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: 811-07538
LORD ABBETT SECURITIES TRUST
(Exact name of Registrant as specified in charter)
90 Hudson Street, Jersey City, NJ 07302
(Address of principal executive offices) (Zip code)
Thomas R. Phillips, Esq., Vice President & Assistant Secretary
90 Hudson Street, Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 201-6984
Date of fiscal year end: 10/31
Date of reporting period: 10/31/2011
| Item 1: | Report(s) to Shareholders. |
2011
LORD ABBETT
ANNUAL
REPORT 
Lord Abbett
Alpha Strategy Fund
Fundamental Equity Fund
Growth Leaders Fund
International Core Equity Fund
International Dividend Income Fund
International Opportunities Fund
Large Cap Value Fund
Value Opportunities Fund
For the fiscal year ended October 31, 2011
Lord Abbett Securities Trust
Annual Report
For the fiscal year ended October 31, 2011
From left to right: Robert S. Dow, Director and Chairman of the Lord Abbett Funds; E. Thayer Bigelow, Independent Lead Director of the Lord Abbett Funds; and Daria L. Foster, Director and President of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Lord Abbett Securities Trust for the fiscal year ended October 31, 2011. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our Website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Robert S. Dow
Chairman
Alpha Strategy Fund
For the fiscal year ended October 31, 2011, the Fund returned 3.60%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the combined 85% Russell 2000® Index1 / 15% S&P Developed Ex-U.S. SmallCap® Index,2 which returned 5.50% over the same period.
Overall, domestic and foreign equity markets had a volatile run during the 12-month period, with domestic equity markets (as represented by the S&P 500® Index3) outperforming foreign equity markets (as represented by the MSCI EAFE Index with Gross Dividends4). Furthermore, growth stocks (as represented by the Russell 3000® Growth Index5) outperformed value stocks (as represented by the Russell 3000® Value Index6) while small cap stocks (as represented by the Russell 2000® Index1) outperformed micro cap stocks (as represented by the Russell Microcap® Index7) for the 12-month period.
Detracting from Fund performance was the Fund’s exposure to international small cap equities, which had weak performance and was the worst performing asset class
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during the 12-month period. Within this asset class, the financials, utilities, and consumer discretionary sectors hurt Fund performance, as these were the worst performing sectors on an absolute basis. In addition, the Fund’s overweight position versus the index to international equities further hampered performance. Also detracting from Fund performance was the Fund’s exposure to domestic micro cap value equities. Within this asset class, the consumer staples and information technology sectors detracted from Fund performance, as these were the worst performing sectors on an absolute basis.
Contributing to Fund performance was the Fund’s exposures to domestic small cap growth and core equities, which had strong performance and were the best performing asset classes during the 12-month period. Within these asset classes, the consumer discretionary and energy sectors drove performance, as these were the best performing sectors on an absolute basis during the 12-month period. Also benefiting Fund performance was the Fund’s exposure to smid cap value domestic equities. Within this asset class, the energy and health care sectors buoyed performance, as these were the best performing sectors on an absolute basis.
Fundamental Equity Fund
For the fiscal year ended October 31, 2011, the Fund returned 5.53%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 3000® Value Index,6 which returned 5.94% over the same period.
During the 12-month period, political uncertainty in the United States and Europe weighed on business and consumer confidence, leading to greater uncertainty regarding the economic outlook. We continue to seek out investments in companies that we believe are high-quality and are capable of maintaining their strong competitive positions during the kinds of difficult economic environments we have experienced over the past two years.
The Fund was hurt most by adverse stock selection within the consumer discretionary sector during the period. Shares of car manufacturer Ford Motor Co. suffered after the company reported that higher input costs will dampen margin improvements over the coming quarters. Shares of Interpublic Group Co., an advertising and marketing services company, dropped on news that the company’s revenue and operating profit had fallen short of Wall Street expectations. In addition, poor stock selection within the health care sector detracted from Fund performance. Warner Chilcott, a specialty pharmaceutical company, suffered as sales of its key osteoporosis drug fell, coupled with weakness in its dermatological segment.
Strong stock selection within energy was the largest contributor to Fund performance during the period, followed
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by a sector underweight within financials, which was the poorest performing sector. Within energy, shares of El Paso Corp., a natural gas producer and pipeline operator, rallied upon announcements that Kinder Morgan will acquire the company, making the enterprise the largest natural gas pipeline network in the United States. Within industrials, commercial vehicle parts manufacturer Wabco Holdings, Inc. saw its cash margins expand.
International Core Equity Fund
For the fiscal year October 31, 2011, the Fund returned -6.16%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the MSCI EAFE Index with Gross Dividends,4 which returned -3.64% over the same period.
Overall, global markets had a volatile run during the 12-month period, with emerging markets fairing badly compared with global developed markets. Within emerging markets, Asian and Latin American countries generally posted negative returns, as Europe’s problems have caused investors to seek safer investments. As a result, we trimmed back our exposure to emerging markets. Within developed markets, the eurozone generally posted negative returns, as concerns about sovereign debt crises in Greece, Italy, and Portugal remain. However, certain countries, such as Switzerland, Norway, and the United Kingdom, have avoided these problems and posted positive returns during the period.
Overall, currency weight, which is a residual of the stock selection process, was the primary reason for the Fund’s underperformance. However, the Fund’s investment in currency hedges partially offset the currency weight impact. Also detracting from Fund performance was stock selection in the consumer staples and energy sectors. Within the consumer staples, shares of Carlsberg A/S, a Denmark-based producer and marketer of beer, dropped due to lower than expected second quarter results, which were caused by poor performance in the Russian market. As a result, management lowered the company’s profit outlook for the 2011 fiscal year. In addition, shares of Carrefour S.A., a France-based retail distributor, fell due to investors’ concerns about a profit warning, as a result of weak consumer spending. Within the energy sector, shares of Bankers Petroleum Ltd., a Canada-based explorer and producer of oil in Albania, were hurt by lower than expected production. The company has experienced problems with a number of its wells, which have contributed to disappointing results.
Contributing to Fund performance was stock selection in the utilities and financials sectors. Within the utilities sector, shares of Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP), a Brazil-based water and sewage services provider, benefited from
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greater than expected 2010 results. SABESP reported increases in both water and sewage billed volumes as well as a rise in the number of customers served. In addition, shares of National Grid Plc, a United Kingdom-based international electricity and gas company, rose due to increased operating profit, which was partly helped by gas and electricity distributions in the United States. Furthermore, the United Kingdom’s utilities regulator revised its original regulatory price controls, which was also a positive for National Grid. Within the financials sector, shares of BNI Perserso Tbk PT, an Indonesia-based bank, were buoyed by strong second quarter results, which were supported by good cost controls and improved credit quality.
International Dividend Income Fund
For the fiscal year ended October 31, 2011, the Fund returned -4.42%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the MSCI All Country World Ex-U.S. Value Index with Gross Dividends,8 which returned -4.74% over the same period.
Overall, global markets had a volatile run during the 12-month period, with emerging markets fairing badly compared with global developed markets. Within emerging markets, Asian and Latin American countries generally posted negative returns, as Europe’s problems have caused investors to seek safer investments. As a result, we trimmed back our exposure to emerging markets. Within developed markets, the eurozone generally posted negative returns, as concerns about sovereign debt crises in Greece, Italy, and Portugal remain. However, certain countries, such as Switzerland, Norway, and the United Kingdom, have avoided these problems and posted positive returns during the period.
Detracting from Fund performance was stock selection in the consumer discretionary sector. Shares of Home Retail Group plc, a United Kingdom-based home and general merchandise retailer, dropped due to lower than expected sales particularly in its subsidiary Argos, a general goods company, as consumers have curtailed their spending on high-value items. In addition, shares of Yellow Media, Inc., a Canada-based media and marketing solutions company, fell due to lower than expected first quarter results, which missed analysts’ expectations. The company faces pressure from its declining printing division and, as a result, we sold out of the company in late May of 2011. Also hindering performance was the Fund’s underweight position in the energy sector compared to the benchmark, as this was the Fund’s best performing sector during the period. Furthermore, currency weight, which is a residual of the stock selection process, as well as the Fund’s currency hedges, also detracted from performance.
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Contributing to Fund performance was stock selection in the financials and utilities sectors. Within the financials sector, shares of Provident Financial plc, a United Kingdom-based financial services company specializing in personal credit products, were propelled by strong results, surpassing expectations with the help of the company’s successful credit card company, Vanquis, whose customer base has grown significantly. This has allowed Provident Financial to maintain a strong balance sheet, as well as to issue a dividend payment in July 2011. In addition, shares of LPN Development PCL, a Thailand-based real estate development company, benefited from condo transfers, which increased revenue and produced strong second quarter results. Within the utilities sector, shares of Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP), a Brazil-based water and sewage services provider, benefited from greater than expected 2010 results. SABESP reported increases in both water and sewage billed volumes, as well as a rise in the number of customers served.
International Opportunities Fund
For the fiscal year ended October 31, 2011, the Fund returned -6.39%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the S&P Developed Ex-U.S. SmallCap® Index,2 which returned -1.50% over the same period.
Overall, global markets had a volatile run during the 12-month period, with emerging markets fairing badly compared with global developed markets. Within emerging markets, Asian and Latin American countries generally posted negative returns, as Europe’s problems have caused investors to seek safer investments. As a result, we trimmed back our exposure to emerging markets. Within developed markets, the eurozone generally posted negative returns, as concerns about sovereign debt crises in Greece, Italy, and Portugal remain. However, certain countries, such as Switzerland, Norway, and the United Kingdom, have avoided these problems and posted positive returns during the period.
Overall, currency weight, which is a residual of the stock selection process, was the primary reason for the Fund’s underperformance. However, the Fund’s investment in currency hedges partially offset the currency weight impact. Also detracting from Fund performance was stock selection in the financials and consumer discretionary sectors. Within the financials sector, shares of Milano Assicurazioni SpA, an Italy-based insurance company, dropped after management announced a rights offering that was issued at a discount. Investors’ concerns about share price dilution caused the share price to fall. Therefore, we sold out of the shares to find opportunities elsewhere. In addition, shares of Megaworld Corp., a Philippines-based real estate company, fell
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due to lower than expected first quarter 2011 earnings as a result of declining residential sales and growing operating expenses. Within the consumer discretionary sectors, shares of Bwin.party Digital Entertainment Plc. (formerly PartyGaming plc), an online gaming company quoted on the London Stock Exchange, suffered as a result of investors’ concerns about the European gaming market and regulatory risks. Germany’s plans for strict regulations on its online gaming market could negatively affect the company’s earnings.
Contributing to Fund performance was stock selection in the information technology and materials sectors. Within the information technology sector, shares of Gree, Inc., a Japan-based social networking service, rose in value after announcing positive results for fiscal year end. The company’s progress on overseas expansion and steady development for new games continues to increase its number of users. In addition, shares of Dialog Semiconductor Plc., a Germany-based manufacturer of energy-efficient integrated circuits, profited from new customers in Asia. The company has also been a beneficiary of the success of smartphones. Within the materials sector, shares of Equinox Minerals Ltd., a Canada-based mining and exploration company, benefited from a bidding war ultimately won by Barrick Gold Corp., a Canada-based gold producer, which was looking to diversify into copper production.
Large Cap Value Fund
For the fiscal year ended October 31, 2011, the Fund returned -0.19%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 1000® Value Index,9 which returned 6.16% over the same period.
We believe that global growth prospects have slowed from year-end 2010 levels because of events in Libya, rising oil prices, and the Japanese tsunami, but not to recessionary levels. The global economic and geopolitical environment contributed to the erosion of business and consumer confidence in the economy, which resulted in the sell-off of the market following the Standard & Poor’s downgrade of United States (U.S.) debt downgrade in August 2011. The continuing challenges involving European sovereign debt created additional market uncertainty. Despite these challenges, recent economic and company-specific evidence suggest that the U.S. economy will not likely slip into a double-dip recession. The renewed belief that the U.S. economy will instead progress slowly, yet positively, has encouraged investors to return to the equity market, resulting in an equity market rally during October, the last month of the 12-month period.
Stock selection within the financials and consumer discretionary sectors detracted from Fund performance. Within financials (the most heavily weighted sector for both the Fund and the index),
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Bank of America Corp., a diversified financials services company, was among the largest detracting holdings. Bank of America Corp. was hurt by concerns over news of legal claims related to mortgage losses and questions surrounding the need to raise capital to meet tightening global banking regulations. Within consumer discretionary, Carnival Corp., a global cruise company, and Marriott International Inc., a global lodging company, were among the largest detracting holdings. Carnival Corp. suffered from the expense of increased oil prices during the busy summer cruise season. In addition, unrest in the Middle East and Africa, and the Japanese tsunami, caused costly changes to cruise itineraries. Marriott International Inc. was affected by concerns over the planned spin-off of its timeshare business, including the potential dilutive effect on earnings.
Stock selection within the industrials sector and an overweight position within the energy sector contributed to Fund performance. Within the industrials sector, Caterpillar, Inc., a manufacturer of construction equipment, and Union Pacific Corp., a railroad operator, were among the largest contributing holdings. Caterpillar, Inc. was helped by strong construction in most developing markets, which resulted in spending on construction and mining equipment, as well as increased sales in most developed markets due to equipment replacement demand. Union Pacific Corp. benefited from improving volumes in commodity shipments and the expectation that upcoming contract negotiations could lead to pricing gains. The Fund benefited from an overweight within the energy sector, the best-performing sector for both the Fund and the index, as the sector outperformed along with rising commodity prices. Although the Fund was overweight within the energy sector at the beginning of the period, and took profits in this sector during the year, the Fund remained overweight at the close of the period due to strong performance within the Fund’s energy holdings.
Value Opportunities Fund
For the fiscal year ended October 31, 2011, the Fund returned 5.45%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell 2500™ Value Index,10 which returned 4.49% over the same period.
While the equity markets were up for the 12-month period, it was quite a roller-coaster ride. For the first six months, the market was positive, reacting to strong corporate earnings. The market took a turn for the worse when the United States (U.S.) began debating raising the debt ceiling upon reaching its limit in May 2011, and continued through August, when Standard & Poor’s downgraded U.S. debt from its ‘AAA’ rating. Markets fell to their lowest on October 3, 2011, reacting negatively to political uncertainty in the U.S. and Europe, as well as to concerns
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about economic growth and consumer confidence. The rebound in October was a result of increased confidence that Europe would resolve its sovereign debt issues, as well as positive economic signs in the U.S.. The consumer staples and energy sectors were both up over 20% in the Russell 2500™ Index,10 while financials lagged with only a 1.1% return for the year.
The Fund outperformed during the period due to overall stock selection, specifically within the information technology and energy sectors. Information technology holdings Alliance Data Systems, Inc. and Nuance Communications, Inc. and energy holding Range Resources Corp. were among the best contributors within these sectors. Shares of Alliance Data Systems, Inc., a provider of marketing and customer loyalty solutions, rose after the company’s announcements of quarterly results that beat expectations throughout the period. In October 2011, the company announced that amid the recent macroeconomic uncertainty, consumer spending has remained strong within its Private Label and LoyaltyOne segments. Nuance Communications, Inc., a provider of voice and language services, showed strength within its Healthcare and Mobile & Consumer segments, and the firm raised its quarterly and fiscal year guidance throughout the period. In addition, the company announced multiple acquisitions. Range Resources Corp., a natural gas and oil company, sold its acreage in the Barnett Shale (in Texas) and benefited from accelerated production with its attractive acreage in the Marcellus Shale (in the Appalachian Basin).
Stock selection within the financials sector detracted from Fund performance for the period. While Lazard Ltd., a provider of financial advisory and asset management services, benefited from improved mergers and acquisitions activity in the beginning of period, the company felt the impact of the current uncertain macroeconomic environment. The company’s asset management segment experienced outflows for its second and third quarters, and assets under management were affected due to Lazard’s international exposure. Another notable detractor to overall Fund performance during the period was materials holding Agnico-Eagle Mines Ltd., an international gold producer. The company lowered guidance in April 2011 following a fire in its Meadowbank mine that would affect production. In addition, shares of the company fell in late October following the announcement that mining operations would be suspended in its Goldex mine due to rock failure. We exited the position in late October 2011. An underweight within the utilities sector, which was among the best performing sectors within the Russell 2500™ Value Index10, also detracted from the Fund’s performance.
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Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000 Index, which represents approximately 10% of the total market capitalization of the Russell 3000 Index.
2 The S&P Developed Ex-U.S. SmallCap® Index captures the bottom 15% of companies domiciled in the developed markets excluding the United States within the S&P Global BMI with a float-adjusted market capitalization of at least US$100 million and a minimum annual trading liquidity of US$50 million.
3 The S&P 500® Index is widely regarded as the standard for measuring large cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
4 The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the United States and Canada. As of May 30, 2011, the MSCI EAFE Index consisted of the following 22 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
The MSCI EAFE Index is calculated with both gross and net dividends. The MSCI EAFE Index with Gross Dividends approximates the maximum possible dividend reinvestment. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits. The MSCI EAFE Index with Net Dividends approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates.
5 The Russell 3000® Growth Index measures the performance of those Russell 3000 Index companies with higher price-to-book ratios and higher forecasted growth values.
6 The Russell 3000® Value Index measures the performance of those Russell 3000 Index companies with lower price-to-book ratios and lower forecasted growth values. The stocks in this index are also members of either the Russell 1000 Value or the Russell 2000 Value indexes.
7 The Russell Microcap® Index measures performance of the micro cap segment, representing less than 3% of the U.S. equity market. The Russell Microcap Index includes the smallest 1,000 securities in the small cap Russell 2000 Index plus the next smaller 1,000 securities.
8 The MSCI All Country World Ex-U.S. Value Index is calculated with both gross and net dividends. The MSCI All Country World Ex-U.S. Value Index with Gross Dividends approximates the maximum possible dividend reinvestment. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits. The MSCI All Country World Ex-U.S. Value Index with Net Dividends approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates.
9 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
10 The Russell 2500™ Value Index measures the performance of those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Fund will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost.
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You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. The Fund offers several classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see the Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place for Alpha Strategy Fund, International Core Equity Fund, International Dividend Income Fund, Large Cap Value Fund and Value Opportunities Fund. Without such expense waivers and reimbursements, each of the Fund’s returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Fund as of October 31, 2011. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds’ may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with the Fund, please see the Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
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Alpha Strategy Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 2000® Index, 85% Russell 2000 Index/15% S&P Developed Ex-U.S. SmallCap Index, and the S&P Developed Ex-U.S. SmallCap Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | 10 Years | | | Life of Class | |
Class A3 | | | -2.36% | | | | 2.30% | | | | 8.05% | | | | – | |
Class B4 | | | -1.11% | | | | 2.67% | | | | 8.14% | | | | – | |
Class C5 | | | 2.91% | | | | 2.84% | | | | 8.01% | | | | – | |
Class F6 | | | 3.79% | | | | – | | | | – | | | | -0.44% | |
Class I7 | | | 3.90% | | | | 3.87% | | | | – | | | | 9.20% | |
Class R28 | | | 3.26% | | | | – | | | | – | | | | -0.94% | |
Class R39 | | | 3.40% | | | | – | | | | – | | | | -0.84% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Class I shares commenced operations on October 19, 2004. Performance is at net asset value.
8 Class R2 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
9 Class R3 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
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Fundamental Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 3000® Value Index, Russell 1000® Value Index, Russell 3000® Index, and S&P 500® Index, assuming reinvestment of all dividends and distributions. Because the Fund believes that the Russell 3000® Value Index, Russell 3000® Index, and S&P 500® Index more accurately reflect the Fund’s investment strategies than the Russell 1000® Value Index, the Fund is adding the Russell 3000® Index and the S&P 500® Index to this annual report and will delete the Russell 1000® Value Index from its next annual report. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | 10 Years | | | Life of Class | |
Class A3 | | | -0.58% | | | | 1.35% | | | | 5.91% | | | | – | |
Class B4 | | | 0.76% | | | | 1.72% | | | | 5.98% | | | | – | |
Class C5 | | | 4.87% | | | | 1.91% | | | | 5.87% | | | | – | |
Class F6 | | | 5.75% | | | | – | | | | – | | | | 0.45% | |
Class I7 | | | 5.94% | | | | 2.94% | | | | – | | | | 9.43% | |
Class P8 | | | 5.40% | | | | 2.45% | | | | 6.43% | | | | – | |
Class R29 | | | 5.27% | | | | – | | | | – | | | | -0.03% | |
Class R310 | | | 5.36% | | | | – | | | | – | | | | 0.05% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Class I shares commenced operations on March 31, 2003. Performance is at net asset value.
8 Class P shares commenced operations on August 15, 2001. Performance is at net asset value.
9 Class R2 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
10 Class R3 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
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International Core Equity Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International Europe, Australasia, Far East Index (“MSCI EAFE® Index”) with Gross Dividends and the MSCI EAFE® Index with Net Dividends assuming reinvestment of all dividends and distributions. The MSCI EAFE Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI EAFE Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Life of Class | |
Class A3 | | | -11.56% | | | | -3.00% | | | | 3.69% | |
Class B4 | | | -10.47% | | | | -2.64% | | | | 3.81% | |
Class C5 | | | -6.73% | | | | -2.47% | | | | 3.81% | |
Class F6 | | | -5.98% | | | | – | | | | -6.92% | |
Class I7 | | | -5.78% | | | | -1.49% | | | | 4.85% | |
Class P8 | | | -6.23% | | | | -1.94% | | | | 4.38% | |
Class R29 | | | -6.38% | | | | – | | | | -7.05% | |
Class R310 | | | -6.35% | | | | – | | | | -7.26% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on December 31, 2003.
3 Class A shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years and 0% for the Life of the Class. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Class I shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. Performance is at net asset value.
8 Class P shares commenced operations on December 15, 2003 and performance for the Class began on December 31, 2003. Performance is at net asset value.
9 Class R2 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
10 Class R3 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
13
International Dividend Income Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Morgan Stanley Capital International (MSCI) All Country World Ex-U.S. Value Index with Gross Dividends and the MSCI All Country World Ex-U.S. Value Index with Net Dividends, assuming reinvestment of all dividends and distributions. The MSCI All Country World Ex-U.S. Value Index with Net Dividends reflects a reduction in dividends after taking into account withholding of taxes by certain foreign countries represented in the MSCI All Country World Ex-U.S. Value Index. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursements of expense, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | |
| | | 1 Year | | | Life of Class | |
Class A3 | | | -9.94% | | | | -4.19% | |
Class C4 | | | -5.03% | | | | -3.10% | |
Class F5 | | | -4.18% | | | | -2.25% | |
Class I6 | | | -3.97% | | | | -2.11% | |
Class R27 | | | -4.15% | | | | -2.21% | |
Class R38 | | | -4.61% | | | | -2.44% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance of each index begins on June 30, 2008.
3 Class A shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Class C shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
5 Class F shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
6 Class I shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
7 Class R2 shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
8 Class R3 shares commenced operations on June 23, 2008 and performance for the Class began on June 30, 2008. Performance is at net asset value.
14
International Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the S&P Developed Ex-U.S. SmallCap Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | 10 Years | | | Life of Class | |
Class A3 | | | -11.80% | | | | -3.38% | | | | 5.74% | | | | – | |
Class B4 | | | -10.68% | | | | -3.03% | | | | 5.78% | | | | – | |
Class C5 | | | -7.00% | | | | -2.87% | | | | 5.74% | | | | – | |
Class F6 | | | -6.16% | | | | – | | | | – | | | | -6.70% | |
Class I7 | | | -6.01% | | | | -1.88% | | | | 6.70% | | | | – | |
Class P7 | | | -6.51% | | | | -2.33% | | | | 6.33% | | | | – | |
Class R28 | | | -6.68% | | | | – | | | | – | | | | -7.18% | |
Class R39 | | | -6.51% | | | | – | | | | – | | | | -7.00% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for the unmanaged index does not reflect any fees or expenses. The performance of the index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for 10 years. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Performance is at net asset value.
8 Class R2 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
9 Class R3 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
15
Large Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 1000® Value Index and the S&P 500® Value Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Life of Class | |
Class A3 | | | -5.95% | | | | -4.58% | | | | 2.28% | |
Class B4 | | | -4.93% | | | | -4.23% | | | | 2.34% | |
Class C5 | | | -0.86% | | | | -4.02% | | | | 2.35% | |
Class F6 | | | -0.02% | | | | – | | | | -6.57% | |
Class I7 | | | 0.17% | | | | -3.10% | | | | 3.36% | |
Class P8 | | | -0.27% | | | | -3.51% | | | | 2.91% | |
Class R29 | | | 0.14% | | | | – | | | | -1.46% | |
Class R310 | | | -0.46% | | | | – | | | | -1.95% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance for each index begins on June 30, 2003.
3 Class A shares commenced operations on June 23, 2003 and performance for the Class began on June 30, 2003. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations on June 23, 2003 and performance for the Class began on June 30, 2003. Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years and 0% for the Life of the Class. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on June 23, 2003 and performance for the Class began on June 30, 2003. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Class I shares commenced operations on June 23, 2003 and performance for the Class began on June 30, 2003. Performance is at net asset value.
8 Class P shares commenced operations on June 23, 2003 and performance for the Class began on June 30, 2003. Performance is at net asset value.
9 Class R2 shares commenced operations and performance for the Class began on March 23, 2010. Performance is at net asset value.
10 Class R3 shares commenced operations and performance for the Class began on March 23, 2010. Performance is at net asset value.
16
Value Opportunities Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell 2500® Value Index and the Russell 2500® Index, assuming reinvestment of all dividends and distributions. The performance of other classes will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such classes. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Life of Class | |
Class A3 | | | -0.60% | | | | 4.41% | | | | 7.83% | |
Class B4 | | | 0.83% | | | | 4.80% | | | | 8.14% | |
Class C5 | | | 4.76% | | | | 4.95% | | | | 8.25% | |
Class F6 | | | 5.73% | | | | – | | | | 2.99% | |
Class I7 | | | 5.82% | | | | 6.02% | | | | 9.32% | |
Class P8 | | | 5.33% | | | | 5.54% | | | | 8.82% | |
Class R29 | | | 5.21% | | | | – | | | | 2.48% | |
Class R310 | | | 5.35% | | | | – | | | | 2.59% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance. Performance for each index begins on December 30, 2005.
3 Class A shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Total return, which is the percentage change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC-required uniform method to compute such return.
4 Class B shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Performance reflects the deduction of a CDSC of 4% for 1 year, 1% for 5 years, and 0% for Life of the Class. Class B shares automatically convert to Class A shares after approximately 8 years. (There is no initial sales charge for automatic conversions.) All returns for periods greater than 8 years reflect this conversion.
5 Class C shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. The 1% CDSC for Class C shares normally applies before the first anniversary of the purchase date. Performance is at net asset value.
6 Class F shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
7 Class I shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Performance is at net asset value.
8 Class P shares commenced operations on December 20, 2005 and performance for the Class began on December 30, 2005. Performance is at net asset value.
9 Class R2 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
10 Class R3 shares commenced operations and performance for the Class began on September 28, 2007. Performance is at net asset value.
17
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2011 through October 31, 2011).
Actual Expenses
For each class of each Fund, the first line of the table on the following page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 5/1/11 – 10/31/11” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the table on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
18
Alpha Strategy Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 847.10 | | | $ | 1.16 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,023.95 | | | $ | 1.28 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 844.30 | | | $ | 4.65 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.20 | | | $ | 5.09 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 844.30 | | | $ | 4.65 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.20 | | | $ | 5.09 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 847.90 | | | $ | 0.47 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,024.70 | | | $ | 0.51 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 848.60 | | | $ | 0.00 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,025.21 | | | $ | 0.00 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 846.00 | | | $ | 2.79 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,022.17 | | | $ | 3.06 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 846.20 | | | $ | 2.33 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,022.69 | | | $ | 2.55 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.25% for Class A, 1.00% for Classes B and C, 0.10% for Class F, 0.00% for Class I, 0.60% for Class R2 and 0.50% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Portfolio Allocation
October 31, 2011
| | | | |
| Portfolio Allocation | | %* | |
Equity | | | 99.99% | |
Short-Term Investment | | | 0.01% | |
Total | | | 100.00% | |
| * | | Represents percent of total investments. |
19
Fundamental Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 890.40 | | | $ | 5.29 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.63 | | | $ | 5.65 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 887.30 | | | $ | 8.32 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.36 | | | $ | 8.89 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 888.30 | | | $ | 8.33 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.36 | | | $ | 8.89 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 891.40 | | | $ | 4.10 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.89 | | | $ | 4.38 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 892.30 | | | $ | 3.62 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,021.40 | | | $ | 3.87 | |
Class P | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 889.80 | | | $ | 5.76 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.13 | | | $ | 6.16 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 889.60 | | | $ | 6.48 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.36 | | | $ | 6.92 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 890.20 | | | $ | 6.00 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.87 | | | $ | 6.41 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.11% for Class A, 1.75% for Classes B and C, 0.86% for Class F, 0.76% for Class I, 1.21% for Class P, 1.36% for Class R2 and 1.26% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | | | | | | | | | |
| Sector* | | %** | | | | | Sector* | | %** | |
Consumer Discretionary | | | 10.72% | | | | | Information Technology | | | 4.79% | |
Consumer Staples | | | 8.89% | | | | | Materials | | | 8.45% | |
Energy | | | 21.15% | | | | | Utilities | | | 1.60% | |
Financials | | | 16.14% | | | | | Short-Term Investment | | | 2.19% | |
Health Care | | | 15.81% | | | | | Total | | | 100.00% | |
Industrials | | | 10.26% | | | | | | | | | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
20
Growth Leaders Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 6/24/11 | | | 10/31/11 | | | 6/24/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 966.67 | | | $ | 2.94 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.83 | | | $ | 3.01 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 964.67 | | | $ | 5.14 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,012.58 | | | $ | 5.27 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 967.33 | | | $ | 2.07 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.70 | | | $ | 2.12 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 967.33 | | | $ | 1.72 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.06 | | | $ | 1.76 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 966.00 | | | $ | 3.71 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.02 | | | $ | 3.80 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 966.00 | | | $ | 3.40 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.36 | | | $ | 3.48 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (0.84% for Class A, 1.47% Class C, 0.59% for Class F, 0.49% for Class I, 1.06% for Class R2 and 0.97% for Class R3) multiplied by the average account value over the period, multiplied by 130/365 (to reflect the period from June 24, 2011, commencement of operations, to October 31, 2011). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | |
| Sector* | | %** | |
Consumer Discretionary | | | 21.79% | |
Consumer Staples | | | 3.57% | |
Energy | | | 11.14% | |
Financials | | | 7.10% | |
Health Care | | | 4.15% | |
Industrials | | | 15.21% | |
Information Technology | | | 32.73% | |
Materials | | | 4.31% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
21
International Core Equity Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 830.90 | | | $ | 5.17 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.55 | | | $ | 5.70 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 828.50 | | | $ | 8.16 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.29 | | | $ | 9.00 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 828.10 | | | $ | 8.06 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.39 | | | $ | 8.89 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 832.10 | | | $ | 4.02 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.83 | | | $ | 4.43 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 833.20 | | | $ | 3.56 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,021.31 | | | $ | 3.92 | |
Class P | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 831.10 | | | $ | 5.63 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.04 | | | $ | 6.21 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 830.70 | | | $ | 6.32 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.29 | | | $ | 6.97 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 830.30 | | | $ | 5.81 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.84 | | | $ | 6.41 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.77% for Class B, 1.75% for Class C, 0.87% for Class F, 0.77% for Class I, 1.22% for Class P, 1.37% for Class R2 and 1.26% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | | | | | | | | | |
| Sector* | | %** | | | | | Sector* | | %** | |
Consumer Discretionary | | | 10.26% | | | | | Information Technology | | | 6.61% | |
Consumer Staples | | | 12.38% | | | | | Materials | | | 8.49% | |
Energy | | | 7.27% | | | | | Telecommunication Services | | | 7.37% | |
Financials | | | 20.60% | | | | | Utilities | | | 6.30% | |
Health Care | | | 9.26% | | | | | Total | | | 100.00% | |
Industrials | | | 11.46% | | | | | | | | | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
22
International Dividend Income Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 842.60 | | | $ | 5.20 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.57 | | | $ | 5.70 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 841.00 | | | $ | 8.17 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.31 | | | $ | 8.94 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 844.60 | | | $ | 4.04 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.83 | | | $ | 4.43 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 845.40 | | | $ | 3.58 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,021.34 | | | $ | 3.92 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 843.70 | | | $ | 4.83 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.98 | | | $ | 5.30 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 842.40 | | | $ | 5.90 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.82 | | | $ | 6.46 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.12% for Class A, 1.76% for Class C, 0.87% for Class F, 0.77% for Class I, 1.04% for Class R2 and 1.27% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | |
| Sector* | | %** | |
Consumer Discretionary | | | 7.77% | |
Consumer Staples | | | 9.36% | |
Energy | | | 7.81% | |
Financials | | | 19.74% | |
Health Care | | | 5.11% | |
Industrials | | | 7.05% | |
Information Technology | | | 4.01% | |
Insurance | | | 1.17% | |
Materials | | | 2.38% | |
Telecommunication Services | | | 18.69% | |
Utilities | | | 13.62% | |
Short-Term Investment | | | 3.29% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
23
International Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 827.00 | | | $ | 7.05 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.52 | | | $ | 7.78 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 824.40 | | | $ | 9.98 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.26 | | | $ | 11.02 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 824.10 | | | $ | 9.89 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.34 | | | $ | 10.92 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 828.00 | | | $ | 5.90 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.76 | | | $ | 6.51 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 828.30 | | | $ | 5.44 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.27 | | | $ | 6.01 | |
Class P | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 826.20 | | | $ | 7.50 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.00 | | | $ | 8.29 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 825.80 | | | $ | 8.19 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.25 | | | $ | 9.05 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 826.20 | | | $ | 7.55 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.92 | | | $ | 8.34 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.53% for Class A, 2.17% for Class B, 2.15% for Class C, 1.28% for Class F, 1.18% for Class I, 1.63% for Class P, 1.78% for Class R2 and 1.64% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | | | | | | | | | |
| Sector* | | %** | | | | | Sector* | | %** | |
Consumer Discretionary | | | 17.34% | | | | | Information Technology | | | 10.65% | |
Consumer Staples | | | 8.99% | | | | | Materials | | | 9.45% | |
Energy | | | 8.11% | | | | | Telecommunication Services | | | 0.72% | |
Financials | | | 13.23% | | | | | Utilities | | | 2.56% | |
Health Care | | | 2.66% | | | | | Short-Term Investment | | | 2.32% | |
Industrials | | | 23.97% | | | | | Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
24
Large Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 853.90 | | | $ | 5.79 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.97 | | | $ | 6.31 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 850.60 | | | $ | 8.77 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.75 | | | $ | 9.55 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 850.70 | | | $ | 8.72 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.78 | | | $ | 9.50 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 854.10 | | | $ | 4.63 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.23 | | | $ | 5.04 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 855.50 | | | $ | 4.12 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.78 | | | $ | 4.48 | |
Class P | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 853.50 | | | $ | 6.26 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.44 | | | $ | 6.82 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 854.70 | | | $ | 4.11 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.76 | | | $ | 4.48 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 852.60 | | | $ | 6.49 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.19 | | | $ | 7.07 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.24% for Class A, 1.88% for Class B, 1.87% for Class C, 0.99% for Class F, 0.88% for Classes I and R2, 1.34% for Class P and 1.39% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | | | | | | | | | |
| Sector* | | %** | | | | | Sector* | | %** | |
Consumer Discretionary | | | 11.62% | | | | | Information Technology | | | 7.05% | |
Consumer Staples | | | 7.12% | | | | | Materials | | | 6.41% | |
Energy | | | 15.64% | | | | | Telecommunication Services | | | 4.51% | |
Financials | | | 21.40% | | | | | Utilities | | | 2.54% | |
Health Care | | | 13.33% | | | | | Short-Term Investment | | | 1.92% | |
Industrials | | | 8.46% | | | | | Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
25
Value Opportunities Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 880.90 | | | $ | 6.40 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,018.38 | | | $ | 6.87 | |
Class B | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 878.20 | | | $ | 9.47 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.12 | | | $ | 10.16 | |
Class C | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 877.60 | | | $ | 9.47 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.12 | | | $ | 10.16 | |
Class F | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 881.70 | | | $ | 5.22 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,019.65 | | | $ | 5.60 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 882.60 | | | $ | 4.79 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,020.14 | | | $ | 5.14 | |
Class P | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 880.40 | | | $ | 6.87 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.89 | | | $ | 7.37 | |
Class R2 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 879.80 | | | $ | 7.63 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.09 | | | $ | 8.19 | |
Class R3 | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 880.50 | | | $ | 7.16 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,017.60 | | | $ | 7.68 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (1.35% for Class A, 2.00% for Classes B and C, 1.10% for Class F, 1.01% for Class I, 1.45% for Class P, 1.61% for Class R2 and 1.51% for Class R3) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | | | | | | | | | |
| Sector* | | %** | | | | | Sector* | | %** | |
Consumer Discretionary | | | 9.54% | | | | | Information Technology | | | 14.87% | |
Consumer Staples | | | 3.83% | | | | | Materials | | | 11.76% | |
Energy | | | 8.64% | | | | | Utilities | | | 5.48% | |
Financials | | | 14.75% | | | | | Short-Term Investment | | | 4.23% | |
Health Care | | | 9.70% | | | | | Total | | | 100.00% | |
Industrials | | | 17.20% | | | | | | | | | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
26
Schedule of Investments
ALPHA STRATEGY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| INVESTMENTS IN UNDERLYING FUNDS(a) 99.83% | |
| Lord Abbett Developing Growth Fund, Inc.—Class I*(b) | | | 7,815,831 | | | $ | 176,794 | |
| Lord Abbett Securities Trust—International Opportunities Fund—Class I(c) | | | 13,700,286 | | | | 168,514 | |
| Lord Abbett Securities Trust—Micro-Cap Growth Fund—Class I*(c) | | | 5,359,440 | | | | 88,592 | |
| Lord Abbett Securities Trust—Micro-Cap Value Fund—Class I*(c) | | | 3,703,927 | | | | 87,079 | |
| Lord Abbett Equity Trust (formerly, Lord Abbett Blend Trust)—Small-Cap Blend Fund—Class I*(d) | | | 5,798,678 | | | | 90,227 | |
| Lord Abbett Research Fund, Inc.—Small-Cap Value Fund—Class I(c) | | | 5,789,070 | | | | 179,403 | |
| Lord Abbett Securities Trust—Value Opportunities Fund—Class I*(c) | | | 5,872,414 | | | | 90,083 | |
| | | | | | | | |
Total Investments in Underlying Funds
(cost $814,993,437) | | | | | | | 880,692 | |
| | | | | | | | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 0.01% | |
| | |
| Repurchase Agreement | | | | | | | | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $110,000 of Federal Home Loan Bank at 0.20% due 8/16/2012; value: $110,000; proceeds: $104,271 (cost $104,271) | | $ | 104 | | | $ | 104 | |
| | | | | | | | |
Total Investments in Securities 99.84%
(cost $815,097,708) | | | | | | | 880,796 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities 0.16% | | | | | | | 1,428 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 882,224 | |
| | | | | | | | |
| | |
| * | | Non-income producing security. |
| (a) | | Affiliated issuers (See Note 10). |
| (b) | | Fund investment objective is long-term growth of capital through a diversified and actively managed portfolio consisting of developing growth companies, many of which are traded over the counter. |
| (c) | | Fund investment objective is long-term capital appreciation. |
| (d) | | Fund investment objective is to seek long-term growth of capital by investing primarily in stocks of small companies. |
See Notes to Financial Statements.
27
Schedule of Investments
FUNDAMENTAL EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 97.12% | |
|
| Aerospace & Defense 2.92% | |
| Rockwell Collins, Inc. | | | 1,010,500 | | | $ | 56,416 | |
| United Technologies Corp. | | | 935,000 | | | | 72,911 | |
| | | | | | | | |
| Total | | | | | | | 129,327 | |
| | | | | | | | |
|
| Airlines 0.40% | |
| Southwest Airlines Co. | | | 2,078,198 | | | | 17,769 | |
| | | | | | | | |
|
| Automobiles 1.58% | |
| Ford Motor Co.* | | | 5,994,600 | | | | 70,017 | |
| | | | | | | | |
|
| Beverages 3.03% | |
| Beam, Inc. | | | 829,600 | | | | 41,007 | |
| Coca-Cola Co. (The) | | | 645,000 | | | | 44,066 | |
| Diageo plc ADR | | | 550,000 | | | | 45,584 | |
| PepsiCo, Inc. | | | 58,506 | | | | 3,683 | |
| | | | | | | | |
| Total | | | | | | | 134,340 | |
| | | | | | | | |
|
| Biotechnology 3.78% | |
| Amgen, Inc. | | | 1,318,400 | | | | 75,505 | |
| Celgene Corp.* | | | 1,212,481 | | | | 78,605 | |
| Onyx Pharmaceuticals, Inc.* | | | 325,700 | | | | 13,331 | |
| | | | | | | | |
| Total | | | | | | | 167,441 | |
| | | | | | | | |
|
| Building Products 0.27% | |
| Fortune Brands Home & Security, Inc.* | | | 820,000 | | | | 11,915 | |
| | | | | | | | |
|
| Capital Markets 4.68% | |
| Affiliated Managers Group, Inc.* | | | 371,956 | | | | 34,447 | |
| Lazard Ltd. Class A | | | 1,750,000 | | | | 47,845 | |
| LPL Investment Holdings, Inc.* | | | 1,050,000 | | | | 30,460 | |
| State Street Corp. | | | 2,340,000 | | | | 94,513 | |
| | | | | | | | |
| Total | | | | | | | 207,265 | |
| | | | | | | | |
| Chemicals 4.50% | |
| Air Products & Chemicals, Inc. | | | 527,800 | | | $ | 45,464 | |
| Albemarle Corp. | | | 380,000 | | | | 20,250 | |
| Koppers Holdings, Inc. | | | 89,237 | | | | 2,953 | |
| LyondellBasell Industries NV Class A (Netherlands)(a) | | | 914,300 | | | | 30,044 | |
| Mosaic Co. (The) | | | 861,900 | | | | 50,473 | |
| PPG Industries, Inc. | | | 356,488 | | | | 30,804 | |
| Sigma-Aldrich Corp. | | | 298,821 | | | | 19,567 | |
| | | | | | | | |
| Total | | | | | | | 199,555 | |
| | | | | | | | |
|
| Commercial Banks 5.68% | |
| City National Corp. | | | 555,100 | | | | 23,547 | |
| Commerce Bancshares, Inc. | | | 515,000 | | | | 19,982 | |
| Cullen/Frost Bankers, Inc. | | | 735,000 | | | | 36,045 | |
| M&T Bank Corp. | | | 200,000 | | | | 15,222 | |
| PNC Financial Services Group, Inc. (The) | | | 1,675,000 | | | | 89,964 | |
| Signature Bank* | | | 410,000 | | | | 22,858 | |
| U.S. Bancorp | | | 1,725,643 | | | | 44,159 | |
| | | | | | | | |
| Total | | | | | | | 251,777 | |
| | | | | | | | |
|
| Computers & Peripherals 0.42% | |
| EMC Corp.* | | | 765,946 | | | | 18,773 | |
| | | | | | | | |
|
| Construction & Engineering 0.78% | |
| Jacobs Engineering Group, Inc.* | | | 55,484 | | | | 2,153 | |
| URS Corp.* | | | 909,500 | | | | 32,469 | |
| | | | | | | | |
| Total | | | | | | | 34,622 | |
| | | | | | | | |
|
| Containers & Packaging 0.40% | |
| Greif, Inc. Class A | | | 400,000 | | | | 17,912 | |
| | | | | | | | |
|
| Diversified Financial Services 0.89% | |
| JPMorgan Chase & Co. | | | 1,139,200 | | | | 39,599 | |
| | | | | | | | |
See Notes to Financial Statements.
28
Schedule of Investments (continued)
FUNDAMENTAL EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Electric: Utilities 1.59% | |
| NextEra Energy, Inc. | | | 1,250,000 | | | $ | 70,500 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 1.14% | |
| Anixter International, Inc. | | | 608,491 | | | | 35,712 | |
| Arrow Electronics, Inc.* | | | 209,353 | | | | 7,547 | |
| FLIR Systems, Inc. | | | 283,828 | | | | 7,465 | |
| | | | | | | | |
| Total | | | | | | | 50,724 | |
| | | | | | | | |
|
| Energy Equipment & Services 5.48% | |
| Baker Hughes, Inc. | | | 560,000 | | | | 32,474 | |
| GulfMark Offshore, Inc. Class A* | | | 280,000 | | | | 11,645 | |
| Halliburton Co. | | | 2,100,000 | | | | 78,456 | |
| Helmerich & Payne, Inc. | | | 355,450 | | | | 18,903 | |
| Schlumberger Ltd. | | | 550,000 | | | | 40,408 | |
| Superior Energy Services, Inc.* | | | 1,200,000 | | | | 33,744 | |
| Tidewater, Inc. | | | 550,000 | | | | 27,077 | |
| | | | | | | | |
| Total | | | | | | | 242,707 | |
| | | | | | | | |
|
| Food & Staples Retailing 1.37% | |
| CVS Caremark Corp. | | | 1,671,400 | | | | 60,672 | |
| | | | | | | | |
|
| Food Products 3.87% | |
| Archer Daniels Midland Co. | | | 3,275,000 | | | | 94,778 | |
| Bunge Ltd. | | | 1,240,000 | | | | 76,595 | |
| | | | | | | | |
| Total | | | | | | | 171,373 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 1.22% | |
| NuVasive, Inc.* | | | 361,700 | | | | 5,361 | |
| St. Jude Medical, Inc. | | | 705,000 | | | | 27,495 | |
| Zimmer Holdings, Inc.* | | | 405,000 | | | | 21,315 | |
| | | | | | | | |
| Total | | | | | | | 54,171 | |
| | | | | | | | |
|
| Health Care Providers & Services 5.50% | |
| DaVita, Inc.* | | | 461,924 | | | | 32,335 | |
| Express Scripts, Inc.* | | | 1,500,000 | | | | 68,595 | |
| Humana, Inc. | | | 448,700 | | | $ | 38,090 | |
| McKesson Corp. | | | 565,025 | | | | 46,078 | |
| UnitedHealth Group, Inc. | | | 1,224,283 | | | | 58,753 | |
| | | | | | | | |
| Total | | | | | | | 243,851 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 0.17% | |
| Darden Restaurants, Inc. | | | 156,321 | | | | 7,485 | |
| | | | | | | | |
|
| Household Durables 0.55% | |
| Harman International Industries, Inc. | | | 560,790 | | | | 24,204 | |
| | | | | | | | |
|
| Household Products 0.56% | |
| Colgate-Palmolive Co. | | | 272,930 | | | | 24,665 | |
| | | | | | | | |
|
| Information Technology Services 0.27% | |
| Booz Allen Hamilton Holding Corp.* | | | 749,300 | | | | 11,846 | |
| | | | | | | | |
|
| Insurance 4.77% | |
| ACE Ltd. (Switzerland)(a) | | | 650,800 | | | | 46,955 | |
| Berkshire Hathaway, Inc. Class B* | | | 1,200,000 | | | | 93,432 | |
| Marsh & McLennan Cos., Inc. | | | 2,326,127 | | | | 71,226 | |
| | | | | | | | |
| Total | | | | | | | 211,613 | |
| | | | | | | | |
|
| Life Sciences Tools & Services 1.78% | |
| Charles River Laboratories International, Inc.* | | | 725,000 | | | | 23,403 | |
| Thermo Fisher Scientific, Inc.* | | | 1,105,900 | | | | 55,594 | |
| | | | | | | | |
| Total | | | | | | | 78,997 | |
| | | | | | | | |
|
| Machinery 5.61% | |
| Dover Corp. | | | 940,000 | | | | 52,198 | |
| Eaton Corp. | | | 820,000 | | | | 36,752 | |
| Kennametal, Inc. | | | 668,800 | | | | 26,010 | |
| Pall Corp. | | | 705,000 | | | | 36,075 | |
See Notes to Financial Statements.
29
Schedule of Investments (continued)
FUNDAMENTAL EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Machinery (continued) | |
| Parker Hannifin Corp. | | | 288,200 | | | $ | 23,503 | |
| Robbins & Myers, Inc. | | | 130,178 | | | | 5,818 | |
| SPX Corp. | | | 113,800 | | | | 6,214 | |
| Trinity Industries, Inc. | | | 1,933,400 | | | | 52,724 | |
| WABCO Holdings, Inc.* | | | 188,400 | | | | 9,459 | |
| | | | | | | | |
| Total | | | | | | | 248,753 | |
| | | | | | | | |
|
| Media 5.62% | |
| Interpublic Group of Cos., Inc. (The) | | | 7,350,000 | | | | 69,678 | |
| Omnicom Group, Inc. | | | 1,811,700 | | | | 80,584 | |
| Time Warner, Inc. | | | 2,125,000 | | | | 74,354 | |
| Walt Disney Co. (The) | | | 695,000 | | | | 24,242 | |
| | | | | | | | |
| Total | | | | | | | 248,858 | |
| | | | | | | | |
|
| Metals & Mining 2.87% | |
| Barrick Gold Corp. (Canada)(a) | | | 820,000 | | | | 40,590 | |
| Carpenter Technology Corp. | | | 289,300 | | | | 16,409 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 597,710 | | | | 24,064 | |
| Reliance Steel & Aluminum Co. | | | 1,047,749 | | | | 46,300 | |
| | | | | | | | |
| Total | | | | | | | 127,363 | |
| | | | | | | | |
|
| Multi-Line Retail 1.60% | |
| Macy’s, Inc. | | | 659,400 | | | | 20,131 | |
| Target Corp. | | | 925,000 | | | | 50,644 | |
| | | | | | | | |
| Total | | | | | | | 70,775 | |
| | | | | | | | |
|
| Office Electronics 0.04% | |
| Zebra Technologies Corp. Class A* | | | 50,500 | | | | 1,805 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 15.53% | |
| Anadarko Petroleum Corp. | | | 1,225,000 | | | | 96,163 | |
| Apache Corp. | | | 480,000 | | | | 47,822 | |
| Chevron Corp. | | | 685,000 | | | | 71,959 | |
| CONSOL Energy, Inc. | | | 910,000 | | | $ | 38,912 | |
| Devon Energy Corp. | | | 690,000 | | | | 44,816 | |
| EQT Corp. | | | 814,405 | | | | 51,715 | |
| Exxon Mobil Corp. | | | 2,191,398 | | | | 171,126 | |
| Imperial Oil Ltd. (Canada)(a) | | | 899,424 | | | | 37,074 | |
| Lone Pine Resources, Inc. (Canada)*(a) | | | 264,320 | | | | 1,990 | |
| QEP Resources, Inc. | | | 815,000 | | | | 28,973 | |
| Range Resources Corp. | | | 715,400 | | | | 49,248 | |
| Southwestern Energy Co.* | | | 1,148,200 | | | | 48,270 | |
| | | | | | | | |
| Total | | | | | | | 688,068 | |
| | | | | | | | |
|
| Paper & Forest Products 0.61% | |
| International Paper Co. | | | 978,661 | | | | 27,109 | |
| | | | | | | | |
|
| Pharmaceuticals 3.41% | |
| Merck & Co., Inc. | | | 473,300 | | | | 16,329 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 1,797,675 | | | | 73,435 | |
| Warner Chilcott plc Class A (Ireland)*(a) | | | 1,851,185 | | | | 33,544 | |
| Watson Pharmaceuticals, Inc.* | | | 415,000 | | | | 27,871 | |
| | | | | | | | |
| Total | | | | | | | 151,179 | |
| | | | | | | | |
|
| Road & Rail 0.48% | |
| Kansas City Southern* | | | 335,500 | | | | 21,193 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment 1.46% | |
| Intel Corp. | | | 1,250,000 | | | | 30,675 | |
| Texas Instruments, Inc. | | | 1,101,929 | | | | 33,862 | |
| | | | | | | | |
| Total | | | | | | | 64,537 | |
| | | | | | | | |
|
| Software 1.42% | |
| Adobe Systems, Inc.* | | | 1,461,213 | | | | 42,974 | |
| Intuit, Inc. | | | 375,200 | | | | 20,137 | |
| | | | | | | | |
| Total | | | | | | | 63,111 | |
| | | | | | | | |
See Notes to Financial Statements.
30
Schedule of Investments (concluded)
FUNDAMENTAL EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Specialty Retail 0.87% | |
| Guess?, Inc. | | | 683,400 | | | $ | 22,546 | |
| Penske Automotive Group, Inc. | | | 775,000 | | | | 15,802 | |
| | | | | | | | |
| Total | | | | | | | 38,348 | |
| | | | | | | | |
Total Common Stocks
(cost $4,002,371,052) | | | | | | | 4,304,219 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000) | | | | |
| SHORT-TERM INVESTMENT 2.18% | |
|
| Repurchase Agreement | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $98,525,000 of Federal Home Loan Bank at 0.23% due 8/15/2012; value: $98,525,000; proceeds: $96,588,973 (cost $96,588,946) | | $ | 96,589 | | | | 96,589 | |
| | | | | | | | |
| Total Investments in Securities 99.30% (cost $4,098,959,998) | | | | | | | 4,400,808 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities 0.70% | | | | | | | 31,195 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 4,432,003 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
See Notes to Financial Statements.
31
Schedule of Investments
GROWTH LEADERS FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 97.59% | |
|
| Aerospace & Defense 3.84% | |
| BE Aerospace, Inc.* | | | 4,256 | | | $ | 161 | |
| Hexcel Corp.* | | | 8,731 | | | | 216 | |
| Honeywell International, Inc. | | | 2,235 | | | | 117 | |
| Precision Castparts Corp. | | | 744 | | | | 121 | |
| | | | | | | | |
| Total | | | | | | | 615 | |
| | | | | | | | |
|
| Automobiles 1.00% | |
| Tesla Motors, Inc.* | | | 5,468 | | | | 161 | |
| | | | | | | | |
|
| Beverages 0.51% | |
| Hansen Natural Corp.* | | | 921 | | | | 82 | |
| | | | | | | | |
|
| Biotechnology 1.67% | |
| Alexion Pharmaceuticals, Inc.* | | | 572 | | | | 39 | |
| Biogen Idec, Inc.* | | | 988 | | | | 115 | |
| Celgene Corp.* | | | 1,151 | | | | 75 | |
| Cepheid, Inc.* | | | 1,075 | | | | 38 | |
| | | | | | | | |
| Total | | | | | | | 267 | |
| | | | | | | | |
|
| Capital Markets 3.59% | |
| Affiliated Managers Group, Inc.* | | | 2,211 | | | | 205 | |
| Financial Engines, Inc.* | | | 9,623 | | | | 218 | |
| Goldman Sachs Group, Inc. (The) | | | 1,386 | | | | 152 | |
| | | | | | | | |
| Total | | | | | | | 575 | |
| | | | | | | | |
|
| Chemicals 2.09% | |
| Albemarle Corp. | | | 2,364 | | | | 126 | |
| Celanese Corp. Series A | | | 3,108 | | | | 135 | |
| Monsanto Co. | | | 1,016 | | | | 74 | |
| | | | | | | | |
| Total | | | | | | | 335 | |
| | | | | | | | |
|
| Commercial Banks 1.37% | |
| U.S. Bancorp | | | 8,601 | | | | 220 | |
| | | | | | | | |
|
| Commercial Services & Supplies 0.74% | |
| Clean Harbors, Inc.* | | | 2,020 | | | | 118 | |
| | | | | | | | |
| Communications Equipment 2.21% | |
| F5 Networks, Inc.* | | | 2,286 | | | $ | 238 | |
| QUALCOMM, Inc. | | | 2,258 | | | | 116 | |
| | | | | | | | |
| Total | | | | | | | 354 | |
| | | | | | | | |
|
| Computers & Peripherals 5.26% | |
| Apple, Inc.* | | | 758 | | | | 307 | |
| EMC Corp.* | | | 9,068 | | | | 222 | |
| SanDisk Corp.* | | | 6,197 | | | | 314 | |
| | | | | | | | |
| Total | | | | | | | 843 | |
| | | | | | | | |
|
| Consumer Finance 1.96% | |
| American Express Co. | | | 3,033 | | | | 153 | |
| Capital One Financial Corp. | | | 3,519 | | | | 161 | |
| | | | | | | | |
| Total | | | | | | | 314 | |
| | | | | | | | |
|
| Electrical Equipment 0.87% | |
| Polypore International, Inc.* | | | 312 | | | | 16 | |
| Rockwell Automation, Inc. | | | 1,814 | | | | 123 | |
| | | | | | | | |
| Total | | | | | | | 139 | |
| | | | | | | | |
|
| Energy Equipment & Services 6.80% | |
| CARBO Ceramics, Inc. | | | 894 | | | | 122 | |
| Core Laboratories NV (Netherlands)(a) | | | 752 | | | | 81 | |
| Halliburton Co. | | | 6,619 | | | | 247 | |
| Helmerich & Payne, Inc. | | | 2,986 | | | | 159 | |
| National Oilwell Varco, Inc. | | | 2,754 | | | | 197 | |
| Oceaneering International, Inc. | | | 2,800 | | | | 117 | |
| Schlumberger Ltd. | | | 2,275 | | | | 167 | |
| | | | | | | | |
| Total | | | | | | | 1,090 | |
| | | | | | | | |
|
| Food & Staples Retailing 1.94% | |
| Costco Wholesale Corp. | | | 1,379 | | | | 115 | |
| Whole Foods Market, Inc. | | | 2,715 | | | | 196 | |
| | | | | | | | |
| Total | | | | | | | 311 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 1.50% | |
| Intuitive Surgical, Inc.* | | | 555 | | | | 241 | |
| | | | | | | | |
See Notes to Financial Statements.
32
Schedule of Investments (continued)
GROWTH LEADERS FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Hotels, Restaurants & Leisure 4.25% | |
| Chipotle Mexican Grill, Inc.* | | | 354 | | | $ | 119 | |
| Las Vegas Sands Corp.* | | | 2,662 | | | | 125 | |
| McDonald’s Corp. | | | 833 | | | | 77 | |
| Panera Bread Co. Class A* | | | 936 | | | | 125 | |
| Starbucks Corp. | | | 2,772 | | | | 118 | |
| Wynn Resorts Ltd. | | | 883 | | | | 117 | |
| | | | | | | | |
| Total | | | | | | | 681 | |
| | | | | | | | |
|
| Household Durables 0.99% | |
| Tempur-Pedic International, Inc.* | | | 2,324 | | | | 158 | |
| | | | | | | | |
|
| Household Products 0.24% | |
| Colgate-Palmolive Co. | | | 422 | | | | 38 | |
| | | | | | | | |
|
| Information Technology Services 3.73% | |
| Cognizant Technology Solutions Corp. Class A* | | | 1,613 | | | | 117 | |
| MasterCard, Inc. Class A | | | 577 | | | | 200 | |
| VeriFone Systems, Inc.* | | | 1,932 | | | | 82 | |
| Visa, Inc. Class A | | | 2,134 | | | | 199 | |
| | | | | | | | |
| Total | | | | | | | 598 | |
| | | | | | | | |
|
| Internet & Catalog Retail 1.29% | |
| Amazon.com, Inc.* | | | 624 | | | | 134 | |
| priceline.com, Inc.* | | | 146 | | | | 74 | |
| | | | | | | | |
| Total | | | | | | | 208 | |
| | | | | | | | |
|
| Internet Software & Services 2.48% | |
| eBay, Inc.* | | | 1,231 | | | | 39 | |
| Google, Inc. Class A* | | | 606 | | | | 359 | |
| | | | | | | | |
| Total | | | | | | | 398 | |
| | | | | | | | |
|
| Leisure Equipment & Products 0.70% | |
| Polaris Industries, Inc. | | | 1,766 | | | | 112 | |
| | | | | | | | |
|
| Machinery 6.11% | |
| Caterpillar, Inc. | | | 1,673 | | | | 158 | |
| Chart Industries, Inc.* | | | 2,163 | | | | 122 | |
| Cummins, Inc. | | | 1,584 | | | | 158 | |
| Gardner Denver, Inc. | | | 1,497 | | | $ | 116 | |
| Robbins & Myers, Inc. | | | 3,434 | | | | 153 | |
| Wabtec Corp. | | | 2,338 | | | | 157 | |
| Westport Innovations, Inc. (Canada)*(a) | | | 3,798 | | | | 115 | |
| | | | | | | | |
| Total | | | | | | | 979 | |
| | | | | | | | |
|
| Metals & Mining 2.11% | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 5,361 | | | | 216 | |
| Newmont Mining Corp. | | | 1,830 | | | | 122 | |
| | | | | | | | |
| Total | | | | | | | 338 | |
| | | | | | | | |
|
| Multi-Line Retail 0.24% | |
| Dollar Tree, Inc.* | | | 479 | | | | 38 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 4.08% | |
| Continental Resources, Inc.* | | | 2,750 | | | | 167 | |
| Oasis Petroleum, Inc.* | | | 4,958 | | | | 145 | |
| Range Resources Corp. | | | 4,947 | | | | 341 | |
| | | | | | | | |
| Total | | | | | | | 653 | |
| | | | | | | | |
|
| Personal Products 0.79% | |
| Herbalife Ltd. | | | 2,040 | | | | 127 | |
| | | | | | | | |
|
| Pharmaceuticals 0.88% | |
| Allergan, Inc. | | | 913 | | | | 77 | |
| Perrigo Co. | | | 713 | | | | 64 | |
| | | | | | | | |
| Total | | | | | | | 141 | |
| | | | | | | | |
|
| Road & Rail 1.55% | |
| Kansas City Southern* | | | 3,924 | | | | 248 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment 3.90% | |
| Altera Corp. | | | 3,198 | | | | 121 | |
| ARM Holdings plc ADR | | | 4,234 | | | | 119 | |
| ASML Holding NV (Netherlands)(a) | | | 3,589 | | | | 151 | |
| Broadcom Corp. Class A* | | | 4,354 | | | | 157 | |
| Cavium, Inc.* | | | 2,364 | | | | 77 | |
| | | | | | | | |
| Total | | | | | | | 625 | |
| | | | | | | | |
See Notes to Financial Statements.
33
Schedule of Investments (concluded)
GROWTH LEADERS FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Software 14.35% | |
| Check Point Software Technologies Ltd. (Israel)*(a) | | | 3,936 | | | $ | 227 | |
| Citrix Systems, Inc.* | | | 2,122 | | | | 154 | |
| Electronic Arts, Inc.* | | | 4,933 | | | | 115 | |
| Intuit, Inc. | | | 2,973 | | | | 160 | |
| NetSuite, Inc.* | | | 5,600 | | | | 213 | |
| Nuance Communications, Inc.* | | | 7,541 | | | | 200 | |
| Red Hat, Inc.* | | | 6,344 | | | | 315 | |
| salesforce.com, Inc.* | | | 906 | | | | 121 | |
| Synchronoss Technologies, Inc.* | | | 7,484 | | | | 225 | |
| TIBCO Software, Inc.* | | | 8,458 | | | | 244 | |
| VMware, Inc. Class A* | | | 3,329 | | | | 325 | |
| | | | | | | | |
| Total | | | | | | | 2,299 | |
| | | | | | | | |
|
| Specialty Retail 5.32% | |
| Abercrombie & Fitch Co. Class A | | | 3,178 | | | | 237 | |
| Bed Bath & Beyond, Inc.* | | | 2,092 | | | | 129 | |
| Dick’s Sporting Goods, Inc.* | | | 3,104 | | | | 121 | |
| Tiffany & Co. | | | 2,533 | | | | 202 | |
| Ulta Salon, Cosmetics & Fragrance, Inc.* | | | 2,413 | | | | 163 | |
| | | | | | | | |
| Total | | | | | | | 852 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods 7.48% | |
| Coach, Inc. | | | 3,066 | | | | 199 | |
| Deckers Outdoor Corp.* | | | 1,035 | | | | 119 | |
| lululemon athletica, Inc. (Canada)*(a) | | | 2,158 | | | | 122 | |
| NIKE, Inc. Class B | | | 3,784 | | | | 365 | |
| Ralph Lauren Corp. | | | 1,248 | | | | 198 | |
| Under Armour, Inc. Class A* | | | 2,307 | | | | 195 | |
| | | | | | | | |
| Total | | | | | | | 1,198 | |
| | | | | | | | |
| Trading Companies & Distributors 1.75% | |
| Fastenal Co. | | | 7,355 | | | $ | 280 | |
| | | | | | | | |
| Total Investments in Securities 97.59% (cost $14,797,040) | | | | | | | 15,636 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities 2.41% | | | | | | | 386 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 16,022 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
See Notes to Financial Statements.
34
Schedule of Investments
INTERNATIONAL CORE EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| LONG-TERM INVESTMENTS 99.31% | |
|
| COMMON STOCKS 97.98% | |
|
| Australia 3.95% | |
|
| Beverages 1.32% | |
| Coca-Cola Amatil Ltd. | | | 875,110 | | | $ | 11,297 | |
| | | | | | | | |
|
| Construction & Engineering 1.12% | |
| Leighton Holdings Ltd. | | | 419,525 | | | | 9,530 | |
| | | | | | | | |
|
| Health Care Providers & Services 0.76% | |
| Sonic Healthcare Ltd. | | | 560,667 | | | | 6,479 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 0.75% | |
| GPT Group | | | 1,951,416 | | | | 6,440 | |
| | | | | | | | |
| Total Australia | | | | | | | 33,746 | |
| | | | | | | | |
|
| Belgium 1.84% | |
|
| Beverages | |
| Anheuser-Busch InBev NV | | | 283,862 | | | | 15,742 | |
| | | | | | | | |
|
| Brazil 0.78% | |
|
| Household Durables | |
| PDG Realty SA Empreendimentos e Participacoes | | | 1,515,684 | | | | 6,683 | |
| | | | | | | | |
|
| Canada 1.62% | |
|
| Metals & Mining | |
| Yamana Gold, Inc. | | | 921,500 | | | | 13,795 | |
| | | | | | | | |
|
| China 0.68% | |
|
| Machinery | |
| Zoomlion Heavy Industry Science & Technology Co., Ltd. H Shares | | | 4,007,280 | | | | 5,798 | |
| | | | | | | | |
| Finland 1.21% | |
|
| Electric: Utilities | |
| Fortum OYJ | | | 424,639 | | | $ | 10,335 | |
| | | | | | | | |
|
| France 5.14% | |
|
| Aerospace & Defense 1.02% | |
| Safran SA | | | 266,589 | | | | 8,706 | |
| | | | | | | | |
|
| Auto Components 0.77% | |
| Compagnie Generale des Etablissements Michelin B Shares | | | 91,000 | | | | 6,589 | |
| | | | | | | | |
|
| Construction & Engineering 0.85% | |
| Vinci SA | | | 148,293 | | | | 7,272 | |
| | | | | | | | |
|
| Electrical Equipment 0.93% | |
| Alstom SA | | | 214,082 | | | | 7,972 | |
| | | | | | | | |
|
| Food & Staples Retailing 0.56% | |
| Carrefour SA | | | 179,446 | | | | 4,748 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 1.01% | |
| Total SA | | | 165,000 | | | | 8,609 | |
| | | | | | | | |
| Total France | | | | | | | 43,896 | |
| | | | | | | | |
|
| Germany 6.37% | |
|
| Air Freight & Logistics 1.21% | |
| Deutsche Post AG Registered Shares | | | 679,077 | | | | 10,301 | |
| | | | | | | | |
|
| Electric: Utilities 0.99% | |
| E. On AG | | | 350,702 | | | | 8,457 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 1.62% | |
| Fresenius SE & Co. KGaA | | | 141,031 | | | | 13,848 | |
| | | | | | | | |
|
| Household Products 1.09% | |
| Henkel KGaA | | | 190,952 | | | | 9,324 | |
| | | | | | | | |
See Notes to Financial Statements.
35
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Germany (continued) | |
|
| Software 1.46% | |
| SAP AG | | | 205,321 | | | $ | 12,415 | |
| | | | | | | | |
| Total Germany | | | | | | | 54,345 | |
| | | | | | | | |
|
| Hong Kong 2.96% | |
|
| Auto Components 0.41% | |
| Minth Group Ltd. | | | 3,362,000 | | | | 3,488 | |
| | | | | | | | |
|
| Chemicals 0.55% | |
| Huabao International Holdings Ltd. | | | 7,353,000 | | | | 4,671 | |
| | | | | | | | |
|
| Real Estate Management & Development 1.19% | |
| New World Development Co., Ltd. | | | 4,378,000 | | | | 4,612 | |
| Wharf Holdings Ltd. (The) | | | 1,052,700 | | | | 5,600 | |
| | | | | | | | |
| | | | | | | 10,212 | |
| | | | | | | | |
|
| Water Utilities 0.81% | |
| Guangdong Investment Ltd. | | | 11,530,000 | | | | 6,941 | |
| | | | | | | | |
| Total Hong Kong | | | | | | | 25,312 | |
| | | | | | | | |
|
| Indonesia 1.43% | |
|
| Commercial Banks 0.74% | |
PT Bank Negara Indonesia (Persero)
Tbk | | | 13,999,814 | | | | 6,274 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 0.69% | |
PT Bumi Resources
Tbk | | | 22,692,500 | | | | 5,927 | |
| | | | | | | | |
| Total Indonesia | | | | | | | 12,201 | |
| | | | | | | | |
|
| Ireland 0.82% | |
|
| Information Technology Services | |
| Accenture plc Class A | | | 115,575 | | | | 6,965 | |
| | | | | | | | |
| Israel 2.37% | |
|
| Chemicals 0.92% | |
| Israel Chemicals Ltd. | | | 661,343 | | | $ | 7,842 | |
| | | | | | | | |
|
| Pharmaceuticals 1.45% | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 303,245 | | | | 12,388 | |
| | | | | | | | |
| Total Israel | | | | | | | 20,230 | |
| | | | | | | | |
|
| Italy 1.88% | |
|
| Commercial Banks 0.89% | |
| Intesa Sanpaolo SpA | | | 4,292,576 | | | | 7,576 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 0.99% | |
| Telecom Italia SpA | | | 6,813,203 | | | | 8,478 | |
| | | | | | | | |
| Total Italy | | | | | | | 16,054 | |
| | | | | | | | |
|
| Japan 17.67% | |
|
| Auto Components 1.05% | |
| Bridgestone Corp. | | | 382,800 | | | | 8,975 | |
| | | | | | | | |
|
| Automobiles 1.75% | |
| Honda Motor Co., Ltd. | | | 500,190 | | | | 14,958 | |
| | | | | | | | |
|
| Chemicals 1.04% | |
| Asahi Kasei Corp. | | | 1,498,000 | | | | 8,884 | |
| | | | | | | | |
|
| Commercial Banks 1.24% | |
| Bank of Yokohama Ltd. (The) | | | 2,314,000 | | | | 10,594 | |
| | | | | | | | |
|
| Consumer Finance 0.94% | |
| ORIX Corp. | | | 91,460 | | | | 7,982 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.83% | |
| Nippon Telegraph & Telephone Corp. | | | 304,600 | | | | 15,625 | |
| | | | | | | | |
|
| Electric: Utilities 0.86% | |
| Kansai Electric Power Co., Inc. (The) | | | 499,500 | | | | 7,368 | |
| | | | | | | | |
See Notes to Financial Statements.
36
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Japan (continued) | |
|
| Electronic Equipment, Instruments & Components 1.03% | |
| Hitachi Ltd. | | | 1,633,000 | | | $ | 8,750 | |
| | | | | | | | |
|
| Office Electronics 1.30% | |
| Canon, Inc. | | | 245,100 | | | | 11,127 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 1.37% | |
| JX Holdings, Inc. | | | 2,005,000 | | | | 11,679 | |
| | | | | | | | |
|
| Real Estate Management & Development 1.01% | |
| Sumitomo Realty & Development Co., Ltd. | | | 415,000 | | | | 8,602 | |
| | | | | | | | |
|
| Road & Rail 1.65% | |
| East Japan Railway Co. | | | 232,000 | | | | 14,066 | |
| | | | | | | | |
|
| Trading Companies & Distributors 2.60% | |
| Mitsui & Co., Ltd. | | | 765,400 | | | | 11,171 | |
| Sumitomo Corp. | | | 888,800 | | | | 11,004 | |
| | | | | | | | |
| | | | | | | 22,175 | |
| | | | | | | | |
| Total Japan | | | | | | | 150,785 | |
| | | | | | | | |
|
| Netherlands 2.20% | |
|
| Diversified Financial Services 1.41% | |
| ING Groep NV CVA* | | | 1,397,109 | | | | 12,044 | |
| | | | | | | | |
|
| Food & Staples Retailing 0.79% | |
| Koninklijke Ahold NV | | | 528,150 | | | | 6,748 | |
| | | | | | | | |
| Total Netherlands | | | | | | | 18,792 | |
| | | | | | | | |
|
| Norway 3.70% | |
|
| Chemicals 0.52% | |
| Yara International ASA | | | 93,918 | | | | 4,441 | |
| | | | | | | | |
|
| Commercial Banks 1.31% | |
| DnB NOR ASA | | | 967,871 | | | | 11,195 | |
| | | | | | | | |
| Diversified Telecommunication Services 1.87% | |
| Telenor ASA | | | 893,600 | | | $ | 15,918 | |
| | | | | | | | |
| Total Norway | | | | | | | 31,554 | |
| | | | | | | | |
|
| Poland 0.65% | |
|
| Electric: Utilities | |
| PGE SA | | | 899,013 | | | | 5,530 | |
| | | | | | | | |
|
| Russia 0.58% | |
|
| Oil, Gas & Consumable Fuels | |
| Gazprom OAO ADR | | | 425,800 | | | | 4,936 | |
| | | | | | | | |
|
| Singapore 2.37% | |
|
| Commercial Banks 1.05% | |
| DBS Group Holdings Ltd. | | | 916,100 | | | | 8,948 | |
| | | | | | | | |
|
| Industrial Conglomerates 1.32% | |
| Keppel Corp., Ltd. | | | 1,511,400 | | | | 11,315 | |
| | | | | | | | |
| Total Singapore | | | | | | | 20,263 | |
| | | | | | | | |
|
| South Korea 1.79% | |
|
| Auto Components 0.93% | |
| Hyundai Mobis | | | 27,722 | | | | 7,934 | |
| | | | | | | | |
|
| Commercial Banks 0.86% | |
| DGB Financial Group, Inc.* | | | 581,960 | | | | 7,325 | |
| | | | | | | | |
| Total South Korea | | | | | | | 15,259 | |
| | | | | | | | |
|
| Sweden 2.66% | |
|
| Commercial Banks 1.37% | |
| Swedbank AB A Shares | | | 833,771 | | | | 11,673 | |
| | | | | | | | |
|
| Communications Equipment 1.29% | |
| Telefonaktiebolaget LM Ericsson ADR | | | 1,056,700 | | | | 11,000 | |
| | | | | | | | |
| Total Sweden | | | | | | | 22,673 | |
| | | | | | | | |
See Notes to Financial Statements.
37
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Switzerland 5.80% | |
|
| Chemicals 0.85% | |
| Syngenta AG Registered Shares* | | | 23,865 | | | $ | 7,272 | |
| | | | | | | | |
|
| Food Products 1.61% | |
| Nestle SA Registered Shares | | | 237,461 | | | | 13,734 | |
| | | | | | | | |
|
| Insurance 1.36% | |
| Swiss Re Ltd.* | | | 212,174 | | | | 11,584 | |
| | | | | | | | |
|
| Pharmaceuticals 1.98% | |
| Novartis AG Registered Shares | | | 300,995 | | | | 16,957 | |
| | | | | | | | |
| Total Switzerland | | | | | | | 49,547 | |
| | | | | | | | |
|
| Taiwan 0.68% | |
|
| Computers & Peripherals | |
| Asustek Computer, Inc. | | | 836,000 | | | | 5,812 | |
| | | | | | | | |
|
| Thailand 1.27% | |
|
| Commercial Banks | |
| Bangkok Bank Public Co., Ltd. | | | 2,131,700 | | | | 10,803 | |
| | | | | | | | |
|
| Turkey 0.76% | |
|
| Diversified Telecommunication Services | |
| Turk Telekomunikasyon AS | | | 1,524,267 | | | | 6,465 | |
| | | | | | | | |
|
| United Kingdom 26.80% | |
|
| Commercial Banks 2.59% | |
| Barclays plc | | | 2,934,525 | | | | 9,097 | |
| HSBC Holdings plc | | | 710,134 | | | | 6,196 | |
| Lloyds Banking Group plc* | | | 13,144,639 | | | | 6,797 | |
| | | | | | | | |
| | | | | | | 22,090 | |
| | | | | | | | |
| Food & Staples Retailing 1.33% | |
| Tesco plc | | | 1,766,650 | | | $ | 11,390 | |
| | | | | | | | |
|
| Food Products 1.54% | |
| Unilever plc | | | 392,844 | | | | 13,168 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 1.38% | |
| Smith & Nephew plc | | | 1,288,374 | | | | 11,793 | |
| | | | | | | | |
|
| Insurance 2.49% | |
| Aviva plc | | | 1,525,201 | | | | 8,321 | |
| Prudential plc | | | 1,250,711 | | | | 12,919 | |
| | | | | | | | |
| | | | | | | 21,240 | |
| | | | | | | | |
|
| Media 3.67% | |
| British Sky Broadcasting Group plc | | | 583,989 | | | | 6,585 | |
| Pearson plc | | | 640,437 | | | | 11,765 | |
| Reed Elsevier plc | | | 1,513,239 | | | | 12,955 | |
| | | | | | | | |
| | | | | | | 31,305 | |
| | | | | | | | |
|
| Metals & Mining 2.94% | |
| Anglo American plc | | | 242,417 | | | | 8,887 | |
| Vedanta Resources plc | | | 317,851 | | | | 6,488 | |
| Xstrata plc | | | 581,878 | | | | 9,692 | |
| | | | | | | | |
| | | | | | | 25,067 | |
| | | | | | | | |
|
| Multi-Utilities 1.22% | |
| National Grid plc | | | 1,048,544 | | | | 10,425 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 3.57% | |
| BG Group plc | | | 439,020 | | | | 9,520 | |
| Tullow Oil plc | | | 931,175 | | | | 20,921 | |
| | | | | | | | |
| | | | | | | 30,441 | |
| | | | | | | | |
|
| Pharmaceuticals 2.00% | |
| GlaxoSmithKline plc ADR | | | 380,595 | | | | 17,047 | |
| | | | | | | | |
|
| Tobacco 2.20% | |
| British American Tobacco plc | | | 138,625 | | | | 6,356 | |
See Notes to Financial Statements.
38
Schedule of Investments (continued)
INTERNATIONAL CORE EQUITY FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| United Kingdom (continued) | |
|
| Tobacco (continued) | |
| Imperial Tobacco Group plc | | | 341,042 | | | $ | 12,423 | |
| | | | | | | | |
| | | | | | | 18,779 | |
| | | | | | | | |
|
| Wireless Telecommunication Services 1.87% | |
| Vodafone Group plc | | | 5,766,634 | | | | 16,012 | |
| | | | | | | | |
| Total United Kingdom | | | | | | | 228,757 | |
| | | | | | | | |
| Total Common Stocks (cost $808,599,718) | | | | | | | 836,278 | |
| | | | | | | | |
|
| PREFERRED STOCKS 1.33% | |
|
| Brazil 0.51% | |
|
| Independent Power Producers & Energy Traders | |
| Companhia Energetica de Sao Paulo B Shares | | | 257,500 | | | | 4,387 | |
| | | | | | | | |
| | |
| Germany 0.82% | | | | | | | | |
|
| Automobiles | |
| Volkswagen AG | | | 40,300 | | | | 7,018 | |
| | | | | | | | |
| Total Preferred Stocks (cost $10,442,414) | | | | | | | 11,405 | |
| | | | | | | | |
| Total Investments in Securities 99.31% (cost $819,042,132) | | | | | | | 847,683 | |
| | | | | | | | |
| Foreign Cash and Other Assets in Excess of Liabilities(a) 0.69% | | | | | | | 5,868 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 853,551 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign Cash and Other Assets in Excess of Liabilities include net unrealized appreciation on forward foreign currency exchange contracts as follows: |
See Notes to Financial Statements.
39
Schedule of Investments (concluded)
INTERNATIONAL CORE EQUITY FUND October 31, 2011
Open Forward Foreign Currency Exchange Contracts at October 31, 2011:
| | | | | | | | | | | | | | | | | | | | | | |
Forward
Foreign Currency
Exchange Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation
(Depreciation) | |
| Australian dollar | | Buy | | Goldman Sachs | | 2/24/2012 | | | 32,600,000 | | | $ | 32,742,788 | | | $ | 33,906,816 | | | $ | 1,164,028 | |
| euro | | Buy | | Barclays Bank plc | | 11/18/2011 | | | 14,800,000 | | | | 20,832,628 | | | | 20,475,445 | | | | (357,183) | |
| euro | | Buy | | Barclays Bank plc | | 2/24/2012 | | | 17,020,000 | | | | 23,252,554 | | | | 23,537,087 | | | | 284,533 | |
| South Korean won | | Buy | | Barclays Bank plc | | 1/17/2012 | | | 10,070,000,000 | | | | 8,677,294 | | | | 9,039,632 | | | | 362,338 | |
| Swiss franc | | Buy | | PB Financial Services, Inc. | | 2/24/2012 | | | 9,260,000 | | | | 10,344,057 | | | | 10,574,199 | | | | 230,142 | |
| British pound | | Sell | | PB Financial Services, Inc. | | 1/23/2012 | | | 5,430,000 | | | | 8,528,901 | | | | 8,723,244 | | | | (194,343) | |
| British pound | | Sell | | Credit Suisse | | 2/24/2012 | | | 24,340,000 | | | | 38,218,668 | | | | 39,088,376 | | | | (869,708) | |
| Canadian dollar | | Sell | | Morgan Stanley | | 2/24/2012 | | | 12,990,000 | | | | 12,861,768 | | | | 12,999,716 | | | | (137,948) | |
| Israeli new shekel | | Sell | | Goldman Sachs | | 1/26/2012 | | | 38,646,500 | | | | 10,348,507 | | | | 10,634,495 | | | | (285,988) | |
| Norwegian krone | | Sell | | UBS AG | | 2/24/2012 | | | 108,900,000 | | | | 19,204,656 | | | | 19,444,427 | | | | (239,771) | |
| South Korean won | | Sell | | Barclays Bank plc | | 1/17/2012 | | | 10,070,000,000 | | | | 9,090,088 | | | | 9,039,632 | | | | 50,456 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Net Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | | | $ | 6,556 | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
40
Schedule of Investments
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| LONG-TERM INVESTMENTS 96.59% | |
|
| COMMON STOCKS 94.19% | |
| | |
| Argentina 0.91% | | | | | | | | |
|
| Oil, Gas & Consumable Fuels | |
| YPF SA ADR | | | 240,100 | | | $ | 8,070 | |
| | | | | | | | |
| | |
| Australia 15.79% | | | | | | | | |
|
| Beverages 1.26% | |
| Coca-Cola Amatil Ltd. | | | 865,999 | | | | 11,179 | |
| | | | | | | | |
|
| Commercial Banks 1.13% | |
| National Australia Bank Ltd. | | | 376,629 | | | | 10,060 | |
| | | | | | | | |
|
| Construction & Engineering 1.40% | |
| Leighton Holdings Ltd. | | | 546,601 | | | | 12,417 | |
| | | | | | | | |
|
| Diversified Financial Services 1.54% | |
| ASX Ltd. | | | 424,482 | | | | 13,630 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.63% | |
| Telstra Corp., Ltd. | | | 4,464,628 | | | | 14,496 | |
| | | | | | | | |
|
| Electric: Utilities 1.76% | |
| Spark Infrastructure Group† | | | 12,271,858 | | | | 15,635 | |
| | | | | | | | |
|
| Food & Staples Retailing 1.34% | |
| Metcash Ltd. | | | 2,725,828 | | | | 11,929 | |
| | | | | | | | |
|
| Health Care Providers & Services 1.14% | |
| Sonic Healthcare Ltd. | | | 877,954 | | | | 10,145 | |
| | | | | | | | |
|
| Media 2.31% | |
| Seven West Media Ltd. | | | 5,473,277 | | | | 20,505 | |
| | | | | | | | |
|
| Multi-Utilities 1.13% | |
| DUET Group | | | 5,774,932 | | | | 10,064 | |
| | | | | | | | |
| Real Estate Investment Trusts 1.15% | |
| GPT Group | | | 3,098,537 | | | $ | 10,226 | |
| | | | | | | | |
| Total Australia | | | | | | | 140,286 | |
| | | | | | | | |
| | |
| Brazil 2.74% | | | | | | | | |
|
| Commercial Banks 0.52% | |
| Banco do Brasil SA | | | 306,700 | | | | 4,627 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.65% | |
| Telefonica Brasil SA ADR | | | 505,300 | | | | 14,664 | |
| | | | | | | | |
|
| Insurance 0.57% | |
| Sul America SA Unit | | | 628,400 | | | | 5,047 | |
| | | | | | | | |
| Total Brazil | | | | | | | 24,338 | |
| | | | | | | | |
| | |
| China 0.79% | | | | | | | | |
|
| Real Estate Management & Development | |
| Renhe Commercial Holdings Co., Ltd. | | | 50,376,000 | | | | 7,059 | |
| | | | | | | | |
|
| Czech Republic 1.95% | |
|
| Commercial Banks 0.72% | |
| Komercni Banka AS | | | 33,245 | | | | 6,361 | |
| | | | | | | | |
|
| Electric: Utilities 1.23% | |
| CEZ AS | | | 258,176 | | | | 10,917 | |
| | | | | | | | |
| Total Czech Republic | | | | | | | 17,278 | |
| | | | | | | | |
| | |
| Finland 1.15% | | | | | | | | |
|
| Electric: Utilities | |
| Fortum OYJ | | | 421,442 | | | | 10,257 | |
| | | | | | | | |
| | |
| France 4.47% | | | | | | | | |
|
| Construction & Engineering 1.09% | |
| Vinci SA | | | 196,465 | | | | 9,634 | |
| | | | | | | | |
See Notes to Financial Statements.
41
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| France (continued) | |
|
| Food & Staples Retailing 0.50% | |
| Carrefour SA | | | 168,443 | | | $ | 4,457 | |
| | | | | | | | |
|
| Multi-Line Retail 0.50% | |
| PPR | | | 28,515 | | | | 4,425 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 1.38% | |
| Total SA ADR | | | 234,700 | | | | 12,275 | |
| | | | | | | | |
|
| Pharmaceuticals 1.00% | |
| Sanofi | | | 124,576 | | | | 8,912 | |
| | | | | | | | |
| Total France | | | | | | | 39,703 | |
| | | | | | | | |
| | |
| Germany 4.52% | | | | | | | | |
|
| Air Freight & Logistics 1.21% | |
| Deutsche Post AG Registered Shares | | | 710,082 | | | | 10,771 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.14% | |
| Deutsche Telekom AG Registered Shares | | | 797,887 | | | | 10,137 | |
| | | | | | | | |
|
| Electric: Utilities 2.17% | |
| E. On AG | | | 797,853 | | | | 19,240 | |
| | | | | | | | |
| Total Germany | | | | | | | 40,148 | |
| | | | | | | | |
| | |
| Hong Kong 2.39% | | | | | | | | |
|
| Communications Equipment 0.73% | |
| VTech Holdings Ltd. | | | 695,600 | | | | 6,495 | |
| | | | | | | | |
|
| Real Estate Management & Development 0.80% | |
| New World Development Co., Ltd. | | | 6,728,000 | | | | 7,088 | |
| | | | | | | | |
|
| Water Utilities 0.86% | |
| Guangdong Investment Ltd. | | | 12,704,000 | | | | 7,647 | |
| | | | | | | | |
| Total Hong Kong | | | | | | | 21,230 | |
| | | | | | | | |
| Hungary 0.44% | |
|
| Diversified Telecommunication Services | |
Magyar Telekom Telecommunications
plc | | | 1,708,135 | | | $ | 3,946 | |
| | | | | | | | |
|
| Israel 2.63% | |
|
| Chemicals 0.91% | |
| Israel Chemicals Ltd. | | | 681,358 | | | | 8,079 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.72% | |
| Bezeq The Israeli Telecommunication Corp., Ltd. | | | 7,229,255 | | | | 15,277 | |
| | | | | | | | |
| Total Israel | | | | | | | 23,356 | |
| | | | | | | | |
|
| Italy 3.94% | |
|
| Commercial Banks 0.46% | |
| Intesa Sanpaolo SpA | | | 2,338,332 | | | | 4,127 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.27% | |
| Telecom Italia SpA | | | 9,067,028 | | | | 11,282 | |
| | | | | | | | |
|
| Media 0.71% | |
| Mediaset SpA | | | 1,717,574 | | | | 6,328 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 1.50% | |
| Eni SpA ADR | | | 302,080 | | | | 13,298 | |
| | | | | | | | |
| Total Italy | | | | | | | 35,035 | |
| | | | | | | | |
|
| Japan 6.58% | |
|
| Diversified Telecommunication Services 1.60% | |
| Nippon Telegraph & Telephone Corp. | | | 277,000 | | | | 14,209 | |
| | | | | | | | |
|
| Electric: Utilities 0.84% | |
| Kansai Electric Power Co., Inc. (The) | | | 504,800 | | | | 7,446 | |
| | | | | | | | |
See Notes to Financial Statements.
42
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Japan (continued) | |
|
| Office Electronics 0.95% | |
| Canon, Inc. | | | 186,700 | | | $ | 8,476 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 0.71% | |
| ORIX JREIT, Inc. | | | 1,531 | | | | 6,300 | |
| | | | | | | | |
|
| Trading Companies & Distributors 2.48% | |
| Mitsui & Co., Ltd. | | | 769,500 | | | | 11,230 | |
| Sumitomo Corp. | | | 871,700 | | | | 10,793 | |
| | | | | | | | |
| | | | | | | 22,023 | |
| | | | | | | | |
| Total Japan | | | | | | | 58,454 | |
| | | | | | | | |
|
| Netherlands 1.20% | |
|
| Oil, Gas & Consumable Fuels | |
| Royal Dutch Shell plc ADR | | | 149,700 | | | | 10,615 | |
| | | | | | | | |
|
| Norway 5.89% | |
|
| Diversified Telecommunication Services 1.83% | |
| Telenor ASA | | | 912,412 | | | | 16,253 | |
| | | | | | | | |
|
| Energy Equipment & Services 2.82% | |
| Fred. Olsen Energy ASA | | | 387,028 | | | | 12,983 | |
| Seadrill Ltd. | | | 364,686 | | | | 12,082 | |
| | | | | | | | |
| | | | | | | 25,065 | |
| | | | | | | | |
|
| Specialty Retail 1.24% | |
| Statoil Fuel & Retail ASA* | | | 1,386,091 | | | | 10,971 | |
| | | | | | | | |
| Total Norway | | | | | | | 52,289 | |
| | | | | | | | |
|
| Poland 0.88% | |
|
| Diversified Telecommunication Services | |
Telekomunikacja
Polska SA | | | 1,474,175 | | | | 7,817 | |
| | | | | | | | |
| Portugal 0.62% | |
|
| Electric: Utilities | |
| EDP—Energias de Portugal SA | | | 1,753,972 | | | $ | 5,510 | |
| | | | | | | | |
|
| Singapore 3.41% | |
|
| Commercial Banks 1.07% | |
| DBS Group Holdings Ltd. | | | 971,975 | | | | 9,494 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 1.14% | |
| Singapore Telecommunications Ltd. | | | 3,992,000 | | | | 10,093 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 1.20% | |
CapitaRetail China
Trust | | | 5,129,000 | | | | 4,792 | |
| Suntec REIT | | | 6,029,000 | | | | 5,924 | |
| | | | | | | | |
| | | | | | | 10,716 | |
| | | | | | | | |
| Total Singapore | | | | | | | 30,303 | |
| | | | | | | | |
|
| South Africa 0.87% | |
|
| Metals & Mining | |
| Kumba Iron Ore Ltd. | | | 130,958 | | | | 7,736 | |
| | | | | | | | |
|
| South Korea 1.45% | |
|
| Tobacco | |
| KT&G Corp. | | | 205,013 | | | | 12,857 | |
| | | | | | | | |
|
| Spain 2.50% | |
|
| Diversified Financial Services 0.75% | |
| Bolsas y Mercados Espanoles SA | | | 232,202 | | | | 6,650 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 0.94% | |
| Telefonica SA | | | 393,145 | | | | 8,355 | |
| | | | | | | | |
See Notes to Financial Statements.
43
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Spain (continued) | |
|
| Insurance 0.81% | |
| Mapfre SA | | | 1,976,502 | | | $ | 7,222 | |
| | | | | | | | |
| Total Spain | | | | | | | 22,227 | |
| | | | | | | | |
|
| Sweden 1.89% | |
|
| Diversified Telecommunication Services | |
| Tele2 AB B Shares | | | 795,753 | | | | 16,757 | |
| | | | | | | | |
|
| Switzerland 2.64% | |
|
| Insurance 1.23% | |
| Swiss Re Ltd.* | | | 200,165 | | | | 10,929 | |
| | | | | | | | |
|
| Pharmaceuticals 1.41% | |
| Novartis AG Registered Shares | | | 222,257 | | | | 12,521 | |
| | | | | | | | |
| Total Switzerland | | | | | | | 23,450 | |
| | | | | | | | |
|
| Taiwan 2.32% | |
|
| Computers & Peripherals 0.95% | |
| Asustek Computer, Inc. | | | 1,212,000 | | | | 8,426 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment 1.37% | |
| Siliconware Precision Industries Co. ADR | | | 2,350,620 | | | | 12,223 | |
| | | | | | | | |
| Total Taiwan | | | | | | | 20,649 | |
| | | | | | | | |
|
| Thailand 0.99% | |
|
| Real Estate Management & Development | |
L.P.N. Development
pcl | | | 27,016,200 | | | | 8,791 | |
| | | | | | | | |
|
| Turkey 0.68% | |
|
| Diversified Telecommunication Services | |
| Turk Telekomunikasyon AS | | | 1,421,464 | | | | 6,029 | |
| | | | | | | | |
| United Kingdom 20.55% | |
|
| Commercial Banks 0.99% | |
| HSBC Holdings plc | | | 1,012,790 | | | $ | 8,837 | |
| | | | | | | | |
|
| Consumer Finance 1.24% | |
| Provident Financial plc | | | 617,345 | | | | 10,972 | |
| | | | | | | | |
|
| Electric: Utilities 1.23% | |
| SSE plc | | | 505,671 | | | | 10,926 | |
| | | | | | | | |
|
| Food & Staples Retailing 1.24% | |
| Tesco plc | | | 1,712,606 | | | | 11,042 | |
| | | | | | | | |
|
| Food Products 1.48% | |
| Unilever plc | | | 391,365 | | | | 13,119 | |
| | | | | | | | |
|
| Insurance 4.21% | |
| Aviva plc | | | 1,895,025 | | | | 10,338 | |
| Catlin Group Ltd. | | | 2,220,612 | | | | 14,126 | |
| Prudential plc | | | 1,249,171 | | | | 12,903 | |
| | | | | | | | |
| | | | | | | 37,367 | |
| | | | | | | | |
|
| Internet & Catalog Retail 0.55% | |
| Home Retail Group plc | | | 3,016,570 | | | | 4,867 | |
| | | | | | | | |
|
| Media 1.23% | |
| Reed Elsevier plc | | | 1,277,292 | | | | 10,935 | |
| | | | | | | | |
|
| Metals & Mining 0.60% | |
| Vedanta Resources plc | | | 260,309 | | | | 5,313 | |
| | | | | | | | |
|
| Multi-Utilities 1.44% | |
| National Grid plc | | | 1,288,084 | | | | 12,806 | |
| | | | | | | | |
|
| Pharmaceuticals 1.55% | |
| GlaxoSmithKline plc | | | 613,255 | | | | 13,763 | |
| | | | | | | | |
|
| Road & Rail 0.86% | |
| FirstGroup plc | | | 1,431,245 | | | | 7,665 | |
| | | | | | | | |
See Notes to Financial Statements.
44
Schedule of Investments (continued)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| United Kingdom (continued) | |
|
| Tobacco 2.07% | |
| British American Tobacco plc | | | 129,636 | | | $ | 5,944 | |
| Imperial Tobacco Group plc | | | 342,905 | | | | 12,491 | |
| | | | | | | | |
| | | | | | | 18,435 | |
| | | | | | | | |
|
| Wireless Telecommunication Services 1.86% | |
| Vodafone Group plc | | | 5,955,807 | | | | 16,537 | |
| | | | | | | | |
| Total United Kingdom | | | | | | | 182,584 | |
| | | | | | | | |
| Total Common Stocks (cost $833,850,458) | | | | | | | 836,774 | |
| | | | | | | | |
|
| PREFERRED STOCKS 2.40% | |
| | |
| Brazil 1.17% | | | | | | | | |
|
| Electric: Utilities | |
| Companhia Energetica do Ceara | | | 515,400 | | | | 10,411 | |
| | | | | | | | |
| | |
| Germany 1.23% | | | | | | | | |
|
| Media | |
| ProSiebenSat.1 Media AG | | | 510,666 | | | | 10,886 | |
| | | | | | | | |
| Total Preferred Stocks (cost $21,155,876) | | | | | | | 21,297 | |
| | | | | | | | |
| Total Long-Term Investments (cost $855,006,334) | | | | | | | 858,071 | |
| | | | | | | | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 3.28% | |
|
| Repurchase Agreement | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $29,770,000 of Federal Home Loan Bank at 0.20% due 8/16/2012, value: $29,770,000; proceeds: $29,186,230 (cost $29,186,222) | | $ | 29,186 | | | $ | 29,186 | |
| | | | | | | | |
| Total Investments in Securities 99.87% (cost $884,192,556) | | | | | | | 887,257 | |
| | | | | | | | |
| Cash, Foreign Cash and Other Assets in Excess of Liabilities(a) 0.13% | | | | | | | 1,163 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 888,420 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| Unit | | More than one class of securities traded together. |
| † | | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, unless registered under such Act or exempted from registration, may only be resold to qualified institutional investors. Unless otherwise noted, 144A securities are deemed to be liquid. |
| * | | Non-income producing security. |
| (a) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized depreciation on forward foreign currency exchange contracts as follows: |
See Notes to Financial Statements.
45
Schedule of Investments (concluded)
INTERNATIONAL DIVIDEND INCOME FUND October 31, 2011
Open Forward Foreign Currency Exchange Contracts at October 31, 2011:
| | | | | | | | | | | | | | | | | | | | | | |
Forward
Foreign Currency
Exchange Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation
(Depreciation) | |
| Australian dollar | | Buy | | UBS AG | | 1/12/2012 | | | 9,420,000 | | | $ | 9,875,740 | | | $ | 9,843,692 | | | $ | (32,048) | |
| Australian dollar | | Buy | | Goldman Sachs | | 2/24/2012 | | | 2,840,000 | | | | 2,852,439 | | | | 2,953,845 | | | | 101,406 | |
| Canadian dollar | | Buy | | Credit Suisse | | 12/16/2011 | | | 7,860,000 | | | | 7,996,818 | | | | 7,877,524 | | | | (119,294) | |
| Canadian dollar | | Buy | | UBS AG | | 2/14/2012 | | | 11,060,000 | | | | 10,778,677 | | | | 11,070,501 | | | | 291,824 | |
| Canadian dollar | | Buy | | Morgan Stanley | | 2/24/2012 | | | 8,800,000 | | | | 8,713,130 | | | | 8,806,582 | | | | 93,452 | |
| euro | | Buy | | Goldman Sachs | | 11/14/2011 | | | 17,700,000 | | | | 24,723,183 | | | | 24,488,516 | | | | (234,667) | |
| euro | | Buy | | Goldman Sachs | | 11/14/2011 | | | 12,300,000 | | | | 17,436,480 | | | | 17,017,443 | | | | (419,037) | |
| euro | | Buy | | Goldman Sachs | | 11/14/2011 | | | 9,400,000 | | | | 13,341,984 | | | | 13,005,201 | | | | (336,783) | |
| euro | | Buy | | UBS AG | | 1/30/2012 | | | 8,090,000 | | | | 10,930,399 | | | | 11,187,855 | | | | 257,456 | |
| euro | | Buy | | Credit Suisse | | 2/7/2012 | | | 3,690,000 | | | | 4,905,025 | | | | 5,102,936 | | | | 197,911 | |
| Israeli new shekel | | Buy | | Merrill Lynch | | 12/1/2011 | | | 28,300,000 | | | | 8,202,423 | | | | 7,795,775 | | | | (406,648) | |
| Israeli new shekel | | Buy | | UBS AG | | 12/16/2011 | | | 21,060,000 | | | | 5,824,115 | | | | 5,799,940 | | | | (24,175) | |
| Mexican peso | | Buy | | UBS AG | | 1/23/2012 | | | 162,000,000 | | | | 12,220,881 | | | | 12,065,326 | | | | (155,555) | |
| South African rand | | Buy | | Morgan Stanley | | 12/1/2011 | | | 28,600,000 | | | | 4,174,150 | | | | 3,588,496 | | | | (585,654) | |
| Turkish lira | | Buy | | Barclays Bank plc | | 1/20/2012 | | | 12,600,000 | | | | 6,861,998 | | | | 7,000,181 | | | | 138,183 | |
| Australian dollar | | Sell | | UBS AG | | 1/12/2012 | | | 4,075,000 | | | | 4,223,982 | | | | 4,258,285 | | | | (34,303) | |
| British pound | | Sell | | PB Financial Services, Inc. | | 12/16/2011 | | | 12,225,000 | | | | 19,802,055 | | | | 19,647,560 | | | | 154,495 | |
| British pound | | Sell | | Barclays Bank plc | | 2/14/2012 | | | 10,380,000 | | | | 16,338,120 | | | | 16,671,405 | | | | (333,285) | |
| British pound | | Sell | | Credit Suisse | | 2/24/2012 | | | 20,230,000 | | | | 31,765,146 | | | | 32,487,997 | | | | (722,851) | |
| Japanese yen | | Sell | | Barclays Bank plc | | 1/26/2012 | | | 1,030,000,000 | | | | 13,490,328 | | | | 13,196,492 | | | | 293,836 | |
| Japanese yen | | Sell | | Morgan Stanley | | 2/24/2012 | | | 2,215,000,000 | | | | 28,874,231 | | | | 28,396,013 | | | | 478,218 | |
| South Korean won | | Sell | | Barclays Bank plc | | 12/16/2011 | | | 6,900,000,000 | | | | 6,397,181 | | | | 6,206,553 | | | | 190,628 | |
| Swiss franc | | Sell | | UBS AG | | 1/26/2012 | | | 11,380,000 | | | | 12,831,355 | | | | 12,985,427 | | | | (154,072) | |
| | | | | | | | | | | | | | | | | | | | | | |
| Net Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | $ | (1,360,963) | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
46
Schedule of Investments
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| LONG-TERM INVESTMENTS 95.70% | |
|
| COMMON STOCKS 95.09% | |
|
| Australia 2.73% | |
|
| Chemicals 1.75% | |
| Incitec Pivot Ltd. | | | 1,593,463 | | | $ | 5,772 | |
| | | | | | | | |
|
| Trading Companies & Distributors 0.98% | |
| Emeco Holdings Ltd. | | | 3,107,808 | | | | 3,219 | |
| | | | | | | | |
| Total Australia | | | | | | | 8,991 | |
| | | | | | | | |
|
| Belgium 1.50% | |
| | |
| Electric: Utilities | | | | | | | | |
| Elia System Operator SA | | | 121,422 | | | | 4,927 | |
| | | | | | | | |
|
| Brazil 2.02% | |
|
| Electric: Utilities 1.02% | |
| Equatorial Energia SA | | | 517,000 | | | | 3,346 | |
| | | | | | | | |
|
| Insurance 0.45% | |
| Brasil Insurance Participacoese Administracao SA | | | 155,800 | | | | 1,497 | |
| | | | | | | | |
|
| Real Estate Management & Development 0.55% | |
| BR Properties SA | | | 180,600 | | | | 1,820 | |
| | | | | | | | |
| Total Brazil | | | | | | | 6,663 | |
| | | | | | | | |
|
| Canada 2.93% | |
|
| Metals & Mining 1.70% | |
| Centerra Gold, Inc. | | | 156,268 | | | | 3,098 | |
Quadra FNX Mining
Ltd.* | | | 216,567 | | | | 2,498 | |
| | | | | | | | |
| | | | | | | 5,596 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 1.23% | |
| Bankers Petroleum Ltd.* | | | 760,700 | | | | 4,045 | |
| | | | | | | | |
| Total Canada | | | | | | | 9,641 | |
| | | | | | | | |
| Finland 1.02% | |
|
| Leisure Equipment & Products | |
| Amer Sports OYJ A Shares | | | 244,467 | | | $ | 3,366 | |
| | | | | | | | |
|
| France 4.84% | |
|
| Beverages 1.01% | |
| Remy Cointreau SA | | | 40,643 | | | | 3,330 | |
| | | | | | | | |
|
| Computers & Peripherals 1.95% | |
| Gemalto NV | | | 141,158 | | | | 6,420 | |
| | | | | | | | |
|
| Information Technology Services 0.67% | |
| AtoS | | | 46,085 | | | | 2,228 | |
| | | | | | | | |
|
| Media 1.21% | |
| Ipsos SA | | | 121,555 | | | | 3,978 | |
| | | | | | | | |
| Total France | | | | | | | 15,956 | |
| | | | | | | | |
|
| Germany 8.84% | |
|
| Aerospace & Defense 1.46% | |
| MTU Aero Engines Holding AG | | | 71,641 | | | | 4,797 | |
| | | | | | | | |
|
| Building Products 0.92% | |
| NORMA Group* | | | 156,572 | | | | 3,042 | |
| | | | | | | | |
|
| Chemicals 0.66% | |
| Symrise GmbH & Co. AG | | | 83,941 | | | | 2,173 | |
| | | | | | | | |
|
| Industrial Conglomerates 1.21% | |
| Rheinmetall AG | | | 74,976 | | | | 3,976 | |
| | | | | | | | |
|
| Life Sciences Tools & Services 1.39% | |
| Gerresheimer AG | | | 103,491 | | | | 4,586 | |
| | | | | | | | |
|
| Machinery 0.41% | |
| Deutz AG* | | | 218,539 | | | | 1,367 | |
| | | | | | | | |
See Notes to Financial Statements.
47
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Germany (continued) | |
|
| Semiconductors & Semiconductor Equipment 0.84% | |
| Dialog Semiconductor plc* | | | 144,369 | | | $ | 2,779 | |
| | | | | | | | |
|
| Trading Companies & Distributors 1.08% | |
| Kloeckner & Co. SE | | | 238,381 | | | | 3,553 | |
| | | | | | | | |
|
| Transportation Infrastructure 0.87% | |
| Hamburger Hafen und Logistik AG | | | 92,747 | | | | 2,852 | |
| | | | | | | | |
| Total Germany | | | | | | | 29,125 | |
| | | | | | | | |
|
| Hong Kong 3.17% | |
|
| Auto Components 0.59% | |
| Minth Group Ltd. | | | 1,876,000 | | | | 1,947 | |
| | | | | | | | |
|
| Communications Equipment 0.49% | |
| VTech Holdings Ltd. | | | 173,600 | | | | 1,621 | |
| | | | | | | | |
|
| Construction & Engineering 1.30% | |
| China State Construction International Holdings Ltd. | | | 5,574,800 | | | | 4,294 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 0.79% | |
| REXLot Holdings Ltd. | | | 37,350,000 | | | | 2,597 | |
| | | | | | | | |
| Total Hong Kong | | | | | | | 10,459 | |
| | | | | | | | |
|
| India 0.31% | |
|
| Real Estate Management & Development | |
| Housing Development & Infrastructure Ltd.* | | | 508,210 | | | | 1,033 | |
| | | | | | | | |
|
| Indonesia 0.96% | |
|
| Consumer Finance | |
| PT Clipan Finance Indonesia Tbk | | | 61,152,850 | | | | 3,168 | |
| | | | | | | | |
| Ireland 0.48% | | | | | | | | |
|
| Beverages | |
| C&C Group plc | | | 391,983 | | | $ | 1,579 | |
| | | | | | | | |
|
| Italy 2.38% | |
|
| Beverages 0.93% | |
| Davide Campari-Milano SpA | | | 394,612 | | | | 3,049 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods 1.45% | |
| Safilo Group SpA* | | | 251,499 | | | | 2,084 | |
| Salvatore Ferragamo Italia SpA* | | | 166,416 | | | | 2,696 | |
| | | | | | | | |
| | | | | | | 4,780 | |
| | | | | | | | |
| Total Italy | | | | | | | 7,829 | |
| | | | | | | | |
|
| Japan 18.96% | |
|
| Chemicals 1.04% | |
| ZEON Corp. | | | 371,000 | | | | 3,417 | |
| | | | | | | | |
|
| Communications Equipment 0.78% | |
| Hitachi Kokusai Electric, Inc. | | | 346,000 | | | | 2,577 | |
| | | | | | | | |
|
| Containers & Packaging 1.95% | |
| FP Corp. | | | 101,000 | | | | 6,430 | |
| | | | | | | | |
|
| Diversified Consumer Services 1.39% | |
| Benesse Holdings, Inc. | | | 105,100 | | | | 4,566 | |
| | | | | | | | |
|
| Food & Staples Retailing 0.84% | |
| FamilyMart Co., Ltd. | | | 70,800 | | | | 2,783 | |
| | | | | | | | |
|
| Food Products 1.04% | |
| Mitsui Sugar Co., Ltd. | | | 824,000 | | | | 3,433 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 1.21% | |
| Hogy Medical Co., Ltd. | | | 94,200 | | | | 3,991 | |
| | | | | | | | |
See Notes to Financial Statements.
48
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| Japan (continued) | |
|
| Information Technology Services 0.61% | |
| Obic Co., Ltd. | | | 10,640 | | | $ | 2,012 | |
| | | | | | | | |
|
| Internet Software & Services 0.90% | |
| Gree, Inc. | | | 91,500 | | | | 2,953 | |
| | | | | | | | |
|
| Machinery 3.73% | |
| Hitachi Construction Machinery Co., Ltd. | | | 128,400 | | | | 2,470 | |
| Makita Corp. | | | 82,100 | | | | 3,065 | |
| Nabtesco Corp. | | | 190,900 | | | | 4,181 | |
| Sumitomo Heavy Industries Ltd. | | | 456,000 | | | | 2,589 | |
| | | | | | | | |
| | | | | | | 12,305 | |
| | | | | | | | |
|
| Multi-Line Retail 1.83% | |
| Don Quijote Co., Ltd. | | | 164,700 | | | | 6,033 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 0.35% | |
| United Urban Investment Corp. | | | 1,019 | | | | 1,149 | |
| | | | | | | | |
|
| Software 1.38% | |
| Capcom Co., Ltd. | | | 173,800 | | | | 4,547 | |
| | | | | | | | |
|
| Specialty Retail 1.20% | |
| Nitori Holdings Co., Ltd. | | | 41,400 | | | | 3,959 | |
| | | | | | | | |
|
| Wireless Telecommunication Services 0.71% | |
| Okinawa Cellular Telephone Co. | | | 1,126 | | | | 2,339 | |
| | | | | | | | |
| Total Japan | | | | | | | 62,494 | |
| | | | | | | | |
|
| Netherlands 2.38% | |
|
| Professional Services 1.26% | |
| Brunel International NV | | | 115,817 | | | | 4,166 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment 1.12% | |
| ASM International NV | | | 131,121 | | | $ | 3,691 | |
| | | | | | | | |
| Total Netherlands | | | | | | | 7,857 | |
| | | | | | | | |
|
| Norway 2.78% | |
|
| Energy Equipment & Services 1.55% | |
| Electromagnetic GeoServices ASA* | | | 1,391,030 | | | | 3,407 | |
| Ocean Rig UDW, Inc.* | | | 109,766 | | | | 1,684 | |
| | | | | | | | |
| | | | | | | 5,091 | |
| | | | | | | | |
|
| Specialty Retail 1.23% | |
| Statoil Fuel & Retail ASA* | | | 512,782 | | | | 4,058 | |
| | | | | | | | |
| Total Norway | | | | | | | 9,149 | |
| | | | | | | | |
|
| Philippines 3.93% | |
|
| Commercial Banks 1.33% | |
| Banco de Oro Unibank, Inc. | | | 3,347,160 | | | | 4,373 | |
| | | | | | | | |
|
| Real Estate Management & Development 2.60% | |
| Filinvest Land, Inc. | | | 159,774,000 | | | | 4,256 | |
| Megaworld Corp. | | | 99,691,000 | | | | 4,328 | |
| | | | | | | | |
| | | | | | | 8,584 | |
| | | | | | | | |
| Total Philippines | | | | | | | 12,957 | |
| | | | | | | | |
|
| Singapore 0.50% | |
|
| Real Estate Investment Trusts | |
| Suntec REIT | | | 1,685,000 | | | | 1,656 | |
| | | | | | | | |
| | |
| South Africa 1.08% | | | | | | | | |
| | |
| Specialty Retail | | | | | | | | |
| Lewis Group Ltd. | | | 376,888 | | | | 3,555 | |
| | | | | | | | |
| | |
| South Korea 2.04% | | | | | | | | |
|
| Auto Components 0.85% | |
| Mando Corp. | | | 16,472 | | | | 2,821 | |
| | | | | | | | |
See Notes to Financial Statements.
49
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| South Korea (continued) | |
|
| Commercial Banks 1.19% | |
| DGB Financial Group, Inc.* | | | 311,170 | | | $ | 3,917 | |
| | | | | | | | |
| Total South Korea | | | | | | | 6,738 | |
| | | | | | | | |
|
| Spain 2.70% | |
|
| Food Products | |
| Ebro Foods SA | | | 248,696 | | | | 5,040 | |
| Viscofan SA | | | 100,422 | | | | 3,856 | |
| | | | | | | | |
| Total Spain | | | | | | | 8,896 | |
| | | | | | | | |
| | |
| Sweden 3.51% | | | | | | | | |
|
| Commercial Services & Supplies 2.76% | |
| Intrum Justitia AB | | | 554,778 | | | | 9,103 | |
| | | | | | | | |
|
| Food & Staples Retailing 0.75% | |
| Axfood AB | | | 65,202 | | | | 2,472 | |
| | | | | | | | |
| Total Sweden | | | | | | | 11,575 | |
| | | | | | | | |
| | |
| Switzerland 1.02% | | | | | | | | |
| | |
| Capital Markets 0.46% | | | | | | | | |
| EFG International AG | | | 181,428 | | | | 1,515 | |
| | | | | | | | |
|
| Household Durables 0.56% | |
| Forbo Holding AG Registered Shares* | | | 3,924 | | | | 1,854 | |
| | | | | | | | |
| Total Switzerland | | | | | | | 3,369 | |
| | | | | | | | |
|
| United Kingdom 25.01% | |
|
| Airlines 1.36% | |
| easyJet plc* | | | 781,726 | | | | 4,480 | |
| | | | | | | | |
|
| Beverages 1.06% | |
| Britvic plc | | | 659,584 | | | | 3,493 | |
| | | | | | | | |
|
| Capital Markets 1.52% | |
| 3i Group plc | | | 1,520,413 | | | | 5,011 | |
| | | | | | | | |
| Chemicals 1.15% | |
| Croda International plc | | | 134,474 | | | $ | 3,780 | |
| | | | | | | | |
|
| Commercial Services & Supplies 3.08% | |
| Aggreko plc | | | 158,018 | | | | 4,332 | |
| Babcock International Group plc | | | 264,932 | | | | 2,994 | |
| Regus plc | | | 2,324,993 | | | | 2,822 | |
| | | | | | | | |
| | | | | | | 10,148 | |
| | | | | | | | |
|
| Electrical Equipment 0.03% | |
| Ceres Power Holdings plc* | | | 371,701 | | | | 94 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 0.51% | |
| Premier Farnell plc | | | 592,486 | | | | 1,662 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 0.92% | |
| Bwin.Party Digital Entertainment plc | | | 1,736,438 | | | | 3,044 | |
| | | | | | | | |
|
| Industrial Conglomerates 0.76% | |
| Lonrho plc* | | | 11,342,292 | | | | 2,508 | |
| | | | | | | | |
|
| Insurance 2.73% | |
| Amlin plc | | | 1,026,301 | | | | 4,734 | |
| Catlin Group Ltd. | | | 671,244 | | | | 4,270 | |
| | | | | | | | |
| | | | | | | 9,004 | |
| | | | | | | | |
|
| Internet Software & Services 1.18% | |
| Telecity Group plc* | | | 405,369 | | | | 3,884 | |
| | | | | | | | |
|
| Media 1.02% | |
| Aegis Group plc | | | 1,536,980 | | | | 3,374 | |
| | | | | | | | |
|
| Metals & Mining 1.01% | |
| New World Resources plc A Shares | | | 398,937 | | | | 3,338 | |
| | | | | | | | |
See Notes to Financial Statements.
50
Schedule of Investments (continued)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | U.S. $
Fair Value
(000) | |
| United Kingdom (continued) | |
|
| Multi-Line Retail 1.84% | |
| Debenhams plc | | | 2,877,339 | | | $ | 2,999 | |
| Next plc | | | 74,515 | | | | 3,054 | |
| | | | | | | | |
| | | | | | | 6,053 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 5.17% | |
| Afren plc* | | | 3,359,688 | | | | 5,314 | |
| Dragon Oil plc | | | 597,275 | | | | 5,289 | |
| Max Petroleum plc* | | | 7,918,596 | | | | 1,866 | |
| Premier Oil plc* | | | 778,391 | | | | 4,582 | |
| | | | | | | | |
| | | | | | | 17,051 | |
| | | | | | | | |
|
| Professional Services 1.67% | |
| Intertek Group plc | | | 114,635 | | | | 3,779 | |
| Michael Page International plc | | | 265,302 | | | | 1,708 | |
| | | | | | | | |
| | | | | | | 5,487 | |
| | | | | | | | |
| Total United Kingdom | | | | | | | 82,411 | |
| | | | | | | | |
| Total Common Stocks (cost $316,243,970) | | | | | | | 313,394 | |
| | | | | | | | |
|
| PREFERRED STOCK 0.61% | |
| | |
| Brazil | | | | | | | | |
| | |
| Machinery | | | | | | | | |
| Marcopolo SA (cost $1,490,219) | | | 455,858 | | | | 2,018 | |
| | | | | | | | |
| Total Long-Term Investments (cost $317,734,189) | | | | | | | 315,412 | |
| | | | | | | | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 2.27% | |
|
| Repurchase Agreement | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $7,640,000 of Federal Home Loan Bank at 0.20% due 8/16/2012; value: $7,640,000; proceeds: $7,488,990 (cost $7,488,987) | | $ | 7,489 | | | $ | 7,489 | |
| | | | | | | | |
Total Investments in Securities 97.97%
(cost $325,223,176) | | | | | | | 322,901 | |
| | | | | | | | |
| | |
Cash, Foreign Cash and
Other Assets in Excess of Liabilities(a) 2.03% | | | | | | | 6,680 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 329,581 | |
| | | | | | | | |
| | |
| * | | Non-income producing security. |
| (a) | | Cash, Foreign Cash and Other Assets in Excess of Liabilities include net unrealized depreciation on forward foreign currency contracts as follows: |
See Notes to Financial Statements.
51
Schedule of Investments (concluded)
INTERNATIONAL OPPORTUNITIES FUND October 31, 2011
Open Forward Foreign Currency Exchange Contracts at October 31, 2011:
| | | | | | | | | | | | | | | | | | | | | | |
Forward
Foreign Currency
Exchange Contracts | | Transaction
Type | | Counterparty | | Expiration
Date | | Foreign
Currency | | | U.S. $
Cost on
Origination
Date | | | U.S. $
Current
Value | | | Unrealized
Appreciation
(Depreciation) | |
| Australian dollar | | Buy | | UBS AG | | 12/8/2011 | | | 2,820,000 | | | $ | 2,926,032 | | | $ | 2,959,052 | | | $ | 33,020 | |
| Australian dollar | | Buy | | Goldman Sachs | | 2/24/2012 | | | 11,380,000 | | | | 11,429,844 | | | | 11,836,183 | | | | 406,339 | |
| Brazilian real | | Buy | | UBS AG | | 12/5/2011 | | | 3,445,000 | | | | 2,067,703 | | | | 1,990,754 | | | | (76,949) | |
| Canadian dollar | | Buy | | Goldman Sachs | | 12/8/2011 | | | 5,275,000 | | | | 5,372,183 | | | | 5,287,737 | | | | (84,446) | |
| Canadian dollar | | Buy | | Morgan Stanley | | 2/24/2012 | | | 20,010,000 | | | | 19,812,470 | | | | 20,024,968 | | | | 212,498 | |
| euro | | Buy | | UBS AG | | 1/23/2012 | | | 1,410,000 | | | | 1,963,933 | | | | 1,949,969 | | | | (13,964) | |
| euro | | Buy | | UBS AG | | 1/23/2012 | | | 665,000 | | | | 908,742 | | | | 919,666 | | | | 10,924 | |
| South Korean won | | Buy | | UBS AG | | 2/7/2012 | | | 9,000,000,000 | | | | 7,538,825 | | | | 8,069,960 | | | | 531,135 | |
| Swiss franc | | Buy | | Goldman Sachs | | 12/2/2011 | | | 5,540,000 | | | | 6,911,092 | | | | 6,313,966 | | | | (597,126) | |
| Swiss franc | | Buy | | Goldman Sachs | | 12/8/2011 | | | 6,142,000 | | | | 8,030,364 | | | | 7,000,921 | | | | (1,029,443) | |
| Swiss franc | | Buy | | Pb Financial Services Inc | | 2/24/2012 | | | 2,140,000 | | | | 2,390,527 | | | | 2,443,713 | | | | 53,186 | |
| Brazilian real | | Sell | | UBS AG | | 12/5/2011 | | | 19,050,000 | | | | 11,849,226 | | | | 11,008,379 | | | | 840,847 | |
| British pound | | Sell | | Barclays Bank plc | | 1/6/2012 | | | 3,130,000 | | | | 5,048,377 | | | | 5,029,220 | | | | 19,157 | |
| British pound | | Sell | | Credit Suisse | | 2/24/2012 | | | 10,420,000 | | | | 16,361,484 | | | | 16,733,808 | | | | (372,324) | |
| euro | | Sell | | UBS AG | | 1/23/2012 | | | 3,960,000 | | | | 5,415,577 | | | | 5,476,508 | | | | (60,931) | |
| Norwegian krone | | Sell | | Barclays Bank plc | | 1/23/2012 | | | 29,500,000 | | | | 5,155,630 | | | | 5,275,412 | | | | (119,782) | |
| Philippine peso | | Sell | | UBS AG | | 2/7/2012 | | | 405,000,000 | | | | 9,217,114 | | | | 9,461,784 | | | | (244,670) | |
| South African rand | | Sell | | Barclays Bank plc | | 12/15/2011 | | | 12,725,000 | | | | 1,728,823 | | | | 1,593,355 | | | | 135,468 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Net Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | | | $ | (357,061) | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Financial Statements.
52
Schedule of Investments
LARGE CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 98.57% | |
|
| Aerospace & Defense 1.58% | |
| Honeywell International, Inc. | | | 4,800 | | | $ | 251 | |
| Raytheon Co. | | | 1,410 | | | | 62 | |
| United Technologies Corp. | | | 3,830 | | | | 299 | |
| | | | | | | | |
| Total | | | | | | | 612 | |
| | | | | | | | |
|
| Automobiles 1.15% | |
| Ford Motor Co.* | | | 38,160 | | | | 446 | |
| | | | | | | | |
|
| Beverages 0.97% | |
| Coca-Cola Co. (The) | | | 2,490 | | | | 170 | |
| PepsiCo, Inc. | | | 3,250 | | | | 205 | |
| | | | | | | | |
| Total | | | | | | | 375 | |
| | | | | | | | |
|
| Biotechnology 0.56% | |
| Amgen, Inc. | | | 2,980 | | | | 170 | |
| Human Genome Sciences, Inc.* | | | 4,650 | | | | 48 | |
| | | | | | | | |
| Total | | | | | | | 218 | |
| | | | | | | | |
|
| Capital Markets 3.91% | |
| Bank of New York Mellon Corp. (The) | | | 1,874 | | | | 40 | |
| Goldman Sachs Group, Inc. (The) | | | 7,810 | | | | 856 | |
| Morgan Stanley | | | 17,510 | | | | 309 | |
| State Street Corp. | | | 1,450 | | | | 58 | |
| T. Rowe Price Group, Inc. | | | 4,710 | | | | 249 | |
| | | | | | | | |
| Total | | | | | | | 1,512 | |
| | | | | | | | |
|
| Chemicals 3.19% | |
| Agrium, Inc. (Canada)(a) | | | 1,500 | | | | 123 | |
| Dow Chemical Co. (The) | | | 19,890 | | | | 555 | |
| Monsanto Co. | | | 4,450 | | | | 324 | |
| Mosaic Co. (The) | | | 1,640 | | | | 96 | |
| Potash Corp. of Saskatchewan, Inc. (Canada)(a) | | | 2,870 | | | | 136 | |
| | | | | | | | |
| Total | | | | | | | 1,234 | |
| | | | | | | | |
| Commercial Banks 6.95% | |
| BB&T Corp. | | | 2,500 | | | $ | 58 | |
| Comerica, Inc. | | | 7,150 | | | | 183 | |
| Fifth Third Bancorp | | | 27,860 | | | | 335 | |
| PNC Financial Services Group, Inc. (The) | | | 9,130 | | | | 490 | |
| Regions Financial Corp. | | | 27,060 | | | | 106 | |
| SunTrust Banks, Inc. | | | 16,300 | | | | 322 | |
| Wells Fargo & Co. | | | 45,940 | | | | 1,190 | |
| | | | | | | | |
| Total | | | | | | | 2,684 | |
| | | | | | | | |
|
| Communications Equipment 0.15% | |
| Cisco Systems, Inc. | | | 3,210 | | | | 59 | |
| | | | | | | | |
|
| Computers & Peripherals 1.44% | |
| Dell, Inc.* | | | 13,720 | | | | 217 | |
| EMC Corp.* | | | 9,940 | | | | 244 | |
| Hewlett-Packard Co. | | | 3,590 | | | | 95 | |
| | | | | | | | |
| Total | | | | | | | 556 | |
| | | | | | | | |
|
| Consumer Finance 1.54% | |
| Capital One Financial Corp. | | | 13,000 | | | | 594 | |
| | | | | | | | |
|
| Containers & Packaging 0.20% | |
| Owens-Illinois, Inc.* | | | 3,770 | | | | 76 | |
| | | | | | | | |
|
| Diversified Financial Services 4.64% | |
| Bank of America Corp. | | | 33,889 | | | | 231 | |
| Citigroup, Inc. | | | 11,889 | | | | 376 | |
| JPMorgan Chase & Co. | | | 34,090 | | | | 1,185 | |
| | | | | | | | |
| Total | | | | | | | 1,792 | |
| | | | | | | | |
|
| Diversified Telecommunication Services 4.53% | |
| AT&T, Inc. | | | 31,413 | | | | 921 | |
| CenturyLink, Inc. | | | 11,570 | | | | 408 | |
| Verizon Communications, Inc. | | | 11,440 | | | | 423 | |
| | | | | | | | |
| Total | | | | | | | 1,752 | |
| | | | | | | | |
|
| Electric: Utilities 2.27% | |
| Duke Energy Corp. | | | 12,000 | | | | 245 | |
| NextEra Energy, Inc. | | | 3,110 | | | | 175 | |
See Notes to Financial Statements.
53
Schedule of Investments (continued)
LARGE CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Electric: Utilities (continued) | |
| Progress Energy, Inc. | | | 1,460 | | | $ | 76 | |
| Southern Co. | | | 8,790 | | | | 380 | |
| | | | | | | | |
| Total | | | | | | | 876 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 1.13% | |
| Arrow Electronics, Inc.* | | | 3,010 | | | | 109 | |
| Avnet, Inc.* | | | 5,090 | | | | 154 | |
| Corning, Inc. | | | 12,020 | | | | 172 | |
| | | | | | | | |
| Total | | | | | | | 435 | |
| | | | | | | | |
|
| Energy Equipment & Services 1.51% | |
| Cameron International Corp.* | | | 1,080 | | | | 53 | |
| Halliburton Co. | | | 4,650 | | | | 174 | |
| Schlumberger Ltd. | | | 4,849 | | | | 356 | |
| | | | | | | | |
| Total | | | | | | | 583 | |
| | | | | | | | |
|
| Food & Staples Retailing 1.25% | |
| CVS Caremark Corp. | | | 13,320 | | | | 484 | |
| | | | | | | | |
|
| Food Products 0.58% | |
| General Mills, Inc. | | | 2,360 | | | | 91 | |
| Kraft Foods, Inc. Class A | | | 3,775 | | | | 133 | |
| | | | | | | | |
| Total | | | | | | | 224 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 0.83% | |
| Baxter International, Inc. | | | 5,820 | | | | 320 | |
| | | | | | | | |
|
| Health Care Providers & Services 3.99% | |
| AmerisourceBergen Corp. | | | 4,870 | | | | 199 | |
| CIGNA Corp. | | | 1,750 | | | | 77 | |
| McKesson Corp. | | | 5,760 | | | | 470 | |
| UnitedHealth Group, Inc. | | | 13,770 | | | | 661 | |
| WellPoint, Inc. | | | 1,930 | | | | 133 | |
| | | | | | | | |
| Total | | | | | | | 1,540 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 2.05% | |
| Carnival Corp. | | | 9,630 | | | | 339 | |
| Marriott International, Inc. Class A | | | 9,869 | | | | 311 | |
| Starwood Hotels & Resorts Worldwide, Inc. | | | 2,800 | | | $ | 140 | |
| | | | | | | | |
| Total | | | | | | | 790 | |
| | | | | | | | |
|
| Household Products 2.54% | |
| Colgate-Palmolive Co. | | | 4,370 | | | | 395 | |
| Procter & Gamble Co. (The) | | | 9,160 | | | | 586 | |
| | | | | | | | |
| Total | | | | | | | 981 | |
| | | | | | | | |
|
| Industrial Conglomerates 1.97% | |
| General Electric Co. | | | 45,530 | | | | 761 | |
| | | | | | | | |
| | |
| Insurance 3.63% | | | | | | | | |
| Berkshire Hathaway, Inc. Class B* | | | 2,420 | | | | 188 | |
| Chubb Corp. (The) | | | 2,800 | | | | 188 | |
| Marsh & McLennan Cos., Inc. | | | 4,490 | | | | 137 | |
| MetLife, Inc. | | | 7,210 | | | | 254 | |
| Prudential Financial, Inc. | | | 6,970 | | | | 378 | |
| Travelers Cos., Inc. (The) | | | 4,430 | | | | 258 | |
| | | | | | | | |
| Total | | | | | | | 1,403 | |
| | | | | | | | |
|
| Life Sciences Tools & Services 0.81% | |
| Thermo Fisher Scientific, Inc.* | | | 6,190 | | | | 311 | |
| | | | | | | | |
|
| Machinery 2.28% | |
| Caterpillar, Inc. | | | 2,360 | | | | 223 | |
| Eaton Corp. | | | 8,514 | | | | 382 | |
| Joy Global, Inc. | | | 2,010 | | | | 175 | |
| Parker Hannifin Corp. | | | 1,230 | | | | 100 | |
| | | | | | | | |
| Total | | | | | | | 880 | |
| | | | | | | | |
|
| Media 6.99% | |
| Comcast Corp. Class A | | | 20,540 | | | | 482 | |
| News Corp. Class A | | | 23,820 | | | | 417 | |
| Omnicom Group, Inc. | | | 7,760 | | | | 345 | |
| Time Warner Cable, Inc. | | | 5,683 | | | | 362 | |
| Time Warner, Inc. | | | 11,920 | | | | 417 | |
| Walt Disney Co. (The) | | | 19,470 | | | | 679 | |
| | | | | | | | |
| Total | | | | | | | 2,702 | |
| | | | | | | | |
See Notes to Financial Statements.
54
Schedule of Investments (continued)
LARGE CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Metals & Mining 2.69% | |
| Barrick Gold Corp. (Canada)(a) | | | 4,420 | | | $ | 219 | |
| Cliffs Natural Resources, Inc. | | | 4,970 | | | | 339 | |
| Freeport-McMoRan Copper & Gold, Inc. | | | 7,980 | | | | 321 | |
| Nucor Corp. | | | 510 | | | | 19 | |
| United States Steel Corp. | | | 5,550 | | | | 141 | |
| | | | | | | | |
| Total | | | | | | | 1,039 | |
| | | | | | | | |
|
| Multi-Line Retail 0.83% | |
| J.C. Penney Co., Inc. | | | 740 | | | | 24 | |
| Kohl’s Corp. | | | 800 | | | | 42 | |
| Target Corp. | | | 4,630 | | | | 254 | |
| | | | | | | | |
| Total | | | | | | | 320 | |
| | | | | | | | |
|
| Multi-Utilities 0.28% | |
| PG&E Corp. | | | 2,570 | | | | 110 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 14.21% | |
| Anadarko Petroleum Corp. | | | 5,060 | | | | 397 | |
| Apache Corp. | | | 3,810 | | | | 380 | |
| Canadian Natural Resources Ltd. (Canada)(a) | | | 580 | | | | 20 | |
| Cenovus Energy, Inc. (Canada)(a) | | | 1,640 | | | | 56 | |
| Chevron Corp. | | | 13,640 | | | | 1,433 | |
| ConocoPhillips | | | 4,570 | | | | 318 | |
| Devon Energy Corp. | | | 2,410 | | | | 157 | |
| El Paso Corp. | | | 16,150 | | | | 404 | |
| EOG Resources, Inc. | | | 680 | | | | 61 | |
| Exxon Mobil Corp. | | | 7,271 | | | | 568 | |
| Hess Corp. | | | 7,890 | | | | 494 | |
| Occidental Petroleum Corp. | | | 6,060 | | | | 563 | |
| Range Resources Corp. | | | 2,620 | | | | 180 | |
| Southwestern Energy Co.* | | | 3,530 | | | | 148 | |
| Suncor Energy, Inc. (Canada)(a) | | | 9,680 | | | | 309 | |
| | | | | | | | |
| Total | | | | | | | 5,488 | |
| | | | | | | | |
| Paper & Forest Products 0.37% | |
| International Paper Co. | | | 5,100 | | | $ | 141 | |
| | | | | | | | |
|
| Pharmaceuticals 7.21% | |
| Bristol-Myers Squibb Co. | | | 7,040 | | | | 222 | |
| Eli Lilly & Co. | | | 2,440 | | | | 91 | |
| Johnson & Johnson | | | 11,190 | | | | 721 | |
| Merck & Co., Inc. | | | 11,470 | | | | 396 | |
| Pfizer, Inc. | | | 59,030 | | | | 1,137 | |
| Teva Pharmaceutical Industries Ltd. ADR | | | 5,370 | | | | 219 | |
| | | | | | | | |
| Total | | | | | | | 2,786 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 0.84% | |
| Host Hotels & Resorts, Inc. | | | 22,758 | | | | 325 | |
| | | | | | | | |
|
| Road & Rail 2.67% | |
| CSX Corp. | | | 4,140 | | | | 92 | |
| Hertz Global Holdings, Inc.* | | | 52,320 | | | | 607 | |
| Union Pacific Corp. | | | 3,330 | | | | 331 | |
| | | | | | | | |
| Total | | | | | | | 1,030 | |
| | | | | | | | |
|
Semiconductors & Semiconductor
Equipment 1.98% | |
| Intel Corp. | | | 16,110 | | | | 395 | |
| Micron Technology, Inc.* | | | 15,840 | | | | 89 | |
| Texas Instruments, Inc. | | | 9,160 | | | | 281 | |
| | | | | | | | |
| Total | | | | | | | 765 | |
| | | | | | | | |
|
| Software 2.39% | |
| Adobe Systems, Inc.* | | | 9,500 | | | | 279 | |
| Microsoft Corp. | | | 16,440 | | | | 438 | |
| Oracle Corp. | | | 6,260 | | | | 205 | |
| | | | | | | | |
| Total | | | | | | | 922 | |
| | | | | | | | |
|
| Specialty Retail 0.65% | |
| Home Depot, Inc. (The) | | | 7,060 | | | | 253 | |
| | | | | | | | |
See Notes to Financial Statements.
55
Schedule of Investments (concluded)
LARGE CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Tobacco 1.81% | |
| Altria Group, Inc. | | | 11,450 | | | $ | 315 | |
| Philip Morris International, Inc. | | | 5,520 | | | | 386 | |
| | | | | | | | |
| Total | | | | | | | 701 | |
| | | | | | | | |
Total Common Stocks
(cost $34,262,030) | | | | | | | 38,080 | |
| | | | | | | | |
| | |
| | | Principal
Amount
(000) | | | | |
| SHORT-TERM INVESTMENT 1.92% | |
| | |
| Repurchase Agreement | | | | | | | | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $760,000 of Federal Home Loan Bank at 0.20% due 8/16/2012; value: $760,000; proceeds: $743,812 (cost $743,812) | | $ | 744 | | | | 744 | |
| | | | | | | | |
Total Investments in Securities 100.49%
(cost $35,005,842) | | | | | | | 38,824 | |
| | | | | | | | |
| Liabilities in Excess of Other Assets (0.49)% | | | | | | | (191 | ) |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 38,633 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
See Notes to Financial Statements.
56
Schedule of Investments
VALUE OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 95.90% | |
|
| Aerospace & Defense 0.82% | |
| Hexcel Corp.* | | | 633,936 | | | $ | 15,665 | |
| | | | | | | | |
|
| Air Freight & Logistics 1.11% | |
| Atlas Air Worldwide Holdings, Inc.* | | | 552,101 | | | | 21,267 | |
| | | | | | | | |
|
| Auto Components 1.08% | |
| Gentex Corp. | | | 688,454 | | | | 20,736 | |
| | | | | | | | |
|
| Beverages 1.96% | |
| Beam, Inc. | | | 760,183 | | | | 37,576 | |
| | | | | | | | |
|
| Building Products 1.84% | |
| Crane Co. | | | 548,600 | | | | 24,199 | |
| Fortune Brands Home & Security, Inc.* | | | 760,900 | | | | 11,056 | |
| | | | | | | | |
| Total | | | | | | | 35,255 | |
| | | | | | | | |
|
| Capital Markets 1.94% | |
| Lazard Ltd. Class A | | | 758,300 | | | | 20,732 | |
| LPL Investment Holdings, Inc.* | | | 567,952 | | | | 16,476 | |
| | | | | | | | |
| Total | | | | | | | 37,208 | |
| | | | | | | | |
|
| Chemicals 4.36% | |
| Albemarle Corp. | | | 464,220 | | | | 24,738 | |
| Celanese Corp. Series A | | | 538,800 | | | | 23,465 | |
| Chemtura Corp.* | | | 850,200 | | | | 10,322 | |
| Eastman Chemical Co. | | | 636,400 | | | | 25,004 | |
| | | | | | | | |
| Total | | | | | | | 83,529 | |
| | | | | | | | |
|
| Commercial Banks 7.67% | |
| BOK Financial Corp. | | | 489,900 | | | | 25,583 | |
| Comerica, Inc. | | | 1,129,676 | | | | 28,863 | |
| Commerce Bancshares, Inc. | | | 566,363 | | | | 21,975 | |
| Cullen/Frost Bankers, Inc. | | | 215,869 | | | | 10,586 | |
| East West Bancorp, Inc. | | | 840,314 | | | | 16,361 | |
| Hancock Holding Co. | | | 690,700 | | | $ | 20,928 | |
| Signature Bank* | | | 406,511 | | | | 22,663 | |
| | | | | | | | |
| Total | | | | | | | 146,959 | |
| | | | | | | | |
|
| Commercial Services & Supplies 2.47% | |
| Tetra Tech, Inc.* | | | 790,300 | | | | 17,252 | |
| Waste Connections, Inc. | | | 885,900 | | | | 30,165 | |
| | | | | | | | |
| Total | | | | | | | 47,417 | |
| | | | | | | | |
|
| Construction & Engineering 2.76% | |
| Chicago Bridge & Iron Co. NV (Netherlands)(a) | | | 801,900 | | | | 29,334 | |
| Jacobs Engineering Group, Inc.* | | | 605,800 | | | | 23,505 | |
| | | | | | | | |
| Total | | | | | | | 52,839 | |
| | | | | | | | |
|
| Containers & Packaging 1.74% | |
| Temple-Inland, Inc. | | | 1,047,900 | | | | 33,334 | |
| | | | | | | | |
|
| Electric: Utilities 3.31% | |
| Cleco Corp. | | | 406,100 | | | | 14,973 | |
| ITC Holdings Corp. | | | 273,100 | | | | 19,849 | |
| NV Energy, Inc. | | | 1,779,100 | | | | 28,537 | |
| | | | | | | | |
| Total | | | | | | | 63,359 | |
| | | | | | | | |
|
| Electrical Equipment 0.71% | |
| EnerSys* | | | 603,921 | | | | 13,606 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 2.01% | |
| Amphenol Corp. Class A | | | 343,500 | | | | 16,313 | |
| ScanSource, Inc.* | | | 637,800 | | | | 22,170 | |
| | | | | | | | |
| Total | | | | | | | 38,483 | |
| | | | | | | | |
|
| Energy Equipment & Services 5.52% | |
| GulfMark Offshore, Inc. Class A* | | | 423,400 | | | | 17,609 | |
| Helix Energy Solutions Group, Inc.* | | | 862,100 | | | | 15,570 | |
| Key Energy Services, Inc.* | | | 1,858,800 | | | | 24,034 | |
| Rowan Cos., Inc.* | | | 696,900 | | | | 24,036 | |
See Notes to Financial Statements.
57
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Energy Equipment & Services (continued) | |
| Superior Energy Services, Inc.* | | | 869,800 | | | $ | 24,459 | |
| | | | | | | | |
| Total | | | | | | | 105,708 | |
| | | | | | | | |
|
| Food Products 1.88% | |
| Bunge Ltd. | | | 380,800 | | | | 23,522 | |
| Ralcorp Holdings, Inc.* | | | 153,700 | | | | 12,425 | |
| | | | | | | | |
| Total | | | | | | | 35,947 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 2.04% | |
| CareFusion Corp.* | | | 904,200 | | | | 23,147 | |
| Kinetic Concepts, Inc.* | | | 232,869 | | | | 15,926 | |
| | | | | | | | |
| Total | | | | | | | 39,073 | |
| | | | | | | | |
|
| Health Care Providers & Services 3.65% | |
| Coventry Health Care, Inc.* | | | 1,047,300 | | | | 33,315 | |
| DaVita, Inc.* | | | 272,700 | | | | 19,089 | |
| McKesson Corp. | | | 214,800 | | | | 17,517 | |
| | | | | | | | |
| Total | | | | | | | 69,921 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 1.90% | |
| Darden Restaurants, Inc. | | | 573,900 | | | | 27,478 | |
| Hyatt Hotels Corp. Class A* | | | 239,900 | | | | 8,922 | |
| | | | | | | | |
| Total | | | | | | | 36,400 | |
| | | | | | | | |
|
| Household Durables 0.62% | |
| Mohawk Industries, Inc.* | | | 226,600 | | | | 11,930 | |
| | | | | | | | |
|
| Information Technology Services 8.21% | |
| Alliance Data Systems Corp.* | | | 353,600 | | | | 36,223 | |
| Amdocs Ltd. (Guernsey)*(a) | | | 1,014,998 | | | | 30,470 | |
| Fiserv, Inc.* | | | 373,159 | | | | 21,968 | |
| FleetCor Technologies, Inc.* | | | 430,167 | | | | 12,028 | |
| Global Payments, Inc. | | | 625,722 | | | | 28,733 | |
| Sapient Corp. | | | 2,249,627 | | | $ | 27,805 | |
| | | | | | | | |
| Total | | | | | | | 157,227 | |
| | | | | | | | |
|
| Insurance 3.97% | |
| Alterra Capital Holdings Ltd. | | | 1,429,600 | | | | 30,994 | |
| Arch Capital Group Ltd.* | | | 824,006 | | | | 29,639 | |
| HCC Insurance Holdings, Inc. | | | 177,240 | | | | 4,716 | |
| PartnerRe Ltd. | | | 173,400 | | | | 10,789 | |
| | | | | | | | |
| Total | | | | | | | 76,138 | |
| | | | | | | | |
|
| Life Sciences Tools & Services 1.41% | |
| Charles River Laboratories International, Inc.* | | | 311,600 | | | | 10,058 | |
| PerkinElmer, Inc. | | | 822,100 | | | | 16,993 | |
| | | | | | | | |
| Total | | | | | | | 27,051 | |
| | | | | | | | |
|
| Machinery 2.41% | |
| SPX Corp. | | | 340,400 | | | | 18,589 | |
| Timken Co. (The) | | | 198,300 | | | | 8,353 | |
| Trinity Industries, Inc. | | | 704,360 | | | | 19,208 | |
| | | | | | | | |
| Total | | | | | | | 46,150 | |
| | | | | | | | |
|
| Marine 0.77% | |
| Kirby Corp.* | | | 239,038 | | | | 14,710 | |
| | | | | | | | |
|
| Media 2.87% | |
| Interpublic Group of Cos., Inc. (The) | | | 3,276,300 | | | | 31,059 | |
| John Wiley & Sons, Inc. Class A | | | 502,400 | | | | 23,894 | |
| | | | | | | | |
| Total | | | | | | | 54,953 | |
| | | | | | | | |
|
| Metals & Mining 4.82% | |
| Allegheny Technologies, Inc. | | | 344,000 | | | | 15,962 | |
| Carpenter Technology Corp. | | | 512,376 | | | | 29,062 | |
| IAMGOLD Corp. (Canada)(a) | | | 1,020,200 | | | | 21,934 | |
See Notes to Financial Statements.
58
Schedule of Investments (continued)
VALUE OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Metals & Mining (continued) | |
| Reliance Steel & Aluminum Co. | | | 573,200 | | | $ | 25,330 | |
| | | | | | | | |
| Total | | | | | | | 92,288 | |
| | | | | | | | |
|
| Multi-Utilities 2.18% | |
| CMS Energy Corp. | | | 974,600 | | | | 20,291 | |
| Wisconsin Energy Corp. | | | 660,699 | | | | 21,427 | |
| | | | | | | | |
| Total | | | | | | | 41,718 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 3.13% | |
| EQT Corp. | | | 438,200 | | | | 27,826 | |
| Range Resources Corp. | | | 467,000 | | | | 32,148 | |
| | | | | | | | |
| Total | | | | | | | 59,974 | |
| | | | | | | | |
|
| Paper & Forest Products 0.86% | |
| Schweitzer-Mauduit International, Inc. | | | 234,200 | | | | 16,469 | |
| | | | | | | | |
|
| Pharmaceuticals 2.61% | |
| Warner Chilcott plc Class A (Ireland)*(a) | | | 929,000 | | | | 16,833 | |
| Watson Pharmaceuticals, Inc.* | | | 494,000 | | | | 33,177 | |
| | | | | | | | |
| Total | | | | | | | 50,010 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 1.19% | |
| American Campus Communities, Inc. | | | 386,401 | | | | 15,043 | |
| Host Hotels & Resorts, Inc. | | | 541,299 | | | | 7,724 | |
| | | | | | | | |
| Total | | | | | | | 22,767 | |
| | | | | | | | |
|
| Road & Rail 3.54% | |
| Genesee & Wyoming, Inc. Class A* | | | 270,500 | | | | 16,016 | |
| Heartland Express, Inc. | | | 982,329 | | | | 13,173 | |
| Kansas City Southern* | | | 357,600 | | | | 22,590 | |
| Werner Enterprises, Inc. | | | 679,600 | | | | 16,106 | |
| | | | | | | | |
| Total | | | | | | | 67,885 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment 2.84% | |
| Cypress Semiconductor Corp.* | | | 982,600 | | | $ | 18,778 | |
| Lam Research Corp.* | | | 229,900 | | | | 9,883 | |
| Silicon Laboratories, Inc.* | | | 604,700 | | | | 25,851 | |
| | | | | | | | |
| Total | | | | | | | 54,512 | |
| | | | | | | | |
|
| Software 1.83% | |
| Nuance Communications, Inc.* | | | 1,323,585 | | | | 35,048 | |
| | | | | | | | |
|
| Specialty Retail 0.86% | |
| Men’s Wearhouse, Inc. (The) | | | 531,639 | | | | 16,417 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods 2.22% | |
| Maidenform Brands, Inc.* | | | 410,700 | | | | 10,095 | |
| PVH Corp. | | | 435,700 | | | | 32,420 | |
| | | | | | | | |
| Total | | | | | | | 42,515 | |
| | | | | | | | |
|
| Trading Companies & Distributors 0.79% | |
| TAL International Group, Inc. | | | 547,996 | | | | 15,251 | |
| | | | | | | | |
| Total Common Stocks (cost $1,686,035,780) | | | | | | | 1,837,295 | |
| | | | | | | | |
See Notes to Financial Statements.
59
Schedule of Investments (concluded)
VALUE OPPORTUNITIES FUND October 31, 2011
| | | | | | | | |
| Investments | | Principal
Amount
(000) | | | Fair
Value
(000) | |
| SHORT-TERM INVESTMENT 4.24% | |
|
| Repurchase Agreement | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $82,775,000 of Federal Home Loan Bank at 0.20% due 8/16/2012; value: $82,775,000 proceeds: $81,147,779 (cost $81,147,757) | | $ | 81,148 | | | $ | 81,148 | |
| | | | | | | | |
| Total Investments in Securities 100.14% (cost $1,767,183,537) | | | | | | | 1,918,443 | |
| | | | | | | | |
| Liabilities in Excess of Cash and Other Assets (0.14)% | | | | | | | (2,660 | ) |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 1,915,783 | |
| | | | | | | | |
| | |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
See Notes to Financial Statements.
60
This page is intentionally left blank.
61
Statements of Assets and Liabilities
October 31, 2011
| | | | | | | | | | | | |
| | |
Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth
Leaders Fund | |
ASSETS: | | | | | | | | | | | | |
Investments in securities, at cost | | $ | 815,097,708 | | | $ | 4,098,959,998 | | | $ | 14,797,040 | |
Investments in securities, at fair value | | $ | 880,796,305 | | | $ | 4,400,808,454 | | | $ | 15,635,707 | |
Cash | | | – | | | | – | | | | – | |
Foreign cash, at value (cost $0, $0, $0, $7,217,023, $222,413, $3,533,259, $0 and $0, respectively) | | | – | | | | – | | | | – | |
Receivables: | | | | | | | | | | | | |
Interest and dividends | | | – | | | | 2,607,719 | | | | 5,612 | |
Investment securities sold | | | – | | | | 122,438,969 | | | | 2,949,719 | |
Capital shares sold | | | 3,982,976 | | | | 37,982,110 | | | | 328,494 | |
From affiliates (See Note 3) | | | 217,377 | | | | – | | | | – | |
From advisor (See Note 3) | | | – | | | | – | | | | 5,228 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | – | | | | – | | | | – | |
Prepaid expenses and other assets | | | 52,469 | | | | 203,385 | | | | 21,913 | |
Total assets | | | 885,049,127 | | | | 4,564,040,637 | | | | 18,946,673 | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
To bank | | | 402 | | | | 1,106 | | | | 185,157 | |
Investment securities purchased | | | – | | | | 117,838,488 | | | | 2,648,779 | |
Capital shares reacquired | | | 2,036,544 | | | | 8,464,241 | | | | – | |
Management fee | | | – | | | | 1,840,929 | | | | 7,051 | |
12b-1 distribution fees | | | 389,358 | | | | 2,005,334 | | | | 3,150 | |
Fund administration | | | – | | | | 140,819 | | | | 513 | |
Trustees’ fees | | | 58,035 | | | | 487,999 | | | | – | |
To affiliates (See Note 3) | | | – | | | | 13,767 | | | | – | |
Unrealized depreciation on forward foreign currency exchange contracts | | | – | | | | – | | | | – | |
Accrued expenses and other liabilities | | | 341,160 | | | | 1,244,929 | | | | 80,381 | |
Total liabilities | | | 2,825,499 | | | | 132,037,612 | | | | 2,925,031 | |
NET ASSETS | | $ | 882,223,628 | | | $ | 4,432,003,025 | | | $ | 16,021,642 | |
COMPOSITION OF NET ASSETS: | | | | | | | | | | | | |
Paid-in capital | | $ | 823,554,808 | | | $ | 4,039,558,777 | | | $ | 16,259,882 | |
Undistributed (distributions in excess of) net investment income | | | (58,035 | ) | | | 240,045 | | | | 4,051 | |
Accumulated net realized gain (loss) on investments and foreign currency related transactions | | | (6,971,742 | ) | | | 90,355,747 | | | | (1,080,958 | ) |
Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies | | | 65,698,597 | | | | 301,848,456 | | | | 838,667 | |
Net Assets | | $ | 882,223,628 | | | $ | 4,432,003,025 | | | $ | 16,021,642 | |
See Notes to Financial Statements.
62
| | | | | | | | | | | | | | | | | | |
International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | | | Large Cap
Value Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | | | | | |
| $ | 819,042,132 | | | $ | 884,192,556 | | | $ | 325,223,176 | | | $ | 35,005,842 | | | $ | 1,767,183,537 | |
| $ | 847,682,829 | | | $ | 887,256,919 | | | $ | 322,901,373 | | | $ | 38,824,013 | | | $ | 1,918,443,166 | |
| | – | | | | 2,429,972 | | | | 1,749,946 | | | | – | | | | 623,790 | |
|
7,216,561 |
| | | 223,845 | | | | 3,439,414 | | | | – | | | | – | |
| | | | | | | | | | | | | | | | | | |
| | 2,999,811 | | | | 2,571,628 | | | | 963,021 | | | | 47,649 | | | | 508,633 | |
| | 13,280,630 | | | | 14,088,845 | | | | 3,417,647 | | | | 39,642 | | | | 18,809,994 | |
| | 1,050,360 | | | | 7,296,703 | | | | 93,196 | | | | 36,549 | | | | 10,045,889 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 248,541 | | | | 325,919 | | | | – | | | | – | | | | – | |
|
2,091,497 |
| | | 2,197,409 | | | | 2,242,574 | | | | – | | | | – | |
| | 69,221 | | | | 75,950 | | | | 34,636 | | | | 29,443 | | | | 134,929 | |
| | 874,639,450 | | | | 916,467,190 | | | | 334,841,807 | | | | 38,977,296 | | | | 1,948,566,401 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | 301,830 | | | | – | | | | – | | | | 4 | | | | – | |
| | 14,998,063 | | | | 23,102,429 | | | | 2,036,913 | | | | 49,847 | | | | 24,285,129 | |
| | 2,356,498 | | | | 386,342 | | | | 84,318 | | | | 194,745 | | | | 5,874,440 | |
| | 531,428 | | | | 530,615 | | | | 201,615 | | | | 12,654 | | | | 1,107,378 | |
| | 235,121 | | | | 111,559 | | | | 61,429 | | | | 14,649 | | | | 787,951 | |
| | 28,343 | | | | 28,299 | | | | 10,753 | | | | 1,265 | | | | 60,852 | |
| | 115,888 | | | | 7,006 | | | | 47,127 | | | | 7,558 | | | | 26,882 | |
| | 27,982 | | | | 69,194 | | | | 54,928 | | | | – | | | | 34,769 | |
| 2,084,941 | | | | 3,558,372 | | | | 2,599,635 | | | | – | | | | – | |
| | 408,641 | | | | 253,140 | | | | 163,732 | | | | 63,706 | | | | 605,575 | |
| | 21,088,735 | | | | 28,046,956 | | | | 5,260,450 | | | | 344,428 | | | | 32,782,976 | |
| $ | 853,550,715 | | | $ | 888,420,234 | | | $ | 329,581,357 | | | $ | 38,632,868 | | | $ | 1,915,783,425 | |
| | | | | | | | | | | | | | | | | | |
| $ | 1,155,101,605 | | | $ | 926,938,530 | | | $ | 400,514,572 | | | $ | 51,363,025 | | | $ | 1,759,207,411 | |
| 12,933,976 | | | | 1,821,542 | | | | 2,333,006 | | | | 225,724 | | | | 296,695 | |
| (343,230,494 | ) | | | (42,031,045 | ) | | | (70,508,635 | ) | | | (16,774,052 | ) | | | 5,019,690 | |
| 28,745,628 | | | | 1,691,207 | | | | (2,757,586 | ) | | | 3,818,171 | | | | 151,259,629 | |
| $ | 853,550,715 | | | $ | 888,420,234 | | | $ | 329,581,357 | | | $ | 38,632,868 | | | $ | 1,915,783,425 | |
See Notes to Financial Statements.
63
Statements of Assets and Liabilities (concluded)
October 31, 2011
| | | | | | | | | | | | |
| | |
Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth
Leaders Fund | |
| | | | | | | | | | | | |
Net assets by class: | | | | | | | | | | | | |
Class A Shares | | $ | 432,697,881 | | | $ | 2,379,452,966 | | | $ | 7,882,284 | |
Class B Shares | | $ | 26,876,999 | | | $ | 114,980,212 | | | | – | |
Class C Shares | | $ | 223,295,191 | | | $ | 817,590,359 | | | $ | 174,895 | |
Class F Shares | | $ | 142,150,428 | | | $ | 642,635,649 | | | $ | 5,992,749 | |
Class I Shares | | $ | 26,906,129 | | | $ | 245,329,015 | | | $ | 1,952,323 | |
Class P Shares | | | – | | | $ | 31,223,472 | | | | – | |
Class R2 Shares | | $ | 3,372,548 | | | $ | 19,996,527 | | | $ | 9,694 | |
Class R3 Shares | | $ | 26,924,452 | | | $ | 180,794,825 | | | $ | 9,697 | |
Outstanding shares by class (unlimited number of authorized shares of beneficial interest): | | | | | | | | | | | | |
Class A Shares | | | 19,041,813 | | | | 190,174,428 | | | | 543,507 | |
Class B Shares | | | 1,258,499 | | | | 9,667,195 | | | | – | |
Class C Shares | | | 10,527,828 | | | | 69,016,394 | | | | 12,086 | |
Class F Shares | | | 6,250,866 | | | | 51,524,636 | | | | 413,017 | |
Class I Shares | | | 1,174,037 | | | | 19,492,400 | | | | 134,514 | |
Class P Shares | | | – | | | | 2,525,550 | | | | – | |
Class R2 Shares | | | 150,088 | | | | 1,621,559 | | | | 669 | |
Class R3 Shares | | | 1,196,633 | | | | 14,578,935 | | | | 669 | |
Net asset value, offering and redemption price per share
(Net assets divided by outstanding shares): | | | | | | | | | | | | |
Class A Shares–Net asset value | | | $22.72 | | | | $12.51 | | | | $14.50 | |
Class A Shares–Maximum offering price
(Net asset value plus sales charge of 5.75%) | | | $24.11 | | | | $13.27 | | | | $15.38 | |
Class B Shares–Net asset value | | | $21.36 | | | | $11.89 | | | | – | |
Class C Shares–Net asset value | | | $21.21 | | | | $11.85 | | | | $14.47 | |
Class F Shares–Net asset value | | | $22.74 | | | | $12.47 | | | | $14.51 | |
Class I Shares–Net asset value | | | $22.92 | | | | $12.59 | | | | $14.51 | |
Class P Shares–Net asset value | | | – | | | | $12.36 | | | | – | |
Class R2 Shares–Net asset value | | | $22.47 | | | | $12.33 | | | | $14.49 | |
Class R3 Shares–Net asset value | | | $22.50 | | | | $12.40 | | | | $14.49 | |
See Notes to Financial Statements.
64
| | | | | | | | | | | | | | | | | | |
International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | | | Large Cap
Value Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| $ | 439,937,833 | | | $ | 278,974,707 | | | $ | 83,728,841 | | | $ | 25,989,136 | | | $ | 883,443,509 | |
| $ | 27,896,278 | | | | – | | | $ | 9,439,069 | | | $ | 1,728,371 | | | $ | 15,700,225 | |
| $ | 68,316,259 | | | $ | 22,328,536 | | | $ | 15,603,429 | | | $ | 5,660,685 | | | $ | 263,797,646 | |
| $ | 80,746,952 | | | $ | 26,891,592 | | | $ | 933,765 | | | $ | 851,115 | | | $ | 385,086,469 | |
| $ | 222,807,650 | | | $ | 559,878,502 | | | $ | 213,864,659 | | | $ | 4,168,578 | | | $ | 291,055,683 | |
| $ | 469,970 | | | | – | | | $ | 819,963 | | | $ | 12,599 | | | $ | 3,392,458 | |
| $ | 651,164 | | | $ | 16,308 | | | $ | 94,852 | | | $ | 9,789 | | | $ | 8,803,799 | |
| $ | 12,724,609 | | | $ | 330,589 | | | $ | 5,096,779 | | | $ | 212,595 | | | $ | 64,503,636 | |
| | | | | | | | | | | | | | | | | | |
| | 39,092,569 | | | | 35,381,931 | | | | 6,979,548 | | | | 2,763,098 | | | | 58,288,924 | |
| | 2,521,451 | | | | – | | | | 830,950 | | | | 187,443 | | | | 1,073,468 | |
| | 6,163,082 | | | | 2,847,382 | | | | 1,381,538 | | | | 613,612 | | | | 18,038,052 | |
| | 7,206,549 | | | | 3,407,146 | | | | 78,233 | | | | 90,849 | | | | 25,330,067 | |
| | 19,649,649 | | | | 70,812,477 | | | | 17,392,011 | | | | 440,419 | | | | 18,977,525 | |
| | 42,072 | | | | – | | | | 67,372 | | | | 1,335 | | | | 224,795 | |
| | 57,950 | | | | 2,031 | | | | 7,969 | | | | 1,034 | | | | 586,546 | |
| | 1,145,008 | | | | 41,618 | | | | 430,463 | | | | 22,691 | | | | 4,292,341 | |
| | | | | | | | | | | | | | | | | | |
| | $11.25 | | | | $7.88 | | | | $12.00 | | | | $9.41 | | | | $15.16 | |
|
$11.94 |
| | | $8.36 | | | | $12.73 | | | | $9.98 | | | | $16.08 | |
| | $11.06 | | | | – | | | | $11.36 | | | | $9.22 | | | | $14.63 | |
| | $11.08 | | | | $7.84 | | | | $11.29 | | | | $9.23 | | | | $14.62 | |
| | $11.20 | | | | $7.89 | | | | $11.94 | | | | $9.37 | | | | $15.20 | |
| | $11.34 | | | | $7.91 | | | | $12.30 | | | | $9.47 | | | | $15.34 | |
| | $11.17 | | | | – | | | | $12.17 | | | | $9.44 | | | | $15.09 | |
| | $11.24 | | | | $8.03 | | | | $11.90 | | | | $9.47 | | | | $15.01 | |
| | $11.11 | | | | $7.94 | | | | $11.84 | | | | $9.37 | | | | $15.03 | |
See Notes to Financial Statements.
65
Statements of Operations
For the Year Ended October 31, 2011
| | | | | | | | | | | | |
| | |
Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth
Leaders Fund* | |
Investment income: | | | | | | | | | | | | |
Dividends (net of foreign withholding taxes of $0, $244,132, $96, $2,489,138, $3,031,732, $667,220, $2,119 and $57,259, respectively) | | $ | 1,733,373 | | | $ | 50,925,152 | | | $ | 24,906 | |
Interest and other | | | 20,778 | | | | 17,878 | | | | 471 | |
Total investment income | | | 1,754,151 | | | | 50,943,030 | | | | 25,377 | |
Expenses: | | | | | | | | | | | | |
Management fee | | | 950,627 | | | | 21,392,514 | | | | 21,824 | |
12b-1 distribution plan-Class A | | | 1,296,316 | | | | 7,796,060 | | | | 8,114 | |
12b-1 distribution plan-Class B | | | 326,758 | | | | 1,427,032 | | | | – | |
12b-1 distribution plan-Class C | | | 2,366,027 | | | | 7,738,703 | | | | 230 | |
12b-1 distribution plan-Class F | | | 158,089 | | | | 547,746 | | | | 1,167 | |
12b-1 distribution plan-Class P | | | – | | | | 146,159 | | | | – | |
12b-1 distribution plan-Class R2 | | | 22,500 | | | | 82,688 | | | | 20 | |
12b-1 distribution plan-Class R3 | | | 134,758 | | | | 618,266 | | | | 17 | |
Shareholder servicing | | | 1,727,893 | | | | 5,737,748 | | | | 29,520 | |
Professional | | | 35,997 | | | | 70,032 | | | | 42,389 | |
Reports to shareholders | | | 145,847 | | | | 543,049 | | | | 2,075 | |
Fund administration | | | – | | | | 1,635,401 | | | | 1,587 | |
Custody | | | 15,844 | | | | 68,859 | | | | 12,640 | |
Trustees’ fees | | | 16,697 | | | | 62,483 | | | | 16 | |
Registration | | | 125,000 | | | | 374,397 | | | | 1,894 | |
Subsidy (See Note 3) | | | – | | | | 194,015 | | | | – | |
Offering costs | | | – | | | | – | | | | 9,742 | |
Other | | | 21,877 | | | | 102,185 | | | | 1,947 | |
Gross expenses | | | 7,344,230 | | | | 48,537,337 | | | | 133,182 | |
Expense reductions (See Note 7) | | | (1,042 | ) | | | (4,463 | ) | | | (3 | ) |
Management fee waived and expenses reimbursed (See Note 3) | | | (950,627 | ) | | | – | | | | (103,792 | ) |
Expenses assumed by Underlying Funds (See Note 3) | | | (2,088,113 | ) | | | – | | | | – | |
Net expenses | | | 4,304,448 | | | | 48,532,874 | | | | 29,387 | |
Net investment income (loss) | | | (2,550,297 | ) | | | 2,410,156 | | | | (4,010 | ) |
Net realized and unrealized gain (loss): | | | | | | | | | | | | |
Capital gains received from Underlying Funds | | | 405,375 | | | | – | | | | – | |
Net realized gain (loss) on investments (net of foreign capital gains tax) and foreign currency related transactions | | | 16,326,792 | | | | 225,744,959 | | | | (1,080,958 | ) |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | 8,433,503 | | | | (136,463,491 | ) | | | 838,667 | |
Net realized and unrealized gain (loss) | | | 25,165,670 | | | | 89,281,468 | | | | (242,291 | ) |
Increase (Decrease) in Net Assets Resulting From Operations | | $ | 22,615,373 | | | $ | 91,691,624 | | | $ | (246,301 | ) |
| * | | For the period June 24, 2011 (commencement of operations) to October 31, 2011. | |
See Notes to Financial Statements.
66
| | | | | | | | | | | | | | | | | | |
International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | | | Large Cap
Value Fund | | | Value
Opportunities
Fund | |
| | | | | | | | | | | | | | | | | | |
$ | 27,927,137 | | | $ | 35,363,889 | | | $ | 8,884,807 | | | $ | 900,560 | | | $ | 17,447,491 | |
| | 5,100 | | | | 10,987 | | | | 22,773 | | | | 173 | | | | 9,792 | |
| | 27,932,237 | | | | 35,374,876 | | | | 8,907,580 | | | | 900,733 | | | | 17,457,283 | |
| | | | | | | | | | | | | | | | | | |
| �� | 7,512,807 | | | | 4,455,200 | | | | 2,901,597 | | | | 195,568 | | | | 12,495,464 | |
| | 1,802,215 | | | | 745,868 | | | | 333,741 | | | | 103,603 | | | | 2,866,142 | |
| | 347,666 | | | | – | | | | 122,860 | | | | 22,962 | | | | 189,196 | |
| | 802,899 | | | | 172,751 | | | | 178,448 | | | | 59,028 | | | | 2,315,304 | |
| | 56,327 | | | | 20,495 | | | | 1,181 | | | | 929 | | | | 334,456 | |
| | 4,676 | | | | – | | | | 4,027 | | | | 61 | | | | 17,924 | |
| | 3,928 | | | | 17 | | | | 606 | | | | – | | | | 34,233 | |
| | 61,959 | | | | 935 | | | | 19,245 | | | | 850 | | | | 215,807 | |
| | 1,773,336 | | | | 438,833 | | | | 413,326 | | | | 71,900 | | | | 2,386,571 | |
| | 62,843 | | | | 55,420 | | | | 59,372 | | | | 46,232 | | | | 58,060 | |
| | 130,963 | | | | 67,018 | | | | 27,182 | | | | 6,988 | | | | 258,384 | |
| | 401,748 | | | | 237,611 | | | | 154,752 | | | | 19,557 | | | | 685,696 | |
| | 411,802 | | | | 450,818 | | | | 219,841 | | | | 3,447 | | | | 40,251 | |
| | 18,863 | | | | 6,928 | | | | 7,050 | | | | 943 | | | | 23,386 | |
| | 35,779 | | | | 160,449 | | | | 57,863 | | | | 66,227 | | | | 270,139 | |
| | 334,125 | | | | 566,517 | | | | 555,970 | | | | – | | | | 316,462 | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 41,178 | | | | 23,750 | | | | 23,521 | | | | 5,139 | | | | 41,717 | |
| | 13,803,114 | | | | 7,402,610 | | | | 5,080,582 | | | | 603,434 | | | | 22,549,192 | |
| | (913 | ) | | | (305 | ) | | | (145 | ) | | | (54 | ) | | | (1,575 | ) |
| (2,988,877 | ) | | | (1,888,234 | ) | | | – | | | | – | | | | – | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| | 10,813,324 | | | | 5,514,071 | | | | 5,080,437 | | | | 603,380 | | | | 22,547,617 | |
| | 17,118,913 | | | | 29,860,805 | | | | 3,827,143 | | | | 297,353 | | | | (5,090,334 | ) |
| | | | | | | | | | | | | | | | | | |
| | – | | | | – | | | | – | | | | – | | | | – | |
| 48,354,554 | | | | (8,159,195 | ) | | | 44,777,133 | | | | 2,040,802 | | | | 6,361,369 | |
| (121,294,924 | ) | | | (51,744,570 | ) | | | (72,731,225 | ) | | | (2,900,826 | ) | | | (3,667,311 | ) |
| | (72,940,370 | ) | | | (59,903,765 | ) | | | (27,954,092 | ) | | | (860,024 | ) | | | 2,694,058 | |
$ |
(55,821,457 |
) | | $ | (30,042,960 | ) | | $ | (24,126,949 | ) | | $ | (562,671 | ) | | $ | (2,396,276 | ) |
See Notes to Financial Statements.
67
Statements of Changes in Net Assets
| | | | | | | | |
| | | Alpha Strategy Fund | |
| INCREASE IN NET ASSETS | | For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | (2,550,297 | ) | | $ | (2,314,929 | ) |
Capital gains distributions received from Underlying Funds | | | 405,375 | | | | – | |
Net realized gain (loss) on investments and foreign currency related transactions | | | 16,326,792 | | | | (251,202 | ) |
Net change in unrealized appreciation/depreciation on investments | | | 8,433,503 | | | | 159,498,677 | |
Net increase (decrease) in net assets resulting from operations | | | 22,615,373 | | | | 156,932,546 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | – | | | | (408,592 | ) |
Class F | | | – | | | | (136,954 | ) |
Class I | | | – | | | | (71,517 | ) |
Class P | | | – | | | | – | |
Class R2 | | | – | | | | – | |
Class R3 | | | – | | | | (5,165 | ) |
Total distributions to shareholders | | | – | | | | (622,228 | ) |
Capital share transactions (Net of share conversions) (See Note 12): | | | | | |
Net proceeds from sales of shares | | | 339,786,770 | | | | 343,236,618 | |
Reinvestment of distributions | | | – | | | | 487,570 | |
Cost of shares reacquired | | | (298,546,378 | ) | | | (210,541,095 | ) |
Net increase in net assets
resulting from capital share transactions | | | 41,240,392 | | | | 133,183,093 | |
Net increase in net assets | | | 63,855,765 | | | | 289,493,411 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 818,367,863 | | | $ | 528,874,452 | |
End of year | | $ | 882,223,628 | | | $ | 818,367,863 | |
Undistributed (distributions in excess of) net investment income | | $ | (58,035 | ) | | $ | (59,461 | ) |
| * | | For the period June 24, 2011 (commencement of operations) to October 31, 2011. |
See Notes to Financial Statements.
68
| | | | | | | | | | |
| Fundamental Equity Fund | | | Growth Leaders Fund | |
For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | | | For the Period
June 24, 2011 to
October 31, 2011* | |
| | | | | | | | | | |
| $ | 2,410,156 | | | $ | 7,390,972 | | | $ | (4,010 | ) |
| | – | | | | – | | | | – | |
| 225,744,959 | | | | 196,139,160 | | | | (1,080,958 | ) |
| | (136,463,491 | ) | | | 284,005,592 | | | | 838,667 | |
| | 91,691,624 | | | | 487,535,724 | | | | (246,301 | ) |
| | | | | | | | | | |
| | | | | | | | | | |
| | (5,446,274 | ) | | | (659,576 | ) | | | – | |
| | (1,986,437 | ) | | | (236,490 | ) | | | – | |
| | (1,037,377 | ) | | | (446,175 | ) | | | – | |
| | (61,422 | ) | | | – | | | | – | |
| | (15,396 | ) | | | (12 | ) | | | – | |
| | (184,856 | ) | | | (1,459 | ) | | | – | |
| | (8,731,762 | ) | | | (1,343,712 | ) | | | – | |
| | | | | | | | | | |
| | 2,373,450,067 | | | | 884,739,296 | | | | 21,794,501 | |
| | 7,768,549 | | | | 1,167,205 | | | | – | |
| | (1,182,901,281 | ) | | | (755,666,554 | ) | | | (5,526,558 | ) |
|
1,198,317,335 |
| | | 130,239,947 | | | | 16,267,943 | |
| | 1,281,277,197 | | | | 616,431,959 | | | | 16,021,642 | |
| | | | | | | | | | |
| $ | 3,150,725,828 | | | $ | 2,534,293,869 | | | | – | |
| $ | 4,432,003,025 | | | $ | 3,150,725,828 | | | $ | 16,021,642 | |
| $ | 240,045 | | | $ | 5,878,474 | | | $ | 4,051 | |
See Notes to Financial Statements.
69
Statements of Changes in Net Assets (continued)
| | | | | | | | |
| | | International Core Equity Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | |
Operations: | | | | | | | | |
Net investment income | | $ | 17,118,913 | | | $ | 9,234,734 | |
Net realized gain (loss) on investments and foreign currency related transactions | | | 48,354,554 | | | | 25,921,529 | |
Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | (121,294,924 | ) | | | 51,292,057 | |
Net increase (decrease) in net assets resulting from operations | | | (55,821,457 | ) | | | 86,448,320 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (5,752,133 | ) | | | (3,954,685 | ) |
Class B | | | (156,229 | ) | | | (64,050 | ) |
Class C | | | (373,209 | ) | | | (142,638 | ) |
Class F | | | (520,403 | ) | | | (87,154 | ) |
Class I | | | (4,388,679 | ) | | | (1,664,331 | ) |
Class P | | | (18,601 | ) | | | (9,814 | ) |
Class R2 | | | (6,379 | ) | | | (32 | ) |
Class R3 | | | (124,689 | ) | | | (10,925 | ) |
Total distributions to shareholders | | | (11,340,322 | ) | | | (5,933,629 | ) |
Capital share transactions (Net of share conversions) (See Note 12): | |
Net proceeds from sales of shares | | | 228,058,700 | | | | 253,678,647 | |
Reinvestment of distributions | | | 10,835,934 | | | | 5,700,211 | |
Cost of shares reacquired | | | (302,597,602 | ) | | | (259,113,735 | ) |
Net increase (decrease) in net assets
resulting from capital share transactions | | | (63,702,968 | ) | | | 265,123 | |
Net increase (decrease) in net assets | | | (130,864,747 | ) | | | 80,779,814 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 984,415,462 | | | $ | 903,635,648 | |
End of year | | $ | 853,550,715 | | | $ | 984,415,462 | |
Undistributed (distributions in excess of) net investment income | | $ | 12,933,976 | | | $ | 8,681,298 | |
See Notes to Financial Statements.
70
| | | | | | | | | | | | | | |
| International Dividend Income Fund | | | International Opportunities Fund | |
For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | | | For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | |
| | | | | | | | | | | | | | |
| $ | 29,860,805 | | | $ | 16,110,396 | | | $ | 3,827,143 | | | $ | 2,251,909 | |
| | | |
| | (8,159,195 | ) | | | 4,874,405 | | | | 44,777,133 | | | | 31,951,682 | |
| | | |
| | (51,744,570 | ) | | | 15,897,636 | | | | (72,731,225 | ) | | | 29,946,669 | |
| | (30,042,960 | ) | | | 36,882,437 | | | | (24,126,949 | ) | | | 64,150,260 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | (10,420,529 | ) | | | (4,561,154 | ) | | | (390,888 | ) | | | (737,916 | ) |
| | – | | | | – | | | | – | | | | (42,887 | ) |
| | (723,292 | ) | | | (338,384 | ) | | | – | | | | (71,685 | ) |
| | (1,074,651 | ) | | | (418,562 | ) | | | (8,779 | ) | | | (3,766 | ) |
| | (17,419,521 | ) | | | (10,893,012 | ) | | | (1,691,088 | ) | | | (1,728,359 | ) |
| | – | | | | – | | | | (2,941 | ) | | | (5,290 | ) |
| | (434 | ) | | | (340 | ) | | | (139 | ) | | | (941 | ) |
| | (9,576 | ) | | | (3,176 | ) | | | (14,604 | ) | | | (5,737 | ) |
| | (29,648,003 | ) | | | (16,214,628 | ) | | | (2,108,439 | ) | | | (2,596,581 | ) |
| | | | | | | | | | | | | | |
| | 564,714,201 | | | | 182,412,817 | | | | 73,495,448 | | | | 67,712,764 | |
| | 27,261,523 | | | | 15,448,105 | | | | 2,089,619 | | | | 2,553,126 | |
| | (98,249,560 | ) | | | (48,932,061 | ) | | | (89,288,286 | ) | | | (55,543,408 | ) |
| | | |
| | 493,726,164 | | | | 148,928,861 | | | | (13,703,219 | ) | | | 14,722,482 | |
| | 434,035,201 | | | | 169,596,670 | | | | (39,938,607 | ) | | | 76,276,161 | |
| | | | | | | | | | | | | | |
| $ | 454,385,033 | | | $ | 284,788,363 | | | $ | 369,519,964 | | | $ | 293,243,803 | |
| $ | 888,420,234 | | | $ | 454,385,033 | | | $ | 329,581,357 | | | $ | 369,519,964 | |
| $ | 1,821,542 | | | $ | (78,262 | ) | | $ | 2,333,006 | | | $ | (72,719 | ) |
See Notes to Financial Statements.
71
Statements of Changes in Net Assets (concluded)
| | | | | | | | |
| | | Large Cap Value Fund | |
| INCREASE (DECREASE) IN NET ASSETS | | For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | |
Operations: | | | | | | | | |
Net investment income (loss) | | $ | 297,353 | | | $ | 174,904 | |
Net realized gain on investments and foreign currency related transactions | | | 2,040,802 | | | | 3,255,118 | |
Net change in unrealized appreciation/depreciation on investments | | | (2,900,826 | ) | | | 1,278,332 | |
Net increase (decrease) in net assets resulting from operations | | | (562,671 | ) | | | 4,708,354 | |
Distributions to shareholders from: | | | | | | | | |
Net investment income | | | | | | | | |
Class A | | | (121,423 | ) | | | (182,090 | ) |
Class B | | | – | | | | (1,019 | ) |
Class C | | | – | | | | (6,371 | ) |
Class F | | | (5,082 | ) | | | (1,969 | ) |
Class I | | | (76,654 | ) | | | (110,549 | ) |
Class P | | | (46 | ) | | | (65 | ) |
Class R2 | | | (35 | ) | | | – | |
Class R3 | | | (630 | ) | | | – | |
Net realized gain | | | | | | | | |
Class A | | | – | | | | – | |
Class B | | | – | | | | – | |
Class C | | | – | | | | – | |
Class F | | | – | | | | – | |
Class I | | | – | | | | – | |
Class P | | | – | | | | – | |
Class R2 | | | – | | | | – | |
Class R3 | | | – | | | | – | |
Total distributions to shareholders | | | (203,870 | ) | | | (302,063 | ) |
Capital share transactions (Net of share conversions) (See Note 12): | |
Net proceeds from sales of shares | | | 14,411,823 | | | | 12,636,156 | |
Reinvestment of distributions | | | 177,879 | | | | 264,761 | |
Cost of shares reacquired | | | (20,969,565 | ) | | | (18,605,150 | ) |
Net increase (decrease) in net assets
resulting from capital share transactions | | | (6,379,863 | ) | | | (5,704,233 | ) |
Net increase (decrease) in net assets | | | (7,146,404 | ) | | | (1,297,942 | ) |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 45,779,272 | | | $ | 47,077,214 | |
End of year | | $ | 38,632,868 | | | $ | 45,779,272 | |
Undistributed net investment income | | $ | 225,724 | | | $ | 132,280 | |
See Notes to Financial Statements.
72
| | | | | | |
| Value Opportunities Fund | |
For the
Year Ended
October 31, 2011 | | | For the
Year Ended
October 31, 2010 | |
| | | | | | |
| $ | (5,090,334 | ) | | $ | (1,722,693 | ) |
|
6,361,369 |
| | | 61,081,094 | |
| | (3,667,311 | ) | | | 110,216,696 | |
| | (2,396,276 | ) | | | 169,575,097 | |
| | | | | | |
| | | | | | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | – | | | | – | |
| | | | | | |
| | (3,052,445 | ) | | | – | |
| | (100,233 | ) | | | – | |
| | (811,906 | ) | | | – | |
| | (958,671 | ) | | | – | |
| | (955,523 | ) | | | – | |
| | (22,412 | ) | | | – | |
| | (14,042 | ) | | | – | |
| | (112,302 | ) | | | – | |
| | (6,027,534 | ) | | | – | |
| | | | | | |
| | 1,396,347,849 | | | | 702,432,233 | |
| | 5,241,207 | | | | – | |
| | (612,346,535 | ) | | | (268,099,393 | ) |
| |
| | 789,242,521 | | | | 434,332,840 | |
| | 780,818,711 | | | | 603,907,937 | |
| | | | | | |
| $ | 1,134,964,714 | | | $ | 531,056,777 | |
| $ | 1,915,783,425 | | | $ | 1,134,964,714 | |
| $ | 296,695 | | | $ | 95,800 | |
See Notes to Financial Statements.
73
Financial Highlights
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $21.93 | | | | $17.24 | | | | $15.58 | | | | $29.08 | | | | $23.68 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | (.02 | ) | | | (.03 | ) | | | .01 | | | | (.02 | ) | | | (.04 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 4.74 | | | | 2.81 | | | | (11.23 | ) | | | 6.44 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .79 | | | | 4.71 | | | | 2.82 | | | | (11.25 | ) | | | 6.40 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.02 | ) | | | (.03 | ) | | | (.76 | ) | | | (.74 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | (.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.02 | ) | | | (1.16 | ) | | | (2.25 | ) | | | (1.00 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $22.72 | | | | $21.93 | | | | $17.24 | | | | $15.58 | | | | $29.08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 3.60 | % | | | 27.36 | % | | | 20.57 | % | | | (41.64 | )% | | | 28.00 | % |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .28 | % | | | .35 | % | | | .35 | % | | | .35 | % | | | .35 | % |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .28 | % | | | .35 | % | | | .35 | % | | | .35 | % | | | .35 | % |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .60 | % | | | .70 | % | | | .87 | % | | | .76 | % | | | .79 | % |
| | | | | |
Net investment income (loss) | | | (.10 | )% | | | (.16 | )% | | | .09 | % | | | (.09 | )% | | | (.17 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $432,698 | | | | $404,804 | | | | $296,989 | | | | $257,398 | | | | $332,175 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
74
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $20.76 | | | | $16.41 | | | | $14.94 | | | | $27.98 | | | | $22.79 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.18 | ) | | | (.15 | ) | | | (.08 | ) | | | (.15 | ) | | | (.20 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .78 | | | | 4.50 | | | | 2.68 | | | | (10.81 | ) | | | 6.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .60 | | | | 4.35 | | | | 2.60 | | | | (10.96 | ) | | | 6.01 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | (.59 | ) | | | (.56 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | (.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | | | | (1.13 | ) | | | (2.08 | ) | | | (.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $21.36 | | | | $20.76 | | | | $16.41 | | | | $14.94 | | | | $27.98 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 2.89 | % | | | 26.51 | % | | | 19.86 | % | | | (42.04 | )% | | | 27.17 | % |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | 1.32 | % | | | 1.35 | % | | | 1.52 | % | | | 1.42 | % | | | 1.44 | % |
| | | | | |
Net investment loss | | | (.79 | )% | | | (.79 | )% | | | (.55 | )% | | | (.70 | )% | | | (.79 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $26,877 | | | | $33,394 | | | | $31,294 | | | | $31,193 | | | | $58,045 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
75
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $20.61 | | | | $16.29 | | | | $14.85 | | | | $27.87 | | | | $22.79 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.18 | ) | | | (.15 | ) | | | (.08 | ) | | | (.16 | ) | | | (.21 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .78 | | | | 4.47 | | | | 2.65 | | | | (10.73 | ) | | | 6.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .60 | | | | 4.32 | | | | 2.57 | | | | (10.89 | ) | | | 6.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | (.64 | ) | | | (.66 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | (.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | | | | (1.13 | ) | | | (2.13 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $21.21 | | | | $20.61 | | | | $16.29 | | | | $14.85 | | | | $27.87 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 2.91 | % | | | 26.52 | % | | | 19.78 | % | | | (42.02 | )% | | | 27.20 | % |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .99 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .99 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % | | | 1.00 | % |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | 1.31 | % | | | 1.35 | % | | | 1.52 | % | | | 1.41 | % | | | 1.44 | % |
| | | | | |
Net investment loss | | | (.80 | )% | | | (.81 | )% | | | (.59 | )% | | | (.74 | )% | | | (.83 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $223,295 | | | | $208,051 | | | | $150,633 | | | | $122,504 | | | | $145,528 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
76
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $21.91 | | | | $17.22 | | | | $15.58 | | | | $29.09 | | | | $27.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | .02 | | | | – | (c) | | | .01 | | | | (.02 | ) | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 4.76 | | | | 2.85 | | | | (11.17 | ) | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .83 | | | | 4.76 | | | | 2.86 | | | | (11.19 | ) | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.07 | ) | | | (.09 | ) | | | (.83 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.07 | ) | | | (1.22 | ) | | | (2.32 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.74 | | | | $21.91 | | | | $17.22 | | | | $15.58 | | | | $29.09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 3.79 | % | | | 27.67 | % | | | 20.95 | % | | | (41.50 | )% | | | 4.75 | %(e) |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .10 | % | | | .10 | % | | | .10 | % | | | .10 | % | | | .01 | %(e) |
| | | | | |
Expenses, including expense
reductions, expenses assumed and management fee waived | | | .10 | % | | | .10 | % | | | .10 | % | | | .10 | % | | | .01 | %(e) |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .42 | % | | | .44 | % | | | .60 | % | | | .55 | % | | | .07 | %(e) |
| | | | | |
Net investment income (loss) | | | .08 | % | | | (.01 | )% | | | .05 | % | | | (.11 | )% | | | (.01 | )%(e) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $142,150 | | | | $120,316 | | | | $29,762 | | | | $6,845 | | | | $11 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
77
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $22.06 | | | | $17.33 | | | | $15.67 | | | | $29.23 | | | | $23.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .05 | | | | .04 | | | | .06 | | | | .01 | | | | .05 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 4.77 | | | | 2.83 | | | | (11.24 | ) | | | 6.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .86 | | | | 4.81 | | | | 2.89 | | | | (11.23 | ) | | | 6.52 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.08 | ) | | | (.10 | ) | | | (.84 | ) | | | (.80 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | (.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.08 | ) | | | (1.23 | ) | | | (2.33 | ) | | | (1.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $22.92 | | | | $22.06 | | | | $17.33 | | | | $15.67 | | | | $29.23 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 3.90 | % | | | 27.80 | % | | | 21.06 | % | | | (41.45 | )% | | | 28.48 | % |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .00 | % | | | .00 | % | | | .00 | % | | | .00 | % | | | .00 | % |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .00 | % | | | .00 | % | | | .00 | % | | | .00 | % | | | .00 | % |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .32 | % | | | .35 | % | | | .52 | % | | | .41 | % | | | .44 | % |
| | | | | |
Net investment income | | | .20 | % | | | .18 | % | | | .39 | % | | | .06 | % | | | .19 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $26,906 | | | | $25,426 | | | | $11,785 | | | | $8,293 | | | | $1,819 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
78
Financial Highlights (continued)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $21.76 | | | | $17.13 | | | | $15.51 | | | | $29.08 | | | | $27.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(b) | | | (.09 | ) | | | (.09 | ) | | | (.05 | ) | | | (.12 | ) | | | (.01 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .80 | | | | 4.72 | | | | 2.83 | | | | (11.16 | ) | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .71 | | | | 4.63 | | | | 2.78 | | | | (11.28 | ) | | | 1.31 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | (.03 | ) | | | (.80 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | | | | (1.16 | ) | | | (2.29 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.47 | | | | $21.76 | | | | $17.13 | | | | $15.51 | | | | $29.08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 3.26 | % | | | 27.03 | % | | | 20.37 | % | | | (41.82 | )% | | | 4.72 | %(d) |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .60 | % | | | .60 | % | | | .60 | % | | | .60 | % | | | .05 | %(d) |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .60 | % | | | .60 | % | | | .60 | % | | | .59 | % | | | .05 | %(d) |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .92 | % | | | .94 | % | | | 1.11 | % | | | 1.02 | % | | | .11 | %(d) |
| | | | | |
Net investment loss | | | (.39 | )% | | | (.44 | )% | | | (.32 | )% | | | (.59 | )% | | | (.05 | )%(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $3,373 | | | | $3,437 | | | | $1,433 | | | | $564 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
79
Financial Highlights (concluded)
ALPHA STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $21.76 | | | | $17.12 | | | | $15.53 | | | | $29.08 | | | | $27.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(b) | | | (.07 | ) | | | (.08 | ) | | | (.02 | ) | | | (.10 | ) | | | (.01 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 4.73 | | | | 2.79 | | | | (11.15 | ) | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .74 | | | | 4.65 | | | | 2.77 | | | | (11.25 | ) | | | 1.31 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.01 | ) | | | (.05 | ) | | | (.81 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | (1.13 | ) | | | (1.49 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.01 | ) | | | (1.18 | ) | | | (2.30 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $22.50 | | | | $21.76 | | | | $17.12 | | | | $15.53 | | | | $29.08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 3.40 | % | | | 27.18 | % | | | 20.39 | % | | | (41.72 | )% | | | 4.72 | %(d) |
| | | | | |
Ratios to Average Net Assets:* | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including expenses assumed and management fee waived | | | .50 | % | | | .50 | % | | | .50 | % | | | .50 | % | | | .04 | %(d) |
| | | | | |
Expenses, including expense reductions, expenses assumed and management fee waived | | | .50 | % | | | .50 | % | | | .50 | % | | | .49 | % | | | .04 | %(d) |
| | | | | |
Expenses, excluding expense reductions, expenses assumed and management fee waived | | | .82 | % | | | .84 | % | | | 1.01 | % | | | .95 | % | | | .10 | %(d) |
| | | | | |
Net investment loss | | | (.31 | )% | | | (.39 | )% | | | (.15 | )% | | | (.51 | )% | | | (.04 | )%(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $26,924 | | | | $22,941 | | | | $6,979 | | | | $3,949 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 6.78 | % | | | 1.16 | % | | | 7.18 | % | | | 7.64 | % | | | 39.09 | % |
| * | | Does not include expenses of the Underlying Funds in which the Fund invests. |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
80
Financial Highlights
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.89 | | | | $ 9.99 | | | | $8.85 | | | | $13.69 | | | | $13.14 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .02 | | | | .04 | | | | .03 | | | | .07 | | | | .08 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .64 | | | | 1.86 | | | | 1.17 | | | | (3.89 | ) | | | 1.52 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .66 | | | | 1.90 | | | | 1.20 | | | | (3.82 | ) | | | 1.60 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.04 | ) | | | – | (b) | | | (.06 | ) | | | (.08 | ) | | | (.08 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.04 | ) | | | – | (b) | | | (.06 | ) | | | (1.02 | ) | | | (1.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.51 | | | | $11.89 | | | | $9.99 | | | | $ 8.85 | | | | $13.69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 5.53 | % | | | 19.06 | % | | | 13.84 | % | | | (29.89 | )% | | | 13.12 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.09 | % | | | 1.12 | % | | | 1.19 | % | | | 1.12 | % | | | 1.12 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.09 | % | | | 1.12 | % | | | 1.19 | % | | | 1.12 | % | | | 1.12 | % |
| | | | | |
Net investment income | | | .16 | % | | | .38 | % | | | .28 | % | | | .58 | % | | | .63 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $2,379,453 | | | | $1,850,569 | | | | $1,656,209 | | | | $1,512,312 | | | | $2,375,786 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
81
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.35 | | | | $ 9.58 | | | | $8.48 | | | | $13.16 | | | | $12.66 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.06 | ) | | | (.03 | ) | | | (.03 | ) | | | (.01 | ) | | | – | (b) |
| | | | | |
Net realized and unrealized gain (loss) | | | .60 | | | | 1.80 | | | | 1.13 | | | | (3.73 | ) | | | 1.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .54 | | | | 1.77 | | | | 1.10 | | | | (3.74 | ) | | | 1.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | – | | | | – | (b) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.89 | | | | $11.35 | | | | $9.58 | | | | $ 8.48 | | | | $13.16 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 4.76 | % | | | 18.48 | % | | | 12.97 | % | | | (30.35 | )% | | | 12.50 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.73 | % | | | 1.77 | % | | | 1.84 | % | | | 1.77 | % | | | 1.77 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.73 | % | | | 1.77 | % | | | 1.84 | % | | | 1.77 | % | | | 1.77 | % |
| | | | | |
Net investment loss | | | (.49 | )% | | | (.29 | )% | | | (.35 | )% | | | (.07 | )% | | | (.01 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $114,980 | | | | $149,531 | | | | $161,233 | | | | $169,131 | | | | $280,279 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
82
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.30 | | | | $ 9.55 | | | | $8.45 | | | | $13.11 | | | | $12.62 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.06 | ) | | | (.03 | ) | | | (.03 | ) | | | (.01 | ) | | | – | (b) |
| | | | | |
Net realized and unrealized gain (loss) | | | .61 | | | | 1.78 | | | | 1.13 | | | | (3.71 | ) | | | 1.46 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .55 | | | | 1.75 | | | | 1.10 | | | | (3.72 | ) | | | 1.46 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | – | (b) | | | – | (b) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.85 | | | | $11.30 | | | | $9.55 | | | | $ 8.45 | | | | $13.11 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 4.87 | % | | | 18.32 | % | | | 13.02 | % | | | (30.31 | )% | | | 12.48 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.73 | % | | | 1.77 | % | | | 1.84 | % | | | 1.77 | % | | | 1.77 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.73 | % | | | 1.77 | % | | | 1.84 | % | | | 1.77 | % | | | 1.77 | % |
| | | | | |
Net investment loss | | | (.49 | )% | | | (.26 | )% | | | (.37 | )% | | | (.07 | )% | | | (.01 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $817,590 | | | | $603,639 | | | | $485,484 | | | | $419,157 | | | | $639,749 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
83
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.86 | | | | $ 9.96 | | | | $8.85 | | | | $13.70 | | | | $13.62 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .05 | | | | .09 | | | | .03 | | | | .08 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .63 | | | | 1.84 | | | | 1.18 | | | | (3.87 | ) | | | .08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .68 | | | | 1.93 | | | | 1.21 | | | | (3.79 | ) | | | .08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.07 | ) | | | (.03 | ) | | | (.10 | ) | | | (.12 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | (.03 | ) | | | (.10 | ) | | | (1.06 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $12.47 | | | | $11.86 | | | | $9.96 | | | | $ 8.85 | | | | $13.70 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.75 | % | | | 19.42 | % | | | 14.03 | % | | | (29.70 | )% | | | .59 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | .84 | % | | | .86 | % | | | .93 | % | | | .87 | % | | | .08 | %(e) |
| | | | | |
Expenses, excluding expense reductions | | | .84 | % | | | .86 | % | | | .93 | % | | | .88 | % | | | .08 | %(e) |
| | | | | |
Net investment income | | | .41 | % | | | .77 | % | | | .29 | % | | | .77 | % | | | .04 | %(e) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $642,636 | | | | $282,018 | | | | $73,742 | | | | $8,995 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
84
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.96 | | | | $10.04 | | | | $ 8.92 | | | | $13.79 | | | | $13.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .07 | | | | .08 | | | | .05 | | | | .11 | | | | .10 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .64 | | | | 1.88 | | | | 1.17 | | | | (3.92 | ) | | | 1.57 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .71 | | | | 1.96 | | | | 1.22 | | | | (3.81 | ) | | | 1.67 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.08 | ) | | | (.04 | ) | | | (.10 | ) | | | (.12 | ) | | | (.12 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.08 | ) | | | (.04 | ) | | | (.10 | ) | | | (1.06 | ) | | | (1.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.59 | | | | $11.96 | | | | $10.04 | | | | $ 8.92 | | | | $13.79 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 5.94 | % | | | 19.54 | % | | | 14.11 | % | | | (29.62 | )% | | | 13.68 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | .74 | % | | | .77 | % | | | .84 | % | | | .77 | % | | | .78 | % |
| | | | | |
Expenses, excluding expense reductions | | | .74 | % | | | .77 | % | | | .84 | % | | | .77 | % | | | .78 | % |
| | | | | |
Net investment income | | | .52 | % | | | .75 | % | | | .58 | % | | | .92 | % | | | .78 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $245,329 | | | | $162,114 | | | | $98,570 | | | | $54,483 | | | | $53,737 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
85
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.75 | | | | $ 9.87 | | | | $8.75 | | | | $13.55 | | | | $13.03 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .01 | | | | .03 | | | | .01 | | | | .06 | | | | .07 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .62 | | | | 1.85 | | | | 1.16 | | | | (3.85 | ) | | | 1.51 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .63 | | | | 1.88 | | | | 1.17 | | | | (3.79 | ) | | | 1.58 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.02 | ) | | | – | | | | (.05 | ) | | | (.07 | ) | | | (.09 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | (.97 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.02 | ) | | | – | | | | (.05 | ) | | | (1.01 | ) | | | (1.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.36 | | | | $11.75 | | | | $9.87 | | | | $ 8.75 | | | | $13.55 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 5.40 | % | | | 19.05 | % | | | 13.59 | % | | | (29.98 | )% | | | 13.08 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.19 | % | | | 1.22 | % | | | 1.29 | % | | | 1.22 | % | | | 1.22 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.19 | % | | | 1.22 | % | | | 1.29 | % | | | 1.22 | % | | | 1.22 | % |
| | | | | |
Net investment income | | | .05 | % | | | .28 | % | | | .17 | % | | | .49 | % | | | .53 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $31,223 | | | | $30,598 | | | | $29,361 | | | | $24,711 | | | | $48,641 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
86
Financial Highlights (continued)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.75 | | | | $ 9.89 | | | | $8.82 | | | | $13.69 | | | | $13.62 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | (.01 | ) | | | .04 | | | | (.01 | ) | | | .05 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .63 | | | | 1.82 | | | | 1.17 | | | | (3.88 | ) | | | .07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .62 | | | | 1.86 | | | | 1.16 | | | | (3.83 | ) | | | .07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.04 | ) | | | – | (c) | | | (.09 | ) | | | (.10 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.04 | ) | | | – | (c) | | | (.09 | ) | | | (1.04 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $12.33 | | | | $11.75 | | | | $9.89 | | | | $ 8.82 | | | | $13.69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.27 | % | | | 18.81 | % | | | 13.44 | % | | | (29.98 | )% | | | .51 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.34 | % | | | 1.36 | % | | | 1.42 | % | | | 1.30 | % | | | .12 | %(e) |
| | | | | |
Expenses, excluding expense reductions | | | 1.34 | % | | | 1.36 | % | | | 1.42 | % | | | 1.31 | % | | | .12 | %(e) |
| | | | | |
Net investment income (loss) | | | (.11 | )% | | | .36 | % | | | (.14 | )% | | | .47 | % | | | .00 | %(e)(f) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $19,997 | | | | $4,444 | | | | $1,187 | | | | $319 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
| (f) | | Amount is less than .01%. |
See Notes to Financial Statements.
87
Financial Highlights (concluded)
FUNDAMENTAL EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to 10/31/2007 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $11.80 | | | | $ 9.92 | | | | $8.82 | | | | $13.69 | | | | $13.62 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | – | (c) | | | .03 | | | | – | (c) | | | .04 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .63 | | | | 1.85 | | | | 1.17 | | | | (3.86 | ) | | | .07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .63 | | | | 1.88 | | | | 1.17 | | | | (3.82 | ) | | | .07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.03 | ) | | | – | (c) | | | (.07 | ) | | | (.11 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.94 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.03 | ) | | | – | (c) | | | (.07 | ) | | | (1.05 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $12.40 | | | | $11.80 | | | | $9.92 | | | | $ 8.82 | | | | $13.69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.36 | % | | | 18.96 | % | | | 13.55 | % | | | (29.96 | )% | | | .51 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.24 | % | | | 1.26 | % | | | 1.33 | % | | | 1.26 | % | | | .11 | %(e) |
| | | | | |
Expenses, excluding expense reductions | | | 1.24 | % | | | 1.26 | % | | | 1.33 | % | | | 1.26 | % | | | .11 | %(e) |
| | | | | |
Net investment income | | | .01 | % | | | .30 | % | | | .05 | % | | | .37 | % | | | .01 | %(e) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $180,795 | | | | $67,814 | | | | $28,510 | | | | $14,303 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 55.07 | % | | | 80.98 | % | | | 88.13 | % | | | 85.13 | % | | | 63.23 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
88
Financial Highlights
GROWTH LEADERS FUND
| | | | |
| | | Class A Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment loss(b) | | | (.01 | ) |
| |
Net realized and unrealized loss | | | (.49 | ) |
| | | | |
| |
Total from investment operations | | | (.50 | ) |
| | | | |
Net asset value, end of period | | | $14.50 | |
| | | | |
| |
Total Return(c) | | | (3.33 | )%(d) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .84 | %(e) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .84 | %(e) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 3.04 | %(e) |
| |
Net investment loss | | | (.23 | )%(e) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $7,882 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
89
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | |
| | | Class C Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment loss(b) | | | (.05 | ) |
| |
Net realized and unrealized loss | | | (.48 | ) |
| | | | |
| |
Total from investment operations | | | (.53 | ) |
| | | | |
Net asset value, end of period | | | $14.47 | |
| | | | |
| |
Total Return(c) | | | (3.53 | )%(d) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.47 | %(e) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.47 | %(e) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.78 | %(e) |
| |
Net investment loss | | | (.91 | )%(e) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $175 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
90
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | |
| | | Class F Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment income(b) | | | – | (c) |
| |
Net realized and unrealized loss | | | (.49 | ) |
| | | | |
| |
Total from investment operations | | | (.49 | ) |
| | | | |
Net asset value, end of period | | | $14.51 | |
| | | | |
| |
Total Return(d) | | | (3.27 | )%(e) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .59 | %(f) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .59 | %(f) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.95 | %(f) |
| |
Net investment income | | | .08 | %(f) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $5,993 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
91
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | |
| | | Class I Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment income(b) | | | .01 | |
| |
Net realized and unrealized loss | | | (.50 | ) |
| | | | |
| |
Total from investment operations | | | (.49 | ) |
| | | | |
Net asset value, end of period | | | $14.51 | |
| | | | |
| |
Total Return(c) | | | (3.27 | )%(d) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .49 | %(e) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .49 | %(e) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.20 | %(e) |
| |
Net investment income | | | .17 | %(e) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $1,952 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
92
Financial Highlights (continued)
GROWTH LEADERS FUND
| | | | |
| | | Class R2 Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment loss(b) | | | (.03 | ) |
| |
Net realized and unrealized loss | | | (.48 | ) |
| | | | |
| |
Total from investment operations | | | (.51 | ) |
| | | | |
Net asset value, end of period | | | $14.49 | |
| | | | |
| |
Total Return(c) | | | (3.40 | )%(d) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.06 | %(e) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.06 | %(e) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 5.05 | %(e) |
| |
Net investment loss | | | (.49 | )%(e) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $10 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
93
Financial Highlights (concluded)
GROWTH LEADERS FUND
| | | | |
| | | Class R3 Shares | |
| | | 6/24/2011 (a)
to
10/31/2011 | |
Per Share Operating Performance | | | | |
Net asset value, beginning of period | | | $15.00 | |
| | | | |
| |
Investment operations: | | | | |
| |
Net investment loss(b) | | | (.02 | ) |
| |
Net realized and unrealized loss | | | (.49 | ) |
| | | | |
| |
Total from investment operations | | | (.51 | ) |
| | | | |
Net asset value, end of period | | | $14.49 | |
| | | | |
| |
Total Return(c) | | | (3.40 | )%(d) |
| |
Ratios to Average Net Assets: | | | | |
| |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .97 | %(e) |
| |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .97 | %(e) |
| |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 4.96 | %(e) |
| |
Net investment loss | | | (.40 | )%(e) |
| |
| Supplemental Data: | | | |
Net assets, end of period (000) | | | $10 | |
| |
Portfolio turnover rate | | | 208.96 | % |
| (a) | | Commencement of operations was 6/24/2011, SEC effective date was 6/15/2011 and date shares first became available to the public was 7/1/2011. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
94
Financial Highlights
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.12 | | | | $11.20 | | | | $ 8.68 | | | | $18.34 | | | | $15.23 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .20 | | | | .12 | | | | .08 | | | | .23 | | | | .17 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.94 | ) | | | .88 | | | | 2.66 | | | | (8.23 | ) | | | 3.92 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.74 | ) | | | 1.00 | | | | 2.74 | | | | (8.00 | ) | | | 4.09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.13 | ) | | | (.08 | ) | | | (.22 | ) | | | (.13 | ) | | | (.06 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.13 | ) | | | (.08 | ) | | | (.22 | ) | | | (1.66 | ) | | | (.98 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.25 | | | | $12.12 | | | | $11.20 | | | | $ 8.68 | | | | $18.34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (6.16 | )% | | | 8.95 | % | | | 32.32 | % | | | (47.48 | )% | | | 28.22 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.18 | % | | | 1.55 | % | | | 1.43 | % | | | 1.40 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.18 | % | | | 1.55 | % | | | 1.42 | % | | | 1.40 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.42 | % | | | 1.44 | % | | | 1.55 | % | | | 1.43 | % | | | 1.41 | % |
| | | | | |
Net investment income | | | 1.64 | % | | | 1.05 | % | | | .92 | % | | | 1.68 | % | | | 1.02 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $439,938 | | | | $542,452 | | | | $574,731 | | | | $527,567 | | | | $1,082,308 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
95
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.91 | | | | $11.02 | | | | $ 8.50 | | | | $18.00 | | | | $15.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .12 | | | | .04 | | | | .02 | | | | .14 | | | | .06 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.92 | ) | | | .87 | | | | 2.62 | | | | (8.07 | ) | | | 3.86 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.80 | ) | | | .91 | | | | 2.64 | | | | (7.93 | ) | | | 3.92 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.05 | ) | | | (.02 | ) | | | (.12 | ) | | | (.04 | ) | | | – | (b) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.05 | ) | | | (.02 | ) | | | (.12 | ) | | | 1.57 | | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.06 | | | | $11.91 | | | | $11.02 | | | | $ 8.50 | | | | $18.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.75 | )% | | | 8.23 | % | | | 31.46 | % | | | (47.80 | )% | | | 27.39 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.84 | % | | | 2.20 | % | | | 2.08 | % | | | 2.05 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.77 | % | | | 1.84 | % | | | 2.20 | % | | | 2.08 | % | | | 2.05 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.06 | % | | | 2.09 | % | | | 2.20 | % | | | 2.08 | % | | | 2.06 | % |
| | | | | |
Net investment income | | | .96 | % | | | .40 | % | | | .27 | % | | | 1.02 | % | | | .36 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $27,896 | | | | $39,255 | | | | $43,492 | | | | $39,604 | | | | $82,699 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
96
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $11.93 | | | | $11.04 | | | | $ 8.50 | | | | $18.00 | | | | $15.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .12 | | | | .04 | | | | .03 | | | | .14 | | | | .06 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.92 | ) | | | .87 | | | | 2.62 | | | | (8.07 | ) | | | 3.86 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.80 | ) | | | .91 | | | | 2.65 | | | | (7.93 | ) | | | 3.92 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.05 | ) | | | (.02 | ) | | | (.11 | ) | | | (.04 | ) | | | – | (b) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.05 | ) | | | (.02 | ) | | | (.11 | ) | | | (1.57 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.08 | | | | $11.93 | | | | $11.04 | | | | $ 8.50 | | | | $18.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.73 | )% | | | 8.21 | % | | | 31.52 | % | | | (47.82 | )% | | | 27.39 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.74 | % | | | 1.84 | % | | | 2.20 | % | | | 2.08 | % | | | 2.06 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.74 | % | | | 1.84 | % | | | 2.20 | % | | | 2.08 | % | | | 2.06 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.03 | % | | | 2.09 | % | | | 2.20 | % | | | 2.08 | % | | | 2.06 | % |
| | | | | |
Net investment income | | | 1.01 | % | | | .38 | % | | | .28 | % | | | 1.01 | % | | | .37 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $68,316 | | | | $91,550 | | | | $105,557 | | | | $95,496 | | | | $216,646 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
97
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.08 | | | | $11.16 | | | | $ 8.68 | | | | $18.34 | | | | $17.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | .24 | | | | .16 | | | | .16 | | | | .24 | | | | (.01 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.95 | ) | | | .86 | | | | 2.59 | | | | (8.19 | ) | | | .70 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.71 | ) | | | 1.02 | | | | 2.75 | | | | (7.95 | ) | | | .69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.17 | ) | | | (.10 | ) | | | (.27 | ) | | | (.18 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.17 | ) | | | (.10 | ) | | | (.27 | ) | | | (1.71 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end period | | | $11.20 | | | | $12.08 | | | | $11.16 | | | | $ 8.68 | | | | $18.34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (5.98 | )% | | | 9.25 | % | | | 32.76 | % | | | (47.37 | )% | | | 3.91 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .87 | % | | | .90 | % | | | 1.27 | % | | | 1.26 | % | | | .12 | %(d) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .87 | % | | | .90 | % | | | 1.27 | % | | | 1.25 | % | | | .12 | %(d) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.18 | % | | | 1.18 | % | | | 1.27 | % | | | 1.26 | % | | | .12 | %(d) |
| | | | | |
Net investment income (loss) | | | 1.98 | % | | | 1.45 | % | | | 1.73 | % | | | 2.02 | % | | | (.06 | )%(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $80,747 | | | | $31,153 | | | | $9,009 | | | | $1,869 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
98
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.21 | | | | $11.28 | | | | $ 8.77 | | | | $18.49 | | | | $15.33 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .25 | | | | .15 | | | | .13 | | | | .29 | | | | .25 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.95 | ) | | | .89 | | | | 2.65 | | | | (8.30 | ) | | | 3.93 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.70 | ) | | | 1.04 | | | | 2.78 | | | | (8.01 | ) | | | 4.18 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.17 | ) | | | (.11 | ) | | | (.27 | ) | | | (.18 | ) | | | (.10 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.17 | ) | | | (.11 | ) | | | (.27 | ) | | | (1.71 | ) | | | (1.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.34 | | | | $12.21 | | | | $11.28 | | | | $ 8.77 | | | | $18.49 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (5.78 | )% | | | 9.31 | % | | | 32.86 | % | | | (47.30 | )% | | | 28.67 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .77 | % | | | .82 | % | | | 1.19 | % | | | 1.07 | % | | | 1.05 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .77 | % | | | .82 | % | | | 1.19 | % | | | 1.07 | % | | | 1.05 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.08 | % | | | 1.19 | % | | | 1.07 | % | | | 1.06 | % |
| | | | | |
Net investment income | | | 2.06 | % | | | 1.34 | % | | | 1.34 | % | | | 2.05 | % | | | 1.53 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $222,808 | | | | $267,253 | | | | $167,574 | | | | $113,975 | | | | $259,354 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
99
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.04 | | | | $11.13 | | | | $ 8.63 | | | | $18.30 | | | | $15.22 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .10 | | | | .10 | | | | .07 | | | | .23 | | | | .15 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.84 | ) | | | .88 | | | | 2.64 | | | | (8.19 | ) | | | 3.91 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.74 | ) | | | .98 | | | | 2.71 | | | | (7.96 | ) | | | 4.06 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.13 | ) | | | (.07 | ) | | | (.21 | ) | | | (.18 | ) | | | (.06 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | (.92 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.13 | ) | | | (.07 | ) | | | (.21 | ) | | | (1.71 | ) | | | (.98 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.17 | | | | $12.04 | | | | $11.13 | | | | $ 8.63 | | | | $18.30 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (6.23 | )% | | | 8.84 | % | | | 32.29 | % | | | (47.56 | )% | | | 28.07 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.22 | % | | | 1.29 | % | | | 1.64 | % | | | 1.52 | % | | | 1.51 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.22 | % | | | 1.29 | % | | | 1.64 | % | | | 1.52 | % | | | 1.51 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.51 | % | | | 1.54 | % | | | 1.64 | % | | | 1.52 | % | | | 1.51 | % |
| | | | | |
Net investment income | | | .83 | % | | | .92 | % | | | .78 | % | | | 1.68 | % | | | .91 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $470 | | | | $1,765 | | | | $1,825 | | | | $1,135 | | | | $192 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
100
Financial Highlights (continued)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.14 | | | | $11.20 | | | | $ 8.69 | | | | $18.33 | | | | $17.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .18 | | | | .08 | | | | .12 | | | | .27 | | | | (.01 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.95 | ) | | | .91 | | | | 2.65 | | | | (8.21 | ) | | | .69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.77 | ) | | | .99 | | | | 2.77 | | | | (7.94 | ) | | | .68 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.13 | ) | | | (.05 | ) | | | (.26 | ) | | | (.17 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.13 | ) | | | (.05 | ) | | | (.26 | ) | | | (1.70 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.24 | | | | $12.14 | | | | $11.20 | | | | $ 8.69 | | | | $18.33 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.38 | )% | | | 8.86 | % | | | 32.77 | % | | | (47.24 | )% | | | 3.85 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.35 | % | | | 1.16 | % | | | 1.17 | % | | | .14 | %(d) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.37 | % | | | 1.35 | % | | | 1.16 | % | | | 1.16 | % | | | .14 | %(d) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.67 | % | | | 1.64 | % | | | 1.16 | % | | | 1.17 | % | | | .14 | %(d) |
| | | | | |
Net investment income (loss) | | | 1.46 | % | | | .73 | % | | | 1.33 | % | | | 1.92 | % | | | (.08 | )%(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $651 | | | | $570 | | | | $7 | | | | $5 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
101
Financial Highlights (concluded)
INTERNATIONAL CORE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.00 | | | | $11.10 | | | | $ 8.65 | | | | $18.33 | | | | $17.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | .19 | | | | .11 | | | | .06 | | | | .22 | | | | (.01 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.94 | ) | | | .87 | | | | 2.64 | | | | (8.20 | ) | | | .69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.75 | ) | | | .98 | | | | 2.70 | | | | (7.98 | ) | | | .68 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.14 | ) | | | (.08 | ) | | | (.25 | ) | | | (.17 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (1.53 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.14 | ) | | | (.08 | ) | | | (.25 | ) | | | (1.70 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.11 | | | | $12.00 | | | | $11.10 | | | | $ 8.65 | | | | $18.33 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.35 | )% | | | 8.89 | % | | | 32.23 | % | | | (47.55 | )% | | | 3.85 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.28 | % | | | 1.68 | % | | | 1.62 | % | | | .14 | %(d) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.28 | % | | | 1.68 | % | | | 1.62 | % | | | .14 | %(d) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.57 | % | | | 1.57 | % | | | 1.68 | % | | | 1.62 | % | | | .14 | %(d) |
| | | | | |
Net investment income (loss) | | | 1.54 | % | | | 1.02 | % | | | .65 | % | | | 1.79 | % | | | (.08 | )%(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $12,725 | | | | $10,418 | | | | $1,439 | | | | $523 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 83.78 | % | | | 98.73 | % | | | 132.22 | % | | | 125.37 | % | | | 122.32 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
102
Financial Highlights
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.64 | | | | $8.22 | | | | $6.29 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .42 | | | | .34 | | | | .28 | | | | .16 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.78 | ) | | | .42 | | | | 1.90 | | | | (3.74 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.36 | ) | | | .76 | | | | 2.18 | | | | (3.58 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.40 | ) | | | (.34 | ) | | | (.25 | ) | | | (.13 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.88 | | | | $8.64 | | | | $8.22 | | | | $ 6.29 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (4.42 | )% | | | 9.58 | % | | | 35.88 | % | | | (36.10 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.14 | % | | | 1.35 | % | | | .48 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.12 | % | | | 1.14 | % | | | 1.35 | % | | | .48 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.43 | % | | | 1.46 | % | | | 1.63 | % | | | .68 | %(d) |
| | | | |
Net investment income | | | 4.96 | % | | | 4.23 | % | | | 4.08 | % | | | 1.98 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $278,975 | | | | $162,611 | | | | $52,935 | | | | $9,075 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
103
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.60 | | | | $8.19 | | | | $6.28 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .36 | | | | .29 | | | | .21 | | | | .09 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.77 | ) | | | .41 | | | | 1.92 | | | | (3.68 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.41 | ) | | | .70 | | | | 2.13 | | | | (3.59 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.35 | ) | | | (.29 | ) | | | (.22 | ) | | | (.13 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.84 | | | | $8.60 | | | | $8.19 | | | | $ 6.28 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (5.03 | )% | | | 8.99 | % | | | 34.87 | % | | | (36.22 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.79 | % | | | 1.98 | % | | | .68 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.76 | % | | | 1.79 | % | | | 1.98 | % | | | .68 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.07 | % | | | 2.10 | % | | | 2.26 | % | | | 1.44 | %(d) |
| | | | |
Net investment income | | | 4.29 | % | | | 3.61 | % | | | 2.93 | % | | | 1.23 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $22,329 | | | | $13,561 | | | | $4,376 | | | | $177 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
104
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.65 | | | | $8.23 | | | | $6.29 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .45 | | | | .39 | | | | .18 | | | | .15 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.79 | ) | | | .39 | | | | 2.02 | | | | (3.72 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.34 | ) | | | .78 | | | | 2.20 | | | | (3.57 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.42 | ) | | | (.36 | ) | | | (.26 | ) | | | (.14 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.89 | | | | $8.65 | | | | $8.23 | | | | $ 6.29 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (4.18 | )% | | | 9.95 | % | | | 36.13 | % | | | (36.08 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .87 | % | | | .88 | % | | | 1.07 | % | | | .35 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .87 | % | | | .88 | % | | | 1.07 | % | | | .35 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.18 | % | | | 1.21 | % | | | 1.39 | % | | | 1.53 | %(d) |
| | | | |
Net investment income | | | 5.27 | % | | | 4.78 | % | | | 2.32 | % | | | 1.91 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $26,892 | | | | $12,745 | | | | $1,772 | | | | $28 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
105
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.66 | | | | $8.24 | | | | $6.29 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .43 | | | | .37 | | | | .29 | | | | .19 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.75 | ) | | | .41 | | | | 1.93 | | | | (3.76 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.32 | ) | | | .78 | | | | 2.22 | | | | (3.57 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.43 | ) | | | (.36 | ) | | | (.27 | ) | | | (.14 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.91 | | | | $8.66 | | | | $8.24 | | | | $ 6.29 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (3.97 | )% | | | 10.03 | % | | | 36.38 | % | | | (36.07 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .77 | % | | | .81 | % | | | .99 | % | | | .36 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .77 | % | | | .81 | % | | | .99 | % | | | .36 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.09 | % | | | 1.10 | % | | | 1.28 | % | | | .54 | %(d) |
| | | | |
Net investment income | | | 5.06 | % | | | 4.53 | % | | | 4.13 | % | | | 2.19 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $559,879 | | | | $265,348 | | | | $225,668 | | | | $83,413 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
106
Financial Highlights (continued)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.76 | | | | $8.29 | | | | $6.30 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .45 | | | | .37 | | | | .31 | | | | .18 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.79 | ) | | | .42 | | | | 1.91 | | | | (3.76 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.34 | ) | | | .79 | | | | 2.22 | | | | (3.58 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.39 | ) | | | (.32 | ) | | | (.23 | ) | | | (.12 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $8.03 | | | | $8.76 | | | | $8.29 | | | | $ 6.30 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (4.15 | )% | | | 9.96 | % | | | 36.26 | % | | | (36.08 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .91 | % | | | .84 | % | | | .96 | % | | | .50 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .91 | % | | | .84 | % | | | .96 | % | | | .50 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.22 | % | | | 1.13 | % | | | 1.27 | % | | | 2.87 | %(d) |
| | | | |
Net investment income | | | 5.15 | % | | | 4.45 | % | | | 4.63 | % | | | 2.07 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $16 | | | | $10 | | | | $9 | | | | $6 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
107
Financial Highlights (concluded)
INTERNATIONAL DIVIDEND INCOME FUND
| | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 6/23/2008(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 10/31/2008 | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $8.71 | | | | $8.28 | | | | $6.30 | | | | $10.00 | |
| | | | | | | | | | | | | | | | |
| | | | |
Investment operations: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income(b) | | | .41 | | | | .36 | | | | .31 | | | | .18 | |
| | | | |
Net realized and unrealized gain (loss) | | | (.79 | ) | | | .40 | | | | 1.91 | | | | (3.75 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Total from investment operations | | | (.38 | ) | | | .76 | | | | 2.22 | | | | (3.57 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | | (.39 | ) | | | (.33 | ) | | | (.24 | ) | | | (.13 | ) |
| | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $7.94 | | | | $8.71 | | | | $8.28 | | | | $ 6.30 | |
| | | | | | | | | | | | | | | | |
| | | | |
Total Return(c) | | | (4.61 | )% | | | 9.62 | % | | | 36.22 | % | | | (36.06 | )%(d) |
| | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | |
| | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.24 | % | | | .96 | % | | | .46 | %(d) |
| | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.26 | % | | | 1.24 | % | | | .96 | % | | | .46 | %(d) |
| | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.59 | % | | | 1.58 | % | | | 1.27 | % | | | 2.84 | %(d) |
| | | | |
Net investment income | | | 4.80 | % | | | 4.40 | % | | | 4.62 | % | | | 2.10 | %(d) |
| | | | |
| Supplemental Data: | | | | | | | | | | | | |
Net assets, end of period (000) | | | $331 | | | | $111 | | | | $9 | | | | $6 | |
| | | | |
Portfolio turnover rate | | | 100.16 | % | | | 100.06 | % | | | 105.74 | % | | | 53.94 | % |
| (a) | | Commencement of operations was 6/23/2008, SEC effective date was 6/20/2008 and date shares first became available to the public was 6/30/2008. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
108
Financial Highlights
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.87 | | | | $10.70 | | | | $ 7.29 | | | | $19.81 | | | | $15.72 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .10 | | | | .06 | | | | .04 | | | | .09 | | | | .04 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.92 | ) | | | 2.20 | | | | 3.42 | | | | (10.36 | ) | | | 4.07 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.82 | ) | | | 2.26 | | | | 3.46 | | | | (10.27 | ) | | | 4.11 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.05 | ) | | | (.09 | ) | | | (.05 | ) | | | (.08 | ) | | | (.02 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.05 | ) | | | (.09 | ) | | | (.05 | ) | | | (2.25 | ) | | | (.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.00 | | | | $12.87 | | | | $10.70 | | | | $ 7.29 | | | | $19.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (6.39 | )% | | | 21.21 | % | | | 47.94 | % | | | (57.81 | )% | | | 26.14 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.49 | % | | | 1.54 | % | | | 1.77 | % | | | 1.60 | % | | | 1.56 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.49 | % | | | 1.54 | % | | | 1.77 | % | | | 1.61 | % | | | 1.56 | % |
| | | | | |
Net investment income | | | .79 | % | | | .54 | % | | | .50 | % | | | .65 | % | | | .23 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $83,729 | | | | $98,272 | | | | $92,188 | | | | $67,815 | | | | $200,909 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
109
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.21 | | | | $10.17 | | | | $ 6.92 | | | | $18.96 | | | | $15.12 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | .02 | | | | (.01 | ) | | | (.01 | ) | | | – | (b) | | | (.07 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.87 | ) | | | 2.08 | | | | 3.26 | | | | (9.87 | ) | | | 3.91 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.85 | ) | | | 2.07 | | | | 3.25 | | | | (9.87 | ) | | | 3.84 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.03 | ) | | | – | | | | – | | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.03 | ) | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.36 | | | | $12.21 | | | | $10.17 | | | | $ 6.92 | | | | $18.96 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.96 | )% | | | 20.35 | % | | | 46.97 | % | | | (58.10 | )% | | | 25.40 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 2.13 | % | | | 2.19 | % | | | 2.42 | % | | | 2.25 | % | | | 2.21 | % |
| | | | | |
Expenses, excluding expense reductions | | | 2.13 | % | | | 2.19 | % | | | 2.42 | % | | | 2.26 | % | | | 2.21 | % |
| | | | | |
Net investment income (loss) | | | .12 | % | | | (.13 | )% | | | (.15 | )% | | | (.01 | )% | | | (.43 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $9,439 | | | | $14,307 | | | | $17,103 | | | | $14,192 | | | | $43,231 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
110
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $12.14 | | | | $10.12 | | | | $ 6.88 | | | | $18.86 | | | | $15.05 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | .02 | | | | (.01 | ) | | | (.01 | ) | | | – | (b) | | | (.07 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.87 | ) | | | 2.06 | | | | 3.25 | | | | (9.81 | ) | | | 3.88 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.85 | ) | | | 2.05 | | | | 3.24 | | | | (9.81 | ) | | | 3.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.03 | ) | | | – | | | | – | | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.03 | ) | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $11.29 | | | | $12.14 | | | | $10.12 | | | | $ 6.88 | | | | $18.86 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (7.00 | )% | | | 20.34 | % | | | 47.09 | % | | | (58.09 | )% | | | 25.32 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 2.10 | % | | | 2.19 | % | | | 2.42 | % | | | 2.25 | % | | | 2.21 | % |
| | | | | |
Expenses, excluding expense reductions | | | 2.10 | % | | | 2.19 | % | | | 2.42 | % | | | 2.26 | % | | | 2.21 | % |
| | | | | |
Net investment income (loss) | | | .17 | % | | | (.13 | )% | | | (.14 | )% | | | .00 | %(d) | | | (.40 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $15,603 | | | | $19,969 | | | | $21,668 | | | | $15,297 | | | | $43,422 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | | Amount is less than .01%. |
See Notes to Financial Statements.
111
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.81 | | | | $10.65 | | | | $ 7.28 | | | | $19.81 | | | | $18.82 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .13 | | | | .10 | | | | .09 | | | | .09 | | | | .01 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.91 | ) | | | 2.17 | | | | 3.37 | | | | (10.31 | ) | | | .98 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.78 | ) | | | 2.27 | | | | 3.46 | | | | (10.22 | ) | | | .99 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.09 | ) | | | (.11 | ) | | | (.09 | ) | | | (.14 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.09 | ) | | | (.11 | ) | | | (.09 | ) | | | (2.31 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.94 | | | | $12.81 | | | | $10.65 | | | | $ 7.28 | | | | $19.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (6.16 | )% | | | 21.47 | % | | | 48.36 | % | | | (57.70 | )% | | | 5.26 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.24 | % | | | 1.28 | % | | | 1.49 | % | | | 1.42 | % | | | .13 | %(d) |
| | | | | |
Expenses, excluding expense reductions | | | 1.24 | % | | | 1.28 | % | | | 1.49 | % | | | 1.43 | % | | | .13 | %(d) |
| | | | | |
Net investment income | | | 1.00 | % | | | .88 | % | | | 1.00 | % | | | .84 | % | | | .03 | %(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $934 | | | | $934 | | | | $384 | | | | $121 | | | | $11 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
112
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $13.18 | | | | $10.96 | | | | $ 7.48 | | | | $20.29 | | | | $16.08 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .16 | | | | .11 | | | | .08 | | | | .14 | | | | .12 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.95 | ) | | | 2.23 | | | | 3.50 | | | | (10.64 | ) | | | 4.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.79 | ) | | | 2.34 | | | | 3.58 | | | | (10.50 | ) | | | 4.27 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.09 | ) | | | (.12 | ) | | | (.10 | ) | | | (.14 | ) | | | (.06 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.09 | ) | | | (.12 | ) | | | (.10 | ) | | | (2.31 | ) | | | (.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.30 | | | | $13.18 | | | | $10.96 | | | | $ 7.48 | | | | $20.29 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (6.01 | )% | | | 21.50 | % | | | 48.47 | % | | | (57.66 | )% | | | 26.67 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.14 | % | | | 1.18 | % | | | 1.42 | % | | | 1.27 | % | | | 1.20 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.14 | % | | | 1.18 | % | | | 1.42 | % | | | 1.27 | % | | | 1.21 | % |
| | | | | |
Net investment income | | | 1.17 | % | | | .93 | % | | | .87 | % | | | 1.05 | % | | | .65 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $213,865 | | | | $232,027 | | | | $160,456 | | | | $110,838 | | | | $164,086 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
113
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $13.06 | | | | $10.86 | | | | $ 7.36 | | | | $20.00 | | | | $15.89 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .09 | | | | .05 | | | | .03 | | | | .07 | | | | .02 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.94 | ) | | | 2.22 | | | | 3.48 | | | | (10.46 | ) | | | 4.12 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.85 | ) | | | 2.27 | | | | 3.51 | | | | (10.39 | ) | | | 4.14 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.04 | ) | | | (.07 | ) | | | (.01 | ) | | | (.08 | ) | | | (.03 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.04 | ) | | | (.07 | ) | | | (.01 | ) | | | (2.25 | ) | | | (.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $12.17 | | | | $13.06 | | | | $10.86 | | | | $ 7.36 | | | | $20.00 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (6.51 | )% | | | 21.05 | % | | | 47.86 | % | | | (57.86 | )% | | | 26.10 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.59 | % | | | 1.64 | % | | | 1.87 | % | | | 1.70 | % | | | 1.65 | % |
| | | | | |
Expenses, excluding expense reductions | | | 1.59 | % | | | 1.64 | % | | | 1.87 | % | | | 1.71 | % | | | 1.65 | % |
| | | | | |
Net investment income | | | .69 | % | | | .44 | % | | | .36 | % | | | .55 | % | | | .11 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $820 | | | | $900 | | | | $781 | | | | $834 | | | | $1,826 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
114
Financial Highlights (continued)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to 10/31/2007 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.77 | | | | $10.64 | | | | $ 7.24 | | | | $19.80 | | | | $18.82 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .07 | | | | .03 | | | | .03 | | | | .06 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.92 | ) | | | 2.18 | | | | 3.40 | | | | (10.32 | ) | | | .98 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.85 | ) | | | 2.21 | | | | 3.43 | | | | (10.26 | ) | | | .98 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.02 | ) | | | (.08 | ) | | | (.03 | ) | | | (.13 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.02 | ) | | | (.08 | ) | | | (.03 | ) | | | (2.30 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.90 | | | | $12.77 | | | | $10.64 | | | | $ 7.24 | | | | $19.80 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | (6.68 | )% | | | 20.90 | % | | | 47.69 | % | | | (57.93 | )% | | | 5.21 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.74 | % | | | 1.79 | % | | | 1.97 | % | | | 1.84 | % | | | .16 | %(e) |
| | | | | |
Expenses, excluding expense reductions | | | 1.74 | % | | | 1.79 | % | | | 1.97 | % | | | 1.84 | % | | | .16 | %(e) |
| | | | | |
Net investment income | | | .56 | % | | | .31 | % | | | .34 | % | | | .51 | % | | | .00 | %(e)(f) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $95 | | | | $96 | | | | $91 | | | | $31 | | | | $11 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
| (f) | | Amount is less than .01%. |
See Notes to Financial Statements.
115
Financial Highlights (concluded)
INTERNATIONAL OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $12.72 | | | | $10.60 | | | | $ 7.27 | | | | $19.81 | | | | $18.82 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .10 | | | | .05 | | | | .01 | | | | .10 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | (.92 | ) | | | 2.17 | | | | 3.41 | | | | (10.34 | ) | | | .99 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.82 | ) | | | 2.22 | | | | 3.42 | | | | (10.24 | ) | | | .99 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.06 | ) | | | (.10 | ) | | | (.09 | ) | | | (.13 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.17 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.06 | ) | | | (.10 | ) | | | (.09 | ) | | | (2.30 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $11.84 | | | | $12.72 | | | | $10.60 | | | | $ 7.27 | | | | $19.81 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | (6.51 | )% | | | 21.04 | % | | | 47.75 | % | | | (57.77 | )% | | | 5.26 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, including expense reductions | | | 1.60 | % | | | 1.67 | % | | | 1.81 | % | | | 1.52 | % | | | .15 | %(e) |
| | | | | |
Expenses, excluding expense reductions | | | 1.60 | % | | | 1.67 | % | | | 1.81 | % | | | 1.52 | % | | | .15 | %(e) |
| | | | | |
Net investment income | | | .74 | % | | | .45 | % | | | .14 | % | | | .81 | % | | | .00 | %(e)(f) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $5,097 | | | | $3,016 | | | | $573 | | | | $22 | | | | $11 | |
| | | | | |
Portfolio turnover rate | | | 103.98 | % | | | 83.13 | % | | | 115.58 | % | | | 130.51 | % | | | 115.79 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
| (f) | | Amount is less than .01%. |
See Notes to Financial Statements.
116
Financial Highlights
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $9.47 | | | | $8.61 | | | | $8.48 | | | | $15.47 | | | | $14.19 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .06 | | | | .04 | | | | .07 | | | | .14 | | | | .19 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.08 | ) | | | .88 | | | | .20 | | | | (4.92 | ) | | | 1.58 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.02 | ) | | | .92 | | | | .27 | | | | (4.78 | ) | | | 1.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.04 | ) | | | (.06 | ) | | | (.14 | ) | | | (.20 | ) | | | (.17 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | (.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.04 | ) | | | (.06 | ) | | | (.14 | ) | | | (2.21 | ) | | | (.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $9.41 | | | | $9.47 | | | | $8.61 | | | | $ 8.48 | | | | $15.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (.19 | )% | | | 10.69 | % | | | 3.77 | % | | | (35.16 | )% | | | 12.95 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.20 | % | | | 1.20 | % | | | 1.16 | % | | | .95 | % | | | .95 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.20 | % | | | 1.20 | % | | | 1.16 | % | | | .95 | % | | | .95 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.20 | % | | | 1.20 | % | | | 1.27 | % | | | 1.25 | % | | | 1.16 | % |
| | | | | |
Net investment income | | | .64 | % | | | .39 | % | | | .87 | % | | | 1.24 | % | | | 1.30 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $25,989 | | | | $27,611 | | | | $27,444 | | | | $21,010 | | | | $28,538 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
117
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $9.31 | | | | $8.47 | | | | $8.30 | | | | $15.18 | | | | $13.96 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | – | (b) | | | (.02 | ) | | | .02 | | | | .07 | | | | .09 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.09 | ) | | | .86 | | | | .22 | | | | (4.83 | ) | | | 1.56 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.09 | ) | | | .84 | | | | .24 | | | | (4.76 | ) | | | 1.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | (b) | | | (.07 | ) | | | (.11 | ) | | | (.11 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | (.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | – | (b) | | | (.07 | ) | | | (2.12 | ) | | | (.43 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $9.22 | | | | $9.31 | | | | $8.47 | | | | $ 8.30 | | | | $15.18 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (.97 | )% | | | 9.96 | % | | | 3.19 | % | | | (35.60 | )% | | | 12.23 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.84 | % | | | 1.86 | % | | | 1.79 | % | | | 1.60 | % | | | 1.60 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.84 | % | | | 1.86 | % | | | 1.79 | % | | | 1.60 | % | | | 1.60 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.84 | % | | | 1.86 | % | | | 1.91 | % | | | 1.90 | % | | | 1.81 | % |
| | | | | |
Net investment income (loss) | | | .00 | %(d) | | | (.27 | )% | | | .30 | % | | | .59 | % | | | .65 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $1,728 | | | | $2,419 | | | | $2,558 | | | | $2,549 | | | | $4,005 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | | Amount is less than .01%. |
See Notes to Financial Statements.
118
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $9.31 | | | | $8.47 | | | | $8.30 | | | | $15.19 | | | | $13.95 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | – | (b) | | | (.02 | ) | | | .02 | | | | .06 | | | | .09 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.08 | ) | | | .87 | | | | .23 | | | | (4.83 | ) | | | 1.57 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.08 | ) | | | .85 | | | | .25 | | | | (4.77 | ) | | | 1.66 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | (.01 | ) | | | (.08 | ) | | | (.11 | ) | | | (.10 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | (.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | – | | | | (.01 | ) | | | (.08 | ) | | | (2.12 | ) | | | (.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $9.23 | | | | $9.31 | | | | $8.47 | | | | $ 8.30 | | | | $15.19 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (.86 | )% | | | 10.03 | % | | | 3.30 | % | | | (35.64 | )% | | | 12.29 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.81 | % | | | 1.86 | % | | | 1.81 | % | | | 1.60 | % | | | 1.60 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.81 | % | | | 1.86 | % | | | 1.81 | % | | | 1.60 | % | | | 1.60 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.81 | % | | | 1.86 | % | | | 1.91 | % | | | 1.90 | % | | | 1.81 | % |
| | | | | |
Net investment income (loss) | | | .04 | % | | | (.26 | )% | | | .22 | % | | | .58 | % | | | .65 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $5,661 | | | | $5,499 | | | | $5,654 | | | | $4,266 | | | | $6,643 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
119
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 10/31/2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $9.44 | | | | $8.58 | | | | $8.47 | | | | $15.47 | | | | $15.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(b) | | | .09 | | | | .05 | | | | .05 | | | | .17 | | | | .02 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.09 | ) | | | .89 | | | | .23 | | | | (4.91 | ) | | | .13 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | – | | | | .94 | | | | .28 | | | | (4.74 | ) | | | .15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.07 | ) | | | (.08 | ) | | | (.17 | ) | | | (.25 | ) | | | – | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | (.08 | ) | | | (.17 | ) | | | (2.26 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $9.37 | | | | $9.44 | | | | $8.58 | | | | $ 8.47 | | | | $15.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | (.02 | )% | | | 10.98 | % | | | 4.00 | % | | | (35.00 | )% | | | .98 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .95 | % | | | .94 | % | | | 1.03 | % | | | .68 | % | | | .06 | %(d) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .95 | % | | | .94 | % | | | 1.03 | % | | | .68 | % | | | .06 | %(d) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .95 | % | | | .94 | % | | | 1.05 | % | | | .98 | % | | | .07 | %(d) |
| | | | | |
Net investment income | | | .90 | % | | | .60 | % | | | .62 | % | | | 1.64 | % | | | .12 | %(d) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $851 | | | | $592 | | | | $202 | | | | $27 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
120
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $9.53 | | | | $8.66 | | | | $8.54 | | | | $15.58 | | | | $14.27 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .10 | | | | .07 | | | | .10 | | | | .18 | | | | .24 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.08 | ) | | | .89 | | | | .19 | | | | (4.96 | ) | | | 1.60 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .02 | | | | .96 | | | | .29 | | | | (4.78 | ) | | | 1.84 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.08 | ) | | | (.09 | ) | | | (.17 | ) | | | (.25 | ) | | | (.21 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | (.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.08 | ) | | | (.09 | ) | | | (.17 | ) | | | (2.26 | ) | | | (.53 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $9.47 | | | | $9.53 | | | | $8.66 | | | | $ 8.54 | | | | $15.58 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | .17 | % | | | 11.08 | % | | | 4.16 | % | | | (34.99 | )% | | | 13.40 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .85 | % | | | .85 | % | | | .79 | % | | | .60 | % | | | .60 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .85 | % | | | .85 | % | | | .79 | % | | | .60 | % | | | .60 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .85 | % | | | .85 | % | | | .92 | % | | | .90 | % | | | .81 | % |
| | | | | |
Net investment income | | | 1.00 | % | | | .73 | % | | | 1.35 | % | | | 1.62 | % | | | 1.67 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $4,169 | | | | $9,538 | | | | $11,207 | | | | $17,199 | | | | $22,423 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
121
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $9.50 | | | | $8.64 | | | | $8.50 | | | | $15.49 | | | | $14.19 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .05 | | | | .03 | | | | .07 | | | | .13 | | | | .18 | |
| | | | | |
Net realized and unrealized gain (loss) | | | (.08 | ) | | | .88 | | | | .20 | | | | (4.92 | ) | | | 1.59 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.03 | ) | | | .91 | | | | .27 | | | | (4.79 | ) | | | 1.77 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | (.03 | ) | | | (.05 | ) | | | (.13 | ) | | | (.19 | ) | | | (.15 | ) |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (2.01 | ) | | | (.32 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.03 | ) | | | (.05 | ) | | | (.13 | ) | | | (2.20 | ) | | | (.47 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $9.44 | | | | $9.50 | | | | $8.64 | | | | $ 8.50 | | | | $15.49 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (.27 | )% | | | 10.55 | % | | | 3.67 | % | | | (35.20 | )% | | | 12.92 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.30 | % | | | 1.29 | % | | | 1.23 | % | | | 1.03 | % | | | 1.04 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.30 | % | | | 1.29 | % | | | 1.23 | % | | | 1.03 | % | | | 1.04 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.30 | % | | | 1.29 | % | | | 1.34 | % | | | 1.34 | % | | | 1.26 | % |
| | | | | |
Net investment income | | | .54 | % | | | .30 | % | | | .90 | % | | | 1.16 | % | | | 1.21 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $13 | | | | $13 | | | | $11 | | | | $11 | | | | $17 | |
| | | | | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % | | | 103.30 | % | | | 126.70 | % | | | 109.22 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
122
Financial Highlights (continued)
LARGE CAP VALUE FUND
| | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended
10/31/2011 | | | 3/23/2010(a)
to
10/31/2010 | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $9.49 | | | | $9.73 | |
| | | | | | | | |
| | |
Investment operations: | | | | | | | | |
| | |
Net investment income(b) | | | .10 | | | | .04 | |
| | |
Net realized and unrealized loss | | | (.09 | ) | | | (.28 | ) |
| | | | | | | | |
| | |
Total from investment operations | | | .01 | | | | (.24 | ) |
| | | | | | | | |
| | |
Distributions to shareholders from: | | | | | | | | |
| | |
Net investment income | | | (.03 | ) | | | – | |
| | | | | | | | |
Net asset value, end of period | | | $9.47 | | | | $9.49 | |
| | | | | | | | |
| | |
Total Return(c) | | | .14 | % | | | (2.47 | )%(d) |
| | |
Ratios to Average Net Assets: | | | | | | | | |
| | |
Expenses, including expense reductions | | | .84 | % | | | .82 | %(e) |
| | |
Expenses, excluding expense reductions | | | .84 | % | | | .82 | %(e) |
| | |
Net investment income | | | 1.01 | % | | | .71 | %(e) |
| | |
| Supplemental Data: | | | | | | |
Net assets, end of period (000) | | | $10 | | | | $10 | |
| | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % |
| (a) | | Commencement of operations was 3/23/2010, SEC effective date was 9/14/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
123
Financial Highlights (concluded)
LARGE CAP VALUE FUND
| | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended
10/31/2011 | | | 3/23/2010(a)
to
10/31/2010 | |
Per Share Operating Performance | | | | | | | | |
Net asset value, beginning of period | | | $9.47 | | | | $9.73 | |
| | | | | | | | |
| | |
Investment operations: | | | | | | | | |
| | |
Net investment income(b) | | | .05 | | | | .01 | |
| | |
Net realized and unrealized loss | | | (.09 | ) | | | (.27 | ) |
| | | | | | | | |
| | |
Total from investment operations | | | (.04 | ) | | | (.26 | ) |
| | | | | | | | |
| | |
Distributions to shareholders from: | | | | | | | | |
| | |
Net investment income | | | (.06 | ) | | | – | |
| | | | | | | | |
Net asset value, end of period | | | $9.37 | | | | $9.47 | |
| | | | | | | | |
| | |
Total Return(c) | | | (.46 | )% | | | (2.67 | )%(d) |
| | |
Ratios to Average Net Assets: | | | | | | | | |
| | |
Expenses, including expense reductions | | | 1.36 | % | | | 1.33 | %(e) |
| | |
Expenses, excluding expense reductions | | | 1.36 | % | | | 1.33 | %(e) |
| | |
Net investment income | | | .50 | % | | | .19 | %(e) |
| | |
| Supplemental Data: | | | | | | |
Net assets, end of period (000) | | | $213 | | | | $98 | |
| | |
Portfolio turnover rate | | | 25.00 | % | | | 29.34 | % |
| (a) | | Commencement of operations was 3/23/2010, SEC effective date was 9/14/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
124
Financial Highlights
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $14.45 | | | | $11.65 | | | | $ 9.91 | | | | $14.31 | | | | $12.43 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | (.05 | ) | | | (.03 | ) | | | (.04 | ) | | | .04 | | | | .03 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .83 | | | | 2.83 | | | | 1.80 | | | | (3.92 | ) | | | 2.23 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .78 | | | | 2.80 | | | | 1.76 | | | | (3.88 | ) | | | 2.26 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | (.02 | ) | | | (.01 | ) | | | – | (b) |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | (.02 | ) | | | (.52 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $15.16 | | | | $14.45 | | | | $11.65 | | | | $ 9.91 | | | | $14.31 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 5.45 | % | | | 24.03 | % | | | 17.81 | % | | | (28.01 | )% | | | 18.70 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.31 | % | | | 1.34 | % | | | 1.35 | % | | | 1.34 | % | | | 1.30 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.31 | % | | | 1.34 | % | | | 1.35 | % | | | 1.33 | % | | | 1.30 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.31 | % | | | 1.34 | % | | | 1.46 | % | | | 1.44 | % | | | 1.45 | % |
| | | | | |
Net investment income (loss) | | | (.29 | )% | | | (.19 | )% | | | (.34 | )% | | | .33 | % | | | .19 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $883,444 | | | | $582,806 | | | | $250,435 | | | | $117,992 | | | | $145,765 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
125
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class B Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $14.03 | | | | $11.39 | | | | $ 9.74 | | | | $14.14 | | | | $12.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.14 | ) | | | (.11 | ) | | | (.09 | ) | | | (.04 | ) | | | (.06 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 2.75 | | | | 1.74 | | | | (3.85 | ) | | | 2.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .67 | | | | 2.64 | | | | 1.65 | | | | (3.89 | ) | | | 2.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $14.63 | | | | $14.03 | | | | $11.39 | | | | $ 9.74 | | | | $14.14 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 4.83 | % | | | 23.18 | % | | | 16.94 | % | | | (28.40 | )% | | | 17.87 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.00 | % | | | 1.99 | % | | | 1.94 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.00 | % | | | 1.99 | % | | | 1.94 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.12 | % | | | 2.09 | % | | | 2.09 | % |
| | | | | |
Net investment loss | | | (.91 | )% | | | (.85 | )% | | | (.95 | )% | | | (.32 | )% | | | (.47 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $15,700 | | | | $19,110 | | | | $18,739 | | | | $14,239 | | | | $14,681 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
126
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class C Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $14.03 | | | | $11.39 | | | | $ 9.74 | | | | $14.14 | | | | $12.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.14 | ) | | | (.11 | ) | | | (.10 | ) | | | (.04 | ) | | | (.06 | ) |
| | | | | |
Net realized and unrealized gain (loss) | | | .80 | | | | 2.75 | | | | 1.75 | | | | (3.85 | ) | | | 2.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .66 | | | | 2.64 | | | | 1.65 | | | | (3.89 | ) | | | 2.15 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $14.62 | | | | $14.03 | | | | $11.39 | | | | $ 9.74 | | | | $14.14 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | 4.76 | % | | | 23.18 | % | | | 17.06 | % | | | (28.47 | )% | | | 17.87 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.00 | % | | | 1.99 | % | | | 1.94 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.00 | % | | | 1.98 | % | | | 1.94 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.96 | % | | | 1.99 | % | | | 2.11 | % | | | 2.09 | % | | | 2.10 | % |
| | | | | |
Net investment loss | | | (.95 | )% | | | (.83 | )% | | | (.97 | )% | | | (.33 | )% | | | (.48 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $263,798 | | | | $147,193 | | | | $79,527 | | | | $48,837 | | | | $59,609 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
127
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class F Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to
10/31/2007 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $14.45 | | | | $11.62 | | | | $ 9.91 | | | | $14.31 | | | | $14.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | (.01 | ) | | | .01 | | | | (.02 | ) | | | .06 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .83 | | | | 2.82 | | | | 1.78 | | | | (3.91 | ) | | | .10 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .82 | | | | 2.83 | | | | 1.76 | | | | (3.85 | ) | | | .10 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | (.05 | ) | | | (.04 | ) | | | – | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | (.05 | ) | | | (.55 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $15.20 | | | | $14.45 | | | | $11.62 | | | | $ 9.91 | | | | $14.31 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.73 | % | | | 24.25 | % | | | 18.12 | % | | | (27.81 | )% | | | .70 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.10 | % | | | 1.09 | % | | | 1.09 | % | | | .10 | %(e) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.10 | % | | | 1.09 | % | | | 1.09 | % | | | .10 | %(e) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.07 | % | | | 1.10 | % | | | 1.20 | % | | | 1.21 | % | | | .14 | %(e) |
| | | | | |
Net investment income (loss) | | | (.06 | )% | | | .07 | % | | | (.19 | )% | | | .50 | % | | | .00 | %(e)(f) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $385,086 | | | | $168,415 | | | | $51,757 | | | | $4,157 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
| (f) | | Amount is less than .01%. |
See Notes to Financial Statements.
128
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $14.57 | | | | $11.70 | | | | $ 9.98 | | | | $14.39 | | | | $12.47 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income(a) | | | .01 | | | | .02 | | | | – | (b) | | | .08 | | | | .06 | |
| | | | | |
Net realized and unrealized gain (loss) | | | .83 | | | | 2.85 | | | | 1.78 | | | | (3.93 | ) | | | 2.26 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .84 | | | | 2.87 | | | | 1.78 | | | | (3.85 | ) | | | 2.32 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | (.06 | ) | | | (.05 | ) | | | (.02 | ) |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | (.06 | ) | | | (.56 | ) | | | (.40 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $15.34 | | | | $14.57 | | | | $11.70 | | | | $ 9.98 | | | | $14.39 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 5.82 | % | | | 24.42 | % | | | 18.27 | % | | | (27.77 | )% | | | 19.11 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | .97 | % | | | .99 | % | | | 1.00 | % | | | .99 | % | | | .94 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | .97 | % | | | .99 | % | | | 1.00 | % | | | .98 | % | | | .94 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | .97 | % | | | .99 | % | | | 1.12 | % | | | 1.08 | % | | | 1.15 | % |
| | | | | |
Net investment income | | | .06 | % | | | .16 | % | | | .03 | % | | | .67 | % | | | .46 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $291,056 | | | | $190,103 | | | | $121,462 | | | | $74,335 | | | | $55,045 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
129
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class P Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $14.40 | | | | $11.62 | | | | $ 9.88 | | | | $14.28 | | | | $12.42 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(a) | | | (.05 | ) | | | (.04 | ) | | | (.04 | ) | | | .03 | | | | – | (b) |
| | | | | |
Net realized and unrealized gain (loss) | | | .81 | | | | 2.82 | | | | 1.78 | | | | (3.91 | ) | | | 2.24 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .76 | | | | 2.78 | | | | 1.74 | | | | (3.88 | ) | | | 2.24 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | (.01 | ) | | | – | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | – | | | | (.52 | ) | | | (.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $15.09 | | | | $14.40 | | | | $11.62 | | | | $ 9.88 | | | | $14.28 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 5.33 | % | | | 23.92 | % | | | 17.61 | % | | | (28.04 | )% | | | 18.54 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.41 | % | | | 1.44 | % | | | 1.45 | % | | | 1.44 | % | | | 1.39 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.41 | % | | | 1.44 | % | | | 1.45 | % | | | 1.43 | % | | | 1.39 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.41 | % | | | 1.44 | % | | | 1.57 | % | | | 1.53 | % | | | 1.57 | % |
| | | | | |
Net investment income (loss) | | | (.35 | )% | | | (.29 | )% | | | (.39 | )% | | | .23 | % | | | .01 | % |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $3,392 | | | | $4,344 | | | | $3,445 | | | | $2,905 | | | | $4,795 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
130
Financial Highlights (continued)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R2 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to
10/31/2007 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | |
Per Share Operating Performance | | | | | | | | | |
Net asset value, beginning of period | | | $14.34 | | | | $11.59 | | | | $ 9.87 | | | | $14.30 | | | | $14.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | (.09 | ) | | | (.06 | ) | | | (.09 | ) | | | .01 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .83 | | | | 2.81 | | | | 1.81 | | | | (3.90 | ) | | | .09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .74 | | | | 2.75 | | | | 1.72 | | | | (3.89 | ) | | | .09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | – | | | | (.03 | ) | | | – | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | – | | | | (.54 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $15.01 | | | | $14.34 | | | | $11.59 | | | | $ 9.87 | | | | $14.30 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.21 | % | | | 23.62 | % | | | 17.53 | % | | | (28.14 | )% | | | .63 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.57 | % | | | 1.60 | % | | | 1.59 | % | | | 1.58 | % | | | .12 | %(e) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.57 | % | | | 1.60 | % | | | 1.59 | % | | | 1.58 | % | | | .12 | %(e) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.57 | % | | | 1.60 | % | | | 1.68 | % | | | 1.66 | % | | | .16 | %(e) |
| | | | | |
Net investment income (loss) | | | (.58 | )% | | | (.42 | )% | | | (.83 | )% | | | .11 | % | | | (.02 | )%(e) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $8,804 | | | | $2,538 | | | | $1,466 | | | | $33 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
131
Financial Highlights (concluded)
VALUE OPPORTUNITIES FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class R3 Shares | |
| | | Year Ended 10/31 | | | 9/28/2007(a)
to
10/31/2007 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | |
Per Share Operating Performance | | | | | | | | | | | | | |
Net asset value, beginning of period | | | $14.34 | | | | $11.58 | | | | $ 9.87 | | | | $14.30 | | | | $14.21 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income (loss)(b) | | | (.07 | ) | | | (.04 | ) | | | (.05 | ) | | | .02 | | | | – | (c) |
| | | | | |
Net realized and unrealized gain (loss) | | | .83 | | | | 2.80 | | | | 1.78 | | | | (3.90 | ) | | | .09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .76 | | | | 2.76 | | | | 1.73 | | | | (3.88 | ) | | | .09 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment income | | | – | | | | – | | | | (.02 | ) | | | (.04 | ) | | | – | |
| | | | | |
Net realized gain | | | (.07 | ) | | | – | | | | – | | | | (.51 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total distributions | | | (.07 | ) | | | – | | | | (.02 | ) | | | (.55 | ) | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of period | | | $15.03 | | | | $14.34 | | | | $11.58 | | | | $ 9.87 | | | | $14.30 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(d) | | | 5.35 | % | | | 23.73 | % | | | 17.69 | % | | | (28.08 | )% | | | .63 | %(e) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.47 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % | | | .12 | %(e) |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.47 | % | | | 1.49 | % | | | 1.49 | % | | | 1.49 | % | | | .12 | %(e) |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.47 | % | | | 1.50 | % | | | 1.61 | % | | | 1.58 | % | | | .16 | %(e) |
| | | | | |
Net investment income (loss) | | | (.47 | )% | | | (.31 | )% | | | (.50 | )% | | | .19 | % | | | (.02 | )%(e) |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of period (000) | | | $64,504 | | | | $20,456 | | | | $4,227 | | | | $1,814 | | | | $10 | |
| | | | | |
Portfolio turnover rate | | | 56.87 | % | | | 69.83 | % | | | 77.87 | % | | | 83.92 | % | | | 100.58 | % |
| (a) | | Commencement of operations was 9/28/2007, SEC effective date was 9/14/2007 and date shares first became available to the public was 10/1/2007. |
| (b) | | Calculated using average shares outstanding during the period. |
| (c) | | Amount is less than $.01. |
| (d) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
132
Notes to Financial Statements
1. ORGANIZATION
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993.
The Trust currently consists of ten funds. This report covers the following eight funds (separately, a “Fund” and collectively, the “Funds”) and their respective classes:
| | | | |
| Funds | | Classes | |
Lord Abbett Alpha Strategy Fund (“Alpha Strategy Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
Lord Abbett Fundamental Equity Fund (“Fundamental Equity Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
Lord Abbett Growth Leaders Fund (“Growth Leaders Fund”)* | | | A, C, F, I, R2 and R3 | |
Lord Abbett International Core Equity Fund (“International Core Equity Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
Lord Abbett International Dividend Income Fund
(“International Dividend Income Fund”) | | | A, B, C, F, I, R2 and R3 | |
Lord Abbett International Opportunities Fund
(“International Opportunities Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
Lord Abbett Large-Cap Value Fund (“Large Cap Value Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
Lord Abbett Value Opportunities Fund (“Value Opportunities Fund”) | | | A, B, C, F, I, P, R2 and R3 | |
| * | | Commencement of operations was June 24, 2011; SEC effective date was June 15, 2011 and the date the shares first became available to the public was July 1, 2011. |
As of the date of this report, Alpha Strategy Fund has not issued Class P shares and International Dividend Income Fund has not issued Class B shares. The Funds’ Class P shares are closed to substantially all investors, with certain exceptions as set forth in the Funds’ prospectus. The Funds no longer issue Class B shares for purchase.
Each of Alpha Strategy Fund’s, International Core Equity Fund’s, International Opportunities Fund’s, and Value Opportunities Fund’s investment objective is to seek long-term capital appreciation. Alpha Strategy Fund invests in other funds (“Underlying Funds”) managed by Lord, Abbett & Co. LLC (“Lord Abbett”). Fundamental Equity Fund’s investment objective is to seek long-term growth of capital and income without excessive fluctuations in market value. Growth Leaders Fund’s investment objective is to seek capital appreciation. Each of International Dividend Income Fund’s and Large Cap Value Fund’s investment objective is to seek a high level of total return.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. There is no front-end sales charge in the case of Class B, C, F, I, P, R2 and R3 shares, although there may be a contingent deferred sales charge (“CDSC”) in certain cases as follows: Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus); Class B shares redeemed before the sixth anniversary of purchase; and Class C shares redeemed before the first anniversary of purchase. Class B shares will automatically convert to Class A shares on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent
133
Notes to Financial Statements (continued)
assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
| (a) | | Investment Valuation–Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange LLC (“NYSE”). Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Fixed income securities are valued at the mean between the bid and asked prices on the basis of prices supplied by independent pricing services, which reflect broker/dealer supplied valuations and the independent pricing services’ own electronic data processing techniques. Forward foreign currency exchange contracts are valued using daily forward exchange rates. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Investments in the Underlying Funds are valued at their NAV each business day at the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| (b) | | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| (c) | | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest and other income on the Statements of Operations. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| (d) | | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns filed remains open for the fiscal years ended October 31, 2008 through October 31, 2011. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
134
Notes to Financial Statements (continued)
| (e) | | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A, B, C, F, P, R2 and R3 shares bear their class-specific share of all expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
| (f) | | Foreign Transactions–The books and records of each Fund are maintained in U.S. dollars and transactions denominated in foreign currencies are recorded in each Fund’s records at the rate prevailing when earned or recorded. Asset and liability accounts that are denominated in foreign currencies are adjusted daily to reflect current exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The resultant exchange gains and losses upon settlement of such transactions are included in Net realized gain (loss) on investments (net of foreign capital gains tax) and foreign currency related transactions on each Fund’s Statement of Operations. Each Fund does not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in market prices of the securities. |
The Funds use foreign currency exchange contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
| (g) | | Forward Foreign Currency Exchange Contracts–International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund may enter into forward foreign currency exchange contracts in order to reduce their exposure to changes in foreign currency exchange rates on their foreign portfolio holdings or gain or reduce exposure to foreign currency for investment purposes. A forward foreign currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated rate. The contracts are valued daily at forward exchange rates and any unrealized gain (loss) is included in Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies on each Fund’s Statement of Operations. The gain (loss) arising from the difference between the U.S. dollar cost of the original contract and the value of the foreign currency in U.S. dollars upon closing of such contracts is included in Net realized gain (loss) on investments (net of foreign capital gains tax) and foreign currency related transactions on each Fund’s Statement of Operations. |
| (h) | | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
135
Notes to Financial Statements (continued)
| (i) | | When-Issued or Forward Transactions–Each Fund may purchase portfolio securities on a when-issued or forward basis. When-issued or forward transactions involve a commitment by a Fund to purchase securities, with payment and delivery (“settlement”) to take place in the future, in order to secure what is considered to be an advantageous price or yield at the time of entering into the transaction. During the period between purchase and settlement, the fair value of the securities will fluctuate and assets consisting of cash and/or marketable securities (normally short-term U.S. Government or U.S. Government sponsored enterprise securities) marked to market daily in an amount sufficient to make payment at settlement will be segregated at each Fund’s custodian in order to pay for the commitment. At the time each Fund makes the commitment to purchase a security on a when-issued basis, it will record the transaction and reflect the liability for the purchase and fair value of the security in determining its NAV. Each Fund, generally, has the ability to close out a purchase obligation on or before the settlement date rather than take delivery of the security. Under no circumstances will settlement for such securities take place more than 120 days after the purchase date. |
| (j) | | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk – for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: |
| | • | | Level 1 – unadjusted quoted prices in active markets for identical investments; |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | • | | Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
136
Notes to Financial Statements (continued)
The following is a summary of the inputs used as of October 31, 2011 in valuing each Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Alpha Strategy Fund | | | Fundamental Equity Fund | |
| Investment Type* | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Common Stocks | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 4,304,219 | | | $ | – | | | $ | – | | | $ | 4,304,219 | |
Investments in Underlying Funds | | | 880,692 | | | | – | | | | – | | | | 880,692 | | | | – | | | | – | | | | – | | | | – | |
Repurchase Agreement | | | – | | | | 104 | | | | – | | | | 104 | | | | – | | | | 96,589 | | | | – | | | | 96,589 | |
Total | | $ | 880,692 | | | $ | 104 | | | $ | – | | | $ | 880,796 | | | $ | 4,304,219 | | | $ | 96,589 | | | $ | – | | | $ | 4,400,808 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Growth Leaders Fund | | | International Core Equity Fund | |
| Investment Type* | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Common Stocks | | $ | 15,636 | | | $ | – | | | $ | – | | | $ | 15,636 | | | $ | 81,668 | | | $ | 754,610 | | | $ | – | | | $ | 836,278 | |
Preferred Stocks | | | – | | | | – | | | | – | | | | – | | | | 4,387 | | | | 7,018 | | | | – | | | | 11,405 | |
Total | | $ | 15,636 | | | $ | – | | | $ | – | | | $ | 15,636 | | | $ | 86,055 | | | $ | 761,628 | | | $ | – | | | $ | 847,683 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 2,092 | | | $ | – | | | $ | 2,092 | |
Liabilities | | | – | | | | – | | | | – | | | | – | | | | – | | | | (2,085 | ) | | | – | | | | (2,085 | ) |
Total | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | – | | | $ | 7 | | | $ | – | | | $ | 7 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | International Dividend Income Fund | | | International Opportunities Fund | |
| Investment Type* | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Common Stocks | | $ | 111,787 | | | $ | 724,987 | | | $ | – | | | $ | 836,774 | | | $ | 27,203 | | | $ | 286,191 | | | $ | – | | | $ | 313,394 | |
Preferred Stocks | | | 10,411 | | | | 10,886 | | | | – | | | | 21,297 | | | | 2,018 | | | | – | | | | – | | | | 2,018 | |
Repurchase Agreement | | | – | | | | 29,186 | | | | – | | | | 29,186 | | | | – | | | | 7,489 | | | | – | | | | 7,489 | |
Total | | $ | 122,198 | | | $ | 765,059 | | | $ | – | | | $ | 887,257 | | | $ | 29,221 | | | $ | 293,680 | | | $ | – | | | $ | 322,901 | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | |
Assets | | $ | – | | | $ | 2,197 | | | $ | – | | | $ | 2,197 | | | $ | – | | | $ | 2,243 | | | $ | – | | | $ | 2,243 | |
Liabilities | | | – | | | | (3,558 | ) | | | – | | | | (3,558 | ) | | | – | | | | (2,600 | ) | | | – | | | | (2,600 | ) |
Total | | $ | – | | | $ | (1,361 | ) | | $ | – | | | $ | (1,361 | ) | | $ | – | | | $ | (357 | ) | | $ | – | | | $ | (357 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Value Fund | | | Value Opportunities Fund | |
| Investment Type* | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Common Stocks | | $ | 38,080 | | | $ | – | | | $ | – | | | $ | 38,080 | | | $ | 1,837,295 | | | $ | – | | | $ | – | | | $ | 1,837,295 | |
Repurchase Agreement | | | – | | | | 744 | | | | – | | | | 744 | | | | – | | | | 81,148 | | | | – | | | | 81,148 | |
Total | | $ | 38,080 | | | $ | 744 | | | $ | – | | | $ | 38,824 | | | $ | 1,837,295 | | | $ | 81,148 | | | $ | – | | | $ | 1,918,443 | |
| * | | See Schedule of Investments for fair values in each industry. |
As of October 31, 2010, International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund utilized the last sale or official closing price on the exchange or system on which the foreign securities are principally traded, which resulted in Level 1 inputs for all foreign securities. As of October 31, 2011, each Fund utilized adjusted valuations of foreign securities (as described in Note 2(a)) to more accurately reflect their fair value as of the close of regular trading on the NYSE, which resulted in Level 2 inputs for substantially all foreign securities. Accordingly, the valuations of substantially all foreign
137
Notes to Financial Statements (continued)
securities as of October 31, 2011 were categorized as Level 2 inputs. During the period ended October 31, 2011, substantially all foreign securities held by each Fund that were classified as Level 1 as of October 31, 2010 that remain on the portfolio as of October 31, 2011 were transferred from Level 1 to Level 2.
| (k) | | Disclosures about Derivative Instruments and Hedging Activities–International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund entered into forward foreign currency exchange contracts during the fiscal year ended October 31, 2011 (as described in note 2(g)). A forward foreign currency exchange contract reduces each Fund’s exposure to changes in the value of the currency it will deliver (or settle in cash) and increases its exposure to changes in the value of the currency it will receive (or settle in cash) for the duration of the contract. Each Fund’s use of forward foreign currency exchange contracts involves the risk that Lord Abbett will not accurately predict currency movements, and each Fund’s returns could be reduced as a result. Forward foreign currency exchange contracts are subject to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of hedged positions, that the U.S. dollar will decline relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time. Each Fund’s risk of loss from counterparty credit risk is the unrealized appreciation on forward foreign currency exchange contracts. |
As of October 31, 2011, International Core Equity Fund, International Dividend Income Fund and International Opportunities Fund had the following forward foreign currency exchange contracts:
| | | | | | | | |
| | | Asset
Derivatives(1) | | | Liability
Derivatives(2) | |
International Core Equity Fund | | $ | 2,091,497 | | | $ | 2,084,941 | |
International Dividend Income Fund | | | 2,197,409 | | | | 3,558,372 | |
International Opportunities Fund | | | 2,242,574 | | | | 2,599,635 | |
| | | | | | | | | | | | |
| | | Net Realized Gain(3) | | | Net Change in
Unrealized
Depreciation(4) | | | Average
Notional
Amounts*(5) | |
International Core Equity Fund | | $ | 7,857,273 | | | $ | (2,017,504 | ) | | $ | 212,424,097 | |
International Dividend Income Fund | | | 695,903 | | | | (2,375,136 | ) | | | 216,124,696 | |
International Opportunities Fund | | | 4,726,754 | | | | (128,000 | ) | | | 100,395,013 | |
| * | | Calculated based on the notional amounts for the fiscal year ended October 31, 2011. |
| (1) | | Statements of Assets & Liabilities location: Unrealized appreciation on forward foreign currency exchange contracts. |
| (2) | | Statements of Assets & Liabilities location: Unrealized depreciation on forward foreign currency exchange contracts. |
| (3) | | Statements of Operations location: Net realized gain (loss) on investments (net of foreign capital gains tax) and foreign currency related transactions. |
| (4) | | Statements of Operations location: Net change in unrealized appreciation/depreciation on investments and translation of assets and liabilities denominated in foreign currencies. |
| (5) | | Amount represents notional amounts in U.S. dollars. |
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Management Fee
The Trust has a management agreement with Lord Abbett, pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
138
Notes to Financial Statements (continued)
For the fiscal year ended October 31, 2011, the effective management fee, net of waivers, was based on each Fund’s average daily net assets at the following annualized rates:
| | | | |
| | | Effective Management Fee | |
Alpha Strategy Fund | | | .00% | (1) |
Fundamental Equity Fund | | | .52% | (2) |
Growth Leaders Fund | | | .00% | (3) |
International Core Equity Fund | | | .45% | (4) |
International Dividend Income Fund | | | .43% | (4) |
International Opportunities Fund | | | .75% | (4) |
Large Cap Value Fund | | | .40% | (5) |
Value Opportunities Fund | | | .73% | (4) |
| (1) | | Lord Abbett contractually agreed to waive its .10% management fee for the annual period through February 28, 2011. Effective March 1, 2011 and continuing through February 29, 2012, Lord Abbett contractually agreed to waive .05% of its management fee. Effective March 1, 2011, Lord Abbett also voluntarily agreed to waive an additional .05% of its management fee. Lord Abbett may discontinue or change the level of this voluntary waiver at any time. |
| (2) | | The management fee for Fundamental Equity Fund is based on the Fund’s average daily net assets at the following annual rates: |
| | | | |
First $200 million | | | .75% | |
Next $300 million | | | .65% | |
Over $500 million | | | .50% | |
| (3) | | The management fee for Growth Leaders Fund is based on the Fund’s average daily net assets at the following annual rates: |
| | | | |
First $2 billion | | | .55% | |
Over $2 billion | | | .50% | |
| (4) | | The management fee for International Core Equity Fund, International Dividend Income Fund, International Opportunities Fund and Value Opportunities Fund is based on the average daily net assets at the following annual rates: |
| | | | |
First $1 billion | | | .75% | |
Next $1 billion | | | .70% | |
Over $2 billion | | | .65% | |
| (5) | | The management fee for Large Cap Value Fund is based on the average daily net assets at the following annual rates: |
| | | | |
First $2 billion | | | .40% | |
Next $3 billion | | | .375% | |
Over $5 billion | | | .35% | |
For the fiscal period ended October 31, 2011, and continuing through February 28, 2013, Lord Abbett contractually agreed to waive all or a portion of its management fee and, if necessary, reimburse the Growth Leaders Fund’s other expenses to the extent necessary so that the total net annual operating expenses for each class, excluding 12b-1 fees, do not exceed an annual rate of 0.50%.
For the fiscal year ended October 31, 2011, and continuing through February 29, 2012, Lord Abbett contractually agreed to waive all or a portion of its management fee and, if necessary, reimburse other expenses, to the extent necessary so that the total net annual operating expenses for each class, excluding 12b-1 fees, do not exceed the following annual rates:
| | | | |
| Fund | | Rate | |
International Core Equity Fund | | | .77% | |
International Dividend Income Fund | | | .77% | |
International Opportunities Fund | | | 1.35% | |
139
Notes to Financial Statements (continued)
All contractual management fee waiver and expense reimbursement agreements between the Funds and Lord Abbett may be terminated only upon the approval of the Funds’ Board of Trustees.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets. The Alpha Strategy Fund does not pay such a fee.
Alpha Strategy Fund has entered into a Servicing Arrangement with the Underlying Funds in which it invests (Lord Abbett Developing Growth Fund, Inc.; Lord Abbett Equity Trust (formerly, Lord Abbett Blend Trust) – Lord Abbett Small-Cap Blend Fund; Lord Abbett Research Fund, Inc. – Lord Abbett Small-Cap Value Fund; and Lord Abbett Securities Trust – Lord Abbett International Opportunities Fund, Lord Abbett Micro-Cap Growth Fund, Lord Abbett Micro-Cap Value Fund and Lord Abbett Value Opportunities Fund), pursuant to which each Underlying Fund will pay a portion of the expenses (excluding management fees and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of total Underlying Fund shares owned by Alpha Strategy Fund. The expenses assumed by the Underlying Funds are reflected in Expenses assumed by Underlying Funds on Alpha Strategy Fund’s Statement of Operations and Receivables from affiliates on Alpha Strategy Fund’s Statement of Assets and Liabilities.
In addition, Fundamental Equity Fund, International Core Equity Fund, International Dividend Income Fund, International Opportunities Fund, and Value Opportunities Fund, along with certain other funds managed by Lord Abbett, have entered into a Servicing Arrangement with Lord Abbett Alpha Strategy Fund of Lord Abbett Securities Trust, Lord Abbett Balanced Strategy Fund, Lord Abbett Diversified Equity Strategy Fund, Lord Abbett Diversified Income Strategy Fund, and Lord Abbett Growth & Income Strategy Fund of Lord Abbett Investment Trust, and Lord Abbett Global Allocation Fund of Lord Abbett Global Fund, Inc. (each, a “Fund of Funds”), pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of each Fund of Funds in proportion to the average daily value of the Underlying Fund shares owned by each Fund of Funds. Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliates on each Fund’s Statement of Assets and Liabilities.
As of October 31, 2011, the percentages of Fundamental Equity Fund’s, International Core Equity Fund’s, International Dividend Income Fund’s, International Opportunities Fund’s and Value Opportunities Fund’s outstanding shares owned by each Fund of Funds were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Underlying Funds | |
| Fund of Funds | | Fundamental Equity Fund | | | International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | | | Value
Opportunities
Fund | |
Alpha Strategy Fund | | | – | | | | – | | | | – | | | | 50.43% | | | | 4.63% | |
Balanced Strategy Fund | | | – | | | | 7.32% | | | | 18.92% | | | | – | | | | – | |
Diversified Equity Strategy Fund | | | .38% | | | | 2.36% | | | | – | | | | 4.03% | | | | .90% | |
Diversified Income Strategy Fund | | | – | | | | – | | | | 3.81% | | | | – | | | | – | |
Global Allocation Fund | | | – | | | | 1.07% | | | | 6.72% | | | | 1.89% | | | | – | |
Growth & Income Strategy Fund | | | .70% | | | | 4.21% | | | | 9.25% | | | | 6.33% | | | | 1.79% | |
140
Notes to Financial Statements (continued)
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A, B, C, F, P, R2 and R3 shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The fees are accrued daily at annual rates based upon each Fund’s average daily net assets as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Fees* | | Class A(1) | | | Class B(2) | | | Class C | | | Class F | | | Class P(3) | | | Class R2 | | | Class R3 | |
Service | | | .25% | | | | .25% | | | | .25% | | | | – | | | | .25% | | | | .25% | | | | .25% | |
Distribution | | | .10% | | | | .75% | | | | .75% | | | | .10% | | | | .20% | | | | .35% | | | | .25% | |
| * | | The Funds may designate a portion of the aggregate fee as attributable to service activities for purposes of calculating Financial Industry Regulatory Authority, Inc. (“FINRA”) sales charge limitations. |
| (1) | | Effective March 1, 2011, Class A 12b-1 fees for Alpha Strategy Fund were reduced to .25% (.25% service, .00% distribution) of the Fund’s average daily net assets. |
| (2) | | International Dividend Income Fund has not issued Class B shares to date. Growth Leaders Fund does not offer Class B shares. |
| (3) | | Fundamental Equity Fund, International Core Equity Fund, International Opportunities Fund, Large Cap Value Fund and Value Opportunities Fund only. |
Class I shares do not have a distribution plan.
Commissions
Distributor received the following commissions on sales of shares of the Funds, after concessions were paid to authorized dealers, for the fiscal year ended October 31, 2011:
| | | | | | | | |
| | | Distributor
Commissions | | | Dealers’
Concessions | |
Alpha Strategy Fund | | $ | 333,852 | | | $ | 1,881,421 | |
Fundamental Equity Fund | | | 1,342,527 | | | | 7,538,829 | |
Growth Leaders Fund | | | 2,611 | | | | 15,622 | |
International Core Equity Fund | | | 226,297 | | | | 1,196,455 | |
International Dividend Income Fund | | | 552,303 | | | | 2,911,584 | |
International Opportunities Fund | | | 27,614 | | | | 151,683 | |
Large Cap Value Fund | | | 25,359 | | | | 137,214 | |
Value Opportunities Fund | | | 706,359 | | | | 4,017,504 | |
Distributor received the following amount of CDSCs for the fiscal year ended October 31, 2011:
| | | | | | | | |
| | | Class A | | | Class C | |
Alpha Strategy Fund | | $ | 3,424 | | | $ | 38,516 | |
Fundamental Equity Fund | | | 25,355 | | | | 140,673 | |
Growth Leaders Fund | | | – | | | | – | |
International Core Equity Fund | | | 8,121 | | | | 9,609 | |
International Dividend Income Fund | | | 836 | | | | 5,931 | |
International Opportunities Fund | | | 1,287 | | | | 2,509 | |
Large Cap Value Fund | | | 11,093 | | | | 965 | |
Value Opportunities Fund | | | 5,858 | | | | 64,339 | |
Two Trustees and certain of the Trust’s and officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid quarterly for International Dividend Income Fund and annually for Alpha Strategy Fund, Fundamental Equity Fund, Growth Leaders Fund, International Core Equity Fund, International Opportunities Fund, Large Cap Value
141
Notes to Financial Statements (continued)
Fund, and Value Opportunities Fund. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
Distributions were declared on November 17, 2011 and paid on November 22, 2011 to shareholders of record on November 21, 2011. The approximate amounts were as follows:
| | | | | | | | |
| | | Net Investment Income | | | Net Long-Term Capital Gain | |
Fundamental Equity Fund | | $ | 8,733,000 | | | $ | 96,046,000 | |
Growth Leaders Fund | | | 6,000 | | | | – | |
Large Cap Value Fund | | | 321,000 | | | | – | |
Value Opportunities Fund | | | – | | | | 7,161,000 | |
Distributions were declared on December 14, 2011 and paid on December 16, 2011 to shareholders of record on December 15, 2011. The approximate amounts were as follows:
| | | | |
| | | Net Investment Income | |
International Core Equity Fund | | $ | 16,446,000 | |
International Dividend Income Fund | | | 3,073,000 | |
International Opportunities Fund | | | 2,946,000 | |
Distributions were declared on December 14, 2011 and paid on December 21, 2011 to shareholders of record on December 20, 2011. The approximate amounts were as follows:
| | | | |
| | | Net Long-Term Capital Gain | |
Alpha Strategy Fund | | $ | 2,851,000 | |
The tax character of distributions paid during the fiscal years ended October 31, 2011 and 2010 were as follows:
| | | | | | | | | | | | | | | | |
| | | Alpha Strategy Fund | | | Fundamental Equity Fund | |
| | | 10/31/2011 | | | 10/31/2010 | | | 10/31/2011 | | | 10/31/2010 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | – | | | $ | 622,228 | | | $ | 7,992,067 | | | $ | 1,343,712 | |
Net long-term capital gains | | | – | | | | – | | | | 739,695 | | | | – | |
Total distributions paid | | $ | – | | | $ | 622,228 | | | $ | 8,731,762 | | | $ | 1,343,712 | |
142
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | Growth Leaders Fund | | | International Core
Equity Fund | |
| | | Period Ended
10/31/2011* | | | 10/31/2010 | | | 10/31/2011 | | | 10/31/2010 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | – | | | $ | – | | | $ | 11,340,322 | | | $ | 5,933,629 | |
Total distributions paid | | $ | – | | | $ | – | | | $ | 11,340,322 | | | $ | 5,933,629 | |
| | |
| | | International Dividend
Income Fund | | | International Opportunities
Fund | |
| | | 10/31/2011 | | | 10/31/2010 | | | 10/31/2011 | | | 10/31/2010 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 29,648,003 | | | $ | 16,214,628 | | | $ | 2,108,439 | | | $ | 2,596,581 | |
Total distributions paid | | $ | 29,648,003 | | | $ | 16,214,628 | | | $ | 2,108,439 | | | $ | 2,596,581 | |
| | |
| | | Large Cap Value Fund | | | Value Opportunities Fund | |
| | | 10/31/2011 | | | 10/31/2010 | | | 10/31/2011 | | | 10/31/2010 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 203,870 | | | $ | 302,063 | | | $ | – | | | $ | – | |
Net long-term capital gains | | | – | | | | – | | | | 6,027,534 | | | | – | |
Total distributions paid | | $ | 203,870 | | | $ | 302,063 | | | $ | 6,027,534 | | | $ | – | |
| * | | For the period June 24, 2011 (commencement of operations) through October 31, 2011. |
As of October 31, 2011, the components of accumulated gains (losses) on a tax-basis were as follows:
| | | | | | | | |
| | | Alpha Strategy Fund | | | Fundamental Equity Fund | |
Undistributed long-term capital gains | | $ | 2,848,778 | | | $ | 96,043,001 | |
Total undistributed earnings | | $ | 2,848,778 | | | $ | 96,043,001 | |
Temporary differences | | | (58,035 | ) | | | (487,999 | ) |
Unrealized gains – net | | | 55,878,077 | | | | 296,889,246 | |
Total accumulated gains – net | | $ | 58,668,820 | | | $ | 392,444,248 | |
| | |
| | | Growth Leaders
Fund | | | International Core
Equity Fund | |
Undistributed ordinary income – net | | $ | 4,051 | | | $ | 15,324,406 | |
Total undistributed earnings | | $ | 4,051 | | | $ | 15,324,406 | |
Capital loss carryforwards* | | | (395,696 | ) | | | (333,522,733 | ) |
Temporary differences | | | – | | | | (115,888 | ) |
Unrealized gains – net | | | 153,405 | | | | 16,763,325 | |
Total accumulated losses – net | | $ | (238,240 | ) | | $ | (301,550,890 | ) |
143
Notes to Financial Statements (continued)
| | | | | | | | |
| | |
| | | International Dividend Income Fund | | | International
Opportunities Fund | |
Undistributed ordinary income – net | | $ | 3,376,126 | | | $ | 2,576,783 | |
Total undistributed earnings | | $ | 3,376,126 | | | $ | 2,576,783 | |
Capital loss carryforwards* | | | (21,271,164 | ) | | | (70,110,759 | ) |
Temporary differences | | | (7,005 | ) | | | (47,127 | ) |
Unrealized losses – net | | | (20,616,253 | ) | | | (3,352,112 | ) |
Total accumulated losses – net | | $ | (38,518,296 | ) | | $ | (70,933,215 | ) |
| | |
| | | Large Cap Value Fund | | | Value
Opportunities Fund | |
Undistributed ordinary income – net | | $ | 233,282 | | | $ | – | |
Undistributed long-term capital gains | | | – | | | | 7,154,976 | |
Total undistributed earnings | | $ | 233,282 | | | $ | 7,154,976 | |
Capital loss carryforwards* | | | (15,498,243 | ) | | | – | |
Temporary differences | | | (7,558 | ) | | | (26,882 | ) |
Unrealized gains – net | | | 2,542,362 | | | | 149,447,920 | |
Total accumulated gains (losses) – net | | $ | (12,730,157 | ) | | $ | 156,576,014 | |
| * | | As of October 31, 2011, the capital loss carryforwards, along with the related expiration dates, were as follows: |
| | | | | | | | | | | | | | | | |
| | | 2016 | | | 2017 | | | Indefinite | | | Total | |
Growth Leaders Fund | | $ | – | | | $ | – | | | $ | 395,696 | | | $ | 395,696 | |
International Core Equity Fund | | | 101,070,389 | | | | 232,452,344 | | | | – | | | | 333,522,733 | |
International Dividend Income Fund | | | 7,601,627 | | | | 13,669,537 | | | | – | | | | 21,271,164 | |
International Opportunities Fund | | | 1,091,249 | | | | 69,019,510 | | | | – | | | | 70,110,759 | |
Large Cap Value Fund | | | 1,549,841 | | | | 13,948,402 | | | | – | | | | 15,498,243 | |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President of the United States. The Modernization Act includes numerous provisions that generally become effective for taxable years beginning after the date of enactment. With the exception of Growth Leaders Fund, management is currently assessing the impact of the Modernization Act as it relates to the Funds. Growth Leaders Fund commenced operations on June 24, 2011 and is therefore subject to the Modernization Act for the period ended October 31, 2011. Accordingly, capital losses will carry forward indefinitely and must retain their character as either short-term or long-term.
As of October 31, 2011, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | |
| | | Alpha Strategy
Fund | | | Fundamental
Equity Fund | | | Growth Leaders
Fund | |
Tax cost | | $ | 824,918,228 | | | $ | 4,103,919,208 | | | $ | 15,482,302 | |
Gross unrealized gain | | | 73,179,208 | | | | 464,805,178 | | | | 224,766 | |
Gross unrealized loss | | | (17,301,131 | ) | | | (167,915,932 | ) | | | (71,361 | ) |
Net unrealized security gain | | $ | 55,878,077 | | | $ | 296,889,246 | | | $ | 153,405 | |
144
Notes to Financial Statements (continued)
| | | | | | | | | | | | |
| | | International
Core Equity
Fund | | | International
Dividend
Income Fund | | | International
Opportunities
Fund | |
Tax cost | | $ | 831,017,879 | | | $ | 907,860,979 | | | $ | 325,930,093 | |
Gross unrealized gain | | | 68,123,920 | | | | 14,825,928 | | | | 27,520,468 | |
Gross unrealized loss | | | (51,458,970 | ) | | | (35,429,988 | ) | | | (30,549,188 | ) |
Net unrealized security gain (loss) | | $ | 16,664,950 | | | $ | (20,604,060 | ) | | $ | (3,028,720 | ) |
| | | | | | | | | | |
| | | | | Large Cap
Value Fund | | | Value
Opportunities
Fund | |
Tax cost | | | | $ | 36,281,651 | | | $ | 1,768,995,246 | |
Gross unrealized gain | | | | | 3,937,981 | | | | 217,310,716 | |
Gross unrealized loss | | | | | (1,395,619 | ) | | | (67,862,796 | ) |
Net unrealized security gain | | | | $ | 2,542,362 | | | $ | 149,447,920 | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities and wash sales.
Permanent items identified during the fiscal year ended October 31, 2011 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | | | | | | | | | | |
| | | Undistributed
(Distributions
in Excess of)
Net Investment
Income | | | Accumulated
Net Realized
Gain (Loss) | | | Paid-in
Capital | |
Alpha Strategy Fund | | $ | 2,551,723 | | | $ | – | | | $ | (2,551,723 | ) |
Fundamental Equity Fund | | | 683,177 | | | | (683,177 | ) | | | – | |
Growth Leaders Fund | | | 8,061 | | | | – | | | | (8,061 | ) |
International Core Equity Fund | | | (1,525,913 | ) | | | 1,525,913 | | | | – | |
International Dividend Income Fund | | | 1,687,002 | | | | (1,687,002 | ) | | | – | |
International Opportunities Fund | | | 687,021 | | | | (882,603 | ) | | | 195,582 | |
Large Cap Value Fund | | | (39 | ) | | | 39 | | | | – | |
Value Opportunities Fund | | | 5,291,229 | | | | 550,831 | | | | (5,842,060 | ) |
The permanent differences are attributable to the tax treatment of net investment losses, certain distributions, certain expenses, foreign currency transactions and certain securities.
145
Notes to Financial Statements (continued)
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2011 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Alpha Strategy Fund | | $ | 103,022,254 | | | $ | 64,452,596 | |
Fundamental Equity Fund | | | 3,328,966,504 | | | | 2,177,776,016 | |
Growth Leaders Fund | | | 40,178,289 | | | | 24,300,291 | |
International Core Equity Fund | | | 817,721,465 | | | | 848,445,514 | |
International Dividend Income Fund | | | 1,061,674,764 | | | | 582,876,881 | |
International Opportunities Fund | | | 389,344,883 | | | | 398,233,933 | |
Large Cap Value Fund | | | 11,820,426 | | | | 17,727,435 | |
Value Opportunities Fund | | | 1,709,862,839 | | | | 930,784,534 | |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2011.
6. TRUSTEES’ REMUNERATION
The Trust’s officers and the two Trustees who are associated with Lord Abbett do not receive any compensation from the Trust for serving in such capacities. Outside Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all outside Trustees under which outside Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
7. EXPENSE REDUCTIONS
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
8. LINE OF CREDIT
The Funds, except for Alpha Strategy Fund and Growth Leaders Fund, and certain other funds managed by Lord Abbett have available an unsecured revolving credit facility (“Facility”) from State Street Bank and Trust Company (“SSB”), to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The Facility is renewed annually under terms that depend on market conditions at the time of the renewal. The amount available under the Facility is $200,000,000. The annual fee to maintain the Facility (of which each participating fund pays its pro rata share based on the net assets of each participating fund) is .15% of the amount available under the Facility. This amount is included in Other expenses on the Funds’ Statements of Operations. In connection with the annual renewal period that commenced December 4, 2009, the Funds paid an upfront commitment fee of .05%, which was amortized through Other expenses on the Statements of Operations over the annual period of the Facility.
146
Notes to Financial Statements (continued)
On November 22, 2010, the Funds and certain other funds managed by Lord Abbett entered into a short term extension of the Facility through February 2, 2011. On February 3, 2011, the Facility was renewed for an annual period by the Funds and certain other funds managed by Lord Abbett. The amount available under the Facility remained the same. The annual fee to maintain the Facility was reduced from .15% to .125% and the upfront commitment fee of .05% was removed. Any borrowings under this Facility will bear interest at current market rates as set forth in the credit agreement. During the fiscal year ended October 31, 2011, a participating fund managed by Lord Abbett utilized the Facility and fully repaid its borrowings. As of October 31, 2011, there were no loans outstanding pursuant to this Facility.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
10. TRANSACTIONS WITH AFFILIATED ISSUERS
An affiliated issuer is one in which a Fund has ownership of at least 5% of the outstanding voting securities of the underlying issuer at any point during the fiscal year or any company which is under common ownership or control. The Alpha Strategy Fund had the following transactions with affiliated issuers (i.e., the Underlying Funds) during the fiscal year ended October 31, 2011:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Affiliated Issuer | | Balance of
Shares
Held at
10/31/2010 | | | Gross
Additions | | | Gross
Sales | | | Balance of
Shares
Held at
10/31/2011 | | | Value
at 10/31/2011 | | | Net Realized
Gain (loss)
11/1/2010 to
10/31/2011 | | | Dividend
Income
11/1/2010 to
10/31/2011 | |
Lord Abbett
Developing Growth
Fund, Inc. – Class I | | | 8,321,160 | | | | 186,250 | | | | (691,579 | ) | | | 7,815,831 | | | $ | 176,794,093 | | | $ | 6,619,215 | | | $ | – | |
Lord Abbett Securities
Trust – International
Opportunities
Fund – Class I | | | 13,081,961 | | | | 2,602,510 | | | | (1,984,185 | ) | | | 13,700,286 | | | | 168,513,514 | | | | 7,903,890 | | | | 1,258,773 | |
Lord Abbett Securities
Trust – Micro-Cap
Growth
Fund – Class I | | | 5,314,492 | | | | 312,992 | | | | (268,044 | ) | | | 5,359,440 | | | | 88,591,548 | | | | 154,758 | | | | – | |
Lord Abbett Securities
Trust – Micro-Cap
Value Fund – Class I | | | 3,252,429 | | | | 588,179 | | | | (136,681 | ) | | | 3,703,927 | | | | 87,079,335 | | | | (297,588 | ) | | | – | |
Lord Abbett Equity
Trust (formerly, Lord Abbett Blend Trust) –
Small-Cap Blend
Fund – Class I | | | 5,532,997 | | | | 510,028 | | | | (244,347 | ) | | | 5,798,678 | | | | 90,227,435 | | | | (1,056,221 | ) | | | – | |
Lord Abbett Research
Fund, Inc. –
Small-Cap Value
Fund – Class I | | | 5,330,980 | | | | 647,742 | | | | (189,652 | ) | | | 5,789,070 | | | | 179,403,279 | | | | 2,973,595 | | | | 474,600 | |
Lord Abbett Securities
Trust – Value
Opportunities
Fund – Class I | | | 5,357,688 | | | | 822,488 | | | | (307,762 | ) | | | 5,872,414 | | | | 90,082,830 | | | | 434,518 | (a) | | | – | |
| | | | | | | | | | | | | | | | | | | $ | 880,692,034 | | | $ | 16,732,167 | | | $ | 1,733,373 | |
| (a) | | Includes $405,375 of distributed capital gains. |
147
Notes to Financial Statements (continued)
11. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with equity investing. The value of an investment will fluctuate in response to movements in the equity securities markets in general and to the changing prospects of individual companies in which the Funds invest. If a Fund’s assessment of a company’s value or prospects for exceeding earnings expectations or market conditions is wrong, the Fund could suffer losses or produce poor performance relative to other funds, even in a rising market.
Large company stocks, in which each of the Fundamental Equity Fund, Growth Leaders Fund and Large Cap Value Fund invest, may perform differently than the market as a whole and other types of stocks, such as small company stocks. Small and mid-sized company stocks, in which Value Opportunities Fund invests, may also perform differently than the market as a whole and other types of stocks, such as large-company stocks. This is because different types of stocks tend to shift in and out of favor depending on market and economic conditions. The market may fail to recognize the intrinsic value of a particular value stock for a long time. The small and mid-sized company stocks in which Value Opportunities Fund invests may be less able to weather economic shifts or other adverse developments than those of larger, more established companies.
In addition, although each of the Fundamental Equity Fund and Growth Leaders Fund invests a significant portion of its assets in large-cap company stocks, it also invests in mid-cap and small-cap company stocks, which may be more volatile and less liquid than large-cap stocks.
In general, Growth Leaders Fund employs a growth investing style and Fundamental Equity Fund, Large Cap Value Fund, and Value Opportunities Fund employ a value investing style. Growth stocks generally are more volatile than value stocks. The price of value stocks may lag the market for long periods of time.
International Core Equity Fund is subject to the risks of investing in foreign securities, the securities of large foreign companies, and derivatives. Foreign securities may pose greater risks than domestic securities, including greater price fluctuations and higher transaction costs. Foreign investments also may be affected by changes in currency rates or currency controls.
International Dividend Income Fund is also subject to the risks of investing in foreign securities, dividend yielding stocks, and derivatives. Foreign securities may pose greater risks than domestic securities, including price fluctuations and higher transaction costs. These risks are generally greater for securities issued by companies in emerging market companies. Dividend paying stocks may be sensitive to changes in market interest rates, and the prices of such stocks may decline as rates rise. The International Dividend Income Fund may be subject to the volatility of stocks that have high dividends per share due to recent decreases in their share prices. The International Dividend Income Fund may invest a significant portion of its assets in small and mid-sized companies that may be less able to weather economic shifts or other adverse developments than larger, more established companies.
International Opportunities Fund is also subject to the risks of investing in foreign securities, the securities of small-cap companies, and derivatives. Foreign securities may pose greater risks than domestic securities, including greater price fluctuations and higher transaction costs. Foreign investments also may be affected by changes in currency rates or currency controls. Investing in small-cap companies generally involves greater risks than investing in the stocks of large-cap companies, including more volatility and less liquidity.
148
Notes to Financial Statements (continued)
Alpha Strategy Fund’s investments are concentrated in the Underlying Funds and, as a result, the Fund’s performance is directly related to their performance and subject to their risks, including those associated with foreign investments and small-cap companies.
Due to their investments in multinational and foreign companies, Fundamental Equity Fund, Growth Leaders Fund, Large Cap Value Fund, Value Opportunities Fund, and Alpha Strategy Fund may experience increased market, liquidity, currency, political, information and other risks.
Each Fund is subject to the risks associated with derivatives, which may be different from and greater than the risks associated with investing directly in securities and other investments.
These factors can affect each Fund’s performance.
12. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | |
| Alpha Strategy Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 6,640,241 | | | $ | 159,946,305 | | | | 7,400,634 | | | $ | 145,968,287 | |
Converted from Class B* | | | 102,248 | | | | 2,504,396 | | | | 151,473 | | | | 2,936,219 | |
Reinvestment of distributions | | | – | | | | – | | | | 19,837 | | | | 378,496 | |
Shares reacquired | | | (6,159,141 | ) | | | (145,994,284 | ) | | | (6,339,701 | ) | | | (122,439,579 | ) |
Increase | | | 583,348 | | | $ | 16,456,417 | | | | 1,232,243 | | | $ | 26,843,423 | |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 54,091 | | | $ | 1,232,992 | | | | 217,187 | | | $ | 3,975,980 | |
Shares reacquired | | | (295,959 | ) | | | (6,641,009 | ) | | | (356,521 | ) | | | (6,660,952 | ) |
Converted to Class A* | | | (108,324 | ) | | | (2,504,396 | ) | | | (159,505 | ) | | | (2,936,219 | ) |
Decrease | | | (350,192 | ) | | $ | (7,912,413 | ) | | | (298,839 | ) | | $ | (5,621,191 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 2,626,226 | | | $ | 59,639,136 | | | | 3,139,551 | | | $ | 58,353,354 | |
Shares reacquired | | | (2,190,655 | ) | | | (48,656,526 | ) | | | (2,292,785 | ) | | | (42,225,950 | ) |
Increase | | | 435,571 | | | $ | 10,982,610 | | | | 846,766 | | | $ | 16,127,404 | |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 3,732,518 | | | $ | 89,435,955 | | | | 5,277,445 | | | $ | 102,635,788 | |
Reinvestment of distributions | | | – | | | | – | | | | 1,801 | | | | 34,257 | |
Shares reacquired | | | (2,973,729 | ) | | | (70,809,906 | ) | | | (1,515,972 | ) | | | (29,880,722 | ) |
Increase | | | 758,789 | | | $ | 18,626,049 | | | | 3,763,274 | | | $ | 72,789,323 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 549,071 | | | $ | 13,510,835 | | | | 577,711 | | | $ | 10,997,241 | |
Reinvestment of distributions | | | – | | | | – | | | | 3,737 | | | | 71,480 | |
Shares reacquired | | | (527,852 | ) | | | (13,290,638 | ) | | | (108,811 | ) | | | (2,169,710 | ) |
Increase | | | 21,219 | | | $ | 220,197 | | | | 472,637 | | | $ | 8,899,011 | |
149
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| Alpha Strategy Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 70,443 | | | $ | 1,636,829 | | | | 112,908 | | | $ | 2,193,904 | |
Shares reacquired | | | (78,320 | ) | | | (1,953,815 | ) | | | (38,636 | ) | | | (753,522 | ) |
Increase (decrease) | | | (7,877 | ) | | $ | (316,986 | ) | | | 74,272 | | | $ | 1,440,382 | |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 607,348 | | | $ | 14,384,718 | | | | 975,084 | | | $ | 19,112,064 | |
Reinvestment of distributions | | | – | | | | – | | | | 176 | | | | 3,337 | |
Shares reacquired | | | (464,862 | ) | | | (11,200,200 | ) | | | (328,687 | ) | | | (6,410,660 | ) |
Increase | | | 142,486 | | | $ | 3,184,518 | | | | 646,573 | | | $ | 12,704,741 | |
| | |
| Fundamental Equity Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 80,101,819 | | | $ | 1,038,519,597 | | | | 34,959,824 | | | $ | 390,476,248 | |
Converted from Class B* | | | 1,429,972 | | | | 18,358,256 | | | | 1,255,441 | | | | 13,967,919 | |
Reinvestment of distributions | | | 431,589 | | | | 5,179,024 | | | | 59,842 | | | | 632,526 | |
Shares reacquired | | | (47,379,706 | ) | | | (601,962,789 | ) | | | (46,537,038 | ) | | | (513,825,313 | ) |
Increase (decrease) | | | 34,583,674 | | | $ | 460,094,088 | | | | (10,261,931 | ) | | $ | (108,748,620 | ) |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 467,149 | | | $ | 5,797,056 | | | | 1,078,163 | | | $ | 11,380,944 | |
Shares reacquired | | | (2,479,322 | ) | | | (30,525,253 | ) | | | (3,409,284 | ) | | | (36,376,875 | ) |
Converted to Class A* | | | (1,500,727 | ) | | | (18,358,256 | ) | | | (1,311,790 | ) | | | (13,967,919 | ) |
Decrease | | | (3,512,900 | ) | | $ | (43,086,453 | ) | | | (3,642,911 | ) | | $ | (38,963,850 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 26,481,110 | | | $ | 330,738,446 | | | | 12,927,392 | | | $ | 137,645,640 | |
Shares reacquired | | | (10,881,312 | ) | | | (131,285,633 | ) | | | (10,367,812 | ) | | | (109,477,856 | ) |
Increase | | | 15,599,798 | | | $ | 199,452,813 | | | | 2,559,580 | | | $ | 28,167,784 | |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 47,488,655 | | | $ | 613,663,776 | | | | 20,345,349 | | | $ | 224,042,797 | |
Reinvestment of distributions | | | 113,052 | | | | 1,349,838 | | | | 8,302 | | | | 87,339 | |
Shares reacquired | | | (19,856,321 | ) | | | (244,823,681 | ) | | | (3,980,520 | ) | | | (44,208,603 | ) |
Increase | | | 27,745,386 | | | $ | 370,189,933 | | | | 16,373,131 | | | $ | 179,921,533 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 15,499,795 | | | $ | 201,042,105 | | | | 4,896,216 | | | $ | 52,456,024 | |
Reinvestment of distributions | | | 85,242 | | | | 1,026,317 | | | | 42,088 | | | | 446,140 | |
Shares reacquired | | | (9,643,350 | ) | | | (117,946,920 | ) | | | (1,204,891 | ) | | | (13,383,209 | ) |
Increase | | | 5,941,687 | | | $ | 84,121,502 | | | | 3,733,413 | | | $ | 39,518,955 | |
150
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| Fundamental Equity Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class P Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 701,531 | | | $ | 8,975,649 | | | | 580,910 | | | $ | 6,363,623 | |
Reinvestment of distributions | | | 5,136 | | | | 60,973 | | | | – | | | | – | |
Shares reacquired | | | (784,591 | ) | | | (10,161,435 | ) | | | (951,044 | ) | | | (10,472,990 | ) |
Decrease | | | (77,924 | ) | | $ | (1,124,813 | ) | | | (370,134 | ) | | $ | (4,109,367 | ) |
| | | | |
| Class R2 Shares | | | | | | | | | | | | |
Shares sold | | | 1,743,023 | | | $ | 22,258,410 | | | | 288,081 | | | $ | 3,190,125 | |
Reinvestment of distributions | | | 327 | | | | 3,877 | | | | – | | | | – | |
Shares reacquired | | | (499,848 | ) | | | (6,429,314 | ) | | | (30,019 | ) | | | (334,538 | ) |
Increase | | | 1,243,502 | | | $ | 15,832,973 | | | | 258,062 | | | $ | 2,855,587 | |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 11,864,112 | | | $ | 152,455,028 | | | | 5,326,961 | | | $ | 59,183,895 | |
Reinvestment of distributions | | | 12,471 | | | | 148,520 | | | | 114 | | | | 1,200 | |
Shares reacquired | | | (3,043,492 | ) | | | (39,766,256 | ) | | | (2,455,129 | ) | | | (27,587,170 | ) |
Increase | | | 8,833,091 | | | $ | 112,837,292 | | | | 2,871,946 | | | $ | 31,597,925 | |
| | | |
| Growth Leaders Fund | | Period Ended
October 31, 2011† | | | | | | | |
| Class A Shares | | Shares | | | Amount | | | | | | | |
Shares sold | | | 741,893 | | | $ | 11,010,377 | | | | | | | | | |
Shares reacquired | | | (198,386 | ) | | | (2,795,313 | ) | | | | | | | | |
Increase | | | 543,507 | | | $ | 8,215,064 | | | | | | | | | |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 12,760 | | | $ | 177,222 | | | | | | | | | |
Shares reacquired | | | (674 | ) | | | (9,649 | ) | | | | | | | | |
Increase | | | 12,086 | | | $ | 167,573 | | | | | | | | | |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 564,988 | | | $ | 8,008,604 | | | | | | | | | |
Shares reacquired | | | (151,971 | ) | | | (2,179,817 | ) | | | | | | | | |
Increase | | | 413,017 | | | $ | 5,828,787 | | | | | | | | | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 176,705 | | | $ | 2,578,224 | | | | | | | | | |
Shares reacquired | | | (42,191 | ) | | | (541,779 | ) | | | | | | | | |
Increase | | | 134,514 | | | $ | 2,036,445 | | | | | | | | | |
| | | | |
| Class R2 Shares | | | | | | | | | | | | |
Shares sold | | | 669 | | | $ | 10,037 | | | | | | | | | |
Increase | | | 669 | | | $ | 10,037 | | | | | | | | | |
151
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | | |
| Growth Leaders Fund | | Period Ended
October 31, 2011† | | | | | | | |
| Class R3 Shares | | Shares | | | Amount | | | | | | | |
Shares sold | | | 669 | | | $ | 10,037 | | | | | | | | | |
Increase | | | 669 | | | $ | 10,037 | | | | | | | | | |
| | |
| International Core Equity Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 5,431,077 | | | $ | 66,865,824 | | | | 8,651,626 | | | $ | 97,928,521 | |
Converted from Class B* | | | 172,770 | | | | 2,118,045 | | | | 198,674 | | | | 2,225,987 | |
Reinvestment of distributions | | | 461,749 | | | | 5,504,062 | | | | 336,743 | | | | 3,822,033 | |
Shares reacquired | | | (11,716,592 | ) | | | (142,642,633 | ) | | | (15,757,145 | ) | | | (175,882,091 | ) |
Decrease | | | (5,650,996 | ) | | $ | (68,154,702 | ) | | | (6,570,102 | ) | | $ | (71,905,550 | ) |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 97,051 | | | $ | 1,185,490 | | | | 462,517 | | | $ | 5,225,824 | |
Reinvestment of distributions | | | 12,172 | | | | 143,389 | | | | 5,198 | | | | 58,333 | |
Shares reacquired | | | (707,349 | ) | | | (8,467,456 | ) | | | (918,272 | ) | | | (10,079,395 | ) |
Converted to Class A* | | | (175,248 | ) | | | (2,118,045 | ) | | | (201,555 | ) | | | (2,225,987 | ) |
Decrease | | | (773,374 | ) | | $ | (9,256,622 | ) | | | (652,112 | ) | | $ | (7,021,225 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 624,087 | | | $ | 7,558,239 | | | | 1,313,964 | | | $ | 14,721,059 | |
Reinvestment of distributions | | | 25,820 | | | | 304,674 | | | | 10,481 | | | | 117,809 | |
Shares reacquired | | | (2,157,857 | ) | | | (25,964,464 | ) | | | (3,216,799 | ) | | | (35,491,068 | ) |
Decrease | | | (1,507,950 | ) | | $ | (18,101,551 | ) | | | (1,892,354 | ) | | $ | (20,652,200 | ) |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 5,902,735 | | | $ | 71,196,973 | | | | 2,368,795 | | | $ | 26,243,314 | |
Reinvestment of distributions | | | 33,906 | | | | 401,453 | | | | 2,217 | | | | 25,001 | |
Shares reacquired | | | (1,309,583 | ) | | | (15,900,801 | ) | | | (599,060 | ) | | | (6,568,988 | ) |
Increase | | | 4,627,058 | | | $ | 55,697,625 | | | | 1,771,952 | | | $ | 19,699,327 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 6,056,012 | | | $ | 73,817,288 | | | | 9,476,441 | | | $ | 98,771,323 | |
Reinvestment of distributions | | | 364,403 | | | | 4,361,900 | | | | 145,794 | | | | 1,662,058 | |
Shares reacquired | | | (8,650,892 | ) | | | (104,247,092 | ) | | | (2,598,419 | ) | | | (28,826,762 | ) |
Increase (decrease) | | | (2,230,477 | ) | | $ | (26,067,904 | ) | | | 7,023,816 | | | $ | 71,606,619 | |
| | | | |
| Class P Shares | | | | | | | | | | | | |
Shares sold | | | 17,278 | | | $ | 210,353 | | | | 59,324 | | | $ | 675,161 | |
Reinvestment of distributions | | | 485 | | | | 5,747 | | | | 363 | | | | 4,096 | |
Shares reacquired | | | (122,264 | ) | | | (1,508,434 | ) | | | (77,108 | ) | | | (870,324 | ) |
Decrease | | | (104,501 | ) | | $ | (1,292,334 | ) | | | (17,421 | ) | | $ | (191,067 | ) |
152
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | |
| International Core Equity Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 19,620 | | | $ | 246,233 | | | | 47,959 | | | $ | 521,301 | |
Reinvestment of distributions | | | 151 | | | | 1,801 | | | | 3 | | | | 31 | |
Shares reacquired | | | (8,775 | ) | | | (99,504 | ) | | | (1,659 | ) | | | (18,342 | ) |
Increase | | | 10,996 | | | $ | 148,530 | | | | 46,303 | | | $ | 502,990 | |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 575,644 | | | $ | 6,978,300 | | | | 864,876 | | | $ | 9,592,144 | |
Reinvestment of distributions | | | 9,577 | | | | 112,908 | | | | 965 | | | | 10,850 | |
Shares reacquired | | | (308,676 | ) | | | (3,767,218 | ) | | | (127,013 | ) | | | (1,376,765 | ) |
Increase | | | 276,545 | | | $ | 3,323,990 | | | | 738,828 | | | $ | 8,226,229 | |
| | |
| International Dividend Income Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 22,238,700 | | | $ | 187,313,303 | | | | 14,630,802 | | | $ | 120,785,029 | |
Reinvestment of distributions | | | 1,162,728 | | | | 9,775,690 | | | | 535,912 | | | | 4,184,584 | |
Shares reacquired | | | (6,836,394 | ) | | | (58,116,906 | ) | | | (2,786,194 | ) | | | (22,327,520 | ) |
Increase | | | 16,565,034 | | | $ | 138,972,087 | | | | 12,380,520 | | | $ | 102,642,093 | |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 1,850,727 | | | $ | 15,281,234 | | | | 1,260,081 | | | $ | 10,434,520 | |
Reinvestment of distributions | | | 70,621 | | | | 592,985 | | | | 29,797 | | | | 230,808 | |
Shares reacquired | | | (651,210 | ) | | | (5,483,306 | ) | | | (246,967 | ) | | | (1,999,889 | ) |
Increase | | | 1,270,138 | | | $ | 10,390,913 | | | | 1,042,911 | | | $ | 8,665,439 | |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 3,229,799 | | | $ | 27,029,321 | | | | 2,140,719 | | | $ | 17,682,599 | |
Reinvestment of distributions | | | 68,361 | | | | 572,480 | | | | 17,500 | | | | 136,236 | |
Shares reacquired | | | (1,364,580 | ) | | | (11,432,859 | ) | | | (899,865 | ) | | | (7,041,658 | ) |
Increase | | | 1,933,580 | | | $ | 16,168,942 | | | | 1,258,354 | | | $ | 10,777,177 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 40,893,914 | | | $ | 334,834,823 | | | | 4,034,661 | | | $ | 33,410,114 | |
Reinvestment of distributions | | | 1,957,711 | | | | 16,310,360 | | | | 1,382,501 | | | | 10,892,962 | |
Shares reacquired | | | (2,668,858 | ) | | | (23,193,268 | ) | | | (2,174,410 | ) | | | (17,562,160 | ) |
Increase | | | 40,182,767 | | | $ | 327,951,915 | | | | 3,242,752 | | | $ | 26,740,916 | |
| | | | |
| Class R2 Shares | | | | | | | | | | | | |
Shares sold | | | 884 | �� | | $ | 7,335 | | | | – | | | $ | – | |
Reinvestment of distributions | | | 50 | | | | 433 | | | | 43 | | | | 340 | |
Increase | | | 934 | | | $ | 7,768 | | | | 43 | | | $ | 340 | |
153
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | |
| International Dividend Income Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class R3 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 30,256 | | | $ | 248,185 | | | | 11,412 | | | $ | 100,555 | |
Reinvestment of distributions | | | 1,149 | | | | 9,575 | | | | 407 | | | | 3,175 | |
Shares reacquired | | | (2,564 | ) | | | (23,221 | ) | | | (96 | ) | | | (834 | ) |
Increase | | | 28,841 | | | $ | 234,539 | | | | 11,723 | | | $ | 102,896 | |
| | |
| International Opportunities Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 1,150,691 | | | $ | 15,035,819 | | | | 1,461,313 | | | $ | 16,441,084 | |
Converted from Class B* | | | 107,995 | | | | 1,412,156 | | | | 110,888 | | | | 1,255,097 | |
Reinvestment of distributions | | | 28,802 | | | | 373,845 | | | | 63,475 | | | | 705,227 | |
Shares reacquired | | | (1,944,941 | ) | | | (25,406,734 | ) | | | (2,611,924 | ) | | | (29,139,655 | ) |
Decrease | | | (657,453 | ) | | $ | (8,584,914 | ) | | | (976,248 | ) | | $ | (10,738,247 | ) |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 31,006 | | | $ | 395,816 | | | | 145,394 | | | $ | 1,558,758 | |
Reinvestment of distributions | | | – | | | | – | | | | 3,849 | | | | 40,821 | |
Shares reacquired | | | (257,614 | ) | | | (3,202,108 | ) | | | (542,632 | ) | | | (5,779,790 | ) |
Converted to Class A* | | | (113,693 | ) | | | (1,412,156 | ) | | | (116,460 | ) | | | (1,255,097 | ) |
Decrease | | | (340,301 | ) | | $ | (4,218,448 | ) | | | (509,849 | ) | | $ | (5,435,308 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 198,688 | | | $ | 2,457,879 | | | | 313,777 | | | $ | 3,370,300 | |
Reinvestment of distributions | | | – | | | | – | | | | 6,303 | | | | 66,497 | |
Shares reacquired | | | (461,967 | ) | | | (5,736,735 | ) | | | (816,894 | ) | | | (8,648,943 | ) |
Decrease | | | (263,279 | ) | | $ | (3,278,856 | ) | | | (496,814 | ) | | $ | (5,212,146 | ) |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 66,658 | | | $ | 872,261 | | | | 90,418 | | | $ | 991,054 | |
Reinvestment of distributions | | | 549 | | | | 7,072 | | | | 74 | | | | 813 | |
Shares reacquired | | | (61,873 | ) | | | (790,038 | ) | | | (53,630 | ) | | | (587,687 | ) |
Increase | | | 5,334 | | | $ | 89,295 | | | | 36,862 | | | $ | 404,180 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 3,731,275 | | | $ | 50,794,344 | | | | 3,711,401 | | | $ | 42,385,602 | |
Reinvestment of distributions | | | 127,433 | | | | 1,691,087 | | | | 152,278 | | | | 1,728,360 | |
Shares reacquired | | | (4,065,081 | ) | | | (52,681,810 | ) | | | (910,369 | ) | | | (10,399,884 | ) |
Increase (decrease) | | | (206,373 | ) | | $ | (196,379 | ) | | | 2,953,310 | | | $ | 33,714,078 | |
| | | | |
| Class P Shares | | | | | | | | | | | | |
Shares sold | | | 8,696 | | | $ | 113,721 | | | | 8,790 | | | $ | 102,836 | |
Reinvestment of distributions | | | 223 | | | | 2,941 | | | | 468 | | | | 5,289 | |
Shares reacquired | | | (10,434 | ) | | | (143,808 | ) | | | (12,332 | ) | | | (140,483 | ) |
Decrease | | | (1,515 | ) | | $ | (27,146 | ) | | | (3,074 | ) | | $ | (32,358 | ) |
154
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | |
| International Opportunities Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 861 | | | $ | 11,208 | | | | 3,750 | | | $ | 41,515 | |
Reinvestment of distributions | | | 7 | | | | 92 | | | | 35 | | | | 382 | |
Shares reacquired | | | (408 | ) | | | (5,415 | ) | | | (4,808 | ) | | | (52,508 | ) |
Increase (decrease) | | | 460 | | | $ | 5,885 | | | | (1,023 | ) | | $ | (10,611 | ) |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 294,165 | | | $ | 3,814,400 | | | | 254,546 | | | $ | 2,821,615 | |
Reinvestment of distributions | | | 1,137 | | | | 14,582 | | | | 522 | | | | 5,737 | |
Shares reacquired | | | (101,985 | ) | | | (1,321,638 | ) | | | (71,967 | ) | | | (794,458 | ) |
Increase | | | 193,317 | | | $ | 2,507,344 | | | | 183,101 | | | $ | 2,032,894 | |
| | |
| Large Cap Value Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 983,291 | | | $ | 10,025,497 | | | | 840,555 | | | $ | 7,775,860 | |
Converted from Class B* | | | 32,060 | | | | 316,400 | | | | 40,564 | | | | 368,454 | |
Reinvestment of distributions | | | 11,199 | | | | 106,052 | | | | 17,821 | | | | 161,815 | |
Shares reacquired | | | (1,178,029 | ) | | | (11,810,505 | ) | | | (1,170,207 | ) | | | (10,640,672 | ) |
Decrease | | | (151,479 | ) | | $ | (1,362,556 | ) | | | (271,267 | ) | | $ | (2,334,543 | ) |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 29,810 | | | $ | 302,588 | | | | 71,465 | | | $ | 640,022 | |
Reinvestment of distributions | | | – | | | | – | | | | 95 | | | | 855 | |
Shares reacquired | | | (69,656 | ) | | | (703,388 | ) | | | (72,630 | ) | | | (650,363 | ) |
Converted to Class A* | | | (32,613 | ) | | | (316,400 | ) | | | (41,188 | ) | | | (368,454 | ) |
Decrease | | | (72,459 | ) | | $ | (717,200 | ) | | | (42,258 | ) | | $ | (377,940 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 180,158 | | | $ | 1,784,361 | | | | 168,589 | | | $ | 1,527,546 | |
Reinvestment of distributions | | | – | | | | – | | | | 623 | | | | 5,596 | |
Shares reacquired | | | (157,374 | ) | | | (1,528,827 | ) | | | (245,620 | ) | | | (2,212,123 | ) |
Increase (decrease) | | | 22,784 | | | $ | 255,534 | | | | (76,408 | ) | | $ | (678,981 | ) |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 61,863 | | | $ | 636,347 | | | | 47,735 | | | $ | 447,711 | |
Reinvestment of distributions | | | 130 | | | | 1,232 | | | | 23 | | | | 202 | |
Shares reacquired | | | (33,857 | ) | | | (330,788 | ) | | | (8,631 | ) | | | (78,903 | ) |
Increase | | | 28,136 | | | $ | 306,791 | | | | 39,127 | | | $ | 369,010 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 138,089 | | | $ | 1,491,957 | | | | 240,730 | | | $ | 2,132,470 | |
Reinvestment of distributions | | | 7,356 | | | | 69,885 | | | | 10,563 | | | | 96,228 | |
Shares reacquired | | | (705,618 | ) | | | (6,548,186 | ) | | | (544,417 | ) | | | (5,015,847 | ) |
Decrease | | | (560,173 | ) | | $ | (4,986,344 | ) | | | (293,124 | ) | | $ | (2,787,149 | ) |
155
Notes to Financial Statements (continued)
| | | | | | | | | | | | | | | | |
| | |
| Large Cap Value Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class P Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | – | (a) | | $ | 1 | | | | – | (a) | | $ | 1 | |
Reinvestment of distributions | | | 5 | | | | 45 | | | | 7.366 | | | | 65 | |
Increase | | | 5 | | | $ | 46 | | | | 7.366 | | | $ | 66 | |
| | | |
| | | | | | | | | Period Ended
October 31, 2010†† | |
| Class R2 Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | – | | | $ | – | | | | 1,030.438 | | | $ | 10,026 | |
Reinvestment of distributions | | | 4 | | | | 34 | | | | – | | | | – | |
Increase | | | 4 | | | $ | 34 | | | | 1,030.438 | | | $ | 10,026 | |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 16,837 | | | $ | 171,072 | | | | 11,185 | | | $ | 102,520 | |
Reinvestment of distributions | | | 66 | | | | 631 | | | | – | | | | – | |
Shares reacquired | | | (4,617 | ) | | | (47,871 | ) | | | (780 | ) | | | (7,242 | ) |
Increase | | | 12,286 | | | $ | 123,832 | | | | 10,405 | | | $ | 95,278 | |
| Value Opportunities Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 40,572,808 | | | $ | 642,999,510 | | | | 33,623,998 | | | $ | 440,905,479 | |
Converted from Class B* | | | 116,216 | | | | 1,851,249 | | | | 340,891 | | | | 4,574,819 | |
Reinvestment of distributions | | | 195,812 | | | | 2,841,224 | | | | – | | | | – | |
Shares reacquired | | | (22,941,658 | ) | | | (347,588,834 | ) | | | (15,122,082 | ) | | | (201,738,694 | ) |
Increase | | | 17,943,178 | | | $ | 300,103,149 | | | | 18,842,807 | | | $ | 243,741,604 | |
| | | | |
| Class B Shares | | | | | | | | | | | | |
Shares sold | | | 119,334 | | | $ | 1,826,992 | | | | 380,987 | | | $ | 4,930,904 | |
Reinvestment of distributions | | | 5,846 | | | | 82,368 | | | | – | | | | – | |
Shares reacquired | | | (293,484 | ) | | | (4,383,470 | ) | | | (315,166 | ) | | | (4,056,029 | ) |
Converted to Class A* | | | (119,985 | ) | | | (1,851,249 | ) | | | (349,607 | ) | | | (4,574,819 | ) |
Decrease | | | (288,289 | ) | | $ | (4,325,359 | ) | | | (283,786 | ) | | $ | (3,699,944 | ) |
| | | | |
| Class C Shares | | | | | | | | | | | | |
Shares sold | | | 10,347,523 | | | $ | 160,773,372 | | | | 5,068,716 | | | $ | 66,602,722 | |
Reinvestment of distributions | | | 43,442 | | | | 611,665 | | | | – | | | | – | |
Shares reacquired | | | (2,843,088 | ) | | | (42,098,995 | ) | | | (1,562,977 | ) | | | (20,167,959 | ) |
Increase | | | 7,547,877 | | | $ | 119,286,042 | | | | 3,505,739 | | | $ | 46,434,763 | |
| | | | |
| Class F Shares | | | | | | | | | | | | |
Shares sold | | | 22,230,832 | | | $ | 355,426,842 | | | | 9,453,046 | | | $ | 127,537,837 | |
Reinvestment of distributions | | | 43,212 | | | | 627,438 | | | | – | | | | – | |
Shares reacquired | | | (8,596,138 | ) | | | (131,399,436 | ) | | | (2,253,790 | ) | | | (29,986,571 | ) |
Increase | | | 13,677,906 | | | $ | 224,654,844 | | | | 7,199,256 | | | $ | 97,551,266 | |
156
Notes to Financial Statements (concluded)
| | | | | | | | | | | | | | | | |
| | |
| Value Opportunities Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class I Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 10,069,306 | | | $ | 164,687,851 | | | | 3,126,931 | | | $ | 41,646,464 | |
Reinvestment of distributions | | | 65,097 | | | | 952,376 | | | | – | | | | – | |
Shares reacquired | | | (4,207,704 | ) | | | (65,816,748 | ) | | | (454,765 | ) | | | (6,042,698 | ) |
Increase | | | 5,926,699 | | | $ | 99,823,479 | | | | 2,672,166 | | | $ | 35,603,766 | |
| | | | |
| Class P Shares | | | | | | | | | | | | |
Shares sold | | | 94,923 | | | $ | 1,521,886 | | | | 91,706 | | | $ | 1,245,637 | |
Reinvestment of distributions | | | 1,286 | | | | 18,586 | | | | – | | | | – | |
Shares reacquired | | | (173,146 | ) | | | (2,767,227 | ) | | | (86,429 | ) | | | (1,139,165 | ) |
Increase (decrease) | | | (76,937 | ) | | $ | (1,226,755 | ) | | | 5,277 | | | $ | 106,472 | |
| | | | |
| Class R2 Shares | | | | | | | | | | | | |
Shares sold | | | 554,464 | | | $ | 8,612,420 | | | | 95,943 | | | $ | 1,281,765 | |
Reinvestment of distributions | | | 524 | | | | 7,548 | | | | – | | | | – | |
Shares reacquired | | | (145,378 | ) | | | (2,272,836 | ) | | | (45,462 | ) | | | (582,066 | ) |
Increase | | | 409,610 | | | $ | 6,347,132 | | | | 50,481 | | | $ | 699,699 | |
| | | | |
| Class R3 Shares | | | | | | | | | | | | |
Shares sold | | | 3,878,230 | | | $ | 60,498,976 | | | | 1,388,482 | | | $ | 18,281,425 | |
Reinvestment of distributions | | | 6,944 | | | | 100,002 | | | | – | | | | – | |
Shares reacquired | | | (1,018,897 | ) | | | (16,018,989 | ) | | | (327,412 | ) | | | (4,386,211 | ) |
Increase | | | 2,866,277 | | | $ | 44,579,989 | | | | 1,061,070 | | | $ | 13,895,214 | |
| * | | Automatic conversion of Class B shares occurs on the 25th day of the month (or, if the 25th day is not a business day, the next business day thereafter) following the eighth anniversary of the day on which the purchase order was accepted. |
| † | | For the period June 24, 2011 (commencement of operations) to October 31, 2011. |
| †† | | For the period March 23, 2010 (commencement of operations) to October 31, 2010. |
| (a) | | Value is less than 1 share. |
157
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Lord Abbett Securities Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Alpha Strategy Fund, Lord Abbett Fundamental Equity Fund, Lord Abbett Growth Leaders Fund, Lord Abbett International Core Equity Fund, Lord Abbett International Dividend Income Fund, Lord Abbett International Opportunities Fund, Lord Abbett Large-Cap Value Fund and Lord Abbett Value Opportunities Fund, (collectively, the “Funds”) eight of the portfolios constituting the Lord Abbett Securities Trust (the “Trust) as of October 31, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s 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 audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its 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 Trust’s 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 October 31, 2011, 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 as of October 31, 2011, the results of their operations for the year then ended, the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
New York, New York
December 21, 2011
158
Investments in Underlying Funds (unaudited)
Alpha Strategy Fund invests in Underlying Funds managed by Lord Abbett. As of October 31, 2011, Alpha Strategy Fund’s long-term investments were allocated among the Underlying Funds as follows:
| | | | |
| Underlying Fund Name | | % of Investments | |
Lord Abbett Developing Growth Fund, Inc. – Class I | | | 20.07% | |
Lord Abbett Securities Trust – Lord Abbett International Opportunities Fund – Class I | | | 19.13% | |
Lord Abbett Securities Trust – Lord Abbett Micro-Cap Growth Fund – Class I | | | 10.06% | |
Lord Abbett Securities Trust – Lord Abbett Micro-Cap Value Fund – Class I | | | 9.89% | |
Lord Abbett Equity Trust (formerly, Lord Abbett Blend Trust) – Lord Abbett Small-Cap Blend Fund – Class I | | | 10.25% | |
Lord Abbett Research Fund, Inc. – Lord Abbett Small-Cap Value Fund – Class I | | | 20.37% | |
Lord Abbett Securities Trust – Lord Abbett Value Opportunities Fund – Class I | | | 10.23% | |
The Ten Largest Holdings and the Holdings by Sector, as of October 31, 2011, for each Underlying Fund are presented below. Each Underlying Fund’s annual and semiannual reports, which are sent to shareholders and filed with the SEC, contain information about the Fund’s portfolio holdings, including a complete schedule of holdings. A complete schedule of holdings for each Underlying Fund is also filed with the SEC on Form N-Q as of the end of each respective Underlying Fund’s first and third quarters. In addition, on or about the first day of the second month following each calendar quarter-end, each Fund makes publicly available a complete schedule of its portfolio holdings as of the last day of each such quarter. The information for the most recently ended calendar quarter may be viewed at www.lordabbett.com or requested at no charge by calling Lord Abbett at 888-522-2388.
Lord Abbett Developing Growth Fund, Inc.
| | | | |
| Ten Largest Holdings | | % of Investments | |
Endologix, Inc. | | | 2.12% | |
Clean Harbors, Inc. | | | 1.92% | |
NetSuite, Inc. | | | 1.90% | |
Under Armour, Inc. Class A | | | 1.83% | |
Cubist Pharmaceuticals, Inc. | | | 1.82% | |
Fortinet, Inc. | | | 1.77% | |
Deckers Outdoor Corp. | | | 1.76% | |
Tempur-Pedic International, Inc. | | | 1.75% | |
SolarWinds, Inc. | | | 1.75% | |
Robbins & Myers, Inc. | | | 1.74% | |
159
Investments in Underlying Funds (unaudited)(continued)
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 16.97% | |
Consumer Staples | | | 1.27% | |
Energy | | | 8.61% | |
Financials | | | 8.48% | |
Health Care | | | 14.49% | |
Industrials | | | 16.99% | |
Information Technology | | | 30.17% | |
Materials | | | 1.34% | |
Short-Term Investment | | | 1.68% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
Lord Abbett Securities Trust – International Opportunities Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Intrum Justitia AB | | | 2.82% | |
FP Corp. | | | 1.99% | |
Gemalto NV | | | 1.99% | |
Don Quijote Co., Ltd. | | | 1.87% | |
Incitec Pivot Ltd. | | | 1.79% | |
Afren plc | | | 1.65% | |
Dragon Oil plc | | | 1.64% | |
Ebro Foods SA | | | 1.56% | |
3i Group plc | | | 1.55% | |
Elia System Operator SA | | | 1.53% | |
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 17.34% | |
Consumer Staples | | | 8.99% | |
Energy | | | 8.11% | |
Financials | | | 13.23% | |
Health Care | | | 2.66% | |
Industrials | | | 23.97% | |
Information Technology | | | 10.65% | |
Materials | | | 9.45% | |
Telecommunication Services | | | 0.72% | |
Utilities | | | 2.56% | |
Short-Term Investment | | | 2.32% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
160
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Securities Trust – Micro Cap Growth Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Liquidity Services, Inc. | | | 2.55% | |
Endologix, Inc. | | | 2.42% | |
Maxwell Technologies, Inc. | | | 2.26% | |
Body Central Corp. | | | 2.24% | |
FARO Technologies, Inc. | | | 2.20% | |
Peet’s Coffee & Tea, Inc. | | | 2.08% | |
Volterra Semiconductor Corp. | | | 2.02% | |
Caribou Coffee Co., Inc. | | | 2.00% | |
Thermon Group Holdings, Inc. | | | 1.96% | |
Akorn, Inc. | | | 1.87% | |
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 17.33% | |
Consumer Staples | | | 1.62% | |
Energy | | | 4.59% | |
Financials | | | 6.16% | |
Health Care | | | 19.82% | |
Industrials | | | 12.62% | |
Information Technology | | | 33.14% | |
Materials | | | 1.87% | |
Short-Term Investment | | | 2.85% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
Lord Abbett Securities Trust – Micro Cap Value Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Multi-Color Corp. | | | 3.45% | |
Dorman Products, Inc. | | | 2.05% | |
Rush Enterprises, Inc. Class A | | | 1.93% | |
McGrath RentCorp | | | 1.91% | |
Overhill Farms, Inc. | | | 1.91% | |
ICU Medical, Inc. | | | 1.82% | |
Mobile Mini, Inc. | | | 1.78% | |
CTS Corp. | | | 1.73% | |
SeaCube Container Leasing Ltd. | | | 1.69% | |
Thermon Group Holdings, Inc. | | | 1.65% | |
161
Investments in Underlying Funds (unaudited)(continued)
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 11.53% | |
Consumer Staples | | | 5.37% | |
Energy | | | 1.29% | |
Financials | | | 17.56% | |
Health Care | | | 5.53% | |
Industrials | | | 34.31% | |
Information Technology | | | 11.18% | |
Materials | | | 8.85% | |
Utilities | | | 2.16% | |
Short-Term Investment | | | 2.22% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
Lord Abbett Equity Trust (formerly, Lord Abbett Blend Trust) – Small Cap Blend Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Cardtronics, Inc. | | | 2.15% | |
Triumph Group, Inc. | | | 2.00% | |
Wolverine World Wide, Inc. | | | 1.86% | |
World Fuel Services Corp. | | | 1.80% | |
Semtech Corp. | | | 1.73% | |
Middleby Corp. (The) | | | 1.66% | |
Ocwen Financial Corp. | | | 1.61% | |
Aaron’s, Inc. | | | 1.60% | |
Centene Corp. | | | 1.56% | |
ScanSource, Inc. | | | 1.54% | |
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 9.65% | |
Consumer Staples | | | 5.69% | |
Energy | | | 9.74% | |
Financials | | | 19.46% | |
Health Care | | | 9.04% | |
Industrials | | | 15.87% | |
Information Technology | | | 19.38% | |
Materials | | | 6.86% | |
Short-Term Investment | | | 4.31% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
162
Investments in Underlying Funds (unaudited)(continued)
Lord Abbett Research Fund, Inc. – Small Cap Value Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Chicago Bridge & Iron Co. NV | | | 1.84% | |
Cabot Corp. | | | 1.74% | |
MAXIMUS, Inc. | | | 1.48% | |
Ryder System, Inc. | | | 1.44% | |
ScanSource, Inc. | | | 1.42% | |
Healthspring, Inc. | | | 1.41% | |
Littelfuse, Inc. | | | 1.35% | |
Alterra Capital Holdings Ltd. | | | 1.33% | |
Genesco, Inc. | | | 1.33% | |
Entertainment Properties Trust | | | 1.32% | |
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 10.40% | |
Consumer Staples | | | 0.74% | |
Energy | | | 5.90% | |
Financials | | | 19.95% | |
Health Care | | | 7.90% | |
Industrials | | | 25.64% | |
Information Technology | | | 17.10% | |
Materials | | | 9.69% | |
Utilities | | | 0.88% | |
Short-Term Investment | | | 1.80% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
Lord Abbett Securities Trust – Value Opportunities Fund
| | | | |
| Ten Largest Holdings | | % of Investments | |
Beam, Inc. | | | 1.96% | |
Alliance Data Systems Corp. | | | 1.89% | |
Nuance Communications, Inc. | | | 1.83% | |
Temple-Inland, Inc. | | | 1.74% | |
Coventry Health Care, Inc. | | | 1.74% | |
Watson Pharmaceuticals, Inc. | | | 1.73% | |
PVH Corp. | | | 1.69% | |
Range Resources Corp. | | | 1.68% | |
Interpublic Group of Cos., Inc. (The) | | | 1.62% | |
Alterra Capital Holdings Ltd. | | | 1.62% | |
163
Investments in Underlying Funds (unaudited)(concluded)
| | | | |
| Holdings by Sector* | | % of Investments | |
Consumer Discretionary | | | 9.54% | |
Consumer Staples | | | 3.83% | |
Energy | | | 8.64% | |
Financials | | | 14.75% | |
Health Care | �� | | 9.70% | |
Industrials | | | 17.20% | |
Information Technology | | | 14.87% | |
Materials | | | 11.76% | |
Utilities | | | 5.48% | |
Short-Term Investment | | | 4.23% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
164
Basic Information About Management
The Board of Trustees (the “Board”) is responsible for the management of the business and affairs of Trust in accordance with the laws of the State of Delaware. The Board appoints officers who are responsible for the day-to-day operations of Trust and who execute policies authorized by the Board. The Board also approves an investment adviser to Trust and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Trust’s investment adviser.
Interested Trustees
The following Trustees are associated with Lord Abbett and are “interested persons” of the Trust as defined in the Act. Mr. Dow and Ms. Foster are officers and directors or trustees of each of the 13 Lord Abbett-sponsored funds, which consist of 55 portfolios or series.
| | | | |
Name, Address and Year of Birth | | Current Position and
Length of Service with
the Trust | | Principal Occupation and Other Directorships
During Past Five Years |
| | |
Robert S. Dow Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1945) | | Trustee since 1993 and Chairman since 1996 | | Principal Occupation: Senior Partner of Lord Abbett (since 2007) and was formerly Managing Partner (1996 - 2007) and Chief Investment Officer (1995 - 2007), joined Lord Abbett in 1972. Other Directorships: None. |
| | |
Daria L. Foster Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1954) | | Trustee and President since 2006 | | Principal Occupation: Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors or trustees of each of the 13 Lord Abbett-sponsored funds, which consist of 55 portfolios or series.
| | | | |
Name, Address and Year of Birth | | Current Position and
Length of Service with
the Trust | | Principal Occupation and Other Directorships
During Past Five Years |
| | |
E. Thayer Bigelow Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1941) | | Trustee since 1994 | | Principal Occupation: Managing General Partner, Bigelow Media, LLC (since 2000); Senior Adviser, Time Warner Inc. (1998 - 2000). Other Directorships: Currently serves as director of Crane Co. (since 1984) and Huttig Building Products Inc. (since 1998). Previously served as a director of R.H. Donnelley Inc. (2009 - 2010) and Adelphia Communications Inc. (2003 - 2007). |
165
Basic Information About Management (continued)
| | | | |
Name, Address and Year of Birth | | Current Position and
Length of Service with
the Trust | | Principal Occupation and Other
Directorships During Past Five Years |
| | |
Robert B. Calhoun, Jr. Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (since 1997); President of Clipper Asset Management Corp. (1991 - 2009). Other Directorships: Previously served as a director of Interstate Bakeries Corp. (1991 - 2008). |
| | |
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 - 2010). Other Directorships: None. |
| | |
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998). Other Directorships: Currently serves as director of WellPoint, Inc., a health benefits company (since 1994). Previously served as a director of Resources Connection, Inc., a consulting firm (2004 - 2007). |
| | |
Franklin W. Hobbs Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004). Other Directorships: Currently serves as a director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009) and as a director of Molson Coors Brewing Company (since 2002). |
| | |
Thomas J. Neff Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1937) | | Trustee since 1993 | | Principal Occupation: Chairman of Spencer Stuart (U.S.), an executive search consulting firm (since 1996). Other Directorships: Currently serves as director of Ace, Ltd. (since 1997). Previously served as a director of Hewitt Associates, Inc. (2004 - 2010). |
| | |
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2006 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990). Other Directorships: Currently serves as director of Crane Co. (since 1998). Previously served as a director of ViaCell, Inc. (2003 - 2007). |
166
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett.
| | | | | | |
Name and
Year of Birth | | Current Position
with the Trust | | Length of Service
of Current Position | | Principal Occupation
During Past Five Years |
| | | |
Robert S. Dow (1945) | | Chief Executive Officer and Chairman | | Elected in 1996 | | Senior Partner of Lord Abbett (since 2007), and was formerly Managing Partner (1996 - 2007) and Chief Investment Officer (1995 - 2007), joined Lord Abbett in 1972. |
| | | |
Daria L. Foster (1954) | | President | | Elected in 2006 | | Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. |
| | | |
Robert P. Fetch (1953) | | Executive Vice President | | Elected in 1999 | | Partner and Director, joined Lord Abbett in 1995. |
| | | |
Daniel H. Frascarelli (1954) | | Executive Vice President | | Elected in 2009 | | Partner and Director, joined Lord Abbett in 1990. |
| | | |
Robert I. Gerber (1954) | | Executive Vice President | | Elected in 2005 | | Partner and Chief Investment Officer (since 2007), joined Lord Abbett in 1997 as Director of Taxable Fixed Income Management. |
| | | |
Gerard S. E. Heffernan, Jr. (1963) | | Executive Vice President | | Elected in 1999 | | Partner and Director, joined Lord Abbett in 1998. |
| | | |
Todd D. Jacobson (1966) | | Executive Vice President | | Elected in 2003 | | Portfolio Manager, joined Lord Abbett in 2003. |
| | | |
Vincent J. McBride (1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | |
F. Thomas O’Halloran, III (1955) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2001. |
| | | |
Steven F. Rocco (1979) | | Executive Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2004. |
| | | |
Harold E. Sharon (1960) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
167
Basic Information About Management (continued)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service
of Current Position | | Principal Occupation During Past Five Years |
| | | |
Stacy P. Allen (1967) | | Vice President | | Elected in 2009 | | Partner and Chief Administrative Officer (since 2009), and was formerly a Client Portfolio Manager (2006 - 2008) and Director of Institutional Mutual Funds (2003 - 2006), joined Lord Abbett in 2003. |
| | | |
A. Edward Allinson (1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | |
James W. Bernaiche (1956) | | Chief Compliance Officer | | Elected in 2004 | | Partner and Chief Compliance Officer, joined Lord Abbett in 2001. |
| | | |
Joan A. Binstock (1954) | | Chief Financial Officer and Vice President | | Elected in 1999 | | Partner and Chief Operations Officer, joined Lord Abbett in 1999. |
| | | |
John K. Forst (1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Deputy General Counsel, joined Lord Abbett in 2004. |
| | | |
Anthony W. Hipple (1964) | | Vice President | | Elected in 2006 | | Portfolio Manager, joined Lord Abbett in 2002. |
| | | |
Lawrence H. Kaplan (1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | |
Deepak Khanna (1963) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, rejoined Lord Abbett in 2007 from Jennison Associates LLC (2005 - 2007). Mr. Khanna’s former experience at Lord Abbett included Senior Research Analyst – other investment strategies (2000 - 2005). |
| | | |
David J. Linsen (1974) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | |
Steven M. Lipper (1961) | | Vice President | | Elected in 2011 | | Director, Product Management, joined Lord Abbett in 2004. |
| | | |
Thomas B. Maher (1967) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
| | | |
Justin C. Maurer (1969) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
168
Basic Information About Management (continued)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service
of Current Position | | Principal Occupation During Past Five Years |
| | | |
A. Edward Oberhaus, III (1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | |
Thomas R. Phillips (1960) | | Vice President and Assistant Secretary | | Elected in 2008 | | Partner and Deputy General Counsel, joined Lord Abbett in 2006. |
| | | |
Walter H. Prahl (1958) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 1997. |
| | | |
Randy M. Reynolds (1972) | | Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 1999. |
| | | |
Frederick J. Ruvkun (1957) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2006. |
| | | |
Lawrence B. Stoller (1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007 and was formerly an Executive Vice President and the General Counsel at Cohen & Steers Capital Management, Inc. (1999 - 2007). |
| | | |
Francis T. Timons (1969) | | Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007 and was formerly a Research Analyst at Robert W. Baird & Co. (2004 - 2007). |
| | | |
Leah G. Traub (1979) | | Vice President | | Elected in 2011 | | Director of Currency Management, joined Lord Abbett in 2007 and was formerly a Research Economist at Princeton Economics Group (2006 - 2007) and Research Assistant and Lecturer at Rutgers University (2003 - 2007). |
| | | |
Paul J. Volovich (1973) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 1997. |
| | | |
Arthur K. Weise (1970) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2007 and was formerly a Managing Director, Portfolio Manager and Analyst at Bank of New York Institutional Asset Management (2005 - 2007). |
169
Basic Information About Management (concluded)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service
of Current Position | | Principal Occupation During Past Five Years |
| | | |
Kewjin Yuoh (1971) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2010 and was formerly a Senior Vice President – Director of Fundamental Research and Senior Portfolio at Alliance Bernstein, LLP (2003 - 2010). |
| | | |
Bernard J. Grzelak (1971) | | Treasurer | | Elected in 2001 | | Partner and Director of Fund Administration, joined Lord Abbett in 2003. |
Please call 888-522-2388 for a copy of the statement of additional information (“SAI”), which contains further information about the Trust’s Trustees. It is available free upon request.
170
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
171
Tax Information
The percentages below reflect the portion of ordinary income distributions that are eligible for the corporate dividend received deduction (DRD) and qualified dividend income (QDI) for individual shareholders:
| | | | | | | | |
| Fund Name | | DRD | | | QDI | |
Fundamental Equity Fund | | | 100 | % | | | 100 | % |
International Core Equity Fund | | | 0 | % | | | 100 | % |
International Dividend Income Fund | | | 0 | % | | | 94.40 | % |
International Opportunities Fund | | | 0 | % | | | 100 | % |
Large Cap Value Fund | | | 100 | % | | | 100 | % |
Additionally, of the distributions paid to shareholders during the fiscal year ended October 31, 2011, the following amounts represent long-term capital gains:
| | | | |
| Fund Name | | | |
Fundamental Equity Fund | | $ | 739,695 | |
Value Opportunities Fund | | | 6,027,534 | |
The International Core Equity Fund and the International Dividend Income Fund intend to pass through foreign source income and foreign taxes as follows:
| | | | | | | | |
| Fund Name | | Foreign Source
Income | | | Foreign
Taxes | |
International Core Equity Fund | | $ | 30,416,275 | | | $ | 2,543,618 | |
International Dividend Income Fund | | | 38,318,557 | | | | 3,264,139 | |
172
This report, when not used for the general information of shareholders of the fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett Mutual Fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.
Lord Abbett Securities Trust
Lord Abbett Alpha Strategy Fund
Lord Abbett Fundamental Equity Fund
Lord Abbett Growth Leaders Fund
Lord Abbett International Core Equity Fund
Lord Abbett International Dividend Income Fund
Lord Abbett International Opportunities Fund
Lord Abbett Large-Cap Value Fund
Lord Abbett Value Opportunities Fund
LST-2-1011
(12/11)
2011
LORD ABBETT
ANNUAL
REPORT 
Lord Abbett
Micro Cap Growth Fund
Micro Cap Value Fund
For the fiscal year ended October 31, 2011
Lord Abbett Securities Trust
Lord Abbett Micro Cap Growth Fund and Lord Abbett Micro Cap Value Fund Annual Report
For the fiscal year ended October 31, 2011
From left to right: Robert S. Dow, Director and Chairman of the Lord Abbett Funds; E. Thayer Bigelow, Independent Lead Director of the Lord Abbett Funds; and Daria L. Foster, Director and President of the Lord Abbett Funds.
Dear Shareholders: We are pleased to provide you with this overview of the performance of the Funds for the fiscal year ended October 31, 2011. On this page and the following pages, we discuss the major factors that influenced fiscal year performance. For detailed and more timely information about the Funds, please visit our Website at www.lordabbett.com, where you also can access the quarterly commentaries that provide updates on each Fund’s performance and other portfolio related updates.
Thank you for investing in Lord Abbett mutual funds. We value the trust that you place in us and look forward to serving your investment needs in the years to come.
Best regards,
Robert S. Dow
Chairman
Micro Cap Growth Fund
For the fiscal year ended October 31, 2011, the Fund returned 3.30%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Growth Index,1 which returned 4.48% over the same period.
Despite increased volatility and a sharp equity market downturn during the third quarter of 2011, most broad equity indexes finished the 12-month period in positive territory. Although Europe’s sovereign debt concerns continue to impact investor sentiment, the fiscal year ended on a positive note in October 2011, with the S&P 500® Index2 posting its best monthly return since December 1991. Over the period, larger capitalization investments generally performed better than smaller capitalization investments, and growth-oriented investments generally performed better than value-oriented investments.
Security positions within the information technology sector detracted from Fund performance during the year.
1
Shares of HiSoft Technology International, a Chinese provider of outsourced information technology services, declined after the firm reported a bad debt write-down associated with one of the firm’s clients. Weak demand from Chinese customers also caused a decline in the share price of NeoPhotonics Corp., a provider of optical networking components. Our health care sector positions also underperformed during the period. Shares of Epocrates, Inc., which produces software that physicians can access on mobile devices, reported weaker-than-anticipated second quarter results. DexCom, Inc., a medical device company focused on glucose monitoring systems, also detracted, following higher-than-expected operating expenses in the quarter.
Stock selection within the consumer discretionary sector contributed to Fund performance during the year. Select Comfort Corp., a producer of high-end mattresses, continued to gain market share and expand margins despite the sluggish economic environment. Shares of iRobot Corp., which develops robotic technology and produces the Roomba floor vacuuming system, appreciated as the firm’s distribution channels continued to expand into China and Latin America. Positioning within the financials sector also contributed to Fund performance. Shares of Financial Engines, provider of investment tools for defined contribution plan participants, appreciated as assets under contract increased significantly during the year. Shares of Altisource Portfolio Solutions, a provider of mortgage services, rose as the firm benefited from industry consolidation.
Micro Cap Value Fund
For the fiscal year ended October 31, 2011, the Fund returned -1.93%, reflecting performance at the net asset value (NAV) of Class A shares, with all distributions reinvested, compared to its benchmark, the Russell Microcap® Value Index,3 which returned -0.12% over the same period.
While the overall equity market had a strong year – the S&P 500® Index,2 for example, was up 8.09% for the 12-month period – the micro cap market was not as positive. The Russell Microcap® Index4 was up only 2.11% for the volatile 12-month period. For the first six months of the period, the market was positive, reacting to strong corporate earnings. The market took a turn for the worse when the United States (U.S.) began debating raising the debt ceiling upon reaching its limit in May 2011, and continued through August, when Standard & Poor’s downgraded U.S. debt from its ‘AAA’ rating. Markets fell to their lowest on October 3, 2011, reacting negatively to political uncertainty in the U.S. and Europe, as well as to concerns about economic growth and consumer confidence. The rebound in October 2011 appeared to be a result of increased confidence that Europe would resolve its sovereign debt issues, as well as positive economic signs in the U.S. The utilities
2
sector was the only sector within the Russell Microcap® Index that was up double digits, while the consumer discretionary and materials sectors had negative returns for the period.
The largest detractor from Fund performance came from within the industrials sector. Essex Rental Corp., an unmanned crawler crane rental company, was negatively impacted by the slow recovery in utilization and rental rates for its rental equipment fleet. Shares of materials holding Omnova Solutions, Inc., a diversified specialty chemical company, declined owing to slowing demand and higher raw material costs, specifically for butadiene, which is used in core products in carpet and paper manufacturing. Within consumer staples, shares of Medifast, Inc., a distributor of weight and disease management products, suffered following the company’s March announcement of a delay in the filing of its 10-K as a result of an expense recognition review in prior periods. Medifast’s shares were again challenged in August 2011 after the company reported second quarter results that were below expectations. The shortfall was due to operating costs surrounding the company’s expansion of its weight control centers and disappointing Take Shape for Life headcount growth.
Strong stock selection within the industrials sector contributed to Fund performance during the period. SFN Group, Inc. (formerly Spherion Corp.), a temporary staffing and outsourcing firm, was acquired by the Netherlands based staffing company Randstad Holding NV for approximately $770 million. Multi-Color Corp., a provider of label and packaging products, repeatedly reported stronger than anticipated quarterly results during the period, benefiting from improved operating efficiencies and performance from the company’s European and Latin American acquisitions. Within the materials sector, LSB Industries, Inc., a climate control and chemical company, also performed well during the period, aided by favorable market trends in both of its key divisions and by production growth at the company’s chemicals facility in Oklahoma.
Each Fund’s portfolio is actively managed and, therefore, its holdings and the weightings of a particular issuer or particular sector as a percentage of portfolio assets are subject to change. Sectors may include many industries.
1 The Russell Microcap® Growth Index measures the performance of the microcap growth segment of the U.S. equity market. It includes those Russell Microcap Index companies with higher price-to-book ratios and higher forecasted growth values.
2 The S&P 500® Index is widely regarded as the standard for measuring large-cap U.S. stock market performance and includes a representative sample of leading companies in leading industries.
3 The Russell Microcap® Value Index measures the performance of those Russell Microcap companies with lower price-to-book ratios and lower forecasted growth values.
4 The Russell Microcap® Index measures performance of the micro cap segment, representing less than 3% of the U.S. equity market. The Russell Microcap Index includes the smallest 1,000 securities in the small cap Russell 2000 Index plus the next smaller 1,000 securities.
3
Unless otherwise specified, indexes reflect total return, with all dividends reinvested. Indexes are unmanaged, do not reflect the deduction of fees or expenses, and are not available for direct investment.
Important Performance and Other Information
Performance data quoted in the following pages reflect past performance and are no guarantee of future results. Current performance may be higher or lower than the performance quoted. The investment return and principal value of an investment in the Fund will fluctuate so that shares, on any given day or when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by calling Lord Abbett at 888-522-2388 or referring to www.lordabbett.com.
Except where noted, comparative Fund performance does not account for the deduction of sales charges and would be different if sales charges were included. The Fund offers several classes of shares with distinct pricing options. For a full description of the differences in pricing alternatives, please see the Fund’s prospectus.
During certain periods shown, expense waivers and reimbursements were in place. Without such expense reimbursements, the Funds’ returns would have been lower.
The annual commentary above discusses the views of the Funds’ management and various portfolio holdings of the Fund as of October 31, 2011. These views and portfolio holdings may have changed after this date. Information provided in the commentary is not a recommendation to buy or sell securities. Because the Funds’ portfolio is actively managed and may change significantly, the Funds’ may no longer own the securities described above or may have otherwise changed their positions in the securities. For more recent information about the Funds’ portfolio holdings, please visit www.lordabbett.com.
A Note about Risk: See Notes to Financial Statements for a discussion of investment risks. For a more detailed discussion of the risks associated with the Fund, please see the Fund’s prospectus.
Mutual funds are not insured by the FDIC, are not deposits or other obligations of, or guaranteed by, banks, and are subject to investment risks including possible loss of principal amount invested.
4
Micro Cap Growth Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Index and the Russell Microcap® Growth Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Class A3 | | | -2.62% | | | | 5.19% | | | | 8.55% | |
Class I4 | | | 3.57% | | | | 6.72% | | | | 9.50% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
5
Micro Cap Value Fund
Investment Comparison
Below is a comparison of a $10,000 investment in Class A shares with the same investment in the Russell Microcap® Index and the Russell Microcap® Value Index, assuming reinvestment of all dividends and distributions. The performance of the other class will be greater than or less than the performance shown in the graph below due to different sales loads and expenses applicable to such class. The graph and performance table below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During certain periods, expenses of the Fund have been waived or reimbursed by Lord Abbett; without such waiver or reimbursement of expenses, the Fund’s returns would have been lower. Past performance is no guarantee of future results.
Average Annual Total Returns at Maximum Applicable
Sales Charge for the Periods Ended October 31, 2011
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | 10 Years | |
Class A3 | | | -7.56% | | | | -0.90% | | | | 10.06% | |
Class I4 | | | -1.67% | | | | 0.54% | | | | 11.03% | |
1 Reflects the deduction of the maximum initial sales charge of 5.75%.
2 Performance for each unmanaged index does not reflect any fees or expenses. The performance of each index is not necessarily representative of the Fund’s performance.
3 Total return, which is the percent change in net asset value, after deduction of the maximum initial sales charge of 5.75% applicable to Class A shares, with all dividends and distributions reinvested for the periods shown ended October 31, 2011, is calculated using the SEC required uniform method to compute such return.
4 Performance is at net asset value.
6
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (these charges vary among the share classes); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (these charges vary among the share classes); and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 1, 2011 through October 31, 2011).
Actual Expenses
For each class of each Fund, the first line of the tables on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading titled “Expenses Paid During Period 5/1/11 – 10/31/11” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
For each class of each Fund, the second line of the tables on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
7
Micro Cap Growth Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 836.20 | | | $ | 9.72 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.62 | | | $ | 10.66 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 837.40 | | | $ | 8.57 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,015.88 | | | $ | 9.40 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (2.10% for Class A and 1.85% for Class I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one-half year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | |
| Sector* | | %** | |
Consumer Discretionary | | | 17.33% | |
Consumer Staples | | | 1.62% | |
Energy | | | 4.59% | |
Financials | | | 6.16% | |
Health Care | | | 19.82% | |
Industrials | | | 12.62% | |
Information Technology | | | 33.14% | |
Materials | | | 1.87% | |
Short-Term Investment | | | 2.85% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
8
Micro Cap Value Fund
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | |
| | | Beginning
Account
Value | | | Ending
Account
Value | | | Expenses
Paid During
Period† | |
| | | 5/1/11 | | | 10/31/11 | | | 5/1/11 -
10/31/11 | |
Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 835.30 | | | $ | 9.58 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,014.78 | | | $ | 10.51 | |
Class I | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 836.40 | | | $ | 8.42 | |
Hypothetical (5% Return Before Expenses) | | $ | 1,000.00 | | | $ | 1,016.05 | | | $ | 9.25 | |
| † | | For each class of the Fund, net expenses are equal to the annualized expense ratio for such class (2.07% for Class A and 1.82% for Class I) multiplied by the average account value over the period, multiplied by 184/365 (to reflect one year period). |
Portfolio Holdings Presented by Sector
October 31, 2011
| | | | |
| Sector* | | %** | |
Consumer Discretionary | | | 11.53% | |
Consumer Staples | | | 5.37% | |
Energy | | | 1.29% | |
Financials | | | 17.56% | |
Health Care | | | 5.53% | |
Industrials | | | 34.31% | |
Information Technology | | | 11.18% | |
Materials | | | 8.85% | |
Utilities | | | 2.16% | |
Short-Term Investment | | | 2.22% | |
Total | | | 100.00% | |
| * | | A sector may comprise several industries. |
| ** | | Represents percent of total investments. |
9
Schedule of Investments
MICRO CAP GROWTH FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| LONG-TERM INVESTMENTS 96.80% | |
|
| COMMON STOCKS 96.80% | |
| | |
| Biotechnology 1.79% | | | | | | | | |
| Amarin Corp. plc ADR* | | | 78,028 | | | $ | 733 | |
| Genomic Health, Inc.* | | | 56,988 | | | | 1,220 | |
| | | | | | | | |
| Total | | | | | | | 1,953 | |
| | | | | | | | |
| | |
| Capital Markets 1.05% | | | | | | | | |
| Financial Engines, Inc.* | | | 50,558 | | | | 1,148 | |
| | | | | | | | |
| | |
| Chemicals 0.86% | | | | | | | | |
| Koppers Holdings, Inc. | | | 28,429 | | | | 941 | |
| | | | | | | | |
|
| Commercial Banks 1.03% | |
| Bancorp, Inc. (The)* | | | 97,333 | | | | 783 | |
| Home BancShares, Inc. | | | 14,559 | | | | 341 | |
| | | | | | | | |
| Total | | | | | | | 1,124 | |
| | | | | | | | |
|
| Communications Equipment 1.74% | |
| Oplink Communications, Inc.* | | | 51,018 | | | | 828 | |
| ShoreTel, Inc.* | | | 182,610 | | | | 1,068 | |
| | | | | | | | |
| Total | | | | | | | 1,896 | |
| | | | | | | | |
|
| Computers & Peripherals 1.12% | |
| Mitek Systems, Inc.* | | | 121,200 | | | | 1,225 | |
| | | | | | | | |
|
| Construction & Engineering 1.44% | |
| MYR Group, Inc.* | | | 81,782 | | | | 1,578 | |
| | | | | | | | |
| | |
| Consumer Finance 0.88% | | | | | | | | |
| DFC Global Corp.* | | | 43,695 | | | | 958 | |
| | | | | | | | |
|
| Diversified Consumer Services 0.92% | |
| K12, Inc.* | | | 28,623 | | | | 1,003 | |
| | | | | | | | |
|
| Diversified Financial Services 0.77% | |
| MarketAxess Holdings, Inc. | | | 28,733 | | | | 840 | |
| | | | | | | | |
|
| Electrical Equipment 2.89% | |
| Capstone Turbine Corp.* | | | 936,404 | | | | 1,021 | |
| Thermon Group Holdings, Inc.* | | | 134,213 | | | $ | 2,131 | |
| | | | | | | | |
| Total | | | | | | | 3,152 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 5.09% | |
| FARO Technologies, Inc.* | | | 57,315 | | | | 2,395 | |
| Maxwell Technologies, Inc.* | | | 122,902 | | | | 2,454 | |
| NeoPhotonics Corp.* | | | 135,562 | | | | 709 | |
| | | | | | | | |
| Total | | | | | | | 5,558 | |
| | | | | | | | |
|
| Energy Equipment & Services 1.09% | |
| Global Geophysical Services, Inc.* | | | 124,846 | | | | 1,191 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 9.21% | |
| DexCom, Inc.* | | | 81,904 | | | | 802 | |
| Endologix, Inc.* | | | 241,935 | | | | 2,635 | |
| Insulet Corp.* | | | 31,277 | | | | 510 | |
| Merit Medical Systems, Inc.* | | | 59,651 | | | | 800 | |
| NxStage Medical, Inc.* | | | 45,352 | | | | 1,043 | |
| OraSure Technologies, Inc.* | | | 78,702 | | | | 731 | |
| Palomar Medical Technologies, Inc.* | | | 68,937 | | | | 587 | |
| STAAR Surgical Co.* | | | 82,800 | | | | 745 | |
| Synovis Life Technologies, Inc.* | | | 69,740 | | | | 1,253 | |
| TranS1, Inc.* | | | 330,300 | | | | 601 | |
| ZELTIQ Aesthetics, Inc.* | | | 24,800 | | | | 353 | |
| | | | | | | | |
| Total | | | | | | | 10,060 | |
| | | | | | | | |
|
| Health Care Providers & Services 2.39% | |
| Epocrates, Inc.* | | | 68,533 | | | | 596 | |
| MedQuist Holdings, Inc.* | | | 136,000 | | | | 1,163 | |
| MWI Veterinary Supply, Inc.* | | | 11,267 | | | | 851 | |
| | | | | | | | |
| Total | | | | | | | 2,610 | |
| | | | | | | | |
|
| Health Care Technology 1.35% | |
| Computer Programs & Systems, Inc. | | | 17,400 | | | | 889 | |
| Transcend Services, Inc.* | | | 21,305 | | | | 582 | |
| | | | | | | | |
| Total | | | | | | | 1,471 | |
| | | | | | | | |
See Notes to Financial Statements.
10
Schedule of Investments (continued)
MICRO CAP GROWTH FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Hotels, Restaurants & Leisure 6.59% | |
| BJ’s Restaurants, Inc.* | | | 16,114 | | | $ | 853 | |
| Bravo Brio Restaurant Group, Inc.* | | | 98,043 | | | | 1,905 | |
| Caribou Coffee Co., Inc.* | | | 159,747 | | | | 2,180 | |
| Peet’s Coffee & Tea, Inc.* | | | 35,482 | | | | 2,261 | |
| | | | | | | | |
| Total | | | | | | | 7,199 | |
| | | | | | | | |
|
| Household Durables 1.70% | |
| iRobot Corp.* | | | 54,971 | | | | 1,861 | |
| | | | | | | | |
| | |
| Information Technology Services 2.11% | | | | | | | | |
| Echo Global Logistics, Inc.* | | | 64,962 | | | | 1,003 | |
| RightNow Technologies, Inc.* | | | 16,046 | | | | 690 | |
| ServiceSource International, Inc.* | | | 46,060 | | | | 613 | |
| | | | | | | | |
| Total | | | | | | | 2,306 | |
| | | | | | | | |
|
| Internet Software & Services 12.01% | |
| Carbonite, Inc.* | | | 75,600 | | | | 954 | |
| comScore, Inc.* | | | 70,809 | | | | 1,495 | |
| Constant Contact, Inc.* | | | 16,655 | | | | 337 | |
| Cornerstone OnDemand, Inc.* | | | 91,234 | | | | 1,315 | |
| Jiayuan.com International Ltd. ADR* | | | 71,619 | | | | 743 | |
| Liquidity Services, Inc.* | | | 85,347 | | | | 2,779 | |
| LivePerson, Inc.* | | | 123,933 | | | | 1,560 | |
| NIC, Inc. | | | 105,232 | | | | 1,453 | |
| Responsys, Inc.* | | | 110,622 | | | | 1,208 | |
| Vocus, Inc.* | | | 61,657 | | | | 1,257 | |
| Zillow, Inc.* | | | 545 | | | | 16 | |
| | | | | | | | |
| Total | | | | | | | 13,117 | |
| | | | | | | | |
|
| Leisure Equipment & Products 0.53% | |
| Shuffle Master, Inc.* | | | 54,300 | | | | 576 | |
| | | | | | | | |
|
| Life Sciences Tools & Services 1.38% | |
| Fluidigm Corp.* | | | 108,390 | | | | 1,513 | |
| | | | | | | | |
| Machinery 6.47% | | | | | | | | |
| Allot Communications Ltd. (Israel)*(a) | | | 102,956 | | | $ | 1,377 | |
| Chart Industries, Inc.* | | | 14,974 | | | | 846 | |
| Dynamic Materials Corp. | | | 49,021 | | | | 1,064 | |
| RBC Bearings, Inc.* | | | 38,580 | | | | 1,563 | |
| Sun Hydraulics Corp. | | | 51,475 | | | | 1,480 | |
| Westport Innovations, Inc. (Canada)*(a) | | | 24,466 | | | | 740 | |
| | | | | | | | |
| Total | | | | | | | 7,070 | |
| | | | | | | | |
|
| Metals & Mining 1.01% | |
| Materion Corp.* | | | 41,551 | | | | 1,099 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels 3.48% | |
| Kodiak Oil & Gas Corp.* | | | 177,716 | | | | 1,228 | |
| Magnum Hunter Resources Corp.* | | | 132,831 | | | | 598 | |
| Rex Energy Corp.* | | | 127,500 | | | | 1,973 | |
| | | | | | | | |
| Total | | | | | | | 3,799 | |
| | | | | | | | |
|
| Personal Products 1.61% | |
| Inter Parfums, Inc. | | | 95,554 | | | | 1,762 | |
| | | | | | | | |
|
| Pharmaceuticals 3.62% | |
| Akorn, Inc.* | | | 226,449 | | | | 2,036 | |
| Optimer Pharmaceuticals, Inc.* | | | 67,955 | | | | 970 | |
| Sagent Pharmaceuticals, Inc.* | | | 37,248 | | | | 951 | |
| | | | | | | | |
| Total | | | | | | | 3,957 | |
| | | | | | | | |
|
| Real Estate Management & Development 1.80% | |
| Altisource Portfolio Solutions SA (Luxembourg)*(a) | | | 48,724 | | | | 1,961 | |
| | | | | | | | |
| | |
| Road & Rail 0.78% | | | | | | | | |
| Zipcar, Inc.* | | | 41,431 | | | | 847 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment 6.04% | |
| CEVA, Inc.* | | | 19,321 | | | | 600 | |
See Notes to Financial Statements.
11
Schedule of Investments (concluded)
MICRO CAP GROWTH FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Semiconductors & Semiconductor Equipment (continued) | |
| Inphi Corp.* | | | 141,628 | | | $ | 1,563 | |
| MaxLinear, Inc. Class A* | | | 94,990 | | | | 553 | |
| RDA Microelectronics, Inc. ADR* | | | 207,013 | | | | 1,677 | |
| Volterra Semiconductor Corp.* | | | 92,780 | | | | 2,199 | |
| | | | | | | | |
| Total | | | | | | | 6,592 | |
| | | | | | | | |
| | |
| Software 4.92% | | | | | | | | |
| Convio, Inc.* | | | 160,535 | | | | 1,540 | |
| NetQin Mobile, Inc. ADR* | | | 153,795 | | | | 832 | |
| Sourcefire, Inc.* | | | 50,272 | | | | 1,385 | |
| Synchronoss Technologies, Inc.* | | | 26,167 | | | | 787 | |
| Velti plc (Ireland)*(a) | | | 98,030 | | | | 825 | |
| | | | | | | | |
| Total | | | | | | | 5,369 | |
| | | | | | | | |
| | |
| Specialty Retail 6.34% | | | | | | | | |
| Body Central Corp.* | | | 116,167 | | | | 2,440 | |
| Francesca’s Holdings Corp.* | | | 6,193 | | | | 159 | |
| Hibbett Sports, Inc.* | | | 29,261 | | | | 1,205 | |
| Select Comfort Corp.* | | | 78,931 | | | | 1,639 | |
| Zumiez, Inc.* | | | 64,923 | | | | 1,477 | |
| | | | | | | | |
| Total | | | | | | | 6,920 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods 1.19% | |
| Maidenform Brands, Inc.* | | | 52,729 | | | | 1,296 | |
| | | | | | | | |
|
| Thrifts & Mortgage Finance 0.61% | |
| First PacTrust Bancorp, Inc. | | | 53,400 | | | | 672 | |
| | | | | | | | |
|
| Trading Companies & Distributors 0.99% | |
| Rush Enterprises, Inc. Class A* | | | 56,070 | | | | 1,082 | |
| | | | | | | | |
| Total Common Stocks (cost $99,527,789) | | | | | | | 105,706 | |
| | | | | | | | |
| WARRANT 0.00% | | | | | | | | |
| Oil, Gas & Consumable Fuels | |
| Magnum Hunter Resources Corp.*(b) (cost $0) | | | 13,683 | | | $ | — | (c) |
| | | | | | | | |
| Total Long-Term Investments (cost $99,527,789) | | | | | | | 105,706 | |
| | | | | | | | |
| | | Principal
Amount
(000) | | | | |
| SHORT-TERM INVESTMENT 2.84% | |
|
| Repurchase Agreement | |
| Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $3,040,000 of U.S Treasury Note at 4.375% due 8/15/2012; value: $3,169,200; proceeds: $3,103,418 (cost $3,103,417) | | $ | 3,103 | | | | 3,103 | |
| | | | | | | | |
| Total Investments in Securities 99.64% (cost $102,631,206) | | | | | | | 108,809 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities 0.36% | | | | | | | 396 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 109,205 | |
| | | | | | | | |
| | |
| ADR | | American Depositary Receipt. |
| * | | Non-income producing security. |
| (a) | | Foreign security traded in U.S. dollars. |
| (b) | | Exercise price of $10.50 and expiration date of 10/14/2013. |
| (c) | | Valued at zero as of October 31, 2011. |
See Notes to Financial Statements.
12
Schedule of Investments
MICRO CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| COMMON STOCKS 97.27% | |
|
| Aerospace & Defense 0.52% | |
| CPI Aerostructures, Inc.* | | | 57,900 | | | $ | 628 | |
| | | | | | | | |
|
| Auto Components 2.50% | |
| Drew Industries, Inc. | | | 75,800 | | | | 1,821 | |
| Modine Manufacturing Co.* | | | 113,992 | | | | 1,205 | |
| | | | | | | | |
| Total | | | | | | | 3,026 | |
| | | | | | | | |
| | |
| Automobiles 2.04% | | | | | | | | |
| Dorman Products, Inc.* | | | 64,800 | | | | 2,470 | |
| | | | | | | | |
| | |
| Chemicals 6.06% | | | | | | | | |
| Balchem Corp. | | | 24,400 | | | | 900 | |
| KMG Chemicals, Inc. | | | 121,448 | | | | 1,766 | |
| LSB Industries, Inc.* | | | 52,700 | | | | 1,867 | |
| Quaker Chemical Corp. | | | 43,900 | | | | 1,527 | |
| TPC Group, Inc.* | | | 64,300 | | | | 1,278 | |
| | | | | | | | |
| Total | | | | | | | 7,338 | |
| | | | | | | | |
|
| Commercial Banks 10.16% | |
| Bank of Marin Bancorp | | | 33,700 | | | | 1,194 | |
| Bryn Mawr Bank Corp. | | | 58,782 | | | | 1,079 | |
| MidSouth Bancorp, Inc. | | | 130,200 | | | | 1,788 | |
| Northrim BanCorp, Inc. | | | 59,074 | | | | 1,119 | |
| Sandy Spring Bancorp, Inc. | | | 98,000 | | | | 1,667 | |
| SCBT Financial Corp. | | | 40,860 | | | | 1,207 | |
| Southern National Bancorp of Virginia, Inc.* | | | 121,000 | | | | 739 | |
| Sterling Bancorp | | | 211,100 | | | | 1,742 | |
| Washington Banking Co. | | | 149,101 | | | | 1,762 | |
| | | | | | | | |
| Total | | | | | | | 12,297 | |
| | | | | | | | |
|
| Commercial Services & Supplies 11.23% | |
| CDI Corp. | | | 93,400 | | | | 1,226 | |
| McGrath RentCorp | | | 86,200 | | | | 2,303 | |
| Metalico, Inc.* | | | 135,019 | | | | 610 | |
| Mobile Mini, Inc.* | | | 118,400 | | | | 2,148 | |
| Multi-Color Corp. | | | 156,686 | | | | 4,154 | |
| Team, Inc.* | | | 75,300 | | | $ | 1,883 | |
| TMS International Corp. Class A* | | | 147,200 | | | | 1,265 | |
| | | | | | | | |
| Total | | | | | | | 13,589 | |
| | | | | | | | |
|
| Communications Equipment 2.34% | |
| Anaren, Inc.* | | | 56,990 | | | | 1,090 | |
| Bel Fuse, Inc. Class B | | | 97,500 | | | | 1,743 | |
| | | | | | | | |
| Total | | | | | | | 2,833 | |
| | | | | | | | |
|
| Computers & Peripherals 0.58% | |
| Electronics for Imaging, Inc.* | | | 46,400 | | | | 696 | |
| | | | | | | | |
|
| Construction & Engineering 1.12% | |
| MYR Group, Inc.* | | | 70,400 | | | | 1,358 | |
| | | | | | | | |
|
| Diversified Financial Services 1.37% | |
| Marlin Business Services Corp.* | | | 140,568 | | | | 1,657 | |
| | | | | | | | |
|
| Electrical Equipment 3.36% | |
| AZZ, Inc. | | | 16,700 | | | | 746 | |
| Powell Industries, Inc.* | | | 40,000 | | | | 1,344 | |
| Thermon Group Holdings, Inc.* | | | 124,800 | | | | 1,982 | |
| | | | | | | | |
| Total | | | | | | | 4,072 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components 3.88% | |
| CTS Corp. | | | 223,925 | | | | 2,078 | |
| Mercury Computer Systems, Inc.* | | | 61,700 | | | | 901 | |
| Methode Electronics, Inc. | | | 184,600 | | | | 1,715 | |
| | | | | | | | |
| Total | | | | | | | 4,694 | |
| | | | | | | | |
|
| Energy Equipment & Services 1.29% | |
| Tesco Corp.* | | | 100,700 | | | | 1,558 | |
| | | | | | | | |
|
| Food & Staples Retailing 2.53% | |
Chefs’ Warehouse, Inc.
(The)* | | | 117,613 | | | | 1,681 | |
See Notes to Financial Statements.
13
Schedule of Investments (continued)
MICRO CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Food & Staples Retailing (continued) | |
| Nash Finch Co. | | | 52,700 | | | $ | 1,387 | |
| | | | | | | | |
| Total | | | | | | | 3,068 | |
| | | | | | | | |
|
| Food Products 1.90% | |
| Overhill Farms, Inc.* | | | 594,457 | | | | 2,301 | |
| | | | | | | | |
| | |
| Gas Utilities 1.14% | | | | | | | | |
| Chesapeake Utilities Corp. | | | 32,600 | | | | 1,382 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies 3.15% | |
| ICU Medical, Inc.* | | | 55,700 | | | | 2,190 | |
| Merit Medical Systems, Inc.* | | | 120,825 | | | | 1,621 | |
| | | | | | | | |
| Total | | | | | | | 3,811 | |
| | | | | | | | |
|
| Health Care Providers & Services 1.80% | |
| CorVel Corp.* | | | 16,820 | | | | 867 | |
| U.S. Physical Therapy, Inc. | | | 67,400 | | | | 1,316 | |
| | | | | | | | |
| Total | | | | | | | 2,183 | |
| | | | | | | | |
|
| Health Care Technology 0.55% | |
| Transcend Services, Inc.* | | | 24,324 | | | | 665 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure 0.94% | |
| Marcus Corp. (The) | | | 95,532 | | | | 1,139 | |
| | | | | | | | |
| | |
| Insurance 1.26% | | | | | | | | |
| Donegal Group, Inc. Class A | | | 122,008 | | | | 1,528 | |
| | | | | | | | |
| | |
| Machinery 5.30% | | | | | | | | |
| Commercial Vehicle Group, Inc.* | | | 131,228 | | | | 1,447 | |
| Dynamic Materials Corp. | | | 72,800 | | | | 1,580 | |
| Kadant, Inc.* | | | 87,109 | | | | 1,886 | |
| RBC Bearings, Inc.* | | | 37,220 | | | | 1,507 | |
| | | | | | | | |
| Total | | | | | | | 6,420 | |
| | | | | | | | |
|
| Metals & Mining 1.41% | |
| Universal Stainless & Alloy Products, Inc.* | | | 45,331 | | | | 1,707 | |
| | | | | | | | |
| Paper & Forest Products 1.34% | |
| Neenah Paper, Inc. | | | 98,075 | | | $ | 1,618 | |
| | | | | | | | |
|
| Personal Products 0.90% | |
| Medifast, Inc.* | | | 66,500 | | | | 1,093 | |
| | | | | | | | |
|
| Professional Services 2.50% | |
| CRA International, Inc.* | | | 68,000 | | | | 1,314 | |
| Exponent, Inc.* | | | 35,539 | | | | 1,712 | |
| | | | | | | | |
| Total | | | | | | | 3,026 | |
| | | | | | | | |
|
| Real Estate Investment Trusts 1.41% | |
| Summit Hotel Properties, Inc. | | | 210,900 | | | | 1,702 | |
| | | | | | | | |
| | |
| Road & Rail 3.30% | | | | | | | | |
| Celadon Group, Inc. | | | 106,300 | | | | 1,170 | |
| Marten Transport Ltd. | | | 85,403 | | | | 1,513 | |
| Roadrunner Transportation Systems, Inc.* | | | 78,600 | | | | 1,312 | |
| | | | | | | | |
| Total | | | | | | | 3,995 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment 4.33% | |
| AXT, Inc.* | | | 189,600 | | | | 891 | |
| FormFactor, Inc.* | | | 144,300 | | | | 863 | |
Lattice Semiconductor
Corp.* | | | 290,900 | | | | 1,841 | |
| Pericom Semiconductor Corp.* | | | 193,927 | | | | 1,647 | |
| | | | | | | | |
| Total | | | | | | | 5,242 | |
| | | | | | | | |
|
| Specialty Retail 5.99% | |
| America’s Car-Mart, Inc.* | | | 59,350 | | | | 1,981 | |
| Asbury Automotive Group, Inc.* | | | 83,000 | | | | 1,548 | |
| Pier 1 Imports, Inc.* | | | 142,455 | | | | 1,782 | |
| Shoe Carnival, Inc.* | | | 70,900 | | | | 1,935 | |
| | | | | | | | |
| Total | | | | | | | 7,246 | |
| | | | | | | | |
|
| Thrifts & Mortgage Finance 3.27% | |
| First PacTrust Bancorp, Inc. | | | 157,117 | | | | 1,976 | |
See Notes to Financial Statements.
14
Schedule of Investments (concluded)
MICRO CAP VALUE FUND October 31, 2011
| | | | | | | | |
| Investments | | Shares | | | Fair
Value
(000) | |
| Thrifts & Mortgage Finance (continued) | |
| Territorial Bancorp, Inc. | | | 100,800 | | | $ | 1,981 | |
| | | | | | | | |
| Total | | | | | | | 3,957 | |
| | | | | | | | |
|
| Trading Companies & Distributors 5.37% | |
| Essex Rental Corp.* | | | 317,200 | | | | 904 | |
| H&E Equipment Services, Inc.* | | | 112,800 | | | | 1,237 | |
Rush Enterprises, Inc.
Class A* | | | 120,439 | | | | 2,325 | |
| SeaCube Container Leasing Ltd. | | | 146,500 | | | | 2,036 | |
| | | | | | | | |
| Total | | | | | | | 6,502 | |
| | | | | | | | |
|
| Transportation Infrastructure 1.42% | |
| CAI International, Inc.* | | | 110,200 | | | | 1,720 | |
| | | | | | | | |
| | |
| Water Utilities 1.01% | | | | | | | | |
| Connecticut Water Service, Inc. | | | 45,500 | | | | 1,217 | |
| | | | | | | | |
Total Common Stocks
(cost $110,782,900) | | | | | | | 117,738 | |
| | | | | | | | |
| SHORT-TERM INVESTMENT 2.21% | |
| | |
| Repurchase Agreement | | | | | | | | |
Repurchase Agreement dated 10/31/2011, 0.01% due 11/1/2011 with Fixed Income Clearing Corp. collateralized by $2,725,000 of Federal Home Loan Bank at 0.40% due 8/17/2012; value: $2,728,406; proceeds:
$2,673,079
(cost $2,673,078) | | $ | 2,673 | | | $ | 2,673 | |
| | | | | | | | |
Total Investments in Securities 99.48%
(cost $113,455,978) | | | | | | | 120,411 | |
| | | | | | | | |
| Other Assets in Excess of Liabilities 0.52% | | | | 624 | |
| | | | | | | | |
| Net Assets 100.00% | | | | | | $ | 121,035 | |
| | | | | | | | |
| * | | Non-income producing security. |
See Notes to Financial Statements.
15
Statements of Assets and Liabilities
October 31, 2011
| | | | | | | | |
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
ASSETS: | | | | | | | | |
Investments in securities, at cost | | $ | 102,631,206 | | | $ | 113,455,978 | |
Investments in securities, at fair value | | $ | 108,809,483 | | | $ | 120,410,930 | |
Receivables: | | | | | | | | |
Dividends | | | – | | | | 37,206 | |
Investment securities sold | | | 1,069,428 | | | | 890,291 | |
Capital shares sold | | | 118,284 | | | | 18,024 | |
Prepaid expenses | | | 6,744 | | | | 14,965 | |
Total assets | | | 110,003,939 | | | | 121,371,416 | |
LIABILITIES: | | | | | | | | |
Payables: | | | | | | | | |
Investment securities purchased | | | 581,645 | | | | 99,158 | |
Management fee | | | 132,965 | | | | 146,574 | |
12b-1 distribution fees | | | 3,222 | | | | 5,716 | |
Fund administration | | | 3,546 | | | | 3,909 | |
Trustees’ fees | | | 5,508 | | | | 7,446 | |
To affiliate (See Note 3) | | | 22,013 | | | | 21,110 | |
Accrued expenses | | | 49,966 | | | | 52,816 | |
Total liabilities | | | 798,865 | | | | 336,729 | |
NET ASSETS | | $ | 109,205,074 | | | $ | 121,034,687 | |
COMPOSITION OF NET ASSETS: | | | | | | | | |
Paid-in capital | | $ | 87,523,089 | | | $ | 121,996,617 | |
Accumulated net investment loss | | | (89,587 | ) | | | (7,446 | ) |
Accumulated net realized gain (loss) on investments | | | 15,593,295 | | | | (7,909,436 | ) |
Net unrealized appreciation on investments | | | 6,178,277 | | | | 6,954,952 | |
Net Assets | | $ | 109,205,074 | | | $ | 121,034,687 | |
Net assets by class: | | | | | | | | |
Class A Shares | | $ | 15,270,720 | | | $ | 26,238,635 | |
Class I Shares | | $ | 93,934,354 | | | $ | 94,796,052 | |
Outstanding shares by class
(unlimited number of authorized shares of beneficial interest): | | | | | | | | |
Class A Shares | | | 955,757 | | | | 1,146,922 | |
Class I Shares | | | 5,684,497 | | | | 4,033,036 | |
Net asset value, offering and redemption price per share
(Net assets divided by outstanding shares): | | | | | | | | |
Class A Shares–Net asset value | | $ | 15.98 | | | $ | 22.88 | |
Class A Shares–Maximum offering price (Net asset value plus sales charge of 5.75%) | | $ | 16.95 | | | $ | 24.28 | |
Class I Shares–Net asset value | | $ | 16.52 | | | $ | 23.50 | |
See Notes to Financial Statements.
16
Statements of Operations
For the Year Ended October 31, 2011
| | | | | | | | |
| | | Micro Cap
Growth Fund | | | Micro Cap
Value Fund | |
Investment income: | | | | | | | | |
Dividends | | $ | 98,019 | | | $ | 1,174,675 | |
Interest | | | 446 | | | | 631 | |
Total investment income | | | 98,465 | | | | 1,175,306 | |
Expenses: | | | | | | | | |
Management fee | | | 1,759,742 | | | | 2,039,822 | |
12b-1 distribution plan-Class A | | | 39,339 | | | | 83,451 | |
Shareholder servicing | | | 22,583 | | | | 37,469 | |
Professional | | | 41,607 | | | | 41,684 | |
Reports to shareholders | | | 6,413 | | | | 6,464 | |
Fund administration | | | 46,926 | | | | 54,395 | |
Custody | | | 10,332 | | | | 12,858 | |
Trustees’ fees | | | 2,076 | | | | 2,399 | |
Registration | | | 25,480 | | | | 26,275 | |
Subsidy (See Note 3) | | | 210,868 | | | | 206,220 | |
Other | | | 3,362 | | | | 3,870 | |
Gross expenses | | | 2,168,728 | | | | 2,514,907 | |
Expense reductions (See Note 7) | | | (25 | ) | | | (51 | ) |
Net expenses | | | 2,168,703 | | | | 2,514,856 | |
Net investment loss | | | (2,070,238 | ) | | | (1,339,550 | ) |
Net realized and unrealized gain (loss): | | | | | | | | |
Net realized gain on investments | | | 24,812,106 | | | | 7,571,775 | |
Net change in unrealized appreciation/depreciation on investments | | | (19,800,201 | ) | | | (9,989,094 | ) |
Net realized and unrealized gain (loss) | | | 5,011,905 | | | | (2,417,319 | ) |
Increase (Decrease) in Net Assets Resulting From Operations | | $ | 2,941,667 | | | $ | (3,756,869 | ) |
See Notes to Financial Statements.
17
Statements of Changes in Net Assets
| | | | | | | | |
| | | Micro Cap Growth Fund | |
| INCREASE IN NET ASSETS | | For the Year Ended
October 31, 2011 | | | For the Year Ended
October 31, 2010 | |
Operations: | | | | | | | | |
Net investment loss | | $ | (2,070,238 | ) | | $ | (1,532,943 | ) |
Net realized gain on investments | | | 24,812,106 | | | | 8,577,797 | |
Net change in unrealized appreciation/depreciation on investments | | | (19,800,201 | ) | | | 19,340,151 | |
Net increase in net assets resulting from operations | | | 2,941,667 | | | | 26,385,005 | |
Capital share transactions (See Note 11): | | | | | | | | |
Net proceeds from sales of shares | | | 14,332,083 | | | | 14,080,656 | |
Cost of shares reacquired | | | (11,880,855 | ) | | | (1,048,047 | ) |
Net increase in net assets resulting from capital share transactions | | | 2,451,228 | | | | 13,032,609 | |
Net increase in net assets | | | 5,392,895 | | | | 39,417,614 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 103,812,179 | | | $ | 64,394,565 | |
End of year | | $ | 109,205,074 | | | $ | 103,812,179 | |
Accumulated net investment loss | | $ | (89,587 | ) | | $ | (5,548 | ) |
See Notes to Financial Statements.
18
Statements of Changes in Net Assets (concluded)
| | | | | | | | |
| | | Micro Cap Value Fund | |
| INCREASE IN NET ASSETS | | For the Year Ended
October 31, 2011 | | | For the Year Ended
October 31, 2010 | |
Operations: | | | | | | | | |
Net investment loss | | $ | (1,339,550 | ) | | $ | (1,313,667 | ) |
Net realized gain on investments | | | 7,571,775 | | | | 6,709,371 | |
Net change in unrealized appreciation/depreciation on investments | | | (9,989,094 | ) | | | 16,958,204 | |
Net increase (decrease) in net assets resulting from operations | | | (3,756,869 | ) | | | 22,353,908 | |
Capital share transactions (See Note 11): | | | | | | | | |
Net proceeds from sales of shares | | | 29,570,017 | | | | 14,238,285 | |
Cost of shares reacquired | | | (20,785,659 | ) | | | (1,292,071 | ) |
Net increase in net assets resulting from capital share transactions | | | 8,784,358 | | | | 12,946,214 | |
Net increase in net assets | | | 5,027,489 | | | | 35,300,122 | |
NET ASSETS: | | | | | | | | |
Beginning of year | | $ | 116,007,198 | | | $ | 80,707,076 | |
End of year | | $ | 121,034,687 | | | $ | 116,007,198 | |
Accumulated net investment loss | | $ | (7,446 | ) | | $ | (7,594 | ) |
See Notes to Financial Statements.
19
Financial Highlights
MICRO CAP GROWTH FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $15.47 | | | | $11.32 | | | | $ 9.07 | | | | $17.36 | | | | $14.18 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.33 | ) | | | (.27 | ) | | | (.19 | ) | | | (.24 | ) | | | (.26 | ) |
| | | | | |
Net increase from payment by an affiliate for net loss realized on disposal of investments purchased/sold in error | | | – | | | | – | | | | – | | | | – | | | | – | (b) |
| | | | | |
Net realized and unrealized
gain (loss) | | | .84 | | | | 4.42 | | | | 2.44 | | | | (7.71 | ) | | | 5.83 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .51 | | | | 4.15 | | | | 2.25 | | | | (7.95 | ) | | | 5.57 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | – | | | | – | | | | – | | | | (.34 | ) | | | (2.39 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $15.98 | | | | $15.47 | | | | $11.32 | | | | $ 9.07 | | | | $17.36 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 3.30 | % | | | 36.66 | % | | | 24.81 | % | | | (46.57 | )% | | | 45.19 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 2.07 | % | | | 2.10 | % | | | 2.09 | % | | | 2.09 | % | | | 2.10 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 2.07 | % | | | 2.10 | % | | | 2.09 | % | | | 2.09 | % | | | 2.09 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.07 | % | | | 2.11 | % | | | 2.30 | % | | | 2.23 | % | | | 2.48 | % |
| | | | | |
Net investment loss | | | (1.98 | )% | | | (2.03 | )% | | | (1.99 | )% | | | (1.88 | )% | | | (1.76 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $15,271 | | | | $13,779 | | | | $10,421 | | | | $5,264 | | | | $9,882 | |
| | | | | |
Portfolio turnover rate | | | 120.62 | % | | | 115.89 | % | | | 147.34 | % | | | 173.93 | % | | | 205.25 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
| (d) | | The effect of payment by an affiliate for violation of an investment restriction on total return is less than .01%. |
See Notes to Financial Statements.
20
Financial Highlights (concluded)
MICRO CAP GROWTH FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $15.96 | | | | $11.65 | | | | $ 9.31 | | | | $17.76 | | | | $14.43 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.30 | ) | | | (.24 | ) | | | (.17 | ) | | | (.22 | ) | | | (.24 | ) |
| | | | | |
Net increase from payment by an affiliate for net loss realized on disposal of investments purchased/sold in error | | | — | | | | — | | | | — | | | | — | | | | — | (b) |
| | | | | |
Net realized and unrealized
gain (loss) | | | .86 | | | | 4.55 | | | | 2.51 | | | | (7.89 | ) | | | 5.96 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | .56 | | | | 4.31 | | | | 2.34 | | | | (8.11 | ) | | | 5.72 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | — | | | | — | | | | — | | | | (.34 | ) | | | (2.39 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $16.52 | | | | $15.96 | | | | $11.65 | | | | $ 9.31 | | | | $17.76 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(c) | | | 3.57 | % | | | 37.00 | % | | | 25.13 | % | | | (46.41 | )% | | | 45.49 | %(d) |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.82 | % | | | 1.85 | % | | | 1.85 | % | | | 1.84 | % | | | 1.85 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.82 | % | | | 1.85 | % | | | 1.85 | % | | | 1.84 | % | | | 1.84 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.82 | % | | | 1.86 | % | | | 2.05 | % | | | 1.98 | % | | | 2.04 | % |
| | | | | |
Net investment loss | | | (1.73 | )% | | | (1.78 | )% | | | (1.75 | )% | | | (1.64 | )% | | | (1.52 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $93,934 | | | | $90,033 | | | | $53,973 | | | | $44,336 | | | | $56,463 | |
| | | | | |
Portfolio turnover rate | | | 120.62 | % | | | 115.89 | % | | | 147.34 | % | | | 173.93 | % | | | 205.25 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Amount is less than $.01. |
| (c) | | Total return assumes the reinvestment of all distributions. |
| (d) | | The effect of payment by an affiliate for violation of an investment restriction on total return is less than .01%. |
See Notes to Financial Statements.
21
Financial Highlights
MICRO CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class A Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $23.33 | | | | $18.57 | | | | $16.94 | | | | $28.90 | | | | $28.67 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.29 | ) | | | (.31 | ) | | | (.19 | ) | | | (.22 | ) | | | (.28 | ) |
| | | | | |
Net realized and unrealized
gain (loss) | | | (.16 | ) | | | 5.07 | | | | 1.82 | | | | (9.79 | ) | | | 4.89 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.45 | ) | | | 4.76 | | | | 1.63 | | | | (10.01 | ) | | | 4.61 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | — | | | | — | | | | — | | | | (1.95 | ) | | | (4.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $22.88 | | | | $23.33 | | | | $18.57 | | | | $16.94 | | | | $28.90 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (1.93 | )% | | | 25.63 | % | | | 9.62 | % | | | (36.82 | )% | | | 18.84 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 2.04 | % | | | 2.06 | % | | | 2.10 | % | | | 2.09 | % | | | 2.09 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 2.04 | % | | | 2.06 | % | | | 2.10 | % | | | 2.08 | % | | | 2.09 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 2.04 | % | | | 2.06 | % | | | 2.22 | % | | | 2.14 | % | | | 2.20 | % |
| | | | | |
Net investment loss | | | (1.17 | )% | | | (1.48 | )% | | | (1.14 | )% | | | (.95 | )% | | | (1.05 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $26,239 | | | | $30,139 | | | | $22,730 | | | | $17,522 | | | | $25,561 | |
| | | | | |
Portfolio turnover rate | | | 56.97 | % | | | 48.03 | % | | | 42.27 | % | | | 56.70 | % | | | 37.11 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return does not consider the effects of sales loads and assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
22
Financial Highlights (concluded)
MICRO CAP VALUE FUND
| | | | | | | | | | | | | | | | | | | | |
| | | Class I Shares | |
| | | Year Ended 10/31 | |
| | | 2011 | | | 2010 | | | 2009 | | | 2008 | | | 2007 | |
Per Share Operating Performance | | | | | | | | | | | | | | | | | | | | |
Net asset value, beginning of year | | | $23.91 | | | | $18.98 | | | | $17.27 | | | | $29.36 | | | | $28.99 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Investment operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net investment loss(a) | | | (.24 | ) | | | (.27 | ) | | | (.15 | ) | | | (.16 | ) | | | (.20 | ) |
| | | | | |
Net realized and unrealized
gain (loss) | | | (.17 | ) | | | 5.20 | | | | 1.86 | | | | (9.98 | ) | | | 4.95 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total from investment operations | | | (.41 | ) | | | 4.93 | | | | 1.71 | | | | (10.14 | ) | | | 4.75 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Distributions to shareholders from: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net realized gain | | | — | | | | — | | | | — | | | | (1.95 | ) | | | (4.38 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net asset value, end of year | | | $23.50 | | | | $23.91 | | | | $18.98 | | | | $17.27 | | | | $29.36 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Return(b) | | | (1.67 | )% | | | 25.97 | % | | | 9.90 | % | | | (36.68 | )% | | | 19.16 | % |
| | | | | |
Ratios to Average Net Assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Expenses, excluding expense reductions and including management fee waived and expenses reimbursed | | | 1.79 | % | | | 1.81 | % | | | 1.85 | % | | | 1.84 | % | | | 1.83 | % |
| | | | | |
Expenses, including expense reductions, management fee waived and expenses reimbursed | | | 1.79 | % | | | 1.81 | % | | | 1.85 | % | | | 1.83 | % | | | 1.83 | % |
| | | | | |
Expenses, excluding expense reductions, management fee waived and expenses reimbursed | | | 1.79 | % | | | 1.81 | % | | | 1.97 | % | | | 1.89 | % | | | 1.93 | % |
| | | | | |
Net investment loss | | | (.92 | )% | | | (1.23 | )% | | | (.90 | )% | | | (.70 | )% | | | (.71 | )% |
| | | | | |
| Supplemental Data: | | | | | | | | | | | | | | | |
Net assets, end of year (000) | | | $94,796 | | | | $85,868 | | | | $57,977 | | | | $47,883 | | | | $57,664 | |
| | | | | |
Portfolio turnover rate | | | 56.97 | % | | | 48.03 | % | | | 42.27 | % | | | 56.70 | % | | | 37.11 | % |
| (a) | | Calculated using average shares outstanding during the year. |
| (b) | | Total return assumes the reinvestment of all distributions. |
See Notes to Financial Statements.
23
Notes to Financial Statements
1. ORGANIZATION
Lord Abbett Securities Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified, open-end management investment company and was organized as a Delaware statutory trust on February 26, 1993. The Trust currently consists of ten funds. This report covers the following two funds (separately, a “Fund” and collectively, the “Funds”) and their respective classes: Lord Abbett Micro-Cap Growth Fund (“Micro Cap Growth Fund”), Class A and I shares and Lord Abbett Micro-Cap Value Fund (“Micro Cap Value Fund”), Class A and I shares. The investment objective of both Micro Cap Growth Fund and Micro Cap Value Fund is long-term capital appreciation.
Each class of shares has different expenses and dividends. A front-end sales charge is normally added to the net asset value (“NAV”) for Class A shares. A contingent deferred sales charge (“CDSC”) may apply to certain redemptions of Class A shares purchased without a sales charge and redeemed before the first day of the month in which the one-year anniversary of the purchase falls (subject to certain exceptions as set forth in each Fund’s prospectus). Class I shares are not subject to any sales charges.
The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. SIGNIFICANT ACCOUNTING POLICIES
| (a) | | Investment Valuation–Securities actively traded on any recognized U.S. or non-U.S. exchange or on The NASDAQ Stock Market LLC are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Events occurring after the close of trading on non-U.S. exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the close of regular trading on the New York Stock Exchange LLC. Each Fund may rely on an independent fair valuation service in adjusting the valuations of foreign securities. Unlisted equity securities are valued at the last quoted sale price or, if no sale price is available, at the mean between the most recently quoted bid and asked prices. Securities for which market quotations are not readily available are valued at fair value as determined by management and approved in good faith by the Board of Trustees. Short-term securities with 60 days or less remaining to maturity are valued using the amortized cost method, which approximates fair value. |
| (b) | | Security Transactions–Security transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Realized and unrealized gains (losses) are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
24
Notes to Financial Statements (continued)
| (c) | | Investment Income–Dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis as earned. Discounts are accreted and premiums are amortized using the effective interest method and are included in Interest income on the Statements of Operations. Investment income is allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. |
| (d) | | Income Taxes–It is the policy of each Fund to meet the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all taxable income and capital gains to its shareholders. Therefore, no income tax provision is required. |
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns filed remains open for the fiscal years ended October 31, 2008 through October 31, 2011. The statutes of limitations on the Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
| (e) | | Expenses–Expenses incurred by the Trust that do not specifically relate to an individual fund are generally allocated to the Funds within the Trust on a pro rata basis by relative net assets. Expenses incurred by the Funds, excluding class-specific expenses, are allocated to each class of shares based upon the relative proportion of net assets at the beginning of the day. Class A shares bear class-specific expenses and fees relating to the Funds’ 12b-1 Distribution Plan. |
| (f) | | Repurchase Agreements–Each Fund may enter into repurchase agreements with respect to securities. A repurchase agreement is a transaction in which a Fund acquires a security and simultaneously commits to resell that security to the seller (a bank or securities dealer) at an agreed-upon price on an agreed-upon date. Each Fund requires at all times that the repurchase agreement be collateralized by cash, or by securities of the U.S. Government, its agencies, its instrumentalities, or U.S. Government sponsored enterprises having a value equal to, or in excess of, the value of the repurchase agreement (including accrued interest). If the seller of the agreement defaults on its obligation to repurchase the underlying securities at a time when the fair value of these securities has declined, a Fund may incur a loss upon disposition of the securities. |
| (g) | | Fair Value Measurements–Fair value is defined as the price that each Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below: |
25
Notes to Financial Statements (continued)
| | • | | Level 1 - unadjusted quoted prices in active markets for identical investments; |
| | • | | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
| | • | | Level 3 - significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of October 31, 2011 in valuing each Fund’s investments carried at fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Micro Cap Growth Fund | | | Micro Cap Value Fund | |
| Investment Type* | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | | | Level 1 (000) | | | Level 2 (000) | | | Level 3 (000) | | | Total (000) | |
Common Stocks | | $ | 105,706 | | | $ | – | | | $ | – | | | $ | 105,706 | | | $ | 117,738 | | | $ | – | | | $ | – | | | $ | 117,738 | |
Warrant | | | – | (1) | | | – | | | | – | | | | – | (1) | | | – | | | | – | | | | – | | | | – | |
Repurchase Agreement | | | – | | | | 3,103 | | | | – | | | | 3,103 | | | | – | | | | 2,673 | | | | – | | | | 2,673 | |
Total | | $ | 105,706 | | | $ | 3,103 | | | $ | – | | | $ | 108,809 | | | $ | 117,738 | | | $ | 2,673 | | | $ | – | | | $ | 120,411 | |
| * | | See Schedule of Investments for fair values in each industry. |
| (1) | | Fair valued at zero as of October 31, 2011. |
3. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Management Fee
The Trust has a management agreement with Lord, Abbett & Co. LLC (“Lord Abbett”), pursuant to which Lord Abbett supplies each Fund with investment management services and executive and other personnel, provides office space and pays for ordinary and necessary office and clerical expenses relating to research and statistical work and supervision of each Fund’s investment portfolio.
The management fee is based on each Fund’s average daily net assets at an annual rate of 1.50%, which was the Funds’ annualized effective management fee rate for the fiscal year ended October 31, 2011.
In addition, Lord Abbett provides certain administrative services to each Fund pursuant to an Administrative Services Agreement in return for a fee at an annual rate of .04% of each Fund’s average daily net assets.
For the fiscal year ended October 31, 2011, Lord Abbett contractually agreed to waive all or a portion of its management fee for each Fund and, if necessary, reimburse each Fund’s other expenses to the extent necessary so that each class’ total net annual operating expenses, excluding 12b-1 fees, did not exceed an annualized rate of 1.85%. This agreement continues through February 29, 2012, and may be terminated with respect to each Fund only upon the approval of the Fund’s Board of Trustees.
The Funds, along with certain other funds managed by Lord Abbett (collectively, the “Underlying Funds”), have entered into a Servicing Arrangement with Lord Abbett Alpha Strategy Fund (the “Alpha Strategy Fund”) of the Trust, pursuant to which each Underlying Fund pays a portion of the expenses (excluding management fees and distribution and service fees) of Alpha Strategy Fund in proportion to the average daily value of the Underlying Fund shares owned by Alpha Strategy Fund.
26
Notes to Financial Statements (continued)
Amounts paid pursuant to the Servicing Arrangement are included in Subsidy expense on each Fund’s Statement of Operations and Payable to affiliate on each Fund’s Statement of Assets and Liabilities.
As of October 31, 2011, the percentages of the Micro Cap Growth Fund’s and Micro Cap Value Fund’s outstanding shares owned by Alpha Strategy Fund were 80.71% and 71.50%, respectively.
12b-1 Distribution Plan
Each Fund has adopted a distribution plan with respect to Class A shares pursuant to Rule 12b-1 under the Act, which provides for the payment of ongoing distribution and service fees to Lord Abbett Distributor LLC (the “Distributor”), an affiliate of Lord Abbett. The fees are accrued daily at an annual rate of .25% based upon each Fund’s average daily net assets attributable to Class A shares.
Class I shares do not have a distribution plan.
Two Trustees and certain of the Trust’s officers have an interest in Lord Abbett.
4. DISTRIBUTIONS AND CAPITAL LOSS CARRYFORWARDS
Dividends from net investment income, if any, are declared and paid at least annually. Taxable net realized gains from investment transactions, reduced by allowable capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amounts of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions, which exceed earnings and profits for tax purposes, are reported as a tax return of capital.
A long-term capital gain distribution of approximately $16,347,000 was declared by the Micro Cap Growth Fund on November 17, 2011 and paid on November 22, 2011 to shareholders of record on November 21, 2011.
As of October 31, 2011 the components of accumulated gains (losses) on tax-basis were as follows:
| | | | | | | | |
| | | Micro Cap
Growth
Fund | | | Micro Cap
Value
Fund | |
Undistributed long-term capital gains | | $ | 16,346,885 | | | $ | – | |
Total undistributed earnings | | $ | 16,346,885 | | | $ | – | |
Capital loss carryforwards* | | | – | | | | (7,823,026 | ) |
Temporary differences | | | (5,508 | ) | | | (7,446 | ) |
Unrealized gains—net | | | 5,340,608 | | | | 6,868,542 | |
Total accumulated gains (losses)—net | | $ | 21,681,985 | | | $ | (961,930 | ) |
| * | | As of October 31, 2011, the Micro Cap Value Fund had a capital loss carryforward of $7,823,026, set to expire in 2017. |
27
Notes to Financial Statements (continued)
As of October 31, 2011, the aggregate unrealized security gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | |
| | | Micro Cap
Growth
Fund | | | Micro Cap
Value
Fund | |
Tax cost | | $ | 103,468,875 | | | $ | 113,542,388 | |
Gross unrealized gain | | | 16,756,758 | | | | 16,331,045 | |
Gross unrealized loss | | | (11,416,150 | ) | | | (9,462,503 | ) |
Net unrealized security gain | | $ | 5,340,608 | | | $ | 6,868,542 | |
The difference between book-basis and tax-basis unrealized gains (losses) is attributable to the tax treatment of certain securities and wash sales.
Permanent items identified during the fiscal year ended October 31, 2011 have been reclassified among the components of net assets based on their tax basis treatment as follows:
| | | | | | | | | | | | |
| | | Accumulated Net Investment Loss | | | Accumulated
Net Realized
Gain (Loss) | | | Paid-in Capital | |
Micro Cap Growth Fund | | $ | 1,986,199 | | | $ | (86,812 | ) | | $ | (1,899,387 | ) |
Micro Cap Value Fund | | | 1,339,698 | | | | – | | | | (1,339,698 | ) |
The permanent differences are primarily attributable to the tax treatment of net operating losses.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was signed by the President of the United States. The Modernization Act includes numerous provisions that generally become effective for taxable years beginning after the date of enactment. Management is currently assessing the impact of the Modernization Act as it relates to the Funds.
5. PORTFOLIO SECURITIES TRANSACTIONS
Purchases and sales of investment securities (excluding short-term investments) for the fiscal year ended October 31, 2011 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Micro Cap Growth Fund | | $ | 139,139,177 | | | $ | 137,481,178 | |
Micro Cap Value Fund | | | 83,354,067 | | | | 74,780,040 | |
There were no purchases or sales of U.S. Government securities for the fiscal year ended October 31, 2011.
6. TRUSTEES’ REMUNERATION
The Trust’s officers and the two Trustees who are associated with Lord Abbett do not receive any compensation from the Trust for serving in such capacities. Outside Trustees’ fees are allocated among all Lord Abbett-sponsored funds based on the net assets of each fund. There is an equity-based plan available to all outside Trustees under which outside Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of Trustees’ fees. The deferred amounts are treated as though equivalent dollar amounts had been invested in the funds. Such amounts and earnings accrued thereon are included in Trustees’ fees on the Statements of Operations and in Trustees’ fees payable on the Statements of Assets and Liabilities and are not deductible for U.S. federal income tax purposes until such amounts are paid.
28
Notes to Financial Statements (continued)
7. EXPENSE REDUCTIONS
The Trust has entered into an arrangement with its transfer agent and custodian, whereby credits realized as a result of uninvested cash balances are used to reduce a portion of each Fund’s expenses.
8. LINE OF CREDIT
The Funds and certain other funds managed by Lord Abbett have available an unsecured revolving credit facility (“Facility”) from State Street Bank and Trust Company (“SSB”), to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. The Facility is renewed annually under terms that depend on market conditions at the time of the renewal. The amount available under the Facility is $200,000,000. The annual fee to maintain the Facility (of which each participating fund pays its pro rata share based on the net assets of each participating fund) is .15% of the amount available under the Facility. This amount is included in Other expenses on the Funds’ Statements of Operations. In connection with the annual renewal period that commenced December 4, 2009, the Funds paid an upfront commitment fee of .05%, which was amortized through Other expenses on the Statements of Operations over the annual period of the Facility.
On November 22, 2010, the Funds and certain other funds managed by Lord Abbett entered into a short term extension of the Facility through February 2, 2011. On February 3, 2011, the Facility was renewed for an annual period by the Funds and certain other funds managed by Lord Abbett. The amount available under the Facility remained the same. The annual fee to maintain the Facility was reduced from .15% to .125% and the upfront commitment fee of .05% was removed. Any borrowings under this Facility will bear interest at current market rates as set forth in the credit agreement. During the fiscal year ended October 31, 2011, a participating fund managed by Lord Abbett utilized the Facility and fully repaid its borrowings. As of October 31, 2011, there were no loans outstanding pursuant to this Facility.
9. CUSTODIAN AND ACCOUNTING AGENT
SSB is the Trust’s custodian and accounting agent. SSB performs custodial, accounting and recordkeeping functions relating to portfolio transactions and calculating each Fund’s NAV.
10. INVESTMENT RISKS
Each Fund is subject to the general risks and considerations associated with equity investing, as well as the particular risks associated with micro-cap and growth or value stocks. The value of an investment in each Fund will fluctuate in response to movements in the equity securities market in general and to the changing prospects of individual companies in which the Funds invest. Micro-cap companies may be subject to greater risks and may be more sensitive to changes in economic conditions than larger, more established companies. There may be less liquidity in micro-cap company stocks, subjecting them to greater price fluctuations than larger company stocks. In the case of Micro Cap Growth Fund, the growth stocks in which it generally invests may add to the Fund’s volatility. In the case of the Micro Cap Value Fund, the intrinsic value of particular value stocks may not be recognized for a long time.
These factors can affect each Fund’s performance.
29
Notes to Financial Statements (concluded)
11. SUMMARY OF CAPITAL TRANSACTIONS
Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | |
| Micro Cap Growth Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 67,906 | | | $ | 1,138,505 | | | | 7,137 | | | $ | 93,065 | |
Shares reacquired | | | (2,966 | ) | | | (45,750 | ) | | | (37,187 | ) | | | (484,780 | ) |
Increase (decrease) | | | 64,940 | | | $ | 1,092,755 | | | | (30,050 | ) | | $ | (391,715 | ) |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 730,124 | | | $ | 13,193,578 | | | | 1,049,195 | | | $ | 13,987,591 | |
Shares reacquired | | | (687,583 | ) | | | (11,835,105 | ) | | | (41,760 | ) | | | (563,267 | ) |
Increase | | | 42,541 | | | $ | 1,358,473 | | | | 1,007,435 | | | $ | 13,424,324 | |
| | |
| Micro Cap Value Fund | | Year Ended
October 31, 2011 | | | Year Ended
October 31, 2010 | |
| Class A Shares | | Shares | | | Amount | | | Shares | | | Amount | |
Shares sold | | | 117,157 | | | $ | 2,875,802 | | | | 87,076 | | | $ | 1,901,984 | |
Shares reacquired | | | (262,120 | ) | | | (5,733,339 | ) | | | (19,187 | ) | | | (412,148 | ) |
Increase (decrease) | | | (144,963 | ) | | $ | (2,857,537 | ) | | | 67,889 | | | $ | 1,489,836 | |
| | | | |
| Class I Shares | | | | | | | | | | | | |
Shares sold | | | 998,515 | | | $ | 26,694,215 | | | | 577,917 | | | $ | 12,336,301 | |
Shares reacquired | | | (557,135 | ) | | | (15,052,320 | ) | | | (40,182 | ) | | | (879,923 | ) |
Increase | | | 441,380 | | | $ | 11,641,895 | | | | 537,735 | | | $ | 11,456,378 | |
30
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Lord Abbett Securities Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund, two of the portfolios constituting the Lord Abbett Securities Trust (the “Trust”) as of October 31, 2011, 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 Trust’s 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 audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its 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 Trust’s 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 October 31, 2011, 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 the Lord Abbett Micro-Cap Growth Fund and Lord Abbett Micro-Cap Value Fund of the Lord Abbett Securities Trust as of October 31, 2011, 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
New York, New York
December 21, 2011
31
Basic Information About Management
The Board of Trustees (the “Board”) is responsible for the management of the business and affairs of Trust in accordance with the laws of the State of Delaware. The Board appoints officers who are responsible for the day-to-day operations of Trust and who execute policies authorized by the Board. The Board also approves an investment adviser to Trust and continues to monitor the cost and quality of the services the investment adviser provides, and annually considers whether to renew the contract with the adviser. Generally, each Trustee holds office until his/her successor is elected and qualified or until his/her earlier resignation or removal, as provided in the Trust’s organizational documents.
Lord, Abbett & Co. LLC (“Lord Abbett”), a Delaware limited liability company, is the Trust’s investment adviser.
Interested Trustees
The following Trustees are associated with Lord Abbett and are “interested persons” of the Trust as defined in the Act. Mr. Dow and Ms. Foster are officers and directors or trustees of each of the 13 Lord Abbett-sponsored funds, which consist of 55 portfolios or series.
| | | | |
Name, Address and Year of Birth | | Current Position and
Length of Service with
the Trust | | Principal Occupation and Other Directorships
During Past Five Years |
| | |
Robert S. Dow Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1945) | | Trustee since 1993 and Chairman since 1996 | | Principal Occupation: Senior Partner of Lord Abbett (since 2007) and was formerly Managing Partner (1996 - 2007) and Chief Investment Officer (1995 - 2007), joined Lord Abbett in 1972. Other Directorships: None. |
| | |
Daria L. Foster Lord, Abbett & Co. LLC 90 Hudson Street Jersey City, NJ 07302 (1954) | | Trustee and President since 2006 | | Principal Occupation: Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. Other Directorships: None. |
Independent Trustees
The following Independent Trustees also are directors or trustees of each of the 13 Lord Abbett-sponsored funds, which consist of 55 portfolios or series.
| | | | |
Name, Address and Year of Birth | | Current Position and
Length of Service with
the Trust | | Principal Occupation and Other Directorships
During Past Five Years |
| | |
E. Thayer Bigelow Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1941) | | Trustee since 1994 | | Principal Occupation: Managing General Partner, Bigelow Media, LLC (since 2000); Senior Adviser, Time Warner Inc. (1998 - 2000). Other Directorships: Currently serves as director of Crane Co. (since 1984) and Huttig Building Products Inc. (since 1998). Previously served as a director of R.H. Donnelley Inc. (2009 - 2010) and Adelphia Communications Inc. (2003 - 2007). |
32
Basic Information About Management (continued)
| | | | |
Name, Address and
Year of Birth | | Current Position and
Length of Service
with the Trust | | Principal Occupation and Other Directorships
During Past Five Years |
| | |
Robert B. Calhoun, Jr. Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1942) | | Trustee since 1998 | | Principal Occupation: Senior Advisor of Monitor Clipper Partners, a private equity investment fund (since 1997); President of Clipper Asset Management Corp. (1991 - 2009). Other Directorships: Previously served as a director of Interstate Bakeries Corp. (1991 - 2008). |
| | |
Evelyn E. Guernsey Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1955) | | Trustee since 2011 | | Principal Occupation: CEO, Americas of J.P. Morgan Asset Management (2004 - 2010). Other Directorships: None. |
| | |
Julie A. Hill Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1946) | | Trustee since 2004 | | Principal Occupation: Owner and CEO of The Hill Company, a business consulting firm (since 1998). Other Directorships: Currently serves as director of WellPoint, Inc., a health benefits company (since 1994). Previously served as a director of Resources Connection, Inc., a consulting firm (2004 - 2007). |
| | |
Franklin W. Hobbs Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2001 | | Principal Occupation: Advisor of One Equity Partners, a private equity firm (since 2004). Other Directorships: Currently serves as a director and Chairman of the Board of Ally Financial Inc., a financial services firm (since 2009) and as a director of Molson Coors Brewing Company (since 2002). |
| | |
Thomas J. Neff Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1937) | | Trustee since 1993 | | Principal Occupation: Chairman of Spencer Stuart (U.S.), an executive search consulting firm (since 1996). Other Directorships: Currently serves as director of Ace, Ltd. (since 1997). Previously served as a director of Hewitt Associates, Inc. (2004 - 2010). |
| | |
James L.L. Tullis Lord, Abbett & Co. LLC c/o Legal Dept. 90 Hudson Street Jersey City, NJ 07302 (1947) | | Trustee since 2006 | | Principal Occupation: CEO of Tullis-Dickerson and Co. Inc., a venture capital management firm (since 1990). Other Directorships: Currently serves as director of Crane Co. (since 1998). Previously served as a director of ViaCell, Inc. (2003 - 2007). |
33
Basic Information About Management (continued)
Officers
None of the officers listed below have received compensation from the Trust. All of the officers of the Trust also may be officers of the other Lord Abbett-sponsored funds and maintain offices at 90 Hudson Street, Jersey City, NJ 07302. Unless otherwise indicated, the position(s) and title(s) listed under the “Principal Occupation During Past Five Years” column indicate each officer’s position(s) and title(s) with Lord Abbett.
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service of Current
Position | | Principal Occupation During Past Five Years |
| | | |
Robert S. Dow (1945) | | Chief Executive Officer and Chairman | | Elected in 1996 | | Senior Partner of Lord Abbett (since 2007), and was formerly Managing Partner (1996 - 2007) and Chief Investment Officer (1995 - 2007), joined Lord Abbett in 1972. |
| | | |
Daria L. Foster (1954) | | President | | Elected in 2006 | | Managing Partner of Lord Abbett (since 2007), and was formerly Director of Marketing and Client Service, joined Lord Abbett in 1990. |
| | | |
Robert P. Fetch (1953) | | Executive Vice President | | Elected in 1999 | | Partner and Director, joined Lord Abbett in 1995. |
| | | |
Daniel H. Frascarelli (1954) | | Executive Vice President | | Elected in 2009 | | Partner and Director, joined Lord Abbett in 1990. |
| | | |
Robert I. Gerber (1954) | | Executive Vice President | | Elected in 2005 | | Partner and Chief Investment Officer (since 2007), joined Lord Abbett in 1997 as Director of Taxable Fixed Income Management. |
| | | |
Gerard S. E. Heffernan, Jr. (1963) | | Executive Vice President | | Elected in 1999 | | Partner and Director, joined Lord Abbett in 1998. |
| | | |
Todd D. Jacobson (1966) | | Executive Vice President | | Elected in 2003 | | Portfolio Manager, joined Lord Abbett in 2003. |
| | | |
Vincent J. McBride (1964) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
| | | |
F. Thomas O’Halloran, III (1955) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2001. |
| | | |
Steven F. Rocco (1979) | | Executive Vice President | | Elected in 2011 | | Partner and Portfolio Manager, joined Lord Abbett in 2004. |
| | | |
Harold E. Sharon (1960) | | Executive Vice President | | Elected in 2003 | | Partner and Director, joined Lord Abbett in 2003. |
34
Basic Information About Management (continued)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service of Current
Position | | Principal Occupation During Past Five Years |
| | | |
Stacy P. Allen (1967) | | Vice President | | Elected in 2009 | | Partner and Chief Administrative Officer (since 2009), and was formerly a Client Portfolio Manager (2006 - 2008) and Director of Institutional Mutual Funds (2003 - 2006), joined Lord Abbett in 2003. |
| | | |
A. Edward Allinson (1961) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2005. |
| | | |
James W. Bernaiche (1956) | | Chief Compliance Officer | | Elected in 2004 | | Partner and Chief Compliance Officer, joined Lord Abbett in 2001. |
| | | |
Joan A. Binstock (1954) | | Chief Financial Officer and Vice President | | Elected in 1999 | | Partner and Chief Operations Officer, joined Lord Abbett in 1999. |
| | | |
John K. Forst (1960) | | Vice President and Assistant Secretary | | Elected in 2005 | | Deputy General Counsel, joined Lord Abbett in 2004. |
| | | |
Anthony W. Hipple (1964) | | Vice President | | Elected in 2006 | | Portfolio Manager, joined Lord Abbett in 2002. |
| | | |
Lawrence H. Kaplan (1957) | | Vice President and Secretary | | Elected in 1997 | | Partner and General Counsel, joined Lord Abbett in 1997. |
| | | |
Deepak Khanna (1963) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, rejoined Lord Abbett in 2007 from Jennison Associates LLC (2005 - 2007). Mr. Khanna’s former experience at Lord Abbett included Senior Research Analyst – other investment strategies (2000 - 2005). |
| | | |
David J. Linsen (1974) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2001. |
| | | |
Steven M. Lipper (1961) | | Vice President | | Elected in 2011 | | Director, Product Management, joined Lord Abbett in 2004. |
| | | |
Thomas B. Maher (1967) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2003. |
| | | |
Justin C. Maurer (1969) | | Vice President | | Elected in 2008 | | Partner and Portfolio Manager, joined Lord Abbett in 2001. |
35
Basic Information About Management (continued)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service of Current
Position | | Principal Occupation During Past Five Years |
| | | |
| A. Edward Oberhaus, III (1959) | | Vice President | | Elected in 1993 | | Partner and Director, joined Lord Abbett in 1983. |
| | | |
Thomas R. Phillips (1960) | | Vice President and Assistant Secretary | | Elected in 2008 | | Partner and Deputy General Counsel, joined Lord Abbett in 2006. |
| | | |
Walter H. Prahl (1958) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 1997. |
| | | |
Randy M. Reynolds (1972) | | Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 1999. |
| | | |
Frederick J. Ruvkun (1957) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 2006. |
| | | |
Lawrence B. Stoller (1963) | | Vice President and Assistant Secretary | | Elected in 2007 | | Partner and Senior Deputy General Counsel, joined Lord Abbett in 2007 and was formerly an Executive Vice President and the General Counsel at Cohen & Steers Capital Management, Inc. (1999 - 2007). |
| | | |
Francis T. Timons (1969) | | Vice President | | Elected in 2010 | | Portfolio Manager, joined Lord Abbett in 2007 and was formerly a Research Analyst at Robert W. Baird & Co. (2004 - 2007). |
| | | |
Leah G. Traub (1979) | | Vice President | | Elected in 2011 | | Director of Currency Management, joined Lord Abbett in 2007 and was formerly a Research Economist at Princeton Economics Group (2006 -2007) and Research Assistant and Lecturer at Rutgers University (2003 - 2007). |
| | | |
Paul J. Volovich (1973) | | Vice President | | Elected in 2011 | | Partner and Director, joined Lord Abbett in 1997. |
| | | |
Arthur K. Weise (1970) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2007 and was formerly a Managing Director, Portfolio Manager and Analyst at Bank of New York Institutional Asset Management (2005 - 2007). |
36
Basic Information About Management (concluded)
| | | | | | |
Name and Year of Birth | | Current Position
with the Trust | | Length of Service of Current
Position | | Principal Occupation During Past Five Years |
| | | |
Kewjin Yuoh (1971) | | Vice President | | Elected in 2011 | | Portfolio Manager, joined Lord Abbett in 2010 and was formerly a Senior Vice President – Director of Fundamental Research and Senior Portfolio at Alliance Bernstein, LLP (2003 - 2010). |
| | | |
Bernard J. Grzelak (1971) | | Treasurer | | Elected in 2001 | | Partner and Director of Fund Administration, joined Lord Abbett in 2003. |
Please call 888-522-2388 for a copy of the statement of additional information (“SAI”), which contains further information about the Trust’s Trustees. It is available free upon request.
37
Householding
The Trust has adopted a policy that allows it to send only one copy of each Fund’s prospectus, proxy material, annual report and semiannual report to certain shareholders residing at the same “household.” This reduces Fund expenses, which benefits you and other shareholders. If you need additional copies or do not want your mailings to be “householded,” please call Lord Abbett at 888-522-2388 or send a written request with your name, the name of your fund or funds and your account number or numbers to Lord Abbett Family of Funds, P.O. Box 219336, Kansas City, MO 64121.
Proxy Voting Policies, Procedures and Records
A description of the policies and procedures that Lord Abbett uses to vote proxies related to each Fund’s portfolio securities, and information on how Lord Abbett voted each Fund’s proxies during the 12-month period ended June 30 are available without charge, upon request, (i) by calling 888-522-2388; (ii) on Lord Abbett’s Website at www.lordabbett.com; and (iii) on the Securities and Exchange Commission’s (“SEC”) Website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available without charge, upon request on the SEC’s Website at www.sec.gov and may be available by calling Lord Abbett at 888-522-2388. You can also obtain copies of Form N-Q by visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330).
38
This report, when not used for the general information of shareholders of the Fund, is to be distributed only if preceded or accompanied by a current fund prospectus.
Lord Abbett mutual fund shares are distributed by LORD ABBETT DISTRIBUTOR LLC.
Lord Abbett Securities Trust
Micro-Cap Growth Fund
Micro-Cap Value Fund
LAMCVF-2-1011
(12/11)
| | (a) | In accordance with applicable requirements, the Registrant adopted a Sarbanes-Oxley Code of Ethics on June 19, 2003 that applies to the principal executive officer and senior financial officers of the Registrant (“Code of Ethics”). The Code of Ethics was in effect during the fiscal year ended October 31, 2011 (the “Period”). |
| | (c) | The Registrant has not amended the Code of Ethics as described in Form N-CSR during the Period. |
| | (d) | The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the Period. |
| | (f) | See Item 12(a)(1) concerning the filing of the Code of Ethics. The Registrant will provide a copy of the Code of Ethics to any person without charge, upon request. To obtain a copy, please call Lord Abbett at 888-522-2388. |
| Item 3: | Audit Committee Financial Expert. |
| | | The Registrant’s board of trustees has determined that each of the following independent trustees who are members of the audit committee is an audit committee financial expert: E. Thayer Bigelow, Robert B. Calhoun Jr., and James L.L. Tullis. Each of these persons is independent within the meaning of the Form N-CSR. |
| Item 4: | Principal Accountant Fees and Services. |
| | | In response to sections (a), (b), (c) and (d) of Item 4, the aggregate fees billed to the Registrant for the fiscal years ended October 31, 2011 and 2010 by the Registrant’s principal accounting firm, Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu and their respective affiliates (collectively, “Deloitte”) were as follows: |
| | | | |
| | | Fiscal year ended: |
| | | 2011 | | 2010 |
Audit Fees {a} | | $385,000 | | $340,500 |
Audit-Related Fees | | - 0 - | | - 0 - |
| | |
Total audit and audit-related fees | | 385,000 | | 340,500 |
| | |
| | |
Tax Fees {b} | | 82,122 | | 72,827 |
All Other Fees | | - 0 - | | - 0 - |
| | |
| | |
Total Fees | | $467,122 | | $413,327 |
| | |
{a} Consists of fees for audits of the Registrant’s annual financial statements.
{b} Fees for the fiscal year ended October 31, 2011 and 2010 consist of fees for preparing the U.S. Income Tax Return for Regulated Investment Companies, New Jersey Corporation Business Tax Return, New Jersey Annual Report Form, U.S. Return of Excise Tax on Undistributed Income of Investment Companies, IRS Forms 1099-MISC and 1096 Annual Summary and Transmittal of U.S. Information Returns.
(e) (1) Pursuant to Rule 2-01(c) (7) of Regulation S-X, the Registrant’s Audit Committee has adopted pre-approval policies and procedures. Such policies and procedures generally provide that the Audit Committee must pre-approve:
| | • | | any audit, audit-related, tax, and other services to be provided to the Lord Abbett Funds, including the Registrant, and |
| | • | | any audit-related, tax, and other services to be provided to the Registrant’s investment adviser and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to one or more Funds comprising the Registrant if the engagement relates directly to operations and financial reporting of a Fund, by the independent auditor to assure that the provision of such services does not impair the auditor’s independence. |
The Audit Committee has delegated pre-approval authority to its Chairman, subject to a fee limit of $10,000 per event, and not to exceed $25,000 annually. The Chairman will report any pre-approval decisions to the Audit Committee at its next scheduled meeting. Unless a type of service to be provided by the independent auditor has received general pre-approval, it must be pre-approved by the Audit Committee. Any proposed services exceeding pre-approved cost levels will require specific pre-approval by the Audit Committee.
(e) (2) The Registrant’s Audit Committee has approved 100% of the services described in this Item 4 (b) through (d).
(f) Not applicable.
(g) The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant are shown above in the response to Item 4 (a), (b), (c) and (d) as “All Other Fees”.
The aggregate non-audit fees billed by Deloitte for services rendered to the Registrant’s investment adviser, Lord, Abbett & Co. LLC (“Lord Abbett”), for the fiscal years ended October 31, 2011 and 2010 were:
| | | | |
| | | Fiscal year ended: |
| | | 2011 | | 2010 |
All Other Fees {a} | | $172,220 | | $171,360 |
{a} Consist of fees for Independent Services Auditors’ Report on Controls Placed in Operation and Tests of Operating Effectiveness related to Lord Abbett’s Asset Management Services (“SAS 70 Report”).
The aggregate non-audit fees billed by Deloitte for services rendered to entities under the common control of Lord Abbett for the fiscal years ended October 31, 2011 and 2010 were:
| | | | |
| | | Fiscal year ended: |
| | | 2011 | | 2010 |
All Other Fees | | $ - 0 - | | $ - 0- |
(h) The Registrant’s Audit Committee has considered the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant, that were not pre-approved pursuant to Rule 2-01 (c)(7)(ii) of Regulation S-X and has determined that the provision of such services is compatible with maintaining Deloitte’s independence.
| Item 5: | Audit Committee of Listed Registrants. |
| Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
| Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
| Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
| Item 10: | Submission of Matters to a Vote of Security Holders. |
| Item 11: | Controls and Procedures. |
| | (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the Chief Executive Officer and Chief Financial Officer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| | (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
| | (a)(1) | Amendments to Code of Ethics – Not applicable. |
| | (a)(2) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 under the Investment Company Act of 1940 is attached hereto as a part of EX-99.CERT. |
| | (b) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Section 906 of the Sarbanes-Oxley Act of 2002 is provided as a part of EX-99.906CERT. | |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | | | |
| | | | LORD ABBETT SECURITIES TRUST |
| | | |
| | | | By: | | /s/ Robert S. Dow |
| | | | | | Robert S. Dow |
| | | | | | Chief Executive Officer and Chairman |
| | | |
| Date: December 20, 2011 | | | | | | |
| | | |
| | | | By: | | /s/ Joan A. Binstock |
| | | | | | Joan A. Binstock |
| | | | | | Chief Financial Officer and Vice President |
| | | |
| Date: December 20, 2011 | | | | | | |
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/ Robert S. Dow |
| | | | | | Robert S. Dow |
| | | | | | Chief Executive Officer and Chairman |
| | | |
| Date: December 20, 2011 | | | | | | |
| | | |
| | | | By: | | /s/ Joan A. Binstock |
| | | | | | Joan A. Binstock |
| | | | | | Chief Financial Officer and Vice President |
| | | |
| Date: December 20, 2011 | | | | | | |
