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: (888) 454-3965

Date of fiscal year end: August 31

Date of reporting period: August 31, 2014

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

Annual Report

August 31, 2014

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 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			14

CORE FIXED INCOME INVESTMENTS			16

HIGH YIELD INVESTMENTS			19

INTERNATIONAL FIXED INCOME INVESTMENTS			21

MUNICIPAL BOND INVESTMENTS			23

MONEY MARKET INVESTMENTS			25

FUND EXPENSES			30

SCHEDULESOF INVESTMENTS			32

STATEMENTSOF ASSETSAND LIABILITIES			150

STATEMENTSOF OPERATIONS			152

STATEMENTSOF CHANGESIN NET ASSETS			154

FINANCIAL HIGHLIGHTS			158

NOTESTO FINANCIAL STATEMENTS			164

REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM			207

BOARD APPROVALOF MANAGEMENT AGREEMENTAND INVESTMENT ADVISORY AGREEMENTS			208

ADDITIONAL INFORMATION			215

IMPORTANT TAX INFORMATION			220

Consulting Group

Capital Markets Funds

DEAR SHAREHOLDER,

Given the finish to last year, investors were operating under the assumption that better than expected economic growth and higher long-term interest rates would be the base case for 2014. Unfortunately, on the economic front, this calendar year got off to a weak start, owing in part to harsh winter weather, but incoming data though the spring and summer months returned activity more in line with recent trends. Looking ahead, the U.S. economy is projected to produce a growth rate for 2014 as a whole that is little changed from last year’s +2.2% experience.

Divergent economic prospects around the globe produced somewhat mixed results for equity markets in the annual reporting period ended August 31, 2014. With U.S. interest rates, especially for longer-dated maturities, moving lower, a key headwind for the emerging markets (EM) was removed, and resulted in EM equity returns outpacing its global counterparts. On the flip side, continued economic concerns and uncertainty regarding the Ukraine/Russia situation weighed on the Euro Zone, as core countries such as Germany and France underperformed, accordingly. Domestically, U.S. equity markets continued their upward ascent through the reporting period. Advances were essentially broadly-based across economic sectors, and reversing last years’ experience, equity investments in large-cap companies outperformed stocks of riskier small capitalization companies.

The bond market has put in an unexpected performance thus far in 2014. Unlike last year’s ‘temper tantrum’ sell-off, longer-dated rates have actually come down significantly with the U.S. Treasury 10-year yield falling almost 70 basis points from the 2013 year-end tally. In anticipation of an eventual U.S. Federal Reserve (“FED”) rate hike, perhaps by mid-2015, short-term rates have underperformed and moved very little, flattening the yield curve (the difference between short and long-term rates) as a result. With the latest round of Quantitative Easing (QE3) expected to end in October, the fixed income markets have shifted their focus to the potential timing for what is being called ‘lift-off’ or the FED’s first rate hike. In terms of domestic fixed income, positive year-to-date returns have been recorded among all broad categories, with Investment Grade Corporates and Municipals registering the top performances. Along the same lines as the equity markets, EM debt was the outperformer on the international stage. Euro Zone sovereign debt markets, especially for periphery countries like Spain and Italy, have rallied considerably as the European Central Bank (ECB) has stepped up their easing campaign.

Consulting Group Capital Markets (CGCM) Funds

Large Capitalization Growth Investments posted a total return of +24.4% in the yearly fiscal period ended August 31, 2014, lower than the +26.3% total return results of the Russell 1000^® Growth Index ⁱ and below the +25.1% performance of the average mutual fund included in Lipper’s Large-Cap Growth investment category ⁱⁱ. An underweight exposure to the Consumer Staples sector and an overweight allocation to the Health Care sector, combined with positive stock selections in the Health Care (pharmaceuticals) sector, contributed to relative returns, but were not enough to counter detracting contributions from investments in the Financials (diversified financial services), Materials (chemicals), and Information Technology (internet software & services) sectors, which unfavorably affected performance in the twelve-month period.

Large Capitalization Value Equity registered a gain of +22.4% in the fiscal year, trailing the +24.4% advance of the Russell 1000 Value^® Index ⁱⁱⁱ and the average +22.8% rise in the performance of mutual funds included in the Lipper Large-Cap Value investment category ^iv. An overweight allocation to the Information Technology sector, in addition to, favorable security picks in the Energy (oil, gas & consumable fuels) and Health Care (pharmaceuticals) sectors benefitted relative performance, but were offset by negative contributions from stock picks in the Consumer Discretionary (specialty retail) and Information Technology (electronic equipment instruments & components) sectors, which subtracted from returns in the annual period.

Small Capitalization Growth Investments climbed +16.9% over the yearly performance period, as compared to the +17.3% increase of the Russell 2000 Growth^® Index ^v and the +14.0% return of the average mutual fund included in the Lipper Small-Cap Growth investment category ^vi. Contributions from positive stock selections in the Health Care (pharmaceuticals, health care equipment & supplies) and Materials (paper & forest products) sectors enhanced returns in the one-year period. On the other hand, detracting contributions from an exposure to cash and stock picks in the Information Technology (software) and Consumer Staples (food & staples retailing) sectors hurt relative performance.

Small Capitalization Value Investments generated an advance of +20.2% in the annual reporting period ended August 31, 2014. Absolute performance exceeded the +18.1% increase in the returns of the Russell 2000^® Value Index ^vii and the +19.3% gain of the average mutual fund included in Lipper’s Small-Cap Value investment category ^viii. Stock selections in an array of economic sectors including Industrials (trading companies & distributors, commercial services & supplies), Materials (metals & mining), Energy (oil, gas & consumable fuels), Information Technology (software), and Consumer Staples (food products) were behind relative returns in the twelve-month period. Sector positioning, including an underweight allocation to the Financials sector as well as an overweight exposure to the Industrials and Materials sectors, also added value in the period and positively affected relative performance.

International Equity Investments rose +11.5%, as compared to the +16.4% return of the MSCI EAFE^® Index (Net) ^ix and the +15.6% increase in the performance of the average mutual fund included in Lipper’s International Large-Cap Core investment category ^x. Favorable stock selections in the U.S. as well as Japan and in the Health Care (pharmaceuticals) sector aided relative returns over the fiscal annual period. Conversely, sector positioning, including an overweight allocation to the Consumer Discretionary sector as well as an exposure to cash, in addition to, unsuccessful stock picks in the Information Technology (internet software & services) and Financials (banks) sectors detracted from relative performance results. At the same time, country security holdings in the United Kingdom and Germany combined with an overweight position in the U.S. as well as Canada, and an underweight allocation to Spain, also hindered relative returns. On a separate note, asset management changes were made in the line-up of investment managers of the fund as OppenheimerFunds, Inc. and Causeway Capital Management LLC commenced as new sub-advisers during the fiscal year.

Emerging Markets Equity Investments registered twelve-month performance of +20.0%, in-line with the +20.0% return of the MSCI Emerging Markets Index (Net) ^xi and ahead of the +18.9% advance of the average mutual fund included in Lipper’s Emerging Markets investment category ^xii. An overweight exposure to India and Brazil and an underweight allocation to Chile, in addition to, positive stock picks in the Financials (banks), Health Care (pharmaceuticals), and Consumer Staples (beverages) sectors benefited relative performance in the twelve-month period ended August 31, 2014. A selective underweight allocation to the Materials sector, combined with individual holdings in India, Taiwan, and Hong Kong also boosted relative returns during the fiscal year. In contrast, from a sector perspective, an overweight allocation to Consumer Staples and an underweight position in Information Technology, in addition to, selective detracting security holdings in the Energy (energy equipment & services) and Industrials (construction & engineering) sectors, hampered relative returns in the one-year period. Negative contributions from an overweight exposure to Russia and country security positions in Russia, the U.S., South Africa, and China additionally hurt relative performance.

Core Fixed Income ascended +6.1% in the fiscal year, exceeding the +5.7% return of its market benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index ^xiii, and in-line with the +6.1% rise for the average mutual fund included in Lipper’s Core Bond investment category ^xiv. Favorable contributions from investment grade and high yield sector selections benefited relative performance, offsetting declines from interest rate management (duration, yield curve positioning) and individual security selections, which diminished relative returns in the period.

High Yield Investments experienced an increase of +9.8% in the annual fiscal reporting period, below the +10.6% advance of the Barclays Capital U.S. High Yield Index ^xv, but ahead of the +9.3% average return of mutual funds included in Lipper’s High Yield investment category ^xvi. Bond selections, namely in Telecommunications and Energy, contributed positively to excess returns in the fiscal year. At the same time, however, interest rate management (yield curve positioning) and sector selections, on the aggregate, generally subtracted from yearly performance.

International Fixed Income Investments’ fiscal year return advanced +7.4%, as compared to the +7.9% return of the Citigroup Non-USD World Government Bond Index (USD) Hedged ^xvii and the +7.8% gain for the average mutual fund included in Lipper’s International Income investment category ^xviii. Contributions from country allocations particularly investments in emerging markets debt, currency decisions, and an exposure to investment grade corporates, high yield, and mortgage-backed securities aided results, although interest rate management (duration, yield curve positioning) and individual bond picks detracted from relative returns in the yearly period.

Municipal Bond Investments twelve-month performance of +9.2% in the fiscal period ended August 31, 2014 fell short of the +10.1% return of the Barclays Capital U.S. Municipal Bond Index ^xix as well as the +11.1% increase in the average mutual fund included in Lipper’s General & Insured Municipal Debt investment category ^xx. Positioning along the yield curve and an emphasis on higher credit quality issues affected relative performance during the year. In the yearly time period, long maturity municipals were typically the best performers, and additionally, lower-rated municipal debt generally outperformed their higher-rated counterparts.

Additional information regarding the investment managers of the CGCM Funds and commentary specific to each individual sub-adviser is available in the Annual Report following this Shareholder Letter.

Equity and fixed income investors in the CGCM Funds, by and large, finished the fiscal year ended August 31, 2014, in positive territory, but the path towards achieving absolute total return gains was not a straight line. Global macro events sent the markets on a challenging expedition as both stocks and bonds experienced intervals of volatility during the annual reporting period. As past history has shown, unpredictable periods of stock and bond price gyrations can and do occur periodically during a market cycle. These unforeseen instances serve as a reminder of how important it is for investors to maintain a balanced, diversified portfolio and a long-term perspective, consistent with individual goals, time horizons, and risk tolerances. Market participants are encouraged to review personal investment plans periodically and discuss particular individual investment concerns and needs with your 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 J. Tracy

Chief Executive Officer

October 30, 2014

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://morganstanley.com/cgcm.

Shares of the Funds are available to participants in certain investment advisory programs sponsored by Morgan Stanley, including TRAK^® CGCM, Select UMA, Consulting Group Advisor and Portfolio Management. The services offered through these programs may provide investors with asset allocation recommendations, which are implemented through the Funds. Under an investment advisory program, an investor typically pays an advisory fee that may vary based on a number of factors. The maximum shareholder fee (in addition to annual fund operating expenses) for assets invested in the Consulting Group Capital Markets Funds (“Trust”) through the TRAK^® CGCM or Consulting Group Advisor investment advisory programs is 2.00% of average quarter-end net assets. The maximum shareholder fee (in addition to annual fund operating expenses) for assets invested in the Trust through the Select UMA and the Portfolio Management investment advisory programs is 2.50% and 3.00% of average quarter-end net assets, respectively. The maximum shareholder fees vary between the investment advisory programs because of differences in the services provided through the programs and other factors. Investors existing prior to April 1, 2010, will be assessed a maximum shareholder fee (in addition to annual fund operating expenses) for all assets invested in the Trust under TRAK^® CGCM of 1.50% of average quarter-end net assets. These fees may be reduced in certain circumstances. These fees may be paid either by redemption of shares of the Funds or by a separate payment.

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 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.

ii.

The Lipper Large-Cap Growth Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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 above-average characteristics compared to the S&P 500 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

iii.

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.

iv.

The Lipper Large-Cap Value Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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 below-average characteristics compared to the S&P 500 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or 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.

vi.

The Lipper Small-Cap Growth Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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 above-average characteristics compared to the S&P SmallCap 600 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

vii.

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.

viii.

The Lipper Small-Cap Value Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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 below-average characteristics compared to the S&P SmallCap 600 Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

ix.

The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. 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.

compared to their large-cap-specific subset of the MSCI EAFE^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xi.

The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. 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.

xii.

The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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 Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xiii.

The Barclays Capital U.S. Aggregate Bond^TM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS. 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.

xiv.

The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in non-benchmark sectors such as high-yield, global and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xv.

The Barclays Capital U.S. Corporate High-Yield Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. 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.

xvi.

The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xvii.

The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (“WGBI”), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. 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.

xviii.

The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes 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. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

xix.

The Barclays Capital U.S. Municipal Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. 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.

xx.

The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.


Performance of the Consulting Group Capital Markets Funds For the Year Ended August 31, 2014†*

Large Capitalization Growth Investments	24.35	%
Russell 1000^® Growth Index (1)	26.29

Large Capitalization Value Equity Investments	22.37
Russell 1000^® Value Index (2)	24.43

Small Capitalization Growth Investments	16.91
Russell 2000^® Growth Index (3)	17.30

Small Capitalization Value Equity Investments	20.17
Russell 2000^® Value Index (4)	18.10

International Equity Investments	11.45
The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) (5)	16.43

Emerging Markets Equity Investments	19.97
MSCI Emerging Markets Index (Net) (6)	19.98

Core Fixed Income Investments	6.10
Barclays Capital U.S. Aggregate Bond^TM Index (7)	5.66

High Yield Investments	9.75
Barclays Capital U.S. Corporate High-Yield Index (8)	10.58

International Fixed Income Investments	7.36
Citigroup Non-USD World Government Bond Index (USD) Hedged (9)	7.85

Municipal Bond Investments	9.24
Barclays Capital U.S. Municipal Index (10)	10.14

Money Market Investments**	0.00
90-day Treasury Bill Index	0.04

See pages 27 through 29 for all footnotes.

LOGO

Large Capitalization Growth Investments

ABOUTTHE SUBADVISERS

Ÿ Jackson Square Partners, LLC (“JSP”)

JSP invests primarily in common stocks of large capitalization growth-oriented companies that JSP believes have long-term capital appreciation potential and are expected to grow faster than the U.S. economy. Using a bottom up approach, JSP 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. JSP also considers a company’s operational efficiencies, management’s plans for capital allocation and the company’s shareholder orientation.

Ÿ Wells Capital Management, Inc. (“Wells”)

Wells employs both proprietary screens and intensive grassroots research in order to identify high-growth companies expected to outperform their peers. Wells’ 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.

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

Westfield uses an active management style and favors investing in earnings growth stocks given a 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, 2013, through August 31, 2014, the Sub-advisers for CGCM Large Capitalization Growth Investments (“Fund”) were Jackson Square Partners, LLC (“JSP”) (formerly, Delaware Investments Fund Advisers), Wells Capital Management, Inc. (“Wells”), Westfield Capital Management Company, L.P. (“Westfield”) and Frontier Capital Management Co., LLC (“Frontier”).

The portion of the Fund managed by JSP underperformed the Fund’s market index benchmark, the Russell 1000^® Growth Index, for the year ended August 31, 2014. Strong stock selection in the Health Care and Consumer Staples sectors was overshadowed by weak relative performance in the Financial Services and Materials & Processing sectors. Additionally, the strategy sold a long term holding within the Technology sector and the resulting relative underweight to this strong performing stock further detracted from performance. Shifts in market sentiment during the period suggest that many investors appear to be struggling with accurately predicting the pace of global economic recovery and are assessing factors that threaten economic fundamentals (for example, central bank actions and fiscal policy debates across the globe). In such an uncertain macroeconomic environment, JSP believes the quality of a company’s business model, competitive position, and management may prove to be of utmost importance. Regardless of the economic outcome, JSP remains consistent in their long-term investment philosophy: In wanting to own what are viewed as strong secular-growth companies with solid business models and competitive positions that can grow market share and have the potential to deliver shareholder value in a variety of market environments.

The portion of the Fund managed by Wells underperformed the Fund’s market index benchmark, the Russell 1000^® Growth Index, for the year ended August 31, 2014. In contrast to 2013’s fundamentally driven equity market, mixed economic data and a number of geopolitical events have led to increased uncertainty and reduced investor risk tolerances thus far in 2014. A profound “risk off” trade became evident in March and April as higher growth, higher valuation stocks sold off sharply in favor of the perceived safety of low valuation and higher dividend yielding equities. Wells used this volatility to increase the earnings quality and near term earnings visibility of the portfolio. Wells has reduced exposure to “longer duration” growth stocks while maintaining the growth profile and high active share. As is typically the case with a fundamentally based, bottom-up manager, security selection was the primary determinant of absolute and relative returns. While they represented a small absolute weight within the portfolio, holdings within the Consumer Staples sector proved to be a significant contributor to returns as strength was visible within the beverage industry. Positioning with the Health Care sector remains focused on firms that are “saving lives or saving dollars”. Given the significant innovation implicit in the bio-pharma industry, these stocks were a focal point within the sector and a significant contributor to returns over the past year. Security selection within the Technology sector also proved additive to returns as holdings within the Information Technology services and Internet Software & Services industries displayed considerable strength. Unfortunately, this strength was overshadowed by disappointing security selection within the Consumer Discretionary sector. A combination of weather related weakness and company specific issues weighed on returns within the specialty retail industry. Positioning

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

Frontier is a research-driven firm specializing in the management of growth-oriented U.S. equity portfolios. Frontier believes 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, improving business models; unrecognized earnings power; and attractive valuations.

within the Financials sector also detracted from returns as weakness was apparent among bank holdings.

The portion of the Fund managed by Westfield performed in-line with the Fund’s market index benchmark, the Russell 1000^® Growth Index, for the year ended August 31, 2014. The U.S. stock market posted double-digit gains during the trailing twelve-month period, reaching all-time highs in August. Employment levels and participation are strengthening and U.S. housing — a source of concern at the beginning of the summer — has stabilized and improved. The Consumer Discretionary sector was the biggest driver of relative returns. The underweight of the sector helped, but it was positive stock selection, particularly within the casino & gaming and internet retail sub-industries, that led to the majority of incremental gains. Investments in Health Care and Energy also augmented relative performance. Information Technology and Materials were the only meaningful detractors from performance. As has often been the case, the many reasons to feel positive about the economy and the markets are tempered by mitigating factors. Manufacturing data in both Europe and China weakened considerably, capital spending in the Middle East is being delayed, and Russia’s economy remains a risk. While Russia’s economic and political woes should not have an immediate impact on the U.S., they pose a potential hit to the Eurozone economy, and in turn, to earnings of U.S. multinationals. In recognition of these factors, Westfield is reassessing its investments with global exposure and reallocating funds to those areas that benefit the most from continued strength within domestic economy.

The portion of the Fund managed by Frontier emphasizes mid-cap growth stocks. Frontier’s relative performance was driven by strength in Technology, Financial Services and Energy. The best performing stock in technology was a semiconductors company which benefitted from strong demand for an array of wireless devices. Within Financials, a data systems company continued to capitalize on its big data capabilities and deliver solid results. In Energy, a resources company has consistently over delivered with its production and reserve growth profile. Offsetting these areas was the Consumer sector, where an investment in a vitamin store underperformed after reporting disappointing same store sales metrics. After strong gains over the past several years, Frontier is not surprised to see the market consolidate given international tensions as well as a pending inflection in Federal Reserve policy. Taking a longer term perspective, Frontier sees ample reasons to be positive about the domestic economy. Five years into a recovery that has been largely consumer and government driven, Frontier believes fundamentals support renewed capital spending that in time will benefit sectors such as Technology, Industrials and Energy infrastructure, all areas where they are overweight. Frontier continues to be watchful of international developments and expects to make adjustments accordingly.

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

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

LARGE CAPITALIZATION GROWTH INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Russell 1000^® Growth Index

and the Lipper Large-Cap Growth investment category

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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.morganstanley.com/cgcm.

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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 1000 Growth Index***			Lipper Large-Cap Growth Funds Average***
Since inception (11/18/1991)		8.26	%		6.49	%		8.87	%		8.72	%
10 year		8.88			6.90			9.20			8.55
5 year		16.90			14.39			17.82			16.07
3 year		19.32			16.52			19.95			18.56
1 year		24.35			20.82			26.29			25.06

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Large Capitalization Value Equity Investments

ABOUTTHE SUBADVISERS

Ÿ 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.

Ÿ 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.

Ÿ 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.

For the period from September 1, 2013, through August 31, 2014, the Sub-advisers for Large Capitalization Value Equity Investments (“Fund”) were Cambiar Investors, LLC (“Cambiar”), NFJ Investment Group, LLC (“NFJ”), HGK Asset Management, Inc. (“HGK”) and Artisan Partners Limited Partnership (“Artisan”).

The portion of the Fund managed by Cambiar underperformed the Fund’s market index benchmark, the Russell 1000^® Value Index, for the year ended August 31, 2014. One result of the rising tide investment environment over the past year has been a lack of differentiation at the sector level; i.e., the market has been tightly correlated. As we progress in the economic cycle, security selection in the context of company specific fundamentals and tight adherence to valuation should be more relevant to forward outperformance — a potentially good backdrop for stock picking managers such as Cambiar. For the trailing twelve months, Cambiar’s Energy positions comprised the strongest value-add. Cambiar has been constructive on energy services companies that have high exposure to North America land projects, where volumes continue to move higher and pricing has stabilized. The expectation for pricing to increase will be another important earnings driver for these companies. Related beneficiaries from increased energy production in the U.S. include refineries as well as chemical companies, which can take advantage of lower input costs to increase margins as well as raise market share. Although positive on an absolute basis, Cambiar’s holdings in the Consumer Discretionary and Technology sectors were unable to keep pace with the benchmark, and subsequently a source of relative underperformance. Holdings in the Industrials sector were another source of modest underperformance; after maintaining an overweight allocation to industrials coming out of the 2008-09 financial crisis, Cambiar has been a net seller of industrials over the past year. While many forecast that industrial companies are poised to benefit from an expected uptick in capital spending, such optimism appears to be largely reflected in the multiples of which many of these stocks are trading — not an overly attractive investment profile in Cambiar’s opinion.

The portion of the Fund managed by NFJ performed in-line with the Fund’s market index benchmark, the Russell 1000^® Value Index, for the year ended August 31, 2014. The twelve-month reporting period was a generally positive market environment, punctuated by two negative months — January of 2014 and July of 2014 — and the U.S. Federal Reserve (“FED”) tapering quantitative easing. The reporting period opened with investors braced for tighter U.S. monetary policy in the fall of 2013, followed by the realization of that policy shift toward the end of that year. The FED incrementally pulled back its monthly stimulus and closed out the reporting period with the purchase of $35 billion in agency mortgage-based and longer-term Treasury securities beginning in July. Relative returns were due to positive sector weight deviations offset by a small cash position and slightly negative stock selection. Issue selection was strongest in the Industrials and Health Care sectors, while the strategy’s Consumer Discretionary and Materials holdings lagged those sectors within the benchmark. The strategy’s overweight in Information Technology and Materials boosted performance, along with an underweight in the Utilities sector. Within the benchmark, the Information Technology and Materials sectors generated the strongest absolute returns, gaining 41% and 30%, respectively over the trailing one-year period. Conversely, Utilities was the third weakest economic sector, after Telecommunication Services and Consumer Staples. The

Ÿ 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.

Fund’s underweight position in Health Care and overweight in Energy were headwinds, and failed to keep pace with the benchmark’s total return during the reporting period.

The portion of the Fund managed by HGK outperformed the Fund’s market index benchmark, the Russell 1000^® Value Index, for the fiscal year ended August 31, 2014. The fiscal year provided strongly positive equity returns as the global economy accelerated in the face of recession in Europe, slow growth in emerging markets, instability in the Middle East and prospects for less accommodative monetary policy. In spite of these headwinds, economic data surprised to the upside with the U.S. leading global economic recovery. Outperformance for the fiscal year can be attributed to strong security selection driven by bottom up stock picking as well as effective sector allocation. The strongest stock picks were in the Health Care, Staples and Technology Sectors. The strongest sector allocation was a result of being underweighted in the Financial Services sector. Conversely, on a relative basis, security selection in the Consumer Discretionary and Energy sectors were the largest detractors, as HGK’s holdings provided strongly positive returns but trailed the benchmark’s sector return. Despite the market rally during the period, HGK believes there are many opportunities for capital appreciation in the equity market for investors utilizing a disciplined valuation method. The most pronounced opportunity lies in the valuation disconnect between companies that have intelligently invested in preparation for a better economic environment and those who have cut costs too aggressively. HGK’s valuation work suggests that the market is discounting these strong operators, providing them with a number of opportunities. HGK continues to maintain a well-diversified portfolio and utilize its rigorous quantitative and qualitative analysis to find value in all economic sectors.

The portion of the Fund managed by Artisan emphasizes mid-cap value stocks. U.S. mid-cap stocks were aided by ongoing liquidity from the U.S. Federal Reserve (“FED”) and continued growth in the U.S. economy. Inflation remained tame, providing the FED with more leeway to keep short-term interest rates low for longer. Relative returns were held back by select holdings in the Consumer Discretionary and Technology sectors. Additionally, a cash position was a meaningful drag on performance. In the Consumer Discretionary sector, key detractors included handbags designer, a home goods retailer, and a toy company. The returns in the Technology sector were held back by a phone number database administrator. On the positive side, the Energy and Consumer Staples sectors were sources of outperformance and the portfolio benefited from a low weighting in the Utilities sector. With the market moving up faster than underlying business fundamentals over the past two years, finding attractive value opportunities has become more challenging for the Artisan investment team. At present, the team is a bit wary about current risk/reward dynamics priced into the market. That could change if business performance surprises to the upside or a bit of risk aversion creeps back into the market. Regardless, Artisan believes its focus on cash-producing businesses in sound financial condition, selling at undemanding valuations should continue to serve the portfolio well.

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

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Russell 1000^® Value Index

and the Lipper Large-Cap Value investment category

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 1000 Value Index***			Lipper Large-Cap Value Funds Average***
Since inception (11/18/1991)		8.26	%		6.49	%		10.76	%		9.74	%
10 year		7.29			5.34			8.23			7.43
5 year		15.57			13.09			16.62			14.86
3 year		18.76			15.97			21.57			19.73
1 year		22.37			18.90			24.43			22.77

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Small Capitalization Growth Investments

ABOUTTHE SUBADVISERS

Ÿ Wall Street Associates (“Wall Street”)

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

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

Westfield favors investing in earnings growth stocks given a 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, 2013, through August 31, 2014, the Sub-advisers for the CGCM Small Capitalization Growth Investments (“Fund”) were Wall Street Associates (“Wall Street”), and Westfield Capital Management Company, L.P. (“Westfield”).

The portion of the Fund managed by Wall Street underperformed the Fund’s market index benchmark, the Russell 2000^® Growth Index, for the year ended August 31, 2014. Stocks produced strong double-digit returns for the year ended August 31, 2014, although it was not a straight upwards move. As the fiscal year began, U.S. equity markets were in recovery mode following a mid-summer pullback. Investor’s confidence and tolerance for risk increased and stocks rallied fiercely into year-end 2013. Small cap stocks then had a bumpy ride from February through May, as investors violently rotated away from stocks that were small in size as well as those with high growth characteristics, due to fears of imminent U.S. Federal Reserve (“FED”) tapering and unrest in Russia and Ukraine. Hardest hit were those stocks with the highest revenue growth rates, particularly Technology and Biotechnology stocks. Those groups have since rallied back from correction territory on improving economic news and solid second quarter earnings reports. The Health Care sector provided the greatest contribution to portfolio return, driven by investments in medical equipment, instrumentation and pharmaceutical companies. Investments in the Energy and Materials sectors added significantly to portfolio returns. The producer durables and financial services groups were also additive to results. The largest detractor from performance for the period was the Technology sector, particularly software stocks. Consumer Discretionary stocks produced lackluster results for the period and were a drag on performance. Wall Street anticipates market levels will be higher over the next twelve-months, driven by earnings growth and continued improvement in the domestic economy. Risk control and stock selection are critically important and the asset manager continues to actively manage exposures and construct portfolios with companies experiencing sustainable long-term earnings growth rates.

The portion of the Fund managed by Westfield outperformed the Fund’s market index benchmark, the Russell 2000^® Growth Index, for the year ended August 31, 2014. The U.S. stock market posted double-digit gains during the trailing twelve-month period, reaching all-time highs in August. Its advance, however, was not uniform, with small capitalization stocks correcting sharply in March-April and again in July. Small cap valuations did become extended by the end of 2013. However, Westfield believes the performance divergence between small and large caps over the spring and summer was primarily due to investors assessing emerging geopolitical and macroeconomic risks and preferring the relative safety and liquidity of larger cap stocks. The outperformance was fairly broad-based, with seven economic sectors generating incremental gains. Investments within Health Care drove most of the upside. Westfield continues to carry a substantial overweight in the Health Care sector and favors high quality names within biotechnology and pharmaceuticals. They have also been increasingly enthusiastic about growth prospects within the Contract Research Organization segment of the life sciences tools industry. The Materials sector also contributed significantly to performance results. The portfolio’s active exposure to Materials increased during the period; however, this overweight is not an expression of an overly bullish macro viewpoint, it is built upon their analysis

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

of stock-specific risk/reward opportunities. The Industrials sector was the only meaningful detractor from relative results, held back by stock-specific weakness within office services & supplies. Westfield was pleased that the Russell 2000^® Growth Index of small capitalization stocks outperformed broad market benchmarks in August. There are good reasons for the strength of domestic equities. Most of the economic news in the United States is positive and this dynamic tends to favor smaller, U.S.-centric companies. As economic growth in the U.S. accelerates, Westfield feels comfortable that they can identify more appreciation potential in individual small cap stocks.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

SMALL CAPITALIZATION GROWTH INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Russell 2000^® Growth Index

and the Lipper Small-Cap Growth investment category

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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 2000 Growth Index***			Lipper Small-Cap Growth Funds Average***
Since inception (11/18/1991)		9.58	%		7.79	%		7.92	%		10.18	%
10 year		9.43			7.44			10.22			9.60
5 year		17.80			15.28			18.29			17.77
3 year		18.39			15.61			19.21			17.54
1 year		16.91			13.59			17.30			14.00

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Small Capitalization Value Equity Investments

ABOUTTHE SUBADVISERS

Ÿ 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.

Ÿ 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.

Ÿ Delaware Investments Fund Advisers (“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 twelve months, whichever is greater. Securities of companies whose market capitalizations no longer meet this definition after purchase still will be considered to be securities of small capitalization companies for purpose of the 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, 2013, through August 31, 2014, the Sub-advisers for CGCM Small Capitalization Value Equity Investments (“Fund”) were Rutabaga Capital Management LLC (“Rutabaga”), NFJ Investment Group LLC (“NFJ”), and Delaware Investments Fund Advisers (“Delaware”).

The portion of the Fund managed by Rutabaga outperformed the Fund’s market index benchmark, the Russell 2000^® Value Index, for the year ended August 31, 2014. Sector allocation was a slight headwind as Rutabaga held exposure to the top two performing sectors, Energy and Health Care, and were overweight in the worst performing sector, Consumer Discretionary. The investment manager’s top three performing stocks benefitted from improving commodity prices (particularly, silicon prices), increasing construction activity, and a buy-out by a competitor for a reasonable premium. Only two stocks significantly underperformed during the twelve-month period, and in both cases, new management teams are in place with credible turnaround strategies. Rutabaga remains committed to finding companies that are neglected and attractively valued and that possess internal catalysts to grow their earnings faster than other investors are expecting.

The portion of the Fund managed by NFJ outperformed the Fund’s market index benchmark, the Russell 2000^® Value Index, for the year ended August 31, 2014. The twelve-month reporting period was a generally positive market environment, punctuated by three sharply negative months — January of 2014, April of 2014, and July of 2014 — and the U.S. Federal Reserve (“FED”) tapering quantitative easing. A hallmark of the NFJ investment process is downside protection and during those three down months, the strategy outperformed the Russell 2000^® Value Index. The reporting period opened with investors braced for tighter U.S. monetary policy in the fall of 2013, followed by the realization of that policy shift toward the end of that year. The FED incrementally pulled back its monthly stimulus and closed out the reporting period with the purchase of $35 billion in agency mortgage-based and longer-term Treasury securities beginning in July. Within the benchmark, the more defensive Health Care and Utilities economic sectors, followed by Materials and Industrials names appreciated over the trailing one-year period. Laggards included Telecommunications Services stocks, the only sector to fall to a loss during the period, as well as the benchmark’s Consumer Staples and Consumer Discretionary companies. Strong absolute and relative performance was due to positive stock selection and sector allocation, albeit to a lesser degree. Issue selection was strongest in Consumer Staples and Energy, while stock picks lagged in the Consumer Discretionary and Information Technology sectors. The strategy’s overweight positions in Materials and Industrials, and underweight in Financials boosted returns. Conversely, an overweight in Consumer Staples dampened relative performance.

The portion of the Fund managed by Delaware outperformed the Fund’s market index benchmark, the Russell 2000^® Value Index, for the year ended August 31, 2014. Economic growth remained modest for the fifth consecutive year with gross domestic product (GDP) growth averaging between 2.0% – 2.5%, although the quarterly variation was wide. The continued modest growth rate enabled the FED to maintain an extremely accommodative monetary policy accompanied by very low interest rates. Corporate balance sheets remained in excellent shape and share

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

buybacks and increasing dividends continued at strong levels while merger and acquisition activity also increased. All of these appear to be indications that corporations are more confident in the economy and their ability to return excess capital to shareholders. With interest rates remaining very low and the FED continuing an extremely accommodative monetary policy, the equity markets enjoyed strong returns with most sectors within the small-cap value index having returns in excess of 15%.

From a performance standpoint, strong stock selection in the Capital Spending, Energy, and Technology sectors were major factors in outperforming on a relative basis, and offset the negative impact from underweighting Real Estate Investment Trusts (REITs). Individual stock selection contributed the majority of outperformance for the portfolio while sector allocations also had an overall positive impact on performance.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Russell 2000^® Value Index

and the Lipper Small-Cap Value investment category

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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Russell 2000 Value Index***			Lipper Small-Cap Value Funds Average***
Since inception (11/18/1991)		11.05	%		9.23	%		11.98	%		11.24	%
10 year		11.41			9.38			8.43			9.12
5 year		17.95			15.42			15.74			16.47
3 year		20.05			17.23			18.78			19.08
1 year		20.17			16.76			18.10			19.30

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

LOGO

International Equity Investments

ABOUTTHE SUBADVISERS

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

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

Ÿ 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.

Ÿ OppenheimerFunds, Inc. (“OFI”)

OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world GDP. The team’s investment process is driven by a number of very powerful, long-term economic, demographic and technological forces summarized as MANTRA^® — Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is index agnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security.

Ÿ Causeway Capital Management LLC (“Causeway”)

Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection.

For the period September 1, 2013, through August 31, 2014, the Sub-advisers for CGCM International Equity Investments (“Fund”) were Schroder Investment Management North America Inc. (“Schroders”) and Philadelphia International Advisors LP (“PIA”), while OppenheimerFunds, Inc. (“OFI”) began on May 23, 2014 and Causeway Capital Management LLC (“Causeway”) began on August 20, 2014.

The portion of the Fund managed by Schroders outperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net), for the year ended August 31, 2014. International equity markets were positive over the year, supported by low volatility and central bank accommodation. The modest recovery in the global economy continued to support solid cash flow generation and healthy earnings growth for most companies. Diverging growth within regions and central bank action were central themes. While the U.S. economic recovery prompted concerns about policy tightening, a slowing eurozone battling persistently low inflation prompted policy loosening in Europe. Geopolitical tension in the Ukraine and Middle East also dominated sentiment and affected energy prices. Stock selection was the main driver behind relative performance, particularly in the Health Care sector where Schroders’ positions in U.K. companies that were at the centre of intense merger and acquisition speculation were beneficial. Holdings in the Industrial sector also added to returns, especially in Canada. On a regional basis, Schroders’ stock selection within Japan was especially beneficial as a number of their positions overcame the market weakness related to the consumption tax increase in April. The rally in peripheral Europe hurt performance, as a result of a significant underweight allocation given a cautious view on risk, valuations and growth within that region. Schroders continues to pursue companies with strong business models that are also supported by longer-term secular growth trends. One example is an exposure to the growth in mobile services and internet connectivity, which remains in the early stages. Overall, Schroders remains focused on identifying companies with attractive growth in earnings that is underestimated by the market.

The portion of the Fund managed by PIA outperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net), for the year ended August 31, 2014. Despite some geo-political tensions out of the Ukraine and Middle East, optimism in the global economic recovery, assurances from central bankers, and increased merger and acquisition activity helped push global equities higher during the period. All sectors posted positive returns for the period with the more defensive Health Care, Telecommunications, and Utilities leading the way. With the exception of Japan, which underperformed early in 2014 due to the consumption tax hike, all major non-U.S. regions posted double-digit returns for the period in U.S. dollar terms. The portfolio’s allocation to international small cap securities was the greatest driver of outperformance as stock selection was quite strong within Industrials, Financials, and Consumer Discretionary. Amongst larger capitalization holdings, stock selection in Materials and Health Care also positively impacted net returns. Stock selection within the Energy sector was the largest detractor as select holdings underperformed the market. The portfolio’s underweight to the Telecommunications sector also modestly weighed on relative returns. Regionally, strong selection in Japanese and Continental European holdings (namely within

Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industry-specific research responsibilities. Fundamental research is further organized into four research clusters: financials/materials, consumer/energy, industrials/manufacturing, and health care/technology. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and mid-capitalization non-U.S. developed market companies. Causeway can also invest in small-cap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/book ratio, low price/cash flow ratio and high dividend yield, but may also include out-of-favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process.

France, Sweden, Italy, and the Netherlands) generated positive gains while select emerging market stocks were a slight detraction.

Since inception encompassing the period May 23, 2014 through August 31, 2014, the portion of the Fund managed by OFI underperformed the Fund’s market index benchmark, the MSCI EAFE^® Index (Net). Economic instability in the world’s emerging markets and growing geopolitical tensions in Ukraine and the Middle East led to a choppy market environment during the period. Macroeconomic factors such as these tend to introduce market volatility, creating risk on/risk off market environments, which also tend to obscure fundamentals. The portfolio outperformed in Consumer Staples as a result of stock selection activities. The portfolio underperformed in the Industrials, Consumer Discretionary and Health Care sectors. Underperformance in the Industrials and Health Care sectors was largely attributable to stock selection, while Consumer Discretionary was due to stock selection and overweight sector exposure. The portfolio’s country and regional allocations are a rolled up reflection of the portfolio’s individual stock selections. That being said, the portfolio’s exposure to Germany outperformed in regards to relative stock selection and an underweight exposure. A relative overweight to Thailand also benefited results. The portfolio’s stock selection in Japan, Italy, France and Switzerland detracted from relative results, as well as overweights to Switzerland and France and an underweight to Japan. The period featured a combination of factors that did not favor the portfolio’s emphasis on high quality, durable, growth stocks. However, the portfolio’s managers have observed other periods where lower quality, more cyclically geared business models have made significant advances. They typically do not last long.

The following graph depicts the performance of International Equity Investments vs. the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net)⁵ and the Lipper International Large-Cap Core Funds Average.¹⁵

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

INTERNATIONAL EQUITY INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Morgan Stanley Capital International Europe, Australasia,
Far East (MSCI EAFE^®) Index (Net) and the Lipper International Large-Cap Core investment category

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI EAFE Index (Net)***			Lipper International Large-Cap Core Funds Average***
Since inception (11/18/1991)		5.79	%		4.06	%		6.03	%		7.74	%
10 year		6.42			4.49			7.01			7.10
5 year		7.83			5.52			8.21			7.73
3 year		8.74			6.19			11.36			10.37
1 year		11.45			8.29			16.43			15.58

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Emerging Markets Equity Investments

ABOUTTHE SUB ADVISERS

Ÿ Vontobel Asset Management, Inc. (“Vontobel”)

Vontobel, is a global investment management firm dedicated exclusively to managing long-only global equity portfolios. Vontobel’s investment philosophy is based on a conviction that long-term, stable and superior earnings growth drives long-term investment returns and risk-adjusted outperformance. Vontobel practices a fundamental bottom-up approach that integrates elements of growth investing (growth and stability of earnings) with a strict valuation discipline in a longer term context.

Ÿ 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 300 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.

Lazard manages a relative value strategy (“Value Strategy”) and a relative growth strategy (“Growth Strategy”) and invests primarily in equity securities, principally common stocks, of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. In the Growth Strategy, Lazard employs a relative growth investment philosophy that is based on value creation through a process of bottom-up stock selection. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the trade off between valuation and growth. The percentage of the Fund’s assets allocated to Lazard is 33% to the Value Strategy and 33% to the Growth Strategy.

For the period September 1, 2013, through August 31, 2014, the Sub-advisers for the CGCM Emerging Markets Equity Investments (“Fund”) were Vontobel Asset Management, Inc. (“Vontobel”) and Lazard Asset Management LLC (“Lazard”). Lazard manages two strategies for the Fund, an emerging markets equity value strategy (“Lazard Value Strategy”) and a developing markets equity strategy (“Lazard Growth Strategy”).

The portion of the Fund managed by Vontobel outperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the year ended August 31, 2014. On a sector level, the Financials and Health Care sectors contributed positively to relative performance, supported by Vontobel’s stock selection within both sectors. The portfolio’s underweight exposure to the Information Technology sector and stock selection in Utilities were the leading detractors from performance for the period. Despite macro volatility this year, including Russia/Ukraine, a coup in Thailand, increasing troubles in the Middle East, etc., all major markets had positive returns. While Vontobel monitors these global risks as they can lead to oil price shocks, the asset manager continues to spend the majority of time focused on businesses, their growth prospects and specific risks. Vontobel remains excited about the earnings outlook for the companies held, and the portfolio is positioned to perform in a variety of market environments. Over a full market cycle, the team believes that the stocks held should perform regardless of ever present macro risks as emerging markets continue to develop, as innovations continue to come to market, and as consumers continue to strive to better their lives.

The Lazard Value Strategy outperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the year ended August 31, 2014. Over the twelve-month period ended August 31, 2014, the MSCI Emerging Markets (EM) Index increased by almost 20% in U.S. dollar terms. All Asian markets rose during the twelve-month period. Apart from Chile, where volatile copper prices hurt the currency, all Latin American equity markets recorded gains. Outside of Russia, the only eastern European market to perform poorly was Hungary. Strong stock selection in the Financial sector contributed to the outperformance. From a regional perspective, strong stock selection within South Korea and Brazil as well as an overweight exposure to Brazil benefited, while stock selection in South Africa, an overweight exposure to Russia, and an underweight exposure to India detracted from performance.

The Lazard Growth Strategy underperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the year ended August 31, 2014. Stock selection in the Consumer Discretionary and Financials sector benefited, while stock selection in the Energy, Information Technology, and Industrials sectors hurt performance. An underweight exposure to the Consumer Staples and Telecommunication services sectors as well as an overweight exposure to the Health Care sector added value. However, an underweight exposure to the Information Technology sector hurt performance. From a regional perspective, stock selection in Taiwan, India, Indonesia, and Colombia helped performance while stock selection in Brazil, Russia, and China detracted value. An underweight exposure to Chile and Malaysia and an overweight exposure to India added value. In contrast, an

The following graph depicts the performance of Emerging Markets Equity Investments vs. the MSCI Emerging Markets Index (Net)⁶ and the Lipper Emerging Markets Funds Average.¹⁶

underweight exposure to South Africa as well as an overweight exposure to Russia hurt performance.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

EMERGING MARKETS EQUITY INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the MSCI Emerging Markets Index (Net)
and the Lipper Emerging Markets investment category

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			MSCI Emerging Markets Index (Net)***			Lipper Emerging Markets Funds Average***
Since inception (4/20/1994)		5.48	%		3.74	%		N/A			6.62	%
10 year		10.53			8.52			12.16	%		11.21
5 year		6.52			4.24			7.90			7.47
3 year		2.65			0.24			4.35			4.07
1 year		19.97			16.57			19.98			18.93

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Core Fixed Income Investments

ABOUTTHE SUBADVISERS

Ÿ 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 Investment grade fixed income 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.

Ÿ 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.

Ÿ Western Asset Management Company (“Western”)

Western 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.

Ÿ 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 September 1, 2013, through August 31, 2014, 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”) and Metropolitan West Asset Management LLC (“MetWest”).

The portion of the Fund managed by BlackRock outperformed the Fund’s market index benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2014. During the period, low volatility and tight spread levels in the fixed income markets led BlackRock to utilize interest rate and yield curve positioning as the primary drivers of alpha generation (excess returns versus the benchmark). BlackRock opportunistically employed yield curve steepening and flattening strategies during the fiscal year and performance was primarily augmented by the flattening trades as the long end of the yield curve significantly outperformed the short and intermediate ends of the curve. Security selection in corporate bonds also meaningfully contributed to relative outperformance. A strategy of rotating in and out of high beta credit, in addition to, participation in the Verizon debt offering both proved to be beneficial to returns. Moreover, an overweight to securitized sectors, particularly commercial mortgage backed securities (“CMBS”), supplemented returns as investors’ appetite for yield drove spreads in these sectors to tighten. Detracting from relative performance was the portfolio’s allocation to corporate bonds. Throughout the period, an underweight to corporates was maintained which dragged on returns as corporate spreads tightened in-line with other spread sectors.

The portion of the Fund managed by PIMCO underperformed the Fund’s market index benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2014. An average underweight to U.S. duration detracted from performance as rates fell across the curve. Additionally, a short to the long-end of the curve was negative for performance as long-end rates outperformed short and intermediate rates. Exposure to European peripheral duration, namely Spanish and Italian rates, was positive for performance as yields fell in these countries. An underweight to investment grade credit detracted from returns, as the sector outperformed Treasury securities of similar duration; this was partially offset by positive security selection of bonds issued by financial companies. An overall underweight to Agency mortgage-backed securities (“MBS”) detracted for performance as the sector outperformed like-duration Treasuries during the period. Additionally, an out-of-index allocation to non-Agency mortgages contributed to returns as the sector outperformed on positive supply technicals. A tactical allocation to high yield credit was positive for performance as investor sought higher yielding assets. The New Neutral reflects global aggregate demand that is still insufficient to absorb bountiful aggregate supply, five years after the financial crisis and despite extraordinary monetary policies. While PIMCO anticipates an upward path for interest rates, the market (and the U.S. Federal Reserve’s (“FED”)) expectations for future interest rates are likely too aggressive. PIMCO strategies will emphasize diverse sources of potential return, beyond traditional interest rate duration.

The portion of the Fund managed by Western outperformed the Fund’s market index benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2014. The economic environment over the period can be characterized as one of sluggish but continued growth given the tepid economic recovery. Unemployment moved closer to the FED’s target over the period and inflation showed signs of picking up in the middle of 2014. This type of slow growth environment is, nonetheless, generally supportive of spread product. Holdings of non-agency mortgage backed securities added to performance due to the combination of price improvements, continued coupon payments and principal paydowns as investors continued to seek this higher yielding, low duration sector. Exposure to agency mortgages was also additive over the year. Tactical duration positioning moderately benefited as a sustained broad-based increase in yields, which the market generally expected, failed to materialize. An emphasis on longer-dated yields generated positive results as the yield curve tended to flatten. Holdings of investment grade credit were rewarded as spreads ground tighter over the period. High yield bonds also benefited as yield-seeking investors helped push sector prices higher. Despite some volatility in early 2014, emerging market bonds produced positive performance over the twelve months. Non-U.S. developed market bonds also contributed as did short exposures to the Japanese yen and to the Euro as these currencies fell versus the U.S. Dollar.

The portion of the Fund managed by MetWest outperformed the Fund’s market index benchmark, the Barclays Capital U.S. Aggregate Bond^TM Index, for the year ended August 31, 2014. Outperformance was driven by sector allocation and security selection via extensive bottom-up analysis. The portfolio remained underweight in U.S. Treasuries in favor of fixed income spread sectors that outpaced comparable Treasuries on a duration-adjusted basis. Non-agency residential mortgage-backed securities (“RMBS”) were significant drivers of outperformance, as fundamentals continued to improve and home prices edged higher. An allocation to commercial MBS also contributed to outperformance as the sector benefited from rising real estate prices. Despite the relative underweight position in outperforming investment grade corporates, issue selection among banking, Real Estate Investment Trusts, insurance, and electric credits was additive as the Financial and Utility sectors tightened by 43 and 40 basis points, respectively. Certain Industrial credits backed by tangible assets such as airline Enhanced Equipment Trust Certificates also contributed to outperformance despite a relative underweight to Industrials. A small allocation to high yield corporates also contributed on the margin as the sector was one of the best performing in the fixed income universe during this period. Duration in the portfolio was maintained at approximately one-year short of the Barclays Capital Bond Index which detracted from returns as U.S. Treasury rates fell.

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

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

CORE FIXED INCOME INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Aggregate Bond^TM Index

and the Lipper Core Bond Funds Average

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. Aggregate Bond Index***			Lipper Core Bond Funds Average***
Since inception (11/18/1991)		5.84	%		4.11	%		6.15	%		6.00	%
10 year		5.39			3.48			4.72			4.35
5 year		5.74			3.48			4.48			5.13
3 year		4.05			1.61			2.91			3.48
1 year		6.10			3.09			5.66			6.12

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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High Yield Investments

ABOUTTHE SUBADVISERS

Ÿ 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/sectors 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.

Ÿ Western Asset Management Company (“Western”)

Western combines traditional analysis with innovative technology applied to all sectors of the market. Western 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 September 1, 2013, through August 31, 2014, the Sub-advisers for CGCM High Yield Investments (“Fund”) were PENN Capital Management Co., Inc. (“PENN Capital”) and Western Asset Management. Company (“Western”).

The portion of the Fund managed by PENN Capital slightly underperformed the Fund’s market index benchmark, the Barclays Capital U.S. High Yield Index, for the year ended August 31, 2014. Going into this past year PENN Capital’s expectation and outlook was for “coupon-like” returns. Performance has so far exceeded that expectation, as the U.S. Federal Reserve (“FED”) and capital markets have remained accommodating to the sector. Primary drivers of performance were an overweight to Energy and credit selection with continued positive data points on U.S. Shale plays, an overweight to Media where there is consolidation in the sector and favorable industry fundamentals, good security selection in CCC credit within the bucket, including a number of distressed situations where investors are being compensated in lower segments of the market, and good security selection in Gaming which saw success in small regional credits but avoiding a large leverage buy out as the sector continues to struggle to grow into its capital structure. Detractors were an underweight to Financial Services and a shorter duration bias, which included no exposure to long-dated European bank paper which rallied with sovereign yields.

The portion of the Fund managed by Western outperformed the Fund’s market index benchmark, the Barclays Capital U.S. High Yield Index, for the year ended August 31, 2014. Quality positioning was marginally additive for the period. An overweight to the best performing ratings segment of the market, CCCs also benefitted results. Though CCCs are at the riskier end of the spectrum, Western believed that CCCs would perform well based on a belief that default rates would remain below the long term average given strong fundamentals, conservative management teams and a minimal amount of near term maturities. At the same time, Western was underweight BB-rated issues, which outperformed broad high yield market due to their greater sensitivity to interest rate changes than their B and CCC counterparts. Sector allocations negatively impacted relative returns. Western was underweight a number of outperforming sectors, including Technology, the top performing sector, and Communications. Additionally, an overweight to Transportation, lagged. Western did however, maintain an overweight to the outperforming Energy sector and an underweight to the bottom performing Consumer Cyclical sector. Issue selection added to outperformance for the year. A wireless provider, packaging company, and electric utility all outperformed and boosted performance. Exposure to a few underperforming issuers detracted.

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

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

HIGH YIELD INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Corporate High-Yield Index

and the Lipper High Yield Funds Average

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclays Capital U.S. Corporate High Yield Index***			Lipper High Yield Funds Average***
Since inception 7/13/1998		5.12	%		3.35	%		7.12	%		5.94	%
10 year		7.67			5.72			8.72			7.33
5 year		11.67			9.29			12.28			10.95
3 year		9.78			7.22			10.64			9.56
1 year		9.75			6.65			10.58			9.27

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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International Fixed Income Investments

ABOUTTHE SUBADVISER

Ÿ 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 market index.

For the period September 1, 2013, through August 31, 2014, the Sub-adviser for CGCM International Fixed Income Investments (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”). PIMCO manages a developed market Fixed Income strategy (“PIMCO DM Strategy”) and an emerging market debt strategy (“PIMCO EMD Strategy”) for the Fund.

The PIMCO DM Strategy outperformed the Citigroup Non-USD WGBI (USD) Hedged on a gross total return basis for the year ended August 31, 2014. Exposure to U.S. duration during the period was positive for performance as U.S. rates fell across the curve. Non-U.S. duration positioning was negative for performance driven by an underweight to core European rates which fell over the year. Additionally, an underweight to U.K. duration detracted from returns as rates fell in this region as well. Modest exposure to Agency mortgage-backed securities (“MBS”) contributed to performance as the sector outperformed like-duration Treasuries due to positive supply technicals. Out-of-benchmark positions within investment grade and high yield credit contributed to performance as these sectors outperformed as investors sought higher yielding assets. An allocation to non-Agency MBS was positive for performance as these securities benefitted from the ongoing housing recovery and strong demand. Lastly, holdings of municipal bonds and emerging market quasi-sovereign debt contributed to performance. PIMCO expects steady, though moderated global growth over the next year as the global economy continues on the path of a steady — albeit moderate and multi-speed — recovery. The consistent rise in asset prices in combination with fading near-term fiscal uncertainties will drive global aggregate demand growth forward, adding stability to the global recovery. And yet, growth trends will continue to diverge across countries and regions. As trends continue to diverge, PIMCO will seek to capitalize on country differentiation and emphasize diverse sources of potential return.

The PIMCO EMD Strategy also outperformed in the year ended August 31, 2014. The portfolio’s overweight to Latin American duration, especially Mexico, was positive for performance as the central bank cut rates and yields fell alongside global yields. An underweight to Turkish rates contributed to performance as the central bank hiked rates in order to stem currency outflows and correct imbalances. Less exposure to Hungarian rates detracted from returns as the central bank embarked on a rate cutting cycle. Lastly, an overweight to the Brazilian real benefited performance as the real appreciated versus the U.S. dollar. PIMCO remains optimistic about global growth in 2014; optimistic that self-reinforcing dynamics in U.S. and Europe will support expansion, while growth in the U.S. and China will underpin stability in Emerging Markets (“EM”). PIMCO expects country and corporate differentiation to figure prominently across EM given different initial conditions and idiosyncratic stresses. While generally constructive on EM assets, elevated volatility may persist amid geopolitical events, changes in developed market central bank policies, and developments relating to the Chinese economy.

The following graph depicts the performance of International Fixed Income Investments vs. the Citigroup Non-USD World Government Bond Index (USD) — Hedged,⁹ and Lipper International Income Funds Average.¹⁹

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014
INTERNATIONAL FIXED INCOME INVESTMENTS

Comparison of $10,000 and (Hedge and C.P. group) Investment in the Portfolio with the Citigroup

Non-USD World Government Bond Index (USD) Hedged, and the Lipper International Income investment category

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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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Citigroup Non-USD WGBI (USD) Hedged***			Lipper International Income Funds Average***
Since inception (11/18/1991)		6.17	%		4.43	%		6.42	%		6.24	%
10 year		4.88			2.98			4.67			5.26
5 year		5.65			3.38			4.12			4.32
3 year		4.63			2.17			4.99			1.76
1 year		7.36			4.31			7.85			7.81

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

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Municipal Bond Investments

ABOUTTHE SUBADVISER

Ÿ 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 relative risk. 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 September 1, 2013, through August 31, 2014, the Sub-adviser for CGCM Municipal Bond Investments (“Fund”) was McDonnell Investment Management, LLC (“McDonnell”).

The Fund managed by McDonnell trailed the Fund’s market index benchmark, the Barclays Capital U.S. Municipal Bond Index, for the year ended August 31, 2014. Markets staged an about-face as the higher rates brought on by last year’s ‘taper-tantrum’ enticed fixed-income investors back into the market. Domestic bond markets rallied sharply and yield curves flattened significantly amid a persistent reach for yield on the part of investors. The reach for yield has been a global phenomenon and domestically, the appetite for income has targeted a shrinking bond market. Of the major fixed income market sectors, only the corporate market has experienced robust issuance. The U.S. bond market in aggregate, is on pace to register its lowest annual issuance total in the last ten years. Amid the clamor for yield, municipals and most major taxable spread sectors strongly outperformed Treasuries across the yield curve.

For the period, AAA municipal yields declined by nearly 90 basis points in the 10-year area and 140 basis points on the long-end of the curve. Retail mutual fund redemptions, which were an important negative influence on market performance last year, stopped and steady inflows returned for much of the past year. Quality spreads tightened, with lower quality bonds outperforming higher quality bonds amid the stretch for yield. Most state and local issuers continued to experience improving credit fundamentals, as the economic recovery bolstered tax receipts and a recovering housing market helped revive property valuations. Some issuers however, continue to struggle with higher leverage and weaker regional economic prospects. In addition to a strengthening of demand, supply continued to constrict as state and local issuers scaled back issuance for the second consecutive year despite sharply lower rates. Supply constrained conditions have been a supportive market factor throughout the past year.

On the central bank front, Ben Bernanke passed the baton to new U.S. Federal Reserve (“FED”) Chairwoman, Janet Yellen. Some analysts are now expecting an imminent shift away from accommodation towards tightening, but with inflation still below the FED target, near-deflationary conditions in Europe, and disappointing wage growth domestically, FED policy is expected to focus on expanding and extending the recovery going forward. The FED is expected to conclude its last round of quantitative easing this year, and begin to transition to a less accommodative rate posture, perhaps in 2015, if inflation remains near its 2% target and labor market conditions continue to improve. If growth falters, or geopolitical developments worsen, a change in policy may be forestalled until 2016.

As we approach the interregnum between ultra-accommodative monetary policy and an eventual shift toward policy ‘normalization’, the critical issue facing investors will be how will interest rate markets react, and how will higher risk asset markets react? And how will relative valuation metrics evolve? It is worth noting that risk markets, notably equity and high yield markets, have been the biggest beneficiaries of quantitative easing to date. It will also be of critical importance to evaluate the potential ramifications to global economic growth as the market is weaned off extraordinary monetary accommodation.

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

McDonnell is relatively sanguine on the outlook for fixed-income. They do not see the current dynamic changing over the near-term. The market continues to be well-bid with not enough supply. Appetite for spread product exceeds available supply. McDonnell does not expect to see sharply higher rates anytime on the near term horizon. Lack of sufficient supply and strong demand for incremental yield has stood the bond market in relatively good stead following last year’s retreat. McDonnell expects a relatively benign environment over the near term.

HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2014

MUNICIPAL BOND INVESTMENTS

Comparison of $10,000 Investment in the Portfolio with the Barclays Capital U.S. Municipal Bond Index

and the Lipper General & Insured Municipal Debt investment category

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 Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			Barclay's Capital U.S. Municipal Bond Index***			Lipper General & Insured Municipal Debt Funds Average***
Since inception (11/18/1991)		5.05	%		3.33	%		5.87	%		5.35	%
10 year		4.07			2.18			4.77			4.08
5 year		4.62			2.38			5.39			5.61
3 year		3.98			1.55			4.88			5.46
1 year		9.24			6.15			10.14			11.14

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 for all footnotes.

LOGO

Money Market Investments

ABOUTTHE SUBADVISER

Ÿ The Dreyfus Corporation (“Dreyfus”)

Dreyfus’ approach to managing money market funds is to seek current yields consistent with the preservation of principal and the maintenance of liquidity. Dreyfus invests in a diversified portfolio of high quality, short-term debt securities with maturities of 397 days or less. The Fund is positioned based on Dreyfus’ view of the economy, yield curve analysis, anticipated changes in monetary policy, and the future path of interest rates.

For the period of September 1, 2013, through August 31, 2014, the Sub-adviser for CGCM Money Market Investments (“Fund”) was The Dreyfus Corporation (“Dreyfus”).

The Fund managed by Dreyfus maintained a goal of maximum current income consistent with the maintenance of liquidity and preservation of capital. Dreyfus intends to follow a long-held conservative credit philosophy. As such, the Fund is structured with a diversified mix of short-term fixed income instruments issued by high quality borrowers.

Economic activity in the U.S. continues to exhibit moderate strength. Second quarter GDP rebounded to a larger than expected gain of 4.2% following the 2.1% fall seen during the first quarter of the year. Monthly employment gains have remained above 200,000 although the unemployment rate ticked up to 6.2% in July as some previously discouraged workers rejoined the labor pool. Housing and auto sales have also remained firm reflecting confidence on the part of consumers

Following its July 30th meeting, the U.S. Federal Reserve (“FED”), announced that it would continue to wind down its bond purchase program. At the same time, the FED indicated that it would look at a range of labor market indicators in assessing the underlying condition of the labor market. This will give the FED a broader view in conducting monetary policy instead of a narrow focus on the unemployment rate itself. While any move to raise the federal funds rate is unlikely for the remainder of this year, there have been numerous comments from various FED officials that a rate increase could come sooner than the markets currently believe.


MONEY MARKET INVESTMENTS Average Annual Total Returns for the Period Ended August 31, 2014†
	Without Annual Advisory Program Fee			With Annual Advisory Program Fee*			90-day Treasury Bill Index***			Lipper Money Market Funds Average***
Since inception (11/18/1991)		2.73	%		1.04	%		2.76	%		2.71	%
10 year		1.54			(0.32	)		1.46			1.39
5 year		0.18			(1.97	)		0.08			0.02
3 year		0.01			(2.34	)		0.06			0.01
1 year		0.00			(2.83	)		0.04			0.01

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.

***

Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month.

See pages 27 through 29 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.morganstanley.com/cgcm.

The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 3.00%, depending on the particular program in which you invest.

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 Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE^®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. 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 (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The Index consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. 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 (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. 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 covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. 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.

12.

13.

14.

15.

The Lipper International Large-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies 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 average characteristics compared to their large-cap-specific subset of the MSCI EAFE^® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index.

16.

17.

18.

19.

20.



Fund Expenses

Example

As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 3.00% depending on the particular program through which you invest; 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, 2014 and held for the six months ended August 31, 2014.

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 Annual Advisory Program Fees⁽²⁾			Beginning Account Value			Ending Account Value			Annualized Expense Ratios⁽³⁾			Expense Paid During the Period⁽⁴⁾
Large Capitalization Growth Investments		3.31	%		$	1,000.00		$	1,033.10		0.66	%		$	3.39
Large Capitalization Value Equity Investments		9.28	%			1,000.00			1,092.80		0.66	%			3.47
Small Capitalization Growth Investments		-5.31	%			1,000.00			946.90		0.89	%			4.37
Small Capitalization Value Equity Investments		3.80	%			1,000.00			1,038.00		0.88	%			4.54
International Equity Investments		-0.66	%			1,000.00			993.40		0.76	%			3.81
Emerging Markets Equity Investments		16.41	%			1,000.00			1,164.10		0.93	%			5.08
Core Fixed Income Investments		2.78	%			1,000.00			1,027.80		0.51	%			2.58
High Yield Investments		2.62	%			1,000.00			1,026.20		0.76	%			3.86
International Fixed Income Investments		4.69	%			1,000.00			1,046.90		0.71	%			3.67
Municipal Bond Investments		3.69	%			1,000.00			1,036.90		0.58	%			2.97
Money Market Investments		0.00	%⁽⁵⁾			1,000.00			1,000.00		0.12	%			0.61

(1)

For the six months ended August 31, 2014.

(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 may be up to 3.00% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure 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 net 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 (184 days) in the most recent fiscal half-year, then divided by 365 (to reflect the one-half year period).

(5)

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



Fund Expenses


(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 each Fund’s 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 balances 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		$	1,025.17		0.66	%		$	3.37
Large Capitalization Value Equity Investments		5.00	%			1,000.00			1,025.17		0.66	%			3.36
Small Capitalization Growth Investments		5.00	%			1,000.00			1,025.16		0.89	%			4.55
Small Capitalization Value Equity Investments		5.00	%			1,000.00			1,025.16		0.88	%			4.51
International Equity Investments		5.00	%			1,000.00			1,025.17		0.76	%			3.87
Emerging Markets Equity Investments		5.00	%			1,000.00			1,025.16		0.93	%			4.75
Core Fixed Income Investments		5.00	%			1,000.00			1,025.18		0.51	%			2.58
High Yield Investments		5.00	%			1,000.00			1,025.17		0.76	%			3.86
International Fixed Income Investments		5.00	%			1,000.00			1,025.17		0.71	%			3.63
Municipal Bond Investments		5.00	%			1,000.00			1,025.18		0.58	%			2.95
Money Market Investments		5.00	%			1,000.00			1,025.20		0.12	%			0.62

(1)

For the six months ended August 31, 2014.

(2)

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

(3)



Schedules of Investments


August 31, 2014


Large Capitalization Growth Investments

Shares/Units		Security	Value
	COMMON STOCKS — 97.4%
	CONSUMER DISCRETIONARY — 18.3%
	Auto Components — 0.8%
	166,280	Delphi Automotive PLC	$	11,569,762
	33,330	TRW Automotive Holdings Corp.*		3,209,346

		Total Auto Components		14,779,108

	Automobiles — 0.1%
	17,980	Harley-Davidson Inc.		1,142,808

	Distributors — 0.1%
	81,750	LKQ Corp.*		2,321,700

	Diversified Consumer Services — 0.1%
	34,070	Bright Horizons Family Solutions Inc.*		1,385,627

	Hotels, Restaurants & Leisure — 2.1%
	14,820	Chipotle Mexican Grill Inc., Class A Shares*		10,057,593
	30,360	Dunkin’ Brands Group Inc.		1,321,874
	119,400	Las Vegas Sands Corp.		7,941,294
	72,000	MGM Resorts International*		1,761,840
	77,700	Starbucks Corp.		6,045,837
	28,890	Starwood Hotels & Resorts Worldwide Inc.		2,442,361
	104,800	Yum! Brands Inc.		7,590,664

		Total Hotels, Restaurants & Leisure		37,161,463

	Household Durables — 0.1%
	15,000	Harman International Industries Inc.		1,726,200

	Internet & Catalog Retail — 5.1%
	40,800	Amazon.com Inc.*		13,832,832
	753,225	Liberty Interactive Corp., Class A Shares*		22,235,202
	20,780	NetFlix Inc.*		9,925,359
	35,815	Priceline Group Inc. (The)*		44,564,963

		Total Internet & Catalog Retail		90,558,356

	Media — 4.8%
	265,530	Comcast Corp., Class A Shares		14,532,457
	87,461	Discovery Communications Inc., Class A Shares*		3,823,795
	280,520	Discovery Communications Inc., Class C Shares*		12,053,944
	53,720	Imax Corp. (a)*		1,489,119
	325,800	Liberty Global PLC, Class C Shares*		13,660,794
	112,100	Time Warner Inc.		8,635,063
	587,000	Twenty-First Century Fox Inc., Class A Shares		20,791,540
	122,540	Walt Disney Co. (The)		11,013,895

		Total Media		86,000,607

	Specialty Retail — 3.2%
	14,640	Advance Auto Parts Inc.		1,997,189
	30,400	DSW Inc., Class A Shares		940,576
	123,300	Home Depot Inc. (The)		11,528,550
	305,600	L Brands Inc.		19,512,560
	11,900	O’Reilly Automotive Inc.*		1,856,162
	276,050	Sally Beauty Holdings Inc.*		7,696,274
	13,020	Tiffany & Co.		1,314,239
	206,335	TJX Cos., Inc. (The)		12,299,629

		Total Specialty Retail		57,145,179

	Textiles, Apparel & Luxury Goods — 1.9%
	277,450	NIKE Inc., Class B Shares		21,793,698

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Shares/Units		Security	Value
	CONSUMER DISCRETIONARY — 18.3% — (continued)
	Textiles, Apparel & Luxury Goods — 1.9% — (continued)
	176,620	V.F. Corp.	$	11,324,874

		Total Textiles, Apparel & Luxury Goods		33,118,572

		TOTAL CONSUMER DISCRETIONARY		325,339,620

	CONSUMER STAPLES — 4.4%
	Beverages — 1.1%
	21,835	Brown-Forman Corp., Class B Shares		2,023,231
	191,300	Constellation Brands Inc., Class A Shares*		16,660,317

		Total Beverages		18,683,548

	Food & Staples Retailing — 1.9%
	86,350	Costco Wholesale Corp.		10,455,258
	382,725	Walgreen Co.		23,162,517

		Total Food & Staples Retailing		33,617,775

	Food Products — 0.9%
	104,256	Hershey Co. (The)		9,531,084
	10,600	Mead Johnson Nutrition Co., Class A Shares		1,013,360
	162,965	Mondelez International Inc., Class A Shares		5,897,703

		Total Food Products		16,442,147

	Personal Products — 0.5%
	116,550	Estee Lauder Cos., Inc. (The), Class A Shares		8,954,537

		TOTAL CONSUMER STAPLES		77,698,007

	ENERGY — 7.8%
	Energy Equipment & Services — 2.1%
	31,210	Cameron International Corp.*		2,319,839
	329,500	Halliburton Co.		22,277,495
	146,530	National Oilwell Varco Inc.		12,664,588

		Total Energy Equipment & Services		37,261,922

	Oil, Gas & Consumable Fuels — 5.7%
	96,200	Antero Resources Corp.*		5,565,170
	69,020	Cabot Oil & Gas Corp.		2,314,931
	48,730	Carrizo Oil & Gas Inc.*		3,056,346
	16,500	Concho Resources Inc.*		2,343,660
	19,280	Continental Resources Inc.(a)*		3,109,671
	242,150	EOG Resources Inc.		26,607,442
	58,000	EP Energy Corp., Class A Shares(a)*		1,121,140
	259,700	Kinder Morgan Inc.(a)		10,455,522
	40,200	Pioneer Natural Resources Co.		8,387,730
	206,560	SandRidge Energy Inc.(a)*		1,082,374
	230,000	Suncor Energy Inc.		9,450,700
	173,190	Valero Energy Corp.		9,376,507
	309,100	Williams Cos., Inc. (The)		18,372,904

		Total Oil, Gas & Consumable Fuels		101,244,097

		TOTAL ENERGY		138,506,019

	FINANCIALS — 6.1%
	Banks — 1.2%
	163,800	First Republic Bank		8,009,820
	166,060	JPMorgan Chase & Co.		9,872,267
	17,870	Signature Bank*		2,116,880
	13,723	SVB Financial Group*		1,527,644

		Total Banks		21,526,611

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Shares/Units		Security	Value
	FINANCIALS — 6.1% — (continued)
	Capital Markets — 1.3%
	48,300	Affiliated Managers Group Inc.*	$	10,198,545
	66,210	ETrade Financial Corp.		1,473,835
	45,650	Raymond James Financial Inc.		2,494,316
	119,220	State Street Corp.		8,587,416
	55,100	WisdomTree Investments Inc.(a)*		651,833

		Total Capital Markets		23,405,945

	Consumer Finance — 0.6%
	118,100	American Express Co.		10,575,855

	Diversified Financial Services — 1.3%
	121,675	Intercontinental Exchange Inc.		22,996,575

	Insurance — 0.3%
	27,130	Allied World Assurance Co. Holdings AG		1,003,539
	30,700	Aon PLC		2,675,812
	34,100	Arthur J. Gallagher & Co.		1,610,543

		Total Insurance		5,289,894

	Real Estate Investment Trusts (REITs) — 1.4%
	309,000	Crown Castle International Corp.		24,568,590

		TOTAL FINANCIALS		108,363,470

	HEALTH CARE — 16.4%
	Biotechnology — 4.8%
	59,000	Alkermes PLC*		2,639,070
	28,000	Biogen Idec Inc.*		9,605,120
	752,574	Celgene Corp.*		71,509,581
	37,030	Incyte Corp. Ltd.*		2,007,026

		Total Biotechnology		85,760,797

	Health Care Equipment & Supplies — 0.9%
	96,280	Cooper Cos., Inc. (The)		15,696,528

	Health Care Providers & Services — 1.6%
	144,029	Cardinal Health Inc.		10,614,937
	26,400	Centene Corp.*		2,062,632
	12,800	Humana Inc.		1,647,872
	57,900	McKesson Corp.		11,292,237
	38,750	MEDNAX Inc.*		2,218,438

		Total Health Care Providers & Services		27,836,116

	Health Care Technology — 0.1%
	72,000	Allscripts Healthcare Solutions Inc.*		1,063,800
	18,000	Cerner Corp.*		1,037,880

		Total Health Care Technology		2,101,680

	Life Sciences Tools & Services — 1.1%
	13,270	Covance Inc.*		1,100,083
	14,610	Illumina Inc.*		2,620,450
	138,700	Thermo Fisher Scientific Inc.		16,673,127

		Total Life Sciences Tools & Services		20,393,660

	Pharmaceuticals — 7.9%
	480,980	AbbVie Inc.		26,588,574
	73,130	Actavis PLC*		16,599,047
	165,625	Allergan Inc.		27,109,500
	149,250	Endo International PLC*		9,508,718

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Shares/Units		Security	Value
	HEALTH CARE — 16.4% — (continued)
	Pharmaceuticals — 7.9% — (continued)
	77,315	Jazz Pharmaceuticals PLC*	$	12,596,160
	34,700	Mylan Inc.*		1,686,420
	337,550	Novo Nordisk AS, ADR		15,513,798
	91,528	Perrigo Co. PLC		13,613,875
	323,800	Teva Pharmaceutical Industries Ltd., ADR		17,005,976

		Total Pharmaceuticals		140,222,068

		TOTAL HEALTH CARE		292,010,849

	INDUSTRIALS — 9.3%
	Aerospace & Defense — 1.7%
	37,640	B/E Aerospace Inc.*		3,189,614
	82,943	Precision Castparts Corp.		20,243,069
	67,475	United Technologies Corp.		7,285,950

		Total Aerospace & Defense		30,718,633

	Airlines — 0.7%
	74,200	American Airlines Group Inc.		2,887,122
	180,900	Delta Air Lines Inc.		7,160,022
	33,900	Spirit Airlines Inc.*		2,386,221

		Total Airlines		12,433,365

	Commercial Services & Supplies — 0.9%
	43,000	Copart Inc.*		1,480,490
	40,800	KAR Auction Services Inc.		1,230,528
	8,840	Stericycle Inc.*		1,050,634
	273,910	Tyco International Ltd.		12,221,864

		Total Commercial Services & Supplies		15,983,516

	Construction & Engineering — 0.1%
	29,730	Jacobs Engineering Group Inc.*		1,602,744
	40,500	MasTec Inc.*		1,235,250

		Total Construction & Engineering		2,837,994

	Electrical Equipment — 0.6%
	196,970	AMETEK Inc.		10,427,592

	Industrial Conglomerates — 0.5%
	110,620	Danaher Corp.		8,474,598

	Machinery — 2.5%
	95,550	Caterpillar Inc.		10,421,638
	65,900	Cummins Inc.		9,562,749
	189,240	Ingersoll-Rand PLC		11,392,248
	111,920	PACCAR Inc.		7,029,695
	14,280	Pall Corp.		1,204,804
	27,050	Pentair PLC		1,841,294
	31,480	Wabtec Corp.		2,624,173

		Total Machinery		44,076,601

	Marine — 0.2%
	28,140	Kirby Corp.*		3,356,821

	Professional Services — 0.7%
	29,790	IHS Inc., Class A Shares*		4,244,181
	168,020	Nielsen NV		7,895,260

		Total Professional Services		12,139,441

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Shares/Units		Security	Value
	INDUSTRIALS — 9.3% — (continued)
	Road & Rail — 1.3%
	51,200	Canadian Pacific Railway Ltd.	$	10,270,720
	318,360	CSX Corp.		9,840,508
	24,250	Genesee & Wyoming Inc., Class A Shares*		2,384,502
	21,910	J.B. Hunt Transport Services Inc.		1,655,300

		Total Road & Rail		24,151,030

	Trading Companies & Distributors — 0.1%
	18,780	WESCO International Inc.(a)*		1,577,332

		TOTAL INDUSTRIALS		166,176,923

	INFORMATION TECHNOLOGY — 30.0%
	Communications Equipment — 1.9%
	439,040	QUALCOMM Inc.		33,410,944

	Electronic Equipment, Instruments & Components — 0.7%
	28,170	Amphenol Corp., Class A Shares		2,901,792
	148,300	TE Connectivity Ltd.		9,295,444

		Total Electronic Equipment, Instruments & Components		12,197,236

	Internet Software & Services — 9.5%
	27,790	Akamai Technologies Inc.*		1,679,072
	58,950	Baidu Inc., ADR*		12,645,954
	424,775	eBay Inc.*		23,575,012
	83,400	Equinix Inc.*		18,202,884
	402,090	Facebook Inc., Class A Shares*		30,084,374
	70,558	Google Inc., Class A Shares*		41,090,157
	62,033	Google Inc., Class C Shares*		35,458,063
	93,255	Yelp Inc., Class A Shares(a)*		7,686,077

		Total Internet Software & Services		170,421,593

	IT Services — 6.0%
	10,640	Alliance Data Systems Corp.*		2,815,770
	22,770	Gartner Inc.*		1,698,414
	29,350	Global Payments Inc.		2,134,332
	40,455	International Business Machines Corp.		7,779,496
	24,460	Jack Henry & Associates Inc.		1,414,033
	340,825	MasterCard Inc., Class A Shares		25,837,943
	252,100	Vantiv Inc., Class A Shares*		7,885,688
	97,188	VeriFone Systems Inc.*		3,393,805
	247,105	Visa Inc., Class A Shares		52,514,755
	13,620	WEX Inc.*		1,547,913

		Total IT Services		107,022,149

	Semiconductors & Semiconductor Equipment — 1.0%
	34,600	Avago Technologies Ltd., Class A Shares		2,840,314
	139,410	Lam Research Corp.		10,024,973
	63,750	NXP Semiconductor NV*		4,368,150
	17,920	Xilinx Inc.		757,120

		Total Semiconductors & Semiconductor Equipment		17,990,557

	Software — 6.7%
	342,775	Adobe Systems Inc.*		24,645,522
	166,400	Cadence Design Systems Inc.*		2,935,296
	99,300	Electronic Arts Inc.*		3,757,512
	58,800	Fortinet Inc.*		1,517,628
	194,250	Intuit Inc.		16,157,715

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 30.0% — (continued)
	Software — 6.7% — (continued)
	685,875	Microsoft Corp.	$	31,159,301
	277,660	Oracle Corp.		11,531,220
	377,140	Salesforce.com Inc.*		22,285,203
	74,800	ServiceNow Inc.*		4,572,524
	151,500	Zynga Inc., Class A Shares*		438,592

		Total Software		119,000,513

	Technology Hardware, Storage & Peripherals — 4.2%
	605,045	Apple Inc.		62,017,113
	320,810	EMC Corp.		9,473,519
	32,100	SanDisk Corp.		3,144,516

		Total Technology Hardware, Storage & Peripherals		74,635,148

		TOTAL INFORMATION TECHNOLOGY		534,678,140

	MATERIALS — 3.7%
	Chemicals — 3.5%
	143,320	Celanese Corp., Series A, Class A Shares		8,963,233
	17,420	Cytec Industries Inc.		1,794,957
	150,523	FMC Corp.		9,955,591
	191,310	Monsanto Co.		22,125,001
	46,250	PPG Industries Inc.		9,521,025
	6,610	Sherwin-Williams Co. (The)		1,441,707
	109,450	Syngenta AG, ADR(a)		7,892,440

		Total Chemicals		61,693,954

	Construction Materials — 0.2%
	33,800	Eagle Materials Inc.		3,444,558

		TOTAL MATERIALS		65,138,512

	TELECOMMUNICATION SERVICES — 1.4%
	Diversified Telecommunication Services — 0.6%
	44,530	Cogent Communications Holdings Inc.		1,543,410
	207,200	Verizon Communications Inc.		10,322,704

		Total Diversified Telecommunication Services		11,866,114

	Wireless Telecommunication Services — 0.8%
	125,102	SBA Communications Corp., Class A Shares*		13,797,499

		TOTAL TELECOMMUNICATION SERVICES		25,663,613

		TOTAL COMMON STOCKS (Cost — $1,145,316,576)		1,733,575,153


Face Amount
	SHORT-TERM INVESTMENTS (b) — 4.1%
	MONEY MARKET FUND — 1.5%
$	27,461,626	Invesco STIT — Government & Agency Portfolio(c) (Cost — $27,461,626)		27,461,626

	TIME DEPOSITS — 2.6%
	8,089,014	Banco Santander SA — Frankfurt, 0.030% due 9/2/14		8,089,014
	4,095,816	DNB ASA — Oslo, 0.030% due 9/2/14		4,095,816
	1,720,168	JPMorgan Chase & Co. — Nassau, 0.030% due 9/2/14		1,720,168

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Growth Investments

Face Amount		Security	Value
	TIME DEPOSITS — 2.6% — (continued)
$	32,282,238	Wells Fargo — Grand Cayman, 0.030% due 9/2/14	$	32,282,238

		TOTAL TIME DEPOSITS (Cost — $46,187,236)		46,187,236

		TOTAL SHORT-TERM INVESTMENTS (Cost — $73,648,862)		73,648,862

		TOTAL INVESTMENTS — 101.5% (Cost — $1,218,965,438#)		1,807,224,015

		Liabilities in Excess of Other Assets — (1.5)%		(27,186,347	)

		TOTAL NET ASSETS — 100.0%	$	1,780,037,668

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 2.6%.

(c)

Represents investment of collateral received from securities lending transactions.

Aggregate cost for federal income tax purposes is $1,232,802,212.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
PLC		— Public Limited Company


Summary of Investments by Security Sector^
Information Technology	29.6	%
Consumer Discretionary	18.0
Health Care	16.2
Industrials	9.2
Energy	7.7
Financials	6.0
Consumer Staples	4.3
Materials	3.6
Telecommunication Services	1.4
Short-Term Investments	4.0

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	COMMON STOCKS — 96.3%
	CONSUMER DISCRETIONARY — 10.5%
	Automobiles — 2.0%
	1,661,500	Ford Motor Co.	$	28,926,715

	Diversified Consumer Services — 0.2%
	82,609	H&R Block Inc.		2,769,880

	Hotels, Restaurants & Leisure — 1.2%
	208,000	Carnival Corp.		7,879,040
	406,000	MGM Resorts International*		9,934,820

		Total Hotels, Restaurants & Leisure		17,813,860

	Household Durables — 1.5%
	600,000	Sony Corp., ADR		11,466,000
	64,800	Whirlpool Corp.		9,915,696

		Total Household Durables		21,381,696

	Internet & Catalog Retail — 0.1%
	73,245	Liberty Interactive Corp., Class A Shares*		2,162,192

	Leisure Products — 0.7%
	311,726	Mattel Inc.		10,751,430

	Media — 1.9%
	257,500	Comcast Corp., Class A Shares		14,092,975
	70,744	Gannett Co., Inc.		2,388,317
	32,858	Omnicom Group Inc.		2,366,105
	251,600	Twenty-First Century Fox Inc., Class A Shares		8,911,672

		Total Media		27,759,069

	Multiline Retail — 1.9%
	164,924	Kohl’s Corp.		9,695,882
	97,200	Macy’s Inc.		6,054,588
	30,618	Nordstrom Inc.		2,120,297
	163,000	Target Corp.		9,791,410

		Total Multiline Retail		27,662,177

	Specialty Retail — 0.2%
	38,191	Bed Bath & Beyond Inc.*		2,454,154

	Textiles, Apparel & Luxury Goods — 0.8%
	49,947	Coach Inc.		1,839,548
	154,820	V.F. Corp.		9,927,058

		Total Textiles, Apparel & Luxury Goods		11,766,606

		TOTAL CONSUMER DISCRETIONARY		153,447,779

	CONSUMER STAPLES — 5.1%
	Beverages — 0.7%
	141,400	Molson Coors Brewing Co., Class B Shares		10,456,530

	Food & Staples Retailing — 2.0%
	226,577	CVS Caremark Corp.		18,001,543
	80,134	Kroger Co. (The)		4,085,231
	105,600	Wal-Mart Stores Inc.		7,972,800

		Total Food & Staples Retailing		30,059,574

	Food Products — 1.2%
	207,949	Archer-Daniels-Midland Co.		10,368,337
	65,500	J.M. Smucker Co. (The)		6,720,300

		Total Food Products		17,088,637

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	CONSUMER STAPLES — 5.1% — (continued)
	Household Products — 1.2%
	84,777	Kimberly-Clark Corp.	$	9,155,916
	95,000	Procter & Gamble Co. (The)		7,895,450

		Total Household Products		17,051,366

		TOTAL CONSUMER STAPLES		74,656,107

	ENERGY — 14.9%
	Energy Equipment & Services — 3.5%
	308,306	Ensco PLC, Class A Shares		15,563,287
	138,000	Halliburton Co.		9,330,180
	155,970	McDermott International Inc.*(a)		1,122,984
	279,300	National Oilwell Varco Inc.		24,139,899
	59,978	Patterson-UTI Energy Inc.		2,071,640

		Total Energy Equipment & Services		52,227,990

	Oil, Gas & Consumable Fuels — 11.4%
	130,000	Anadarko Petroleum Corp.		14,649,700
	170,328	Chevron Corp.		22,048,959
	389,951	ConocoPhillips		31,671,820
	163,136	Denbury Resources Inc.		2,809,202
	13,347	Hess Corp.		1,349,382
	679,361	Marathon Oil Corp.		28,322,560
	188,130	Murphy Oil Corp.		11,752,481
	83,800	Occidental Petroleum Corp.		8,692,574
	111,300	Royal Dutch Shell PLC, Class A Shares, ADR		9,011,961
	33,090	SM Energy Co.		2,946,334
	43,182	Southwestern Energy Co.*		1,778,235
	250,300	Total SA, ADR(a)		16,509,788
	287,000	Valero Energy Corp.		15,538,180

		Total Oil, Gas & Consumable Fuels		167,081,176

		TOTAL ENERGY		219,309,166

	FINANCIALS — 21.0%
	Banks — 6.2%
	252,000	BB&T Corp.		9,407,160
	143,000	Citigroup Inc.		7,385,950
	353,800	Fifth Third Bancorp		7,219,289
	506,910	JPMorgan Chase & Co.		30,135,799
	12,771	M&T Bank Corp.(a)		1,578,879
	93,800	PNC Financial Services Group Inc.		7,949,550
	970,000	Regions Financial Corp.		9,845,500
	328,900	Wells Fargo & Co.		16,918,616

		Total Banks		90,440,743

	Capital Markets — 2.9%
	74,400	Ameriprise Financial Inc.		9,356,544
	192,600	Franklin Resources Inc.		10,885,752
	52,802	Goldman Sachs Group Inc. (The)		9,457,367
	19,132	Northern Trust Corp.		1,326,804
	168,269	State Street Corp.		12,120,416

		Total Capital Markets		43,146,883

	Consumer Finance — 2.7%
	244,000	Capital One Financial Corp.		20,022,640
	498,618	Navient Corp.		8,945,207
	425,000	Synchrony Financial*		10,960,750

		Total Consumer Finance		39,928,597

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	FINANCIALS — 21.0% — (continued)
	Diversified Financial Services — 0.1%
	10,549	Intercontinental Exchange Inc.	$	1,993,761

	Insurance — 8.8%
	95,500	ACE Ltd.		10,154,515
	7,823	Alleghany Corp.*		3,372,730
	48,894	Allied World Assurance Co. Holdings AG		1,808,589
	376,968	Allstate Corp. (The)		23,179,762
	209,400	American International Group Inc.		11,738,964
	28,714	Aon PLC		2,502,712
	44,698	Arch Capital Group Ltd.*		2,484,315
	277,500	Hartford Financial Services Group Inc.		10,281,375
	46,075	Loews Corp.		2,015,321
	719,116	MetLife Inc.		39,364,410
	87,205	Progressive Corp. (The)		2,181,869
	42,828	Torchmark Corp.		2,336,267
	96,500	Travelers Cos., Inc. (The)		9,139,515
	188,000	Willis Group Holdings PLC		7,890,360

		Total Insurance		128,450,704

	Real Estate Investment Trusts (REITs) — 0.3%
	84,463	American Capital Agency Corp.		1,997,550
	89,688	Hatteras Financial Corp.		1,784,791

		Total Real Estate Investment Trusts (REITs)		3,782,341

		TOTAL FINANCIALS		307,743,029

	HEALTH CARE — 12.6%
	Health Care Equipment & Supplies — 2.5%
	248,500	Abbott Laboratories		10,496,640
	249,500	Baxter International Inc.		18,707,510
	3,408	Becton Dickinson and Co.		399,315
	107,484	St. Jude Medical Inc.		7,049,876

		Total Health Care Equipment & Supplies		36,653,341

	Health Care Providers & Services — 3.2%
	116,000	Aetna Inc.		9,527,080
	44,934	Cigna Corp.		4,250,756
	149,000	Express Scripts Holding Co.*		11,015,570
	150,984	UnitedHealth Group Inc.		13,087,293
	81,000	WellPoint Inc.		9,437,310

		Total Health Care Providers & Services		47,318,009

	Life Sciences Tools & Services — 0.7%
	176,000	Agilent Technologies Inc.		10,060,160

	Pharmaceuticals — 6.2%
	177,950	Eli Lilly & Co.		11,310,502
	150,700	GlaxoSmithKline PLC, ADR(a)		7,399,370
	193,165	Johnson & Johnson		20,037,006
	451,240	Merck & Co., Inc.		27,124,036
	108,000	Novartis AG, ADR		9,702,720
	246,800	Pfizer Inc.		7,253,452
	153,400	Teva Pharmaceutical Industries Ltd., ADR		8,056,568

		Total Pharmaceuticals		90,883,654

		TOTAL HEALTH CARE		184,915,164

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	INDUSTRIALS — 8.3%
	Aerospace & Defense — 3.0%
	94,150	General Dynamics Corp.	$	11,603,987
	98,000	Honeywell International Inc.		9,332,540
	12,457	L-3 Communications Holdings Inc.		1,369,647
	54,900	Lockheed Martin Corp.		9,552,600
	72,400	Northrop Grumman Corp.		9,210,728
	26,619	Rockwell Collins Inc.		2,049,131

		Total Aerospace & Defense		43,118,633

	Commercial Services & Supplies — 0.1%
	40,996	Republic Services Inc., Class A Shares		1,612,373

	Construction & Engineering — 0.8%
	140,200	Fluor Corp.		10,359,378
	28,913	Jacobs Engineering Group Inc.*		1,558,700

		Total Construction & Engineering		11,918,078

	Electrical Equipment — 0.8%
	152,500	Emerson Electric Co.		9,763,050
	17,191	Hubbell Inc., Class B Shares		2,078,392

		Total Electrical Equipment		11,841,442

	Industrial Conglomerates — 1.0%
	95,152	Danaher Corp.		7,289,595
	303,200	General Electric Co.		7,877,136

		Total Industrial Conglomerates		15,166,731

	Machinery — 1.7%
	97,800	Dover Corp.		8,593,686
	32,298	Joy Global Inc.(a)		2,039,619
	35,873	Kennametal Inc.		1,607,469
	142,800	Stanley Black & Decker Inc.		13,066,200

		Total Machinery		25,306,974

	Professional Services — 0.2%
	24,618	Manpowergroup Inc.		1,909,864
	11,108	Towers Watson & Co., Class A Shares		1,217,770

		Total Professional Services		3,127,634

	Road & Rail — 0.7%
	89,443	Norfolk Southern Corp.		9,570,401
	10,572	Ryder System Inc.		955,074

		Total Road & Rail		10,525,475

		TOTAL INDUSTRIALS		122,617,340

	INFORMATION TECHNOLOGY — 13.8%
	Communications Equipment — 1.6%
	612,881	Cisco Systems Inc.		15,315,896
	120,600	Harris Corp.		8,609,634

		Total Communications Equipment		23,925,530

	Electronic Equipment, Instruments & Components — 0.8%
	61,833	Arrow Electronics Inc.*		3,849,104
	81,243	Avnet Inc.		3,616,126
	92,751	FLIR Systems Inc.		3,134,056
	27,495	Ingram Micro Inc., Class A Shares*		792,681

		Total Electronic Equipment, Instruments & Components		11,391,967

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 13.8% — (continued)
	Internet Software & Services — 1.8%
	182,000	eBay Inc.*	$	10,101,000
	24,000	Google Inc., Class A Shares*		13,976,640
	30,784	IAC/InterActiveCorp		2,142,259

		Total Internet Software & Services		26,219,899

	IT Services — 2.3%
	209,500	Amdocs Ltd.		9,867,450
	41,425	NeuStar Inc., Class A Shares*(a)		1,221,624
	57,852	Teradata Corp.*		2,642,101
	312,000	Vantiv Inc., Class A Shares*		9,759,360
	121,775	Western Union Co. (The)		2,127,409
	634,200	Xerox Corp.		8,758,302

		Total IT Services		34,376,246

	Semiconductors & Semiconductor Equipment — 2.5%
	69,245	Analog Devices Inc.		3,539,804
	610,000	Intel Corp.		21,301,200
	34,660	KLA-Tencor Corp.		2,648,717
	38,837	Lam Research Corp.		2,792,769
	194,300	Micron Technology Inc.*		6,334,180

		Total Semiconductors & Semiconductor Equipment		36,616,670

	Software — 3.4%
	430,000	Activision Blizzard Inc.		10,122,200
	258,400	CA Inc.		7,297,216
	475,542	Microsoft Corp.		21,603,873
	238,889	Oracle Corp.		9,921,060
	35,396	Synopsys Inc.*		1,447,697

		Total Software		50,392,046

	Technology Hardware, Storage & Peripherals — 1.4%
	669,500	EMC Corp.		19,770,335
	12,329	Lexmark International Inc., Class A Shares		623,354

		Total Technology Hardware, Storage & Peripherals		20,393,689

		TOTAL INFORMATION TECHNOLOGY		203,316,047

	MATERIALS — 4.0%
	Chemicals — 1.2%
	185,000	Dow Chemical Co. (The)		9,906,750
	123,700	EI du Pont de Nemours & Co.		8,177,807

		Total Chemicals		18,084,557

	Metals & Mining — 1.6%
	267,500	Barrick Gold Corp.		4,919,325
	275,755	Freeport-McMoRan Inc.		10,029,209
	403,515	Kinross Gold Corp.*		1,589,849
	136,100	Nucor Corp.		7,392,952

		Total Metals & Mining		23,931,335

	Paper & Forest Products — 1.2%
	353,200	International Paper Co.		17,112,540

		TOTAL MATERIALS		59,128,432

	TELECOMMUNICATION SERVICES — 3.1%
	Diversified Telecommunication Services — 3.1%
	472,900	AT&T Inc.		16,532,584
	268,000	CenturyLink Inc.		10,985,320

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments

Shares/Units		Security	Value
	TELECOMMUNICATION SERVICES — 3.1% — (continued)
	Diversified Telecommunication Services — 3.1% — (continued)
	372,200	Verizon Communications Inc.	$	18,543,004

		TOTAL TELECOMMUNICATION SERVICES		46,060,908

	UTILITIES — 3.0%
	Electric Utilities — 2.3%
	325,850	American Electric Power Co., Inc.		17,498,145
	55,173	Edison International		3,262,931
	131,995	Entergy Corp.		10,217,733
	64,909	Xcel Energy Inc.		2,080,334

		Total Electric Utilities		33,059,143

	Multi-Utilities — 0.7%
	241,500	Public Service Enterprise Group Inc.		9,029,685
	25,630	SCANA Corp.		1,331,222

		Total Multi-Utilities		10,360,907

		TOTAL UTILITIES		43,420,050

		TOTAL COMMON STOCKS (Cost — $1,026,392,841)		1,414,614,022


Face Amount
	SHORT-TERM INVESTMENTS (b) — 4.6%
	MONEY MARKET FUND — 1.1%
$	16,233,890	Invesco STIT — Government & Agency Portfolio(c) (Cost — $16,233,890)		16,233,890

	TIME DEPOSITS — 3.5%
	17,003,177	Banco Santander SA — Frankfurt, 0.030% due 9/2/14		17,003,177
	12,398,532	Bank of New York Mellon — Grand Cayman, 0.030% due 9/2/14		12,398,532
	16,713,866	BNP Paribas — Grand Cayman, 0.030% due 9/2/14		16,713,866
	2,720,112	Deutsche Bank — Grand Cayman, 0.030% due 9/2/14		2,720,112
	1,779,459	Wells Fargo — Grand Cayman, 0.030% due 9/2/14		1,779,459

		TOTAL TIME DEPOSITS (Cost — $50,615,146)		50,615,146

		TOTAL SHORT-TERM INVESTMENTS (Cost — $66,849,036)		66,849,036

		TOTAL INVESTMENTS — 100.9% (Cost — $1,093,241,877#)		1,481,463,058

		Liabilities in Excess of Other Assets — (0.9)%		(13,874,973	)

		TOTAL NET ASSETS — 100.0%	$	1,467,588,085

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 3.5%.

(c)

Represents investment of collateral received from securities lending transactions.

Aggregate cost for federal income tax purposes is $1,102,279,997.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
PLC		— Public Limited Company

See Notes to Financial Statements.



Schedules of Investments


(continued)


Large Capitalization Value Equity Investments


Summary of Investments by Security Sector^
Financials	20.8	%
Energy	14.8
Information Technology	13.7
Health Care	12.5
Consumer Discretionary	10.4
Industrials	8.3
Consumer Staples	5.1
Materials	4.0
Telecommunication Services	3.1
Utilities	2.9
Short-Term Investments	4.4

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	COMMON STOCKS — 96.5%
	CONSUMER DISCRETIONARY — 14.6%
	Auto Components — 0.5%
	24,500	Tenneco Inc.*	$	1,569,960

	Distributors — 0.5%
	31,400	Core-Mark Holding Co., Inc.		1,512,224

	Diversified Consumer Services — 1.1%
	45,190	Bright Horizons Family Solutions Inc.(a)*		1,837,877
	35,140	Sotheby’s		1,434,064

		Total Diversified Consumer Services		3,271,941

	Hotels, Restaurants & Leisure — 3.1%
	112,070	Del Frisco’s Restaurant Group Inc.*		2,480,109
	16,370	Extended Stay America Inc.		390,588
	42,300	Fiesta Restaurant Group Inc.*		2,076,507
	44,800	Popeyes Louisiana Kitchen Inc.*		1,796,480
	19,200	Red Robin Gourmet Burgers Inc.*		1,019,520
	18,500	Vail Resorts Inc.		1,470,565

		Total Hotels, Restaurants & Leisure		9,233,769

	Household Durables — 0.6%
	203,200	Standard Pacific Corp.*		1,700,784

	Internet & Catalog Retail — 1.2%
	43,940	HomeAway Inc.*		1,458,808
	43,420	Shutterfly Inc.*		2,214,854

		Total Internet & Catalog Retail		3,673,662

	Leisure Products — 0.3%
	36,660	Malibu Boats Inc., Class A Shares*		762,895

	Media — 1.0%
	112,580	Cumulus Media Inc., Class A Shares*		516,742
	35,303	MDC Partners Inc., Class A Shares		773,136
	34,400	Rentrak Corp.*		1,756,464

		Total Media		3,046,342

	Multiline Retail — 0.5%
	39,600	Burlington Stores Inc.*		1,412,532

	Specialty Retail — 5.3%
	51,070	Abercrombie & Fitch Co., Class A Shares(a)		2,134,726
	26,370	Asbury Automotive Group Inc.*		1,837,462
	45,600	Finish Line Inc. (The), Class A Shares		1,351,128
	25,630	Five Below Inc.*		1,039,553
	23,480	Lithia Motors Inc., Class A Shares		2,052,621
	24,200	Men’s Wearhouse Inc. (The)		1,307,526
	34,400	Penske Automotive Group Inc.		1,650,168
	50,660	Restoration Hardware Holdings Inc.(a)*		4,248,854

		Total Specialty Retail		15,622,038

	Textiles, Apparel & Luxury Goods — 0.5%
	94,590	Crocs Inc.*		1,461,415

		TOTAL CONSUMER DISCRETIONARY		43,267,562

	CONSUMER STAPLES — 2.3%
	Beverages — 0.5%
	6,700	Boston Beer Co., Inc. (The), Class A Shares*		1,480,566

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	CONSUMER STAPLES — 2.3% — (continued)
	Food & Staples Retailing — 0.4%
	18,500	Casey’s General Stores Inc.	$	1,326,265

	Food Products — 1.4%
	54,250	B&G Foods Inc., Class A Shares		1,638,350
	10,900	J&J Snack Foods Corp.		1,032,339
	17,500	TreeHouse Foods Inc.*		1,444,100

		Total Food Products		4,114,789

		TOTAL CONSUMER STAPLES		6,921,620

	ENERGY — 6.8%
	Energy Equipment & Services — 3.3%
	99,000	Basic Energy Services Inc.*		2,396,790
	45,700	C&J Energy Services Inc.*		1,311,133
	40,870	Oil States International Inc.*		2,638,159
	29,000	RigNet Inc.*		1,353,430
	57,730	Superior Energy Services Inc.		2,069,043

		Total Energy Equipment & Services		9,768,555

	Oil, Gas & Consumable Fuels — 3.5%
	40,200	Green Plains Inc.		1,796,538
	47,690	Navigator Holdings Ltd.*		1,406,378
	129,880	Synergy Resources Corp.*		1,748,185
	58,570	Tesoro Corp.		3,791,822
	35,680	Western Refining Inc.		1,660,190

		Total Oil, Gas & Consumable Fuels		10,403,113

		TOTAL ENERGY		20,171,668

	FINANCIALS — 7.0%
	Banks — 1.4%
	65,820	East West Bancorp Inc.		2,293,169
	28,000	Texas Capital Bancshares Inc.*		1,511,440
	23,300	Tristate Capital Holdings Inc.*		222,049

		Total Banks		4,026,658

	Capital Markets — 2.1%
	127,180	BGC Partners Inc., Class A Shares		962,753
	27,300	LPL Financial Holdings Inc.		1,329,237
	43,130	Stifel Financial Corp.*		2,065,064
	8,300	Virtus Investment Partners Inc.		1,856,627

		Total Capital Markets		6,213,681

	Consumer Finance — 0.6%
	30,000	Portfolio Recovery Associates Inc.(a)*		1,704,900

	Insurance — 1.0%
	143,990	CNO Financial Group Inc.		2,570,221
	21,070	National General Holdings Corp.(a)		394,641

		Total Insurance		2,964,862

	Real Estate Investment Trusts (REITs) — 0.9%
	44,900	Pebblebrook Hotel Trust		1,739,426
	76,700	Strategic Hotels & Resorts Inc.*		911,196

		Total Real Estate Investment Trusts (REITs)		2,650,622

	Real Estate Management & Development — 1.0%
	74,050	Alexander & Baldwin Inc.		3,028,645

		TOTAL FINANCIALS		20,589,368

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	HEALTH CARE — 22.2%
	Biotechnology — 6.8%
	53,670	ACADIA Pharmaceuticals Inc.*	$	1,287,007
	74,590	Aegerion Pharmaceuticals Inc.(a)*		2,278,725
	23,680	AMAG Pharmaceuticals Inc.*		535,878
	48,780	Anacor Pharmaceuticals Inc.*		1,136,086
	91,800	Arrowhead Research Corp.(a)*		1,337,526
	30,200	Cepheid*		1,208,906
	97,920	ChemoCentryx Inc.(a)*		500,371
	19,500	Clovis Oncology Inc.(a)*		927,420
	57,830	Cubist Pharmaceuticals Inc.*		3,992,005
	1,110,320	Dynavax Technologies Corp.(a)*		1,576,654
	25,900	Isis Pharmaceuticals Inc.(a)*		1,055,684
	67,090	Prothena Corp. PLC*		1,536,361
	53,180	PTC Therapeutics Inc.*		1,683,679
	4,300	Puma Biotechnology Inc.*		1,120,193

		Total Biotechnology		20,176,495

	Health Care Equipment & Supplies — 6.5%
��	25,200	Align Technology Inc.*		1,372,392
	128,000	AtriCure Inc.*		1,986,560
	24,900	Cyberonics Inc.*		1,429,011
	63,372	LDR Holding Corp.(a)*		1,715,480
	73,470	Masimo Corp.*		1,648,667
	31,200	Neogen Corp.*		1,313,520
	87,000	Novadaq Technologies Inc.*		1,136,220
	101,200	Spectranetics Corp. (The)*		2,872,056
	28,670	STERIS Corp.		1,613,834
	82,630	Wright Medical Group Inc.*		2,465,679
	80,675	Zeltiq Aesthetics Inc.(a)*		1,694,982

		Total Health Care Equipment & Supplies		19,248,401

	Health Care Providers & Services — 3.5%
	126,940	ExamWorks Group Inc.*		4,182,673
	17,545	MWI Veterinary Supply Inc.*		2,492,267
	63,270	Team Health Holdings Inc.*		3,702,561

		Total Health Care Providers & Services		10,377,501

	Health Care Technology — 0.8%
	48,400	Medidata Solutions Inc.*		2,252,536

	Life Sciences Tools & Services — 1.5%
	47,500	Fluidigm Corp.*		1,292,950
	64,860	ICON PLC*		3,213,164

		Total Life Sciences Tools & Services		4,506,114

	Pharmaceuticals — 3.1%
	79,100	Akorn Inc.*		3,086,482
	54,790	Aratana Therapeutics Inc.(a)*		636,660
	94,460	Flamel Technologies SA, ADR*		1,416,900
	26,600	Pacira Pharmaceuticals Inc.*		2,879,716
	55,594	Revance Therapeutics Inc.*		1,298,120

		Total Pharmaceuticals		9,317,878

		TOTAL HEALTH CARE		65,878,925

	INDUSTRIALS — 18.7%
	Aerospace & Defense — 0.8%
	56,610	Hexcel Corp.*		2,331,766

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	INDUSTRIALS — 18.7% — (continued)
	Air Freight & Logistics — 1.4%
	30,700	Forward Air Corp.	$	1,421,103
	90,720	XPO Logistics Inc.(a)*		2,809,598

		Total Air Freight & Logistics		4,230,701

	Airlines — 1.3%
	306,450	JetBlue Airways Corp.(a)*		3,747,884

	Building Products — 0.6%
	86,688	NCI Building Systems Inc.*		1,730,292

	Commercial Services & Supplies — 2.7%
	46,850	Civeo Corp.		1,190,458
	50,330	Herman Miller Inc.		1,495,808
	144,090	Interface Inc., Class A Shares		2,453,853
	35,800	Mobile Mini Inc.		1,402,286
	95,420	Steelcase Inc., Class A Shares		1,498,094

		Total Commercial Services & Supplies		8,040,499

	Construction & Engineering — 0.9%
	142,400	Furmanite Corp.*		1,294,416
	48,700	Primoris Services Corp.		1,414,248

		Total Construction & Engineering		2,708,664

	Electrical Equipment — 0.5%
	20,630	Power Solutions International Inc.(a)*		1,410,061

	Machinery — 2.2%
	41,400	Albany International Corp., Class A Shares		1,555,398
	34,100	ITT Corp.		1,632,026
	129,100	Wabash National Corp.*		1,825,474
	19,500	Wabtec Corp.		1,625,520

		Total Machinery		6,638,418

	Professional Services — 3.4%
	27,900	Advisory Board Co. (The)*		1,383,840
	27,590	Corporate Executive Board Co. (The)		1,818,733
	51,303	Huron Consulting Group Inc.*		3,102,805
	69,100	On Assignment Inc.*		2,042,596
	39,000	WageWorks Inc.*		1,609,140

		Total Professional Services		9,957,114

	Road & Rail — 3.4%
	11,070	ArcBest Corp.		397,413
	27,695	Genesee & Wyoming Inc., Class A Shares*		2,723,249
	21,775	Old Dominion Freight Line Inc.*		1,451,739
	41,900	Roadrunner Transportation Systems Inc.*		1,055,042
	30,950	Saia Inc.*		1,469,197
	62,100	Swift Transportation Co., Class A Shares*		1,315,278
	71,260	Werner Enterprises Inc.		1,774,374

		Total Road & Rail		10,186,292

	Trading Companies & Distributors — 1.5%
	30,530	Rush Enterprises Inc., Class A Shares(a)*		1,119,535
	35,730	Watsco Inc.		3,304,668

		Total Trading Companies & Distributors		4,424,203

		TOTAL INDUSTRIALS		55,405,894

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 18.8%
	Communications Equipment — 1.7%
	70,800	Ciena Corp.*	$	1,464,852
	47,700	Radware Ltd.*		826,641
	47,170	Riverbed Technology Inc.*		888,683
	134,430	Ruckus Wireless Inc.*		1,869,921

		Total Communications Equipment		5,050,097

	Electronic Equipment, Instruments & Components — 1.4%
	61,160	Benchmark Electronics Inc.*		1,506,371
	16,900	IPG Photonics Corp.(a)*		1,160,692
	15,100	Littelfuse Inc.		1,387,841

		Total Electronic Equipment, Instruments & Components		4,054,904

	Internet Software & Services — 3.3%
	51,700	Amber Road Inc.(a)*		775,500
	35,600	comScore Inc.*		1,363,836
	53,740	Cornerstone OnDemand Inc.*		2,012,025
	9,165	CoStar Group Inc.*		1,326,634
	34,692	Envestnet Inc.*		1,596,179
	28,820	Rackspace Hosting Inc.*		997,172
	30,332	SPS Commerce Inc.*		1,696,772

		Total Internet Software & Services		9,768,118

	IT Services — 2.9%
	62,600	Acxiom Corp.*		1,160,917
	30,200	Euronet Worldwide Inc.*		1,609,660
	59,840	InterXion Holding NV*		1,650,986
	37,060	WEX Inc.*		4,211,869

		Total IT Services		8,633,432

	Semiconductors & Semiconductor Equipment — 3.2%
	128,550	Atmel Corp.*		1,138,953
	48,520	Cavium Inc.*		2,725,854
	67,540	Fairchild Semiconductor International Inc., Class A Shares*		1,185,327
	43,800	Monolithic Power Systems Inc.		2,092,764
	157,300	ON Semiconductor Corp.*		1,535,248
	32,740	Ultratech Inc.*		846,656

		Total Semiconductors & Semiconductor Equipment		9,524,802

	Software — 5.4%
	32,590	A10 Networks Inc.(a)*		379,999
	31,500	Aspen Technology Inc.*		1,294,335
	76,750	Cadence Design Systems Inc.*		1,353,870
	90,080	Callidus Software Inc.*		1,034,119
	108,260	Fortinet Inc.*		2,794,191
	31,700	Guidewire Software Inc.*		1,443,935
	45,100	Manhattan Associates Inc.*		1,302,488
	40,742	Proofpoint Inc.*		1,624,791
	56,660	QLIK Technologies Inc.*		1,599,512
	22,170	Ultimate Software Group Inc. (The)*		3,258,768

		Total Software		16,086,008

	Technology Hardware, Storage & Peripherals — 0.9%
	39,060	Electronics for Imaging Inc.*		1,720,202
	36,900	Nimble Storage Inc.*		997,776

		Total Technology Hardware, Storage & Peripherals		2,717,978

		TOTAL INFORMATION TECHNOLOGY		55,835,339

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments

Shares/Units		Security	Value
	MATERIALS — 4.6%
	Chemicals — 2.7%
	85,080	Chemtura Corp.*	$	2,100,625
	122,970	PolyOne Corp.		4,822,884
	57,340	Trinseo SA*		1,127,304

		Total Chemicals		8,050,813

	Metals & Mining — 1.1%
	94,460	Horsehead Holding Corp.*		1,907,148
	27,790	TimkenSteel Corp.		1,327,806

		Total Metals & Mining		3,234,954

	Paper & Forest Products — 0.8%
	72,240	KapStone Paper and Packaging Corp.*		2,220,657

		TOTAL MATERIALS		13,506,424

	TELECOMMUNICATION SERVICES — 1.5%
	Diversified Telecommunication Services — 1.3%
	107,010	Cogent Communications Holdings Inc.		3,708,967

	Wireless Telecommunication Services — 0.2%
	54,100	RingCentral Inc., Class A Shares(a)*		726,563

		TOTAL TELECOMMUNICATION SERVICES		4,435,530

		TOTAL COMMON STOCKS (Cost — $220,755,129)		286,012,330


Face Amount
	SHORT-TERM INVESTMENTS (b) — 13.0%
	MONEY MARKET FUND — 9.4%
$	27,854,226	Invesco STIT — Government & Agency Portfolio(c) (Cost — $27,854,226)		27,854,226

	TIME DEPOSITS — 3.6%
	5,801,776	ANZ National Bank — London, 0.030% due 9/2/14		5,801,776
	2,005,738	Banco Santander SA — Frankfurt, 0.030% due 9/2/14		2,005,738
	2,729,715	Bank of New York Mellon — Grand Cayman, 0.030% due 9/2/14		2,729,715

		TOTAL TIME DEPOSITS (Cost — $10,537,229)		10,537,229

		TOTAL SHORT-TERM INVESTMENTS (Cost — $38,391,455)		38,391,455	��

		TOTAL INVESTMENTS — 109.5% (Cost — $259,146,584#)		324,403,785

		Liabilities in Excess of Other Assets — (9.5)%		(28,051,341	)

		TOTAL NET ASSETS — 100.0%	$	296,352,444

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 $259,676,403.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Growth Investments


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
PLC		— Public Limited Company


Summary of Investments by Security Sector^
Health Care	20.3	%
Information Technology	17.2
Industrials	17.1
Consumer Discretionary	13.3
Financials	6.4
Energy	6.2
Materials	4.2
Consumer Staples	2.1
Telecommunication Services	1.4
Short-Term Investments	11.8

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	COMMON STOCKS — 94.9%
	CONSUMER DISCRETIONARY — 12.0%
	Auto Components — 1.9%
	77,400	Dana Holding Corp.	$	1,798,002
	206,417	Modine Manufacturing Co.*		2,935,250
	16,950	Standard Motor Products Inc.		637,489

		Total Auto Components		5,370,741

	Automobiles — 1.3%
	72,422	Thor Industries Inc.		3,889,786

	Distributors — 0.1%
	3,340	Core-Mark Holding Co., Inc.		160,855

	Diversified Consumer Services — 1.7%
	252,489	Regis Corp.		3,815,109
	55,700	Service Corp. International		1,234,869

		Total Diversified Consumer Services		5,049,978

	Hotels, Restaurants & Leisure — 2.0%
	11,500	Brinker International Inc.		562,350
	21,100	Cheesecake Factory Inc. (The)		948,445
	8,800	Cracker Barrel Old Country Store Inc.		883,608
	25,606	International Game Technology		431,717
	60,504	International Speedway Corp., Class A Shares		2,026,279
	35,400	Texas Roadhouse Inc., Class A Shares		941,286

		Total Hotels, Restaurants & Leisure		5,793,685

	Household Durables — 0.4%
	30,400	Meritage Homes Corp.*		1,254,608

	Leisure Products — 1.1%
	16,400	Arctic Cat Inc.		607,128
	37,029	Brunswick Corp.		1,592,247
	17,451	Sturm Ruger & Co., Inc.(a)		879,705

		Total Leisure Products		3,079,080

	Media — 0.9%
	30,097	Cinemark Holdings Inc.		1,062,123
	30,995	Meredith Corp.		1,443,747

		Total Media		2,505,870

	Specialty Retail — 2.1%
	11,100	Asbury Automotive Group Inc.*		773,448
	21,000	Buckle Inc. (The)(a)		1,032,780
	21,757	Cato Corp. (The), Class A Shares		754,315
	21,300	Finish Line Inc. (The), Class A Shares		631,119
	9,300	Genesco Inc.*		737,490
	11,500	Group 1 Automotive Inc.		921,840
	11,700	Guess? Inc.		274,248
	32,500	Pier 1 Imports Inc.		512,200
	22,900	Stage Stores Inc.		400,063

		Total Specialty Retail		6,037,503

	Textiles, Apparel & Luxury Goods — 0.5%
	8,100	Hanesbrands Inc.		831,708
	21,300	Steven Madden Ltd.*		723,987

		Total Textiles, Apparel & Luxury Goods		1,555,695

		TOTAL CONSUMER DISCRETIONARY		34,697,801

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	CONSUMER STAPLES — 3.8%
	Food & Staples Retailing — 0.9%
	16,050	Andersons Inc. (The)	$	1,103,758
	6,378	Casey’s General Stores Inc.		457,239
	20,000	Weis Markets Inc.		859,000

		Total Food & Staples Retailing		2,419,997

	Food Products — 1.4%
	13,700	Cal-Maine Foods Inc.		1,083,807
	13,300	Ingredion Inc.		1,060,808
	5,000	J&J Snack Foods Corp.		473,550
	18,700	Pinnacle Foods Inc.		605,132
	9,681	Sanderson Farms Inc.		903,431

		Total Food Products		4,126,728

	Household Products — 1.2%
	137,600	Central Garden & Pet Co.*		1,212,256
	260,793	Central Garden & Pet Co., Class A Shares*		2,349,745

		Total Household Products		3,562,001

	Tobacco — 0.3%
	16,700	Universal Corp.(a)		881,092

		TOTAL CONSUMER STAPLES		10,989,818

	ENERGY — 5.4%
	Energy Equipment & Services — 2.3%
	12,200	Bristow Group Inc.		890,356
	3,660	Gulfmark Offshore Inc., Class A Shares		147,168
	70,800	Helix Energy Solutions Group Inc.*		1,934,256
	50,000	Patterson-UTI Energy Inc.		1,727,000
	76,500	Precision Drilling Corp.		972,315
	17,400	Tidewater Inc.		885,138

		Total Energy Equipment & Services		6,556,233

	Oil, Gas & Consumable Fuels — 3.1%
	19,100	CVR Energy Inc.(a)		947,933
	18,700	Jones Energy Inc., Class A Shares*		359,414
	31,276	LinnCo LLC(a)		983,630
	880	Parsley Energy Inc., Class A Shares*		19,290
	48,076	Ship Finance International Ltd.(a)		951,424
	41,100	Stone Energy Corp.*		1,446,309
	22,798	Western Refining Inc.		1,060,791
	25,400	Whiting Petroleum Corp.*		2,353,564
	22,300	World Fuel Services Corp.		989,674

		Total Oil, Gas & Consumable Fuels		9,112,029

		TOTAL ENERGY		15,668,262

	FINANCIALS — 21.5%
	Banks — 7.6%
	24,400	Bank of Hawaii Corp.		1,416,420
	62,600	Boston Private Financial Holdings Inc.		759,964
	34,500	Community Bank System Inc.		1,219,230
	25,700	CVB Financial Corp.		399,378
	70,485	East West Bancorp Inc.		2,455,697
	50,300	First Financial Bancorp		835,483
	34,900	First Interstate Bancsystem Inc., Class A Shares		925,548
	44,500	First Midwest Bancorp Inc.		749,825

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	FINANCIALS — 21.5% — (continued)
	Banks — 7.6% — (continued)
	75,900	First Niagara Financial Group Inc.	$	660,330
	46,378	FirstMerit Corp.		799,325
	74,396	Fulton Financial Corp.		858,158
	45,541	Hancock Holding Co.		1,513,783
	28,800	Independent Bank Corp.		1,060,128
	61,041	National Penn Bancshares Inc.		610,410
	42,400	NBT Bancorp Inc.		1,018,024
	67,600	Old National Bancorp		884,884
	23,505	S&T Bancorp Inc.		586,215
	92,602	Susquehanna Bancshares Inc.		955,653
	35,206	Trustmark Corp.		835,614
	40,954	Umpqua Holdings Corp.		715,466
	58,705	Webster Financial Corp.		1,731,797
	28,800	WesBanco Inc.		894,240

		Total Banks		21,885,572

	Capital Markets — 0.6%
	1,200	Artisan Partners Asset Management Inc., Class A Shares		66,576
	21,900	Main Street Capital Corp.		713,064
	17,500	Stifel Financial Corp.*		837,900

		Total Capital Markets		1,617,540

	Consumer Finance — 0.3%
	20,200	Cash America International Inc.		901,728

	Insurance — 6.6%
	24,363	Allied World Assurance Co. Holdings AG		901,188
	16,900	American Financial Group Inc.		1,013,493
	77,147	AMERISAFE Inc.		2,910,756
	33,000	First American Financial Corp.		935,550
	14,700	Infinity Property & Casualty Corp.		1,005,186
	283,914	Maiden Holdings Ltd.		3,452,394
	28,500	Montpelier Re Holdings Ltd.		896,325
	64,178	National Interstate Corp.		1,796,984
	24,200	Platinum Underwriters Holdings Ltd.		1,511,774
	22,300	ProAssurance Corp.		1,030,260
	49,800	Selective Insurance Group Inc.		1,193,706
	9,300	StanCorp Financial Group Inc.		609,336
	42,700	Symetra Financial Corp.		1,039,318
	20,846	Validus Holdings Ltd.		815,287

		Total Insurance		19,111,557

	Real Estate Investment Trusts (REITs) — 5.5%
	31,500	Altisource Residential Corp.		773,010
	64,236	Ashford Hospitality Prime Inc.		1,039,981
	234,683	Ashford Hospitality Trust Inc.		2,719,976
	51,406	Associated Estates Realty Corp.		951,011
	31,500	Blackstone Mortgage Trust Inc., Class A Shares		915,075
	65,264	Brandywine Realty Trust		1,045,529
	46,100	Education Realty Trust Inc.		502,029
	69,000	Franklin Street Properties Corp.		838,350
	28,900	Healthcare Realty Trust Inc.		721,344
	24,900	Highwoods Properties Inc.		1,059,495
	89,200	Lexington Realty Trust		970,496
	20,200	Omega Healthcare Investors Inc.(a)		760,934
	37,500	Ramco-Gershenson Properties Trust		636,000

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	FINANCIALS — 21.5% — (continued)
	Real Estate Investment Trusts (REITs) — 5.5% — (continued)
	61,317	Retail Properties of America Inc., Class A Shares	$	970,035
	28,023	Starwood Property Trust Inc.		668,349
	50,400	Summit Hotel Properties Inc.		551,880
	29,700	Washington Real Estate Investment Trust		825,066

		Total Real Estate Investment Trusts (REITs)		15,948,560

	Real Estate Management & Development — 0.3%
	21,500	Alexander & Baldwin Inc.		879,350

	Thrifts & Mortgage Finance — 0.6%
	40,600	Home Loan Servicing Solutions Ltd.		889,140
	38,500	Washington Federal Inc.		837,375

		Total Thrifts & Mortgage Finance		1,726,515

		TOTAL FINANCIALS		62,070,822

	HEALTH CARE — 5.1%
	Health Care Equipment & Supplies — 3.7%
	1,520	Analogic Corp.		109,744
	6,400	Cooper Cos., Inc. (The)		1,043,392
	14,600	Haemonetics Corp.*		521,074
	203,090	Invacare Corp.		3,115,401
	44,300	STERIS Corp.		2,493,647
	17,100	Teleflex Inc.		1,872,108
	34,205	West Pharmaceutical Services Inc.		1,485,523

		Total Health Care Equipment & Supplies		10,640,889

	Health Care Providers & Services — 1.1%
	26,050	Owens & Minor Inc.(a)		896,120
	74,800	Select Medical Holdings Corp.		1,048,696
	27,700	VCA Inc.*		1,128,775

		Total Health Care Providers & Services		3,073,591

	Life Sciences Tools & Services — 0.3%
	22,300	PerkinElmer Inc.		1,000,155

		TOTAL HEALTH CARE		14,714,635

	INDUSTRIALS — 24.6%
	Aerospace & Defense — 1.4%
	35,700	AAR Corp.		988,890
	7,000	Alliant Techsystems Inc.		882,000
	6,100	Curtiss-Wright Corp.		438,224
	14,400	Elbit Systems Ltd.(a)		862,128
	13,500	Triumph Group Inc.		936,495

		Total Aerospace & Defense		4,107,737

	Building Products — 1.5%
	216,309	NCI Building Systems Inc.*		4,317,528

	Commercial Services & Supplies — 4.8%
	354,653	ACCO Brands Corp.*		2,741,468
	18,200	Brink’s Co. (The)		498,316
	56,400	Ennis Inc.		813,852
	409,800	InnerWorkings Inc.*		3,552,966
	29,600	Knoll Inc.		541,384
	8,900	UniFirst Corp.		862,855
	15,100	United Stationers Inc.		613,815

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	INDUSTRIALS — 24.6% — (continued)
	Commercial Services & Supplies — 4.8% — (continued)
	145,760	Viad Corp.	$	3,197,974
	36,996	West Corp.		1,097,301

		Total Commercial Services & Supplies		13,919,931

	Construction & Engineering — 2.5%
	5,700	Granite Construction Inc.		201,039
	159,164	Great Lakes Dredge & Dock Corp.*		1,212,830
	302,501	Layne Christensen Co.*(a)		3,442,461
	46,900	MasTec Inc.*		1,430,450
	29,150	Primoris Services Corp.		846,516

		Total Construction & Engineering		7,133,296

	Electrical Equipment — 2.7%
	18,300	AZZ Inc.		848,022
	28,100	Babcock & Wilcox Co. (The)		816,305
	13,600	EnerSys		874,344
	386,994	GrafTech International Ltd.*(a)		3,378,458
	15,000	Regal-Beloit Corp.		1,066,050
	29,900	Thermon Group Holdings Inc.*		811,785

		Total Electrical Equipment		7,794,964

	Machinery — 9.2%
	24,700	Actuant Corp., Class A Shares		833,131
	33,075	Altra Industrial Motion Corp.		1,100,074
	24,400	Barnes Group Inc.		835,456
	153,976	Briggs & Stratton Corp.(a)		3,101,077
	2,989	CIRCOR International Inc.		212,787
	14,100	Crane Co.		981,219
	176,074	Douglas Dynamics Inc.		3,510,916
	10,900	EnPro Industries Inc.*		740,110
	132,345	Harsco Corp.		3,202,749
	46,900	ITT Corp.		2,244,634
	119,155	John Bean Technologies Corp.		3,461,453
	20,400	Kennametal Inc.		914,124
	370,192	Mueller Water Products Inc., Class A Shares		3,416,872
	25,150	Trinity Industries Inc.		1,216,757
	6,400	Valmont Industries Inc.(a)		900,800

		Total Machinery		26,672,159

	Marine — 0.5%
	6,600	Kirby Corp.*		787,314
	21,000	Matson Inc.		566,790

		Total Marine		1,354,104

	Road & Rail — 0.6%
	16,450	Saia Inc.*		780,881
	36,200	Werner Enterprises Inc.		901,380

		Total Road & Rail		1,682,261

	Trading Companies & Distributors — 1.4%
	13,165	GATX Corp.		872,445
	34,764	H&E Equipment Services Inc.		1,422,195
	18,800	TAL International Group Inc.*(a)		830,960
	8,200	United Rentals Inc.*		964,730

		Total Trading Companies & Distributors		4,090,330

		TOTAL INDUSTRIALS		71,072,310

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	INFORMATION TECHNOLOGY — 7.3%
	Communications Equipment — 0.9%
	14,100	Black Box Corp.	$	333,465
	103,100	Brocade Communications Systems Inc.		1,087,705
	41,200	CommScope Holding Co., Inc.*		1,061,312

		Total Communications Equipment		2,482,482

	Electronic Equipment, Instruments & Components — 1.6%
	57,400	AVX Corp.		790,972
	14,300	Belden Inc.		1,044,901
	18,400	Tech Data Corp.*		1,242,000
	97,700	Vishay Intertechnology Inc.		1,563,200

		Total Electronic Equipment, Instruments & Components		4,641,073

	Internet Software & Services — 0.3%
	17,900	j2 Global Inc.(a)		956,755

	IT Services — 0.6%
	41,500	Booz Allen Hamilton Holding Corp., Class A Shares		920,470
	34,300	CSG Systems International Inc.		950,796

		Total IT Services		1,871,266

	Semiconductors & Semiconductor Equipment — 1.5%
	27,000	Cirrus Logic Inc.*		652,860
	126,600	ON Semiconductor Corp.*		1,235,616
	95,800	RF Micro Devices Inc.*		1,194,626
	57,500	Teradyne Inc.(a)		1,183,925

		Total Semiconductors & Semiconductor Equipment		4,267,027

	Software — 2.1%
	107,900	Compuware Corp.		1,008,865
	42,749	Mentor Graphics Corp.		932,356
	24,300	NetScout Systems Inc.*		1,119,501
	33,300	PTC Inc.*		1,288,377
	42,800	Synopsys Inc.*		1,750,520

		Total Software		6,099,619

	Technology Hardware, Storage & Peripherals — 0.3%
	20,430	Electronics for Imaging Inc.*		899,737

		TOTAL INFORMATION TECHNOLOGY		21,217,959

	MATERIALS — 12.5%
	Chemicals — 5.0%
	17,500	Albemarle Corp.		1,112,650
	19,800	Cabot Corp.		1,084,644
	72,400	Chemtura Corp.*		1,787,556
	13,500	Cytec Industries Inc.		1,391,040
	35,000	HB Fuller Co.		1,646,400
	14,400	Innophos Holdings Inc.		837,360
	212,800	Intrepid Potash Inc.*(a)		3,262,224
	14,700	Methanex Corp.		982,254
	60,035	Olin Corp.		1,638,355
	23,800	Rayonier Advanced Materials Inc.*(a)		790,398

		Total Chemicals		14,532,881

	Construction Materials — 1.3%
	286,688	Headwaters Inc.*		3,724,077

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Shares/Units		Security	Value
	MATERIALS — 12.5% — (continued)
	Containers & Packaging — 1.3%
	48,500	Berry Plastics Group Inc.*	$	1,169,335
	16,400	Rock-Tenn Co., Class A Shares		806,224
	18,400	Silgan Holdings Inc.		926,440
	22,100	Sonoco Products Co.		909,636

		Total Containers & Packaging		3,811,635

	Metals & Mining — 4.3%
	49,600	Commercial Metals Co.		857,088
	166,354	Globe Specialty Metals Inc.		3,416,911
	61,900	HudBay Minerals Inc.		627,047
	18,700	Kaiser Aluminum Corp.		1,506,285
	13,500	Royal Gold Inc.		1,049,625
	32,500	Ryerson Holding Corp.*		355,875
	134,700	Schnitzer Steel Industries Inc., Class A Shares(a)		3,729,843
	43,200	Steel Dynamics Inc.		1,003,968

		Total Metals & Mining		12,546,642

	Paper & Forest Products — 0.6%
	35,600	P.H. Glatfelter Co.		887,508
	17,352	Schweitzer-Mauduit International Inc.		743,360

		Total Paper & Forest Products		1,630,868

		TOTAL MATERIALS		36,246,103

	TELECOMMUNICATION SERVICES — 0.2%
	Diversified Telecommunication Services — 0.2%
	39,300	Premiere Global Services Inc.*		517,581

	UTILITIES — 2.5%
	Electric Utilities — 0.9%
	42,892	El Paso Electric Co.		1,687,371
	34,400	Great Plains Energy Inc.		883,048

		Total Electric Utilities		2,570,419

	Gas Utilities — 1.0%
	18,900	Laclede Group Inc. (The)		934,605
	22,300	Southwest Gas Corp.		1,164,283
	17,500	UGI Corp.		927,150

		Total Gas Utilities		3,026,038

	Multi-Utilities — 0.6%
	15,500	Black Hills Corp.		832,815
	18,300	NorthWestern Corp.		883,524

		Total Multi-Utilities		1,716,339

		TOTAL UTILITIES		7,312,796

		TOTAL COMMON STOCKS (Cost — $195,805,712)		274,508,087

	EXCHANGE-TRADED SECURITIES — 0.1%
	FINANCIALS — 0.1%
	Capital Markets — 0.1%
	30,300	Central Fund of Canada Ltd., Class A Shares (Cost — $440,088)		418,443

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $196,245,800)		274,926,530

See Notes to Financial Statements.



Schedules of Investments


(continued)


Small Capitalization Value Equity Investments

Face Amount		Security	Value
	SHORT-TERM INVESTMENTS (b) — 12.4%
	MONEY MARKET FUND — 7.2%
$	20,876,827	Invesco STIT — Government & Agency Portfolio(c) (Cost — $20,876,827)	$	20,876,827

	TIME DEPOSITS — 5.2%
	4,829,231	ANZ National Bank — London, 0.030% due 9/2/14		4,829,231
	8,469,792	Banco Santander SA — Frankfurt, 0.030% due 9/2/14		8,469,792
	1,771,153	Wells Fargo — Grand Cayman, 0.030% due 9/2/14		1,771,153

		TOTAL TIME DEPOSITS (Cost — $15,070,176)		15,070,176

		TOTAL SHORT-TERM INVESTMENTS (Cost — $35,947,003)		35,947,003

		TOTAL INVESTMENTS — 107.4% (Cost — $232,192,803#)		310,873,533

		Liabilities in Excess of Other Assets — (7.4)%		(21,499,176	)

		TOTAL NET ASSETS — 100.0%	$	289,374,357

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)

Represents investment of collateral received from securities lending transactions.

Aggregate cost for federal income tax purposes is $233,389,251.


Summary of Investments by Security Sector^
Industrials	22.9	%
Financials	20.1
Materials	11.7
Consumer Discretionary	11.2
Information Technology	6.8
Energy	5.0
Health Care	4.7
Consumer Staples	3.5
Utilities	2.3
Telecommunication Services	0.2
Short-Term Investments	11.6

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	COMMON STOCKS — 95.1%
	Australia — 3.8%
	149,685	Abacus Property Group REIT	$	377,751
	358,302	Amcor Ltd.		3,831,803
	482,363	Arrium Ltd.		355,822
	331,070	Atlas Iron Ltd.		176,887
	17,721	Ausdrill Ltd.		21,646
	125,512	Australia & New Zealand Banking Group Ltd.		3,927,873
	28,042	Bank of Queensland Ltd.		329,821
	279,072	Beach Energy Ltd.		423,728
	18,018	Bentham IMF Ltd.		33,502
	385,919	BHP Billiton PLC		12,221,530
	322,119	Brambles Ltd.		2,864,026
	14,277	Challenger Ltd.		104,805
	36,032	CSL Ltd.		2,488,652
	99,572	Decmil Group Ltd.		188,008
	562,265	Downer EDI Ltd.		2,559,450
	57,919	DUET Group		132,062
	51,722	Evolution Mining Ltd.		36,845
	450,275	Fairfax Media Ltd.		364,267
	954,107	Grange Resources Ltd.		147,769
	14,947	GUD Holdings Ltd.		109,780
	8,214	IOOF Holdings Ltd.		72,421
	76,112	Leighton Holdings Ltd.		1,596,840
	20,450	MACA Ltd.		41,057
	1	Matrix Composites & Engineering Ltd.*		1
	147,006	Mount Gibson Iron Ltd.		95,099
	108,326	National Australia Bank Ltd.		3,569,869
	383,754	NRW Holdings Ltd.		374,908
	4,753	Panoramic Resources Ltd.*		3,528
	29,178	Primary Health Care Ltd.		123,323
	194,392	Seven West Media Ltd.		337,690
	47,920	Sigma Pharmaceuticals Ltd.		37,039
	101,796	Sonic Healthcare Ltd.		1,678,426
	241,146	STW Communications Group Ltd.		292,968
	926,905	Toll Holdings Ltd.		5,181,148

		Total Australia		44,100,344

	Austria — 0.2%
	27,322	Austria Technologie & Systemtechnik AG		315,814
	12,384	EVN AG		167,671
	109	Oesterreichische Post AG		5,107
	28,638	S IMMO AG*		220,410
	9,634	Schoeller-Bleckmann Oilfield Equipment AG		1,014,032

		Total Austria		1,723,034

	Belgium — 1.1%
	16,286	Anheuser-Busch InBev NV		1,812,377
	758	Barco NV		53,757
	55,453	Delhaize Group SA		3,867,366
	585	Elia System Operator SA		28,557
	35,182	KBC Groep NV*		2,009,410
	9,088	NV Bekaert SA		338,122
	18,389	Recticel SA		174,042
	48,076	UCB SA		4,659,121

		Total Belgium		12,942,752

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Bermuda — 0.0%
	51,594	Catlin Group Ltd.	$	440,003

	Brazil — 0.6%
	270,100	AMBEV SA		1,966,030
	158,700	Embraer SA		1,545,648
	296,610	Vale SA, Class B Shares, ADR		3,455,507

		Total Brazil		6,967,185

	Canada — 1.7%
	11,371	Canadian Pacific Railway Ltd.		2,280,693
	32,655	Dollarama Inc.		2,783,877
	39,400	Imperial Oil Ltd.		2,099,447
	24,651	Methanex Corp.		1,650,438
	23,831	Saputo Inc.		1,451,565
	139,341	Suncor Energy Inc.		5,727,116
	65,023	Toronto-Dominion Bank (The)		3,428,251

		Total Canada		19,421,387

	China — 1.2%
	6,963,000	Agricultural Bank of China Ltd., Class H Shares(a)		3,223,854
	3,554,500	China Railway Construction Corp., Ltd., Class H Shares(a)		3,404,069
	3,005,500	CNOOC Ltd.		6,021,377
	17,490	Ctrip.com International Ltd., ADR*		1,122,333

		Total China		13,771,633

	Denmark — 1.0%
	4,126	DFDS AS		351,458
	6,024	NKT Holding AS		355,211
	130,637	Novo Nordisk AS, Class B Shares		5,978,888
	1,773	PER Aarsleff AS, Class B Shares		331,626
	1,689	Schouw & Co.		81,046
	2,495	Solar AS, Class B Shares		154,145
	2,998	Spar Nord Bank AS		32,031
	352,270	TDC AS		3,027,239
	17,632	William Demant Holding AS*		1,362,788

		Total Denmark		11,674,432

	Finland — 0.5%
	10,953	Atria PLC, Class A Shares		102,980
	36,809	Citycon OYJ		135,583
	16,122	Cramo OYJ		288,805
	10,695	Kesko OYJ, Class B Shares		391,816
	43,401	Metsa Board OYJ		198,703
	590,684	Nokia OYJ(b)		4,971,104
	2,800	Technopolis OYJ		15,536
	1,090	Tieto OYJ		29,684

		Total Finland		6,134,211

	France — 10.9%
	46,479	Acanthe Developpement SA REIT(b)		25,660
	45,097	Accor SA		2,193,279
	32,857	Airbus Group NV		2,023,489
	6,346	Altamir		96,334
	29,170	Arkema SA		2,193,080
	283,290	AXA SA		7,026,885
	173,439	BNP Paribas SA		11,725,822
	2,104	Boiron SA		184,061
	1,052	Caisse Regionale de Credit Agricole Mutuel Nord de France		22,366

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	France — 10.9% — (continued)
	34,312	Casino Guichard Perrachon SA	$	4,098,396
	8,860	Cegid Group		341,025
	46,783	Cie de Saint-Gobain		2,379,496
	46,089	Credit Agricole SA		683,537
	26,388	Danone SA		1,843,010
	32,300	Dassault Systemes		2,141,416
	71,963	Edenred		2,136,369
	1,174	Eiffage SA		76,130
	48,730	Essilor International SA		5,174,480
	45	Euler Hermes Group		5,124
	307,189	GDF Suez		7,580,341
	5,432	Guerbet		247,420
	5,750	Iliad SA		1,266,065
	16,075	Jacquet Metal Service		334,852
	22,954	Kering		4,864,939
	8,263	Korian-Medica		289,129
	110,402	Legrand SA		6,107,192
	15,517	L’Oréal SA		2,569,718
	20,326	LVMH Moët Hennessy Louis Vuitton SA		3,527,670
	2,232	Maisons France Confort SA		96,882
	2,981	Nexity SA		121,909
	224,921	Orange SA		3,410,109
	6,110	Orpea		403,298
	12,843	Pernod Ricard SA		1,514,855
	1,213	Rallye SA		57,972
	65,287	Safran SA		4,280,571
	849	Saft Groupe SA		31,083
	85,784	Sanofi		9,414,501
	124,022	Schneider Electric SE		10,483,490
	20,228	SEB SA		1,593,120
	57,153	Societe Generale SA		2,895,960
	2,213	Sopra Group SA		210,254
	201,105	Suez Environnement Co.		3,712,337
	72,446	Technip SA		6,712,733
	122,295	Total SA		8,074,611
	6,132	Valeo SA		742,608

		Total France		124,913,578

	Georgia — 0.0%
	2,871	Bank of Georgia Holdings PLC		118,091

	Germany — 9.8%
	8,225	Aareal Bank AG		368,391
	29,356	Adidas AG		2,201,033
	38,331	Allianz SE, Class Registered Shares		6,539,749
	537	Aurubis AG		26,390
	49,417	BASF SE		5,086,523
	65,264	Bayer AG, Class Registered Shares		8,755,942
	48,292	Bayerische Motoren Werke AG		5,624,167
	3,649	Bilfinger SE		277,701
	31,257	Borussia Dortmund GmbH & Co. KGaA		196,417
	37,432	Brenntag AG		1,983,150
	851	Cewe Stiftung & Co. KGAA		56,951
	15,763	CompuGroup Medical AG		395,083
	27,961	Continental AG		5,973,695
	79,416	Daimler AG, Class Registered Shares		6,498,002
	64,615	Deutsche Bank AG, Class Registered Shares		2,212,260

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Germany — 9.8% — (continued)
	6,614	Deutsche Beteiligungs AG	$	188,654
	207,160	Deutsche Telekom AG, Class Registered Shares		3,100,126
	95,681	DMG MORI SEIKI AG		2,751,040
	9,914	Freenet AG		265,253
	68,819	GEA Group AG		3,115,302
	3,345	Grammer AG		147,003
	29,210	Hannover Rueck SE		2,426,931
	47,704	HeidelbergCement AG		3,604,346
	5,155	Leoni AG		317,980
	17,461	Linde AG		3,459,448
	113,230	Metro AG*		3,978,718
	54,792	Rheinmetall AG		2,966,860
	2,905	SAF-Holland SA		40,227
	138,051	SAP SE		10,744,852
	60,514	Siemens AG, Class Registered Shares		7,584,330
	9,125	Sixt SE		336,972
	35,766	Software AG		923,571
	82,443	Stada Arzneimittel AG		3,292,435
	29,157	Symrise AG		1,558,245
	203,000	Telefonica Deutschland Holding AG		1,544,816
	22,767	TUI AG		331,600
	57,894	United Internet AG, Class Registered Shares		2,489,258
	32,648	Volkswagen AG		7,319,023
	15,987	VTG AG		302,819
	16,167	Wacker Neuson SE		347,063
	65,202	Wincor Nixdorf AG		3,473,372

		Total Germany		112,805,698

	Hong Kong — 2.5%
	789,200	AIA Group Ltd.		4,297,600
	632,000	Century City International Holdings Ltd.		50,544
	476,000	China Merchants Holdings International Co., Ltd.		1,570,104
	401,000	China Mobile Ltd.		4,993,257
	14,336	Dah Sing Banking Group Ltd.		25,752
	243,500	Dickson Concepts International Ltd.		137,930
	140,000	Emperor Entertainment Hotel Ltd.		45,337
	1,198,000	Emperor International Holdings Ltd.		290,485
	760,000	Get Nice Holdings Ltd.		38,725
	314,000	Hongkong Land Holdings Ltd.		2,150,717
	574,000	Hsin Chong Construction Group Ltd.		77,009
	97,610	Jardine Strategic Holdings Ltd.		3,552,592
	753,000	Kerry Properties Ltd.		2,789,498
	251,000	Link REIT (The)		1,489,529
	675,000	Luk Fook Holdings International Ltd.		2,115,691
	1,204,000	Pacific Andes International Holdings Ltd.		52,811
	316,000	Paliburg Holdings Ltd.		109,310
	101,000	Prosperity REIT		33,749
	54,000	Regal Hotels International Holdings Ltd.		32,540
	475,000	Regal Real Estate Investment Trust		135,395
	248,000	Samson Holding Ltd.		32,621
	746,000	SITC International Holdings Co., Ltd.		331,993
	52,000	Sitoy Group Holdings Ltd.		36,864
	1,399,000	SJM Holdings Ltd.		3,521,425
	78,000	Sunlight Real Estate Investment Trust		32,707
	66,000	Texwinca Holdings Ltd.		60,121
	977,200	VST Holdings Ltd.		249,582

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Hong Kong — 2.5% — (continued)
	54,000	Xinyi Glass Holdings Ltd.	$	34,017

		Total Hong Kong		28,287,905

	India — 0.6%
	34,290	ICICI Bank Ltd., ADR		1,834,515
	4,293	Infosys Ltd.		255,531
	62,510	Infosys Ltd., ADR(b)		3,719,345
	90,424	Zee Entertainment Enterprises Ltd.		409,890

		Total India		6,219,281

	Ireland — 0.7%
	39,772	Aer Lingus Group PLC		70,984
	349,820	C&C Group PLC		1,983,497
	148,908	Experian PLC		2,590,408
	8,216	Henderson Group PLC		31,666
	157,097	James Hardie Industries PLC		1,881,207
	18,200	Ryanair Holdings PLC, ADR*		999,180
	7,189	Smurfit Kappa Group PLC		162,809
	123,151	Total Produce PLC		162,084

		Total Ireland		7,881,835

	Isle of Man — 0.0%
	23,051	Playtech PLC		275,550

	Israel — 0.6%
	8,211	Africa Israel Properties Ltd.*		144,782
	2,352	AL-ROV Israel Ltd.*		76,285
	54,644	Check Point Software Technologies Ltd.*		3,880,817
	10,763	Clal Insurance Enterprises Holdings Ltd.*		197,524
	36,065	Discount Investment Corp., Class Registered Shares*		297,098
	3,602	Jerusalem Economy Ltd.		30,316
	498	Norstar Holdings Inc.		13,664
	25,522	Phoenix Holdings Ltd. (The)		87,762
	43,264	Teva Pharmaceutical Industries Ltd., ADR		2,272,225

		Total Israel		7,000,473

	Italy — 1.6%
	205,978	A2A SpA		225,925
	7,469	ACEA SpA		101,370
	47,353	Ascopiave SpA		120,024
	10,856	Astaldi SpA		95,398
	16,080	ASTM SpA		219,467
	6,517	Banca Carige SpA*		1,042
	1,579	Banca IFIS SpA		31,830
	23,129	Cairo Communication SpA		181,634
	37,381	DiaSorin SpA		1,474,477
	594,194	Enel SpA		3,148,328
	21,232	ERG SpA		297,711
	5,674	GTECH SpA(b)		135,230
	106,294	Immobiliare Grande Distribuzione REIT		156,191
	847,851	Intesa Sanpaolo SpA		2,528,693
	57,499	Iren SpA		81,292
	12,028	Italmobiliare SpA		295,455
	16,887	Luxottica Group SpA		902,231
	325,600	Prada SpA(b)		2,309,466
	86,182	Saipem SpA*		2,047,854
	1,614,328	Telecom Italia SpA*		1,861,785

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Italy — 1.6% — (continued)
	101,323	Trevi Finanziaria Industriale SpA	$	723,094
	37,629	Unipol Gruppo Finanziario SpA		205,613
	58,873	Yoox SpA*		1,522,257

		Total Italy		18,666,367

	Japan — 13.9%
	232,000	Achilles Corp.		323,855
	40,700	Airport Facilities Co., Ltd.		282,857
	576,000	Asahi Kasei Corp.		4,614,370
	36,300	ASKA Pharmaceutical Co., Ltd.		487,668
	287,700	Astellas Pharma Inc.		4,149,642
	105,000	Bank of Saga Ltd. (The)		241,396
	13,700	Benesse Holdings Inc.		485,642
	117,600	Bridgestone Corp.		4,039,529
	87,500	Brother Industries Ltd.		1,701,745
	93,000	Central Glass Co., Ltd.		345,698
	11,300	Chori Co., Ltd.		139,886
	26,100	Cleanup Corp.		240,764
	11,500	Corona Corp., Class A Shares		133,693
	13,000	Dainichiseika Color & Chemicals Manufacturing Co., Ltd.		66,390
	2,000	Daishi Bank Ltd. (The)		7,181
	135,000	Daiwa House Industry Co., Ltd.		2,557,064
	45,500	DCM Holdings Co., Ltd.		309,123
	42,700	Disco Corp.		2,733,580
	42,300	EDION Corp.		267,876
	126,000	Eighteenth Bank Ltd. (The)		337,585
	97,000	Electric Power Development Co., Ltd.		3,175,825
	10,900	FANUC Corp.		1,826,112
	600	Fukuda Denshi Co., Ltd.		35,784
	48,000	Fuso Pharmaceutical Industries Ltd.		146,378
	119	Global One Real Estate Investment Corp. REIT		350,673
	76,000	Gunze Ltd.		214,689
	19,200	Hakuto Co., Ltd.		197,458
	52	Hankyu REIT Inc., Class A Shares		308,997
	76,000	Hanwa Co., Ltd.		300,008
	394	Heiwa Real Estate REIT Inc.		338,162
	115,000	Higashi-Nippon Bank Ltd. (The)		306,883
	1,832,000	Hitachi Ltd.		13,828,260
	100,800	Honda Motor Co., Ltd.		3,421,781
	64,200	Hoya Corp.		2,075,938
	35,300	Inabata & Co., Ltd.		351,029
	2,900	Itochu-Shokuhin Co., Ltd.		101,974
	32,700	Japan Airlines Co., Ltd.		1,841,133
	80,000	Japan Pulp & Paper Co., Ltd.		252,412
	41,000	Japan Vilene Co., Ltd.		230,225
	74,000	JGC Corp.		2,144,409
	79,000	J-Oil Mills Inc.		262,209
	15,500	Kaga Electronics Co., Ltd.		197,007
	60,000	Kandenko Co., Ltd.		323,399
	185,000	Kanematsu Corp.		309,826
	137,200	KDDI Corp.		7,925,065
	43,100	Keihin Corp.		608,182
	4,000	Keyence Corp.		1,709,548
	3,700	Kissei Pharmaceutical Co., Ltd.		92,362
	27,400	Kiyo Bank Ltd. (The)		395,542
	31,100	Kohnan Shoji Co., Ltd.		326,988

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Japan — 13.9% — (continued)
	91,100	Komatsu Ltd.	$	2,064,944
	11,500	Konoike Transport Co., Ltd.		247,038
	171,000	Kurabo Industries Ltd.		302,818
	82,000	Kyodo Printing Co., Ltd.		302,214
	300	Kyokuto Securities Co., Ltd.		5,150
	300	KYORIN Holdings Inc.		6,727
	34,000	Kyudenko Corp.		396,220
	2,600	Macnica Inc.		84,476
	488,000	Marubeni Corp.		3,526,777
	9,400	Melco Holdings Inc.		204,653
	146	MID REIT Inc., Class A Shares		350,326
	132,000	Mie Bank Ltd. (The)		312,381
	137,800	Mitsubishi Corp.		2,853,420
	20,000	Mitsui Home Co., Ltd.		95,604
	104,000	Morinaga & Co., Ltd.		221,015
	98,000	Morinaga Milk Industry Co., Ltd.		341,717
	72,200	MS&AD Insurance Group Holdings Inc.		1,631,425
	164,100	Nabtesco Corp.		3,782,344
	2,000	Nice Holdings Inc.		4,119
	19,300	Nidec Corp.		1,232,347
	211,000	Nikon Corp.		3,067,682
	118,000	Nippon Beet Sugar Manufacturing Co., Ltd.		220,315
	16,000	Nippon Flour Mills Co., Ltd.		80,500
	238,700	Nippon Light Metal Holdings Co., Ltd.		381,403
	21,300	Nippon Paper Industries Co., Ltd.(b)		343,940
	104,320	Nippon Steel & Sumikin Bussan Corp.		408,642
	81,900	Nippon Telegraph & Telephone Corp.		5,496,216
	387,700	Nissan Motor Co., Ltd.		3,718,444
	54,000	Nisshin Oillio Group Ltd. (The)		190,469
	32,000	Nissin Corp.		88,111
	7,000	Nissin Kogyo Co., Ltd.*		126,398
	109,050	NKSJ Holdings Inc.		2,639,323
	80	Nomura Real Estate Office Fund Inc. REIT		370,810
	92,000	NS United Kaiun Kaisha Ltd.		238,747
	14,900	Omron Corp.		646,564
	28,700	Onoken Co., Ltd.		323,670
	1,600	Open House Co., Ltd.		30,626
	14,500	Otsuka Kagu Ltd.		145,103
	23,000	Paltac Corp.		294,237
	20,200	Paris Miki Holdings Inc.		93,719
	11,400	Ryosan Co., Ltd.		251,119
	17,700	Ryoyo Electro Corp.		196,122
	113,000	Sakai Chemical Industry Co., Ltd.		348,050
	32,200	Sanoh Industrial Co., Ltd.		225,829
	22,500	Sanshin Electronics Co., Ltd.		179,304
	44,500	SCSK Corp.		1,272,685
	10,500	Seiko Epson Corp.		532,647
	286,000	Sekisui Chemical Co., Ltd.		3,377,484
	254,400	Sekisui House Ltd.		3,194,040
	66,000	Sekisui Plastics Co., Ltd.		186,135
	26,700	Senshukai Co., Ltd.		221,665
	78,100	Seven & I Holdings Co., Ltd.		3,137,118
	49,500	Shin-Etsu Chemical Co., Ltd.		3,076,098
	22,900	Shinko Shoji Co., Ltd.		209,340
	91,000	Showa Sangyo Co., Ltd.		336,948
	16,600	SMC Corp.		4,337,025

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Japan — 13.9% — (continued)
	12,000	SMK Corp.	$	61,819
	226,100	Sojitz Corp.		373,818
	329,900	Sumitomo Mitsui Financial Group Inc.		13,344,056
	5,000	Sumitomo Seika Chemicals Co., Ltd.		31,342
	61,400	Suntory Beverage & Food Ltd.		2,253,391
	62,300	Suzuki Motor Corp.		2,028,028
	3,000	Takiron Co., Ltd.		14,985
	10,000	Tochigi Bank Ltd. (The)		41,096
	14,300	Tokai Rubber Industries Ltd.		135,953
	38,000	Tokyo Energy & Systems Inc.		258,405
	1,115,000	Toshiba Corp.		4,921,981
	39,000	Toyo Kohan Co., Ltd.		216,569
	58,000	Toyo Tire & Rubber Co., Ltd.		947,415
	126,900	Toyota Motor Corp.		7,240,858
	42,000	Uchida Yoko Co., Ltd.		179,844
	36,900	Vital KSK Holdings Inc.		326,012
	500,100	Yahoo Japan Corp.		2,018,567
	50,000	Yurtec Corp.		272,366

		Total Japan		159,682,550

	Jersey, Channel Islands — 0.1%
	301,967	Highland Gold Mining Ltd.		350,492
	34,143	Phoenix Group Holdings		419,704

		Total Jersey, Channel Islands		770,196

	Luxembourg — 0.2%
	3,665	APERAM*		118,417
	61,534	SES SA, ADR		2,278,938

		Total Luxembourg		2,397,355

	Mexico — 0.3%
	199,214	Grupo Financiero Banorte SAB de CV, Class O Shares		1,405,189
	63,240	Grupo Televisa SAB, ADR		2,344,307

		Total Mexico		3,749,496

	Netherlands — 5.2%
	94,606	Aalberts Industries NV		2,623,373
	973	Accell Group		17,535
	94,373	Akzo Nobel NV		6,680,528
	1,301	ASM International NV		50,535
	13,535	ASML Holding NV		1,295,419
	13,733	BE Semiconductor Industries NV		242,318
	10,140	BinckBank NV		111,014
	166,684	Delta Lloyd NV		4,017,294
	20,682	Gemalto NV(b)		2,025,663
	30,751	Heineken NV		2,342,532
	733,493	ING Groep NV*		10,104,213
	55,937	Koninklijke Boskalis Westminster NV		3,220,359
	29,303	Koninklijke DSM NV		1,957,504
	51,586	Koninklijke Vopak NV		2,645,949
	319,031	PostNL NV*		1,599,010
	527,171	Reed Elsevier NV		12,030,647
	172,163	Royal Dutch Shell PLC, Class A Shares		6,961,773
	823	SBM Offshore NV*		12,609
	45,928	Unilever NV		1,909,866
	10,228	USG People NV		132,056
	2,044	Vastned Retail NV REIT		99,541

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Netherlands — 5.2% — (continued)
	96	Wereldhave NV REIT	$	8,840

		Total Netherlands		60,088,578

	New Zealand — 0.1%
	145,479	Air New Zealand Ltd.		267,294
	117,391	Chorus Ltd.		172,238
	19,534	Goodman Property Trust REIT		18,388
	230,228	New Zealand Oil & Gas Ltd.		149,284
	5,515	SKY Network Television Ltd.		30,449
	10,957	SKYCITY Entertainment Group Ltd.		34,653
	5,973	Warehouse Group Ltd. (The)		15,496

		Total New Zealand		687,802

	Norway — 1.5%
	780	Aker ASA, Class A Shares		28,783
	25,633	Atea ASA		311,760
	51,091	Austevoll Seafood ASA		325,420
	39,435	Borregaard ASA		275,862
	273,640	BW Offshore Ltd.		379,524
	301,054	DNB ASA		5,643,731
	167,570	Kvaerner ASA		288,386
	535	Leroy Seafood Group ASA		19,806
	285,227	Petroleum Geo-Services ASA		2,159,704
	11,215	SpareBank 1 SMN		105,148
	134,915	Statoil ASA		3,797,275
	4,903	Storebrand ASA*		27,276
	155,569	Telenor ASA		3,573,974

		Total Norway		16,936,649

	Portugal — 0.0%
	33,477	NOS SGPS		195,616
	8,756	REN — Redes Energeticas Nacionais SGPS SA		31,265
	67,873	Sonae SGPS SA		103,450

		Total Portugal		330,331

	Singapore — 1.3%
	258,000	Ascott Residence Trust REIT		255,178
	245,000	Asian Pay Television Trust		175,583
	138,000	Cambridge Industrial Trust REIT		77,890
	6,759	Cape PLC		34,874
	531,000	Chip Eng Seng Corp., Ltd.		378,276
	574,000	DBS Group Holdings Ltd.		8,234,325
	170,000	Frasers Commercial Trust REIT		190,561
	297,000	Hong Fok Corp., Ltd.		236,583
	1,154,000	k1 Ventures Ltd.		180,929
	307,000	Religare Health Trust		224,883
	6,000	Sabana Shari’ah Compliant Industrial Real Estate Investment Trust		4,829
	952,000	Sembcorp Industries Ltd.		3,902,421
	408,000	Sembcorp Marine Ltd.		1,293,704
	29,000	United Engineers Ltd.		66,176
	8,000	Venture Corp., Ltd.		51,439

		Total Singapore		15,307,651

	South Korea — 2.0%
	25,020	Hankook Tire Co., Ltd.*		1,297,754
	8,181	Hyundai Motor Co.		1,880,307
	68,025	KB Financial Group Inc.		2,781,738

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	South Korea — 2.0% — (continued)
	13,556	Kia Motors Corp.	$	818,635
	53,586	Korea Electric Power Corp.		2,241,053
	35,011	KT&G Corp.		3,277,311
	19,219	LG Corp.		1,345,177
	23,885	POSCO, ADR		1,977,678
	2,509	Samsung Electronics Co., Ltd.		3,056,025
	17,315	SK Telecom Co., Ltd.		4,670,025

		Total South Korea		23,345,703

	Spain — 2.1%
	74,693	ACS Actividades de Construccion y Servicios SA		3,151,069
	69,468	Amadeus IT Holding SA, Class A Shares		2,587,061
	97,960	Banco Bilbao Vizcaya Argentaria SA		1,187,505
	4,040	Bankinter SA		33,519
	3,198	Bolsas y Mercados Españoles SA		132,374
	788	Carbures Europe SA*		21,720
	28,802	Cie Automotive SA		404,335
	188	Construcciones y Auxiliar de Ferrocarriles SA		74,428
	2,570	Corp Financiera Alba SA		152,644
	12,168	Ebro Foods SA		246,319
	57,478	Grifols SA		2,680,676
	2,919	Grupo Catalana Occidente SA		98,882
	141,391	Inditex SA		4,098,253
	169,874	Indra Sistemas SA		2,557,917
	57,897	Papeles y Cartones de Europa SA		371,470
	382,211	Prosegur Cia de Seguridad SA		2,592,453
	36,729	Técnicas Reunidas SA		2,011,825
	101,740	Telefonica SA		1,615,125

		Total Spain		24,017,575

	Sweden — 1.2%
	92,021	Atlas Copco AB, Class A Shares		2,686,628
	3	Axfood AB		150
	19,693	B&B Tools AB, Class B Shares		413,523
	11,518	Bilia AB, Class A Shares		308,026
	2,287	BillerudKorsnas AB		33,165
	39,141	Bure Equity AB		169,994
	5,826	Gunnebo AB		34,742
	63,303	Hexagon AB, Class B Shares		2,076,256
	1,680	Holmen AB, Class B Shares		53,704
	69,789	Klovern AB		362,144
	19,181	Kungsleden AB		130,404
	29,562	Meda AB, Class A Shares		398,470
	130	NCC AB, Class A Shares		4,199
	51,618	Peab AB		370,035
	7,690	Ratos AB, Class B Shares		62,451
	9,137	SSAB AB, Class B Shares*		76,182
	115,737	Svenska Cellulosa AB SCA, Class B Shares		2,789,099
	40,324	Swedish Match AB		1,349,625
	189,800	Telefonaktiebolaget LM Ericsson, Class B Shares		2,373,554

		Total Sweden		13,692,351

	Switzerland — 10.8%
	89,193	ABB Ltd., Class Registered Shares*		2,024,659
	40,229	Adecco SA, Class Registered Shares*		3,048,508
	31,442	Aryzta AG*		2,875,757
	175	Autoneum Holding AG*		30,185

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	Switzerland — 10.8% — (continued)
	1,630	Barry Callebaut AG, Class Registered Shares*	$	2,000,418
	9,825	BKW AG		355,552
	26,103	Cie Financiere Richemont SA, Class Registered Shares		2,491,061
	112,685	Clariant AG, Class Registered Shares*		1,986,284
	245,800	Credit Suisse Group AG, Class Registered Shares*		6,948,392
	131,150	Ferrexpo PLC		287,320
	2,110	Galenica AG, Class Registered Shares		2,000,617
	515	GAM Holding AG*		10,021
	11	Georg Fischer AG, Class Registered Shares*		7,286
	1,577	Givaudan SA, Class Registered Shares*		2,620,972
	845	Helvetia Holding AG, Class Registered Shares		420,710
	18,852	Kudelski SA		281,523
	135	Kuoni Reisen Holding AG, Class Registered Shares*		39,781
	25,602	Logitech International SA, Class Registered Shares		352,138
	81,154	Lonza Group, Class Registered Shares*		9,299,486
	102,995	Nestlé SA, Class Registered Shares		8,001,512
	217	Nobel Biocare Holding AG, Class Registered Shares*		3,956
	219,872	Novartis AG, Class Registered Shares		19,750,897
	78,161	Roche Holding AG		22,823,272
	1,016	SGS SA, Class Registered Shares		2,257,001
	1,421	Siegfried Holding AG, Class Registered Shares*		246,946
	605	Sika AG		2,289,659
	15,902	Sonova Holding AG, Class Registered Shares		2,545,752
	4,270	Swatch Group AG (The)		2,318,351
	15,330	Syngenta AG, Class Registered Shares		5,522,579
	40,157	Temenos Group AG, Class Registered Shares		1,554,666
	386,034	UBS AG, Class Registered Shares*		6,931,350
	1,294	Valiant Holding AG, Class Registered Shares		121,041
	1,446	Valora Holding AG, Class Registered Shares*		334,018
	484	Vontobel Holding AG, Class Registered Shares		17,932
	50,041	Wolseley PLC		2,688,682
	32,459	Zurich Insurance Group AG*		9,800,052

		Total Switzerland		124,288,336

	Taiwan — 0.2%
	510,000	Taiwan Semiconductor Manufacturing Co., Ltd.		2,128,756

	Thailand — 0.6%
	1,876,100	CP ALL PCL		2,790,504
	229,600	Kasikornbank PCL, NVDR		1,617,910
	1,107,800	PTT Global Chemical PCL		2,168,076

		Total Thailand		6,576,490

	United Kingdom — 18.3%
	71,635	Afren PLC*		116,037
	61,904	African Barrick Gold PLC		239,935
	80,834	Aggreko PLC		2,283,127
	48,494	Amlin PLC		362,131
	1,396	Anglo Pacific Group PLC		3,756
	176,529	ARM Holdings PLC		2,852,711
	43,290	AstraZeneca PLC		3,296,876
	34,462	Aveva Group PLC		1,204,911
	384,076	Aviva PLC		3,322,625
	127,219	Avocet Mining PLC*(b)		15,539
	64,786	Balfour Beatty PLC		261,039
	2,538,580	Barclays PLC		9,458,520
	80,625	Barratt Developments PLC		495,312

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	United Kingdom — 18.3% — (continued)
	16,726	Bellway PLC	$	442,785
	12,435	Berkeley Group Holdings PLC		495,281
	707,775	BG Group PLC		14,114,808
	837,231	BP PLC		6,676,259
	91,464	British American Tobacco PLC		5,395,120
	167,336	British Sky Broadcasting Group PLC		2,426,488
	335,386	Britvic PLC		3,819,363
	871,401	BT Group PLC, Class A Shares		5,599,116
	97,838	Bunzl PLC		2,672,616
	115,969	Burberry Group PLC		2,733,283
	409,395	Cable & Wireless Communications PLC		336,783
	119,096	Capita PLC		2,425,029
	71,091	Carillion PLC		397,330
	65,101	Chesnara PLC		358,381
	3,240	Close Brothers Group PLC		72,766
	33,437	Computacenter PLC		345,240
	336,282	Debenhams PLC		370,665
	160,503	Diageo PLC		4,727,618
	56,506	Dignity PLC		1,341,292
	187,705	Domino’s Pizza Group PLC		1,843,953
	12,630	Drax Group PLC		131,601
	2,324	DS Smith PLC		10,956
	619	easyJet PLC		13,717
	235,804	Essentra PLC		3,354,755
	201,651	Evraz PLC		377,522
	171,904	Firstgroup PLC*		362,680
	13,768	Galliford Try PLC		295,906
	39,762	Greggs PLC		360,820
	29,587	Halfords Group PLC		234,383
	23,995	Helical Bar PLC		134,070
	135,866	Home Retail Group PLC		413,280
	1,720,410	HSBC Holdings PLC		18,607,091
	9,646	Hunting PLC		142,351
	382,714	ICAP PLC		2,407,109
	519	Immunodiagnostic Systems Holdings PLC		4,088
	202,388	Inmarsat PLC		2,351,698
	672,850	International Consolidated Airlines Group SA*		4,035,076
	33,169	Interserve PLC		364,503
	56,253	Intertek Group PLC		2,614,049
	667,547	ITV PLC		2,339,985
	61,840	Kingfisher PLC		311,687
	22,475	Laird PLC		108,696
	2,836	Lancashire Holdings Ltd.		29,492
	5,700	Liberty Global PLC, Class A Shares*(b)		248,919
	13,690	Liberty Global PLC, Class C Shares*		574,022
	3,216,244	Lloyds Banking Group PLC*		4,073,027
	159,263	Londonmetric Property PLC REIT		371,368
	251,545	Man Group PLC		494,459
	5,558	Mapeley Ltd.*(c)(d)		0
	46,520	Marston’s PLC		114,357
	6,294	Mitie Group PLC		32,987
	23,462	Morgan Sindall Group PLC		327,011
	84,851	National Express Group PLC		360,764
	5,941	Pennon Group PLC		80,207
	1,897	Persimmon PLC*		41,708
	1,138,209	Premier Oil PLC		6,579,999

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units		Security	Value
	United Kingdom — 18.3% — (continued)
	201,120	Prudential PLC	$	4,840,963
	72,343	Quindell PLC(b)		204,340
	44,016	Reckitt Benckiser Group PLC		3,833,583
	5,764	Redrow PLC		26,220
	218,865	Rexam PLC		1,840,497
	199,990	Rio Tinto PLC		10,715,923
	341,872	Rolls-Royce Holdings PLC*		5,798,546
	479,495	Royal Bank of Scotland Group PLC*		2,889,967
	160,116	Royal Mail PLC		1,185,620
	95,019	Safestore Holdings PLC REIT		338,359
	195,187	Sage Group PLC (The)		1,275,313
	10,749	Savills PLC		114,774
	131,841	Scottish & Southern Energy PLC		3,321,232
	291,307	Smith & Nephew PLC		5,051,778
	46,092	Soco International PLC*		323,632
	15,870	Spectris PLC		512,601
	275,803	Spirit Pub Co. PLC		344,294
	25,319	St. Ives PLC		91,401
	264,000	Standard Chartered PLC(b)		5,353,002
	163,049	Stobart Group Ltd.		339,542
	17,319	Synergy Health PLC		430,895
	92,624	Telecity Group PLC		1,139,085
	97,867	TT Electronics PLC		275,964
	123,685	Tullett Prebon PLC		555,474
	124,675	Unilever PLC		5,498,120
	32,013	Vesuvius PLC		247,115
	2,660,373	Vodafone Group PLC		9,148,848
	125,636	Weir Group PLC (The)		5,517,831
	469,166	William Hill PLC		2,725,742
	435	Workspace Group PLC REIT		4,483
	131,992	WPP PLC		2,767,177
	115,520	Xchanging PLC		352,939

		Total United Kingdom		209,876,298

	United States — 0.5%
	59,047	APR Energy PLC(b)		503,244
	64,840	Carnival Corp.		2,456,139
	69,957	Carnival PLC		2,615,883

		Total United States		5,575,266

		TOTAL COMMON STOCKS (Cost — $1,009,675,894)		1,092,795,142

	WARRANTS — 0.3%
	Luxembourg — 0.3%
	1,089,623	Idea Cellular Ltd., (Restricted), expires 3/13/17*(e) (Cost — $2,345,728)		2,898,397

	RIGHTS — 0.0%
	Germany — 0.0%
	31,257	Borussia Dortmund GmbH & Co. KGaA, expires 9/8/14*(c)		1,718

	Portugal — 0.0%
	23,313	Mota-Engil Africa SGPA SA, expires 12/31/14*(c)		10,505

		TOTAL RIGHTS (Cost — $0)		12,223

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

Shares/Units			Security	Value
	PREFERRED STOCKS — 0.0%
	Germany — 0.0%
	63		Draegerwerk AG & Co. KGaA, 1.060%	$	5,969
	1,953		Villeroy & Boch AG, 3.215%		32,907

			Total Germany		38,876

	Italy — 0.0%
	63,113		Unipol Gruppo Finanziario SpA, 5.340%		316,666

			TOTAL PREFERRED STOCKS (Cost — $282,445)		355,542

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,012,304,067)		1,096,061,304


Face Amount†
	SHORT-TERM INVESTMENTS (f) — 5.5%
	MONEY MARKET FUND — 1.1%
$	12,670,056		Invesco STIT — Government & Agency Portfolio(g) (Cost — $12,670,056)		12,670,056

	TIME DEPOSITS — 4.4%
	42,939,930		ANZ National Bank — London, 0.030% due 9/2/14		42,939,930
			BBH — Grand Cayman:
	298,053	^CHF	0.001% due 9/1/14		324,783
	118,080	^HKD	0.005% due 9/1/14		15,236
	24,070	^SGD	0.005% due 9/1/14		19,275
	398	^JPY	0.005% due 9/1/14		4
	58,587	^SEK	0.022% due 9/1/14		8,396
	3	^GBP	0.082% due 9/1/14		5
	11	^AUD	1.874% due 9/1/14		10
			DNB — Oslo:
	170,307	^NOK	0.526% due 9/1/14		27,522
	6,939,110		0.030% due 9/2/14		6,939,110
			Wells Fargo — Grand Cayman:
	205,945	^EUR	(0.030)% due 9/1/14		270,704
	30,418	^GBP	0.082% due 9/1/14		50,442

			TOTAL TIME DEPOSITS (Cost — $50,595,417)		50,595,417

			TOTAL SHORT-TERM INVESTMENTS (Cost — $63,265,473)		63,265,473

			TOTAL INVESTMENTS — 100.9% (Cost — $1,075,569,540#)		1,159,326,777

			Liabilities in Excess of Other Assets — (0.9)%		(10,098,122	)

			TOTAL NET ASSETS — 100.0%	$	1,149,228,655

Non-income producing security.

(a)

Security trades on the Hong Kong exchange.

(b)

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

(c)

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

(d)

Illiquid security.

(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)

Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 4.4%.

See Notes to Financial Statements.



Schedules of Investments


(continued)


International Equity Investments

(g)

Represents investment of collateral received from securities lending transactions.

†

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

Aggregate cost for federal income tax purposes is $1,081,920,441.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
NVDR		— Non Voting Depository Receipt
PCL		— Public Company Limited
PLC		— Public Limited Company
REIT		— Real Estate Investment Trust


Currency Abbreviations used in this schedule:
AUD		— Australian Dollar
CHF		— Swiss Franc
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
JPY		— Japanese Yen
NOK		— Norwegian Krone
SEK		— Swedish Krona
SGD		— Singapore Dollar


Summary of Investments by Security Sector^
Financials	18.0	%
Industrials	15.3
Consumer Discretionary	13.0
Health Care	10.5
Materials	8.1
Information Technology	7.9
Consumer Staples	7.3
Energy	6.8
Telecommunication Services	5.5
Utilities	2.2
Short-Term Investments	5.4

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Shares/Units		Security	Value
	COMMON STOCKS — 96.7%
	Argentina — 0.4%
	45,979	YPF SA, ADR	$	1,519,146

	Brazil — 15.2%
	771,755	AMBEV SA, ADR		5,626,094
	119,100	Banco Bradesco SA, ADR		2,172,384
	454,385	Banco do Brasil SA		7,099,797
	302,066	BB Seguridade Participações SA		4,820,970
	460,070	BM&FBovespa SA		2,773,548
	307,472	CCR SA		2,781,782
	144,200	Cia Energética de Minas Gerais, ADR(a)		1,238,678
	331,228	Cielo SA		6,206,411
	135,900	Cyrela Brazil Realty SA Empreendimentos e Participações		861,152
	252,100	EDP — Energias do Brasil SA		1,272,124
	180,800	Estacio Participações SA		2,400,332
	291,400	Gerdau SA, ADR		1,687,206
	51,626	Grupo BTG Pactual		866,831
	171,126	Itaú Unibanco Holding SA, ADR		3,080,268
	40,900	Kroton Educacional SA		1,224,617
	122,200	Localiza Rent a Car SA		2,174,591
	67,600	Natura Cosméticos SA		1,237,982
	118,100	Petróleo Brasileiro SA, ADR		2,457,661
	328,344	Souza Cruz SA		3,073,254
	26,290	Ultrapar Participações SA		677,281
	201,200	Vale SA, Class B Shares, ADR(a)		2,627,672
	181,700	Via Varejo SA*		2,028,490

		Total Brazil		58,389,125

	China — 10.6%
	129,000	AAC Technologies Holdings Inc.		840,020
	4,329,000	Agricultural Bank of China Ltd., Class H Shares(b)		2,004,317
	499,500	Anhui Conch Cement Co., Ltd., Class H Shares(a)(b)		1,803,769
	1,584,000	Anton Oilfield Services Group(a)		680,297
	8,445	Autohome Inc., ADR(a)*		401,898
	34,462	Baidu Inc., ADR*		7,392,788
	8,916	Bitauto Holdings Ltd., ADR*		783,092
	6,275,380	China Construction Bank Corp., Class H Shares(b)		4,648,928
	755,500	China Merchants Bank Co., Ltd., Class H Shares(b)		1,440,030
	3,140,000	China National Materials Co., Ltd., Class H Shares(b)		756,744
	660,000	China Oilfield Services Ltd., Class H Shares(b)		1,944,917
	381,500	China Shenhua Energy Co., Ltd., Class H Shares(b)		1,100,911
	1,096,000	CNOOC Ltd.		2,195,784
	38,900	NetEase Inc., ADR		3,424,756
	53,500	New Oriental Education & Technology Group Inc., ADR		1,220,335
	333,500	Ping An Insurance Group Co. of China Ltd., Class H Shares(b)		2,714,126
	43,080	SouFun Holdings Ltd., ADR(a)		497,143
	128,760	Tencent Holdings Ltd.		2,100,665
	130,823	Tsingtao Brewery Co., Ltd., Class H Shares(b)		995,685
	226,800	Weichai Power Co., Ltd., Class H Shares(b)		917,039
	608,000	Zhuzhou CSR Times Electric Co., Ltd., Class H Shares(b)		2,098,966
	1,256,600	Zoomlion Heavy Industry Science & Technology Co., Ltd., Class H Shares(b)		777,015

		Total China		40,739,225

	Colombia — 2.3%
	33,100	Bancolombia SA, ADR(a)		2,094,568
	328,600	Pacific Rubiales Energy Corp.		6,848,292

		Total Colombia		8,942,860

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Shares/Units		Security	Value
	Cyprus — 0.5%
	36,290	Eurasia Drilling Co., Ltd., Class Registered Shares, GDR	$	1,048,296
	115,535	Globaltrans Investment PLC, Class Registered Shares, GDR		1,057,612

		Total Cyprus		2,105,908

	Egypt — 0.4%
	215,731	Commercial International Bank Egypt SAE, Class Registered Shares, GDR		1,370,118

	Greece — 0.5%
	885,172	Piraeus Bank SA*		1,753,686

	Hong Kong — 4.5%
	54,313	China Mobile Ltd., ADR		3,382,614
	1,769,000	China State Construction International Holdings Ltd.		2,852,081
	38,850	Dairy Farm International Holdings Ltd.		403,869
	258,264	Galaxy Entertainment Group Ltd.		1,943,437
	1,660,200	Huabao International Holdings Ltd.		1,210,849
	285,734	Link REIT (The)		1,695,653
	379,460	Power Assets Holdings Ltd.		3,451,603
	757,000	Techtronic Industries Co.		2,312,984

		Total Hong Kong		17,253,090

	Hungary — 0.3%
	67,063	OTP Bank PLC		1,159,048

	India — 13.5%
	182,856	Adani Ports & Special Economic Zone Ltd.		861,373
	80,443	Asian Paints Ltd.		832,469
	160,518	Aurobindo Pharma Ltd.		2,172,710
	178,305	Axis Bank Ltd.		1,172,816
	60,575	Axis Bank Ltd., Class Registered Shares, GDR		2,016,584
	186,633	Cipla Ltd.		1,593,540
	23,161	Colgate-Palmolive India Ltd.		590,147
	130,543	Glenmark Pharmaceuticals Ltd.		1,547,154
	213,100	Havells India Ltd.		1,002,623
	49,170	HCL Technologies Ltd.		1,327,300
	381,648	HDFC Bank Ltd.		5,317,345
	39,200	HDFC Bank Ltd., ADR		1,947,848
	260,959	Hindustan Unilever Ltd.		3,194,095
	348,468	Housing Development Finance Corp.		6,183,571
	57,800	ICICI Bank Ltd., ADR		3,092,300
	933,789	ITC Ltd.		5,495,287
	63,323	Kotak Mahindra Bank Ltd.		1,088,251
	7,674	Nestle India Ltd.		770,266
	208,824	Power Grid Corp. of India Ltd.		444,343
	86,735	Reliance Industries Ltd.		1,440,148
	120,881	Shriram Transport Finance Co., Ltd.		1,819,321
	221,247	Sun Pharmaceutical Industries Ltd.		3,123,921
	51,393	Tata Consultancy Services Ltd.		2,139,624
	52,700	Tata Motors Ltd., ADR(a)		2,539,613
	46,400	Westlife Development Ltd.*		257,522

		Total India		51,970,171

	Indonesia — 4.1%
	2,201,100	Astra International Tbk PT		1,425,502
	1,270,534	Bank Central Asia Tbk PT		1,216,986
	2,325,262	Bank Mandiri Persero Tbk PT		2,062,834
	1,856,200	Bank Rakyat Indonesia Persero Tbk PT		1,767,247
	497,218	Matahari Department Store Tbk PT		692,078
	739,600	Semen Indonesia Persero Tbk PT		1,026,467

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Shares/Units		Security	Value
	Indonesia — 4.1% — (continued)
	10,198,324	Telekomunikasi Indonesia Persero Tbk PT	$	2,336,877
	62,600	Telekomunikasi Indonesia Persero Tbk PT, ADR(a)		2,883,356
	462,111	Unilever Indonesia Tbk PT		1,226,204
	694,578	United Tractors Tbk PT		1,315,807

		Total Indonesia		15,953,358

	Jersey, Channel Islands — 0.4%
	10,117	Randgold Resources Ltd.		852,343
	9,797	Randgold Resources Ltd., ADR		824,417

		Total Jersey, Channel Islands		1,676,760

	Luxembourg — 0.1%
	20,688	Oriflame Cosmetics SA(a)		395,705

	Macau — 1.8%
	786,593	Sands China Ltd.		5,112,741
	433,000	Wynn Macau Ltd.		1,648,310

		Total Macau		6,761,051

	Malaysia — 1.6%
	80,286	British American Tobacco Malaysia Bhd		1,831,781
	894,100	Genting Malaysia Bhd		1,279,465
	567,699	Malayan Banking Bhd		1,819,011
	206,800	Public Bank Bhd		1,265,181

		Total Malaysia		6,195,438

	Mexico — 5.0%
	4,433	Coca-Cola Femsa SAB de CV, ADR(a)		481,734
	260,515	Fibra Uno Administracion SA de CV, REIT		939,024
	28,256	Fomento Económico Mexicano SAB de CV, ADR		2,738,289
	846,300	Genomma Lab Internacional SAB de CV, Class B Shares*		2,274,102
	284,100	Grupo Financiero Banorte SAB de CV, Class O Shares		2,003,946
	99,778	Grupo Financiero Santander Mexico SAB de CV, ADR		1,502,657
	300,571	Grupo México SAB de CV, Class B Shares		1,095,825
	54,314	Grupo Televisa SAB, ADR		2,013,420
	64,527	Industrias Peñoles SAB de CV		1,644,057
	379,000	Kimberly-Clark de México SAB de CV, Class A Shares		1,018,125
	1,320,174	Wal-Mart de Mexico SAB de CV, Class V Shares		3,587,857

		Total Mexico		19,299,036

	Netherlands — 0.6%
	83,686	Yandex NV, Class A Shares(a)*		2,379,193

	Pakistan — 0.6%
	378,462	Oil & Gas Development Co., Ltd.		970,167
	609,316	Pakistan Petroleum Ltd.		1,334,894

		Total Pakistan		2,305,061

	Peru — 0.5%
	12,700	Credicorp Ltd.		1,969,389

	Philippines — 0.6%
	32,300	Philippine Long Distance Telephone Co., ADR(a)		2,449,632

	Poland — 0.2%
	89,373	Eurocash SA(a)		963,011

	Russia — 5.4%
	927,257	Alrosa AO*		1,062,738
	356,617	Gazprom OAO, ADR		2,555,082
	18,121	Lukoil OAO, ADR		1,010,472

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Shares/Units		Security	Value
	Russia — 5.4% — (continued)
	1,377	Magnit OJSC, Class Registered Shares, GDR	$	80,173
	15,873	Magnit OJSC, GDR(c)		923,809
	25,000	Mail.ru Group Ltd., Class Registered Shares, GDR*		671,615
	49,725	MegaFon OAO, GDR(c)		1,407,217
	139,600	Mobile Telesystems OJSC, ADR		2,575,620
	14,241	NovaTek OAO, Class Registered Shares, GDR		1,434,301
	2,530,788	Sberbank of Russia*		4,996,466
	155,375	TMK OAO, Class Registered Shares, GDR		1,516,770
	135,633	X5 Retail Group NV, Class Registered Shares, GDR*		2,570,638

		Total Russia		20,804,901

	Singapore — 0.3%
	85,611	DBS Group Holdings Ltd.		1,228,134

	South Africa — 4.9%
	40,070	Bidvest Group Ltd. (The)		1,058,022
	80,330	Exxaro Resources Ltd.(a)		1,138,621
	59,407	Imperial Holdings Ltd.		1,061,227
	55,653	MTN Group Ltd.		1,259,969
	15,615	Naspers Ltd., Class N Shares		1,989,461
	47,368	Nedbank Group Ltd.		1,017,736
	322,862	PPC Ltd.		1,003,338
	96,644	Remgro Ltd.		2,211,084
	181,654	Sanlam Ltd.		1,126,477
	132,226	Shoprite Holdings Ltd.		1,831,949
	155,524	Standard Bank Group Ltd.		2,017,101
	36,583	Tiger Brands Ltd.		1,055,470
	82,351	Vodacom Group Ltd.		992,472
	129,458	Woolworths Holdings Ltd.		966,422

		Total South Africa		18,729,349

	South Korea — 7.6%
	12,992	Coway Co., Ltd.		1,090,389
	29,921	Halla Visteon Climate Control Corp.(a)		1,590,687
	258,300	Hanwha Life Insurance Co., Ltd.		1,773,403
	8,167	Hyundai Mobis Co., Ltd.		2,369,612
	62,702	KB Financial Group Inc.		2,564,066
	31,435	Kia Motors Corp.		1,898,333
	59,060	Korea Aerospace Industries Ltd.		2,093,904
	22,371	KT&G Corp.		2,094,105
	1,180	Orion Corp.		1,016,456
	5,743	Samsung Electronics Co., Ltd.		6,995,119
	69,675	Shinhan Financial Group Co., Ltd.		3,601,638
	47,124	SK Hynix Inc.*		2,113,276

		Total South Korea		29,200,988

	Spain — 0.6%
	230,596	Cemex Latam Holdings SA*		2,284,915

	Taiwan — 4.3%
	145,100	Catcher Technology Co., Ltd.*		1,470,833
	153,401	Hiwin Technologies Corp.		1,500,243
	314,054	Hon Hai Precision Industry Co., Ltd., Class Registered Shares, GDR		2,107,625
	159,000	MediaTek Inc.		2,658,515
	218,795	President Chain Store Corp.		1,658,998
	616,000	Taiwan Semiconductor Manufacturing Co., Ltd.		2,571,204
	219,115	Taiwan Semiconductor Manufacturing Co., Ltd., ADR		4,588,268

		Total Taiwan		16,555,686

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Shares/Units		Security	Value
	Thailand — 2.6%
	150,500	Advanced Info Service PCL	$	984,954
	182,400	Bangkok Bank PCL, Class Registered Shares		1,171,117
	1,969,800	CP ALL PCL		2,929,873
	185,600	Kasikornbank PCL		1,313,240
	213,664	PTT Exploration & Production PCL		1,100,602
	85,300	Siam Cement PCL (The), Class Registered Shares		1,175,054
	2,627,400	Thai Beverage PCL		1,493,956

		Total Thailand		10,168,796

	Turkey — 3.3%
	325,824	Akbank TAS		1,247,568
	306,861	Aselsan Elektronik Sanayi Ve Ticaret AS		1,367,622
	13,290	Coca-Cola Icecek AS		313,065
	854,505	Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT		1,071,985
	101,336	Ford Otomotiv Sanayi AS*		1,333,200
	432,388	KOC Holding AS		2,206,445
	241,856	TAV Havalimanlari Holding AS		2,005,759
	246,914	Turkcell Iletisim Hizmetleri AS*		1,449,733
	656,102	Türkiye Is Bankasi, Class C Shares		1,701,995

		Total Turkey		12,697,372

	United Kingdom — 3.4%
	125,558	British American Tobacco PLC		7,382,389
	104,139	SABMiller PLC		5,710,895

		Total United Kingdom		13,093,284

	United States — 0.6%
	23,800	First Cash Financial Services Inc.*		1,374,688
	21,800	Freeport-McMoRan Inc.		792,866

		Total United States		2,167,554

		TOTAL COMMON STOCKS (Cost — $304,235,890)		372,480,990

	PREFERRED STOCKS — 0.9%
	Brazil — 0.9%
	405,953	Itausa — Investimentos Itau SA, 0.594%		1,975,970
	835,200	Marcopolo SA, 0.816%		1,622,399

		Total Brazil		3,598,369

	India — 0.0%
	1,910,034	Zee Entertainment Enterprises Ltd.*		25,879

		TOTAL PREFERRED STOCKS (Cost — $3,736,542)		3,624,248

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $307,972,432)		376,105,238


Face Amount
	SHORT-TERM INVESTMENTS (d) — 7.2%
	MONEY MARKET FUND — 4.7%
$	17,939,497	Invesco STIT — Government & Agency Portfolio(e) (Cost — $17,939,497)		17,939,497

See Notes to Financial Statements.



Schedules of Investments


(continued)


Emerging Markets Equity Investments

Face Amount†			Security	Value
	TIME DEPOSITS — 2.5%
$	5,406,693		ANZ National Bank — London, 0.030% due 9/2/14	$	5,406,693
			BBH — Grand Cayman:
	11,615	^EUR	(0.030)% due 9/1/14		15,267
	1,668	^HKD	0.005% due 9/1/14		215
	32	^GBP	0.082% due 9/1/14		54
	4,359,205		JPMorgan Chase & Co. — Nassau, 0.030% due 9/2/14		4,359,205

			TOTAL TIME DEPOSITS (Cost — $9,781,434)		9,781,434

			TOTAL SHORT-TERM INVESTMENTS (Cost — $27,720,931)		27,720,931

			TOTAL INVESTMENTS — 104.8% (Cost — $335,693,363#)		403,826,169

			Liabilities in Excess of Other Assets — (4.8)%		(18,435,673	)

			TOTAL NET ASSETS — 100.0%	$	385,390,496

Non-income producing security.

(a)

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

(b)

Security trades on the Hong Kong exchange.

(c)

(d)

Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 2.5%.

(e)

Represents investment of collateral received from securities lending transactions.

†

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

Aggregate cost for federal income tax purposes is $344,973,844.


Abbreviations used in this schedule:
ADR		— American Depositary Receipts
GDR		— Global Depositary Receipts
PCL		— Public Company Limited
PLC		— Public Limited Company
REIT		— Real Estate Investment Trust


Currency Abbreviations used in this schedule:
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar


Summary of Investments by Security Sector^
Financials	26.6	%
Consumer Staples	15.5
Information Technology	12.5
Consumer Discretionary	9.7
Energy	7.7
Industrials	6.9
Materials	5.1
Telecommunication Services	4.9
Health Care	2.7
Utilities	1.6
Short-Term Investments	6.8

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 30.6%
	Aerospace & Defense — 0.1%
$	79,000	A-	Precision Castparts Corp., Senior Unsecured Notes, 3.900% due 1/15/43	$	78,687
			United Technologies Corp., Senior Unsecured Notes:
	95,000	A	3.100% due 6/1/22		97,103
	310,000	A	4.500% due 6/1/42		335,105

			Total Aerospace & Defense		510,895

	Airlines — 0.5%
	707,976	A-	American Airlines Class A Pass Through Trust Series 2013-2, Equipment Trust, 4.950% due 1/15/23		762,844
	137,009	BBB+	Continental Airlines Inc. Class A Pass Through Trust, Series 1998-1, Pass Thru Certificates, 6.648% due 9/15/17		145,915
	314,186	BBB+	Continental Airlines Inc. Class A-1 Pass Through Trust, Series 1999-2, Pass Thru Certificates, 7.256% due 3/15/20		355,816
	906,364	A	Delta Air Lines Class A Pass Through Trust, Series 2009-1, Pass Thru Certificates, 7.750% due 12/17/19		1,061,579
	403,216	BBB	JetBlue Airways G-1 Pass Through Trust, Series 2004-2, Pass Thru Certificates, 0.609% due 8/15/16(a)		399,183
	625,000	BBB-	JetBlue Airways G-2 Pass Through Trust, Series 2004-2, Pass Thru Certificates, 0.684% due 11/15/16(a)		606,250
	308,553	A+	Northwest Airlines Inc. Class A-1 Pass Through Trust, Series 2001-1, Pass Thru Certificates, 7.041% due 4/1/22		364,864
	511,563	BBB+	UAL Pass Through Trust, Series 2009-1, Pass Thru Certificates, 10.400% due 11/1/16		570,393
	59,360	BBB+	UAL Pass Through Trust, Series 2009-2A, Pass Thru Certificates, 9.750% due 1/15/17		67,225

			Total Airlines		4,334,069

	Automobiles — 1.0%
			Daimler Finance North America LLC, Company Guaranteed Notes:
	300,000	A-	2.300% due 1/9/15(b)		302,032
	1,400,000	A-	1.650% due 4/10/15(b)		1,409,911
	1,800,000	A-	1.300% due 7/31/15(b)		1,812,994
	330,000	A-	2.625% due 9/15/16(b)		340,575
	600,000	A-	2.950% due 1/11/17(b)		623,517
	320,000	BBB-	Ford Motor Co., Senior Unsecured Notes, 4.750% due 1/15/43		336,265
			Volkswagen International Finance NV, Company Guaranteed Notes:
	2,200,000	A-	1.625% due 3/22/15(b)		2,215,312
	900,000	A-	2.875% due 4/1/16(b)		929,917

			Total Automobiles		7,970,523

	Banks — 6.1%
	1,400,000	A	Abbey National Treasury Services PLC, Company Guaranteed Notes, 3.875% due 11/10/14(b)		1,409,517
	200,000	AA-	ANZ New Zealand International Ltd., Company Guaranteed Notes, 1.850% due 10/15/15(b)		202,715
	800,000	A	Banco Santander Chile, Senior Unsecured Notes, 1.134% due 4/11/17(a)(b)		802,977
			Bank of America Corp.:
			Senior Unsecured Notes:
	620,000	A-	1.500% due 10/9/15		625,914
	495,000	A-	3.750% due 7/12/16		519,152
	230,000	A-	6.500% due 8/1/16		252,922
	600,000	A-	5.625% due 10/14/16		654,697
	850,000	Baa2(c)	8.950% due 5/18/17(a)		943,168
	1,584,000	Baa2(c)	9.570% due 6/6/17(a)		1,809,973
	80,000	A-	5.750% due 12/1/17		89,814
	3,250,000	A-	5.650% due 5/1/18		3,658,015
	500,000	A-	5.000% due 5/13/21		559,882
	100,000	A-	5.700% due 1/24/22		116,332

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Banks — 6.1% — (continued)
$	830,000	A-	3.300% due 1/11/23	$	823,994
	490,000	A-	4.125% due 1/22/24		509,924
	585,000	A-	4.000% due 4/1/24		603,804
	480,000	A-	5.000% due 1/21/44		523,600
	270,000	A-	4.875% due 4/1/44		290,014
	270,000	BBB+	Subordinated Notes, 4.200% due 8/26/24		274,408
	300,000	A-	Bank of America NA, Subordinated Notes, 6.100% due 6/15/17		336,007
	780,000	Aaa(c)	Bank of Nova Scotia (The), Covered Notes, 1.650% due 10/29/15(b)		791,146
	200,000	A-	Bank One Corp., Subordinated Notes, 4.900% due 4/30/15		205,676
			Barclays Bank PLC:
	375,000	A	Senior Unsecured Notes, 3.750% due 5/15/24		383,885
	100,000	BBB	Subordinated Notes, 5.140% due 10/14/20		109,304
	320,000	A+	BNP Paribas SA, Senior Unsecured Notes, 2.375% due 9/14/17		327,265
	800,000	A	BPCE SA, Company Guaranteed Notes, 0.801% due 11/18/16(a)		803,749
	315,000	Baa2(c)	Caixa Economica Federal, Senior Unsecured Notes, 2.375% due 11/6/17(b)		307,030
	644,000	BBB	Capital One Financial Corp., Senior Unsecured Notes, 3.500% due 6/15/23		649,569
	800,000	BBB	Chase Capital III, Limited Guaranteed Notes, 0.784% due 3/1/27(a)		709,000
			Cooperatieve Centrale Raiffeisen-Boerenleenbank BA:
			Company Guaranteed Notes:
	200,000	AA-	3.375% due 1/19/17		211,004
	310,000	A	4.625% due 12/1/23		330,260
	400,000	A-	Junior Subordinated Notes, 11.000%(a)(b)(d)		531,000
	660,000	BBB-	Credit Agricole SA, Junior Subordinated Notes, 9.750%(d)		677,985
			Credit Suisse, Subordinated Notes:
	471,000	BBB+	6.000% due 2/15/18		532,303
	300,000	BBB+	5.400% due 1/14/20		338,278
	770,000	Aaa(c)	Credit Suisse AG, Covered Notes, 2.600% due 5/27/16(b)		795,612
	1,510,000	BBB-	HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(b)		1,733,105
	1,600,000	A	HSBC Bank USA NA, Subordinated Notes, 6.000% due 8/9/17		1,806,019
	770,000	A	ING Bank NV, Senior Unsecured Notes, 3.750% due 3/7/17(b)		813,516
			Intesa Sanpaolo SpA, Company Guaranteed Notes:
	700,000	BBB	3.125% due 1/15/16		718,397
	810,000	BBB-	5.017% due 6/26/24(b)		819,152
			Lloyds Bank PLC:
	210,000	BBB	Company Guaranteed Notes, 6.500% due 9/14/20(b)		245,480
	2,300,000	BBB-	Junior Subordinated Notes, 12.000%(a)(b)(d)		3,392,500
	600,000	BBB	M&T Bank Corp., Junior Subordinated Notes, 6.875%(d)		615,568
	300,000	A	Nordea Bank AB, Subordinated Notes, 4.875% due 5/13/21(b)		328,525
			Royal Bank of Scotland Group PLC:
	1,040,000	BB	Junior Subordinated Notes, 7.648%(a)(d)		1,232,400
			Senior Unsecured Notes:
	1,070,000	BBB+	2.550% due 9/18/15		1,089,116
	300,000	BBB+	6.400% due 10/21/19		353,179
			Subordinated Notes:
	130,000	BB+	6.125% due 12/15/22		142,390
	320,000	BB+	6.100% due 6/10/23		349,938
	220,000	BB+	6.000% due 12/19/23		239,587
	465,000	BB+	5.125% due 5/28/24		475,161
	90,000	BBB-	Royal Bank of Scotland NV, Company Guaranteed Notes, 4.650% due 6/4/18		95,225
	700,000	A-	Royal Bank of Scotland PLC (The), Company Guaranteed Notes, 4.875% due 3/16/15		715,728
	219,000	BBB	Santander Holdings USA Inc., Senior Unsecured Notes, 3.450% due 8/27/18		230,077
	200,000	BBB+	Santander U.S. Debt SAU, Company Guaranteed Notes, 3.724% due 1/20/15(b)		201,991
	220,000	BBB+	Societe Generale SA, Subordinated Notes, 5.000% due 1/17/24(b)		230,805
	330,000	A-	Standard Chartered PLC, Subordinated Notes, 5.700% due 3/26/44(b)		365,349
	460,000	A	UBS AG, Senior Unsecured Notes, 3.875% due 1/15/15		465,933

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Banks — 6.1% — (continued)
$	300,000	BBB-	VTB Bank OJSC Via VTB Capital SA, Senior Unsecured Notes, 6.465% due 3/4/15(b)(e)	$	303,114
	630,000	BBB+	Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570%(a)(d)		620,550
			Wells Fargo & Co.:
	4,200,000	A+	Senior Unsecured Notes, 0.534% due 6/2/17(a)		4,202,864
			Subordinated Notes:
	330,000	A	3.450% due 2/13/23		332,650
	299,000	A	4.480% due 1/16/24		320,986
	100,000	A	4.100% due 6/3/26		102,437
	175,000	A	5.375% due 11/2/43		199,937
	170,000	A	5.606% due 1/15/44		200,366
	250,000	A+	Wells Fargo Bank NA, Subordinated Notes, 6.000% due 11/15/17		284,533
	210,000	BBB+	Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36		215,250
			Westpac Banking Corp.:
			Covered Notes:
	1,075,000	Aaa(c)	1.375% due 7/17/15(b)		1,084,442
	685,000	Aaa(c)	2.000% due 5/21/19(b)		686,274
	480,000	AA-	Senior Unsecured Notes, 4.875% due 11/19/19		542,636

			Total Banks		48,465,075

	Beverages — 0.9%
			Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes:
	1,200,000	A	4.125% due 1/15/15		1,216,257
	620,000	A	5.000% due 4/15/20		702,497
	585,000	A	2.500% due 7/15/22		574,310
	545,000	A-	Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20		600,230
	213,000	A-	Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20		240,154
	200,000	A-	Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22		200,340
	2,400,000	A-	Foster’s Finance Corp., Company Guaranteed Notes, 4.875% due 10/1/14(b)(e)		2,408,193
	120,000	BBB+	Heineken NV, Senior Unsecured Notes, 1.400% due 10/1/17(b)		119,663
	50,000	BBB+	Molson Coors Brewing Co., Company Guaranteed Notes, 3.500% due 5/1/22		51,474
			PepsiCo Inc., Senior Unsecured Notes:
	450,000	A-	0.700% due 8/13/15		451,882
	310,000	A-	7.900% due 11/1/18		382,643
			Pernod-Ricard SA, Senior Unsecured Notes:
	200,000	BBB-	2.950% due 1/15/17(b)		207,164
	390,000	BBB-	4.450% due 1/15/22(b)		419,891

			Total Beverages		7,574,698

	Biotechnology — 0.1%
			Amgen Inc., Senior Unsecured Notes:
	110,000	A	3.625% due 5/22/24		112,079
	120,000	A	5.150% due 11/15/41		133,278
	150,000	A	5.375% due 5/15/43		173,137
	250,000	A-	Gilead Sciences Inc., Senior Unsecured Notes, 3.700% due 4/1/24		261,245

			Total Biotechnology		679,739

	Capital Markets — 1.3%
	345,000	A+	Bank of New York Mellon Corp. (The), Senior Unsecured Notes, 3.400% due 5/15/24		353,978
	450,000	BB+	Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000%(a)(d)		357,750
			Goldman Sachs Group Inc. (The), Senior Unsecured Notes:
	1,400,000	A-	5.500% due 11/15/14		1,414,438
	1,100,000	A-	5.125% due 1/15/15		1,118,764
	1,200,000	A-	3.300% due 5/3/15		1,222,865
	515,000	A-	3.700% due 8/1/15		529,686
	800,000	A-	6.250% due 9/1/17		905,766
	225,000	A-	2.375% due 1/22/18		228,719

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†			Rating††	Security	Value
	Capital Markets — 1.3% — (continued)
$	950,000		A-	6.150% due 4/1/18	$	1,082,946
	624,000		A-	2.900% due 7/19/18		642,047
	150,000		A-	7.500% due 2/15/19		181,461
	1,060,000		A-	6.000% due 6/15/20		1,235,006
	40,000		A-	5.250% due 7/27/21		45,118
	630,000		A-	6.250% due 2/1/41		792,124
	650,000		NR	Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17(e)(f)(q)		0

				Total Capital Markets		10,110,668

	Chemicals — 0.1%
	160,000		BB	Eagle Spinco Inc., Company Guaranteed Notes, 4.625% due 2/15/21		161,000
	140,000		BBB+	Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21		153,779
	200,000		BBB	LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21		239,431
	60,000		A-	Potash Corp. of Saskatchewan Inc., Senior Unsecured Notes, 4.875% due 3/30/20		67,908
	190,000		A-	PPG Industries Inc., Senior Unsecured Notes, 6.650% due 3/15/18		220,900

				Total Chemicals		843,018

	Commercial Services & Supplies — 0.1%
				Waste Management Inc., Company Guaranteed Notes:
	40,000		A-	4.600% due 3/1/21		44,675
	110,000		A-	3.500% due 5/15/24		112,132
	70,000		A-	7.375% due 5/15/29		94,283
	150,000		B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(b)		146,250

				Total Commercial Services & Supplies		397,340

	Consumer Finance — 1.3%
				Ally Financial Inc., Company Guaranteed Notes:
	1,900,000		BB	8.300% due 2/12/15		1,960,563
	200,000		BB	8.000% due 3/15/20		243,500
				Ford Motor Credit Co. LLC, Senior Unsecured Notes:
	200,000		BBB-	2.750% due 5/15/15		203,060
	695,000		BBB-	12.000% due 5/15/15		749,849
	1,300,000		BBB-	5.625% due 9/15/15		1,364,436
	1,425,000		BBB-	1.700% due 5/9/16		1,440,950
	700,000		BBB-	0.684% due 11/8/16(a)		700,063
	500,000		BBB-	6.625% due 8/15/17		571,440
	225,000		BBB-	1.724% due 12/6/17		224,787
	610,000		BBB-	8.125% due 1/15/20		775,299
	100,000		BBB+	Hyundai Capital America, Senior Unsecured Notes, 2.125% due 10/2/17(b)		101,453
				Navient LLC, Senior Unsecured Notes:
	1,100,000		BB	6.000% due 1/25/17		1,185,250
	360,000		BB	8.000% due 3/25/20		416,700
	100,000	^DKK	AAA	Nykredit Realkredit AS, Covered Notes, 2.000% due 4/1/15		17,826
	200,000	^DKK	AAA	Realkredit Danmark AS, Covered Notes, 2.000% due 4/1/15		35,660
	410,000		AA-	Toyota Motor Credit Corp., Senior Unsecured Notes, 1.250% due 10/5/17		409,458

				Total Consumer Finance		10,400,294

	Containers & Packaging — 0.0%
	170,000		BB+	Ball Corp., Company Guaranteed Notes, 5.750% due 5/15/21		180,200
				Rock-Tenn Co., Company Guaranteed Notes:
	120,000		BBB	3.500% due 3/1/20		124,259
	20,000		BBB	4.000% due 3/1/23		20,668

				Total Containers & Packaging		325,127

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 4.2%
			American Express Co.:
$	72,000	BBB+	Senior Unsecured Notes, 2.650% due 12/2/22	$	70,740
	310,000	BBB-	Subordinated Notes, 6.800% due 9/1/66(a)		337,125
	415,000	AAA	Asian Development Bank, Senior Unsecured Notes, 0.750% due 1/11/17		415,234
	1,200,000	BB(g)	Astoria Depositor Corp., Pass Thru Certificates, 8.144% due 5/1/21(b)		1,266,000
			Bear Stearns Cos. LLC (The), Senior Unsecured Notes:
	20,000	A	6.400% due 10/2/17		22,843
	2,280,000	A	7.250% due 2/1/18		2,687,753
	400,000	A+	Caisse Centrale Desjardins, Senior Unsecured Notes, 2.650% due 9/16/15(b)		408,873
	1,400,000	AAA	CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(b)		1,554,983
			Citigroup Inc.:
			Senior Unsecured Notes:
	2,085,000	A-	1.250% due 1/15/16		2,096,388
	1,200,000	A-	1.194% due 7/25/16(a)		1,212,123
	500,000	A-	2.500% due 9/26/18		508,071
			Subordinated Notes:
	1,400,000	BBB+	5.000% due 9/15/14		1,401,984
	200,000	BBB+	4.875% due 5/7/15		205,658
	250,000	BBB+	5.500% due 9/13/25		280,678
	30,000	BBB+	6.625% due 6/15/32		36,522
	280,000	BBB+	6.675% due 9/13/43		357,415
	100,000	A-	Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(b)		131,765
	1,200,000	A-	Farmers Exchange Capital II, Subordinated Notes, 6.151% due 11/1/53(a)(b)		1,380,354
	240,000	Aaa(c)	FMS Wertmanagement AoeR, Government Guaranteed Notes, 1.125% due 9/5/17		240,357
			General Electric Capital Corp.:
			Senior Unsecured Notes:
	820,000	AA+	5.625% due 5/1/18		933,723
	90,000	AA+	5.550% due 5/4/20		104,710
	250,000	AA+	4.650% due 10/17/21		280,519
	1,025,000	AA+	0.714% due 8/15/36(a)		885,447
	425,000	AA+	6.150% due 8/7/37		543,039
	160,000	AA+	6.875% due 1/10/39		222,312
			Subordinated Notes:
	170,000	AA	5.300% due 2/11/21		195,194
	710,000	AA-	6.375% due 11/15/67(a)		789,094
	430,000	A-	HSBC Finance Corp., Senior Subordinated Notes, 6.676% due 1/15/21		516,798
	130,000	BBB-	Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 5.875% due 2/1/22		136,175
	270,000	B+	ILFC E-Capital Trust II, Limited Guaranteed Notes, 6.250% due 12/21/65(a)(b)		269,325
			International Lease Finance Corp.:
			Senior Secured Notes:
	500,000	BBB-	6.500% due 9/1/14(b)		500,000
	880,000	BBB-	6.750% due 9/1/16(b)		964,700
	590,000	BBB-	7.125% due 9/1/18(b)		678,500
	565,000	BB+	Senior Unsecured Notes, 8.625% due 9/15/15		607,022
			John Deere Capital Corp., Senior Unsecured Notes:
	130,000	A	2.250% due 4/17/19		132,070
	70,000	A	1.700% due 1/15/20		68,768
			JPMorgan Chase & Co.:
			Senior Unsecured Notes:
	1,400,000	A	3.400% due 6/24/15		1,432,304
	1,800,000	A	1.100% due 10/15/15		1,808,548
	480,000	A	3.450% due 3/1/16		498,778
	745,000	A	2.000% due 8/15/17		756,696
	295,000	A	6.000% due 1/15/18		335,341

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Diversified Financial Services — 4.2% — (continued)
$	90,000	A	4.400% due 7/22/20	$	98,176
	1,005,000	A	3.625% due 5/13/24		1,026,017
			Subordinated Notes:
	170,000	A-	5.150% due 10/1/15		177,831
	630,000	A-	6.125% due 6/27/17		707,489
	200,000	A-	3.375% due 5/1/23		197,186
	400,000	A	Unsecured Notes, 0.784% due 4/25/18(a)		402,230
	900,000	BBB	JPMorgan Chase Capital XXIII, Limited Guaranteed Notes, 1.234% due 5/15/47(a)		746,550
	500,000	BBB-	Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(b)		639,610
	335,000	A+	Prudential Holdings LLC, Senior Secured Notes, 8.695% due 12/18/23(b)		427,308
			State Street Corp.:
	470,000	BBB+	Junior Subordinated Notes, 4.956% due 3/15/18		513,796
	250,000	A	Senior Subordinated Notes, 3.100% due 5/15/23		247,361
	303,938	Baa2(c)	SteelRiver Transmission Co. LLC, Senior Secured Notes, 4.710% due 6/30/17(b)		321,477
	750,000	A	ZFS Finance USA Trust II, Junior Subordinated Notes, 6.450% due 12/15/65(a)(b)		808,125

			Total Diversified Financial Services		33,587,085

	Diversified Telecommunication Services — 1.2%
			AT&T Inc., Senior Unsecured Notes:
	570,000	A-	5.100% due 9/15/14		570,844
	330,000	A-	5.500% due 2/1/18		372,541
	10,000	A-	5.800% due 2/15/19		11,619
	70,000	A-	4.300% due 12/15/42		68,337
	220,000	A-	4.350% due 6/15/45		215,125
	220,000	BBB+	Deutsche Telekom International Finance BV, Company Guaranteed Notes, 5.750% due 3/23/16		236,429
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	120,000	B+	8.500% due 11/1/19		126,300
	60,000	B+	7.500% due 4/1/21		65,175
	300,000	B+	5.500% due 8/1/23		300,000
			Verizon Communications Inc., Senior Unsecured Notes:
	1,800,000	BBB+	0.700% due 11/2/15		1,802,990
	1,100,000	BBB+	2.500% due 9/15/16		1,134,742
	40,000	BBB+	6.350% due 4/1/19		47,075
	100,000	BBB+	3.450% due 3/15/21		103,812
	1,992,000	BBB+	5.150% due 9/15/23		2,256,976
	253,000	BBB+	4.150% due 3/15/24		268,020
	284,000	BBB+	6.400% due 9/15/33		359,122
	703,000	BBB+	6.550% due 9/15/43		906,786
	294,000	BBB+	4.862% due 8/21/46(b)		309,452
	307,000	BBB+	5.012% due 8/21/54(b)		321,727
	34,000	A-	Vodafone Group PLC, Senior Unsecured Notes, 4.375% due 2/19/43		33,251

			Total Diversified Telecommunication Services		9,510,323

	Electric Utilities — 1.4%
			Berkshire Hathaway Energy Co., Senior Unsecured Notes:
	250,000	BBB+	5.950% due 5/15/37		311,353
	275,000	BBB+	6.500% due 9/15/37		364,028
	36,000	BB	Calpine Corp., Senior Secured Notes, 7.875% due 1/15/23(b)		40,140
	215,000	BBB+	Cleveland Electric Illuminating Co. (The), Senior Secured Notes, 7.880% due 11/1/17		256,103
			Dominion Resources Inc., Senior Unsecured Notes:
	105,000	BBB+	7.195% due 9/15/14		105,218
	390,000	BBB+	5.200% due 8/15/19		444,197
	110,000	BBB	Duke Energy Corp., Senior Unsecured Notes, 3.550% due 9/15/21		116,024
	195,000	A	Duke Energy Florida Inc., 1st Mortgage Notes, 5.900% due 3/1/33		241,742

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Electric Utilities — 1.4% — (continued)
$	750,000	BBB-	Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(b)	$	888,675
	920,000	A-	Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19		1,109,421
	105,000	BBB-	Exelon Corp., Senior Unsecured Notes, 5.625% due 6/15/35		121,710
			FirstEnergy Corp., Senior Unsecured Notes:
	100,000	BB+	2.750% due 3/15/18		101,217
	930,000	BB+	7.375% due 11/15/31		1,132,435
	55,000	A	Florida Power & Light Co., 1st Mortgage Notes, 4.950% due 6/1/35		64,223
	364,312	BBB-	Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20		415,244
			IPALCO Enterprises Inc., Senior Secured Notes:
	750,000	BB+	7.250% due 4/1/16(b)		811,875
	350,000	BB+	5.000% due 5/1/18		372,750
	775,000	BBB+	KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21		982,356
	487,147	BB-	Mirant Mid Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		549,867
	250,000	BBB	Ohio Power Co., Senior Unsecured Notes, 6.050% due 5/1/18		287,177
	80,000	A	Oncor Electric Delivery Co. LLC, Senior Secured Notes, 7.000% due 9/1/22		103,183
	370,000	BBB	Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34		465,156
	235,000	A	PacifiCorp, 1st Mortgage Notes, 4.100% due 2/1/42		242,318
	500,000	BBB-	PNM Resources Inc., Senior Unsecured Notes, 9.250% due 5/15/15		528,958
	500,000	BBB	Public Service Co. of New Mexico, Senior Unsecured Notes, 7.950% due 5/15/18		601,166
	200,000	A-	Texas-New Mexico Power Co., 1st Mortgage Notes, 6.950% due 4/1/43(b)		274,156
			Virginia Electric & Power Co., Senior Unsecured Notes:
	125,000	A-	6.000% due 5/15/37		161,544
	25,000	A-	6.350% due 11/30/37		33,959
	250,000	A-	4.000% due 1/15/43		251,555

			Total Electric Utilities		11,377,750

	Electrical Equipment — 0.0%
	30,000	A	ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42		31,687

	Electronic Equipment, Instruments & Components — 0.0%
	303,000	BBB-	Jabil Circuit Inc., Senior Unsecured Notes, 8.250% due 3/15/18		358,298

	Energy Equipment & Services — 0.1%
			Access Midstream Partners LP/ACMP Finance Corp., Company Guaranteed Notes:
	60,000	BB+	5.875% due 4/15/21		64,050
	180,000	BB+	6.125% due 7/15/22		196,650
	30,000	BB+	4.875% due 3/15/24		31,620
	400,000	A+	Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(b)		421,486

			Total Energy Equipment & Services		713,806

	Food & Staples Retailing — 0.3%
			CVS Caremark Corp., Senior Unsecured Notes:
	1,600,000	BBB+	3.250% due 5/18/15		1,631,952
	420,000	BBB+	2.750% due 12/1/22		411,925
	275,020	BBB+	CVS Pass-Through Trust, Pass Thru Certificates, 6.036% due 12/10/28		319,765
	90,000	BBB	Kroger Co. (The), Company Guaranteed Notes, 6.900% due 4/15/38		120,470

			Total Food & Staples Retailing		2,484,112

	Food Products — 0.7%
	2,200,000	BBB-	ConAgra Foods Inc., Senior Unsecured Notes, 0.603% due 7/21/16(a)		2,202,669
	180,000	BB-	HJ Heinz Co., Secured Notes, 4.250% due 10/15/20		182,700
	2,500,000	BBB	Kraft Foods Group Inc., Senior Unsecured Notes, 1.625% due 6/4/15		2,522,237
			Mondelez International Inc., Senior Unsecured Notes:
	348,000	BBB-	5.375% due 2/10/20		398,562
	270,000	BBB-	4.000% due 2/1/24		284,402

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Food Products — 0.7% — (continued)
			Wm Wrigley Jr Co., Senior Unsecured Notes:
$	50,000	A-	2.400% due 10/21/18(b)	$	50,875
	180,000	A-	2.900% due 10/21/19(b)		184,787
	60,000	A-	3.375% due 10/21/20(b)		62,004

			Total Food Products		5,888,236

	Health Care Equipment & Supplies — 0.4%
	185,000	A-	Baxter International Inc., Senior Unsecured Notes, 3.200% due 6/15/23		185,964
	2,900,000	A	Covidien International Finance SA, Company Guaranteed Notes, 1.350% due 5/29/15		2,919,775
			Medtronic Inc., Senior Unsecured Notes:
	150,000	AA-	4.450% due 3/15/20		166,837
	100,000	AA-	5.550% due 3/15/40		121,857

			Total Health Care Equipment & Supplies		3,394,433

	Health Care Providers & Services — 0.7%
	30,000	A+	Catholic Health Initiatives, Secured Notes, 4.350% due 11/1/42		29,921
	560,000	B-	CHS/Community Health Systems Inc., Company Guaranteed Notes, 8.000% due 11/15/19		610,400
	20,000	B+	DaVita HealthCare Partners Inc., Company Guaranteed Notes, 5.125% due 7/15/24		20,325
			Fresenius Medical Care US Finance Inc., Company Guaranteed Notes:
	120,000	BB+	6.500% due 9/15/18(b)		134,400
	20,000	BB+	5.750% due 2/15/21(b)		21,800
			HCA Inc., Company Guaranteed Notes:
	600,000	B-	6.375% due 1/15/15		610,500
	120,000	B-	7.190% due 11/15/15		127,500
	29,000	B-	6.500% due 2/15/16		30,849
	210,000	B-	7.500% due 2/15/22		245,175
			Humana Inc., Senior Unsecured Notes:
	400,000	BBB+	6.450% due 6/1/16		437,622
	60,000	BBB+	3.150% due 12/1/22		60,042
	70,000	BBB+	4.625% due 12/1/42		71,564
	1,000,000	AA	Providence Health & Services Obligated Group, Unsecured Notes, 1.185% due 10/1/17(a)		1,006,781
	76,000	AA	Roche Holdings Inc., Company Guaranteed Notes, 6.000% due 3/1/19(b)		88,861
	705,000	A	UnitedHealth Group Inc., Senior Unsecured Notes, 3.375% due 11/15/21		736,795
			WellPoint Inc., Senior Unsecured Notes:
	80,000	A-	1.250% due 9/10/15		80,515
	30,000	A-	5.875% due 6/15/17		33,593
	510,000	A-	3.125% due 5/15/22		511,553
	530,000	A-	3.300% due 1/15/23		532,306
	120,000	A-	4.650% due 8/15/44		124,492

			Total Health Care Providers & Services		5,514,994

	Hotels, Restaurants & Leisure — 0.2%
	390,000	B	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/21(b)		414,131
			MGM Resorts International, Company Guaranteed Notes:
	500,000	B+	6.875% due 4/1/16		538,750
	700,000	B+	7.500% due 6/1/16		763,000

			Total Hotels, Restaurants & Leisure		1,715,881

	Household Durables — 0.0%
			Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes:
	80,000	BB-	7.750% due 4/15/20(b)		87,000
	150,000	BB-	5.250% due 4/15/21(b)		152,250

			Total Household Durables		239,250

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Household Products — 0.0%
			Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes:
$	100,000	B+	7.125% due 4/15/19	$	104,125
	200,000	B+	7.875% due 8/15/19		217,500

			Total Household Products		321,625

	Independent Power and Renewable Electricity Producers — 0.1%
			AES Corp., Senior Unsecured Notes:
	40,000	BB-	7.750% due 10/15/15		42,600
	60,000	BB-	7.375% due 7/1/21		69,000
	90,000	BB-	4.875% due 5/15/23		88,875
	195,000	BBB	Exelon Generation Co. LLC, Senior Unsecured Notes, 4.250% due 6/15/22		203,932

			Total Independent Power and Renewable Electricity Producers		404,407

	Industrial Conglomerates — 0.2%
			Eaton Corp., Company Guaranteed Notes:
	80,000	A-	1.500% due 11/2/17		80,089
	320,000	A-	2.750% due 11/2/22		313,333
	160,000	A-	4.150% due 11/2/42		159,912
			General Electric Co., Senior Unsecured Notes:
	170,000	AA+	0.850% due 10/9/15		170,788
	245,000	AA+	2.700% due 10/9/22		242,358
	220,000	AA+	4.500% due 3/11/44		240,446

			Total Industrial Conglomerates		1,206,926

	Insurance — 0.8%
			American International Group Inc., Senior Unsecured Notes:
	400,000	A-	5.450% due 5/18/17		443,601
	330,000	A-	4.875% due 6/1/22		370,997
	90,000	AA	Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.300% due 5/15/43		92,507
	80,000	BBB-	Genworth Holdings Inc., Company Guaranteed Notes, 4.800% due 2/15/24		84,221
	90,000	BBB	Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43		89,219
	870,000	BBB	MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36		985,275
			Metropolitan Life Global Funding I:
	350,000	AA-	Secured Notes, 1.500% due 1/10/18(b)		349,107
	1,100,000	AA-	Senior Secured Notes, 1.700% due 6/29/15(b)(e)		1,112,219
	850,000	A-	Nationwide Mutual Insurance Co., Subordinated Notes, 5.810% due 12/15/24(a)(b)		860,625
	625,000	AA+	New York Life Global Funding, Secured Notes, 0.800% due 2/12/16(b)		627,181
			Prudential Financial Inc., Senior Unsecured Notes:
	200,000	A	3.875% due 1/14/15		202,415
	390,000	A	7.375% due 6/15/19		480,128
	230,000	AA-	Swiss Re Treasury US Corp., Company Guaranteed Notes, 2.875% due 12/6/22(b)		223,960
	290,000	AA-	Teachers Insurance & Annuity Association of America, Subordinated Notes, 6.850% due 12/16/39(b)		392,091
	50,000	BBB-	Voya Financial Inc., Company Guaranteed Notes, 2.900% due 2/15/18		51,782

			Total Insurance		6,365,328

	Life Sciences Tools & Services — 0.0%
			Thermo Fisher Scientific Inc., Senior Unsecured Notes:
	120,000	BBB	3.600% due 8/15/21		125,076
	20,000	BBB	5.300% due 2/1/44		22,869

			Total Life Sciences Tools & Services		147,945

	Machinery — 0.0%
	280,000	BBB-	AGCO Corp., Senior Unsecured Notes, 5.875% due 12/1/21		321,304

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Media — 1.8%
			21st Century Fox America Inc., Company Guaranteed Notes:
$	200,000	BBB+	5.300% due 12/15/14	$	202,834
	30,000	BBB+	4.500% due 2/15/21		33,045
	125,000	BBB+	8.500% due 2/23/25		167,503
	25,000	BBB+	6.200% due 12/15/34		31,047
	10,000	BBB+	6.900% due 8/15/39		13,296
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	130,000	B	7.000% due 1/15/19		136,656
	555,000	B	8.125% due 4/30/20		596,625
	45,000	B	6.500% due 4/30/21		47,981
	200,000	A-	Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22		291,368
			Comcast Corp., Company Guaranteed Notes:
	30,000	A-	5.875% due 2/15/18		34,384
	540,000	A-	5.700% due 5/15/18		617,942
	170,000	A-	4.200% due 8/15/34		175,276
	80,000	A-	6.500% due 11/15/35		105,566
	50,000	A-	6.950% due 8/15/37		69,085
	90,000	A-	6.550% due 7/1/39		120,656
	185,000	A-	4.650% due 7/15/42		198,490
	85,000	A-	4.750% due 3/1/44		93,428
			Cox Communications Inc., Senior Unsecured Notes:
	170,000	BBB	8.375% due 3/1/39(b)		248,679
	10,000	BBB	4.700% due 12/15/42(b)		10,005
			DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Company Guaranteed Notes:
	620,000	BBB	3.500% due 3/1/16		644,337
	271,000	BBB	3.800% due 3/15/22		282,913
			Discovery Communications LLC, Company Guaranteed Notes:
	2,700,000	BBB	3.700% due 6/1/15		2,764,705
	24,000	BBB	4.875% due 4/1/43		25,188
			DISH DBS Corp., Company Guaranteed Notes:
	850,000	BB-	6.625% due 10/1/14		854,250
	900,000	BB-	7.750% due 5/31/15		945,000
	20,000	BB-	5.125% due 5/1/20		20,550
	80,000	BB-	6.750% due 6/1/21		89,696
	60,000	BB-	5.875% due 7/15/22		63,822
	900,000	A-	NBCUniversal Enterprise Inc., Company Guaranteed Notes, 0.771% due 4/15/16(a)(b)		902,372
	220,000	A-	NBCUniversal Media LLC, Company Guaranteed Notes, 4.450% due 1/15/43		231,195
	200,000	B+	Numericable Group SA, Senior Secured Notes, 6.000% due 5/15/22(b)		206,250
	44,000	BBB+	Omnicom Group Inc., Company Guaranteed Notes, 5.900% due 4/15/16		47,505
	598,000	A-	Scripps Networks Interactive Inc., Senior Unsecured Notes, 2.700% due 12/15/16		620,225
			Time Warner Cable Inc., Company Guaranteed Notes:
	510,000	BBB	8.250% due 4/1/19		642,228
	170,000	BBB	6.550% due 5/1/37		218,517
	60,000	BBB	5.875% due 11/15/40		72,530
	40,000	BBB	5.500% due 9/1/41		46,470
	80,000	BBB	Time Warner Entertainment Co. LP, Company Guaranteed Notes, 8.375% due 7/15/33		120,628
			Time Warner Inc., Company Guaranteed Notes:
	1,100,000	BBB	3.150% due 7/15/15		1,125,531
	100,000	BBB	4.700% due 1/15/21		110,636
	110,000	BBB	4.750% due 3/29/21		122,093
	370,000	BBB	7.700% due 5/1/32		523,754
	30,000	BBB	6.250% due 3/29/41		36,839
			Univision Communications Inc., Senior Secured Notes:
	160,000	B+	7.875% due 11/1/20(b)		175,200
	100,000	B+	5.125% due 5/15/23(b)		105,250

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Media — 1.8% — (continued)
$	150,000	BBB	Viacom Inc., Senior Unsecured Notes, 4.250% due 9/1/23	$	158,185
	110,000	BBB	WPP Finance UK, Company Guaranteed Notes, 8.000% due 9/15/14		110,250

			Total Media		14,459,985

	Metals & Mining — 1.1%
	740,000	BBB	Barrick Gold Corp., Senior Unsecured Notes, 4.100% due 5/1/23		751,853
	200,000	BBB	Barrick North America Finance LLC, Company Guaranteed Notes, 4.400% due 5/30/21		210,715
			BHP Billiton Finance USA Ltd., Company Guaranteed Notes:
	370,000	A+	6.500% due 4/1/19		443,547
	240,000	A+	5.000% due 9/30/43		275,454
			Cliffs Natural Resources Inc., Senior Unsecured Notes:
	340,000	BBB-	4.200% due 1/15/18(h)		342,658
	60,000	BBB-	4.800% due 10/1/20(h)		57,056
	100,000	AA-	Corp. Nacional del Cobre de Chile, Senior Unsecured Notes, 4.750% due 10/15/14(b)		100,414
			FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes:
	110,000	BB	6.875% due 2/1/18(b)		115,947
	180,000	BB	6.875% due 4/1/22(b)		196,762
	10,000	BBB	Freeport-McMoRan Inc., Company Guaranteed Notes, 2.375% due 3/15/18		10,145
			Glencore Finance Canada Ltd., Company Guaranteed Notes:
	2,100,000	BBB	2.850% due 11/10/14(b)		2,108,599
	320,000	BBB	2.050% due 10/23/15(b)		323,617
	280,000	BBB	2.700% due 10/25/17(b)		287,541
	470,000	A-	Rio Tinto Finance USA Ltd., Company Guaranteed Notes, 9.000% due 5/1/19		612,246
	175,000	A-	Rio Tinto Finance USA PLC, Company Guaranteed Notes, 4.125% due 8/21/42		172,763
	660,000	BBB	Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42		646,041
			Vale Overseas Ltd., Company Guaranteed Notes:
	1,642,000	A-	4.375% due 1/11/22		1,722,261
	260,000	A-	6.875% due 11/21/36		307,801

			Total Metals & Mining		8,685,420

	Oil, Gas & Consumable Fuels — 3.1%
	140,000	BBB-	Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31		194,816
			Anadarko Petroleum Corp., Senior Unsecured Notes:
	308,000	BBB-	5.950% due 9/15/16		338,331
	827,000	BBB-	6.375% due 9/15/17		943,656
	170,000	BBB-	6.450% due 9/15/36		218,752
	540,000	A-	Apache Corp., Senior Unsecured Notes, 5.625% due 1/15/17		596,218
	90,000	BB	Atwood Oceanics Inc., Senior Unsecured Notes, 6.500% due 2/1/20		95,850
			BP Capital Markets PLC, Company Guaranteed Notes:
	225,000	A	4.742% due 3/11/21		252,559
	360,000	A	3.245% due 5/6/22		367,985
	160,000	A	2.750% due 5/10/23		155,882
	225,000	BBB+	Cameron International Corp., Senior Unsecured Notes, 7.000% due 7/15/38		301,399
	300,000	BB+	Chesapeake Energy Corp., Company Guaranteed Notes, 6.875% due 11/15/20		349,500
			Concho Resources Inc., Company Guaranteed Notes:
	90,000	BB+	6.500% due 1/15/22		99,000
	50,000	BB+	5.500% due 10/1/22		53,750
	230,000	A	ConocoPhillips, Company Guaranteed Notes, 6.000% due 1/15/20		273,367
	170,000	BB	Consol Energy Inc., Company Guaranteed Notes, 6.375% due 3/1/21		181,050
			Continental Resources Inc., Company Guaranteed Notes:
	120,000	BBB-	4.500% due 4/15/23		129,814
	145,000	BBB-	4.900% due 6/1/44(b)		153,804
	290,000	BBB+	Devon Energy Corp., Senior Unsecured Notes, 5.600% due 7/15/41		341,537
	220,000	BBB	Ecopetrol SA, Senior Unsecured Notes, 5.875% due 5/28/45		238,361
	430,000	BBB-	El Paso Natural Gas Co. LLC, Senior Unsecured Notes, 8.625% due 1/15/22		561,246

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 3.1% — (continued)
$	460,000	BBB	El Paso Pipeline Partners Operating Co. LLC, Company Guaranteed Notes, 6.500% due 4/1/20	$	537,365
			Energy Transfer Partners LP, Senior Unsecured Notes:
	500,000	BBB-	8.250% due 11/15/29		715,608
	158,000	BBB-	6.500% due 2/1/42		190,492
			Enterprise Products Operating LLC, Company Guaranteed Notes:
	900,000	BBB+	3.700% due 6/1/15		920,861
	160,000	BBB+	6.300% due 9/15/17		183,060
	100,000	BBB+	5.700% due 2/15/42		119,639
	190,000	BBB+	5.100% due 2/15/45		210,217
	600,000	BBB-	Gazprom OAO Via Gaz Capital SA, Senior Unsecured Notes, 4.950% due 5/23/16		611,442
			Hess Corp., Senior Unsecured Notes:
	50,000	BBB	7.875% due 10/1/29		70,164
	160,000	BBB	7.300% due 8/15/31		217,428
	75,000	BBB-	Kerr-McGee Corp., Company Guaranteed Notes, 7.875% due 9/15/31		107,182
	290,000	BB-	Key Energy Services Inc., Company Guaranteed Notes, 6.750% due 3/1/21		295,800
	170,000	BBB	Kinder Morgan Energy Partners LP, Senior Unsecured Notes, 6.850% due 2/15/20		202,867
	190,000	BB	Kinder Morgan Finance Co. LLC, Company Guaranteed Notes, 6.000% due 1/15/18(b)		212,562
	140,000	BB	MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Company Guaranteed Notes, 4.500% due 7/15/23		142,975
	580,000	BBB-	Newfield Exploration Co., Senior Unsecured Notes, 5.625% due 7/1/24		641,596
			Noble Energy Inc., Senior Unsecured Notes:
	70,000	BBB	4.150% due 12/15/21		75,371
	265,000	BBB	5.250% due 11/15/43		297,426
	280,000	A	Occidental Petroleum Corp., Senior Unsecured Notes, 3.125% due 2/15/22		285,442
	1,000,000	BBB-	Panhandle Eastern Pipeline Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19		1,227,944
	60,000	BB-	Peabody Energy Corp., Company Guaranteed Notes, 6.250% due 11/15/21(h)		60,000
	169,000	BB	Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., Company Guaranteed Notes, 8.375% due 6/1/20		188,858
	2,110,000	BBB-	Petrobras International Finance Co., Company Guaranteed Notes, 5.375% due 1/27/21		2,235,123
			Petroleos Mexicanos, Company Guaranteed Notes:
	1,250,000	BBB+	3.500% due 1/30/23		1,241,875
	150,000	BBB+	4.875% due 1/18/24		163,575
	29,000	BBB+	6.625% due 6/15/35		35,887
	380,000	BBB+	6.375% due 1/23/45(b)		460,750
			Plains Exploration & Production Co., Company Guaranteed Notes:
	298,000	BBB	6.125% due 6/15/19		329,662
	53,000	BBB	6.875% due 2/15/23		61,679
			QEP Resources Inc., Senior Unsecured Notes:
	140,000	BB+	6.875% due 3/1/21		157,500
	50,000	BB+	5.250% due 5/1/23		50,875
			Range Resources Corp., Company Guaranteed Notes:
	30,000	BB	5.000% due 8/15/22		32,063
	120,000	BB	5.000% due 3/15/23		128,100
	360,000	BB	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.875% due 12/1/18		376,650
	140,000	CCC+	Samson Investment Co., Company Guaranteed Notes, 9.750% due 2/15/20		143,500
	330,000	AA-	Schlumberger Investment SA, Company Guaranteed Notes, 3.300% due 9/14/21(b)		345,404
	60,000	AA-	Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(b)		66,077
	435,000	BBB-	SESI LLC, Company Guaranteed Notes, 7.125% due 12/15/21		492,638
			Shell International Finance BV, Company Guaranteed Notes:
	500,000	AA	0.303% due 11/10/15(a)		500,392
	400,000	AA	0.444% due 11/15/16(a)		401,628
	360,000	AA	4.375% due 3/25/20		402,686
			Southern Natural Gas Co. LLC, Senior Unsecured Notes:
	40,000	BBB	5.900% due 4/1/17(b)		44,548
	58,000	BBB	8.000% due 3/1/32		77,375

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 3.1% — (continued)
$	575,000	AA-	Statoil ASA, Company Guaranteed Notes, 1.200% due 1/17/18	$	571,796
	1,300,000	BBB+	Suncor Energy Inc., Senior Unsecured Notes, 6.850% due 6/1/39		1,769,113
	125,000	A-	TransCanada PipeLines Ltd., Senior Unsecured Notes, 3.750% due 10/16/23		130,902
			Transocean Inc., Company Guaranteed Notes:
	223,000	BBB-	5.050% due 12/15/16		240,699
	220,000	BBB-	6.375% due 12/15/21		249,364
	35,000	BBB-	Weatherford International Ltd., Company Guaranteed Notes, 5.950% due 4/15/42		40,462
			Williams Cos., Inc. (The), Senior Unsecured Notes:
	343,000	BB+	7.875% due 9/1/21		423,141
	166,000	BB+	8.750% due 3/15/32		215,989

			Total Oil, Gas & Consumable Fuels		24,750,629

	Paper & Forest Products — 0.0%
	340,000	BBB-	Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22		352,990

	Pharmaceuticals — 0.4%
			AbbVie Inc., Senior Unsecured Notes:
	440,000	A	1.750% due 11/6/17		442,659
	150,000	A	2.900% due 11/6/22		147,740
	235,000	A	4.400% due 11/6/42		237,341
			Actavis Funding SCS, Company Guaranteed Notes:
	90,000	BBB-	3.850% due 6/15/24(b)		91,222
	80,000	BBB-	4.850% due 6/15/44(b)		82,631
	140,000	BBB-	Actavis Inc., Senior Unsecured Notes, 4.625% due 10/1/42		140,038
	780,000	A+	GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22		776,790
			Pfizer Inc., Senior Unsecured Notes:
	155,000	AA	3.400% due 5/15/24		158,800
	130,000	AA	7.200% due 3/15/39		187,992
	40,000	AA	4.300% due 6/15/43		41,321
	165,000	AA	4.400% due 5/15/44		173,358
	240,000	AA	Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37		301,960
	60,000	BBB-	Zoetis Inc., Senior Unsecured Notes, 3.250% due 2/1/23		60,132

			Total Pharmaceuticals		2,841,984

	Real Estate Investment Trusts (REITs) — 1.1%
			ARC Properties Operating Partnership LP/Clark Acquisition LLC, Company Guaranteed Notes:
	1,000,000	BBB-	2.000% due 2/6/17(b)		1,002,123
	350,000	BBB-	4.600% due 2/6/24(b)		360,998
	110,000	BBB+	AvalonBay Communities Inc., Senior Unsecured Notes, 2.850% due 3/15/23		107,217
	100,000	A-	Boston Properties LP, Senior Unsecured Notes, 3.850% due 2/1/23		104,273
	700,000	BBB	Duke Realty LP, Company Guaranteed Notes, 6.500% due 1/15/18		796,590
	80,000	BBB+	ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44		81,797
			HCP Inc., Senior Unsecured Notes:
	500,000	BBB+	6.000% due 1/30/17		555,802
	775,000	BBB+	2.625% due 2/1/20		774,088
			Health Care REIT Inc., Senior Unsecured Notes:
	1,395,000	BBB	4.950% due 1/15/21		1,554,929
	425,000	BBB	6.500% due 3/15/41		551,288
	600,000	BBB-	Healthcare Realty Trust Inc., Senior Unsecured Notes, 6.500% due 1/17/17		667,443
	140,000	A	Simon Property Group LP, Senior Unsecured Notes, 3.750% due 2/1/24		145,847
	400,000	BBB-	SL Green Realty Corp./SL Green Operating Partnership/Reckson Operating Part, Senior Unsecured Notes, 7.750% due 3/15/20		481,495
	1,240,000	BBB+	Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20		1,237,550

			Total Real Estate Investment Trusts (REITs)		8,421,440

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Road & Rail — 0.3%
			Burlington Northern Santa Fe LLC, Senior Unsecured Notes:
$	150,000	BBB+	4.375% due 9/1/42	$	151,729
	105,000	BBB+	4.550% due 9/1/44		109,484
	1,700,000	BBB-	Penske Truck Leasing Co. LP/PTL Finance Corp., Unsecured Notes, 3.125% due 5/11/15(b)		1,728,572
	84,000	A	Union Pacific Corp., Senior Unsecured Notes, 4.163% due 7/15/22		92,408

			Total Road & Rail		2,082,193

	Software — 0.1%
	120,000	BB+	Activision Blizzard Inc., Company Guaranteed Notes, 5.625% due 9/15/21(b)		130,050
			First Data Corp.:
			Company Guaranteed Notes:
	30,000	B-	12.625% due 1/15/21		36,750
	52,000	CCC+	11.750% due 8/15/21		61,750
	136,000	BB-	Senior Secured Notes, 6.750% due 11/1/20(b)		147,560
			Oracle Corp., Senior Unsecured Notes:
	280,000	A+	1.200% due 10/15/17		279,115
	100,000	A+	4.500% due 7/8/44		106,024

			Total Software		761,249

	Specialty Retail — 0.2%
	100,000	A-	Lowe’s Cos, Inc., Senior Unsecured Notes, 4.650% due 4/15/42		108,550
			QVC Inc., Senior Secured Notes:
	385,000	BBB-	7.500% due 10/1/19(b)		401,894
	554,000	BBB-	7.375% due 10/15/20(b)		592,334
			Wal-Mart Stores Inc., Senior Unsecured Notes:
	700,000	AA	3.250% due 10/25/20		737,535
	115,000	AA	4.300% due 4/22/44		121,041

			Total Specialty Retail		1,961,354

	Technology Hardware, Storage & Peripherals — 0.1%
	390,000	AA+	Apple Inc., Senior Unsecured Notes, 2.850% due 5/6/21		397,443

	Tobacco — 0.4%
			Altria Group Inc., Company Guaranteed Notes:
	89,000	BBB+	9.700% due 11/10/18		115,588
	260,000	BBB+	9.250% due 8/6/19		342,378
	230,000	BBB+	4.750% due 5/5/21		256,588
	150,000	BBB+	9.950% due 11/10/38		255,584
	90,000	BBB+	10.200% due 2/6/39		156,278
	160,000	BBB+	5.375% due 1/31/44		178,398
			Lorillard Tobacco Co., Company Guaranteed Notes:
	10,000	BBB-	8.125% due 6/23/19		12,444
	280,000	BBB-	3.750% due 5/20/23		278,965
			Philip Morris International Inc., Senior Unsecured Notes:
	240,000	A	2.900% due 11/15/21		244,696
	315,000	A	4.500% due 3/20/42		328,068
	120,000	A	4.125% due 3/4/43		118,060
			Reynolds American Inc., Company Guaranteed Notes:
	200,000	BBB-	1.050% due 10/30/15		200,238
	300,000	BBB-	6.750% due 6/15/17		341,371
	120,000	BBB-	3.250% due 11/1/22		117,676
	97,000	BBB-	6.150% due 9/15/43		113,439

			Total Tobacco		3,059,771

	Wireless Telecommunication Services — 0.2%
	330,000	A-	América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20		366,835
	50,000	BBB+	GTE Corp., Company Guaranteed Notes, 6.940% due 4/15/28		62,317

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Wireless Telecommunication Services — 0.2% — (continued)
$	70,000	BBB+	Rogers Communications Inc., Company Guaranteed Notes, 6.750% due 3/15/15	$	72,303
	470,000	BB-	Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32		526,400
	110,000	BB-	Sprint Corp., Company Guaranteed Notes, 7.875% due 9/15/23(b)		118,250
	20,000	BB+	Telecom Italia Capital SA, Company Guaranteed Notes, 7.175% due 6/18/19		22,875
			Telefónica Emisiones SAU, Company Guaranteed Notes:
	500,000	BBB	3.992% due 2/16/16		522,137
	70,000	BBB	5.877% due 7/15/19		80,784
	110,000	BBB	5.134% due 4/27/20		122,692

			Total Wireless Telecommunication Services		1,894,593

			TOTAL CORPORATE BONDS & NOTES (Cost — $230,896,863)		244,863,887

	MORTGAGE-BACKED SECURITIES — 22.6%
	FHLMC — 3.5%
			Federal Home Loan Mortgage Corp. (FHLMC):
	857		9.500% due 6/1/16		861
	30,481		8.500% due 11/1/16 — 7/1/17		30,648
	8,935		8.000% due 1/1/17 — 6/1/17		9,071
	41,369		2.375% due 12/1/34(a)		44,200
	41,566		2.522% due 1/1/35(a)		44,634
	319,552		2.361% due 3/1/36(a)		342,195
	41,347		1.945% due 2/1/37(a)		43,653
	92,331		1.836% due 5/1/37(a)		96,864
	103,573		2.495% due 5/1/37(a)		110,522
	74,731		3.144% due 3/1/41(a)		78,380
	200,223		2.030% due 7/1/42(a)		207,287
			Gold:
	1,122,579		6.000% due 5/1/16 — 6/1/39		1,244,281
	2,305,942		5.500% due 2/1/17 — 2/1/40		2,544,222
	3,777		8.500% due 2/1/18		3,866
	1,121,039		5.000% due 6/1/21 — 4/1/41		1,237,808
	11,248,837		4.000% due 10/1/25 — 8/1/43		11,973,513
	1,272,926		4.500% due 4/1/29 — 7/1/41		1,390,582
	729,044		6.500% due 8/1/37 — 9/1/39		821,381
	53,321		7.000% due 3/1/39		59,305
	3,293,431		3.500% due 12/1/42 — 5/1/43		3,391,039
	1,720,345		3.000% due 2/1/43 — 7/1/43		1,717,713
	600,000		3.000% due 9/1/44(i)		597,375
	600,000		3.500% due 9/15/44(i)		616,725
	1,000,000		4.500% due 10/15/44(i)		1,077,110

			TOTAL FHLMC		27,683,235

	FNMA — 16.1%
			Federal National Mortgage Association (FNMA):
	3,201,044		5.500% due 12/1/15 — 5/1/40		3,574,902
	971		8.500% due 4/1/17		1,032
	3,305		8.000% due 8/1/17		3,318
	1,075,409		5.179% due 5/1/19		1,213,144
	13,524,191		4.000% due 10/1/19 — 6/1/44		14,394,850
	1,035,000		4.400% due 2/1/20		1,146,485
	1,009,193		4.772% due 2/1/20		1,127,451
	1,172,320		4.666% due 7/1/20		1,308,851
	1,145,000		3.459% due 11/1/20		1,221,841
	1,255,963		3.976% due 11/1/20		1,374,083
	977,625		6.000% due 9/1/21 — 12/1/38		1,101,407

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Security	Value
	FNMA — 16.1% — (continued)
$	1,196,799	3.650% due 11/1/21	$	1,283,873
	48	9.500% due 11/1/21		48
	2,392,844	5.000% due 12/1/21 — 5/1/42		2,620,394
	470,000	2.830% due 6/1/22		480,108
	1,183,794	2.646% due 10/1/22		1,190,208
	6,791,529	4.500% due 3/1/24 — 3/1/44		7,364,899
	21,164,755	3.500% due 11/1/25 — 8/1/44		21,991,552
	219,100	7.000% due 9/1/26 — 4/1/37		246,899
	3,363,577	2.500% due 11/1/27 — 10/1/42		3,349,108
	7,544,950	3.000% due 11/1/28 — 6/1/43		7,677,944
	1,885,000	2.500% due 9/1/29(i)		1,910,919
	8,340,000	3.500% due 9/25/29 — 9/14/44(i)		8,635,680
	8,680,000	3.000% due 9/25/29 — 9/15/44(i)		8,755,817
	42,516	2.690% due 3/1/30(a)		42,732
	470,394	2.175% due 3/1/34(a)		502,808
	105,932	2.244% due 12/1/34(a)		113,620
	9,594	2.257% due 12/1/34(a)		10,281
	122,363	2.133% due 9/1/35(a)		130,163
	122,188	2.079% due 10/1/35(a)		127,703
	174,459	2.144% due 10/1/35(a)		184,189
	133,559	2.041% due 11/1/35(a)		141,107
	33,218	2.093% due 11/1/35(a)		35,143
	31,159	2.098% due 11/1/35(a)		33,053
	90,238	2.099% due 11/1/35(a)		94,387
	40,168	2.111% due 11/1/35(a)		42,691
	29,716	2.114% due 11/1/35(a)		31,433
	37,916	2.119% due 11/1/35(a)		40,519
	418,554	2.250% due 1/1/36(a)		446,565
	213,811	2.337% due 9/1/36(a)		229,319
	46,900	2.374% due 12/1/36(a)		50,298
	241,792	1.783% due 5/1/37(a)		258,554
	1,044,940	6.500% due 9/1/37 — 5/1/40		1,179,923
	112,123	2.897% due 2/1/41(a)		118,179
	276,775	3.247% due 7/1/41(a)		293,096
	229,306	2.018% due 7/1/42(a)		238,469
	56,050	2.296% due 7/1/42(a)		58,182
	12,255,000	4.000% due 9/1/44 — 10/1/44(i)		12,986,599
	13,000,000	5.000% due 9/1/44 — 10/1/44(i)		14,316,051
	3,520,000	4.500% due 9/25/44(i)		3,802,700
	1,000,000	5.500% due 10/1/44(i)		1,110,344

		TOTAL FNMA		128,592,921

	GNMA — 3.0%
		Government National Mortgage Association (GNMA):
	1,362	9.500% due 12/15/16 — 8/15/17		1,368
	7,843	8.500% due 5/15/17 — 5/15/30		8,393
	3,026	9.000% due 8/15/30 — 9/15/30		3,261
	7,809	4.500% due 9/15/33		8,565
	160,845	6.000% due 12/15/33 — 5/15/38		182,176
	246,487	6.500% due 1/15/34 — 10/15/38		279,211
	1,264,445	5.000% due 10/15/34 — 9/15/40		1,395,363
	151,890	5.500% due 5/15/37 — 6/15/38		168,603
	786,827	4.000% due 6/15/41 — 7/15/41		842,803
		Government National Mortgage Association (GNMA) II:
	3,816	8.500% due 1/20/17		4,013

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Security	Value
	GNMA — 3.0% — (continued)
$	4,251	9.000% due 4/20/17 — 11/20/21	$	4,605
	84,034	1.625% due 2/20/26 — 10/20/27(a)		86,631
	933	8.000% due 3/20/30		1,130
	27,553	2.000% due 5/20/30(a)		28,910
	312,505	6.000% due 7/20/37 — 11/20/40		353,333
	4,504,268	4.500% due 1/20/40 — 10/20/41		4,914,436
	615,914	5.000% due 7/20/40 — 9/20/41		683,611
	754,691	4.000% due 11/20/40 — 7/20/42		805,764
	469,262	3.000% due 1/20/43		477,023
	1,986,767	3.500% due 6/20/43 — 11/20/43		2,069,999
	5,500,000	4.000% due 9/1/44(i)		5,861,797
	640,000	3.000% due 9/15/44(i)		649,250
	5,060,000	3.500% due 9/20/44(i)		5,263,191

		TOTAL GNMA		24,093,436

		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $177,395,198)		180,369,592

	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 18.5%
	U.S. GOVERNMENT OBLIGATIONS — 16.9%
		U.S. Treasury Bonds:
	1,555,000	6.250% due 5/15/30		2,263,010
	1,665,000	3.125% due 2/15/42		1,688,283
	990,000	3.750% due 11/15/43		1,120,479
	19,635,000	3.625% due 2/15/44		21,738,085
	2,845,000	3.375% due 5/15/44		3,009,253
	4,770,000	3.125% due 8/15/44		4,809,501
		U.S. Treasury Inflation Indexed Bonds:
	3,287,544	2.375% due 1/15/25		3,987,945
	796,383	1.750% due 1/15/28		927,848
	288,915	2.125% due 2/15/40		378,513
	653,976	0.750% due 2/15/42		640,003
	2,837,909	1.375% due 2/15/44		3,241,869
		U.S. Treasury Inflation Indexed Notes:
	511,774	1.625% due 1/15/15		514,253
	417,928	0.500% due 4/15/15		420,083
	1,206,764	0.125% due 4/15/17		1,235,189
	3,860,160	0.125% due 4/15/19		3,930,728
	3,922,416	1.125% due 1/15/21(j)		4,209,243
	5,897,136	0.125% due 1/15/22		5,909,573
	826,064	0.125% due 1/15/23		821,094
	7,722,242	0.375% due 7/15/23		7,862,810
	500,525	0.625% due 1/15/24		518,317
	963,629	0.125% due 7/15/24		954,972
		U.S. Treasury Notes:
	110,000	0.250% due 10/31/15		110,107
	4,755,000	0.500% due 7/31/16		4,757,972
	7,140,000	0.500% due 8/31/16		7,141,392
	70,000	0.750% due 6/30/17		69,713
	8,655,000	0.875% due 7/15/17		8,646,882
	945,000	0.875% due 8/15/17		943,561
	50,000	0.750% due 10/31/17		49,527
	780,000	2.625% due 1/31/18		817,903
	2,540,000	1.375% due 9/30/18		2,536,330
	655,000	1.250% due 11/30/18		649,192
	1,690,000	1.500% due 12/31/18		1,690,527

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	U.S. GOVERNMENT OBLIGATIONS — 16.9% — (continued)
$	2,300,000		1.625% due 3/31/19	$	2,306,918
	1,060,000		3.125% due 5/15/19		1,134,159
	20,000		1.500% due 5/31/19		19,913
	2,825,000		1.625% due 7/31/19		2,825,551
	7,450,000		1.625% due 8/31/19		7,449,128
	2,630,000		2.125% due 1/31/21		2,656,608
	1,130,000		2.250% due 7/31/21		1,145,890
	4,305,000		2.000% due 8/31/21		4,292,554
	14,775,000		2.500% due 5/15/24		14,987,391
	30,000		2.375% due 8/15/24		30,082
	435,000		U.S. Treasury STRIPS Coupon, zero coupon bond to yield, 3.090% due 11/15/27(k)		300,980
	510,000		U.S. Treasury STRIPS Principal, zero coupon bond to yield, 2.623% due 11/15/27(k)		357,870

			TOTAL U.S. GOVERNMENT OBLIGATIONS		135,101,201

	U.S. GOVERNMENT AGENCIES — 1.6%
			Federal Farm Credit Banks:
	1,260,000		0.176% due 9/14/16(a)		1,261,350
	1,250,000		0.210% due 2/27/17(a)		1,252,015
			Federal Home Loan Bank (FHLB):
	1,280,000		0.220% due 10/7/15(a)		1,281,130
	1,270,000		step bond to yield, 0.750% due 5/26/28		1,260,347
	345,000		4.000% due 9/1/28		372,259
			Federal Home Loan Mortgage Corp. (FHLMC):
	467,000		0.400% due 3/15/16		466,932
	810,000		1.250% due 10/2/19		788,515
	2,800,000		2.375% due 1/13/22		2,816,808
	2,000		5.625% due 11/23/35(j)		2,117
			Federal National Mortgage Association (FNMA):
	1,275,000		0.500% due 10/22/15		1,279,211
	820,000		0.750% due 1/30/17		819,570
	650,000		0.000% due 10/9/19		576,048
	405,000		7.125% due 1/15/30		603,457

			TOTAL U.S. GOVERNMENT AGENCIES		12,779,759

			TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $144,607,210)		147,880,960

	COLLATERALIZED MORTGAGE OBLIGATIONS — 13.8%
	2,800,000	CCC	Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 0.375% due 2/25/37(a)		2,027,976
	67,181	AAA	ACE Securities Corp. Home Equity Loan Trust, Series 2004-SD1, Class A1, 0.645% due 11/25/33(a)		66,230
			Adjustable Rate Mortgage Trust:
	1,533,618	D	Series 2005-10, Class 3A11, 4.919% due 1/25/36(a)		1,425,349
	1,975,121	D	Series 2005-10, Class 3A31, 4.919% due 1/25/36(a)		1,835,610
	130,664	CC	AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 0.805% due 6/25/29(a)		113,000
	802,562	CCC	American Home Mortgage Assets Trust, Series 2006-1, Class 2A1, 0.345% due 5/25/46(a)		610,795
	805,000	AAA	AMMC CLO XIII Ltd, Series 2013-13A, Class A1L, 1.683% due 1/26/26(a)(b)		803,182
	612,463	BBB+	Asset Backed Funding Certificates, Series 2004-OPT5, Class A1, 0.855% due 6/25/34(a)		575,328
			Asset Backed Securities Corp. Home Equity Loan Trust:
	42,845	AAA	Series 2004-HE6, Class A1, 0.705% due 9/25/34(a)		42,928
	1,956,000	BBB-	Series 2005-HE5, Class M3, 0.875% due 6/25/35(a)		1,834,104
	2,000,000	B+	Series 2006-HE3, Class A5, 0.425% due 3/25/36(a)		1,540,922
	2,354,472	AAA	Avoca CLO III PLC, Series III-X, Class A, 0.655% due 9/15/21(a)		3,082,725
			Banc of America Commercial Mortgage Trust:
	40,000	BBB-	Series 2006-5, Class AM, 5.448% due 9/10/47		42,725
	89,971	Aaa(c)	Series 2007-1, Class A3, 5.449% due 1/15/49		89,969

See Notes to Financial Statements.



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†			Rating††	Security	Value
$	240,000		B+	Series 2008-1, Class AJ, 6.484% due 2/10/51(a)	$	256,021
				Banc of America Funding Corp.:
	920		AA+	Series 2003-1, Class A1, 6.000% due 5/20/33		967
	239,022		A+	Series 2006-G, Class 2A3, 0.326% due 7/20/36(a)		239,102
	144,399		AA+	Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 2.498% due 7/25/34(a)		146,372
	568,512		A+	Bayview Commercial Asset Trust, Series 2007-3, Class A1, 0.395% due 7/25/37(a)(b)		514,647
	101,771		AAA	Bayview Financial Acquisition Trust, Series 2004-A, Class A, 0.831% due 2/28/44(a)		101,185
	1,078,421		NR	BCAP LLC, Series 2013-RR1, Class 6A1, 2.672% due 5/26/36(a)(b)		1,084,101
				Bear Stearns Adjustable Rate Mortgage Trust:
	6,787		AA+	Series 2002-11, Class 1A1, 2.308% due 2/25/33(a)		6,570
	212,606		A+	Series 2005-2, Class A2, 2.528% due 3/25/35(a)		215,731
	253,363		CCC	Series 2005-4, Class 3A1, 2.503% due 8/25/35(a)		229,987
	628,085		D(g)	Series 2007-3, Class 1A1, 2.935% due 5/25/47(a)		536,812
				Bear Stearns ALT-A Trust:
	440,634		A+	Series 2004-7, Class 2A1, 2.468% due 8/25/34(a)		447,446
	327,847		CCC	Series 2005-2, Class 2A4, 2.598% due 4/25/35(a)		317,171
	272,405		B	Series 2005-4, Class 23A2, 2.538% due 5/25/35(a)		275,666
				Bear Stearns Asset Backed Securities Trust:
	1,041,168		B-	Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(a)		1,083,850
	405,645		AAA	Series 2005-TC2, Class A3, 0.525% due 8/25/35(a)		403,454
	518,671		CCC	Series 2007-HE7, Class 1A1, 1.155% due 10/25/37(a)		487,931
				Bear Stearns Commercial Mortgage Securities Trust:
	210,000		A-	Series 2005-PW10, Class AM, 5.449% due 12/11/40(a)		219,414
	100,000		B	Series 2007-PW17, Class AJ, 6.084% due 6/11/50(a)		101,901
	580,335		BBB	Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 1.155% due 3/25/37(a)(b)		570,293
	725,000		AAA	BlueMountain CLO Ltd., Series 2013-4A, Class A, 1.734% due 4/15/25(a)(b)		725,046
				CD Commercial Mortgage Trust:
	210,000		B-	Series 2006-CD2, Class AJ, 5.566% due 1/15/46(a)		196,984
	120,000		B+	Series 2006-CD3, Class AJ, 5.688% due 10/15/48		116,924
	170,000		CCC+	Series 2007-CD4, Class AJ, 5.398% due 12/11/49(a)		143,958
	50,000		BBB	Series 2007-CD5, Class AMA, 6.321% due 11/15/44(a)		55,725
	824,139		AAA	Cent CLO Ltd., Series 2013-19A, Class A1A, 1.564% due 10/29/25(a)(b)		819,037
	1,700,000	��	BB+	Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 0.405% due 6/25/36(a)		1,535,709
	750		AAA	Chase Funding Trust, Series 2002-2, Class 2A1, 0.655% due 5/25/32(a)		726
	417,594		BB	Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 2.477% due 2/25/37(a)		417,321
	900,000		AAA	CIFC Funding Ltd., Series 2012-1AR, Class A1R, 1.382% due 8/14/24(a)(b)		900,033
	770,000		CCC	Citigroup Mortgage Loan Trust Inc., Series 2006-WFH2, Class M1, 0.425% due 8/25/36(a)		627,048
	50,000		Aa2(c)	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AMFX, 5.526% due 4/15/47(a)		54,575
	605,985		AA+	Commercial Mortgage Loan Trust, Series 2008-LS1, Class A1A, 6.212% due 12/10/49(a)		674,617
				Commercial Mortgage Pass Through Certificates:
	496,000		BBB-	Series 2006-C7, Class AM, 5.970% due 6/10/46(a)		531,053
	376,000		B3(c)	Series 2006-C8, Class AJ, 5.377% due 12/10/46		377,822
	440,000		Aa3(c)	Series 2006-C8, Class AM, 5.347% due 12/10/46		475,804
	40,000		Aa3(c)	Series 2013-CR12, Class B, 4.762% due 10/10/46(a)		43,074
	20,000		A3(c)	Series 2013-CR12, Class C, 5.255% due 10/10/46(a)		21,495
	145,300		AAA	Series 2014-CR16, Class A4, 4.051% due 4/10/47		154,952
				Countrywide Alternative Loan Trust:
	502,487		CCC	Series 2005-24, Class 4A1, 0.386% due 7/20/35(a)		440,424
	340,146		CCC	Series 2005-27, Class 2A3, 1.677% due 8/25/35(a)		306,071
	1,223,714		CCC	Series 2005-62, Class 1A1, 0.455% due 12/25/35(a)		1,051,793
	941,118		CCC	Series 2006-OA17, Class 1A1A, 0.351% due 12/20/46(a)		734,033
	663,391		Ca(c)	Series 2006-OA9, Class 2A1A, 0.366% due 7/20/46(a)		460,751
				Countrywide Asset-Backed Certificates:
	5,025		AAA	Series 2002-3, Class 1A1, 0.895% due 5/25/32(a)		4,794

See Notes to Financial Statements.

100



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
$	12,759	AA+	Series 2003-BC2, Class 2A1, 0.755% due 6/25/33(a)	$	10,941
	21,495	BB+	Series 2005-4, Class AF3, 4.456% due 10/25/35(a)		21,584
	508,289	CCC	Series 2006-SD3, Class A1, 0.485% due 7/25/36(a)(b)		375,648
	584,457	AA	Series 2007-13, Class 2A2, 0.955% due 10/25/47(a)		531,412
			Countrywide Home Loan Mortgage Pass Through Trust:
	214,568	D	Series 2005-11, Class 3A3, 2.506% due 4/25/35(a)		159,742
	92,917	NR	Series 2005-11, Class 6A1, 0.755% due 3/25/35(a)		84,685
			Credit Suisse First Boston Mortgage Securities Corp.:
	546,871	AA+	Series 2004-AR7, Class 2A1, 2.697% due 11/25/34(a)		554,247
	404,107	D	Series 2005-10, Class 5A6, 5.500% due 11/25/35		357,854
	536,014	BB+	Series 2005-6, Class 8A1, 4.500% due 7/25/20		545,127
			Credit Suisse Mortgage Trust:
	385,000	BBB	Series 2006-C5, Class AM, 5.343% due 12/15/39		414,392
	275,747	Aaa(c)	Series 2007-C1, Class AAB, 5.336% due 2/15/40		288,169
	310,000	BBB-	Series 2007-C2, Class AM, 5.615% due 1/15/49(a)		338,030
	2,375,250	Aaa(c)	Series 2010-UD1, Class A, 5.930% due 12/16/49(a)(b)		2,519,582
	325,954	A+	Credit-Based Asset Servicing and Securitization LLC, Series 2004-CB4, Class A5, step bond to yield, 6.280% due 5/25/35		327,148
	194,241	NR	DBRR Trust, Series 2013-EZ2, Class A, 0.853% due 2/25/45(a)(b)		194,054
	136,034	CCC	Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 0.956% due 11/19/44(a)		119,506
	650,000	AAA	Dryden XXV Senior Loan Fund, Series 2012-25A, Class A, 1.614% due 1/15/25(a)(b)		647,004
			EMC Mortgage Loan Trust:
	4,329	BB(g)	Series 2002-B, Class A1, 0.805% due 2/25/41(a)(b)		4,223
	21,812	BBB-	Series 2003-A, Class A1, 0.705% due 8/25/40(a)(b)		19,592
	882,945	BB+	Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 2.705% due 9/25/33(a)		843,284
	598,058	NR	Federal Home Loan Mortgage Corp. (FHLMC), Series T-61, Class 1A1, 1.522% due 7/25/44(a)		620,551
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	8,053	NR	Series 1865, Class DA, 28.322% due 2/15/24(a)(l)		7,459
	6,580	AAA(g)	Series 2808, Class FT, 0.505% due 4/15/33(a)		6,582
	1,947,322	NR	Series 3349, Class AS, 6.345% due 7/15/37(a)(l)		330,120
	278,729	NR	Series 3451, Class SB, 5.875% due 5/15/38(a)(l)		32,403
	261,690	NR	Series 3621, Class SB, 6.075% due 1/15/40(a)(l)		35,722
	555,000	NR	Series 3743, Class PB, 4.500% due 10/15/40		630,630
	3,489,738	NR	Series 3866, Class SA, 5.795% due 5/15/41(a)(l)		532,824
	1,184,199	NR	Series 3947, Class SG, 5.795% due 10/15/41(a)(l)		221,434
	301,817	NR	Series 3997, Class SK, 6.445% due 11/15/41(a)(l)		57,429
	86,109	NR	Series 4076, Class SW, 5.895% due 7/15/42(a)(l)		18,268
	85,407	NR	Series 4097, Class ST, 5.895% due 8/15/42(a)(l)		19,445
	85,950	NR	Series 4136, Class SE, 5.995% due 11/15/42(a)(l)		17,177
	89,626	NR	Series 4136, Class SJ, 5.995% due 11/15/42(a)(l)		19,772
	88,922	NR	Series 4136, Class SQ, 5.995% due 11/15/42(a)(l)		20,042
	622,900	NR	Series 4150, Class BU, 4.000% due 2/15/42		664,679
	801,971	NR	Series 4203, Class PS, 6.095% due 9/15/42(a)(l)		156,556
	103,816	NR	Series 4206, Class CZ, 3.000% due 5/15/43		87,297
	304,992	NR	Series 4210, Class Z, 3.000% due 5/15/43		259,219
	206,598	NR	Series 4226, Class GZ, 3.000% due 7/15/43		178,173
	506,226	NR	Series 4239, Class IO, 3.500% due 6/15/27(l)		64,754
	99,269	NR	Series 4335, Class SW, 5.845% due 5/15/44(a)(l)		22,217
	296,703	NR	Series R007, Class ZA, 6.000% due 5/15/36		334,145
			Federal National Mortgage Association (FNMA):
	711,334	NR	Series 2012-M12, Class 1A, 2.935% due 8/25/22(a)		728,847
	22,347,574	NR	Series 2013-M7, Class X2, 0.336% due 12/27/22(a)(l)		329,169
	1,029,156	NR	Series 2014-M8, Class FA, 0.402% due 5/25/18(a)		1,030,625
			Federal National Mortgage Association (FNMA), Grantor Trust:
	144,707	NR	Series 2000-T6, Class A3, 3.981% due 1/25/28(a)		153,602

See Notes to Financial Statements.

101



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
$	29,306	NR	Series 2002-T6, Class A1, 3.310% due 2/25/32	$	30,045
			Federal National Mortgage Association (FNMA), Interest Strip:
	361,032	NR	Series 409, Class C13, 3.500% due 11/25/41(l)		72,519
	733,072	NR	Series 409, Class C18, 4.000% due 4/25/42(l)		156,892
	137,827	NR	Series 409, Class C22, 4.500% due 11/25/39(l)		27,069
	575,000	Aaa(c)	Federal National Mortgage Association (FNMA), Principal Strip, 4.138% due 1/15/30(m)		339,688
			Federal National Mortgage Association (FNMA), REMICS:
	24,814	NR	Series 2000-34, Class F, 0.605% due 10/25/30(a)		25,057
	64,079	NR	Series 2002-34, Class FE, 0.555% due 5/18/32(a)		64,594
	85,758	NR	Series 2004-38, Class FK, 0.505% due 5/25/34(a)		85,835
	7,925	NR	Series 2004-88, Class HA, 6.500% due 7/25/34		8,187
	548,769	NR	Series 2005-117, Class LC, 5.500% due 11/25/35		599,864
	4,950	NR	Series 2005-64, Class EA, 5.250% due 6/25/32		4,950
	2,010,575	NR	Series 2006-51, Class SP, 6.495% due 3/25/36(a)(l)		290,961
	1,097,112	NR	Series 2007-68, Class SC, 6.545% due 7/25/37(a)(l)		181,388
	2,065,977	NR	Series 2008-18, Class SM, 6.845% due 3/25/38(a)(l)		338,040
	290,998	NR	Series 2010-142, Class SM, 6.375% due 12/25/40(a)(l)		41,545
	940,112	NR	Series 2011-87, Class SG, 6.395% due 4/25/40(a)(l)		161,313
	682,656	NR	Series 2011-90, Class QI, 5.000% due 5/25/34(l)		86,956
	611,155	NR	Series 2012-118, Class CI, 3.500% due 12/25/39(l)		94,939
	90,845	NR	Series 2012-128, Class SL, 5.995% due 11/25/42(a)(l)		21,134
	178,770	NR	Series 2012-128, Class SQ, 5.995% due 11/25/42(a)(l)		40,653
	261,162	NR	Series 2012-133, Class CS, 5.995% due 12/25/42(a)(l)		56,297
	89,742	NR	Series 2012-133, Class SA, 5.995% due 12/25/42(a)(l)		18,760
	441,999	NR	Series 2012-46, Class BA, 6.000% due 5/25/42		492,650
	653,910	NR	Series 2012-51, Class B, 7.000% due 5/25/42		742,768
	78,293	NR	Series 2012-70, Class YS, 6.495% due 2/25/41(a)(l)		13,951
	415,032	NR	Series 2012-74, Class SA, 6.495% due 3/25/42(a)(l)		73,853
	69,172	NR	Series 2012-75, Class AO, 0.398% due 3/25/42(m)		63,857
	257,721	NR	Series 2012-93, Class SG, 5.945% due 9/25/42(a)(l)		56,048
	522,055	NR	Series 2013-10, Class JS, 5.995% due 2/25/43(a)(l)		111,480
	543,620	NR	Series 2013-10, Class SJ, 5.995% due 2/25/43(a)(l)		120,296
	92,300	NR	Series 2013-67, Class KS, 5.945% due 7/25/43(a)(l)		20,974
	1,474,355	NR	Series 2013-9, Class BC, 6.500% due 7/25/42		1,644,218
	1,074,658	NR	Series 2013-9, Class CB, 5.500% due 4/25/42		1,202,467
			FHLMC Multifamily Structured Pass Through Certificates:
	1,633,587	NR	Series K007, Class X1, 1.361% due 4/25/20(a)(l)		81,562
	1,118,143	AAA(g)	Series K016, Class X1, 1.725% due 10/25/21(a)(l)		101,454
	729,286	AAA(g)	Series K017, Class X1, 1.586% due 12/25/21(a)(l)		60,448
	1,483,568	AAA(g)	Series K021, Class X1, 1.641% due 6/25/22(a)(l)		139,349
	406,102	Aaa(c)	Series K024, Class X1, 1.021% due 9/25/22(a)(l)		23,363
	620,000	Aaa(c)	Flatiron CLO Ltd., Series 2013-1A, Class A1, 1.633% due 1/17/26(a)(b)		618,188
	805,000	AAA	Ford Credit Floorplan Master Owner Trust, Series 2012-5, Class A, 1.490% due 9/15/19		804,994
	420,308	A+	GMAC Mortgage Corp. Loan Trust, Series 2004-VF1, Class A1, 0.905% due 2/25/31(a)(b)		405,333
			Government National Mortgage Association (GNMA):
	50,237	NR	Series 2000-35, Class F, 0.705% due 12/16/25(a)		50,667
	47,548	NR	Series 2002-21, Class FV, 0.555% due 3/16/32(a)		47,489
	3,354,730	NR	Series 2008-51, Class GS, 6.075% due 6/16/38(a)(l)		499,190
	95,381	NR	Series 2010-107, Class SG, 5.995% due 2/20/38(a)(l)		9,664
	104,526	NR	Series 2010-31, Class GS, 6.345% due 3/20/39(a)(l)		13,663
	273,557	NR	Series 2010-85, Class HS, 6.495% due 1/20/40(a)(l)		48,995
	680,827	NR	Series 2012-100, Class IO, 0.827% due 8/16/52(a)(l)		44,481
	539,017	NR	Series 2013-152, Class HS, 6.545% due 6/20/43(a)(l)		110,078
	263,257	NR	Series 2013-153, Class AB, 2.900% due 6/16/44(a)		271,726
	646,389	NR	Series 2013-154, Class AB, 2.900% due 2/16/44(a)		665,033
	3,956,057	NR	Series 2013-85, Class IA, 0.834% due 3/16/47(a)(l)		251,726

See Notes to Financial Statements.

102



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†			Rating††	Security	Value
	447,501	^GBP	A	Granite Mortgages PLC, Series 2004-3, Class 3A2, 0.934% due 9/20/44(a)	$	739,493
$	90,000		BB+	Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.014% due 7/10/38(a)		96,752
				GS Mortgage Securities Corp. II:
	779,699		AAA	Series 2005-GG4, Class A4, 4.761% due 7/10/39		792,646
	1,218,418		AAA	Series 2005-GG4, Class A4A, 4.751% due 7/10/39		1,232,243
				GS Mortgage Securities Trust:
	638,853		BBB-	Series 2007-GG10, Class A1A, 5.991% due 8/10/45(a)		706,297
	705,000		Aaa(c)	Series 2011-GC5, Class A4, 3.707% due 8/10/44		746,719
	1,023,616		Aaa(c)	Series 2012-GC6, Class A1, 1.282% due 1/10/45		1,029,510
	150,872		CCC	GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF, 0.505% due 9/25/35(a)(b)		130,073
	178,612		A+	GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1, 2.663% due 9/25/35(a)		180,564
				Harborview Mortgage Loan Trust:
	586,866		BBB+	Series 2004-5, Class 2A6, 2.163% due 6/19/34(a)		589,423
	179,026		NR	Series 2006-2, Class 1A, 2.695% due 2/25/36(a)		145,458
	828,518		A+	HSBC Home Equity Loan Trust, Series 2007-3, Class APT, 1.356% due 11/20/36(a)		830,480
	827,281		BBB+	HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3, 0.345% due 12/25/35(a)		812,639
	3,782		AA+	Impac CMB Trust, Series 2003-1, Class 1A1, 0.955% due 3/25/33(a)		3,793
				Indymac Index Mortgage Loan Trust:
	97,886		CCC	Series 2004-AR15, Class 1A1, 2.717% due 2/25/35(a)		85,858
	108,310		CCC	Series 2005-AR15, Class A2, 4.552% due 9/25/35(a)		96,559
	650,000		AAA	ING Investment Management CLO Ltd., Series 2012-4A, Class A1, 1.624% due 10/15/23(a)(b)		648,263
	1,304,624		CCC	IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.315% due 8/25/36(a)		683,591
				JPMBB Commercial Mortgage Securities Trust:
	80,000		A3(c)	Series 2013-C15, Class C, 5.251% due 11/15/45(a)		86,160
	40,000		Aa3(c)	Series 2013-C17, Class B, 5.050% due 1/15/47(a)		43,444
				JPMorgan Chase Commercial Mortgage Securities Trust:
	34,565		AA	Series 2006-LDP9, Class A3, 5.336% due 5/15/47		37,210
	832,092		AAA	Series 2007-C1, Class ASB, 5.857% due 2/15/51		881,611
	738,226		AA	Series 2007-CB18, Class A1A, 5.431% due 6/12/47(a)		801,053
	1,060,000		B-	Series 2007-CB18, Class AJ, 5.502% due 6/12/47(a)		1,044,143
	390,000		BBB-	Series 2007-CB20, Class AM, 6.082% due 2/12/51(a)		436,152
	1,090,000		AAA	Series 2011-C3, Class A3, 4.388% due 2/15/46(b)		1,183,150
	140,000		Aaa(c)	Series 2011-C5, Class A3, 4.171% due 8/15/46		152,264
	175,000		Aaa(c)	Series 2011-C5, Class AS, 5.500% due 8/15/46(a)(b)		202,297
	2,643,027		Aaa(c)	Series 2012-CBX, Class XA, 1.935% due 6/15/45(a)(l)		221,905
	460,000		AA	Series 2012-HSBC, Class C, 4.021% due 7/5/32(b)		476,872
	69,759		BBB+	JPMorgan Mortgage Trust, Series 2005-A1, Class 6T1, 2.734% due 2/25/35(a)		69,362
				LB-UBS Commercial Mortgage Trust:
	190,000		AA-	Series 2006-C1, Class AM, 5.217% due 2/15/31(a)		199,981
	360,000		A+	Series 2006-C7, Class AM, 5.378% due 11/15/38		388,355
	160,000		A-	Series 2007-C7, Class AM, 6.370% due 9/15/45(a)		181,227
				Lehman XS Trust:
	201,915		CCC	Series 2005-5N, Class 1A1, 0.455% due 11/25/35(a)		180,075
	137,677		D	Series 2005-7N, Class 1A1B, 0.455% due 12/25/35(a)		81,112
	630,000		AAA	Limerock CLO II Ltd., Series 2014-2A, Class A, 1.734% due 4/18/26(a)(b)		629,996
				MASTR Adjustable Rate Mortgages Trust:
	1,290,345		A+	Series 2004-13, Class 3A7, 2.636% due 11/21/34(a)		1,321,684
	107,666		AA+	Series 2004-4, Class 4A1, 2.371% due 5/25/34(a)		106,064
	698,684		AA+	MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 2.436% due 10/25/32(a)		709,152
	450,585		CCC	Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.405% due 7/25/37(a)		299,163
				Merrill Lynch Mortgage Investors Trust:
	84,796		A+	Series 2004-A3, Class 4A3, 2.578% due 5/25/34(a)		85,083
	991,436		AAA	Series 2006-FF1, Class A2C, 0.355% due 8/25/36(a)		976,097

See Notes to Financial Statements.

103



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
$	160,253	Aaa(c)	Merrill Lynch Mortgage Trust, Series 2004-KEY2, Class A4, 4.864% due 8/12/39(a)	$	160,112
	994,220	AAA	Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37		1,048,278
	47,932	B1(c)	MLCC Mortgage Investors, Inc., Series 2005-1, Class 2A1, 2.127% due 4/25/35(a)		46,012
			ML-CFC Commercial Mortgage Trust:
	475,819	AAA	Series 2006-4, Class A1A, 5.166% due 12/12/49		509,640
	291,000	D	Series 2007-5, Class AJ, 5.450% due 8/12/48(a)		280,070
	260,000	B-	Series 2007-9, Class AJ, 6.193% due 9/12/49(a)		253,202
	158,600	AAA	Morgan Stanley ABS Capital I Inc. Trust, Series 2004-SD3, Class A, 0.615% due 6/25/34(a)(b)		159,070
			Morgan Stanley Bank of America Merrill Lynch Trust:
	30,000	Aaa(c)	Series 2013-C10, Class A4, 4.218% due 7/15/46(a)		32,200
	500,000	Aaa(c)	Series 2013-C13, Class A4, 4.039% due 11/15/46		532,083
			Morgan Stanley Capital I Trust:
	480,000	BBB	Series 2007-HQ12, Class A5, 5.773% due 4/12/49(a)		517,526
	394,431	AAA	Series 2007-IQ13, Class A1A, 5.312% due 3/15/44		428,154
	312,162	A	Series 2007-IQ14, Class A1A, 5.665% due 4/15/49(a)		341,431
	200,000	A	Series 2007-IQ14, Class A4, 5.692% due 4/15/49(a)		218,745
	528,705	Aaa(c)	Series 2007-T25, Class A3, 5.514% due 11/12/49(a)		572,157
	1,794,824	AA+	New Century Home Equity Loan Trust, Series 2005-3, Class M1, 0.635% due 7/25/35(a)		1,788,689
	650,000	AAA	OHA Credit Partners VII Ltd., Series 2012-7A, Class A, 1.652% due 11/20/23(a)(b)		648,621
	1,930	A+	Option One Mortgage Loan Trust, Series 2002-6, Class A2, 0.955% due 11/25/32(a)		1,813
	1,205,000	BBB	Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2005-WCW2, Class M1, 0.655% due 7/25/35(a)		1,191,119
	1,787,000	BBB+	Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 0.405% due 7/25/36(a)		1,688,583
			Prime Mortgage Trust:
	265,134	CCC	Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(b)		277,844
	107,229	CCC	Series 2006-DR1, Class 1A2, 6.000% due 5/25/35(b)		113,290
	1,417,581	CCC	Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(b)		1,431,733
	100,371	AA+	RALI Trust, Series 2005-QA1, Class A1, 0.455% due 1/25/35(a)		97,629
			RAMP Trust:
	4,940	CCC	Series 2003-RS4, Class AIIB, 0.815% due 5/25/33(a)		4,417
	1,012,916	AA	Series 2003-RS9, Class AI6A, step bond to yield, 6.006% due 10/25/33		1,073,050
	939	AAA	Series 2004-RZ1, Class AI7, 4.030% due 1/25/33(a)		941
	230,000	AAA	RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/13/32(a)(b)		242,115
			Reperforming Loan REMIC Trust:
	38,380	CCC	Series 2004-R2, Class 1AF1, 0.575% due 11/25/34(a)(b)		33,991
	315,849	CC	Series 2005-R1, Class 1AF1, 0.515% due 3/25/35(a)(b)		283,860
	519,151	Caa2(c)	Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36		493,913
	640,000	AAA	SCG Trust, Series 2013-SRP1, Class A, 1.555% due 11/15/26(a)(b)		642,668
			Small Business Administration Participation Certificates:
	15,926	NR	Series 1995-20J, Class 1, 6.850% due 10/1/15		16,303
	31,511	NR	Series 1995-20K, Class 1, 6.650% due 11/1/15		32,310
	29,810	NR	Series 1996-20G, Class 1, 7.700% due 7/1/16		30,993
	247,878	NR	Series 1999-20L, Class 1, 7.190% due 12/1/19		269,718
	126,897	NR	Series 2000-20A, Class 1, 7.590% due 1/1/20		139,370
	380,654	NR	Series 2002-20K, Class 1, 5.080% due 11/1/22		410,073
	160,859	BBB+	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 2.463% due 11/25/34(a)		160,798
	872,861	AAA	Structured Asset Investment Loan Trust, Series 2004-BNC1, Class A2, 1.155% due 9/25/34(a)		851,418
	293,891	AA+	Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.406% due 7/19/35(a)		286,202
			Structured Asset Securities Corp.
	217,111	CC	Series 2005-RF3, Class 1A, 0.505% due 6/25/35(a)(b)		177,267
	514,852	BB	Series 2007-BC4, Class A3, 0.405% due 11/25/37(a)		505,566
	4,329	NR	Series 2002-14A, Class 2A1, 2.125% due 7/25/32(a)		4,012
	82,418	NR	U.S. Small Business Administration, Series 2005-P10A, Class 1, 4.638% due 2/10/15		83,822
	300,000	AA+	Venture VIII CDO Ltd., Series 2007-8A, Class A2A, 0.452% due 7/22/21(a)(b)		296,367

See Notes to Financial Statements.

104



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†			Rating††	Security	Value
$	100,000		AAA	VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(b)	$	99,234
				Wachovia Bank Commercial Mortgage Trust:
	190,000		B+	Series 2006-C28, Class AJ, 5.632% due 10/15/48(a)		195,370
	50,000		BB	Series 2007-C30, Class AM, 5.383% due 12/15/43		53,827
				WaMu Mortgage Pass Through Certificates Trust:
	30,642		BBB+	Series 2004-AR11, Class A, 2.432% due 10/25/34(a)		30,874
	117,072		BBB+	Series 2004-AR12, Class A2A, 0.578% due 10/25/44(a)		114,311
	344,882		AA+	Series 2005-AR11, Class A1A, 0.475% due 8/25/45(a)		331,879
	611,069		AA+	Series 2005-AR13, Class A1A1, 0.445% due 10/25/45(a)		586,908
	335,158		BBB-	Series 2005-AR19, Class A1A2, 0.445% due 12/25/45(a)		318,457
	1,000,000		B-	Series 2005-AR4, Class A5, 2.372% due 4/25/35(a)		988,722
	2,334,211		BBB	Series 2006-AR1, Class 2A1A, 1.187% due 1/25/46(a)		2,274,927
	864,347		CCC	Series 2006-AR13, Class 2A, 2.168% due 10/25/46(a)		815,943
	465,675		CCC	Series 2007-HY4, Class 4A1, 2.099% due 9/25/36(a)		415,396
	1,216,185		CCC	Series 2007-OA6, Class 1A, 0.927% due 7/25/47(a)		1,066,226
	923,586		Ca(c)	Washington Mutual Alternative, Series 2007-OA2, Class 2A, 0.817% due 1/25/47(a)		680,174
	120,000		Aa3(c)	Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.438% due 7/15/46(a)		125,681
				Wells Fargo Mortgage Backed Securities Trust:
	954,458		Caa1(c)	Series 2006-12, Class A3, 6.000% due 10/25/36		938,138
	384,039		CCC	Series 2006-AR2, Class 2A1, 2.615% due 3/25/36(a)		385,476
	98,817		Caa2(c)	Series 2006-AR7, Class 2A4, 2.613% due 5/25/36(a)		92,649
				WF-RBS Commercial Mortgage Trust:
	795,000		Aaa(c)	Series 2011-C2, Class A2, 3.791% due 2/15/44(b)		820,881
	1,050,000		Aaa(c)	Series 2011-C4, Class A3, 4.394% due 6/15/44(b)		1,140,218
	1,035,000		Aaa(c)	Series 2011-C5, Class A4, 3.667% due 11/15/44		1,091,080
	1,993,718		Aaa(c)	Series 2012-C7, Class XA, 1.735% due 6/15/45(a)(b)(l)		182,709
	145,000		Aaa(c)	Series 2013-C14, Class A4, 3.073% due 6/15/46		144,898

				TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $109,158,789)		110,286,375

	SOVEREIGN BONDS — 6.0%
	Brazil — 0.4%
	656,000	^BRL	BBB+	Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50		778,008
	3,634,000	^BRL	BBB+	Brazil Notas do Tesouro Nacional Serie F, 10.000% due 1/1/17		1,610,915
				Brazilian Government International Bond:
	317,000		Baa2(c)	4.875% due 1/22/21		349,968
	290,000		BBB-	4.250% due 1/7/25		301,962

				Total Brazil		3,040,853

	Canada — 0.0%
	152,000		AA	Province of Manitoba Canada, 3.050% due 5/14/24		155,108

	Colombia — 0.1%
				Colombia Government International Bond:
	335,000		BBB	4.000% due 2/26/24		350,913
	370,000		BBB	5.625% due 2/26/44		431,050

				Total Colombia		781,963

	Italy — 2.3%
				Italy Buoni Poliennali Del Tesoro:
	300,000	^EUR	Baa2(c)	3.750% due 8/1/15		406,763
	2,000,000	^EUR	Baa2(c)	3.000% due 11/1/15		2,710,790
	300,000	^EUR	Baa2(c)	2.750% due 12/1/15		406,635
	1,700,000	^EUR	Baa2(c)	3.750% due 4/15/16		2,356,315
	100,000	^EUR	Baa2(c)	2.250% due 5/15/16		135,747
	900,000	^EUR	Baa2(c)	4.750% due 9/15/16		1,286,826
	800,000	^EUR	Baa2(c)	1.150% due 5/15/17		1,066,687

See Notes to Financial Statements.

105



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†			Rating††	Security	Value
	Italy — 2.3% — (continued)
	1,700,000	^EUR	Baa2(c)	4.750% due 6/1/17	$	2,485,272
	1,030,000	^EUR	Baa2(c)	3.750% due 5/1/21		1,531,391
	4,400,000	^EUR	Baa2(c)	Italy Certificati di Credito del Tesoro Zero Coupon, 0.057% due 4/29/16		5,746,681

				Total Italy		18,133,107

	Japan — 0.1%
$	800,000		AA-	Japan Bank for International Cooperation, 2.875% due 2/2/15		808,969

	Mexico — 1.3%
				Mexican Bonos:
	50,350,000	^MXN	A	9.500% due 12/18/14		3,931,490
	2,118,000	^MXN	A	8.000% due 6/11/20		186,349
	13,542,700	^MXN	A	6.500% due 6/9/22		1,100,758
	3,469,300	^MXN	A	8.500% due 11/18/38		327,273
	40,195,700	^MXN	A	7.750% due 11/13/42		3,520,616
				Mexico Government International Bond:
	226,000		BBB+	3.625% due 3/15/22		235,831
	78,000		BBB+	6.050% due 1/11/40		97,890
	828,000		BBB+	4.750% due 3/8/44		872,712

				Total Mexico		10,272,919

	New Zealand — 0.1%
	1,060,000	^NZD	AA+	New Zealand Government Bond, 3.000% due 4/15/20		842,747

	Norway — 0.1%
	1,270,000		AAA	Kommunalbanken AS, 1.125% due 5/23/18(b)		1,256,561

	Poland — 0.1%
	610,000		A-	Poland Government International Bond, 4.000% due 1/22/24		642,403

	Russia — 0.0%
				Russian Foreign Bond — Eurobond:
	47,950		BBB-	step bond to yield, 7.500% due 3/31/30(b)		53,464
	411,685		BBB-	step bond to yield, 7.500% due 3/31/30		459,029

				Total Russia		512,493

	South Africa — 0.1%
	520,000		BBB-	South Africa Government International Bond, 5.875% due 9/16/25		589,940

	Spain — 1.3%
				Spain Government Bond:
	2,100,000	^EUR	BBB	3.750% due 10/31/15		2,875,314
	1,300,000	^EUR	BBB	3.300% due 7/30/16		1,807,351
	900,000	^EUR	BBB	4.250% due 10/31/16		1,282,472
	2,500,000	^EUR	BBB	2.100% due 4/30/17		3,426,771
	500,000	^EUR	BBB	5.500% due 7/30/17		751,241

				Total Spain		10,143,149

	Supranational — 0.0%
	400,000		AAA	International Bank for Reconstruction & Development, 0.750% due 12/15/16		400,604

	Turkey — 0.1%
	600,000		Baa3(c)	Turkey Government International Bond, 5.750% due 3/22/24		669,300

				TOTAL SOVEREIGN BONDS (Cost — $48,569,124)		48,250,116

See Notes to Financial Statements.

106



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	ASSET-BACKED SECURITIES — 1.8%
	Automobiles — 0.3%
$	845,000	AAA	Chrysler Capital Auto Receivables Trust, Series 2013-BA, Class A3, 0.850% due 5/15/18(b)	$	847,154
	1,463,010	AAA	Santander Drive Auto Receivables Trust, Series 2014-3, Class A1, 0.250% due 6/15/15		1,463,029

			Total Automobiles		2,310,183

	Student Loans — 1.5%
	675,595	AA+	CIT Education Loan Trust, Series 2007-1, Class A, 0.323% due 3/25/42(a)(b)		646,943
	850,000	AA+	EFS Volunteer LLC, Series 2010-1, Class A2, 1.084% due 10/25/35(a)(b)		860,569
	625,000	AAA	Navient Student Loan Trust, Series 2014-CTA, Class A, 0.884% due 9/16/24(a)(b)		625,389
	500,000	AA+	Nelnet Education Loan Funding Inc., Series 2004-2A, Class A5C, 1.090% due 2/25/39(a)		473,910
			SLM Private Education Loan Trust:
	1,233,656	AAA	Series 2010-A, Class 2A, 3.405% due 5/16/44(a)(b)		1,314,277
	502,268	AAA	Series 2012-A, Class A1, 1.555% due 8/15/25(a)(b)		508,726
	705,000	AAA	Series 2012-C, Class A2, 3.310% due 10/15/46(b)		736,159
	680,000	AAA	Series 2012-D, Class A2, 2.950% due 2/15/46(b)		703,845
	472,686	AAA	Series 2012-E, Class A1, 0.905% due 10/16/23(a)(b)		474,686
			SLM Student Loan Trust:
	1,220,000	AAA	Series 2003-11, Class A6, 0.981% due 12/15/25(a)(b)		1,219,738
	165,908	AA+	Series 2003-4, Class A5A, 0.981% due 3/15/33(a)(b)		165,908
	1,400,000	AAA	Series 2004-1, Class A4, 0.494% due 10/27/25(a)		1,381,458
	703,347	AAA	Series 2004-8A, Class A5, 0.734% due 4/25/24(a)(b)		706,839
	880,000	AA+	Series 2005-5, Class A5, 0.984% due 10/25/40(a)		864,670
	1,070,000	AAA	Series 2005-6, Class A6, 0.374% due 10/27/31(a)		1,045,515

			Total Student Loans		11,728,632

			TOTAL ASSET-BACKED SECURITIES (Cost — $13,736,135)		14,038,815

	MUNICIPAL BONDS — 0.9%
	California — 0.1%
	80,000	AA-	California Health Facilities Financing Authority, Revenue Bonds, Sutter Health Project, Series A, 5.000% due 8/15/52		87,922
			State of California, GO:
	100,000	A	5.000% due 12/1/37		109,805
	150,000	A	5.000% due 9/1/42		167,004
	90,000	AA-	University of California, Revenue Bonds, Series G, 5.000% due 5/15/37		101,232

			Total California		465,963

	Delaware — 0.0%
	300,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Series 2007-1, GTDSTD-Insured, 1.248% due 1/29/46(a)		282,248

	Illinois — 0.3%
			State of Illinois, GO:
	500,000	A-	4.350% due 6/1/18		526,325
	410,000	A-	5.877% due 3/1/19		458,983
	240,000	A-	4.950% due 6/1/23		255,799
	280,000	A-	5.500% due 7/1/24		319,446
	640,000	A-	5.100% due 6/1/33		636,128

			Total Illinois		2,196,681

	Massachusetts — 0.0%
	185,000	AA	Massachusetts Development Finance Agency, Revenue Bonds, Series M-4, 5.000% due 7/1/44		207,696
	100,000	AA+	Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41		112,997

			Total Massachusetts		320,693

See Notes to Financial Statements.

107



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount/Units†		Rating††	Security	Value
	Minnesota — 0.0%
$	325,000	AA+	Northstar Education Finance Inc., Revenue Bonds, Series 2007-1, GTDSTD-Insured, 1.048% due 1/29/46(a)	$	305,765

	Missouri — 0.0%
	175,000	AAA	Metropolitan St Louis Sewer District, Revenue Bonds, Series A, 5.000% due 5/1/42		198,014

	Nevada — 0.1%
	435,000	AA+	Las Vegas Valley Water District, GO, Series B, 5.000% due 6/1/37		488,614

	New Jersey — 0.0%
	165,000	A	New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/36		179,913

	New York — 0.1%
	80,000	AAA	New York City Transitional Finance Authority Future Tax Secured Revenue, Bonds, Series A, 5.000% due 11/1/42		90,535
			New York City Water & Sewer System, Revenue Bonds:
	120,000	AA+	Series BB, 5.000% due 6/15/47		133,201
	115,000	AA+	Series CC, 5.000% due 6/15/47		128,306
	270,000	AAA	New York State Urban Development Corp., Revenue Bonds, Series E, 5.000% due 3/15/24		326,870

			Total New York		678,912

	Ohio — 0.1%
	1,000,000	B-	Buckeye Tobacco Settlement Financing Authority, Revenue Bonds, Series A-2, 5.750% due 6/1/34		800,170

	Texas — 0.1%
	670,000	AA+	City of Houston TX, GO, Series A, 6.290% due 3/1/32		844,455
	235,000	A+	Dallas/Fort Worth International Airport, Revenue Bonds, Series A, 5.000% due 11/1/45(n)		249,020

			Total Texas		1,093,475

	Virginia — 0.1%
	416,306	AAA	Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34		452,779

			TOTAL MUNICIPAL BONDS (Cost — $7,231,243)		7,463,227

	SENIOR LOANS — 0.1%
	208,425	NR	Gardner Denver Inc., 4.250% due 7/30/20		208,461
	92,368	NR	Hilton Worldwide Finance LLC, 3.500% due 10/26/20		91,936
	207,375	NR	Michaels Stores Inc., 3.750% due 1/28/20		205,486
	113,604	NR	Sungard Data Systems Inc., 4.000% due 3/8/20		113,651

			TOTAL SENIOR LOANS (Cost — $623,593)		619,534


Shares/Units
	PREFERRED STOCK — 0.1%
	FINANCIALS — 0.1%
	Banks — 0.1%
	30,275		GMAC Capital Trust I, 8.125%(a) (Cost — $751,009)		813,792

	COMMON STOCKS — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Automobiles — 0.0%
	107		General Motors Co.		3,724
	506		Motors Liquidation Co. GUC Trust*		12,913

			TOTAL COMMON STOCKS (Cost — $0)		16,637

See Notes to Financial Statements.

108



Schedules of Investments


(continued)


Core Fixed Income Investments

Shares/Units		Security	Value
	WARRANTS — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Automobiles — 0.0%
	97	General Motors Co., expires 7/10/16*	$	2,404
	97	General Motors Co., expires 7/10/19*		1,624

		TOTAL WARRANTS (Cost — $0)		4,028

	CONVERTIBLE PREFERRED STOCK — 0.0%
	CONSUMER DISCRETIONARY — 0.0%
	Automobiles — 0.0%
	20,000	General Motors Corp., 0.000%*(e)(f) (Cost — $0)		0


Notional Amount/ Number of Contracts
	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
	40	2-Year Eurodollar Mid-Curve September Futures, Put @ $98.00, expires 09/12/2014, WAM		750
	3,350,000	Swaption, 3-Month USD-LIBOR, Put @ $4.50, expires 03/15/2018, BCLY		120,282
	2,190,000	Swaption, 3-Month USD-LIBOR, Put @ $4.50, expires 04/09/2018, BCLY		80,159
	1,450,000	Swaption, 3-Month USD-LIBOR, Put @ $4.50, expires 01/14/2019, BCLY		40,949

		TOTAL PURCHASED OPTIONS (Cost — $482,358)		242,140

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $733,451,522)		754,849,103


Face Amount†
	SHORT-TERM INVESTMENTS (o) — 15.6%
	CERTIFICATES OF DEPOSIT — 0.1%
		Credit Suisse:
$	100,000	0.462% due 3/17/15(a)		100,000
	1,000,000	0.474% due 4/10/15(a)		1,000,000

		TOTAL CERTIFICATES OF DEPOSIT (Cost — $1,100,000)		1,100,000

	COMMERCIAL PAPER — 1.0%
		ENI Finance USA Inc.:
	1,100,000	0.573% due 5/15/15(k)		1,095,542
	1,100,000	0.583% due 5/22/15(k)		1,095,339
	1,500,000	Macquarie Bank Ltd., 0.556% due 10/28/14(b)(k)		1,500,000
	2,155,000	National Rural Utilities Cooperative Finance Corp., 0.090% due 9/19/14(k)		2,154,903
	2,155,000	RBS Holdings USA Inc., 0.190% due 10/27/14(k)		2,154,363

		TOTAL COMMERCIAL PAPER (Cost — $8,000,147)		8,000,147

	CORPORATE NOTE — 0.3%
	2,100,000	BellSouth Corp., 4.182% due 4/26/15(b)(e) (Cost — $2,149,482)		2,136,752

	MONEY MARKET FUND — 0.0%
	262,624	Invesco STIT — Government & Agency Portfolio(p) (Cost — $262,624)		262,624

See Notes to Financial Statements.

109



Schedules of Investments


(continued)


Core Fixed Income Investments

Face Amount†			Security	Value
	REPURCHASE AGREEMENTS — 2.9%
$	3,600,000		Barclays Capital Inc. repurchase agreement dated 08/29/14, 0.070% due 9/2/14, Proceeds at maturity — $3,600,021; (Fully collateralized by U.S. Treasury Note, 0.625% due 11/30/2017; Market Value — $3,673,681)(k)	$	3,600,000
	19,200,000		Merrill Lynch repurchase agreement dated 08/29/14, 0.030% due 9/2/14, Proceeds at maturity — $19,200,048; (Fully collateralized by U.S. Treasury Note, 2.625% due 11/15/2020; Market Value — $19,724,898)(k)		19,200,000

			TOTAL REPURCHASE AGREEMENTS (Cost — $22,800,000)		22,800,000

	SOVEREIGN BONDS — 1.2%
			Mexico Cetes:
	352,000,000	^MXN	2.907% due 9/25/14(k)		2,688,050
	82,000,000	^MXN	2.890% due 11/13/14(k)		623,750
	22,000,000	^MXN	2.890% due 12/11/14(k)		166,974
	120,000,000	^MXN	3.045% due 12/24/14(k)		909,427
	390,000,000	^MXN	3.000% due 1/8/15(k)		2,952,380
	66,000,000	^MXN	2.945% due 1/22/15(k)		499,137
	182,000,000	^MXN	2.960% due 2/5/15(k)		1,374,764

			TOTAL SOVEREIGN BONDS (Cost — $9,236,930)		9,214,482

	TIME DEPOSITS — 6.3%
	1,257,642		ANZ National Bank — London, 0.030% due 9/2/14		1,257,642
	17,977,104		Banco Santander SA — Frankfurt, 0.030% due 9/2/14		17,977,104
	862,592		Bank of New York Mellon — Grand Cayman, 0.030% due 9/2/14		862,592
			BBH — Grand Cayman:
	758	^EUR	(0.030%) due 9/1/14		997
	387	^DKK	0.000% due 9/1/14		68
	11,402	^JPY	0.005% due 9/1/14		110
	303	^AUD	1.874% due 9/1/14		283
			Wells Fargo — Grand Cayman:
	1,956,031	^EUR	(0.030%) due 9/1/14		2,571,106
	57,563	^GBP	0.082% due 9/1/14		95,457
	27,924,243		0.030% due 9/2/14		27,924,243

			TOTAL TIME DEPOSITS (Cost — $50,689,602)		50,689,602

	U.S. GOVERNMENT AGENCIES — 3.8%
			Federal Home Loan Bank (FHLB), Discount Notes:
	1,300,000		0.077% due 9/19/14(k)		1,299,950
	3,040,000		0.080% due 9/24/14(k)		3,039,845
	2,940,000		0.075% due 10/10/14(k)		2,939,761
	1,480,000		0.080% due 10/15/14(k)		1,479,855
	3,575,000		0.090% due 10/21/14(k)		3,574,553
	6,595,000		0.071% due 10/29/14(k)		6,594,259
			Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes:
	1,729,000		0.065% due 11/17/14(k)		1,728,760
	9,590,000		0.065% due 11/24/14(k)		9,588,545

			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $30,245,528)		30,245,528

			TOTAL SHORT-TERM INVESTMENTS (Cost — $124,484,313)		124,449,135

			TOTAL INVESTMENTS — 110.0% (Cost — $857,935,835#)		879,298,238

			Liabilities in Excess of Other Assets — (10.0)%		(80,197,011	)

			TOTAL NET ASSETS — 100.0%	$	799,101,227

See Notes to Financial Statements.

110



Schedules of Investments


(continued)


Core Fixed Income Investments

†

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.

Non-income producing security.

(a)

Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2014.

(b)

(c)

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

(d)

Security is perpetual in nature and has no stated maturity date.

(e)

Illiquid security.

(f)

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

(g)

Rating by Fitch Ratings Service. All ratings are unaudited.

(h)

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

(i)

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

(j)

All or a portion of this security is held at the broker as collateral for open futures or swap contracts.

(k)

Rate shown represents yield-to-maturity.

(l)

Interest only security.

(m)

Principal only security.

(n)

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

(o)

Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 15.6%.

(p)

Represents investment of collateral received from securities lending transactions.

(q)

Security is currently in default.

Aggregate cost for federal income tax purposes is $861,719,692.


Abbreviations used in this schedule:
CDO		— Collateralized Debt Obligation
CLO		— Collateralized Loan Obligation
GO		— General Obligation
GTDSTD		— Guaranteed Student Loans
MASTR		— Mortgage Asset Securitization Transactions Inc.
PLC		— Public Limited Company
REMICS		— Real Estate Mortgage Investment Conduit
STRIPS		— Separate Trading of Registered Interest and Principals


Currency Abbreviations used in this schedule:
AUD		— Australian Dollar
BRL		— Brazilian Real
DKK		— Danish Krone
EUR		— Euro
GBP		— British Pound
JPY		— Japanese Yen
MXN		— Mexican Peso
NZD		— New Zealand Dollar


Counterparty Abbreviations used in this schedule:
BCLY		— Barclays Bank PLC
BOA		— Bank of America
DUB		— Deutsche Bank AG
GSC		— Goldman Sachs & Co.
JPM		— JPMorgan Chase & Co.
RBS		— Royal Bank of Scotland PLC
UBS		— UBS Securities LLC

See pages 148 and 149 for definition of ratings.

See Notes to Financial Statements.

111



Schedules of Investments


(continued)


Core Fixed Income Investments


Summary of Investments by Security Type^
Corporate Bonds & Notes	27.8	%
Mortgage-Backed Securities	20.5
U.S. Government & Agency Obligations	16.8
Collateralized Mortgage Obligations	12.5
Sovereign Bonds	5.5
Asset-Backed Securities	1.6
Municipal Bonds	0.9
Preferred Stock	0.1
Senior Loans	0.1
Purchased Options	0.0	**
Common Stocks	0.0	**
Warrants	0.0	**
Convertible Preferred Stock	0.0	**
Short-Term Investments	14.2

	100.0	%

As a percentage of total investments.

Position represents less than 0.1%.

Schedule of Options Contracts Written



Notional Amount/ Number of Contracts			Security Name	Counterparty		Expiration Date		Strike Price		Value
	United States
	40		2-Year Eurodollar Mid-Curve September Futures, Put		GSC		9/12/14	$	97.50	$	250
	5,000,000		Swaption, 3-Month USD-LIBOR, Call		RBS		9/2/14		2.50		9,130
	1,000,000		Swaption, 3-Month USD-LIBOR, Call		RBS		9/2/14		2.55		5,002
	4,500,000		Swaption, 3-Month USD-LIBOR, Put		JPM		11/17/14		2.80		17,072
	3,700,000		Swaption, 3-Month USD-LIBOR, Put		DUB		11/17/14		2.85		10,912
	2,100,000	^EUR	Swaption, 6-Month EURIBOR, Call		GSC		1/20/15		1.20		38,721
	2,100,000	^EUR	Swaption, 6-Month EURIBOR, Put		GSC		1/20/15		1.60		5,879
	3,700,000		Swaption, 3-Month USD-LIBOR, Call		DUB		11/17/14		1.65		5,598
	1,000,000		Swaption, 3-Month USD-LIBOR, Call		JPM		11/17/14		1.70		2,109
	1,000,000		Swaption, 3-Month USD-LIBOR, Put		JPM		11/17/14		2.05		3,143
	700,000		Swaption, 3-Month USD-LIBOR, Call		DUB		12/2/14		1.70		1,606
	700,000		Swaption, 3-Month USD-LIBOR, Put		DUB		12/2/14		2.05		2,833
	200,000		OTC U.S. Dollar versus Japanese Yen, Put		BCLY		11/10/14		97.00		93
	400,000		OTC U.S. Dollar versus Japanese Yen, Put		BOA		11/10/14		97.00		186
	200,000		OTC U.S. Dollar versus Japanese Yen, Put		UBS		11/10/14		98.00		146
	100,000		OTC U.S. Dollar versus Japanese Yen, Put		BOA		2/18/19		80.00		3,581
	6,000,000		Swaption, 3-Month USD-LIBOR, Put		RBS		9/2/14		3.03		1
	6,700,000		Swaption, 3-Month USD-LIBOR, Put		RBS		9/21/15		2.50		85,940
	5,470,000		Swaption, 3-Month USD-LIBOR, Put		BCLY		1/14/19		5.00		59,223
	13		U.S. Treasury Long Bond October Futures, Call		GSC		9/26/14		144.00		2,844
	25		U.S. Treasury Long Bond September Futures, Call		GSC		9/26/14		126.50		8,984

			TOTAL OPTIONS CONRACTS WRITTEN (Premiums received —$500,810)							$	263,253

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

See Notes to Financial Statements.

112



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	CORPORATE BONDS & NOTES — 90.4%
	Aerospace & Defense — 1.4%
$	130,000	B+	Alliant Techsystems Inc., Company Guaranteed Notes, 5.250% due 10/1/21(a)	$	133,250
	480,000	BB-	CBC Ammo LLC/CBC FinCo Inc., Senior Unsecured Notes, 7.250% due 11/15/21(a)		483,600
	460,000	B	Ducommun Inc., Company Guaranteed Notes, 9.750% due 7/15/18		504,850
	611,000	B	Erickson Inc., Secured Notes, 8.250% due 5/1/20(c)		609,473
	200,000	B-	GenCorp Inc., Secured Notes, 7.125% due 3/15/21		216,500
	180,000	B	LMI Aerospace Inc., Senior Secured Notes, 7.375% due 7/15/19(a)		183,150
			TransDigm Inc., Company Guaranteed Notes:
	710,000	CCC+	7.500% due 7/15/21		779,225
	500,000	CCC+	6.000% due 7/15/22(a)		509,375
	130,000	BB-	Triumph Group Inc., Company Guaranteed Notes, 5.250% due 6/1/22(a)		130,162

			Total Aerospace & Defense		3,549,585

	Airlines — 1.2%
	810,000	B-(b)	Air Canada, Company Guaranteed Notes, 7.750% due 4/15/21(a)		852,525
	301,521	BB+e(b)	American Airlines 2013-1 Class B Pass Through Trust, Pass Thru Certificates, 5.625% due 1/15/21		313,582
	40,000	B+(b)	American Airlines 2013-1 Class C Pass Through Trust, Pass Thru Certificates, 6.125% due 7/15/18		42,100
	469,143	BB+	American Airlines 2013-2 Class B Pass Through Trust, Equipment Trust, 5.600% due 7/15/20		486,736
	127,819	B+	Continental Airlines 2007-1 Class B Pass Through Trust, Pass Thru Certificates, 6.903% due 4/19/22		138,211
	28,533	BBB-	Continental Airlines 2012-2 Class B Pass Through Trust, Pass Thru Certificates, 5.500% due 10/29/20		30,388
	55,912	BB+	Delta Air Lines 2007-1 Class B Pass Through Trust, Pass Thru Certificates, 8.021% due 8/10/22		65,070
	45,704	BBB+	Delta Air Lines 2009-1 Series B Pass Through Trust, Pass Thru Certificates, 9.750% due 12/17/16		51,702
	30,000	BBB	Delta Air Lines 2010-1 Class B Pass Through Trust, Pass Thru Certificates, 6.375% due 1/2/16(a)		31,800
	420,000	BB+	United Airlines 2014-1 Class B Pass Through Trust, Pass Thru Certificates, 4.750% due 4/11/22		424,200
	270,000	BB+	United Airlines 2014-2 Class B Pass Through Trust, Pass Thru Certificates, 4.625% due 9/3/22		270,000
	220,661	BB	US Airways 2012-2 Class B Pass Through Trust, Pass Thru Certificates, 6.750% due 6/3/21		239,970
	190,000	BB	US Airways 2013-1 Class B Pass Through Trust, Pass Thru Certificates, 5.375% due 11/15/21		196,175

			Total Airlines		3,142,459

	Auto Components — 0.8%
	180,000	B+	American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.625% due 10/15/22		194,400
	950,000	B	Chrysler Group LLC/CG Co.-Issuer Inc., Secured Notes, 8.250% due 6/15/21		1,066,375
	340,000	CCC+	Jaguar Holding Co. I, Senior Unsecured Notes, 9.375% (9.375% cash or 10.125% PIK) due 10/15/17(a)(d)		350,625
	440,000	B	Schaeffler Holding Finance BV, Senior Secured Notes, 6.875% (6.875% cash or 7.625% PIK) due 8/15/18(a)(d)		465,850

			Total Auto Components		2,077,250

	Banks — 2.8%
	440,000	BB+	Bank of America Corp., Junior Subordinated Notes, 5.200%(e)(f)		426,250
	200,000	BB+	Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22		225,000
			CIT Group Inc., Senior Unsecured Notes:
	100,000	BB-	5.375% due 5/15/20		108,625
	30,000	BB-	5.000% due 8/15/22		31,763
	1,250,000	BB-	5.000% due 8/1/23		1,308,125
	210,000	BBB-	Credit Agricole SA, Junior Subordinated Notes, 8.375%(a)(e)(f)		244,912
	170,000	BBB	M&T Bank Corp., Junior Subordinated Notes, 6.875%(f)		174,411
	625,000	B+	Popular Inc., Senior Unsecured Notes, 7.000% due 7/1/19		631,250

See Notes to Financial Statements.

113



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Banks — 2.8% — (continued)
			Provident Funding Associates LP/PFG Finance Corp.:
$	785,000	B+	Company Guaranteed Notes, 6.750% due 6/15/21(a)	$	793,831
	560,000	B+	Senior Unsecured Notes, 10.125% due 2/15/19(a)		605,500
	620,000	BB+	Royal Bank of Scotland Group PLC, Subordinated Notes, 6.000% due 12/19/23		675,201
			Synovus Financial Corp.:
	1,360,000	BB-	Senior Unsecured Notes, 7.875% due 2/15/19		1,543,600
	440,000	B+	Subordinated Notes, 5.125% due 6/15/17		453,200

			Total Banks		7,221,668

	Beverages — 0.4%
	170,000	CCC+	Beverages & More Inc., Senior Secured Notes, 10.000% due 11/15/18(a)		162,988
	270,000	B-	Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Senior Secured Notes, 10.625% due 8/1/18(a)		276,750
	270,000	BB+	Constellation Brands Inc., Company Guaranteed Notes, 4.250% due 5/1/23		273,375
	370,000	B-	Crestview DS Merger Sub II Inc., Secured Notes, 10.000% due 9/1/21		419,950

			Total Beverages		1,133,063

	Building Products — 0.4%
	500,000	BB-	Griffon Corp., Company Guaranteed Notes, 5.250% due 3/1/22		496,875
	240,000	B	Hardwoods Acquisition Inc., Secured Notes, 7.500% due 8/1/21(a)		244,800
	390,000	B	Woodside Homes Co. LLC/Woodside Homes Finance Inc., Company Guaranteed Notes, 6.750% due 12/15/21(a)		394,875

			Total Building Products		1,136,550

	Chemicals — 1.9%
	610,000	B-	Amsurg Corp., Company Guaranteed Notes, 5.625% due 7/15/22(a)		626,775
	500,000	BB	Axiall Corp., Company Guaranteed Notes, 4.875% due 5/15/23		502,500
	90,000	B+	Hercules Inc., Junior Subordinated Notes, 6.500% due 6/30/29		83,142
	400,000	B-	Hexion US Finance Corp., Senior Secured Notes, 6.625% due 4/15/20		423,000
	200,000	CCC+	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, Senior Secured Notes, 8.875% due 2/1/18		208,000
	670,000	NR	Momentive Performance Materials Inc., Senior Secured Notes, 8.875% due 10/15/20(g)		629,800
	645,000	B	Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., Secured Notes, 6.500% due 4/15/21(a)		643,387
	1,310,000	B	TPC Group Inc., Senior Secured Notes, 8.750% due 12/15/20(a)		1,450,825
	280,000	BB-	Tronox Finance LLC, Company Guaranteed Notes, 6.375% due 8/15/20		289,800

			Total Chemicals		4,857,229

	Commercial Services & Supplies — 4.0%
	435,000	B	Ahern Rentals Inc., Secured Notes, 9.500% due 6/15/18(a)		479,588
	460,000	BB-	Ashtead Capital Inc., Secured Notes, 6.500% due 7/15/22(a)		502,550
			Cenveo Corp.:
	1,600,000	CCC	Company Guaranteed Notes, 11.500% due 5/15/17		1,684,000
	470,000	B	Senior Secured Notes, 6.000% due 8/1/19(a)		466,475
	425,000	CCC+	DynCorp International Inc., Company Guaranteed Notes, 10.375% due 7/1/17		404,812
	744,000	B+	H&E Equipment Services Inc., Company Guaranteed Notes, 7.000% due 9/1/22		816,540
	100,000	BB+	JM Huber Corp., Senior Unsecured Notes, 9.875% due 11/1/19(a)		113,000
	320,000	B-	Modular Space Corp., Secured Notes, 10.250% due 1/31/19(a)		332,800
	680,000	CCC+	Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20		731,000
	110,000	CCC+	NES Rentals Holdings Inc., Secured Notes, 7.875% due 5/1/18(a)		117,425
	315,000	B-	Park-Ohio Industries Inc., Company Guaranteed Notes, 8.125% due 4/1/21		347,287
	700,000	B	Safway Group Holding LLC/Safway Finance Corp., Secured Notes, 7.000% due 5/15/18(a)		740,250
	135,000	BB-	Sotheby’s, Company Guaranteed Notes, 5.250% due 10/1/22(a)		132,300
	110,000	B-	StoneMor Partners LP/Cornerstone Family Services of WV, Company Guaranteed Notes, 7.875% due 6/1/21(a)		116,600

See Notes to Financial Statements.

114



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Commercial Services & Supplies — 4.0% — (continued)
			United Rentals North America Inc., Company Guaranteed Notes:
$	200,000	BB-	7.375% due 5/15/20	$	219,000
	1,345,000	BB-	7.625% due 4/15/22		1,516,488
	820,000	BB-	5.750% due 11/15/24		861,000
	620,000	B+	West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a)		604,500

			Total Commercial Services & Supplies		10,185,615

	Communications Equipment — 0.2%
			CommScope Inc., Company Guaranteed Notes:
	235,000	B+	5.000% due 6/15/21(a)		239,700
	235,000	B+	5.500% due 6/15/24(a)		240,288

			Total Communications Equipment		479,988

	Construction Materials — 0.6%
	700,000	B-	Michael Baker Holdings LLC/Michael Baker Finance Corp., Senior Unsecured Notes, 8.875% (8.875% cash or 9.625% PIK) due 4/15/19(a)(d)		696,500
	400,000	B+	Michael Baker International LLC/CDL Acquisition Co., Inc., Senior Secured Notes, 8.250% due 10/15/18(a)		414,000
	430,000	B	US Concrete Inc., Senior Secured Notes, 8.500% due 12/1/18		466,550

			Total Construction Materials		1,577,050

	Consumer Finance — 0.4%
			Ally Financial Inc., Company Guaranteed Notes:
	105,000	BB	5.500% due 2/15/17		112,284
	365,000	BB	8.000% due 3/15/20		444,388
	130,000	BB	7.500% due 9/15/20		156,000
	200,000	BB+	Dufry Finance SCA, Company Guaranteed Notes, 5.500% due 10/15/20(a)		209,010
	120,000	BB	Navient LLC, Senior Unsecured Notes, 8.450% due 6/15/18		139,944

			Total Consumer Finance		1,061,626

	Containers & Packaging — 1.4%
	260,000	CCC+	Ardagh Finance Holdings SA, Senior Unsecured Notes, 8.625% (0.000% cash or 8.625% PIK) due 6/15/19(a)(d)		270,725
			Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.:
			Company Guaranteed Notes:
	200,000	CCC+	6.250% due 1/31/19(a)		202,500
	700,000	CCC+	6.750% due 1/31/21(a)		715,750
	350,000	B+	Senior Secured Notes, 3.232% due 12/15/19(a)(e)		349,125
	730,000	CCC+	Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Is, Company Guaranteed Notes, 6.000% due 6/15/17(a)		742,775
	340,000	CCC	BWAY Holding Co., Senior Unsecured Notes, 9.125% due 8/15/21(a)		350,200
	110,000	BB+	Graphic Packaging International Inc., Company Guaranteed Notes, 4.750% due 4/15/21		112,750
			Pactiv LLC, Company Guaranteed Notes:
	50,000	CCC+	7.950% due 12/15/25		54,125
	560,000	CCC+	8.375% due 4/15/27		609,000
	210,000	B+	Plastipak Holdings Inc., Senior Unsecured Notes, 6.500% due 10/1/21(a)		220,500

			Total Containers & Packaging		3,627,450

	Diversified Consumer Services — 0.1%
	130,000	BB-	Service Corp. International, Senior Unsecured Notes, 7.500% due 4/1/27		143,975

	Diversified Financial Services — 2.4%
	280,000	BB+	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, Company Guaranteed Notes, 4.500% due 5/15/21(a)		286,286
	320,000	Caa1(h)	Compiler Finance Sub Inc., Senior Unsecured Notes, 7.000% due 5/1/21(a)		307,200
	610,000	BB+	Denali Borrower LLC/Denali Finance Corp., Senior Secured Notes, 5.625% due 10/15/20(a)		645,075
	410,000	B	Globe Luxembourg SCA, Senior Secured Notes, 9.625% due 5/1/18(a)		453,050
	500,000	B+	ILFC E-Capital Trust I, Limited Guaranteed Notes, 5.020% due 12/21/65(a)(e)		485,000

See Notes to Financial Statements.

115



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Diversified Financial Services — 2.4% — (continued)
			International Lease Finance Corp., Senior Unsecured Notes:
$	520,000	BB+	8.250% due 12/15/20	$	637,000
	755,000	BB+	8.625% due 1/15/22		950,356
	660,000	CCC+	Jack Cooper Holdings Corp., Senior Secured Notes, 9.250% due 6/1/20(a)		720,225
	740,000	B	KCA Deutag UK Finance PLC, Senior Secured Notes, 7.250% due 5/15/21(a)		743,700
	400,000	CCC	Nuveen Investments Inc., Senior Unsecured Notes, 9.500% due 10/15/20(a)		468,936
	160,000	B	SPL Logistics Escrow LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a)		178,000
	260,000	B	TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes, 8.500% due 9/15/18(a)		276,250

			Total Diversified Financial Services		6,151,078

	Diversified Telecommunication Services — 5.0%
			CenturyLink Inc., Senior Unsecured Notes:
	120,000	BB	6.450% due 6/15/21		132,000
	380,000	BB	6.750% due 12/1/23(c)		422,037
	741,000	CCC+	Cincinnati Bell Inc., Company Guaranteed Notes, 8.750% due 3/15/18		777,124
	35,000	BB-	Cincinnati Bell Telephone Co. LLC, Company Guaranteed Notes, 6.300% due 12/1/28		33,862
	550,000	B-	Cogent Communications Finance Inc., Company Guaranteed Notes, 5.625% due 4/15/21(a)		550,000
	635,000	B	Gates Global LLC/Gates Global Co., Company Guaranteed Notes, 6.000% due 7/15/22(a)		631,825
			Intelsat Jackson Holdings SA, Company Guaranteed Notes:
	60,000	B+	7.250% due 10/15/20		64,350
	150,000	B+	7.500% due 4/1/21		162,937
	755,000	B-	6.625% due 12/15/22		792,750
	1,000,000	B+	5.500% due 8/1/23		1,000,000
			Intelsat Luxembourg SA, Company Guaranteed Notes:
	595,000	B-	7.750% due 6/1/21		629,956
	770,000	B-	8.125% due 6/1/23		837,375
	725,000	B	Level 3 Escrow II Inc., Company Guaranteed Notes, 5.375% due 8/15/22(a)		730,438
			Level 3 Financing Inc., Company Guaranteed Notes:
	210,000	B-	7.000% due 6/1/20		227,325
	1,140,000	B-	8.625% due 7/15/20		1,268,250
	130,000	B-	6.125% due 1/15/21(a)		137,638
			tw telecom holdings Inc., Company Guaranteed Notes:
	200,000	BB-	5.375% due 10/1/22		218,250
	190,000	BB-	5.375% due 10/1/22		207,338
	680,000	BB-	6.375% due 9/1/23		770,100
	340,000	BB	UPCB Finance V Ltd., Senior Secured Notes, 7.250% due 11/15/21(a)		374,000
	430,000	BB	VimpelCom Holdings BV, Company Guaranteed Notes, 5.950% due 2/13/23(a)		389,623
	685,000	B	Virgin Media Finance PLC, Company Guaranteed Notes, 6.375% due 4/15/23(a)		732,950
	260,000	BB-	Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 1/15/25(a)		268,450
			Windstream Corp., Company Guaranteed Notes:
	650,000	B	7.500% due 6/1/22		709,312
	650,000	B	7.500% due 4/1/23		695,500

			Total Diversified Telecommunication Services		12,763,390

	Electric Utilities — 1.5%
	20,000	B	Atlantic Power Corp., Company Guaranteed Notes, 9.000% due 11/15/18		20,950
			Calpine Corp.:
			Senior Secured Notes:
	315,000	BB	6.000% due 1/15/22(a)		340,987
	380,000	BB	5.875% due 1/15/24(a)		408,500
			Senior Unsecured Notes:
	590,000	B	5.375% due 1/15/23		596,638
	240,000	B	5.750% due 1/15/25		242,700
	4,522	B-	FPL Energy National Wind Portfolio LLC, Senior Secured Notes, 6.125% due 3/25/19(a)		4,499

See Notes to Financial Statements.

116



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Electric Utilities — 1.5% — (continued)
			GenOn REMA LLC, Pass Thru Certificates:
$	70,770	B+	9.237% due 7/2/17	$	75,547
	1,110,000	B+	9.681% due 7/2/26		1,209,900
	430,000	CCC+	Illinois Power Generating Co., Senior Unsecured Notes, 7.000% due 4/15/18		420,325
	60,987	NR	Midwest Generation LLC, Pass Thru Certificates, 8.560% due 1/2/16		62,512
	477,404	BB-	Mirant Mid Atlantic Series C Pass Through Trust, Pass Thru Certificates, 10.060% due 12/30/28		538,870

			Total Electric Utilities		3,921,428

	Electronic Equipment, Instruments & Components — 0.9%
	95,000	B	International Wire Group Holdings Inc., Secured Notes, 8.500% due 10/15/17(a)		102,837
	20,000	B-	Kemet Corp., Senior Secured Notes, 10.500% due 5/1/18		21,100
	250,000	B	Radio Systems Corp., Secured Notes, 8.375% due 11/1/19(a)		275,938
	730,000	B+	Viasystems Inc., Senior Secured Notes, 7.875% due 5/1/19(a)		759,200
	1,050,000	B+	WESCO Distribution Inc., Company Guaranteed Notes, 5.375% due 12/15/21		1,068,375

			Total Electronic Equipment, Instruments & Components		2,227,450

	Energy Equipment & Services — 2.7%
			Access Midstream Partners LP/ACMP Finance Corp., Company Guaranteed Notes:
	520,000	BB+	5.875% due 4/15/21		555,100
	230,000	BB+	6.125% due 7/15/22		251,275
	750,000	BB+	4.875% due 5/15/23		793,125
			Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., Company Guaranteed Notes:
	130,000	B+	6.625% due 10/1/20		137,800
	350,000	B+	4.750% due 11/15/21		340,375
	110,000	B+	5.875% due 8/1/23		112,200
	520,000	B+	Cie Générale de Géophysique — Veritas, Company Guaranteed Notes, 6.500% due 6/1/21		483,600
	130,000	NR	Dynegy Roseton LLC/Dynegy Danskammer LLC Pass Through Trust, Series B, Pass Thru Certificates, 7.670% due 11/8/16(g)(i)(j)		0
	700,000	B	First Wind Capital LLC, Senior Secured Notes, 10.250% due 6/1/18(a)		749,000
	400,000	CCC+	Foresight Energy LLC/Foresight Energy Corp., Senior Unsecured Notes, 7.875% due 8/15/21(a)		427,000
	410,000	B	GenOn Energy Inc., Senior Unsecured Notes, 9.500% due 10/15/18		437,675
	350,000	BB	McDermott International Inc., Secured Notes, 8.000% due 5/1/21(a)		364,000
	485,000	CCC+	Ocean Rig UDW Inc., Senior Unsecured Notes, 7.250% due 4/1/19(a)		485,000
	250,000	B+	Parker Drilling Co., Company Guaranteed Notes, 6.750% due 7/15/22(a)		260,625
	790,000	B+	Pioneer Energy Services Corp., Company Guaranteed Notes, 6.125% due 3/15/22(a)		805,800
	70,000	BB	Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes, 6.500% due 7/15/21		76,300
			Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes:
	326,000	BB+	6.375% due 8/1/22		355,340
	140,000	BB+	5.250% due 5/1/23		148,050
	40,000	BB+	4.250% due 11/15/23		40,100
	240,000	B-	Westmoreland Coal Co./Westmoreland Partners, Senior Secured Notes, 10.750% due 2/1/18		256,500

			Total Energy Equipment & Services		7,078,865

	Food Products — 1.6%
	484,000	CCC+	Big Heart Pet Brands, Company Guaranteed Notes, 7.625% due 2/15/19		500,335
	451,000	B	Chiquita Brands International Inc./Chiquita Brands LLC, Senior Secured Notes, 7.875% due 2/1/21		494,973
	585,000	CCC+	Diamond Foods Inc., Company Guaranteed Notes, 7.000% due 3/15/19(a)		601,819
	350,000	CCC+	Dole Food Co., Inc., Senior Secured Notes, 7.250% due 5/1/19(a)		353,062
	310,000	CCC+	Hearthside Group Holdings LLC/Hearthside Finance Co., Company Guaranteed Notes, 6.500% due 5/1/22(a)		310,775
	470,000	BB-	HJ Heinz Co., Secured Notes, 4.250% due 10/15/20		477,050

See Notes to Financial Statements.

117



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Food Products — 1.6% — (continued)
$	550,000	CCC	Simmons Foods Inc., Secured Notes, 10.500% due 11/1/17(a)	$	587,125
	450,000	BB-	Smithfield Foods Inc., Senior Unsecured Notes, 5.875% due 8/1/21(a)		482,625
	224,000	B+	Wells Enterprises Inc., Senior Secured Notes, 6.750% due 2/1/20(a)		234,640

			Total Food Products		4,042,404

	Gas Utilities — 0.1%
	310,000	NR	New Gulf Resources LLC/NGR Finance Corp., Senior Secured Notes, 11.750% due 5/15/19		319,688

	Health Care Equipment & Supplies — 1.2%
	1,070,000	CCC+	Alere Inc., Company Guaranteed Notes, 6.500% due 6/15/20		1,087,387
	200,000	B-	ConvaTec Finance International SA, Senior Unsecured Notes, 8.250% (8.250% cash or 9.000% PIK) due 1/15/19(a)(d)		206,125
			DJO Finance LLC/DJO Finance Corp., Company Guaranteed Notes:
	80,000	CCC	9.750% due 10/15/17		83,800
	520,000	CCC+	9.875% due 4/15/18		558,350
	395,000	CCC+	Kinetic Concepts Inc./KCI USA Inc., Company Guaranteed Notes, 12.500% due 11/1/19		451,781
	190,000	BB	Teleflex Inc., Company Guaranteed Notes, 5.250% due 6/15/24(a)		194,038
	420,000	B	Universal Hospital Services Inc., Secured Notes, 7.625% due 8/15/20		422,100

			Total Health Care Equipment & Supplies		3,003,581

	Health Care Providers & Services — 2.9%
			Acadia Healthcare Co., Inc., Company Guaranteed Notes:
	97,000	B	12.875% due 11/1/18		113,732
	390,000	B	6.125% due 3/15/21		413,400
	380,000	B	5.125% due 7/1/22(a)		385,700
	355,000	B-	CHS/Community Health Systems Inc., Company Guaranteed Notes, 6.875% due 2/1/22(a)		378,963
	460,000	B-	ExamWorks Group Inc., Company Guaranteed Notes, 9.000% due 7/15/19		499,100
	480,000	BB+	Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.875% due 1/31/22(a)		530,400
			HCA Inc.:
			Company Guaranteed Notes:
	570,000	B-	5.875% due 5/1/23		608,475
	60,000	B-	7.690% due 6/15/25		66,900
	1,030,000	BB	Senior Secured Notes, 5.000% due 3/15/24		1,051,887
	620,000	CCC+	IASIS Healthcare LLC/IASIS Capital Corp., Company Guaranteed Notes, 8.375% due 5/15/19		658,750
	690,000	B-	MedImpact Holdings Inc., Senior Secured Notes, 10.500% due 2/1/18(a)		747,788
	455,000	B-	Select Medical Corp., Company Guaranteed Notes, 6.375% due 6/1/21		475,191
			Tenet Healthcare Corp., Senior Unsecured Notes:
	160,000	CCC+	8.000% due 8/1/20		173,200
	960,000	CCC+	8.125% due 4/1/22		1,107,600
	295,000	CCC+	6.875% due 11/15/31		290,575

			Total Health Care Providers & Services		7,501,661

	Hotels, Restaurants & Leisure — 4.9%
	670,000	B-	AMC Entertainment Inc., Company Guaranteed Notes, 9.750% due 12/1/20		755,425
			Bossier Casino Venture Holdco Inc., Senior Secured Notes:
	55,948	NR	11.000% due 2/9/18(i)(j)		54,760
	181,080	NR	14.000% (0.000% cash or 14.000% PIK) due 2/9/18(a)(d)(i)(j)		174,958
	620,000	CCC+	Boyd Gaming Corp., Company Guaranteed Notes, 9.000% due 7/1/20		668,825
	60,000	B-	Burger King Capital Holdings LLC/Burger King Capital Finance Inc., Company Guaranteed Notes, step bond to yield, 0.000% due 4/15/19(a)		56,100
			Caesars Entertainment Operating Co., Inc., Senior Secured Notes:
	58,000	CCC-	11.250% due 6/1/17		47,995
	860,000	CCC-	9.000% due 2/15/20		692,581
			Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties Finance Inc.:
	110,000	CCC-	Secured Notes, 11.000% due 10/1/21(a)		112,063

See Notes to Financial Statements.

118



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Hotels, Restaurants & Leisure — 4.9% — (continued)
$	260,000	CCC+	Senior Secured Notes, 8.000% due 10/1/20(a)	$	259,350
	230,000	B-	Carrols Restaurant Group Inc., Secured Notes, 11.250% due 5/15/18		253,000
	150,000	CCC+	CEC Entertainment Inc., Senior Unsecured Notes, 8.000% due 2/15/22(a)		153,000
	845,000	CCC+	Golden Nugget Escrow Inc., Senior Unsecured Notes, 8.500% due 12/1/21(a)		886,194
	170,000	B-	Greektown Holdings LLC/Greektown Mothership Corp., Senior Secured Notes, 8.875% due 3/15/19(a)		175,100
	1,110,000	B	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 5.625% due 10/15/21(a)		1,178,681
	250,000	CCC+	Isle of Capri Casinos Inc., Company Guaranteed Notes, 8.875% due 6/15/20		270,000
	470,000	CCC+	Landry’s Holdings II Inc., Senior Unsecured Notes, 10.250% due 1/1/18(a)		492,325
	565,000	CCC+	Landry’s Inc., Senior Unsecured Notes, 9.375% due 5/1/20(a)		610,200
	400,000	B+	Marina District Finance Co., Inc., Senior Secured Notes, 9.875% due 8/15/18		422,500
	280,000	BB-	MCE Finance Ltd., Company Guaranteed Notes, 5.000% due 2/15/21(a)		280,000
			MGM Resorts International, Company Guaranteed Notes:
	1,125,000	B+	6.625% due 12/15/21		1,257,188
	700,000	B+	7.750% due 3/15/22		820,750
	320,000	CCC	Mohegan Tribal Gaming Authority, Company Guaranteed Notes, 9.750% due 9/1/21(c)		345,600
	425,000	B-	MTR Gaming Group Inc., Secured Notes, 11.500% due 8/1/19		477,062
	50,000	BB-	NCL Corp. Ltd., Company Guaranteed Notes, 5.000% due 2/15/18		51,375
	635,000	CCC	PF Chang’s China Bistro Inc., Company Guaranteed Notes, 10.250% due 6/30/20(a)		654,050
	455,000	B	Pinnacle Entertainment Inc., Company Guaranteed Notes, 7.750% due 4/1/22		493,675
	180,000	B-	Regal Entertainment Group, Senior Unsecured Notes, 5.750% due 3/15/22		185,400
			Scientific Games International Inc., Company Guaranteed Notes:
	150,000	B-	6.250% due 9/1/20		131,250
	435,000	B-	6.625% due 5/15/21(a)		380,081
	300,000	B-	Seven Seas Cruises S de RL LLC, Secured Notes, 9.125% due 5/15/19		325,500

			Total Hotels, Restaurants & Leisure		12,664,988

	Household Durables — 1.7%
	545,000	B-	K Hovnanian Enterprises Inc., Senior Secured Notes, 7.250% due 10/15/20(a)		588,600
	610,000	CCC+	Serta Simmons Holdings LLC, Senior Unsecured Notes, 8.125% due 10/1/20(a)		660,325
	700,000	B	Shea Homes LP/Shea Homes Funding Corp., Senior Secured Notes, 8.625% due 5/15/19		759,500
	350,000	B+	Standard Pacific Corp., Company Guaranteed Notes, 6.250% due 12/15/21		372,750
	905,000	BB-	Taylor Morrison Communities Inc./Monarch Communities Inc., Company Guaranteed Notes, 5.250% due 4/15/21(a)		918,575
			Toll Brothers Finance Corp., Company Guaranteed Notes:
	60,000	BB+	4.000% due 12/31/18		61,200
	60,000	BB+	6.750% due 11/1/19		68,850
	535,000	B-	William Lyon Homes Inc., Company Guaranteed Notes, 8.500% due 11/15/20		593,850
	250,000	B3(h)	WLH PNW Finance Corp., Senior Unsecured Notes, 7.000% due 8/15/22(a)		258,437

			Total Household Durables		4,282,087

	Household Products — 1.8%
	80,000	B-	American Achievement Corp., Secured Notes, 10.875% due 4/15/16(a)		82,200
	40,000	B	American Greetings Corp., Company Guaranteed Notes, 7.375% due 12/1/21		42,700
	400,000	B-	Century Intermediate Holding Co. 2, Senior Unsecured Notes, 9.750% (0.000% cash or 9.750% PIK) due 2/15/19(a)(d)		428,000
			Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu:
			Company Guaranteed Notes:
	640,000	CCC+	9.000% due 4/15/19		675,200
	795,000	CCC+	9.875% due 8/15/19		885,431
	1,600,000	B+	Senior Secured Notes, 5.750% due 10/15/20		1,680,000
			Spectrum Brands Inc., Company Guaranteed Notes:
	110,000	B	6.375% due 11/15/20		118,800
	780,000	B	6.625% due 11/15/22		848,250

			Total Household Products		4,760,581

See Notes to Financial Statements.

119



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Independent Power and Renewable Electricity Producers — 1.1%
			AES Corp., Senior Unsecured Notes:
$	400,000	BB-	4.875% due 5/15/23	$	395,000
	150,000	BB-	5.500% due 3/15/24		153,375
			NRG Energy Inc., Company Guaranteed Notes:
	155,000	BB-	7.875% due 5/15/21		170,887
	1,100,000	BB-	6.250% due 7/15/22(a)		1,157,750
	450,000	BB-	6.250% due 5/1/24(a)		466,875
	370,000	B+	Red Oak Power LLC, Senior Secured Notes, 9.200% due 11/30/29		414,400

			Total Independent Power and Renewable Electricity Producers		2,758,287

	Industrial Conglomerates — 1.1%
	370,000	B	American Builders & Contractors Supply Co., Inc., Senior Unsecured Notes, 5.625% due 4/15/21(a)		377,400
	1,020,000	CCC+	HD Supply Inc., Company Guaranteed Notes, 7.500% due 7/15/20		1,101,600
	260,000	BB-	LKQ Corp., Company Guaranteed Notes, 4.750% due 5/15/23		255,450
			SunGard Data Systems Inc., Company Guaranteed Notes:
	605,000	B-	6.625% due 11/1/19		636,762
	500,000	B	7.625% due 11/15/20		540,625

			Total Industrial Conglomerates		2,911,837

	Insurance — 0.4%
	500,000	BB-	Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 6.375% due 4/1/21(a)		537,500
	525,000	CCC+	Hockey Merger Sub 2 Inc., Senior Unsecured Notes, 7.875% due 10/1/21(a)		555,188

			Total Insurance		1,092,688

	Internet Software & Services — 1.1%
	70,000	CCC+	Ancestry.com Inc., Company Guaranteed Notes, 11.000% due 12/15/20		81,025
	267,000	BB-	Bankrate Inc., Company Guaranteed Notes, 6.125% due 8/15/18(a)		276,345
	285,000	B+	Cogent Communications Holdings Inc., Senior Secured Notes, 8.375% due 2/15/18(a)		302,100
	450,000	B+	CyrusOne LP/CyrusOne Finance Corp., Company Guaranteed Notes, 6.375% due 11/15/22		478,125
			EarthLink Holdings Corp.:
	655,000	CCC+	Company Guaranteed Notes, 8.875% due 5/15/19(c)		673,012
	555,000	B+	Senior Secured Notes, 7.375% due 6/1/20		586,913
	370,000	B	Zayo Group LLC/Zayo Capital Inc., Senior Secured Notes, 8.125% due 1/1/20		400,525

			Total Internet Software & Services		2,798,045

	Leisure Products — 0.2%
	160,000	CCC+	24 Hour Holdings III LLC, Company Guaranteed Notes, 8.000% due 6/1/22(a)		156,000
	240,000	B	Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes, 10.500% due 7/1/19(a)		255,600

			Total Leisure Products		411,600

	Machinery — 1.6%
	930,000	CCC+	DH Services Luxembourg Sarl, Company Guaranteed Notes, 7.750% due 12/15/20(a)		995,100
	139,000	B	Mcron Finance Sub LLC/Mcron Finance Corp., Senior Secured Notes, 8.375% due 5/15/19(a)		151,162
	425,000	B-	Milacron LLC/Mcron Finance Corp., Company Guaranteed Notes, 7.750% due 2/15/21(a)		460,063
	357,000	B	Mueller Water Products Inc., Company Guaranteed Notes, 7.375% due 6/1/17		364,140
	650,000	CCC-	Navistar International Corp., Company Guaranteed Notes, 8.250% due 11/1/21		676,812
	880,000	BB	Terex Corp., Company Guaranteed Notes, 6.000% due 5/15/21		937,200
	520,000	B	Xerium Technologies Inc., Company Guaranteed Notes, 8.875% due 6/15/18		552,175

			Total Machinery		4,136,652

	Media — 7.7%
	510,000	(P)B	Altice SA, Senior Secured Notes, 7.750% due 5/15/22(a)		543,150
	60,000	BB	Carmike Cinemas Inc., Secured Notes, 7.375% due 5/15/19		64,875

See Notes to Financial Statements.

120



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Media — 7.7% — (continued)
			CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp., Company Guaranteed Notes:
$	130,000	BB-	5.250% due 2/15/22(a)	$	133,250
	130,000	BB-	5.625% due 2/15/24(a)		134,225
			CCO Holdings LLC/CCO Holdings Capital Corp., Company Guaranteed Notes:
	120,000	B	8.125% due 4/30/20		129,000
	800,000	B	6.500% due 4/30/21		853,000
	500,000	B	6.625% due 1/31/22		538,725
	1,680,000	CCC+	Clear Channel Communications Inc., Senior Secured Notes, 9.000% due 3/1/21		1,749,300
			Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes:
	865,000	B	7.625% due 3/15/20		929,675
	190,000	B	6.500% due 11/15/22		203,650
	205,000	B+	Crown Media Holdings Inc., Company Guaranteed Notes, 10.500% due 7/15/19		229,344
	500,000	BB	CSC Holdings LLC, Senior Unsecured Notes, 8.625% due 2/15/19		589,375
	1,645,000	CCC+	Cumulus Media Holdings Inc., Company Guaranteed Notes, 7.750% due 5/1/19		1,712,856
			DISH DBS Corp., Company Guaranteed Notes:
	1,225,000	BB-	7.875% due 9/1/19		1,424,062
	410,000	BB-	5.875% due 7/15/22		436,117
	370,000	B-	Entercom Radio LLC, Company Guaranteed Notes, 10.500% due 12/1/19		415,325
	200,000	B-	Gibson Brands Inc., Senior Secured Notes, 8.875% due 8/1/18(a)		203,000
	1,015,000	B	Gray Television Inc., Company Guaranteed Notes, 7.500% due 10/1/20		1,075,900
	160,000	B-	Harron Communications LP/Harron Finance Corp., Senior Unsecured Notes, 9.125% due 4/1/20(a)		180,400
			LBI Media Inc.:
	397,575	C	Secured Notes, 13.500% due 4/15/20(a)		417,454
	355,000	CCC-	Senior Secured Notes, 10.000% due 4/15/19(a)		376,300
	725,000	B-	Lee Enterprises Inc., Senior Secured Notes, 9.500% due 3/15/22(a)		768,500
	385,000	B+	LIN Television Corp., Company Guaranteed Notes, 8.375% due 4/15/18		403,047
	40,000	B+	McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, Senior Secured Notes, 9.750% due 4/1/21		45,400
	300,000	B-	MDC Partners Inc., Company Guaranteed Notes, 6.750% due 4/1/20(a)		315,000
	30,000	B-	MHGE Parent LLC/MHGE Parent Finance Inc., Senior Unsecured Notes, 8.500% due 8/1/19(a)		29,588
	660,000	B-	Midcontinent Communications & Midcontinent Finance Corp., Company Guaranteed Notes, 6.250% due 8/1/21(a)		684,750
	200,000	B+	Nara Cable Funding Ltd., Senior Secured Notes, 8.875% due 12/1/18(a)		212,250
	610,000	B	Nexstar Broadcasting Inc., Company Guaranteed Notes, 6.875% due 11/15/20		649,650
	400,000	B+	Numericable Group SA, Senior Secured Notes, 6.000% due 5/15/22(a)		412,500
	150,000	B-	Ono Finance II PLC, Company Guaranteed Notes, 10.875% due 7/15/19(a)		162,930
	1,480,000	CCC	Radio One Inc., Senior Subordinated Notes, 9.250% due 2/15/20(a)		1,546,600
	150,000	B+	Sinclair Television Group Inc., Company Guaranteed Notes, 5.375% due 4/1/21		153,750
	215,000	BBB-	Sirius XM Radio Inc., Senior Secured Notes, 5.250% due 8/15/22(a)		230,050
	495,000	B-	SiTV LLC/SiTV Finance Inc., Senior Secured Notes, 10.375% due 7/1/19(a)		498,712
			Univision Communications Inc.:
	780,000	CCC+	Company Guaranteed Notes, 8.500% due 5/15/21(a)		858,000
			Senior Secured Notes:
	100,000	B+	6.875% due 5/15/19(a)		106,250
	130,000	B+	7.875% due 11/1/20(a)		142,350
	310,000	B	WMG Acquisition Corp., Company Guaranteed Notes, 6.750% due 4/15/22(a)		308,450

			Total Media		19,866,760

	Metals & Mining — 2.5%
			ArcelorMittal, Senior Unsecured Notes:
	80,000	BB+	6.000% due 3/1/21		86,500
	500,000	BB+	6.750% due 2/25/22		560,600

See Notes to Financial Statements.

121



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Metals & Mining — 2.5% — (continued)
$	270,000	B-	Barminco Finance Pty Ltd., Company Guaranteed Notes, 9.000% due 6/1/18(a)	$	246,038
	395,000	B+	Coeur Mining Inc., Company Guaranteed Notes, 7.875% due 2/1/21		397,716
	360,000	(P)CCC+	Essar Steel Minnesota LLC, Senior Secured Notes, 11.500% due 5/15/20(a)		370,350
			FMG Resources August 2006 Pty Ltd., Company Guaranteed Notes:
	80,000	BB	6.000% due 4/1/17(a)		83,650
	300,000	BB	6.875% due 2/1/18(a)		316,218
	735,000	BB	8.250% due 11/1/19(a)		807,581
	700,000	BB	6.875% due 4/1/22(a)		765,188
	200,000	B	Global Brass & Copper Inc., Senior Secured Notes, 9.500% due 6/1/19		225,750
	320,000	B-	Horsehead Holding Corp., Senior Secured Notes, 10.500% due 6/1/17(a)		366,000
	190,000	NR	Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(g)(j)		37,050
	250,000	NR	Mirabela Nickel Ltd., Senior Secured Notes, 9.500% due 6/20/19(i)(j)		250,000
	85,000	CCC	Molycorp Inc., Senior Secured Notes, 10.000% due 6/1/20(c)		71,187
	160,000	B	Prince Mineral Holding Corp., Senior Secured Notes, 12.000% due 12/15/19(a)		180,000
	300,000	B-	Ryerson Inc./Joseph T Ryerson & Son Inc., Senior Secured Notes, 9.000% due 10/15/17		320,250
	220,000	B-	St Barbara Ltd., Senior Secured Notes, 8.875% due 4/15/18(a)		180,400
	540,000	BB+	Steel Dynamics Inc., Company Guaranteed Notes, 7.625% due 3/15/20		573,750
			Thompson Creek Metals Co., Inc.:
	490,000	CCC	Company Guaranteed Notes, 12.500% due 5/1/19		556,150
	30,000	B+	Senior Secured Notes, 9.750% due 12/1/17		33,862

			Total Metals & Mining		6,428,240

	Multiline Retail — 0.7%
			JCPenney Corp. Inc., Company Guaranteed Notes:
	760,000	CCC-	6.875% due 10/15/15(c)		786,600
	940,000	CCC-	7.950% due 4/1/17		991,700

			Total Multiline Retail		1,778,300

	Oil, Gas & Consumable Fuels — 17.2%
	465,000	B	Alpha Natural Resources Inc., Secured Notes, 7.500% due 8/1/20(a)		449,888
	300,000	CCC	American Eagle Energy Corp., Senior Secured Notes, 11.000% due 9/1/19(a)		300,375
	680,000	NR	American Energy —Utica LLC, Unsecured Notes, 3.500% (3.500% cash or 3.500%-6.500% PIK) due 3/1/21(a)(d)		795,600
	90,000	BB-	Antero Resources Finance Corp., Company Guaranteed Notes, 5.375% due 11/1/21		93,038
			Arch Coal Inc., Company Guaranteed Notes:
	170,000	CCC+	7.000% due 6/15/19(c)		121,762
	60,000	CCC+	9.875% due 6/15/19		48,900
	450,000	BB	Atwood Oceanics Inc., Senior Unsecured Notes, 6.500% due 2/1/20		479,250
	425,000	B+	Basic Energy Services Inc., Company Guaranteed Notes, 7.750% due 10/15/22		465,375
			Berry Petroleum Co. LLC, Senior Unsecured Notes:
	30,000	BB-	6.750% due 11/1/20		31,575
	280,000	BB-	6.375% due 9/15/22		293,300
			Calumet Specialty Products Partners LP/Calumet Finance Corp., Company Guaranteed Notes:
	20,000	B+	9.625% due 8/1/20		22,700
	420,000	B+	7.625% due 1/15/22		441,000
			Chaparral Energy Inc., Company Guaranteed Notes:
	175,000	B-	8.250% due 9/1/21		189,656
	970,000	B-	7.625% due 11/15/22		1,046,388
			Chesapeake Energy Corp., Company Guaranteed Notes:
	150,000	BB+	6.875% due 11/15/20		174,750
	550,000	BB+	6.125% due 2/15/21		625,625
	690,000	BB-	Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., Company Guaranteed Notes, 6.375% due 3/15/24		717,600
	295,000	B-	Comstock Resources Inc., Company Guaranteed Notes, 9.500% due 6/15/20		333,350
	430,000	BB+	Concho Resources Inc., Company Guaranteed Notes, 5.500% due 4/1/23		461,175	��

See Notes to Financial Statements.

122



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 17.2% — (continued)
			CONSOL Energy Inc., Company Guaranteed Notes:
$	290,000	BB	8.250% due 4/1/20	$	309,937
	220,000	BB	5.875% due 4/15/22(a)		230,725
			Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes:
	190,000	BB	6.000% due 12/15/20		198,075
	170,000	NR	6.125% due 3/1/22		176,800
	270,000	B+	CVR Refining LLC/Coffeyville Finance Inc., Secured Notes, 6.500% due 11/1/22		281,475
	1,095,000	B	Drill Rigs Holdings Inc., Senior Secured Notes, 6.500% due 10/1/17(a)		1,133,325
	64,000	BBB	Ecopetrol SA, Senior Unsecured Notes, 5.875% due 9/18/23		73,440
	10,000	BB	El Paso Corp., Company Guaranteed Notes, 7.800% due 8/1/31		12,450
	460,000	B-	EV Energy Partners LP/EV Energy Finance Corp., Company Guaranteed Notes, 8.000% due 4/15/19		478,400
	710,000	CCC+	EXCO Resources Inc., Company Guaranteed Notes, 8.500% due 4/15/22		723,277
	380,000	B-	FTS International Inc., Senior Secured Notes, 6.250% due 5/1/22(a)		390,450
	670,000	B-	Gastar Exploration Inc., Secured Notes, 8.625% due 5/15/18		696,800
	775,000	NR	Goodrich Petroleum Corp., Company Guaranteed Notes, 5.000% due 10/1/32		899,484
	640,000	B-	Gulfport Energy Corp., Company Guaranteed Notes, 7.750% due 11/1/20(a)		691,200
			Halcon Resources Corp., Company Guaranteed Notes:
	170,000	CCC+	9.750% due 7/15/20		184,025
	1,410,000	CCC+	8.875% due 5/15/21		1,491,075
			Hercules Offshore Inc., Company Guaranteed Notes:
	935,000	B	10.250% due 4/1/19(a)		1,019,150
	270,000	B	8.750% due 7/15/21(a)		274,050
	870,000	B	7.500% due 10/1/21(a)		826,500
			Hiland Partners LP/Hiland Partners Finance Corp., Company Guaranteed Notes:
	340,000	B	7.250% due 10/1/20(a)		368,050
	200,000	B	5.500% due 5/15/22(a)		202,500
	880,000	BB-	Key Energy Services Inc., Company Guaranteed Notes, 6.750% due 3/1/21		897,600
	660,000	BB	Kinder Morgan Inc., Senior Unsecured Notes, 5.625% due 11/15/23(a)		730,950
	40,000	B	Kodiak Oil & Gas Corp., Company Guaranteed Notes, 5.500% due 2/1/22		42,400
	220,000	B+	Linn Energy LLC/Linn Energy Finance Corp., Company Guaranteed Notes, 6.500% due 5/15/19		227,562
	120,000	CCC+	Lonestar Resources America Inc., Senior Unsecured Notes, 8.750% due 4/15/19(a)		122,400
	200,000	BBB-	Lukoil International Finance BV, Company Guaranteed Notes, 6.125% due 11/9/20(a)		201,032
	1,670,000	CCC	Magnum Hunter Resources Corp., Company Guaranteed Notes, 9.750% due 5/15/20		1,828,650
			MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Company Guaranteed Notes:
	94,000	BB	6.250% due 6/15/22		101,520
	280,000	BB	4.500% due 7/15/23		285,950
			MEG Energy Corp., Company Guaranteed Notes:
	360,000	BB	6.375% due 1/30/23(a)		383,400
	400,000	BB	7.000% due 3/31/24(a)		436,000
	210,000	NR	Milagro Oil & Gas Inc., Secured Notes, 10.500% due 5/15/16(g)		168,000
	120,000	BB	Murphy Oil USA Inc., Company Guaranteed Notes, 6.000% due 8/15/23		127,800
	610,000	B-	Murray Energy Corp., Senior Secured Notes, 9.500% due 12/5/20(a)		674,050
	130,000	B	Natural Resource Partners LP/NRP Finance Corp., Senior Unsecured Notes, 9.125% due 10/1/18		136,825
	500,000	BB-	NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes, 5.125% due 7/15/19(a)		507,500
	200,000	B-	NGPL PipeCo LLC, Senior Secured Notes, 9.625% due 6/1/19(a)		219,500
	525,000	B-	Offshore Group Investment Ltd., Senior Secured Notes, 7.500% due 11/1/19		539,437
	745,000	B+	Pacific Drilling SA, Senior Secured Notes, 5.375% due 6/1/20(a)		730,100
	320,000	CCC+	Parsley Energy LLC/Parsley Finance Corp., Senior Unsecured Notes, 7.500% due 2/15/22(a)		340,800
			Peabody Energy Corp., Company Guaranteed Notes:
	600,000	BB-	6.250% due 11/15/21(c)		600,000
	270,000	BB-	7.875% due 11/1/26		279,450

See Notes to Financial Statements.

123



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Oil, Gas & Consumable Fuels — 17.2% — (continued)
$	50,000	BB	Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp., Company Guaranteed Notes, 6.500% due 5/15/21	$	54,125
	200,000	BBB-	Petrobras Global Finance BV, Company Guaranteed Notes, 4.375% due 5/20/23		197,836
	620,000	B	PetroQuest Energy Inc., Company Guaranteed Notes, 10.000% due 9/1/17		652,550
	520,000	Ba3(h)	Puma International Financing SA, Company Guaranteed Notes, 6.750% due 2/1/21(a)		539,604
			QEP Resources Inc., Senior Unsecured Notes:
	400,000	BB+	5.375% due 10/1/22		411,500
	560,000	BB+	5.250% due 5/1/23		569,800
	290,000	CCC-	Quicksilver Resources Inc., Company Guaranteed Notes, 11.000% due 7/1/21		253,750
			Regency Energy Partners LP/Regency Energy Finance Corp., Company Guaranteed Notes:
	260,000	BB	5.875% due 3/1/22		280,800
	230,000	BB	5.000% due 10/1/22		238,050
	400,000	CCC+	Resolute Energy Corp., Company Guaranteed Notes, 8.500% due 5/1/20		414,000
	265,000	B-	Rex Energy Corp., Company Guaranteed Notes, 8.875% due 12/1/20		291,500
	865,000	CCC+	Rice Energy Inc., Company Guaranteed Notes, 6.250% due 5/1/22(a)		888,788
			Rockies Express Pipeline LLC, Senior Unsecured Notes:
	370,000	BB	6.850% due 7/15/18(a)		401,450
	365,000	BB	6.000% due 1/15/19(a)		389,637
	725,000	BB	5.625% due 4/15/20(a)		768,500
	1,110,000	BB	6.875% due 4/15/40(a)		1,187,700
	210,000	B	Rose Rock Midstream LP/Rose Rock Finance Corp., Company Guaranteed Notes, 5.625% due 7/15/22(a)		214,725
			Sabine Pass Liquefaction LLC, Senior Secured Notes:
	890,000	BB+	5.625% due 2/1/21		943,400
	725,000	BB+	6.250% due 3/15/22(a)		787,531
	370,000	BB+	5.625% due 4/15/23		386,650
	100,000	(P)BB+	5.750% due 5/15/24(a)		104,125
	1,000,000	CCC+	Samson Investment Co., Company Guaranteed Notes, 9.750% due 2/15/20		1,025,000
			Sanchez Energy Corp., Company Guaranteed Notes:
	845,000	B-	7.750%due6/15/21		942,175
	535,000	B-	6.125%due1/15/23(a)		555,063
	240,000	B+	Shelf Drilling Holdings Ltd., Secured Notes, 8.625% due 11/1/18(a)		256,800
	330,000	B-	Sidewinder Drilling Inc., Senior Unsecured Notes, 9.750% due 11/15/19(a)		333,300
			Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes:
	230,000	BB-	7.375% due 3/15/20		242,650
	280,000	BB-	5.500% due 6/1/24		280,000
			Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Company Guaranteed Notes:
	80,000	B	7.500% due 7/1/21		88,400
	370,000	B	5.500% due 8/15/22		378,325
	90,000	B+	SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.375% due 2/1/20(a)		96,750
	750,000	CCC+	Talos Production LLC/Talos Production Finance Inc., Company Guaranteed Notes, 9.750% due 2/15/18(a)		783,750
	1,085,000	CCC+	Triangle USA Petroleum Corp., Senior Unsecured Notes, 6.750% due 7/15/22(a)		1,114,838
	300,000	BB	Ultra Petroleum Corp., Senior Unsecured Notes, 5.750% due 12/15/18(a)		310,125
	575,000	B+	Western Refining Inc., Company Guaranteed Notes, 6.250% due 4/1/21		600,875

			Total Oil, Gas & Consumable Fuels		44,317,493

	Paper & Forest Products — 1.6%
	690,000	CCC+	Appvion Inc., Secured Notes, 9.000% due 6/1/20(a)		620,138
	260,000	B	Cascades Inc., Senior Unsecured Notes, 5.500% due 7/15/22(a)		259,025
	160,000	BB	Clearwater Paper Corp., Company Guaranteed Notes, 4.500% due 2/1/23		156,000
	200,000	B-	Exopack Holdings SA, Company Guaranteed Notes, 7.875% due 11/1/19(a)		213,500
	800,000	BB-	Resolute Forest Products Inc., Company Guaranteed Notes, 5.875% due 5/15/23		774,000

See Notes to Financial Statements.

124



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Paper & Forest Products — 1.6% — (continued)
			Verso Paper Holdings LLC/Verso Paper Inc., Senior Secured Notes,:
$	480,000	CC	11.750% due 1/15/19(c)	$	506,400
	1,569,000	C	11.750% due 1/15/19(c)		1,478,782

			Total Paper & Forest Products		4,007,845

	Personal Products — 0.4%
	90,000	BB-	First Quality Finance Co., Inc., Senior Unsecured Notes, 4.625% due 5/15/21(a)		85,725
	835,000	B	Revlon Consumer Products Corp., Company Guaranteed Notes, 5.750% due 2/15/21		851,700

			Total Personal Products		937,425

	Pharmaceuticals — 1.1%
	200,000	B+	Grifols Worldwide Operations Ltd., Senior Unsecured Notes, 5.250% due 4/1/22(a)		206,000
	420,000	CCC+	JLL/Delta Dutch Newco BV, Senior Unsecured Notes, 7.500% due 2/1/22(a)		429,975
	790,000	B-	Lantheus Medical Imaging Inc., Company Guaranteed Notes, 9.750% due 5/15/17		802,837
	260,000	B	Salix Pharmaceuticals Ltd., Company Guaranteed Notes, 6.000% due 1/15/21(a)		282,750
			Valeant Pharmaceuticals International, Company Guaranteed Notes:
	760,000	B	6.375% due 10/15/20(a)		798,000
	270,000	B	7.250% due 7/15/22(a)		289,913

			Total Pharmaceuticals		2,809,475

	Real Estate Investment Trusts (REITs) — 1.0%
	330,000	B-	Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Unsecured Notes, 6.875% due 2/15/21(a)		326,700
	50,000	BB+	Corrections Corp. of America, Company Guaranteed Notes, 4.125% due 4/1/20		49,813
	420,000	B+	CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.875% due 6/1/21(a)		428,400
	700,000	B-	Felcor Lodging LP, Senior Secured Notes, 5.625% due 3/1/23		712,250
			iStar Financial Inc., Senior Unsecured Notes:
	410,000	B+	9.000% due 6/1/17		461,250
	580,000	B+	5.000% due 7/1/19		582,900

			Total Real Estate Investment Trusts (REITs)		2,561,313

	Real Estate Management & Development — 0.3%
	770,000	B	Howard Hughes Corp. (The), Senior Unsecured Notes, 6.875% due 10/1/21(a)		819,088

	Software — 1.8%
	120,000	BB	ACI Worldwide Inc., Company Guaranteed Notes, 6.375% due 8/15/20(a)		125,700
			Activision Blizzard Inc., Company Guaranteed Notes:
	80,000	BB+	5.625% due 9/15/21(a)		86,700
	600,000	BB+	6.125% due 9/15/23(a)		661,500
	160,000	BB-	Audatex North America Inc., Company Guaranteed Notes, 6.000% due 6/15/21(a)		170,400
	650,000	CCC+	BMC Software Finance Inc., Senior Unsecured Notes, 8.125% due 7/15/21(a)		659,750
	380,000	CCC+	BMC Software Inc., Senior Unsecured Notes, 7.250% due 6/1/18		384,750
			First Data Corp.:
			Company Guaranteed Notes:
	345,000	B-	12.625% due 1/15/21		422,625
	595,000	CCC+	11.750% due 8/15/21		706,562
			Secured Notes:
	155,000	B-	8.250% due 1/15/21(a)		169,725
	240,000	B-	8.750% (8.750% cash or 10.000% PIK) due 1/15/22(a)(d)		264,000
	39,958	NR	First Data Holdings Inc., Senior Unsecured Notes, 14.500% (0.000% cash or 14.500% PIK) due 9/24/19(a)(d)		45,452
	170,000	B-	Interactive Data Corp., Company Guaranteed Notes, 5.875% due 4/15/19(a)		170,213
	440,000	B-	Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes, 9.250% due 1/15/18		455,400
	415,000	BB-	Nuance Communications Inc., Company Guaranteed Notes, 5.375% due 8/15/20(a)		419,150

			Total Software		4,741,927

See Notes to Financial Statements.

125



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(continued)


High Yield Investments

Face Amount/Units		Rating††	Security	Value
	Specialty Retail — 1.8%
$	490,000	B-	Bon-Ton Department Stores Inc. (The), Secured Notes, 8.000% due 6/15/21(c)	$	460,600
	70,000	CCC+	Chinos Intermediate Holdings A Inc., Senior Unsecured Notes, 7.750% (7.750% cash or 8.500% PIK) due 5/1/19(a)(d)		68,600
	360,000	BB	CST Brands Inc., Company Guaranteed Notes, 5.000% due 5/1/23		361,800
	380,000	B	Edcon Proprietary Ltd., Senior Secured Notes, 9.500% due 3/1/18(a)		359,100
	170,000	BB-	First Cash Financial Services Inc., Company Guaranteed Notes, 6.750% due 4/1/21(a)		180,200
	230,000	BB	Group 1 Automotive Inc., Company Guaranteed Notes, 5.000% due 6/1/22(a)		229,425
	860,000	CCC	Guitar Center Inc., Company Guaranteed Notes, 9.625% due 4/15/20(a)		722,400
	610,000	B-	Men’s Wearhouse Inc. (The), Company Guaranteed Notes, 7.000% due 7/1/22(a)		642,025
	770,000	CCC+	Neiman Marcus Group Ltd. Inc., Company Guaranteed Notes, 8.750% (8.750% cash or 9.500% PIK) due 10/15/21(a)(d)		841,225
	725,000	CCC+	Spencer Spirit Holdings Inc., Senior Unsecured Notes, 9.000% (9.000% cash or 9.750% PIK) due 5/1/18(a)(d)		737,688

			Total Specialty Retail		4,603,063

	Technology Hardware, Storage & Peripherals — 0.4%
	115,000	B+	Dell Inc., Senior Unsecured Notes, 5.400% due 9/10/40		95,450
	790,000	BB	NCR Corp., Company Guaranteed Notes, 6.375% due 12/15/23		857,150

			Total Technology Hardware, Storage & Peripherals		952,600

	Textiles, Apparel & Luxury Goods — 0.4%
	210,000	B-	Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes, 11.375% due 2/1/17(a)		213,675
			Quiksilver Inc./QS Wholesale Inc.:
	410,000	CCC	Company Guaranteed Notes, 10.000% due 8/1/20		328,000
	350,000	CCC+	Senior Secured Notes, 7.875% due 8/1/18(a)		331,625
	180,000	BB+	William Carter Co. (The), Company Guaranteed Notes, 5.250% due 8/15/21		189,000

			Total Textiles, Apparel & Luxury Goods		1,062,300

	Tobacco — 0.1%
	370,000	B-	Alliance One International Inc., Secured Notes, 9.875% due 7/15/21		371,850

	Transportation Infrastructure — 2.9%
			Aircastle Ltd., Senior Unsecured Notes:
	270,000	BB+	6.250% due 12/1/19		293,625
	505,000	BB+	7.625% due 4/15/20		582,164
	360,000	B-	CMA CGM SA, Senior Unsecured Notes, 8.500% due 4/15/17(a)		370,800
	190,000	B+	CTP Transportation Products LLC/CTP Finance Inc., Senior Secured Notes, 8.250% due 12/15/19(a)		205,200
	325,000	B	Eletson Holdings, Senior Secured Notes, 9.625% due 1/15/22(a)		334,750
	470,000	B+	Flexi-Van Leasing Inc., Company Guaranteed Notes, 7.875% due 8/15/18(a)		498,200
	1,000,000	B	Florida East Coast Holdings Corp., Senior Secured Notes, 6.750% due 5/1/19(a)		1,057,500
	930,000	B-	Gardner Denver Inc., Senior Unsecured Notes, 6.875% due 8/15/21(a)		988,125
	255,000	BB-	Gulfmark Offshore Inc., Senior Unsecured Notes, 6.375% due 3/15/22		258,187
	402,000	B3(h)	Horizon Lines LLC, Senior Secured Notes, 11.000% due 10/15/16		404,010
	370,000	CCC+	Neovia Logistics Intermediate Holdings LLC/Logistics Intermediate Finance Corp., Senior Unsecured Notes, 10.000% (10.000% cash or 10.750% PIK) due 2/15/18(a)(d)		382,025
	320,000	CCC+	syncreon Group BV/syncreon Global Finance US Inc., Company Guaranteed Notes, 8.625% due 11/1/21(a)		318,400
	330,000	B	Ultrapetrol Bahamas Ltd., Senior Secured Notes, 8.875% due 6/15/21		353,513
	670,000	CCC+	Watco Cos LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a)		688,425
	405,000	B-	WaveDivision Escrow LLC/WaveDivision Escrow Corp., Senior Unsecured Notes, 8.125% due 9/1/20(a)		443,475
	230,000	B-	XPO Logistics Inc., Senior Unsecured Notes, 7.875% due 9/1/19(a)		240,350

			Total Transportation Infrastructure		7,418,749

	Wireless Telecommunication Services — 2.7%
	800,000	BB-	Crown Castle International Corp., Senior Unsecured Notes, 5.250% due 1/15/23		830,248
	130,000	BB	MetroPCS Wireless Inc., Company Guaranteed Notes, 7.875% due 9/1/18		135,736

See Notes to Financial Statements.

126



Schedules of Investments


(continued)


High Yield Investments

Face Amount/Units			Rating††	Security	Value
	Wireless Telecommunication Services — 2.7% — (continued)
$	430,000		BB+	Softbank Corp., Company Guaranteed Notes, 4.500% due 4/15/20(a)	$	439,137
				Sprint Capital Corp., Company Guaranteed Notes:
	750,000		BB-	6.875% due 11/15/28		735,000
	1,765,000		BB-	8.750% due 3/15/32		1,976,800
				Sprint Communications Inc.:
	420,000		BB+	Company Guaranteed Notes, 9.000% due 11/15/18(a)		500,325
				Senior Unsecured Notes:
	305,000		BB-	7.000% due 8/15/20		327,112
	475,000		BB-	11.500% due 11/15/21		622,250
				Sprint Corp., Company Guaranteed Notes:
	1,140,000		BB-	7.875% due 9/15/23(a)		1,225,500
	10,000		BB-	7.125% due 6/15/24(a)		10,238
	215,000		B-	Syniverse Holdings Inc., Company Guaranteed Notes, 9.125% due 1/15/19		228,169

				Total Wireless Telecommunication Services		7,030,515

				TOTAL CORPORATE BONDS & NOTES (Cost — $226,731,714)		232,726,761

	SENIOR LOANS — 0.4%
	370,000		NR	AP NMT Acquisition B.V., 10.000% due 8/11/22		340,622
	220,000		NR	CRC Health Corp., 9.000% due 9/28/21		222,338
	150,000		NR	Gymboree Corp., 5.000% due 2/23/18		119,750
	370,000		NR	Radnet Inc., 8.000% due 3/25/21		371,850

				TOTAL SENIOR LOANS (Cost — $1,071,063)		1,054,560


Shares/Units
	COMMON STOCKS — 0.3%
	CONSUMER DISCRETIONARY — 0.0%
	Hotels, Restaurants & Leisure — 0.0%
	9,953			Bossier Casino Venture Holdco Inc. (Restricted)(a)(i)(j)*		19,906

	ENERGY — 0.2%
	Energy Equipment & Services — 0.2%
	18,163			DeepOcean Group Holdings AS (Restricted)(a)(i)(j)*		514,885

	Oil, Gas & Consumable Fuels — 0.0%
	1,463			Halcon Resources Corp.*		8,046

				TOTAL ENERGY		522,931

	FINANCIALS — 0.1%
	Real Estate Management & Development — 0.1%
	2,876			Realogy Holdings Corp.*		117,254

	HEALTH CARE — 0.0%
	Health Care Providers & Services — 0.0%
	1,400			Physiotherapy Associates Holdings Inc.(i)(j)*		67,200

	INDUSTRIALS — 0.0%
	Transportation Infrastructure — 0.0%
	135,004	��		Horizon Lines Inc. (Restricted), Class A Shares(a)*		54,002

	MATERIALS — 0.0%
	Metals & Mining — 0.0%
	353,070			Mirabela Nickel Ltd.*		29,681

				TOTAL COMMON STOCKS (Cost — $1,019,668)		810,974

See Notes to Financial Statements.

127



Schedules of Investments


(continued)


High Yield Investments

Shares/Units		Security	Value
	PREFERRED STOCKS — 0.3%
	FINANCIALS — 0.3%
	Banks — 0.3%
	25,509	GMAC Capital Trust I, 8.125%(e)	$	685,682

	Consumer Finance — 0.0%
	125	Ally Financial Inc., 7.000%(a)		126,301

		TOTAL PREFERRED STOCKS (Cost — $686,996)		811,983

	CONVERTIBLE PREFERRED STOCK — 0.2%
	ENERGY — 0.2%
	Oil, Gas & Consumable Fuels — 0.2%
	525	Halcon Resources Corp., 5.750%* (Cost — $443,135)		507,413

	WARRANTS — 0.1%
	FINANCIALS — 0.1%
	Diversified Financial Services — 0.1%
		Jack Cooper Holdings Corp., expires:
	376	12/15/17(a)*		58,280
	183	5/6/18(a)*		28,365

		TOTAL WARRANTS (Cost — $19,405)		86,645

		TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $229,971,981)		235,998,336


Face Amount
	SHORT-TERM INVESTMENTS (k) — 12.2%
	MONEY MARKET FUND — 2.4%
$	6,217,477	Invesco STIT — Government & Agency Portfolio(l) (Cost — $6,217,477)		6,217,477

	TIME DEPOSITS — 9.8%
	9,369,941	ANZ National Bank — London, 0.030% due 9/2/14		9,369,941
	5,414,668	Bank of New York Mellon — Grand Cayman, 0.030% due 9/2/14		5,414,668
	6,050,329	BNP Paribas — Grand Cayman, 0.030% due 9/2/14		6,050,329
	4,390,175	JPMorgan Chase & Co. — Nassau, 0.030% due 9/2/14		4,390,175

		TOTAL TIME DEPOSITS (Cost — $25,225,113)		25,225,113

		TOTAL SHORT-TERM INVESTMENTS (Cost — $31,442,590)		31,442,590

		TOTAL INVESTMENTS — 103.9% (Cost — $261,414,571#)		267,440,926

		Liabilities in Excess of Other Assets — (3.9)%		(9,917,607	)

		TOTAL NET ASSETS — 100.0%	$	257,523,319

††

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

Non-income producing security.

(a)

(b)

Rating by Fitch Ratings Service. All ratings are unaudited.

(c)

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

See Notes to Financial Statements.

128



Schedules of Investments


(continued)


High Yield Investments

(d)

Payment in-kind security for which part of the income earned may be paid as additional principal. The rates shown reflect the rate paid if in cash or if paid as additional principal.

(e)

Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2014.

(f)

Security is perpetual in nature and has no stated maturity date.

(g)

Security is currently in default.

(h)

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

(i)

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

(j)

Illiquid security.

(k)

Inclusive of all short term holdings, including collateral received from securities lending activities. Not including such collateral, the percentage of portfolio holdings would be 9.8%.

(l)

Represents investment of collateral received from securities lending transactions.

Aggregate cost for federal income tax purposes is $262,750,595.


Abbreviations used in this schedule:
PLC		— Public Limited Company


Summary of Investments by Security Type^
Corporate Bonds & Notes	87.0	%
Senior Loans	0.4
Preferred Stocks	0.3
Common Stocks	0.3
Convertible Preferred Stock	0.2
Warrants	0.0	**
Short-Term Investments	11.8

	100.0	%

As a percentage of total investments.

Position represents less than 0.1%

See pages 148 and 149 for definitions of ratings.

See Notes to Financial Statements.

129



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	SOVEREIGN BONDS — 48.9%
	Australia — 0.3%
	900,000	^AUD	Queensland Treasury Corp., 4.250% due 7/21/23(a)(b)	$	875,014

	Belgium — 1.6%
	3,000,000	^EUR	Belgium Government Bond, 3.250% due 9/28/16(a)		4,211,309

	Brazil — 1.5%
			Brazil Letras do Tesouro Nacional:
	4,600,000	^BRL	0.000% due 1/1/17 — 7/1/18		1,550,813
			Brazil Notas do Tesouro Nacional Serie F:
	5,454,000	^BRL	10.000% due 1/1/21 — 1/1/25		2,334,094

			Total Brazil		3,884,907

	Canada — 3.1%
			Province of Ontario Canada:
$	1,000,000		1.000% due 7/22/16		1,007,029
	1,500,000	^CAD	4.200% due 6/2/20		1,534,383
	3,100,000	^CAD	3.150% due 6/2/22		2,979,295
	700,000	^CAD	3.450% due 6/2/45		641,304
			Province of Quebec Canada:
	1,100,000	^CAD	3.750% due 9/1/24		1,086,496
	900,000	^CAD	5.000% due 12/1/38		1,022,238

			Total Canada		8,270,745

	Colombia — 0.4%
			Colombia Government International Bond:
	100,000		2.031% due 11/16/15(c)		101,500
	66,000,000	^COP	9.850% due 6/28/27		45,610
			Colombian TES:
	447,000,000	^COP	5.000% due 11/21/18		228,911
	517,900,000	^COP	7.000% due 5/4/22		281,254
	170,000,000	^COP	10.000% due 7/24/24		111,327
	180,000,000	^COP	7.500% due 8/26/26		99,620
	259,000,000	^COP	6.000% due 4/28/28		125,482

			Total Colombia		993,704

	France — 4.5%
	1,200,000		Caisse d’Amortissement de la Dette Sociale, 3.375% due 3/20/24(a)		1,267,639
			France Government Bond OAT:
	600,000	^EUR	1.750% due 5/25/23 — 11/25/24		835,485
	6,200,000	^EUR	3.250% due 5/25/45		9,975,668

			Total France		12,078,792

	Germany — 0.7%
	800,000	^EUR	Bundesrepublik Deutschland, 6.250% due 1/4/30		1,758,103

	Indonesia — 0.6%
			Indonesia Treasury Bond:
	200,000,000	^IDR	7.875% due 4/15/19		17,100
	1,723,000,000	^IDR	8.250% due 7/15/21 — 6/15/32		143,923
	3,902,000,000	^IDR	7.000% due 5/15/22 — 5/15/27		299,876
	2,702,000,000	^IDR	12.900% due 6/15/22		292,402
	100,000,000	^IDR	10.250% due 7/15/22		9,620
	300,000,000	^IDR	5.625% due 5/15/23		21,921
	3,197,000,000	^IDR	8.375% due 3/15/24 — 9/15/26		276,538
	1,948,000,000	^IDR	9.000% due 3/15/29		172,466
	181,000,000	^IDR	10.500% due 8/15/30		17,898

See Notes to Financial Statements.

130



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	Indonesia — 0.6% — (continued)
	3,760,000,000	^IDR	9.500% due 7/15/31	$	345,766
	672,000,000	^IDR	6.375% due 4/15/42		42,539

			Total Indonesia		1,640,049

	Italy — 10.9%
			Italy Buoni Poliennali Del Tesoro:
	2,700,000	^EUR	5.500% due 11/1/22		4,455,149
	9,200,000	^EUR	4.500% due 5/1/23 — 3/1/24		14,328,898
	5,500,000	^EUR	3.750% due 9/1/24		8,073,625
	1,400,000	^EUR	4.750% due 9/1/44(a)(b)		2,221,148
	100,000	^EUR	4.750% due 9/1/28(a)		158,410

			Total Italy		29,237,230

	Japan — 2.6%
			Japan Government Thirty Year Bond:
	600,000,000	^JPY	2.500% due 9/20/35 — 6/20/36		6,907,514

	Malaysia — 0.6%
			Malaysia Government Bond:
	1,500,000	^MYR	4.012% due 9/15/17		482,757
	680,000	^MYR	3.260% due 3/1/18		213,565
	1,300,000	^MYR	5.734% due 7/30/19		449,839
	220,000	^MYR	4.378% due 11/29/19		71,929
	1,190,000	^MYR	4.160% due 7/15/21		385,151
	300,000	^MYR	4.498% due 4/15/30		98,032

			Total Malaysia		1,701,273

	Mexico — 0.4%
			Mexican Bonos:
	900,000	^MXN	9.500% due 12/18/14		70,275
	700,000	^MXN	8.000% due 6/11/20		61,588
	1,600,000	^MXN	6.500% due 6/10/21		130,998
	170,000	^MXN	8.500% due 5/31/29		15,858
	5,100,000	^MXN	7.750% due 5/29/31 — 11/23/34		445,149
	3,600,000	^MXN	10.000% due 11/20/36		385,391

			Total Mexico		1,109,259

	Netherlands — 1.6%
			Netherlands Government Bond:
	3,100,000	^EUR	0.750% due 4/15/15		4,093,971
	200,000	^EUR	3.250% due 7/15/15(a)		270,291

			Total Netherlands		4,364,262

	New Zealand — 0.1%
	400,000	^NZD	New Zealand Government Bond, 5.500% due 4/15/23		369,339

	Nigeria — 0.2%
			Nigeria Government Bond:
	2,000,000	^NGN	4.000% due 4/23/15		11,854
	13,100,000	^NGN	15.100% due 4/27/17		88,162
	13,400,000	^NGN	16.000% due 6/29/19		97,242
	4,800,000	^NGN	7.000% due 10/23/19		24,802
	24,400,000	^NGN	16.390% due 1/27/22		184,737

			Total Nigeria		406,797

	Norway — 0.8%
	12,300,000	^NOK	Norway Government Bond, 5.000% due 5/15/15		2,037,908

See Notes to Financial Statements.

131



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	Peru — 0.1%
			Peruvian Government International Bond:
	280,000	^PEN	7.840% due 8/12/20(b)	$	114,427
	40,000	^PEN	7.840% due 8/12/20(a)(b)		16,347
	100,000	^PEN	8.200% due 8/12/26(b)		43,639
	460,000	^PEN	6.950% due 8/12/31		177,471
	40,000	^PEN	6.950% due 8/12/31(a)(b)		15,432

			Total Peru		367,316

	Poland — 0.7%
			Poland Government Bond:
	610,000	^PLN	5.250% due 10/25/17 — 10/25/20		209,005
	200,000	^PLN	3.750% due 4/25/18		65,348
	900,000	^PLN	2.500% due 7/25/18		281,352
	1,600,000	^PLN	5.500% due 10/25/19		569,578
	2,000,000	^PLN	5.750% due 10/25/21 — 9/23/22		741,869

			Total Poland		1,867,152

	Qatar — 1.2%
$	2,775,000		Qatar Government International Bond, 5.250% due 1/20/20(a)		3,180,844

	Romania — 0.2%
			Romania Government Bond:
	100,000	^RON	5.800% due 10/26/15		31,134
	500,000	^RON	5.750% due 1/27/16 — 4/29/20		161,467
	300,000	^RON	5.900% due 7/26/17		96,968
	400,000	^RON	4.750% due 6/24/19		126,625
	100,000	^RON	5.950% due 6/11/21		33,369

			Total Romania		449,563

	Russia — 0.3%
			Russian Federal Bond — OFZ:
	2,600,000	^RUB	6.200% due 1/31/18		63,587
	3,500,000	^RUB	7.500% due 3/15/18 — 2/27/19		88,211
	1,100,000	^RUB	6.700% due 5/15/19		26,487
	2,700,000	^RUB	6.800% due 12/11/19		65,167
	9,700,000	^RUB	7.600% due 4/14/21 — 7/20/22		233,299
	4,500,000	^RUB	7.050% due 1/19/28		98,587
	10,000,000	^RUB	Russian Foreign Bond — Eurobond, 7.850% due 3/10/18		255,590

			Total Russia		830,928

	Slovenia — 1.3%
			Slovenia Government International Bond:
	800,000	^EUR	4.700% due 11/1/16(a)		1,135,159
	300,000	^EUR	1.750% due 10/9/17		404,763
	400,000	^EUR	4.375% due 2/6/19		593,311
	400,000		5.500% due 10/26/22		443,300
	700,000		5.250% due 2/18/24		763,000

			Total Slovenia		3,339,533

	South Africa — 1.2%
			South Africa Government Bond:
	18,800,000	^ZAR	8.250% due 9/15/17 — 3/31/32		1,835,491
	1,500,000	^ZAR	8.000% due 12/21/18 — 1/31/30		144,949
	7,700,000	^ZAR	7.250% due 1/15/20		719,209
	100,000	^ZAR	7.750% due 2/28/23		9,391
	800,000	^ZAR	10.500% due 12/21/26		89,545
	4,000,000	^ZAR	7.000% due 2/28/31		328,358

See Notes to Financial Statements.

132



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	South Africa — 1.2% — (continued)
	100,000	^ZAR	6.250% due 3/31/36	$	7,262
	600,000	^ZAR	8.500% due 1/31/37		55,222
	300,000	^ZAR	6.500% due 2/28/41		21,955

			Total South Africa		3,211,382

	South Korea — 0.9%
$	2,200,000		Export-Import Bank of Korea, 5.000% due 4/11/22		2,494,694

	Spain — 9.0%
	100,000	^EUR	Junta de Castilla y Leon, 6.505% due 3/1/19		162,159
			Spain Government Bond:
	3,700,000	^EUR	5.400% due 1/31/23(a)		6,194,936
	10,200,000	^EUR	3.800% due 4/30/24(a)		15,368,221
	300,000	^EUR	2.750% due 10/31/24(a)		412,880
	1,250,000	^EUR	Xunta de Galicia, 6.964% due 12/28/17		1,963,460

			Total Spain		24,101,656

	Thailand — 0.1%
			Thailand Government Bond:
	3,000,000	^THB	3.650% due 12/17/21		96,014
	9,505,072	^THB	1.250% due 3/12/28		275,086

			Total Thailand		371,100

	Turkey — 0.5%
			Turkey Government Bond:
	200,000	^TRY	6.300% due 2/14/18		86,198
	900,000	^TRY	8.800% due 11/14/18 — 9/27/23		414,935
	100,000	^TRY	10.400% due 3/27/19		49,114
	1,103,304	^TRY	3.000% due 1/6/21 — 8/2/23		547,187
	300,000	^TRY	7.100% due 3/8/23		124,023

			Total Turkey		1,221,457

	United Kingdom — 3.5%
			United Kingdom Gilt:
	1,200,000	^GBP	4.250% due 12/7/40		2,475,140
	2,800,000	^GBP	3.250% due 1/22/44		4,911,271
	1,100,000	^GBP	3.500% due 1/22/45		2,028,725

			Total United Kingdom		9,415,136

			TOTAL SOVEREIGN BONDS (Cost — $126,229,467)		130,696,966

	CORPORATE BONDS & NOTES — 21.4%
	Bermuda — 0.3%
	700,000		Ooredoo International Finance Ltd., Company Guaranteed Notes, 4.750% due 2/16/21		768,250

	Cayman Islands — 0.8%
	900,000		IPIC GMTN Ltd., Company Guaranteed Notes, 5.500% due 3/1/22(a)		1,047,375
	1,000,000		QNB Finance Ltd., Company Guaranteed Notes, 3.375% due 2/22/17		1,046,040

			Total Cayman Islands		2,093,415

	Colombia — 0.1%
	324,000,000	^COP	Empresas Publicas de Medellin ESP, Senior Unsecured Notes, 8.375% due 2/1/21		179,615
	95,000,000	^COP	Financiera de Desarrollo Territorial SA Findeter, Senior Unsecured Notes, 7.875% due 8/12/24(a)(b)		51,045

			Total Colombia		230,660

	France — 0.8%
	1,000,000		BPCE SA, Company Guaranteed Notes, 0.862% due 6/17/17(c)		1,000,412
	1,200,000		Credit Agricole SA, Senior Unsecured Notes, 0.775% due 6/12/17(a)(c)		1,202,966

			Total France		2,203,378

See Notes to Financial Statements.

133



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	Germany — 5.3%
	400,000	^GBP	FMS Wertmanagement AoeR, Government Guaranteed Notes, 0.750% due 12/15/17	$	647,797
	6,400,000	^EUR	KFW, Government Guaranteed Notes, 3.625% due 1/20/20		9,878,910
	4,300,000	^NZD	Landwirtschaftliche Rentenbank, Government Guaranteed Notes, 4.750% due 3/12/19		3,636,328

			Total Germany		14,163,035

	Ireland — 1.7%
	2,400,000	^EUR	Depfa ACS Bank, Covered Notes, 3.875% due 11/14/16		3,392,779
	500,000	^EUR	German Postal Pensions Securitisation 2 PLC, Government Guaranteed Notes, 4.250% due 1/18/17		719,790
	11,200,000	^RUB	Novatek OAO via Novatek Finance Ltd., Senior Unsecured Notes, 7.750% due 2/21/17(a)(b)		281,779
	9,500,000	^RUB	Russian Railways via RZD Capital PLC, Senior Unsecured Notes, 8.300% due 4/2/19		234,462

			Total Ireland		4,628,810

	Italy — 1.4%
			Banca Carige SpA, Covered Notes:
	700,000	^EUR	3.750% due 11/25/16		970,318
	200,000	^EUR	3.875% due 10/24/18		284,711
			Banca Monte dei Paschi di Siena SpA, Covered Notes:
	800,000	^EUR	4.875% due 9/15/16		1,134,871
	500,000	^EUR	5.000% due 2/9/18		739,371
	400,000	^EUR	Banco Popolare SC, Senior Unsecured Notes, 3.500% due 3/14/19		545,265

			Total Italy		3,674,536

	Jersey Channel Islands — 0.1%
	200,000	^GBP	HBOS Capital Funding LP, Company Guaranteed Notes, 9.540%(c)(d)		363,886

	Luxembourg — 0.4%
	400,000	^EUR	Fiat Finance & Trade SA, Company Guaranteed Notes, 7.625% due 9/15/14		526,874
	7,000,000	^RUB	Russian Agricultural Bank OJSC Via RSHB Capital SA, Senior Unsecured Notes, 8.700% due 3/17/16		181,144
	10,000,000	^RUB	Sberbank of Russia Via SB Capital SA, Senior Unsecured Notes, 7.000% due 1/31/16		257,618

			Total Luxembourg		965,636

	Mexico — 0.0%
	100,000	^MXN	Petroleos Mexicanos, Company Guaranteed Notes, 9.150% due 3/28/16		8,582

	Netherlands — 0.3%
	250,000	^EUR	GMAC International Finance BV, Company Guaranteed Notes, 7.500% due 4/21/15		341,551
$	500,000		SABIC Capital I BV, Company Guaranteed Notes, 3.000% due 11/2/15		512,672

			Total Netherlands		854,223

	Norway — 0.6%
			Eksportfinans ASA, Senior Unsecured Notes:
	900,000		2.375% due 5/25/16		903,330
	100,000	^CHF	2.875% due 11/16/16		111,747
	500,000		5.500% due 6/26/17		539,375

			Total Norway		1,554,452

	Qatar — 0.4%
	850,000		Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes, 6.750% due 9/30/19		1,029,562

	South Korea — 0.9%
			Korea Development Bank (The), Senior Unsecured Notes:
	1,500,000		1.170% due 8/20/15(a)(b)		1,511,447
	850,000		4.000% due 9/9/16		898,660

			Total South Korea		2,410,107

	Spain — 1.2%
	400,000	^EUR	AyT Cedulas Cajas IX Fondo de Titulizacion de Activos, Covered Notes, 3.750% due 3/31/15		535,319

See Notes to Financial Statements.

134



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	Spain — 1.2% — (continued)
			Banco Popular Espanol SA, Covered Notes:
	500,000	^EUR	4.000% due 10/18/16	$	702,485
	700,000	^EUR	4.125% due 3/30/17		997,016
	300,000	^EUR	3.500% due 9/11/17		425,273
	100,000	^EUR	Cedulas TDA 6 Fondo de Titulizacion de Activos, Covered Notes, 3.875% due 5/23/25		144,388
	400,000	^EUR	Santander International Debt SAU, Company Guaranteed Notes, 4.500% due 5/18/15		540,914

			Total Spain		3,345,395

	United Kingdom — 1.5%
	900,000	^GBP	Barclays Bank PLC, Junior Subordinated Notes, 14.000%(c)(d)		2,007,372
$	500,000		HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a)		573,876
	300,000	^GBP	LBG Capital No.2 PLC, Company Guaranteed Notes, 15.000% due 12/21/19		716,386
	600,000		Standard Chartered PLC, Senior Unsecured Notes, 5.500% due 11/18/14(a)		606,870
	100,000		Tate & Lyle International Finance PLC, Company Guaranteed Notes, 5.000% due 11/15/14(a)(b)		100,818

			Total United Kingdom		4,005,322

	United States — 5.6%
			Ally Financial Inc.:
			Company Guaranteed Notes:
	100,000		2.434% due 12/1/14(c)		100,014
	300,000		6.750% due 12/1/14		304,500
	300,000		8.300% due 2/12/15		309,563
	300,000		4.625% due 6/26/15		308,250
	200,000		3.500% due 7/18/16		205,500
	100,000		Senior Unsecured Notes, 6.750% due 12/1/14		101,375
	441,000	^GBP	American International Group Inc., Senior Unsecured Notes, 6.765% due 11/15/17		834,320
	800,000	^EUR	BA Covered Bond Issuer, Covered Notes, 4.250% due 4/5/17		1,156,807
	900,000	^EUR	Bank of America Corp., Subordinated Notes, 0.849% due 5/23/17(c)		1,182,863
	200,000		CIT Group Inc., Senior Unsecured Notes, 4.750% due 2/15/15(a)		202,875
			DISH DBS Corp., Company Guaranteed Notes:
	200,000		6.625% due 10/1/14		201,000
	100,000		7.750% due 5/31/15		105,000
	200,000		7.125% due 2/1/16		214,000
	400,000		Ford Motor Credit Co. LLC, Senior Unsecured Notes, 8.700% due 10/1/14		402,472
	500,000	^AUD	Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 3.165% due 4/12/16(c)		466,063
			HCA Inc., Company Guaranteed Notes:
	400,000		6.375% due 1/15/15		407,000
	100,000		6.500% due 2/15/16		106,375
			International Lease Finance Corp.:
			Senior Secured Notes:
	200,000		6.500% due 9/1/14(a)		200,000
	200,000		6.750% due 9/1/16(a)		219,250
			Senior Unsecured Notes:
	400,000		4.875% due 4/1/15		408,750
	200,000		8.625% due 9/15/15		214,875
	100,000		5.750% due 5/15/16		106,188
	1,200,000		JPMorgan Chase & Co., Unsecured Notes, 0.784% due 4/25/18(c)		1,206,691
	1,300,000		Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 12/30/16		258,375
			MGM Resorts International, Company Guaranteed Notes:
	750,000		6.625% due 7/15/15		783,750
	200,000		7.500% due 6/1/16		218,000
			Navient LLC, Senior Unsecured Notes:
	200,000		5.050% due 11/14/14		201,875
	500,000		5.000% due 4/15/15		511,875
	100,000		3.875% due 9/10/15		102,280
	600,000		Springleaf Finance Corp., Company Guaranteed Notes, 5.400% due 12/1/15		624,750

See Notes to Financial Statements.

135



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
	United States — 5.6% — (continued)
$	1,000,000		Starwood Hotels & Resorts Worldwide Inc., Senior Unsecured Notes, 6.750% due 5/15/18	$	1,168,530
	100,000		Time Warner Cable Inc., Company Guaranteed Notes, 5.850% due 5/1/17		111,727
	500,000		UST LLC, Senior Unsecured Notes, 5.750% due 3/1/18		566,768
	1,300,000		Verizon Communications Inc., Senior Unsecured Notes, 1.764% due 9/15/16(c)		1,335,918

			Total United States		14,847,579

			TOTAL CORPORATE BONDS & NOTES (Cost — $55,325,498)		57,146,828

	COLLATERALIZED MORTGAGE OBLIGATIONS — 7.6%
	600,000		Atrium CDO Corp., Series 7AR, Class AR, 1.338% due 11/16/22(a)(b)(c)		600,000
	79,300		Banc of America Funding Corp., Series 2006-A, Class 1A1, step bond to yield, 2.639% due 2/20/36(c)		79,296
	279,251		Banc of America Large Loan Inc., Series 2010-UB5, Class A4A, 5.676% due 2/17/51(a)(c)		299,310
	87,096		Banc of America Mortgage Trust, Series 2003-F, Class 3A1, 2.623% due 7/25/33(c)		88,033
	4,214		BCAP LLC Trust, Series 2010-RR1, Class 1A1, 3.190% due 3/26/37(a)(c)		4,261
			Bear Stearns Adjustable Rate Mortgage Trust:
	15,325		Series 2003-5, Class 1A2, 2.475% due 8/25/33(c)		15,462
	17,102		Series 2003-7, Class 6A, 2.518% due 10/25/33(c)		17,360
	70,953		Series 2004-2, Class 22A, 2.654% due 5/25/34(c)		68,880
	15,051		Series 2004-2, Class 23A, 2.483% due 5/25/34(c)		14,207
	33,220		Series 2005-2, Class A2, 2.528% due 3/25/35(c)		33,708
	196,133		Bear Stearns Structured Products Inc., Series 2007-R6, Class 1A1, 3.577% due 1/26/36(c)		155,002
	860,319	^EUR	Claris ABS, Series 2011-1, Class A, 0.794% due 10/31/60(c)		1,103,973
	1,200,000		Commercial Mortgage Pass-Through Certificates, Series 2014-KYO, Class A, 1.057% due 6/11/27(a)(c)		1,202,544
			Countrywide Alternative Loan Trust:
	17,638		Series 2005-21CB, Class A3, 5.250% due 6/25/35		16,650
	59,027		Series 2007-7T2, Class A9, 6.000% due 4/25/37		46,490
	99,930		Series 2007-11T1, Class A12, 0.505% due 5/25/37(c)		69,991
	47,542		Series 2007-16CB, Class 5A1, 6.250% due 8/25/37		39,926
			Countrywide Home Loan Mortgage Pass Through Trust:
	8,701		Series 2004-12, Class 11A1, 2.620% due 8/25/34(c)		7,779
	208,929		Series 2005-2, Class 1A1, 0.475% due 3/25/35(c)		161,336
	24,229		Series 2005-3, Class 2A1, 0.445% due 4/25/35(c)		19,995
	164,554		Series 2005-9, Class 1A3, 0.385% due 5/25/35(c)		142,326
	48,395		Series 2005-11, Class 3A1, 2.506% due 4/25/35(c)		44,242
	82,856		Series 2005-HYB9, Class 3A2A, 2.313% due 2/20/36(c)		76,999
	25,705		Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 2.472% due 8/25/33(c)		25,671
	50,832		Credit Suisse Mortgage Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36		29,722
	236,338		CSAB Mortgage Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36		158,806
	686,667	^GBP	DECO 12-UK 4 PLC, Series 2007-C4X, Class A1, 0.718% due 1/27/20(c)		1,118,773
	352,540	^GBP	Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.708% due 6/15/44(c)		557,106
	817,235	^GBP	Eurosail-UK PLC, Series 2007-6NCX, Class A2A, 1.252% due 9/13/45(c)		1,345,056
			Federal Home Loan Mortgage Corp. (FHLMC):
	59,058		Series T-35, Class A, 0.435% due 9/25/31(c)		55,333
	86,252		Series T-62, Class 1A1, 1.322% due 10/25/44(c)		87,995
			Federal Home Loan Mortgage Corp. (FHLMC), REMICS:
	97,340		Series 2391, Class FJ, 0.655% due 4/15/28(c)		98,449
	164,453		Series 2614, Class SJ, 19.236% due 5/15/33(b)(c)		228,999
	2,908		Series 3037, Class BC, 4.500% due 2/15/20		2,911
	87,121		Series 3174, Class FM, 0.395% due 5/15/36(c)		87,075
	14,220		Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44		16,150
			Federal National Mortgage Association (FNMA), REMICS:
	11,645		Series 2003-34, Class A1, 6.000% due 4/25/43		12,923
	5,225		Series 2005-120, Class NF, 0.255% due 1/25/21(c)		5,223

See Notes to Financial Statements.

136



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†			Security	Value
$	98,439		Federal National Mortgage Association (FNMA), Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44	$	110,970
	368,678	^EUR	Giovecca Mortgages SRL, Series 2011-1, Class A, 0.804% due 4/23/48(c)		480,237
	8,631		GSR Mortgage Loan Trust, Series 2003-1, Class A2, 1.871% due 3/25/33(c)		8,554
			Harborview Mortgage Loan Trust:
	26,509		Series 2003-1, Class A, 2.482% due 5/19/33(c)		26,775
	45,879		Series 2005-2, Class 2A1A, 0.376% due 5/19/35(c)		40,814
	117,973		Series 2005-3, Class 2A1A, 0.396% due 6/19/35(c)		107,557
	155,068		Series 2006-SB1, Class A1A, 0.967% due 12/19/36(c)		128,003
	700,000		Hewett’s Island CDO Ltd., Series 2007-6X, Class B, 0.682% due 6/9/19(c)		690,495
			JPMorgan Mortgage Trust:
	14,984		Series 2003-A2, Class 3A1, 1.990% due 11/25/33(c)		15,043
	6,976		Series 2005-A1, Class 6T1, 2.734% due 2/25/35(c)		6,936
	219,292		JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.624% due 7/27/37(a)(c)		218,344
	668,478	^EUR	Leo-Mesdag BV, Series 2006-1, Class A, 0.550% due 8/29/19(c)		866,599
	347,480	^EUR	Lunet RMBS BV, Series 2013-1, Class A1, 0.711% due 12/26/45(c)		458,307
			Merrill Lynch Mortgage Investors Trust:
	16,385		Series 2003-A2, Class 1A1, 2.220% due 2/25/33(c)		15,862
	75,731		Series 2005-2, Class 1A, 1.572% due 10/25/35(c)		74,915
	299,512		Merrill Lynch Mortgage Trust, Series 2007-C1, Class ASB, 6.009% due 6/12/50(c)		313,136
	1,200,000		Neuberger Berman CLO XII Ltd., Series 2012-12AR, Class A2R, 1.384% due 7/25/23(a)(c)		1,199,378
	700,000	^GBP	Newgate Funding PLC, Series 2007-1X, Class A3, 0.691% due 12/1/50(c)		1,064,693
			Puma Finance Pty. Ltd.:
	619,290	^AUD	Series 2014-1, Class A, 3.535% due 5/13/45		580,466
	583,440	^AUD	Series 2014-2, Class A, 3.423% due 10/18/45(c)		544,979
	101,304		Series G5, Class A1, 0.374% due 2/21/38(a)(c)		100,535
	139,076	^AUD	Series P11, Class BA, 3.035% due 8/22/37(c)		130,456
	600,000		Octagon Investment Partners XII Ltd., Series 2012-1AR, Class AR, 1.508% due 5/5/23(a)(c)		599,997
	95,352		RALI Trust, Series 2007-QO2, Class A1, 0.305% due 2/25/47(c)		56,918
			Residential Asset Securitization Trust:
	36,105		Series 2005-A15, Class 5A1, 5.750% due 2/25/36		30,581
	75,499		Series 2006-R1, Class A2, 0.555% due 1/25/46(c)		41,191
	731,232	^GBP	RMAC Securities Holdings Ltd., Series 2006-NS3X, Class A2A, 0.685% due 6/12/44(c)		1,137,121
			Structured Adjustable Rate Mortgage Loan Trust:
	19,908		Series 2004-1, Class 4A1, 2.476% due 2/25/34(c)		20,271
	90,625		Series 2004-4, Class 3A2, 2.456% due 4/25/34(c)		91,067
	84,516		Series 2004-19, Class 2A1, 1.518% due 1/25/35(c)		69,475
			Structured Asset Mortgage Investments II Trust:
	104,936		Series 2005-AR2, Class 2A1, 0.385% due 5/25/45(c)		95,929
	116,736		Series 2005-AR8, Class A1A, 0.435% due 2/25/36(c)		98,016
	74,178		Series 2006-AR5, Class 1A1, 0.365% due 5/25/46(c)		56,838
	200,000		Series 2007-AR4, Class A3, 0.375% due 9/25/47(c)		160,462
	172,996		Series 2007-AR6, Class A1, 1.617% due 8/25/47(c)		155,945
	229,661		Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34		231,634
	148,033	^AUD	Torrens Trust, Series 2007-1, Class A, 3.048% due 10/19/38(c)		137,037
			Wachovia Bank Commercial Mortgage Trust:
	900,000		Series 2006-C23, Class A5, 5.416% due 1/15/45(c)		947,612
	468,097		Series 2006-C28, Class A4, 5.572% due 10/15/48		502,877
			WaMu Mortgage Pass Through Certificates Trust:
	23,917		Series 2002-AR9, Class 1A, 1.517% due 8/25/42(c)		23,214
	9,899		Series 2003-AR5, Class A7, 2.443% due 6/25/33(c)		10,081
	92,586		Series 2005-AR13, Class A1A1, 0.445% due 10/25/45(c)		88,925
	150,321		Series 2006-AR13, Class 2A, 2.168% due 10/25/46(c)		141,903
	1,898		Washington Mutual Mortgage Loan Trust, Series 2001-7, Class A, 1.318% due 5/25/41(c)		1,904
	39,878		Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 1.057% due 7/25/46(c)		24,259

See Notes to Financial Statements.

137



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount/ Units†		Security	Value
$	233,592	Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 2.205% due 12/25/32(c)	$	234,989

		TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $20,120,137)		20,279,262

	MORTGAGE-BACKED SECURITIES — 6.3%
	FNMA — 6.3%
		Federal National Mortgage Association (FNMA):
	579,532	5.700% due 8/1/18(c)		623,373
	95,468	3.000% due 1/1/22		98,730
	973,992	2.500% due 8/1/28		990,865
	9,000,000	3.500% due 9/25/29(e)		9,511,875
	130,409	2.485% due 11/1/34(c)		140,052
	193,967	6.500% due 8/1/37		222,601
	5,000,000	3.500% due 11/1/44(e)		5,272,656

		TOTAL FNMA		16,860,152

	GNMA — 0.0%
		Government National Mortgage Association II (GNMA):
	21,857	6.000% due 9/20/38		23,390

		TOTAL MORTGAGE-BACKED SECURITIES (Cost — $16,725,340)		16,883,542

	U.S. GOVERNMENT & AGENCY OBLIGATIONS — 3.3%
	U.S. GOVERNMENT OBLIGATIONS — 3.3%
		U.S. Treasury Bonds:
	900,000	3.750% due 11/15/43		1,018,617
	1,000,000	3.625% due 2/15/44		1,107,109
	700,000	3.125% due 8/15/44		705,797
		U.S. Treasury Inflation Indexed Bonds:
	4,517,010	0.125% due 7/15/24(f)		4,476,430
	102,267	1.375% due 2/15/44		116,824
		U.S. Treasury Notes:
	384,000	0.250% due 8/31/14		384,000
	900,000	2.750% due 11/15/23		934,558

		TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $8,628,773)		8,743,335

	MUNICIPAL BONDS — 0.8%
	United States — 0.8%
	1,500,000	Missouri Joint Municipal Electric Utility Commission, Power Project Revenue Bonds, 6.890% due 1/1/42		1,896,045
	300,000	School District of Philadelphia (The), Build America General Obligation Bonds, 6.765% due 6/1/40		322,830

		TOTAL MUNICIPAL BONDS (Cost — $1,800,000)		2,218,875

	ASSET-BACKED SECURITIES — 0.6%
	Automobiles — 0.5%
	1,312,427	Motor PLC, Series 2014-1A, Class A1, 0.635% due 8/25/21(a)(c)		1,317,891

	Student Loans — 0.1%
	266,365	Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.184% due 4/25/38(c)		267,675
	59,691	South Carolina Student Loan Corp., Series 2008-1, Class A2, 0.777% due 3/1/18(c)		59,761

		Total Student Loans		327,436

		TOTAL ASSET-BACKED SECURITIES (Cost — $1,638,482)		1,645,327

See Notes to Financial Statements.

138



Schedules of Investments


(continued)


International Fixed Income Investments

Notional Amount†			Security	Value
	PURCHASED OPTIONS — 0.0%
	United States — 0.0%
$	210,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Call @ $6.37, expires 03/03/2015, UBS	$	508
	210,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Put @ $6.05, expires 03/03/2015, UBS		74
	120,000		OTC U.S. Dollar versus Japanese Yen, Call @ $105.00, expires 11/20/2014, BCLY		874

			TOTAL PURCHASED OPTIONS (Cost — $5,322)		1,456

			TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $230,473,019)		237,615,591


Face Amount†
	SHORT-TERM INVESTMENTS — 22.4%
	REPURCHASE AGREEMENTS — 13.9%
	25,900,000		Banc of America repurchase agreement dated 08/29/14, 0.080% due 9/2/14, Proceeds at maturity - $25,900,230; (Fully collateralized by U.S. Treasury Note, 2.625% due 12/31/2014; Market Value - $26,438,351)(g)		25,900,000
	2,800,000		Barclays Capital Inc. repurchase agreement dated 08/29/14, 0.070% due 9/2/14, Proceeds at maturity - $2,800,022; (Fully collateralized by U.S. Treasury Note, 0.625% due 11/30/2017; Market Value - $2,856,869)(g)		2,800,000
	8,300,000		Citigroup Inc. repurchase agreement dated 08/29/14, 0.080% due 9/2/14, Proceeds at maturity - $8,300,074; (Fully collateralized by U.S. Treasury Note, 1.500% due 7/31/2016; Market Value - $8,476,756)(g)		8,300,000
	100,000		Deutsche Bank Securities Inc. repurchase agreement dated 08/29/14, 0.080% due 9/2/14, Proceeds at maturity - $100,001; (Fully collateralized by U.S. Treasury Note TIPS, 0.125% due 4/15/2018; Market Value - $102,202)(g)		100,000

			TOTAL REPURCHASE AGREEMENTS (Cost — $37,100,000)		37,100,000

	SOVEREIGN BONDS — 1.5%
	100,000	^MYR	Bank Negara Malaysia Monetary Notes, 3.024% due 10/21/14(g)		31,601
			Hellenic Republic Treasury Bill:
	500,000	^EUR	1.796% due 9/19/14(g)		656,638
	2,700,000	^EUR	1.746% due 11/14/14(g)		3,536,331
	2,000,000	^MXN	Mexico Cetes, 2.930% due 10/30/14(g)		15,229

			TOTAL SOVEREIGN BONDS (Cost — $4,315,952)		4,239,799

	TIME DEPOSITS — 6.5%
	32,312	^AUD	ANZ National Bank — London, 1.874% due 9/1/14		30,181
	178,771		Banco Santander SA — Frankfurt, 0.030% due 9/2/14		178,771
			BBH — Grand Cayman:
	63	^DKK	0.000% due 9/1/14		11
	998	^CHF	0.001% due 9/1/14		1,088
	1,810	^SGD	0.005% due 9/1/14		1,449
	109,451,303	^JPY	0.005% due 9/1/14		1,052,366
	50	^GBP	0.082% due 9/1/14		83
	127	^AUD	1.874% due 9/1/14		119
	439	^NZD	2.350% due 9/1/14		367
	100,027	^ZAR	4.200% due 9/1/14		9,388
	591,175		BNP Paribas — Grand Cayman, 0.030% due 9/2/14		591,175
			Wells Fargo — Grand Cayman:
	10,079,154	^EUR	(0.030)% due 9/1/14		13,248,544
	78,214	^GBP	0.082% due 9/1/14		129,703
	2,033,515		0.030% due 9/2/14		2,033,515

See Notes to Financial Statements.

139



Schedules of Investments


(continued)


International Fixed Income Investments

Face Amount†			Security	Value
	TIME DEPOSITS — 6.5% — (continued)
	79,090	^CAD	0.229% due 9/2/14	$	72,836

			TOTAL TIME DEPOSITS (Cost — $17,349,596)		17,349,596

	U.S. GOVERNMENT AGENCIES — 0.1%
			Federal Home Loan Bank Discount Notes:
	100,000		0.065% due 9/19/14		99,997
	100,000		0.077% due 10/17/14		99,990
	100,000		0.100% due 1/26/15		99,959

			TOTAL U.S. GOVERNMENT AGENCIES (Cost — $299,946)		299,946

	U.S. GOVERNMENT OBLIGATIONS — 0.4%
			U.S. Treasury Bills:
	300,000		0.055% due 10/23/14(f)(g)		299,976
	500,000		0.045% due 11/13/14(f)(g)		499,954
	148,000		0.042% due 11/28/14(f)(g)		147,985

			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $947,915)		947,915

			TOTAL SHORT-TERM INVESTMENTS (Cost — $60,013,409)		59,937,256

			TOTAL INVESTMENTS — 111.3% (Cost — $290,486,428#)		297,552,847

			Liabilities in Excess of Other Assets — (11.3)%		(30,298,945	)

			TOTAL NET ASSETS — 100.0%	$	267,253,902

†

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

(a)

(b)

Illiquid security.

(c)

Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2014.

(d)

Security is perpetual in nature and has no stated maturity date.

(e)

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

(f)

All or a portion of this security is held at the broker as collateral for open futures or swap contracts.

(g)

Rate shown represents yield-to-maturity.

Aggregate cost for federal income tax purposes is $294,782,369.


Abbreviations used in this schedule:
CDO		— Collateralized Debt Obligation
GMTN		— Global Medium Term Note
OTC		— Over The Counter
PLC		— Public Limited Company
REMICS		— Real Estate Mortgage Investment Conduits

See Notes to Financial Statements.

140



Schedules of Investments


(continued)


International Fixed Income Investments


Currency Abbreviations used in this schedule:
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
COP		— Colombian Peso
DKK		— Danish Krone
EUR		— Euro
GBP		— British Pound
IDR		— Indonesian Rupiah
JPY		— Japanese Yen
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NGN		— Nigerian Naira
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
PEN		— Peruvian Sol
PLN		— Polish Zloty
RON		— Romanian New Leu
RUB		— Russian Ruble
SGD		— Singapore Dollar
THB		— Thai Baht
TRY		— Turkish Lira
ZAR		— South African Rand


Counterparty Abbreviations used in this schedule:
BCLY		— Barclays Bank PLC
BOA		— Bank of America
CSFB		—Credit Suisse Securities (USA) LLC
JPM		— JPMorgan Chase & Co.
MLP		—Merrill Lynch, Pierce, Fenner & Smith Inc.
UBS		— UBS Securities LLC


Summary of Investments by Security Type^
Sovereign Bonds	43.9	%
Corporate Bonds & Notes	19.2
Collateralized Mortgage Obligations	6.8
Mortgage-Backed Securities	5.7
U.S. Government & Agency Obligations	3.0
Municipal Bonds	0.8
Asset-Backed Securities	0.6
Purchased Options	0.0	**
Short-Term Investments	20.0

	100.0	%

As a percentage of total investments.

Position represents less than 0.1%.

See Notes to Financial Statements.

141



Schedules of Investments


(continued)


International Fixed Income Investments

Schedule of Options Contracts Written



Notional Amount/ Number of Contracts			Security Name	Counterparty		Expiration Date		Strike Price		Value
	Germany
	20		Euro-Bund October Futures, Put		MLP		9/26/14	$	147.00	$	2,366
	2		Euro-Bund October Futures, Put		UBS		9/26/14		147.00		237
	18		Euro-Bund October Futures, Put		CSFB		9/26/14		147.50		3,312
	26		Euro-Bund October Futures, Put		CSFB		9/26/14		148.00		7,177
	17		Euro-Bund October Futures, Put		CSFB		9/26/14		148.50		7,151
	20		Euro-Bund October Futures, Call		MLP		9/26/14		151.00		6,046
	2		Euro-Bund October Futures, Call		UBS		9/26/14		151.00		605

			Total Germany								26,894

	United States
$	100,000		CDX.HY-22 Index, Put		BOA		10/15/14		99.00		15
	700,000	^AUD	OTC AUD versus U.S. Dollar, Call		BOA		11/26/14		0.95		3,302
	1,200,000	^AUD	OTC AUD versus U.S. Dollar, Call		UBS		11/26/14		0.95		6,121
	58,000		OTC U.S. Dollar versus Brazilian Real, Call		BOA		6/15/15		2.64		1,120
	210,000		OTC U.S. Dollar versus Chinese Offshore Renminbi, Put		UBS		3/3/15		6.04		105
	210,000		OTC U.S. Dollar versus Chinese Onshore Renminbi, Call		UBS		3/3/15		6.32		386
	24,000		OTC U.S. Dollar versus Indian Rupee, Call		UBS		6/1/15		68.00		275
	120,000		OTC U.S. Dollar versus Japanese Yen, Put		BCLY		11/20/14		95.00		35
	46,000		OTC U.S. Dollar versus Japanese Yen, Put		JPM		2/18/16		91.00		472
	1,200,000		OTC U.S. Dollar versus Japanese Yen, Put		BOA		2/28/19		80.00		43,493
	80,000		OTC U.S. Dollar versus Korean Won, Put		UBS		10/16/14		1,013.00		530
	80,000		OTC U.S. Dollar versus Korean Won, Call		UBS		10/16/14		1,062.00		82
	100,000		OTC U.S. Dollar versus Mexican Peso, Put		BOA		11/19/14		12.85		365

			Total United States								56,301

			TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $109,364)							$	83,195

Schedule of Forward Sale Commitments



Face Amount		Security	Value
		Federal National Mortgage Association (FNMA)
$	4,000,000	4.500% due 9/25/44(a)	$	4,321,250
	10,000,000	4.500% due 10/1/44(a)		10,776,758

		TOTAL OPEN FORWARD SALE COMMITMENTS (Proceeds — $15,078,594)	$	15,098,008

(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.

142



Schedules of Investments


(continued)


Municipal Bond Investments

Face Amount		Rating††	Security	Value
	MUNICIPAL BONDS — 98.1%
	California — 12.4%
$	1,000,000	AA+	California Infrastructure & Economic Development Bank, Revenue Bonds, Bay Area Toll Bridges, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a)	$	1,297,640
	1,050,000	AA-	California Statewide Communities Development Authority, Revenue Bonds, Sutter Health Project, Series A, 5.500% due 8/15/26		1,249,899
	2,000,000	AA-	Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35		2,262,160
	1,500,000	A+	San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43		1,657,500
	1,500,000	A+	San Francisco, CA, City & County Airports Commission, Revenue Bonds, Series C-2, 5.000% due 5/1/21		1,744,140
	1,230,000	Aa1(b)	Santa Monica-Malibu, CA, Unified School District, GO, Election of 2006, Series A, Prerefunded 8/1/17 @ 100, FGIC & NPFG-Insured, 5.000% due 8/1/26(a)		1,391,142

			Total California		9,602,481

	Colorado — 13.0%
	1,435,000	AA	City of Colorado Springs CO Utilities System Revenue, Revenue Bonds, System Improvement, Series B-2, 5.000% due 11/15/38		1,633,202
	2,165,000	AA+	City of Longmont, CO, Revenue Bonds, 5.250% due 5/15/17		2,389,684
			Colorado Health Facilities Authority, Revenue Bonds:
	1,000,000	A+	Catholic Health Initiatives, 5.250% due 2/1/31		1,131,510
	1,500,000	AA-	Sisters of Charity of Leavenworth, Inc., 5.000% due 1/1/44		1,671,315
	1,000,000	AAA	Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22		1,255,630
	2,000,000	A+	University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36		2,029,260

			Total Colorado		10,110,601

	District of Colombia — 3.8%
	2,500,000	AAA	District of Columbia, Revenue Bonds, Income Tax Revenue, Series A, 5.000% due 12/1/28		2,911,550

	Florida — 2.9%
	1,000,000	A	City of Jacksonville FL, Revenue Bonds, Better Jacksonville, 5.000% due 10/1/21		1,127,700
	1,000,000	A+	County of Miami-Dade, FL — Water & Sewer System Revenue, Revenue Bonds, XLCA-Insured, 5.000% due 10/1/21		1,130,250

			Total Florida		2,257,950

	Georgia — 5.7%
	2,000,000	AA	Augusta GA Water & Sewerage Revenue, Revenue Bonds, AGM-Insured, 5.000% due 10/1/21		2,277,440
	1,800,000	A	Municipal Electric Authority of Georgia, Revenue Bonds, Series B, 5.000% due 1/1/20		2,119,212

			Total Georgia		4,396,652

	Illinois — 3.0%
			Illinois Finance Authority, Revenue Bonds:
	1,000,000	A	Bradley University Projects, XLCA-Insured, 5.000% due 8/1/34		1,033,550
	1,095,000	A2(b)	DePaul University, Series A, 5.375% due 10/1/19		1,281,139

			Total Illinois		2,314,689

	Kansas — 1.4%
	1,065,000	AA+	Kansas Development Finance Authority, Revenue Bonds, Kansas Transition Revolving Fund, 5.000% due 10/1/20		1,114,310

	Massachusetts — 3.1%
	1,000,000	AAA	Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34		1,292,280
	1,000,000	A2(b)	Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Northeastern University, Series R, 5.000% due 10/1/28		1,104,030

			Total Massachusetts		2,396,310

See Notes to Financial Statements.

143



Schedules of Investments


(continued)


Municipal Bond Investments

Face Amount		Rating††	Security	Value
	Michigan — 2.4%
$	1,750,000	AA	Kalamazoo Hospital Finance Authority, Revenue Bonds, Bronson Hospital, Series A, AGM-Insured, 5.000% due 5/15/26	$	1,869,018

	Minnesota — 0.1%
	71,689	AA+	Minneapolis & St. Paul, MN, Housing Finance Board, Revenue Bonds, CityLiving Home Programs, Series A-3, GNMA & FNMA-Insured, 5.700% due 4/1/27		72,626

	New Jersey — 4.2%
	1,340,000	Aa3(b)	Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22		1,673,807
	1,500,000	A+	New Jersey Health Care Facilities Financing Authority, Revenue Bonds, AtlantiCare Regional Medical Centre, 5.000% due 7/1/27		1,598,655

			Total New Jersey		3,272,462

	North Carolina — 2.9%
	2,000,000	A-	North Carolina Eastern Municipal Power Agency, Revenue Bonds, Series B, 5.000% due 1/1/26		2,228,020

	Oregon — 3.5%
	1,000,000	AA-	Port of Portland, OR, Revenue Bonds, Portland International Project, Series C, 5.000% due 7/1/16(c)		1,082,790
	1,330,000	Aa2(b)	Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22		1,612,931

			Total Oregon		2,695,721

	Pennsylvania — 2.9%
	2,000,000	A+	Monroeville Finance Authority, Revenue Bonds, Series B, 5.000% due 7/1/39		2,232,420

	South Dakota — 2.0%
	1,500,000	Aa2(b)	City of Sioux Falls, SD, Sales Tax, Revenue Bonds, Series A-1, NPFG-Insured, 4.750% due 11/15/36		1,588,800

	Tennessee — 1.3%
	1,000,000	BBB+	Knox County Health Educational & Housing Facility Board, Revenue Bonds, University Health System, 5.250% due 4/1/36		1,025,830

	Texas — 16.9%
	1,000,000	AA	City of Waxahachie, TX, GO, Series A, AGM-Insured, 5.000% due 8/1/25		1,105,860
	2,000,000	AAA	Keller, TX, Independent School District, GO, PSF-GTD-Insured, 4.750% due 8/15/32		2,159,620
	2,500,000	AAA	North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/30		3,214,975
	2,000,000	AA	Round Rock, TX, Independent School District, GO, 5.000% due 8/1/33		2,237,240
			Texas Transportation Commission State Highway Fund, Revenue Bonds:
	1,000,000	AAA	5.000% due 4/1/27		1,103,850
	2,575,000	AAA	5.250% due 4/1/26		3,309,776

			Total Texas		13,131,321

	Utah — 2.9%
	2,000,000	AA	Utah State University of Agriculture & Applied Science, Revenue Bonds, Student Building Fee, Series B, 5.000% due 12/1/44		2,227,340

	Washington — 8.1%
	2,000,000	AA+	King County, School District No. 210 Federal Way, GO, FGIC & NPFG-Insured, 5.000% due 12/1/23		2,240,220
	2,000,000	AA+	State of Washington, GO, Series A, 5.000% due 7/1/22		2,296,200
	1,500,000	A	Washington Health Care Facilities Authority, Revenue Bonds, Series A, 5.000% due 11/1/18		1,737,780

			Total Washington		6,274,200

	Wisconsin — 5.6%
	2,500,000	AA+	Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20		2,990,875

See Notes to Financial Statements.

144



Schedules of Investments


(continued)


Municipal Bond Investments

Face Amount		Rating††	Security	Value
	Wisconsin — 5.6% — (continued)
$	1,340,000	BBB	Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Divine Savior Health Care, Inc., 5.500% due 5/1/26	$	1,375,550

			Total Wisconsin		4,366,425

			TOTAL MUNICIPAL BONDS (Cost — $69,865,724)		76,088,726

	SHORT-TERM INVESTMENTS — 1.1%
	TIME DEPOSITS — 1.1%
	93,989		Bank of New York Mellon — Grand Cayman, 0.030% due 9/2/14		93,989
	789,517		BNP Paribas — Grand Cayman, 0.030% due 9/2/14		789,517

			TOTAL SHORT-TERM INVESTMENTS (Cost — $883,506)		883,506

			TOTAL INVESTMENTS — 99.2% (Cost — $70,749,230#)		76,972,232

			Other Assets in Excess of Liabilities — 0.8%		590,586

			TOTAL NET ASSETS — 100.0%	$	77,562,818

††

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).

Aggregate cost for federal income tax purposes is $70,749,230.


Abbreviations used in this schedule:
AGM		— Assured Guaranty Municipal Corp.
AMBAC		— American Bond Assurance Corporation
FGIC		— Financial Guarantee Insurance Company
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
GO		— General Obligation
NPFG		— National Public Finance Guarantee Corp.
PSF-GTD		— Permanent School Fund Guaranteed
XLCA		— XL Capital Assurance Inc.

See pages 148 and 149 for definitions of ratings.

See Notes to Financial Statements.

145



Schedules of Investments


(continued)


Municipal Bond Investments


Summary of Investments by Industry^
Education	29.2	%
Health Care Providers & Services	19.1
General Obligation	16.6
Transportation	11.3
Water and Sewer	6.1
Airport	5.8
Power	5.6
Utilities	2.1
Development	1.6
Public Facilities	1.4
Single Family Housing	0.1
Short-Term Investments	1.1

	100.0	%

As a percentage of total investments.

See Notes to Financial Statements.

146



Schedules of Investments


(continued)


Money Market Investments

Face Amount			Security	Value
	SHORT-TERM INVESTMENTS — 98.0%
	CERTIFICATES OF DEPOSIT — 19.4%
$	10,000,000		Bank of Montreal/Chicago IL, 0.239% due 8/7/15	$	10,000,000
	10,000,000		Citibank, N.A. New York, 0.200% due 11/19/14		10,000,000
	10,000,000		Mizuho Bank LTD, 0.190% due 10/8/14		10,000,000
	10,000,000		Nordea Bank Finland PLC, 0.210% due 9/5/14		10,000,000
	10,000,000		Norinchukin Bank, 0.210% due 11/14/14		10,000,000
	10,000,000		Skandinaviska Enskilda Banken AB, 0.250% due 2/26/15		10,000,000
	5,000,000		Sumitomo Mitsui Banking Corp., 0.250% due 9/12/14		5,000,000

			TOTAL CERTIFICATES OF DEPOSIT (Cost — $65,000,000)		65,000,000

	COMMERCIAL PAPER — 56.4%
	12,000,000		Alpine Securitization Corp., 0.220% due 10/20/14(a)(b)		11,996,407
	15,000,000		Autobahn Funding Co. LLC, 0.060% due 9/2/14(a)(b)		14,999,975
	14,000,000		Barclays U.S. Funding Corp., 0.080% due 9/2/14(b)		13,999,969
	12,000,000		BNP Paribas Finance Inc., 0.230% due 10/15/14(b)		11,996,627
	12,000,000		Coca-Cola Co., 0.160% due 12/1/14(a)(b)		11,995,147
	5,000,000		Collateralized Commercial Paper Co. LLC, 0.250% due 11/18/14(b)		4,997,292
	15,000,000		Credit Agricole North America Inc., 0.080% due 9/2/14(b)		14,999,967
	12,000,000		General Electric Capital Corp., 0.230% due 1/30/15(b)		11,988,423
	14,000,000		Lloyds Bank PLC, 0.040% due 9/2/14(b)		13,999,984
	15,000,000		National Australia Funding Delaware Inc., 0.035% due 9/2/14(a)(b)		14,999,985
	15,000,000		Natixis U.S. Finance Company, LLC, 0.080% due 9/2/14(b)		14,999,967
	12,000,000		Old Line Funding Corp., 0.170% due 11/18/14(a)(b)		11,995,580
	11,000,000		Rabobank USA Financial Corp., 0.215% due 10/15/14(b)		10,997,109
	10,000,000		Swedbank, 0.250% due 2/2/15(b)		9,989,305
	15,000,000		Toyota Motor Credit Corp., 0.140% due 11/25/14(b)		14,995,042

			TOTAL COMMERCIAL PAPER (Cost — $188,950,779)		188,950,779

	TIME DEPOSITS — 0.2%
	500,295		ANZ National Bank — London, 0.030% due 9/2/14		500,295
	87,375		Banco Santander SA — Frankfurt, 0.030% due 9/2/14		87,375

		��	TOTAL TIME DEPOSITS (Cost — $587,670)		587,670

	U.S. GOVERNMENT AGENCY — 2.9%
	9,635,000		Federal Home Loan Bank (FHLB), Discount Notes, 0.000% due 9/2/14(b)
			(Cost — $9,635,000)		9,635,000

	U.S. GOVERNMENT OBLIGATIONS — 19.1%
	50,000,000		U.S. Treasury Bills, 0.015% due 9/4/14(b)		49,999,938
	14,000,000		U.S. Treasury Notes, 2.375% due 10/31/14		14,053,031

			TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $64,052,969)		64,052,969

			TOTAL INVESTMENTS — 98.0% (Cost — $328,226,418#)		328,226,418

			Cash and Other Assets in Excess of Liabilities — 2.0%		6,713,031

			TOTAL NET ASSETS — 100.0%	$	334,939,449

(a)

(b)

Rate shown represents yield-to-maturity.

Aggregate cost for federal income tax purposes is $328,226,418.

See Notes to Financial Statements.

147



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.
P		— Preliminary rating

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 short- comings.
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. Ratings may be modified by the addition of an “e” to signify expected rating.


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”, “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 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.
D		— Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears.
NR		— Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch.

148



Ratings


(continued)

Short-Term Security Ratings


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.
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.
VMIG 1		— Moody’s highest rating for issues having a demand feature — VRDO.
MIG1		— Moody’s highest rating for short-term municipal obligations.
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.

149



Statements of Assets and Liabilities


August 31, 2014


	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments			Small Capitalization Growth Investments
ASSETS:
Investments, at value^1,2	$	1,807,224,015	$	1,481,463,058		$	324,403,785
Repurchase Agreements¹		—		—			—
Foreign currency, at value³		—		—			—
Cash		1,414		1,492			402
Receivable for securities sold		2,814,489		4,619,995			767,366
Dividends and interest receivable		1,447,369		4,180,054			145,270
Receivable for manager waiver		—		—			—
Receivable for Fund shares sold		1,495,525		877,835			68,991
Unrealized appreciation on open forward foreign currency contracts (Notes 1 and 3)		—		—			—
Variation margin on open future contracts (Notes 1 and 3)		—		—			—
Variation margin on open centrally cleared swap contracts (Notes 1 and 3)		—		—			—
Swap contracts, at value (Notes 1 and 3)		—		—			—
Deposits with counterparty		—		—			—
Prepaid expenses		11,243		14,801			11,308

Total Assets		1,812,994,055		1,491,157,235			325,397,122

LIABILITIES:
Payable for collateral received from securities on loan		27,461,626		16,233,890			27,854,226
Payable for Fund shares repurchased		2,861,042		2,542,176			457,569
Payable for securities purchased		1,493,929		3,797,984			418,700
Investment management fee payable		855,039		751,918			194,321
Transfer agent fees payable		19,909		13,039			2,848
Custody fee payable		119,393		91,814			26,798
Trustees’ fees payable		61,899		44,481			11,173
Due to custodian		—		—			—
Variation margin on open future contracts (Notes 1 and 3)		—		—			—
Forward sale commitments, at value (proceeds received)⁴ (Note 1)		—		—			—
Options contracts written, at value (premiums received)⁵ (Note 1 and 3)		—		—			—
Swap contracts, at value (Notes 1 and 3)		—		—			—
Unrealized depreciation on open forward foreign currency contracts (Notes 1 and 3)		—		—			—
Deposits from counterparty		—		—			—
Foreign capital gains tax payable		—		—			—
Distributions payable		—		—			—
Accrued expenses		83,550		93,848			79,043

Total Liabilities		32,956,387		23,569,150			29,044,678

Total Net Assets	$	1,780,037,668	$	1,467,588,085		$	296,352,444

NET ASSETS:
Par value (Note 4)	$	80,203	$	108,428		$	10,387
Paid-in capital in excess of par value		1,034,051,957		1,349,527,877			171,015,851
Accumulated net investment loss		—		—			—
Undistributed net investment income		5,267,734		15,727,510			68,774
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		152,379,197		(285,996,911	)		60,000,231
Net unrealized appreciation on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions		588,258,577		388,221,181			65,257,201

Total Net Assets	$	1,780,037,668	$	1,467,588,085		$	296,352,444

Shares Outstanding		80,203,452		108,427,671			10,386,843

Net Asset Value	$	22.19	$	13.54		$	28.53

¹ Investments, at cost	$	1,218,965,438	$	1,093,241,877		$	259,146,584

² Includes securities on loan	$	27,118,272	$	15,981,887		$	27,269,421

³ Foreign currency, at cost	$	—	$	—		$	—

⁴ Proceeds received	$	—	$	—		$	—

⁵ Premiums received	$	—	$	—		$	—

Value represents amortized cost.

See Notes to Financial Statements.

150


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

$	310,873,533	$	1,159,326,777		$	403,826,169		$	879,298,238		$	267,440,926		$	260,452,847		$	76,972,232	$	328,226,418	*
	—		—			—			—			—			37,100,000			—		—
	—		266,602			418,103			520,128			—			253,820			—		—
	355		1,477			557			—			534			98,691			56		2
	285,179		4,204,279			282,540			31,239,202			—			32,955,706			—		—
	295,942		3,184,407			629,035			4,583,657			4,496,385			2,655,257			797,616		135,590
	—		—			—			—			—			—			—		33,650
	123,108		1,294,142			200,118			370,997			504,708			241,572			25,678		7,453,610
	—		—			—			1,945,328			—			4,552,534			—		—
	—		—			—			116,355			—			—			—		—
	—		—			—			46,124			—			11,296			—		—
	—		—			—			440,308			—			289,303			—		—
	—		—			—			597,438			—			314,406			—		—
	10,210		13,557			7,930			13,926			9,048			9,633			9,127		11,761

	311,588,327		1,168,291,241			405,364,452			919,171,701			272,451,601			338,935,065			77,804,709		335,861,031


	20,876,827		12,670,056			17,939,497			262,624			6,217,477			—			—		—
	440,135		1,963,886			691,714			1,806,866			442,977			461,566			178,175		787,316
	601,816		3,586,839			510,595			115,474,708			8,049,168			51,276,711			—		—
	190,739		600,426			263,905			288,837			106,147			112,639			28,109		22,147
	5,080		14,727			5,001			10,195			2,660			2,997			786		3,080
	24,638		138,376			106,438			158,746			44,169			61,103			9,598		27,128
	8,053		15,085			36,860			46,394			8,663			17,764			4,625		15,171
	—		—			—			134,491			—			—			—		—
	—		—			—			—			—			62,210			—		—
	—		—			—			—			—			15,098,008			—		—
	—		—			—			263,253			—			83,195			—		—
	—		—			—			209,910			—			126,433			—		—

	—		—			—			489,951			—			1,489,655			—		—
	—		—			—			824,441			—			2,820,000			—		—
	—		4,648			249,341			—			—			—			—		—
	—		—			—			311			974			—			72		27
	66,682		68,543			170,605			99,747			56,047			68,882			20,526		66,713

	22,213,970		19,062,586			19,973,956			120,070,474			14,928,282			71,681,163			241,891		921,582

$	289,374,357	$	1,149,228,655		$	385,390,496		$	799,101,227		$	257,523,319		$	267,253,902		$	77,562,818	$	334,939,449


$	18,592	$	95,531		$	26,501		$	94,648		$	58,356		$	33,260		$	7,943	$	334,939
	187,908,844		1,293,070,488			325,897,064			771,847,063			264,009,894			261,990,715			70,577,584		334,603,920
	—		—			—			(610,826	)		—			—			—		—
	2,256,118		18,978,024			4,504,889			—			1,103,560			4,713,483			340,817		228

	20,510,073		(246,629,625	)		(12,901,027	)		4,698,036			(13,674,846	)		(11,197,611	)		413,472		362

	78,680,730		83,714,237			67,863,069			23,072,306			6,026,355			11,714,055			6,223,002		—

$	289,374,357	$	1,149,228,655		$	385,390,496		$	799,101,227		$	257,523,319		$	267,253,902		$	77,562,818	$	334,939,449

	18,591,824		95,530,636			26,500,855			94,648,292			58,356,440			33,259,987			7,943,188		334,939,396

$	15.56	$	12.03		$	14.54		$	8.44		$	4.41		$	8.04		$	9.76	$	1.00

$	232,192,803	$	1,075,569,540		$	335,693,363		$	857,935,835		$	261,414,571		$	290,486,428		$	70,749,230	$	328,226,418

$	20,408,215	$	11,879,912		$	17,379,982		$	255,191		$	6,000,383		$	—		$	—	$	—

$	—	$	270,461		$	418,954		$	562,716		$	—		$	265,546		$	—	$	—

$	—	$	—		$	—		$	—		$	—		$	15,078,594		$	—	$	—

$	—	$	—		$	—		$	500,810		$	—		$	109,364		$	—	$	—

See Notes to Financial Statements.

151



Statements of Operations


For the Year Ended August 31, 2014


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Growth Investments
INVESTMENT INCOME:

Dividends	$	16,456,475		$	31,661,329		$	1,107,441
Interest		13,977			21,035			3,872
Income from securities lending		144,902			69,468			412,565
Miscellaneous income		—			—			—
Less: Foreign taxes withheld (See Note 1p)		(251,303	)		(310,781	)		(7,129	)

Total Investment Income		16,364,051			31,441,051			1,516,749


EXPENSES:

Investment management fee (Note 2)		9,833,111			8,156,686			2,426,596
Transfer agent fees		126,715			93,623			—
Custody fees		437,935			357,549			102,438
Trustees’ fees		313,641			235,023			57,286
Shareholder reports		101,245			111,195			111,667
Insurance		62,551			57,734			13,517
Audit and tax		60,603			56,429			46,642
Legal fees		13,972			18,308			16,011
Registration fees		19,982			19,704			19,479
Miscellaneous expenses		43,197			32,420			7,291
Interest Expense		—			—			—

Total Expenses		11,012,952			9,138,671			2,800,927
Less: Fee waivers and/or expense reimbursement (Note 2)		—			(9,389	)		(18,015	)

Net Expenses		11,012,952			9,129,282			2,782,912

Net Investment Income (Loss)	$	5,351,099		$	22,311,769		$	(1,266,163	)


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3):

Net Realized Gain (Loss) From:

Investments	$	243,561,466		$	84,435,975		$	63,068,296
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			—			—

Net Realized Gain (Loss)		243,561,466			84,435,975			63,068,296

Change in Net Unrealized Appreciation (Depreciation) From:

Investments		99,840,581			161,259,541			(13,698,980	)
Futures contracts		—			—			—
Options contracts written		—			—			—
Forward sale commitments		—			—			—
Swap contracts		—			—			—
Foreign currency transactions		—			—			—

Change in Net Unrealized Appreciation (Depreciation)		99,840,581			161,259,541			(13,698,980	)

Net Gain on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts and Foreign Currency Transactions		343,402,047			245,695,516			49,369,316

Total Increase in Net Assets From Operations	$	348,753,146		$	268,007,285		$	48,103,153

(a)

Includes foreign capital gains tax of $3,220 and $390,414 for International Equity Investments and Emerging Markets Equity Investments, respectively.

(b)

Net increase in accrued foreign capital gains taxes of $4,648 and $249,341 for International Equity Investments and Emerging Markets Equity Investments, respectively.

See Notes to Financial Statements.

152


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


$	6,291,291		$	28,977,225		$	10,431,330		$	61,560		$	65,152		$	—		$	—	$	—
	4,021			19,697			5,062			24,346,042			11,938,394			7,592,122			3,023,682		440,177
	127,183			660,371			163,225			20,017			49,892			—			—		—
	—			—			3,351			—			—			—			—		—
	(10,133	)		(2,030,047	)		(834,834	)		—			—			—			—		—

	6,412,362			27,627,246			9,768,134			24,427,619			12,053,438			7,592,122			3,023,682		440,177




	2,150,608			7,445,240			3,553,322			3,595,540			1,341,493			1,373,587			333,712		272,130
	1,906			85,493			15,577			59,800			14,085			18,610			8,591		41,389
	96,587			565,133			386,718			626,563			179,071			245,247			38,469		124,361
	45,299			147,654			106,158			190,559			32,663			67,128			17,113		72,643
	95,073			174,830			134,573			78,329			82,045			104,145			4,928		111,523
	8,564			32,283			22,223			48,198			9,253			21,702			4,264		18,402
	47,205			54,766			54,685			97,562			67,552			97,095			53,121		46,858
	13,101			14,341			11,710			17,153			13,315			13,988			13,062		17,068
	18,416			18,624			19,865			19,781			19,307			18,966			17,352		18,162
	—			36,722			13,638			33,080			4,765			8,978			2,477		16,010
	—			—			—			2,431			—			121,506			—		—

	2,476,759			8,575,086			4,318,469			4,768,996			1,763,549			2,090,952			493,089		738,546
	(19,793	)		(402,938	)		(427,618	)		(26,474	)		(304,141	)		—			—		(301,225	)

	2,456,966			8,172,148			3,890,851			4,742,522			1,459,408			2,090,952			493,089		437,321

$	3,955,396		$	19,455,098		$	5,877,283		$	19,685,097		$	10,594,030		$	5,501,170		$	2,530,593	$	2,856






$	27,330,782		$	78,239,077	^(a)	$	(3,582,037	)^(a)	$	14,042,780		$	2,500,347		$	(2,674,756	)	$	513,812	$	362
	—			—			—			859,011			—			514,310			—		—
	—			—			—			671,890			—			733,309			—		—
	—			—			—			(292,754	)		—			20,302			—		—
	—			—			—			(1,150,996	)		—			(1,434,098	)		—		—
	—			(833,120	)		(473,747	)		(917,124	)		—			(98,775	)		—		—

	27,330,782			77,405,957			(4,055,784	)		13,212,807			2,500,347			(2,939,708	)		513,812		362



	15,264,896			467,865	^(b)		72,629,952	^(b)		17,874,262			3,431,312			12,143,068			4,358,889		—
	—			—			—			482,547			—			91,836			—		—
	—			—			—			1,129,549			—			83,223			—		—
	—			—			—			(6,250	)		—			(19,414	)		—		—
	—			—			—			(396,014	)		—			1,156,623			—		—
	—			36,693			22,858			2,177,290			—			3,305,228			—		—

	15,264,896			504,558			72,652,810			21,261,384			3,431,312			16,760,564			4,358,889		—

	42,595,678			77,910,515			68,597,026			34,474,191			5,931,659			13,820,856			4,872,701		362

$	46,551,074		$	97,365,613		$	74,474,309		$	54,159,288		$	16,525,689		$	19,322,026		$	7,403,294	$	3,218

See Notes to Financial Statements.

153



Statements of Changes in Net Assets


For the Years Ended August 31, 2014 and August 31, 2013


	Large Capitalization Growth Investments						Large Capitalization Value Equity Investments
	2014			2013			2014			2013
OPERATIONS:

Net investment income (loss)	$	5,351,099		$	9,465,318		$	22,311,769		$	22,943,966
Net realized gain (loss)		243,561,466			183,416,620			84,435,975			129,862,707
Change in unrealized appreciation (depreciation)		99,840,581			72,677,231			161,259,541			65,206,087

Increase (Decrease) in Net Assets From Operations		348,753,146			265,559,169			268,007,285			218,012,760

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):

Net investment income		(8,223,919	)		(5,601,128	)		(20,452,719	)		(23,555,726	)
Net realized gains		(116,252,191	)		—			—			—

Decrease in Net Assets From Distributions to Shareholders		(124,476,110	)		(5,601,128	)		(20,452,719	)		(23,555,726	)

FUND SHARE TRANSACTIONS (NOTE 4):

Net proceeds from sale of shares		264,426,959			134,372,225			292,776,028			73,006,249
Reinvestment of distributions		124,471,782			5,601,128			20,452,110			23,555,726
Cost of shares repurchased		(403,721,008	)		(395,306,238	)		(197,456,038	)		(273,972,124	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(14,822,267	)		(255,332,885	)		115,772,100			(177,410,149	)

Increase (Decrease) in Net Assets		209,454,769			4,625,156			363,326,666			17,046,885
NET ASSETS:

Beginning of year		1,570,582,899			1,565,957,743			1,104,261,419			1,087,214,534

*End of year†**	$	1,780,037,668		$	1,570,582,899		$	1,467,588,085		$	1,104,261,419

* Includes undistributed net investment income of:	$	5,267,734		$	10,220,866		$	15,727,510		$	14,064,799

† Includes accumulated net investment loss of:		—			—			—			—

See Notes to Financial Statements.

154


Small Capitalization Growth Investments						Small Capitalization Value Equity Investments						International Equity Investments						Emerging Markets Equity Investments
2014			2013			2014			2013			2014			2013			2014			2013


$	(1,266,163	)	$	(58,593	)	$	3,955,396		$	2,647,639		$	19,455,098		$	12,009,564		$	5,877,283		$	8,004,204
	63,068,296			34,748,733			27,330,782			24,552,285			77,405,957			24,813,200			(4,055,784	)		110,205,082
	(13,698,980	)		28,699,201			15,264,896			13,849,901			504,558			44,648,934			72,652,810			(107,543,763	)

	48,103,153			63,389,341			46,551,074			41,049,825			97,365,613			81,471,698			74,474,309			10,665,523



	—			—			(2,812,824	)		(3,090,609	)		(12,213,953	)		(7,126,143	)		(7,358,901	)		(12,983,437	)
	(9,799,673	)		—			(25,261,304	)		(14,843,814	)		—			—			(35,690,720	)		—

	(9,799,673	)		—			(28,074,128	)		(17,934,423	)		(12,213,953	)		(7,126,143	)		(43,049,621	)		(12,983,437	)



	21,521,048			59,723,778			55,462,187			30,122,460			378,960,260			358,939,193			58,269,385			39,842,401
	9,799,293			—			28,051,943			17,919,874			12,213,598			7,126,143			43,048,055			12,983,295
	(84,369,249	)		(59,429,537	)		(31,495,843	)		(47,176,340	)		(99,745,558	)		(111,325,601	)		(161,548,624	)		(331,513,597	)

	(53,048,908	)		294,241			52,018,287			865,994			291,428,300			254,739,735			(60,231,184	)		(278,687,901	)

	(14,745,428	)		63,683,582			70,495,233			23,981,396			376,579,960			329,085,290			(28,806,496	)		(281,005,815	)


	311,097,872			247,414,290			218,879,124			194,897,728			772,648,695			443,563,405			414,196,992			695,202,807

$	296,352,444		$	311,097,872		$	289,374,357		$	218,879,124		$	1,149,228,655		$	772,648,695		$	385,390,496		$	414,196,992

$	68,774			—		$	2,256,118		$	1,334,676		$	18,978,024		$	12,218,852		$	4,504,889		$	6,894,132

	—		$	(486,519	)		—			—			—			—			—			—

See Notes to Financial Statements.

155



Statements of Changes in Net Assets


For the Years Ended August 31, 2014 and August 31, 2013


	Core Fixed Income Investments
	2014			2013
OPERATIONS:

Net investment income (loss)	$	19,685,097		$	22,498,421
Net realized gain (loss)		13,212,807			4,235,038
Change in unrealized appreciation (depreciation)		21,261,384			(38,997,617	)

Increase (Decrease) in Net Assets From Operations		54,159,288			(12,264,158	)

DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1):

Net investment income		(23,795,682	)		(26,773,961	)
Net realized gains		—			(38,639,965	)

Decrease in Net Assets From Distributions to Shareholders		(23,795,682	)		(65,413,926	)

FUND SHARE TRANSACTIONS (NOTE 4):

Net proceeds from sale of shares		101,726,242			170,652,182
Reinvestment of distributions		23,795,267			65,397,402
Cost of shares repurchased		(293,591,431	)		(243,195,580	)

Increase (Decrease) in Net Assets From Fund Share Transactions		(168,069,922	)		(7,145,996	)

Increase (Decrease) in Net Assets		(137,706,316	)		(84,824,080	)
NET ASSETS:

Beginning of year		936,807,543			1,021,631,623

*End of year†**	$	799,101,227		$	936,807,543

* Includes undistributed net investment income of:		—		$	512,255

† Includes accumulated net investment loss of:	$	(610,826	)		—

See Notes to Financial Statements.

156


High Yield Investments						International Fixed Income Investments						Municipal Bond Investments						Money Market Investments
2014			2013			2014			2013			2014			2013			2014			2013


$	10,594,030		$	11,779,632		$	5,501,170		$	8,231,018		$	2,530,593		$	2,483,016		$	2,856		$	5,387
	2,500,347			10,012,143			(2,939,708	)		10,717,583			513,812			199,808			362			328
	3,431,312			(3,126,858	)		16,760,564			(18,602,429	)		4,358,889			(5,961,745	)		—			—

	16,525,689			18,664,917			19,322,026			346,172			7,403,294			(3,278,921	)		3,218			5,715



	(11,814,472	)		(12,727,727	)		(17,201,477	)		(24,541,825	)		(2,531,172	)		(2,482,909	)		(2,854	)		(6,099	)
	—			—			—			—			—			—			—			—

	(11,814,472	)		(12,727,727	)		(17,201,477	)		(24,541,825	)		(2,531,172	)		(2,482,909	)		(2,854	)		(6,099	)



	155,615,893			16,513,218			41,475,314			45,186,681			18,631,793			18,485,316			178,917,685			395,768,819
	11,813,241			12,723,271			17,200,635			24,541,825			2,530,949			2,482,991			2,840			6,078
	(25,374,912	)		(193,159,311	)		(111,017,975	)		(159,207,232	)		(28,873,453	)		(23,525,763	)		(310,888,302	)		(166,920,974	)

	142,054,222			(163,922,822	)		(52,342,026	)		(89,478,726	)		(7,710,711	)		(2,557,456	)		(131,967,777	)		228,853,923

	146,765,439			(157,985,632	)		(50,221,477	)		(113,674,379	)		(2,838,589	)		(8,319,286	)		(131,967,413	)		228,853,539


	110,757,880			268,743,512			317,475,379			431,149,758			80,401,407			88,720,693			466,906,862			238,053,323

$	257,523,319		$	110,757,880		$	267,253,902		$	317,475,379		$	77,562,818		$	80,401,407		$	334,939,449		$	466,906,862

$	1,103,560		$	1,029,608		$	4,713,483		$	17,497,740		$	340,817		$	144,233		$	228		$	5,411

	—			—			—			—			—			—			—			—

See Notes to Financial Statements.

157



Financial Highlights

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Large Capitalization Growth Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	19.29		$	16.39		$	14.24		$	11.80		$	11.15

Income from Operations:
Net investment income⁽¹⁾		0.07			0.11			0.06			0.07			0.03
Net realized and unrealized gain		4.47			2.85			2.17			2.40			0.68

Total Income from Operations		4.54			2.96			2.23			2.47			0.71

Less Distributions From:
Net investment income		(0.11	)		(0.06	)		(0.08	)		(0.03	)		(0.06	)
Net realized gain		(1.53	)		—			—			—			—

Total Distributions		(1.64	)		(0.06	)		(0.08	)		(0.03	)		(0.06	)

Net Asset Value, End of Year	$	22.19		$	19.29		$	16.39		$	14.24		$	11.80

Total Return⁽²⁾		24.35	%		18.11	%		15.71	%		20.89	%		6.30	%
Net Assets, End of Year (millions)	$	1,780		$	1,571		$	1,566		$	1,738		$	1,495
Ratios of Average Net Assets:
Gross expenses		0.67	%		0.69	%		0.69	%		0.68	%		0.70	%
Net expenses		0.67			0.69			0.69			0.68			0.70	⁽³⁾
Net investment income		0.33			0.60			0.40			0.47			0.22
Portfolio Turnover Rate		56	%		57	%		66	%		76	%		92	%

(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 may be up to 3.00%, 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
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	11.24		$	9.44		$	8.58		$	7.54		$	7.34

Income from Operations:
Net investment income⁽¹⁾		0.20			0.21			0.19			0.17			0.19
Net realized and unrealized gain		2.29			1.80			0.87			1.07			0.23

Total Income from Operations		2.49			2.01			1.06			1.24			0.42

Less Distributions From:
Net investment income		(0.19	)		(0.21	)		(0.20	)		(0.20	)		(0.22	)

Total Distributions		(0.19	)		(0.21	)		(0.20	)		(0.20	)		(0.22	)

Net Asset Value, End of Year	$	13.54		$	11.24		$	9.44		$	8.58		$	7.54

Total Return⁽²⁾		22.37	%		21.71	%		12.50	%		16.46	%		5.67	%
Net Assets, End of Year (millions)	$	1,468		$	1,104		$	1,087		$	1,220		$	1,102
Ratios of Average Net Assets:
Gross expenses		0.67	%		0.70	%		0.69	%		0.68	%		0.69	%
Net expenses		0.67	⁽³⁾		0.70			0.69			0.68			0.69	⁽³⁾
Net investment income		1.64			2.07			2.15			1.95			2.43
Portfolio Turnover Rate		24	%		48	%		32	%		38	%		104	%

(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.

158



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Small Capitalization Growth Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	25.22		$	19.81		$	17.76		$	14.62		$	12.99

Income (Loss) from Operations:
Net investment loss⁽¹⁾		(0.12	)		(0.00	)⁽²⁾		(0.07	)		(0.07	)		(0.09	)
Net realized and unrealized gain		4.36			5.41			2.12			3.21			1.72

Total Income from Operations		4.24			5.41			2.05			3.14			1.63

Less Distributions From:
Net realized gain		(0.93	)		—			—			—			—

Total Distributions		(0.93	)		—			—			—			—

Net Asset Value, End of Year	$	28.53		$	25.22		$	19.81		$	17.76		$	14.62

Total Return⁽³⁾		16.91	%		27.31	%		11.54	%		21.48	%		12.55	%
Net Assets, End of Year (millions)	$	296		$	311		$	247		$	278		$	262
Ratios of Average Net Assets:
Gross expenses		0.92	%		0.97	%		0.98	%		0.95	%		0.99	%
Net expenses⁽⁴⁾		0.92			0.97			0.97			0.93			0.98
Net investment loss		(0.42	)		(0.02	)		(0.40	)		(0.37	)		(0.56	)
Portfolio Turnover Rate		80	%		90	%		68	%		73	%		84	%

(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.


Small Capitalization Value Equity Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	14.45		$	12.97		$	11.20		$	9.57		$	8.67

Income from Operations:
Net investment income⁽¹⁾		0.22			0.18			0.11			0.10			0.08
Net realized and unrealized gain		2.58			2.59			1.77			1.68			0.90

Total Income from Operations		2.80			2.77			1.88			1.78			0.98

Less Distributions From:
Net investment income		(0.17	)		(0.22	)		(0.11	)		(0.15	)		(0.08	)
Net realized gain		(1.52	)		(1.07	)		—			—			—

Total Distributions		(1.69	)		(1.29	)		(0.11	)		(0.15	)		(0.08	)

Net Asset Value, End of Year	$	15.56		$	14.45		$	12.97		$	11.20		$	9.57

Total Return⁽²⁾		20.17	%		23.18	%		16.93	%		18.52	%		11.35	%
Net Assets, End of Year (millions)	$	289		$	219		$	195		$	223		$	203
Ratios of Average Net Assets:
Gross expenses		0.92	%		1.00	%		0.99	%		0.98	%		0.98	%
Net expenses⁽³⁾		0.91			0.99			0.98			0.95			0.97
Net investment income		1.47			1.29			0.91			0.85			0.86
Portfolio Turnover Rate		31	%		32	%		24	%		36	%		25	%

(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.

159



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


International Equity Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	10.92		$	9.58		$	9.77		$	9.02		$	8.97

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.22			0.20			0.17			0.15			0.14
Net realized and unrealized gain (loss)		1.03			1.27			(0.18	)		0.76			0.15

Total Income (Loss) from Operations		1.25			1.47			(0.01	)		0.91			0.29

Less Distributions From:
Net investment income		(0.14	)		(0.13	)		(0.18	)		(0.16	)		(0.24	)

Total Distributions		(0.14	)		(0.13	)		(0.18	)		(0.16	)		(0.24	)

Net Asset Value, End of Year	$	12.03		$	10.92		$	9.58		$	9.77		$	9.02

Total Return⁽²⁾		11.45	%		15.47	%		(0.06	)%		9.97	%		3.12	%
Net Assets, End of Year (millions)	$	1,149		$	773		$	444		$	536		$	795
Ratios of Average Net Assets:
Gross expenses		0.81	%		0.84	%		0.91	%		0.84	%		0.85	%
Net expenses⁽³⁾		0.77			0.83			0.90			0.82			0.84
Net investment income		1.83			1.88			1.80			1.41			1.52
Portfolio Turnover Rate		95	%		63	%		75	%		70	%		73	%

(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
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	13.67		$	14.46		$	15.85		$	14.79		$	12.80

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.20			0.21			0.29			0.31			0.23
Net realized and unrealized gain (loss)		2.36			(0.69	)		(1.33	)		0.99			1.90

Total Income (Loss) from Operations		2.56			(0.48	)		(1.04	)		1.30			2.13

Less Distributions From:
Net investment income		(0.29	)		(0.31	)		(0.35	)		(0.24	)		(0.14	)
Net realized gain		(1.40	)		—			—			—			—

Total Distributions		(1.69	)		(0.31	)		(0.35	)		(0.24	)		(0.14	)

Net Asset Value, End of Year	$	14.54		$	13.67		$	14.46		$	15.85		$	14.79

Total Return⁽²⁾		19.97	%		(3.54	)%		(6.52	)%		8.67	%		16.69	%
Net Assets, End of Year (millions)	$	385		$	414		$	695		$	841		$	809
Ratios of Average Net Assets:
Gross expenses		1.09	%		1.10	%		1.06	%		1.05	%		1.08	%
Net expenses⁽³⁾		0.99			0.99			0.93			0.91			0.94
Net investment income		1.49			1.39			1.98			1.87			1.57
Portfolio Turnover Rate		29	%		89	%		40	%		42	%		53	%

(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.

160



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Core Fixed Income Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	8.17		$	8.87		$	8.58		$	8.81		$	8.25

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.18			0.20			0.25			0.28			0.32
Net realized and unrealized gain (loss)		0.31			(0.30	)		0.38			0.05			0.71

Total Income (Loss) from Operations		0.49			(0.10	)		0.63			0.33			1.03

Less Distributions From:
Net investment income		(0.22	)		(0.24	)		(0.27	)		(0.29	)		(0.33	)
Net realized gain		—			(0.36	)		(0.07	)		(0.27	)		(0.14	)

Total Distributions		(0.22	)		(0.60	)		(0.34	)		(0.56	)		(0.47	)

Net Asset Value, End of Year	$	8.44		$	8.17		$	8.87		$	8.58		$	8.81

Total Return⁽²⁾		6.10	%		(1.31	)%		7.58	%		3.93	%		12.93	%
Net Assets, End of Year (millions)	$	799		$	937		$	1,022		$	1,067		$	1,001
Ratios of Average Net Assets:
Gross expenses		0.53	%⁽³⁾		0.54	%⁽³⁾		0.52	%		0.52	%		0.53	%⁽³⁾
Net expenses⁽⁴⁾		0.53	⁽³⁾		0.54	⁽³⁾		0.52			0.52			0.53	⁽³⁾
Net investment income		2.19			2.30			2.85			3.23			3.79
Portfolio Turnover Rate		446	%		421	%		429	%		390	%		257	%

(1)

Per share amounts have been calculated using the average shares method.

(2)

(3)

Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents less than 0.01%.

(4)

Reflects fee waivers and/or expense reimbursements.


High Yield Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	4.27		$	4.24		$	4.15		$	4.14		$	3.77

Income from Operations:
Net investment income⁽¹⁾		0.24			0.27			0.29			0.36			0.37
Net realized and unrealized gain		0.17			0.07			0.16			0.02			0.38

Total Income from Operations		0.41			0.34			0.45			0.38			0.75

Less Distributions From:
Net investment income		(0.27	)		(0.31	)		(0.36	)		(0.37	)		(0.38	)

Total Distributions		(0.27	)		(0.31	)		(0.36	)		(0.37	)		(0.38	)

Net Asset Value, End of Year	$	4.41		$	4.27		$	4.24		$	4.15		$	4.14

Total Return⁽²⁾		9.75	%		8.07	%		11.57	%		9.01	%		20.41	%
Net Assets, End of Year (millions)	$	258		$	111		$	269		$	198		$	190
Ratios of Average Net Assets:
Gross expenses		0.92	%		0.93	%		0.97	%		0.88	%		0.95	%
Net expenses⁽³⁾		0.76			0.78			0.81			0.72			0.79
Net investment income		5.53			6.25			7.58			8.26			9.06
Portfolio Turnover Rate		57	%		86	%		101	%		62	%		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.

161



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


International Fixed Income Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	8.02		$	8.56		$	7.99		$	8.41		$	7.77

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.16			0.18			0.19			0.23			0.19
Net realized and unrealized gain (loss)		0.40			(0.23	)		0.41			(0.15	)		0.83

Total Income (Loss) from Operations		0.56			(0.05	)		0.60			0.08			1.02

Less Distributions From:
Net investment income		(0.54	)		(0.49	)		(0.03	)		(0.50	)		(0.38	)

Total Distributions		(0.54	)		(0.49	)		(0.03	)		(0.50	)		(0.38	)

Net Asset Value, End of Year	$	8.04		$	8.02		$	8.56		$	7.99		$	8.41

Total Return⁽²⁾		7.36	%		(0.77	)%		7.53	%		1.21	%		13.55	%
Net Assets, End of Year (millions)	$	267		$	317		$	431		$	227		$	220
Ratios of Average Net Assets:
Gross expenses		0.76	%⁽³⁾		0.69	%⁽³⁾		0.64	%		0.72	%		0.79	%
Net expenses		0.76	⁽³⁾		0.69	⁽³⁾		0.63	⁽⁴⁾		0.72	⁽⁴⁾		0.79
Net investment income		2.00			2.12			2.25			2.86			2.44
Portfolio Turnover Rate		397	%		198	%		223	%		150	%		93	%

(1)

Per share amounts have been calculated using the average shares method.

(2)

(3)

Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.04% and less than 0.01%, respectively.

(4)

Reflects fee waivers and/or expense reimbursements.


Municipal Bond Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	9.21		$	9.88		$	9.48		$	9.63		$	9.09

Income (Loss) from Operations:
Net investment income⁽¹⁾		0.29			0.29			0.28			0.30			0.31
Net realized and unrealized gain (loss)		0.55			(0.67	)		0.40			(0.15	)		0.54

Total Income (Loss) from Operations		0.84			(0.38	)		0.68			0.15			0.85

Less Distributions From:
Net investment income		(0.29	)		(0.29	)		(0.28	)		(0.30	)		(0.31	)

Total Distributions		(0.29	)		(0.29	)		(0.28	)		(0.30	)		(0.31	)

Net Asset Value, End of Year	$	9.76		$	9.21		$	9.88		$	9.48		$	9.63

Total Return⁽²⁾		9.24	%		(4.01	)%		7.23	%		1.71	%		9.59	%
Net Assets, End of Year (millions)	$	78		$	80		$	89		$	88		$	92
Ratios of Average Net Assets:
Gross expenses		0.59	%		0.61	%		0.57	%		0.58	%		0.62	%
Net expenses		0.59			0.61			0.57			0.58			0.62
Net investment income		3.03			2.92			2.83			3.27			3.39
Portfolio Turnover Rate		19	%		9	%		26	%		20	%		2	%

(1)

Per share amounts have been calculated using the average shares method.

(2)

See Notes to Financial Statements.

162



Financial Highlights


(continued)

For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:


Money Market Investments
	2014			2013			2012			2011			2010
Net asset value, Beginning of Year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from Operations:
Net investment income⁽¹⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾
Net realized and unrealized gain		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.01

Total Income from Operations		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.00	⁽²⁾		0.01

Less Distributions From:
Net investment income		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.00	)⁽³⁾
Net realized gain		—			—			—			(0.00	)⁽³⁾		(0.01	)

Total Distributions		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.00	)⁽³⁾		(0.01	)

Net Asset Value, End of Year	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total Return⁽⁵⁾		0.00	%		0.00	%		0.02	%		0.01	%		0.85	%
Net Assets, End of Year (millions)	$	335		$	467		$	238		$	119		$	125
Ratios of Average Net Assets:
Gross expenses		0.23	%		0.21	%		0.23	%		0.29	%		0.34	%
Net expenses⁽⁶⁾		0.13			0.16			0.22			0.21			0.27
Net investment income		0.00	⁽⁴⁾		0.00	⁽⁴⁾		0.03			0.00	⁽⁴⁾		0.01

(1)

Per share amounts have been calculated using the average shares method.

(2)

Amounts represent less than $0.01 per share.

(3)

Amounts represent less than $(0.01) per share.

(4)

Amounts represent less than 0.01% per share.

(5)

(6)

Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

163



Notes to Financial Statements

1. Organization and Significant Accounting Policies

The Consulting Group Capital Markets Funds (“Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists 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 (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Investments, which is non-diversified.

The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management 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. Portfolio securities of Money Market Investments are valued at amortized cost, which approximates market value. Equity 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 purchased and written 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 third-party pricing services are valued using those automated third-party pricing service quotations. 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 third-party pricing service; such valuations are determined by the third-party 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, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.

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 Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).

The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. 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 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.

Each business day, Emerging Markets Equity Investments and International Equity Investments use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign

164



Notes to Financial Statements


(continued)

exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.

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 bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party 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 significant and 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 third-party 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 and the related forward sales commitments 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 significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.

Common stocks, preferred stocks, rights, warrants, 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, to the extent these securities are actively traded and valuation adjustments are not applied.

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 foreign currency contracts, options contracts, or swap contracts, 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 third-party pricing

165



Notes to Financial Statements


(continued)

service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted 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 significant and 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. 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.

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 assets and liabilities using the fair value hierarchy:


	Total Fair Value at August 31, 2014		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 Stocks:
Consumer Discretionary	$	325,339,620	$	325,339,620	$	—	$	—
Consumer Staples		77,698,007		77,698,007		—		—
Energy		138,506,019		138,506,019		—		—
Financials		108,363,470		108,363,470		—		—
Health Care		292,010,849		292,010,849		—		—
Industrials		166,176,923		166,176,923		—		—
Information Technology		534,678,140		534,678,140		—		—
Materials		65,138,512		65,138,512		—		—
Telecommunication Services		25,663,613		25,663,613		—		—
Short-Term Investments:
Money Market Fund		27,461,626		27,461,626		—		—
Time Deposits		46,187,236		—		46,187,236		—

Total Investments, at value	$	1,807,224,015	$	1,761,036,779	$	46,187,236	$	—

Large Capitalization Value Equity Investments
Investments, at value
Common Stocks:
Consumer Discretionary	$	153,447,779	$	153,447,779	$	—	$	—
Consumer Staples		74,656,107		74,656,107		—		—
Energy		219,309,166		219,309,166		—		—
Financials		307,743,029		307,743,029		—		—
Health Care		184,915,164		184,915,164		—		—
Industrials		122,617,340		122,617,340		—		—

166



Notes to Financial Statements


(continued)


	Total Fair Value at August 31, 2014		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Information Technology	$	203,316,047	$	203,316,047	$	—	$	—
Materials		59,128,432		59,128,432		—		—
Telecommunication Services		46,060,908		46,060,908		—		—
Utilities		43,420,050		43,420,050		—		—
Short-Term Investments:
Money Market Fund		16,233,890		16,233,890		—		—
Time Deposits		50,615,146		—		50,615,146		—

Total Investments, at value	$	1,481,463,058	$	1,430,847,912	$	50,615,146	$	—

Small Capitalization Growth Investments
Investments, at value
Common Stocks:
Consumer Discretionary	$	43,267,562	$	43,267,562	$	—	$	—
Consumer Staples		6,921,620		6,921,620		—		—
Energy		20,171,668		20,171,668		—		—
Financials		20,589,368		20,589,368		—		—
Health Care		65,878,925		65,878,925		—		—
Industrials		55,405,894		55,405,894		—		—
Information Technology		55,835,339		55,835,339		—		—
Materials		13,506,424		13,506,424		—		—
Telecommunication Services		4,435,530		4,435,530		—		—
Short-Term Investments:
Money Market Fund		27,854,226		27,854,226		—		—
Time Deposits		10,537,229		—		10,537,229		—

Total Investments, at value	$	324,403,785	$	313,866,556	$	10,537,229	$	—

Small Capitalization Value Equity Investments
Investments, at value
Common Stocks:
Consumer Discretionary	$	34,697,801	$	34,697,801	$	—	$	—
Consumer Staples		10,989,818		10,989,818		—		—
Energy		15,668,262		15,668,262		—		—
Financials		62,070,822		62,070,822		—		—
Health Care		14,714,635		14,714,635		—		—
Industrials		71,072,310		71,072,310		—		—
Information Technology		21,217,959		21,217,959		—		—
Materials		36,246,103		36,246,103		—		—
Telecommunication Services		517,581		517,581		—		—
Utilities		7,312,796		7,312,796		—		—
Exchange-Traded Securities:
Financials		418,443		418,443		—		—
Short-Term Investments:
Money Market Fund		20,876,827		20,876,827		—		—
Time Deposits		15,070,176		—		15,070,176		—

Total Investments, at value	$	310,873,533	$	295,803,357	$	15,070,176	$	—

167



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(continued)


	Total Fair Value at August 31, 2014			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
International Equity Investments
Investments, at value
Common Stocks:
France	$	124,913,578		$	—		$	124,913,578	$	—
Germany		112,805,698			—			112,805,698		—
Japan		159,682,550			126,398			159,556,152		—
Netherlands		60,088,578			—			60,088,578		—
Switzerland		124,288,336			—			124,288,336		—
United Kingdom		209,876,298	*		822,941			209,053,357		—	*
Other Countries**		301,140,104			49,698,054			251,442,050		—
Warrants:
Luxembourg		2,898,397			—			2,898,397		—
Rights:
Germany		1,718			—			1,718		—
Portugal		10,505			—			—		10,505
Preferred Stocks:
Germany		38,876			—			38,876		—
Italy		316,666			—			316,666		—
Short-Term Investments:
Money Market Fund		12,670,056			12,670,056			—		—
Time Deposits		50,595,417			—			50,595,417		—

Total — Investments, at value	$	1,159,326,777	*	$	63,317,449		$	1,095,998,823	$	10,505	*

Emerging Markets Equity Investments***
Investments, at value
Common Stocks:
Brazil	$	58,389,125		$	58,389,125		$	—	$	—
China		40,739,225			13,720,012			27,019,213		—
India		51,970,171			7,579,761			44,390,410		—
Mexico		19,299,036			19,299,036			—		—
Russia		20,804,901			8,495,895	†		12,309,006		—
South Korea		29,200,988			—			29,200,988		—
Other Countries**		152,077,544			33,391,344			118,686,200		—
Preferred Stocks:
Brazil		3,598,369			3,598,369			—		—
India		25,879			25,879			—		—
Short-Term Investments:
Money Market Fund		17,939,497			17,939,497			—		—
Time Deposits		9,781,434			—			9,781,434		—

Total — Investments, at value	$	403,826,169		$	162,438,918		$	241,387,251	$	—

Core Fixed Income Investments
Investments, at value
Corporate Bonds & Notes	$	244,863,887	*	$	—		$	244,863,887	$	—	*
Mortgage-Backed Securities		180,369,592			—			180,369,592		—
U.S. Government & Agency Obligations		147,880,960			—			147,880,960		—
Collateralized Mortgage Obligations		110,286,375			—			110,286,375		—
Sovereign Bonds		48,250,116			—			48,250,116		—

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	Total Fair Value at August 31, 2014			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Asset-Backed Securities	$	14,038,815		$	—		$	14,038,815		$	—
Municipal Bonds		7,463,227			—			7,463,227			—
Senior Loans		619,534			—			619,534			—
Preferred Stock:
Financials		813,792			813,792			—			—
Common Stocks:
Consumer Discretionary		16,637			16,637			—			—
Warrants:
Consumer Discretionary		4,028			4,028			—			—
Convertible Preferred Stock:
Consumer Discretionary		—	*		—			—			—	*
Purchased Options		242,140			750			241,390			—
Short-Term Investments:
Certificates of Deposit		1,100,000			—			1,100,000			—
Commercial Paper		8,000,147			—			8,000,147			—
Corporate Note		2,136,752			—			2,136,752			—
Money Market Fund		262,624			262,624			—			—
Repurchase Agreements		22,800,000			—			22,800,000			—
Sovereign Bonds		9,214,482			—			9,214,482			—
Time Deposits		50,689,602			—			50,689,602			—
U.S. Government Agencies		30,245,528			—			30,245,528			—

Total Investments, at value	$	879,298,238	*	$	1,097,831		$	878,200,407		$	—	*

Other Financial Instruments
Options Contracts Written	$	(263,253	)	$	(12,078	)	$	(251,175	)	$	—
Futures Contracts		146,659			146,659			—			—
Forward Foreign Currency Contracts		1,455,377			—			1,455,377			—
OTC Interest Rate Swaps		87,481			—			87,481			—
Centrally Cleared Interest Rate Swaps		(368,529	)		—			(368,529	)		—
OTC Credit Default Swaps		142,917			—			142,917			—

Total Other Financial Instruments	$	1,200,652		$	134,581		$	1,066,071		$	—

High Yield Investments
Investments, at value
Corporate Bonds & Notes	$	232,726,761	*	$	—		$	232,247,043		$	479,718	*
Senior Loans		1,054,560			—			1,054,560			—
Common Stocks:
Consumer Discretionary		19,906			—			—			19,906
Energy		522,931			8,046			—			514,885
Financials		117,254			117,254			—			—
Health Care		67,200			—			—			67,200
Industrials		54,002			54,002			—			—
Materials		29,681			29,681			—			—
Preferred Stocks:
Financials		811,983			811,983			—			—
Convertible Preferred Stock:
Energy		507,413			507,413			—			—

169



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(continued)


	Total Fair Value at August 31, 2014			Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)			Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Warrants:
Financials	$	86,645		$	86,645		$	—		$	—
Short-Term Investments:
Money Market Fund		6,217,477			6,217,477			—			—
Time Deposits		25,225,113			—			25,225,113	��		—

Total Investments, at value	$	267,440,926	*	$	7,832,501		$	258,526,716		$	1,081,709	*

International Fixed Income Investments
Investments, at value
Sovereign Bonds
Italy	$	29,237,230		$	—		$	29,237,230		$	—
Spain		24,101,656			—			24,101,656			—
Other Countries**		77,358,080			—			77,358,080			—
Corporate Bonds & Notes
Germany		14,163,035			—			14,163,035			—
United States		14,847,579			—			14,847,579			—
Other Countries**		28,136,214			—			28,136,214			—
Collateralized Mortgage Obligations		20,279,262			—			20,279,262			—
Mortgage-Backed Securities		16,883,542			—			16,883,542			—
U.S. Government & Agency Obligations		8,743,335			—			8,743,335			—
Municipal Bonds		2,218,875			—			2,218,875			—
Asset-Backed Securities		1,645,327			—			1,645,327			—
Purchased Options		1,456			—			1,456			—
Short-Term Investments:
Repurchase Agreements		37,100,000			—			37,100,000			—
Sovereign Bonds		4,239,799			—			4,239,799			—
Time Deposits		17,349,596			—			17,349,596			—
U.S. Government Agencies		299,946			—			299,946			—
U.S. Government Obligations		947,915			—			947,915			—

Total — Investments, at value	$	297,552,847		$	—		$	297,552,847		$	—

Other Financial Instruments
Options Contracts Written	$	(83,195	)	$	(26,894	)	$	(56,301	)	$	—
Forward Sale Commitments		(15,098,008	)		—			(15,098,008	)		—
Futures Contracts		369,460			369,460			—			—
Forward Foreign Currency Contracts		3,062,879			—			3,062,879			—
OTC Interest Rate Swaps		85,299			—			85,299			—
Centrally Cleared Interest Rate Swaps		605,462			—			605,462			—
OTC Credit Default Swaps		116,632			—			116,632			—
OTC Cross Currency Swaps		(39,061	)		—			(39,061	)		—

Total Other Financial Instruments	$	(10,980,532	)	$	342,566		$	(11,323,098	)	$	—

Municipal Bond Investments
Investments, at value
Municipal Bonds	$	76,088,726		$	—		$	76,088,726		$	—
Short-Term Investments:
Time Deposits		883,506			—			883,506			—

Total Investments, at value	$	76,972,232		$	—		$	76,972,232		$	—

170



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(continued)


	Total Fair Value at August 31, 2014		Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Money Market Investments
Investments, at value
Short-Term Investments:
Certificates of Deposit	$	65,000,000	$	—	$	65,000,000	$	—
Commercial Paper		188,950,779		—		188,950,779		—
Time Deposits		587,670		—		587,670		—
U.S. Government Agency		9,635,000		—		9,635,000		—
U.S. Government Obligations		64,052,969		—		64,052,969		—

Total Investments, at value	$	328,226,418	$	—	$	328,226,418	$	—

Includes securities that are fair valued at $0.

Other Countries represents Countries that are individually less than 5% of Total Net Assets.

***

Includes $28,840,083 for Emerging Markets Equity Investments that was classified as Level 1 at August 31, 2013 and is now classified as Level 2 due to application of a fair value adjustment by the fair valuation pricing service for such securities at August 31, 2014 that was not required at August 31, 2013.

†

Includes a security valued at $4,996,466 for Emerging Markets Equity Investments that transferred from Level 2 to Level 1. This change was the result of active trading and volume on the exchange at August 31, 2014.

The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.

During the year ended August 31, 2014, there were no transfers from Level 2 to Level 3. International Fixed Income Investments had a transfer from Level 3 to Level 2 of $299,310. The transfer was primarily due to security quotes not being readily available in an actively traded market and no available third-party vendor prices were available at August 31, 2013.

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the year September 1, 2013, through August 31, 2014:


	Total			Collateralized Mortgage Obligations		Common Stocks			Corporate Bonds & Notes		Convertible Preferred Stocks		Rights		Credit Default Swaps
International Equity Investments
Balance as of August 31, 2013	$	—	*	$	—	$	—	*	$	—	$	—	$	—	$	—
Total realized gain (loss)		(97,506	)		—		(97,506	)		—		—		—		—
Change in unrealized appreciation (depreciation)		108,013			—		97,508			—		—		10,505		—
Purchases		—			—		—			—		—		—		—
(Sales)		(2	)		—		(2	)		—		—		—		—
Transfers In		—			—		—			—		—		—		—
Transfers Out		—			—		—			—		—		—		—

Balance as of August 31, 2014	$	10,505	*	$	—	$	—	*	$	—	$	—	$	10,505	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2014	$	10,505		$	—	$	—		$	—	$	—	$	10,505	$	—


Emerging Markets Equity Investments
Balance as of August 31, 2013	$	36,647		$	—	$	—		$	—	$	—	$	36,647	$	—
Total realized gain (loss)		60,410			—		—			—		—		60,410		—

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(continued)


	Total			Collateralized Mortgage Obligations		Common Stocks			Corporate Bonds & Notes			Convertible Preferred Stocks			Rights			Credit Default Swaps
Change in unrealized appreciation (depreciation)	$	(36,647	)	$	—	$	—		$	—		$	—		$	(36,647	)	$	—
Purchases		—			—		—			—			—			—			—
(Sales)		(60,410	)		—		—			—			—			(60,410	)		—
Transfers In		—			—		—			—			—			—			—
Transfers Out		—			—		—			—			—			—			—

Balance as of August 31, 2014	$	—		$	—	$	—		$	—		$	—		$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2014	$	—		$	—	$	—		$	—		$	—		$	—		$	—


Core Fixed Income Investments
Balance as of August 31, 2013	$	129,981	*	$	—	$	—		$	—	*	$	—	*	$	—		$	129,981
Total realized gain (loss)		(14,800	)		—		—			—			—			—			(14,800	)
Change in unrealized appreciation (depreciation)		(127,181	)		—		—			—			—			—			(127,181	)
Purchases		—			—		—			—			—			—			—
(Sales)		12,000			—		—			—			—			—			12,000
Transfers In		—			—		—			—			—			—			—
Transfers Out		—			—		—			—			—			—			—

Balance as of August 31, 2014	$	—	*	$	—	$	—		$	—	*	$	—	*	$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2014	$	—		$	—	$	—		$	—		$	—		$	—		$	—


High Yield Investments
Balance as of August 31, 2013	$	684,318		$	—	$	529,923		$	154,395		$	—		$	—		$	—
Total realized gain (loss)		1,594			—		—			1,594			—			—			—
Accrued discounts (premiums)		2,700			—		—			2,700			—			—			—
Change in unrealized appreciation (depreciation)		(56,579	)		—		(51,528	)		(5,051	)		—			—			—
Purchases		451,271			—		123,596			327,675			—			—			—
(Sales)		(1,595	)		—		—			(1,595	)		—			—			—
Transfers In		—			—		—			—			—			—			—
Transfers Out		—			—		—			—			—			—			—

Balance as of August 31, 2014	$	1,081,709	*	$	—	$	601,991		$	479,718	*	$	—		$	—		$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2014	$	(54,305	)	$	—	$	(51,528	)	$	(2,777	)	$	—		$	—		$	—

172



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(continued)


	Total			Collateralized Mortgage Obligations			Common Stocks		Corporate Bonds & Notes		Convertible Preferred Stocks		Rights		Credit Default Swaps
International Fixed Income Investments
Balance as of August 31, 2013	$	329,172		$	329,172		$	—	$	—	$	—	$	—	$	—
Total realized gain (loss)		(1,255	)		(1,255	)		—		—		—		—		—
Accrued discounts (premiums)		—			—			—		—		—		—		—
Change in unrealized appreciation (depreciation)		(7,858	)		(7,858	)		—		—		—		—		—
Purchases		—			—			—		—		—		—		—
(Sales)		—			—			—		—		—		—		—
(Paydowns)		(20,749	)		(20,749	)		—		—		—		—		—
Transfers In		—			—			—		—		—		—		—
Transfers Out		(299,310	)		(299,310	)		—		—		—		—		—

Balance as of August 31, 2014	$	—		$	—		$	—	$	—	$	—	$	—	$	—

Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2014	$	—		$	—		$	—	$	—	$	—	$	—	$	—

Includes securities that are fair valued at $0.

(b) Accounting for Derivative Instruments. Derivative instruments require 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 or in the Fund’s Schedule of Investments.

Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:

(i) Futures Contracts. Certain Funds may enter into 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 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 value of the 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 futures contracts are closed, a realized gain or loss is recognized which is 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 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 futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be 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

173



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(continued)

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.

When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received 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. Certain Funds may purchase options to manage exposure to certain changes in the market. 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, an amount equal to the value is recorded as an asset. 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.

(v) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as “Net change in unrealized appreciation (depreciation) from Investments” on the Statement of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as “Net realized gain (loss) from Investments” on the Statement of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at year end are included on the Fund’s Schedule of Investments under the caption “Purchased Options”.

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.

174



Notes to Financial Statements


(continued)

When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities 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 Operations. A 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.

Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in 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 contract. 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 a 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 may 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.

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

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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 contracts 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 the fixed interest rate and the floating interest rate, 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 or loss from swap contracts on the Statements 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 a Fund.

(ix) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest 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 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 on swap contracts 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.

(x) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.

The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2014:

International Equity Investments


Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2014:

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	$	—	$	(715,718	)	$	—	$	—	$	(715,718	)

	$	—	$	(715,718	)	$	—	$	—	$	(715,718	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts	$	—	$	64,274		$	—	$	—	$	64,274

	$	—	$	64,274		$	—	$	—	$	64,274

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Notes to Financial Statements


(continued)

Emerging Markets Equity Investments


Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2014:

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	$	—	$	(68,975	)	$	—	$	—	$	(68,975	)

	$	—	$	(68,975	)	$	—	$	—	$	(68,975	)

Core Fixed Income Investments


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014:

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased Options (c)	$	242,140	$	—	$	—	$	—	$	242,140
Unrealized appreciation on open futures contracts (b)		506,337		38,481		—		—		544,818
Unrealized appreciation on forward foreign currency contracts (c)		—		1,945,328		—		—		1,945,328
Unrealized appreciation on centrally cleared swaps (f)		97,437		—		—		—		97,437
Swap contracts, at value (c)		241,443		—		198,865		—		440,308

	$	1,087,357	$	1,983,809	$	198,865	$	—	$	3,270,031

Liability derivatives
Options contracts written outstanding (a)	$	259,247	$	4,006	$	—	$	—	$	263,253
Unrealized depreciation on open futures contracts (b)		398,159		—		—		—		398,159
Unrealized depreciation on forward foreign currency contracts (a)		—		489,951		—		—		489,951
Unrealized depreciation on centrally cleared swaps (f)		465,966		—		—		—		465,966
Swap contracts, at value (a)		153,962		—		55,948		—		209,910

	$	1,277,334	$	493,957	$	55,948	$	—	$	1,827,239


Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2014:

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	$	(571	)	$	—		$	—	$	—	$	(571	)
Net realized gain (loss) on futures contracts		859,011			—			—		—		859,011
Net realized gain (loss) on options written		669,675			—			2,215		—		671,890
Net realized gain (loss) on swaps contracts		(1,358,196	)		—			207,200		—		(1,150,996	)
Net realized gain (loss) on forward foreign currency contracts		—			(808,633	)		—		—		(808,633	)

	$	169,919		$	(808,633	)	$	209,415	$	—	$	(429,299	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	(310,146	)	$	—		$	—	$	—	$	(310,146	)
Net change in unrealized appreciation (depreciation) on futures contracts		444,066			38,481			—		—		482,547
Net change in unrealized appreciation (depreciation) on options contracts written		1,126,748			2,801			—		—		1,129,549
Net change in unrealized appreciation (depreciation) on swaps contracts		(523,492	)		—			127,478		—		(396,014	)
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			2,194,473			—		—		2,194,473

	$	737,176		$	2,235,755		$	127,478	$	—	$	3,100,409

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Notes to Financial Statements


(continued)

International Fixed Income Investments


Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2014:

Location	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Asset derivatives
Purchased Options (c)	$	—	$	1,456	$	—	$	—	$	1,456
Unrealized appreciation on futures contracts (b)		520,495		—		—		—		520,495
Unrealized appreciation on forward foreign currency contracts (c)		—		4,552,534		—		—		4,552,534
Unrealized appreciation on centrally cleared swaps (f)		1,586,864		—		—		—		1,586,864
Swap contracts, at value (c)		90,377		—		198,926		—		289,303

	$	2,197,736	$	4,553,990	$	198,926	$	—	$	6,950,652

Liability derivatives
Options contracts written outstanding (a)	$	26,894	$	56,286	$	15	$	—	$	83,195
Unrealized depreciation on futures contracts (b)		151,035		—		—		—		151,035
Unrealized depreciation on forward foreign currency contracts (a)		—		1,489,655		—		—		1,489,655
Unrealized depreciation on centrally cleared swaps (f)		981,402		—		—		—		981,402
Swap contracts, at value (a)		5,078		39,061		82,294		—		126,433

	$	1,164,409	$	1,585,002	$	82,309	$	—	$	2,831,720


Effect of Derivative Instruments on the Statements of Operations for the Year Ended August 31, 2014:

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	$	(184,620	)	$	(592	)	$	—	$	—	$	(185,212	)
Net realized gain (loss) on futures contracts		514,310			—			—		—		514,310
Net realized gain (loss) on options contracts written		655,432			77,877			—		—		733,309
Net realized gain (loss) on swaps contracts		(1,571,873	)		—			137,775		—		(1,434,098	)
Net realized gain (loss) on forward foreign currency contracts		—			179,499			—		—		179,499

	$	(586,751	)	$	256,784		$	137,775	$	—	$	(192,192	)

Change in unrealized appreciation (depreciation) on derivatives recognized in income (e)
Net change in unrealized appreciation (depreciation) on purchased options	$	(2,350	)	$	(3,866	)	$	—	$	—	$	(6,216	)
Net change in unrealized appreciation (depreciation) on futures contracts		91,836			—			—		—		91,836
Net change in unrealized appreciation (depreciation) on options contracts written		67,476			15,445			302		—		83,223
Net change in unrealized appreciation (depreciation) on swaps contracts		972,658			(16,119	)		200,084		—		1,156,623
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts		—			3,317,065			—		—		3,317,065

	$	1,129,620		$	3,312,525		$	200,386	$	—	$	4,642,531

(a)

Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on open swap contracts or options contracts written, at value.

(b)

Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the “Open Futures Contracts” table (see Note 3).

(c)

Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on open swap contracts.

(d)

Statements of Operations location: Net realized gain (loss) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

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Notes to Financial Statements


(continued)

(e)

Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, foreign currency transactions, futures contracts, options contracts written or swap contracts.

(f)

Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the “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, 2014, were as follows:

International Equity Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Forward foreign currency contracts	$	—	$	35,738,269	$	—	$	—	$	35,738,269

Emerging Markets Equity Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Forward foreign currency contracts	$	—	$	13,603	$	—	$	—	$	13,603

Core Fixed Income Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased options	$	400,496	$	—	$	—	$	—	$	400,496
Futures contracts		355,994,192		556,098		—		—		356,550,290
Option contracts written		444,586		2,431		294		—		447,311
Swap contracts		84,993,846		—		25,915,385		—		110,909,231
Forward foreign currency contracts		—		98,925,781		—		—		98,925,781

International Fixed Income Investments


	Interest rate risk		Foreign exchange risk		Credit risk		Equity risk		Total
Purchased options	$	51,597	$	2,315	$	—	$	—	$	53,912
Futures contracts		108,947,112		—		—		—		108,947,112
Option contracts written		86,048		21,219		37		—		107,304
Swap contracts		3,047,730,769		1,092,005		24,334,615		—		3,073,157,389
Forward foreign currency contracts		—		509,272,676		—		—		509,272,676

(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.

(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 (“PO”), 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

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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, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. 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 non-cash 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 collateral received from securities on loan within the Statements 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. 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. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances. See Note 1(u).

The following table presents financial instruments that are subject to enforceable netting arrangements as of August 31, 2014.

Gross Amounts Not Offset in the Statements of Assets and Liabilities


Funds	Gross Asset Amount Presented in Statements of Assets and Liabilities ^(a)		Financial Instrument		Collateral Received ^(b)(c)			Net Amount (Not Less than $0)
Large Capitalization Growth Investments	$	27,118,272		—	$	(27,118,272	)	$	0
Large Capitalization Value Equity Investments		15,981,887		—		(15,981,887	)		0
Small Capitalization Growth Investments		27,269,421		—		(27,269,421	)		0
Small Capitalization Value Equity Investments		20,408,215		—		(20,408,215	)		0
International Equity Investments		11,879,912		—		(11,879,912	)		0
Emerging Markets Equity Investments		17,379,982		—		(17,379,982	)		0
Core Fixed Income Investments		255,191		—		(255,191	)		0
High Yield Investments		6,000,383		—		(6,000,383	)		0

^(a)

Represents market value of securities on loan at period end.

^(b)

The Funds received cash collateral of $27,461,626, $16,233,890, $27,854,226, $20,876,827, $12,670,056, $17,939,497, $262,624 and $6,217,477, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments.

^(c)

The actual collateral received is greater than the amount shown here due to overcollateralization.

(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. Realized gains or losses on TBA purchase commitments are included in “Net realized gain (loss) on investments” on the Statements of

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Notes to Financial Statements


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Operations. Any fluctuation in the value of the purchased TBA commitments is included in “Net change in unrealized appreciation (depreciation) on investments” on the Statements of Operations.

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 recorded as Forward Sale Commitments at value in the Statements 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 mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sales price and the future purchase price is recorded as an adjustment to interest income.

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 Investment and Currency Risks. 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

181



Notes to Financial Statements


(continued)

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.

(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.

(m) 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 accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.

(n) 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.

(o) 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.

(p) 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.

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(continued)

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 2014 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

(q) 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.


Fund		Undistributed (Dividend in excess of) Net Investment Income			Undistributed Realized Gains/ (Accumulated Net Realized Losses)			Paid-in Capital
Large Capitalization Growth Investments	(a)	$	(2,080,312	)	$	2,080,312		$	—
Large Capitalization Value Equity Investments	(a)	$	(196,339	)	$	127,595		$	68,744
Small Capitalization Growth Investments	(a),(b)	$	1,821,456		$	(1,821,456	)	$	—
Small Capitalization Value Equity Investments	(a)	$	(221,130	)	$	221,130		$	—
International Equity Investments	(c)	$	(481,973	)	$	481,973		$	—
Emerging Markets Equity Investments	(h)	$	(907,625	)	$	271,199		$	636,426
Core Fixed Income Investments	(d),(g)	$	2,987,504		$	(2,987,504	)	$	—
High Yield Investments	(d),(f)	$	1,294,394		$	(1,294,394	)	$	—
International Fixed Income Investments	(d),(g)	$	(1,083,950	)	$	1,083,950		$	—
Municipal Bond Investments	(e)	$	197,163		$	(197,163	)	$	—
Money Market Investments	(e)	$	(5,185	)	$	(328	)	$	5,513

(a)

Reclassifications are primarily due to book/tax differences in the treatment of distributions from real estate investment trusts and return of capital dividends received.

(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 distribution 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.

(h)

Reclassifications are primarily due to foreign currency transactions treated as ordinary income, and foreign capital gain expense transactions treated as ordinary for tax purposes.

(r) 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 the Manager and/or Sub-adviser pursuant to procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).

(s) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.

(t) 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.

(u) Disclosure about Offsetting Assets and Liabilities. In December 2011, the Financial Accounting Standards Board issued an Accounting Standards Update (“ASU”) No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) which requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. ASU 2011-11 was amended by ASU No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) to clarify the investments and transactions that are

183



Notes to Financial Statements


(continued)

subject to disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of GAAP or subject to an enforceable master netting arrangement or similar agreement. The Funds’ adopted ASU 2011-11 for the current reporting period. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.

Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of August 31, 2014 are shown on a gross basis and the required disclosures under ASU 2011-11 are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of August 31, 2014.

For derivatives traded under an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar master agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the Funds do not offset amounts of reported assets and liabilities in the Statements of Assets and Liabilities across transactions between a Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by a counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at August 31, 2014 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).

The following table presents the Funds’ gross amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of August 31, 2014.


	Derivative Instruments as of August 31, 2014
	Assets		Liabilities
	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities
Core Fixed Income Investments
Forward foreign currency contracts	$	1,945,328	$	489,951
Options contracts (a)		241,390		251,175
Swap contracts (a)(b)		473,375		189,529

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	2,660,093	$	930,655

184



Notes to Financial Statements


(continued)


	Derivative Instruments as of August 31, 2014
	Assets		Liabilities
	Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities		Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities
International Fixed Income Investments
Forward foreign currency contracts	$	4,552,534	$	1,489,655
Options contracts (a)		1,456		56,301
Swap contracts (a)(b)		719,081		94,824

Total Derivative Instruments, subject to master netting arrangement or similar arrangement	$	5,273,071	$	1,640,780

(a)

Excludes exchange-traded derivatives.

(b)

The total value of the net amounts of assets and liabilities is comprised of Swap contracts, at value on the Statements of Assets and Liabilities less the net value of the Upfront premiums paid (received) disclosed in the Notes to Financial Statements (Note 3).

The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of August 31, 2014:


Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
Core Fixed Income Investments
Over-the-counter
Bank of America	$	437,563	$	(77,264	)	$	—		$	360,299
Barclays Bank PLC		525,231		(267,983	)		—			257,248
BNP Paribas SA		35,607		(35,607	)		—			—
Citigroup Global Markets Inc.		826,956		(15,763	)		(660,000	)		151,193
Credit Suisse Securities (USA) LLC		129,197		—			—			129,197
Deutsche Bank AG		68,513		(31,775	)		—			36,738
Goldman Sachs & Co.		139,341		(139,341	)		—			—
HSBC Bank USA		12,884		(12,884	)		—			—
JPMorgan Chase & Co.		403,334		(100,164	)		(130,000	)		173,170
UBS Securities LLC		81,467		(13,678	)		—			67,789

Total Over-the-counter derivative instruments	$	2,660,093	$	(694,459	)	$	(790,000	)	$	1,175,634


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
Core Fixed Income Investments
Over-the-counter
Bank of America	$	77,264	$	(77,264	)	$	—		$	—
Barclays Bank PLC		267,983		(267,983	)		—			—
BNP Paribas SA		114,338		(35,607	)		—			78,731

185



Notes to Financial Statements


(continued)


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
Citigroup Global Markets Inc.	$	15,763	$	(15,763	)	$	—		$	—
Deutsche Bank AG		31,775		(31,775	)		—			—
Goldman Sachs & Co.		179,110		(139,341	)		—			39,769
HSBC Bank USA		30,507		(12,884	)		—			17,623
JPMorgan Chase & Co.		100,164		(100,164	)		—			—
Royal Bank of Scotland PLC		100,073		—			—			100,073
UBS Securities LLC		13,678		(13,678	)		—			—

Total Over-the-counter derivative instruments	$	930,655	$	(694,459	)	$	—		$	236,196


Counterparty	Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (a)			Collateral Received (e)			Net Amount (b)
International Fixed Income Investments
Over-the-counter
Bank of America	$	1,311,496	$	(129,769	)	$	(950,000	)	$	231,727
Barclays Bank PLC		147,230		(147,230	)		—			—
BNP Paribas SA		1,063,671		(165,778	)		(270,000	)		627,893
Citigroup Global Markets Inc.		1,514,249		(197,009	)		(1,140,000	)		177,240
Deutsche Bank AG		179,488		(49,620	)		(129,868	)		—
Goldman Sachs & Co.		388,008		(329,582	)		—			58,426
HSBC Bank USA		119,700		(60,668	)		—			59,032
JPMorgan Chase & Co.		143,022		(143,022	)		—			—
Royal Bank of Scotland PLC		69,260		(16,349	)		(10,000	)		42,911
Societe Generale SA		28,343		(28,293	)		—			50
UBS Securities LLC		308,604		(28,298	)		(260,000	)		20,306

Total Over-the-counter derivative instruments	$	5,273,071	$	(1,295,618	)	$	(2,759,868	)	$	1,217,585


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)			Net Amount (d)
International Fixed Income Investments
Over-the-counter
Bank of America	$	129,769	$	(129,769	)	$	—		$	—
Barclays Bank PLC		268,048		(147,230	)		—			120,818
BNP Paribas SA		165,778		(165,778	)		—			—
Citigroup Global Markets Inc.		197,009		(197,009	)		—			—
Deutsche Bank AG		49,620		(49,620	)		—			—
Goldman Sachs & Co.		329,582		(329,582	)		—			—
HSBC Bank USA		60,668		(60,668	)		—			—
JPMorgan Chase & Co.		367,366		(143,022	)		—			224,344
Royal Bank of Scotland PLC		16,349		(16,349	)		—			—

186



Notes to Financial Statements


(continued)


Counterparty	Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities		Financial Instruments Available for Offset (c)			Collateral Pledged (e)		Net Amount (d)
Societe Generale SA	$	28,293	$	(28,293	)	$	—	$	—
UBS Securities LLC		28,298		(28,298	)		—		—

Total Over-the-counter derivative instruments	$	1,640,780	$	(1,295,618	)	$	—	$	345,162

(a)

Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(b)

Net amount represents the net amount receivable from the counterparty in the event of default.

(c)

Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities.

(d)

Net amount represents the net amount payable to the counterparty in the event of default.

(e)

In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to over collateralization.

2. Investment Management Agreement and Other Transactions with Affiliates

CGAS, a business of MSSBH, serves as the investment 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 the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the year ended August 31, 2014, are indicated below:


Fund	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		0.30	%		0.30	%		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		0.36	%		0.30	%		0.70	%
Emerging Markets Equity Investments		0.49	%		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		0.27	%		0.23	%		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 yield. For the year ended August 31, 2014, the Manager reimbursed the Fund $301,225.

The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2014, the amounts waived and/or reimbursed by the Manager were as follows:


Fund
Large Capitalization Value Equity Investments	$	9,389
Small Capitalization Growth Investments		18,015
Small Capitalization Value Equity Investments		19,793
International Equity Investments		402,938

187



Notes to Financial Statements


(continued)


Fund
Emerging Markets Equity Investments	$	427,618
Core Fixed Income Investments		26,474
High Yield Investments		304,141

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.

For the year ended August 31, 2014, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including Morgan Stanley Smith Barney LLC, the Trust’s distributor, and Citigroup Global Markets Inc. (“CGMI”), received brokerage commissions of:


Fund	Commission Dollars to CGMI		Commission Dollars to MS&Co.		Commission Aggregate
Large Capitalization Growth Investments	$	18,850	$	13,755	$	32,605
Large Capitalization Value Equity Investments		8,219		7,830		16,049
Small Capitalization Growth Investments		8,877		3,246		12,123
Small Capitalization Value Equity Investments		865		354		1,219
International Equity Investments		131,171		21,731		152,902
Emerging Markets Equity Investments		20,847		—		20,847

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.

3. Investments

During the year ended August 31, 2014, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:


	Investments				US Government & Agency Obligations
	Purchases		Sales		Purchases		Sales
Large Capitalization Growth Investments	$	904,187,454	$	1,066,912,419	$	—	$	—
Large Capitalization Value Equity Investments		412,483,522		308,758,818		—		—
Small Capitalization Growth Investments		232,754,603		296,030,377		—		—
Small Capitalization Value Equity Investments		99,629,607		77,509,444		—		—
International Equity Investments		1,230,791,910		944,106,681		—		—
Emerging Markets Equity Investments		112,608,880		202,598,196		—		—
Core Fixed Income Investments		219,761,415		235,436,514		3,695,891,715		3,897,613,310
High Yield Investments		225,879,120		101,553,549		—		—
International Fixed Income Investments		231,441,967		248,379,765		761,873,561		814,712,793
Municipal Bond Investments		14,883,860		18,674,465		—		—

At August 31, 2014, 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	$	580,151,150	$	(5,729,347	)	$	574,421,803
Large Capitalization Value Equity Investments		389,142,501		(9,959,440	)		379,183,061
Small Capitalization Growth Investments		71,539,422		(6,812,040	)		64,727,382

188



Notes to Financial Statements


(continued)


Fund	Gross Unrealized Appreciation		Gross Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Small Capitalization Value Equity Investments	$	82,345,213	$	(4,860,931	)	$	77,484,282
International Equity Investments		126,375,900		(48,969,564	)		77,406,336
Emerging Markets Equity Investments		85,870,103		(27,017,778	)		58,852,325
Core Fixed Income Investments		28,117,548		(10,539,002	)		17,578,546
High Yield Investments		7,951,081		(3,260,750	)		4,690,331
International Fixed Income Investments		14,031,125		(11,260,647	)		2,770,478
Municipal Bond Investments		6,223,048		(46	)		6,223,002

At August 31, 2014, 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:

Core Fixed Income Investments


Open Futures Contracts	Number of Contracts		Expiration Date		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
90-Day Eurodollar December Futures		612		12/15	$	151,477,650	$	53,062
90-Day Eurodollar December Futures		4		12/16		979,750		350
90-Day Eurodollar June Futures		78		6/16		19,206,525		111,870
90-Day Eurodollar March Futures		169		3/16		41,726,100		91,299
90-Day Eurodollar March Futures		4		3/17		977,750		600
90-Day Eurodollar September Futures		10		9/16		2,455,625		(2,890	)
U.S. Treasury 5-Year Note December Futures		408		12/14		48,485,064		143,436
U.S. Treasury 10-Year Note December Futures		208		12/14		26,162,500		69,876
U.S. Treasury Long Bond December Futures		36		12/14		5,043,375		35,719

								503,322

Contracts to Sell:
90-Day Eurodollar December Futures		42		12/16		10,287,375		125
90-Day Eurodollar June Futures		67		6/18		16,266,762		(82,913	)
Euro FX Currency September Futures		6		9/14		985,125		38,481
Euro-Bobl September Futures		40		9/14		6,794,655		(55,259	)
Euro-Bund September Futures		12		9/14		2,390,301		(104,104	)
U.S. Treasury 2-Year Note December Futures		3		12/14		657,141		(469	)
U.S. Treasury 5-Year Note December Futures		87		12/14		10,338,727		(31,266	)
U.S. Treasury 10-Year Note December Futures		72		12/14		9,056,250		(31,101	)
U.S. Treasury Long Bond December Futures		29		12/14		4,062,719		(27,813	)
U.S. Treasury Ultra Bond December Futures		19		12/14		2,954,500		(62,344	)

								(356,663	)

Net Unrealized Gain on Open Futures Contracts							$	146,659

189



Notes to Financial Statements


(continued)

International Fixed Income Investments


Open Futures Contracts	Number of Contracts		Expiration Date		Market Value		Unrealized Gain (Loss)
Contracts to Buy:
3-Month EURIBOR June Futures		69		6/15	$	22,647,053	$	14,738
3-Month EURIBOR September Futures		28		9/15		9,189,189		5,225
90-Day Sterling Interest Rate September Futures		13		9/14		2,679,243		1,482
Australia Government 3-Year Bond September Futures		26		9/14		2,663,139		736
Australia Government 10-Year Bond September Futures		11		9/14		1,263,588		49,064
Euro-BTP September Futures		66		9/14		11,323,093		334,882
Euro-Bund September Futures		28		9/14		5,577,369		42,904
U.S. Treasury 10-Year Note December Futures		1		12/14		125,781		336
U.S. Treasury Long Bond December Futures		71		12/14		9,946,656		49,570
United Kingdom Long Gilt September Futures		51		12/14		9,602,452		21,558

								520,495

Contracts to Sell:
10-Year USD Deliverable Interest Rate Swap September Futures		6		9/14		640,594		(16,125	)
90-Day Sterling Interest Rate September Futures		14		9/15		2,865,459		(3,773	)
Canada Government 10-Year Bond December Futures		88		12/14		11,129,567		(81,762	)
U.S. Treasury 5-Year Note December Futures		44		12/14		5,228,781		(13,406	)
U.S. Treasury 10-Year Note December Futures		82		12/14		10,314,063		(35,969	)

								(151,035	)

Net Unrealized Gain on Open Futures Contracts							$	369,460

At August 31, 2014, Core Fixed Income Investments had deposited $535,793 with a broker or brokers as margin collateral on open exchange traded futures contracts.

At August 31, 2014, International Fixed Income Investments had deposited $30,500 with a broker or brokers as margin collateral on open exchange traded futures contracts.

During the year ended August 31, 2014, 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, 2013		98,760,000		$	563,861
Options written		82,670,808			807,136
Options closed		(11,300,575	)		(251,890	)
Options expired		(125,560,155	)		(618,297	)

Options contracts written, outstanding at August 31, 2014		44,570,078		$	500,810


International Fixed Income Investments	Number of Contracts			Premiums Received
Options contracts written, outstanding at August 31, 2013		36,200,000		$	285,984
Options written		110,718,384			567,899
Options closed		(27,711,177	)		(94,616	)
Options expired		(115,079,102	)		(649,903	)

Options contracts written, outstanding at August 31, 2014		4,128,105		$	109,364

190



Notes to Financial Statements


(continued)

At August 31, 2014, 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:

Core Fixed Income Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Brazilian Real		675,450		GSC	$	301,628		9/3/14	$	34
Brazilian Real		675,450		UBS		301,628		9/3/14		3,745
British Pound		650,000		BOA		1,077,522		10/16/14		(17,078	)
British Pound		600,000		CITI		994,635		10/16/14		(15,763	)
Euro		761,000		BCLY		1,000,297		9/3/14		(11,050	)
Euro		294,000		BNP		386,448		9/3/14		(8,619	)
Euro		2,008,000		BNP		2,639,417		9/3/14		(40,114	)
Euro		493,995		BOA		649,332		9/3/14		(8,668	)
Euro		22,619,005		GSC		29,731,570		9/3/14		(120,993	)
Euro		313,000		BCLY		411,489		10/2/14		(1,253	)
Euro		103,000		BNP		135,410		10/2/14		(568	)
Euro		104,000		HSBC		136,725		10/2/14		(387	)
Euro		1,300,000		BCLY		1,709,236		10/16/14		(61,237	)
Euro		2,031,000		JPM		2,671,058		11/20/14		(28,366	)
Euro		414,000		BCLY		545,504		6/15/15		(9,656	)
Euro		720,000		BCLY		948,703		6/15/15		(15,432	)
Euro		2,499,000		BNP		3,292,790		6/15/15		(60,011	)
Euro		1,039,000		JPM		1,369,031		6/15/15		(20,216	)
Euro		1,242,000		JPM		1,636,512		6/15/15		(27,619	)
Euro		108,000		BOA		143,705		6/13/16		(2,154	)
Euro		477,000		DUB		634,699		6/13/16		(10,014	)
Japanese Yen		54,904,278		BOA		527,900		9/3/14		(6,100	)
Japanese Yen		172,295,722		GSC		1,656,610		9/3/14		1,830
Mexican Peso		7,781,340		GSC		594,576		9/23/14		(2,084	)
Mexican Peso		3,869,530		GSC		295,672		9/23/14		(537	)
Mexican Peso		8,612,955		BNP		654,532		12/18/14		10,573
Mexican Peso		10,688,000		GSC		812,223		12/18/14		12,223
Mexican Peso		5,192,480		JPM		394,597		12/18/14		(1,639	)
Mexican Peso		2,670,740		UBS		202,960		12/18/14		2,960

										(438,193	)

Contracts to Sell:
Brazilian Real		675,450		GSC		301,627		9/3/14		(1,947	)
Brazilian Real		675,450		UBS		301,628		9/3/14		(34	)
Brazilian Real		675,450		UBS		299,091		10/2/14		(3,625	)
British Pound		497,000		BCLY		824,124		9/11/14		10,095
British Pound		650,000		BOA		1,077,522		10/16/14		34,623
British Pound		600,000		CITI		994,636		10/16/14		32,222
Danish Krone		306,000		HSBC		54,097		4/1/15		655
Euro		150,000		BCLY		197,168		9/3/14		4,404
Euro		108,000		BOA		141,961		9/3/14		2,543
Euro		25,441,000		CITI		33,440,943		9/3/14		753,669
Euro		477,000		DUB		626,993		9/3/14		11,948

191



Notes to Financial Statements


(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Euro		22,619,000		GSC	$	29,736,331		10/2/14	$	120,568
Euro		4,065,683		BOA		5,345,545		10/16/14		190,569
Euro		2,649,729		CSFB		3,483,854		10/16/14		129,197
Euro		2,050,000		JPM		2,695,333		10/16/14		99,463
Euro		651,000		BCLY		857,785		6/15/15		26,670
Euro		761,000		BCLY		1,002,726		6/15/15		10,471
Euro		499,000		BNP		657,504		6/15/15		19,235
Euro		1,140,000		BOA		1,502,113		6/15/15		47,865
Euro		832,000		CITI		1,096,279		6/15/15		41,065
Euro		2,031,000		JPM		2,676,132		6/15/15		27,156
Euro		700,000		BOA		923,098		8/7/15		13,059
Euro		100,000		DUB		131,871		8/7/15		1,922
Euro		1,220,000		BOA		1,623,340		6/13/16		48,768
Euro		1,140,000		BOA		1,516,892		6/13/16		39,402
Euro		378,000		BOA		502,970		6/13/16		13,435
Euro		984,000		DUB		1,309,317		6/13/16		37,976
Euro		700,000		BCLY		931,816		6/27/16		30,719
Euro		633,000		BOA		842,629		6/27/16		28,901
Japanese Yen		10,200,000		GSC		98,072		9/3/14		1,623
Japanese Yen		217,000,000		UBS		2,086,438		9/3/14		21,709
Japanese Yen		172,295,722		GSC		1,656,979		10/2/14		(1,857	)
Japanese Yen		132,400,000		BCLY		1,273,435		10/16/14		31,268
Japanese Yen		260,360,000		JPM		2,504,166		10/16/14		57,474
Japanese Yen		10,148,120		BOA		97,954		8/7/15		2,046
Japanese Yen		61,181,100		HSBC		590,544		8/7/15		9,456
Mexican Peso		34,943,200		BNP		2,669,676		9/25/14		(2,182	)
Mexican Peso		694,979		GSC		52,928		11/13/14		(281	)
Mexican Peso		7,445,608		GSC		567,037		11/13/14		(4,871	)
Mexican Peso		2,179,876		GSC		165,733		12/11/14		(197	)
Mexican Peso		7,769,226		BOA		590,414		12/18/14		586
Mexican Peso		18,598,952		DUB		1,413,408		12/18/14		1,069
Mexican Peso		9,925,012		DUB		754,241		12/18/14		2,239
Mexican Peso		20,418,645		DUB		1,551,693		12/18/14		4,606
Mexican Peso		3,111,810		GSC		236,478		12/18/14		(1,671	)
Mexican Peso		11,819,055		BNP		897,828		12/24/14		(780	)
Mexican Peso		38,417,337		BNP		2,915,517		1/8/15		5,287
Mexican Peso		5,033,888		BNP		381,679		1/22/15		(1,404	)
Mexican Peso		789,647		BNP		59,872		1/22/15		(295	)
Mexican Peso		691,168		GSC		52,405		1/22/15		(72	)
Mexican Peso		5,916,907		BNP		448,225		2/5/15		(365	)
Mexican Peso		12,030,283		DUB		911,335		2/5/15		(812	)

										1,893,570

Net Unrealized Gain on Open Forward Foreign Currency Contracts									$	1,455,377

192



Notes to Financial Statements


(continued)

International Fixed Income Investments


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Buy:
Australian Dollar		5,997,204		SOG	$	5,601,686		9/3/14	$	28,343
Brazilian Real		1,776,502		BCLY		793,312		9/3/14		89
Brazilian Real		112,950		BOA		50,439		9/3/14		483
Brazilian Real		112,950		DUB		50,439		9/3/14		6
Brazilian Real		102,598		JPM		45,816		9/3/14		804
Brazilian Real		270,193		UBS		120,657		9/3/14		1,498
Brazilian Real		597,731		UBS		266,921		9/3/14		1,074
Brazilian Real		423,000		UBS		188,894		9/3/14		769
Brazilian Real		382,980		UBS		171,023		9/3/14		2,049
Brazilian Real		220,609		JPM		97,687		10/2/14		517
British Pound		140,000		BCLY		232,162		9/3/14		(5,643	)
British Pound		10,025,000		BOA		16,624,463		9/3/14		(646	)
British Pound		223,000		DUB		369,801		9/3/14		(39	)
Canadian Dollar		452,000		BOA		416,121		9/18/14		3,562
Chilean Peso		52,486,100		BNP		88,448		11/6/14		(1,866	)
Chilean Peso		16,383,150		UBS		27,608		11/6/14		(515	)
Chinese Onshore Renminbi		14,100,000		JPM		2,249,560		9/8/15		(46,857	)
Colombian Peso		453,116,500		BCLY		235,067		10/16/14		(2,789	)
Colombian Peso		82,914,750		BCLY		43,014		10/16/14		14
Colombian Peso		30,308,800		BNP		15,724		10/16/14		(276	)
Colombian Peso		32,317,000		BNP		16,765		10/16/14		(235	)
Colombian Peso		71,772,720		BNP		37,234		10/16/14		(766	)
Colombian Peso		109,839,000		BNP		56,982		10/16/14		(18	)
Colombian Peso		39,616,500		BOA		20,552		10/16/14		(448	)
Colombian Peso		9,489,500		BOA		4,923		10/16/14		(77	)
Colombian Peso		68,238,000		BOA		35,400		10/16/14		(600	)
Colombian Peso		142,080,000		DUB		73,708		10/16/14		(1,292	)
Colombian Peso		76,459,670		DUB		39,666		10/16/14		(1,334	)
Colombian Peso		405,987,000		DUB		210,617		10/16/14		(1,165	)
Colombian Peso		104,445,000		DUB		54,184		10/16/14		(816	)
Colombian Peso		131,307,000		DUB		68,119		10/16/14		(881	)
Euro		16,412,000		BCLY		21,572,767		9/3/14		(208,017	)
Euro		1,336,000		BNP		1,756,106		9/3/14		(26,690	)
Euro		859,000		BNP		1,129,113		9/3/14		(19,699	)
Euro		43,184,046		CITI		56,763,305		9/3/14		(162,294	)
Euro		1,036,000		DUB		1,361,771		9/3/14		(5,277	)
Euro		1,834,000		DUB		2,410,703		9/3/14		(21,337	)
Euro		45,700,954		GSC		60,071,656		9/3/14		(244,463	)
Euro		1,145,000		GSC		1,505,046		9/3/14		(29,168	)
Euro		2,158,000		HSBC		2,836,584		9/3/14		(42,985	)
Euro		1,817,000		JPM		2,388,357		9/3/14		(25,973	)
Euro		868,000		JPM		1,140,944		9/3/14		(20,358	)
Euro		2,649,000		JPM		3,481,980		9/3/14		(53,754	)
Euro		411,000		BCLY		540,326		10/2/14		(1,645	)
Hungarian Forint		81,137,871		JPM		338,017		10/30/14		(14,848	)
Indian Rupee		1,224,800		BCLY		20,025		10/15/14		25

193



Notes to Financial Statements


(continued)


Foreign Currency	Local Currency			Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Indian Rupee		4,905,600			BOA	$	80,207		10/15/14	$	207
Indian Rupee		11,042,430			UBS		180,544		10/15/14		(866	)
Indonesian Rupiah		889,077,025	��		HSBC		75,891		9/16/14		64
Indonesian Rupiah		137,909,596			UBS		11,772		9/16/14		78
Indonesian Rupiah		122,066,667			BCLY		10,366		10/15/14		81
Israeli New Shekel		213,000			DUB		59,620		9/8/14		(1,994	)
Japanese Yen		538,200,000			BNP		5,174,751		9/3/14		(110,082	)
Japanese Yen		31,800,000			DUB		305,754		9/3/14		(989	)
Japanese Yen		2,291,793,000			GSC		22,035,412		9/3/14		24,338
Japanese Yen		256,700,000			JPM		2,468,151		9/3/14		(42,193	)
Japanese Yen		83,200,000			JPM		799,961		9/3/14		(3,408	)
Korean Won		87,653,400			DUB		86,256		10/15/14		34
Malaysian Ringgit		165,620			BCLY		52,370		10/15/14		370
Malaysian Ringgit		1,096,300			DUB		346,654		10/15/14		(222	)
Malaysian Ringgit		54,800			DUB		17,328		10/15/14		82
Malaysian Ringgit		1,744,098			UBS		551,490		10/15/14		4,922
Mexican Peso		1,917,586			BNP		146,240		10/22/14		460
Mexican Peso		11,847,839			BNP		900,364		12/18/14		(1,813	)
Mexican Peso		3,149,520			BNP		239,344		12/18/14		(656	)
Mexican Peso		7,540,314			BNP		573,018		12/18/14		9,256
New Zealand Dollar		1,766,000			BOA		1,477,171		9/3/14		(27,488	)
Nigerian Naira		230,300			JPM		1,419		9/5/14		0
Peruvian Sol		83,579			DUB		29,298		9/25/14		(298	)
Philippine Peso		3,722,510			BCLY		85,146		10/15/14		(854	)
Philippine Peso		1,114,950			DUB		25,503		10/15/14		15
Polish Zloty		2,587,068			BCLY		804,237		10/30/14		(33,612	)
Polish Zloty		96,467			DUB		29,988		10/30/14		(12	)
Romanian New Leu		100,569			DUB		29,993		10/15/14		(7	)
South African Rand		284,393			BCLY		26,507		10/15/14		507
South African Rand		1,160,000			HSBC		108,120		10/15/14		844
South African Rand		271,000			HSBC		25,259		10/15/14		355
South African Rand		811,114			HSBC		75,602		10/15/14		602
South African Rand		284,848			HSBC		26,550		10/15/14		550
South African Rand		75,558			JPM		7,043		10/15/14		43
South African Rand		305,200			JPM		28,447		10/15/14		447
South African Rand		1,299,600			JPM		121,132		10/15/14		1,132
Swiss Franc		70,000			BNP		76,334		11/13/14		(662	)
Swiss Franc		430,000			GSC		468,909		11/13/14		(6,035	)
Thai Baht		1,279,600			DUB		39,993		10/15/14		(7	)
Thai Baht.		639,200			HSBC		19,978		10/15/14		(22	)
Thai Baht		319,300			HSBC		9,979		10/15/14		(21	)
Thai Baht		1,078,700			JPM		33,714		10/15/14		89
Thai Baht		28,330,885			UBS		885,462		10/15/14		7,203
Thai Baht		1,596,000			UBS		49,882		10/15/14		(118	)
Thai Baht		638,800			UBS		19,965		10/15/14		(35	)
Turkish Lira		306,000			BNP		140,276		10/15/14		(273	)
Turkish Lira		2,027,810			JPM		929,586		10/15/14		(4,200	)
Turkish Lira		2,027,810			JPM		929,586		10/15/14		(1,157	)

											(1,088,883	)

194



Notes to Financial Statements


(continued)


Foreign Currency	Local Currency		Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Contracts to Sell:
Australian Dollar		70,204		BNP	$	65,574		9/3/14	$	(574	)
Australian Dollar		1,895,000		GSC		1,770,024		9/3/14		(5,436	)
Australian Dollar		901,000		HSBC		841,578		9/3/14		(2,105	)
Australian Dollar		926,000		HSBC		864,929		9/3/14		(3,315	)
Australian Dollar		2,205,000		JPM		2,059,579		9/3/14		(16,861	)
Australian Dollar		5,997,204		SOG		5,590,375		10/2/14		(28,293	)
Brazilian Real		430,987		BCLY		192,461		9/3/14		(2,461	)
Brazilian Real		66,000		BCLY		29,473		9/3/14		(983	)
Brazilian Real		520,515		BCLY		232,440		9/3/14		(1,521	)
Brazilian Real		759,000		BCLY		338,937		9/3/14		(7,424	)
Brazilian Real		112,950		BOA		50,439		9/3/14		(6	)
Brazilian Real		112,950		DUB		50,439		9/3/14		(439	)
Brazilian Real		102,598		JPM		45,816		9/3/14		(5	)
Brazilian Real		1,673,904		UBS		747,495		9/3/14		(83	)
Brazilian Real		67,725		BCLY		29,989		10/2/14		11
Brazilian Real		112,950		BOA		50,014		10/2/14		(463	)
Brazilian Real		270,193		UBS		119,642		10/2/14		(1,450	)
Brazilian Real		382,980		UBS		169,585		10/2/14		(1,975	)
Brazilian Real		342,280		BOA		147,726		1/5/15		274
Brazilian Real		92,706		JPM		40,011		1/5/15		(1,065	)
Brazilian Real		235,750		JPM		101,748		1/5/15		(1,748	)
Brazilian Real		180,683		JPM		77,982		1/5/15		(836	)
Brazilian Real		1,113,209		UBS		480,455		1/5/15		(12,031	)
Brazilian Real		26,625		BCLY		11,234		4/2/15		(233	)
Brazilian Real		577,136		JPM		243,520		4/2/15		(5,477	)
Brazilian Real		217,174		DUB		90,831		5/5/15		(6,834	)
British Pound		1,326,000		BCLY		2,198,907		9/3/14		35,577
British Pound		764,000		BCLY		1,266,942		9/3/14		18,422
British Pound		331,000		BOA		548,898		9/3/14		6,383
British Pound		1,020,000		CITI		1,691,467		9/3/14	��	38,577
British Pound		1,270,000		DUB		2,106,041		9/3/14		37,424
British Pound		297,000		DUB		492,515		9/3/14		11,166
British Pound		592,000		HSBC		981,714		9/3/14		20,403
British Pound		1,714,000		HSBC		2,842,328		9/3/14		59,176
British Pound		407,000		HSBC		674,928		9/3/14		9,600
British Pound		856,000		HSBC		1,419,505		9/3/14		3,274
British Pound		1,811,000		JPM		3,003,182		9/3/14		71,379
British Pound		1,289,000		BNP		2,137,068		10/2/14		1,025
British Pound		10,025,000		BOA		16,620,714		10/2/14		736
Canadian Dollar		881,053		CITI		811,395		9/2/14		605
Canadian Dollar		6,024,000		CITI		5,545,833		9/18/14		(13,055	)
Canadian Dollar		1,351,000		HSBC		1,243,762		9/18/14		1,539
Canadian Dollar		740,000		HSBC		681,261		9/18/14		(2,022	)
Canadian Dollar		575,000		HSBC		529,358		9/18/14		(3,076	)
Canadian Dollar		767,000		JPM		706,117		9/18/14		(2,832	)
Canadian Dollar		1,511,672		BCLY		1,391,232		10/2/14		(486	)
Chilean Peso		31,514,400		BNP		53,107		11/6/14		893
Chilean Peso		4,666,800		BOA		7,864		11/6/14		136

195



Notes to Financial Statements


(continued)


Foreign Currency	Local Currency		Counterparty		Market Value			Settlement Date		Unrealized Gain (Loss)
Chinese Onshore Renminbi		14,100,000		JPM	$	2,249,560			9/8/15	$	(117,557	)
Colombian Peso		96,619,500		BCLY		50,124			10/16/14		876
Colombian Peso		300,285,753		DUB		155,782			10/16/14		(2,489	)
Colombian Peso		280,920,381		DUB		145,736			10/16/14		(818	)
Colombian Peso		226,558,250		DUB		117,534			10/16/14		2,202
Euro		1,805,000		BCLY		2,372,584			9/3/14		43,711
Euro		1,291,000		BCLY		1,696,956			9/3/14		30,030
Euro		21,473,000		BNP		28,225,202			9/3/14		499,080
Euro		1,023,000		BNP		1,344,684			9/3/14		29,989
Euro		44,431,000		BOA		58,402,364			9/3/14		1,298,327
Euro		44,314,000		CITI		58,248,574			9/3/14		1,312,766
Euro		107,000		DUB		140,646			9/3/14		2,786
Euro		729,000		DUB		958,235			9/3/14		22,711
Euro		816,000		DUB		1,072,592			9/3/14		20,654
Euro		674,000		GSC		885,940			9/3/14		19,822
Euro		424,000		GSC		557,327			9/3/14		10,926
Euro		1,912,000		JPM		2,513,230			9/3/14		53,527
Euro		752,000		BNP		988,625			10/2/14		3,274
Euro		43,184,000		CITI		56,772,348			10/2/14		162,301
Euro		45,701,000		GSC		60,081,351			10/2/14		243,603
Euro		1,424,000		GSC		1,872,078			10/2/14		7,949
Euro		2,346,000		HSBC		3,084,196			10/2/14		8,737
Euro		39,000		BNP		51,291			11/20/14		940
Euro		9,000		BOA		11,837			11/20/14		223
Hungarian Forint		4,799,896		DUB		19,996			10/30/14		4
Indonesian Rupiah		260,268,202		DUB		22,216			9/16/14		(427	)
Indonesian Rupiah		308,594,635		DUB		26,207			10/15/14		(121	)
Indonesian Rupiah		23,580,000		DUB		2,003			10/15/14		(3	)
Indonesian Rupiah		212,310,000		UBS		18,030			10/15/14		(30	)
Israeli New Shekel		213,000		BCLY		59,621			9/5/14		2,542
Israeli New Shekel		212,251		JPM		59,411			9/8/14		2,589
Japanese Yen		214,500,000		BNP		2,062,401			9/3/14		31,835
Japanese Yen		451,100,000		GSC		4,337,291			9/3/14		25
Japanese Yen		2,504,293,000		UBS		24,078,583	��		9/3/14		250,531
Japanese Yen		31,800,000		UBS		305,755			9/3/14		3,181
Japanese Yen		193,600,000		BNP		1,861,864			10/2/14		2,069
Japanese Yen		31,800,000		DUB		305,822			10/2/14		1,005
Japanese Yen		2,291,793,000		GSC		22,040,320			10/2/14		(24,700	)
Malaysian Ringgit		105,963		DUB		33,506			10/15/14		(506	)
Malaysian Ringgit		63,260		UBS		20,003			10/15/14		(3	)
Malaysian Ringgit		99,219		UBS		31,373			10/15/14		(435	)
Mexican Peso		1,501,813		JPM		114,754			9/23/14		783
Mexican Peso		198,738		BNP		15,149			10/30/14		(163	)
Mexican Peso		536,586		BCLY		40,777			12/18/14		223
Mexican Peso		933,479		BNP		70,938			12/18/14		(535	)
Mexican Peso		405,341		DUB		30,803			12/18/14		197
Mexican Peso		263,420		DUB		20,018			12/18/14		(18	)
Mexican Peso		144,056		DUB		10,947			12/18/14		53
Mexican Peso		706,249		HSBC		53,671			12/18/14		329

196



Notes to Financial Statements


(continued)


Foreign Currency	Local Currency			Counterparty		Market Value		Settlement Date		Unrealized Gain (Loss)
Mexican Peso		778,000			UBS	$	59,123		12/18/14	$	(36	)
New Zealand Dollar		2,183,000			DUB		1,825,970		9/3/14		19,763
Nigerian Naira		332,400			HSBC		2,047		9/5/14		(47	)
Nigerian Naira		230,300			JPM		1,411		10/2/14		(2	)
Norwegian Krone		12,779,000			CITI		2,059,746		11/13/14		(21,660	)
Peruvian Sol		50,544			BCLY		17,718		9/25/14		282
Polish Zloty		31,523			BCLY		9,800		10/30/14		200
Polish Zloty		15,504			BCLY		4,820		10/30/14		180
Polish Zloty		15,504			DUB		4,820		10/30/14		180
Polish Zloty		25,210			JPM		7,837		10/30/14		163
Romanian New Leu		76,000			BCLY		22,646		10/30/14		146
Romanian New Leu		172,251			DUB		51,326		10/30/14		638
Russian Ruble		1,894,395			BCLY		50,738		10/2/14		262
Russian Ruble		1,825,495			HSBC		48,893		10/2/14		107
Russian Ruble		1,166,640			BCLY		31,137		10/15/14		863
Russian Ruble		581,880			BCLY		15,530		10/15/14		470
Russian Ruble		1,166,560			HSBC		31,134		10/15/14		866
South African Rand		225,656			BCLY		21,033		10/15/14		(33	)
South African Rand		426,999			BCLY		39,799		10/15/14		(799	)
South African Rand		2,246,000			BCLY		209,343		10/15/14		(1,226	)
South African Rand		764,000			DUB		71,210		10/15/14		(280	)
South African Rand		429,440			DUB		40,027		10/15/14		(27	)
South African Rand		194,000			HSBC		18,082		10/15/14		(247	)
South African Rand		216,860			HSBC		20,213		10/15/14		(213	)
South African Rand		525,922			JPM		49,020		10/15/14		(20	)
South African Rand		873,000			JPM		81,369		10/15/14		912
South African Rand		3,714,224			JPM		346,192		10/15/14		(7,726	)
South African Rand		2,471,000			JPM		230,314		10/15/14		2,262
South African Rand		1,109,000			JPM		103,367		10/15/14		1,166
South African Rand		279,126			JPM		26,017		10/15/14		(17	)
Swiss Franc		290,000			BCLY		316,240		11/13/14		4,585
Swiss Franc		121,000			HSBC		131,948		11/13/14		1,730
Swiss Franc		968,000			JPM		1,055,590		11/13/14		3,604
Swiss Franc		2,237,000			UBS		2,439,415		11/13/14		36,717
Thai Baht		1,044,354			BCLY		32,640		10/15/14		98
Thai Baht		2,247,700			HSBC		70,250		10/15/14		(250	)
Thai Baht		960,450	��		UBS		30,018		10/15/14		(18	)
Turkish Lira		2,027,810			HSBC		929,587		10/15/14		(6,365	)
Turkish Lira		54,474			HSBC		24,972		10/15/14		28

											4,151,762

Net Unrealized Gain on Open Forward Foreign Currency Contracts										$	3,062,879

197



Notes to Financial Statements


(continued)

At August 31, 2014, 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 Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	BRL-CDI-Compounded		8.075%		01/02/2015		HSBC		BRL 2,700,000	$	(24,928	)	$	5,192		$	(30,120	)
Pay	BRL-CDI-Compounded		8.440%		01/02/2015		BOA		BRL 3,500,000		(18,106	)		21,391			(39,497	)
Pay	BRL-CDI-Compounded		8.560%		01/02/2015		UBS		BRL 1,300,000		(9,820	)		53			(9,873	)
Pay	BRL-CDI-Compounded		9.930%		01/02/2015		UBS		BRL 5,000,000		53,173			120			53,053
Pay	28-Day MXN TIIE Banxico		5.700%		01/18/2019		BOA		MXN 3,000,000		8,317			(807	)		9,124
Pay	28-Day MXN TIIE Banxico		5.700%		01/18/2019		DUB		MXN 1,000,000		2,772			(417	)		3,189
Pay	28-Day MXN TIIE Banxico		5.700%		01/18/2019		GSC		MXN 1,000,000		2,772			(291	)		3,063
Pay	28-Day MXN TIIE Banxico		5.700%		01/18/2019		JPM		MXN 1,000,000		2,772			(341	)		3,113
Pay	28-Day MXN TIIE Banxico		6.810%		06/19/2034		DUB		MXN 2,000,000		2,478			(1,788	)		4,266
Receive	3-Month USD-LIBOR		2.417%		11/15/2027		BCLY		USD 595,000		7,162			—			7,162
Receive	3-Month USD-LIBOR		2.750%		02/17/2042		BCLY		USD 1,545,000		87,329			—			87,329
Pay	3-Month USD-LIBOR		2.805%		04/09/2026		BCLY		USD 2,970,000		(53,733	)		—			(53,733	)
Receive	3-Month USD-LIBOR		3.125%		04/09/2046		BCLY		USD 1,340,000		40,908			—			40,908
Pay	3-Month USD-LIBOR		3.145%		03/15/2026		BCLY		USD 2,620,000		33,760			—			33,760
Receive	3-Month USD-LIBOR		3.490%		03/15/2046		BCLY		USD 1,170,000		(47,375	)		—			(47,375	)

										$	87,481		$	23,112		$	64,369

At August 31, 2014, Core 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

28-Day MXN TIIE Banxico

6.810%

06/19/2034

BCLY

MXN 29,000,000

31,414

Pay

3-Month USD-LIBOR

3.000%

09/21/2017

BCLY

USD 45,500,000

63,359

Receive

3-Month USD-LIBOR

3.000%

06/19/2043

BCLY

USD 7,400,000

(345,942

)

Receive

3-Month USD-LIBOR

3.676%

11/15/2043

CITI

USD 910,000

(120,024

)

Pay

3-Month USD-LIBOR

4.000%

06/19/2024

BCLY

USD 200,000

2,664

(368,529

)

At August 31, 2014, Core Fixed Income Investments held the following OTC credit default swap contracts:

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 8/31/14 (3)		Notional Amount (4)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Brazilian Government International, BBB-		1.000%		09/20/2016		JPM		0.589%		USD 5,800,000	$	61,037		$	(81,072	)	$	142,109
Italy Government International, BBB		1.000%		09/20/2016		BNP		0.497%		USD 300,000		3,722			3,210			512
Italy Government International, BBB		1.000%		06/20/2019		DUB		0.952%		USD 100,000		423			(727	)		1,150
Italy Government International, BBB		1.000%		06/20/2019		BCLY		0.952%		USD 100,000		423			(632	)		1,055
Metlife Inc., A-		1.000%		06/20/2017		DUB		0.301%		USD 900,000		19,480			19,332			148
Mexican Government International Bond, BBB+		1.000%		09/20/2016		JPM		0.289%		USD 5,800,000		97,214			23,195			74,019
Mexican Government International Bond, BBB+		1.000%		09/20/2019		HSBC		0.702%		USD 300,000		4,970			2,197			2,773
Mexican Government International Bond, BBB+		1.000%		09/20/2019		BOA		0.702%		USD 700,000		11,596			4,954			6,642
Russian Foreign Bond-Eurobon, BBB-		1.000%		09/20/2019		BCLY		2.559%		USD 800,000		(55,948	)		(47,017	)		(8,931	)

											$	142,917		$	(76,560	)	$	219,477

198



Notes to Financial Statements


(continued)

At August 31, 2014, 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 Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Pay	6-Month Australian Bank Bill		3.750%		03/15/2018		DUB		AUD 1,900,000	$	54,754		$	(831	)	$	55,585
Pay	BRL-CDI-Compounded		11.320%		01/04/2016		BCLY		BRL 900,000		4,124			4,411			(287	)
Pay	BRL-CDI-Compounded		11.320%		01/04/2016		BNP		BRL 1,000,000		4,583			3,738			845
Pay	BRL-CDI-Compounded		11.320%		01/04/2016		HSBC		BRL 600,000		2,749			2,604			145
Receive	BRL-CDI-Compounded		11.510%		01/04/2021		BNP		BRL 200,000		(1,470	)		—			(1,470	)
Receive	BRL-CDI-Compounded		12.250%		01/02/2017		UBS		BRL 300,000		(3,608	)		(404	)		(3,204	)
Pay	Colombia IBR Overnight Interbank Reference Rate		5.310%		08/29/2019		BOA		COP 200,000,000		350			—			350
Pay	Colombia IBR Overnight Interbank Reference Rate		6.200%		03/21/2024		HSBC		COP 120,000,000		980			—			980
Pay	28-Day MXN TIIE Banxico		6.000%		09/02/2022		HSBC		MXN 7,400,000		9,833			(344	)		10,177
Pay	28-Day MXN TIIE Banxico		7.380%		02/09/2029		JPM		MXN 500,000		3,594			(11	)		3,605
Pay	6-Month Thailand Fixing Rate		3.410%		01/15/2021		DUB		THB 4,200,000		3,364			—			3,364
Pay	6-Month Thailand Fixing Rate		3.410%		01/21/2021		DUB		THB 750,000		592			—			592
Pay	3-Month ZAR-SAJIBOR		8.000%		12/18/2023		BCLY		ZAR 3,400,000		5,454			(113	)		5,567

										$	85,299		$	9,050		$	76,249

At August 31, 2014, 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)

Receive

6-Month EURIBOR

2.000%

09/17/2024

BCLY

EUR 3,200,000

(192,151

)

Receive

6-Month EURIBOR

2.000%

09/17/2024

CITI

EUR 2,400,000

(157,884

)

Receive

6-Month EURIBOR

2.750%

09/17/2044

BCLY

EUR 600,000

(130,844

)

Receive

6-Month GBP-LIBOR

1.750%

12/17/2016

BCLY

GBP 16,800,000

(119,255

)

Receive

6-Month GBP-LIBOR

1.750%

12/17/2016

UBS

GBP 6,200,000

(47,575

)

Pay

6-Month JPY-LIBOR

1.500%

06/19/2033

BCLY

JPY 3,380,000,000

1,506,743

Receive

3-Month USD-LIBOR

0.750%

06/19/2017

BCLY

USD 1,600,000

643

Receive

3-Month USD-LIBOR

1.000%

09/17/2016

BCLY

USD 9,800,000

(4,114

)

Receive

3-Month USD-LIBOR

1.200%

07/15/2015

UBS

USD 1,100,000

(10,031

)

Receive

3-Month USD-LIBOR

1.250%

03/18/2017

BCLY

USD 10,800,000

(25,788

)

Receive

3-Month USD-LIBOR

1.250%

06/17/2017

BCLY

USD 24,800,000

43,942

Receive

3-Month USD-LIBOR

1.500%

06/19/2020

BCLY

USD 1,600,000

35,536

Receive

3-Month USD-LIBOR

2.500%

06/18/2021

CITI

USD 7,600,000

(180,069

)

Receive

3-Month USD-LIBOR

2.750%

06/19/2043

CSFB

USD 100,000

(12,952

)

Receive

3-Month USD-LIBOR

3.750%

06/18/2044

CITI

USD 700,000

(100,739

)

605,462

At August 31, 2014, International 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 8/31/14 (3)		Notional Amount (4)		Market Value			Upfront Premiums Received			Unrealized Appreciation/ (Depreciation)
American General Finance Corp., B-		(1.820%	)		12/20/2017		RBS		1.935%		USD 1,000,000	$	(45	)	$	—		$	(45	)
First Energy, BBB-		(0.940%	)		06/20/2017		RBS		0.426%		USD 1,000,000		(16,304	)		—			(16,304	)
Macy’s Retail Holdings Inc., BBB+,		(5.000%	)		09/20/2014		BNP		0.065%		USD 650,000		(8,550	)		(67,378	)		58,828
Marsh & McLennan Cos., Inc., A-,		(0.670%	)		09/20/2014		DUB		0.032%		USD 1,000,000		(1,748	)		—			(1,748	)

199



Notes to Financial Statements


(continued)


Reference Obligation	Fixed Deal (Pay) Rate			Maturity Date		Counterparty		Implied Credit Spread at 8/31/14 (3)		Notional Amount (4)		Market Value			Upfront Premiums Received			Unrealized Appreciation/ (Depreciation)
Starwood Hotels & Resorts World, BBB,		(1.490%	)		06/20/2018		BOA		0.395%		USD 1,000,000	$	(44,166	)	$	—		$	(44,166	)
Tate & Lyle International Finance PLC, BBB,		(0.510%	)		12/20/2014		DUB		0.074%		USD 100,000		(240	)		—			(240	)
UST Inc., BBB+		(0.720%	)		03/20/2018		GSC		0.125%		USD 500,000		(11,241	)		—			(11,241	)

												$	(82,294	)	$	(67,378	)	$	(14,916	)

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 8/31/14 (3)		Notional Amount (4)		Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation
Brazilian Government International Bond, BBB-,		1.000%		03/20/2015		HSBC		0.351%		USD 100,000	$	568	$	457		$	111
Colombia Government International, BBB,		1.000%		03/20/2016		DUB		0.298%		USD 100,000		1,306		601			705
Colombia Government International, BBB,		1.000%		06/20/2019		BCLY		0.755%		USD 100,000		1,343		439			904
Italy Government International, BBB,		1.000%		03/20/2018		BNP		0.770%		USD 5,700,000		57,340		(358,205	)		415,545
Italy Government International, BBB,		1.000%		09/20/2019		DUB		0.980%		USD 300,000		902		580			322
Italy Government International, BBB,		1.000%		09/20/2019		BNP		0.980%		USD 300,000		902		581			321
Italy Government International, BBB,		1.000%		09/20/2019		BCLY		0.980%		USD 300,000		901		580			321
Italy Government International, BBB,		1.000%		09/20/2019		HSBC		0.980%		USD 100,000		301		218			83
Japan Government 20-Year Bond, AA-,		1.000%		03/20/2016		GSC		0.113%		USD 3,100,000		49,514		(31,831	)		81,345
Japan Government 20-Year Bond, AA-,		1.000%		03/20/2016		RBS		0.113%		USD 5,000,000		79,861		10,601			69,260
South Africa Government International, BBB-,		1.000%		06/20/2015		BOA		0.361%		USD 400,000		2,901		2,329			572
South Africa Government International, BBB-,		1.000%		09/20/2015		BOA		0.411%		USD 100,000		833		590			243
U.S. Treasury Notes, AA+,		0.250%		06/20/2016		BNP		0.144%		EUR 700,000		2,254		(7,057	)		9,311

											$	198,926	$	(380,117	)	$	579,043

At August 31, 2014, International Fixed Income Investments held the following OTC cross currency swap contracts:

OTC Cross-Currency Swaps


Counterparty Receive	Counterparty Pay	Counterparty		Maturity Date (5)		Notional Amount of Currency Received (6)		Notional Amount of Currency Delivered (6)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Depreciation
Floating rate equal to 3-Month USD- LIBOR based on the notional amount of currency received	Floating rate equal to EURIBOR based on the notional amount of currency delivered		BOA		12/17/19		EUR 2,400	$	3,162	$	(7,340	)	$	240		$	(7,580	)
Floating rate equal to 3-Month USD- LIBOR based on the notional amount of currency received	Floating rate equal to EURIBOR based on the notional amount of currency delivered		GSC		12/17/19		EUR 3,900	$	5,139		(12,708	)		(4,169	)		(8,539	)

200



Notes to Financial Statements


(continued)


Counterparty Receive	Counterparty Pay	Counterparty		Maturity Date (5)		Notional Amount of Currency Received (6)		Notional Amount of Currency Delivered (6)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Depreciation
Floating rate equal to 3-Month USD- LIBOR based on the notional amount of currency received	Floating rate equal to EURIBOR based on the notional amount of currency delivered		BNP		12/17/19		EUR 4,500	$	5,934	$	(19,013	)	$	(19,013	)	$	—

										$	(39,061	)	$	(22,942	)	$	(16,119	)

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap contract, 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 contract, 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 contracts on corporate issues or sovereign issues 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 pay 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 contract.

(5)

At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered.

(6)

The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap.


Currency Abbreviations used in this schedule:
AUD		Australian Dollar
BRL		Brazilian Real
COP		Colombian Peso
EUR		Euro
GBP		British Pound
JPY		Japanese Yen
MXN		Mexican Peso
THB		Thai Baht
ZAR		South African Rand


Counterparty Abbreviations used in this schedule:
BCLY		Barclays Bank PLC
BNP		BNP Paribas SA
BOA		Bank of America
CITI		Citigroup Global Markets Inc.
CSFB		Credit Suisse Securities (USA) LLC
DUB		Deutsche Bank AG
GSC		Goldman Sachs & Co.
HSBC		HSBC Bank USA
JPM		JPMorgan Chase & Co.
MSC		Morgan Stanley & Co., Inc.
RBS		Royal Bank of Scotland PLC
SOG		Societe Generale SA
UBS		UBS Securities LLC

201



Notes to Financial Statements


(continued)

At August 31, 2014, Core Fixed Income Investments and International Fixed Income Investments deposited cash collateral with brokers in the amount of $61,645 and $283,906, respectively, for open centrally cleared interest rate swap contracts. These amounts are disclosed within “Deposits with counterparty” within the Statements of Assets and Liabilities for the respective Funds.

4. Shares of Beneficial Interest

At August 31, 2014, 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, 2014, 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, 2014			Year Ended August 31, 2013
Large Capitalization Growth Investments
Shares sold		12,366,557			7,817,522
Shares issued on reinvestment		6,165,022			340,287
Shares repurchased		(19,735,817	)		(22,273,346	)

Net Decrease		(1,204,238	)		(14,115,537	)


Large Capitalization Value Equity Investments
Shares sold		24,022,081			7,239,697
Shares issued on reinvestment		1,691,655			2,503,265
Shares repurchased		(15,551,093	)		(26,679,654	)

Net Increase (Decrease)		10,162,643			(16,936,692	)


Small Capitalization Growth Investments
Shares sold		771,083			2,648,785
Shares issued on reinvestment		353,254			—
Shares repurchased		(3,073,273	)		(2,801,061	)

Net Decrease		(1,948,936	)		(152,276	)


Small Capitalization Value Equity Investments
Shares sold		3,589,353			2,153,631
Shares issued on reinvestment		1,929,295			1,461,654
Shares repurchased		(2,077,176	)		(3,493,405	)

Net Increase		3,441,472			121,880


International Equity Investments
Shares sold		32,103,189			34,257,114
Shares issued on reinvestment		1,034,174			704,164
Shares repurchased		(8,350,211	)		(10,538,080	)

Net Increase		24,787,152			24,423,198


Emerging Markets Equity Investments
Shares sold		4,170,124			2,636,648
Shares issued on reinvestment		3,256,283			851,922
Shares repurchased		(11,227,992	)		(21,256,178	)

Net Decrease		(3,801,585	)		(17,767,608	)

202



Notes to Financial Statements


(continued)


	Year Ended August 31, 2014			Year Ended August 31, 2013
Core Fixed Income Investments
Shares sold		12,310,395			20,001,580
Shares issued on reinvestment		2,856,005			7,622,446
Shares repurchased		(35,172,048	)		(28,098,176	)

Net Decrease		(20,005,648	)		(474,150	)


High Yield Investments
Shares sold		35,494,848			3,801,205
Shares issued on reinvestment		2,684,815			2,938,436
Shares repurchased		(5,764,894	)		(44,232,029	)

Net Increase (Decrease)		32,414,769			(37,492,388	)


International Fixed Income Investments
Shares sold		5,244,975			5,390,247
Shares issued on reinvestment		2,272,211			2,978,377
Shares repurchased		(13,828,448	)		(19,172,473	)

Net Decrease		(6,311,262	)		(10,803,849	)


Municipal Bond Investments
Shares sold		1,965,811			1,883,009
Shares issued on reinvestment		264,973			254,965
Shares repurchased		(3,019,390	)		(2,389,727	)

Net Decrease		(788,606	)		(251,753	)


Money Market Investments
Shares sold		178,917,685			395,768,819
Shares issued on reinvestment		2,839			6,078
Shares repurchased		(310,888,303	)		(166,920,974	)

Net Increase (Decrease)		(131,967,779	)		228,853,923

5. Dividends and Tax Components of Capital

The tax character of distributions paid during the fiscal year ended August 31, 2014, were as follows:


	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments		Small Capitalization Growth Investments		Small Capitalization Value Equity Investments
Distributions paid from:
Ordinary Income	$	18,292,797	$	20,452,719	$	—	$	5,180,816
Net Long-term Capital Gains		106,183,313		—		9,799,673		22,893,312

Total Distributions Paid	$	124,476,110	$	20,452,719	$	9,799,673	$	28,074,128


	International Equity Investments		Emerging Markets Equity Investments		Core Fixed Income Investments		High Yield Investments
Distributions paid from:
Ordinary Income	$	12,213,953	$	7,358,901	$	23,795,682	$	11,814,472
Net Long-term Capital Gains		—		35,690,720		—		—

Total Distributions Paid	$	12,213,953	$	43,049,621	$	23,795,682	$	11,814,472

203



Notes to Financial Statements


(continued)



	International Fixed Income Investments		Municipal Bond Investments		Money Market Investments
Distributions paid from:
Tax Exempt	$	—	$	2,330,869	$	—
Ordinary Income		17,201,477		3,140		2,854
Net Long-term Capital Gains		—		197,163		—

Total Distributions Paid	$	17,201,477	$	2,531,172	$	2,854

The tax character of distributions paid during the fiscal year ended August 31, 2013, were as follows:


	Large Capitalization Growth Investments		Large Capitalization Value Equity Investments		Small Capitalization Growth Investments		Small Capitalization Value Equity Investments
Distributions paid from:
Ordinary Income	$	5,601,128	$	23,555,726	$	—	$	3,413,990
Net Long-term Capital Gains		—		—		—		14,520,433

Total Distributions Paid	$	5,601,128	$	23,555,726	$	—	$	17,934,423


	International Equity Investments		Emerging Markets Equity Investments		Core Fixed Income Investments		High Yield Investments
Distributions paid from:
Ordinary Income	$	7,126,143	$	12,983,437	$	51,413,363	$	12,727,727
Net Long-term Capital Gains		—		—		14,000,563		—

Total Distributions Paid	$	7,126,143	$	12,983,437	$	65,413,926	$	12,727,727


			International Fixed Income Investments		Municipal Bond Investments		Money Market Investments
Distributions paid from:
Tax Exempt			$	—	$	2,480,043	$	—
Ordinary Income				24,541,825		2,866		6,099
Net Long-term Capital Gains				—		—		—

Total Distributions Paid			$	24,541,825	$	2,482,909	$	6,099

As of August 31, 2014, 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	$	34,452,858		$	15,619,058		$	15,724,774		$	3,908,353
Undistributed long-term capital gains - net		137,030,847			—			44,874,050			20,054,286

Total Undistributed earnings		171,483,705			15,619,058			60,598,824			23,962,639
Capital Loss Carryforward		—			(276,781,593	)		—			—
Current Year Late Year Loss Deferral		—			—			—			—
Other book/tax temporary differences		(13,836,774	)(c)		(9,106,864	)(d)		(529,819	)(e)		(1,196,448	)(e)
Unrealized appreciation (depreciation)		588,258,577			388,221,181			65,257,201			78,680,730

Total accumulated earnings/(losses) - net	$	745,905,508		$	117,951,782		$	125,326,206		$	101,446,921

204



Notes to Financial Statements


(continued)



	International Equity Investments			Emerging Markets Equity Investments			Core Fixed Income Investments			High Yield Investments
Undistributed ordinary income - net	$	19,199,324		$	5,041,603		$	3,965,722		$	1,134,178
Undistributed long-term capital gains - net		—			—			5,688,406			—

Total Undistributed earnings		19,199,324			5,041,603			9,654,128			1,134,178
Capital Loss Carryforward		(240,498,962	)		—			—			(12,369,440	)
Current Year Late Year Loss Deferral		—			(4,157,103	)		—			—
Other book/tax temporary differences		(6,351,964	)(b)		(9,280,638	)(b)		(5,566,918	)(f)		(1,336,024	)(a)
Unrealized appreciation (depreciation)		83,714,236			67,863,069			23,072,306			6,026,355

Total accumulated earnings/(losses) - net	$	(143,937,366	)	$	59,466,931		$	27,159,516		$	(6,544,931	)


				International Fixed Income Investments			Municipal Bond Investments			Money Market Investments
Undistributed ordinary income - net				$	8,311,422		$	—		$	590
Undistributed long-term capital gains - net					—			413,472			—
Undistributed Tax Exempt Income - net					—			340,745			—

Total Undistributed earnings					8,311,422			754,217			590
Capital Loss Carryforward					(5,158,213	)		—			—
Current Year Late Year Loss Deferral					(1,756,973	)		—			—
Other book/tax temporary differences					(7,880,364	)(f)		72	(a)		—
Unrealized appreciation (depreciation)					11,714,055			6,223,002			—

Total accumulated earnings/(losses) - net				$	5,229,927		$	6,977,291		$	590

As of August 31, 2014, 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.

(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.

(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 tax cost adjustments related to ROC dividends received.

(d)

(e)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to ROC dividends received and real estate investments, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies.

(f)

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.

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.

205



Notes to Financial Statements


(continued)

As of August 31, 2014, 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
8/31/2014	$	—	$	—	$	—	$	—	$	—	$	—
8/31/2015		—		—		—		—		—		—
8/31/2016		—		—		—		—		—		—
8/31/2017		—		—		—		—		—		—
8/31/2018		—		276,781,593		—		—		240,498,962		—
8/31/2019		—		—		—		—		—		—
8/31/2020		—		—		—		—		—		—
8/31/2021		—		—		—		—		—		—
Non-expiring:
Short-Term		—		—		—		—		—		—
Long-Term		—		—		—		—		—		—

	$	—	$	276,781,593	$	—	$	—	$	240,498,962	$	—


Year of Expiration			Core Fixed Income Investments		High Yield Investments		International Fixed Income Investments		Municipal Bond Investments		Money Market Investments
8/31/2014			$	—	$	—	$	—	$	—	$	—
8/31/2015				—		—		—		—		—
8/31/2016				—		—		—		—		—
8/31/2017				—		6,697,249		—		—		—
8/31/2018				—		5,672,191		4,975,707		—		—
8/31/2019				—		—		—		—		—
8/31/2020				—		—		—		—		—
8/31/2021				—		—		—		—		—
Non-expiring:
Short-Term				—		—		—		—		—
Long-Term				—		—		182,506		—		—

			$	—	$	12,369,440	$	5,158,213	$	—	$	—

These amounts will be available to offset any future taxable capital gains.

During the year ended August 31, 2014 the Large Capitalization Value Equity Investments, International Equity Investments and High Yield Investments utilized $81,393,931, $73,229,834 and $1,816,911 capital loss carryforwards, respectively.

7. Recent Accounting Pronouncements

In June 2013, FASB issued an update (‘‘ASU 2013-08’’) to ASC Topic 946, Financial Services — Investment Companies (‘‘Topic 946’’). ASU 2013-08 amends the guidance in Topic 946 for determining whether an entity qualifies as an investment company and requires certain additional disclosures. ASU 2013-08 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2013. Management is currently evaluating the impact, if any, of ASU 2013-08 on the Funds’ financial statements.

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 other than the distribution information below.

Subsequent to August 31, 2014, the Funds made the following distributions:


Record Date Payable Date	Core Fixed Income Investments		High Yield Investments		Municipal Bond Investments		Money Market Investments
9/29/14-9/30/14	$	0.017626	$	0.021900	$	0.025197	$	0.0000008

206



Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders 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, 2014, 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 five 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.

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, 2014, 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 the Consulting Group Capital Markets Funds as of August 31, 2014, 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 five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

October 30, 2014

207

Board Approval of Management Agreement and Investment Advisory Agreements

(unaudited)

Approval of Management Agreement and Subadvisory Agreements

The Consulting Group Capital Markets Funds (“Trust” and, each series thereof a “Fund”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley Smith Barney Holdings LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.

At an in-person meeting held on May 28-29, 2014, the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. Both in connection with the meeting specifically held to address the continuance of the Agreements and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-Advisers. In addition to the Management Agreement, the Board approved the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund:


Sub-adviser Name		Fund(s)

Artisan Partners Limited Partnership		¨ Large Cap Value Equity Investments

BlackRock Financial Management, Inc.		¨ Core Fixed Income Investments

Cambiar Investors, LLC		¨ Large Cap Value Equity Investments

Delaware Management Company		¨ Small Cap Value Equity Investments

The Dreyfus Corporation		¨ Money Market Investments

Frontier Capital Management Co., LLC		¨ Large Cap Growth Investments

HGK Asset Management Inc.		¨ Large Cap Value Equity Investments

Lazard Asset Management LLC		¨ Emerging Markets Equity Investments

Marsico Capital Management, LLC		¨ International Equity Investments

McDonnell Investment Management, LLC		¨ Municipal Bond Investments

Metropolitan West Asset Management LLC		¨ Core Fixed Income Investments

NFJ Investment Group LLC		¨ Large Cap Value Equity Investments ¨ Small Cap Value Equity Investments

Pacific Investment Management Company LLC		¨ Core Fixed Income Investments ¨ International Fixed Income Investments

PENN Capital Management Co., Inc.		¨ High Yield Investments

Philadelphia International Advisors LP		¨ International Equity Investments

Rutabaga Capital Management LLC		¨ Small Cap Value Equity Investments

208



Board Approval of Management Agreement and Investment Advisory Agreements


(unaudited) (continued)


Sub-adviser Name		Fund(s)

Schroder Investment Management North America Inc.		¨ International Equity Investments

Schroder Investment Management North America Ltd.		¨ International Equity Investments

Vontobel Asset Management, Inc.		¨ Emerging Markets Equity Investments

Wall Street Associates LLC		¨ Small Cap Growth Investments

Wells Capital Management Inc.		¨ Large Cap Growth Investments

Western Asset Management Company		¨ Core Fixed Income Investments ¨ High Yield Investments

Westfield Capital Management Company, LLC		¨ Large Cap Growth Investments ¨ Small Cap Growth Investments

In their consideration of the continuance of the Agreements, the Board considered all factors that it believed to be relevant, including the factors described below. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Agreements.

Nature, Extent and Quality of the Services Provided Under the 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 Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. 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 Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically took into account each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers to the respective Fund.

The Independent Trustees also discussed the acceptability of the terms of the Sub-Advisory Agreements. The Independent Trustees also considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act and those of each Sub-adviser.

During the course of the year and at the meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and 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

As to each Fund, the Board received and considered performance information provided by Lipper, Inc. (“Lipper”), an independent provider of investment company data, for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”). As to each Fund, the Board was provided

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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 advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. In addition, as to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. The information comparing each Fund’s performance to that of its Performance Universe was for the one-, three-, five- and ten-year periods ended March 31, 2014. The Board noted that each of Large Cap Growth Investments and High Yield Investments performed better than the median performance of the funds in the Performance Universe for each period, each of Small Cap Value Equity Investments, Core Fixed Income Investments, International Fixed Income Investments and Money Market Investments performed below the median performance of the funds in the Performance Universe for the one-year period but better than the median performance of the funds in the Performance Universe for each other period, Small Cap Growth Investments performed better than the median performance of the funds in the Performance Universe for each period except the ten-year period, Municipal Bond Investments performed better than the median performance of the funds in the Performance Universe for the one- and ten-year periods and below the median performance of the funds in the Performance Universe for the three- and five-year periods, Large Cap Value Equity Investments performed better than the median performance of the funds in the Performance Universe for the five-year period but below the median performance of the funds in the Performance Universe for each other period, and each of International Equity Investments and Emerging Markets Equity Investments performed below the median performance of the funds in the Performance Universe for each period. The Independent Trustees and representatives of the Manager then discussed the reasons for certain Fund’s underperformance versus the relevant Performance Universe during certain periods under review and actions taken or proposed, as applicable, to improve performance going forward. During the discussion, the Trustees and representatives of the Manager considered the Funds’ performance in light of overall financial market conditions and the nature of the investment objectives and strategies of certain Funds, prospectus disclosure regarding the risks involved with such strategies and investor expectations.

Based on its review, as to each Fund, the Board was generally satisfied with the overall performance of the Fund 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 Independent Trustees’ Performance Committee to continue to periodically review Fund performance with the Manager and report to the full Board.

Management Fees and Expense Ratios

As to each Fund, the Board reviewed and considered the contractual management fees (“Contractual Management Fees”) payable by the Fund 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, respectively. The Board also reviewed and considered whether fee waiver and/or expense reimbursement arrangements are currently in place for a Fund and considered the actual fee rate (after taking any such waivers and reimbursements into account) (“Actual Management Fee”) and whether any fee waivers and expense reimbursements could be discontinued. 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 the Fund and its shareholders. The Board also reviewed with management the scope of services provided to the Fund by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-Advisers. 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.

Additionally, the Board received and considered information comparing each Funds’ Contractual Management Fees and Actual Management Fees and the Fund’s actual total expenses with those of a group of funds selected by Lipper as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Lipper (the “Expense Universe”). This information showed that each Fund’s Contractual Management Fee, except for that of High Yield Investments, was lower than the median Contractual Management Fee for the funds in the applicable Expense Group, and that each Fund’s Actual Management Fee, except for that of Fixed Income Investments and High Yield Investments, was lower than the average Actual Management Fee for the funds in the Expense Universe. The Independent Trustees noted that the Actual Management Fee for each of Fixed Income Investments and High Yield Investments were at the median Actual Management Fee for the funds in the

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applicable Expense Group. This information also showed that each Fund’s actual total expense ratio, except for Money Market Investments, was lower than, and Money Market Investments was at, the median of the total expense ratios of the funds in the applicable Expense Group and the average actual total expense ratio for the funds in the applicable Expense Universe.

The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.

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-adviser’s 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. As to each Fund, 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 Fund.

Economies of Scale

As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economics of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.

Other Benefits to the Manager and the Sub-advisers

As to each Fund, 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 Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s costs of providing day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.

******

At an in-person meeting of the Board of Trustees of the Trust held on March 19-20, 2014 (“March Meeting”), the Manager recommended and the Board, including all of the Independent Trustees, approved an Investment Advisory Agreement (“Causeway Advisory Agreement”) between the Manager and Causeway Capital Management (“Causeway”), pursuant to which Causeway provides day-to-day management of an allocated portion of the assets of International Equity Investments (“International Equity Fund”).

In determining whether to approve the Causeway Advisory Agreement, the Board considered the due diligence materials prepared by the Manager and other information, which included: (i) a copy of the Causeway Advisory Agreement; (ii) information regarding the process by which the Manager selected and recommended Causeway for Board approval; (iii) information regarding the nature, extent and quality of the services Causeway would provide to the International Equity Fund; (iv) information regarding Causeway’s investment management business, personnel, and operations; (v) information regarding Causeway’s brokerage and trading policies and practices; (vi) information regarding the sub-investment advisory fee to be paid to Causeway; (vii) information regarding

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Causeway’s compliance program; (viii) information regarding Causeway’s historical performance returns managing investment mandates similar to International Equity Fund’s investment mandate with respect to the portion of the Fund’s assets to be allocated to Causeway, with such performance compared to a relevant index; and (ix) information regarding Causeway’s financial condition. The Independent Trustees also considered whether there were any ancillary benefits that may accrue to Causeway as a result of its relationship with International Equity Fund. The materials and information were provided in advance of and at the March Meeting. Representatives from Causeway also made a presentation to and responded to questions from the Board. The Independent Trustees were assisted in their review by Fund counsel and Independent Counsel and met with Independent Counsel in executive sessions separate from representatives of the Manager and Causeway.

The Independent Trustees concluded that the nature, extent and quality of the sub-investment advisory services expected to be provided by Causeway were adequate and appropriate in light of Causeway’s experience in managing international equity assets, Causeway’s portfolio management and research resources to be applied in managing a portion of International Equity Fund’s assets, and the Manager’s recommendation to engage Causeway, and supported a decision to approve the Causeway Advisory Agreement.

Because Causeway was a newly-appointed sub-adviser for the International Equity Fund, the Independent Trustees could not consider its investment performance in managing a portion of the Fund’s portfolio as a factor in evaluating the Causeway Advisory Agreement during the March Meeting. However, the Independent Trustees did review Causeway’s historical performance record in managing other portfolios that were comparable to the International Equity Fund with respect to its investment mandate. The Independent Trustees also discussed with representatives of Adviser and Causeway the investment strategies to be employed by Causeway in the management of its portion of the Fund’s assets. The Independent Trustees noted Causeway’s reputation and experience with respect to international equity investing, the portfolio manager’s experience in selecting international value stocks, and the Manager’s experience and reputation in selecting, evaluating, and overseeing investment managers. The Independent Trustees determined that these factors supported a decision to approve the Causeway Advisory Agreement.

The Board considered the proposed fee payable under the Causeway Advisory Agreement, noting that the proposed fee would be paid by the Manager and, thus, would not impact the fees paid by the International Equity Fund. The Board recognized that, because Causeway’s fee would be paid by the Manager, and not the International Equity Fund, an analysis of profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager and, therefore, the Board received and considered a profitability analysis of the Manager with respect to the proposed addition of Causeway as an additional sub-adviser for the International Equity Fund. The Independent Trustees concluded that the proposed fee payable to Causeway by the Manager with respect to the assets to be allocated to Causeway was reasonable and appropriate and the Manager’s profitability was not excessive in light of the nature, extent and quality of the services to be provided to the International Equity Fund by Causeway.

The Independent Trustees recognized that because the proposed fee payable to Causeway would be paid by the Manager, and not International Equity Fund, and, thus, would not impact the fees paid by International Equity Fund, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of economies of scale with respect to Causeway were not relevant to the Independent Trustees’ determination to approve the Causeway Advisory Agreement. The Independent Trustees also concluded that any benefits that were expected to accrue to Causeway by virtue of its relationship with International Equity Fund were reasonable.

After consideration of the factors discussed above, with no single factor identified as the principal factor, the Independent Trustees approved the Causeway Advisory Agreement. The Causeway Advisory Agreement became effective on May 22, 2014.

******

Due to a change in the ownership structure of Wall Street Associates LLC (“Wall Street”) that occurred on March 5, 2014 (the “Wall Street Transaction”), the original Investment Advisory Agreement (“Initial Wall Street Advisory Agreement”) between the Manager and Wall Street, pursuant to which Wall Street managed an allocated portion of the assets of Small Capitalization Growth Investments (“Small Cap Growth Fund”), was terminated in accordance with its terms and the provisions of the 1940 Act. To enable Wall Street to provide uninterrupted sub-investment advisory services to the Small Cap Growth Fund, at the March Meeting, the Manager recommended and the Board, including all of the Independent Trustees, approved a new Investment Advisory Agreement (“Current Wall Street Advisory Agreement”) between the Manager and Wall Street. The Board noted that the Current Wall Street Advisory Agreement is substantially the same in all material respects as the Initial Advisory Agreement.

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In determining whether to approve the Current Wall Street Advisory Agreement at the March Meeting, the Board considered materials prepared in connection with the May 29-30, 2013 Board meeting and the March Meeting and other information, which included: (i) a copy of the Current Wall Street Advisory Agreement; (ii) information regarding the process by which the Manager initially recommended Wall Street for Board approval and the Manager’s rationale for retaining Wall Street following the closing of the Wall Street Transaction; (iii) information regarding the nature, extent and quality of the services that Wall Street provided to the Small Cap Growth Fund; (iv) information regarding Wall Street’s investment management business, personnel, and operations, which were expected to remain substantially the same after the Wall Street Transaction; (v) information regarding Wall Street’s brokerage and trading policies and practices; (vi) information regarding the level of sub-investment advisory fees charged by Wall Street; (vii) information regarding Wall Street’s compliance program; (viii) information regarding Wall Street’s historical performance returns managing its allocated portion of the Small Cap Growth Fund’s assets and information comparing that performance to a relevant index; and (ix) information regarding Wall Street’s financial condition. The Independent Trustees were assisted in their review by Fund counsel and Independent Counsel and met with Independent Counsel in executive sessions separate from representatives of the Manager.

The Independent Trustees concluded that the nature, extent and quality of the sub-investment advisory services provided by Wall Street under the Initial Wall Street Advisory Agreement, as well as Wall Street’s ability to continue to render such services pursuant to the Current Wall Street Advisory Agreement, based on its experience, operations and resources, were adequate and appropriate for the Small Cap Growth Fund in light of the Fund’s investment objective, and supported a decision to approve the Current Wall Street Advisory Agreement.

The Independent Trustees concluded that Wall Street’s historical performance record in managing its allocated portion of the Small Cap Growth Fund’s assets and similar products, when viewed together with the other factors considered by the Board, supported a decision to approve the Current Wall Street Advisory Agreement.

The Independent Trustees noted that the fee paid to Wall Street would be paid by the Manager, and not Small Cap Growth Fund, and, thus, would not impact the fees paid by Small Cap Growth Fund. The Independent Trustees also noted that the fee payable to Wall Street by the Manager, and the scope of services that Wall Street is required to provide in managing its allocated portion of the Small Cap Growth Fund’s assets, are substantially the same under the Current Wall Street Advisory Agreement and the Initial Wall Street Advisory Agreement. The Independent Trustees concluded that the fee payable to Wall Street by the Manager with respect to the assets to be allocated to Wall Street was reasonable and appropriate. The Independent Trustees recognized that, because Wall Street’s fee would continue to be paid by the Manager, and not Small Cap Growth Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of profitability and economies of scale with respect to Wall Street were not relevant to the Independent Trustees’ determination to approve the Current Wall Street Advisory Agreement. The Independent Trustees also concluded that any benefits that had accrued and were expected to accrue to Wall Street by virtue of its relationship with Small Cap Growth Fund were reasonable.

After consideration of the factors discussed above, with no single factor identified as the principal factor, the Independent Trustees approved the Current Wall Street Advisory Agreement. The Current Wall Street Advisory Agreement was re-approved for an annual period by the Board at the May 28-29, 2014 Board meeting.

******

As a result of a joint venture between Delaware Investments Fund Advisers (“Delaware”) and its San Francisco-based Focus Growth team, which created Jackson Square Partners (“Jackson Square”) on May 1, 2014 (the “Jackson Square Transaction”), the original Investment Advisory Agreement (“Initial Delaware Advisory Agreement”) between the Manager and Delaware, pursuant to which Delaware managed an allocated portion of the assets of Large Capitalization Growth Investments (“Large Cap Growth Fund”), was terminated in accordance with its terms and the provisions of the 1940 Act. To enable Jackson Square to provide uninterrupted sub-investment advisory services to the Large Cap Growth Fund, at the March Meeting, the Manager recommended and the Board, including all of the Independent Trustees, approved a temporary Investment Advisory Agreement (“Temporary Jackson Square Advisory Agreement”) between the Manager and Jackson Square. The Board noted that the Temporary Jackson Square Advisory Agreement is substantially the same in all material respects as the Initial Delaware Advisory Agreement and would be effective for approximately 150 days to enable the Manager to conduct additional due diligence following the completion

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of the Jackson Square Transaction. At an in-person meeting of the Board of Trustees of the Trust held on August 27-28, 2014 (“August Meeting”), the Manager recommended and the Board, including all of the Independent Trustees, approved for an annual period a new Investment Advisory Agreement (“Current Jackson Square Advisory Agreement”) between the Manager and Jackson Square.

In determining whether to approve the Current Jackson Square Advisory Agreement, the Board considered materials prepared in connection with the March Meeting, the May 28-29, 2014 Board meeting, the August Meeting and other information, which included: (i) a copy of the Current Jackson Square Advisory Agreement; (ii) information regarding the process by which the Manager initially recommended Jackson Square for Board approval and the Manager’s rationale for retaining Jackson Square following the closing of the Jackson Square Transaction; (iii) information regarding the nature, extent and quality of the services that Jackson Square provided to the Large Cap Growth Fund; (iv) information regarding Jackson Square’s investment management business, personnel, and operations, which were expected to remain substantially the same after the Jackson Square Transaction; (v) information regarding Jackson Square’s brokerage and trading policies and practices; (vi) information regarding the level of sub-investment advisory fees charged by Jackson Square; (vii) information regarding Jackson Square’s compliance program, including third-party compliance services provided to Jackson Square; (viii) information regarding Delaware’s and Jackson Square’s historical performance returns managing the allocated portion of the Large Cap Growth Fund’s assets and information comparing that performance to a relevant index; and (ix) information regarding Jackson Square’s financial condition. Representatives from Jackson Square also made presentations to and responded to questions from the Board at both the March Meeting and August Meeting. The Independent Trustees were assisted in their review by Fund counsel and Independent Counsel and met with Independent Counsel in executive sessions separate from representatives of the Manager and Jackson Square.

The Independent Trustees concluded that the nature, extent and quality of the sub-investment advisory services provided by Delaware under the Initial Delaware Advisory Agreement, as well as Jackson Square’s ability to continue to render such services pursuant to the Current Jackson Square Advisory Agreement, based on its experience, operations and resources, were adequate and appropriate for the Large Cap Growth Fund in light of the Fund’s investment objective, and supported a decision to approve the Current Jackson Square Advisory Agreement.

The Independent Trustees concluded that the Focus Growth team’s (currently at Jackson Square) historical performance record in managing its allocated portion of the Large Cap Growth Fund’s assets and similar products, when viewed together with the other factors considered by the Board, supported a decision to approve the Current Jackson Square Advisory Agreement.

The Independent Trustees noted that the fee paid to Jackson Square would be paid by the Manager, and not Large Cap Growth Fund, and, thus, would not impact the fees paid by Large Cap Growth Fund. The Independent Trustees also noted that the fee payable to Jackson Square by the Manager, and the scope of services that Jackson Square is required to provide in managing its allocated portion of the Large Cap Growth Fund’s assets, are substantially the same under the Current Jackson Square Advisory Agreement and the Initial Delaware Advisory Agreement with Delaware. The Independent Trustees concluded that the fee payable to Jackson Square by the Manager with respect to the assets to be allocated to Jackson Square was reasonable and appropriate.

The Independent Trustees recognized that, because Jackson Square’s fee would continue to be paid by the Manager, and not Large Cap Growth Fund, an analysis of economies of scale and profitability was more appropriate in the context of the Board’s consideration of the Management Agreement between the Trust and the Manager. Accordingly, considerations of profitability and economies of scale with respect to Jackson Square were not relevant to the Independent Trustees’ determination to approve the Current Jackson Square Advisory Agreement. The Independent Trustees also concluded that any benefits that had accrued and were expected to accrue to Jackson Square by virtue of its relationship with Large Cap Growth Fund were reasonable.

After consideration of the factors discussed above, with no single factor identified as the principal factor, the Independent Trustees approved the Current Jackson Square Advisory Agreement.

******

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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, Consulting Group Advisory Services LLC (“CGAS”), a business of Morgan Smith Barney Holdings LLC.

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 Date of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served*	Principal Occupation(s) During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee

INDEPENDENT TRUSTEES

John J. Murphy Murphy Capital Management, Inc. 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 (52 funds, 2007-present); Trustee, UBS Funds (35 funds, 2009-present); Fort Dearborn Income Securities (2013-present); and formerly, Nicholas Applegate Funds (12 funds) (2005-2010)

Adela Cepeda c/o Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1958	Trustee	Since 2008	President, A.C. Advisory, Inc. (1995-present)	11	Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (9 funds, 2005-present); Trustee, UBS Funds (35 funds, 2004-present); Director, Fort Dearborn Income Securities (2000-present); Director, Amalgamated Bank of Chicago (2003-2012); and formerly, Director, Municipal Securities Rulemaking Board (2010-2012)

W. Thomas Matthews 453 Banks Mill Road Aiken, SC 29801 Birth Year: 1949	Trustee	Since 2009 (Interested Trustee from 2006-2009)	Retired; Advisor, Smith Barney (2005-2007)	11	Co-Treasurer, Congressional Medal of Honor Foundation (2009-present); Chairman, Congressional Medal of Honor Foundation (2005-2009); Chairman, Augusta Warrior Project (2013-present)

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Additional Information


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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	Number of Funds in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee

Mark J. Reed North American Management 231 S. Bemiston, Suite 800 Clayton, MO 63105 Birth Year: 1964	Trustee	Since 2007	Principal & Portfolio Manager, North American Management Corp. (2013-present); Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc., (1988-2013)	11	None

Eric T. McKissack, CFA^® Channing Capital Management, LLC 10 S. LaSalle Street Chicago, IL 60603 Birth Year: 1953	Trustee	Since 2013	Founder and Chief Executive Officer, Channing Capital Management, LLC (investment management) (2004-present)	11	Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Rehabilitation Institute of Chicago (2000-present); and Director, Urban Gateways (1995-present); formerly, Director, ICMA Retirement Corp. (2005-2012)

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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	Number of Funds in Fund Complex Overseen by Trustee	Other Board Memberships Held During Past Five Years by Trustee

INTERESTED TRUSTEE

James J. Tracy** Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1957	Trustee Chief Executive Officer and President	Since 2013 Since 2013, previously, 2007-2010	Managing Director, Director of Consulting Group Wealth Advisory Solutions, Morgan Stanley (2012-present); Managing Director, Director of National Sales and Business Development, Morgan Stanley (2011-2012); Managing Director and Chief Operating Officer of Distribution and Development for Global Wealth Management, Morgan Stanley (2010-2011); Managing Director, Director of Consulting Group (2009-2010); Executive Vice President and Director of Business Development for Citi Global Wealth Management and the Director of Smith Barney’s Investment Advisory Services (2008-2009)	11	None

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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

Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Fl. New York, NY 10036 Birth Year: 1965	Chief Financial Officer and Treasurer	Since 2014	Executive Director, Morgan Stanley (2001-present); Treasurer (2003-present) and Principal Financial Officer (2003-present) of various Morgan Stanley Funds

Paul F. Gallagher Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl. Wilmington, DE 19803 Birth Year: 1959	Chief Legal Officer and Secretary	Since 2007	Executive Director, Counsel, Morgan Stanley (2011-present); Executive Director and Associate General Counsel, Morgan Stanley (2009-2011)

Philip Stack Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1964	Chief Compliance Officer	Since 2013	Vice President, Morgan Stanley (2013-present); Vice President Corporate Audit Group – Compliance, Morgan Stanley (2012-2013); and Vice President, Director of Investment Compliance and Risk Management, Gannett Welsh & Kotler (2008-2012)

Donna Marley Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl. Wilmington, DE 19803 Birth Year: 1955	Chief Operating Officer	Since 2011	Executive Director, Morgan Stanley (2009-present); Director of Consulting Group Product Governance, Morgan Stanley (2011-present); Director, Consulting Group Risk Management, Morgan Stanley (2009-2011)

Charles P. Graves, III Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1962	Chief Administrative Officer	Since 2011	Executive Director, Head of Global Investment Solutions, Morgan Stanley (2013-Present); Director of Third Party Programs, Consulting Group, Morgan Stanley (2011-2013); and Director, Senior Portfolio Manager, Private Portfolio Group, Morgan Stanley (2008-2011)

Vincenzo Alomia, CIMA^® Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1967	Investment Officer	Since 2009	Executive Director, Senior Portfolio Manager, Portfolio Advisory Services (“PAS”), Morgan Stanley (2012-present); Vice President, Senior Portfolio Manager, PAS, Morgan Stanley (2009-present); Vice President, Portfolio Construction, PAS, Morgan Stanley (2007-2008)

Jason B. Moore Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl. Wilmington, DE 19803 Birth Year: 1972	Investment Officer	Since 2011	Managing Director, Morgan Stanley (2012-present); Executive Director, Morgan Stanley (2011-2012); Managing Director, Bank of America Merrill Lynch (2010-2011); and Executive Director, Morgan Stanley (2007-2010)

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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

Franco Piarulli, CIMA^® Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1970	Investment Officer	Since 2011	Managing Director, Morgan Stanley (2013-present); Executive Director, Senior Portfolio Manager & Director of Portfolio Construction, PAS, Morgan Stanley (2009-2013)

Jay T. Shearon Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Fl. Wilmington, DE 19803 Birth Year: 1972	Investment Officer	Since 2007	Executive Director, Morgan Stanley (2012-present); Vice President, Morgan Stanley (2009-2012)

Joel W. Stickney Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1971	Investment Officer	Since 2013	Executive Director, Director of Third Party-Managed Programs, Morgan Stanley (2013-present); Director of Business Development, Consulting Group, Morgan Stanley (2012-2013); Chief Operating Officer, Consulting Group, Morgan Stanley (2010-2012); Director of Business Planning & Strategy, Investment Products & Services, Morgan Stanley (2009-2010)

Roger Paradiso Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1966	Investment Officer	Since 2014	Managing Director, Morgan Stanley Consulting Group, Investment Solutions and Portfolio Development (2008-present)

Baha Sarana Morgan Stanley 485 Lexington Avenue New York, NY 10172 Birth Year: 1977	Anti-Money Laundering (“AML”) Compliance Officer	Since 2014	Executive Director and Head of AML, Morgan Stanley Wealth Management (2014-present); Executive Director and Deputy Head of AML, Morgan Stanley Wealth Management (2013-2014); Executive Director and Director of AML Investigation, Morgan Stanley Wealth Management (2009-2013)

Steven Ross Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1971	Assistant Treasurer	Since 2014	Executive Director, Morgan Stanley (2013-present); Vice President, Morgan Stanley (2005-2013)

Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 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)

Each Trustee remains in office until they resign, retire or are removed.

Mr. Tracy is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley.

***

The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board.

219



Important Tax Information


(unaudited)

The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2014:


	Large Capitalization Growth Investments			Large Capitalization Value Equity Investments			Small Capitalization Value Equity Investments			International Equity Investments			Emerging Markets Equity Investments
Record Date:		12/5/2013			12/5/2013			12/5/2013			12/5/2013			12/5/2013
Payable Date:		12/9/2013			12/9/2013			12/9/2013			12/9/2013			12/9/2013
Ordinary Income:
Qualified Dividend Income for Individuals		82.92	%		100.00	%		59.61	%		77.42	%		92.28	%
Dividends Qualifying for the Dividends Received
Deduction for Corporations		74.01	%		100.00	%		59.26	%		—			—
Foreign Source Income		—			—			—			98.81	%*		96.42	%*
Foreign Tax Paid Per Share		—			—			—		$	0.01162		$	0.04827
Long-Term Capital Gain Dividend		—			—			—			—			—

	Core Fixed Income Investments			High Yield Investments			International Fixed Income Investments			Municipal Bond Investments			Money Market Investments
Record Date:		12/5/2013			12/5/2013			Monthly			Monthly			Monthly
Payable Date:		12/9/2013			12/9/2013			Monthly			Monthly			Monthly
Ordinary Income:
Qualified Dividend Income for Individuals		—			—			—			—			—
Dividends Qualifying for the Dividends Received
Deduction for Corporations		—			—			—			—			—
Interest from Tax-Exempt Obligations		—			—			—			100.00	%		—
Interest from Federal Obligations		37.48	%		—			16.08	%		—			12.51	%
Long-Term Capital Gain Dividend	$	0.1101			—			—			—			—

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.

220

TK 2120A, 8/14

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 1-888-454-3965 (“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 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/cgcm and (3) on the SEC’s website at www.sec.gov.

Consulting Group Capital Markets Funds

2000 Westchester Avenue

Purchase, NY 10577

ITEM 2. CODE OF ETHICS.

As of the period ended August 31, 2014 (“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, 2014 and August 31, 2013 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 $523,600 in 2014 and $484,750 in 2013.

(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2014, and August 31, 2013, 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 2014 and $0 in 2013.

(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2014 and August 31, 2013 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $90,880 in 2014 and $89,530 in 2013. 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, 2014, and August 31, 2013, 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 for 2014 and $0 for 2013.

(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 2014 and 0% for 2013; Tax Fees were 0% for 2014 and 0% for 2013; and Other Fees were 0% for 2014 and 0% for 2013.

(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 for 2014 and $0 in 2013.

(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) of 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 J. Tracy
		James J. Tracy
		Chief Executive Officer
		Consulting Group Capital Markets Funds

Date:		November 10, 2014

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 J. Tracy
		James J. Tracy
		Chief Executive Officer
		Consulting Group Capital Markets Funds

Date:		November 10, 2014


Consulting Group Capital Markets Funds

By:		/s/ Francis Smith
		Francis Smith
		Chief Financial Officer
		Consulting Group Capital Markets Funds

Date:		November 10, 2014

Morgan Stanley Pathway Funds N-CSRCertified annual shareholder report (management investment company)