2,400,000	BBB+	Foster’s Finance Corp., Company Guaranteed Notes, 4.875% due 10/1/14(e)(h)		2,582,544
	50,000	BBB-	Molson Coors Brewing Co., Company Guaranteed Notes, 3.500% due 5/1/22		53,085
			PepsiCo Inc., Senior Unsecured Notes:
	490,000	A-	0.700% due 8/13/15		491,595
	310,000	A-	7.900% due 11/1/18		420,501
			Pernod-Ricard SA, Senior Unsecured Notes:
	200,000	BBB-	2.950% due 1/15/17(e)		208,648
	390,000	BBB-	4.450% due 1/15/22(e)		421,372
	325,000	BBB+	SABMiller Holdings Inc., Company Guaranteed Notes, 3.750% due 1/15/22(e)		353,130

			Total Beverages		7,811,416

	Biotechnology — 0.1%
	330,000	A+	Amgen Inc., Senior Unsecured Notes, 5.375% due 5/15/43		374,902
	625,000	BBB	Life Technologies Corp., Senior Unsecured Notes, 4.400% due 3/1/15		664,680

			Total Biotechnology		1,039,582

	Building Products — 0.1%
	1,400,000	BB-	PulteGroup Inc., Company Guaranteed Notes, 6.250% due 2/15/13(b)		1,433,250

	Capital Markets — 1.6%
	450,000	BB+	Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% due 6/1/43(a)		328,775

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Capital Markets — 1.6%—(continued)
			Goldman Sachs Group Inc. (The):
$	630,000	A-	Senior Notes, 6.250% due 2/1/41	$	706,104
			Senior Unsecured Notes:
	10,000	A-	5.450% due 11/1/12		10,074
	15,000	A-	4.750% due 7/15/13		15,481
	80,000	A-	5.250% due 10/15/13		83,535
	1,285,000	A-	6.000% due 5/1/14		1,372,397
	1,000,000	A-	5.750% due 10/1/16(b)		1,119,601
	3,400,000	A-	6.250% due 9/1/17(b)		3,906,324
	950,000	A-	6.150% due 4/1/18		1,081,462
	355,000	A-	7.500% due 2/15/19		426,339
	1,000,000	A-	6.000% due 6/15/20		1,120,596
	300,000	A-	5.250% due 7/27/21		319,560
	365,000	A-	5.750% due 1/24/22		403,503
	650,000	NR	Lehman Brothers Holdings Inc., , 6.750% due 12/28/17(h)(i)(j)		0
			Merrill Lynch & Co., Inc., Senior Unsecured Notes:
	850,000	Baa2(d)	8.950% due 5/18/17(a)		968,566
	1,584,000	Baa2(d)	9.570% due 6/6/17(a)		1,834,486
	2,600,000	A-	6.875% due 4/25/18(b)		3,036,345

			Total Capital Markets		16,733,148

	Chemicals — 0.1%
	280,000	BBB	Dow Chemical Co. (The), Senior Unsecured Notes, 4.125% due 11/15/21		307,145
	160,000	BBB+	Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21		182,374
	200,000	BB+	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		229,000
	60,000	A-	Potash Corp. of Saskatchewan Inc., Senior Unsecured Notes, 4.875% due 3/30/20		70,277
	190,000	BBB+	PPG Industries Inc., Senior Unsecured Notes, 6.650% due 3/15/18		234,193

			Total Chemicals		1,022,989

	Commercial Banks — 5.8%
	1,400,000	A	Abbey National Treasury Services PLC, Bank Guaranteed Notes, 3.875% due 11/10/14(e)		1,410,531
	200,000	B+	Ally Financial Inc., Company Guaranteed Notes, 8.000% due 3/15/20(b)		235,000
	200,000	AA-	ANZ National International Ltd., Bank Guaranteed Notes, 1.850% due 10/15/15(e)		201,821
			Bank of America Corp., Senior Unsecured Notes:
	380,000	A-	7.375% due 5/15/14		414,840
	1,300,000	A-	4.500% due 4/1/15(b)		1,383,747
	810,000	A-	6.500% due 8/1/16		924,523
	1,500,000	A-	5.625% due 10/14/16		1,668,702
	290,000	A-	3.875% due 3/22/17		305,864
	5,340,000	A-	5.650% due 5/1/18(b)		5,973,009
	770,000	A-	5.000% due 5/13/21		829,093
	300,000	A-	Bank of America NA, Subordinated Notes, 6.100% due 6/15/17		333,157
			Bank of Nova Scotia, Covered Notes:
	1,000,000	Aaa(d)	2.150% due 8/3/16(e)		1,051,688
	880,000	Aaa(d)	1.950% due 1/30/17(e)		919,811
	985,000	Aaa(d)	1.750% due 3/22/17(e)		1,020,689
			Barclays Bank PLC:
			Senior Unsecured Notes:
	1,200,000	A+	5.200% due 7/10/14		1,272,468
	480,000	A+	5.125% due 1/8/20		519,193
	3,700,000	BBB+	Subordinated Notes, 6.050% due 12/4/17(e)(h)		3,923,129
	390,000	BBB+	BBVA US Senior SAU, Bank Guaranteed Notes, 3.250% due 5/16/14		386,731
			Capital One Financial Corp., Senior Unsecured Notes:
	700,000	BBB	7.375% due 5/23/14		773,179
	405,000	BBB	2.150% due 3/23/15		415,054
	655,000	BBB	6.750% due 9/15/17		801,594
	750,000	BBB	Chase Capital II, Limited Guaranteed Notes, 0.945% due 2/1/27(a)		564,772
	1,000,000	BBB	Chase Capital III, Limited Guaranteed Notes, 0.968% due 3/1/27(a)		752,643

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Commercial Banks — 5.8%—(continued)
$	210,000	AA-	Commonwealth Bank of Australia, Senior Unsecured Notes, 5.000% due 10/15/19(e)	$	238,242
			Cooperatieve Centrale Raiffeisen-Boerenleenbank BA:
	40,000	AA	Bank Guaranteed Notes, 3.375% due 1/19/17		42,357
	400,000	A	Junior Subordinated Notes, 11.000% due 12/29/49(a)(e)		520,854
	660,000	BBB-	Credit Agricole SA, Junior Subordinated Notes, 9.750% due 6/29/49		655,050
			Credit Suisse AG:
			Covered Notes:
	910,000	Aaa(d)	1.625% due 3/6/15(e)		924,191
	1,095,000	Aaa(d)	2.600% due 5/27/16(e)		1,153,503
	300,000	BBB+	Subordinated Notes, 5.400% due 1/14/20		323,407
	1,080,000	BB+	Eksportfinans ASA, Senior Unsecured Notes, 5.500% due 6/26/17		1,097,613
	3,000,000	NR	Export-Import Bank of Korea, Senior Unsecured Notes, 1.401% due 7/26/13(e)(h)(i)		2,999,407
	1,300,000	BB+	HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(e)		1,284,078
			HSBC Bank USA NA, Subordinated Notes:
	1,600,000	A	6.000% due 8/9/17(b)		1,829,150
	4,100,000	A	4.875% due 8/24/20(b)		4,360,748
	250,000	A+	HSBC Holdings PLC, Senior Unsecured Notes, 5.100% due 4/5/21		288,083
			ING Bank NV:
	200,000	AAA	Government Liquid Guaranteed Notes, 3.900% due 3/19/14(b)(e)		209,723
	770,000	A+	Unsecured Notes, 3.750% due 3/7/17(e)		798,875
	690,000	NR	Landsbanki Islands, Senior Unsecured Notes, 6.100% due 8/25/13(e)(h)(j)		37,950
			Lloyds TSB Bank PLC:
	400,000	BBB-	Bank Guaranteed Notes, 6.500% due 9/14/20(e)		411,121
	600,000	A	Company Guaranteed Notes, 4.200% due 3/28/17		637,033
	2,800,000	BB+	Junior Subordinated Notes, 12.000% due 12/29/49(a)(b)(e)		3,086,124
	1,500,000	A-	National City Bank, Subordinated Notes, 0.838% due 6/7/17(a)		1,418,179
	510,000	A	Nordea Bank AB, Subordinated Notes, 4.875% due 5/13/21(e)		543,718
	530,000	AA-	Royal Bank of Canada, Senior Unsecured Notes, 1.450% due 10/30/14		540,489
			Royal Bank of Scotland Group PLC:
	1,060,000	BB	Junior Subordinated Notes, 7.648% due 8/29/49(a)(b)		1,007,000
	300,000	A-	Senior Unsecured Notes, 6.400% due 10/21/19		330,696
	860,000	A	Royal Bank of Scotland PLC (The), Bank Guaranteed Notes, 3.950% due 9/21/15		903,313
	200,000	A-	Santander U.S. Debt SA Unipersonal, Bank Guaranteed Notes, 3.724% due 1/20/15(e)		192,850
	740,000	AAA	Swedbank Hypotek AB, Covered Notes, 2.950% due 3/28/16(e)		788,695
			UBS AG/Stamford CT:
	460,000	A	Notes, 3.875% due 1/15/15		485,017
	2,600,000	A	Senior Unsecured Notes, 5.750% due 4/25/18(b)		3,010,309
	650,000	BBB+	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% due 3/29/49(a)		644,312
	280,000	A	Wachovia Corp., Subordinated Notes, 5.250% due 8/1/14		301,360
			Wells Fargo & Co.:
			Senior Unsecured Notes:
	640,000	A+	2.100% due 5/8/17		661,629
	500,000	A+	3.500% due 3/8/22		533,900
	10,000	A	Subordinated Notes, 5.000% due 11/15/14		10,796
	400,000	BBB+	Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36		410,000
	480,000	AA-	Westpac Banking Corp., Senior Unsecured Notes, 4.875% due 11/19/19		542,303

			Total Commercial Banks		59,303,313

	Commercial Services & Supplies — 0.0%
	70,000	BBB	Waste Management Inc., Company Guaranteed Notes, 7.375% due 5/15/29		94,216

	Communications Equipment — 0.1%
	484,000	BBB	Brocade Communications Systems Inc., Senior Secured Notes, 6.625% due 1/15/18		505,780

	Consumer Finance — 0.6%
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	1,400,000	BB+	7.000% due 10/1/13(b)		1,489,852
	100,000	BB+	7.000% due 4/15/15		111,568
	1,300,000	BB+	5.625% due 9/15/15(b)		1,419,414

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Consumer Finance — 0.6%—(continued)
$	610,000	BB+	8.000% due 12/15/16	$	730,673
	500,000	BB+	6.625% due 8/15/17		575,405
	960,000	BB+	8.125% due 1/15/20		1,192,230
			SLM Corp., Senior Unsecured Notes:
	385,000	BBB-	0.751% due 1/27/14(a)		373,381
	70,000	BBB-	5.050% due 11/14/14		73,251
	440,000	BBB-	8.000% due 3/25/20		500,500
	80,000	BBB-	5.625% due 8/1/33		72,400

			Total Consumer Finance		6,538,674

	Containers & Packaging — 0.0%
	440,000	BB+	Ball Corp., Company Guaranteed Notes, 5.750% due 5/15/21		475,750

	Distributors — 0.0%
	300,000	BBB	Glencore Funding LLC, Company Guaranteed Notes, 6.000% due 4/15/14(e)		316,274

	Diversified Financial Services — 4.2%
			American Express Co.:
			Senior Unsecured Notes:
	1,200,000	BBB+	7.000% due 3/19/18(b)		1,524,414
	680,000	BBB+	8.125% due 5/20/19		922,428
	310,000	BBB-	Subordinated Notes, 6.800% due 9/1/66(a)		331,313
	585,000	A-	American Express Credit Corp., Senior Unsecured Notes, 1.750% due 6/12/15		599,072
	50,000	A+	ASIF Global Financing XIX, Senior Secured Notes, 4.900% due 1/17/13(e)		50,514
	1,500,000	BB(f)	Astoria Depositor Corp., Pass Thru Certificates, 8.144% due 5/1/21(e)		1,350,000
			Bear Stearns Cos. LLC (The), Senior Unsecured Notes:
	20,000	A	6.400% due 10/2/17		24,041
	2,280,000	A	7.250% due 2/1/18		2,847,485
	400,000	AA-	Caisse Centrale Desjardins du Quebéc, Senior Unsecured Notes, 2.650% due 9/16/15(e)		417,584
			CDP Financial Inc., Company Guaranteed Notes:
	1,120,000	AAA	3.000% due 11/25/14(e)		1,176,549
	1,400,000	AAA	4.400% due 11/25/19(e)		1,612,898
	320,028	BBB-	Cedar Brakes II LLC, Senior Secured Notes, 9.875% due 9/1/13(e)		329,389
			Credit Suisse/New York NY:
	965,000	A+	Senior Unsecured Notes, 5.000% due 5/15/13		992,852
	1,342,000	BBB+	Subordinated Notes, 6.000% due 2/15/18		1,492,070
	3,000,000	Aaa(d)	DanFin Funding Ltd., Government Liquid Guaranteed Notes, 1.155% due 7/16/13(a)(b)(e)		3,013,149
			Farmers Exchange Capital, Subordinated Notes:
	1,300,000	A-	7.050% due 7/15/28(e)		1,571,441
	350,000	A-	7.200% due 7/15/48(e)		414,989
			General Electric Capital Corp.:
			Senior Unsecured Notes:
	20,000	AA+	5.450% due 1/15/13		20,365
	100,000	AA+	0.768% due 3/20/13(a)		99,464
	770,000	AA+	1.875% due 9/16/13		780,999
	700,000	AA+	0.564% due 3/20/14(a)		688,661
	500,000	AA+	0.768% due 6/20/14(a)		489,902
	750,000	AA+	0.638% due 5/11/16(a)		729,289
	910,000	AA+	5.625% due 5/1/18		1,078,990
	1,775,000	AA+	0.822% due 5/5/26(a)		1,462,735
	925,000	AA+	6.150% due 8/7/37		1,164,071
	170,000	AA+	6.875% due 1/10/39		233,174
			Subordinated Notes:
	800,000	AA	5.300% due 2/11/21		922,175
	840,000	AA-	6.375% due 11/15/67(a)		887,250
	935,000	A-	HSBC Finance Corp., Senior Subordinated Notes, 6.676% due 1/15/21		1,062,321
	270,000	BB	ILFC E-Capital Trust II, Limited Guaranteed Notes, 6.250% due 12/21/65(a)(e)		206,550
			International Lease Finance Corp., Senior Secured Notes:
	500,000	BBB-	6.500% due 9/1/14(e)		535,000

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Diversified Financial Services — 4.2%—(continued)
$	880,000	BBB-	6.750% due 9/1/16(e)	$	985,600
	590,000	BBB-	7.125% due 9/1/18(e)		681,450
	320,000	A	John Deere Capital Corp., Unsecured Notes, 2.250% due 4/17/19		334,810
	1,450,000	BBB	JP Morgan Chase Capital XIII, Limited Guaranteed Notes, 1.411% due 9/30/34(a)		1,094,183
	900,000	BBB	JP Morgan Chase Capital XXIII, Limited Guaranteed Notes, 1.435% due 5/15/47(a)		636,311
			JPMorgan Chase & Co.:
			Senior Unsecured Notes:
	865,000	A	4.650% due 6/1/14		920,540
	290,000	A	2.000% due 8/15/17		292,579
	90,000	A	4.400% due 7/22/20		99,933
	1,410,000	A	4.250% due 10/15/20(b)		1,553,373
	150,000	A	4.500% due 1/24/22		166,889
			Subordinated Notes:
	295,000	A-	5.125% due 9/15/14		316,109
	330,000	A-	5.150% due 10/1/15		361,124
	630,000	A-	6.125% due 6/27/17		738,728
	990,000	A	Unsecured Notes, 1.875% due 3/20/15		1,007,707
	100,000	NR	Kaupthing Bank, Senior Notes, 5.750% due 10/4/11(e)(h)(j)		26,250
	400,000	B-	Offshore Group Investments Ltd., Senior Secured Notes, 11.500% due 8/1/15(e)		444,000
	1,700,000	BBB-	Pipeline Funding Co. LLC, Pass Thru Certificates, 7.500% due 1/15/30(e)		1,905,600
	350,000	A+	Prudential Holdings LLC, Senior Secured Notes, 8.695% due 12/18/23(e)		433,968
	70,000	BBB	Resona Preferred Global Securities Cayman Ltd., Junior Subordinated Notes, 7.191% due 12/29/49(a)(e)		75,542
	300,000	AA-	SSIF Nevada LP, Bank Guaranteed Notes, 1.155% due 4/14/14(a)(b)(e)		301,028
	420,000	BBB+	State Street Corp., Junior Subordinated Debentures Notes, 4.956% due 3/15/18		461,282
	348,484	Baa2(d)	SteelRiver Transmission Co. LLC, Senior Secured Notes, 4.710% due 6/30/17(e)		360,435
	140,000	A-	Vesey Street Investment Trust I, Company Guaranteed Notes, step bond to yield, 4.404% due 9/1/16		145,936

			Total Diversified Financial Services		42,374,511

	Diversified Telecommunication Services — 0.7%
			AT&T Inc., Senior Unsecured Notes:
	170,000	A-	5.100% due 9/15/14		185,291
	620,000	A-	5.500% due 2/1/18		751,784
	30,000	A-	5.600% due 5/15/18		36,849
	320,000	A-	3.875% due 8/15/21		360,604
	10,000	A-	6.300% due 1/15/38		13,084
	681,000	A-	Cellco Partnership/Verizon Wireless Capital LLC, Senior Unsecured Notes, 8.500% due 11/15/18		953,933
	260,000	B+	Cricket Communications Inc., Senior Secured Notes, 7.750% due 5/15/16		275,600
	220,000	BBB+	Deutsche Telekom International Finance BV, Company Guaranteed Notes, 5.750% due 3/23/16		250,454
	865,000	B	Intelsat Jackson Holdings SA, Company Guaranteed Notes, 8.500% due 11/1/19		957,987
	358,000	BB	Qwest Communications International Inc., Company Guaranteed Notes, 7.125% due 4/1/18		382,075
	90,000	BBB-	Qwest Corp., Senior Unsecured Notes, 7.500% due 10/1/14		100,798
	10,000	BBB	Rogers Wireless Inc., Company Guaranteed Notes, 6.375% due 3/1/14		10,839
	140,000	BBB	Royal KPN NV, Senior Unsecured Notes, 8.375% due 10/1/30		186,847
			Verizon Communications Inc., Senior Unsecured Notes:
	480,000	A-	6.100% due 4/15/18		600,356
	50,000	A-	8.750% due 11/1/18		70,219
	165,000	A-	5.125% due 6/15/33		177,605
	280,000	A-	6.900% due 4/15/38		398,346
	855,000	A-	Vodafone Group PLC, Senior Unsecured Notes, 4.150% due 6/10/14		907,263

			Total Diversified Telecommunication Services		6,619,934

	Electric Utilities — 1.6%
			AES Corp. (The), Senior Unsecured Notes:
	130,000	BB-	7.750% due 10/15/15		147,550
	10,000	BB-	8.000% due 6/1/20		11,700
	200,000	BB-	7.375% due 7/1/21		230,000

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Electric Utilities — 1.6%—(continued)
$	1,700,000	BBB	Ameren Illinois Co., Senior Secured Notes, 6.250% due 4/1/18(b)	$	2,082,891
	570,000	BB-	Calpine Corp., Senior Secured Notes, 7.250% due 10/15/17(e)		612,750
	215,000	BBB	Cleveland Electric Illuminating Co. (The), Senior Secured Notes, 7.880% due 11/1/17		271,645
	250,000	BBB	Columbus Southern Power Co., Senior Unsecured Notes, 6.050% due 5/1/18		302,947
	66,000	BBB-	Constellation Energy Group Inc., Company Guaranteed Notes, 5.150% due 12/1/20		76,352
			Dominion Resources Inc., Senior Unsecured Notes:
	330,000	A-	5.700% due 9/17/12		337,129
	105,000	A-	7.195% due 9/15/14		118,000
	390,000	A-	5.200% due 8/15/19		466,125
	200,000	A-	5.950% due 6/15/35		258,208
	275,000	A-	4.900% due 8/1/41		327,127
	98,000	BB+	DPL Inc., Senior Unsecured Notes, 7.250% due 10/15/21(e)		112,210
			Duke Energy Corp., Senior Unsecured Notes:
	180,000	BBB	5.050% due 9/15/19		210,832
	110,000	BBB	3.550% due 9/15/21		117,108
	50,000	B-	Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes, 10.000% due 12/1/20		56,375
	920,000	BBB+	Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19		1,131,295
	105,000	BBB-	Exelon Corp., Senior Unsecured Notes, 5.625% due 6/15/35		121,026
	310,000	BBB	Exelon Generation Co. LLC, Senior Unsecured Notes, 4.250% due 6/15/22(e)		322,909
	700,000	BB+	FirstEnergy Corp., Senior Unsecured Notes, 7.375% due 11/15/31		925,186
	55,000	A	Florida Power & Light Co., 1st Mortgage Notes, 4.950% due 6/1/35		67,020
	195,000	A	Florida Power Corp., 1st Mortgage Notes, 5.900% due 3/1/33		248,322
	538,264	Ba1(d)	Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20		569,776
	775,000	BBB	KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21		973,748
			Midamerican Energy Holdings Co., Senior Unsecured Notes:
	250,000	BBB+	5.950% due 5/15/37		324,525
	225,000	BBB+	6.500% due 9/15/37		308,042
	487,147	B+	Mirant Mid Atlantic Pass Through Trust C, Pass Thru Certificates, 10.060% due 12/30/28		540,733
	950,000	BBB-	Nisource Finance Corp., Company Guaranteed Notes, 6.125% due 3/1/22		1,150,932
	350,000	BBB	Ohio Power Co., Senior Unsecured Notes, 6.000% due 6/1/16		408,801
			Pacific Gas & Electric Co., Senior Unsecured Notes:
	350,000	BBB	5.625% due 11/30/17		425,526
	400,000	BBB	6.050% due 3/1/34		530,505
	500,000	BBB	Progress Energy Inc., Senior Unsecured Notes, 4.875% due 12/1/19		580,043
	800,000	BBB-	Public Service Co. of New Mexico, Senior Unsecured Notes, 7.950% due 5/15/18		972,491
	425,000	A-	Public Service Electric & Gas Co., Senior Secured Notes, 0.850% due 8/15/14		427,846
	450,000	BBB+	Texas-New Mexico Power Co., 1st Mortgage Notes, 9.500% due 4/1/19(e)		617,171

			Total Electric Utilities		16,384,846

	Energy Equipment & Services — 0.1%
	320,000	A	Baker Hughes Inc., Senior Unsecured Notes, 3.200% due 8/15/21		345,535
	570,000	BB-	Chesapeake Midstream Partners LP/CHKM Finance Corp., Company Guaranteed Notes, 6.125% due 7/15/22		594,225

			Total Energy Equipment & Services		939,760

	Food & Staples Retailing — 0.1%
	330,000	BBB+	CVS Caremark Corp., Senior Unsecured Notes, 6.600% due 3/15/19		422,727
	298,087	BBB+	CVS Pass-Through Trust, Pass Thru Certificates, 6.036% due 12/10/28		341,019

			Total Food & Staples Retailing		763,746

	Food Products — 0.3%
	370,000	BBB+	Kellogg Co., Senior Unsecured Notes, 3.125% due 5/17/22		388,916
	905,000	BBB	Kraft Foods Group Inc., Company Guaranteed Notes, 3.500% due 6/6/22(e)		960,525
			Kraft Foods Inc., Senior Unsecured Notes:
	690,000	BBB-	6.500% due 8/11/17		849,267
	348,000	BBB-	5.375% due 2/10/20		418,912

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Food Products — 0.3%—(continued)
			Safeway Inc., Senior Unsecured Notes:
$	20,000	BBB	3.950% due 8/15/20	$	18,930
	270,000	BBB	4.750% due 12/1/21		267,257

			Total Food Products		2,903,807

	Gas Utilities — 0.3%
	460,000	BBB-	Energy Transfer Partners LP, Senior Unsecured Notes, 9.000% due 4/15/19		583,582
	1,455,000	BB+	Sabine Pass LNG LP, Senior Secured Notes, 7.250% due 11/30/13		1,520,475
	185,000	BBB+	Sempra Energy, Senior Unsecured Notes, 6.000% due 10/15/39		246,176
	500,000	BBB-	Southern Union Co., Senior Unsecured Notes, 8.250% due 11/15/29		629,440

			Total Gas Utilities		2,979,673

	Health Care Equipment & Supplies — 0.1%
			Medtronic Inc., Senior Unsecured Notes:
	150,000	A+	4.450% due 3/15/20		173,667
	400,000	A+	5.550% due 3/15/40		515,435

			Total Health Care Equipment & Supplies		689,102

	Health Care Providers & Services — 0.4%
	560,000	B	CHS/Community Health Systems Inc., Company Guaranteed Notes, 7.125% due 7/15/20		587,300
	350,000	BBB-	Coventry Health Care Inc., Senior Unsecured Notes, 5.450% due 6/15/21		411,662
	120,000	BB+	Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 6.500% due 9/15/18(e)		135,150
			HCA Inc.:
	210,000	B-	Company Guaranteed Notes, 7.500% due 2/15/22		234,675
			Senior Unsecured Notes:
	200,000	B-	6.250% due 2/15/13		205,000
	120,000	B-	7.190% due 11/15/15		130,200
	29,000	B-	6.500% due 2/15/16		31,465
	330,000	AA	Roche Holdings Inc., Company Guaranteed Notes, 6.000% due 3/1/19(e)		417,792
			Tenet Healthcare Corp., Senior Secured Notes:
	128,000	BB-	10.000% due 5/1/18		147,840
	278,000	BB-	8.875% due 7/1/19		317,615
	705,000	A-	UnitedHealth Group Inc., Senior Unsecured Notes, 3.375% due 11/15/21		754,912
			WellPoint Inc., Senior Unsecured Notes:
	30,000	A-	5.875% due 6/15/17		35,402
	770,000	A-	3.125% due 5/15/22		768,569

			Total Health Care Providers & Services		4,177,582

	Hotels, Restaurants & Leisure — 0.0%
	90,000	B	Boyd Gaming Corp., Company Guaranteed Notes, 9.000% due 7/1/20(e)		89,662
	5,000	NR	Station Casinos Inc., Senior Subordinated Notes, 6.875% due 3/1/16(h)(j)		0

			Total Hotels, Restaurants & Leisure		89,662

	Household Products — 0.1%
			Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes:
	100,000	B+	7.125% due 4/15/19		108,250
	200,000	B+	7.875% due 8/15/19		223,500
	270,000	B+	6.875% due 2/15/21		293,625

			Total Household Products		625,375

	Insurance — 1.3%
			American International Group Inc., Senior Unsecured Notes:
	600,000	A-	0.645% due 7/19/13(a)		750,182
	200,000	A-	3.750% due 11/30/13(e)		204,140
	400,000	A-	5.450% due 5/18/17		450,377
	500,000	A-	5.850% due 1/16/18(b)		574,442
	2,300,000	A-	8.250% due 8/15/18(b)		2,908,798
	130,000	A-	6.400% due 12/15/20		154,743

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Insurance — 1.3%—(continued)
$	460,000	AA+	Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 1.600% due 5/15/17	$	471,742
	750,000	AA+	Berkshire Hathaway Inc., Senior Unsecured Notes, 2.200% due 8/15/16		790,031
	10,000	BBB	ING Capital Funding Trust III, Bank Guaranteed Notes, 4.061% due 12/29/49(a)		8,644
	525,000	A-	Manulife Financial Corp., Senior Unsecured Notes, 3.400% due 9/17/15		547,325
	600,000	BBB	MetLife Capital Trust X, Junior Subordinated Notes, 9.250% due 4/8/38(e)		768,000
	1,150,000	BBB	MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36		1,228,658
	1,300,000	AA-	MetLife Institutional Funding II, Secured Notes, 1.625% due 4/2/15(e)		1,317,988
			Metropolitan Life Global Funding I, Senior Secured Notes:
	375,000	AA-	5.125% due 6/10/14(e)		403,281
	800,000	AA-	3.875% due 4/11/22(e)		876,367
	850,000	A-	Nationwide Mutual Insurance Co., Subordinated Notes, 5.810% due 12/15/24(a)(e)		781,181
	625,000	A	Prudential Financial Inc., Senior Unsecured Notes, 7.375% due 6/15/19		787,670
	290,000	AA-	Teachers Insurance & Annuity Association of America, Subordinated Notes, 6.850% due 12/16/39(e)		402,654

			Total Insurance		13,426,223

	Life Sciences Tools & Services — 0.0%
	120,000	A-	Thermo Fisher Scientific Inc., Senior Unsecured Notes, 3.600% due 8/15/21		128,458

	Machinery — 0.0%
	405,000	BBB-	AGCO Corp., Senior Unsecured Notes, 5.875% due 12/1/21		435,738

	Media — 1.0%
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	130,000	BB-	7.000% due 1/15/19		142,025
	460,000	BB-	6.500% due 4/30/21		495,650
	550,000	B	Cengage Learning Acquisitions Inc., Senior Secured Notes, 11.500% due 4/15/20(e)		581,625
	200,000	BBB+	Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22		299,209
			Comcast Corp., Company Guaranteed Notes:
	30,000	BBB+	5.875% due 2/15/18		36,395
	840,000	BBB+	5.700% due 5/15/18		1,017,409
	40,000	BBB+	5.650% due 6/15/35		47,387
	250,000	BBB+	6.450% due 3/15/37		323,641
	170,000	BBB	COX Communications Inc., Senior Unsecured Notes, 8.375% due 3/1/39(e)		257,385
	250,000	BB+	CSC Holdings LLC, Senior Unsecured Notes, 6.750% due 11/15/21(e)		271,250
			DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Company Guaranteed Notes:
	1,000,000	BBB	3.500% due 3/1/16		1,069,055
	235,000	BBB	3.800% due 3/15/22		243,231
			DISH DBS Corp., Company Guaranteed Notes:
	20,000	BB-	7.000% due 10/1/13		21,175
	50,000	BB-	6.625% due 10/1/14		54,188
	25,000	BB-	7.125% due 2/1/16		27,625
	180,000	BB-	6.750% due 6/1/21		192,600
	470,000	BB+	Interpublic Group of Cos., Inc. (The), Senior Unsecured Notes, 10.000% due 7/15/17		527,575
	125,000	BBB+	News America Holdings Inc., Company Guaranteed Notes, 8.500% due 2/23/25		170,033
			News America Inc., Company Guaranteed Notes:
	60,000	BBB+	4.500% due 2/15/21		68,997
	25,000	BBB+	6.200% due 12/15/34		30,212
			Omnicom Group Inc.:
	89,000	BBB+	Company Guaranteed Notes, 4.450% due 8/15/20		99,009
	44,000	BBB+	Senior Unsecured Notes, 5.900% due 4/15/16		51,008
	205,000	BBB+	Reed Elsevier Capital Inc., Company Guaranteed Notes, 8.625% due 1/15/19		263,373
	70,000	BBB	Rogers Cable Inc., Company Guaranteed Notes, 6.750% due 3/15/15		80,109
	598,000	A-	Scripps Networks Interactive Inc., Senior Unsecured Notes, 2.700% due 12/15/16		623,278
	750,000	BBB+	TCI Communications Inc., Senior Unsecured Notes, 8.750% due 8/1/15		910,617
			Time Warner Cable Inc., Company Guaranteed Notes:
	560,000	BBB	8.250% due 4/1/19		748,446
	50,000	BBB	4.125% due 2/15/21		55,040

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Media — 1.0%—(continued)
$	170,000	BBB	5.875% due 11/15/40	$	202,455
	40,000	BBB	5.500% due 9/1/41		45,438
	50,000	BBB	Time Warner Entertainment Co. LP, Company Guaranteed Notes, 8.375% due 7/15/33		72,182
			Time Warner Inc., Company Guaranteed Notes:
	100,000	BBB	4.700% due 1/15/21		114,896
	110,000	BBB	4.750% due 3/29/21		126,348
	30,000	BBB	6.250% due 3/29/41		37,367
	280,000	BBB	Turner Broadcasting System Inc., Company Guaranteed Notes, 8.375% due 7/1/13		297,565
	330,000	B+	Univision Communications Inc., Senior Secured Notes, 6.750% due 9/15/22(e)		332,888
	110,000	BBB	WPP Finance UK, Company Guaranteed Notes, 8.000% due 9/15/14		123,494

			Total Media		10,060,180

	Metals & Mining — 0.7%
	1,000,000	BB-	ALROSA Finance SA, Company Guaranteed Notes, 7.750% due 11/3/20		1,110,000
	686,000	BBB+	Barrick North America Finance LLC, Company Guaranteed Notes, 4.400% due 5/30/21		742,984
			BHP Billiton Finance USA Ltd., Company Guaranteed Notes:
	370,000	A+	6.500% due 4/1/19		474,195
	230,000	A+	3.250% due 11/21/21		243,774
			Corp. Nacional del Cobre de Chile, Senior Unsecured Notes:
	100,000	A	4.750% due 10/15/14(e)		107,016
	295,000	A	3.750% due 11/4/20(e)		316,520
			FMG Resources August 2006 Pty Ltd.:
			Company Guaranteed Notes:
	250,000	BB-	7.000% due 11/1/15(e)		246,875
	40,000	BB-	6.375% due 2/1/16(e)		38,600
	440,000	BB-	Senior Unsecured Notes, 6.875% due 4/1/22(e)		406,450
	590,000	BBB	Freeport-McMoRan Copper & Gold Inc., Senior Unsecured Notes, 3.550% due 3/1/22		587,316
			Rio Tinto Finance USA Ltd., Company Guaranteed Notes:
	500,000	A-	9.000% due 5/1/19		686,690
	200,000	A-	3.500% due 11/2/20		211,682
	90,000	BB+	Steel Dynamics Inc., Company Guaranteed Notes, 6.750% due 4/1/15		92,250
			Vale Overseas Ltd., Company Guaranteed Notes:
	1,342,000	A-	4.375% due 1/11/22		1,382,097
	260,000	A-	6.875% due 11/21/36		306,964

			Total Metals & Mining		6,953,413

	Multiline Retail — 0.0%
	87,000	BBB	Macy’s Retail Holdings Inc., Company Guaranteed Notes, 5.875% due 1/15/13		88,488

	Oil, Gas & Consumable Fuels — 2.8%
	2,200,000	BBB	ABN Amro Bank/Deutschland for Gazprom, Senior Unsecured Notes, 9.625% due 3/1/13		2,288,858
	240,000	BBB-	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31		322,413
			Anadarko Petroleum Corp., Senior Unsecured Notes:
	150,000	BBB-	7.625% due 3/15/14		164,272
	75,000	BBB-	5.750% due 6/15/14		80,763
	308,000	BBB-	5.950% due 9/15/16		356,490
	917,000	BBB-	6.375% due 9/15/17		1,097,649
			Apache Corp., Senior Unsecured Notes:
	540,000	A-	5.625% due 1/15/17		641,642
	70,000	A-	3.250% due 4/15/22		75,222
	380,000	B-	Arch Coal Inc., Company Guaranteed Notes, 8.750% due 8/1/16(k)		381,900
			BP Capital Markets PLC, Company Guaranteed Notes:
	350,000	A	5.250% due 11/7/13		369,303
	370,000	A	3.245% due 5/6/22		394,944
	225,000	BBB+	Cameron International Corp., Senior Unsecured Notes, 7.000% due 7/15/38		300,232
			Chesapeake Energy Corp., Company Guaranteed Notes:
	5,000	BB-	7.250% due 12/15/18		5,262
	430,000	BB-	6.875% due 11/15/20		448,275
	130,000	BB-	Cie Générale de Géophysique — Veritas, Company Guaranteed Notes, 7.750% due 5/15/17		135,931

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.8%—(continued)
			Concho Resources Inc., Company Guaranteed Notes:
$	130,000	BB+	6.500% due 1/15/22	$	141,050
	110,000	BB+	5.500% due 10/1/22		113,713
	410,000	A	ConocoPhillips, Company Guaranteed Notes, 6.000% due 1/15/20		522,105
	65,000	A	ConocoPhillips Holding Co., Senior Unsecured Notes, 6.950% due 4/15/29		92,324
	210,000	BB	Consol Energy Inc., Company Guaranteed Notes, 6.375% due 3/1/21		208,950
	460,000	BBB+	Devon Energy Corp., Senior Unsecured Notes, 5.600% due 7/15/41		555,536
	325,000	BB	El Paso Corp., Senior Unsecured Notes, 7.750% due 1/15/32		384,268
	575,000	BB	El Paso Natural Gas Co., Senior Unsecured Notes, 8.625% due 1/15/22		761,915
			El Paso Pipeline Partners Operating Co. LLC, Company Guaranteed Notes:
	460,000	BBB-	6.500% due 4/1/20		544,580
	1,040,000	BBB-	5.000% due 10/1/21		1,141,092
			Energy Transfer Partners LP, Senior Unsecured Notes:
	50,000	BBB-	5.200% due 2/1/22		55,138
	333,000	BBB-	6.500% due 2/1/42		379,210
	220,000	BBB+	Ensco PLC, Senior Unsecured Notes, 4.700% due 3/15/21		247,296
			Enterprise Products Operating LLC, Company Guaranteed Notes:
	325,000	BBB	5.600% due 10/15/14		356,159
	360,000	BBB	6.300% due 9/15/17		436,128
	400,000	BBB	6.500% due 1/31/19		492,292
	130,000	BBB	4.050% due 2/15/22		142,190
	310,000	BBB	5.700% due 2/15/42		358,492
			Hess Corp., Senior Unsecured Notes:
	50,000	BBB	7.875% due 10/1/29		67,054
	310,000	BBB	7.300% due 8/15/31		403,314
	585,000	BBB-	Kerr-McGee Corp., Company Guaranteed Notes, 7.875% due 9/15/31		783,614
	270,000	BB-	Key Energy Services Inc., Company Guaranteed Notes, 6.750% due 3/1/21		276,075
			Kinder Morgan Energy Partners LP, Senior Unsecured Notes:
	50,000	BBB	5.850% due 9/15/12		49,979
	30,000	BBB	6.000% due 2/1/17		34,948
	220,000	BBB	6.850% due 2/15/20		273,834
	360,000	BBB	3.950% due 9/1/22		382,846
	167,000	BBB	6.500% due 9/1/39		201,008
	580,000	BBB-	Newfield Exploration Co., Senior Unsecured Notes, 5.625% due 7/1/24		630,025
			Nexen Inc., Senior Unsecured Notes:
	250,000	BBB-	6.200% due 7/30/19		301,126
	52,000	BBB-	6.400% due 5/15/37		65,055
	100,000	BBB-	7.500% due 7/30/39		140,501
	280,000	BBB	Noble Energy Inc., Senior Unsecured Notes, 4.150% due 12/15/21		303,287
			Occidental Petroleum Corp., Senior Unsecured Notes:
	320,000	A	3.125% due 2/15/22		344,045
	20,000	A	2.700% due 2/15/23		20,617
	1,000,000	BBB-	Panhandle Eastern Pipeline Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19		1,206,144
	190,000	BB+	Peabody Energy Corp., Company Guaranteed Notes, 7.875% due 11/1/26		203,775
	29,000	BBB	Pemex Project Funding Master Trust, Company Guaranteed Notes, 6.625% due 6/15/35		36,178
	1,810,000	BBB	Petrobras International Finance Co. — Pifco, Company Guaranteed Notes, 5.375% due 1/27/21		2,023,272
	175,000	BBB+	Petrohawk Energy Corp., Company Guaranteed Notes, 7.250% due 8/15/18		200,009
	460,000	BB-	Plains Exploration & Production Co., Company Guaranteed Notes, 6.125% due 6/15/19		487,600
	60,000	BB+	QEP Resources Inc., Senior Unsecured Notes, 6.875% due 3/1/21		68,100
	360,000	BB	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.875% due 12/1/18		390,600
	330,000	A+	Schlumberger Investment SA, Company Guaranteed Notes, 3.300% due 9/14/21(e)		356,273
	90,000	AAA	SeaRiver Maritime Financial Holdings Inc., Company Guaranteed Notes, 0.000% due 9/1/12		90,000
	80,000	BBB-	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		89,400
	360,000	AA	Shell International Finance BV, Company Guaranteed Notes, 4.375% due 3/25/20		424,713
			Southern Natural Gas Co. LLC, Senior Unsecured Notes:
	40,000	BBB-	5.900% due 4/1/17(e)		47,293

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 2.8%—(continued)
$	58,000	BBB-	8.000% due 3/1/32	$	80,998
	1,300,000	BBB+	Suncor Energy Inc., Senior Unsecured Notes, 6.850% due 6/1/39(b)		1,781,801
	110,000	BBB	Tennessee Gas Pipeline Co. LLC, Senior Unsecured Notes, 7.625% due 4/1/37		149,835
	370,000	BBB(f)	TEPPCO Partners LP, Company Guaranteed Notes, 6.125% due 2/1/13		377,289
			Transocean Inc., Company Guaranteed Notes:
	223,000	BBB-	5.050% due 12/15/16		247,240
	198,000	BBB-	6.000% due 3/15/18		229,553
	440,000	BBB-	6.375% due 12/15/21		531,012
			Williams Cos., Inc., Senior Unsecured Notes:
	793,000	BBB-	7.875% due 9/1/21		1,030,926
	264,000	BBB-	7.500% due 1/15/31		331,901
	166,000	BBB-	8.750% due 3/15/32		229,038
	20,000	BB+	WPX Energy Inc., Senior Unsecured Notes, 6.000% due 1/15/22		21,300

			Total Oil, Gas & Consumable Fuels		28,907,172

	Paper & Forest Products — 0.0%
	240,000	BBB	Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22		253,093
	175,000	A-	Georgia-Pacific LLC, Company Guaranteed Notes, 8.250% due 5/1/16(e)		189,041

			Total Paper & Forest Products		442,134

	Pharmaceuticals — 0.4%
	380,000	AA	Abbott Laboratories, Senior Unsecured Notes, 5.600% due 11/30/17		466,485
	820,000	BBB+	Express Scripts Holding Co., Company Guaranteed Notes, 3.500% due 11/15/16(e)		880,801
	830,000	A+	GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22		869,591
	240,000	BBB+	Medco Health Solutions Inc., Senior Unsecured Notes, 4.125% due 9/15/20		261,147
	130,000	AA	Pfizer Inc., Senior Unsecured Notes, 7.200% due 3/15/39		206,712
	445,000	BBB	Watson Pharmaceuticals Inc., Senior Unsecured Notes, 5.000% due 8/15/14		473,781
	350,000	AA	Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37		483,234

			Total Pharmaceuticals		3,641,751

	Real Estate Investment Trusts (REITs) — 1.0%
	700,000	BBB-	Duke Realty LP, Senior Unsecured Notes, 6.500% due 1/15/18		812,473
	2,900,000	BBB	Goodman Funding Pty Ltd., Company Guaranteed Notes, 6.375% due 11/12/20(b)(e)		3,097,212
			HCP Inc., Senior Unsecured Notes:
	750,000	BBB	6.000% due 6/15/14		800,632
	300,000	BBB	6.700% due 1/30/18		356,411
			Health Care REIT Inc., Senior Unsecured Notes:
	500,000	BBB-	4.125% due 4/1/19		526,555
	1,200,000	BBB-	4.950% due 1/15/21		1,300,927
	600,000	BBB-	6.500% due 3/15/41		701,141
	600,000	BBB-	Healthcare Realty Trust Inc., Senior Unsecured Notes, 6.500% due 1/17/17		674,528
	1,300,000	BBB	Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 4.000% due 4/30/19		1,383,672
			WEA Finance LLC/WT Finance Aust Pty Ltd., Company Guaranteed Notes:
	465,000	A-	7.500% due 6/2/14(e)		509,709
	250,000	A-	6.750% due 9/2/19(e)		300,210

			Total Real Estate Investment Trusts (REITs)		10,463,470

	Road & Rail — 0.1%
	520,000	BBB-	Penske Truck Leasing Co. LP/PTL Finance Corp., Unsecured Notes, 3.125% due 5/11/15(e)		528,797
			Union Pacific Corp., Senior Unsecured Notes:
	43,000	A-	5.375% due 5/1/14		46,206
	84,000	A-	4.163% due 7/15/22		95,582

			Total Road & Rail		670,585

	Specialty Retail — 0.2%
			QVC Inc., Senior Secured Notes:
	385,000	BBB-	7.500% due 10/1/19(e)		426,791
	554,000	BBB-	7.375% due 10/15/20(e)		617,737

See Notes to Financial Statements.

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Specialty Retail — 0.2%—(continued)
$	700,000	AA	Wal-Mart Stores Inc., Senior Unsecured Notes, 3.250% due 10/25/20	$	773,307

			Total Specialty Retail		1,817,835

	Tobacco — 0.3%
			Altria Group Inc., Company Guaranteed Notes:
	200,000	BBB	8.500% due 11/10/13		218,155
	400,000	BBB	9.700% due 11/10/18(b)		574,933
	260,000	BBB	9.250% due 8/6/19		371,093
	230,000	BBB	4.750% due 5/5/21		265,873
	350,000	BBB	2.850% due 8/9/22		349,485
	45,000	BBB	10.200% due 2/6/39		78,677
	60,000	BBB	4.250% due 8/9/42		58,783
	358,000	BBB+	BAT International Finance PLC, Company Guaranteed Notes, 3.250% due 6/7/22(e)		367,432
			Philip Morris International Inc., Senior Unsecured Notes:
	240,000	A	2.900% due 11/15/21		251,519
	240,000	A	4.500% due 3/20/42		268,657
	300,000	BBB-	Reynolds American Inc., Company Guaranteed Notes, 6.750% due 6/15/17		363,798

			Total Tobacco		3,168,405

	Wireless Telecommunication Services — 0.3%
	230,000	A-	América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20		268,463
			GTE Corp., Company Guaranteed Notes:
	548,000	A-	6.840% due 4/15/18		681,092
	50,000	A-	6.940% due 4/15/28		66,304
			Sprint Capital Corp., Company Guaranteed Notes:
	50,000	B+	6.875% due 11/15/28		45,500
	720,000	B+	8.750% due 3/15/32		730,800
			Telefónica Emisiones SAU, Company Guaranteed Notes:
	70,000	BBB	5.877% due 7/15/19		67,725
	140,000	BBB	5.134% due 4/27/20		128,275
	1,370,000	BBB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 6.500% due 1/15/18		1,500,150

			Total Wireless Telecommunication Services		3,488,309

			TOTAL CORPORATE BONDS & NOTES
			(Cost — $244,587,226)		268,532,409

	MUNICIPAL BONDS — 1.6%
	California — 0.3%
			State of California, GO:
	400,000	A-	5.000% due 6/1/37(b)		429,388
	900,000	A-	5.000% due 11/1/37(b)		971,478
	100,000	A-	5.000% due 12/1/37(b)		108,059
	670,000	A-	6.200% due 10/1/19		810,392
	815,000	A-	7.550% due 4/1/39		1,092,018

	268,532,409		Total California		3,411,335

	Delaware — 0.0%
	300,000	AA+	Northstar Education Finance Inc., Student Loan Asset Backed Notes, GTDSTD-Insured, 1.324% due 1/29/46(a)		256,039

	Florida — 0.1%
	550,000	A	Southwest Student Services Corp., Sub-Series B, GTDSTD-Insured, AMT, 0.525% due 12/1/36(a)(l)		469,906

	Illinois — 0.9%
			Chicago Transit Authority:
	3,500,000	AA	Series A, 6.899% due 12/1/40(b)		4,278,365
	2,400,000	AA	Series B, 6.899% due 12/1/40(b)		2,933,736
	510,000	AA-	Chicago, IL, GO, Series A, FSA-Insured, 4.750% due 1/1/36(b)		536,331

See Notes to Financial Statements.

100

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†			Rating††	Security	Value
	Illinois — 0.9%—(continued)
				State of Illinois, GO:
$	1,140,000		A	5.100% due 6/1/33	$	1,103,418
	650,000		A	5.665% due 3/1/18		727,948

				Total Illinois		9,579,798

	Minnesota — 0.1%
				Northstar Education Finance Inc.:
	825,000		AA+	2007-1 STUDENT LN ASSET BKD NT, GTDSTD-Insured, 0.547% due 4/28/30(a)		769,973
	325,000		AA+	Student Loan Asset Backed Notes, GTDSTD-Insured, 1.124% due 1/29/46(a)		277,359

				Total Minnesota		1,047,332

	New York — 0.0%
	190,000		AAA	New York City Municipal Water Finance Authority, Water & Sewer System Revenue, Series 1289, 7.572% due 12/15/13(a)(b)(e)		225,418

	Ohio — 0.1%
	1,000,000		B-	Buckeye Ohio Tobacco Settlement, Series A-2, 5.750% due 6/1/34(b)		804,550

	Virginia — 0.1%
	661,573		AAA	Virginia Housing Development Authority, Series C, 6.000% due 6/25/34		725,488

				TOTAL MUNICIPAL BONDS (Cost — $14,614,437)		16,519,866

	SOVEREIGN BONDS — 3.4%
	Australia — 0.3%
	3,100,000	^AUD	Aaa(d)	Australia Government Bond, Senior Unsecured Notes, 5.500% due 12/15/13		3,310,178

	Brazil — 0.2%
	2,500,000	^BRL	BBB	Federative Republic of Brazil, Senior Unsecured Notes, 12.500% due 1/5/22(b)		1,779,250

	Canada — 1.2%
	8,000,000	^CAD	AAA	Canadian Government Bond, Bonds, 2.250% due 8/1/14(b)		8,279,022
				Province of Ontario Canada:
				Senior Unsecured Notes:
	410,000		AA-	0.950% due 5/26/15		414,899
	900,000		AA-	2.300% due 5/10/16(b)		950,070
	2,900,000	^CAD	AA-	Unsecured Notes, 3.150% due 6/2/22		3,040,281

				Total Canada		12,684,272

	Germany — 0.9%
	200,000	^EUR	Aaa(d)	Bundesobligation, Bonds, 4.000% due 10/11/13		262,729
	7,100,000	^EUR	Aaa(d)	Bundesschatzanweisungen, Bonds, 0.750% due 9/13/13		8,999,510

				Total Germany		9,262,239

	Hong Kong — 0.1%
	1,000,000		AAA	Hong Kong Government Bond, Notes, 5.125% due 8/1/14(b)(e)		1,075,558

	Japan — 0.1%
	800,000		AA-	Japan Bank for International Cooperation, Government Guaranteed Notes, 2.875% due 2/2/15		846,303

	Malaysia — 0.1%
				Malaysia Government Bond, Senior Unsecured Notes:
	1,800,000	^MYR	A3(d)	3.835% due 8/12/15		588,018
	515,000	^MYR	A3(d)	4.262% due 9/15/16		171,491

				Total Malaysia		759,509

	Mexico — 0.4%
	34,836,000	^MXN	A-	Mexican Bonos, Bonds, 8.000% due 6/11/20		3,114,971
	724,000		BBB	Mexico Government International Bond, Senior Unsecured Notes, 4.750% due 3/8/44		812,690
	328,000		BBB	United Mexican States, Senior Unsecured Notes, 6.050% due 1/11/40		438,700

				Total Mexico		4,366,361

See Notes to Financial Statements.

101

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	Russia — 0.1%
$	830,760	BBB	Russian Federation (Restricted), step bond to yield, Senior Unsecured Notes, 7.500% due 3/31/30	$	1,038,035

			TOTAL SOVEREIGN BONDS (Cost — $34,169,208)		35,121,705

	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 21.4%
	U.S. GOVERNMENT OBLIGATIONS — 20.0%
			U.S. Treasury Bonds:
	3,600,000		8.125% due 5/15/21(b)(m)		5,634,281
	113,000		8.125% due 8/15/21(b)		178,107
	1,900,000		7.625% due 11/15/22(b)		3,002,000
	200,000		7.125% due 2/15/23(b)		307,625
	2,000,000		7.500% due 11/15/24(b)		3,257,812
	505,000		6.500% due 11/15/26		786,459
	1,120,000		6.375% due 8/15/27		1,742,825
	2,865,000		4.500% due 2/15/36		3,909,831
	1,900,000		4.750% due 2/15/37		2,692,359
	1,000,000		4.375% due 11/15/39(b)		1,356,250
	1,200,000		4.375% due 5/15/40(b)		1,629,376
	1,787,700		4.750% due 2/15/41		2,571,215
	1,214,000		4.375% due 5/15/41		1,651,420
	350,000		3.750% due 8/15/41		430,062
	21,255,000		3.125% due 11/15/41(b)		23,297,478
	7,125,000		3.125% due 2/15/42		7,801,875
	700,000		3.000% due 5/15/42		747,688
	2,595,000		2.750% due 8/15/42		2,630,276
			U.S. Treasury Notes:
	210,000		1.875% due 2/28/14		215,201
	50,000		0.250% due 7/15/15		49,957
	20,250,000		0.250% due 8/15/15		20,227,847
	400,000		1.000% due 9/30/16		408,969
	8,090,000		0.875% due 1/31/17		8,220,200
	600,000		0.875% due 2/28/17(b)		609,797
	10,880,000		0.750% due 6/30/17		10,972,654
	11,325,000		0.500% due 7/31/17		11,279,881
	12,110,000		0.625% due 8/31/17		12,128,928
	13,410,000		1.250% due 4/30/19		13,680,292
	7,535,000		0.875% due 7/31/19		7,477,900
	16,200,000		1.000% due 8/31/19		16,196,209
	8,700,000		2.125% due 8/15/21(b)(m)		9,245,794
	500,000		2.000% due 2/15/22(b)		523,047
	8,360,000		1.750% due 5/15/22(b)(m)		8,531,121
	730,000		1.625% due 8/15/22		734,335
			U.S. Treasury Inflation Indexed Bonds:
	121,741		2.375% due 1/15/25(m)		163,666
	284,799		1.750% due 1/15/28(m)		366,100
	125,632		3.875% due 4/15/29		207,646
	3,222,262		2.125% due 2/15/41(b)		4,765,928
			U.S. Treasury Inflation Indexed Bonds:
	1,433,111		0.625% due 4/15/13		1,447,443
	6,399,083		1.125% due 1/15/21(b)(m)		7,489,429
	5,677,784		0.125% due 1/15/22(b)		6,142,210

			TOTAL U.S. GOVERNMENT OBLIGATIONS		204,711,493

	U.S. GOVERNMENT AGENCIES — 1.4%
			Federal Home Loan Bank (FHLB):
	200,000		1.350% due 4/29/14		203,646

See Notes to Financial Statements.

102

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†		Rating††	Security	Value
	U.S. GOVERNMENT AGENCIES — 1.4%—(continued)
$	290,000		1.375% due 5/28/14	$	296,075
	2,880,000		0.450% due 9/4/14		2,880,562
	1,000,000		1.250% due 8/1/19		1,003,041
	2,800,000		2.375% due 1/13/22		2,948,694
	2,000		5.625% due 11/23/35(m)		2,304
			Federal National Mortgage Association (FNMA):
	220,000		0.700% due 6/26/15		220,324
	1,790,000		0.600% due 7/24/15		1,791,769
	3,605,000		0.000% due 10/9/19		3,147,749
	1,055,000		6.250% due 5/15/29		1,555,844

			TOTAL U.S. GOVERNMENT AGENCIES		14,050,008

			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $208,044,026)		218,761,501

Shares
	COMMON STOCK — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Automobiles — 0.0%
	506		Motors Liquidation Co. GUC Trust* (Cost - $0) (b)		7,246

	PREFERRED STOCK — 0.1%
	FINANCIALS — 0.1%
	Commercial Banks — 0.1%
	26,501		GMAC Capital Trust I, 8.125% (Cost - $657,225)(a)		657,755

	CONVERTIBLE PREFERRED STOCK — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Automobiles — 0.0%
	20,000		General Motors Corp., 0.000% (Cost - $0)(b)(h)(i)*		0

	WARRANT — 0.0%
	ENERGY — 0.0%
	Energy Equipment & Services — 0.0%
	177		SemGroup Corp., Class A Shares, expires 11/30/14(h)* (Cost - $9,884)		2,119

Contracts
	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
	24		Eurodollar 2 Year Midcurve, Put @ $99.13, expires 12/14/12		1,800
	90		Eurodollar 3 Year Midcurve, Put @ $97.25, expires 12/14/12		563
	90		Eurodollar 3 Year Midcurve, Put @ $98.25, expires 12/14/12		3,938
	102		Eurodollar Futures, Put @ $98.75, expires 12/14/12		3,187
	46		Eurodollar Futures, Put @ $98.88, expires 12/17/12		287

			Total United States		9,775

			TOTAL PURCHASED OPTIONS (Cost — $176,244)		9,775

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $937,959,142)		978,671,062

Face Amount†
	SHORT-TERM INVESTMENTS (n) — 12.0%
	COMMERCIAL PAPER — 0.1%
	1,375,000		RBS Holding USA Inc., 0.370% due 9/17/12(o) (Cost — $1,374,774)		1,374,774

See Notes to Financial Statements.

103

Schedules of Investments

(continued)

Core Fixed Income Investments


Face Amount†			Rating††	Security	Value
	MONEY MARKET FUND - 0.0%
$	386,546			Invesco STIT - Government & Agency Portfolio (Cost - $386,546)(p)	$	386,546

	REPURCHASE AGREEMENTS — 4.3%
	19,200,000			Barclays Capital Inc. repurchase agreement dated 8/31/12, 0.130% due 9/4/12, Proceeds at maturity - $19,200,277; (Fully collateralized by U.S. Treasury Notes 1.750% due 5/15/22; Market Valued - $19,642,884)(o)		19,200,000
	13,300,000			Barclays Capital Inc. repurchase agreement dated 8/31/12, 0.230% due 11/19/12, Proceeds at maturity - $13,307,648; (Fully collateralized by FNMA Mortgage Securities 3.500% due 5/1/42; Market Valued - $13,933,689)(h)(o)		13,300,000
	11,700,000			Deutsche Bank Securities Inc. repurchase agreement dated 8/31/12, 0.200% due 9/4/12, Proceeds at maturity - $11,700,260; (Fully collateralized by U.S. Treasury Notes 1.750% due 5/15/22; Market Valued - $12,037,299)(o)		11,700,000

				TOTAL REPURCHASE AGREEMENTS (Cost — $44,200,000)		44,200,000

	TIME DEPOSITS — 3.3%
	5,327,976			Bank of New York Mellon — Grand Cayman, 0.030% due 9/4/12		5,327,976
				BBH — Grand Cayman:
	28,670	^EUR		-0.036% due 9/3/12		36,063
	544	^JPY		0.010% due 9/3/12		7
	172	^GBP		0.052% due 9/3/12		273
	59	^NOK		0.500% due 9/3/12		10
	317	^AUD		2.648% due 9/3/12		328
	713	^CAD		0.195% due 9/4/12		723
	28,708,294			Wells Fargo - Grand Cayman, 0.030% due 9/4/12		28,708,294

				TOTAL TIME DEPOSITS (Cost — $34,073,674)		34,073,674

	U.S. GOVERNMENT AGENCIES — 3.4%
				Federal Home Loan Bank (FHLB), Discount Notes:
	6,850,000			0.120% due 9/7/12(o)		6,849,863
	7,470,000			0.110% due 10/19/12(o)		7,468,904
	9,900,000			0.160% due 2/20/13(o)		9,892,432
				Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes:
	200,000			0.170% due 2/11/13(o)		199,846
	800,000			0.150% due 2/26/13(o)		799,407
	2,790,000			Federal National Mortgage Association (FNMA), 0.261% due 10/18/12		2,789,922
				Federal National Mortgage Association (FNMA), Discount Notes:
	2,100,000			0.115% due 10/24/12(o)		2,099,645
	5,400,000			0.175% due 2/27/13(o)		5,395,301

				TOTAL U.S. GOVERNMENT AGENCIES (Cost — $35,495,320)		35,495,320

	U.S. GOVERNMENT OBLIGATIONS — 0.9%
	9,212,000			U.S. Treasury Bills, 0.110% due 9/13/12 — 7/25/13(b)(m)(o)		9,206,049

				TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $9,206,049)		9,206,049

				TOTAL SHORT-TERM INVESTMENTS (Cost — $124,736,363)		124,736,363

				TOTAL INVESTMENTS — 108.0% (Cost — $1,062,695,505#)		1,103,407,425

				Liabilities in Excess of Other Assets — (8.0%)		(81,775,802	)

				TOTAL NET ASSETS — 100.0%	$	1,021,631,623

†	Face amount denominated in U.S. dollars, unless otherwise noted.

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

See Notes to Financial Statements.

104

Schedules of Investments

(continued)

Core Fixed Income Investments

*	Non-income producing securities.

(a)	Variable rate security. Interest rate disclosed is that which is in effect at August 31, 2012.

(b)	All or a portion of this security is segregated as collateral for open futures contracts, extended settlements, options contracts written, swap contracts, foreign currency contracts, TBA’s and repurchase agreements.

(c)	This security is traded on a TBA basis (see Note 1).

(d)	Rating by Moody’s Investors Service. All ratings are unaudited.

(e)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(f)	Rating by Fitch Ratings Service. All ratings are unaudited.

(g)	Principal only security.

(h)	Illiquid Security.

(i)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(j)	Security is currently in default.

(k)	All or a portion of this security is on loan (See Note 1).

(l)	Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).

(m)	All or a portion of this security is held at the broker as collateral for open futures contracts, repurchase agreements, or swap contracts.

(n)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 12.3%.

(o)	Rate shown represents yield-to-maturity.

(p)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $1,066,183,429.

Abbreviation used in this schedule:


AUD	—	Australian Dollar
CAD	—	Canadian Dollar
EUR	—	Euro Dollar
FSA	—	Financial Security Assurance
GBP	—	British Pound
GO	—	General Obligation
GTDSTD	—	Guaranteed Student Loans
JPY	—	Japanese Yen
MASTR	—	Mortgage Asset Securitization Transactions Inc
NOK	—	Norwegian Krone
PLC	—	Public Limited Company
REIT	—	Real Estate Investment Trusts
REMICS	—	Real Estate Mortgage Investment Conduits

See pages 140 and 141 for definition of ratings.

Summary of Investments by Security Type*


Mortgage-Backed Securities	25.1	%
Corporate Bonds & Notes	24.3
U.S. Government & Agency Obligations	19.7
Collateralized Mortgage Obligations	13.4
Sovereign Bonds	3.2
Municipal Bonds	1.5
Asset-Backed Securities	1.3
Preferred Stock	0.1
Purchased Options	0.0	**
Common Stock	0.0	**
Warrant	0.0	**
Short-Term Investments	11.4

	100.0	%

See Notes to Financial Statements.

105

Schedules of Investments

(continued)

Core Fixed Income Investments

*	As a percentage of total investments.

**	Position represents less than 0.1%

Schedule of Options Contracts Written


Contracts		Security Name	Expiration Date	Strike Price		Value
	United States
	24	Eurodollar 2 Year Midcurve, Put	12/14/12	$	98.63	$	600
	102	Eurodollar 2 Year Midcurve, Put	12/14/12		98.25		638
	180	Eurodollar 3 Year Midcurve, Put	12/14/12		97.75		2,250
	46	Eurodollar Futures, Put	9/17/12		98.88		287
	1,200,000	Swaption, 3-Month USD-LIBOR, Call	3/18/13		1.40		30,131
	1,200,000	Swaption, 3-Month USD-LIBOR, Put	3/18/13		1.40		3,300
	15,200,000	Swaption, 3-Month USD-LIBOR, Call	3/18/13		1.40		381,657
	15,200,000	Swaption, 3-Month USD-LIBOR, Put	3/18/13		1.40		41,805
	31	U.S. Treasury Bonds Futures, Call	9/21/12		150.00		71,203

		Total United States					531,871

		TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $644,647)				$	531,871

Schedule of Forward Sale Commitments


Face Amount		Security	Value
		Federal Home Loan Mortgage Corp. (FHLMC):
$	2,000,000	5.500% due 9/15/33 (a)		$2,185,000
		Gold:
	1,000,000	4.500% due 9/15/34 (a)		1,076,602
		Federal National Mortgage Association (FNMA):
	6,000,000	3.500% due 9/15/25 (a)		6,380,625
	10,000,000	5.500% due 9/15/33 (a)		10,971,877
	5,000,000	6.000% due 9/15/33 (a)		5,509,571
	1,000,000	4.000% due 9/15/39 (a)		1,072,344
	1,000,000	4.500% due 9/1/42 (a)		1,082,344
		Government National Mortgage Association (GNMA):
	3,000,000	6.000% due 10/1/42(a)		3,375,001

		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $31,603,438)	$	31,653,364

(a)	This security is traded on a TBA basis (see Note 1).

For details of other financial instruments held by this fund, refer to Note 3.

See Notes to Financial Statements.

106

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 79.0%
	Aerospace & Defense — 1.1%
$	1,180,000	CCC	DAE Aviation Holdings Inc., Company Guaranteed Notes, 11.250% due 8/1/15(a)	$	1,221,300
	170,000	B-	Ducommun Inc., Company Guaranteed Notes, 9.750% due 7/15/18		178,712
	1,005,000	B	Kratos Defense & Security Solutions Inc., Senior Secured Notes, 10.000% due 6/1/17		1,075,350
	330,000	B-	Wyle Services Corp., Senior Subordinated Notes, 10.500% due 4/1/18(a)		358,050

			Total Aerospace & Defense		2,833,412

	Airlines — 0.4%
	370,000	BBB-	Continental Airlines 2012-1 Class B Pass Thru Trusts, Pass Thru Certificates, 6.250% due 4/11/20		377,400
	57,756	BB	Delta Air Lines 2007-1 Class B Pass Through Trust, Pass Thru Certificates, 8.021% due 8/10/22		59,488
	117,027	B	Delta Air Lines 2007-1 Class C Pass Through Trust, Pass Thru Certificates, 8.954% due 8/10/14		119,227
	53,342	BBB-	Delta Air Lines 2009-1 Series B Pass Through Trust, Pass Thru Certificates, 9.750% due 12/17/16		57,610
	30,000	BB+	Delta Air Lines 2010-1 Class B Pass Through Trust, Pass Thru Certificates, 6.375% due 1/2/16(a)		30,000
	515,000	BB-	Delta Air Lines Inc., Senior Secured Notes, 9.500% due 9/15/14(a)		543,325

			Total Airlines		1,187,050

	Auto Components — 1.7%
			Chrysler Group LLC/CG Co-Issuer Inc., Secured Notes:
	1,830,000	B	8.000% due 6/15/19		1,939,800
	1,400,000	B	8.250% due 6/15/21		1,484,000
	400,000	B+	Pittsburgh Glass Works LLC, Senior Secured Notes, 8.500% due 4/15/16(a)		368,000
	85,000	BB-	Tomkins LLC/Tomkins Inc., Secured Notes, 9.000% due 10/1/18		95,200
	601,000	B+	Tower Automotive Holdings USA LLC/TA Holdings Finance Inc., Senior Secured Notes, 10.625% due 9/1/17(a)		644,573

			Total Auto Components		4,531,573

	Beverages — 0.1%
	110,000	BB+	Constellation Brands Inc., Company Guaranteed Notes, 4.625% due 3/1/23		112,475
	50,000	B-	Innovation Ventures LLC/Innovation Ventures Finance Corp., Senior Secured Notes, 9.500% due 8/15/19(a)		46,125

			Total Beverages		158,600

	Building Products — 0.4%
			Building Materials Corp. of America:
			Senior Notes:
	180,000	BB+	6.875% due 8/15/18(a)		193,950
	200,000	BB+	6.750% due 5/1/21(a)		219,000
	140,000	BB+	Senior Secured Notes, 7.000% due 2/15/20(a)		152,250
			Nortek Inc., Company Guaranteed Notes:
	285,000	B	10.000% due 12/1/18		313,500
	300,000	B	8.500% due 4/15/21		320,250

			Total Building Products		1,198,950

	Chemicals — 1.1%
	130,000	B+	Ineos Finance PLC, Senior Secured Notes, 9.000% due 5/15/15(a)		138,450
	1,100,000	BB+	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		1,259,500
	1,415,000	BB-	Tronox Finance LLC, Company Guaranteed Notes, 6.375% due 8/15/20(a)		1,434,456

			Total Chemicals		2,832,406

	Commercial Banks — 4.4%
			Ally Financial Inc.:
			Company Guaranteed Notes:
	165,000	B+	6.750% due 12/1/14		178,612
	80,000	B+	4.625% due 6/26/15		82,155
	645,000	B+	5.500% due 2/15/17		671,528
	155,000	B+	6.250% due 12/1/17		168,060
	2,820,000	B+	8.000% due 3/15/20		3,313,500
	60,000	B+	Senior Unsecured Notes, 7.500% due 12/31/13		64,275

See Notes to Financial Statements.

107

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Commercial Banks — 4.4%—(continued)
$	415,000	BBB-	Amsouth Bank, Subordinated Notes, 4.850% due 4/1/13	$	419,150
	120,000	A-	Bank of America Corp., Senior Unsecured Notes, 6.500% due 8/1/16		136,966
			Barclays Bank PLC, Subordinated Notes:
	100,000	BBB+	6.050% due 12/4/17(a)		106,031
	240,000	BBB+	10.179% due 6/12/21(a)		301,626
	75,000	A	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Junior Subordinated Notes, 11.000% due 12/29/49(a)(b)		97,660
	210,000	BBB-	Credit Agricole SA, Junior Subordinated Notes, 8.375% due 10/29/49(a)(b)		194,513
	390,000	BBB+	Intesa Sanpaolo SpA, Senior Notes, 3.625% due 8/12/15(a)		366,850
	1,000,000	BB+	NB Capital Trust II, Limited Guaranteed Notes, 7.830% due 12/15/26		1,006,250
			Royal Bank of Scotland Group PLC:
	170,000	BB	Junior Subordinated Notes, 7.648% due 8/29/49(b)		161,500
	50,000	BB+	Subordinated Notes, 5.000% due 10/1/14		50,590
	100,000	BBB+	Santander Issuances SAU, Bank Guaranteed Notes, 5.911% due 6/20/16(a)		93,779
	220,000	BBB-	Société Générale SA, Junior Subordinated Notes, 1.211% due 12/29/49(a)(b)		121,077
			Synovus Financial Corp.:
	905,000	B	Senior Unsecured Notes, 7.875% due 2/15/19		995,500
	2,120,000	B-	Subordinated Notes, 5.125% due 6/15/17		2,056,400
	585,000	BBB+	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% due 3/29/49(b)		579,881
	620,000	Ba3(c)	Western Alliance Bancorp, Senior Unsecured Notes, 10.000% due 9/1/15		675,800

			Total Commercial Banks		11,841,703

	Commercial Services — 2.4%
	335,000	B	ACE Cash Express Inc., Senior Secured Notes, 11.000% due 2/1/19(a)		312,388
	240,000	B+	Ashtead Capital Inc., Company Guaranteed Notes, 6.500% due 7/15/22(a)		250,500
			Avis Budget Car Rental LLC/Avis Budget Finance Inc., Company Guaranteed Notes:
	103,000	B	7.750% due 5/15/16		106,220
	380,000	B	8.250% due 1/15/19		412,300
	547,000	BB-	Bankrate Inc., Senior Secured Notes, 11.750% due 7/15/15		615,375
	155,000	B-	Emergency Medical Services Corp., Company Guaranteed Notes, 8.125% due 6/1/19		166,237
	115,000	B+	Geo Group Inc. (The), Company Guaranteed Notes, 7.750% due 10/15/17		125,206
	230,000	B+	H&E Equipment Services, Inc., Company Guaranteed Notes, 7.000% due 9/1/22(a)		239,200
	250,000	B2(c)	Hertz Corp. (The), Company Guaranteed Notes, 6.750% due 4/15/19(a)		263,750
	250,000	B	Live Nation Entertainment Inc., Senior Unsecured Notes, 8.125% due 5/15/18(a)		268,750
	320,000	CCC+	Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20		328,000
	310,000	CCC+	NES Rentals Holdings Inc., Secured Notes, 12.250% due 4/15/15(a)		306,900
	60,000	B	Pharmaceutical Product Development Inc., Senior Unsecured Notes, 9.500% due 12/1/19(a)		67,200
			ServiceMaster Co.:
	180,000	B-	Company Guaranteed Notes, 8.000% due 2/15/20		192,825
	140,000	B-	Senior Notes, 7.000% due 8/15/20(a)		143,150
	300,000	BB	Sotheby’s, Company Guaranteed Notes, 7.750% due 6/15/15		331,125
	625,000	BB-	Stewart Enterprises Inc., Company Guaranteed Notes, 6.500% due 4/15/19		665,625
	160,000	B-	TransUnion Holding Co., Inc., Senior Unsecured Notes, 9.625% due 6/15/18(a)(d)		174,400
	1,000,000	B+	UR Financing Escrow Corp., Company Guaranteed Notes, 7.625% due 4/15/22(a)		1,082,500
	350,000	B+	UR Merger Sub Corp., Company Guaranteed Notes, 7.375% due 5/15/20(a)		371,875

			Total Commercial Services		6,423,526

	Commercial Services & Supplies — 1.6%
	855,000	CCC	Altegrity Inc., Company Guaranteed Notes, 11.750% due 5/1/16(a)		718,200
	740,000	B+	American Reprographics Co., Company Guaranteed Notes, 10.500% due 12/15/16		769,600
			Cenveo Corp.:
	205,000	CCC+	Company Guaranteed Notes, 7.875% due 12/1/13		205,000
	1,455,000	B-	Secured Notes, 8.875% due 2/1/18		1,331,325
	285,000	B-	FGI Operating Co. LLC/FGI Finance Inc., Senior Secured Notes, 7.875% due 5/1/20(a)		301,388
	100,000	BB-	JM Huber Corp., Senior Unsecured Notes, 9.875% due 11/1/19(a)		111,250
		CCC+	Park-Ohio Industries Inc., Company Guaranteed Notes, 8.125% due 4/1/21		843,525
	130,000	B+	United Rentals North America Inc., Company Guaranteed Notes, 10.875% due 6/15/16		146,087

			Total Commercial Services & Supplies		4,426,375

See Notes to Financial Statements.

108

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Containers & Packaging — 0.4%
$	400,000	CCC+	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Company Guaranteed Notes, 9.125% due 10/15/20(a)	$	419,000
	255,000	B	Packaging Dynamics Corp., Senior Secured Notes, 8.750% due 2/1/16(a)		271,894
	660,000	B-	Pactiv Corp., Senior Unsecured Notes, 7.950% due 12/15/25(e)		514,800

			Total Containers & Packaging		1,205,694

	Diversified Consumer Services — 0.1%
	210,000	B-	Carriage Services Inc., Company Guaranteed Notes, 7.875% due 1/15/15		213,806
	130,000	BB-	Service Corp. International, Senior Unsecured Notes, 7.500% due 4/1/27		136,988

			Total Diversified Consumer Services		350,794

	Diversified Financial Services — 4.5%
			CIT Group Inc.:
	641,645	BB-	Company Guaranteed Notes, 7.000% due 5/2/16(a)		644,051
	1,000,000	BB-	Senior Unsecured Notes, 5.375% due 5/15/20		1,041,875
	1,032,387	B-	E*Trade Financial Corp., Senior Unsecured Notes, 12.500% due 11/30/17		1,183,374
	220,000	BB-	General Motors Financial Co., Inc., Company Guaranteed Notes, 6.750% due 6/1/18		244,216
			International Lease Finance Corp., Senior Unsecured Notes:
	350,000	BBB-	6.375% due 3/25/13		358,750
	215,000	BBB-	5.625% due 9/20/13		223,062
	1,000,000	BBB-	8.625% due 9/15/15		1,125,000
	1,150,000	BBB-	8.875% due 9/1/17		1,341,188
	1,050,000	BBB-	8.625% due 1/15/22		1,241,625
	1,605,000	BBB-	5.875% due 8/15/22		1,617,948
	276,000	NR	Jack Cooper Holdings Corp., Senior Secured Notes, 13.750% due 12/15/15(a)		278,760
			Nuveen Investments Inc.:
	665,000	CCC	Company Guaranteed Notes, 10.500% due 11/15/15		679,962
	450,000	CCC	Senior Unsecured Notes, 5.500% due 9/15/15		409,500
	1,415,000	B-	Offshore Group Investments Ltd., Senior Secured Notes, 11.500% due 8/1/15		1,570,650
	45,000	B	Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes, 9.500% due 6/15/19(a)		47,925
	160,000	B+	SPL Logistics Escrow LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a)		165,600

			Total Diversified Financial Services		12,173,486

	Diversified Telecommunication Services — 4.9%
			Cincinnati Bell Inc., Company Guaranteed Notes:
	265,000	B	8.250% due 10/15/17		284,875
	1,605,000	CCC+	8.750% due 3/15/18		1,629,075
	35,000	BB-	Cincinnati Bell Telephone Co. LLC, Company Guaranteed Notes, 6.300% due 12/1/28		30,800
			Cricket Communications Inc.:
	455,000	B-	Company Guaranteed Notes, 7.750% due 10/15/20		443,625
	1,015,000	B+	Senior Secured Notes, 7.750% due 5/15/16		1,075,900
	430,000	BB	Frontier Communications Corp., Senior Unsecured Notes, 8.500% due 4/15/20		481,600
	135,000	BB+	Inmarsat Finance PLC, Company Guaranteed Notes, 7.375% due 12/1/17(a)		147,487
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	115,000	CCC+	11.250% due 6/15/16		121,469
	1,735,000	B	7.250% due 10/15/20(a)		1,878,137
	775,000	B-	ITC Deltacom Inc., Senior Secured Notes, 10.500% due 4/1/16		838,938
			Level 3 Financing Inc., Company Guaranteed Notes:
	295,000	CCC	4.469% due 2/15/15(b)		293,525
	362,000	CCC	10.000% due 2/1/18		399,105
	265,000	CCC	9.375% due 4/1/19		291,500
	1,310,000	CCC	7.000% due 6/1/20(a)		1,308,363
	1,170,000	CCC	8.625% due 7/15/20		1,256,287
	130,000	B	tw telecom holdings inc., Company Guaranteed Notes, 8.000% due 3/1/18		144,950
	340,000	BB-	UPCB Finance V Ltd., Senior Secured Notes, 7.250% due 11/15/21(a)		372,300

See Notes to Financial Statements.

109

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Diversified Telecommunication Services — 4.9%—(continued)
			West Corp., Company Guaranteed Notes:
$	320,000	B	8.625% due 10/1/18	$	326,400
	110,000	B	7.875% due 1/15/19		109,450
	260,000	BB-	Wind Acquisition Finance SA, Secured Notes, 11.750% due 7/15/17(a)		239,200
	887,337	B	Wind Acquisition Holdings Finance SA, Senior Secured Notes, 12.250% due 7/15/17(a)(d)		625,573
			Windstream Corp., Company Guaranteed Notes:
	310,000	B	7.500% due 6/1/22		317,750
	630,000	B	7.500% due 4/1/23		642,600

			Total Diversified Telecommunication Services		13,258,909

	Electric Utilities — 2.4%
	750,000	BB-	AES Corp. (The), Senior Unsecured Notes, 7.375% due 7/1/21		862,500
			Calpine Corp., Senior Secured Notes:
	1,135,000	BB-	7.250% due 10/15/17(a)		1,220,125
	250,000	BB-	7.875% due 1/15/23(a)		283,750
			Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc.:
	1,060,000	CC	Secured Notes, 11.750% due 3/1/22(a)		1,134,200
	810,000	B-	Senior Secured Notes, 10.000% due 12/1/20		913,275
	43,922	B	FPL Energy National Wind Portfolio LLC, Senior Secured Notes, 6.125% due 3/25/19(a)(f)		34,380
	960,000	B+	GenOn REMA LLC, Pass Thru Certificates, 9.681% due 7/2/26		1,032,000
	246,095	B-	Midwest Generation LLC, Pass Thru Certificates, 8.560% due 1/2/16		216,564
	420,279	B+	Mirant Mid Atlantic Pass Through Trust B, Pass Thru Certificates, 9.125% due 6/30/17		451,800
	311,774	B+	Mirant Mid Atlantic Pass Through Trust C, Pass Thru Certificates, 10.060% due 12/30/28		346,069
	50,000	CCC	Texas Competitive Electric Holdings Co. LLC/TCEH Finance Inc., Senior Secured Notes, 11.500% due 10/1/20(a)		40,500

			Total Electric Utilities		6,535,163

	Electronic Equipment & Instruments — 1.2%
	190,000	B+	Belden Inc., Company Guaranteed Notes, 5.500% due 9/1/22(a)		191,425
	300,000	B	Coleman Cable Inc., Company Guaranteed Notes, 9.000% due 2/15/18		319,500
	680,000	B+	NXP BV/NXP Funding LLC, Senior Secured Notes, 9.750% due 8/1/18(a)		780,300
	1,875,000	B	Sanmina-SCI Corp., Company Guaranteed Notes, 7.000% due 5/15/19(a)		1,893,750

			Total Electronic Equipment & Instruments		3,184,975

	Energy Equipment & Services — 1.2%
			Chesapeake Midstream Partners LP/CHKM Finance Corp., Company Guaranteed Notes:
	1,060,000	BB-	5.875% due 4/15/21		1,089,150
	270,000	BB-	6.125% due 7/15/22		281,475
	130,000	NR	Dynegy Roseton LLC/Dynegy Danskammer LLC Pass Through Trust, Series B, Pass Thru Certificates, 7.670% due 11/8/16(g)		83,200
	225,000	B+	First Wind Capital LLC, Senior Secured Notes, 10.250% due 6/1/18(a)		226,125
	355,000	B	Forbes Energy Services Ltd., Company Guaranteed Notes, 9.000% due 6/15/19		346,125
	500,000	BB-	Hornbeck Offshore Services Inc., Company Guaranteed Notes, 5.875% due 4/1/20		512,500
	200,000	BB	Petroleum Geo-Services ASA, Company Guaranteed Notes, 7.375% due 12/15/18(a)		214,500
	140,000	BB	Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 6.375% due 8/1/22(a)		147,000
	390,000	CCC	Xinergy Corp., Senior Secured Notes, 9.250% due 5/15/19(a)		262,275

			Total Energy Equipment & Services		3,162,350

	Food Products — 0.6%
	110,000	B-	Harmony Foods Corp., Senior Secured Notes, 10.000% due 5/1/16(a)		114,400
	200,000	B+	Post Holdings Inc., Company Guaranteed Notes, 7.375% due 2/15/22(a)		211,750
	800,000	CCC-	Simmons Foods Inc., Secured Notes, 10.500% due 11/1/17(a)		696,000
		B	Viskase Cos., Inc., Secured Notes, 9.875% due 1/15/18(a)		661,500

			Total Food Products		1,683,650

	Gas Utilities — 0.9%
			Sabine Pass LNG LP, Senior Secured Notes:
	345,000	BB+	7.250% due 11/30/13		360,525

See Notes to Financial Statements.

110

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Gas Utilities — 0.9%—(continued)
$	1,845,000	BB+	7.500% due 11/30/16	$	1,983,375

			Total Gas Utilities		2,343,900

	Health Care Equipment & Supplies — 0.8%
	205,000	B-	Alere Inc., Company Guaranteed Notes, 8.625% due 10/1/18		212,688
			Biomet Inc., Company Guaranteed Notes:
	555,000	B-	11.625% due 10/15/17		595,931
	225,000	B-	6.500% due 8/1/20(a)		234,000
			DJO Finance LLC/DJO Finance Corp., Company Guaranteed Notes:
	720,000	B-	10.875% due 11/15/14		755,100
	210,000	B-	7.750% due 4/15/18		193,200
	110,000	BB	Hologic Inc., Company Guaranteed Notes, 6.250% due 8/1/20(a)		117,012

			Total Health Care Equipment & Supplies		2,107,931

	Health Care Providers & Services — 4.0%
	450,000	B-	Acadia Healthcare Co., Inc., Company Guaranteed Notes, 12.875% due 11/1/18		524,250
	130,000	BB+	AMERIGROUP Corp., Senior Unsecured Notes, 7.500% due 11/15/19		152,100
			CHS/Community Health Systems Inc.:
			Company Guaranteed Notes:
	620,000	B	8.000% due 11/15/19		672,700
	130,000	B	7.125% due 7/15/20		136,338
	180,000	BB	Senior Secured Notes, 5.125% due 8/15/18		186,075
	465,000	CCC+	CRC Health Corp., Company Guaranteed Notes, 10.750% due 2/1/16		417,337
	225,000	B	DaVita Inc., Company Guaranteed Notes, 5.750% due 8/15/22		235,125
	60,000	BB+	Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.875% due 1/31/22(a)		63,900
	500,000	BB+	Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 6.875% due 7/15/17		572,500
	205,000	B	Hanger Orthopedic Group Inc., Company Guaranteed Notes, 7.125% due 11/15/18		214,737
			HCA Inc.:
	39,000	BB	Secured Notes, 9.875% due 2/15/17		42,315
			Senior Secured Notes:
	210,000	BB	8.500% due 4/15/19		237,825
	60,000	BB	7.250% due 9/15/20		66,788
	620,000	BB	5.875% due 3/15/22		662,625
			Senior Unsecured Notes:
	960,000	B-	6.250% due 2/15/13		984,000
	60,000	B-	7.690% due 6/15/25		58,800
	615,000	B-	OnCure Holdings Inc., Secured Notes, 11.750% due 5/15/17		375,150
	50,000	B	Physiotherapy Associates Holdings Inc., Senior Unsecured Notes, 11.875% due 5/1/19(a)		52,500
	500,000	CCC+	Radnet Management Inc., Company Guaranteed Notes, 10.375% due 4/1/18		506,250
	134,000	B-	Select Medical Corp., Company Guaranteed Notes, 7.625% due 2/1/15		135,926
	610,000	B-	Select Medical Holdings Corp., Senior Unsecured Notes, 6.494% due 9/15/15(b)		610,000
			Tenet Healthcare Corp.:
			Senior Secured Notes:
	100,000	BB-	10.000% due 5/1/18		115,500
	60,000	BB-	6.250% due 11/1/18		65,438
	1,722,000	BB-	8.875% due 7/1/19		1,967,385
	380,000	CCC+	Senior Unsecured Notes, 6.875% due 11/15/31		333,450
	1,220,000	B-	Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II Inc., Company Guaranteed Notes, 8.000% due 2/1/18(a)		1,287,100

			Total Health Care Providers & Services		10,676,114

	Hotels, Restaurants & Leisure — 7.3%
	140,000	B	Affinity Gaming LLC/Affinity Gaming Finance Corp., Company Guaranteed Notes, 9.000% due 5/15/18(a)		143,150
			AMC Entertainment Inc., Company Guaranteed Notes:
	1,425,000	B-	8.750% due 6/1/19		1,567,500
	320,000	CCC+	9.750% due 12/1/20		355,200

See Notes to Financial Statements.

111

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Hotels, Restaurants & Leisure — 7.3%—(continued)
			Ameristar Casinos Inc., Company Guaranteed Notes:
$	1,360,000	B+	7.500% due 4/15/21	$	1,465,400
	310,000	B+	7.500% due 4/15/21(a)		334,025
	145,175	NR	Bossier Casino Venture Holdco Inc., Senior Secured Notes, 14.000% due 2/9/18(a)(d)(f)(h)		124,662
			Boyd Gaming Corp., Company Guaranteed Notes:
	460,000	B	9.125% due 12/1/18		478,975
	394,000	B	9.000% due 7/1/20(a)		392,522
			Caesars Entertainment Operating Co., Inc.:
	500,000	CCC	Company Guaranteed Notes, 10.750% due 2/1/16		380,000
	100,000	CCC	Secured Notes, 10.000% due 12/15/15		86,250
	305,000	B	Senior Secured Notes, 11.250% due 6/1/17		330,163
	1,675,000	B	Caesars Operating Escrow LLC/Caesars Escrow Corp., Senior Secured Notes, 9.000% due 2/15/20(a)		1,676,047
	230,000	B-	Carrols Restaurant Group Inc., Secured Notes, 11.250% due 5/15/18(a)		247,825
	170,000	CCC+	CCM Merger Inc., Company Guaranteed Notes, 9.125% due 5/1/19(a)		171,700
	200,000	BB	Choice Hotels International Inc., Company Guaranteed Notes, 5.750% due 7/1/22		215,500
	65,000	NR	Fontainebleau Las Vegas Holdings LLC, 2nd Mortgage Notes, 10.250% due 6/15/15(a)(g)		122
	515,000	B	Gaylord Entertainment Co., Company Guaranteed Notes, 6.750% due 11/15/14		517,575
	475,000	BB-	GWR Operating Partnership LLP, 1st Mortgage Notes, 10.875% due 4/1/17		537,937
	450,000	B	HOA Restaurant Group LLC/HOA Finance Corp., Secured Notes, 11.250% due 4/1/17(a)		416,812
			Isle of Capri Casinos Inc., Company Guaranteed Notes:
	320,000	B-	7.750% due 3/15/19		341,600
	455,000	CCC+	8.875% due 6/15/20(a)		468,650
	730,000	CCC+	Landry’s Inc., Senior Notes, 9.375% due 5/1/20(a)		775,625
			Lions Gate Entertainment Inc., Secured Notes:
	225,000	B	10.250% due 11/1/16		252,000
	1,100,000	B	10.250% due 11/1/16(a)		1,232,000
			Marina District Finance Co., Inc., Senior Secured Notes:
	135,000	B+	9.500% due 10/15/15(e)		134,325
	95,000	B+	9.875% due 8/15/18		92,031
	140,000	B-	Mastro’s Restaurants LLC/RRG Finance Corp., Senior Secured Notes, 12.000% due 6/1/17(a)		146,300
			MGM Resorts International:
	195,000	B-	Company Guaranteed Notes, 8.625% due 2/1/19(a)		208,650
			Senior Secured Notes:
	870,000	B+	13.000% due 11/15/13		987,450
	25,000	B+	10.375% due 5/15/14		28,500
	55,000	B+	11.125% due 11/15/17		61,462
	750,000	B+	9.000% due 3/15/20(a)		840,938
			Mohegan Tribal Gaming Authority, Secured Notes:
	610,000	CCC	10.500% due 12/15/16(a)		545,950
	130,000	CCC	11.500% due 11/1/17(a)		136,500
			NCL Corp., Ltd.:
	550,000	BB	Senior Secured Notes, 11.750% due 11/15/16		636,625
	450,000	B+	Senior Unsecured Notes, 9.500% due 11/15/18		497,250
	1,240,000	B-	Palace Entertainment Holdings LLC/Palace Entertainment Holdings Corp., Senior Secured Notes, 8.875% due 4/15/17(a)		1,305,100
			Pinnacle Entertainment Inc., Company Guaranteed Notes:
	50,000	B	8.750% due 5/15/20		55,125
	100,000	B	7.750% due 4/1/22		108,000
			Royal Caribbean Cruises Ltd., Senior Unsecured Notes:
	200,000	BB	6.875% due 12/1/13		211,500
	165,000	BB	11.875% due 7/15/15		202,125
	300,000	CCC+	Seven Seas Cruises S de RL LLC, Secured Notes, 9.125% due 5/15/19		313,500
	120,000	B	Snoqualmie Entertainment Authority, Senior Secured Notes, 4.476% due 2/1/14(a)(b)		118,200
	15,000	NR	Station Casinos Inc., Senior Subordinated Notes, 6.625% due 3/15/18(f)(g)		0
	345,000	CCC+	Wok Acquisition Corp., Company Guaranteed Notes, 10.250% due 6/30/20(a)		363,113

			Total Hotels, Restaurants & Leisure		19,503,884

See Notes to Financial Statements.

112

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Household Durables — 0.2%
$	460,000	BB-	Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes, 7.750% due 4/15/20(a)	$	488,750

	Household Products — 1.7%
			Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
			Company Guaranteed Notes:
	1,890,000	B-	9.000% due 4/15/19		1,930,163
	1,030,000	B-	9.875% due 8/15/19		1,094,375
	100,000	BB-	Senior Secured Notes, 7.875% due 8/15/19		111,750
	1,250,000	B-	Spectrum Brands Inc., Company Guaranteed Notes, 6.750% due 3/15/20(a)		1,317,187

			Total Household Products		4,453,475

	Independent Power Producers & Energy Traders — 0.7%
	394,568	B	AES Ironwood LLC, Senior Secured Notes, 8.857% due 11/30/25		456,713
			NRG Energy Inc., Company Guaranteed Notes:
	130,000	BB-	7.375% due 1/15/17		135,362
	175,000	BB-	7.625% due 1/15/18		188,125
	500,000	BB-	7.625% due 5/15/19		525,000
	110,000	BB-	8.250% due 9/1/20		119,075
	155,000	BB-	7.875% due 5/15/21		166,625
	370,000	BB-	Red Oak Power LLC, Senior Secured Notes, 9.200% due 11/30/29		402,375

			Total Independent Power Producers & Energy Traders		1,993,275

	Industrial — 0.5%
	1,330,000	B	SunGard Data Systems Inc., Company Guaranteed Notes, 7.625% due 11/15/20		1,433,075

	Insurance — 0.7%
			HUB International Holdings Inc.:
	945,000	CCC+	Senior Subordinated Notes, 10.250% due 6/15/15(a)		975,713
	805,000	CCC+	Senior Unsecured Notes, 9.000% due 12/15/14(a)		826,131
	80,000	BBB	ING Capital Funding Trust III, Company Guaranteed Notes, 4.061% due 12/29/49(b)		69,150
	100,000	BB	Liberty Mutual Group Inc., Company Guaranteed Notes, 7.800% due 3/15/37(a)		106,375

			Total Insurance		1,977,369

	Internet & Catalog Retail — 0.2%
	475,000	BB-	NetFlix Inc., Company Guaranteed Notes, 8.500% due 11/15/17		510,625

	Internet Software & Services — 0.5%
	400,000	B-	Cogent Communications Group Inc., Senior Secured Notes, 8.375% due 2/15/18(a)		437,000
	785,000	B-	EarthLink Inc., Company Guaranteed Notes, 8.875% due 5/15/19		794,812
	150,000	B	Zayo Escrow Corp./Zayo Capital Inc., Senior Secured Notes, 8.125% due 1/1/20(a)		160,125

			Total Internet Software & Services		1,391,937

	Leisure Equipment & Products — 0.1%
	240,000	B	Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes, 10.500% due 7/1/19(a)		253,200

	Machinery — 0.5%
	800,000	B	Dematic SA, Senior Secured Notes, 8.750% due 5/1/16(a)		856,000
	295,000	B+	Manitowoc Co., Inc. (The), Company Guaranteed Notes, 8.500% due 11/1/20		328,188
	175,000	B+	Mcron Finance Sub LLC Finance Corp., Senior Secured Notes, 8.375% due 5/15/19(a)		180,687

			Total Machinery		1,364,875

	Media — 6.1%
	300,000	B	Carmike Cinemas Inc., Secured Notes, 7.375% due 5/15/19		322,125
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	180,000	BB-	8.125% due 4/30/20		203,400
	460,000	BB-	7.375% due 6/1/20		512,900
	1,310,000	BB-	6.625% due 1/31/22		1,424,625
	230,000	BB-	5.250% due 9/30/22		228,850
	630,000	B	Cengage Learning Acquisitions Inc., Senior Secured Notes, 11.500% due 4/15/20(a)		666,225

See Notes to Financial Statements.

113

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Media — 6.1%—(continued)
$	515,000	CCC+	Clear Channel Communications Inc., Senior Secured Notes, 9.000% due 3/1/21	$	444,188
			Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes:
	200,000	B	9.250% due 12/15/17		218,250
	370,000	B	7.625% due 3/15/20		360,450
	515,000	B	Crown Media Holdings Inc., Company Guaranteed Notes, 10.500% due 7/15/19		570,362
			CSC Holdings LLC, Senior Unsecured Notes:
	450,000	BB	7.625% due 7/15/18		514,125
	860,000	BB	6.750% due 11/15/21(a)		933,100
	820,000	CCC+	Cumulus Media Holdings Inc., Company Guaranteed Notes, 7.750% due 5/1/19(e)		779,000
			DISH DBS Corp., Company Guaranteed Notes:
	375,000	BB-	7.125% due 2/1/16		414,375
	1,450,000	BB-	7.875% due 9/1/19		1,672,938
	870,000	BB-	5.875% due 7/15/22(a)		880,875
	345,000	B-	Entercom Radio LLC, Company Guaranteed Notes, 10.500% due 12/1/19		379,500
	266,000	B	Entravision Communications Corp., Senior Secured Notes, 8.750% due 8/1/17		286,615
	580,000	CCC+	Gray Television Inc., Secured Notes, 10.500% due 6/29/15		629,300
	230,000	CCC	LBI Media Inc., Senior Secured Notes, 9.250% due 4/15/19(a)		210,450
	450,000	CCC+	LIN Television Corp., Company Guaranteed Notes, 8.375% due 4/15/18		472,500
	330,000	B+	Nara Cable Funding Ltd., Senior Secured Notes, 8.875% due 12/1/18(a)		301,125
	650,000	B	Nexstar Broadcasting Inc./Mission Broadcasting Inc., Secured Notes, 8.875% due 4/15/17		702,000
	130,000	BB-	Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes, 11.500% due 5/1/16		146,250
	150,000	B-	Ono Finance II PLC, Company Guaranteed Notes, 10.875% due 7/15/19(a)		120,750
			Sirius XM Radio Inc.:
	290,000	BB	Company Guaranteed Notes, 8.750% due 4/1/15(a)		332,050
	1,550,000	BB	Senior Unsecured Notes, 5.250% due 8/15/22(a)		1,557,750
			Univision Communications Inc., Senior Secured Notes:
	310,000	B+	6.875% due 5/15/19(a)		321,625
	690,000	B+	7.875% due 11/1/20(a)		743,475
	135,000	BB	XM Satellite Radio Inc., Company Guaranteed Notes, 13.000% due 8/1/13(a)		150,356

			Total Media		16,499,534

	Metals & Mining — 2.0%
			FMG Resources August 2006 Pty Ltd.:
			Company Guaranteed Notes:
	540,000	BB-	7.000% due 11/1/15(a)		533,250
	290,000	BB-	6.375% due 2/1/16(a)		279,850
	60,000	BB-	8.250% due 11/1/19(a)		60,000
			Senior Unsecured Notes:
	310,000	BB-	6.000% due 4/1/17(a)		293,725
	500,000	BB-	6.875% due 4/1/22(a)		461,875
	130,000	B	Global Brass & Copper Inc., Senior Secured Notes, 9.500% due 6/1/19(a)		137,475
	545,000	B-	Horsehead Holding Corp., Senior Secured Notes, 10.500% due 6/1/17(a)		546,363
	790,000	CCC+	Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)		541,150
	110,000	CCC+	Mirabela Nickel Ltd., Senior Unsecured Notes, 8.750% due 4/15/18(a)		81,675
	220,000	CCC	Ryerson Holding Corp., Senior Secured Notes, 0.0% due 2/1/15		112,200
	210,000	CCC+	Ryerson Inc., Senior Secured Notes, 12.000% due 11/1/15		214,725
	650,000	BB+	Steel Dynamics Inc., Company Guaranteed Notes, 7.625% due 3/15/20		710,125
	1,390,000	CCC	Thompson Creek Metals Co., Inc., Company Guaranteed Notes, 12.500% due 5/1/19		1,264,900

			Total Metals & Mining		5,237,313

	Multiline Retail — 0.1%
	150,000	BB-	Neiman Marcus Group Inc., Senior Secured Notes, 7.125% due 6/1/28		144,750
	40,000	B-	New Albertsons Inc., Unsecured Notes, 7.250% due 5/1/13		40,000

			Total Multiline Retail		184,750

	Office Electronics — 0.2%
	410,000	B	CDW LLC/CDW Finance Corp., Senior Secured Notes, 8.000% due 12/15/18		457,150

See Notes to Financial Statements.

114

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 12.9%
$	1,900,000	BB-	Alpha Appalachia Holdings Inc., Company Guaranteed Notes, 3.250% due 8/1/15(e)	$	1,714,750
			Arch Coal Inc., Company Guaranteed Notes:
	940,000	B-	8.750% due 8/1/16(e)		944,700
	480,000	B-	7.000% due 6/15/19(e)		436,800
	100,000	BB	Atwood Oceanics Inc., Senior Unsecured Notes, 6.500% due 2/1/20		107,250
			Basic Energy Services Inc., Company Guaranteed Notes:
	270,000	B+	7.125% due 4/15/16		271,350
	360,000	B+	7.750% due 2/15/19		358,200
			Berry Petroleum Co., Senior Unsecured Notes:
	350,000	B+	6.750% due 11/1/20		376,250
	90,000	B+	6.375% due 9/15/22		96,075
	250,000	BB-	Bill Barrett Corp., Company Guaranteed Notes, 9.875% due 7/15/16		276,875
	400,000	NR	Callon Petroleum Co., Secured Notes, 13.000% due 9/15/16		414,000
			Calumet Specialty Products Partners LP/Calumet Finance Corp., Company Guaranteed Notes:
	190,000	B	9.375% due 5/1/19		200,450
	170,000	B	9.625% due 8/1/20(a)		181,475
			Chaparral Energy Inc., Company Guaranteed Notes:
	160,000	B-	9.875% due 10/1/20		182,400
	1,220,000	B-	7.625% due 11/15/22(a)		1,296,250
			Chesapeake Energy Corp., Company Guaranteed Notes:
	280,000	BB-	9.500% due 2/15/15		308,700
	150,000	BB-	6.875% due 8/15/18		155,250
	500,000	BB-	6.775% due 3/15/19		504,375
	595,000	BB-	6.625% due 8/15/20(e)		614,337
			Cie Générale de Géophysique — Veritas, Company Guaranteed Notes:
	250,000	BB-	9.500% due 5/15/16		273,750
	400,000	BB-	6.500% due 6/1/21		418,500
	280,000	BB	Coffeyville Resources LLC/Coffeyville Finance Inc., Senior Secured Notes, 9.000% due 4/1/15(a)		299,600
			Comstock Resources Inc., Company Guaranteed Notes:
	415,000	B-	7.750% due 4/1/19		410,850
	140,000	B-	9.500% due 6/15/20		148,050
			Concho Resources Inc., Company Guaranteed Notes:
	625,000	BB+	7.000% due 1/15/21		700,000
	40,000	BB+	5.500% due 10/1/22		41,350
			CONSOL Energy Inc., Company Guaranteed Notes:
	640,000	BB	8.250% due 4/1/20		692,800
	200,000	BB	6.375% due 3/1/21		199,000
	550,000	BB+	Continental Resources Inc., Company Guaranteed Notes, 5.000% due 9/15/22		577,500
			Crosstex Energy LP/Crosstex Energy Finance Corp., Company Guaranteed Notes:
	190,000	B+	8.875% due 2/15/18		203,181
	70,000	B+	7.125% due 6/1/22(a)		69,825
	730,000	BB	Denbury Resources Inc., Company Guaranteed Notes, 8.250% due 2/15/20		832,200
			El Paso Corp., Senior Unsecured Notes:
	200,000	BB	8.050% due 10/15/30		236,852
	10,000	BB	7.800% due 8/1/31		11,795
	570,000	B-	Energy Partners Ltd., Company Guaranteed Notes, 8.250% due 2/15/18		580,688
	250,000	B	Energy XXI Gulf Coast Inc., Company Guaranteed Notes, 9.250% due 12/15/17		280,000
	220,000	BB+	Enterprise Products Operating LLC, Company Guaranteed Notes, 8.375% due 8/1/66(b)		246,607
	380,000	B-	EV Energy Partners LP/EV Energy Finance Corp., Company Guaranteed Notes, 8.000% due 4/15/19		394,250
	740,000	CCC+	EXCO Resources Inc., Company Guaranteed Notes, 7.500% due 9/15/18		677,100
	305,000	CCC+	Goodrich Petroleum Corp., Company Guaranteed Notes, 8.875% due 3/15/19		297,375
	280,000	CCC+	Halcon Resources Corp., Company Guaranteed Notes, 9.750% due 7/15/20(a)		286,300
	93,000	B	Helix Energy Solutions Group Inc., Company Guaranteed Notes, 9.500% due 1/15/16(a)		97,301
			Hercules Offshore Inc.:
			Company Guaranteed Notes:
	1,050,000	B-	10.500% due 10/15/17(a)		1,092,000

See Notes to Financial Statements.

115

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 12.9%—(continued)
$	1,095,000	B-	10.250% due 4/1/19(a)	$	1,125,113
	330,000	B+	Senior Secured Notes, 7.125% due 4/1/17(a)		340,312
			Key Energy Services Inc., Company Guaranteed Notes:
	150,000	BB-	6.750% due 3/1/21		153,375
	230,000	BB-	6.750% due 3/1/21(a)		234,025
	690,000	CCC+	Kodiak Oil & Gas Corp., Company Guaranteed Notes, 8.125% due 12/1/19(a)		733,988
			Linn Energy LLC/Linn Energy Finance Corp., Company Guaranteed Notes:
	424,000	B	6.250% due 11/1/19(a)		419,230
	140,000	B	8.625% due 4/15/20		151,900
	145,000	B	7.750% due 2/1/21		151,888
	470,000	CCC+	Magnum Hunter Resources Corp., Company Guaranteed Notes, 9.750% due 5/15/20(a)		466,475
			MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Company Guaranteed Notes:
	500,000	BB	6.500% due 8/15/21		538,750
	300,000	BB	6.250% due 6/15/22		320,250
	520,000	BB	MEG Energy Corp., Company Guaranteed Notes, 6.375% due 1/30/23(a)		542,750
	210,000	CCC+	Milagro Oil & Gas Inc., Secured Notes, 10.500% due 5/15/16		148,050
	220,000	BBB-	Newfield Exploration Co., Senior Unsecured Notes, 5.625% due 7/1/24		238,975
	145,000	B	Oasis Petroleum Inc., Company Guaranteed Notes, 7.250% due 2/1/19		153,700
	100,000	BB	Oil States International Inc., Company Guaranteed Notes, 6.500% due 6/1/19		106,750
			Parker Drilling Co., Company Guaranteed Notes:
	360,000	B+	9.125% due 4/1/18		387,900
	60,000	B+	9.125% due 4/1/18(a)		64,650
			Peabody Energy Corp., Company Guaranteed Notes:
	400,000	BB+	6.500% due 9/15/20		416,000
	100,000	BB+	7.875% due 11/1/26		107,250
	230,000	B	Petroquest Energy Inc., Company Guaranteed Notes, 10.000% due 9/1/17		236,900
	765,000	B+	Pioneer Drilling Co., Company Guaranteed Notes, 9.875% due 3/15/18		831,937
			Plains Exploration & Production Co., Company Guaranteed Notes:
	1,290,000	BB-	6.125% due 6/15/19		1,367,400
	680,000	BB-	8.625% due 10/15/19		773,500
	40,000	BB-	6.750% due 2/1/22		43,400
	90,000	BB+	QEP Resources Inc., Senior Unsecured Notes, 5.375% due 10/1/22		92,475
	840,000	CCC+	Quicksilver Resources Inc., Company Guaranteed Notes, 11.750% due 1/1/16		827,400
	130,000	BB	Range Resources Corp., Company Guaranteed Notes, 8.000% due 5/15/19		144,300
	250,000	BB	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.875% due 12/1/18		271,250
	275,000	B-	Resolute Energy Corp., Company Guaranteed Notes, 8.500% due 5/1/20(a)		283,594
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	1,160,000	BB	6.850% due 7/15/18(a)		1,194,800
	440,000	BB	5.625% due 4/15/20(a)		422,400
	250,000	BB-	Rosetta Resources Inc., Company Guaranteed Notes, 9.500% due 4/15/18		276,875
	490,000	B	Samson Investment Co., Senior Unsecured Notes, 9.750% due 2/15/20(a)		505,312
			SandRidge Energy Inc., Company Guaranteed Notes:
	250,000	B	9.875% due 5/15/16		275,625
	180,000	B	7.500% due 3/15/21		183,150
	250,000	BBB-	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		279,375
	430,000	BB	SM Energy Co., Senior Unsecured Notes, 6.500% due 1/1/23(a)		448,812
	230,000	BB-	Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 7.375% due 3/15/20		244,950
	250,000	B+	Swift Energy Co., Company Guaranteed Notes, 7.875% due 3/1/22		261,250
	365,000	B	W&T Offshore Inc., Company Guaranteed Notes, 8.500% due 6/15/19		395,113
	475,000	BB	Western Refining Inc., Senior Secured Notes, 11.250% due 6/15/17(a)		532,000
	470,000	CCC+	Westmoreland Coal Co./Westmoreland Partners, Senior Secured Notes, 10.750% due 2/1/18		438,275

			Total Oil, Gas & Consumable Fuels		34,637,785

	Paper & Forest Products — 1.4%
			Appleton Papers Inc.:
	310,000	CCC+	Secured Notes, 11.250% due 12/15/15		311,550

See Notes to Financial Statements.

116

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Paper & Forest Products — 1.4%—(continued)
$	800,000	B+	Senior Secured Notes, 10.500% due 6/15/15(a)	$	860,000
	1,185,000	BB	Boise Paper Holdings LLC/Boise Co-Issuer Co., Company Guaranteed Notes, 8.000% due 4/1/20		1,315,350
	160,000	BB	Boise Paper Holdings LLC/Boise Finance Co., Company Guaranteed Notes, 9.000% due 11/1/17		178,000
	430,000	CCC+	Exopack Holding Corp., Company Guaranteed Notes, 10.000% due 6/1/18		423,550
			Verso Paper Holdings LLC/Verso Paper Inc.:
	36,000	CCC+	Company Guaranteed Notes, 11.375% due 8/1/16		22,140
	199,000	BB-	Senior Secured Notes, 11.750% due 1/15/19(a)		191,805
	410,000	B	Xerium Technologies Inc., Company Guaranteed Notes, 8.875% due 6/15/18		357,725

			Total Paper & Forest Products		3,660,120

	Personal Products — 0.2%
	425,000	B	Revlon Consumer Products Corp., Secured Notes, 9.750% due 11/15/15		452,625

	Pharmaceuticals — 1.4%
	1,865,000	BB-	Valeant Pharmaceuticals International, Company Guaranteed Notes, 6.750% due 8/15/21(a)		1,902,300
	1,780,000	BB-	Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, Company Guaranteed Notes, 7.750% due 9/15/18		1,926,850

			Total Pharmaceuticals		3,829,150

	Professional Services — 0.1%
	270,000	B3(c)	Good Sam Enterprises LLC, Senior Secured Notes, 11.500% due 12/1/16		281,813
	100,000	CCC	inVentiv Health Inc., Senior Notes, 10.000% due 8/15/18(a)		84,750

			Total Professional Services		366,563

	Real Estate Investment Trusts (REITs) — 0.9%
	310,200	NR	Ashton Woods USA LLC/Ashton Woods Finance Co., Company Guaranteed Notes, step bond to yield, 11.000% due 6/30/15(a)(f)		292,364
	945,000	B+	CNL Lifestyle Properties Inc., Company Guaranteed Notes, 7.250% due 4/15/19		884,756
	103,000	B-	Felcor Lodging LP, Senior Secured Notes, 10.000% due 10/1/14		118,707
	315,000	B+	iStar Financial Inc., Senior Unsecured Notes, 9.000% due 6/1/17		326,419
	90,000	BBB-	Omega Healthcare Investors Inc., Company Guaranteed Notes, 5.875% due 3/15/24(a)		96,300
	680,000	CC	Realogy Corp., Company Guaranteed Notes, 11.000% due 4/15/18(a)		659,600

			Total Real Estate Investment Trusts (REITs)		2,378,146

	Semiconductors & Semiconductor Equipment — 0.0%
			Advanced Micro Devices Inc., Senior Unsecured Notes:
	65,000	BB-	8.125% due 12/15/17		68,575
	60,000	BB-	7.500% due 8/15/22(a)		59,400

			Total Semiconductors & Semiconductor Equipment		127,975

	Software — 0.5%
			First Data Corp.:
			Company Guaranteed Notes:
	4,667	B-	10.550% due 9/24/15		4,807
	110,000	CCC+	11.250% due 3/31/16		106,150
	330,000	B-	12.625% due 1/15/21		335,775
	940,000	B-	Secured Notes, 8.250% due 1/15/21(a)		936,475
	90,000	Caa1(c)	Legend Acquisition Sub Inc., Senior Notes, 10.750% due 8/15/20(a)		89,325

			Total Software		1,472,532

	Speciality Retail — 0.3%
	100,000	B-	Bon-Ton Department Stores Inc. (The), Company Guaranteed Notes, 10.625% due 7/15/17(a)		81,500
	380,000	B	Edcon Proprietary Ltd., Senior Secured Notes, 9.500% due 3/1/18(a)		353,400
	250,000	CCC+	Party City Holdings Inc., Senior Notes, 8.875% due 8/1/20(a)		265,625

			Total Speciality Retail		700,525

	Textiles, Apparel & Luxury Goods — 0.6%
	485,000	Caa1(c)	Burlington Coat Factory Warehouse Corp., Company Guaranteed Notes, 10.000% due 2/15/19		525,013
	130,000	B-	Empire Today LLC, Senior Secured Notes, 11.375% due 2/1/17(a)		136,825
	760,000	CCC+	Gymboree Corp., Company Guaranteed Notes, 9.125% due 12/1/18		725,800

See Notes to Financial Statements.

117

Schedules of Investments

(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	Textiles, Apparel & Luxury Goods — 0.6%—(continued)
$	160,000	CCC+	Quiksilver Inc., Company Guaranteed Notes, 6.875% due 4/15/15(e)	$	153,600

			Total Textiles, Apparel & Luxury Goods		1,541,238

	Tobacco — 0.3%
	850,000	B-	Alliance One International Inc., Senior Unsecured Notes, 10.000% due 7/15/16		868,063

	Transportation Infrastructure — 2.7%
	860,000	BB+	Aircastle Ltd., Senior Unsecured Notes, 9.750% due 8/1/18		991,150
	360,000	CCC-	CMA CGM SA, Senior Unsecured Notes, 8.500% due 4/15/17(a)		234,000
	700,000	BB-	Commercial Barge Line Co., Secured Notes, 12.500% due 7/15/17		787,500
	464,150	CCC	Florida East Coast Holdings Corp., Senior Unsecured Notes, 10.500% due 8/1/17(d)		417,735
	570,000	B-	Florida East Coast Railway Corp., Senior Secured Notes, 8.125% due 2/1/17		601,350
	80,000	BB-	Gulfmark Offshore Inc., Senior Unsecured Notes, 6.375% due 3/15/22(a)		81,800
	280,000	B	Hapag-Lloyd AG, Company Guaranteed Notes, 9.750% due 10/15/17(a)		274,400
	840,000	B3(c)	Horizon Lines LLC, Senior Secured Notes, 11.000% due 10/15/16(a)		835,800
			Kansas City Southern de Mexico SA de CV, Senior Unsecured Notes:
	180,000	BB+	12.500% due 4/1/16		203,850
	310,000	BB+	8.000% due 2/1/18		348,750
	280,000	B	Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.625% due 11/1/17		263,900
	385,000	CCC+	Overseas Shipholding Group Inc., Senior Unsecured Notes, 8.125% due 3/30/18(e)		240,625
	415,000	B-	Quality Distribution LLC/QD Capital Corp., Secured Notes, 9.875% due 11/1/18		450,275
	85,000	B+	Swift Services Holdings Inc., Secured Notes, 10.000% due 11/15/18		93,713
	630,000	B	syncreon Global Ireland Ltd./syncreon Global Finance US Inc., Company Guaranteed Notes, 9.500% due 5/1/18(a)		648,900
	370,000	BB-	Teekay Corp., Senior Unsecured Notes, 8.500% due 1/15/20		387,112
	265,000	B-	WaveDivision Escrow LLC/WaveDivision Escrow Corp., Senior Unsecured Notes, 8.125% due 9/1/20(a)		274,275

			Total Transportation Infrastructure		7,135,135

	Wireless Telecommunication Services — 2.7%
	275,000	B-	Crown Castle International Corp., Senior Unsecured Notes, 7.125% due 11/1/19		300,438
	495,000	B-	Integra Telecom Holdings Inc., Senior Secured Notes, 10.750% due 4/15/16(a)		508,612
	300,000	B	MetroPCS Wireless Inc., Company Guaranteed Notes, 7.875% due 9/1/18		324,000
	770,000	B+	Nextel Communications Inc., Company Guaranteed Notes, 5.950% due 3/15/14		775,775
	270,000	BB-	PAETEC Holding Corp., Senior Secured Notes, 8.875% due 6/30/17		293,625
	100,000	B+	SBA Telecommunications Inc., Company Guaranteed Notes, 5.750% due 7/15/20(a)		104,875
			Sprint Capital Corp., Company Guaranteed Notes:
	1,290,000	B+	6.875% due 11/15/28		1,173,900
	665,000	B+	8.750% due 3/15/32		674,975
			Sprint Nextel Corp.:
	860,000	BB-	Company Guaranteed Notes, 9.000% due 11/15/18(a)		1,016,950
			Senior Unsecured Notes:
	620,000	B+	6.000% due 12/1/16		635,500
	275,000	B+	9.125% due 3/1/17		309,375
	275,000	B+	11.500% due 11/15/21		344,781
	200,000	B-	Syniverse Holdings Inc., Company Guaranteed Notes, 9.125% due 1/15/19		217,000
	542,000	BB-	Virgin Media Finance PLC, Company Guaranteed Notes, 9.500% due 8/15/16(a)		608,395

			Total Wireless Telecommunication Services		7,288,201

			TOTAL CORPORATE BONDS & NOTES (Cost — $206,295,821)		212,323,831

	COLLATERALIZED MORTGAGE OBLIGATIONS — 0.0%
	3,392	NR	Blackrock Capital Finance LP, Series 1996-R1, Class B3, 9.643% due 9/25/26(h)		187

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $2,634)		187

	SENIOR LOANS — 0.6%
	1,470,000	NR	Chesapeake Energy Corp. (Restricted), 8.500% due 12/1/17		1,476,357

See Notes to Financial Statements.

118

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(continued)

High Yield Investments


Face Amount		Rating††	Security	Value
	SENIOR LOANS — 0.6%—(continued)
			Trico Marine Services Inc. (Restricted):
$	67,808	NR	1.000% due 5/13/14(f)	$	67,808
	38,513	NR	10.000% due 5/13/14(f)		38,513

			TOTAL SENIOR LOANS (Cost — $1,567,920)		1,582,678

Shares
	COMMON STOCKS — 0.4%
	COMMUNICATIONS — 0.0%
	Media — 0.0%
	9,157		Cumulus Media Inc., Class A Shares*		25,365

	CONSUMER DISCRETIONARY — 0.2%
	Hotels, Restaurants & Leisure — 0.0%
	9,953		Bossier Casino Venture Holdco Inc. (Restricted)(a)(f)(h)*		19,906

	Media — 0.2%
	6,359		Charter Communications Inc., Class A Shares*		494,730

			TOTAL CONSUMER DISCRETIONARY		514,636

	ENERGY — 0.1%
	Energy Equipment & Services — 0.1%
	18,163		DeepOcean Group Holdings AS (Restricted)(f)(h)*		321,939

	INDUSTRIALS — 0.1%
	Transportation Infrastructure — 0.1%
	135,004		Horizon Lines Inc. (Restricted), Class A Shares*		243,007

			TOTAL COMMON STOCKS (Cost — $960,837)		1,104,947

	PREFERRED STOCKS — 1.0%
	FINANCIALS — 1.0%
	Commercial Banks — 1.0%
	35,700		GMAC Capital Trust I, 8.125%(b)		886,074
	62,000		Zions Bancorporation, Series C, 9.500%		1,632,460
	7,585		Zions Capital Trust B, 8.000%		198,272

			Total Commercial Banks		2,716,806

	Diversified Financial Services — 0.0%
	4,700		Federal National Mortgage Association (FNMA), Series S, 8.250%(b)		4,519
	814		Jack Cooper Holdings Corp.(a)(b)		80,586

			Total Diversified Financial Services		85,105

			TOTAL FINANCIALS		2,801,911

			TOTAL PREFERRED STOCKS (Cost — $2,798,515)		2,801,911

	CONVERTIBLE PREFERRED STOCKS — 0.8%
	CONSUMER DISCRETIONARY — 0.0%
	Media — 0.0%
	220		LodgeNet Interactive Corp., 10.000% (a)(f)		43,450

	FINANCIALS — 0.8%
	Commercial Banks — 0.8%
	650		Bank of America Corp., Series L, 7.250%		687,050
	1,165		Wells Fargo & Co., Series L, 7.500%		1,393,340

See Notes to Financial Statements.

119

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(continued)

High Yield Investments


Shares		Rating††	Security	Value
	Commercial Banks — 0.8%—(continued)
			Total Commercial Banks	$	2,080,390

			TOTAL FINANCIALS		2,080,390

			TOTAL CONVERTIBLE PREFERRED STOCKS
			(Cost — $2,088,276)		2,123,840

	WARRANTS — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Media — 0.0%
	554		Charter Communications Inc., expires 11/30/14*		15,803

	ENERGY — 0.0%
	Energy Equipment & Services — 0.0%
	1,280		SemGroup Corp., Class A Shares, expires 11/30/14(f)*		15,322

	FINANCIALS — 0.0%
	Diversified Financial Services — 0.0%
			Jack Cooper Holdings Corp.:
	376		expires 12/15/17 (a)*		28,200
	183		expires 5/6/18 (a)*		13,725

			Total Diversified Financial Services		41,925

			TOTAL FINANCIALS		41,925

	INDUSTRIALS — 0.0%
	Building Products — 0.0%
	875		Nortek Inc., expires 12/7/14(f)*		7,984

			TOTAL WARRANTS (Cost — $613,569)		81,034

	EXCHANGE TRADED SECURITIES — 3.6%
	50,000		iShares iBoxx $ High Yield Corporate Bond Fund		4,616,500
	125,000		SPDR Barclays Capital High Yield Bond ETF		5,017,500

			TOTAL EXCHANGE TRADED SECURITIES (Cost — $9,602,955)		9,634,000

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $223,930,527)		229,652,428

Face Amount†
	SHORT-TERM INVESTMENTS (i) — 41.3%
	MONEY MARKET FUND- 1.0%
	2,539,760		Invesco STIT — Government & Agency Portfolio(j) (Cost — $2,539,760)		2,539,760

	TIME DEPOSITS — 40.3%
	108,324,528		Wells Fargo — Grand Cayman, 0.030% due 9//4/12 (Cost — $108,324,528)		108,324,528

			TOTAL SHORT-TERM INVESTMENTS (Cost — $110,864,288)		110,864,288

			TOTAL INVESTMENTS — 126.7% (Cost — $334,794,815 #)		340,516,716

			Liabilities in Excess of Other Assets — (26.7%)		(71,773,204	)

			TOTAL NET ASSETS — 100.0%	$	268,743,512

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

*	Non-income producing securities

(a)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

See Notes to Financial Statements.

120

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(continued)

High Yield Investments

(b)	Variable rate security. Interest rate disclosed is that which is in effect at August 31, 2012.

(c)	Rating by Moody’s Investors Service. All ratings are unaudited.

(d)	Payment in-kind security for which part of the income earned maybe paid as additional principal.

(e)	All or a portion of this security is on loan (See Note 1).

(f)	Illiquid Security.

(g)	Security is currently in default.

(h)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(i)	Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 40.3%.

(j)	Represents investment of collateral received from securities lending transactions.

#	Aggregate cost for federal income tax purposes is $335,601,256.

Abbreviations used in this schedule:

PLC — Public Limited Company

See pages 140 and 141 for definition of ratings.

Summary of Investments by Security Type*


Corporate Bonds & Notes	62.4	%
Exchange Traded Securities	2.8
Preferred Stock	0.8
Convertible Preferred Stock	0.6
Senior Loans	0.5
Common Stock	0.3
Warrant	0.0	**
Collateralized Mortgage Obligations	0.0	**
Short-Term Investments	32.6

	100.0	%

*	As a percentage of total investments.

**	Position represents less than 0.1%

See Notes to Financial Statements.

121

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	SOVEREIGN BONDS — 48.8%
	Australia — 1.8%
			Australia Government Bond:
$	2,700,000	^AUD	5.500% due 12/15/13	$	2,883,059
	4,300,000	^AUD	4.750% due 6/15/16		4,806,767

			Total Australia		7,689,826

	Belgium — 2.4%
			Belgium Government Bond:
	4,500,000	^EUR	3.500% due 3/28/15		6,084,266
	3,000,000	^EUR	3.250% due 9/28/16		4,110,196

			Total Belgium		10,194,462

	Brazil — 1.4%
			Brazil Notas do Tesouro Nacional Serie F:
	12,036,000	^BRL	10.000% due 1/1/15 — 1/1/21		6,236,414

			Total Brazil		6,236,414

	Canada — 3.2%
	2,800,000	^CAD	Canada Housing Trust No 1, 2.400% due 12/15/22(a)(b)		2,855,216
	5,000,000	^CAD	Canadian Government Bond, 1.500% due 8/1/15(a)		5,110,058
			Province of Ontario Canada:
	2,200,000	^CAD	3.150% due 6/2/22		2,306,420
	1,500,000	^CAD	4.600% due 6/2/39 (a)		1,835,694
	1,500,000	^CAD	Province of Quebec Canada, 5.000% due 12/1/38(a)		1,879,388

			Total Canada		13,986,776

	Colombia — 0.1%
	454,000,000	^COP	Colombia Government International Bond, 9.850% due 6/28/27		378,556

	Germany — 4.1%
	5,300,000	^EUR	Bundesobligation, 2.250% due 4/10/15		7,060,934
			Bundesrepublik Deutschland:
	700,000	^EUR	3.750% due 1/4/15		958,629
	2,300,000	^EUR	3.250% due 7/4/15		3,159,190
	1,300,000	^EUR	4.000% due 7/4/16		1,874,727
	1,000,000	^EUR	6.250% due 1/4/30		2,050,308
	1,300,000	^EUR	4.750% due 7/4/34		2,410,390

			Total Germany		17,514,178

	Indonesia — 0.8%
			Indonesia Treasury Bond:
	16,450,000,000	^IDR	7.000% due 5/15/22 — 5/15/27		1,805,025
	2,500,000,000	^IDR	8.375% due 9/15/26		305,304
	4,700,000,000	^IDR	9.500% due 7/15/31		625,899
	4,330,000,000	^IDR	8.250% due 6/15/32		515,793
	672,000,000	^IDR	6.375% due 4/15/42		65,896

			Total Indonesia		3,317,917

	Italy — 5.7%
			Italy Buoni Poliennali Del Tesoro:
	2,500,000	^EUR	4.250% due 7/1/14		3,226,841
	12,600,000	^EUR	3.000% due 4/15/15		15,711,785
	4,500,000	^EUR	Italy Certificati di Credito del Tesoro, 0.000% due 1/31/14		5,470,115

			Total Italy		24,408,741

	Japan — 8.8%
			Japan Government Ten Year Bond:
	520,000,000	^JPY	1.500% due 12/20/17		7,073,859
	1,470,000,000	^JPY	1.200% due 6/20/21		19,615,279

See Notes to Financial Statements.

122

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	Japan — 8.8%—(continued)
			Japan Government Thirty Year Bond:
$	767,000,000	^JPY	2.500% due 9/20/35 — 6/20/36	$	11,148,483

			Total Japan		37,837,621

	Malaysia —0.7%
			Malaysia Government Bond:
	2,200,000	^MYR	4.012% due 9/15/17		728,236
	1,300,000	^MYR	5.734% due 7/30/19		475,038
	1,100,000	^MYR	4.378% due 11/29/19		373,386
	2,590,000	^MYR	4.160% due 7/15/21		866,821
	1,500,000	^MYR	3.418% due 8/15/22		477,627

			Total Malaysia		2,921,108

	Mexico — 1.3%
			Mexican Bonos:
	9,900,000	^MXN	6.000% due 6/18/15		772,006
	14,300,000	^MXN	5.000% due 6/15/17		1,079,860
	18,900,000	^MXN	7.750% due 12/14/17		1,610,774
	10,000,000	^MXN	6.500% due 6/10/21		820,129
	11,600,000	^MXN	10.000% due 12/5/24 — 11/20/36		1,233,926

			Total Mexico		5,516,695

	Netherlands — 4.2%
			Netherlands Government Bond:
	4,600,000	^EUR	0.750% due 4/15/15 (b)		5,881,285
	200,000	^EUR	3.250% due 7/15/15 (b)		273,583
	7,000,000	^EUR	4.000% due 7/15/19 (b)		10,444,634
	900,000	^EUR	3.500% due 7/15/20 (b)		1,311,376

			Total Netherlands		17,910,878

	Nigeria — 0.0%
			Nigeria Government Bond:
	13,600,000	^NGN	16.000% due 6/29/19		91,419
	16,500,000	^NGN	16.390% due 1/27/22		111,410

			Total Nigeria		202,829

	Norway — 0.5%
	12,300,000	^NOK	Norway Government Bond, 5.000% due 5/15/15		2,324,522

	Peru — 0.2%
			Peruvian Government International Bond:
	1,190,000	^PEN	7.840% due 8/12/20 (b)(c)		558,067
	20,000	^PEN	5.200% due 9/12/23 (b)(c)(d)		8,040
	150,000	^PEN	8.200% due 8/12/26 (b)(c)		76,838
	710,000	^PEN	6.950% due 8/12/31 (b)(c)		327,908

			Total Peru		970,853

	Poland — 0.9%
			Poland Government Bond:
	7,600,000	^PLN	5.500% due 4/25/15 — 10/25/19		2,390,711
	2,610,000	^PLN	5.250% due 10/25/17		818,630
	1,900,000	^PLN	5.750% due 9/23/22		610,320

			Total Poland		3,819,661

	Qatar — 1.3%
			Qatar Government International Bond:
	3,575,000		5.250% due 1/20/20 (a)(b)		4,213,137
	1,150,000		6.400% due 1/20/40 (a)(b)		1,539,275

			Total Qatar		5,752,412

See Notes to Financial Statements.

123

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	Russia — 0.1%
$	10,000,000	^RUB	Russian Foreign Bond — Eurobond, 7.850% due 3/10/18	$	332,442

	South Africa — 2.1%
			South Africa Government Bond:
	10,000,000	^ZAR	13.500% due 9/15/15		1,456,691
	32,700,000	^ZAR	8.250% due 9/15/17		4,283,348
	27,900,000	^ZAR	7.250% due 1/15/20		3,459,504

			Total South Africa		9,199,543

	Spain — 1.1%
	3,800,000	^EUR	Spain Government Bond, 2.500% due 10/31/13		4,734,020

	Thailand — 0.5%
			Thailand Government Bond:
	40,600,000	^THB	3.250% due 6/16/17		1,297,784
	15,000,000	^THB	3.650% due 12/17/21		489,850
	11,000,000	^THB	3.580% due 12/17/27		351,527

			Total Thailand		2,139,161

	Turkey — 0.2%
			Turkey Government Bond:
	1,755,689	^TRY	3.000% due 1/6/21 — 2/23/22		995,202

			Total Turkey		995,202

	United Kingdom — 7.4%
			United Kingdom Treasury GH:
	5,200,000	^GBP	2.000% due 1/22/16		8,725,170
	6,550,000	^GBP	3.750% due 9/7/19 — 9/7/21		12,399,739
	100,000	^GBP	4.750% due 3/7/20		200,455
	100,000	^GBP	8.000% due 6/7/21		246,851
	1,400,000	^GBP	4.000% due 3/7/22		2,719,493
	3,900,000	^GBP	4.250% due 6/7/32 — 12/7/40		7,800,167

			Total United Kingdom		32,091,875

			TOTAL SOVEREIGN BONDS (Cost — $201,692,320)		210,475,692

	ASSET-BACKED SECURITIES — 0.2%
	Student Loan — 0.2%
	399,578		Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.401% due 4/25/38(a)(e)		399,649
	293,227		South Carolina Student Loan Corp., Series 2008-1, Class A2, 0.968% due 3/1/18(a)(e)		293,280

			Total Student Loan		692,929

			TOTAL ASSET-BACKED SECURITIES (Cost — $692,805)		692,929

	COLLATERALIZED MORTGAGE OBLIGATIONS — 3.4%
			Banc of America Large Loan Inc.:
	464,513		Series 2010-HLTN, Class HLTN, 1.990% due 11/15/15(a)(b)(e)		455,345
	300,000		Series 2010-UB5, Class A4A, 5.665% due 2/17/51(a)(b)(d)(e)		337,967
			Bear Stearns Adjustable Rate Mortgage Trust:
	20,463		Series 2003-5, Class 1A2, 2.732% due 8/25/33(a)(e)		20,624
	26,324		Series 2003-7, Class 6A, 2.723% due 10/25/33(a)(e)		26,617
	88,492		Series 2004-2, Class 22A, 3.229% due 5/25/34(a)(e)		87,511
	20,757		Series 2004-2, Class 23A, 3.189% due 5/25/34(a)(e)		19,367
	60,403		Series 2005-2, Class A2, 3.078% due 3/25/35(a)(e)		60,793
	228,673		Bear Stearns Structured Products Inc., Series 2007-R6, Class 1A1, 2.829% due 1/26/36(a)(e)		128,489
	674,464		Commercial Mortgage Pass Through Certificates, Series 2006-CN2A, Class A2FL, 0.464% due 2/5/19(a)(b)(e)		660,063
			Countrywide Alternative Loan Trust:
	23,951		Series 2005-21CB, Class A3, 5.250% due 6/25/35(a)		20,348
	141,445		Series 2007-11T1, Class A12, 0.586% due 5/25/37(a)(e)		74,378

See Notes to Financial Statements.

124

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†		Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 3.4%—(continued)
$	62,643	Series 2007-16CB, Class 5A1, 6.250% due 8/25/37(a)	$	44,504
	78,197	Series 2007-7T2, Class A9, 6.000% due 4/25/37(a)		51,711
		Countrywide Home Loan Mortgage Pass Through Trust:
	11,515	Series 2004-12, Class 11A1, 3.012% due 8/25/34(a)(e)		9,076
	56,404	Series 2005-11, Class 3A1, 2.893% due 4/25/35(a)(e)		39,278
	257,253	Series 2005-2, Class 1A1, 0.556% due 3/25/35(a)(e)		151,536
	30,690	Series 2005-3, Class 2A1, 0.526% due 4/25/35(a)(e)		21,344
	205,530	Series 2005-9, Class 1A3, 0.466% due 5/25/35(a)(e)		149,564
	119,106	Series 2005-HYB9, Class 3A2A, 2.595% due 2/20/36(a)(e)		94,976
	43,578	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.702% due 8/25/33(a)(e)		44,092
	68,685	Credit Suisse Mortgage Capital Certificates, Series 2007-5R, Class A5, 6.500% due 7/26/36(a)		35,219
	110,377	Crusade Global Trust, Series 2004-2, Class A2, 0.479% due 11/19/37(e)		137,867
	290,232	CSAB Mortgage Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36(a)		195,970
		Federal Home Loan Mortgage Corp. (FHLMC):
	77,317	Structured Pass Through Securities, Series T-35, Class A, 0.516% due 9/25/31(a)(e)		71,392
	111,039	Structured Pass Through Securities, Series T-62, Class 1A1, 1.308% due 10/25/44(a)(e)		111,779
		Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	144,017	Series 2391, Class FJ, 0.740% due 4/15/28(a)(e)		145,362
	367,628	Series 2614, Class SJ, 19.004% due 5/15/33(a)(c)(e)		512,377
	104,659	Series 3037, Class BC, 4.500% due 2/15/20(a)		107,758
	248,084	Series 3174, Class FM, 0.480% due 5/15/36(a)(e)		248,379
	21,489	Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44(a)		24,267
		Federal National Mortgage Association (FNMA), REMICS:
	14,808	Series 2003-34, Class A1, 6.000% due 4/25/43(a)		16,670
	20,665	Series 2005-120, Class NF, 0.336% due 1/25/21(a)(e)		20,657
	143,842	Federal National Mortgage Association (FNMA), Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44(a)		161,016
	18,788	First Horizon Asset Securities Inc., Series 2003-AR4, Class 2A1, 2.544% due 12/25/33(a)(e)		18,309
		Government National Mortgage Association (GNMA):
	807,071	Series 2004-68, Class ZC, 6.000% due 8/20/34(a)		983,327
	189,036	Series 2007-2, Class PA, 5.500% due 6/20/35(a)		189,402
	17,676	GSR Mortgage Loan Trust, Series 2003-1, Class A2, 1.920% due 3/25/33(a)(e)		17,842
		Harborview Mortgage Loan Trust:
	42,967	Series 2003-1, Class A, 2.956% due 5/19/33(a)(e)		43,246
	54,716	Series 2005-2, Class 2A1A, 0.457% due 5/19/35(a)(e)		37,763
	182,082	Series 2006-SB1, Class A1A, 0.998% due 12/19/36(a)(e)		113,056
	28,070	JP Morgan Alternative Loan Trust, Series 2006-A5, Class 2A1, 5.550% due 10/25/36(a)(e)		27,815
	1,000,000	JP Morgan Chase Commercial Mortgage Securities Corp., Series 2008-C2, Class A3, 6.288% due 2/12/51(a)		1,046,555
		JP Morgan Mortgage Trust:
	22,877	Series 2003-A2, Class 3A1, 2.365% due 11/25/33(a)(e)		23,026
	14,121	Series 2005-A1, Class 6T1, 5.012% due 2/25/35(a)(e)		14,414
	571,726	Merrill Lynch Floating Trust, Series 2008-LAQA, Class A1, 0.779% due 7/9/21(a)(b)(e)		561,926
	19,924	Merrill Lynch Mortgage Investors Inc., Series 2003-A2, Class 1A1, 2.539% due 2/25/33(a)(e)		20,052
	493,090	Merrill Lynch Mortgage Trust, Series 2007-C1, Class ASB, 6.042% due 6/12/50(a)(e)		536,637
	121,359	MLCC Mortgage Investors Inc., Series 2005-2, Class 1A, 1.986% due 10/25/35(a)(e)		119,059
	126,309	Opteum Mortgage Acceptance Corp., Series 2005-3, Class A1B, 0.496% due 7/25/35(a)(e)		124,511
		Puma Finance Ltd.:
	183,132	Series G5, Class A1, 0.505% due 2/21/38(a)(b)(e)		176,309
	65,064	Series P10, Class BA, 4.140% due 7/12/36(c)(e)		66,315
	238,938	Series P11, Class BA, 4.030% due 8/22/37(e)		239,387
	113,872	RALI Trust, Series 2007-QO2, Class A1, 0.386% due 2/25/47(a)(e)		56,520
		Residential Asset Securitization Trust:
	45,618	Series 2005-A15, Class 5A1, 5.750% due 2/25/36(a)		35,294
	94,472	Series 2006-R1, Class A2, 0.636% due 1/25/46(a)(e)		38,791
		Structured Adjustable Rate Mortgage Loan Trust:
	26,710	Series 2004-1, Class 4A1, 2.778% due 2/25/34(a)(e)		27,107

See Notes to Financial Statements.

125

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	COLLATERALIZED MORTGAGE OBLIGATIONS — 3.4%—(continued)
$	92,762		Series 2004-19, Class 2A1, 1.636% due 1/25/35(a)(e)	$	61,209
	126,771		Series 2004-4, Class 3A2, 2.828% due 4/25/34(a)(e)		120,615
			Structured Asset Mortgage Investments Inc.:
	130,971		Series 2005-AR2, Class 2A1, 0.466% due 5/25/45(a)(e)		87,960
	136,858		Series 2005-AR8, Class A1A, 0.516% due 2/25/36(a)(e)		84,196
	90,760		Series 2006-AR5, Class 1A1, 0.446% due 5/25/46(a)(e)		46,367
	200,000		Series 2007-AR4, Class A3, 0.456% due 9/25/47(a)(e)		92,294
	221,247		Series 2007-AR6, Class A1, 1.648% due 8/25/47(a)(e)		140,982
			Swan Trust:
	219,482		Series 2006-1E, Class A1, 0.518% due 5/12/37(e)		215,059
	282,191		Series 2006-1E, Class A2, 3.788% due 5/12/37(e)		285,550
	296,736		Torrens Trust, Series 2007-1, Class A, 4.022% due 10/19/38(e)		302,890
			Wachovia Bank Commercial Mortgage Trust:
	900,000		Series 2003-C9, Class A4, 5.012% due 12/15/35(a)(e)		937,107
	900,000		Series 2006-C23, Class A5, 5.416% due 1/15/45(a)(e)		1,018,331
	500,000		Series 2006-C28, Class A4, 5.572% due 10/15/48(a)		571,414
	299,373		Series 2006-WL7A, Class A1, 0.330% due 9/15/21(a)(b)(e)		296,540
			WaMu Mortgage Pass Through Certificates:
	3,673		Series 2001-7, Class A, 1.343% due 5/25/41(a)(e)		3,657
	33,581		Series 2002-AR9, Class 1A, 1.548% due 8/25/42(a)(e)		29,668
	14,724		Series 2003-AR5, Class A7, 2.453% due 6/25/33(a)(e)		15,161
	1,205,963		Series 2003-AR9, Class 1A6, 2.449% due 9/25/33(a)(e)		1,238,962
	116,762		Series 2005-AR13, Class A1A1, 0.526% due 10/25/45(a)(e)		102,112
	190,667		Series 2006-AR13, Class 2A, 2.616% due 10/25/46(a)(e)		160,374
	121,984		Series 2006-AR4, Class 2A1A, 2.616% due 5/25/46(a)(e)		90,369
	53,158		Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR5, Class 3A, 1.088% due 7/25/46(a)(e)		23,451

			TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $14,522,539)		14,727,227

	CORPORATE BONDS & NOTES — 11.8%
	Australia — 1.1%
	2,100,000	^AUD	Investec Bank Australia Ltd., Government Liquid Guaranteed Notes, 5.000% due 2/27/14		2,218,417
	1,400,000	^GBP	Suncorp-Metway Ltd., Government Liquid Guaranteed Notes, 4.000% due 1/16/14		2,323,942

			Total Australia		4,542,359

	Bermuda — 0.2%
	900,000		Qtel International Finance Ltd., Company Guaranteed Notes, 4.750% due 2/16/21		992,250

	Cayman Islands — 0.5%
	900,000		IPIC GMTN Ltd., Company Guaranteed Notes, 5.500% due 3/1/22(b)(c)		1,012,500
	1,000,000		QNB FINANCE Ltd., Bank Guaranteed Notes, 3.375% due 2/22/17		1,040,000

			Total Cayman Islands		2,052,500

	Columbia — 0.1%
	648,000,000	^COP	Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 8.375% due 2/1/21		398,813

	France — 0.6%
			BPCE SA:
	300,000	^EUR	Junior Subordinated Notes, 6.117% due 10/29/49(e)		271,129
	1,000,000		Senior Unsecured Notes, 2.189% due 2/7/14(a)(b)(e)		1,004,362
	209,000	^EUR	France Telecom SA, Senior Unsecured Notes, 7.250% due 1/28/13		270,140
	900,000	^EUR	Société Générale SA, Junior Subordinated Notes, 7.756% due 5/29/49(e)		971,040

			Total France		2,516,671

	Japan — 0.0%
	100,000	^EUR	Tokyo Electric Power Co., Inc. (The), Senior Secured Notes, 4.500% due 3/24/14		125,666

	Jersey Channel Islands — 0.1%
	200,000	^GBP	HBOS Capital Funding LP, Bank Guaranteed Notes, 9.540% due 3/29/49(e)		270,257

See Notes to Financial Statements.

126

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	CORPORATE BONDS & NOTES — 11.8%—(continued)
	Luxembourg — 0.1%
$	13,000,000	^RUB	Russian Agricultural Bank OJSC Via RSHB Capital SA, Senior Unsecured Notes, 8.700% due 3/17/16	$	416,467

	Netherlands — 0.5%
	1,000,000		Deutsche Telekom International Finance BV, Company Guaranteed Notes, 6.750% due 8/20/18(a)		1,239,361
	100,000	^EUR	NIBC Bank NV, Government Liquid Guaranteed Notes, 3.500% due 4/7/14		132,212
	335,742	^EUR	NXP BV/NXP Funding LLC, Senior Secured Notes, 3.247% due 10/15/13(a)(e)		421,257
	500,000		SABIC Capital I BV, Company Guaranteed Notes, 3.000% due 11/2/15		515,314

			Total Netherlands		2,308,144

	New Zealand — 0.0%
	200,000		ANZ National International Ltd., Bank Guaranteed Notes, 6.200% due 7/19/13(a)(b)		208,580

	Norway — 0.9%
	1,200,000	^EUR	DNB Boligkreditt AS, Covered Notes, 4.125% due 2/1/13		1,533,649
			Eksportfinans ASA, Senior Unsecured Notes:
	300,000		1.875% due 4/2/13(a)		297,042
	900,000		2.375% due 5/25/16(a)		824,219
	100,000	^CHF	2.875% due 11/16/16		102,478
	500,000		5.500% due 6/26/17(a)		508,154
			Statoil ASA, Company Guaranteed Notes:
	300,000		3.125% due 8/17/17(a)		329,461
	300,000		5.100% due 8/17/40(a)		380,614

			Total Norway		3,975,617

	Qatar — 0.3%
	100,000		Qatari Diar Finance QSC, Government Guaranteed Notes, 5.000% due 7/21/20		114,750
	850,000		Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19		1,058,250

			Total Qatar		1,173,000

	South Korea — 2.0%
			Export-Import Bank of Korea, Senior Unsecured Notes:
	575,000	^EUR	5.750% due 5/22/13		745,974
	1,900,000		1.401% due 7/26/13(b)(c)(d)		1,899,625
	2,200,000		5.000% due 4/11/22(a)		2,549,316
			Korea Development Bank (The), Senior Unsecured Notes:
	600,000		4.000% due 9/9/16(a)		647,492
	250,000		4.000% due 9/9/16		269,788
	2,300,000		3.875% due 5/4/17(a)		2,476,960

			Total South Korea		8,589,155

	Sweden �� 0.2%
	800,000	^EUR	Stadshypotek AB, Covered Notes, 3.750% due 12/12/13		1,050,678

	United Kingdom — 0.9%
	600,000		HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a)(b)		592,651
	200,000		LBG Capital No.1 PLC, Bank Guaranteed Notes, 8.500% due 12/29/49(b)(c)(e)		180,500
	1,000,000		Pearson Dollar Finance PLC, Company Guaranteed Notes, 5.700% due 6/1/14(a)(b)		1,071,630
	500,000	^EUR	Royal Bank of Scotland PLC (The), Subordinated Notes, 4.625% due 9/22/21(e)		519,728
			Standard Chartered PLC, Senior Unsecured Notes:
	600,000		5.500% due 11/18/14(a)(b)		649,740
	600,000		3.850% due 4/27/15(a)(b)		627,694
	100,000		Tate & Lyle International Finance PLC, Company Guaranteed Notes, 5.000% due 11/15/14(b)(c)		105,772

			Total United Kingdom		3,747,715

	United States — 4.3%
	200,000		Advanced Micro Devices Inc., Senior Unsecured Notes, 7.500% due 8/15/22(b)(c)		198,000
			Ally Financial Inc.:
	200,000		Company Guaranteed Notes, 6.750% due 12/1/14(a)		216,500
	500,000		Senior Unsecured Notes, 0.000% due 6/15/15(a)		438,750

See Notes to Financial Statements.

127

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	CORPORATE BONDS & NOTES — 11.8%—(continued)
	United States — 4.3%—(continued)
			American International Group Inc.:
$	800,000	^EUR	Junior Subordinated Notes, 8.000% due 5/22/38(e)	$	1,105,597
			Senior Unsecured Notes:
	441,000	^GBP	6.765% due 11/15/17(b)		794,893
	712,000	^EUR	6.797% due 11/15/17(b)(c)		1,043,504
	800,000	^EUR	BA Covered Bond Issuer, Covered Notes, 4.250% due 4/5/17		1,092,619
	900,000	^EUR	Bank of America Corp., Subordinated Notes, 0.898% due 5/23/17(e)		968,199
	1,000,000		Boston Scientific Corp., Senior Unsecured Notes, 4.500% due 1/15/15(a)		1,068,327
	300,000		CenterPoint Energy Resources Corp., Senior Unsecured Notes, 4.500% due 1/15/21(a)		339,267
	300,000		CMS Energy Corp., Senior Unsecured Notes, 5.050% due 2/15/18(a)		336,372
			Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	600,000		8.000% due 6/1/14(a)		665,151
	400,000		8.700% due 10/1/14(a)		453,508
			Goldman Sachs Group Inc. (The), Senior Unsecured Notes:
	900,000	^EUR	5.375% due 2/15/13		1,153,194
	200,000		0.918% due 3/22/16(a)(e)		188,349
	500,000	^AUD	4.097% due 4/12/16(e)		475,959
	1,300,000		HSBC Finance Corp., Senior Subordinated Notes, 6.676% due 1/15/21(a)		1,477,024
	300,000		Lazard Group LLC, Senior Unsecured Notes, 7.125% due 5/15/15(a)		329,401
			Lehman Brothers Holdings Inc., :
	1,300,000		0.000% due 12/30/16(i)		323,375
	600,000		6.875% due 5/2/18(i)		155,250
	500,000		Limited Brands Inc., Senior Unsecured Notes, 6.900% due 7/15/17(a)		571,250
	650,000		Macy’s Retail Holdings Inc., Company Guaranteed Notes, 5.750% due 7/15/14(a)		707,290
	1,100,000		NBCUniversal Media LLC, Senior Unsecured Notes, 5.150% due 4/30/20(a)		1,300,363
	1,100,000		Reynolds American Inc., Company Guaranteed Notes, 6.750% due 6/15/17(a)		1,333,927
	100,000		SLM Corp., Senior Unsecured Notes, 5.000% due 10/1/13(a)		103,500
	1,000,000		Starwood Hotels & Resorts Worldwide Inc., Senior Unsecured Notes, 6.750% due 5/15/18(a)		1,182,696
	500,000		UST LLC, Senior Unsecured Notes, 5.750% due 3/1/18(a)		596,647

			Total United States		18,618,912

			TOTAL CORPORATE BONDS & NOTES (Cost — $47,304,077)		50,986,784

	MORTGAGE-BACKED SECURITIES — 7.8%
	FNMA — 7.7%
			Federal National Mortgage Association (FNMA):
	700,000		5.480% due 7/1/18 (a)(e)		758,126
	977,863		5.700% due 8/1/18 (a)(e)		1,056,231
	5,099,018		3.000% due 1/1/22 — 10/15/42(a)(f)		5,282,313
	3,000,000		2.500% due 9/1/27 — 10/1/27(a)(f)		3,115,313
	193,187		2.485% due 11/1/34 (a)(e)		207,113
	348,498		6.500% due 8/1/37 (a)		394,701
	15,000,000		4.000% due 10/15/39 (a)(f)		16,066,406
	6,000,000		3.500% due 9/15/42 (a)(f)		6,362,812
	14,171		7.000% due 10/1/48 (a)		15,983

			TOTAL FNMA		33,258,998

	GNMA — 0.1%
	91,371		Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 (a)		99,299

			TOTAL GNMA		99,299

			TOTAL MORTGAGE-BACKED SECURITIES (Cost — $32,983,090)		33,358,297

	MUNICIPAL BONDS — 1.2%
	United States — 1.2%
	200,000		Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Revenue Bonds, Series A-2, 5.875% due 6/1/47(a)		162,060

See Notes to Financial Statements.

128

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†		Security	Value
	MUNICIPAL BONDS — 1.2%—(continued)
	United States — 1.2%—(continued)
		Central Puget Sound Regional Transit Authority, Sales Tax and Motor Vehicle Excise Tax Refunding Bonds, Series P-1:
$	300,000	5.000%, due 2/1/27(a)	$	364,737
	100,000	5.000%, due 2/1/28(a)		121,017
	1,500,000	Missouri Joint Municipal Electric Utility Commission, Power Project Revenue Bonds, 6.890% due 1/1/42(a)		1,940,535
	200,000	New York City Transitional Finance Authority, Future Tax Secured Revenue, Build America Bonds, 5.508% due 8/1/37(a)		254,588
	300,000	Philadelphia School District, Build America General Obligation Bonds, 6.765% due 6/1/40(a)		376,248
	750,000	Port Authority of New York & New Jersey, Consolidated Bonds, One hundred Sixth-Eight Series, 4.926% due 10/1/51(a)		878,730
	100,000	Puerto Rico Sales Tax Financing Corp., Revenue Bonds, Series A, AMBAC-Insured, 0.000% due 8/1/54(a)		8,782
	600,000	State of Washington, GO, Motor Vehicle Fuel Tax, General Obligation Bond, Series B, 5.000% due 7/1/25(a)		742,242
	100,000	Tobacco Settlement Financing Corp., New Jersey, Tobacco Settlement Revenue Bonds, Series 1A, 5.000% due 6/1/41(a)		82,827

		Total United States		4,931,766

		TOTAL MUNICIPAL BONDS (Cost — $4,253,965)		4,931,766

	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 8.5%
		U.S. Treasury Bonds:
	700,000	5.500% due 8/15/28(a)		1,018,172
	2,000,000	4.375% due 5/15/41(a)		2,720,626
	2,400,000	3.750% due 8/15/41(a)		2,949,000
	1,650,000	3.000% due 5/15/42(a)		1,762,406
		U.S. Treasury Notes:
	1,100,000	0.625% due 8/31/17(a)		1,101,719
		U.S. Treasury Inflation Indexed Bonds:
	3,461,778	0.625% due 7/15/21(a)		3,921,004
	15,208,350	0.125% due 1/15/22(a)(g)		16,451,848
	6,264,046	U.S. Treasury Notes, Inflation Indexed, 0.125% due 4/15/17(a)		6,723,082

		TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $34,759,641)		36,647,857

	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
	3,600,000	Swaption, 3-Month USD-LIBOR, Put @ $3.88, expires 4/14/14		79,653

		TOTAL PURCHASED OPTIONS (Cost — $181,440)		79,653

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $336,389,877)		351,900,205

	SHORT-TERM INVESTMENTS — 30.9%
	REPURCHASE AGREEMENTS — 6.6%
	7,400,000	Barclays Capital Inc. repurchase agreement dated 8/31/12, 0.220% due 9/4/12, Proceeds at maturity — $7,400,226; (Fully collateralized by GNMA Mortgage Securities 4.500% due 3/20/41 Market Valued — $7,626,180)(h)		7,400,000
	6,600,000	Deutsche Bank Securities Inc. repurchase agreement dated 8/31/12, 0.200% due 9/4/12, Proceeds at maturity — $6,600,183; (Fully collateralized by U.S. Treasury Notes 1.750% due 5/15/22; Market Valued — $6,776,949)(h)		6,600,000
	5,800,000	Goldman Sachs & Co. repurchase agreement dated 8/31/12, 0.200% due 9/4/12, Proceeds at maturity — $5,800,161; (Fully collateralized by FNMA Mortgage Securities 5.000% due 4/1/38 Market Valued — $5,992,365)(h)		5,800,000
	100,000	Merrill Lynch & Co., Inc. repurchase agreement dated 8/31/12, 0.200% due 9/4/12, Proceeds at maturity — $100,003; (Fully collateralized by U.S. Treasury Notes 0.6250% due 8/31/17; Market Valued — $103,180)(h)		100,000

See Notes to Financial Statements.

129

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†			Security	Value
	REPURCHASE AGREEMENTS — 6.6%—(continued)
$	8,600,000		Merrill Lynch & Co., Inc. repurchase agreement dated 8/29/12, 0.160% due 9/5/12, Proceeds at maturity — $8,600,191; (Fully collateralized by U.S. Treasury Notes 0.250% due 7/15/15; Market Valued — $8,793,144)(h)	$	8,600,000

			TOTAL REPURCHASE AGREEMENTS (Cost — $28,500,000)		28,500,000

	SOVEREIGN BOND — 11.6%
	2,500,000		Australia Government Bond, 4.750% due 11/15/12 (Cost — $2,558,557)		2,590,220
	7,400,000		Canadian Government Bond, 1.500% due 12/1/12 (Cost — $7,099,073)(a)		7,510,666
	7,500,000		Netherlands Government Bond, 4.250% due 7/15/13 (Cost — $9,764,225)(b)		9,778,013
	1,180,000,000	^JPY	Japan Treasury Discount Bill, 0.099% due 9/18/12 (Cost — $14,881,402)		15,066,661
	1,190,000,000	^JPY	Japan Treasury Discount Bill, 0.098% due 10/9/12 (Cost — $15,099,989)		15,193,499

			TOTAL SOVEREIGN BOND (Cost — $49,403,246)		50,139,059

	TIME DEPOSITS — 2.5%
			BBH — Grand Cayman:
	63	^DKK	-0.490% due 9/3/12		11
	158,479	^EUR	-0.036% due 9/3/12		199,342
	18	^CHF	0.005% due 9/3/12		19
	16,453,605	^JPY	0.010% due 9/3/12		210,095
	617	^NOK	0.500% due 9/3/12		106
	123	^NZD	1.650% due 9/3/12		99
	744	^AUD	2.648% due 9/3/12		769
	522	^ZAR	4.150% due 9/3/12		62
	818	^CAD	0.195% due 9/4/12		829
			JPMorgan Chase & Co. — London:
	50,049	^GBP	0.052% due 9/3/12		79,388
	107,513	^AUD	2.648% due 9/3/12		111,099
	10,101,018		Wells Fargo — Grand Cayman, 0.030% due 9/4/12		10,101,018

			TOTAL TIME DEPOSITS (Cost — $10,702,837)		10,702,837

	U.S. GOVERNMENT AGENCIES — 6.7%
			Federal Home Loan Bank (FHLB), Discount Notes:
	8,600,000		0.160% due 2/20/13(h)		8,593,426
			Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes:
	800,000		0.170% due 2/11/13(a)(h)		799,384
	1,300,000		0.175% due 2/19/13(a)(h)		1,298,919
	800,000		0.175% due 2/25/13(a)(h)		799,312
	800,000		0.150% due 2/26/13(a)(h)		799,407
	800,000		0.140% due 3/5/13(a)(h)		799,424
			Federal National Mortgage Association (FNMA), Discount Notes:
	2,300,000		0.175% due 2/20/13(h)		2,298,077
	8,400,000		0.175% due 2/27/13(a)(h)		8,392,691
	5,300,000		0.180% due 8/1/13(a)(h)		5,291,149

			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $29,071,789)		29,071,789

	U.S. GOVERNMENT OBLIGATIONS — 3.5%
			U.S. Treasury Bills:
	857,000		0.130% due 2/7/13 (g)(h)		856,508
	2,601,000		0.137% due 2/14/13 (g)(h)		2,599,359
	705,000		0.164% due 4/4/13 (g)(h)		704,311
	50,000		0.153% due 5/2/13 (g)(h)		49,948
	690,000		0.169% due 5/30/13 (g)(h)		689,122
	80,000		0.171% due 7/25/13 (g)(h)		79,876

See Notes to Financial Statements.

130

Schedules of Investments

(continued)

International Fixed Income Investments


Face Amount†		Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 3.5%—(continued)
$	9,990,000	0.173% due 8/22/13 (g)(h)	$	9,972,992

		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $14,952,116)		14,952,116

		TOTAL SHORT-TERM INVESTMENTS (Cost — $132,629,988)		133,365,801

		TOTAL INVESTMENTS — 112.6% (Cost — $469,019,865 #)		485,266,006

		Liabilities in Excess of Other Assets — (12.6%)		(54,116,248	)

		TOTAL NET ASSETS — 100.0%	$	431,149,758

†	Face amount denominated in U.S. dollars, unless otherwise noted.

(a)	All or a portion of this security is segregated as collateral for open futures contracts, options contracts written, swap contracts, foreign currency contracts, TBA’s and repurchase agreements.

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

(c)	Illiquid Security.

(d)	Security is valued in good faith at fair value by or under the direction of the Board of Trustees.

(e)	Variable rate security. Interest rate disclosed is that which is in effect at August 31, 2012.

(f)	This security is traded on a TBA basis (see Note 1).

(g)	All or a portion of this security is held at the broker as collateral for open futures contracts or swaps contracts.

(h)	Rate shown represents yield-to-maturity.

(i)	Security is currently in default.

#	Aggregate cost for federal income tax purposes is $472,588,553.

Abbreviations used in this schedule:


AMBAC	—	American Bond Assurance Corporation
AUD	—	Australian Dollar
BRL	—	Brazilian Real
CAD	—	Canadian Dollar
CHF	—	Swiss Franc
COP	—	Columbia Peso
DKK	—	Danish Krone
EUR	—	Euro Dollar
GBP	—	British Pound
GMTN	—	Global Medium Term Note
IDR	—	Indonesia Rupiah
JPY	—	Japanese Yen
MXN	—	Mexico Peso
MYR	—	Malaysian Ringgitt
NGN	—	Nigerian Naira
NOK	—	Norwegian Krone
NZD	—	New Zealand Dollar
PEN	—	Peru Nuevo
PLC	—	Public Limited Company
PLN	—	Poland Zloty
RUB	—	Russia Ruble
THB	—	Thailand Baht
TRY	—	Turkey Lira
ZAR	—	South African Rand

See Notes to Financial Statements.

131

Schedules of Investments

(continued)

International Fixed Income Investments

Summary of Investments by Security Type*


Sovereign Bonds	49.6	%
Corporate Bonds & Notes	10.5
U.S. Government & Agency Obligations	7.6
Mortgage-Backed Securities	6.9
Collateralized Mortgage Obligations	3.0
Municipal Bonds	1.0
Asset-Backed Securities	0.2
Purchased Options	0.0	**
Short-Term Investments	21.2

	100.0	%

*	As a percentage of total investments.

**	Position represents less than 0.1%

Schedule of Options Contracts Written


Contracts			Security Name	Expiration Date		Strike Price		Value
	United States
	1,400,000		Swaption, 3-Month USD-LIBOR, Call		10/11/12	$	0.85	$	6,774
	1,500,000		Swaption, 3-Month USD-LIBOR, Call		10/11/12		0.85		7,258
	9,600,000		Swaption, 3-Month USD-LIBOR, Call		10/11/12		0.85		46,452
	1,400,000		Swaption, 3-Month USD-LIBOR, Put		10/11/12		1.20		336
	1,500,000		Swaption, 3-Month USD-LIBOR, Put		10/11/12		1.20		360
	4,800,000		Swaption, 3-Month USD-LIBOR, Call		10/11/12		1.20		25,148
	9,600,000		Swaption, 3-Month USD-LIBOR, Put		10/11/12		1.20		2,307
	4,800,000		Swaption, 3-Month USD-LIBOR, Put		10/11/12		1.60		3,216
	1,600,000		Swaption, 3-Month USD-LIBOR, Put		3/18/13		1.40		4,400
	1,600,000		Swaption, 3-Month USD-LIBOR, Call		3/18/13		1.40		40,174
	5,600,000		Swaption, 3-Month USD-LIBOR, Call		3/18/13		1.40		140,610
	5,600,000		Swaption, 3-Month USD-LIBOR, Put		3/18/13		1.40		15,402
	6,300,000		Swaption, 3-Month USD-LIBOR, Call		3/18/13		1.40		158,187
	6,300,000		Swaption, 3-Month USD-LIBOR, Put		3/18/13		1.40		17,327
	1,100,000		Swaption, 3-Month USD-LIBOR, Call		7/11/13		1.20		16,479
	1,100,000		Swaption, 3-Month USD-LIBOR, Put		7/11/13		1.20		686
	15,100,000		Swaption, 3-Month USD-LIBOR, Put		4/14/14		2.85		54,747
	3,000,000	^EUR	Swaption, 6-Month EUR-LIBOR, Put		7/1/14		10.00		34

			Total United States						539,897

			TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $653,469)					$	539,897

See Notes to Financial Statements.

132

Schedules of Investments

(continued)

International Fixed Income Investments

Schedule of Forward Sale Commitments


Face Amount		Security	Value
		Federal National Mortgage Association (FNMA):
$	1,000,000	6.000% due 9/15/33 (a)	$	1,101,914
	3,000,000	4.500% due 9/1/42 (a)		3,247,031

		TOTAL FORWARD SALE COMMITMENTS (Proceeds — $4,342,031)	$	4,348,945

(a)	This security is traded on a TBA basis (see Note 1).

For details of other financial instruments held by this fund, refer to Note 3.

See Notes to Financial Statements.

133

Schedules of Investments

(continued)

Municipal Bond Investments


Face Amount		Rating††	Security	Value
	MUNICIPAL BONDS — 94.5%
	Alaska — 2.3%
$	1,750,000	AA-	North Slope Boro Alaska, GO, Series A, NPFG-Insured, 5.000% due 6/30/16	$	2,025,012

	California — 9.1%
	1,000,000	AA+	California Infrastructure & Economic Development Bank Revenue, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a)		1,373,430
	1,050,000	AA-	California Statewide Communities Development Authority, Sutter Health Project, Series A, 5.500% due 8/15/26		1,234,254
	1,000,000	AA	Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series C, Prerefunded 7/1/14 @ 100, NPFG-Insured, 5.250% due 7/1/19(a)		1,089,750
	1,500,000	A+	San Francisco, CA, City & County Airports Commission, Series C-2, 5.000% due 5/1/21		1,758,570
	1,000,000	AA-	San Francisco, CA, Public Utilities Commission Water Revenue, Sub-Series D, 5.000% due 11/1/19		1,244,970
	1,230,000	Aa1(b)	Santa Monica-Malibu, California, Unified School District, Election of 2006 Project, Series A, FGIC & NPFG-Insured, 5.000% due 8/1/26		1,407,674

			Total California		8,108,648

	Colorado — 6.5%
	1,000,000	AAA	Colorado Water Resources & Power Development Authority, Drinking Water Revenue, Revolving Fund, Series A, 5.500% due 9/1/22		1,316,460
	1,500,000	AA-	Jefferson County School District R-1, GO, Broomfield Counties, Colorado, Refunding Bonds, Series 2012, 5.000% due 12/15/26		1,875,990
	2,165,000	AA+	Longmont, CO, Sales & Use Tax Revenue, Refunding, 5.250% due 5/15/17		2,559,463

			Total Colorado		5,751,913

	Connecticut — 1.4%
	1,000,000	AA	State of Connecticut, GO, Series C, 5.000% due 6/1/17		1,194,800

	District of Colombia — 4.6%
	2,500,000	AAA	District of Columbia, Income Tax Revenue Bonds, Series A, 5.000% due 12/1/28		3,023,975
	1,075,000	AA-	Metropolitan Washington D.C., Airports Authority System, Refunding, Series D, Prerefunded 10/1/12 @ 100, AGM-Insured, AMT, 5.375% due 10/1/18(a)(c)		1,078,580

			Total District of Colombia		4,102,555

	Florida — 3.9%
	1,000,000	A	Florida Municipal Loan Council Revenue, North Miami Beach Water Project, Series B, NPFG-Insured, 5.375% due 8/1/18		1,012,400
	1,000,000	A	Jacksonville, FL, Sales Tax Revenue, Better Jacksonville Projects, 5.000% due 10/1/21		1,140,560
	1,000,000	A+	Miami-Dade County, FL, Water & Sewer Revenue, XLCA-Insured, 5.000% due 10/1/21		1,145,490
	195,000	AA-	Tampa, Florida, Utility Tax & Special Revenue, Series A, Prerefunded 10/1/12 @ 101, AMBAC-Insured, 5.250% due 10/1/19(a)		197,636

			Total Florida		3,496,086

	Georgia — 5.1%
	2,000,000	AA-	Augusta, GA, Water and Sewer Revenue, AGM-Insured, 5.000% due 10/1/21		2,322,760
	1,800,000	A	Municipal Electric Authority of Georgia, Series B, 5.000% due 1/1/20		2,155,104

			Total Georgia		4,477,864

	Illinois — 4.0%
			Illinois Finance Authority Revenue :
	1,095,000	A3(b)	DePaul University, Series A, 5.375%, due 10/1/19		1,323,844
	1,000,000	A	OBG Bradley University, XLCA-Insured, 5.000% due 8/1/34		1,058,230
	1,025,000	AA-	Illinois State Toll Highway Authority, Series A-1, Prerefunded 7/1/16 @ 100, FSA-Insured, 5.000% due 1/1/25(a)		1,200,982

			Total Illinois		3,583,056

	Indiana — 1.1%
	1,000,000	AA+	Indiana Health Facility Financing Authority Hospital Revenue, Refunding, Methodist Hospital Industry, Series A, Escrowed To Maturity, 5.750% due 9/1/15(d)		1,003,430

See Notes to Financial Statements.

134

Schedules of Investments

(continued)

Municipal Bond Investments


Face Amount		Rating††	Security	Value
	Kansas — 1.3%
$	1,065,000	AA+	Kansas State Development Finance Authority Revenue, Kansas Tansition Revolving Fund, 5.000% due 10/1/20	$	1,185,228

	Massachusetts — 4.6%
	1,400,000	AA+	Commonwealth of Massachusetts, GO, Series A, NPFG-Insured, 5.250% due 8/1/16		1,649,550
	1,000,000	AAA	Massachusetts Bay Transportation Authority Revenue, Series A, 5.250% due 7/1/34		1,323,880
	1,000,000	A2(b)	Massachusetts HEFA Revenue, Northeastern University, Series R, 5.000% due 10/1/28		1,112,550

			Total Massachusetts		4,085,980

	Michigan — 2.1%
	1,750,000	AA-	Kalamazoo, Michigan, Hospital Finance Authority, Hospital Facilities Revenue, Bronson Hospital A RMK 4/30/08, AGM-Insured, 5.000% due 5/15/26		1,902,198

	Minnesota — 0.4%
	327,664	AA+	Minneapolis & St. Paul, MN, Housing Finance Board Single Family Mortgage Revenue, Mortgage Backed Securities, Cityliving, Series A-3, GNMA & FNMA-Insured, 5.700% due 4/1/27		345,872

	New Jersey — 3.9%
	1,340,000	Aa3(b)	Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22		1,802,997
	1,500,000	A+	New Jersey Health Care Facilities Financing Authority, Atlanticare Regional Medical Center, 5.000% due 7/1/27		1,621,035

			Total New Jersey		3,424,032

	New York — 3.8%
			New York City, NY:
	1,450,000	AAA	Municipal Water Finance Authority, Water and Sewer Systems Revenue, Series E, 5.000% due 6/15/38		1,494,878
	1,000,000	AA	Series D, 5.000% due 11/1/27		1,076,730
	750,000	AA-	New York State, Urban Development Corp., Refunding, Correctional Capital Facilities, Series A, AGM-Insured, 5.250% due 1/1/14		776,002

			Total New York		3,347,610

	North Carolina — 2.6%
	2,000,000	A—	North Carolina Eastern Municipal Power Agency, Series B, 5.000% due 1/1/26		2,266,780

	Oregon — 4.4%
	1,000,000	AA	Oregon State Department of Administrative Services, COP, Series A, AGM-Insured, 5.000% due 5/1/24		1,073,080
	1,000,000	AA-	Port of Portland Airport Revenue, Portland International Project, Sub-series Twenty C, AMT, 5.000% due 7/1/16(c)		1,130,230
	1,330,000	Aa2(b)	Washington & Clackamas Counties School District No. 23, GO, NPFG-Insured, 5.000% due 6/15/22		1,657,220

			Total Oregon		3,860,530

	Pennsylvania — 2.7%
	2,000,000	AA	Commonwealth of Pennsylvania, GO, 5.000% due 7/1/17		2,392,140

	Tennessee — 1.2%
	1,000,000	BBB+	Knox County, TN, Health & Housing Facilities Revenue, University Health System, 5.250% due 4/1/36		1,055,120

	Texas — 15.3%
	2,000,000	AAA	Keller, Texas, Independent School District, PSF-GTD-Insured, 4.750% due 8/15/32		2,173,020
	2,500,000	AAA	North East, Texas, Independent School District, Refunding, PSF-GTD-Insured, 5.250% due 2/1/30		3,355,600
	2,000,000	AA	RoundRock, Texas, Independent School District, GO, 5.000% due 8/1/33		2,308,360
			Texas State, Transportation Commission:
	1,000,000	AAA	5.000%, due 4/1/27		1,151,610
	2,575,000	AAA	5.250%, due 4/1/26		3,456,062

See Notes to Financial Statements.

135

Schedules of Investments

(continued)

Municipal Bond Investments


Face Amount		Rating††	Security	Value
	Texas — 15.3%—(continued)
$	1,000,000	AA-	Waxahachie, Texas, GO, Series A, AGM-Insured, 5.000% due 8/1/25	$	1,108,810

			Total Texas		13,553,462

	Washington — 9.1%
	1,500,000	AAA	Central Puget Sound Regional Transportation Authority, Sales & Use Tax Revenue, Series A, Prerefunded 5/01/15 @ 100, AMBAC-Insured, 5.000% due 11/1/24(a)		1,684,440
	2,000,000	AA+	King County, Washington School District No. 210 Federal Way, FGIC & NPFG-Insured, 5.000% due 12/1/23		2,289,320
	2,000,000	AA+	State of Washington, GO, Series A, 5.000% due 7/1/22		2,384,960
	1,500,000	A+	Washington Health Care Facilities Authority, Revenue Bonds, Series A, 5.000% due 11/1/18		1,751,700

			Total Washington		8,110,420

	Wisconsin — 5.1%
	2,500,000	AA+	State of Wisconsin, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20		3,111,975
	1,340,000	BBB	Wisconsin State, HEFA Revenue, Refunding, Divine Savior Healthcare, 5.500% due 5/1/26		1,413,191

			Total Wisconsin		4,525,166

			TOTAL MUNICIPAL BONDS (Cost — $75,972,044)		83,797,902

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $75,972,044)		83,797,902

	SHORT-TERM INVESTMENTS — 6.7%
	TIME DEPOSITS- 6.7%
			Bank of New York Mellon — Grand Cayman:
	5,184,767		0.030% due 9/4/12		5,184,767
			HSBC Bank — Grand Cayman:
	786,479		0.030% due 9/4/12		786,479

			TOTAL TIME DEPOSITS (Cost — $5,971,246)		5,971,246

			TOTAL SHORT-TERM INVESTMENTS (Cost — $5,971,246)		5,971,246

			TOTAL INVESTMENTS — 101.2% (Cost — $81,943,290 #)		89,769,148

			Liabilities in Excess of Other Assets — (1.2%)		(1,048,455	)

			TOTAL NET ASSETS — 100.0%	$	88,720,693

††	All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited.

(a)	Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings.

(b)	Rating by Moody’s Investors Service. All ratings are unaudited.

(c)	Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).

(d)	Bonds are escrowed to maturity by government securities and/or U.S. government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings.

#	Aggregate cost for federal income tax purposes is $81,943,290.

Abbreviations used in this schedule:


AGM	—	Assured Guaranty Municipal Corp.
AMBAC	—	Ambac Assurance Corporation
AMT	—	Alternative Minimum Tax
COP	—	Certificate of Participation
FGIC	—	Financial Guarantee Insurance Company
FSA	—	Financial Security Assurance
GO	—	General Obligation

See Notes to Financial Statements.

136

Schedules of Investments

(continued)

Municipal Bond Investments

Abbreviations used in this schedule:


HEFA	—	Health & Education Facility Authority
NPFG	—	National Public Finance Guarantee Corp.
PSF	—	Permanent School Fund
XLCA	—	XL Capital Assurance Inc.

See pages 140 and 141 for definition of ratings.

Summary of Investments by Industry*


General Obligation	21.8	%
Education	21.5
Transportation	13.2
Health Care Providers & Services	11.0
Utilities	7.0
Power	4.9
Airport	4.4
Development	4.2
Water and Sewer	2.9
Public Facilities	2.0
Housing	0.4
Short-Term Investments	6.7

	100.0	%

*	As a percentage of total investments.

See Notes to Financial Statements.

137

Schedules of Investments

(continued)

Money Market Investments


Face Amount		Security	Value
	SHORT-TERM INVESTMENTS — 99.5%
	CERTIFICATES OF DEPOSIT — 2.9%
$	2,900,000	National Bank of Canada, 0.550% due 7/11/13	$	2,900,000
	4,000,000	Svenska Handelsbanken, 0.295% due 10/24/12		4,000,000

		TOTAL CERTIFICATES OF DEPOSIT (Cost — $6,900,000)		6,900,000

	COMMERCIAL PAPER — 71.7%
	4,000,000	ABN AMRO Funding USA LLC, 0.501% due 9/5/12(a)(b)		3,999,778
	8,760,000	Antalis U.S. Funding Corp., 0.230% due 9/4/12(a)(b)		8,759,832
	4,000,000	Bank of Nova Scotia, 0.305% due 10/22/12(a)		3,998,272
	3,100,000	Barton Capital LLC, 0.400% due 9/11/12(a)(b)		3,099,656
		Bryant Park Funding LLC:
	2,917,000	0.180% due 9/12/12(a)(b)		2,916,840
	4,400,000	0.180% due 9/17/12(a)(b)		4,399,648
	2,000,000	Canadian Imperial Bank of Commerce, 0.401% due 4/17/13(a)		1,994,933
	5,000,000	Chariot Funding LLC, 0.170% due 9/12/12(a)(b)		4,999,740
	5,500,000	Coca-Cola Co., 0.260% due 1/7/13(a)(b)		5,494,916
	2,000,000	Collateralized Commercial Paper Program Co. LLC, 0.451% due 2/1/13(a)		1,996,175
	2,500,000	Concord Minuteman Capital Co. LLC, 0.270% due 10/2/12(a)(b)		2,499,419
		Crown Point Capital Co. LLC:
	3,000,000	0.410% due 10/2/12(a)(b)		2,998,941
	5,000,000	0.430% due 11/19/12(a)(b)		4,995,282
	4,500,000	DnB Bank ASA, 0.496% due 10/24/12(a)(b)		4,496,721
	3,600,000	Fairway Financial Corp. LLC, 0.280% due 12/17/12(a)(b)		3,600,000
	10,000,000	Gemini Security Corp. LLC, 0.150% due 9/4/12(a)(b)		9,999,875
	5,000,000	General Electric Capital Corp., 0.240% due 1/28/13(a)		4,995,033
		Hannover Funding Co. LLC:
	5,000,000	0.350% due 9/18/12(a)(b)		4,999,173
	4,000,000	0.350% due 9/25/12(a)(b)		3,999,067
	1,000,000	ING (US) Funding LLC, 0.200% due 9/12/12(a)		999,939
		LMA Americas LLC:
	5,000,000	0.380% due 9/4/12(a)(b)		4,999,842
	5,200,000	0.450% due 9/12/12(a)(b)		5,199,284
	4,500,000	MetLife Short Term Funding LLC, 0.341% due 11/14/12(a)(b)		4,496,855
	3,200,000	Nordea North America Inc., 0.572% due 9/7/12(a)		3,199,696
		NRW.BANK:
	5,000,000	0.260% due 10/17/12(a)(b)		4,998,339
	2,700,000	0.320% due 11/26/12(a)(b)		2,697,936
	4,500,000	Oversea-Chinese Bank Corp., Ltd., 0.421% due 10/12/12(a)		4,497,848
	6,000,000	PACCAR Financial Corp., 0.180% due 10/5/12(a)		5,998,980
	4,500,000	PNC Bank NA, 0.331% due 10/24/12(a)		4,497,814
	5,000,000	Rabobank USA Financial Corp., 0.300% due 12/3/12(a)		4,996,125
	5,000,000	Regency Markets No. 1 LLC, 0.220% due 9/17/12(a)(b)		4,999,511
	10,000,000	Salisbury Receivables Co. LLC, 0.150% due 9/4/12(a)(b)		9,999,875
	10,000,000	Societe Generale North America Inc., 0.160% due 9/4/12(a)		9,999,867
	4,000,000	Sumitomo Mitsui Banking Corp., 0.250% due 10/17/12(a)(b)		3,998,722
		Versailles Commercial Paper LLC:
	3,000,000	0.460% due 9/6/12(a)(b)		2,999,808
	5,000,000	0.440% due 9/14/12(a)(b)		4,999,205
	2,800,000	0.370% due 9/19/12(a)(b)		2,799,482

		TOTAL COMMERCIAL PAPER (Cost — $170,622,429)		170,622,429

	TIME DEPOSITS — 1.4%
	497,162	JPMorgan Chase & Co. — London, 0.030% due 9/4/12		497,162

See Notes to Financial Statements.

138

Schedules of Investments

(continued)

Money Market Investments


Face Amount		Security	Value
	TIME DEPOSITS — 1.4%—(continued)
$	2,763,371	Wells Fargo — Grand Cayman, 0.030% due 9/4/12	$	2,763,371

		TOTAL TIME DEPOSITS (Cost — $3,260,533)		3,260,533

	U.S. GOVERNMENT AGENCIES — 14.7%
		Federal Home Loan Bank (FHLB), Discount Notes:
	14,216,000	0.100% due 9/21/12(a)		14,215,209
	5,810,000	0.115% due 9/28/12(a)		5,809,499
	5,800,000	0.100% due 10/9/12(a)		5,799,388
	5,000,000	0.100% due 10/17/12(a)		4,999,361
	2,250,000	Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes, 0.120% due 9/12/12(a)		2,249,918
	2,000,000	Federal National Mortgage Association (FNMA), Discount Notes, 0.100% due 10/15/12(a)		1,999,756

		TOTAL U.S. GOVERNMENT AGENCIES (Cost — $35,073,131)		35,073,131

	U.S. GOVERNMENT OBLIGATIONS — 8.8%
		U.S. Treasury Bills:
	12,000,000	0.093% due 9/6/12(a)		11,999,845
	4,000,000	0.149% due 9/13/12(a)		3,999,802
	5,000,000	0.136% due 1/10/13(a)		4,997,526

		TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $20,997,173)		20,997,173

		TOTAL SHORT-TERM INVESTMENTS (Cost — $236,853,266)		236,853,266

		TOTAL INVESTMENTS — 99.5% (Cost — $236,853,266 #)		236,853,266

		Cash and Other Assets in Excess of Liabilities — 0.5%		1,200,057

		TOTAL NET ASSETS — 100.0%	$	238,053,323

(a)	Rate shown represents yield-to-maturity.

(b)	Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted.

#	Aggregate cost for federal income tax purposes is $238,853,266.

See Notes to Financial Statements.

139

Ratings

(unaudited)

Bond Ratings

The definitions of the applicable rating symbols are set forth below:

Standard & Poor’s Ratings Service (“Standard & Poor’s”) —Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.


AAA		— Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D		— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
Moody’s Investors Service (“Moody’s”)— Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa” where 1 is the highest and 3 the lowest ranking within its generic category.
Aaa		— Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa		— Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities.
A		— Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa		— Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
Ba		— Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B		— Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa		— Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca		— Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked shortcomings.
C		— Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.
Fitch Ratings Service (“Fitch”)— Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
AAA		— Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AA		— Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A		— Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB		— Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB,B, CCC, CC and C		— Bonds rated “BB”, “B”, “CCC” and “CC” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
NR		— Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.
Short-Term SecurityRatings
SP-1		— Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.

140

Ratings

(unaudited) (continued)


A-1		— Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG1		— Moody’s highest rating for issues having a demand feature —VRDO.
P-1		— Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1		— Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.

141

Statements of Assets and Liabilities

August 31, 2012


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Growth Investments			Small Capitalization Value Equity Investments		International Equity Investments			Emerging Markets Equity Investments			Core Fixed Income Investments		High Yield Investments			International Fixed Income Investments			Municipal Bond Investments			Money Market Investments
ASSETS:
Investments, at cost	$	1,164,303,860		$	946,219,943		$	216,870,158		$	151,236,467	$	525,109,344		$	616,783,950		$	1,062,695,505	$	334,794,815		$	469,019,865		$	81,943,290		$	236,853,266
Foreign currency, at cost		—			—			—			—		591,389			4,781,694			153,811		—			83,042			—			—
Investments, at value*	$	1,580,044,625		$	1,107,975,496		$	267,127,138		$	200,802,400	$	563,550,779		$	719,863,117		$	1,103,407,425	$	340,516,716		$	485,266,006		$	89,769,148		$	236,853,266	**
Foreign currency, at value		—			—			—			—		604,552			4,786,107			157,962		—			81,109			—			—
Cash		1,290			1,629			206			173		584			866			597		622			241			102			13
Receivable for manager waiver		—			—			—			—		—			—			—		—			—			—			25
Receivable for securities sold		18,830,750			1,379,589			3,802,223			508,397		458,290			5,428,531			130,837,084		105,498			17,977,807			—			—
Dividends and interest receivable		3,322,961			3,552,321			63,652			318,912		927,503			1,753,293			6,048,791		4,631,648			3,037,100			879,778			3,979
Receivable for Fund shares sold		91,272			41,169			38,570			37,587		272,844			382,825			161,308		521,071			374,523			155,646			1,487,385
Unrealized appreciation on open forward foreign currency contracts (Notes 1 and 3)		—			—			—			—		195,849			164,053			337,304		—			1,535,250			—			—
Variation margin on open future contacts (Notes 1 and 3)		—			—			—			—		—			1,723,264			348,682		—			51,050			—			—
Swap contracts at value (Notes 1 and 3)		—			—			—			—		—			—			3,093,633		—			1,942,597			—			—
Deposits with counterparty		—			—			—			—		—			—			14,000		—			6,000			—			—
Prepaid expenses		34,132			26,241			14,034			12,087		13,839			17,937			27,235		9,980			14,965			10,938			12,217
Other assets		—			—			—			—		85			—			—		—			—			—			—

Total Assets		1,602,325,030			1,112,976,445			271,045,823			201,679,556		566,024,325			734,119,993			1,244,434,021		345,785,535			510,286,648			90,815,612			238,356,885

LIABILITIES:
Payable for securities on loan		9,755,298			22,847,068			19,954,594			5,954,665		6,243,716			28,945,863			386,546		2,539,760			—			—			—
Payable for Fund shares repurchased		2,407,678			1,334,512			463,555			230,479		602,011			824,248			2,062,695		401,662			519,869			124,017			225,532
Payable for securities purchased		23,238,777			872,557			2,924,590			350,470		115,262,165			8,217,579			183,202,075		73,919,248			66,387,826			1,881,660			–
Investment management fee payable		802,072			561,855			167,257			130,091		197,335			477,014			384,375		83,282			172,967			32,705			18,947
Transfer agent fees payable		39,806			33,864			23,051			15,024		22,401			17,076			27,198		4,292			8,109			1,074			391
Custody fee payable		83,238			55,376			16,963			13,184		39,560			119,842			123,459		21,807			12,882			8,406			13,044
Trustees’ fees payable		6,198			5,042			1,544			1,166		4,056			3,327			4,474		769			1,404			822			562
Forward sale commitments, at value (proceeds received $31,603,438 and $4,342,031, respectively) (Note 1)		—			—			—			—		—			—			31,653,364		—			4,348,945			—			—
Options Contracts written, at value (premiums received $644,647 and $653,469, respectively) (Notes 1 and 3)		—			—			—			—		—			—			531,871		—			539,897			—			—
Swap contracts at value (Notes 1 and 3)		—			—			—			—		—			—			247,115		—			148,480			—			—
Unrealized depreciation on open forward foreign currency contracts (Notes 1 and 3)		—			—			—			—		—			243,965			1,103,684		—			5,880,376			—			—
Variation margin on open swap contracts (Notes 1 and 3)		—			—			—			—		—			—			23,942		—			1,012			—			—
Deposits from counterparty		—			—			—			—		—			—			2,975,000		—			1,030,000			—			—
Distributions payable		—			—			—			—		—			—			20		1,438			—			195			8
Accrued expenses		34,220			51,637			79,979			86,749		89,676			68,272			76,580		69,765			85,123			46,040			45,078

Total Liabilities		36,367,287			25,761,911			23,631,533			6,781,828		122,460,920			38,917,186			222,802,398		77,042,023			79,136,890			2,094,919			303,562

Total Net Assets	$	1,565,957,743		$	1,087,214,534		$	247,414,290		$	194,897,728	$	443,563,405		$	695,202,807		$	1,021,631,623	$	268,743,512		$	431,149,758		$	88,720,693		$	238,053,323

NET ASSETS:
Par value (Note 4)	$	95,524		$	115,201		$	12,488		$	15,028	$	46,320		$	48,070		$	115,128	$	63,434		$	50,375		$	8,984		$	238,053
Paid-in capital in excess of par value		1,304,191,789			1,411,090,409			224,092,874			135,028,123		746,951,665			664,158,154			946,950,749		285,873,413			403,838,063			80,844,710			237,809,364
Accumulated net investment loss		—			—			(736,931	)		—		—			—			—		—			—			—			—
Undistributed (Overdistributed) net investment income		6,647,674			15,567,504			—			1,858,564		6,839,235			12,060,825			9,443,322		809,714			28,944,093			144,126			35
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		(160,718,009	)		(501,314,133	)		(26,211,121	)		8,430,080		(348,834,560	)		(83,818,264	)		24,313,885		(23,724,950	)		(15,238,693	)		(102,985	)		5,871
Net unrealized appreciation on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		415,740,765			161,755,553			50,256,980			49,565,933		38,560,745			102,754,022			40,808,539		5,721,901			13,555,920			7,825,858			—

Total Net Assets	$	1,565,957,743		$	1,087,214,534		$	247,414,290		$	194,897,728	$	443,563,405		$	695,202,807		$	1,021,631,623	$	268,743,512		$	431,149,758		$	88,720,693		$	238,053,323

Shares Outstanding		95,523,227			115,201,720			12,488,055			15,028,472		46,320,286			48,070,048			115,128,090		63,434,059			50,375,098			8,983,547			238,053,252

Net Asset Value	$	16.39		$	9.44		$	19.81		$	12.97	$	9.58		$	14.46		$	8.87	$	4.24		$	8.56		$	9.88		$	1.00

Includes securities on loan for the following funds: Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments, and High Yield Investments with a market value of $9,569,391, $22,465,976, $19,763,710, $5,834,748, $6,089,464, $27,685,842, $378,081 and $2,464,362, respectively.

**	Value represents amortized cost.

See Notes to Financial Statements.

142

Statements of Operations

For the Year Ended August 31, 2012


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Growth Investments			Small Capitalization Value Equity Investments			International Equity Investments			Emerging Markets Equity Investments			Core Fixed Income Investments			High Yield Investments			International Fixed Income Investments			Municipal Bond Investments		Money Market Investments
INVESTMENT INCOME:
Dividends	$	16,884,939		$	31,916,054		$	893,846		$	3,582,351		$	10,133,072		$	23,422,962		$	—		$	248,813		$	—		$	—	$	—
Interest		14,708			9,880			3,150			1,399			5,411			43,350			40,922,489			11,527,546			10,243,734			3,472,048		559,102
Income from securities lending		729,649			243,836			589,924			181,182			286,942			581,258			932			30,142			581			—		—
Miscellaneous income		—			—			—			—			—			—			11,928			—			—			—		—
Less: Foreign taxes withheld		(131,294	)		(210,763	)		(5,961	)		(24,513	)		(825,183	)		(2,260,899	)		—			—			(7,881	)		—		—

Total Investment Income		17,498,002			31,959,007			1,480,959			3,740,419			9,600,242			21,786,671			40,935,349			11,806,501			10,236,434			3,472,048		559,102

EXPENSES:
Investment management fee (Note 2)		9,643,737			6,738,611			2,079,680			1,580,612			2,486,510			6,740,094			4,857,459			985,612			1,776,667			408,135		182,939
Transfer agent fees		235,597			177,612			79,032			44,969			82,362			103,188			170,793			17,976			48,504			9,661		22,584
Custody fees		464,917			333,372			91,678			73,226			271,698			649,179			738,836			145,262			155,656			49,271		72,738
Trustees’ fees		210,386			147,528			25,969			14,318			56,145			98,624			141,644			18,177			35,281			10,575		20,838
Shareholder reports		129,452			142,469			129,881			123,738			133,013			118,895			104,327			59,238			89,598			7,218		119,389
Insurance		90,782			61,848			15,000			11,555			34,267			44,766			57,653			10,469			12,651			4,927		6,927
Audit and tax		61,854			56,497			47,307			45,417			54,571			61,740			89,555			62,906			71,824			37,220		36,852
Legal fees		32,172			32,171			34,385			34,385			32,154			32,172			32,771			32,171			32,172			32,172		29,793
Registration fees		20,949			20,893			20,428			20,441			18,146			19,913			20,473			18,623			19,606			17,659		22,872
Miscellaneous expenses		125,936			79,481			15,597			13,077			49,152			72,798			113,483			11,676			30,294			6,393		14,319

Total Investment Expenses		11,015,782			7,790,482			2,538,957			1,961,738			3,218,018			7,941,369			6,326,994			1,362,110			2,272,253			583,231		529,251
Less: Fee waivers and/or expense reimbursement (Note 2)		—			—			(23,397	)		(20,926	)		(23,977	)		(945,932	)		(52,640	)		(226,582	)		(35,061	)		—		(29,185	)

Net Expenses		11,015,782			7,790,482			2,515,560			1,940,812			3,194,041			6,995,437			6,274,354			1,135,528			2,237,192			583,231		500,066

Net Investment Income (Loss)	$	6,482,220			$24,168,525		($	1,034,601	)	$	1,799,607		$	6,406,201		$	14,791,234		$	34,660,995		$	10,670,973		$	7,999,242		$	2,888,817	$	59,036

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENT, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):
Net Realized Gain (Loss) From:
Investment transactions	$	87,906,066		$	38,734,227		$	11,601,336		$	21,056,940		($	7,468,239	)	($	23,317,709	)	$	42,044,476		($	4,673,833	)	$	1,305,979		$	1,247,270	$	5,871
Futures contracts		—			—			—			—			—			(20,793	)		2,713,496			—			4,795,591			—		—
Options contracts written		—			—			—			—			—			—			855,477			—			267,162			—		—
Forward sale commitments		—			—			—			—			—			—			(1,680,835	)		—			(625,547	)		—		—
Swap contracts		—			—			—			—			—			—			(599,799	)		—			(1,074,295	)		—		—
Foreign currency transactions		—			—			—			—			(192,695	)		(1,558,705	)		2,465,000			—			20,031,728			—		—

Net Realized Gain (Loss)		87,906,066			38,734,227			11,601,336			21,056,940			(7,660,934	)		(24,897,207	)		45,797,815			(4,673,833	)		24,700,618			1,247,270		5,871

Change in Net Unrealized Appreciation/Depreciation From:
Investments		129,328,340			61,932,505			16,669,721			5,818,527			(14,753,412	)		(44,425,625	)		10,670,665			6,130,587			(2,193,316	)		3,054,364		—
Futures contracts		—			—			—			—			—			(507,434	)		(2,557,767	)		—			(1,379,096	)		—		—
Options contracts written		—			—			—			—			—			—			(127,965	)		—			(7,030	)		—		—
Forward sale commitments		—			—			—			—			—			—			47,125			—			(64,609	)		—		—
Swap contracts		—			—			—			—			—			—			900,866			—			1,810,494			—		—
Foreign currency transactions		—			—			—			—			234,863			(235,118	)		332,509			—			(3,560,923	)		—		—

Change in Net Unrealized Appreciation (Depreciation)		129,328,340			61,932,505			16,669,721			5,818,527			(14,518,549	)		(45,168,177	)		9,265,433			6,130,587			(5,394,480	)		3,054,364		—

Net Gain (Loss) on Investments, Futures Contracts, Options Written, Forward Sale Commitment, Swap Contracts and Foreign Currency Transactions		217,234,406			100,666,732			28,271,057			26,875,467			(22,179,483	)		(70,065,384	)		55,063,248			1,456,754			19,306,138			4,301,634		5,871

Total Net Assets Increase (Decrease) in Net Assets From Operations	$	223,716,626		$	124,835,257		$	27,236,456		$	28,675,074		($	15,773,282	)	($	55,274,150	)	$	89,724,243		$	12,127,727		$	27,305,380		$	7,190,451	$	64,907

See Notes to Financial Statements.

143

Statements of Changes in Net Assets

For the Year Ended August 31, 2012 and August 31, 2011


	Large Capitalization Growth Investments						Large Capitalization Value Equity Investments						Small Capitalization Growth Investments						Small Capitalization Value Equity Investments						International Equity Investments						Emerging Markets Equity Investments
	2012			2011			2012			2011			2012			2011			2012			2011			2012			2011			2012			2011
OPERATIONS:
Net investment income (loss)	$	6,482,220		$	8,644,503		$	24,168,525		$	25,138,927		$	(1,034,601	)	$	(1,201,218	)	$	1,799,607		$	2,101,769		$	6,406,201		$	10,391,296		$	14,791,234		$	17,031,458
Net realized gain		87,906,066			132,590,173			38,734,227			82,134,498			11,601,336			58,769,480			21,056,940			31,578,837			(7,660,934	)		107,736,713			(24,897,207	)		85,337,819
Change in net unrealized appreciation/ depreciation		129,328,340			167,645,620			61,932,505			72,181,730			16,669,721			1,296,368			5,818,527			3,194,328			(14,518,549	)		(7,239,958	)		(45,168,177	)		(31,984,324	)

Increase (Decrease) in Net Assets From Operations		223,716,626			308,880,296			124,835,257			179,455,155			27,236,456			58,864,630			28,675,074			36,874,934			(15,773,282	)		110,888,051			(55,274,150	)		70,384,953

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(8,294,405	)		(3,133,697	)		(24,720,654	)		(20,058,283	)		—			—			(1,889,698	)		(2,997,673	)		(6,661,132	)		(13,556,896	)		(18,066,459	)		(12,702,280	)
Net realized gains		—			—			—			—			—			—			—			—			—			—			—			—

Decrease in Net Assets From Distributions to Shareholders		(8,294,405	)		(3,133,697	)		(24,720,654	)		(28,058,283	)		—			—			(1,889,698	)		(2,997,673	)		(6,661,132	)		(13,556,896	)		(18,066,459	)		(12,702,280	)

FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		78,804,323			270,250,580			50,974,293			199,832,147			22,648,577			51,632,925			16,051,002			51,786,373			150,284,899			67,559,954			75,670,441			147,739,601
Reinvestment of distributions		8,294,405			3,133,697			24,720,654			28,058,283			—			—			1,889,286			2,997,673			6,661,132			13,556,896			18,066,459			12,702,280
Cost of shares repurchased		(474,585,749	)		(336,526,822	)		(309,029,807	)		(261,174,590	)		(80,861,429	)		(94,209,909	)		(72,335,177	)		(69,289,295	)		(227,066,046	)		(437,420,269	)		(166,210,600	)		(185,941,119	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(387,487,021	)		(63,142,545	)		(233,334,860	)		(33,284,160	)		(58,212,852	)		(42,576,984	)		(54,394,889	)		(14,505,249	)		(70,120,015	)		(356,303,419	)		(72,473,700	)		(25,499,238	)

Increase (Decrease) in Net Assets		(172,064,800	)		242,604,054			(133,220,257	)		118,112,712			(30,976,396	)		16,287,646			(27,609,513	)		19,372,012			(92,554,429	)		(258,972,264	)		(145,814,309	)		32,183,435
NET ASSETS:
Beginning of year		1,738,022,543			1,495,418,489			1,220,434,791			1,102,322,079			278,390,686			262,103,040			222,507,241			203,135,229			536,117,834			795,090,098			841,017,116			808,833,681

*End of year†**	$	1,565,957,743		$	1,738,022,543		$	1,087,214,534		$	1,220,434,791		$	247,414,290		$	278,390,686		$	194,897,728		$	222,507,241		$	443,563,405		$	536,117,834		$	695,202,807		$	841,017,116

* Includes undistributed net investment income of:	$	6,647,674		$	8,513,117		$	15,567,504		$	16,453,946			—			—		$	1,858,564		$	1,889,651		$	6,839,235		$	6,711,709		$	12,060,825		$	16,554,021

† Includes accumulated net investment loss of:		—			—			—			—		$	(736,931	)		—			—			—			—			—			—			—

See Notes to Financial Statements.

144

Statements of Changes in Net Assets

For the Year Ended August 31, 2012 August 31, 2011


	Core Fixed Income Investments						High Yield Investments						International Fixed Income Investments						Municipal Bond Investments						Money Market Investments
	2012			2011			2012			2011			2012			2011			2012			2011			2012			2011
OPERATIONS:
Net investment income (loss)	$	34,660,995		$	32,869,408		$	10,670,973		$	16,871,483		$	7,999,242		$	6,241,666		$	2,888,817		$	2,942,778		$	59,036		$	3,151
Net realized gain (loss)		45,797,815			8,302,500			(4,673,833	)		6,625,511			24,700,618			(11,806,799	)		1,247,270			(15,290	)		5,871			986
Change in net unrealized appreciation (depreciation)		9,265,433			(24,738	)		6,130,587			(6,383,907	)		(5,394,480	)		8,375,508			3,054,364			(1,080,197	)		—			—

Increase (Decrease) in Net Assets From Operations		89,724,243			41,147,170			12,127,727			17,113,087			27,305,380			2,810,375			7,190,451			1,847,291			64,907			4,137

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):
Net investment income		(38,112,222	)		(34,164,850	)		(12,483,168	)		(17,008,732	)		(1,284,299	)		(12,802,845	)		(2,888,713	)		(2,942,635	)		(59,001	)		(3,155	)
Net realized gains		(10,147,005	)		(30,133,209	)		—			—			—			—			—			—			—			(13,621	)

Decrease in Net Assets From Distributions to Shareholders		(48,259,227	)		(64,298,059	)		(12,483,168	)		(17,008,732	)		(1,284,299	)		(12,802,845	)		(2,888,713	)		(2,942,635	)		(59,001	)		(16,776	)

FUND SHARE TRANSACTIONS (NOTE 4):
Net proceeds from sale of shares		320,711,752			227,961,080			163,104,819			39,620,418			227,373,965			52,103,680			32,848,538			26,043,070			293,627,375			114,041,013
Reinvestment of distributions		48,259,553			64,293,061			12,483,271			17,006,873			1,284,299			12,802,844			2,888,768			2,942,386			58,949			16,775
Cost of shares repurchased		(456,181,435	)		(202,478,811	)		(104,844,963	)		(48,232,524	)		(50,955,234	)		(47,746,313	)		(38,831,946	)		(32,010,951	)		(174,430,607	)		(120,488,142	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(87,210,130	)		89,775,330			70,743,127			8,394,767			177,703,030			17,160,211			(3,094,640	)		(3,025,495	)		119,255,717			(6,430,354	)

Increase (Decrease) in Net Assets		(45,745,114	)		66,624,441			70,387,686			8,499,122			203,724,111			7,167,741			1,207,098			(4,120,839	)		119,261,623			(6,442,993	)
NET ASSETS:
Beginning of year		1,067,376,737			1,000,752,296			198,355,826			189,856,704			227,425,647			220,257,906			87,513,595			91,634,434			118,791,700			125,234,693

*End of year†**	$	1,021,631,623		$	1,067,376,737		$	268,743,512		$	198,355,826		$	431,149,758		$	227,425,647		$	88,720,693		$	87,513,595		$	238,053,323		$	118,791,700

* Includes undistributed net investment income of:	$	9,443,322		$	4,578,943		$	809,714		$	1,962,680		$	28,944,093			—		$	144,126		$	144,022		$	35			—

† Includes accumulated net investment loss of:	$	—		$	—		$	—		$	—		$	—		$	(1,055,003	)	$	—		$	—		$	—		$	—

See Notes to Financial Statements.

145

Financial Highlights

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Large Capitalization Growth Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	14.24		$	11.80		$	11.15		$	14.66		$	15.45

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.06			0.07			0.03			0.04			0.03
Net realized and unrealized gain (loss)		2.17			2.40			0.68			(3.35	)		(0.55	)

Total Income (Loss) from Operations		2.23			2.47			0.71			(3.31	)		(0.52	)

Less Distributions From:
Net investment income		(0.08	)		(0.03	)		(0.06	)		(0.03	)		(0.03	)
Net realized gain		—			—			—			(0.17	)		(0.24	)

Total Distributions		(0.08	)		(0.03	)		(0.06	)		(0.20	)		(0.27	)

Net Asset Value, End of Year	$	16.39		$	14.24		$	11.80		$	11.15		$	14.66

Total Return⁽²⁾		15.71	%		20.89	%		6.30	%		(22.25	)%		(3.52	)%
Net Assets, End of Year (millions)	$	1,566		$	1,738		$	1,495		$	1,310		$	2,214
Ratios of Average Net Assets:
Gross expenses		0.69	%		0.68	%		0.70	%		0.71	%		0.69	%
Net expenses		0.69			0.68			0.70	⁽³⁾		0.71	⁽³⁾		0.69	⁽³⁾
Net investment income (loss)		0.40			0.47			0.22			0.44			0.18
Portfolio Turnover Rate		66	%		76	%		92	%		113	%		79	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which in the case of TRAK^® may be up to 2.00%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results.

(3)	Reflects fee waivers and/or expense reimbursements.

Large Capitalization Value Equity Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	8.58		$	7.54		$	7.34		$	9.88		$	12.87

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.19			0.17			0.19			0.22			0.23
Net realized and unrealized gain (loss)		0.87			1.07			0.23			(2.55	)		(1.92	)

Total Income (Loss) from Operations		1.06			1.24			0.42			(2.33	)		(1.69	)

Less Distributions From:
Net investment income		(0.20	)		(0.20	)		(0.22	)		(0.21	)		(0.23	)
Net realized gain		—			—			—			—			(1.07	)

Total Distributions		(0.20	)		(0.20	)		(0.22	)		(0.21	)		(1.30	)

Net Asset Value, End of Year	$	9.44		$	8.58		$	7.54		$	7.34		$	9.88

Total Return⁽²⁾		12.50	%		16.46	%		5.67	%		(23.14	)%		(14.23	)%
Net Assets, End of Year (millions)	$	1,087		$	1,220		$	1,102		$	1,273		$	1,972
Ratios of Average Net Assets:
Gross expenses		0.69	%		0.68	%		0.69	%		0.72	%		0.69	%
Net expenses		0.69			0.68			0.69	⁽³⁾		0.71	⁽³⁾		0.67	⁽³⁾
Net investment income		2.15			1.95			2.43			3.30			2.12
Portfolio Turnover Rate		32	%		38	%		104	%		97	%		55	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

146

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Small Capitalization Growth Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	17.76		$	14.62		$	12.99		$	17.32		$	18.28

Income (Loss) from Operations:
Net investment income⁽¹⁾		(0.07	)		(0.07	)		(0.09	)		(0.07	)		(0.09	)
Net realized and unrealized gain (loss)		2.12			3.21			1.72			(4.26	)		(0.87	)

Total Income (Loss) from Operations		2.05			3.14			1.63			(4.33	)		(0.96	)

Net Asset Value, End of Year	$	19.81		$	17.76		$	14.62		$	12.99		$	17.32

Total Return⁽²⁾		11.54	%		21.48	%		12.55	%		(25.00	)%		(5.25	)%
Net Assets, End of Year (millions)	$	247		$	278		$	262		$	371		$	458
Ratios of Average Net Assets:
Gross expenses		0.98	%		0.95	%		0.99	%		1.08	%		1.00	%
Net expenses		0.97	⁽³⁾		0.93	⁽³⁾		0.98	⁽³⁾		1.07	⁽³⁾		0.99	⁽³⁾
Net investment income (loss)		(0.40	)		(0.37	)		(0.56	)		(0.59	)		(0.51	)
Portfolio Turnover Rate		68	%		73	%		84	%		73	%		66	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

Small Capitalization Value Equity Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	11.20		$	9.57		$	8.67		$	10.65		$	13.51

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.11			0.10			0.08			0.11			0.12
Net realized and unrealized gain (loss)		1.77			1.68			0.90			(1.63	)		(0.89	)

Total Income (Loss) from Operations		1.88			1.78			0.98			(1.52	)		(0.77	)

Less Distributions From:
Net investment income		(0.11	)		(0.15	)		(0.08	)		(0.07	)		(0.10	)
Net realized gain		—			—			—			(0.39	)		(1.99	)

Total Distributions		(0.11	)		(0.15	)		(0.08	)		(0.46	)		(2.09	)

Net Asset Value, End of Year	$	12.97		$	11.20		$	9.57		$	8.67		$	10.65

Total Return⁽²⁾		16.93	%		18.52	%		11.35	%		(12.73	)%		(5.36	)%
Net Assets, End of Year (millions)	$	195		$	223		$	203		$	374		$	379
Ratios of Average Net Assets:
Gross expenses		0.99	%		0.98	%		0.98	%		1.09	%		1.01	%
Net expenses		0.98	⁽³⁾		0.95	⁽³⁾		0.97	⁽³⁾		1.08	⁽³⁾		0.99	⁽³⁾
Net investment income		0.91			0.85			0.86			1.54			1.07
Portfolio Turnover Rate		24	%		36	%		25	%		53	%		39	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

147

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

International Equity Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	9.77		$	9.02		$	8.97		$	11.90		$	15.57

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.17			0.15			0.14			0.15			0.30
Net realized and unrealized gain (loss)		(0.18	)		0.76			0.15			(2.32	)		(2.61	)

Total Income (Loss) from Operations		(0.01	)		0.91			0.29			(2.17	)		(2.31	)

Less Distributions From:
Net investment income		(0.18	)		(0.16	)		(0.24	)		(0.30	)		(0.21	)
Net realized gain		—			—			—			(0.46	)		(1.15	)

Total Distributions		(0.18	)		(0.16	)		(0.24	)		(0.76	)		(1.36	)

Net Asset Value, End of Year	$	9.58		$	9.77		$	9.02		$	8.97		$	11.90

Total Return⁽²⁾		(0.06	)%		9.97	%		3.12	%		(15.48	)%		(16.23	)%
Net Assets, End of Year (millions)	$	444		$	536		$	795		$	725		$	1,407
Ratios of Average Net Assets:
Gross expenses		0.91	%		0.84	%		0.85	%		0.91	%		0.83	%
Net expenses		0.90	⁽³⁾		0.82	⁽³⁾		0.84	⁽³⁾		0.90	⁽³⁾		0.77	⁽³⁾
Net investment income		1.80			1.41			1.52			1.98			2.16
Portfolio Turnover Rate		75	%		70	%		73	%		72	%		124	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

Emerging Markets Equity Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	15.85		$	14.79		$	12.80		$	15.36		$	19.19

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.29			0.31			0.23			0.19			0.23
Net realized and unrealized gain (loss)		(1.33	)		0.99			1.90			(2.39	)		(2.24	)

Total Income (Loss) from Operations		(1.04	)		1.30			2.13			(2.20	)		(2.01	)

Less Distributions From:
Net investment income		(0.35	)		(0.24	)		(0.14	)		(0.08	)		(0.35	)
Net realized gain		—			—			—			(0.28	)		(1.47	)

Total Distributions		(0.35	)		(0.24	)		(0.14	)		(0.36	)		(1.82	)

Net Asset Value, End of Year	$	14.46		$	15.85		$	14.79		$	12.80		$	15.36

Total Return⁽²⁾		(6.52	)%		8.67	%		16.69	%		(12.86	)%		(12.37	)%
Net Assets, End of Year (millions)	$	695		$	841		$	809		$	671		$	634
Ratio of Average Net Assets:
Gross expenses		1.06	%		1.05	%		1.08	%		1.12	%		1.08	%
Net expenses		0.93	⁽³⁾		0.91	⁽³⁾		0.94	⁽³⁾		0.98	⁽³⁾		0.93	⁽³⁾
Net investment income		1.98			1.87			1.57			1.87			1.24
Portfolio Turnover Rate		40	%		42	%		53	%		133	%		74	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

148

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Core Fixed Income Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	8.58		$	8.81		$	8.25		$	8.05		$	8.07

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.25			0.28			0.32			0.39			0.38
Net realized and unrealized gain (loss)		0.38			0.05			0.71			0.36			0.01

Total Income from Operations		0.63			0.33			1.03			0.75			0.39

Less Distributions From:
Net investment income		(0.27	)		(0.29	)		(0.33	)		(0.40	)		(0.41	)
Net realized gain		(0.07	)		(0.27	)		(0.14	)		(0.15	)		—

Total Distributions		(0.34	)		(0.56	)		(0.47	)		(0.55	)		(0.41	)

Net Asset Value, End of Year	$	8.87		$	8.58		$	8.81		$	8.25		$	8.05

Total Return⁽²⁾		7.58	%		3.93	%		12.93	%		9.96	%		4.78	%
Net Assets, End of Year (millions)	$	1,022		$	1,067		$	1,001		$	872		$	953
Ratios of Average Net Assets:
Gross expenses		0.52	%		0.52	%		0.53	%⁽³⁾		0.54	%⁽³⁾		0.52	%⁽³⁾
Net expenses		0.52	⁽⁴⁾		0.52	⁽⁴⁾		0.53	⁽³⁾⁽⁴⁾		0.53	⁽³⁾⁽⁴⁾		0.52	⁽³⁾⁽⁴⁾
Net investment income		2.85			3.23			3.79			4.98			4.56
Portfolio Turnover Rate		429	%		390	%		257	%		374	%		346	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Ratio includes interest expense on forward sale commitments which represents less than 0.01%, 0. 01% and 0.01%, respectively.

(4)	Reflects fee waivers and/or expense reimbursements.

High Yield Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	4.15		$	4.14		$	3.77		$	4.13		$	4.58

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.29			0.36			0.37			0.37			0.39
Net realized and unrealized gain (loss)		0.16			0.02			0.38			(0.35	)		(0.46	)

Total Income (Loss) from Operations		0.45			0.38			0.75			0.02			(0.07	)

Less Distributions From:
Net investment income		(0.36	)		(0.37	)		(0.38	)		(0.38	)		(0.38	)

Total Distributions		(0.36	)		(0.37	)		(0.38	)		(0.38	)		(0.38	)

Net Asset Value, End of Year	$	4.24		$	4.15		$	4.14		$	3.77		$	4.13

Total Return⁽²⁾		11.57	%		9.01	%		20.41	%		2.48	%		(1.69	)%
Net Assets, End of Year (millions)	$	269		$	198		$	190		$	153		$	130
Ratios of Average Net Assets:
Gross expenses		0.97	%		0.88	%		0.95	%		0.97	%		0.90	%
Net expenses⁽³⁾		0.81			0.72			0.79			0.81			0.74
Net investment income (loss)		7.58			8.26			9.06			11.24			8.78
Portfolio Turnover Rate		101	%		62	%		74	%		68	%		73	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

149

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

International Fixed Income Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	7.99		$	8.41		$	7.77		$	7.86		$	7.67

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.19			0.23			0.19			0.30			0.32
Net realized and unrealized gain (loss)		0.41			(0.15	)		0.83			0.31			0.05

Total Income from Operations		0.60			0.08			1.02			0.61			0.37

Less Distributions From:
Net investment income		(0.03	)		(0.50	)		(0.38	)		(0.70	)		(0.18	)

Total Distributions		(0.03	)		(0.50	)		(0.38	)		(0.70	)		(0.18	)

Net Asset Value, End of Year	$	8.56		$	7.99		$	8.41		$	7.77		$	7.86

Total Return⁽²⁾		7.53	%		1.21	%		13.55	%		8.54	%		4.90	%
Net Assets, End of Year (millions)	$	431		$	227		$	220		$	197		$	286
Ratios of Average Net Assets:
Gross expenses		0.64	%		0.72	%		0.79	%		0.79	%⁽³⁾		0.70	%⁽³⁾
Net expenses		0.63	⁽⁴⁾		0.72	⁽⁴⁾		0.79			0.79	⁽³⁾		0.70	⁽³⁾
Net investment income (loss)		2.25			2.86			2.44			4.00			4.12
Portfolio Turnover Rate		223	%		150	%		93	%		263	%		263	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

(3)	Ratio includes interest expense on forward sale commitments which represents less than 0.01% and 0.01%, respectively.

(4)	Reflects fee waivers and/or expense reimbursements.

Municipal Bond Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	9.48		$	9.63		$	9.09		$	8.92		$	8.94

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.28			0.30			0.31			0.34			0.33
Net realized and unrealized gain (loss)		0.40			(0.15	)		0.54			0.17			(0.02	)

Total Income (Loss) from Operations		0.68			0.15			0.85			0.51			0.31

Less Distributions From:
Net investment income		(0.28	)		(0.30	)		(0.31	)		(0.34	)		(0.33	)

Total Distributions		(0.28	)		(0.30	)		(0.31	)		(0.34	)		(0.33	)

Net Asset Value, End of Year	$	9.88		$	9.48		$	9.63		$	9.09		$	8.92

Total Return⁽²⁾		7.23	%		1.71	%		9.59	%		5.98	%		3.48	%
Net Assets, End of Year (millions)	$	89		$	88		$	92		$	84		$	101
Ratios of Average Net Assets:
Gross expenses		0.57	%		0.58	%		0.62	%		0.56	%		0.56	%
Net expenses		0.57			0.58			0.62			0.56			0.56
Net investment income (loss)		2.83			3.27			3.39			3.86			3.66
Portfolio Turnover Rate		26	%		20	%		2	%		25	%		26	%

(1)	Per share amounts have been calculated using the average shares method.

(2)

See Notes to Financial Statements.

150

Financial Highlights

(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:

Money Market Investments


	2012			2011			2010			2009			2008
Net asset value, Beginning of Year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.03
Net realized and unrealized gain (loss)		0.00	⁽²⁾		0.00	⁽²⁾		0.01			—			—

Total Income from Operations		0.00			0.00			0.01			0.00			0.03

Less Distributions From:
Net investment income		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		(0.03	)
Net realized gains		—			0.00	⁽²⁾		(0.01	)		—			—

Total Distributions		0.00			0.00			(0.01	)		0.00			(0.03	)

Net Asset Value, End of Year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total Return⁽³⁾		0.02	%		0.01	%		0.85	%		0.49	%		3.10	%
Net Assets, End of Year (millions)	$	238		$	119		$	125		$	292		$	144
Ratios of Average Net Assets:
Gross expenses		0.23	%		0.29	%		0.34	%		0.51	%		0.44	%
Net expenses⁽⁴⁾		0.22			0.21			0.27			0.47			0.42
Net investment income		0.03			0.00			0.01			0.46			3.11

(1)	Per share amounts have been calculated using the average shares method.

(2)	Amounts represent less than $0.01 per share.

(3)

(4)	Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

151

Notes to Financial Statements

1. Organization and Significant Accounting Policies

Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments, High Yield Investments, International Fixed Income Investments, Municipal Bond Investments and Money Market Investments (individually, a “Fund” and collectively, the “Funds”), are each a diversified series of the Consulting Group Capital Markets Funds (the “Trust”) except for International Fixed Income Investments, which is non-diversified. The Trust, a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company.

The following are significant accounting policies consistently followed by the Funds and are in conformity with accounting principles generally accepted in the United States (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ.

(a) Investment Valuation. Each Fund calculates its net asset value (“NAV”) once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally at 4:00 p.m. Eastern time) on each day the NYSE is open. If the NYSE closes early, the Funds may accelerate calculation of NAV. Portfolio securities of Money Market Investments are valued at amortized cost. Portfolio securities for each Fund (other than Money Market Investments) for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the London Stock Exchange.

Exchange-traded options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved broker-dealers are valued using those automated broker-dealer quotations. Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap agreement. Foreign currency contracts are valued using the official closing price for such contracts on the London Stock Exchange.

Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.

Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved pricing service; such valuations are determined by the pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities.

Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by CGAS (the “Manager”).

The Board of Trustees (the “Board”) has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager (the “Valuation Committee”) in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its NAV.

152

Notes to Financial Statements

(continued)

In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, and 3). The three levels of the fair value hierarchy are as follows:

Level 1– unadjusted quoted prices in active markets for identical securities.

Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are unobservable, the values are categorized as Level 3 of the fair value hierarchy.

To the extent these securities are actively traded and valuation adjustments are not applied, common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.

Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as foreign currency contracts, forward currency contracts, options contracts, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted

153

Notes to Financial Statements

(continued)

markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. These securities are categorized as Level 2 of the fair value hierarchy. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.

Securities and other assets for which market quotes are not readily available are valued at fair market value as determined in good faith by the Board or persons acting at their direction and are categorized as Level 3 of the fair value hierarchy.

The valuation techniques used by the Funds to measure fair value during the year ended August 31, 2012, maximized the use of observable inputs and minimized the use of unobservable inputs.

The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.

The following table summarizes the valuation of each Fund’s securities using the fair value hierarchy:


	Total Fair Value at August 31, 2012		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Large Capitalization Growth Investments
Investments, at value
Common Stock:
Consumer Discretionary	$	229,681,711	$	229,681,711	$	—	$	—
Consumer Staples		78,763,712		78,763,712		—		—
Energy		125,594,098		125,594,098		—		—
Financials		73,773,160		73,773,160		—		—
Health Care		202,962,488		202,962,488		—		—
Industrials		145,443,101		145,443,101		—		—
Information Technology		546,316,140		546,316,140		—		—
Materials		67,253,642		67,253,642		—		—
Telecommunication Services		41,615,482		41,615,482		—		—
Warrants:
Energy		750,002		750,002		—		—
Short-term:
Money Market Fund		9,755,298		9,755,298		—		—
Time Deposits		51,720,792		—		51,720,792		—
U.S. Government Agencies		6,414,999		—		6,414,999		—

Total Investments, at value	$	1,580,044,625	$	1,521,908,834	$	58,135,791	$	—

Large Capitalization Value Equity Investments
Investments, at value

154

Notes to Financial Statements

(continued)


	Total Fair Value at August 31, 2012		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Common Stock:
Consumer Discretionary	$	65,664,900	$	65,664,900	$	—	$	—
Consumer Staples		105,180,283		105,180,283		—		—
Energy		163,528,687		163,528,687		—		—
Financials		180,494,804		180,494,804		—		—
Health Care		145,059,876		145,059,876		—		—
Industrials		120,318,149		120,318,149		—		—
Information Technology		128,748,702		128,748,702		—		—
Materials		48,640,728		48,640,728		—		—
Telecommunication Services		37,941,173		37,941,173		—		—
Utilities		39,792,737		39,792,737		—		—
Short-term:
Money Market Fund		22,847,068		22,847,068		—		—
Time Deposits		49,758,389		—		49,758,389		—

Total - Investments, at value	$	1,107,975,496	$	1,058,217,107	$	49,758,389	$	—

Small Capitalization Growth Investments
Investments, at value
Common Stock:
Consumer Discretionary	$	42,234,402	$	42,234,402	$	—	$	—
Consumer Staples		7,982,397		7,982,397		—		—
Energy		17,898,754		17,898,754		—		—
Financials		14,323,736		14,323,736		—		—
Health Care		44,580,300		44,580,300		—		—
Industrials		51,294,062		51,294,062		—		—
Information Technology		53,958,203		53,958,203		—		—
Materials		5,955,743		5,955,743		—		—
Short-term:
Money Market Fund		19,954,594		19,954,594				—
Time Deposits		8,944,947		—		8,944,947		—

Total - Investments, at value	$	267,127,138	$	258,182,191	$	8,944,947	$	—

Small Capitalization Value Equity Investments
Investments, at value
Common Stock:
Consumer Discretionary	$	32,189,022	$	32,189,022	$	—	$	—
Consumer Staples		5,838,094		5,838,094		—		—
Energy		8,806,239		8,806,239		—		—
Financials		40,870,062		40,870,062		—		—
Health Care		9,179,841		9,179,841		—		—
Industrials		42,528,284		42,528,284		—		—
Information Technology		16,731,415		16,731,415		—		—
Materials		21,262,968		21,262,968		—		—
Telecommunication Services		581,528		581,528		—		—
Utilities		6,584,889		6,584,889		—		—
Short-term:

155

Notes to Financial Statements

(continued)


	Total Fair Value at August 31, 2012		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Commercial Paper	$	1,554,971	$	—	$	1,554,971	$	—
Money Market Fund		5,954,665		5,954,665		—		—
Time Deposits		8,720,422		—		8,720,422		—

Total - Investments, at value	$	200,802,400	$	190,527,007	$	10,275,393	$	—

International Equity Investments
Investments, at value
Common Stocks:
United Kingdom	$	92,825,179	$	92,825,179	$	—	$	—
Japan		49,472,335		49,472,335		—		—
Germany		41,856,628		41,856,628		—		—
France		36,908,384		36,908,384		—		—
Switzerland		32,622,260		32,622,260		—		—
Netherlands		18,522,467		18,522,467		—		—
China		14,700,883		14,700,883		—		—
Canada		13,081,156		13,081,156		—		—
Hong Kong		12,232,326		12,232,326		—		—
Other Countries		105,398,422		105,390,085		—		8,337
Preferred Stocks:
Germany		2,248,673		2,248,673		—		—
Australia		20,102		20,102		—		—
Italy		479		479		—		—
Rights:
Singapore		—		—		—		—
Warrants:
Luxembourg		623,565		623,565		—		—
Short-term:
Money Market Fund		6,243,716		6,243,716		—		—
Time Deposits		136,794,204		—		136,794,204		—

Total - Investments, at value	$	563,550,779	$	426,748,238	$	136,794,204	$	8,337

Other Financial Instruments
Forward Foreign Currency Contracts	$	195,849	$	—	$	195,849	$	—

Total - Other Financial Instruments	$	195,849	$	—	$	195,849	$	—

Emerging Markets Equity Investments
Investments, at value
Common Stocks:
South Korea	$	100,456,995	$	100,456,995	$	—	$	—
Brazil		94,184,056		94,184,056		—		—
China		70,662,471		70,662,471		—		—
South Africa		66,406,157		66,406,157		—		—
Russia		59,172,168		59,172,168		—		—
Taiwan		40,334,550		40,334,550		—		—
Turkey		29,103,667		29,103,667		—		—
Mexico		29,063,703		29,063,703		—		—
Indonesia		25,125,170		25,125,170		—		—

156

Notes to Financial Statements

(continued)


	Total Fair Value at August 31, 2012			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Other Countries	$	123,822,098		$	123,822,098		$	—		$	—
Preferred Stocks:
Brazil		9,880,082			9,880,082			—			—
South Korea		1,946,615			1,946,615			—			—
Russia		844,272			844,272			—			—
Short-term:
Money Market Fund		28,945,863			28,945,863			—			—
Time Deposits		39,915,250			—			39,915,250			—

Total - Investments, at value	$	719,863,117		$	679,947,867		$	39,915,250		$	—

Other Financial Instruments
Forward Foreign Currency Contracts	$	(79,912	)	$	—		$	(79,912	)	$	—
Futures Contracts		(236,950	)		(236,950	)		—			—

Total - Other Financial Instruments	$	(316,862	)	$	(236,950	)	$	(79,912	)	$	—

Core Fixed Income Investments
Investments, at value
Mortgage-Backed Securities	$	277,089,680		$	—		$	277,089,680		$	—
Asset-Backed Securities		14,716,413			—			14,716,413			—
Collateralized Mortgage Obligations		147,252,593			—			147,252,593			—
Corporate Bonds & Notes		268,532,409			—			268,532,409			—
Municipal Bonds		16,519,866			—			16,519,866			—
Sovereign Bonds		35,121,705			—			35,121,705			—
U.S. Government & Agency Obligations		218,761,501			—			218,761,501			—
Common Stocks:
Consumer Discretionary		7,246			7,246			—			—
Preferred Stocks:
Financials		657,755			657,755			—			—
Warrants:
Energy		2,119			2,119			—			—
Purchased Options		9,775			9,775			—			—
Short-term:
Commercial Paper		1,374,774			—			1,374,774			—
Money Market Fund		386,546			386,546			—			—
Repurchase Agreements		44,200,000			—			44,200,000			—
Time Deposits		34,073,674			—			34,073,674			—
U.S. Government Agencies		35,495,320			—			35,495,320			—
U.S. Government Obligations		9,206,049			—			9,206,049			—

Total - Investments, at value	$	1,103,407,425		$	1,063,441		$	1,102,343,984		$	—

Other Financial Instruments
Options Written	$	(531,871	)	$	(74,978	)	$	(456,893	)	$	—
Forward Sale Commitments		(31,653,364	)		—			(31,653,364	)		—
Futures Contracts		(468,820	)		(468,820	)		—			—
Forward Currency Contracts		(766,380	)		—			(766,380	)		—
Centrally Cleared Swaps		(637,139	)		—			(637,139	)		—
OTC Credit Default Swaps		629,825			—			629,825			—

157

Notes to Financial Statements

(continued)


	Total Fair Value at August 31, 2012			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
OTC Interest Rate Swaps	$	2,216,693		$	—		$	2,216,693		$	—

Total - Other Financial Instruments	$	(31,211,056	)	$	(543,798	)	$	(30,667,258	)	$	—

High Yield Investments
Investments, at value
Corporate Bonds & Notes	$	212,323,831		$	—		$	212,199,169		$	124,662
Collateralized Mortgage Obligations		187			—			187			—
Senior Loans		1,582,678			—			1,582,678			—
Common Stocks:
Consumer Discretionary		514,636			494,730			—			19,906
Energy		321,939			—			—			321,939
Industrials		243,007			243,007			—			—
Media		25,365			25,365			—			—
Preferred Stocks:
Financials		2,801,911			2,721,325			80,586			—
Convertible Preferred Stock:
Consumer Discretionary		43,450			43,450			—			—
Financials		2,080,390			2,080,390			—			—
Warrants:
Consumer Discretionary		15,803			—			15,803			—
Energy		15,322			15,322			—			—
Financials		41,925			41,925			—			—
Industrials		7,984			—			7,984			—
Exchange Traded Securities		9,634,000			9,634,000			—			—
Short-terms:
Money Market Fund		2,539,760			2,539,760			—			—
Time Deposits		108,324,528			—			108,324,528			—

Total - Investments, at value	$	340,516,716		$	17,839,274		$	322,210,935		$	466,507

International Fixed Income Investments
Investments, at value
Sovereign Bonds:
Japan	$	37,837,621		$	—		$	37,837,621		$	—
United Kingdom		32,091,875			—			32,091,875			—
Italy		24,408,741			—			24,408,741			—
Netherlands		17,910,878			—			17,910,878			—
Germany		17,514,178			—			17,514,178			—
Canada		13,986,776			—			13,986,776			—
Belgium		10,194,462			—			10,194,462			—
South Africa		9,199,543			—			9,199,543			—
Australia		7,689,826			—			7,689,826			—
Other Countries		39,641,792			—			39,641,792			—
Asset-Backed Securities		692,929			—			692,929			—
Collateralized Mortgage Obligations		14,727,227			—			14,727,227			—
Corporate Bonds & Notes:
United States		18,618,912			—			18,618,912			—
South Korea		8,589,155			—			8,589,155			—

158

Notes to Financial Statements

(continued)


	Total Fair Value at August 31, 2012			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Australia	$	4,542,359		$	—	$	4,542,359		$	—
Norway		3,975,617			—		3,975,617			—
United Kingdom		3,747,715			—		3,747,715			—
France		2,516,671			—		2,516,671			—
Netherlands		2,308,144			—		2,308,144			—
Cayman Islands		2,052,500			—		2,052,500			—
Qatar		1,173,000			—		1,173,000			—
Other Countries		3,462,711			—		3,462,711			—
Mortgage-Backed Securities		33,358,297			—		33,358,297			—
Municipal Bonds		4,931,766			—		4,931,766			—
U.S. Government & Agency Obligations		36,647,857			—		36,647,857			—
Purchased Options		79,653			—		79,653			—
Short-Term:
Repurchase Agreements		28,500,000			—		28,500,000			—
Time Deposits		10,702,837			—		10,702,837			—
Sovereign Bond		50,139,059			—		50,139,059			—
U.S. Government Agencies		29,071,789			—		29,071,789			—
U.S. Government Obligations		14,952,116			—		14,952,116			—

Total Investments, at value	$	485,266,006		$	—	$	485,266,006		$	—

Other Financial Instruments
Options Written	$	(539,897	)	$	—	$	(539,897	)	$	—
Forward Sale Commitments		(4,348,945	)		—		(4,348,945	)		—
Futures Contracts		82,287			82,287		—			—
Forward Currency Contracts		(4,345,126	)		—		(4,345,126	)		—
Centrally Cleared Swaps		(60,638	)		—		(60,638	)		—
OTC Credit Default Swaps		375,883			—		375,883			—
OTC Interest Rate Swaps		1,418,234			—		1,418,234			—

Total - Other Financial Instruments	$	(7,418,202	)	$	82,287	$	(7,500,489	)	$	—

Municipal Bond Investments
Investments, at value
Municipal Bonds	$	83,797,902		$	—	$	83,797,902		$	—
Short-Term:
Time Deposits		5,971,246			—		5,971,246			—

Total - Investments, at value	$	89,769,148		$	—	$	89,769,148		$	—

Money Market Investments
Investments, at value
Short-term:
Certificates of Deposit	$	6,900,000		$	—	$	6,900,000		$	—
Commercial Paper		170,622,429			—		170,622,429			—
Time Deposits		3,260,533			—		3,260,533			—
U.S. Government Agencies		35,073,131			—		35,073,131			—
U.S. Government Obligations	$	20,997,173		$	—	$	20,997,173		$	—

Total - Investments, at value	$	236,853,266		$	—	$	236,853,266		$	—

For further information regarding security characteristics, see the Schedules of Investments.

159

Notes to Financial Statements

(continued)

During the period, Emerging Markets Equity Investments had transfers from Level 2 to Level 1 of $20,341,761. These transfers were primarily due to these securities not being actively traded in prior period.

The Funds’ policy is to recognize transfers in and out as of the end of the reporting period. No other Funds had transfers during the period

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value for the year ended August 31, 2012:


	Total			Collateralized Mortgage Obligations			Common Stocks			Corporate Bonds & Notes		Warrants		Convertible Preferred Stocks			Preferred Stocks
International Equity Investments
Balance as of August 31, 2011	$	6,836		$	—		$	6,836		$	—	$	—	$	—		$	—
Total realized gain (loss)		(74,608	)		—			(74,608	)		—		—		—			—
Change in unrealized appreciation (depreciation)		67,929			—			67,929			—		—		—			—
Purchases		10,530			—			10,530			—		—		—			—
(Sales)		(2,350	)		—			(2,350	)		—		—

Balance as of August 31, 2012	$	8,337		$	—		$	8,337		$	—	$	—	$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2012	$	291		$	—		$	291		$	—	$	—	$	—		$	—

Core Fixed Income Investments
Balance as of August 31, 2011	$	—		$	—		$	—		$	—	$	—	$	—		$	—
Total realized gain (loss)		(5,984	)		—			—			—		—		(5,984	)		—
Change in unrealized appreciation (depreciation)		5,985			—			—			—		—		5,985			—
Purchases		—			—			—			—		—		—			—
(Sales)		(1	)		—			—			—		—		(1	)		—

Balance as of August 31, 2012	$	—		$	—		$	—		$	—	$	—	$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2012	$	—		$	—		$	—		$	—	$	—	$	—		$	—

High Yield Investments
Balance as of August 31, 2011	$	312,869		$	4,584		$	277,453		$	14	$	30,746	$	—		$	72
Total realized gain (loss)		41,792			12,002			18,144			—		—		—			11,646
Accrued discounts/premiums		1,531			438			—			1,093		—		—			—
Paydown		(51,667	)		(51,667	)		—			—		—		—			—

160

Notes to Financial Statements

(continued)


	Total			Collateralized Mortgage Obligations			Common Stocks			Corporate Bonds & Notes			Warrants			Convertible Preferred Stocks		Preferred Stocks
Change in unrealized appreciation (depreciation)	$	115,736		$	34,830		$	44,486		$	(1,715	)	$	13,473		$	—	$	24,662
Purchases		145,176			—			19,906			125,270			—			—		—
(Sales)		(56,820	)		—			(18,144	)		—			(2,296	)		—		(36,380	)
Transfers in		—			—			—			—			—			—		—
Transfers Out		(42,110	)		(187	)		—			—			(41,923	)		—		—

Balance as of August 31, 2012	$	466,507		$	—		$	341,845		$	124,662		$	—		$	—	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2012	$	56,875		$	—		$	58,576		$	(1,701	)	$	—		$	—	$	—

The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at August 31, 2012:


	Fair Value at August 31, 2012		Valuation Technique(s)	Unobservable Input(s)	Range (Weighted Average)
International Equity Investments
Common Stocks	$	8,337	Market Comparable	Affiliated series	N/A
Emerging Markets Equity Investments
Common Stocks		—	Market Comparable	Affiliated series	N/A
Core Fixed Income Investments
Convertible Preferred Stocks		—	Market Comparable	Affiliated series	N/A
High Yield Investments
Common Stocks		321,939	Market Comparable	TEV/EBITDA multiple	3.3X-8.3X (6.0X)
		19,906	Cost	N/A	N/A
Corporate Bonds and Notes		124,662	Yield Analysis	Spread over yield	7.56%

A significant increase (decrease) in the TEV/EBITDA multiple or the spread over yield would result in a significantly higher (lower) fair value measurement.

(b) Accounting for Derivative Instruments. Relevant authoritative accounting guidance establishes disclosure requirements for derivative instruments and hedging activities. It requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

It also requires enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives.

All open derivative positions at year-end for each Fund are disclosed in Note 3.

Following is a description of the derivative instruments utilized by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type:

(i) Futures Contracts. Certain Funds may enter into financial futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a financial futures contract, a Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated as collateral up to the current market

161

Notes to Financial Statements

(continued)

value of the financial futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments. The Fund recognizes an unrealized gain or loss equal to the variation margin. When the financial futures contracts are closed, a realized gain or loss is recognized equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.

The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Fund could lose more than the original margin deposit and subsequent payments required for a futures transaction.

(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.

A risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(iii) Purchased Options. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.

A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.

(iv) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

162

Notes to Financial Statements

(continued)

(v) Swaptions. Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.

When a Fund writes a swaption, the premium received is recorded as a liability and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Assets and Liabilities and Statements of Operations. Gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.

Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.

(vi) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.

An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund, is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or loss at the termination of the swap.

Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.

(vii) Credit Default Swaps. Certain Funds enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.

Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.

For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.

163

Notes to Financial Statements

(continued)

Entering into credit default swaps involves, to varying degrees, elements of credit, market and documentation risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve documentation risk, which is the risk that the swap agreements fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.

(viii) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage.

Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in two interest rates, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain / (loss) from swap contracts on the Statement of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.

The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact the Fund.

(ix) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to a the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse; the margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.

The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure:

International Equity Investments

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2012:


Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Unrealized appreciation on forward foreign currency contracts (c)	$	—	$	195,849	$	—	$	—	$	195,849

	$	—	$	195,849	$	—	$	—	$	195,849

Effect of Derivative Instruments on the Statement of Operations for the Year Ended August 31, 2012:


Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on forward foreign currency contracts	$	—	$	389,198	$	—	$	—	$	389,198

	$	—	$	389,198	$	—	$	—	$	389,198

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)

164

Notes to Financial Statements

(continued)

Effect of Derivative Instruments on the Statement of Operations for the Year Ended August 31, 2012:


Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts	$	—	$	532,079	$	—	$	—	$	532,079

	$	—		$532,079	$	—	$	—	$	532,079

Emerging Markets Equity Investments

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2012:


Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk			Total
Asset derivatives
Variation margin on open futures contracts (b)	$	—	$	—	$	—	$	1,723,264		$	1,723,264
Unrealized appreciation on forward foreign currency contracts (c)		—		164,053		—		—			164,053

	$	—	$	164,053	$	—	$	1,723,264		$	1,887,317

Liability derivatives
Unrealized depreciation on forward foreign currency contracts (a)	$	—		243,965	$	—	$	—		$	243,965

	$	—	$	243,965	$	—	$	—	��	$	243,965

Effect of Derivative Instruments on the Statement of Operations for the Year Ended August 31, 2012:


Location	Interest rate risk		Foreign exchange risk			Credit risk		Equity risk			Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on futures contracts	$	—	$	—		$	—	$	(20,793	)	$	(20,793	)
Net realized gain (loss) on forward foreign currency contracts		—		(385,774	)		—		—			(385,774	)

	$	—		(385,774	)	$	—	$	(20,793	)	$	(406,567	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on futures contracts	$	—	$	—		$	—	$	(507,434	)	$	(507,434	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—		(154,503	)		—		—			(154,503	)

	$	—		(154,503	)	$	—	$	(507,434	)	$	(661,937	)

165

Notes to Financial Statements

(continued)

Core Fixed Income Investments

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2012:


Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased Options (c)	$	9,775	$	—	$	—	$	—	$	9,775
Variation margin on open futures contracts (b)		348,682		—		—		—		348,682
Unrealized appreciation on forward foreign currency contracts (c)		—		337,304		—		—		337,304
Unrealized appreciation on centrally cleared swaps (f)		160,267		—		—		—		160,267
Swap contracts, at value (c)		2,313,737		—		779,896		—		3,093,633

	$	2,832,461	$	337,304	$	779,896	$	—	$	3,949,661
			��
Liability derivatives
Options contracts written outstanding (a)	$	531,871	$	—	$	—	$	—	$	531,871
Unrealized depreciation on forward foreign currency contracts (a)		—		1,103,684		—		—		1,103,684
Unrealized depreciation on centrally cleared swaps (f)		—		—		797,406		—		797,406
Swap contracts, at value (a)		97,044		—		150,071		—		247,115

	$	628,915	$	1,103,684	$	947,477	$	—	$	2,680,076

Effect of Derivative Instruments on the Statement of Operations for the Year Ended August 31, 2012:


Location	Interest rate risk			Foreign exchange risk		Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(24,824	)	$	—	$	—		$	—	$	(24,824	)
Net realized gain (loss) on futures contracts		2,713,496			—		—			—		2,713,496
Net realized gain (loss) on options written		747,667			—		107,810			—		855,477
Net realized gain (loss) on swaps contracts		(636,648	)		—		36,849			—		(599,799	)
Net realized gain (loss) on forward foreign currency contracts		—			1,360,739		—			—		1,360,739

	$	2,799,691		$	1,360,739	$	144,659		$	—	$	4,305,089

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	(156,307	)	$	—	$	—		$	—	$	(156,307	)
Net change in unrealized appreciation (depreciation) on futures contracts		(2,557,767	)		—		—			—		(2,557,767	)
Net change in unrealized appreciation (depreciation) on options written		(112,353	)		—		(15,612	)		—		(127,965	)
Net change in unrealized appreciation (depreciation) on swaps contracts		1,424,836			—		(523,970	)		—		900,866
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			311,475		—			—		311,475

	$	(1,401,591	)	$	311,475	$	(539,582	)	$	—	$	(1,629,698	)

166

Notes to Financial Statements

(continued)

International Fixed Income Investments

Fair Values of Derivative Instruments on the Statement of Assets and Liabilities as of August 31, 2012:


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased Options (c)	$	79,653	$	—	$	—	$	—	$	79,653
Variation margin on open futures contracts (b)		51,050		—		—		—		51,050
Unrealized appreciation on forward foreign currency contracts (c)		—		1,535,250		—		—		1,535,250
Unrealized appreciation on centrally cleared swaps (f)		315,577		—		—		—		315,577
Swap contracts, at value (c)		1,418,234		—		524,363		—		1,942,597

	$	1,864,514	$	1,535,250	$	524,363	$	—	$	3,924,127

Liability derivatives
Options contracts written outstanding (a)	$	539,897	$	—	$	—	$	—	$	539,897
Unrealized depreciation on forward foreign currency contracts (a)		—		5,880,376		—		—		5,880,376
Unrealized depreciation on centrally cleared swaps (f)		376,215		—		—		—		376,215
Swap contracts, at value (a)		—		—		148,480		—		148,480

	$	916,112	$	5,880,376	$	148,480	$	—	$	6,944,968

Effect of Derivative Instruments on the Statement of Operations for the Year Ended August 31, 2012:


Location	Interest rate risk			Foreign exchange risk			Credit risk			Equity risk		Total
Realized gain/(loss) on derivatives recognized in income (d)
Net realized gain (loss) on purchased options	$	(25,407	)	$	—		$	—		$	—	$	(25,407	)
Net realized gain (loss) on futures contracts		4,795,591			—			—			—		4,795,591
Net realized gain (loss) on options contracts written		267,162			—			—			—		267,162
Net realized gain (loss) on swaps contracts		(524,827	)		—			(549,468	)		—		(1,074,295	)
Net realized gain (loss) on forward foreign currency contracts		—			18,161,028			—			—		18,161,028

	$	4,512,519		$	18,161,028		$	(549,468	)	$	—	$	22,124,079

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	(101,787	)	$	—		$	—		$	—	$	(101,787	)
Net change in unrealized appreciation (depreciation) on futures contracts		(1,379,096	)		—			—			—		(1,379,096	)
Net change in unrealized appreciation (depreciation) on options contracts written		(7,030	)		—			—			—		(7,030	)
Net change in unrealized appreciation (depreciation) on swaps contracts		1,235,728			—			574,766			—		1,810,494
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			(3,554,107	)		—			—		(3,554,107	)

	$	(252,185	)	$	(3,554,107	)	$	574,766		$	—	$	(3,231,526	)

(a)	Statements of Assets and Liabilities location: Payable for open forward foreign currency contracts, swap contracts, at value, or options contracts written.

(b)	Only variation margin, if any, reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in “Open Future Contracts” table (see Note 3).

(c)	Statements of Assets and Liabilities location: Investments, at value, receivable for open forward foreign currency contracts or unrealized appreciation on swap contracts, at value.

167

Notes to Financial Statements

(continued)

(d)	Statements of Operations location: Net realized gain (loss) from investment transactions, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(e)	Statements of Operations location: Change in net unrealized appreciation (depreciation) from investment transactions, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(f)	Only variation margin, if any, reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in “Open Swap Contracts” table (see Note 3).

The average notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the average market value of options contracts written and purchased options outstanding during the year ended August 31, 2012, were approximately as follows:

International Equity Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Forward foreign currency contracts	$	—	$	10,052,901	$	—	$	—	$	10,052,901

Emerging Markets Equity Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Futures contracts	$	—	$	—	$	—	$	11,646,856	$	11,646,856
Forward foreign currency contracts		—		7,815,055		—		—		7,815,055

Core Fixed Income Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased Options	$	37,462	$	—	$	—	$	—	$	37,462
Futures contracts		135,647,589		—		—		—		135,647,589
Option contracts written		323,827		—		14,403		—		338,230
Swaps contracts		110,859,231		—		36,229,994		—		147,089,225
Forward foreign currency contracts		—		115,923,272		—		—		115,923,272

International Fixed Income Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased Options	$	54,749	$	—	$	—	$	—	$	54,749
Futures contracts		65,144,459		—		—		—		65,144,459
Option contracts written		271,731		—		—		—		271,731
Swaps contracts		1,346,746,154		—		43,157,692		—		1,389,903,846
Forward foreign currency contracts		—		333,858,539		—		—		333,858,539

(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.

168

Notes to Financial Statements

(continued)

(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped securities can be principal-only securities, which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity.

The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.

(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Funds.

(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian whereby the custodian may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. Such collateral is maintained at all times in an amount at least equal to the current market value of the loaned securities, plus a margin which varies depending on the type of securities loaned. All collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for securities on loan on the Funds’ Statement of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. The Funds have the right under the securities lending agreement to recover any loaned securities from the borrower on demand. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due.

At August 31, 2012, the aggregate market value of the loaned securities and the value of the collateral each Fund received were as follows:

Loaned Securities


Fund	Market Value of Securities on Loan		Value of Collateral Held
Large Capitalization Growth Investments	$	9,569,391	$	9,755,298
Large Capitalization Value Equity Investments		22,465,976		22,847,068
Small Capitalization Growth Investments		19,763,710		19,954,594
Small Capitalization Value Equity Investments		5,834,748		5,954,665
International Equity Investments		6,089,464		6,243,716
Emerging Markets Equity Investments		27,685,842		28,945,863
Core Fixed Income Investments		378,081		386,546
High Yield Investments		2,464,362		2,539,760

(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked to market on a daily basis and are subject to market fluctuations.

169

Notes to Financial Statements

(continued)

Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption “Schedule of Forward Sale Commitments”. The proceeds and value of these commitments are reflected in the Statement of Assets and Liabilities.

(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.

The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.

(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions.

Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.

(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

(k) Foreign Risk. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

170

Notes to Financial Statements

(continued)

(l) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional interest income accruals and consider the Fund’s ability to realize interest accrued up to the date of default.

(m) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(n) Distributions to Shareholders. Distributions from net investment income for Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments and International Fixed Income Investments, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Investments, High Yield Investments and Municipal Bond Investments, if any, are declared and paid on a monthly basis. Distributions on the shares of Money Market Investments are declared each business day to shareholders of record that day, and are paid on the last business day of the month.

The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(o) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2012 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

(p) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

171

Notes to Financial Statements

(continued)


Fund		Undistributed (Dividend in excess of) Net Investment Income			Undistributed Realized Gains/ (Accumulated Net Realized Losses)			Paid-in Capital
Large Capitalization Growth Investments	(a)	$	(53,258	)	$	53,257		$	1
Large Capitalization Value Equity Investments	(a)		(334,313	)		334,311			2
Small Capitalization Growth Investments	(a),(b)		297,670			2,098			(299,768	)
Small Capitalization Value Equity Investments	(a)		59,004			(59,004	)		—
International Equity Investments	(c),(e)		382,457			(382,457	)		—
Emerging Markets Equity Investments	(c),(e)		(1,217,971	)		1,217,755			216
Core Fixed Income Investments	(d),(f),(g)		8,315,606			(8,253,631	)		(61,975	)
High Yield Investments	(f)		659,229			(659,229	)		—
International Fixed Income Investments	(d),(e),(g)		23,284,153			(23,362,124	)		77,971
Municipal Bond Investments	(d)		1			—			(1	)
Money Market Investments			—			—			—

(a)	Reclassifications are primarily due to book/tax differences in the treatment of distributions from real estate investment trusts.

(b)	Reclassifications are primarily due to a tax net operating loss.

(c)	Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes, and book/tax differences in the treatment of passive foreign investment companies.

(d)	Reclassifications are primarily due to differences between book and tax amortization of premium on fixed income securities.

(e)	Reclassifications are primarily due to Brazilian IOF Tax reclass.

(f)	Reclassifications are primarily due to defaulted bond interest reclass.

(g)	Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes.

(q) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by Manager and/or Sub-adviser pursuant to procedures approved by the Board of Trustees. The value of restricted securities is determined as described in Note 1(a).

(r) Indemnification. In the normal course of business, the Trust may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.

2. Investment Management Agreement and Other Transactions with Affiliates

CGAS, a business of MSSBH, serves as the investment manager (“Manager”) to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser a subadvisory fee from its investment management fees.

The maximum allowable investment management fee represents the total amount that could be charged to each Fund. The aggregate fees paid by CGAS to each Fund’s Sub-advisers and the fees retained by CGAS for the year ended August 31, 2012, are indicated below:


	Subadvisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fee
Large Capitalization Growth Investments		0.37	%		0.23	%		0.60	%
Large Capitalization Value Equity Investments		0.32	%		0.28	%		0.60	%
Small Capitalization Growth Investments		0.49	%		0.30	%		0.80	%
Small Capitalization Value Equity Investments		0.49	%		0.30	%		0.80	%
International Equity Investments		0.40	%		0.30	%		0.70	%

172

Notes to Financial Statements

(continued)


	Subadvisory Fee			Consulting Group Advisory Services LLC Fee			Maximum Allowable Annual Management Fee
Emerging Markets Equity Investments		0.47	%		0.30	%		0.90	%
Core Fixed Income Investments		0.20	%		0.20	%		0.40	%
High Yield Investments		0.29	%		0.25	%		0.70	%
International Fixed Income Investments		0.24	%		0.25	%		0.50	%
Municipal Bond Investments		0.20	%		0.20	%		0.40	%
Money Market Investments *		0.08	%		0.00	%		0.08	%

*	The Manager voluntarily waived and/or reimbursed certain fees or expense to maintain a positive net yield. For the year ended August 31, 2012, the Manager reimbursed the Fund $24,909.

The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2012, the amounts waived and/or reimbursed by the Manager were as follows:


Fund
Small Capitalization Growth Investments	$	23,397
Small Capitalization Value Equity Investments		20,926
International Equity Investments		23,977
Emerging Markets Equity Investments		945,932
Core Fixed Income Investments		52,640
High Yield Investments		226,582
International Fixed Income Investments		35,061
Money Market Investments		24,909

Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund. BBH voluntarily agreed to waive a portion of its fee for Money Market Investments. As of the period ended August 31, 2012, BBH waived $4,276.

For the year ended August 31, 2012, Citigroup Global Markets Inc. (“CGMI”), the Trust’s distributor until May 31, 2012, and an indirect, wholly-owned subsidiary of Citigroup Inc., and its affiliates, and Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor since May 31, 2012, received brokerage commissions of:


Fund	Commission Dollars to CGMI		Commission Dollars to MS&Co.		Commission Aggregate
Large Capitalization Growth Investments	$	32,921	$	37,279	$	70,200
Large Capitalization Value Equity Investments		3,787		10,018		13,805
Small Capitalization Growth Investments		1,845		3,718		5,563
Small Capitalization Value Investments		—		375		375
International Equity Investments		1,179		4,541		5,720
Emerging Markets Equity Investments		24,412		33,059		57,471

All officers, with the exception of the Funds’ Chief Compliance Officer (“CCO”), do not receive compensation directly from the Trust. The Funds bear a portion of the CCO’s annual compensation.

173

Notes to Financial Statements

(continued)

3.	Investments

During the year ended August 31, 2012, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:


	Investments				U.S. Government & Agency Obligations
Fund	Purchases		Sales		Purchases		Sales
Large Capitalization Growth Investments	$	1,027,304,277	$	1,411,869,634	$	—	$	—
Large Capitalization Value Equity Investments		352,091,198		606,935,741		—		—
Small Capitalization Growth Investments		169,640,045		220,147,487		—		—
Small Capitalization Value Equity Investments		46,367,964		100,759,932		—		—
International Equity Investments		270,099,997		340,552,688		—		—
Emerging Markets Equity Investments		284,303,893		377,031,489		—		—
Core Fixed Income Investments		1,103,331,665		1,091,838,824		3,763,851,042		3,793,048,231
High Yield Investments		199,444,059		137,952,473		—		—
International Fixed Income Investments		265,081,878		169,472,745		587,901,055		528,307,816
Municipal Bond Investments		24,438,696		25,257,808		—		—

At August 31, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

Unrealized Appreciation (Depreciation)


Fund	Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Large Capitalization Growth Investments	$	440,985,098	$	(47,878,818	)	$	393,106,280
Large Capitalization Value Equity Investments		199,408,148		(58,331,751	)		141,076,397
Small Capitalization Growth Investments		59,993,123		(11,278,675	)		48,714,448
Small Capitalization Value Equity Investments		54,512,954		(7,305,138	)		47,207,816
International Equity Investments		58,699,900		(31,512,869	)		27,187,031
Emerging Markets Equity Investments		158,597,011		(82,167,617	)		76,429,394
Core Fixed Income Investments		56,645,592		(19,421,596	)		37,223,996
High Yield Investments		8,491,922		(3,576,462	)		4,915,460
International Fixed Income Investments		18,832,237		(6,154,784	)		12,677,453
Municipal Bond Investments		7,831,528		(5,670	)		7,825,858

At August 31, 2012, Emerging Markets Equity Investments, Core Fixed Income Investments and International Fixed Income Investments had open exchange traded futures contracts as described below. The unrealized gain (loss) on the open contracts reflected in the accompanying financial statements were as follows:


Emerging Markets Equity Investments	Number of Contracts		Expiration Date		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
FTSE^® Bursa Malaysia KLCI Index		91		9/12	$	2,395,503	$	(6,519	)
FTSE^®/JSE Top 40 Index		54		9/12		2,001,452		76,934
Hang Seng China Enterprises Index		90		9/12		5,352,101		(181,589	)
Mini MSCI Emerging Markets Index		129		9/12		6,110,085		(17,415	)
TurkDEX-ISE 30 Index		772		10/12		3,506,291		34,988

								(93,601	)

Contracts to Sell:
KOSPI 200^® Index		20		9/12		2,206,246		(143,349	)

174

Notes to Financial Statements

(continued)


Emerging Markets Equity Investments	Number of Contracts	Expiration Date	Market Value	Unrealized Gain (Loss)
Net Unrealized (Loss) on Open Futures Contracts				$	(236,950	)


Core Fixed Income Investments	Number of Contracts		Expiration Date		Market Value			Unrealized Gain (Loss)
Contracts to Buy:
90-Day Eurodollar March Futures		45		3/13	$	11,210,063		$	29,666
U.S. Treasury Long Bond		1		12/12		151,406			1,375
U.S. Treasury Ultra Bond		12		12/12		2,028,000			25,742

									56,783

Contracts to Sell:
90-Day Eurodollar March Futures		45		3/14		11,201,625			(29,912	)
U.S. Treasury 10-Year Note		304		12/12		40,650,500			(316,919	)
U.S. Treasury 2-Year Note		161		12/12		35,513,077			(22,640	)
U.S. Treasury 5-Year Note		173		12/12		21,566,883			(156,132	)

									(525,603	)
							��
Net Unrealized (Loss) on Open Futures Contracts								$	(468,820	)

At August 31, 2012, Core Fixed Income Investments had deposited $14,000 with a broker or brokers as margin collateral.


International Fixed Income Investments	Number of Contracts		Expiration Date		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
Euro-Bund		55		12-Sep	$	9,963,555	$	(101,697	)
Japan Government 10-Year Bond		21		12-Sep		38,613,292		181,319
United Kingdom Long Gilt		4		12-Dec		767,404		2,665

Net Unrealized Gain on Open Futures Contracts							$	82,287

At August 31, 2012, International Fixed Income Investments had deposited $6,000 with a broker or brokers as margin collateral.

During the year ended August 31, 2012, options contracts written transactions for Core Fixed Income Investments and International Fixed Income Investments were as follows:


Core Fixed Income Investments	Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2011		86,200,146		$	742,479
Options written		32,800,791			855,246
Options closed		(31,500,482	)		(568,267	)
Options expired		(54,700,072	)		(384,811	)

Options contracts written, outstanding at August 31, 2012		32,800,383		$	644,647


International Fixed Income Investments	Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2011		55,800,004		$	249,865
Options written		93,700,000			771,395
Options closed		(34,600,004	)		(311,176	)
Options expired		(33,000,000	)		(56,615	)

Options contracts written, outstanding at August 31, 2012		81,900,000		$	653,469

175

Notes to Financial Statements

(continued)

At August 31, 2012, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments and International Fixed Income Investments had open forward foreign currency contracts as described below. The unrealized gain (loss) on the open contracts reflected in the accompanying financial statements were as follows:

International Equity Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Brazilian Real		1,856,678		BBH	$	914,462		9/4/12	$	6,729
South African Rand		1,768,990		BBH		210,848		9/6/12		2,142

										8,871

Contracts to Sell:
Euro		6,054,600		SSB		7,621,477		11/8/12		186,978

Net Unrealized Gain on Open Forward Foreign Currency Contracts									$	195,849

Emerging Markets Equity Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Malaysian Ringgit		6,252,000		DUB	$	1,998,616		9/21/2012	$	(1,384	)
Mexican Peso		54,130,000		RBS		4,081,520		9/21/2012		164,023
South African Rand		45,142		BBH		5,381		9/4/2012		30
South African Rand		13,099,040		CSFB		1,558,087		9/21/2012		(41,913	)
Turkish Lira		5,040,560		GSC		2,767,970		9/21/2012		(32,030	)

										88,726

Contracts to Sell:
Korean Won		3,065,985,000		UBS		2,701,975		9/21/2012		(1,975	)
Mexican Peso		54,130,000		RBC		4,081,519		9/21/2012		(165,105	)
South African Rand		4,570,881		BBH		544,882		9/4/2012		(1,558	)

										(168,638	)

Net Unrealized (Loss) on Open Forward Foreign Currency Contracts									$	(79,912	)

Core Fixed Income Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Brazilian Real		2,984,000		JPM	$	1,454,283.00		11/16/2012	$	1,932
Euro		2,276,000		HSBC		2,863,073		9/14/2012		59,895
Euro		90,000		UBS		113,215		9/14/2012		2,464
Japanese Yen		12,836,000		JPM		163,907		9/10/2012		1,710
Japanese Yen		39,087,000		UBS		499,114		9/10/2012		2,791
Malaysian Ringgit		37,770		HSBC		12,052		10/16/2012		176
Mexican Peso		237,214		DUB		17,764		12/3/2012		(77	)
Mexican Peso		34,026,180		HSBC		2,548,102		12/3/2012		35,275

176

Notes to Financial Statements

(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
New Taiwan Dollar		64,005,160		BCLY	$	2,142,671		11/30/2012	$	(29,204	)
Norwegian Krone		7,469,000		DUB		1,283,969		11/21/2012		12,065
Pound Sterling		67,000		JPM		106,271		9/12/2012		2,071
Yuan Renminbi		7,449,727		DUB		1,161,727		2/1/2013		(15,858	)
Yuan Renminbi		3,117,681		GSC		486,178		2/1/2013		(10,822	)
Yuan Renminbi		9,881,487		JPM		1,540,941		2/1/2013		(21,208	)
Yuan Renminbi		45,026,021		UBS		7,021,456		2/1/2013		(121,563	)
Yuan Renminbi		1,000,000		DUB		154,623		8/5/2013		(5,020	)
Yuan Renminbi		1,161,380		UBS		179,576		8/5/2013		(4,333	)

										(89,706	)

Contracts to Sell:
Australian Dollar		7,494,000		BOA		7,733,132		9/20/2012		165,544
Brazilian Real		4,568,591		UBS		2,240,091		10/2/2012		11,445
Canadian Dollar		150,000		BCLY		152,037		9/20/2012		(5,943	)
Canadian Dollar		8,144,000		UBS		8,254,595		9/20/2012		(331,722	)
Canadian Dollar		2,888,000		WBK		2,927,219		9/20/2012		(22,210	)
Euro		9,000		BNP		11,321		9/14/2012		(343	)
Euro		12,506,000		DUB		15,731,807		9/14/2012		(92,116	)
Euro		94,000		RBC		118,246		9/14/2012		(2,525	)
Euro		2,050,000		JPM		2,580,044		10/25/2012		(48,499	)
Euro		5,149,729		CSFB		6,481,234		10/25/2012		(121,627	)
Euro		7,100,000		JPM		8,976,683		9/13/2013		(172,543	)
Euro		216,000		JPM		273,220		10/11/2013		(11,228	)
Indian Rupee		1,213,607		HSBC		21,730		10/3/2012		(834	)
Japanese Yen		84,039,000		DUB		1,073,121		9/10/2012		1,066
Korean Won		32,762,100		BCLY		28,860		9/28/2012		(645	)
New Taiwan Dollar		63,645,600		UBS		2,130,635		11/30/2012		5,365
Pound Sterling		1,756,000		BNP		2,785,259		9/12/2012		(70,130	)
Pound Sterling		931,000		CSFB		1,476,634		9/25/2012		(15,215	)
Pound Sterling		924,000		CSFB		1,465,399		10/25/2012		259
Singapore Dollar		2,785		RBS		2,232		10/22/2012		(19	)
Yuan Renminbi		48,053,377		BNP		7,544,688		10/15/2012		24,442
Yuan Renminbi		370,968		HSBC		57,850		2/1/2013		150
Yuan Renminbi		13,105,890		RBS		2,043,761		2/1/2013		7,239
Yuan Renminbi		5,678,932		UBS		885,585		2/1/2013		3,415

										(676,674	)

Net Unrealized (Loss) on Open Forward Foreign Currency Contracts									$	(766,380	)

International Fixed Income Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Brazilian Real		169,838		HSBC	$	83,276.00		10/2/2012	$	1,276
Brazilian Real		1,259,188		UBS		617,411		10/2/2012		6,411
Canadian Dollar		2,798,000		RBS		2,835,997		9/20/2012		1,144

177

Notes to Financial Statements

(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Chilean Peso		40,660,000		HSBC	$	85,344		1/9/2013	$	5,115
Colombian Peso		1,430,520,000		JPM		772,817		12/12/2012		(7,183	)
Colombian Peso		334,800,000		UBS		180,871		12/12/2012		871
Euro		11,402,000		BCLY		14,342,012		9/4/2012		63,287
Euro		355,000		BNP		446,537		9/4/2012		3,765
Euro		25,075,000		JPM		31,540,603		9/4/2012		36,373
Euro		36,477,000		GSC		45,882,615		9/4/2012		264,479
Euro		86,000		BCLY		108,204		10/2/2012		671
Hungarian Forint		18,313,392		BCLY		80,232		11/14/2012		232
Hungarian Forint		27,670,800		DUB		121,228		11/14/2012		1,228
Hungarian Forint		183,128,477		JPM		802,298		11/14/2012		(5,396	)
Indian Rupee		12,359,000		BCLY		221,291		10/3/2012		1,291
Indonesian Rupiah		3,735,400,000		BCLY		383,098		1/30/2013		3,098
Indonesian Rupiah		1,459,915,000		DUB		149,727		1/30/2013		(1,273	)
Indonesian Rupiah		7,125,000,000		JPM		730,732		1/30/2013		7,381
Japanese Yen		237,444,000		BNP		3,031,998		9/10/2012		39,978
Japanese Yen		560,427,000		JPM		7,156,271		9/10/2012		128,092
Japanese Yen		1,189,991,000		UBS		15,195,374		9/10/2012		87,403
Korean Won		231,550,000		BCLY		203,971		9/28/2012		4,557
Malaysian Ringgit		1,377,772		BCLY		439,647		10/16/2012		(353	)
Malaysian Ringgit		234,041		DUB		74,683		10/16/2012		683
Malaysian Ringgit		8,521,305		HSBC		2,719,150		10/16/2012		39,747
Malaysian Ringgit		295,368		JPM		94,252		10/16/2012		1,252
Mexican Peso		6,195,919		DUB		463,991		12/3/2012		3,991
Mexican Peso		5,306,115		HSBC		397,356		12/3/2012		5,501
New Taiwan Dollar		50,320,000		BCLY		1,684,539		11/30/2012		(22,960	)
Peruvian Sol		560,735		UBS		213,461		12/12/2012		3,461
Philippine Peso		1,691,200		BCLY		40,070		10/31/2012		70
Philippine Peso		25,998,200		JPM		615,983		10/31/2012		5,983
Polish Zloty		1,447,738		DUB		432,700		11/14/2012		2,700
Polish Zloty		3,017,409		UBS		901,843		11/14/2012		26,216
Pound Sterling		202,000		JPM		320,400		9/12/2012		4,860
Pound Sterling		7,066,000		RBC		11,207,654		9/12/2012		144,842
Russian Ruble		10,066,230		BOA		310,827		9/27/2012		827
Russian Ruble		1,348,310		DUB		41,633		9/27/2012		633
Russian Ruble		623,800		HSBC		19,262		9/27/2012		262
Russian Ruble		90,826,095		JPM		2,804,541		9/27/2012		87,542
Singapore Dollar		510,804		JPM		409,339		10/22/2012		2,699
Singapore Dollar		29,557		RBS		23,686		10/22/2012		199
South African Rand		815,000		BCLY		96,470		10/26/2012		(897	)
South African Rand		332,692		JPM		39,380		10/26/2012		(316	)
South African Rand		3,354,869		DUB		397,108		10/26/2012		804
Thai Baht		8,491,500		BCLY		270,914		10/30/2012		914
Thai Baht		1,899,900		HSBC		60,615		10/30/2012		615
Thai Baht		16,183,525		UBS		516,321		10/30/2012		7,805
Turkish Lira		286,966		BCLY		157,934		9/4/2012		666
Turkish Lira		92,175		DUB		50,365		10/24/2012		365

178

Notes to Financial Statements

(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Turkish Lira		6,374,739		HSBC	$	3,483,215		10/24/2012	$	33,058
Turkish Lira		771,859		JPM		421,751		10/24/2012		1,751
Yuan Renminbi		63,560		DUB		9,979		10/15/2012		(21	)
Yuan Renminbi		383,418		BCLY		59,791		2/1/2013		(209	)
Yuan Renminbi		3,832,200		HSBC		597,602		2/1/2013		(2,398	)
Yuan Renminbi		46,411,603		JPM		7,237,527		2/1/2013		(24,527	)
Yuan Renminbi		11,502,158		UBS		1,793,672		2/1/2013		(6,776	)
Yuan Renminbi		3,000,000		DUB		463,868		8/5/2013		(15,059	)
Yuan Renminbi		10,260,000		UBS		1,586,429		8/5/2013		(38,274	)
Yuan Renminbi		14,100,000		JPM		2,119,962		9/8/2015		(176,455	)

										732,001

Contracts to Sell:
Australian Dollar		13,931,000		BOA		14,375,535		9/20/2012		307,739
Australian Dollar		100,000		BOA		102,987		10/11/2012		163
Brazilian Real		2,059,391		UBS		1,009,769		10/2/2012		5,159
Canadian Dollar		2,789,000		JPM		2,826,874		9/20/2012		(8,621	)
Canadian Dollar		16,145,000		UBS		16,364,248		9/20/2012		(621,732	)
Colombian Peso		56,606,000		UBS		30,581		12/12/2012		419
Euro		36,561,000		BNP		45,988,274		9/4/2012		(1,175,932	)
Euro		98,000		JPM		123,269		9/4/2012		(2,165	)
Euro		88,000		HSBC		110,691		9/4/2012		(2,768	)
Euro		36,562,000		RBS		45,989,532		9/4/2012		(1,129,896	)
Euro		11,402,000		BCLY		14,345,838		10/2/2012		(62,609	)
Euro		25,075,000		JPM		31,549,016		10/2/2012		(34,931	)
Euro		36,477,000		GSC		45,894,853		10/2/2012		(262,309	)
Indonesian Rupiah		3,002,180,000		DUB		307,900		1/30/2013		(2,955	)
Indonesian Rupiah		868,803,700		JPM		89,104		1/30/2013		482
Indonesian Rupiah		948,260,656		UBS		97,253		1/30/2013		406
Japanese Yen		1,186,929,000		BCLY		15,156,275		9/10/2012		(49,727	)
Japanese Yen		3,250,428,000		BNP		41,505,751		9/10/2012		(954,457	)
Japanese Yen		240,000,000		DUB		3,064,637		9/10/2012		(48,443	)
Japanese Yen		206,423,000		UBS		2,635,881		9/10/2012		(47,378	)
Japanese Yen		1,180,000,000		BCLY		15,068,700		9/18/2012		(164,441	)
Japanese Yen		1,190,000,000		JPM		15,199,072		10/9/2012		(140,927	)
Malaysian Ringgit		1,175,656		DUB		375,152		10/16/2012		85
Malaysian Ringgit		335,000		HSBC		106,899		10/16/2012		(2,325	)
Malaysian Ringgit		1,971,600		JPM		629,138		10/16/2012		(12,966	)
Malaysian Ringgit		1,134,334		UBS		361,966		10/16/2012		(7,328	)
Mexican Peso		14,472,250		HSBC		1,083,776		12/3/2012		(10,232	)
Mexican Peso		1,567,795		UBS		117,407		12/3/2012		(2,407	)
New Taiwan Dollar		50,320,000		HSBC		1,684,539		11/30/2012		4,051
Norwegian Krone		13,568,000		DUB		2,332,426		11/21/2012		(21,917	)
Peruvian Sol		224,834		UBS		85,590		12/12/2012		(590	)
Philippine Peso		3,782,700		DUB		89,625		10/31/2012		375
Polish Zloty		779,114		BCLY		232,862		11/14/2012		(1,450	)
Pound Sterling		17,777,000		BCLY		28,196,783		9/12/2012		(383,955	)
Pound Sterling		6,306,000		BNP		10,002,189		9/12/2012		(251,738	)

179

Notes to Financial Statements

(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Pound Sterling		95,000		JPM	$	150,683		9/12/2012	$	(1,930	)
Pound Sterling		165,000		DUB		261,713		9/12/2012		(2,705	)
Pound Sterling		3,488,000		RBS		5,532,451		9/12/2012		(135,992	)
Pound Sterling		1,737,000		UBS		2,755,122		9/12/2012		(31,440	)
Singapore Dollar		28,675		HSBC		22,979		10/22/2012		21
Singapore Dollar		84,763		UBS		67,926		10/22/2012		74
South African Rand		7,455,482		BCLY		882,489		10/26/2012		16,000
South African Rand		440,271		JPM		52,114		10/26/2012		886
South African Rand		8,850,046		DUB		1,047,560		10/26/2012		(796	)
South African Rand		29,821,929		HSBC		3,529,954		10/26/2012		66,039
Turkish Lira		286,966		BCLY		156,801		10/24/2012		(721	)
Turkish Lira		415,657		DUB		227,119		10/24/2012		(498	)
Yuan Renminbi		46,411,603		JPM		7,237,527		2/1/2013		46,724
Yuan Renminbi		11,502,158		UBS		1,793,672		2/1/2013		27,010
Yuan Renminbi		3,000,000		DUB		463,868		8/5/2013		3,022
Yuan Renminbi		10,260,000		UBS		1,586,429		8/5/2013		10,458
Yuan Renminbi		14,100,000		JPM		2,119,962		9/8/2015		12,041

										(5,077,127	)

Net Unrealized (Loss) on Open Forward Foreign Currency Contracts									$	(4,345,126	)

At August 31, 2012, Core Fixed Income Investments held the following OTC interest rate swap contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Counterparty	Notional Amount	Market Value			Upfront Market Paid (Received)			Unrealized Appreciation (Depreciation)
Pay	6-Month Australian Bank Bill, AAA		3.750	%		03/15/2018	DUB	AUD 4,700,000	$	61,860		$	6,898		$	54,962
Pay	6-Month Australian Bank Bill, AAA		3.750	%		03/15/2018	GSC	AUD 2,500,000		32,905			5,419			27,486
Pay	6-Month Australian Bank Bill, AAA		4.000	%		03/15/2023	GSC	AUD 2,500,000		28,363			(4,313	)		32,676
Pay	6-Month Australian Bank Bill, AAA		5.500	%		12/15/2017	BCLY	AUD 1,500,000		158,654			(7,490	)		166,144
Pay	6-Month Australian Bank Bill, AAA		5.500	%		12/15/2017	DUB	AUD 1,000,000		105,770			(4,460	)		110,230
Pay	BRL-CDI-Compounded		9.940	%		01/02/2015	GSC	BRL 6,200,000		99,467			—			99,467
Pay	BRL-CDI-Compounded		10.135	%		01/02/2015	HSBC	BRL 3,500,000		63,209			11,465			51,744
Pay	BRL-CDI-Compounded		9.930	%		01/02/2015	UBS	BRL 9,200,000		146,630			7,136			139,494
Pay	BRL-CDI-Compounded		10.530	%		01/02/2014	HSBC	BRL 4,500,000		78,214			1,915			76,299
Pay	BRL-CDI-Compounded		11.935	%		01/02/2014	HSBC	BRL 2,100,000		68,487			6,189			62,298
Pay	BRL-CDI-Compounded		11.960	%		01/02/2014	GSC	BRL 12,600,000		458,447			(32,965	)		491,412
Pay	BRL-CDI-Compounded		11.990	%		01/02/2014	BCLY	BRL 1,100,000		40,429			358			40,071
Pay	BRL-CDI-Compounded		12.120	%		01/02/2014	HSBC	BRL 8,300,000		324,297			19,221			305,076
Pay	BRL-CDI-Compounded		12.510	%		01/02/2014	BCLY	BRL 3,200,000		112,518			3,263			109,255
Pay	BRL-CDI-Compounded		12.555	%		01/02/2014	HSBC	BRL 3,000,000		106,799			4,785			102,014
Pay	Mexico Interbank, TIIE, A-		7.500	%		06/02/2021	UBS	MXN 43,300,000		427,688			135,498			292,190
Receive	3-Month USD-LIBOR, AA+		2.750	%		02/17/2042	BCLY	USD 1,545,000		(97,044	)		—			(97,044	)

									$	2,216,693		$	152,919		$	2,063,774

180

Notes to Financial Statements

(continued)

At August 31, 2012, Core Fixed Income Investments had the following centrally cleared interest rate swap contracts:

Pay/Receive Floating Rate

Floating
Rate Index

Fixed
Rate

Maturity
Date

Counterparty

Notional
Amount

Unrealized
Appreciation
(Depreciation)

Pay

6-Month EURIBOR, AA-

2.00%

3/21/2017

BCLY

EUR 2,200,000

160,267

160,267

At August 31, 2012, Core Fixed Income Investments held the following OTC credit default swap contracts:

OTC Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection (1)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at August 31, 2012 (3)			Notional Amount (4)		Market Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Embarq Corp., BB,		(1.425%)			03/20/2014		DUB		0.008%			USD 600,000	$	(7,919	)	$	—	$	(7,919	)
Embarq Corp., BB,		(1.300%)			03/20/2014		DUB		0.008%			USD 200,000		(2,201	)		1,445		(3,646	)
Embarq Corp., BB,		(1.270%)			03/20/2014		DUB		0.008%			USD 600,000		(6,286	)		—		(6,286	)
Embarq Corp., BB,		(1.250%)			03/20/2014		DUB		0.008%			USD 1,200,000		(12,151	)		—		(12,151	)
Foster’s Finance Corp., BBB+,		(2.140%)			12/20/2014		BCLY		0.002%			USD 2,400,000		(116,243	)		—		(116,243	)
Goodrich Corp., BBB+,		(0.510%)			09/20/2016		DUB		0.001%			USD 300,000		(5,271	)		—		(5,271	)
HSBC Finance Corp., A,		(0.165%)			12/20/2013		BNP		0.008%			USD 300,000		2,427			—		2,427
Race Point CLO, B+,		(4.030%)			04/15/2020		BOA		0.001%			USD 1,100,000		297,828			8,250		289,578
Race Point CLO, BB+,		(1.950%)			04/15/2020		BOA		0.001%			USD 800,000		187,354			2,800		184,554
Saratoga CLO I Ltd., BB+,		(1.880%)			12/15/2019		BOA		0.000%			USD 1,000,000		263,489			7,500		255,989

													$	601,027		$	19,995	$	581,032


OTC Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (2)

Reference Obligation	Fixed Deal Receive Rate			Maturity Date		Counterparty		Implied Credit Spread at August 31, 2012 (3)			Notional Amount (4)		Market Value			Upfront Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Ally Financial Inc., B+,		3.570	%		09/20/2017		BOA		0.035	%		USD 2,800,000	$	28,798		$	—	$	28,798

													$	28,798		$	—	$	28,798

At August 31, 2012, Core Fixed Income Investments held the following centrally cleared credit default swap contracts:

Centrally Cleared - Credit Default Swaps on Credit Indices - Buy Protection (1)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Notional Amount (4)		Unrealized Appreciation (Depreciation)
Dow Jones CDX HY14 5 Year Index, B-,		(5.000	%)		06/20/2015		BCLY		USD 4,992,000	$	(318,166	)
Dow Jones CDX HY15 5 Year Index, B-,		(5.000	%)		12/20/2015		BCLY		USD 3,840,000		(334,565	)
Dow Jones CDX IG10 10 Year Index, BAA+,		(1.500	%)		06/20/2018		CSFB		USD 1,161,600		(24,908	)
Dow Jones CDX IG12 5 Year Index, BAA+,		(1.000	%)		06/20/2014		BCLY		USD 3,600,960		(38,401	)
Dow Jones CDX IG9 10 Year Index, BAA+,		(0.800	%)		12/20/2017		BCLY		USD 4,743,200		(81,366	)

										$	(797,406	)

181

Notes to Financial Statements

(continued)

At August 31, 2012, International Fixed Income Investments held the following OTC interest rate swap contracts:


Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate			Maturity Date		Counterparty		Notional Amount		Market Value		Upfront Market Paid (Received)			Unrealized Appreciation (Depreciation)
Pay	6-Month Australian Bank Bill, AAA		3.500	%		03/15/2018		BOA		AUD 10,700,000	$	16,660	$	(42,646	)	$	59,306
Pay	6-Month Australian Bank Bill, AAA		3.750	%		03/15/2018		DUB		AUD 6,100,000		80,286		(2,667	)		82,953
Pay	6-Month Australian Bank Bill, AAA		4.000	%		03/15/2023		GSC		AUD 2,700,000		30,631		(18,066	)		48,697
Pay	6-Month Australian Bank Bill, AAA		4.000	%		03/15/2023		JPM		AUD 5,600,000		63,532		9,075			54,457
Pay	6-Month Australian Bank Bill, AAA		4.250	%		03/15/2023		BCLY		AUD 700,000		22,724		2,342			20,382
Pay	6-Month Australian Bank Bill, AAA		4.250	%		03/15/2023		BOA		AUD 3,100,000		100,632		11,847			88,785
Pay	6-Month Australian Bank Bill, AAA		4.250	%		03/15/2023		DUB		AUD 6,200,000		201,262		64,795			136,467
Pay	BRL-CDI-Compounded		8.825	%		01/02/2015		HSBC		BRL 8,000,000		39,606		30,881			8,725
Pay	6-Month JPY-LIBOR, AA-		1.500	%		12/20/2015		GSC		JPY 870,000,000		460,198		126,714			333,484
Pay	6-Month JPY-LIBOR, AA-		1.500	%		12/21/2021		RBS		JPY 410,000,000		372,565		110,980			261,585
Pay	Mexico InterBank, TIIE, A-		6.000	%		09/02/2022		HSBC		MXN 21,800,000		22,179		(1,012	)		23,191
Pay	3-Month SEK-STIBOR-SIDE, AAA		4.500	%		03/18/2014		GSC		SEK 1,000,000		7,959		(1,040	)		8,999

											$	1,418,234	$	291,203		$	1,127,031

At August 31, 2012, International Fixed Income Investments held the following credit default swap contracts:

Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection (1)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at August 31, 2012 (3)			Notional Amount (4)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
American General Finance Corp., CCC,		(1.820	%)		12/20/2017		RBS		0.097	%		USD 1,000,000	$	263,359		$	—		$	263,359
First Energy, BBB-,		(0.940	%)		06/20/2017		RBS		0.012	%		USD 1,000,000		11,948			—			11,948
Limited Brands Inc., BB-,		(3.550	%)		09/20/2017		GSC		0.022	%		USD 500,000		(35,478	)		—			(35,478	)
Macy’s Retail Holdings Inc., BBB,		(5.000	%)		09/20/2014		BNP		0.006	%		USD 650,000		(65,789	)		(67,377	)		1,588
Marsh & McLennan Cos., Inc., BBB-,		(0.670	%)		09/20/2014		DUB		0.003	%		USD 1,000,000		(8,904	)		—			(8,904	)
Pearson Dollar Finance PLC, BBB+,		(1.000	%)		06/20/2014		BNP		0.003	%		USD 1,000,000		(14,648	)		(13,718	)		(930	)
Starwood Hotels & Resorts World, BBB-,		(1.490	%)		06/20/2018		BOA		0.014	%		USD 1,000,000		(8,421	)		—			(8,421	)
Tate & Lyle International Finance PLC, BBB,		(0.510	%)		12/20/2014		DUB		0.004	%		USD 100,000		(426	)		—			(426	)
UST Inc., BBB,		(0.720	%)		03/20/2018		GSC		0.004	%		USD 500,000		(10,154	)		—			(10,154	)

													$	131,487		$	(81,095	)	$	212,582

At August 31, 2012, International Fixed Income Investments held the following centrally cleared interest rate swap contracts:

Pay/Receive Floating Rate

Floating
Rate Index

Fixed
Rate

Maturity
Date

Counterparty

Notional
Amount

Unrealized
Appreciation
(Depreciation)

Pay

6-Month GBP-LIBOR

2.50

09/19/2022

BCLY

GBP 3,500,000

315,577

Pay

6-Month GBP-LIBOR

3.50

09/19/2042

BCLY

GBP 1,700,000

(358,357

)

Pay

3-Month USD-LIBOR

1.50

06/20/2017

BCLY

USD 1,600,000

(8,278

)

Pay

3-Month USD-LIBOR

2.00

06/20/2019

BCLY

USD 1,600,000

(9,580

)

(60,638

)

182

Notes to Financial Statements

(continued)

OTC Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (2)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at August 31, 2012(3)			Notional Amount (4)	Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Australia Government Bond, AAA,		1.000	%		03/20/2015		DUB		0.003	%	USD 300,000	$	6,105		$	4,304		$	1,801
Australia Government Bond, AAA,		1.000	%		09/20/2015		UBS		0.003	%	USD 400,000		9,144			9,263			(119	)
Australia Government Bond, AAA,		1.000	%		03/20/2016		DUB		0.004	%	USD 300,000		6,878			6,749			129
Bundesrepublik Deutschland, AAA,		0.250	%		06/20/2016		HSBC		0.004	%	USD 300,000		(1,297	)		(4,964	)		3,667
Emirate of Abu Dhabi, AA,		1.000	%		12/20/2014		BCLY		0.006	%	USD 800,000		9,577			(20,483	)		30,060
Japan Government 20 Year Bond, AA-,		1.000	%		03/20/2015		DUB		0.004	%	USD 1,500,000		25,514			11,496			14,018
Japan Government 20 Year Bond, AA-,		1.000	%		03/20/2016		RBS		0.006	%	USD 6,600,000		113,383			15,542			97,841
Japan Government 20 Year Bond, AA-,		1.000	%		03/20/2016		BCLY		0.006	%	USD 200,000		3,436			2,676			760
Japan Government 20 Year Bond, AA-,		1.000	%		03/20/2016		GSC		0.006	%	USD 4,300,000		73,870			(46,371	)		120,241
Lloyds TSB Bank PLC, A,		1.000	%		06/20/2013		DUB		0.012	%	EUR 600,000		565			(9,100	)		9,665
Republic of Korea, A,		1.000	%		09/20/2017		UBS		0.010	%	USD 2,000,000		(69	)		(4,822	)		4,753
U.S. Treasury Notes, AA+,		0.250	%		09/20/2012		SOG		0.001	%	EUR 200,000		146			(1,639	)		1,785
U.S. Treasury Notes, AA+,		0.250	%		09/20/2012		UBS		0.001	%	EUR 600,000		438			(5,777	)		6,215
U.S. Treasury Notes, AA+,		0.250	%		06/20/2016		BNP		0.004	%	EUR 700,000		(3,294	)		(7,057	)		3,763

												$	244,396		$	(50,183	)	$	294,579

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index.

(2)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(3)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

(4)	The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.


Counterparty Abbreviations:		Counterparty Abbreviations:
BBH	Brown Brothers Harriman & Co.	BOA	Bank of America
BCLY	Barclays Bank PLC	CSFB	Credit Suisse Securities (USA) LLC
BNP	BNP Paribas Bank	DUB	Deutsche Bank AG

183

Notes to Financial Statements

(continued)


Counterparty Abbreviations:		Currency Abbreviations:
GSC	Goldman Sachs & Co.	AUD	Australian Dollar
HSBC	HSBC Bank USA	BRL	Brazilian Real
JPM	J.P. Morgan Chase & Co.	EUR	Euro Dollar
RBC	Royal Bank of Canada	GBP	British Pound
RBS	Royal Bank of Scotland PLC	JPY	Japanese Yen
SOG	Société Générale	MXN	Mexican Peso
SSB	State Street Corp.	SEK	Swedish Krona
UBS	UBS Securities LLC
WBK	Westpac Banking Corp.

At August 31, 2012, Core Fixed Income Investments and International Fixed Income Investments had total unrealized appreciation of $2,036,465 and $1,573,554, respectively, from swap contracts.

At August 31, 2012, Core Fixed Income Investments and International Fixed Income Investments had collateral held from brokers in the net amount of $2,725,000 and $1,030,000, respectively, for the open swaps contracts. Core Fixed Income Investments also had collateral held from brokers in the net amount of $250,000 for open repurchase agreements. These amounts are disclosed within “Deposits from counterparty” within the Statement of Assets and Liabilities for the respective Funds.

4.	Shares of Beneficial Interest

At August 31, 2012, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2012, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.

Transactions in shares of each Fund were as follows:


	Year Ended August 31, 2012			Year Ended August 31, 2011
Large Capitalization Growth Investments
Shares sold		5,180,984			18,051,112
Shares issued on reinvestment		574,007			215,671
Shares repurchased		(32,258,133	)		(23,021,253	)

Net (Decrease)		(26,503,142	)		(4,754,470	)

Large Capitalization Value Equity Investments
Shares sold		5,705,534			22,239,556
Shares issued on reinvestment		2,851,287			3,300,974
Shares repurchased		(35,541,226	)		(29,605,751	)

Net (Decrease)		(26,984,405	)		(4,065,221	)

Small Capitalization Growth Investments
Shares sold		1,257,944			2,625,466
Shares repurchased		(4,443,637	)		(4,878,566	)

Net (Decrease)		(3,185,693	)		(2,253,100	)

Small Capitalization Value Equity Investments
Shares sold		1,295,454			4,208,742
Shares issued on reinvestment		160,653			252,755
Shares repurchased		(6,302,842	)		(5,821,618	)

Net (Decrease)		(4,846,735	)		(1,360,121	)

184

Notes to Financial Statements

(continued)


	Year Ended August 31, 2012			Year Ended August 31, 2011
International Equity Investments
Shares sold		15,658,185			6,413,849
Shares issued on reinvestment		722,465			1,302,296
Shares repurchased		(24,944,029	)		(40,954,399	)

Net (Decrease)		(8,563,379	)		(33,238,254	)

Emerging Markets Equity Investments
Shares sold		5,237,523			8,719,348
Shares issued on reinvestment		1,274,080			748,073
Shares repurchased		(11,510,055	)		(11,076,096	)

Net (Decrease)		(4,998,452	)		(1,608,675	)

Core Fixed Income Investments
Shares sold		37,472,242			26,842,963
Shares issued on reinvestment		5,596,967			7,603,431
Shares repurchased		(52,327,337	)		(23,699,040	)

Net Increase (Decrease)		(9,258,128	)		10,747,354

High Yield Investments
Shares sold		38,796,919			9,055,394
Shares issued on reinvestment		3,025,307			3,919,509
Shares repurchased		(26,136,959	)		(11,060,798	)

Net Increase		15,685,267			1,914,105

International Fixed Income Investments
Shares sold		27,945,492			6,666,778
Shares issued on reinvestment		160,537			1,673,575
Shares repurchased		(6,208,191	)		(6,043,643	)

Net Increase		21,897,838			2,296,710

Municipal Bond Investments
Shares sold		3,437,485			2,850,377
Shares issued on reinvestment		297,345			318,500
Shares repurchased		(3,981,895	)		(3,452,468	)

Net (Decrease)		(247,065	)		(283,591	)

Money Market Investments
Shares sold		293,627,375			114,041,013
Shares issued on reinvestment		58,949			16,775
Shares repurchased		(174,430,607	)		(120,488,142	)

Net Increase (Decrease)		119,255,717			(6,430,354	)

185

Notes to Financial Statements

(continued)

5.	Dividends and Tax Components of Capital

The tax character of distributions paid during the fiscal year ended August 31, 2012, were as follows:


	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments		Small Capitalization Growth Investments		Small Capitalization Value Equity Investments
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		8,294,405		24,720,654		—		1,889,698
Net Long-term Capital Gains		—		—		—		—

Total Distributions Paid	$	8,294,405	$	24,720,654	$	—	$	1,889,698


	International Equity Investments		Emerging Markets Equity Investments		Core Fixed Income Investments		High Yield Investments
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		6,661,132		18,066,459		44,956,878		12,483,168
Net Long-term Capital Gains		—		—		3,302,349		—

Total Distributions Paid	$	6,661,132	$	18,066,459	$	48,259,227	$	12,483,168


	International Fixed Income Investments		Municipal Investments Bond		Money Market Investments
Distributions paid from:
Tax Exempt	$	—	$	2,884,427	$	—
Tax Return of Capital		—		—		—
Ordinary Income		1,284,299		4,286		59,001
Net Long-term Capital Gains				—		—

Total Distributions Paid	$	1,284,299	$	2,888,713	$	59,001

The tax character of distributions paid during the fiscal year ended August 31, 2011, were as follows:


	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments		Small Capitalization Growth Investments		Small Capitalization Value Equity Investments
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		3,133,697		28,058,283		—		2,997,673
Net Long-term Capital Gains		—		—		—		—

Total Distributions Paid	$	3,133,697	$	28,058,283	$	—	$	2,997,673

186

Notes to Financial Statements

(continued)


	International Equity Investments		Emerging Markets Equity Investments		Core Fixed Income Investments		High Yield Investments
Distributions paid from:
Tax Exempt	$	—	$	—	$	—	$	—
Tax Return of Capital		—		—		—		—
Ordinary Income		13,556,896		12,702,280		61,357,104		17,008,732
Net Long-term Capital Gains		—		—		2,940,955		—

Total Distributions Paid	$	13,556,896	$	12,702,280	$	64,298,059		17,008,732


	International Fixed Income Investments		Municipal Bond Investments		Money Market Investments
Distributions paid from:
Tax Exempt	$	—	$	2,938,052	$	—
Tax Return of Capital		—		—		—
Ordinary Income		12,802,845		4,583		16,776
Net Long-term Capital Gains		—		—		—

Total Distributions Paid	$	12,802,845		2,942,635	$	16,776

As of August 31, 2012, the components of accumulated earnings on a tax basis were as follows:


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Growth Investments			Small Capitalization Value Equity Investments
Undistributed ordinary income - net	$	5,600,995		$	14,877,631		$	—		$	1,676,707
Undistibuted long-term capital gains - net		—			—			—			11,058,111
Total Undistributed earnings		5,600,995			14,877,631			—			12,734,818
Capital Loss Carryforward		(137,036,845	)		(479,945,104	)		(16,893,807	)		—
Current Year Late Year Loss Deferral		—			—			(8,511,713	)		(88,057	)
Other book/tax temporary differences		(22,634,485	)(a)		(20,679,156	)(a)		(1,542,532	)(a)		(2,358,117	)(a)
Unrealized appreciation (depreciation)		415,740,765			161,755,553			50,256,980			49,565,933

Total accumulated earnings/(losses) - net	$	261,670,430		$	(323,991,076	)	$	23,308,928		$	59,854,577


	International Equity Investments			Emerging Market Equity Investments			Core Fixed Income Investments			High Yield Investments
Undistributed ordinary income - net	$	7,125,766		$	12,983,371		$	26,654,911		$	831,432
Undistibuted long-term capital gains - net		—			—			9,608,403			—
Total Undistributed earnings		7,125,766			12,983,371			36,263,314			831,432
Capital Loss Carryforward		(331,585,759	)		(45,400,705	)		—			(21,083,770	)
Current Year Late Year Loss Deferral		(6,076,398	)		(12,785,158	)		—			(1,855,023	)
Other book/tax temporary differences		(11,458,934	)(b)		(26,554,947	)(b)		(2,506,107	)(c)(d)		(807,875	)(d)
Unrealized appreciation (depreciation)		38,560,745			102,754,022			40,808,539			5,721,901

Total accumulated earnings/(losses) - net	$	(303,434,580	)	$	30,996,583			74,565,746		$	(17,193,335	)

187

Notes to Financial Statements

(continued)


	International Fixed Income Investments			Municipal Bond Investments			Money Market Investments
Undistributed tax exempt income - net	$	—		$	144,126		$	—
Undistributed ordinary income - net		24,541,420			—			5,906
Undistributed long-term capital gains - net		—			—			—

Total Undistributed earnings		24,541,420			144,126			5,906
Capital Loss Carryforward		(11,600,849	)		(102,985	)		—
Current Year Late Year Loss Deferral		—			—			—
Other book/tax temporary differences		764,829	(c)		—			—
Unrealized appreciation (depreciation)		13,555,920			7,825,858			—

Total accumulated earnings/(losses) - net	$	27,261,320		$	7,866,999		$	5,906

As of August 31, 2012, there were no significant differences between the book and tax components of net assets for Money Market Investments

(a)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and tax cost adjustments related to real estate investments.

(b)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, and other book/tax basis adjustments.

(c)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and the difference between book and tax amortization methods for premiums on fixed income securities.

(d)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, the tax accrual of defaulted bond interest and the difference between book and tax amortization methods for premiums on fixed income securities.

6.	Capital Loss Carry Forward

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.

As of August 31, 2012, the Funds had the following net capital loss carryforwards remaining:


Year of Expiration	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments		Small Capitalization Growth Investments		Small Capitalization Value Equity Investments		International Equity Investments		Emerging Markets Equity Investments
8/31/2012	$	—	$	—	$	—	$	—	$	—	$	—
8/31/2013		—		—		—		—		—		—
8/31/2014		—		—		—		—		—		—
8/31/2015		—		—		—		—		—		—
8/31/2016		—		—		—		—		—		—
8/31/2017		—		29,079,706		1,565,236		—		4,446,685		—
8/31/2018		137,036,845		450,865,398		15,328,571		—		317,009,031		35,702,208
8/31/2019		—		—		—		—		—		—
Non-expiring:
Short Term		—		—		—		—		10,130,043		9,698,497
Long Term		—		—		—		—		—		—

	$	137,036,845	$	479,945,104	$	16,893,807	$	—	$	331,585,759	$	45,400,705

188

Notes to Financial Statements

(continued)


Year of Expiration	Core Fixed Income Investments		High Yield Investments		International Fixed Income Investments		Municipal Bond Investments		Money Market Investments
8/31/2012	$	—	$	—	$	—	$	—	$	—
8/31/2013		—		—		—		—		—
8/31/2014		—		1,114,740		—		—		—
8/31/2015		—		—		—		—		—
8/31/2016		—		—		—		—		—
8/31/2017		—		10,731,217		6,343,658		—		—
8/31/2018		—		5,672,191		5,257,191		101,811		—
8/31/2019		—		—		—		1,174		—
Non-expiring:
Short Term		—		3,565,622		—		—		—
Long Term		—		—		—		—		—

	$	—	$	21,083,770	$	11,600,849	$	102,985	$	—

These amounts will be available to offset any future taxable capital gains.

7.	Recent Accounting Pronouncements

In December 2011, Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Codification (“ASU”) No. 2011-11 related to disclosures about offsetting assets and liabilities in financial statements. The amendments in this update require an entity to disclose both gross and net information for derivatives and other financial instruments that are either offset in the statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The ASU is effective during interim or annual reporting periods beginning on or after January 1, 2013. At this time, management is evaluating the implication of this ASU and its impact on the financial statements has not been determined.

8.	Subsequent Events

Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements.

Subsequent to August 31, 2012, the Funds made the following distributions:


Record Date Payable Date	Core Fixed Income Investments		High Yield Investments		Municipal Bond Investments		Money Market Investments
9/27/12-9/28/12	$	0.021550	$	0.022731	$	0.022835	$	0.000012

189

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of

Consulting Group Capital Markets Funds

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Consulting Group Capital Markets Funds, comprised of Large Capitalization Growth Investments, Large Capitalization Value Equity Investments, Small Capitalization Growth Investments, Small Capitalization Value Equity Investments, International Equity Investments, Emerging Markets Equity Investments, Core Fixed Income Investments, High Yield Investments, International Fixed Income Investments, Municipal Bond Investments and Money Market Investments (“the Funds”) as of August 31, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for the year ended August 31, 2008 were audited by other auditors whose report, dated October 29, 2008, expressed an unqualified opinion on those financial highlights.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2012, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures.

We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting Consulting Group Capital Markets Funds as of August 31, 2012, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

October 30, 2012

190

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited)

Approval of Management Agreement and Subadvisory Agreements

At a meeting held in person on May 24, 2012, the Board of Trustees (“Board”), including a majority of the Board who are not “interested persons,” (“Independent Trustees”), as defined in the Investment Company Act of 1940, as amended (“1940 Act”), of the Trust, re-approved for an annual period the Trust’s management agreement (“Management Agreement”) and certain subadvisory agreements (“Subadvisory Agreements”).

In their consideration of the re-approval of the Management Agreement and the Subadvisory Agreements, the Board considered the factors described below.

The Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Management Agreement and the Subadvisory Agreements and the performance of the Manager and Sub-advisers. The Independent Trustees met in a private session with their independent legal counsel, at which meeting no representative of management was present, and were advised by separate independent legal counsel throughout the process. Following the closed session, the Board Members approved the Management Agreement and the Subadvisory Agreements to continue for another year.

No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Management Agreement and Subadvisory Agreements.

Nature, Extent and Quality of the Services Under the Management and Subadvisory Agreements

The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the Management Agreement and the Subadvisory Agreements, respectively, during the meeting and during the past year. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Trust’s other service providers. The Board reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the review of the Trust’s and the Sub-Advisers’ compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.

The Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management teams primarily responsible for the day-to-day portfolio management of the Funds.

The Board also considered the Manager’s brokerage policies and practices, the standards applied to the Sub-advisers, policies and practices regarding soft dollars, and the existence of quality controls applicable to brokerage allocation procedures.

The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement and the Subadvisory Agreements were adequate and appropriate.

Fund Performance

The Board received and considered performance information for the Funds as well as for a group of funds (“Performance Universe”) selected by Lipper, Inc. (“Lipper”), an independent provider of investment company data for various periods. The Board was provided with a description of the methodology Lipper used to determine the similarity of the Funds with the funds included in the Performance Universe. The Board also noted that it had received and discussed with management information throughout the year at periodic intervals comparing each Fund’s performance against its benchmarks.

The Board was generally satisfied with the overall performance of the Funds and with the efforts of the Manager and respective Sub-advisers to continue to improve performance. The Trustees determined to continue to evaluate the Funds’ performance and directed the Trust’s Investment Committee to continue to periodically review Fund performance with the Manager and report to the full Board.

191

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited) (continued)

Management Fees and Expense Ratios

The Board reviewed and considered the contractual management fees (“Contractual Management Fees”) payable by the Funds to the Manager in light of the nature, extent and quality of the management and subadvisory services provided by the Manager and the Sub-advisers. The Board also reviewed and considered whether fee waiver and/or expense reimbursement arrangements are currently in place for the Funds and considered the actual fee rate (after taking any waivers and reimbursements into account) (“Actual Management Fee”) and whether any fee waivers and reimbursements could be discontinued. In addition, the Board noted that the compensation paid to the Sub-advisers is paid by the Manager, not the Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by a Fund’s shareholders.

The Board received and considered information comparing the Funds’ Contractual Management Fees and Actual Management Fees and the Funds’ actual total expenses with those of a group of comparable funds and a broader group of funds, each selected and provided by Lipper. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other subadvised funds and accounts managed by the Sub-advisers, and, in this regard, the amount of the Contractual and Actual Management Fees retained by the Manager.

The Board concluded that the fee paid by each Fund to the Manager and the fees paid by the Manager to the Sub-advisers were reasonable in light of comparative performance and expense and advisory fee information, and (as discussed below) costs of the services provided and profits to be realized and benefits derived or to be derived by the Manager and Sub-advisers from the relationship with the Funds.

Manager Profitability

The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-advisers’ profitability in providing subadvisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. The Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Funds.

Other Benefits to the Manager and the Sub-advisers

The Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.

In light of the costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds, the profits and other ancillary benefits that the Manager and its affiliates received were considered reasonable.

192

Additional Information

(unaudited)

Trustees and Officers of the Trust

Overall responsibility for management and supervision of the Trust rests with the Board of Trustees. The Trustees approve all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Funds’ distributor, investment advisers, custodian, transfer agent and administrator. The day-to-day operations of the Funds are delegated to the Funds’ Manager, The Consulting Group, a division of Consulting Group Advisory Services LLC (“CGAS”).

The names of the Trustees and officers of the Trust, together with information as to their principal business occupations, are set forth below. The officers of the Trust are employees of organizations that provide services to the Funds. Each Trustee who is an “interested person” of the Trust, as defined in the Investment Company Act of 1940, as amended (“1940 Act”), is indicated by a double asterisk.


Name, Address and Birth Year	Position(s) Held with Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee
INDEPENDENT TRUSTEES

John J. Murphy 268 Main Street Gladstone, NJ 07934 Birth Year: 1944	Chairman and Trustee	Since 2002 (Chairman since 2010)	Founder and Senior Principal, Murphy Capital Management (investment management) (1983-present)	11	Trustee, Legg Mason Partners Equity Trust (54 funds, 2007-present); Trustee, UBS Funds (52 funds, 2009-present); and Nicholas Applegate Funds (12 portfolios) (2005-2010)

Adela Cepeda c/o Morgan Stanley Wealth Management (“MSWM”) 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958	Trustee	Since 2008	President, A.C. Advisory, Inc. (1995-present)	11	Director, Amalgamated Bank of Chicago (2003-present); Trustee, MGI Funds (7 funds, 2005-present); Trustee, UBS Funds (53 funds, 2004-present); Director, Fort Dearborn Income Securities (2000-present); Director, Municipal Securities Rulemaking Board (2001-present); and formerly, Chairperson, Alta Capital Group (2005-2007)

Stephen E. Kaufman 277 Park Avenue, 47th Fl. New York, NY 10172 Birth Year: 1932	Trustee	Since 1991	Attorney, Stephen E. Kaufman, P.C. (1957-present)	11	None

W. Thomas Matthews 453 Banks Mill Road Aiken, SC 29801 Birth Year: 1949	Trustee	Since 2009 (Interested Trustee from 2006-2009)	Retired; and Advisor, Smith Barney (2005-2007)	11	None

Mark J. Reed 101 S. Hanley Road., Suite 1260 St. Louis, MO 63105 Birth Year: 1964	Trustee	Since 2007	Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc., (1988-present)	11	None

193

Additional Information

(unaudited) (continued)


Name, Address and Birth Year	Position(s) Held with Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past Five Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee
INTERESTED TRUSTEE**

James F. Walker MSWM 2000 Westchester Ave Purchase, NY 10577 Birth Year: 1963	Trustee, Chief Executive Officer and President	Since 2010	Managing Director, Director of Product Strategy – Investment Products and Services, MSWM and Morgan Stanley Private Bank (2012-Present); Managing Director, Head of Consulting Group, MSWM (2010-2012); Managing Director and Chief Operating Officer (“COO”), Investment Products and Markets, MSWM (2009-2010); and Managing Director, Citigroup Global Markets Inc. (“CGM”) and Chief Operating Officer, Investment Advisory Services (“IAS”), Smith Barney (2006-2009)	11	None

194

Additional Information

(unaudited) (continued)


Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past Five Years
OFFICERS

Marc Gordon MSWM 2000 Westchester Ave. Purchase, NY 10577 Birth Year: 1968	Chief Financial Officer and Treasurer	Since 2010	Managing Director and Chief Financial Officer, Investment Strategy and Client Solutions and Capital Markets Groups, MSWM (2012-present), Executive Director and Chief Financial Officer, Investment Strategy and Client Solutions and Capital Markets Groups, MSWM (2009-2012) and Morgan Stanley & Co. (2006-2009)

Paul F. Gallagher MSWM Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1959	Chief Legal Officer and Secretary	Since 2007	Executive Director, Counsel, MSWM (2011-present); Executive Director and Associate General Counsel, MSWM (2009-2011); and Director and Associate General Counsel, CGM (2006-2009)

Steven Hartstein MSWM 300 Plaza Two, 3rd Floor Jersey City, NJ 07311 Birth Year: 1963	Chief Compliance Officer	Since 2006	Executive Director, MSWM (2009-present); Director, CGM and Assistant Director, IAS Compliance, Smith Barney (2008-2009); and Senior Vice President, CGM and Assistant Director, IAS Compliance, Smith Barney (2006-2007)

Donna Marley MSWM Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1955	Chief Operating Officer	Since 2011	Executive Director, MSWM (2009-present); Director of Consulting Group Product Governance, MSWM (2011-present); and Director, Consulting Group Risk Management, MSWM (2009-2011); Vice President, Consulting Group Risk Management, CGM (2005-2009)

Charles P. Graves, III MSWM 2000 Westchester Ave. Purchase, NY 10577 Birth Year: 1962	Chief Administrative Officer	Since 2011	Executive Director, Director of Third Party Programs, Consulting Group, MSWM (2011-present); and Director, Senior Portfolio Manager, Private Portfolio Group, MSWM (2009 - 2011) and CGM (2005-2009)

Vincenzo Alomia MSWM 2000 Westchester Ave. Purchase, NY 10577 Birth Year: 1967	Investment Officer	Since 2009	Vice President, Senior Portfolio Manager, PAS, MSWM (2009-present); and Vice President and Senior Research Analyst, Morgan Stanley & Co. (2006-2009)

Jason B. Moore MSWM Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1972	Investment Officer	Since 2011	Managing Director, MSWM (2012-present); Executive Director, MSWM (2011-2012); Managing Director, Bank of America Merrill Lynch (2010-2011); Executive Director, MSWM (2009-2010); and Director, CGM (1995- 2009)

Franco Piarulli MSWM 2000 Westchester Ave. Purchase, NY 10577 Birth Year: 1970	Investment Officer	Since 2011	Executive Director, Senior Portfolio Manager & Director of Portfolio Construction, PAS, MSWM (2009-present); and Vice President, Senior Analyst, Morgan Stanley & Co. (2003- 2009)

Jay T. Shearon MSWM Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1972	Investment Officer	Since 2007	Executive Director, MSWM (2012-Present); Vice President, MSWM (2009-2012); and Vice President, CGM (2005-2009)

195

Additional Information

(unaudited) (continued)


Name, Address and Date of Birth	Position(s) Held with Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past Five Years

Jeanine Larrea MSWM 485 Lexington Avenue, 11th Floor New York, NY 10017 Birth Year: 1966	Anti-Money Laundering Compliance Officer	Since 2009	Executive Director and Deputy AML Compliance Officer, MSSB (2010-present); Vice President and Deputy AML Compliance Officer, MSWM (2009-2010); and Vice President, Morgan Stanley & Co. (2004-2009)

Sean Lutz MSWM Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1971	Assistant Treasurer	Since 2010	Vice President, MSWM (2009-present); and Vice President, CGM (2006-2009)

Suzan M. Barron BBH 50 Milk Street Boston, MA 02109 Birth Year: 1964	Assistant Secretary	Since 2011	Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present)

Alexander Tikonoff BBH 50 Milk Street Boston, MA 02109 Birth Year: 1974	Assistant Secretary	Since 2011	Assistant Vice President and Investor Services Counsel, BBH&Co. (2006-present)

*	Each Trustee and Officer serves until his or her successor has been duly elected and qualified.

**	Mr. Walker is an “interested person” of the Trust as defined in the 1940 Act because of his position with MSSB.

196

Important Tax Information

(unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2011:


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Value Equity Investments			International Equity Investments			Emerging Markets Equity Investments
Record Date:		12/6/2011			12/6/2011			12/6/2011			12/6/2011			12/6/2011
Payable Date:		12/7/2011			12/7/2011			12/7/2011			12/7/2011			12/7/2011
Ordinary Income:
Qualified Dividend Income for Individuals		100.00	%		100.00	%		100.00	%		100.00	%		66.46	%
Dividends Qualifying for the Dividends Received Deduction for Corporations		100.00	%		97.65	%		100.00	%		0.00	%		—
Foreign Source Income		—			—			—			98.99	%*		99.37	%*
Foreign Tax Paid Per Share		—			—			—		$	0.01757		$	0.04693

	Core Fixed Income Investments			High Yield Investments			International Fixed Income Investments			Municipal Bond Investments			Money Market Investments
Record Date:		12/6/2011			12/6/2011			Monthly			Monthly			Monthly
Payable Date:		12/7/2011			12/7/2011			Monthly			Monthly			Monthly
Ordinary Income:
Qualified Dividend Income for Individuals		—			0.00	%		—			—			—
Dividends Qualifying for the Dividends Received Deduction for Corporations		—			0.00	%		—			—			—
Interest from Tax-Exempt Obligations		—			—			—			100.00	%		—
Interest from Federal Obligations		31.85	%		0.00	%		1.99	%		—			14.09	%
Long-Term Capital Gain Dividend	$	0.0226			—			—			—			—

*	Expressed as a percentage of the cash distribution grossed-up for foreign taxes.

The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.

Please retain this information for your records.

197

MORGAN STANLEY SMITH BARNEY, LLC

Distributor

CONSULTING GROUP ADVISORY SERVICES LLC

Investment Adviser

This report is submitted for the general information of the shareholders of Consulting Group Capital Markets Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-877-937-6739 (“ask for Consulting Group”).

Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-877-937-6739 (ask for “Consulting Group”), (2) on the Funds’ website at https://www.smithbarney.com/products_services/managed_money/trak/trak_cgcm.html and (3) on the SEC’s website at www.sec.gov.

^© 2012 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley. Investments are not FDIC-insured or bank-guaranteed, and investors may lose money.

Consulting Group Capital Markets Funds

2000 Westchester Avenue

Purchase, NY 10577

198

ITEM 2. CODE OF ETHICS.

As of the period ended August 31, 2012 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 12(a)(1).

The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The Board of Trustees of the Registrant has determined that Mark J. Reed possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Reed as the Registrant’s audit committee financial expert. Mr. Reed is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

AUDIT FEES –

(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2012 and August 31, 2011 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $455,075 in 2012 and $417,500 in 2011.

(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2012, and August 31, 2011, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2012 and $0 for 2011.

(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2012 and August 31, 2011 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $86,925 in 2012 and $84,250 in 2011. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.

(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2012, and August 31, 2011, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 in 2012 and $0 for 2011.

(e)(1) The Charter for the Audit Committee (“Committee”) of the Consulting Group Capital Markets Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems

appropriate, the Committee shall report to the Board whether this system of approval has been effective and efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2012 and 0% for 2011; Tax Fees were 0% for 2012 and 0% for 2011; and Other Fees were 0% for 2012 and 0% for 2011.

(f) Not Applicable.

(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 in 2012 and $0 in 2011.

(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not Applicable.

ITEM 6. INVESTMENTS.

A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

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 COMPANIES AND AFFILIATED PURCHASERS.

Not Applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) Schedule 14A (17 CFR 240.14a-101)), or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in

Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c)) were effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by

Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.

(a)(3) Not Applicable.

(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are 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.


Consulting Group Capital Markets Funds

By:		/s/ James F. Walker
James F. Walker
Chief Executive Officer
Consulting Group Capital Markets Funds

Date: November 7, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ James F. Walker
James F. Walker
Chief Executive Officer
Consulting Group Capital Markets Funds

Date: November 7, 2012

By:		/s/ Marc Gordon
Marc Gordon
Chief Financial Officer
Consulting Group Capital Markets Funds

Date: November 7, 2012

Morgan Stanley Pathway Funds N-CSRCertified annual shareholder report (management investment company)