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SECURITIES AND EXCHANGE COMMISSION
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Schwab Capital Trust
101 Montgomery Street, San Francisco, California 94104
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October 31, 2006
S&P 500 Fund
Index Fund®
Index Fund®
Index Fund®
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the stock market for long-term growth potential.
In this report
Performance at a Glance | 1 | |||||
From the Chairman | 2 | |||||
From the President | 3 | |||||
Investment Environment | 4 | |||||
Schwab S&P 500 Index Fund | 6 | |||||
Schwab Institutional Select® S&P 500 Fund | 8 | |||||
Schwab 1000 Index® Fund | 10 | |||||
Schwab Small-Cap Index Fund® | 12 | |||||
Schwab Total Stock Market Index Fund® | 14 | |||||
Schwab International Index Fund® | 16 | |||||
Fund Expenses | 18 | |||||
Financial Statements | 20 | |||||
Financial Notes | 63 | |||||
Investment Advisory Agreement Approval | 72 | |||||
Trustees and Officers | 74 | |||||
Glossary | 78 |
Select Shares® are available on many Schwab Funds®
Distributor and transfer agent: Charles Schwab & Co., Inc. (Schwab).
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| Total Return for the Report Period | |||
---|---|---|---|---|
Schwab S&P 500 Index Fund | ||||
Investor Shares (Ticker Symbol: SWPIX) | 16.03 | % | ||
Select Shares (Ticker Symbol: SWPPX) | 16.18 | % | ||
e.Shares (Ticker Symbol: SWPEX)1 | 16.20 | % | ||
Benchmark: S&P 500® Index | 16.34 | % | ||
Performance Details | pages 6–7 | |||
Schwab Institutional Select® S&P 500 Fund (Ticker Symbol: ISLCX) | 16.39 | % | ||
Benchmark: S&P 500® Index | 16.34 | % | ||
Performance Details | pages 8–9 | |||
Schwab 1000 Index® Fund | ||||
Investor Shares (Ticker Symbol: SNXFX) | 15.84 | % | ||
Select Shares (Ticker Symbol: SNXSX) | 16.01 | % | ||
Benchmark: Schwab1000 Index® | 16.26 | % | ||
Performance Details | pages 10–11 | |||
Schwab Small-Cap Index Fund® | ||||
Investor Shares (Ticker Symbol: SWSMX) | 17.62 | % | ||
Select Shares (Ticker Symbol: SWSSX) | 17.78 | % | ||
Benchmark: Schwab Small-Cap Index® | 17.94 | % | ||
Performance Details | pages 12–13 | |||
Schwab Total Stock Market Index Fund® | ||||
Investor Shares (Ticker Symbol: SWTIX) | 16.05 | % | ||
Select Shares (Ticker Symbol: SWTSX) | 16.23 | % | ||
Benchmark: Dow Jones Wilshire 5000 Composite IndexSM | 16.61 | % | ||
Performance Details | pages 14–15 | |||
Schwab International Index Fund® | ||||
Investor Shares (Ticker Symbol: SWINX) | 26.15 | % | ||
Select Shares (Ticker Symbol: SWISX) | 26.35 | % | ||
Benchmark: Schwab International Index® | 26.76 | % | ||
Performance Details | pages 16–17 | |||
Minimum Initial Investment2 | ||||
Investor Shares ($1,000 for retirement, education and custodial accounts) | $ 2,500 | |||
Select Shares® | $50,000 | |||
e.Shares ($500 for retirement, education and custodial accounts) | $ 1,000 | |||
Institutional Select S&P 500 Fund | $75,000 |
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From the Chairman | ||
Dear Shareholder, I founded Schwab over thirty years ago to be a home for serious investors. That mission continues to guide us today as we constantly strive to improve and innovate. By doing this, and providing some of the highest quality products and services — at a competitive price — we remain true to our heritage. I take particular pride in the Schwab Funds. Founded over 15 years ago, Schwab Funds now includes more than 50 funds with over $170 billion in assets. With a variety of investment strategies, Schwab Funds provides a range of innovative investment choices that can serve as a foundation for your asset allocation plan, including the Schwab Equity Index Funds, contained within this book. Schwab Funds are managed by Charles Schwab Investment Management, Inc., one of the largest mutual fund managers in the U.S. Our portfolio managers share a passion for market analysis and use some of the most sophisticated financial models in the country. I am proud of their depth of experience, which reflects an average of 14 years in the investment industry. Furthermore, I am impressed by the commitment that our managers bring to the stewardship of their funds, for you, their shareholders. In closing, I want to thank you for investing with us. We work every day to warrant the trust you have placed in us; that will never change. Sincerely, |
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From the President | ||
Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and of each of the funds covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | Dear Shareholder, I am pleased to present the annual report for the Schwab Equity Index Funds for the period ended October 31, 2006. Thanks to the support of investors like you, Schwab Equity Index Funds assets were over $21 billion as of this report date. Schwab Equity Index Funds let you tap into the power of the stock market for long-term growth potential. Indexing can be a highly effective approach to stock investing. In fact, for the one-year report period, I’m pleased to note that all but one of our equity index funds beat their respective fund category averages. What’s more, since an indexing strategy generally results in lower turnover, this can mean fewer taxable capital gain distributions to shareholders. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the funds’ ticker symbols and report period returns for the funds and their benchmarks. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.schwabfunds.com. This website contains regular updates about the Schwab Funds. I encourage you to visit the website to stay informed about your fund. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Schwab Funds. Sincerely, Past performance is no guarantee of future results. |
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Product (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. | |
Asset Class Performance Comparison % returns during the report period | ||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | ||||||
n 16.34% | S&P 500® Index: measures U.S. large-cap stocks | |||||
n 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | |||||
n 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | |||||
n 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market |
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Larry Mano, (right) vice president and senior portfolio manager, is responsible for the co-management of the fund. Tom Brown, (left) associate portfolio manager, is responsible for the dayto-day co-management of the fund. | The Schwab S&P 500 Index Fund Investor Shares ended the one-year period with a positive return of 16.03%, tracking the benchmark, the S&P 500 Index, which was up 16.34%. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. The S&P 500 Index includes the stocks of 500 leading U.S. publicly traded companies from a broad range of industries and is market-capitalization weighted. Therefore, its returns are most heavily influenced by the largest names in the index. Sectors with the best performance during the report period were Telecommunication Services, Materials, and Consumer Discretionary. On the downside, Information Technology (IT) and Health Care sectors trailed, with such IT industry heavyweights as Dell Inc., and Intel Corp. struggling. Top performing industry groups included Diversified Telecommunication Services, Metals and Mining, and Road and Rail. Conversely, Diversified Consumer Services, Internet Software and Services, and Wireless Telecommunication industry groups generated negative returns. Stocks that performed well during the period included Allegheny Technologies Inc., NVIDIA Corp. and Exxon Mobil Corp. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Statistics | |||||
Number of Holdings | 502 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 96,440 | ||||
Price/Earnings Ratio (P/E) | 17.4 | ||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | ||||
Financials | 22.1 | % | ||
Information Technology | 15.4 | % | ||
Health Care | 12.4 | % | ||
Industrials | 10.9 | % | ||
Consumer Discretionary | 10.3 | % | ||
Consumer Staples | 9.5 | % | ||
Energy | 9.4 | % | ||
Telecommunication Services | 3.5 | % | ||
Utilities | 3.4 | % | ||
Materials | 3.0 | % | ||
Others | 0.1 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
Exxon Mobil Corp. | 3.4 | % | ||
General Electric Co. | 2.9 | % | ||
Citigroup, Inc. | 2.0 | % | ||
Microsoft Corp. | 2.0 | % | ||
Bank of America Corp. | 2.0 | % | ||
Procter & Gamble Co. | 1.6 | % | ||
Johnson & Johnson | 1.6 | % | ||
Pfizer, Inc. | 1.6 | % | ||
American International Group, Inc. | 1.4 | % | ||
Altria Group, Inc. | 1.4 | % | ||
Total | 19.9 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | Performance of a Hypothetical $10,000 Investment in e.Shares1 | ||||||
Pre-Tax Average Annual Total Returns1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (5/1/96) | 16.03 | % | 6.94 | % | 8.26 | % | n/a | ||||||||||
Select Shares® (5/19/97) | 16.18 | % | 7.12 | % | n/a | 6.96% | |||||||||||
e.Shares® (5/1/96) | 16.20 | % | 7.04 | % | 8.36 | % | n/a | ||||||||||
Benchmark: S&P 500® Index | 16.34 | % | 7.25 | % | 8.63 | % | (5/19/97) 7.13% | ||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 7.76 | % | (5/19/97) 6.63% | ||||||||||
Average Annual Total Returns After Tax1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (5/1/96) | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.41 | % | 6.41 | % | 7.80 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 10.39 | % | 5.65 | % | 7.01 | % | n/a | ||||||||||
Select Shares® (5/19/97) | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.89 | % | 6.60 | % | n/a | 6.50 | % | ||||||||||
Post-Liquidation (shares were sold) | 10.86 | % | 5.84 | % | n/a | 5.83 | % | ||||||||||
e.Shares® (5/1/96) | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.90 | % | 6.54 | % | 7.90 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 10.86 | % | 5.79 | % | 7.11 | % | n/a | ||||||||||
Fund Category: Morningstar Large-Cap Blend | |||||||||||||||||
Pre-Liquidation (still own shares) | 6.56 | % | 5.96 | % | 6.25 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 5.04 | % | 5.31 | % | 5.97 | % | n/a |
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Schwab Institutional Select® S&P 500 Fund
Larry Mano, (right) vice president and senior portfolio manager, is responsible for the co-management of the fund. Tom Brown, (left) associate portfolio manager, is responsible for the dayto-day co-management of the fund. | Schwab Institutional Select S&P 500 Fund ended the one-year period with a positive return of 16.39%, tracking the benchmark, the S&P 500 Index, which was up 16.34%. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. The S&P 500 Index includes the stocks of 500 leading U.S. publicly traded companies from a broad range of industries and is market-capitalization weighted. Therefore, its returns are most heavily influenced by the largest names in the index. Sectors with the best performance during the report period were Telecommunication Services, Materials, and Consumer Discretionary. On the downside, Information Technology (IT) and Health Care sectors trailed, with such IT industry heavyweights as Dell Inc., and Intel Corp. struggling. Top performing industry groups included Diversified Telecommunication Services, Metals and Mining, and Road and Rail. Conversely, Diversified Consumer Services, Internet Software and Services, and Wireless Telecommunication industry groups generated negative returns. Stocks that performed well during the period included Allegheny Technologies Inc., NVIDIA Corp. and Exxon Mobil Corp. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Statistics | |||||
Number of Holdings | 506 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 96,160 | ||||
Price/Earnings Ratio (P/E) | 17.4 | ||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | ||||
Financials | 22.0 | % | ||
Information Technology | 15.3 | % | ||
Health Care | 12.3 | % | ||
Industrials | 10.8 | % | ||
Consumer Discretionary | 10.3 | % | ||
Energy | 9.4 | % | ||
Consumer Staples | 9.4 | % | ||
Telecommunication Services | 3.5 | % | ||
Utilities | 3.4 | % | ||
Materials | 2.9 | % | ||
Others | 0.7 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
Exxon Mobil Corp. | 3.4 | % | ||
General Electric Co. | 2.9 | % | ||
Citigroup, Inc. | 2.0 | % | ||
Microsoft Corp. | 2.0 | % | ||
Bank of America Corp. | 1.9 | % | ||
Procter & Gamble Co. | 1.6 | % | ||
Johnson & Johnson | 1.6 | % | ||
Pfizer, Inc. | 1.6 | % | ||
American International Group, Inc. | 1.4 | % | ||
Altria Group, Inc. | 1.4 | % | ||
Total | 19.8 | % |
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Schwab Institutional Select S&P 500 Fund
Performance Summary as of 10/31/06Performance of a Hypothetical $75,000 Investment1 | ||
Pre-Tax Average Annual Total Returns1,2 | |||||||||||||
1 year | 5 years | Since Inception | |||||||||||
Fund: Institutional Select® S&P 500 Fund (2/1/99) | 16.39 | % | 7.19 | % | 2.46 | % | |||||||
Benchmark: S&P 500® Index | 16.34 | % | 7.25 | % | 2.55 | % | |||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 3.08 | % | |||||||
Average Annual Total Returns After Tax1,2 | |||||||||||||
1 year | 5 years | Since Inception | |||||||||||
Fund: Institutional Select S&P 500 Fund (2/1/99) | |||||||||||||
Pre-Liquidation (still own shares) | 16.14 | % | 6.67 | % | 2.03 | % | |||||||
Post-Liquidation (shares were sold) | 10.90 | % | 5.89 | % | 1.84 | % | |||||||
Fund Category: Morningstar Large-Cap Blend | |||||||||||||
Pre-Liquidation (still own shares) | 6.56 | % | 5.96 | % | n/a | ||||||||
Post-Liquidation (shares were sold) | 5.04 | % | 5.31 | % | n/a |
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Larry Mano, (right) vice president and senior portfolio manager, is responsible for the co-management of the fund. Tom Brown, (left) associate portfolio manager, is responsible for the dayto-day co-management of the fund. | The Schwab 1000 Index Fund Investor Shares returned 15.84% for the period, slightly underperforming its benchmark, the Schwab 1000 Index, which gained 16.26%. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. The Schwab 1000 Index is comprised of the stocks of the largest 1000 publicly traded companies in the United States. The Index is market-capitalization weighted, and therefore, its returns are most heavily influenced by the largest names in the index. Sectors that performed well for the period included Telecommunication Services and Materials, while Health Care and Information Technology appreciated the least. From an industry group perspective, Diversified Telecommunication Services and Metals and Mining were among the top performers, while Diversified Consumer Services produced negative returns. Top performing stocks included such names as Exxon Mobil Corp. and Bank of America Corp. Exxon Mobil’s stock continued to climb throughout the year as net income continued to rise, propelled by increased production and discovery of new wells. On the downside, holdings in Yahoo!, Inc. and Dell, Inc. detracted from returns. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Statistics | |||||
Number of Holdings | 976 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 85,243 | ||||
Price/Earnings Ratio (P/E) | 18.1 | ||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | ||||
Financials | 23.0 | % | ||
Information Technology | 15.2 | % | ||
Health Care | 12.0 | % | ||
Consumer Discretionary | 11.5 | % | ||
Consumer Staples | 9.3 | % | ||
Energy | 8.8 | % | ||
Utilities | 3.3 | % | ||
Telecommunication Services | 3.2 | % | ||
Materials | 3.1 | % | ||
Industrials | 10.6 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
Exxon Mobil Corp. | 2.9 | % | ||
General Electric Co. | 2.4 | % | ||
Microsoft Corp. | 2.0 | % | ||
Bank of America Corp. | 1.7 | % | ||
Citigroup, Inc. | 1.7 | % | ||
Procter & Gamble Co. | 1.4 | % | ||
Wal-Mart Stores, Inc. | 1.3 | % | ||
Johnson & Johnson | 1.3 | % | ||
Pfizer, Inc. | 1.3 | % | ||
American International Group, Inc. | 1.2 | % | ||
Total | 17.2 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||
Pre-Tax Average Annual Total Returns1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (4/2/91) | 15.84 | % | 7.70 | % | 8.64 | % | n/a | ||||||||||
Select Shares® (5/19/97) | 16.01 | % | 7.85 | % | n/a | 7.48% | |||||||||||
Benchmark: Schwab 1000® Index | 16.26 | % | 8.06 | % | 8.99 | % | (5/19/97) 7.69% | ||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 7.76 | % | (5/19/97) 6.63% | ||||||||||
Average Annual Total Returns After Tax1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (4/2/91) | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.63 | % | 7.30 | % | 8.25 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 10.54 | % | 6.42 | % | 7.41 | % | n/a | ||||||||||
Select Shares® (5/19/97) | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.77 | % | 7.40 | % | n/a | 7.08% | |||||||||||
Post-Liquidation (shares were sold) | 10.68 | % | 6.52 | % | n/a | 6.33% | |||||||||||
Fund Category: Morningstar Large-Cap Blend | |||||||||||||||||
Pre-Liquidation (still own shares) | 6.56 | % | 5.96 | % | 6.25 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 5.04 | % | 5.31 | % | 5.97 | % | n/a |
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Larry Mano, (right) vice president and senior portfolio manager, is responsible for the co-management of the fund. Tom Brown, (left) associate portfolio manager, is responsible for the dayto-day co-management of the fund. | The Schwab Small-Cap Index Fund Investor Shares returned 17.62% for the report period, trailing its benchmark, the Schwab Small-Cap Index, which posted 17.94%. The Schwab Small-Cap Index is comprised of the stocks of the second- largest 1,000 publicly traded companies in the United States. The Index is market-capitalization weighted, and therefore, its returns are most heavily influenced by the largest names in the index. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. Sectors such as Materials and Industrials lead performance, while Consumer Staples lagged in returns. Within the fund, Industrial Conglomerates and Marine industry groups contributed positively, while Distributors and Household Products produced negative returns for the period. Stocks such as Continental Airlines, Inc. and Veritas DGC, Inc. were among the top performers. One of the fund’s largest holdings, Veritas received a cash and stock offer to be purchased, which helped boost the company’s stock price. Conversely, positions in Chet Networks, Inc. and Openwave Systems, Inc. detracted from performance. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Statistics | |||||
Number of Holdings | 983 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 1,509 | ||||
Price/Earnings Ratio (P/E) | 25.8 | ||||
Price/Book Ratio (P/B) | 2.4 |
Sector Weightings % of Investments | ||||
Financials | 21.6 | % | ||
Consumer Discretionary | 17.0 | % | ||
Information Technology | 16.0 | % | ||
Industrials | 14.5 | % | ||
Health Care | 9.4 | % | ||
Energy | 8.0 | % | ||
Materials | 5.0 | % | ||
Utilities | 3.6 | % | ||
Consumer Staples | 3.4 | % | ||
Telecommunication Services | 1.2 | % | ||
Others | 0.3 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
Continental Airlines, Inc., Class B | 0.3 | % | ||
OfficeMax, Inc. | 0.3 | % | ||
Albermarie Corp. | 0.2 | % | ||
Steel Dynamics, Inc. | 0.2 | % | ||
Boardwalk Pipeline Partners L.P. | 0.2 | % | ||
Carpenter Technology Corp. | 0.2 | % | ||
Veritas DGC, Inc. | 0.2 | % | ||
Polycom, Inc. | 0.2 | % | ||
Holly Corp. | 0.2 | % | ||
Brookdale Senior Living, Inc. | 0.2 | % | ||
Total | 2.2 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||
Pre-Tax Average Annual Total Returns1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (12/3/93) | 17.62 | % | 11.79 | % | 9.60 | % | n/a | ||||||||||
Select Shares® (5/19/97) | 17.78 | % | 11.95 | % | n/a | 9.53% | |||||||||||
Benchmark: Schwab Small-Cap Index® | 17.94 | % | 11.98 | % | 10.37 | % | (5/19/97) 10.06% | ||||||||||
Fund Category: Morningstar Small-Cap Blend | 16.35 | % | 13.54 | % | 11.03 | % | (5/19/97) 10.57% | ||||||||||
Average Annual Total Returns After Tax1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (12/3/93) | |||||||||||||||||
Pre-Liquidation (still own shares) | 17.40 | % | 11.37 | % | 8.83 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 11.69 | % | 10.07 | % | 8.07 | % | n/a | ||||||||||
Select Shares® (5/19/97) | |||||||||||||||||
Pre-Liquidation (still own shares) | 17.53 | % | 11.49 | % | n/a | 8.69 | % | ||||||||||
Post-Liquidation (shares were sold) | 11.83 | % | 10.19 | % | n/a | 7.94 | % | ||||||||||
Fund Category: Morningstar Large-Cap Blend | |||||||||||||||||
Pre-Liquidation (still own shares) | 4.38 | % | 12.39 | % | 8.66 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 4.97 | % | 11.35 | % | 8.44 | % | n/a |
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Larry Mano, vice president and senior portfolio manager, is responsible for the co-management of the fund. | The Schwab Total Stock Market Index Fund Investor Shares returned 16.05% during the one-year period, tracking its benchmark, the Dow Jones Wilshire 5000 Composite Index, which was up 16.61%. The Dow Jones Wilshire 5000 Composite Index includes all publicly traded stocks of companies headquartered in the United States for which pricing information is readily available, currently more than 7,000 stocks. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. Sectors that provided positive returns included Telecommunication Services and Materials, while on the downside, Health Care and Consumer Staples trailed. Within the Fund, industry groups that performed well were Diversified Telecommunication Services and Metals and Mining. Conversely, underperformers included Distributors and Diversified Consumer Services. From a stock perspective, Exxon Mobil Corp. and Bank of America Corp. weighed in as top contributors in the fund. Although many banks are experiencing narrower profit margins as a result of the inverted yield curve, Bank of America Corp. stock continued to rise throughout the year. Conversely, stocks like Yahoo!, Inc. and Dell, Inc. detracted from returns. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Statistics | |||||
Number of Holdings | 2,581 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 76,998 | ||||
Price/Earnings Ratio (P/E) | 18.6 | ||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | ||||
Financials | 22.8 | % | ||
Information Technology | 15.3 | % | ||
Consumer Discretionary | 12.3 | % | ||
Health Care | 11.8 | % | ||
Industrials | 11.0 | % | ||
Consumer Staples | 8.6 | % | ||
Energy | 8.6 | % | ||
Utilities | 3.4 | % | ||
Materials Telecommunication | 3.2 | % | ||
Services | 3.0 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
Exxon Mobil Corp. | 2.6 | % | ||
General Electric Co. | 2.1 | % | ||
Microsoft Corp. | 1.7 | % | ||
Citigroup, Inc. | 1.5 | % | ||
Bank of America Corp. | 1.5 | % | ||
Procter & Gamble Co. | 1.3 | % | ||
Johnson & Johnson | 1.2 | % | ||
Pfizer, Inc. | 1.2 | % | ||
Wal-Mart Stores, Inc. | 1.1 | % | ||
American International Group, Inc. | 1.1 | % | ||
Total | 15.3 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||
Pre-Tax Average Annual Total Returns1,2 | ||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | Since Inception | |||||||||
Investor Shares (6/1/99) | 16.05 | % | 8.64 | % | 3.29 | % | ||||||
Select Shares® (6/1/99) | 16.23 | % | 8.80 | % | 3.45 | % | ||||||
Benchmark: Dow Jones Wilshire 5000 Composite® Index | 16.61 | % | 8.89 | % | 3.46 | % | ||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 2.84 | % | ||||||
Average Annual Total Returns After Tax1,2 | ||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | Since Inception | |||||||||
Investor Shares (6/1/99) | ||||||||||||
Pre-Liquidation (still own shares) | 15.85 | % | 8.26 | % | 2.99 | % | ||||||
Post-Liquidation (shares were sold) | 10.66 | % | 7.27 | % | 2.65 | % | ||||||
Select Shares® (6/1/99) | ||||||||||||
Pre-Liquidation (still own shares) | 15.71 | % | 8.33 | % | 3.07 | % | ||||||
Post-Liquidation (shares were sold) | 10.52 | % | 7.33 | % | 2.72 | % | ||||||
Fund Category: Morningstar Large-Cap Blend | ||||||||||||
Pre-Liquidation (still own shares) | 6.56 | % | 5.96 | % | n/a | |||||||
Post-Liquidation (shares were sold) | 5.04 | % | 5.31 | % | n/a |
Table of Contents
Larry Mano, (right) vice president and senior portfolio manager, is responsible for the co-management of the fund. Tom Brown, (left) associate portfolio manager, is responsible for the dayto-day co-management of the fund. | The Schwab International Index Fund Investor Shares returned an 26.15% for the one-year period, closely tracking its benchmark, the Schwab International Index, which returned 26.76%. The Index is market-capitalization weighted and therefore, its returns are most heavily influenced by the largest names in the Index. Bear in mind that indices are unmanaged and unlike the fund, do not include operational and transaction costs. The Schwab International Index is comprised of stocks of 350 of the largest publicly traded companies stocks within 21 developed countries. Within the Fund, United Kingdom and Japan were the top contributors to total return, while Austria and Portugal were on the bottom end of the return scale. Sectors that performed well during the period included Financials and Materials. On the downside, Information Technology and Telecommunications Services appreciated the least. From an individual stock standpoint, HSBC Holdings plc and UBS AG were among the top contributors to returns. Conversely, stocks such as NTT DoCoMo, Inc. and Vodafone Group PLC, both wireless telecommunication services, detracted from overall returns. | |
As of 10/31/06: | ||
Style Assessment1 | ||
Country Weightings % of Investments | |||||||||
United Kingdom | 24.4 | % | Spain | 4.7 | % | ||||
Japan | 18.9 | % | Australia | 4.3 | % | ||||
France | 10.3 | % | Netherlands | 4.1 | % | ||||
Germany | 7.6 | % | Italy | 3.3 | % | ||||
Switzerland | 7.6 | % | Other | 8.1 | % | ||||
Canada | 6.7 | % | Total | 100.0 | % |
Statistics | |||||
Number of Holdings | 347 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 69,079 | ||||
Price/Earnings Ratio (P/E) | 15.8 | ||||
Price/Book Ratio (P/B) | 2.4 |
Sector Weightings % of Investments | ||||
Financials | 34.5 | % | ||
Energy | 10.3 | % | ||
Consumer Discretionary | 9.0 | % | ||
Consumer Staples | 7.6 | % | ||
Materials | 7.4 | % | ||
Health Care | 7.4 | % | ||
Telecommunication Services | 6.3 | % | ||
Industrials | 6.3 | % | ||
Utilities | 5.8 | % | ||
Information Technology | 4.8 | % | ||
Other | 0.6 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets2 | ||||
BP plc | 2.2 | % | ||
HSBC Holdings plc | 2.1 | % | ||
Total SA | 1.6 | % | ||
Novartis AG — Reg’d. | 1.6 | % | ||
Royal Dutch Shell plc, Class A | 1.6 | % | ||
Toyota Motor Corp. | 1.6 | % | ||
GlaxoSmithKline plc | 1.5 | % | ||
Nestle S.A. | 1.4 | % | ||
Vodafone Group plc | 1.3 | % | ||
UBS AG | 1.3 | % | ||
Total | 16.2 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||
Pre-Tax Average Annual Total Returns1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (9/9/93) | 26.15 | % | 13.53 | % | 7.16 | % | n/a | ||||||||||
Select Shares® (5/19/97) | 26.35 | % | 13.70 | % | n/a | 6.39% | |||||||||||
Benchmark: Schwab International® Index | 26.76 | % | 14.21 | % | 7.66 | % | (5/19/97) 6.74% | ||||||||||
Fund Category: Morningstar Foreign Large-Cap Blend | 26.31 | % | 12.90 | % | 7.29 | % | (5/19/97) 6.05% | ||||||||||
Average Annual Total Returns After Tax1,2 | |||||||||||||||||
Fund Class and Inception Date | 1 Year | 5 Years | 10 Years | Since Inception | |||||||||||||
Investor Shares (9/9/93) | |||||||||||||||||
Pre-Liquidation (still own shares) | 25.73 | % | 12.89 | % | 6.61 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 17.31 | % | 11.43 | % | 5.93 | % | n/a | ||||||||||
Select Shares® (5/19/97) | |||||||||||||||||
Pre-Liquidation (still own shares) | 25.88 | % | 13.01 | % | n/a | 5.83 | % | ||||||||||
Post-Liquidation (shares were sold) | 17.47 | % | 11.55 | % | n/a | 5.21 | % | ||||||||||
Fund Category: Morningstar Foreign Large-Cap Blend | |||||||||||||||||
Pre-Liquidation (still own shares) | 15.10 | % | 11.98 | % | 5.48 | % | n/a | ||||||||||
Post-Liquidation (shares were sold) | 10.70 | % | 10.61 | % | 5.17 | % | n/a |
Table of Contents
Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab S&P 500 index Fund | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.37 | % | $ | 1,000 | $ | 1,059.70 | $ | 1.92 | ||||||||
Hypothetical 5% Return | 0.37 | % | $ | 1,000 | $ | 1,023.34 | $ | 1.89 | ||||||||
Select Shares® | ||||||||||||||||
Actual Return | 0.19 | % | $ | 1,000 | $ | 1,060.50 | $ | 0.99 | ||||||||
Hypothetical 5% Return | 0.19 | % | $ | 1,000 | $ | 1,024.25 | $ | 0.97 | ||||||||
e.Shares® | ||||||||||||||||
Actual Return | 0.22 | % | $ | 1,000 | $ | 1,060.20 | $ | 1.14 | ||||||||
Hypothetical 5% Return | 0.22 | % | $ | 1,000 | $ | 1,024.10 | $ | 1.12 | ||||||||
Schwab Institutional Select® | ||||||||||||||||
S&P 500 Fund | ||||||||||||||||
Actual Return | 0.10 | % | $ | 1,000 | $ | 1,061.80 | $ | 0.52 | ||||||||
Hypothetical 5% Return | 0.10 | % | $ | 1,000 | $ | 1,024.70 | $ | 0.51 | ||||||||
Schwab 1000 Index® Fund | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.49 | % | $ | 1,000 | $ | 1,055.10 | $ | 2.54 | ||||||||
Hypothetical 5% Return | 0.49 | % | $ | 1,000 | $ | 1,022.74 | $ | 2.50 | ||||||||
Select Shares | ||||||||||||||||
Actual Return | 0.34 | % | $ | 1,000 | $ | 1,055.90 | $ | 1.76 | ||||||||
Hypothetical 5% Return | 0.34 | % | $ | 1,000 | $ | 1,023.49 | $ | 1.73 | ||||||||
Schwab Small-Cap Index Fund® | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.58 | % | $ | 1,000 | $ | 1,007.00 | $ | 2.93 | ||||||||
Hypothetical 5% Return | 0.58 | % | $ | 1,000 | $ | 1,022.30 | $ | 2.96 | ||||||||
Select Shares | ||||||||||||||||
Actual Return | 0.42 | % | $ | 1,000 | $ | 1,007.80 | $ | 2.13 | ||||||||
Hypothetical 5% Return | 0.42 | % | $ | 1,000 | $ | 1,023.14 | $ | 2.14 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in Financial Highlights. |
2 | Expenses for each fund or share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days of the period, and divided by 365 days of the fiscal year. |
Table of Contents
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Total Stock Market Index Fund® | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.54 | % | $ | 1,000 | $ | 1,050.70 | $ | 2.79 | ||||||||
Hypothetical 5% Return | 0.54 | % | $ | 1,000 | $ | 1,022.48 | $ | 2.75 | ||||||||
Select Shares | ||||||||||||||||
Actual Return | 0.39 | % | $ | 1,000 | $ | 1,051.50 | $ | 2.02 | ||||||||
Hypothetical 5% Return | 0.39 | % | $ | 1,000 | $ | 1,023.24 | $ | 1.99 | ||||||||
Schwab International Index Fund® | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.69 | % | $ | 1,000 | $ | 1,040.90 | $ | 3.55 | ||||||||
Hypothetical 5% Return | 0.69 | % | $ | 1,000 | $ | 1,021.73 | $ | 3.52 | ||||||||
Select Shares | ||||||||||||||||
Actual Return | 0.50 | % | $ | 1,000 | $ | 1,041.90 | $ | 2.57 | ||||||||
Hypothetical 5% Return | 0.50 | % | $ | 1,000 | $ | 1,022.68 | $ | 2.55 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in Financial Highlights. |
2 | Expenses for each fund or share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days of the period, and divided by 365 days of the fiscal year. |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 18.79 | 17.61 | 16.36 | 13.79 | 16.45 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.34 | 0.34 | 0.23 | 0.20 | 0.20 | |||||||||||||||||
Net realized and unrealized gains or losses | 2.64 | 1.14 | 1.23 | 2.57 | (2.68 | ) | ||||||||||||||||
Total income or loss from investment operations | 2.98 | 1.48 | 1.46 | 2.77 | (2.48 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.30 | ) | (0.30 | ) | (0.21 | ) | (0.20 | ) | (0.18 | ) | ||||||||||||
Net asset value at end of period | 21.47 | 18.79 | 17.61 | 16.36 | 13.79 | |||||||||||||||||
Total return (%) | 16.03 | 8.44 | 9.03 | 20.39 | (15.32 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.36 | 0.37 | 0.37 | 0.36 | 0.35 | |||||||||||||||||
Gross operating expenses | 0.36 | 0.40 | 0.45 | 0.46 | 0.46 | |||||||||||||||||
Net investment income | 1.57 | 1.74 | 1.35 | 1.45 | 1.21 | |||||||||||||||||
Portfolio turnover rate | 3 | 4 | 3 | 3 | 8 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 3,685 | 3,666 | 3,849 | 3,510 | 2,760 |
Table of Contents
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 18.88 | 17.68 | 16.41 | 13.83 | 16.50 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.37 | 0.36 | 0.26 | 0.24 | 0.22 | |||||||||||||||||
Net realized and unrealized gains or losses | 2.65 | 1.16 | 1.24 | 2.57 | (2.69 | ) | ||||||||||||||||
Total income or loss from investment operations | 3.02 | 1.52 | 1.50 | 2.81 | (2.47 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.34 | ) | (0.32 | ) | (0.23 | ) | (0.23 | ) | (0.20 | ) | ||||||||||||
Net asset value at end of period | 21.56 | 18.88 | 17.68 | 16.41 | 13.83 | |||||||||||||||||
Total return (%) | 16.18 | 8.66 | 9.25 | 20.62 | (15.20 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.19 | 0.19 | 0.19 | 0.19 | 0.19 | |||||||||||||||||
Gross operating expenses | 0.21 | 0.25 | 0.30 | 0.31 | 0.31 | |||||||||||||||||
Net investment income | 1.74 | 1.92 | 1.53 | 1.63 | 1.37 | |||||||||||||||||
Portfolio turnover rate | 3 | 4 | 3 | 3 | 8 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 4,038 | 3,938 | 4,119 | 3,692 | 3,029 |
Table of Contents
e.Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 18.81 | 17.62 | 16.37 | 13.79 | 16.46 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.35 | 0.39 | 0.26 | 0.23 | 0.23 | |||||||||||||||||
Net realized and unrealized gains or losses | 2.67 | 1.11 | 1.21 | 2.56 | (2.71 | ) | ||||||||||||||||
Total income or loss from investment operations | 3.02 | 1.50 | 1.47 | 2.79 | (2.48 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.33 | ) | (0.31 | ) | (0.22 | ) | (0.21 | ) | (0.19 | ) | ||||||||||||
Net asset value at end of period | 21.50 | 18.81 | 17.62 | 16.37 | 13.79 | |||||||||||||||||
Total return (%) | 16.25 | 8.58 | 9.10 | 20.55 | (15.32 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.21 | 0.24 | 0.28 | 0.28 | 0.28 | |||||||||||||||||
Gross operating expenses | 0.21 | 0.25 | 0.30 | 0.31 | 0.31 | |||||||||||||||||
Net investment income | 1.72 | 1.88 | 1.44 | 1.54 | 1.28 | |||||||||||||||||
Portfolio turnover rate | 3 | 4 | 3 | 3 | 8 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 241 | 220 | 249 | 246 | 220 |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.9% | Common Stock | 5,588,418 | 7,950,692 | ||||||||||||
0.1% | Short-Term Investment | 8,212 | 8,212 | ||||||||||||
—% | U.S. Treasury Obligation | 2,983 | 2,983 | ||||||||||||
100.0% | Total Investments | 5,599,613 | 7,961,887 | ||||||||||||
1.6% | Collateral Invested for Securities on Loan | 128,448 | 128,448 | ||||||||||||
(1.6)% | Other Assets and Liabilities, Net | (125,539 | ) | ||||||||||||
100.0% | Net Assets | 7,964,796 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.9% of net assets | |||||||||||||||
Automobiles & Components 0.6% | |||||||||||||||
Other Securities | 1,970,427 | 0.6 | 46,304 | ||||||||||||
Banks 5.7% | |||||||||||||||
U.S. Bancorp | 1,139,832 | 0.5 | 38,572 | ||||||||||||
Wachovia Corp. | 1,202,870 | 0.8 | 66,759 | ||||||||||||
Wells Fargo & Co. | 2,151,676 | 1.0 | 78,084 | ||||||||||||
Other Securities | 5,930,244 | 3.4 | 274,265 | ||||||||||||
5.7 | 457,680 | ||||||||||||||
Capital Goods 8.5% | |||||||||||||||
3M Co. | 482,761 | 0.5 | 38,061 | ||||||||||||
General Electric Co. (b) | 6,641,667 | 2.9 | 233,189 | ||||||||||||
The Boeing Co. | 512,990 | 0.5 | 40,967 | ||||||||||||
Tyco International Ltd. | 1,304,215 | 0.5 | 38,383 | ||||||||||||
United Technologies Corp. | 647,334 | 0.5 | 42,543 | ||||||||||||
Other Securities | 4,837,222 | 3.6 | 285,365 | ||||||||||||
8.5 | 678,508 | ||||||||||||||
Commercial Services & Supplies 0.6% | |||||||||||||||
Other Securities | 1,175,319 | 0.6 | 44,497 | ||||||||||||
Consumer Durables & Apparel 1.2% | |||||||||||||||
Other Securities | 2,253,790 | 1.2 | 93,606 | ||||||||||||
Consumer Services 1.8% | |||||||||||||||
Other Securities | 3,661,042 | 1.8 | 143,622 | ||||||||||||
Diversified Financials 10.4% | |||||||||||||||
American Express Co. | 795,834 | 0.6 | 46,007 | ||||||||||||
Bank of America Corp. | 2,926,732 | 2.0 | 157,663 | ||||||||||||
Citigroup, Inc. | 3,183,543 | 2.0 | 159,686 | ||||||||||||
JPMorgan Chase & Co. | 2,236,116 | 1.3 | 106,081 | ||||||||||||
Merrill Lynch & Co., Inc. | 570,290 | 0.6 | 49,855 | ||||||||||||
Morgan Stanley | 685,848 | 0.7 | 52,419 | ||||||||||||
The Charles Schwab Corp. (c) | 660,696 | 0.2 | 12,038 | ||||||||||||
The Goldman Sachs Group, Inc. (a) | 276,667 | 0.7 | 52,509 | ||||||||||||
Other Securities | 3,291,125 | 2.3 | 191,456 | ||||||||||||
10.4 | 827,714 | ||||||||||||||
Energy 9.4% | |||||||||||||||
ChevronTexaco Corp. | 1,409,919 | 1.2 | 94,747 | ||||||||||||
ConocoPhillips | 1,057,004 | 0.8 | 63,674 | ||||||||||||
Exxon Mobil Corp. (b) | 3,823,631 | 3.4 | 273,084 | ||||||||||||
Schlumberger Ltd. | 755,559 | 0.6 | 47,661 | ||||||||||||
Other Securities | 5,874,484 | 3.4 | 272,006 | ||||||||||||
9.4 | 751,172 | ||||||||||||||
Food & Staples Retailing 2.3% | |||||||||||||||
Wal-Mart Stores, Inc. | 1,582,493 | 1.0 | 77,985 | ||||||||||||
Other Securities | 2,846,731 | 1.3 | 103,612 | ||||||||||||
2.3 | 181,597 | ||||||||||||||
Food, Beverage & Tobacco 4.8% | |||||||||||||||
Altria Group, Inc. | 1,343,189 | 1.4 | 109,242 | ||||||||||||
PepsiCo, Inc. | 1,058,158 | 0.8 | 67,129 | ||||||||||||
The Coca-Cola Co. | 1,312,447 | 0.8 | 61,317 | ||||||||||||
Other Securities | 3,753,356 | 1.8 | 142,956 | ||||||||||||
4.8 | 380,644 | ||||||||||||||
Health Care Equipment & Services 4.2% | |||||||||||||||
UnitedHealth Group, Inc. | 872,408 | 0.5 | 42,556 | ||||||||||||
Other Securities | 6,337,354 | 3.7 | 291,773 | ||||||||||||
4.2 | 334,329 | ||||||||||||||
Household & Personal Products 2.4% | |||||||||||||||
Procter & Gamble Co. (b) | 2,042,670 | 1.6 | 129,485 | ||||||||||||
Other Securities | 1,117,440 | 0.8 | 60,526 | ||||||||||||
2.4 | 190,011 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 4.8% | |||||||||||||||
American International Group, Inc. | 1,663,332 | 1.4 | 111,726 | ||||||||||||
Other Securities | 5,441,524 | 3.4 | 270,533 | ||||||||||||
4.8 | 382,259 | ||||||||||||||
Materials 3.0% | |||||||||||||||
Other Securities | 5,003,096 | 3.0 | 235,791 | ||||||||||||
Media 3.5% | |||||||||||||||
Comcast Corp., Class A * | 1,353,032 | 0.7 | 55,028 | ||||||||||||
The Walt Disney Co. | 1,370,176 | 0.5 | 43,106 | ||||||||||||
Time Warner, Inc. | 2,604,429 | 0.7 | 52,115 | ||||||||||||
Other Securities | 3,981,604 | 1.6 | 128,308 | ||||||||||||
3.5 | 278,557 | ||||||||||||||
Pharmaceuticals & Biotechnology 8.2% | |||||||||||||||
Abbott Laboratories | 977,375 | 0.6 | 46,435 | ||||||||||||
Amgen, Inc. * | 755,118 | 0.7 | 57,321 | ||||||||||||
Johnson & Johnson | 1,896,195 | 1.6 | 127,804 | ||||||||||||
Merck & Co., Inc. | 1,417,127 | 0.8 | 64,366 | ||||||||||||
Pfizer, Inc. | 4,721,357 | 1.6 | 125,824 | ||||||||||||
Wyeth | 861,882 | 0.6 | 43,982 | ||||||||||||
Other Securities | 4,914,572 | 2.3 | 189,734 | ||||||||||||
8.2 | 655,466 | ||||||||||||||
Real Estate 1.1% | |||||||||||||||
Other Securities | 1,518,077 | 1.1 | 90,503 | ||||||||||||
Retailing 3.7% | |||||||||||||||
Home Depot, Inc. | 1,311,913 | 0.6 | 48,974 | ||||||||||||
Other Securities | 6,274,142 | 3.1 | 246,417 | ||||||||||||
3.7 | 295,391 | ||||||||||||||
Semiconductors & Semiconductor Equipment 2.7% | |||||||||||||||
Intel Corp. | 3,704,566 | 1.0 | 79,055 | ||||||||||||
Other Securities | 5,471,207 | 1.7 | 134,679 | ||||||||||||
2.7 | 213,734 | ||||||||||||||
Software & Services 5.5% | |||||||||||||||
Google, Inc., Class A * | 135,170 | 0.8 | 64,394 | ||||||||||||
Microsoft Corp. (b) | 5,556,763 | 2.0 | 159,535 | ||||||||||||
Oracle Corp. * | 2,550,731 | 0.6 | 47,112 | ||||||||||||
Other Securities | 5,667,006 | 2.1 | 162,823 | ||||||||||||
5.5 | 433,864 | ||||||||||||||
Technology Hardware & Equipment 6.8% | |||||||||||||||
Apple Computer, Inc. * | 544,625 | 0.6 | 44,158 | ||||||||||||
Cisco Systems, Inc. * | 3,909,298 | 1.2 | 94,331 | ||||||||||||
Hewlett-Packard Co. | 1,764,558 | 0.9 | 68,359 | ||||||||||||
International Business Machines Corp. | 978,747 | 1.1 | 90,368 | ||||||||||||
Motorola, Inc. | 1,602,800 | 0.5 | 36,961 | ||||||||||||
QUALCOMM, Inc. | 1,062,758 | 0.5 | 38,674 | ||||||||||||
Other Securities | 12,961,227 | 2.0 | 169,334 | ||||||||||||
6.8 | 542,185 | ||||||||||||||
Telecommunication Services 3.5% | |||||||||||||||
AT&T Corp. | 2,489,859 | 1.1 | 85,278 | ||||||||||||
BellSouth Corp. | 1,158,380 | 0.7 | 52,243 | ||||||||||||
Verizon Communications, Inc. | 1,868,151 | 0.9 | 69,122 | ||||||||||||
Other Securities | 3,940,624 | 0.8 | 73,680 | ||||||||||||
3.5 | 280,323 | ||||||||||||||
Transportation 1.8% | |||||||||||||||
United Parcel Service, Inc., Class B | 688,790 | 0.7 | 51,900 | ||||||||||||
Other Securities | 1,655,405 | 1.1 | 89,065 | ||||||||||||
1.8 | 140,965 | ||||||||||||||
Utilities 3.4% | |||||||||||||||
Other Securities | 6,516,810 | 3.4 | 271,970 | �� |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | % of Net Assets | Value ($ x 1,000) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.1% of net assets | ||||||||||||||
Other Securities | 8,212 | — | 8,212 | |||||||||||
U.S. Treasury Obligation 0.0% of net assets | ||||||||||||||
Other Securities | 3,000 | — | 2,983 |
End of Investments.
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 1.6% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 128,448,347 | 128,448 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 105 | 7,262 | 389 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
(c) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | ||||||
Investments, at value including securities on loan of $125,069 (cost $5,599,613) | $ | 7,961,887 | ||||
Collateral invested for securities on loan | 128,448 | |||||
Receivables: | ||||||
Dividends | 6,842 | |||||
Fund shares sold | 5,969 | |||||
Income from securities on loan | 12 | |||||
Interest | 1 | |||||
Prepaid expenses | + | 47 | ||||
Total assets | 8,103,206 | |||||
Liabilities | ||||||
Collateral for securities on loan | 128,448 | |||||
Payables: | ||||||
Investment adviser and administrator fees | 60 | |||||
Transfer agent and shareholder services fees | 110 | |||||
Fund shares redeemed | 9,395 | |||||
Trustee fees | 8 | |||||
Due to brokers for futures | 4 | |||||
Accrued expenses | + | 385 | ||||
Total liabilities | 138,410 | |||||
Net Assets | ||||||
Total assets | 8,103,206 | |||||
Total liabilities | – | 138,410 | ||||
Net assets | $ | 7,964,796 | ||||
Net Assets by Source | ||||||
Capital received from investors | 6,413,638 | |||||
Net investment income not yet distributed | 100,766 | |||||
Net realized capital losses | (912,271 | ) | ||||
Net unrealized capital gains | 2,362,663 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 3,685,095 | 171,631 | $21.47 | ||||||||||||||||||||||
Select Shares | $ | 4,038,410 | 187,284 | $21.56 | ||||||||||||||||||||||
e.Shares | $ | 241,291 | 11,225 | $21.50 |
Table of Contents
Investment Income | ||||||
Dividends (including $71 from affiliated issuer) | $ | 150,397 | ||||
Interest | 749 | |||||
Lending of securities | + | 223 | ||||
Total Investment Income | 151,369 | |||||
Net Realized Gains and Losses | ||||||
Net realized losses on investments | (97,747 | ) | ||||
Net realized gains on futures contracts | + | 3,990 | ||||
Net realized losses | (93,757 | ) | ||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 1,135,806 | |||||
Net unrealized gains on futures contracts | + | 347 | ||||
Net unrealized gains | 1,136,153 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 7,070 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 9,211 | |||||
Select Shares | 3,947 | |||||
e.Shares | 224 | |||||
Shareholder reports | 407 | |||||
Portfolio accounting fees | 269 | |||||
Custodian fees | 220 | |||||
Registration fees | 174 | |||||
Professional fees | 80 | |||||
Trustees’ fees | 57 | |||||
Overdraft expense | 63 | |||||
Other expenses | + | 141 | ||||
Total expenses | 21,863 | |||||
Expense reduction by adviser and Schwab | –670 | |||||
Net expenses | 21,193 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 151,369 | |||||
Net expenses | –21,193 | |||||
Net investment income | 130,176 | |||||
Net realized losses | (93,757 | ) | ||||
Net unrealized gains | + | 1,136,153 | ||||
Increase in net assets from operations | $ | 1,172,572 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 130,176 | $ | 150,655 | ||||||
Net realized gains or losses | (93,757 | ) | 77,682 | |||||||
Net unrealized gains | + | 1,136,153 | 464,991 | |||||||
Increase in net assets from operations | 1,172,572 | 693,328 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 57,584 | 64,372 | ||||||||
Select Shares | 67,949 | 75,732 | ||||||||
e.Shares | + | 3,805 | 4,246 | |||||||
Total dividends from net investment income | $ | 129,338 | $ | 144,350 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 17,732 | $ | 353,074 | 24,608 | $ | 453,452 | |||||||||||||
Select Shares | 30,407 | 606,896 | 44,426 | 826,293 | |||||||||||||||
e.Shares | + | 2,578 | 51,641 | 2,521 | 46,535 | ||||||||||||||
Total shares sold | 50,717 | $ | 1,011,611 | 71,555 | $ | 1,326,280 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 2,823 | $ | 55,000 | 3,370 | $ | 61,509 | |||||||||||||
Select Shares | 3,056 | 59,681 | 3,694 | 67,604 | |||||||||||||||
e.Shares | + | 177 | 3,443 | 210 | 3,838 | ||||||||||||||
Total shares reinvested | 6,056 | $ | 118,124 | 7,274 | $ | 132,951 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (44,003 | ) | $ | (874,140 | ) | (51,474 | ) | $ | (955,673 | ) | |||||||||
Select Shares | (54,785 | ) | (1,094,191 | ) | (72,497 | ) | (1,349,747 | )* | |||||||||||
e.Shares | + | (3,222 | ) | (63,959 | ) | (5,182 | ) | (96,047 | ) | ||||||||||
Total shares redeemed | (102,010 | ) | $ | (2,032,290 | ) | (129,153 | ) | $ | (2,401,467 | ) | |||||||||
Net transactions in fund shares | (45,237 | ) | $ | (902,555 | ) | (50,324 | ) | $ | (942,236 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 415,377 | $ | 7,824,117 | 465,701 | $ | 8,217,375 | |||||||||||||
Total increase or decrease | + | (45,237 | ) | 140,679 | (50,324 | ) | (393,258 | ) | |||||||||||
End of period | 370,140 | $ | 7,964,796 | 415,377 | $ | 7,824,117 | |||||||||||||
Net investment income not yet distributed | $ | 100,766 | $ | 100,796 |
* | Includes $430,561 redemption in-kind by Schwab MarketTrack All Equity, Growth and Balanced Portfolios. |
Table of Contents
11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 9.57 | 8.95 | 8.30 | 7.00 | 8.36 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.16 | 0.15 | 0.13 | 0.12 | 0.12 | |||||||||||||||||
Net realized and unrealized gains or losses | 1.39 | 0.62 | 0.64 | 1.30 | (1.37 | ) | ||||||||||||||||
Total income or loss from investment operations | 1.55 | 0.77 | 0.77 | 1.42 | (1.25 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.11 | ) | ||||||||||||
Net asset value at end of period | 10.99 | 9.57 | 8.95 | 8.30 | 7.00 | |||||||||||||||||
Total return (%) | 16.39 | 8.64 | 9.36 | 20.65 | (15.18 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.10 | 0.10 | 0.15 | 0.15 | 0.15 | |||||||||||||||||
Gross operating expenses | 0.28 | 0.33 | 0.35 | 0.36 | 0.37 | |||||||||||||||||
Net investment income | 1.84 | 1.82 | 1.56 | 1.65 | 1.38 | |||||||||||||||||
Portfolio turnover rate | 2 | 3 | 3 | 4 | 12 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 2,080 | 1,246 | 348 | 272 | 203 |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
98.9% | Common Stock | 1,812,825 | 2,057,718 | ||||||||||||
0.6% | Short-Term Investment | 11,977 | 11,977 | ||||||||||||
0.2% | U.S. Treasury Obligation | 3,282 | 3,282 | ||||||||||||
—% | Warrant | — | 2 | ||||||||||||
99.7% | Total Investments | 1,828,084 | 2,072,979 | ||||||||||||
7.8% | Collateral Invested for Securities on Loan | 162,875 | 162,875 | ||||||||||||
(7.5)% | Other Assets and Liabilities, Net | (155,474 | ) | ||||||||||||
100.0% | Net Assets | 2,080,380 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 98.9% of net assets | |||||||||||||||
Automobiles & Components 0.6% | |||||||||||||||
Other Securities | 511,467 | 0.6 | 11,907 | ||||||||||||
Banks 5.7% | |||||||||||||||
U.S. Bancorp | 294,951 | 0.5 | 9,981 | ||||||||||||
Wachovia Corp. | 317,754 | 0.8 | 17,635 | ||||||||||||
Wells Fargo & Co. | 558,874 | 1.0 | 20,282 | ||||||||||||
Other Securities | 1,537,705 | 3.4 | 71,159 | ||||||||||||
5.7 | 119,057 | ||||||||||||||
Capital Goods 8.4% | |||||||||||||||
3M Co. | 125,029 | 0.5 | 9,857 | ||||||||||||
General Electric Co. (b) | 1,713,315 | 2.9 | 60,155 | ||||||||||||
The Boeing Co. | 132,934 | 0.5 | 10,616 | ||||||||||||
Tyco International Ltd. | 334,344 | 0.5 | 9,840 | ||||||||||||
United Technologies Corp. | 167,820 | 0.5 | 11,029 | ||||||||||||
Other Securities | 1,239,207 | 3.5 | 73,327 | ||||||||||||
8.4 | 174,824 | ||||||||||||||
Commercial Services & Supplies 0.6% | |||||||||||||||
Other Securities | 317,444 | 0.6 | 11,659 | ||||||||||||
Consumer Durables & Apparel 1.2% | |||||||||||||||
Other Securities | 588,960 | 1.2 | 24,479 | ||||||||||||
Consumer Services 1.8% | |||||||||||||||
Other Securities | 961,616 | 1.8 | 37,693 | ||||||||||||
Diversified Financials 10.3% | |||||||||||||||
American Express Co. | 203,021 | 0.6 | 11,737 | ||||||||||||
Bank of America Corp. (b) | 752,276 | 1.9 | 40,525 | ||||||||||||
Citigroup, Inc. (b) | 820,551 | 2.0 | 41,159 | ||||||||||||
JPMorgan Chase & Co. | 577,849 | 1.3 | 27,413 | ||||||||||||
Merrill Lynch & Co., Inc. | 147,141 | 0.6 | 12,863 | ||||||||||||
Morgan Stanley | 177,941 | 0.7 | 13,600 | ||||||||||||
The Charles Schwab Corp. (c) | 171,623 | 0.2 | 3,127 | ||||||||||||
The Goldman Sachs Group, Inc. (a) | 71,694 | 0.7 | 13,607 | ||||||||||||
Other Securities | 847,484 | 2.3 | 49,403 | ||||||||||||
10.3 | 213,434 | ||||||||||||||
Energy 9.3% | |||||||||||||||
ChevronTexaco Corp. | 363,287 | 1.2 | 24,413 | ||||||||||||
ConocoPhillips | 271,861 | 0.8 | 16,377 | ||||||||||||
Exxon Mobil Corp. (b) | 986,722 | 3.4 | 70,472 | ||||||||||||
Schlumberger Ltd. (a) | 196,488 | 0.6 | 12,394 | ||||||||||||
Other Securities | 1,539,837 | 3.3 | 70,920 | ||||||||||||
9.3 | 194,576 | ||||||||||||||
Food & Staples Retailing 2.2% | |||||||||||||||
Wal-Mart Stores, Inc. (b) | 405,276 | 0.9 | 19,972 | ||||||||||||
Other Securities | 732,121 | 1.3 | 26,665 | ||||||||||||
2.2 | 46,637 | ||||||||||||||
Food, Beverage & Tobacco 4.7% | |||||||||||||||
Altria Group, Inc. (b) | 347,476 | 1.4 | 28,260 | ||||||||||||
PepsiCo, Inc. | 273,595 | 0.8 | 17,357 | ||||||||||||
The Coca-Cola Co. | 338,214 | 0.8 | 15,801 | ||||||||||||
Other Securities | 972,639 | 1.7 | 37,004 | ||||||||||||
4.7 | 98,422 | ||||||||||||||
Health Care Equipment & Services 4.1% | |||||||||||||||
UnitedHealth Group, Inc. | 223,590 | 0.5 | 10,907 | ||||||||||||
Other Securities | 1,627,970 | 3.6 | 74,648 | ||||||||||||
4.1 | 85,555 | ||||||||||||||
Household & Personal Products 2.4% | |||||||||||||||
Procter & Gamble Co. | 526,953 | 1.6 | 33,403 | ||||||||||||
Other Securities | 294,273 | 0.8 | 15,889 | ||||||||||||
2.4 | 49,292 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 4.7% | |||||||||||||||
American International Group, Inc. | 431,354 | 1.4 | 28,974 | ||||||||||||
Other Securities | 1,410,985 | 3.3 | 69,802 | ||||||||||||
4.7 | 98,776 | ||||||||||||||
Materials 3.0% | |||||||||||||||
Other Securities | 1,310,227 | 3.0 | 61,632 | ||||||||||||
Media 3.4% | |||||||||||||||
Comcast Corp., Class A (a)(b)* | 347,379 | 0.7 | 14,128 | ||||||||||||
The Walt Disney Co. | 348,799 | 0.5 | 10,973 | ||||||||||||
Time Warner, Inc. (a) | 675,004 | 0.7 | 13,507 | ||||||||||||
Other Securities | 1,033,032 | 1.5 | 33,320 | ||||||||||||
3.4 | 71,928 | ||||||||||||||
Pharmaceuticals & Biotechnology 8.1% | |||||||||||||||
Abbott Laboratories (b) | 253,614 | 0.6 | 12,049 | ||||||||||||
Amgen, Inc. (b)* | 194,310 | 0.7 | 14,750 | ||||||||||||
Johnson & Johnson | 486,334 | 1.6 | 32,779 | ||||||||||||
Merck & Co., Inc. | 362,967 | 0.8 | 16,486 | ||||||||||||
Pfizer, Inc. (b) | 1,212,987 | 1.6 | 32,326 | ||||||||||||
Wyeth | 223,309 | 0.6 | 11,395 | ||||||||||||
Other Securities | 1,270,471 | 2.2 | 49,173 | ||||||||||||
8.1 | 168,958 | ||||||||||||||
Real Estate 1.2% | |||||||||||||||
Other Securities | 397,606 | 1.2 | 24,156 | ||||||||||||
Retailing 3.7% | |||||||||||||||
Home Depot, Inc. | 337,022 | 0.6 | 12,581 | ||||||||||||
Other Securities | 1,618,260 | 3.1 | 63,585 | ||||||||||||
3.7 | 76,166 | ||||||||||||||
Semiconductors & Semiconductor Equipment 2.6% | |||||||||||||||
Intel Corp. (b) | 957,272 | 0.9 | 20,428 | ||||||||||||
Other Securities | 1,417,797 | 1.7 | 34,779 | ||||||||||||
2.6 | 55,207 | ||||||||||||||
Software & Services 5.4% | |||||||||||||||
Google, Inc., Class A (a)* | 35,263 | 0.8 | 16,799 | ||||||||||||
Microsoft Corp. (b) | 1,433,501 | 2.0 | 41,156 | ||||||||||||
Oracle Corp.* | 669,403 | 0.6 | 12,364 | ||||||||||||
Other Securities | 1,469,060 | 2.0 | 41,827 | ||||||||||||
5.4 | 112,146 | ||||||||||||||
Technology Hardware & Equipment 6.8% | |||||||||||||||
Apple Computer, Inc. (a)* | 141,159 | 0.6 | 11,445 | ||||||||||||
Cisco Systems, Inc. (b)* | 1,013,155 | 1.2 | 24,447 | ||||||||||||
Hewlett-Packard Co. | 456,585 | 0.9 | 17,688 | ||||||||||||
International Business Machines Corp. | 253,427 | 1.1 | 23,399 | ||||||||||||
QUALCOMM, Inc. | 274,179 | 0.5 | 9,977 | ||||||||||||
Other Securities | 3,833,997 | 2.5 | 54,338 | ||||||||||||
6.8 | 141,294 | ||||||||||||||
Telecommunication Services 3.5% | |||||||||||||||
AT&T Corp. (a) | 644,616 | 1.1 | 22,078 | ||||||||||||
BellSouth Corp. | 301,323 | 0.6 | 13,590 | ||||||||||||
Verizon Communications, Inc. | 481,086 | 0.9 | 17,800 | ||||||||||||
Other Securities | 1,030,088 | 0.9 | 19,276 | ||||||||||||
3.5 | 72,744 | ||||||||||||||
Transportation 1.8% | |||||||||||||||
United Parcel Service, Inc., Class B (a) | 179,457 | 0.7 | 13,522 | ||||||||||||
Other Securities | 445,794 | 1.1 | 23,353 | ||||||||||||
1.8 | 36,875 | ||||||||||||||
Utilities 3.4% | |||||||||||||||
Other Securities | 1,691,328 | 3.4 | 70,301 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | % of Net Assets | Value ($ x 1,000) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.6% of net assets | ||||||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 11,977 | 0.6 | 11,977 | |||||||||||
U.S. Treasury Obligation 0.2% of net assets | ||||||||||||||
Other Securities | 3,300 | 0.2 | 3,282 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Warrants 0.0% of net assets | |||||||||||||||
Other Securities | 11,390 | — | 2 |
End of Investments.
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 7.8% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 162,875,434 | 162,875 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contracts | |||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 177 | 12,241 | 276 | ||||||||||||
S&P 500 Index, Long, expires 12/14/06 | 20 | 6,916 | 31 | ||||||||||||
307 |
* | Non-income producing security. |
(a) | All or a portion of security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
(c) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | ||||||
Investments, at value including securities on loan of $159,574 (cost $1,828,084) | $ | 2,072,979 | ||||
Collateral invested for securities on loan | 162,875 | |||||
Receivables: | ||||||
Fund shares sold | 7,132 | |||||
Dividends | 1,712 | |||||
Income from securities on loan | 9 | |||||
Interest | 1 | |||||
Prepaid expenses | + | 12 | ||||
Total assets | 2,244,720 | |||||
Liabilities | ||||||
Collateral for securities on loan | 162,875 | |||||
Payables: | ||||||
Investments bought | 906 | |||||
Transfer agent and shareholder service fees | 17 | |||||
Fund shares redeemed | 410 | |||||
Trustee fees | 2 | |||||
Accrued expenses | + | 130 | ||||
Total liabilities | 164,340 | |||||
Net Assets | ||||||
Total assets | 2,244,720 | |||||
Total liabilities | – | 164,340 | ||||
Net assets | $ | 2,080,380 | ||||
Net Assets by Source | ||||||
Capital received from investors | 1,872,353 | |||||
Net investment income not yet distributed | 24,468 | |||||
Net realized capital losses | (61,643 | ) | ||||
Net unrealized capital gains | 245,202 | |||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$2,080,380 | 189,370 | $ | 10.99 |
Table of Contents
Investment Income | ||||||
Dividends (including $3 from affiliated issuer) | $ | 29,778 | ||||
Interest | 1,339 | |||||
Securities on loan | + | 79 | ||||
Total Investment Income | 31,196 | |||||
Net Realized Gains and Losses | ||||||
Net realized losses on investments | (9,622 | ) | ||||
Net realized losses on futures contracts | + | (15 | ) | |||
Net realized losses | (9,637 | ) | ||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 226,651 | |||||
Net unrealized gains on futures contracts | + | 403 | ||||
Net unrealized gains | 227,054 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 2,577 | |||||
Transfer agent and shareholder service fees | 1,491 | |||||
Registration fees | 106 | |||||
Portfolio accounting fees | 83 | |||||
Custodian fees | 72 | |||||
Shareholder reports | 63 | |||||
Professional fees | 35 | |||||
Trustees’ fees | 15 | |||||
Overdraft expense | 5 | |||||
Other expenses | + | 29 | ||||
Total expenses | 4,476 | |||||
Expense reduction by adviser and Schwab | – | 2,863 | ||||
Net expenses | 1,613 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 31,196 | |||||
Net expenses | – | 1,613 | ||||
Net investment income | 29,583 | |||||
Net realized losses | (9,637 | ) | ||||
Net unrealized gains | + | 227,054 | ||||
Increase in net assets from operations | $ | 247,000 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 29,583 | $ | 15,535 | ||||||
Net realized losses | (9,637 | ) | (626 | ) | ||||||
Net unrealized gains | + | 227,054 | 24,327 | |||||||
Increase in net assets from operations | 247,000 | 39,236 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | $ | 18,248 | $ | 6,241 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 85,032 | $ | 868,441 | 102,956 | $ | 975,330 | * | ||||||||||||
Shares Reinvested | 1,660 | 16,500 | 537 | 4,985 | |||||||||||||||
Shares Redeemed | + | (27,532 | ) | (279,438 | ) | (12,169 | ) | (115,050 | ) | ||||||||||
Net transactions in fund shares | 59,160 | $ | 605,503 | 91,324 | $ | 865,265 |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 130,210 | $ | 1,246,125 | 38,886 | $ | 347,865 | |||||||||||||
Total increase | + | 59,160 | 834,255 | 91,324 | 898,260 | ||||||||||||||
End of period | 189,370 | $ | 2,080,380 | 130,210 | $ | 1,246,125 | |||||||||||||
Net investment income not yet distributed | $ | 24,468 | $ | 13,237 |
* | Includes $430,561 subscription by Schwab MarketTrack All Equity, Growth and Balanced Portfolios. |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 35.31 | 32.54 | 30.25 | 25.25 | 29.57 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.50 | 1 | 0.55 | 0.37 | 0.33 | 0.31 | ||||||||||||||||
Net realized and unrealized gains or losses | 5.05 | 1 | 2.70 | 2.26 | 4.99 | (4.36 | ) | |||||||||||||||
Total income or loss from investment operations | 5.55 | 3.25 | 2.63 | 5.32 | (4.05 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.46 | ) | (0.48 | ) | (0.34 | ) | (0.32 | ) | (0.27 | ) | ||||||||||||
Net asset value at end of period | 40.40 | 35.31 | 32.54 | 30.25 | 25.25 | |||||||||||||||||
Total return (%) | 15.84 | 10.04 | 8.78 | 21.34 | (13.87 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.49 | 0.50 | 0.50 | 0.49 | 0.46 | |||||||||||||||||
Gross operating expenses | 0.49 | 0.50 | 0.50 | 0.51 | 0.52 | |||||||||||||||||
Net investment income | 1.34 | 1.49 | 1.15 | 1.27 | 1.04 | |||||||||||||||||
Portfolio turnover rate | 5 | 6 | 5 | 5 | 9 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 3,918 | 4,166 | 4,258 | 3,974 | 3,223 |
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/2/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 35.34 | 32.56 | 30.27 | 25.26 | 29.58 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.56 | 1 | 0.56 | 0.42 | 0.37 | 0.35 | ||||||||||||||||
Net realized and unrealized gains or losses | 5.04 | 1 | 2.74 | 2.25 | 4.99 | (4.36 | ) | |||||||||||||||
Total income or loss from investment operations | 5.60 | 3.30 | 2.67 | 5.36 | (4.01 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.51 | ) | (0.52 | ) | (0.38 | ) | (0.35 | ) | (0.31 | ) | ||||||||||||
Net asset value at end of period | 40.43 | 35.34 | 32.56 | 30.27 | 25.26 | |||||||||||||||||
Total return (%) | 16.01 | 10.21 | 8.90 | 21.52 | (13.77 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.34 | 0.35 | 0.35 | 0.35 | 0.35 | |||||||||||||||||
Gross operating expenses | 0.34 | 0.35 | 0.35 | 0.36 | 0.37 | |||||||||||||||||
Net investment income | 1.48 | 1.63 | 1.30 | 1.41 | 1.15 | |||||||||||||||||
Portfolio turnover rate | 5 | 6 | 5 | 5 | 9 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 2,924 | 2,328 | 2,138 | 1,996 | 1,588 |
1 | Calculated based on the average shares outstanding during the period. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.7% | Common Stock | 3,188,068 | 6,819,942 | ||||||||||||
0.1% | Foreign Common Stock | 4,103 | 6,923 | ||||||||||||
—% | U.S. Treasury Obligation | 795 | 795 | ||||||||||||
—% | Warrant | — | 197 | ||||||||||||
99.8% | Total Investments | 3,192,966 | 6,827,857 | ||||||||||||
3.2% | Collateral Invested for Securities on Loan | 220,793 | 220,793 | ||||||||||||
(3.0)% | Other Assets and Liabilities, Net | (207,045 | ) | ||||||||||||
100.0% | Net Assets | 6,841,605 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.7% of net assets | |||||||||||||||
Automobiles & Components 0.5% | |||||||||||||||
Other Securities | 1,535,296 | 0.5 | 36,204 | ||||||||||||
Banks 5.4% | |||||||||||||||
U.S. Bancorp | 821,655 | 0.4 | 27,805 | ||||||||||||
Wachovia Corp. | 881,989 | 0.7 | 48,950 | ||||||||||||
Wells Fargo & Co. | 1,491,396 | 0.8 | 54,123 | ||||||||||||
Other Securities | 5,588,273 | 3.5 | 238,029 | ||||||||||||
5.4 | 368,907 | ||||||||||||||
Capital Goods 8.0% | |||||||||||||||
General Electric Co. (b) | 4,723,322 | 2.4 | 165,836 | ||||||||||||
The Boeing Co. | 369,989 | 0.4 | 29,547 | ||||||||||||
United Technologies Corp. | 464,763 | 0.5 | 30,544 | ||||||||||||
Other Securities | 5,935,472 | 4.7 | 319,810 | ||||||||||||
8.0 | 545,737 | ||||||||||||||
Commercial Services & Supplies 0.8% | |||||||||||||||
Other Securities | 1,431,572 | 0.8 | 54,633 | ||||||||||||
Consumer Durables & Apparel 1.3% | |||||||||||||||
Other Securities | 2,014,165 | 1.3 | 88,983 | ||||||||||||
Consumer Services 2.1% | |||||||||||||||
Other Securities | 3,437,944 | 2.1 | 142,169 | ||||||||||||
Diversified Financials 9.3% | |||||||||||||||
American Express Co. (b) | 564,077 | 0.5 | 32,609 | ||||||||||||
Bank of America Corp. (b) | 2,111,568 | 1.7 | 113,750 | ||||||||||||
Citigroup, Inc. | 2,255,962 | 1.7 | 113,159 | ||||||||||||
JPMorgan Chase & Co. | 1,584,338 | 1.1 | 75,161 | ||||||||||||
Merrill Lynch & Co., Inc. | 414,062 | 0.5 | 36,197 | ||||||||||||
Morgan Stanley | 488,648 | 0.6 | 37,347 | ||||||||||||
The Charles Schwab Corp. (b)(c) | 579,415 | 0.2 | 10,557 | ||||||||||||
The Goldman Sachs Group, Inc. | 195,032 | 0.5 | 37,015 | ||||||||||||
Other Securities | 3,365,841 | 2.5 | 182,942 | ||||||||||||
9.3 | 638,737 | ||||||||||||||
Energy 8.8% | |||||||||||||||
ChevronTexaco Corp. | 1,001,377 | 1.0 | 67,293 | ||||||||||||
ConocoPhillips | 739,016 | 0.7 | 44,518 | ||||||||||||
Exxon Mobil Corp. | 2,732,622 | 2.9 | 195,164 | ||||||||||||
Schlumberger Ltd. | 539,906 | 0.5 | 34,057 | ||||||||||||
Other Securities | 5,854,566 | 3.7 | 258,509 | ||||||||||||
8.8 | 599,541 | ||||||||||||||
Food & Staples Retailing 2.3% | |||||||||||||||
Wal-Mart Stores, Inc. (b) | 1,856,777 | 1.3 | 91,502 | ||||||||||||
Other Securities | 1,915,384 | 1.0 | 69,625 | ||||||||||||
2.3 | 161,127 | ||||||||||||||
Food, Beverage & Tobacco 4.9% | |||||||||||||||
Altria Group, Inc. (b) | 929,615 | 1.1 | 75,606 | ||||||||||||
PepsiCo, Inc. | 739,687 | 0.7 | 46,926 | ||||||||||||
The Coca-Cola Co. | 1,077,204 | 0.7 | 50,327 | ||||||||||||
Other Securities | 4,341,835 | 2.4 | 161,124 | ||||||||||||
4.9 | 333,983 | ||||||||||||||
Health Care Equipment & Services 4.2% | |||||||||||||||
UnitedHealth Group, Inc. | 628,712 | 0.5 | 30,669 | ||||||||||||
Other Securities | 5,725,014 | 3.7 | 255,884 | ||||||||||||
4.2 | 286,553 | ||||||||||||||
Household & Personal Products 2.1% | |||||||||||||||
Procter & Gamble Co. (b) | 1,476,519 | 1.4 | 93,597 | ||||||||||||
Other Securities | 908,332 | 0.7 | 48,698 | ||||||||||||
2.1 | 142,295 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 6.1% | |||||||||||||||
American International Group, Inc. (b) | 1,164,836 | 1.2 | 78,242 | ||||||||||||
Berkshire Hathaway, Inc., Class A * | 697 | 1.1 | 73,516 | ||||||||||||
Other Securities | 5,488,671 | 3.8 | 262,874 | ||||||||||||
6.1 | 414,632 | ||||||||||||||
Materials 3.0% | |||||||||||||||
Other Securities | 4,990,980 | 3.0 | 209,335 | ||||||||||||
Media 4.0% | |||||||||||||||
Comcast Corp., Class A * | 989,202 | 0.6 | 40,231 | ||||||||||||
News Corp., Class A | 1,461,928 | 0.5 | 30,481 | ||||||||||||
The Walt Disney Co. | 880,202 | 0.4 | 27,691 | ||||||||||||
Time Warner, Inc. | 2,104,701 | 0.6 | 42,115 | ||||||||||||
Other Securities | 4,273,721 | 1.9 | 132,843 | ||||||||||||
4.0 | 273,361 | ||||||||||||||
Pharmaceuticals & Biotechnology 7.7% | |||||||||||||||
Abbott Laboratories (b) | 686,146 | 0.5 | 32,599 | ||||||||||||
Amgen, Inc. (b)* | 549,660 | 0.6 | 41,725 | ||||||||||||
Eli Lilly & Co. | 511,171 | 0.4 | 28,631 | ||||||||||||
Genentech, Inc. * | 466,519 | 0.6 | 38,861 | ||||||||||||
Johnson & Johnson | 1,341,617 | 1.3 | 90,425 | ||||||||||||
Merck & Co., Inc. | 1,002,785 | 0.7 | 45,546 | ||||||||||||
Pfizer, Inc. | 3,337,510 | 1.3 | 88,945 | ||||||||||||
Wyeth | 598,983 | 0.5 | 30,566 | ||||||||||||
Other Securities | 3,697,687 | 1.8 | 133,345 | ||||||||||||
7.7 | 530,643 | ||||||||||||||
Real Estate 2.2% | |||||||||||||||
Other Securities | 2,969,531 | 2.2 | 148,505 | ||||||||||||
Retailing 3.5% | |||||||||||||||
Home Depot, Inc. | 936,295 | 0.5 | 34,952 | ||||||||||||
Other Securities | 5,287,653 | 3.0 | 206,820 | ||||||||||||
3.5 | 241,772 | ||||||||||||||
Semiconductors & Semiconductor Equipment 2.6% | |||||||||||||||
Intel Corp. | 2,613,230 | 0.8 | 55,766 | ||||||||||||
Other Securities | 5,234,006 | 1.8 | 123,074 | ||||||||||||
2.6 | 178,840 | ||||||||||||||
Software & Services 6.5% | |||||||||||||||
Google, Inc., Class A * | 131,796 | 0.9 | 62,786 | ||||||||||||
Microsoft Corp. (b) | 4,638,788 | 2.0 | 133,180 | ||||||||||||
Oracle Corp. * | 2,388,510 | 0.7 | 44,116 | ||||||||||||
Other Securities | 7,048,761 | 2.9 | 203,191 | ||||||||||||
6.5 | 443,273 | ||||||||||||||
Technology Hardware & Equipment 6.1% | |||||||||||||||
Apple Computer, Inc. (b)* | 377,914 | 0.5 | 30,641 | ||||||||||||
Cisco Systems, Inc. * | 2,792,515 | 1.0 | 67,383 | ||||||||||||
Hewlett-Packard Co. | 1,269,818 | 0.7 | 49,193 | ||||||||||||
International Business Machines Corp. | 710,390 | 1.0 | 65,590 | ||||||||||||
Other Securities | 12,316,093 | 2.9 | 204,141 | ||||||||||||
6.1 | 416,948 | ||||||||||||||
Telecommunication Services 3.2% | |||||||||||||||
AT&T Corp. (b) | 1,751,248 | 0.9 | 59,980 | ||||||||||||
BellSouth Corp. | 816,966 | 0.6 | 36,845 | ||||||||||||
Verizon Communications, Inc. | 1,318,737 | 0.7 | 48,793 | ||||||||||||
Other Securities | 3,606,275 | 1.0 | 71,297 | ||||||||||||
3.2 | 216,915 | ||||||||||||||
Transportation 1.8% | |||||||||||||||
United Parcel Service, Inc., Class B | 491,025 | 0.6 | 36,999 | ||||||||||||
Other Securities | 1,854,278 | 1.2 | 85,702 | ||||||||||||
1.8 | 122,701 | ||||||||||||||
Utilities 3.3% | |||||||||||||||
Other Securities | 5,489,950 | 3.3 | 224,148 | ||||||||||||
Foreign Common Stock 0.1% of net assets | |||||||||||||||
Canada 0.0% | |||||||||||||||
Consumer Services 0.0% | |||||||||||||||
Other Securities | 65,374 | — | 1,889 | ||||||||||||
Cayman Islands 0.1% | |||||||||||||||
Energy 0.1% | |||||||||||||||
Other Securities | 96,995 | 0.1 | 5,034 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | % of Net Assets | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.0% of net assets | |||||||||||||||
Other Securities | 800 | — | 795 | ||||||||||||
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
Warrant 0.0% of net assets | |||||||||||||||
Other Securities | 12,506 | — | 197 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 3.2% of net assets | |||||||||
State Street Navigator Security Lending Prime Portfolio | 220,792,750 | 220,793 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | ||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 70 | 4,841 | 189 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
(c) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | ||||||
Investments, at value including securities on loan of $215,554 (cost $3,192,966) | $ | 6,827,857 | ||||
Collateral invested for securities on loan | 220,793 | |||||
Cash | 1,227 | |||||
Receivables: | ||||||
Investments sold | 6,322 | |||||
Dividends | 5,388 | |||||
Fund shares sold | 4,785 | |||||
Income from securities on loan | 51 | |||||
Prepaid expenses | + | 40 | ||||
Total assets | 7,066,463 | |||||
Liabilities | ||||||
Collateral invested for securities on loan | 220,793 | |||||
Payables: | ||||||
Investments bought | 185 | |||||
Investment adviser and administrator fees | 126 | |||||
Transfer agent and shareholder services fees | 106 | |||||
Fund shares redeemed | 3,362 | |||||
Trustee fees | 4 | |||||
Due to brokers for futures | 2 | |||||
Accrued expenses | + | 280 | ||||
Total liabilities | 224,858 | |||||
Net Assets | ||||||
Total assets | 7,066,463 | |||||
Total liabilities | – | 224,858 | ||||
Net assets | $ | 6,841,605 | ||||
Net Assets by Source | ||||||
Capital received from investors | 3,446,994 | |||||
Net investment income not yet distributed | 71,145 | |||||
Net realized capital losses | (311,614 | ) | ||||
Net unrealized capital gains | 3,635,080 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 3,917,627 | 96,978 | $40.40 | ||||||||||||||||||||||
Select Shares | $ | 2,923,978 | 72,324 | $40.43 |
Table of Contents
Investment Income | ||||||
Dividends (including $75 from affiliated issuer and net of $6 foreign withholding tax) | $ | 120,115 | ||||
Interest | 451 | |||||
Lending of securities | + | 592 | ||||
Total Investment Income | 121,158 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 200,034 | |||||
Net realized gains on futures contracts | + | 561 | ||||
Net realized gains | 200,595 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 688,765 | |||||
Net unrealized gains on futures contracts | + | 197 | ||||
Net unrealized gains | 688,962 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 14,671 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 10,247 | |||||
Select Shares | 2,537 | |||||
Shareholder reports | 380 | |||||
Portfolio accounting fees | 271 | |||||
Registration fees | 193 | |||||
Custodian fees | 159 | |||||
Professional fees | 65 | |||||
Overdraft expense | 62 | |||||
Trustees’ fees | 49 | |||||
Other expenses | + | 80 | ||||
Total expenses | 28,714 | |||||
Custody credit | –6 | |||||
Net expenses | 28,708 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 121,158 | |||||
Net expenses | – | 28,708 | ||||
Net investment income | 92,450 | |||||
Net realized gains | 200,595 | |||||
Net unrealized gains | + | 688,962 | ||||
Increase in net assets from operations | $ | 982,007 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 92,450 | $ | 101,492 | ||||||
Net realized gains | 200,595 | 45,444 | ||||||||
Net unrealized gains | + | 688,962 | 485,599 | |||||||
Increase in net assets from operations | 982,007 | 632,535 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 53,026 | 61,678 | ||||||||
Select Shares | + | 33,855 | 33,954 | |||||||
Total dividends from net investment income | $ | 86,881 | $ | 95,632 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 7,114 | $ | 266,698 | 10,950 | $ | 375,768 | |||||||||||||
Select Shares | + | 17,151 | 640,701 | 11,316 | 393,335 | ||||||||||||||
Total shares sold | 24,265 | $ | 907,399 | 22,266 | $ | 769,103 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 1,329 | $ | 48,830 | 1,674 | $ | 56,670 | |||||||||||||
Select Shares | + | 769 | 28,221 | 840 | 28,419 | ||||||||||||||
Total shares reinvested | 2,098 | $ | 77,051 | 2,514 | $ | 85,089 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (29,454 | ) | $ | (1,101,605 | ) | (25,490 | ) | $ | (881,852 | ) | |||||||||
Select Shares | + | (11,469 | ) | (429,917 | ) | (11,930 | ) | (410,943 | ) | ||||||||||
Total shares redeemed | (40,923 | ) | $ | (1,531,522 | ) | (37,420 | ) | $ | (1,292,795 | ) | |||||||||
Net transactions in fund shares | (14,560 | ) | $ | (547,072 | ) | (12,640 | ) | $ | (438,603 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 183,862 | $ | 6,493,551 | 196,502 | $ | 6,395,251 | |||||||||||||
Total increase or decrease | + | (14,560 | ) | 348,054 | (12,640 | ) | 98,300 | ||||||||||||
End of period | 169,302 | $ | 6,841,605 | 183,862 | $ | 6,493,551 | |||||||||||||
Net investment income not yet distributed | $ | 71,145 | $ | 67,176 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 22.31 | 19.92 | 18.22 | 13.27 | 15.98 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.23 | 1 | 0.14 | 0.13 | 0.11 | 0.13 | ||||||||||||||||
Net realized and unrealized gains or losses | 3.67 | 1 | 2.38 | 1.68 | 4.98 | (2.17 | ) | |||||||||||||||
Total income or loss from investment operations | 3.90 | 2.52 | 1.81 | 5.09 | (2.04 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.14 | ) | (0.13 | ) | (0.11 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||
Distributions from net realized gains | (0.15 | ) | — | — | — | (0.58 | ) | |||||||||||||||
Total distributions | (0.29 | ) | (0.13 | ) | (0.11 | ) | (0.14 | ) | (0.67 | ) | ||||||||||||
Net asset value at end of period | 25.92 | 22.31 | 19.92 | 18.22 | 13.27 | |||||||||||||||||
Total return (%) | 17.62 | 12.66 | 9.98 | 38.72 | (13.66 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.57 | 0.58 | 0.59 | 0.56 | 0.49 | |||||||||||||||||
Gross operating expenses | 0.57 | 0.58 | 0.59 | 0.60 | 0.60 | |||||||||||||||||
Net investment income | 0.94 | 0.57 | 0.66 | 0.74 | 0.77 | |||||||||||||||||
Portfolio turnover rate | 29 | 40 | 39 | 34 | 44 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 771 | 823 | 869 | 886 | 722 |
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/2/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 22.36 | 19.96 | 18.25 | 13.28 | 16.00 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.27 | 1 | 0.17 | 0.17 | 0.14 | 0.14 | ||||||||||||||||
Net realized and unrealized gains or losses | 3.67 | 1 | 2.39 | 1.68 | 4.99 | (2.18 | ) | |||||||||||||||
Total income or loss from investment operations | 3.94 | 2.56 | 1.85 | 5.13 | (2.04 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.16 | ) | (0.14 | ) | (0.16 | ) | (0.10 | ) | ||||||||||||
Distributions from net realized gains | (0.15 | ) | — | — | — | (0.58 | ) | |||||||||||||||
Total distributions | (0.33 | ) | (0.16 | ) | (0.14 | ) | (0.16 | ) | (0.68 | ) | ||||||||||||
Net asset value at end of period | 25.97 | 22.36 | 19.96 | 18.25 | 13.28 | |||||||||||||||||
Total return (%) | 17.78 | 12.86 | 10.16 | 39.02 | (13.62 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.42 | 0.41 | 0.42 | 0.41 | 0.38 | |||||||||||||||||
Gross operating expenses | 0.42 | 0.43 | 0.44 | 0.45 | 0.45 | |||||||||||||||||
Net investment income | 1.10 | 0.74 | 0.82 | 0.89 | 0.88 | |||||||||||||||||
Portfolio turnover rate | 29 | 40 | 39 | 34 | 44 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 889 | 795 | 761 | 759 | 638 |
1 | Calculated based on the average shares outstanding during the period. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.7% | Common Stock | 1,241,488 | 1,654,700 | ||||||||||||
0.2% | Short-Term Investment | 3,156 | 3,156 | ||||||||||||
—% | U.S. Treasury Obligation | 679 | 681 | ||||||||||||
99.9% | Total Investments | 1,245,323 | 1,658,537 | ||||||||||||
15.2% | Collateral Invested for Securities on Loan | 251,338 | 251,338 | ||||||||||||
(15.1)% | Other Assets and Liabilities, Net | (250,387 | ) | ||||||||||||
100.0% | Net Assets | 1,659,488 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.7% of net assets | |||||||||||||||
Automobiles & Components 0.9% | |||||||||||||||
Other Securities | 714,117 | 0.9 | 15,228 | ||||||||||||
Banks 8.1% | |||||||||||||||
Other Securities | 5,368,264 | 8.1 | 134,607 | ||||||||||||
Capital Goods 7.8% | |||||||||||||||
Acuity Brands, Inc. | 66,532 | 0.2 | 3,296 | ||||||||||||
AGCO Corp. * | 125,945 | 0.2 | 3,369 | ||||||||||||
Genlyte Group, Inc. * | 41,815 | 0.2 | 3,231 | ||||||||||||
Lincoln Electric Holdings, Inc. | 57,525 | 0.2 | 3,537 | ||||||||||||
Quanta Services, Inc. * | 170,136 | 0.2 | 3,114 | ||||||||||||
Other Securities | 3,577,814 | 6.8 | 113,473 | ||||||||||||
7.8 | 130,020 | ||||||||||||||
Commercial Services & Supplies 3.8% | |||||||||||||||
Corrections Corp. of America * | 81,973 | 0.2 | 3,745 | ||||||||||||
IKON Office Solutions, Inc. | 209,821 | 0.1 | 3,128 | ||||||||||||
Other Securities | 1,950,267 | 3.5 | 55,540 | ||||||||||||
3.8 | 62,413 | ||||||||||||||
Consumer Durables & Apparel 3.6% | |||||||||||||||
Marvel Entertainment, Inc. (a)* | 122,630 | 0.2 | 3,109 | ||||||||||||
Other Securities | 2,201,486 | 3.4 | 56,779 | ||||||||||||
3.6 | 59,888 | ||||||||||||||
Consumer Services 4.9% | |||||||||||||||
American Real Estate Partners L.P. (a) | 55,192 | 0.2 | 3,455 | ||||||||||||
Jack in the Box, Inc. * | 55,481 | 0.2 | 3,113 | ||||||||||||
Orient-Express Hotels Ltd., Class A | 79,772 | 0.2 | 3,147 | ||||||||||||
Other Securities | 2,418,392 | 4.3 | 70,847 | ||||||||||||
4.9 | 80,562 | ||||||||||||||
Diversified Financials 2.3% | |||||||||||||||
Other Securities | 1,257,839 | 2.3 | 38,105 | ||||||||||||
Energy 8.0% | |||||||||||||||
Boardwalk Pipeline Partners, LP (a) | 138,835 | 0.2 | 3,993 | ||||||||||||
Holly Corp. | 79,906 | 0.2 | 3,800 | ||||||||||||
Magellan Midstream Partners (a) | 92,608 | 0.2 | 3,620 | ||||||||||||
Overseas Shipholding Group, Inc. | 53,961 | 0.2 | 3,375 | ||||||||||||
SEACOR Holdings, Inc. * | 34,616 | 0.2 | 3,097 | ||||||||||||
Superior Energy Services, Inc. * | 104,787 | 0.2 | 3,280 | ||||||||||||
Veritas DGC, Inc. * | 52,792 | 0.2 | 3,802 | ||||||||||||
Other Securities | 4,219,211 | 6.6 | 107,945 | ||||||||||||
8.0 | 132,912 | ||||||||||||||
Food & Staples Retailing 1.0% | |||||||||||||||
Rite Aid Corp. (a)* | 721,895 | 0.2 | 3,379 | ||||||||||||
Other Securities | 426,219 | 0.8 | 14,112 | ||||||||||||
1.0 | 17,491 | ||||||||||||||
Food, Beverage & Tobacco 1.7% | |||||||||||||||
Corn Products International, Inc. | 101,390 | 0.2 | 3,669 | ||||||||||||
Hansen Natural Corp. (a)* | 112,460 | 0.2 | 3,571 | ||||||||||||
Other Securities | 710,152 | 1.3 | 21,538 | ||||||||||||
1.7 | 28,778 | ||||||||||||||
Health Care Equipment & Services 4.9% | |||||||||||||||
Brookdale Senior Living, Inc. | 78,669 | 0.2 | 3,786 | ||||||||||||
WellCare Health Plans, Inc. * | 54,593 | 0.1 | 3,207 | ||||||||||||
Other Securities | 2,527,824 | 4.6 | 73,577 | ||||||||||||
4.9 | 80,570 | ||||||||||||||
Household & Personal Products 0.7% | |||||||||||||||
Other Securities | 977,477 | 0.7 | 10,973 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 4.2% | |||||||||||||||
Arch Capital Group Ltd. * | 49,227 | 0.2 | 3,165 | ||||||||||||
Odyssey Re Holdings Corp. (a) | 96,583 | 0.2 | 3,424 | ||||||||||||
Other Securities | 2,285,847 | 3.8 | 63,836 | ||||||||||||
4.2 | 70,425 | ||||||||||||||
Materials 5.0% | |||||||||||||||
Albemarle Corp. | 63,716 | 0.2 | 4,144 | ||||||||||||
Carpenter Technology Corp. | 36,101 | 0.2 | 3,863 | ||||||||||||
Greif, Inc., Class A | 35,431 | 0.2 | 3,320 | ||||||||||||
Steel Dynamics, Inc. | 67,162 | 0.2 | 4,037 | ||||||||||||
Other Securities | 3,119,250 | 4.2 | 67,487 | ||||||||||||
5.0 | 82,851 | ||||||||||||||
Media 2.1% | |||||||||||||||
Other Securities | 2,541,434 | 2.1 | 34,765 | ||||||||||||
Pharmaceuticals & Biotechnology 4.6% | |||||||||||||||
Other Securities | 3,258,499 | 4.6 | 75,624 | ||||||||||||
Real Estate 7.0% | |||||||||||||||
Alexandria Real Estate Equities, Inc. | 31,429 | 0.2 | 3,133 | ||||||||||||
Taubman Centers, Inc. | 70,883 | 0.2 | 3,324 | ||||||||||||
Other Securities | 3,930,525 | 6.6 | 109,485 | ||||||||||||
7.0 | 115,942 | ||||||||||||||
Retailing 5.5% | |||||||||||||||
Big Lots, Inc. * | 161,833 | 0.2 | 3,411 | ||||||||||||
Coldwater Creek, Inc. * | 120,979 | 0.2 | 3,689 | ||||||||||||
Dick’s Sporting Goods, Inc. * | 68,840 | 0.2 | 3,425 | ||||||||||||
Guess?, Inc. * | 62,886 | 0.2 | 3,581 | ||||||||||||
OfficeMax, Inc. | 96,592 | 0.3 | 4,596 | ||||||||||||
The Men’s Wearhouse, Inc. (b) | 82,645 | 0.2 | 3,293 | ||||||||||||
Other Securities | 3,005,556 | 4.2 | 69,752 | ||||||||||||
5.5 | 91,747 | ||||||||||||||
Semiconductors & Semiconductor Equipment 3.4% | |||||||||||||||
Other Securities | 5,309,903 | 3.4 | 57,205 | ||||||||||||
Software & Services 7.2% | |||||||||||||||
FactSet Research Systems, Inc. | 66,796 | 0.2 | 3,400 | ||||||||||||
Hyperion Solutions Corp. * | 86,914 | 0.2 | 3,251 | ||||||||||||
Sybase, Inc. * | 135,719 | 0.2 | 3,305 | ||||||||||||
Other Securities | 5,990,094 | 6.6 | 110,144 | ||||||||||||
7.2 | 120,100 | ||||||||||||||
Technology Hardware & Equipment 5.3% | |||||||||||||||
Anixter International, Inc. (a)* | 52,843 | 0.2 | 3,158 | ||||||||||||
Brocade Communications Systems, Inc. (b)* | 383,283 | 0.2 | 3,108 | ||||||||||||
Polycom, Inc. * | 138,739 | 0.2 | 3,801 | ||||||||||||
Trimble Navigation Ltd. * | 74,801 | 0.2 | 3,457 | ||||||||||||
Other Securities | 5,027,042 | 4.5 | 74,559 | ||||||||||||
5.3 | 88,083 | ||||||||||||||
Telecommunication Services 1.2% | |||||||||||||||
SBA Communications Corp. * | 118,934 | 0.2 | 3,177 | ||||||||||||
Time Warner Telecom, Inc., Class A (a)* | 160,808 | 0.2 | 3,206 | ||||||||||||
Other Securities | 1,174,300 | 0.8 | 13,129 | ||||||||||||
1.2 | 19,512 | ||||||||||||||
Transportation 2.9% | |||||||||||||||
Continental Airlines, Inc., Class B (a)* | 125,511 | 0.3 | 4,629 | ||||||||||||
Other Securities | 1,604,810 | 2.6 | 42,801 | ||||||||||||
2.9 | 47,430 | ||||||||||||||
Utilities 3.6% | |||||||||||||||
Dynegy, Inc., Class A * | 530,336 | 0.2 | 3,224 | ||||||||||||
Sierra Pacific Resources * | 214,037 | 0.2 | 3,245 | ||||||||||||
Other Securities | 2,079,284 | 3.2 | 53,000 | ||||||||||||
3.6 | 59,469 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.2% of net assets | ||||||||||||||
Other Securities | 3,156 | 0.2 | 3,156 | |||||||||||
U.S. Treasury Obligation 0.0% of net assets | ||||||||||||||
Other Securities | 685 | — | 681 |
End of Investments.
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 15.2% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 251,338,226 | 251,338 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
Russell 2000 Index, e-mini Futures, Long expires 12/31/06 | 51 | 3,932 | 182 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
Table of Contents
Assets | ||||||
Investments, at value including securities on loan of $244,675 (cost $1,245,323) | $ | 1,658,537 | ||||
Collateral invested for securities on loan | 251,338 | |||||
Receivables: | ||||||
Investments sold | 714 | |||||
Dividends | 859 | |||||
Fund shares sold | 450 | |||||
Income from securities on loan | 191 | |||||
Interest | 1 | |||||
Prepaid expenses | + | 10 | ||||
Total assets | 1,912,100 | |||||
Liabilities | ||||||
Collateral for securities on loan | 251,338 | |||||
Payables: | ||||||
Investment adviser and administrator fees | 42 | |||||
Transfer agent and shareholder services fees | 24 | |||||
Fund shares redeemed | 1,087 | |||||
Due to brokers for futures | 19 | |||||
Trustee fees | 2 | |||||
Accrued expenses | + | 100 | ||||
Total liabilities | 252,612 | |||||
Net Assets | ||||||
Total assets | 1,912,100 | |||||
Total liabilities | – | 252,612 | ||||
Net assets | $ | 1,659,488 | ||||
Net Assets by Source | ||||||
Capital received from investors | 1,041,234 | |||||
Net investment income not yet distributed | 12,783 | |||||
Net realized capital gains | 192,075 | |||||
Net unrealized capital gains | 413,396 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 770,598 | 29,729 | $25.92 | ||||||||||||||||||||||
Select Shares | $ | 888,890 | 34,222 | $25.97 |
Table of Contents
Investment Income | ||||||
Dividends (net of $11 foreign withholding tax) | $ | 22,891 | ||||
Interest | 288 | |||||
Lending of securities | + | 2,035 | ||||
Total Investment Income | 25,214 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 190,721 | |||||
Net realized gains on futures contracts | + | 1,683 | ||||
Net realized gains | 192,404 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 62,567 | |||||
Net unrealized gains on futures contracts | + | 116 | ||||
Net unrealized gains | 62,683 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 4,907 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 2,060 | |||||
Select Shares | 839 | |||||
Custodian fees | 109 | |||||
Shareholder reports | 107 | |||||
Portfolio accounting fees | 105 | |||||
Registration fees | 61 | |||||
Professional fees | 49 | |||||
Trustees’ fees | 17 | |||||
Overdraft Expense | 8 | |||||
Other expenses | + | 25 | ||||
Total expenses | 8,287 | |||||
Expense reduction by adviser and Schwab | – | 43 | ||||
Net expenses | 8,244 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 25,214 | |||||
Net expenses | – | 8,244 | ||||
Net investment income | 16,970 | |||||
Net realized gains | 192,404 | |||||
Net unrealized gains | + | 62,683 | ||||
Increase in net assets from operations | $ | 272,057 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 16,970 | $ | 10,894 | ||||||
Net realized gains | 192,404 | 81,311 | ||||||||
Net unrealized gains | + | 62,683 | 109,886 | |||||||
Increase in net assets from operations | 272,057 | 202,091 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 4,995 | 5,474 | ||||||||
Select Shares | + | 6,216 | 5,977 | |||||||
Total dividends from net investment income | 11,211 | 11,451 | ||||||||
Distributions from net realized gains | ||||||||||
Investor Shares | 5,339 | — | ||||||||
Select Shares | + | 5,156 | — | |||||||
Total distributions from net realized gains | 10,495 | — | ||||||||
Total distributions | $ | 21,706 | $ | 11,451 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 2,811 | $ | 68,930 | 4,246 | $ | 91,743 | |||||||||||||
Select Shares | + | 5,327 | 128,328 | 5,026 | 109,688 | ||||||||||||||
Total shares sold | 8,138 | $ | 197,258 | 9,272 | $ | 201,431 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 414 | $ | 9,611 | 237 | $ | 5,085 | |||||||||||||
Select Shares | + | 451 | 10,498 | 256 | 5,502 | ||||||||||||||
Total shares reinvested | 865 | $ | 20,109 | 493 | $ | 10,587 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (10,390 | ) | $ | (251,597 | ) | (11,218 | ) | $ | (243,579 | ) | |||||||||
Select Shares | + | (7,116 | ) | (174,607 | ) | (7,843 | ) | (170,831 | ) | ||||||||||
Total shares redeemed | (17,506 | ) | $ | (426,204 | ) | (19,061 | ) | $ | (414,410 | ) | |||||||||
Net transactions in fund shares | (8,503 | ) | $ | (208,837 | ) | (9,296 | ) | $ | (202,392 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 72,454 | $ | 1,617,974 | 81,750 | $ | 1,629,726 | |||||||||||||
Total increase or decrease | + | (8,503 | ) | 41,514 | (9,296 | ) | (11,752 | ) | |||||||||||
End of period | 63,951 | $ | 1,659,488 | 72,454 | $ | 1,617,974 | |||||||||||||
Net investment income not yet distributed | $ | 12,783 | $ | 8,490 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 20.77 | 19.04 | 17.48 | 14.35 | 16.62 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.30 | 0.29 | 0.19 | 0.16 | 0.16 | |||||||||||||||||
Net realized and unrealized gains or losses | 3.01 | 1.69 | 1.53 | 3.14 | (2.27 | ) | ||||||||||||||||
Total income or loss from investment operations | 3.31 | 1.98 | 1.72 | 3.30 | (2.11 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.25 | ) | (0.25 | ) | (0.16 | ) | (0.17 | ) | (0.16 | ) | ||||||||||||
Net asset value at end of period | 23.83 | 20.77 | 19.04 | 17.48 | 14.35 | |||||||||||||||||
Total return (%) | 16.05 | 10.45 | 9.93 | 23.24 | (12.86 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.53 | 0.54 | 0.56 | 0.53 | 0.40 | |||||||||||||||||
Gross operating expenses | 0.53 | 0.54 | 0.56 | 0.59 | 0.62 | |||||||||||||||||
Net investment income | 1.27 | 1.37 | 1.07 | 1.18 | 1.11 | |||||||||||||||||
Portfolio turnover rate | 3 | 2 | 2 | 3 | 2 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 607 | 600 | 592 | 469 | 263 |
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 20.83 | 19.09 | 17.52 | 14.37 | 16.65 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.31 | 0.31 | 0.22 | 0.20 | 0.19 | |||||||||||||||||
Net realized and unrealized gains or losses | 3.04 | 1.71 | 1.54 | 3.14 | (2.29 | ) | ||||||||||||||||
Total income or loss from investment operations | 3.35 | 2.02 | 1.76 | 3.34 | (2.10 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.28 | ) | (0.28 | ) | (0.19 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||
Net asset value at end of period | 23.90 | 20.83 | 19.09 | 17.52 | 14.37 | |||||||||||||||||
Total return (%) | 16.23 | 10.63 | 10.10 | 23.50 | (12.81 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.38 | 0.39 | 0.39 | 0.36 | 0.27 | |||||||||||||||||
Gross operating expenses | 0.38 | 0.39 | 0.41 | 0.44 | 0.47 | |||||||||||||||||
Net investment income | 1.41 | 1.52 | 1.23 | 1.35 | 1.24 | |||||||||||||||||
Portfolio turnover rate | 3 | 2 | 2 | 3 | 2 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 762 | 617 | 548 | 429 | 264 |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.6% | Common Stock | 1,038,021 | 1,363,639 | |||||||||||||
0.1% | Foreign Common Stock | 425 | 994 | |||||||||||||
—% | Preferred Stock | 64 | 94 | |||||||||||||
—% | U.S. Treasury Obligation | 308 | 308 | |||||||||||||
—% | Rights | — | — | |||||||||||||
99.7% | Total Investments | 1,038,818 | 1,365,035 | |||||||||||||
3.9% | Collateral Invested for Securities on Loan | 52,763 | 52,763 | |||||||||||||
(3.6)% | Other Assets and Liabilities, Net | (49,183 | ) | |||||||||||||
100.0% | Net Assets | 1,368,615 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.6% of net assets | |||||||||||||||
Automobiles & Components 0.6% | |||||||||||||||
Other Securities | 328,986 | 0.6 | 7,894 | ||||||||||||
Banks 5.9% | |||||||||||||||
U.S. Bancorp | 158,531 | 0.4 | 5,365 | ||||||||||||
Wachovia Corp. | 163,314 | 0.7 | 9,064 | ||||||||||||
Wells Fargo & Co. | 275,154 | 0.8 | 9,985 | ||||||||||||
Other Securities | 1,490,956 | 4.0 | 55,630 | ||||||||||||
5.9 | 80,044 | ||||||||||||||
Capital Goods 7.9% | |||||||||||||||
General Electric Co. (c) | 815,966 | 2.1 | 28,649 | ||||||||||||
The Boeing Co. | 68,800 | 0.4 | 5,494 | ||||||||||||
United Technologies Corp. | 84,068 | 0.4 | 5,525 | ||||||||||||
Other Securities | 1,395,957 | 5.0 | 68,318 | ||||||||||||
7.9 | 107,986 | ||||||||||||||
Commercial Services & Supplies 1.2% | |||||||||||||||
Other Securities | 486,321 | 1.2 | 16,279 | ||||||||||||
Consumer Durables & Apparel 1.6% | |||||||||||||||
Other Securities | 602,274 | 1.6 | 21,892 | ||||||||||||
Consumer Services 2.4% | |||||||||||||||
Other Securities | 907,962 | 2.4 | 33,079 | ||||||||||||
Diversified Financials 8.9% | |||||||||||||||
American Express Co. | 105,150 | 0.5 | 6,079 | ||||||||||||
Bank of America Corp. (c) | 381,577 | 1.5 | 20,556 | ||||||||||||
Citigroup, Inc. (c) | 412,286 | 1.5 | 20,680 | ||||||||||||
JPMorgan Chase & Co. | 295,944 | 1.0 | 14,040 | ||||||||||||
Merrill Lynch & Co., Inc. | 79,800 | 0.5 | 6,976 | ||||||||||||
Morgan Stanley | 90,300 | 0.5 | 6,902 | ||||||||||||
The Charles Schwab Corp. (d) | 111,120 | 0.2 | 2,025 | ||||||||||||
The Goldman Sachs Group, Inc. (a) | 38,700 | 0.5 | 7,345 | ||||||||||||
Other Securities | 710,373 | 2.7 | 37,064 | ||||||||||||
8.9 | 121,667 | ||||||||||||||
Energy 8.5% | |||||||||||||||
ChevronTexaco Corp. | 178,939 | 0.9 | 12,025 | ||||||||||||
ConocoPhillips | 131,623 | 0.6 | 7,929 | ||||||||||||
Exxon Mobil Corp. (c) | 493,166 | 2.6 | 35,222 | ||||||||||||
Schlumberger Ltd. | 100,000 | 0.5 | 6,308 | ||||||||||||
Other Securities | 1,318,551 | 3.9 | 54,797 | ||||||||||||
8.5 | 116,281 | ||||||||||||||
Food & Staples Retailing 2.2% | |||||||||||||||
Wal-Mart Stores, Inc. | 309,100 | 1.1 | 15,232 | ||||||||||||
Other Securities | 442,868 | 1.1 | 14,462 | ||||||||||||
2.2 | 29,694 | ||||||||||||||
Food, Beverage & Tobacco 4.5% | |||||||||||||||
Altria Group, Inc. | 168,800 | 1.0 | 13,729 | ||||||||||||
PepsiCo, Inc. | 140,800 | 0.7 | 8,932 | ||||||||||||
The Coca-Cola Co. | 202,200 | 0.7 | 9,447 | ||||||||||||
Other Securities | 821,464 | 2.1 | 29,677 | ||||||||||||
4.5 | 61,785 | ||||||||||||||
Health Care Equipment & Services 4.4% | |||||||||||||||
UnitedHealth Group, Inc. | 118,880 | 0.4 | 5,799 | ||||||||||||
Other Securities | 1,345,183 | 4.0 | 54,405 | ||||||||||||
4.4 | 60,204 | ||||||||||||||
Household & Personal Products 1.9% | |||||||||||||||
Procter & Gamble Co. (c) | 269,915 | 1.3 | 17,110 | ||||||||||||
Other Securities | 184,447 | 0.6 | 9,425 | ||||||||||||
1.9 | 26,535 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 5.5% | |||||||||||||||
American International Group, Inc. | 211,922 | 1.1 | 14,235 | ||||||||||||
Berkshire Hathaway, Inc., Class A * | 121 | 0.9 | 12,762 | ||||||||||||
Other Securities | 1,079,478 | 3.5 | 48,862 | ||||||||||||
5.5 | 75,859 | ||||||||||||||
Materials 3.1% | |||||||||||||||
Other Securities | 1,097,579 | 3.1 | 43,021 | ||||||||||||
Media 4.0% | |||||||||||||||
Comcast Corp., Class A * | 151,336 | 0.5 | 6,155 | ||||||||||||
News Corp., Class A | 253,950 | 0.4 | 5,295 | ||||||||||||
The Walt Disney Co. | 195,410 | 0.5 | 6,148 | ||||||||||||
Time Warner, Inc. | 367,052 | 0.6 | 7,345 | ||||||||||||
Other Securities | 988,988 | 2.0 | 29,389 | ||||||||||||
4.0 | 54,332 | ||||||||||||||
Pharmaceuticals & Biotechnology 7.4% | |||||||||||||||
Abbott Laboratories | 125,705 | 0.5 | 5,972 | ||||||||||||
Amgen, Inc. * | 103,268 | 0.6 | 7,839 | ||||||||||||
Eli Lilly & Co. | 92,400 | 0.4 | 5,175 | ||||||||||||
Genentech, Inc. * | 83,300 | 0.5 | 6,939 | ||||||||||||
Johnson & Johnson | 246,370 | 1.2 | 16,605 | ||||||||||||
Merck & Co., Inc. | 183,552 | 0.6 | 8,337 | ||||||||||||
Pfizer, Inc. | 610,192 | 1.2 | 16,262 | ||||||||||||
Wyeth | 109,400 | 0.4 | 5,583 | ||||||||||||
Other Securities | 918,458 | 2.0 | 28,669 | ||||||||||||
7.4 | 101,381 | ||||||||||||||
Real Estate 2.5% | |||||||||||||||
Other Securities | 762,819 | 2.5 | 33,851 | ||||||||||||
Retailing 4.0% | |||||||||||||||
Home Depot, Inc. | 162,300 | 0.5 | 6,059 | ||||||||||||
Other Securities | 1,408,353 | 3.5 | 49,041 | ||||||||||||
4.0 | 55,100 | ||||||||||||||
Semiconductors & Semiconductor Equipment 2.6% | |||||||||||||||
Intel Corp. | 483,832 | 0.8 | 10,325 | ||||||||||||
Other Securities | 1,235,866 | 1.8 | 25,309 | ||||||||||||
2.6 | 35,634 | ||||||||||||||
Software & Services 6.2% | |||||||||||||||
Google, Inc., Class A * | 22,900 | 0.8 | 10,909 | ||||||||||||
Microsoft Corp. (c) | 800,850 | 1.7 | 22,992 | ||||||||||||
Oracle Corp. * | 434,449 | 0.6 | 8,024 | ||||||||||||
Other Securities | 1,681,198 | 3.1 | 43,096 | ||||||||||||
6.2 | 85,021 | ||||||||||||||
Technology Hardware & Equipment 6.1% | |||||||||||||||
Apple Computer, Inc. * | 65,000 | 0.4 | 5,270 | ||||||||||||
Cisco Systems, Inc. * | 511,909 | 0.9 | 12,352 | ||||||||||||
Hewlett-Packard Co. | 239,636 | 0.7 | 9,283 | ||||||||||||
International Business Machines Corp. | 131,510 | 0.9 | 12,142 | ||||||||||||
Other Securities | 2,634,030 | 3.2 | 44,362 | ||||||||||||
6.1 | 83,409 | ||||||||||||||
Telecommunication Services 3.0% | |||||||||||||||
AT&T Corp. | 318,806 | 0.8 | 10,919 | ||||||||||||
BellSouth Corp. | 151,887 | 0.5 | 6,850 | ||||||||||||
Verizon Communications, Inc. | 247,572 | 0.7 | 9,160 | ||||||||||||
Other Securities | 776,188 | 1.0 | 14,015 | ||||||||||||
3.0 | 40,944 | ||||||||||||||
Transportation 1.8% | |||||||||||||||
United Parcel Service, Inc., Class B | 91,480 | 0.5 | 6,893 | ||||||||||||
Other Securities | 444,119 | 1.3 | 18,308 | ||||||||||||
1.8 | 25,201 | ||||||||||||||
Utilities 3.4% | |||||||||||||||
Other Securities | 1,229,814 | 3.4 | 46,546 | ||||||||||||
Foreign Common Stock 0.1% of net assets | |||||||||||||||
Cayman Islands 0.1% | |||||||||||||||
Energy 0.1% | |||||||||||||||
Other Securities | 19,155 | 0.1 | 994 | ||||||||||||
Preferred Stock 0.0% of net assets | |||||||||||||||
Real Estate 0.0% | |||||||||||||||
Other Securities | 1,200 | — | 94 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | % of Net Assets | Value ($ x 1,000) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.0% of net assets | ||||||||||||||
Other Securities | 310 | — | 308 |
Table of Contents
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Rights 0.0% of net assets | ||||||||||||
Other Securities | 1,640 | — | — |
End of Investments.
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 3.9% of net assets | |||||||||||
State Street Navigator Security Lending Prime Portfolio | 52,763,359 | 52,763 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contracts | |||||||||||||||
Russell 2000 Index, e-mini, Long expires 12/31/06 | 10 | 771 | 56 | ||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 10 | 692 | 36 | ||||||||||||
92 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | Fair-valued by Management. Please see the complete schedule of holdings. |
(c) | All or a portion of this security is held as collateral for open futures contracts. Please see the complete schedule of holdings. |
(d) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | ||||||
Investments, at value including securities on loan of $51,285 (cost $1,038,818) | $ | 1,365,035 | ||||
Collateral invested for securities on loan | 52,763 | |||||
Receivables: | ||||||
Investments sold | 2,944 | |||||
Fund shares sold | 1,349 | |||||
Dividends | 1,051 | |||||
Income from securities on loan | 22 | |||||
Prepaid expenses | + | 8 | ||||
Total assets | 1,423,172 | |||||
Liabilities | ||||||
Collateral invested for securities on loan | 52,763 | |||||
Payables: | ||||||
Investments bought | 22 | |||||
Investment adviser and administrator fees | 29 | |||||
Transfer agent and shareholder services fees | 19 | |||||
Fund shares redeemed | 919 | |||||
Payable to custodian | 715 | |||||
Due to brokers for futures | 3 | |||||
Trustee fees | 2 | |||||
Accrued expenses | + | 85 | ||||
Total liabilities | 54,557 | |||||
Net Assets | ||||||
Total assets | 1,423,172 | |||||
Total liabilities | – | 54,557 | ||||
Net assets | $ | 1,368,615 | ||||
Net Assets by Source | ||||||
Capital received from investors | 1,043,168 | |||||
Net investment income not yet distributed | 13,499 | |||||
Net realized capital losses | (14,361 | ) | ||||
Net unrealized capital gains | 326,309 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 606,548 | 25,453 | $23.83 | ||||||||||||||||||||||
Select Shares | $ | 762,067 | 31,889 | $23.90 |
Table of Contents
Investment Income | ||||||
Dividends (including $9 from affiliated issuer and net of $2 foreign withholding tax) | $ | 22,687 | ||||
Interest | 261 | |||||
Lending of securities | + | 193 | ||||
Total Investment Income | 23,141 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 3,248 | |||||
Net realized gains on futures contracts | + | 402 | ||||
Net realized gains | 3,650 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 172,007 | |||||
Net unrealized gains on futures contracts | + | 27 | ||||
Net unrealized gains | 172,034 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 3,234 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 1,526 | |||||
Select Shares | 678 | |||||
Portfolio accounting fees | 127 | |||||
Registration fees | 87 | |||||
Shareholder reports | 69 | |||||
Custodian fees | 59 | |||||
Professional fees | 47 | |||||
Trustees’ fees | 14 | |||||
Overdraft expense | 4 | |||||
Other expenses | + | 24 | ||||
Total expenses | 5,869 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 23,141 | |||||
Net expenses | – | 5,869 | ||||
Net investment income | 17,272 | |||||
Net realized gains | 3,650 | |||||
Net unrealized gains | + | 172,034 | ||||
Increase in net assets from operations | $ | 192,956 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 17,272 | $ | 17,477 | ||||||
Net realized gains | 3,650 | 3,994 | ||||||||
Net unrealized gains | + | 172,034 | 97,829 | |||||||
Increase in net assets from operations | 192,956 | 119,300 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 7,046 | 7,770 | ||||||||
Select Shares | + | 8,255 | 7,956 | |||||||
Total dividends from net investment income | $ | 15,301 | $ | 15,726 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 3,959 | $ | 87,655 | 5,085 | $ | 102,573 | |||||||||||||
Select Shares | + | 8,052 | 178,696 | 6,795 | 138,664 | ||||||||||||||
Total shares sold | 12,011 | $ | 266,351 | 11,880 | $ | 241,237 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 302 | $ | 6,537 | 362 | $ | 7,203 | |||||||||||||
Select Shares | + | 315 | 6,824 | 328 | 6,531 | ||||||||||||||
Total shares reinvested | 617 | $ | 13,361 | 690 | $ | 13,734 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (7,691 | ) | $ | (169,892 | ) | (7,672 | ) | $ | (155,939 | ) | |||||||||
Select Shares | + | (6,111 | ) | (136,146 | ) | (6,203 | ) | (126,000 | ) | ||||||||||
Total shares redeemed | (13,802 | ) | $ | (306,038 | ) | (13,875 | ) | $ | (281,939 | ) | |||||||||
Net transactions in fund shares | (1,174 | ) | $ | (26,326 | ) | (1,305 | ) | $ | (26,968 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 58,516 | $ | 1,217,286 | 59,821 | $ | 1,140,680 | |||||||||||||
Total increase or decrease | + | (1,174 | ) | 151,329 | (1,305 | ) | 76,606 | ||||||||||||
End of period | 57,342 | $ | 1,368,615 | 58,516 | $ | 1,217,286 | |||||||||||||
Net investment income not yet distributed | $ | 13,499 | $ | 11,788 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 17.07 | 14.82 | 12.74 | 10.47 | 12.22 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.48 | 0.35 | 0.26 | 0.23 | 0.21 | |||||||||||||||||
Net realized and unrealized gains or losses | 3.92 | 2.18 | 2.05 | 2.25 | (1.82 | ) | ||||||||||||||||
Total income or loss from investment operations | 4.40 | 2.53 | 2.31 | 2.48 | (1.61 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.35 | ) | (0.28 | ) | (0.23 | ) | (0.21 | ) | (0.14 | ) | ||||||||||||
Net asset value at end of period | 21.12 | 17.07 | 14.82 | 12.74 | 10.47 | |||||||||||||||||
Total return (%) | 26.15 | 17.30 | 18.40 | 24.24 | (13.34 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.69 | 0.68 | 0.69 | 0.65 | 0.58 | |||||||||||||||||
Gross operating expenses | 0.70 | 0.72 | 0.73 | 0.74 | 0.76 | |||||||||||||||||
Net investment income | 2.41 | 2.05 | 1.78 | 2.01 | 1.70 | |||||||||||||||||
Portfolio turnover rate | 11 | 10 | 1 | 7 | 13 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 706 | 595 | 550 | 494 | 443 |
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/2/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 17.09 | 14.83 | 12.75 | 10.47 | 12.23 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.50 | 0.38 | 0.28 | 0.25 | 0.21 | |||||||||||||||||
Net realized and unrealized gains or losses | 3.93 | 2.19 | 2.05 | 2.26 | (1.82 | ) | ||||||||||||||||
Total income or loss from investment operations | 4.43 | 2.57 | 2.33 | 2.51 | (1.61 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.38 | ) | (0.31 | ) | (0.25 | ) | (0.23 | ) | (0.15 | ) | ||||||||||||
Net asset value at end of period | 21.14 | 17.09 | 14.83 | 12.75 | 10.47 | |||||||||||||||||
Total return (%) | 26.35 | 17.56 | 18.56 | 24.50 | (13.31 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 0.50 | 0.50 | 0.50 | 0.49 | 0.47 | |||||||||||||||||
Gross operating expenses | 0.55 | 0.57 | 0.58 | 0.59 | 0.61 | |||||||||||||||||
Net investment income | 2.60 | 2.23 | 1.97 | 2.19 | 1.81 | |||||||||||||||||
Portfolio turnover rate | 11 | 10 | 1 | 7 | 13 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 954 | 776 | 687 | 629 | 536 |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.4% | Foreign Common Stock | 967,386 | 1,649,642 | ||||||||||||
0.3% | Short-Term Investment | 4,182 | 4,182 | ||||||||||||
99.7% | Total Investments | 971,568 | 1,653,824 | ||||||||||||
5.8% | Collateral Invested for Securities on Loan | 96,480 | 96,480 | ||||||||||||
(5.5)% | Other Assets and Liabilities, Net | (91,025 | ) | ||||||||||||
100.0% | Net Assets | 1,659,279 |
Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Foreign Common Stock 99.4% of net assets | |||||||||||||||
Australia 4.3% | |||||||||||||||
BHP Billiton Ltd. | 582,860 | 0.8 | 12,406 | ||||||||||||
Other Securities | 3,873,498 | 3.5 | 58,530 | ||||||||||||
4.3 | 70,936 | ||||||||||||||
Austria 0.2% | |||||||||||||||
Other Securities | 58,241 | 0.2 | 3,621 | ||||||||||||
Belgium 1.3% | |||||||||||||||
Fortis | 205,652 | 0.5 | 8,624 | ||||||||||||
Other Securities | 197,580 | 0.8 | 12,292 | ||||||||||||
1.3 | 20,916 | ||||||||||||||
Canada 6.7% | |||||||||||||||
Royal Bank of Canada (a) | 201,446 | 0.5 | 8,934 | ||||||||||||
Other Securities | 2,960,648 | 6.2 | 101,941 | ||||||||||||
6.7 | 110,875 | ||||||||||||||
Denmark 0.5% | |||||||||||||||
Other Securities | 105,407 | 0.5 | 8,004 | ||||||||||||
Finland 1.1% | |||||||||||||||
Nokia Oyj | 653,383 | 0.8 | 12,987 | ||||||||||||
Other Securities | 255,790 | 0.3 | 5,692 | ||||||||||||
1.1 | 18,679 | ||||||||||||||
France 10.3% | |||||||||||||||
Axa | 292,677 | 0.7 | 11,134 | ||||||||||||
BNP Paribas | 131,357 | 0.9 | 14,426 | ||||||||||||
Sanofi-Aventis | 154,055 | 0.8 | 13,118 | ||||||||||||
Societe Generale | 58,802 | 0.6 | 9,762 | ||||||||||||
Suez SA | 202,911 | 0.5 | 9,089 | ||||||||||||
Total SA | 393,890 | 1.6 | 26,645 | ||||||||||||
Other Securities | 1,462,887 | 5.2 | 86,468 | ||||||||||||
10.3 | 170,642 | ||||||||||||||
Germany 7.6% | |||||||||||||||
Allianz AG | 63,388 | 0.7 | 11,779 | ||||||||||||
DaimlerChrysler AG | 162,404 | 0.6 | 9,285 | ||||||||||||
Deutsche Bank AG | 82,735 | 0.6 | 10,464 | ||||||||||||
Deutsche Telekom AG | 485,962 | 0.5 | 8,425 | ||||||||||||
E.ON AG | 112,817 | 0.8 | 13,584 | ||||||||||||
Siemens AG * | 142,378 | 0.8 | 12,844 | ||||||||||||
Other Securities | 875,463 | 3.6 | 59,780 | ||||||||||||
7.6 | 126,161 | ||||||||||||||
Greece 0.3% | |||||||||||||||
Other Securities | 123,264 | 0.3 | 4,529 | ||||||||||||
Hong Kong 0.8% | |||||||||||||||
Other Securities | 1,888,420 | 0.8 | 13,768 | ||||||||||||
Ireland 0.7% | |||||||||||||||
Other Securities | �� | 491,102 | 0.7 | 11,912 | |||||||||||
Italy 3.3% | |||||||||||||||
Eni S.p.A. (a) | 419,043 | 0.8 | 12,676 | ||||||||||||
Other Securities | 5,739,239 | 2.5 | 42,022 | ||||||||||||
3.3 | 54,698 | ||||||||||||||
Japan 18.8% | |||||||||||||||
Canon, Inc. | 190,995 | 0.6 | 10,200 | ||||||||||||
Honda Motor Co., Ltd. | 246,039 | 0.5 | 8,684 | ||||||||||||
Mitsubishi UFJ Financial Group, Inc. | 1,612 | 1.2 | 20,448 | ||||||||||||
Mizuho Financial Group, Inc. | 1,666 | 0.8 | 12,950 | ||||||||||||
Sumitomo Mitsui Financial Group, Inc. | 1,014 | 0.7 | 11,081 | ||||||||||||
Takeda Pharmaceutical Co., Ltd. | 130,200 | 0.5 | 8,359 | ||||||||||||
Toyota Motor Corp. | 438,703 | 1.6 | 25,904 | ||||||||||||
Other Securities | 11,851,680 | 12.9 | 214,892 | ||||||||||||
18.8 | 312,518 |
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Security and Number of Shares | % of Net Assets | Value ($ x 1,000) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Netherlands 4.1% | |||||||||||||||
ABN AMRO Holding N.V. | 300,416 | 0.5 | 8,754 | ||||||||||||
ING Groep N.V. | 366,162 | 1.0 | 16,217 | ||||||||||||
Other Securities | 1,805,220 | 2.6 | 43,171 | ||||||||||||
4.1 | 68,142 | ||||||||||||||
Norway 0.4% | |||||||||||||||
Other Securities | 340,039 | 0.4 | 6,923 | ||||||||||||
Portugal 0.2% | |||||||||||||||
Other Securities | 717,379 | 0.2 | 4,052 | ||||||||||||
Singapore 0.5% | |||||||||||||||
Other Securities | 1,602,960 | 0.5 | 8,016 | ||||||||||||
Spain 4.6% | |||||||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | 552,339 | 0.8 | 13,331 | ||||||||||||
Banco Santander Central Hispano S.A. | 1,013,916 | 1.0 | 17,547 | ||||||||||||
Telefonica S.A. | 777,060 | 0.9 | 14,960 | ||||||||||||
Other Securities | 836,907 | 1.9 | 31,145 | ||||||||||||
4.6 | 76,983 | ||||||||||||||
Sweden 1.8% | |||||||||||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,372,504 | 0.6 | 8,968 | ||||||||||||
Other Securities | 1,174,867 | 1.2 | 20,664 | ||||||||||||
1.8 | 29,632 | ||||||||||||||
Switzerland 7.6% | |||||||||||||||
Credit Suisse Group | 199,166 | 0.7 | 12,006 | ||||||||||||
Nestle S.A. | �� | 65,820 | 1.4 | 22,492 | |||||||||||
Novartis AG–Reg’d. | 436,697 | 1.6 | 26,508 | ||||||||||||
Roche Holdings AG | 111,022 | 1.2 | 19,439 | ||||||||||||
UBS AG | 348,598 | 1.3 | 20,815 | ||||||||||||
Other Securities | 541,279 | 1.4 | 23,971 | ||||||||||||
7.6 | 125,231 | ||||||||||||||
United Kingdom 24.3% | |||||||||||||||
Anglo American plc | 240,109 | 0.6 | 10,867 | ||||||||||||
AstraZeneca plc | 253,064 | 0.9 | 14,914 | ||||||||||||
Barclays plc | 1,053,619 | 0.9 | 14,196 | ||||||||||||
BP plc | 3,203,910 | 2.2 | 35,817 | ||||||||||||
Diageo plc | 445,768 | 0.5 | 8,242 | ||||||||||||
GlaxoSmithKline plc | 932,267 | 1.5 | 24,845 | ||||||||||||
HBOS plc | 605,157 | 0.8 | 12,537 | ||||||||||||
HSBC Holdings plc | 1,805,836 | 2.1 | 34,267 | ||||||||||||
Lloyds TSB Group plc | 895,483 | 0.6 | 9,565 | ||||||||||||
Rio Tinto plc | 167,659 | 0.6 | 9,277 | ||||||||||||
Royal Bank of Scotland Group plc | 501,714 | 1.1 | 17,860 | ||||||||||||
Royal Dutch Shell plc, Class A | 749,220 | 1.6 | 26,070 | ||||||||||||
Royal Dutch Shell plc, Class B | 434,049 | 0.9 | 15,596 | ||||||||||||
Tesco plc | 1,227,342 | 0.5 | 9,208 | ||||||||||||
Vodafone Group plc | 8,348,655 | 1.3 | 21,512 | ||||||||||||
Other Securities | 23,960,527 | 8.2 | 138,631 | ||||||||||||
24.3 | 403,404 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | % of Net Assets | Value ($ x 1,000) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.3% of net assets | ||||||||||||||
Other Securities | 4,182 | 0.3 | 4,182 |
End of Investments.
Security and Number of Shares | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 5.8% of net assets | ||||||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust. | 96,479,879 | 5.8 | 96,480 |
End of collateral invested for securities on loan.
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
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Assets | ||||||
Investments, at value including securities on loan of $92,211 (cost $971,568) | $ | 1,653,824 | ||||
Collateral invested for securities on loan | 96,480 | |||||
Cash | 123 | |||||
Foreign currency, at value (cost $379) | 384 | |||||
Receivables: | ||||||
Fund shares sold | 4,309 | |||||
Dividends | 1,823 | |||||
Reclaims | 202 | |||||
Income from securities on loan | 35 | |||||
Prepaid expenses | + | 9 | ||||
Total assets | 1,757,189 | |||||
Liabilities | ||||||
Collateral invested for securities on loan | 96,480 | |||||
Payables: | ||||||
Investments bought | 21 | |||||
Investment advisors and administrator fees | 52 | |||||
Transfer agent and shareholder services fees | 20 | |||||
Fund shares redeemed | 875 | |||||
Trustee fees | 2 | |||||
Accrued expenses | + | 460 | ||||
Total liabilities | 97,910 | |||||
Net Assets | ||||||
Total assets | 1,757,189 | |||||
Total liabilities | – | 97,910 | ||||
Net assets | $ | 1,659,279 | ||||
Net Assets by Source | ||||||
Capital received from investors | 1,202,536 | |||||
Net investment income not yet distributed | 34,946 | |||||
Net realized capital losses | (260,470 | ) | ||||
Net unrealized capital gains | 682,267 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 705,737 | 33,410 | $21.12 | ||||||||||||||||||||||
Select Shares | $ | 953,542 | 45,100 | $21.14 |
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Investment Income | ||||||
Dividends (net of $3,993 foreign withholding tax) | $ | 45,893 | ||||
Interest | 275 | |||||
Lending of securities | + | 1,345 | ||||
Total Investment Income | 47,513 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 36,532 | |||||
Net realized gains on foreign currency transactions | 29 | |||||
Net realized gains on futures contracts | + | 34 | ||||
Net realized gains | 36,595 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 278,152 | |||||
Net unrealized gains on foreign currency transactions | + | 55 | ||||
Net unrealized gains | 278,207 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 6,041 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor shares | 1,641 | |||||
Select shares | 876 | |||||
Custodian fees | 630 | |||||
Portfolio accounting fees | 94 | |||||
Shareholder reports | 91 | |||||
Professional fees | 49 | |||||
Trustees’ fees | 15 | |||||
Registration fees | 8 | |||||
Overdraft expense | 4 | |||||
Other expenses | + | 11 | ||||
Total expenses | 9,460 | |||||
Expense reduction by adviser and Schwab | – | 557 | ||||
Net expenses | 8,903 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 47,513 | |||||
Net expenses | – | 8,903 | ||||
Net investment income | 38,610 | |||||
Net realized gains | 36,595 | |||||
Net unrealized gains | + | 278,207 | ||||
Increase in net assets from operations | $ | 353,412 |
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Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 38,610 | $ | 29,254 | ||||||
Net realized gains | 36,595 | 15,815 | ||||||||
Net unrealized gains | + | 278,207 | 169,670 | |||||||
Increase in net assets from operations | 353,412 | 214,739 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 12,022 | 10,423 | ||||||||
Select Shares | + | 17,265 | 14,231 | |||||||
Total dividends from net investment income | $ | 29,287 | $ | 24,654 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 5,781 | $ | 111,778 | 5,337 | $ | 85,930 | |||||||||||||
Select Shares | + | 7,746 | 148,437 | 7,993 | 128,120 | ||||||||||||||
Total shares sold | 13,527 | $ | 260,215 | 13,330 | $ | 214,050 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 619 | $ | 11,010 | 617 | $ | 9,445 | |||||||||||||
Select Shares | + | 882 | 15,675 | 864 | 13,224 | ||||||||||||||
Total shares reinvested | 1,501 | $ | 26,685 | 1,481 | $ | 22,669 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (7,861 | ) | $ | (150,978 | ) | (8,209 | ) | $ | (132,435 | ) | |||||||||
Select Shares | + | (8,930 | ) | (171,954 | ) | (9,795 | ) | (160,690 | ) | ||||||||||
Total shares redeemed | (16,791 | ) | $ | (322,932 | ) | (18,004 | ) | $ | (293,125 | ) | |||||||||
Net transactions in fund shares | (1,763 | ) | $ | (36,032 | ) | (3,193 | ) | $ | (56,406 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 80,273 | $ | 1,371,186 | 83,466 | $ | 1,237,507 | |||||||||||||
Total increase or decrease | + | (1,763 | ) | 288,093 | (3,193 | ) | 133,679 | ||||||||||||
End of period | 78,510 | $ | 1,659,279 | 80,273 | $ | 1,371,186 | |||||||||||||
Net investment income not yet distributed | $ | 34,946 | $ | 25,265 |
Table of Contents
1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Schwab S&P 500 Index Fund Schwab Institutional Select® S&P 500 Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Schwab MartketTrack All Equity PortfolioTM Schwab MarketTrack Growth PortfolioTM Schwab MarketTrack Balanced PortfolioTM Schwab MarketTrack Conservative PortfolioTM Laudus U.S. MarketMasters FundTM Laudus Small-Cap MarketMasters FundTM Laudus International MarketMasters FundTM Schwab Viewpoints FundTM Schwab Premier Equity Fund® Schwab Core Equity FundTM Schwab Dividend Equity FundTM Schwab Large-Cap Growth FundTM Schwab Small-Cap Equity FundTM Schwab Hedged Equity FundTM Schwab Financial Services FundTM Schwab Health Care FundTM Schwab Technology FundTM Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund | Schwab Investments (organized October 26, 1990) Schwab 1000 Index® Fund Schwab YieldPlus Fund® Schwab Short-Term Bond Market FundTM Schwab Total Bond Market FundTM Schwab Inflation Protected FundTM Schwab GNMA FundTM Schwab Tax-Free YieldPlus FundTM Schwab Short/Intermediate Tax-Free Bond FundTM Schwab Long-Term Tax-Free Bond FundTM Schwab California Tax-Free YieldPlus FundTM Schwab California Short/Intermediate Tax-Free Bond FundTM Schwab California Long-Term Tax-Free Bond Fund FundTM |
2. | Significant Accounting Policies: |
Table of Contents
(a) | Security Valuation: |
Securities traded on an exchange or over-the-counter: valued at the closing value for the day, or, on days when no closing value has been reported, halfway between the most recent bid and asked quotes. Securities that are primarily traded on foreign exchanges are valued at the closing values of such securities on their respective exchanges with these values then translated into U.S. dollars at the current exchange rate. |
(b) | Portfolio Investments: |
Table of Contents
102% of the market value of the loaned securities as of the first day of the loan, and at least 100% each day thereafter. If the value of the collateral falls below 100%, it will be adjusted the following day.
(c) | Security Transactions: |
(d) | Investment Income: |
(e) | Expenses: |
(f) | Foreign Currency Translation: |
(g) | Distributions to Shareholders: |
(h) | Custody Credit: |
(i) | Accounting Estimates: |
(j) | Federal Income Taxes: |
Table of Contents
(k) | Indemnification: |
(l) | New Accounting Standards: |
3. | Affiliates and Affiliated Transactions: (All dollar amounts are × 1,000) |
Average daily net assets | S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
First $500 million | 0.15 | % | 0.18% | 0.30 | % | 0.33 | % | 0.30 | % | 0.43 | % | |||||||||||||||
Over $500 million | 0.09 | % | 0.18% | 0.22 | % | 0.28 | % | 0.22 | % | 0.38 | % | |||||||||||||||
Over $1 billion | 0.09 | % | 0.15% | 0.22 | % | n/a | n/a | n/a | ||||||||||||||||||
Over $5 billion | 0.08 | % | n/a | 0.20 | % | n/a | n/a | n/a | ||||||||||||||||||
Over $10 billion | 0.07 | % | n/a | 0.18 | % | n/a | n/a | n/a |
Transfer Agent Fees | | Shareholder Service Fees | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.05 | % | 0.20 | % | ||||||
Select Shares | 0.05 | % | 0.05 | %* | ||||||
e.Shares* | 0.05 | % | 0.05 | % | ||||||
Institutional Select Fund Shares | 0.05 | % | 0.05 | % |
* | e.Shares is only offered by S&P 500 Index Fund |
Table of Contents
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.37 | % | n/a | 0.51 | % | 0.60 | % | 0.58 | % | 0.69 | % | |||||||||||||||
Select Shares | 0.19 | % | n/a | 0.36 | % | 0.42 | % | 0.39 | % | 0.50 | % | |||||||||||||||
e.Shares* | 0.28 | % | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||||
Institutional Select Shares | n/a | 0.10% | n/a | n/a | n/a | n/a |
* | e.Shares is only offered by S&P 500 Index Fund |
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab MarketTrack Portfolios: | ||||||||||||||||||||||||||
All Equity Portfolio | — | 11.3 | % | — | 7.9 | % | — | 9.5 | % | |||||||||||||||||
Growth Portfolio | — | 8.2 | % | — | 8.5 | % | — | 8.6 | % | |||||||||||||||||
Balanced Portfolio | — | 4.1 | % | — | 4.8 | % | — | 4.8 | % | |||||||||||||||||
Conservative Portfolio | — | 0.1 | % | — | 1.9 | % | — | 1.9 | % | |||||||||||||||||
Schwab Annuity Portfolios: | ||||||||||||||||||||||||||
Growth Portfolio II | — | 0.6 | % | — | 0.5 | % | — | 0.5 | % |
Schwab S&P 500 Index Fund | — | |||||
Institutional Select S&P 500 Fund | $ | 38,351 | ||||
1000 Index Fund | 919 | |||||
Small-Cap Index Fund | 151,724 | |||||
Total Stock Market Index Fund | — | |||||
International Index Fund | — |
Table of Contents
(All dollar amounts are × 1,000)
Purchases of Securities | Sales/Maturities of Securities | ||||||||
---|---|---|---|---|---|---|---|---|---|
S&P 500 Index Fund | $ | 211,595 | $1,067,493 | ||||||
Institutional Select S&P 500 Fund | 648,618 | 24,017 | |||||||
1000 Index Fund | 354,445 | 886,836 | |||||||
Small-Cap Index Fund | 476,516 | 587,563 | |||||||
Total Stock Market Index Fund | 36,722 | 47,112 | |||||||
International Index Fund | 175,256 | 193,979 |
5. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | Prior Period | ||||||||
---|---|---|---|---|---|---|---|---|---|
S&P 500 Index Fund | |||||||||
Investor Shares | $ | 57 | $192 | ||||||
Select Shares | 60 | 200 | |||||||
e.Shares | 2 | 15 | |||||||
Institutional Select S&P 500 Fund | 31 | 40 | |||||||
1000 Index Fund | |||||||||
Investor Shares | 87 | 151 | |||||||
Select Shares | 22 | 65 | |||||||
Small-Cap Index Fund | |||||||||
Investor Shares | 19 | 44 | |||||||
Select Shares | 5 | 50 | |||||||
Total Stock Market Index Fund | |||||||||
Investor Shares | 15 | 38 | |||||||
Select Shares | 28 | 32 | |||||||
International Index Fund | |||||||||
Investor Shares | 18 | 52 | |||||||
Select Shares | 63 | 106 |
Table of Contents
(All dollar amounts are × 1,000)
Fund | Amount Outstanding at 10/31/06 | | Average Borrowing* | | Weighted Average Interest Rate*(%) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab S&P 500 Index Fund | $ | — | $ | 6,094 | 4.94 | |||||||
Schwab Institutional Select S&P 500 Fund | — | 1,970 | 4.78 | |||||||||
Schwab 1000 Index Fund | — | — | — | |||||||||
Schwab Small-Cap Index Fund | — | 2,451 | 5.00 | |||||||||
Schwab Total Stock Market Index Fund | 715 | 1,874 | 4.74 | |||||||||
Schwab International Index Fund | — | 600 | 5.15 |
* | Based on the number of days for which the borrowing is outstanding. |
7. | Federal Income Taxes: (All dollar amounts are × 1,000) |
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed ordinary income | $ | 100,766 | $ | 24,467 | $ | 70,645 | $ | 59,382 | $ | 13,299 | $ | 47,026 | ||||||||||||
Undistributed long-term capital gains | — | — | — | 145,855 | — | — | ||||||||||||||||||
Unrealized appreciation on investments | 2,828,797 | 272,607 | 3,776,628 | 498,655 | 419,712 | 699,603 | ||||||||||||||||||
Unrealized depreciation on investments | (514,663 | ) | (40,526 | ) | (144,026 | ) | (85,822 | ) | (94,145 | ) | (32,253 | ) | ||||||||||||
Other unrealized appreciation/depreciation | — | — | — | 182 | — | 11 | ||||||||||||||||||
Net unrealized appreciation/ (depreciation) | 2,314,134 | 232,081 | 3,632,602 | 413,015 | 325,567 | 667,361 |
Expire | S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2008 | $ | 26,504 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
2009 | 50,224 | $ | 16,907 | — | — | — | 97,628 | |||||||||||||||||
2010 | 400,268 | 27,646 | 132,657 | — | 8,568 | 112,722 | ||||||||||||||||||
2011 | 72,381 | 1,609 | 164,037 | — | 3,976 | 39,016 | ||||||||||||||||||
2012 | 29,212 | 11,942 | — | 874 | 8,278 | |||||||||||||||||||
2013 | 175,896 | — | — | — | — | |||||||||||||||||||
2014 | 109,257 | 2,359 | — | — | — | — | ||||||||||||||||||
Total | $ | 863,742 | $ | 48,521 | $ | 308,636 | — | $ | 13,418 | $ | 257,644 |
Table of Contents
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deferred capital losses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Capital losses utilized | $ | — | $ | — | $ | 200,195 | $ | — | $ | 3,960 | $ | — |
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Current period distributions | ||||||||||||||||||||||||||
Ordinary income | $ | 129,338 | $ | 18,249 | $ | 86,881 | $ | 11,211 | $ | 15,301 | $ | 29,287 | ||||||||||||||
Long-term capital gains | — | — | — | 10,495 | — | — | ||||||||||||||||||||
Return of capital | ||||||||||||||||||||||||||
Prior period distributions | ||||||||||||||||||||||||||
Ordinary income | 144,350 | 6,241 | 95,632 | 11,451 | 15,726 | 24,654 | ||||||||||||||||||||
Long-term capital gains | — | — | — | — | — | — | ||||||||||||||||||||
Return of capital |
S&P 500 Index Fund | | Institutional Select S&P 500 Fund | | 1000 Index Fund | | Small-Cap Index Fund | | Total Stock Market Index Fund | | International Index Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital shares | $ | (74 | ) | $ | (8 | ) | $ | 235 | $ | 560 | $ | (28 | ) | $ | — | |||||||||
Undistributed net investment income | (868 | ) | (104 | ) | (1,600 | ) | (1,466 | ) | (260 | ) | 358 | |||||||||||||
Net realized capital gains and losses | 942 | 112 | 1,365 | 906 | 288 | (358 | ) |
(All dollar amounts are × 1,000)
Percentage | ||||||
---|---|---|---|---|---|---|
S&P 500 Index Fund | 100.00 | % | ||||
Institutional Select S&P 500 Fund | 97.68 | |||||
1000 Index Fund | 100.00 | |||||
Small-Cap Index Fund | 81.82 | |||||
Total Stock Market Index Fund | 100.00 | |||||
International Index Fund | — |
S&P 500 Index Fund | $ | 129,338 | ||||
Institutional Select S&P Fund | 18,249 | |||||
1000 Index Fund | 86,881 | |||||
Small-Cap Index Fund | 11,137 | |||||
Total Stock Market Index Fund | 15,301 | |||||
International Index Fund | 29,287 |
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Schwab S&P 500 Index Fund
Schwab Institutional Select S&P 500 Fund
Schwab 1000 Index Fund
Schwab Small-Cap Index Fund
Schwab Total Stock Market Index Fund
Schwab International Index Fund
San Francisco, California
December 14, 2006
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1. | the nature, extent and quality of the services provided to the funds under the Agreement, including the resources of CSIM and its affiliates dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreement reflect those economies of scale for the benefit of fund investors. |
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performance relative to a peer group of other mutual funds and appropriate indices/benchmarks, in light of total return and market trends. As part of this review, the trustees considered the composition of the peer group, selection criteria and the reputation of the third party who prepared the peer group analysis. In evaluating the performance of each fund, the trustees considered both market risk and shareholder risk expectations for such fund and the appropriateness of the benchmark used to compare the performance of each fund. The trustees further considered the level of fund performance in the context of its review of fund expenses and adviser profitability discussed below. Following such evaluation the Board concluded, within the context of its full deliberations, that the performance of the funds supported renewal of the Agreement.
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Independent Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996–1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6—Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
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Independent Trustees continued | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust and Schwab Investments since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust and Schwab Investments since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust and Schwab Investments since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust and Schwab Investments since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer — Fixed Income (Officer of Schwab Capital Trust and Schwab Investments since 2004.) | Senior Vice President and Chief Investment Officer — Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer — Equities (Officer of Schwab Capital Trust and Schwab Investments since 2004.) | Senior Vice President and Chief Investment Officer—Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust and Schwab Investments since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust and Schwab Investments since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust continued | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
1 | Trustees remain in office until they resign, retire or are removed by shareholder vote. The Schwab Funds retirement policy requires that independent trustees elected after January 1, 2000 retire at age 72 or after twenty years of service as a trustee, whichever comes first. Independent trustees elected prior to January 1, 2000 will retire on the following schedule: Messrs. Holmes and Dorward will retire on December 31, 2007, and Messrs. Stephens and Wilsey will retire on December 31, 2010. |
2 | In addition to their employment with the investment adviser and the distributor, Messrs. Schwab and Merk also own stock of The Charles Schwab Corporation. Mr. Schwab and Mr. Merk are Interested Trustees because they are employees of Schwab and/or the adviser. |
3 | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each other officer serves at the pleasure of the Board. |
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Schwab Core Equity Fund™
Schwab Dividend Equity Fund™
Schwab Large-Cap Growth Fund™
Schwab Small-Cap Equity Fund™
Schwab Hedged Equity Fund™
Schwab Financial Services Fund™
Schwab Health Care Fund™
Schwab Technology Fund™
Schwab Institutional Select® S&P 500 Fund
Schwab S&P 500 Index Fund
Schwab 1000 Index® Fund
Schwab Small-Cap Index Fund®
Schwab Total Stock Market Index Fund®
Schwab International Index Fund®
Schwab MarketTrack All Equity Portfolio™
Schwab MarketTrack Growth Portfolio™
Schwab MarketTrack Balanced Portfolio™
Schwab MarketTrack Conservative Portfolio™
Schwab Target 2010 Fund
Schwab Target 2020 Fund
Schwab Target 2030 Fund
Schwab Target 2040 Fund
Schwab Retirement Income Fund
Schwab Short-Term Bond Market Fund™
Schwab Total Bond Market Fund™
Schwab GNMA Fund™
Schwab Inflation Protected Fund™
Schwab Tax-Free YieldPlus Fund™
Schwab Short/Intermediate Tax-Free Bond Fund™
Schwab Long-Term Tax-Free Bond Fund™
Schwab California Tax-Free YieldPlus Fund™
Schwab California Short/Intermediate
Tax-Free Bond Fund™
Schwab California Long-Term Tax-Free Bond Fund™
1 | Investments in money market funds are neither insured nor guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency and, although they seek to preserve the value of your investment at $1 per share, it is possible to lose money. |
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Charles Schwab Investment Management, Inc.
101 Montgomery Street, San Francisco, CA 94104
Schwab Funds®
P.O. Box 3812, Englewood, CO 80155—3812
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Schwab Technology Fund™
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Performance at a Glance | 1 | |||||
From the Chairman | 2 | |||||
From the President | 3 | |||||
Investment Environment | 4 | |||||
Schwab Premier Equity Fund® | 6 | |||||
Schwab Core Equity Fund™ | 8 | |||||
Schwab Dividend Equity Fund™ | 10 | |||||
Schwab Large-Cap Growth Fund™ | 12 | |||||
Schwab Small-Cap Equity Fund™ | 14 | |||||
Schwab Hedged Equity Fund™ | 16 | |||||
Schwab Financial Services Fund™ | 18 | |||||
Schwab Health Care Fund™ | 20 | |||||
Schwab Technology Fund™ | 22 | |||||
Fund Expenses | 24 | |||||
Financial Statements | 26 | |||||
Financial Notes | 87 | |||||
Investment Advisory Agreement Approval | 98 | |||||
Trustees and Officers | 100 | |||||
Glossary | 104 |
Select Shares® are available on many Schwab Funds®
Fund investment adviser: Charles Schwab Investment Management, Inc. (CSIM).
Distributor and transfer agent: Charles Schwab & Co., Inc. (Schwab).
Schwab Equity Ratings® are produced by the Schwab Center for Investment Research®.
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Total Return for the Report Period | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Premier Equity Fund® | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares (Ticker Symbol: SWPNX) | 17.22% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Select Shares (Ticker Symbol: SWPSX) | 17.28% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: S&P 500® Index | 16.34% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 6–7 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Core Equity Fund™ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Ticker Symbol: SWANX) | 17.02% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: S&P 500® Index | 16.34% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 8–9 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Dividend Equity Fund™ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares (Ticker Symbol: SWDIX) | 17.63% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Select Shares (Ticker Symbol: SWDSX) | 17.86% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: S&P 500® Index | 16.34% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Large-Cap Value | 17.90% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 10–11 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Large-Cap Growth Fund™ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares (Ticker Symbol: SWLNX) | 13.80% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Select Shares (Ticker Symbol: SWLSX) | 14.04% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: Russell 1000 Growth Index | 10.84% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Large-Cap Growth | 9.03% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 12–13 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Small-Cap Equity Fund™ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares (Ticker Symbol: SWSIX) | 15.71% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Select Shares (Ticker Symbol: SWSCX) | 15.89% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: S&P Small-Cap 600 Index | 16.10% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Small-Cap Blend | 16.35% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 14–15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Hedged Equity Fund™ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investor Shares (Ticker Symbol: SWHIX) | 12.71% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Select Shares (Ticker Symbol: SWHEX)1 | 12.89% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Benchmark: S&P 500® Index | 16.34% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fund Category: Morningstar Long-Short | 7.46% | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Performance Details | pages 16–17 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schwab Financial Services Fund™ (Ticker Symbol: SWFFX) | | | | | 14.85% | Benchmark: S&P 1500 Super Composite | | | | | 19.40% | Financials Sector Index | | | | | | | Fund Category: Morningstar Financial Services | | | | | 18.51% | Performance Details | | | | pages 18–19 | | | | | | | | Schwab Health Care Fund™ (Ticker Symbol: SWHFX) | | | | | 7.27% | Benchmark: S&P 1500 Super Composite | | | | | 10.72% | Health Care Sector Index | | | | | | | Fund Category: Morningstar Health Care | | | | | 8.44% | Performance Details | | | | pages 20–21 | | | | | | | | Schwab Technology Fund™ (Ticker Symbol: SWTFX) | | | | | 8.40% | Benchmark: S&P 1500 Super Composite | | | | | 10.97% | Technology Sector Index | | | | | | | Fund Category: Morningstar Technology | | | | | 10.16% | Performance Details | | | | pages 22–23 | | | | | | | | | Minimum Initial Investment2 | | | | | | Investor Shares ($1,000 for retirement, education and custodial accounts) | | | | $2,500 | Select Shares | | | | $50,000 | |
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Charles Schwab Chairman | From the Chairman Dear Shareholder, I founded Schwab over thirty years ago to be a home for serious investors. That mission continues to guide us today as we constantly strive to improve and innovate. By doing this, and providing some of the highest quality products and services — at a competitive price — we remain true to our heritage. I take particular pride in the Schwab Funds. Founded over 15 years ago, Schwab Funds now includes more than 50 funds with over $170 billion in assets. With a variety of investment strategies, Schwab Funds provides a range of innovative investment choices that can serve as a foundation for your asset allocation plan. The Schwab Active Equity Funds, included in this report, are powered by Schwab Equity Ratings and use the same stock-ranking expertise that has helped Schwab’s model equity portfolio achieve industry recognition in Barron’s annual stock-selection competitions. Schwab Equity Ratings are based upon a disciplined, systematic approach that evaluates approximately 3,000 U.S. stocks on the basis of a wide variety of investment criteria. Schwab Funds are managed by Charles Schwab Investment Management, Inc., one of the largest mutual fund managers in the U.S. Our portfolio managers share a passion for market analysis and use some of the most sophisticated financial models in the country. I am proud of their depth of experience, which reflects an average of 14 years in the investment industry. Furthermore, I am impressed by the commitment that our managers bring to the stewardship of their funds, for you, their shareholders. In closing, I want to thank you for investing with us. We work every day to warrant the trust you have placed in us; that will never change. Sincerely, Barron’s awarded Schwab the first-place rank for the five-year period from June 30, 2001 to June 30, 2006, and for the three year period from June 30, 2003 to June 30, 2006, for “best of” stock recommendation lists submitted by certain brokerage firms to Zacks Investment Research, Inc., an independent firm that analyzes broker research. Barron’s also awarded Schwab the first-place rank for the five-year periods from December 31, 2000 to December 31, 2005, and for the three year periods from December 31, 2001 to December 31, 2004, and the 2001 to 2003 for “best of” stock recommendation lists. Schwab’s model performance results are simulated model portfolio performance results, which do not represent actual investment performance or trading. The results of Schwab’s model performance are not an indicator of the returns a Schwab client would have realized or will realize in relying on Schwab Equity Ratings® or for mutual funds that use Schwab Equity Ratings as part of their methodology. For further information about Schwab Equity Ratings, see schwab.com.
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Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and of each of the funds covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | From the President Dear Shareholder, I am pleased to present the annual report for the Schwab Active Equity Funds for the period ended October 31, 2006. The funds in this report leverage Schwab Equity Ratings, Schwab’s industry-recognized, disciplined stock-rating approach. With the support of investors like you, Schwab Active Equity Funds assets were over $6 billion as of this report date. While we are pleased with the growth of assets, we are also mindful of the need to ensure the funds’ size does not hamper the portfolio manager’s ability to execute its investment strategy and continue to deliver strong performance to shareholders. For this reason, we closed the Schwab Premier Equity Fund to new investors earlier this year, and have notified shareholders of our intention to close the Schwab Small-Cap Equity Fund on January 31, 2007. Existing shareholders of the fund and certain eligible investors, as defined in the prospectus, will still be able to purchase shares of the fund. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the funds’ ticker symbols and report period returns for the funds, their benchmarks and category averages. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.schwabfunds.com. This website contains regular updates about the Schwab Funds. I encourage you to visit the website to stay informed about your fund. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Schwab Funds. Sincerely, |
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The Investment Environment
Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | | As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Price (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. In efforts to curb inflationary pressures, the Fed raised short-term interest rates six times during the period. August marked a key point in the year as Committee members decided to hold the Fed’s target rate at 5.25%, where it remained as of
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Asset Class Performance Comparison % returns during the report period | |||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | |||||||
n 16.34% | S&P 500® Index: measures U.S. large-cap stocks | ||||||
n 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | ||||||
n 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | ||||||
n 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market |
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the end of the report period. In its statement, the Fed noted that the economy appeared to be growing at a more moderate rate as a result of prior rate increases, lagged effects of energy prices, and a cooling of the housing market. The Fed indicated they generally expected the economy to grow at a pace below its potential, which proved to be an accurate prediction. Consistent with the Fed’s report, GDP continued to decline, growing only 2.2% in the third quarter of 2006.
Energy prices have been a key issue in the markets over the past year. Following Hurricane Katrina, oil prices peaked around $71 per barrel, with domestic gasoline prices passing $3.00 a gallon. Prices subsequently fell, but rebounded nearly 21% early in 2006, partly due to concerns that Iran might cut back exports in response to a dispute over their nuclear program. Prices declined throughout the report period due to a lack of hurricanes in the Gulf of Mexico, as well as an increase in U.S. fuel inventories. More recently, abundant inventories, warmer weather, and skepticism regarding OPEC’s proposed production cuts contributed to a slip in oil prices. Crude oil has declined nearly 26% since July 2006’s record $78.40 per barrel, yet still remained around the $60–61 per barrel range at the end of the report period, as diminishing U.S. crude inventories and concern about global surplus lingered in investors’ minds.
The events of 2006 have also had a significant impact on the housing market. Housing starts fell considerably, down nearly 34% since the beginning of 2006. Existing home sales continued to decline as well, falling nearly 15% from their peak reached in 2005. Although sales have dropped, they remained strong by historical standards. Concerns remained as to whether the Fed’s actions, and the immediate effects on the housing market, would spill over into the rest of the economy. With regards to GDP, housing took off about one percent in the third quarter of 2006, although rebounds in income, consumer spending, and investments helped to offset the impact.
Despite a moderation in economic growth during the report period, economic fundamentals remained healthy as of the end of the period. The Fed’s task of balancing inflation pressures without significantly hindering economic growth will be thoroughly scrutinized in the coming months. The challenge is to bring this economy to a state of stable growth and achieve a soft landing.
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Schwab Premier Equity Fund®
Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Premier Equity Fund Investor Shares returned 17.22% for the one-year period ended October 31, 2006, outperforming its benchmark, the S&P 500 Index, which was up 16.34% for the same period. The fund’s emphasis on stock holdings with smaller market capitalization than the benchmark contributed positively to the fund’s performance as they outperformed their larger counterparts. A significant amount of the fund’s performance can be attributed to Schwab Equity Rating’s rigorous stock evaluation and its ability to identify stocks likely to outperform the market. From an industry group perspective, an overweight to the Materials industry group positively contributed to performance, as well as an underweight to Capital Goods. Top performers from a stock selection standpoint include such names as Veritas DGC, Inc., AMR Corporation, and BEA Systems. One of the fund’s largest holdings, Veritas received a cash and stock offer to be purchased, which helped boost the company’s stock price. On the downside, an overweight to the Insurance, Health Care Equipment and Services, and Software and Services industry groups detracted from returns. Stocks that underperformed during the period included Autodesk, Inc. and Red Hat, Inc., whose stock price dipped in October 2006 as a competitor announced its plans to offer similar support services at lower prices. |
Statistics | |||||||
Number of Holdings | 101 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 30,113 | ||||||
Price/Earnings Ratio (P/E) | 19.9 | ||||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | |||||||
Financials | 22.8 | % | |||||
Information Technology | 15.0 | % | |||||
Health Care | 12.5 | % | |||||
Industrials | 10.8 | % | |||||
Consumer Discretionary | 9.5 | % | |||||
Energy | 9.0 | % | |||||
Consumer Staples | 8.7 | % | |||||
Materials | 4.8 | % | |||||
Utilities Telecommunication | 3.5 | % | |||||
Services | 2.8 | % | |||||
Others | 0.6 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Veritas DGC, Inc. | 1.5 | % | |||||
Franklin Resources, Inc. | 1.3 | % | |||||
Pactiv Corp. | 1.3 | % | |||||
Exxon Mobil Corp. | 1.3 | % | |||||
Hewlett-Packard Co. | 1.3 | % | |||||
Nationwide Financial Services, Inc., Class A | 1.3 | % | |||||
General Mills, Inc. | 1.2 | % | |||||
Greif, Inc., Class A | 1.2 | % | |||||
Cameron International Corp. | 1.2 | % | |||||
J.C.Penny Co., Inc. | 1.2 | % | |||||
Total | 12.8 | % |
1 | This list is not a recommendation of any security by the investment adviser. |
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Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||
Fund Class and Inception Date | 1 year | Since Inception | |||||||||
Investor Shares (3/21/05) | 17.22 | % | 15.05 | % | |||||||
Select Shares (3/21/05) | 17.28 | % | 15.15 | % | |||||||
Benchmark: S&P 500® Index | 16.34 | % | 11.52 | % | |||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 11.05 | % |
Style Assessment3 | |||||||
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Core Equity Fund posted a return of 17.02%, outperforming its benchmark, the S&P 500 Index, which returned 16.34% for the one-year report period. A leading contributor to the fund’s performance was its emphasis on smaller market capitalization holdings relative to the benchmark, as they outperformed large-capitalization stocks for the report period. A significant amount of the fund’s performance can be attributed to Schwab Equity Rating’s rigorous stock evaluation and its ability to identify stocks likely to outperform the market. From an industry group standpoint, an overweight to Diversified Financials and Transportation contributed to returns. In addition, an underweight to Energy proved beneficial as energy stocks declined during the report period. Stocks that performed well during the period included such names as Lockheed Martin Corporation, CSX Corporation, and Hewlett-Packard Company. On the downside, an overweight to the Insurance and Health Care Equipment and Services industry groups contained returns. From a stock perspective, positions in Aetna, Inc., Radian Group, Inc., and Computer Sciences Corporation detracted from the fund’s performance. |
Statistics | |||||||
Number of Holdings | 90 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 62,672 | ||||||
Price/Earnings Ratio (P/E) | 17.7 | ||||||
Price/Book Ratio (P/B) | 2.9 |
Sector Weightings % of Investments | |||||||
Financials | 22.9 | % | |||||
Health Care | 16.9 | % | |||||
Information Technology | 16.0 | % | |||||
Industrials | 12.9 | % | |||||
Consumer Discretionary | 8.8 | % | |||||
Materials | 5.8 | % | |||||
Energy | 5.1 | % | |||||
Consumer Staples | 5.0 | % | |||||
Telecommunication Services | 2.7 | % | |||||
Utilities | 2.1 | % | |||||
Others | 1.8 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
The Boeing Co. | 4.7 | % | |||||
Exxon Mobil Corp. | 4.5 | % | |||||
Franklin Resources, Inc. | 4.0 | % | |||||
MetLife, Inc. | 4.0 | % | |||||
Hewlett-Packard Co. | 3.9 | % | |||||
Pfizer, Inc. | 3.9 | % | |||||
Lockheed Martin Corp. | 3.8 | % | |||||
International Business Machines Corp. | 3.4 | % | |||||
Merck & Co., Inc. | 3.2 | % | |||||
American Express Co. | 2.8 | % | |||||
Total | 38.2 | % |
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Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 |
Average Annual Total Returns1,2 | |||||||||||||||
Fund Class and Inception Date | 1 year | 5 years | 10 years | ||||||||||||
Fund: Schwab Core Equity Fund (7/1/96) | 17.02 | % | 8.80 | % | 9.26 | % | |||||||||
Benchmark: S&P 500® Index | 16.34 | % | 7.25 | % | 8.63 | % | |||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 7.76 | % |
Style Assessment3 | |||||||
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Dividend Equity Fund Investor Shares returned 17.63%, outperforming its benchmark, the S&P 500 Index, which gained 16.34% for the same period. This fund is designed to seek current income and capital appreciation by primarily investing in dividend-paying stocks. Among the contributing factors to the fund’s performance was an emphasis on higher yielding stocks relative to the benchmark, as they outperformed stocks that paid no dividends for the report period. A significant amount of the fund’s performance can be attributed to Schwab Equity Rating’s rigorous stock evaluation and its ability to identify stocks likely to outperform the market. From an industry group perspective, an overweight to the Telecommunication Services group positively contributed to performance, as well as an underweight to Health Care Equipment and Services. Holdings that contributed to the fund’s performance included such names as Reynolds American, Inc., Bellsouth Corporation, and Merck & Co., Inc. On the downside, an overweight to Insurance and Utilities detracted from returns. Stocks that underperformed during the report period included such names as Intel Corporation, Sunoco, Inc., and Temple-Inland, Inc. |
As of 10/31/06:
Statistics | |||||||
Number of Holdings | 121 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 57,009 | ||||||
Price/Earnings Ratio (P/E) | 17.2 | ||||||
Price/Book Ratio (P/B) | 2.6 |
Sector Weightings % of Investments | |||||||
Financials | 26.4 | % | |||||
Industrials | 11.4 | % | |||||
Consumer Staples | 11.2 | % | |||||
Health Care | 8.9 | % | |||||
Utilities | 8.5 | % | |||||
Information Technology | 7.5 | % | |||||
Materials | 6.7 | % | |||||
Telecommunication Services | 6.2 | % | |||||
Consumer Discretionary | 6.1 | % | |||||
Energy | 4.6 | % | |||||
Others | 2.5 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Lockheed Martin Corp. | 2.1 | % | |||||
Reynolds American, Inc. | 2.0 | % | |||||
Raytheon Co. | 1.8 | % | |||||
Newell Rubermaid, Inc. | 1.7 | % | |||||
Exxon Mobil Corp. | 1.7 | % | |||||
AT&T Corp. | 1.7 | % | |||||
JPMorgan Chase & Co. | 1.5 | % | |||||
BellSouth Corp. | 1.5 | % | |||||
Lincoln National Corp. | 1.4 | % | |||||
Hewlett-Packard Co. | 1.4 | % | |||||
Total | 16.8 | % |
Portfolio holdings may have changed since the report date.
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Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||||||
Fund Class and Inception Date | 1 year | 3 years | Since Inception | ||||||||||||
Investor Shares (9/2/03) | 17.63 | % | 14.82 | % | 16.07 | % | |||||||||
Select Shares (9/2/03) | 17.86 | % | 14.98 | % | 16.22 | % | |||||||||
Benchmark: S&P 500® Index | 16.34 | % | 11.43 | % | 12.34 | % | |||||||||
Fund Category: Morningstar Large-Cap Value | 17.90 | % | 13.45 | % | 13.82 | % |
Style Assessment3 | |||||||
Yields1 | ||||||
SEC Yield | ||||||
Investor Shares | 1.57% | |||||
Select Shares | 1.72% |
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Large-Cap Growth Fund Investor Shares returned 13.80% for the one-year report period, well above its benchmark, the Russell 1000 Growth Index, which gained 10.84% for the same period. One factor contributing to the fund’s outperformance was that the fund’s holdings were slightly lower in market capitalization relative to the benchmark. A significant amount of the fund’s performance can be attributed to Schwab Equity Rating’s rigorous stock evaluation and its ability to identify stocks likely to outperform the market. An overweight to Diversified Financials relative to the fund’s benchmark positively contributed to returns, as did an underweight to Software and Services and Energy industry groups. Among the stocks that performed well during the period were Hewlett-Packard Company, Applied Biosystems Group, and Lockheed Martin Corporation. Lockheed Martin, the world’s largest defense contractor, raised its profit forecast as the company continued to pursue and win lucrative contracts, which had a positive impact on the portfolio. Detracting from the fund’s performance were an overweight to Consumer Durables & Apparel, Capital Goods, and Health Care Equipment and Services industry groups. From a stock selection standpoint, positions in such companies as Harman International Industries, Inc., Express Scripts, and Federated Investors, Inc. detracted from returns. |
Statistics | |||||||
Number of Holdings | 90 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 47,966 | ||||||
Price/Earnings Ratio (P/E) | 19.6 | ||||||
Price/Book Ratio (P/B) | 4.1 |
Sector Weightings % of Investments | |||||||
Information Technology | 24.3 | % | |||||
Health Care | 20.9 | % | |||||
Financials | 13.2 | % | |||||
Industrials | 12.0 | % | |||||
Consumer Discretionary | 11.5 | % | |||||
Materials | 4.5 | % | |||||
Consumer Staples | 3.7 | % | |||||
Energy | 1.8 | % | |||||
Telecommunication Services | 1.5 | % | |||||
Utilities | 1.4 | % | |||||
Others | 5.2 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
International Business Machines Corp. | 4.9 | % | |||||
Franklin Resources, Inc. | 4.8 | % | |||||
Hewlett-Packard Co. | 4.8 | % | |||||
The McGraw-Hill Cos., Inc. | 4.7 | % | |||||
The Boeing Co. | 4.5 | % | |||||
Pfizer, Inc. | 3.1 | % | |||||
Lockheed Martin Corp. | 3.0 | % | |||||
Baxter International, Inc. | 3.0 | % | |||||
BMC Software, Inc. | 2.5 | % | |||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 2.4 | % | |||||
Total | 37.7 | % |
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Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||
Fund Class and Inception Date | 1 year | Since Inception | |||||||||
Investor Shares (10/3/05) | 13.80 | % | 9.82 | % | |||||||
Select Shares (10/3/05) | 14.04 | % | 10.04 | % | |||||||
Benchmark: Russell 1000 Growth Index | 10.84 | % | 8.95 | % | |||||||
Fund Category: Morningstar Large-Cap Growth | 9.03 | % | 7.16 | % |
Style Assessment3 | |||||||
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Small-Cap Equity Fund Investor Shares posted positive returns of 15.71% for the one-year period, slightly underperforming its benchmark, the S&P Small-Cap 600 Index, which returned 16.10% for the same period. From a market cap perspective, the fund was positioned such that its net holdings were slightly higher in market capitalization relative to the benchmark, which positively contributed to the fund’s performance. Although the fund slightly underperformed its benchmark, stock selection remained a key contributing factor in the fund’s performance. With respect to industry group selections, the fund benefited from an underweight to the Utilities, Health Care Equipment and Services, and Consumer Durables and Apparel industry groups relative to its benchmark’s weightings in those respective areas. As mentioned above, stock selection remained a key contributor to the fund’s performance, with such holdings in Veritas DGC, Inc., EMCOR Group, Inc., and Greif, Inc. benefiting the fund. Detracting from performance, however, was an overweight in the Automobiles and Components, Capital Goods, and Insurance industry groups. In addition, the fund’s weighting in Real Estate was lower than the S&P 600, which detracted from returns as a result of this industry group’s strong performance for the one-year period. Underperformers included such names as EarthLink, Inc., Spherion Corporation, and American Greetings Corporation. |
Statistics | |||||||
Number of Holdings | 147 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 1,586 | ||||||
Price/Earnings Ratio (P/E) | 25.7 | ||||||
Price/Book Ratio (P/B) | 2.5 |
Sector Weightings % of Investments | |||||||
Industrials | 21.0 | % | |||||
Information Technology | 20.2 | % | |||||
Consumer Discretionary | 14.3 | % | |||||
Health Care | 12.2 | % | |||||
Financials | 12.0 | % | |||||
Materials | 9.4 | % | |||||
Energy | 4.5 | % | |||||
Telecommunication Services | 1.2 | % | |||||
Consumer Staples | 1.0 | % | |||||
Utilities | 0.7 | % | |||||
Others | 3.5 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Veritas DGC, Inc. | 3.7 | % | |||||
Magellan Health Services, Inc. | 3.0 | % | |||||
Teleflex, Inc. | 2.9 | % | |||||
Kellwood Co. | 2.9 | % | |||||
Greif, Inc., Class A | 2.9 | % | |||||
EMCOR Group, Inc. | 2.9 | % | |||||
CSG Systems International, Inc. | 2.6 | % | |||||
Mentor Corp. | 2.6 | % | |||||
Sierra Health Services, Inc. | 2.6 | % | |||||
The Men’s Wearhouse, Inc. | 2.6 | % | |||||
Total | 28.7 | % |
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Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||||||
Fund Class and Inception Date | 1 year | 3 years | Since Inception | ||||||||||||
Investor Shares (7/1/03) | 15.71 | % | 20.32 | % | 24.11 | % | |||||||||
Select Shares (7/1/03) | 15.89 | % | 20.52 | % | 24.30 | % | |||||||||
Benchmark: S&P Small-Cap 600 Index | 16.10 | % | 16.03 | % | 19.61 | % | |||||||||
Fund Category: Morningstar Small-Cap Blend | 16.35 | % | 14.38 | % | 18.30 | % |
Style Assessment3 | |||||||
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Hedged Equity Fund Investor Shares returned 12.71% for the one-year report period, beating the Morningstar Long-Short Fund category average yet underperforming the benchmark, the S&P 500 Index, which returned 16.34%. The fund seeks long-term capital appreciation with lower volatility than that of broad market indices, such as the S&P 500 Index. To pursue this investment objective, the fund establishes long and short positions in equity securities. While short positions are generally used to hedge against volatility, they cannot completely eliminate that risk. An increase in the value of the shorted stocks, such as occurred during this report period, had a negative impact on fund performance. The fund’s long positions favored holdings that were smaller in market cap than those of the benchmark, which positively contributed to returns, as small-cap stocks outperformed their larger counterparts. Industry group selection, on the other hand, was negative for the report period and slightly detracted from overall return. In terms of individual stocks, long positions that contributed to overall returns included Nucor Corporation and Archer Daniels Midland Company. Conversely, short positions of several materials stocks detracted from performance when their values increased. |
As of 10/31/06:
Statistics | |||||||
Number of Holdings | |||||||
Long Holdings | 140 | ||||||
Short Positions | 86 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | |||||||
Long Holdings | 29,114 | ||||||
Short Positions | 3,338 | ||||||
Price/Earnings Ratio (P/E) | |||||||
Long Holdings | 25.8 | ||||||
Short Positions | 27.2 | ||||||
Price/Book Ratio (P/B) | |||||||
Long Holdings | 2.9 | ||||||
Short Positions | 2.9 |
Top Long Holdings % of Net Assets1 | |||||||
Principal Financial Group, Inc. | 2.6 | % | |||||
Exxon Mobil Corp. | 2.5 | % | |||||
Applied Biosystems Group-Applera Corp. | 2.5 | % | |||||
ConAgra Foods, Inc. | 2.5 | % | |||||
Lexmark International, Inc., Class A | 2.4 | % | |||||
Total | 12.5 | % |
Top Short Holdings % of Net Assets1 | |||||||
Equinix, Inc. | 1.7 | % | |||||
Affymetrix, Inc. | 1.4 | % | |||||
Pacific Sunwear of California, Inc. | 1.3 | % | |||||
NII Holdings, Inc. | 1.3 | % | |||||
Conor Medsystems, Inc. | 1.3 | % | |||||
Total | 7.0 | % |
Table of Contents
Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | ||||||||||||||
Fund Class and Inception Date | 1 year | 3 years | Since Inception | |||||||||||
Investor Shares (3/1/05) | 12.71 | % | n/a | 11.83% | ||||||||||
Select Shares (9/3/02) | 12.89 | % | 14.07 | % | 13.76% | |||||||||
Benchmark: S&P 500® Index | 16.34 | % | 11.43 | % | (3/1/05) 10.41% | |||||||||
(9/3/02) 12.29% | ||||||||||||||
Fund Category: Morningstar Long-Short | 7.46 | % | 5.54 | % | (3/1/05) 5.62% | |||||||||
(9/3/02) 9.76% |
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Financial Services Fund returned 14.85%, underperforming its benchmark, the S&P 1500 SuperComposite Financials Sector Index, which was up 19.40% for the one-year period. The fund was positioned such that its holdings were smaller in market capitalization relative to its benchmark, which contributed to performance, as small-cap stocks outperformed large-cap stocks for the period. However, overall stock selection detracted from returns. The fund favored holdings with higher growth characteristics than the benchmark (i.e., higher price-to-earnings and price-to-book ratios), which detracted from performance. From an industry group perspective, the fund benefited from an overweight to Diversified Financials. Top performers for the period included such names as Investment Technology Group, Inc. and Franklin Resources, Inc. On the downside, the fund’s underweight to Real Estate Investment Trusts (REITs), owners of commercial real estate properties, hurt returns, as this group performed well for the one-year period. In addition, an overweight to the Insurance industry group also detracted from performance. Among stocks that underperformed during the period were St. Paul Travelers Companies, Inc. and Radian Group. |
As of 10/31/06:
Statistics | |||||||
Number of Holdings | 45 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 37,277 | ||||||
Price/Earnings Ratio (P/E) | 14.0 | ||||||
Price/Book Ratio (P/B) | 2.0 |
Industry Weightings % of Investments | |||||||
Diversified Financials | 44.7 | % | |||||
Insurance | 28.4 | % | |||||
Banks | 24.1 | % | |||||
Real Estate | 1.8 | % | |||||
Others | 1.0 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Franklin Resources, Inc. | 5.1 | % | |||||
American Express Co. | 4.9 | % | |||||
Bank of America Corp. | 4.9 | % | |||||
JP Morgan Chase & Co. | 4.9 | % | |||||
Mellon Financial Corp. | 4.8 | % | |||||
Comerica, Inc. | 4.7 | % | |||||
Northern Trust Corp. | 4.5 | % | |||||
MetLife, Inc. | 4.5 | % | |||||
Genworth Financial, Inc., Class A | 4.1 | % | |||||
Radian Group, Inc. | 4.0 | % | |||||
Total | 46.4 | % |
Table of Contents
Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment1 |
Average Annual Total Returns1,2 | |||||||||||||||
1 year | 5 years | Since Inception | |||||||||||||
Fund: Schwab Financial Services Fund™ (7/3/00) | 14.85 | % | 13.76 | % | 10.95 | % | |||||||||
Benchmark: S&P 1500 Super Composite Financials Sector Index | 19.40 | % | 11.09 | % | 9.81 | % | |||||||||
Fund Category: Morningstar Financial Services | 18.51 | % | 11.88 | % | 11.88 | % |
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Health Care Fund returned 7.27% for the one-year reporting period, trailing its benchmark, the S&P 1500 SuperComposite Health Care Sector Index, which gained 10.72% for the same period. One positive contributor to the fund’s performance was the fund’s emphasis toward stock holdings with smaller market capitalization than the benchmark. Industry group selection dampened the fund’s performance, as an overweight to the Health Care Equipment and Services industry group detracted from returns. An underweight to the Pharmaceuticals and Biotechnology industry group detracted from returns as well. From a style perspective, the fund gained from its higher volatility holdings. However, with respect to stock selection, gains by top contributors such as Applied Biosystems Group-Applera Corporation and Merck and Co., Inc. were offset by losses in companies such as Barr Pharmaceuticals, Inc. and HMO providers Sierra Health Services, Inc. and Aetna, Inc. |
Statistics | |||||||
Number of Holdings | 53 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 38,627 | ||||||
Price/Earnings Ratio (P/E) | 23.0 | ||||||
Price/Book Ratio (P/B) | 3.2 |
Industry Weightings % of Investments | |||||||
Pharmaceutical & Biotechnology | 55.6 | % | |||||
Health Care Equipment & Services | 42.7 | % | |||||
Others | 1.7 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Applied Biosystems Group-Applera Corp. | 5.8 | % | |||||
Merck & Co., Inc. | 5.5 | % | |||||
Pfizer, Inc. | 4.9 | % | |||||
Johnson & Johnson | 4.9 | % | |||||
Becton Dickinson & Co. | 4.8 | % | |||||
AmerisourceBergen Corp. | 4.3 | % | |||||
McKesson Corp. | 4.1 | % | |||||
Schering-Plough Corp. | 4.0 | % | |||||
King Pharmaceuticals, Inc. | 3.8 | % | |||||
Sierra Health Services, Inc. | 3.5 | % | |||||
Total | 45.6 | % |
Table of Contents
Investment returns and principal value will fluctuate so that an investor’s shares may be worth more or less than their original cost. Current performance may be lower or higher than performance data quoted. To obtain performance information current to the most recent month end, please visit www.schwab.com/schwabfunds.
Performance of a Hypothetical $10,000 Investment1 |
Average Annual Total Returns1,2 | |||||||||||||||
1 year | 5 years | Since Inception | |||||||||||||
Fund: Schwab Health Care Fund™ (7/3/00) | 7.27 | % | 10.95 | % | 7.03 | % | |||||||||
Benchmark: S&P 1500 Super Composite Health Care Sector Index | 10.72 | % | 2.75 | % | 1.69 | % | |||||||||
Fund Category: Morningstar Health Care | 8.44 | % | 4.36 | % | 2.04 | % |
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Jeffrey Mortimer, (lower left) CFA, Vivienne Hsu, (upper right) CFA, vice Larry Mano, (upper left) vice president Paul Alan Davis, (lower right) CFA, | The Schwab Technology Fund retuned 8.40%, yet trailed its benchmark, the S&P 1500 SuperComposite Technology Sector Index, which gained 10.97% for the one-year report period. Among the contributing factors to the fund’s performance was an emphasis on smaller market capitalization stocks relative to the benchmark, as smaller-capitalization stocks outperformed large-capitalization stocks for the report period. Industry group selection was negative during the one-year period; an overweight to the Semiconductor and Software and Services industry groups relative to the fund’s benchmark slightly detracted from returns. From a stock selection perspective, top performers included such names as Hewlett-Packard Company and Apple Computer, Inc. On the downside, holdings in EarthLink, Inc. and Computer Sciences Company detracted from overall returns. Of noteworthy mention, the fund did not have any holdings in Microsoft Corporation, which accounts for a considerable portion of the benchmark. During the report period, Microsoft Corporation experienced a decline in stock price, followed by a major rebound later in the period that contributed to the benchmark’s return. |
As of 10/31/06:
Statistics | |||||||
Number of Holdings | 51 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 32,094 | ||||||
Price/Earnings Ratio (P/E) | 28.3 | ||||||
Price/Book Ratio (P/B) | 2.8 |
Industry Weightings % of Investments | |||||||
Technology Hardware & Equipment | 43.8 | % | |||||
Software & Services | 41.5 | % | |||||
Semiconductors & Semiconductor Equipment | 13.6 | % | |||||
Other | 1.1 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Hewlett-Packard Co. | 7.5 | % | |||||
International Business Machines Corp. | 5.5 | % | |||||
BMC Software, Inc. | 4.9 | % | |||||
Electronic Data Systems Corp. | 4.3 | % | |||||
Texas Instruments, Inc. | 4.2 | % | |||||
Xerox Corp. | 4.0 | % | |||||
Motorola, Inc. | 3.9 | % | |||||
Global Payments, Inc. | 3.7 | % | |||||
Lexmark International, Inc., Class A | 3.5 | % | |||||
Cisco Systems, Inc. | 3.2 | % | |||||
Total | 44.7 | % |
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Performance of a Hypothetical $10,000 Investment1 |
Average Annual Total Returns1,2 | |||||||||||||||
1 year | 5 years | Since Inception | |||||||||||||
Fund: Schwab Technology Fund™ (7/3/00) | 8.40 | % | 6.51 | % | (9.56 | )% | |||||||||
Benchmark: S&P 1500 Super Composite Technology Sector Index | 10.97 | % | 3.34 | % | (11.71 | )% | |||||||||
Fund Category: Morningstar Technology | 10.16 | % | 3.41 | % | (13.34 | )% |
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Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Premier Equity Fund® | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.16 | % | $ | 1,000 | $ | 1,026.30 | $ | 5.92 | ||||||||||
Hypothetical 5% Return | 1.16 | % | $ | 1,000 | $ | 1,019.36 | $ | 5.90 | ||||||||||
Select Shares® | ||||||||||||||||||
Actual Return | 1.01 | % | $ | 1,000 | $ | 1,027.10 | $ | 5.16 | ||||||||||
Hypothetical 5% Return | 1.01 | % | $ | 1,000 | $ | 1,020.11 | $ | 5.14 | ||||||||||
Schwab Core Equity Fund™ | ||||||||||||||||||
Actual Return | 0.75 | % | $ | 1,000 | $ | 1,066.70 | $ | 3.91 | ||||||||||
Hypothetical 5% Return | 0.75 | % | $ | 1,000 | $ | 1,021.42 | $ | 3.82 | ||||||||||
Schwab Dividend Equity Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.04 | % | $ | 1,000 | $ | 1,068.30 | $ | 5.42 | ||||||||||
Hypothetical 5% Return | 1.04 | % | $ | 1,000 | $ | 1,019.96 | $ | 5.30 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 0.89 | % | $ | 1,000 | $ | 1,069.30 | $ | 4.64 | ||||||||||
Hypothetical 5% Return | 0.89 | % | $ | 1,000 | $ | 1,020.72 | $ | 4.53 | ||||||||||
Schwab Large-Cap Growth Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.20 | % | $ | 1,000 | $ | 1,051.30 | $ | 6.20 | ||||||||||
Hypothetical 5% Return | 1.20 | % | $ | 1,000 | $ | 1,019.16 | $ | 6.11 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 0.99 | % | $ | 1,000 | $ | 1,053.20 | $ | 5.12 | ||||||||||
Hypothetical 5% Return | 0.99 | % | $ | 1,000 | $ | 1,020.21 | $ | 5.04 | ||||||||||
Schwab Small-Cap Equity Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.30 | % | $ | 1,000 | $ | 1,002.80 | $ | 6.56 | ||||||||||
Hypothetical 5% Return | 1.30 | % | $ | 1,000 | $ | 1,018.65 | $ | 6.61 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 1.12 | % | $ | 1,000 | $ | 1,003.40 | $ | 5.66 | ||||||||||
Hypothetical 5% Return | 1.12 | % | $ | 1,000 | $ | 1,019.56 | $ | 5.70 |
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| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Hedged Equity Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 2.11 | % | $ | 1,000 | $ | 1,082.77 | $ | 11.08 | ||||||||||
Hypothetical 5% Return | 2.11 | % | $ | 1,000 | $ | 1,014.57 | $ | 10.71 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 1.90 | % | $ | 1,000 | $ | 1,084.07 | $ | 9.98 | ||||||||||
Hypothetical 5% Return | 1.90 | % | $ | 1,000 | $ | 1,015.63 | $ | 9.65 | ||||||||||
Schwab Financial Services Focus Fund | ||||||||||||||||||
Actual Return | 0.99 | % | $ | 1,000 | $ | 1,016.10 | $ | 5.03 | ||||||||||
Hypothetical 5% Return | 0.99 | % | $ | 1,000 | $ | 1,020.21 | $ | 5.04 | ||||||||||
Schwab Health Care Focus Fund | ||||||||||||||||||
Actual Return | 0.83 | % | $ | 1,000 | $ | 1,045.90 | $ | 4.28 | ||||||||||
Hypothetical 5% Return | 0.83 | % | $ | 1,000 | $ | 1,021.02 | $ | 4.23 | ||||||||||
Schwab Technology Focus Fund | ||||||||||||||||||
Actual Return | 0.97 | % | $ | 1,000 | $ | 981.40 | $ | 4.84 | ||||||||||
Hypothetical 5% Return | 0.97 | % | $ | 1,000 | $ | 1,020.32 | $ | 4.94 |
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Investor Shares | 11/1/05— 10/31/06 | 3/21/051— 10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||
Net asset value at beginning of period | 10.70 | 10.00 | |||||||||
Income from investment operations: | |||||||||||
Net investment income | 0.01 | 0.02 | |||||||||
Net realized and unrealized gains | 1.83 | 0.68 | |||||||||
Total income from investment operations | 1.84 | 0.70 | |||||||||
Less distributions: | |||||||||||
Dividends from net investment income | (0.04 | ) | — | ||||||||
Net asset value at end of period | 12.50 | 10.70 | |||||||||
Total return (%) | 17.22 | 7.00 | 2 | ||||||||
Ratios/Supplemental Data (%) | |||||||||||
Ratios to average net assets: | |||||||||||
Net operating expenses | 1.17 | 0.78 | 3 | ||||||||
Gross operating expenses | 1.18 | 1.23 | 3 | ||||||||
Net investment income | 0.01 | 0.52 | 3 | ||||||||
Portfolio turnover rate | 73 | 33 | 2 | ||||||||
Net assets, end of period ($ x 1,000,000) | 690 | 364 |
Select Shares | 11/1/05— 10/31/06 | 3/21/051— 10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||
Net asset value at beginning of period | 10.71 | 10.00 | |||||||||
Income from investment operations: | |||||||||||
Net investment income | 0.02 | 0.03 | |||||||||
Net realized and unrealized gains | 1.83 | 0.68 | |||||||||
Total income from investment operations | 1.85 | 0.71 | |||||||||
Less distributions: | |||||||||||
Dividends from net investment income | (0.05 | ) | — | ||||||||
Net asset value at end of period | 12.51 | 10.71 | |||||||||
Total return (%) | 17.28 | 7.10 | 2 | ||||||||
Ratios/Supplemental Data (%) | |||||||||||
Ratios to average net assets: | |||||||||||
Net operating expenses | 1.02 | 0.68 | 3 | ||||||||
Gross operating expenses | 1.03 | 1.08 | 3 | ||||||||
Net investment income | 0.17 | 0.63 | 3 | ||||||||
Portfolio turnover rate | 73 | 33 | 2 | ||||||||
Net assets, end of period ($ x 1,000,000) | 857 | 481 |
1 | Commencement of operations |
2 | Not annualized |
2 | Annualized |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.8% | Common Stock | 1,330,671 | 1,542,720 | ||||||||||||
0.6% | Short-Term Investment | 9,270 | 9,270 | ||||||||||||
—% | U.S. Treasury Obligation | 119 | 119 | ||||||||||||
100.4% | Total Investments | 1,340,060 | 1,552,109 | ||||||||||||
3.5% | Collateral Invested for Securities on Loan | 54,624 | 54,624 | ||||||||||||
(3.9)% | Other Assets and Liabilities, Net | (60,106 | ) | ||||||||||||
100% | Total Net Assets | 1,546,627 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.8% of net assets | |||||||||||
Banks 4.5% | |||||||||||
Bank of Hawaii Corp. | 225,800 | 11,780 | |||||||||
Comerica, Inc. | 228,500 | 13,297 | |||||||||
KeyCorp | 435,200 | 16,163 | |||||||||
PNC Financial Services Group, Inc. | 190,000 | 13,306 | |||||||||
Radian Group, Inc. | 275,200 | 14,668 | |||||||||
69,214 | |||||||||||
Capital Goods 6.7% | |||||||||||
General Dynamics Corp. | 233,800 | 16,623 | |||||||||
Lockheed Martin Corp. | 205,000 | 17,821 | |||||||||
Precision Castparts Corp. | 250,000 | 17,015 | |||||||||
Raytheon Co. | 370,000 | 18,481 | |||||||||
The Boeing Co. | 210,100 | 16,779 | |||||||||
Thomas & Betts Corp. * | 322,400 | 16,613 | |||||||||
103,332 | |||||||||||
Commercial Services & Supplies 2.2% | |||||||||||
Equifax, Inc. | 300,000 | 11,409 | |||||||||
Republic Services, Inc. | 300,000 | 12,303 | |||||||||
Waste Management, Inc. | 291,600 | 10,929 | |||||||||
34,641 | |||||||||||
Consumer Durables & Apparel 1.1% | |||||||||||
Newell Rubbermaid, Inc. | 600,000 | 17,268 | |||||||||
Consumer Services 1.1% | |||||||||||
International Game Technology | 410,000 | 17,429 | |||||||||
Diversified Financials 9.1% | |||||||||||
American Express Co. | 271,200 | 15,678 | |||||||||
AmeriCredit Corp. * | 544,900 | 13,933 | |||||||||
Ameriprise Financial, Inc. | 200,000 | 10,300 | |||||||||
Bank of America Corp. | 260,000 | 14,006 | |||||||||
Franklin Resources, Inc. | 180,000 | 20,513 | |||||||||
Investment Technology Group, Inc. * | 328,700 | 15,350 | |||||||||
Mellon Financial Corp. | 450,600 | 17,483 | |||||||||
Northern Trust Corp. | 287,000 | 16,853 | |||||||||
State Street Corp. | 250,000 | 16,058 | |||||||||
140,174 | |||||||||||
Energy 9.0% | |||||||||||
Cameron International Corp. * | 383,200 | 19,198 | |||||||||
Exxon Mobil Corp. | 280,100 | 20,005 | |||||||||
Overseas Shipholding Group, Inc. | 254,500 | 15,919 | |||||||||
Pride International, Inc. * | 591,500 | 16,331 | |||||||||
Schlumberger Ltd. | 283,400 | 17,877 | |||||||||
SEACOR Holdings, Inc. * | 135,000 | 12,080 | |||||||||
Sunoco, Inc. | 225,000 | 14,879 | |||||||||
Veritas DGC, Inc. * | 314,000 | 22,611 | |||||||||
138,900 | |||||||||||
Food & Staples Retailing 0.6% | |||||||||||
The Kroger Co. | 425,000 | 9,558 | |||||||||
Food, Beverage & Tobacco 8.1% | |||||||||||
Anheuser-Busch Cos., Inc. | 350,000 | 16,597 | |||||||||
Archer-Daniels-Midland Co. | 422,500 | 16,266 | |||||||||
ConAgra Foods, Inc. | 600,000 | 15,690 | |||||||||
General Mills, Inc. | 340,000 | 19,319 | |||||||||
H.J. Heinz Co. | 250,000 | 10,540 | |||||||||
Reynolds American, Inc. (a) | 260,000 | 16,422 | |||||||||
Sara Lee Corp. | 830,200 | 14,196 | |||||||||
The Coca-Cola Co. | 363,800 | 16,997 | |||||||||
126,027 | |||||||||||
Health Care Equipment & Services 5.9% | |||||||||||
Aetna, Inc. | 330,720 | 13,632 | |||||||||
AmerisourceBergen Corp. | 367,900 | 17,365 | |||||||||
Becton Dickinson & Co. | 259,900 | 18,201 | |||||||||
CIGNA Corp. | 130,000 | 15,207 | |||||||||
McKesson Corp. | 344,500 | 17,256 | |||||||||
WellPoint, Inc. * | 120,500 | 9,197 | |||||||||
90,858 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 9.4% | |||||||||||
Hanover Insurance Group, Inc. | 260,000 | 11,791 | |||||||||
Loews Corp. | 448,000 | 17,436 | |||||||||
MetLife, Inc. | 300,000 | 17,139 | |||||||||
Nationwide Financial Services, Inc., Class A | 385,000 | 19,604 | |||||||||
Principal Financial Group, Inc. | 305,000 | 17,229 | |||||||||
Prudential Financial, Inc. | 188,300 | 14,486 | |||||||||
The Chubb Corp. | 310,000 | 16,477 | |||||||||
The Hartford Financial Services Group, Inc. | 174,000 | 15,168 | |||||||||
W. R. Berkley Corp. | 420,000 | 15,481 | |||||||||
144,811 | |||||||||||
Materials 4.8% | |||||||||||
Greif, Inc., Class A | 205,000 | 19,211 | |||||||||
Nucor Corp. | 311,000 | 18,165 | |||||||||
Pactiv Corp. * | 660,000 | 20,354 | |||||||||
Rohm & Haas Co. | 322,500 | 16,712 | |||||||||
74,442 | |||||||||||
Media 2.6% | |||||||||||
CBS Corp., Class B | 482,500 | 13,964 | |||||||||
The McGraw-Hill Cos., Inc. | 250,000 | 16,042 | |||||||||
The Walt Disney Co. | 322,000 | 10,130 | |||||||||
40,136 | |||||||||||
Pharmaceuticals & Biotechnology 6.7% | |||||||||||
Applied Biosystems Group — Applera Corp. | 480,000 | 17,904 | |||||||||
Biogen Idec, Inc. * | 289,000 | 13,756 | |||||||||
Johnson & Johnson | 147,000 | 9,908 | |||||||||
King Pharmaceuticals, Inc. * | 900,000 | 15,057 | |||||||||
Merck & Co., Inc. | 351,800 | 15,979 | |||||||||
Pfizer, Inc. | 620,000 | 16,523 | |||||||||
Schering-Plough Corp. | 650,000 | 14,391 | |||||||||
103,518 | |||||||||||
Retailing 4.7% | |||||||||||
Expedia, Inc. * | 500,000 | 8,125 | |||||||||
J.C. Penney Co., Inc. | 250,000 | 18,808 | |||||||||
Nordstrom, Inc. | 370,900 | 17,562 | |||||||||
Office Depot, Inc. * | 321,500 | 13,500 | |||||||||
Payless Shoesource, Inc. * | 537,800 | 14,386 | |||||||||
72,381 | |||||||||||
Semiconductors & Semiconductor Equipment 2.4% | |||||||||||
Applied Materials, Inc. | 770,000 | 13,390 | |||||||||
Micron Technology, Inc. * | 575,000 | 8,309 | |||||||||
Texas Instruments, Inc. | 508,100 | 15,335 | |||||||||
37,034 | |||||||||||
Software & Services 7.1% | |||||||||||
BEA Systems, Inc. * | 1,100,000 | 17,897 | |||||||||
BMC Software, Inc. * | 620,000 | 18,792 | |||||||||
Global Payments, Inc. | 380,000 | 16,610 | |||||||||
Intuit, Inc. * | 333,200 | 11,762 | |||||||||
Red Hat, Inc. (a)* | 690,000 | 11,302 | |||||||||
Sybase, Inc. * | 649,700 | 15,820 | |||||||||
Synopsys, Inc. * | 797,100 | 17,943 | |||||||||
110,126 | |||||||||||
Technology Hardware & Equipment 5.5% | |||||||||||
Harris Corp. | 270,000 | 11,502 | |||||||||
Hewlett-Packard Co. | 510,000 | 19,757 | |||||||||
Intermec, Inc. (a)* | 550,000 | 12,430 | |||||||||
Lexmark International, Inc., Class A * | 240,000 | 15,262 | |||||||||
Motorola, Inc. | 650,000 | 14,989 | |||||||||
NCR Corp. * | 281,300 | 11,680 | |||||||||
85,620 | |||||||||||
Telecommunication Services 2.8% | |||||||||||
ALLTEL Corp. | 175,000 | 9,329 | |||||||||
CenturyTel, Inc. | 440,000 | 17,706 | |||||||||
Qwest Communications International, Inc. * | 1,800,000 | 15,534 | |||||||||
42,569 | |||||||||||
Transportation 2.0% | |||||||||||
AMR Corp. (a)* | 600,000 | 17,004 | |||||||||
FedEx Corp. | 115,000 | 13,172 | |||||||||
30,176 | |||||||||||
Utilities 3.5% | |||||||||||
Allegheny Energy, Inc. * | 433,700 | 18,662 | |||||||||
Alliant Energy Corp. | 185,000 | 7,095 | |||||||||
FirstEnergy Corp. | 225,700 | 13,282 | |||||||||
TXU Corp. | 245,000 | 15,467 | |||||||||
54,506 |
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.6% of net assets | |||||||||||
Repurchase Agreement 0.6% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $9,271 (fully collateralized by Federal National Mortgage Association with a value of $9,511) | 9,270 | 9,270 |
Security Rate, Maturity Date | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 120 | 119 |
End of Investments.
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 3.5% of net assets | |||||||||||
State Street Navigator Security Lending Prime Portfolio | 54,623,850 | 54,624 |
End of collateral invested for securities on loan.
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $53,356 (cost $1,340,060) | $ | 1,552,109 | |||||
Collateral invested for securities on loan | 54,624 | ||||||
Cash | 11 | ||||||
Receivables: | |||||||
Investments sold | 2,624 | ||||||
Fund shares sold | 2,159 | ||||||
Interest | 1 | ||||||
Dividends | 814 | ||||||
Income from securities on loan | 3 | ||||||
Prepaid expenses | + | 6 | |||||
Total assets | 1,612,351 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 54,624 | ||||||
Payables: | |||||||
Investments bought | 10,160 | ||||||
Investment adviser and administrator fees | 114 | ||||||
Transfer agent and shareholder services fees | 22 | ||||||
Fund shares redeemed | 748 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 55 | |||||
Total liabilities | 65,724 | ||||||
Net Assets | |||||||
Total assets | 1,612,351 | ||||||
Total liabilities | –65,724 | ||||||
Net assets | $ | 1,546,627 | |||||
Net Assets by Source | |||||||
Capital received from investors | 1,335,150 | ||||||
Net realized capital losses | (572 | ) | |||||
Net unrealized capital gains | 212,049 |
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 689,925 | 55,213 | $ | 12.50 | |||||||||||||||||
Select Shares | $ | 856,702 | 68,465 | $ | 12.51 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 15,362 | |||||
Interest | 399 | ||||||
Securities on loan | + | 54 | |||||
Total Investment Income | 15,815 | ||||||
Net Realized Gains and Losses | |||||||
Net realized losses on investments | (133 | ) | |||||
Net realized gains on futures contracts | + | 107 | |||||
Net realized losses | (26 | ) | |||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 172,611 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 11,827 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 1,479 | ||||||
Select Shares | 740 | ||||||
Registration fees | 289 | ||||||
Portfolio accounting fees | 69 | ||||||
Professional fees | 40 | ||||||
Shareholder reports | 34 | ||||||
Custodian fees | 30 | ||||||
Trustees’ fees | 13 | ||||||
Overdraft expense | 7 | ||||||
Other expenses | + | 24 | |||||
Total expenses | 14,552 | ||||||
Custody Credits | –14 | ||||||
Net expenses | 14,538 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 15,815 | ||||||
Net expenses | –14,538 | ||||||
Net investment income | 1,277 | ||||||
Net realized losses | (26 | ) | |||||
Net unrealized gains | + | 172,611 | |||||
Increase in net assets from operations | $ | 173,862 |
Table of Contents
Operations |
11/1/05–10/31/06 | 3/21/05*–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 1,277 | $ | 2,233 | |||||||
Net realized losses | (26 | ) | (546 | ) | |||||||
Net unrealized gains | + | 172,611 | 39,438 | ||||||||
Increase in net assets from operations | 173,862 | 41,125 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 1,487 | — | |||||||||
Select Shares | + | 2,289 | — | ||||||||
Total Dividends from net investment income | $ | 3,776 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 3/21/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 33,411 | $ | 393,500 | 37,370 | $ | 381,553 | |||||||||||||
Select Shares | + | 41,099 | 485,841 | 48,755 | 497,896 | ||||||||||||||
Total shares sold | 74,510 | $ | 879,341 | 86,125 | $ | 879,449 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 118 | $ | 1,352 | — | $ | — | |||||||||||||
Select Shares | + | 172 | 1,981 | — | — | ||||||||||||||
Total shares reinvested | 290 | $ | 3,333 | — | $ | — | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (12,348 | ) | $ | (145,311 | ) | (3,338 | ) | $ | (35,148 | ) | |||||||||
Select Shares | + | (17,727 | ) | (205,961 | ) | (3,834 | ) | (40,287 | ) | ||||||||||
Total shares redeemed | (30,075 | ) | $ | (351,272 | ) | (7,172 | ) | $ | (75,435 | ) | |||||||||
Net transactions in fund shares | 44,725 | $ | 531,402 | 78,953 | $ | 804,014 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 3/21/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 78,953 | $ | 845,139 | — | $ | — | |||||||||||||
Total increase or decrease | + | 44,725 | 701,488 | 78,953 | 845,139 | ||||||||||||||
End of period | 123,678 | $ | 1,546,627 | 78,953 | $ | 845,139 | |||||||||||||
Net investment income not yet distributed | $ | — | $ | 2,233 |
Table of Contents
11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($)1 | |||||||||||||||||||||||
Net asset value at beginning of period | 15.81 | 13.81 | 12.71 | 10.89 | 12.53 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.10 | 0.13 | 0.12 | 0.10 | 0.08 | ||||||||||||||||||
Net realized and unrealized gains or losses | 2.58 | 2.03 | 1.09 | 1.79 | (1.64 | ) | |||||||||||||||||
Total income or loss from investment operations | 2.68 | 2.16 | 1.21 | 1.89 | (1.56 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.09 | ) | (0.16 | ) | (0.11 | ) | (0.07 | ) | (0.08 | ) | |||||||||||||
Net asset value at end of period | 18.40 | 15.81 | 13.81 | 12.71 | 10.89 | ||||||||||||||||||
Total return (%) | 17.02 | 15.74 | 9.57 | 17.54 | (12.58 | ) | |||||||||||||||||
Ratios/Supplemental Data (%)1 | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.75 | 0.75 | 0.75 | 0.75 | 0.75 | ||||||||||||||||||
Gross operating expenses | 0.81 | 0.85 | 0.88 | 0.88 | 0.91 | ||||||||||||||||||
Net investment income | 0.63 | 0.93 | 0.89 | 0.94 | 0.63 | ||||||||||||||||||
Portfolio turnover rate | 42 | 48 | 86 | 73 | 114 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 1,125 | 547 | 263 | 237 | 179 |
1 | Prior to June 1, 2002, the fund’s day-to-day investment management was handled by a subadviser, Symphony Asset Management LLC |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
98.9% | Common Stock | 958,596 | 1,112,759 | |||||||||||||
1.8% | Short-Term Investment | 19,762 | 19,762 | |||||||||||||
—% | U.S. Treasury Obligation | 273 | 273 | |||||||||||||
100.7% | Total Investments | 978,631 | 1,132,794 | |||||||||||||
0.9% | Collateral Invested for Securities on Loan | 10,748 | 10,748 | |||||||||||||
(1.6)% | Other Assets and Liabilities, Net | (18,235 | ) | |||||||||||||
100.0% | Total Net Assets | 1,125,307 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 98.9% of net assets | |||||||||||
Banks 4.2% | |||||||||||
Comerica, Inc. | 172,500 | 10,038 | |||||||||
KeyCorp | 235,200 | 8,735 | |||||||||
Radian Group, Inc. | 534,000 | 28,462 | |||||||||
47,235 | |||||||||||
Capital Goods 12.1% | |||||||||||
Emerson Electric Co. (a) | 88,800 | 7,495 | |||||||||
General Dynamics Corp. | 58,400 | 4,152 | |||||||||
Lockheed Martin Corp. (a) | 492,800 | 42,839 | |||||||||
Northrop Grumman Corp. | 36,400 | 2,416 | |||||||||
Raytheon Co. (a) | 542,500 | 27,098 | |||||||||
The Boeing Co. (a) | 659,100 | 52,636 | |||||||||
136,636 | |||||||||||
Commercial Services & Supplies 0.2% | |||||||||||
Equifax, Inc. | 70,000 | 2,662 | |||||||||
Consumer Durables & Apparel 2.1% | |||||||||||
Hasbro, Inc. | 243,800 | 6,319 | |||||||||
Newell Rubbermaid, Inc. | 493,900 | 14,214 | |||||||||
Nike, Inc., Class B | 27,900 | 2,564 | |||||||||
23,097 | |||||||||||
Diversified Financials 9.3% | |||||||||||
American Express Co. (a) | 552,000 | 31,911 | |||||||||
AmeriCredit Corp. (b)* | 87,000 | 2,225 | |||||||||
Franklin Resources, Inc. | 393,100 | 44,798 | |||||||||
JPMorgan Chase & Co. | 360,000 | 17,078 | |||||||||
Mellon Financial Corp. | 115,000 | 4,462 | |||||||||
Moody’s Corp. (a) | 44,800 | 2,970 | |||||||||
Northern Trust Corp. (a) | 17,500 | 1,028 | |||||||||
104,472 | |||||||||||
Energy 5.1% | |||||||||||
Exxon Mobil Corp. (a) | 708,600 | 50,608 | |||||||||
Pride International, Inc. * | 245,400 | 6,776 | |||||||||
57,384 | |||||||||||
Food, Beverage & Tobacco 5.0% | |||||||||||
ConAgra Foods, Inc. | 793,100 | 20,740 | |||||||||
General Mills, Inc. | 34,500 | 1,960 | |||||||||
Reynolds American, Inc. (b) | 140,000 | 8,842 | |||||||||
The Coca-Cola Co. (a) | 540,500 | 25,252 | |||||||||
56,794 | |||||||||||
Health Care Equipment & Services 7.1% | |||||||||||
Aetna, Inc. (a) | 422,800 | 17,428 | |||||||||
AmerisourceBergen Corp. | 300,600 | 14,188 | |||||||||
Becton Dickinson & Co. | 122,300 | 8,565 | |||||||||
CIGNA Corp. | 108,200 | 12,657 | |||||||||
Humana, Inc. * | 69,200 | 4,152 | |||||||||
McKesson Corp. | 348,300 | 17,446 | |||||||||
WellPoint, Inc. * | 68,000 | 5,190 | |||||||||
79,626 | |||||||||||
Insurance 9.6% | |||||||||||
American Financial Group, Inc. | 36,000 | 1,723 | |||||||||
AON Corp. (a) | 24,000 | 835 | |||||||||
Genworth Financial, Inc., Class A | 105,600 | 3,531 | |||||||||
Loews Corp. | 266,700 | 10,380 | |||||||||
MetLife, Inc. (a) | 779,900 | 44,556 | |||||||||
Nationwide Financial Services, Inc., Class A (a) | 50,000 | 2,546 | |||||||||
Principal Financial Group, Inc. | 460,600 | 26,019 | |||||||||
Prudential Financial, Inc. | 64,000 | 4,923 | |||||||||
The Chubb Corp. | 151,800 | 8,068 | |||||||||
W. R. Berkley Corp. | 138,000 | 5,087 | |||||||||
107,668 | |||||||||||
Materials 5.9% | |||||||||||
Crown Holdings, Inc. * | 164,200 | 3,192 | |||||||||
International Paper Co. | 325,000 | 10,839 | |||||||||
Monsanto Co. | 34,400 | 1,521 | |||||||||
Nucor Corp. | 200,000 | 11,682 | |||||||||
Pactiv Corp. * | 251,000 | 7,741 | |||||||||
Phelps Dodge Corp. | 44,000 | 4,417 | |||||||||
Rohm & Haas Co. | 362,500 | 18,785 | |||||||||
Temple-Inland, Inc. | 63,700 | 2,512 | |||||||||
The Lubrizol Corp. | 115,400 | 5,193 | |||||||||
65,882 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Media 3.9% | |||||||||||
CBS Corp., Class B | 27,000 | 781 | |||||||||
Omnicom Group, Inc. | 230,000 | 23,334 | |||||||||
The McGraw-Hill Cos., Inc. | 275,000 | 17,647 | |||||||||
Time Warner, Inc. (a) | 125,500 | 2,511 | |||||||||
44,273 | |||||||||||
Pharmaceuticals & Biotechnology 9.9% | |||||||||||
Applera Corp. — Applied Biosystems Group (a) | 525,000 | 19,582 | |||||||||
Biogen Idec, Inc. * | 40,000 | 1,904 | |||||||||
King Pharmaceuticals, Inc. (a)* | 630,000 | 10,540 | |||||||||
Merck & Co., Inc. | 792,600 | 36,000 | |||||||||
Pfizer, Inc. | 1,648,000 | 43,919 | |||||||||
111,945 | |||||||||||
Retailing 2.8% | |||||||||||
American Eagle Outfitters, Inc. | 165,000 | 7,557 | |||||||||
J.C. Penney Co., Inc. | 202,500 | 15,234 | |||||||||
Office Depot, Inc. * | 221,400 | 9,297 | |||||||||
32,088 | |||||||||||
Semiconductors & Semiconductor Equipment 2.3% | |||||||||||
Applied Materials, Inc. | 758,900 | 13,197 | |||||||||
Micron Technology, Inc. * | 195,000 | 2,818 | |||||||||
Texas Instruments, Inc. | 317,100 | 9,570 | |||||||||
25,585 | |||||||||||
Software & Services 4.2% | |||||||||||
Autodesk, Inc. (a)* | 169,000 | 6,211 | |||||||||
BMC Software, Inc. (a)* | 267,000 | 8,093 | |||||||||
Electronic Data Systems Corp. (a) | 509,200 | 12,898 | |||||||||
Global Payments, Inc. | 93,500 | 4,087 | |||||||||
Intuit, Inc. * | 193,000 | 6,813 | |||||||||
McAfee, Inc. * | 150,500 | 4,354 | |||||||||
Sybase, Inc. (a)* | 62,200 | 1,514 | |||||||||
Synopsys, Inc. (a)* | 152,500 | 3,433 | |||||||||
47,403 | |||||||||||
Technology Hardware & Equipment 9.7% | |||||||||||
Hewlett-Packard Co. (a) | 1,134,200 | 43,939 | |||||||||
International Business Machines Corp. (a) | 416,000 | 38,409 | |||||||||
Lexmark International, Inc., Class A * | 62,500 | 3,974 | |||||||||
Motorola, Inc. | 338,900 | 7,815 | |||||||||
NCR Corp. * | 126,000 | 5,232 | |||||||||
Xerox Corp. (a)* | 546,700 | 9,294 | |||||||||
108,663 | |||||||||||
Telecommunication Services 2.8% | |||||||||||
AT&T Corp. | 157,421 | 5,392 | |||||||||
Citizens Communications Co. | 1,274,100 | 18,678 | |||||||||
Qwest Communications International, Inc. * | 591,600 | 5,106 | |||||||||
Verizon Communications, Inc. | 56,300 | 2,083 | |||||||||
31,259 | |||||||||||
Transportation 0.6% | |||||||||||
CSX Corp. (a) | 179,300 | 6,396 | |||||||||
Utilities 2.1% | |||||||||||
Edison International (a) | 195,600 | 8,693 | |||||||||
FirstEnergy Corp. | 100,000 | 5,885 | |||||||||
The AES Corp. * | 170,400 | 3,747 | |||||||||
TXU Corp. | 85,000 | 5,366 | |||||||||
23,691 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 1.8% of net assets | |||||||||||
Repurchase Agreement 1.8% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $19,765 (fully collateralized by Federal Home Loan Bank with a value of $20,491.) | 19,762 | 19,762 | |||||||||
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill 4.94%, 12/14/06 | 275 | 273 |
End of Investments.
Security | Number of Shares | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 0.9% of net assets | |||||||||||
State Street Navigator Security Lending Prime Portfolio | 10,748,063 | 10,748 |
End of collateral invested for securities on loan.
Table of Contents
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 80 | 5,533 | 150 |
* | Non-income producing security. |
(a) | All or a portion of this security is held as collateral for open futures contracts. |
(b) | All or a portion of this security is on loan. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $10,514 (cost $978,631) | $ | 1,132,794 | |||||
Collateral invested for securities on loan | 10,748 | ||||||
Cash | 6 | ||||||
Receivables: | |||||||
Investments sold | 18,670 | ||||||
Fund shares sold | 7,495 | ||||||
Dividends | 625 | ||||||
Interest | 3 | ||||||
Income from securities on loan | 1 | ||||||
Prepaid expenses | + | 5 | |||||
Total assets | 1,170,347 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 10,748 | ||||||
Payables: | |||||||
Investments bought | 33,686 | ||||||
Investment adviser and administrator fees | 41 | ||||||
Transfer agent and shareholder services fees | 24 | ||||||
Fund shares redeemed | 483 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 57 | |||||
Total liabilities | 45,040 | ||||||
Net Assets | |||||||
Total assets | 1,170,347 | ||||||
Total liabilities | –45,040 | ||||||
Net assets | $ | 1,125,307 | |||||
Net Assets by Source | |||||||
Capital received from investors | 945,801 | ||||||
Net investment income not yet distributed | 3,880 | ||||||
Net realized capital gains | 21,313 | ||||||
Net unrealized capital gains | 154,313 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$1,125,307 | 61,157 | $ | 18.40 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 10,789 | |||||
Interest | 434 | ||||||
Securities on loan | + | 15 | |||||
Total Investment Income | 11,238 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 24,962 | ||||||
Net realized gains on futures contracts | + | 224 | |||||
Net realized gains | 25,186 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 96,124 | ||||||
Net unrealized gains on futures contracts | + | 182 | |||||
Net unrealized gains | 96,306 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 4,232 | ||||||
Transfer agent and shareholder service fees | 2,032 | ||||||
Registration fees | 144 | ||||||
Shareholder reports | 57 | ||||||
Portfolio accounting fees | 47 | ||||||
Professional fees | 33 | ||||||
Custodian fees | 26 | ||||||
Trustees’ fees | 11 | ||||||
Overdraft expense | 1 | ||||||
Other expenses | + | 15 | |||||
Total expenses | 6,598 | ||||||
Custody Credits | –13 | ||||||
Expense reduction by adviser and Schwab | –492 | ||||||
Net expenses | 6,093 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 11,238 | ||||||
Net expenses | –6,093 | ||||||
Net investment income | 5,145 | ||||||
Net realized gains | 25,186 | ||||||
Net unrealized gains | + | 96,306 | |||||
Increase in net assets from operations | $ | 126,637 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 5,145 | $ | 3,489 | |||||||
Net realized gains | 25,186 | 14,710 | |||||||||
Net unrealized gains | + | 96,306 | 28,266 | ||||||||
Increase in net assets from operations | 126,637 | 46,465 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | $ | 3,509 | $ | 3,112 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 34,999 | $ | 599,052 | 19,737 | $ | 304,359 | |||||||||||||
Shares Reinvested | 182 | 3,034 | 184 | 2,745 | |||||||||||||||
Shares Redeemed | + | (8,614 | ) | (146,741 | ) | (4,354 | ) | (66,406 | ) | ||||||||||
Net transactions in fund shares | 26,567 | $ | 455,345 | 15,567 | $ | 240,698 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 34,590 | $ | 546,834 | 19,023 | $ | 262,783 | |||||||||||||
Total increase | + | 26,567 | 578,473 | 15,567 | 284,051 | ||||||||||||||
End of period | 61,157 | $ | 1,125,307 | 34,590 | $ | 546,834 | |||||||||||||
Net investment income not yet distributed | $ | 3,880 | $ | 2,244 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 9/2/031— 10/31/03 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 12.80 | 12.06 | 10.60 | 10.00 | |||||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.24 | 0.26 | 0.29 | 0.05 | |||||||||||||||||||
Net realized and unrealized gains | 1.97 | 0.93 | 1.49 | 0.55 | |||||||||||||||||||
Total income from investment operations | 2.21 | 1.19 | 1.78 | 0.60 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.26 | ) | (0.32 | ) | — | ||||||||||||||||
Distributions from net realized gains | (0.16 | ) | (0.19 | ) | — | — | |||||||||||||||||
Total distributions | (0.40 | ) | (0.45 | ) | (0.32 | ) | — | ||||||||||||||||
Net asset value at end of period | 14.61 | 12.80 | 12.06 | 10.60 | |||||||||||||||||||
Total return (%) | 17.63 | 9.98 | 17.00 | 6.00 | 2 | ||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 1.05 | 1.07 | 0.65 | — | |||||||||||||||||||
Gross operating expenses | 1.05 | 1.09 | 1.19 | 1.34 | 3 | ||||||||||||||||||
Net investment income | 1.78 | 2.17 | �� | 2.71 | 3.41 | 3 | |||||||||||||||||
Portfolio turnover rate | 36 | 26 | 39 | 2 | 2 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 624 | 528 | 267 | 94 | |||||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 9/2/031— 10/31/03 | |||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 12.80 | 12.06 | 10.60 | 10.00 | |||||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.26 | 0.28 | 0.31 | 0.05 | |||||||||||||||||||
Net realized and unrealized gains | 1.98 | 0.93 | 1.48 | 0.55 | |||||||||||||||||||
Total income from investment operations | 2.24 | 1.21 | 1.79 | 0.60 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.28 | ) | (0.28 | ) | (0.33 | ) | — | ||||||||||||||||
Distributions from net realized gains | (0.16 | ) | (0.19 | ) | — | — | |||||||||||||||||
Total distributions | (0.44 | ) | (0.47 | ) | (0.33 | ) | — | ||||||||||||||||
Net asset value at end of period | 14.60 | 12.80 | 12.06 | 10.60 | |||||||||||||||||||
Total return (%) | 17.86 | 10.17 | 17.07 | 6.00 | 2 | ||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.90 | 0.92 | 0.54 | — | |||||||||||||||||||
Gross operating expenses | 0.90 | 0.94 | 1.04 | 1.19 | 3 | ||||||||||||||||||
Net investment income | 1.92 | 2.32 | 2.83 | 3.41 | 3 | ||||||||||||||||||
Portfolio turnover rate | 36 | 26 | 39 | 2 | 2 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 729 | 509 | 252 | 111 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
97.8% | Common Stock | 1,116,547 | 1,322,353 | |||||||||||||
2.4% | Short-Term Investment | 32,670 | 32,670 | |||||||||||||
—% | U.S. Treasury Obligation | 537 | 537 | |||||||||||||
100.2% | Total Investments | 1,149,754 | 1,355,560 | |||||||||||||
(0.2)% | Other Assets and Liabilities, Net | (2,845 | ) | |||||||||||||
100.0% | Total Net Assets | 1,352,715 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 97.8% of net assets | |||||||||||
Automobiles & Components 0.2% | |||||||||||
Ford Motor Co. | 300,000 | 2,484 | |||||||||
Banks 10.0% | |||||||||||
AmSouth Bancorp | 165,000 | 4,986 | |||||||||
Comerica, Inc. | 266,700 | 15,519 | |||||||||
First Horizon National Corp. | 85,000 | 3,342 | |||||||||
Huntington Bancshares, Inc. | 259,000 | 6,322 | |||||||||
KeyCorp | 392,500 | 14,578 | |||||||||
National City Corp. | 354,800 | 13,216 | |||||||||
PNC Financial Services Group, Inc. (a) | 233,400 | 16,345 | |||||||||
Regions Financial Corp. | 400,000 | 15,180 | |||||||||
SunTrust Banks, Inc. | 150,887 | 11,919 | |||||||||
U.S. Bancorp (a) | 449,300 | 15,204 | |||||||||
Wachovia Corp. | 255,700 | 14,192 | |||||||||
Washington Mutual, Inc. | 107,500 | 4,547 | |||||||||
135,350 | |||||||||||
Capital Goods 8.5% | |||||||||||
Cooper Industries Ltd., Class A | 85,000 | 7,603 | |||||||||
Eaton Corp. | 30,000 | 2,173 | |||||||||
Emerson Electric Co. | 194,300 | 16,399 | |||||||||
Harsco Corp. | 87,200 | 7,118 | |||||||||
Lockheed Martin Corp. | 324,000 | 28,165 | |||||||||
Northrop Grumman Corp. | 215,400 | 14,301 | |||||||||
Raytheon Co. | 487,100 | 24,331 | |||||||||
The Boeing Co. (a) | 190,000 | 15,173 | |||||||||
115,263 | |||||||||||
Commercial Services & Supplies 2.4% | |||||||||||
Avery Dennison Corp. | 170,000 | 10,734 | |||||||||
Republic Services, Inc. | 135,000 | 5,536 | |||||||||
Waste Management, Inc. | 430,000 | 16,117 | |||||||||
32,387 | |||||||||||
Consumer Durables & Apparel 3.2% | |||||||||||
Hasbro, Inc. | 175,000 | 4,536 | |||||||||
Mattel, Inc. | 325,000 | 7,355 | |||||||||
Newell Rubbermaid, Inc. | 812,600 | 23,386 | |||||||||
VF Corp. | 100,000 | 7,601 | |||||||||
42,878 | |||||||||||
Diversified Financials 7.8% | |||||||||||
American Express Co. | 275,000 | 15,898 | |||||||||
Bank of America Corp. (a) | 340,400 | 18,337 | |||||||||
Citigroup, Inc. | 360,000 | 18,058 | |||||||||
JPMorgan Chase & Co. (a) | 430,584 | 20,427 | |||||||||
Mellon Financial Corp. | 453,900 | 17,611 | |||||||||
The Bank of New York Co., Inc. | 425,000 | 14,607 | |||||||||
104,938 | |||||||||||
Energy 4.6% | |||||||||||
ChevronTexaco Corp. | 100,000 | 6,720 | |||||||||
Exxon Mobil Corp. | 320,800 | 22,912 | |||||||||
Marathon Oil Corp. | 176,400 | 15,241 | |||||||||
Occidental Petroleum Corp. | 60,000 | 2,816 | |||||||||
Schlumberger Ltd. | 78,400 | 4,945 | |||||||||
Sunoco, Inc. | 150,000 | 9,920 | |||||||||
62,554 | |||||||||||
Food & Staples Retailing 0.5% | |||||||||||
The Kroger Co. | 300,000 | 6,747 | |||||||||
Food, Beverage & Tobacco 9.2% | |||||||||||
Altria Group, Inc. | 160,000 | 13,013 | |||||||||
Anheuser-Busch Cos., Inc. | 225,000 | 10,669 | |||||||||
ConAgra Foods, Inc. | 120,000 | 3,138 | |||||||||
General Mills, Inc. | 245,000 | 13,921 | |||||||||
Kellogg Co. (a) | 290,000 | 14,590 | |||||||||
Loews Corp. — Carolina Group | 180,000 | 10,408 | |||||||||
PepsiCo, Inc. | 100,000 | 6,344 | |||||||||
Reynolds American, Inc. (a) | 426,400 | 26,931 | |||||||||
The Coca-Cola Co. | 311,000 | 14,530 | |||||||||
UST, Inc. (a) | 200,500 | 10,739 | |||||||||
124,283 | |||||||||||
Health Care Equipment & Services 3.0% | |||||||||||
AmerisourceBergen Corp. | 75,000 | 3,540 | |||||||||
Baxter International, Inc. | 255,000 | 11,722 | |||||||||
Becton Dickinson & Co. | 179,000 | 12,536 | |||||||||
Dentsply International, Inc. | 145,000 | 4,536 | |||||||||
McKesson Corp. | 170,000 | 8,515 | |||||||||
40,849 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Household & Personal Products 1.5% | |||||||||||
Colgate-Palmolive Co. | 150,000 | 9,595 | |||||||||
Procter & Gamble Co. | 168,950 | 10,710 | |||||||||
20,305 | |||||||||||
Insurance 8.7% | |||||||||||
AON Corp. (a) | 496,250 | 17,265 | |||||||||
Fidelity National Financial, Inc. | 155,000 | 3,457 | |||||||||
Fidelity National Title Group, Inc., Class A | 162,398 | 3,574 | |||||||||
First American Corp. | 82,500 | 3,368 | |||||||||
HCC Insurance Holdings, Inc. | 150,000 | 5,049 | |||||||||
Lincoln National Corp. | 300,000 | 18,993 | |||||||||
Principal Financial Group, Inc. | 140,000 | 7,909 | |||||||||
SAFECO Corp. | 201,400 | 11,719 | |||||||||
The Allstate Corp. | 218,200 | 13,389 | |||||||||
The Chubb Corp. | 276,000 | 14,669 | |||||||||
The St. Paul Travelers Cos., Inc. (a) | 308,000 | 15,748 | |||||||||
W. R. Berkley Corp. | 82,500 | 3,041 | |||||||||
118,181 | |||||||||||
Materials 6.7% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 194,000 | 11,733 | |||||||||
International Paper Co. | 375,000 | 12,506 | |||||||||
MeadWestvaco Corp. | 254,000 | 6,990 | |||||||||
Nucor Corp. | 100,000 | 5,841 | |||||||||
PPG Industries, Inc. | 145,500 | 9,952 | |||||||||
Rohm & Haas Co. | 259,000 | 13,421 | |||||||||
Sonoco Products Co. | 280,000 | 9,935 | |||||||||
Temple-Inland, Inc. | 338,300 | 13,343 | |||||||||
The Lubrizol Corp. | 150,000 | 6,750 | |||||||||
90,471 | |||||||||||
Media 2.4% | |||||||||||
CBS Corp., Class B | 425,000 | 12,299 | |||||||||
Regal Entertainment Group, Class A | 150,000 | 3,110 | |||||||||
The McGraw-Hill Cos., Inc. | 200,000 | 12,834 | |||||||||
Warner Music Group Corp. | 150,000 | 3,889 | |||||||||
32,132 | |||||||||||
Pharmaceuticals & Biotechnology 5.9% | |||||||||||
Abbott Laboratories | 180,000 | 8,552 | |||||||||
Bristol-Myers Squibb Co. | 400,000 | 9,900 | |||||||||
Johnson & Johnson | 237,000 | 15,974 | |||||||||
Merck & Co., Inc. | 380,000 | 17,259 | |||||||||
PerkinElmer, Inc. | 270,500 | 5,778 | |||||||||
Pfizer, Inc. | 573,000 | 15,270 | |||||||||
Schering-Plough Corp. | 85,000 | 1,882 | |||||||||
Wyeth | 95,000 | 4,848 | |||||||||
79,463 | |||||||||||
Retailing 0.4% | |||||||||||
Genuine Parts Co. | 121,000 | 5,508 | |||||||||
Semiconductors & Semiconductor Equipment 0.9% | |||||||||||
Applied Materials, Inc. | 465,000 | 8,086 | |||||||||
Microchip Technology, Inc. | 135,000 | 4,446 | |||||||||
12,532 | |||||||||||
Software & Services 2.2% | |||||||||||
Electronic Data Systems Corp. | 558,000 | 14,134 | |||||||||
Global Payments, Inc. | 25,000 | 1,093 | |||||||||
Microsoft Corp. | 500,000 | 14,355 | |||||||||
29,582 | |||||||||||
Technology Hardware & Equipment 4.4% | |||||||||||
Harris Corp. | 155,000 | 6,603 | |||||||||
Hewlett-Packard Co. | 490,000 | 18,983 | |||||||||
International Business Machines Corp. | 180,000 | 16,619 | |||||||||
Molex, Inc. | 100,000 | 3,490 | |||||||||
Motorola, Inc. | 615,000 | 14,182 | |||||||||
59,877 | |||||||||||
Telecommunication Services 6.3% | |||||||||||
ALLTEL Corp. (a) | 184,800 | 9,852 | |||||||||
AT&T Corp. | 655,037 | 22,435 | |||||||||
BellSouth Corp. | 451,600 | 20,367 | |||||||||
Citizens Communications Co. | 980,000 | 14,367 | |||||||||
Verizon Communications, Inc. | 402,300 | 14,885 | |||||||||
Windstream Corp. | 191,069 | 2,621 | |||||||||
84,527 | |||||||||||
Transportation 0.5% | |||||||||||
FedEx Corp. | 60,000 | 6,872 | |||||||||
Utilities 8.5% | |||||||||||
Alliant Energy Corp. | 305,000 | 11,697 | |||||||||
American Electric Power Co., Inc. | 401,000 | 16,614 | |||||||||
Edison International | 391,000 | 17,376 | |||||||||
Exelon Corp. | 171,400 | 10,623 | |||||||||
FirstEnergy Corp. | 284,100 | 16,719 | |||||||||
Pepco Holdings, Inc. | 280,000 | 7,118 | |||||||||
PG&E Corp. | 360,000 | 15,530 | |||||||||
TECO Energy, Inc. | 225,000 | 3,710 | |||||||||
TXU Corp. | 250,000 | 15,783 | |||||||||
115,170 |
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 2.4% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 32,670 | 32,670 | |||||||||
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill 5.00%, 12/14/06 | 540 | 537 |
End of Investments.
Security Rate, Maturity Date | Number of Contracts | Contract Value | Unrealized Gains | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | ||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 160 | 11,066 | 249 |
(a) | All or a portion of this security is held as collateral for open futures contracts. |
Table of Contents
Assets | |||||||
Investments, at value (cost $1,149,754) | $ | 1,355,560 | |||||
Receivables: | |||||||
Investments sold | 6,335 | ||||||
Fund shares sold | 6,616 | ||||||
Interest | 4 | ||||||
Dividends | 1,969 | ||||||
Prepaid expenses | + | 8 | |||||
Total assets | 1,370,492 | ||||||
Liabilities | |||||||
Payables: | |||||||
Investments bought | 16,845 | ||||||
Investment adviser and administrator fees | 87 | ||||||
Transfer agent and shareholder services fees | 19 | ||||||
Fund shares redeemed | 792 | ||||||
Trustee fees | 2 | ||||||
Accrued expenses | + | 32 | |||||
Total liabilities | 17,777 | ||||||
Net Assets | |||||||
Total assets | 1,370,492 | ||||||
Total liabilities | –17,777 | ||||||
Net assets | $ | 1,352,715 | |||||
Net Assets by Source | |||||||
Capital received from investors | 1,116,361 | ||||||
Net investment income not yet distributed | 1,243 | ||||||
Net realized capital gains | 29,056 | ||||||
Net unrealized capital gains | 206,055 | ||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 624,057 | 42,705 | $ | 14.61 | |||||||||||||||||
Select Shares | $ | 728,658 | 49,917 | $ | 14.60 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 31,163 | |||||
Interest | 358 | ||||||
Securities on loan | + | 1 | |||||
Total Investment Income | 31,522 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 28,776 | ||||||
Net realized gains on futures contracts | + | 222 | |||||
Net realized gains | 28,998 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 134,621 | ||||||
Net unrealized gains on futures contracts | + | 307 | |||||
Net unrealized gains | 134,928 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 8,596 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 1,384 | ||||||
Select Shares | 561 | ||||||
Registration fees | 95 | ||||||
Portfolio accounting fees | 67 | ||||||
Shareholder reports | 63 | ||||||
Custodian fees | 40 | ||||||
Professional fees | 36 | ||||||
Trustees’ fees | 13 | ||||||
Overdraft expense | 3 | ||||||
Other expenses | + | 22 | |||||
Total expenses | 10,880 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 31,522 | ||||||
Net expenses | –10,880 | ||||||
Net investment income | 20,642 | ||||||
Net realized gains | 28,998 | ||||||
Net unrealized gains | + | 134,928 | |||||
Increase in net assets from operations | $ | 184,568 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 20,642 | $ | 18,557 | |||||||
Net realized gains | 28,998 | 13,364 | |||||||||
Net unrealized gains | + | 134,928 | 29,600 | ||||||||
Increase in net assets from operations | 184,568 | 61,521 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 9,859 | 8,840 | |||||||||
Select Shares | + | 11,451 | 8,874 | ||||||||
Total dividends from net investment income | 21,310 | 17,714 | |||||||||
Distributions from net realized gains | |||||||||||
Investor Shares | 6,743 | 4,838 | |||||||||
Select Shares | + | 6,563 | 4,386 | ||||||||
Total distributions from net realized gains | 13,306 | 9,224 | |||||||||
Total distributions | $ | 34,616 | $ | 26,938 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 14,325 | $ | 196,579 | 27,892 | $ | 355,147 | |||||||||||||
Select Shares | + | 19,222 | 265,952 | 24,348 | 310,884 | ||||||||||||||
Total shares sold | 33,547 | $ | 462,531 | 52,240 | $ | 666,031 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 1,006 | $ | 13,421 | 854 | $ | 10,806 | |||||||||||||
Select Shares | + | 972 | 12,969 | 731 | 9,263 | ||||||||||||||
Total shares reinvested | 1,978 | $ | 26,390 | 1,585 | $ | 20,069 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (13,861 | ) | $ | (187,504 | ) | (9,697 | ) | $ | (124,160 | ) | |||||||||
Select Shares | + | (10,090 | ) | (135,743 | ) | (6,148 | ) | (78,680 | ) | ||||||||||
Total shares redeemed | (23,951 | ) | $ | (323,247 | ) | (15,845 | ) | $ | (202,840 | ) | |||||||||
Net transactions in fund shares | 11,574 | $ | 165,674 | 37,980 | $ | 483,260 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 81,048 | $ | 1,037,089 | 43,068 | $ | 519,246 | |||||||||||||
Total increase | + | 11,574 | 315,626 | 37,980 | 517,843 | ||||||||||||||
End of period | 92,622 | $ | 1,352,715 | 81,048 | $ | 1,037,089 | |||||||||||||
Net investment income not yet distributed | $ | 1,243 | $ | 1,911 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 10/3/051— 10/31/05 | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 9.73 | 10.00 | |||||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | 0.01 | (0.00 | )2 | ||||||||||||||||||||
Net realized and unrealized gains or losses | 1.33 | (0.27 | ) | ||||||||||||||||||||
Total income or loss from investment operations | 1.34 | (0.27 | ) | ||||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.00 | )2 | — | ||||||||||||||||||||
Net asset value at end of period | 11.07 | 9.73 | |||||||||||||||||||||
Total return (%) | 13.80 | (2.70 | )3 | ||||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 1.20 | 1.20 | 4 | ||||||||||||||||||||
Gross operating expenses | 1.26 | 1.71 | 4 | ||||||||||||||||||||
Net investment income or loss | 0.09 | (0.61 | )4 | ||||||||||||||||||||
Portfolio turnover rate | 53 | 4 | 3 | ||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 70 | 25 | |||||||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 10/3/051— 10/31/05 | |||||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 9.73 | 10.00 | |||||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | 0.02 | (0.00 | )2 | ||||||||||||||||||||
Net realized and unrealized gains or losses | 1.35 | (0.27 | ) | ||||||||||||||||||||
Total income or loss from investment operations | 1.37 | (0.27 | ) | ||||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.01 | ) | — | ||||||||||||||||||||
Net asset value at end of period | 11.09 | 9.73 | |||||||||||||||||||||
Total return (%) | 14.04 | (2.70 | )3 | ||||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.99 | 0.99 | 4 | ||||||||||||||||||||
Gross operating expenses | 1.12 | 1.56 | 4 | ||||||||||||||||||||
Net investment income or loss | 0.26 | (0.40 | )4 | ||||||||||||||||||||
Portfolio turnover rate | 53 | 4 | 3 | ||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 107 | 33 |
1 | Commencement of operations. |
2 | Per share amount was less then $0.01. |
3 | Not annualized. |
4 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
97.4% | Common Stock | 157,393 | 172,230 | ||||||||||||
5.2% | Short-Term Investment | 9,266 | 9,266 | ||||||||||||
0.1% | U.S. Treasury Obligations | 124 | 124 | ||||||||||||
102.7% | Total Investments | 166,783 | 181,620 | ||||||||||||
2.5% | Collateral Invested for Securities on Loan | 4,371 | 4,371 | ||||||||||||
(5.2)% | Other Assets and Liabilities, Net | (9,127 | ) | ||||||||||||
100.0% | Total Net Assets | 176,864 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 97.4% of net assets | |||||||||||
Banks 1.1% | |||||||||||
Comerica, Inc. | 3,700 | 215 | |||||||||
Radian Group, Inc. | 15,500 | 826 | |||||||||
U.S. Bancorp | 25,600 | 867 | |||||||||
1,908 | |||||||||||
Capital Goods 11.4% | |||||||||||
Cooper Industries Ltd., Class A | 1,800 | 161 | |||||||||
Emerson Electric Co. | 7,300 | 616 | |||||||||
General Dynamics Corp. | 41,400 | 2,943 | |||||||||
ITT Corp. | 29,500 | 1,604 | |||||||||
Lockheed Martin Corp. | 60,700 | 5,277 | |||||||||
Precision Castparts Corp. | 14,000 | 953 | |||||||||
Raytheon Co. | 7,500 | 375 | |||||||||
The Boeing Co. | 99,800 | 7,970 | |||||||||
Thomas & Betts Corp. * | 4,300 | 222 | |||||||||
20,121 | |||||||||||
Commercial Services & Supplies 0.5% | |||||||||||
Equifax, Inc. | 21,500 | 818 | |||||||||
Consumer Durables & Apparel 1.7% | |||||||||||
Hasbro, Inc. | 29,000 | 752 | |||||||||
Newell Rubbermaid, Inc. | 79,300 | 2,282 | |||||||||
3,034 | |||||||||||
Consumer Services 0.8% | |||||||||||
International Game Technology (a) | 31,500 | 1,339 | |||||||||
Diversified Financials 7.9% | |||||||||||
American Express Co. | 45,000 | 2,601 | |||||||||
Franklin Resources, Inc. | 74,500 | 8,490 | |||||||||
Mellon Financial Corp. | 15,000 | 582 | |||||||||
Moody’s Corp. | 22,500 | 1,492 | |||||||||
Northern Trust Corp. | 15,000 | 881 | |||||||||
14,046 | |||||||||||
Energy 1.8% | |||||||||||
Exxon Mobil Corp. | 45,300 | 3,235 | |||||||||
Food, Beverage & Tobacco 3.8% | |||||||||||
Anheuser-Busch Cos., Inc. | 4,100 | 194 | |||||||||
ConAgra Foods, Inc. | 29,500 | 771 | |||||||||
General Mills, Inc. | 22,100 | 1,256 | |||||||||
Loews Corp. — Carolina Group | 49,500 | 2,862 | |||||||||
The Coca-Cola Co. | 35,800 | 1,673 | |||||||||
6,756 | |||||||||||
Health Care Equipment & Services 11.5% | |||||||||||
Aetna, Inc. | 19,900 | 820 | |||||||||
AmerisourceBergen Corp. | 45,300 | 2,138 | |||||||||
Baxter International, Inc. | 114,200 | 5,250 | |||||||||
Becton Dickinson & Co. | 60,800 | 4,258 | |||||||||
Express Scripts, Inc. * | 9,000 | 573 | |||||||||
Humana, Inc. (a)* | 23,600 | 1,416 | |||||||||
IMS Health, Inc. | 52,800 | 1,471 | |||||||||
Laboratory Corp. of America Holdings * | 6,300 | 432 | |||||||||
McKesson Corp. | 56,700 | 2,840 | |||||||||
WellPoint, Inc. * | 15,700 | 1,198 | |||||||||
20,396 | |||||||||||
Insurance 4.6% | |||||||||||
AFLAC, Inc. | 18,500 | 831 | |||||||||
First American Corp. | 10,000 | 408 | |||||||||
Genworth Financial, Inc., Class A | 15,500 | 518 | |||||||||
HCC Insurance Holdings, Inc. | 20,200 | 680 | |||||||||
MetLife, Inc. | 37,500 | 2,142 | |||||||||
Principal Financial Group, Inc. | 23,500 | 1,328 | |||||||||
Protective Life Corp. | 8,000 | 354 | |||||||||
SAFECO Corp. | 2,000 | 116 | |||||||||
W. R. Berkley Corp. | 45,300 | 1,670 | |||||||||
8,047 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Materials 4.6% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 71,400 | 4,318 | |||||||||
Nucor Corp. | 37,900 | 2,214 | |||||||||
Rohm & Haas Co. | 25,000 | 1,296 | |||||||||
Temple-Inland, Inc. | 4,500 | 177 | |||||||||
United States Steel Corp. | 3,000 | 203 | |||||||||
�� | 8,208 | ||||||||||
Media 5.6% | |||||||||||
Omnicom Group, Inc. | 15,000 | 1,522 | |||||||||
The McGraw-Hill Cos., Inc. (b) | 129,500 | 8,310 | |||||||||
9,832 | |||||||||||
Pharmaceuticals & Biotechnology 9.9% | |||||||||||
Applied Biosystems Group — Applera Corp. (b) | 115,500 | 4,308 | |||||||||
Biogen Idec, Inc. * | 36,900 | 1,756 | |||||||||
Gilead Sciences, Inc. * | 17,100 | 1,178 | |||||||||
Johnson & Johnson | 10,000 | 674 | |||||||||
King Pharmaceuticals, Inc. * | 35,600 | 596 | |||||||||
Merck & Co., Inc. | 78,000 | 3,543 | |||||||||
Pfizer, Inc. | 206,600 | 5,506 | |||||||||
17,561 | |||||||||||
Retailing 3.8% | |||||||||||
American Eagle Outfitters, Inc. | 57,000 | 2,611 | |||||||||
J.C. Penney Co., Inc. | 18,900 | 1,422 | |||||||||
Nordstrom, Inc. | 45,500 | 2,154 | |||||||||
Office Depot, Inc. * | 10,500 | 441 | |||||||||
6,628 | |||||||||||
Semiconductors & Semiconductor Equipment 2.6% | |||||||||||
Applied Materials, Inc. | 112,700 | 1,960 | |||||||||
MEMC Electronic Materials, Inc. * | 12,500 | 444 | |||||||||
Micron Technology, Inc. * | 9,300 | 134 | |||||||||
Texas Instruments, Inc. | 68,500 | 2,067 | |||||||||
4,605 | |||||||||||
Software & Services 9.4% | |||||||||||
Amdocs Ltd. * | 35,100 | 1,360 | |||||||||
Autodesk, Inc. * | 22,000 | 809 | |||||||||
BEA Systems, Inc. * | 25,500 | 415 | |||||||||
BMC Software, Inc. (a)* | 146,500 | 4,440 | |||||||||
Cadence Design Systems, Inc. * | 41,000 | 732 | |||||||||
Electronic Data Systems Corp. | 29,000 | 735 | |||||||||
Global Payments, Inc. | 57,200 | 2,500 | |||||||||
Google, Inc., Class A * | 1,100 | 524 | |||||||||
Intuit, Inc. * | 115,000 | 4,060 | |||||||||
McAfee, Inc. * | 26,000 | 752 | |||||||||
Red Hat, Inc. * | 20,000 | 328 | |||||||||
16,655 | |||||||||||
Technology Hardware & Equipment 12.9% | |||||||||||
Avaya, Inc. * | 46,500 | 596 | |||||||||
Cisco Systems, Inc. * | 8,500 | 205 | |||||||||
Hewlett-Packard Co. | 217,800 | 8,438 | |||||||||
International Business Machines Corp. | 94,600 | 8,734 | |||||||||
Lexmark International, Inc., Class A * | 58,000 | 3,688 | |||||||||
Motorola, Inc. | 52,500 | 1,211 | |||||||||
22,872 | |||||||||||
Telecommunication Services 1.6% | |||||||||||
Citizens Communications Co. | 177,300 | 2,599 | |||||||||
Qwest Communications International, Inc. * | 15,900 | 137 | |||||||||
2,736 | |||||||||||
Transportation 0.5% | |||||||||||
AMR Corp. (a)* | 31,000 | 878 | |||||||||
Utilities 1.4% | |||||||||||
Edison International | 5,500 | 244 | |||||||||
TXU Corp. | 36,600 | 2,311 | |||||||||
2,555 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 5.2% of net assets | |||||||||||
Bank of America, London Time Deposit 4.71%, 11/01/06 | 3,390 | 3,390 | |||||||||
BBH, Grand Cayman Time Deposit 4.71%, 11/01/06 | 2,486 | 2,486 | |||||||||
Citibank, Nassau Time Deposit 4.71%, 11/01/06 | 3,390 | 3,390 | |||||||||
9,266 | |||||||||||
U.S. Treasury Obligations 0.1% of net assets | |||||||||||
U.S. Treasury Bill | |||||||||||
4.94%, 12/14/06 | 69 | 69 | |||||||||
5.01%, 12/14/06 | 55 | 55 | |||||||||
124 |
End of Investments.
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 2.5% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 4,371,465 | 4,371 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 35 | 2,421 | 5 |
* | Non-income producing security. |
(a) | All or portion of security is on loan. |
(b) | All or a portion of this security is held as collateral for futures contracts. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $4,216 (cost $166,783) | $ | 181,620 | |||||
Collateral invested for securities on loan | 4,371 | ||||||
Receivables: | |||||||
Investments sold | 1,832 | ||||||
Fund shares sold | 2,591 | ||||||
Dividends | 57 | ||||||
Due from brokers for futures | 13 | ||||||
Interest | 1 | ||||||
Prepaid expenses | + | 1 | |||||
Total assets | 190,486 | ||||||
Liabilities | |||||||
Collateral held for securities on loan | 4,371 | ||||||
Payables: | |||||||
Investments bought | 8,988 | ||||||
Investment adviser and administrator fees | 11 | ||||||
Transfer agent and shareholder services fees | 2 | ||||||
Fund shares redeemed | 216 | ||||||
Accrued expenses | + | 34 | |||||
Total liabilities | 13,622 | ||||||
Net Assets | |||||||
Total assets | 190,486 | ||||||
Total liabilities | –13,622 | ||||||
Net assets | $ | 176,864 | |||||
Net Assets by Source | |||||||
Capital received from investors | 164,762 | ||||||
Net investment income not yet distributed | 138 | ||||||
Net realized capital losses | (2,878 | ) | |||||
Net unrealized capital gains | 14,842 | ||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 69,981 | 6,323 | $ | 11.07 | |||||||||||||||||
Select Shares | $ | 106,883 | 9,639 | $ | 11.09 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 1,136 | |||||
Interest | 77 | ||||||
Securities on loan | + | 1 | |||||
Total Investment Income | 1,214 | ||||||
Net Realized Gains and Losses | |||||||
Net realized losses on investments | (2,707 | ) | |||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 16,025 | ||||||
Net unrealized gains on futures contracts | + | 5 | |||||
Net unrealized gains | 16,030 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 829 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 119 | ||||||
Select Shares | 47 | ||||||
Registration fees | 62 | ||||||
Professional fees | 34 | ||||||
Portfolio accounting fees | 24 | ||||||
Custodian fees | 8 | ||||||
Trustees’ fees | 5 | ||||||
Shareholder reports | 4 | ||||||
Other expenses | + | 7 | |||||
Total expenses | 1,139 | ||||||
Expense reduction by adviser and Schwab | –93 | ||||||
Net expenses | 1,046 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 1,214 | ||||||
Net expenses | –1,046 | ||||||
Net investment income | 168 | ||||||
Net realized losses | (2,707 | ) | |||||
Net unrealized gains | + | 16,030 | |||||
Increase in net assets from operations | $ | 13,491 |
Table of Contents
Operations |
11/1/05—10/31/06 | 10/3/05*—10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income or loss | $ | 168 | $ | (21 | ) | ||||||
Net realized losses | (2,707 | ) | (171 | ) | |||||||
Net unrealized gains or losses | + | 16,030 | (1,188 | ) | |||||||
Increase or decrease in net assets from operations | 13,491 | (1,380 | ) | ||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 7 | — | |||||||||
Select Shares | + | 23 | — | ||||||||
Total dividends from net investment income | $ | 30 | $ | — |
Transactions in Fund Shares |
11/1/05—10/31/06 | 10/3/05*—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 5,260 | $ | 54,737 | 2,636 | $ | 26,231 | |||||||||||||
Select Shares | + | 7,872 | 83,122 | 3,385 | 33,718 | ||||||||||||||
Total shares sold | 13,132 | $ | 137,859 | 6,021 | $ | 59,949 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 1 | $ | 7 | — | $ | — | |||||||||||||
Select Shares | + | 2 | 18 | — | — | ||||||||||||||
Total shares reinvested | 3 | $ | 25 | — | $ | — | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (1,554 | ) | $ | (16,061 | ) | (20 | ) | $ | (188 | ) | |||||||||
Select Shares | + | (1,620 | ) | (16,801 | ) | — | — | ||||||||||||
Total shares redeemed | (3,174 | ) | $ | (32,862 | ) | (20 | ) | $ | (188 | ) | |||||||||
Net transactions in fund shares | 9,961 | $ | 105,022 | 6,001 | $ | 59,761 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05—10/31/06 | 10/3/05*—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 6,001 | $ | 58,381 | — | $ | — | |||||||||||||
Total increase | + | 9,961 | 118,483 | 6,001 | 58,381 | ||||||||||||||
End of period | 15,962 | $ | 176,864 | 6,001 | $ | 58,381 | |||||||||||||
Net investment income not yet distributed | $ | 138 | $ | — |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 7/1/031— 10/31/03 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 15.72 | 14.13 | 11.81 | 10.00 | |||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | (0.05 | ) | 0.01 | (0.04 | ) | (0.02 | ) | ||||||||||||||||
Net realized and unrealized gains | 2.48 | 3.12 | 2.58 | 1.83 | |||||||||||||||||||
Total income from investment operations | 2.43 | 3.13 | 2.54 | 1.81 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.00 | )4 | — | — | — | ||||||||||||||||||
Distributions from net realized gains | (0.43 | ) | (1.54 | ) | (0.22 | ) | — | ||||||||||||||||
Total distributions | (0.43 | ) | (1.54 | ) | (0.22 | ) | — | ||||||||||||||||
Net asset value at end of period | 17.72 | 15.72 | 14.13 | 11.81 | |||||||||||||||||||
Total return (%) | 15.71 | 23.65 | 21.74 | 18.10 | 2 | ||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 1.29 | 1.28 | 1.30 | 1.30 | 3 | ||||||||||||||||||
Gross operating expenses | 1.29 | 1.38 | 1.61 | 1.73 | 3 | ||||||||||||||||||
Net investment income or loss | (0.39 | ) | 0.11 | (0.35 | ) | (0.54 | )3 | ||||||||||||||||
Portfolio turnover rate | 82 | 90 | 118 | 39 | 2 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 431 | 170 | 37 | 26 | |||||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 7/1/031— 10/31/03 | |||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 15.78 | 14.16 | 11.81 | 10.00 | |||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | (0.02 | ) | 0.00 | 4 | (0.02 | ) | (0.01 | ) | |||||||||||||||
Net realized and unrealized gains | 2.49 | 3.16 | 2.59 | 1.82 | |||||||||||||||||||
Total income from investment operations | 2.47 | 3.16 | 2.57 | 1.81 | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | — | — | — | ||||||||||||||||||
Distributions from net realized gains | (0.43 | ) | (1.54 | ) | (0.22 | ) | — | ||||||||||||||||
Total distributions | (0.45 | ) | (1.54 | ) | (0.22 | ) | — | ||||||||||||||||
Net asset value at end of period | 17.80 | 15.78 | 14.16 | 11.81 | |||||||||||||||||||
Total return (%) | 15.89 | 23.83 | 22.00 | 18.10 | 2 | ||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 1.12 | 1.11 | 1.12 | 1.12 | 3 | ||||||||||||||||||
Gross operating expenses | 1.14 | 1.23 | 1.46 | 1.58 | 3 | ||||||||||||||||||
Net investment income or loss | (0.21 | ) | 0.09 | (0.16 | ) | (0.36 | )3 | ||||||||||||||||
Portfolio turnover rate | 82 | 90 | 118 | 39 | 2 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 276 | 80 | 18 | 14 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | Annualized. |
4 | Per share amount was less than $0.01. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
97.7% | Common Stock | 612,475 | 690,020 | |||||||||||||
3.5% | Short-Term Investments | 24,562 | 24,562 | |||||||||||||
—% | U.S. Treasury Obligation | 353 | 353 | |||||||||||||
101.2% | Total Investments | 637,390 | 714,935 | |||||||||||||
10.9% | Collateral Invested for Securities on Loan | 77,196 | 77,196 | |||||||||||||
(12.1)% | Other Assets and Liabilities, Net | (85,589 | ) | |||||||||||||
100.0% | Total Net Assets | 706,542 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 97.7% of net assets | |||||||||||
Automobiles & Components 1.8% | |||||||||||
ArvinMeritor, Inc. (a) | 15,200 | 228 | |||||||||
TRW Automotive Holdings Corp. * | 232,600 | 5,966 | |||||||||
Winnebago Industries, Inc. | 204,200 | 6,798 | |||||||||
12,992 | |||||||||||
Banks 2.9% | |||||||||||
Bancfirst Corp. | 51,700 | 2,572 | |||||||||
BancorpSouth, Inc. | 183,200 | 4,681 | |||||||||
Bank of Hawaii Corp. (b) | 145,900 | 7,612 | |||||||||
First Financial Holdings, Inc. | 21,900 | 791 | |||||||||
Hancock Holding Co. | 18,600 | 954 | |||||||||
Whitney Holding Corp. | 117,000 | 3,821 | |||||||||
20,431 | |||||||||||
Capital Goods 13.9% | |||||||||||
Acuity Brands, Inc. | 229,800 | 11,384 | |||||||||
American Woodmark Corp. (a) | 221,100 | 8,179 | |||||||||
Belden CDT, Inc. | 64,300 | 2,328 | |||||||||
Crane Co. | 338,800 | 13,193 | |||||||||
EMCOR Group, Inc. * | 341,600 | 20,206 | |||||||||
Orbital Sciences Corp. * | 250,100 | 4,542 | |||||||||
Robbins & Myers, Inc. | 50,100 | 1,928 | |||||||||
Teleflex, Inc. | 334,800 | 20,825 | |||||||||
Thomas & Betts Corp. (b)* | 197,000 | 10,151 | |||||||||
Valmont Industries, Inc. | 100,600 | 5,613 | |||||||||
98,349 | |||||||||||
Commercial Services & Supplies 5.8% | |||||||||||
Administaff, Inc. | 101,350 | 3,492 | |||||||||
AMREP Corp. (a)* | 38,600 | 2,764 | |||||||||
CBIZ, Inc. (a)* | 622,100 | 4,380 | |||||||||
Consolidated Graphics, Inc. * | 194,950 | 12,120 | |||||||||
Ennis, Inc. | 61,100 | 1,403 | |||||||||
Heidrick & Struggles International, Inc. * | 211,200 | 8,632 | |||||||||
IKON Office Solutions, Inc. | 101,100 | 1,507 | |||||||||
Labor Ready, Inc. * | 127,900 | 2,240 | |||||||||
Spherion Corp. * | 362,600 | 2,629 | |||||||||
Steelcase, Inc., Class A | 45,100 | 747 | |||||||||
The Standard Register Co. | 101,800 | 1,377 | |||||||||
41,291 | |||||||||||
Consumer Durables & Apparel 4.6% | |||||||||||
Blyth, Inc. | 509,000 | 12,175 | |||||||||
Kellwood Co. (a) | 675,100 | 20,658 | |||||||||
32,833 | |||||||||||
Consumer Services 2.9% | |||||||||||
Career Education Corp. * | 150,000 | 3,342 | |||||||||
CPI Corp. (a) | 112,000 | 5,287 | |||||||||
DeVry, Inc. * | 73,700 | 1,795 | |||||||||
IHOP Corp. | 28,200 | 1,471 | |||||||||
Jack in the Box, Inc. * | 48,000 | 2,693 | |||||||||
Papa John’s International, Inc. * | 165,500 | 6,074 | |||||||||
20,662 | |||||||||||
Diversified Financials 1.5% | |||||||||||
Investment Technology Group, Inc. (b)* | 219,600 | 10,255 | |||||||||
Energy 4.6% | |||||||||||
Matrix Service Co. (a)* | 51,800 | 744 | |||||||||
Parker Drilling Co. * | 679,300 | 5,564 | |||||||||
Veritas DGC, Inc. * | 363,700 | 26,190 | |||||||||
32,498 | |||||||||||
Health Care Equipment & Services 11.9% | |||||||||||
Alliance Imaging, Inc. * | 108,500 | 918 | |||||||||
AMERIGROUP Corp. * | 187,000 | 5,603 | |||||||||
CorVel Corp. * | 109,900 | 4,753 | |||||||||
Magellan Health Services, Inc. * | 486,300 | 21,222 | |||||||||
MedCath Corp. * | 302,400 | 8,011 | |||||||||
Mentor Corp. (a) | 392,400 | 18,364 | |||||||||
Molina Healthcare, Inc. * | 108,500 | 4,257 | |||||||||
Sierra Health Services, Inc. (b)* | 535,700 | 18,342 | |||||||||
Zoll Medical Corp. * | 61,200 | 2,368 | |||||||||
83,838 | |||||||||||
Household & Personal Products 1.1% | |||||||||||
NBTY, Inc. * | 270,400 | 7,523 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Insurance 7.7% | |||||||||||
Alleghany Corp. * | 12,954 | 3,961 | |||||||||
American Financial Group, Inc. | 132,200 | 6,327 | |||||||||
American Physicians Capital, Inc. * | 51,900 | 2,839 | |||||||||
Argonaut Group, Inc. * | 51,300 | 1,745 | |||||||||
CNA Surety Corp. * | 16,600 | 338 | |||||||||
Crawford & Co., Class B | 44,000 | 334 | |||||||||
Delphi Financial Group, Inc., Class A (b) | 127,225 | 4,993 | |||||||||
FBL Financial Group, Inc., Class A | 25,800 | 912 | |||||||||
FPIC Insurance Group, Inc. * | 40,200 | 1,437 | |||||||||
Great American Financial Resources, Inc. | 53,000 | 1,225 | |||||||||
Harleysville Group, Inc. | 130,600 | 4,712 | |||||||||
LandAmerica Financial Group, Inc. | 19,000 | 1,199 | |||||||||
National Interstate Corp. | 25,100 | 707 | |||||||||
Nationwide Financial Services, Inc., Class A | 74,200 | 3,778 | |||||||||
Philadelphia Consolidated Holding Corp. * | 102,600 | 4,014 | |||||||||
ProAssurance Corp. * | 11,000 | 536 | |||||||||
Protective Life Corp. | 28,700 | 1,270 | |||||||||
Safety Insurance Group, Inc. | 177,000 | 8,852 | |||||||||
Selective Insurance Group, Inc. | 36,500 | 2,016 | |||||||||
StanCorp Financial Group, Inc. | 21,800 | 996 | |||||||||
State Auto Financial Corp. | 42,100 | 1,353 | |||||||||
Universal American Financial Corp. * | 58,000 | 1,078 | |||||||||
54,622 | |||||||||||
Materials 9.5% | |||||||||||
AK Steel Holding Corp. * | 332,500 | 4,964 | |||||||||
Albemarle Corp. | 4,000 | 260 | |||||||||
Carpenter Technology Corp. | 32,100 | 3,434 | |||||||||
FMC Corp. | 25,000 | 1,714 | |||||||||
Greif, Inc., Class A | 217,000 | 20,335 | |||||||||
H.B. Fuller Co. | 438,000 | 10,858 | |||||||||
Hercules, Inc. * | 252,300 | 4,592 | |||||||||
OM Group, Inc. * | 90,000 | 5,130 | |||||||||
Packaging Corp. of America | 64,500 | 1,482 | |||||||||
Silgan Holdings, Inc. | 185,200 | 7,662 | |||||||||
Spartech Corp. | 239,800 | 6,570 | |||||||||
67,001 | |||||||||||
Media 0.2% | |||||||||||
LodgeNet Entertainment Corp. * | 40,600 | 934 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 48,700 | 439 | |||||||||
1,373 | |||||||||||
Pharmaceuticals & Biotechnology 0.5% | |||||||||||
Bruker BioSciences Corp. * | 274,300 | 2,184 | |||||||||
Maxygen, Inc. * | 124,100 | 1,057 | |||||||||
3,241 | |||||||||||
Real Estate 0.1% | |||||||||||
Essex Property Trust, Inc. | 1,500 | 200 | |||||||||
Kilroy Realty Corp. | 2,000 | 151 | |||||||||
New Century Financial Corp. (a) | 3,000 | 118 | |||||||||
469 | |||||||||||
Retailing 4.8% | |||||||||||
Audiovox Corp., Class A * | 12,500 | 164 | |||||||||
Blockbuster, Inc., Class A (a)* | 205,900 | 807 | |||||||||
Payless Shoesource, Inc. (b)* | 338,100 | 9,044 | |||||||||
The Cato Corp., Class A | 14,450 | 331 | |||||||||
The Gymboree Corp. * | 65,200 | 3,029 | |||||||||
The Men’s Wearhouse, Inc. (a) | 455,600 | 18,156 | |||||||||
Wetseal, Inc., Class A (a)* | 421,800 | 2,632 | |||||||||
34,163 | |||||||||||
Semiconductors & Semiconductor Equipment 1.5% | |||||||||||
Agere Systems, Inc. * | 22,340 | 379 | |||||||||
Asyst Technologies, Inc. * | 246,300 | 1,830 | |||||||||
Atmel Corp. * | 67,000 | 385 | |||||||||
Cirrus Logic, Inc. * | 205,100 | 1,448 | |||||||||
Fairchild Semiconductor International, Inc. * | 202,200 | 3,258 | |||||||||
MKS Instruments, Inc. * | 134,500 | 2,912 | |||||||||
ON Semiconductor Corp. * | 5,800 | 36 | |||||||||
Zoran Corp. * | 19,900 | 277 | |||||||||
10,525 | |||||||||||
Software & Services 11.5% | |||||||||||
Advent Software, Inc. * | 19,000 | 703 | |||||||||
Ariba, Inc. * | 104,000 | 785 | |||||||||
Aspen Technology Inc * | 53,800 | 539 | |||||||||
Covansys Corp. * | 192,100 | 4,495 | |||||||||
CSG Systems International, Inc. * | 692,700 | 18,689 | |||||||||
Forrester Research, Inc. * | 228,200 | 7,172 | |||||||||
Global Payments, Inc. | 192,400 | 8,410 | |||||||||
Hyperion Solutions Corp. * | 28,900 | 1,081 | |||||||||
i2 Technologies, Inc. (a)* | 45,700 | 924 | |||||||||
Informatica Corp. * | 1,500 | 19 | |||||||||
Interwoven, Inc. * | 208,000 | 2,646 | |||||||||
Lightbridge, Inc. (b)* | 323,100 | 3,735 | |||||||||
SonicWALL, Inc. * | 312,700 | 3,283 | |||||||||
SPSS, Inc. * | 47,000 | 1,301 | |||||||||
Sybase, Inc. * | 444,400 | 10,821 | |||||||||
Sykes Enterprises, Inc. * | 579,200 | 11,752 | |||||||||
Synopsys, Inc. * | 185,500 | 4,176 | |||||||||
Tyler Technologies, Inc. * | 32,300 | 458 | |||||||||
80,989 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Technology Hardware & Equipment 7.6% | |||||||||||
AVX Corp. | 150,100 | 2,366 | |||||||||
Brocade Communications Systems, Inc. (b)* | 484,300 | 3,928 | |||||||||
Carrier Access Corp. * | 116,900 | 732 | |||||||||
Coherent, Inc. * | 338,100 | 10,897 | |||||||||
Emulex Corp. * | 51,000 | 959 | |||||||||
Imation Corp. | 149,200 | 6,829 | |||||||||
Littelfuse, Inc. * | 259,600 | 8,790 | |||||||||
Photon Dynamics, Inc. * | 25,200 | 299 | |||||||||
Planar Systems, Inc. * | 249,500 | 3,006 | |||||||||
Rofin-Sinar Technologies, Inc. * | 19,100 | 1,176 | |||||||||
Staktek Holdings, Inc. (a)* | 475,700 | 2,902 | |||||||||
Tektronix, Inc. | 41,000 | 1,245 | |||||||||
UTStarcom, Inc. (a)* | 950,000 | 10,231 | |||||||||
53,360 | |||||||||||
Telecommunication Services 1.2% | |||||||||||
Broadwing Corp. * | 361,900 | 5,421 | |||||||||
CT Communications, Inc. | 136,700 | 3,187 | |||||||||
8,608 | |||||||||||
Transportation 1.4% | |||||||||||
AMR Corp. (a)* | 111,700 | 3,166 | |||||||||
Continental Airlines, Inc., Class B (a)* | 126,800 | 4,676 | |||||||||
Hub Group, Inc., Class A * | 88,600 | 2,406 | |||||||||
10,248 | |||||||||||
Utilities 0.7% | |||||||||||
Allete, Inc. | 105,300 | 4,749 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 3.5% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 8,332 | 8,332 | |||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 16,230 | 16,230 | |||||||||
24,562 | |||||||||||
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill | |||||||||||
4.81%, 12/14/06 | 85 | 85 | |||||||||
4.90%, 12/14/06 | 119 | 119 | |||||||||
4.91%, 12/14/06 | 149 | 149 | |||||||||
353 |
End of Investments.
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 10.9% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 77,195,782 | 77,196 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
Russell 2000 Index, Long expires 12/31/06 | 120 | 9,252 | 499 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $73,950 (cost $637,390) | $ | 714,935 | |||||
Collateral invested for securities on loan | 77,196 | ||||||
Receivables: | |||||||
Investments sold | 6,476 | ||||||
Fund shares sold | 6,601 | ||||||
Dividends | 326 | ||||||
Income from securities on loan | 19 | ||||||
Interest | 3 | ||||||
Prepaid expenses | + | 2 | |||||
Total assets | 805,558 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 77,196 | ||||||
Payables: | |||||||
Investments bought | 21,100 | ||||||
Investment adviser and administrator fees | 75 | ||||||
Transfer agent and shareholder service fees | 11 | ||||||
Fund shares redeemed | 530 | ||||||
Due to brokers for futures | 31 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 72 | |||||
Total liabilities | 99,016 | ||||||
Net Assets | |||||||
Total assets | 805,558 | ||||||
Total liabilities | –99,016 | ||||||
Net assets | $ | 706,542 | |||||
Net Assets by Source | |||||||
Capital received from investors | 625,075 | ||||||
Net realized capital gains | 3,423 | ||||||
Net unrealized capital gains | 78,044 |
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 431,020 | 24,331 | $ | 17.72 | * | ||||||||||||||||
Select Shares | $ | 275,522 | 15,475 | $ | 17.80 |
* | Due to rounding, net assets divided by shares outstanding does not equal the net asset value per share. |
Table of Contents
Investment Income | |||||||
Dividends | $ | 3,844 | |||||
Interest | 277 | ||||||
Securities on loan | + | 104 | |||||
Total investment income | 4,225 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 3,229 | ||||||
Net realized gains on futures contracts | + | 77 | |||||
Net realized gains | 3,306 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 56,893 | ||||||
Net unrealized gains on futures contracts | + | 610 | |||||
Net unrealized gains | 57,503 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 4,509 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 783 | ||||||
Select Shares | 151 | ||||||
Registration fees | 166 | ||||||
Portfolio accounting fees | 49 | ||||||
Custodian fees | 36 | ||||||
Professional fees | 34 | ||||||
Shareholder reports | 32 | ||||||
Trustees’ fees | 9 | ||||||
Overdraft expense | 6 | ||||||
Other expenses | + | 11 | |||||
Total expenses | 5,786 | ||||||
Expense reduction by adviser and Schwab | –38 | ||||||
Net expenses | 5,748 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 4,225 | ||||||
Net expenses | –5,748 | ||||||
Net investment loss | (1,523 | ) | |||||
Net realized gains | 3,306 | ||||||
Net unrealized gains | + | 57,503 | |||||
Increase in net assets from operations | $ | 59,286 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income or loss | $ | (1,523 | ) | $ | 135 | ||||||
Net realized gains | 3,306 | 8,242 | |||||||||
Net unrealized gains | + | 57,503 | 13,859 | ||||||||
Increase in net assets from operations | 59,286 | 22,236 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 27 | — | |||||||||
Select Shares | + | 109 | — | ||||||||
Total dividends from net investment income | 136 | — | |||||||||
Distribution from net realized gains | |||||||||||
Investor Shares | 5,522 | 4,802 | |||||||||
Select Shares | + | 2,565 | 2,252 | ||||||||
Total distribution from net realized gains | 8,087 | 7,054 | |||||||||
Total Distributions | $ | 8,223 | $ | 7,054 | |||||||
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 18,715 | $ | 315,251 | 9,837 | $ | 146,160 | |||||||||||||
Select Shares | + | 13,258 | 225,539 | 4,714 | 71,745 | ||||||||||||||
Total shares sold | 31,973 | $ | 540,790 | 14,551 | $ | 217,905 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 308 | $ | 4,978 | 313 | $ | 4,324 | |||||||||||||
Select Shares | + | 142 | 2,297 | 118 | 1,635 | ||||||||||||||
Total shares reinvested | 450 | $ | 7,275 | 431 | $ | 5,959 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (5,534 | ) | $ | (92,761 | ) | (1,902 | ) | $ | (27,944 | ) | |||||||||
Select Shares | + | (3,006 | ) | (50,423 | ) | (1,055 | ) | (15,623 | ) | ||||||||||
Total shares redeemed | (8,540 | ) | $ | (143,184 | ) | (2,957 | ) | $ | (43,567 | ) | |||||||||
Net transactions in fund shares | 23,883 | $ | 404,881 | 12,025 | $ | 180,297 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 15,923 | $ | 250,598 | 3,898 | $ | 55,119 | |||||||||||||
Total increase | + | 23,883 | 455,944 | 12,025 | 195,479 | ||||||||||||||
End of period | 39,806 | $ | 706,542 | 15,923 | $ | 250,598 | |||||||||||||
Net investment income not yet distributed | $ | — | $ | 135 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 3/1/051— 10/31/05 | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 14.45 | 13.51 | |||||||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.06 | 0.03 | |||||||||||||||||||||
Net realized and unrealized gains | 1.74 | 0.91 | |||||||||||||||||||||
Total income from investment operations | 1.80 | 0.94 | |||||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | — | ||||||||||||||||||||
Distributions from net realized gains | (0.26 | ) | — | ||||||||||||||||||||
Total distributions | (0.30 | ) | — | ||||||||||||||||||||
Net asset value at end of period | 15.95 | 14.45 | |||||||||||||||||||||
Total return (%) | 12.71 | 6.96 | 2 | ||||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses (including dividend expense on short sales) | 2.11 | 2.32 | 3 | ||||||||||||||||||||
Net operating expenses (excluding dividend expense on short sales) | 1.99 | 4 | 2.05 | 3,4 | |||||||||||||||||||
Gross operating expenses | 2.12 | 2.35 | 3 | ||||||||||||||||||||
Net investment income | 0.58 | 0.56 | 3 | ||||||||||||||||||||
Portfolio turnover rate | 100 | 87 | 2 | ||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 207 | 33 | |||||||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 9/30/021— 10/31/02 | ||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 14.46 | 13.01 | 11.53 | 9.84 | 10.00 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or losses | 0.07 | 0.04 | (0.09 | ) | (0.09 | ) | (0.01 | ) | |||||||||||||||
Net realized and unrealized gains or losses | 1.76 | 2.05 | 1.57 | 1.78 | (0.15 | ) | |||||||||||||||||
Total income or loss from investment operations | 1.83 | 2.09 | 1.48 | 1.69 | (0.16 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | — | — | — | — | |||||||||||||||||
Distributions from net realized gains | (0.26 | ) | (0.64 | ) | — | — | — | ||||||||||||||||
Total distributions | (0.31 | ) | (0.64 | ) | — | — | — | ||||||||||||||||
Net asset value at end of period | 15.98 | 14.46 | 13.01 | 11.53 | 9.84 | ||||||||||||||||||
Total return (%) | 12.82 | 16.52 | 12.84 | 17.17 | (1.60 | )2 | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses (including dividend expenses on short sales) | 1.90 | 2.26 | 2.43 | 2.37 | 2.39 | 3 | |||||||||||||||||
Net operating expenses (excluding dividend expense on short sales) | 1.77 | 5 | 1.92 | 5 | 2.10 | 5 | 2.00 | 2.00 | 3 | ||||||||||||||
Gross operating expenses | 1.97 | 2.39 | 2.71 | 2.77 | 3.33 | 3 | |||||||||||||||||
Net investment income or loss | 0.77 | 0.55 | (0.86 | ) | (0.90 | ) | (0.79 | )3 | |||||||||||||||
Portfolio turnover rate | 100 | 87 | 99 | 114 | 68 | 2 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 931 | 229 | 68 | 44 | 32 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | Annualized. |
4 | The ratio of net operating expenses would have been 2.00% and 1.98% for the periods ended 10/31/05 and 10/31/06, respectively, if interest expense had not been included. |
5 | The ratio of net operating expenses would have been 2.00%, 1.82% and 1.76% for the periods ended 10/31/04, 10/31/05 and 10/31/06, respectively, if interest expense had not been included. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.2 % | Common Stock | 996,939 | 1,128,584 | |||||||||||||
2.8% | Short-Term Investment | 32,139 | 32,139 | |||||||||||||
102.0% | Total Investments | 1,029,078 | 1,160,723 | |||||||||||||
(41.0)% | Short Sales | (455,082 | ) | (466,145 | ) | |||||||||||
39.0% | Other Assets and Liabilities, Net | 443,305 | ||||||||||||||
100.0% | Total Net Assets | 1,137,883 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.2% of net assets | |||||||||||
Automobiles & Components 1.0% | |||||||||||
TRW Automotive Holdings Corp. (a)* | 460,100 | 11,802 | |||||||||
Banks 1.8% | |||||||||||
BancorpSouth, Inc. (a) | 9,300 | 238 | |||||||||
Comerica, Inc. (a) | 45,800 | 2,665 | |||||||||
KeyCorp (a) | 381,500 | 14,169 | |||||||||
Radian Group, Inc. (a) | 64,300 | 3,427 | |||||||||
20,499 | |||||||||||
Capital Goods 11.4% | |||||||||||
Acuity Brands, Inc. (a) | 86,700 | 4,295 | |||||||||
Cooper Industries Ltd., Class A (a) | 7,000 | 626 | |||||||||
EMCOR Group, Inc. (a)* | 419,400 | 24,808 | |||||||||
Emerson Electric Co. (a) | 45,700 | 3,857 | |||||||||
Genlyte Group, Inc. (a)* | 17,000 | 1,313 | |||||||||
ITT Corp. (a) | 141,500 | 7,696 | |||||||||
Lockheed Martin Corp. (a) | 235,600 | 20,481 | |||||||||
Raytheon Co. (a) | 446,600 | 22,308 | |||||||||
Teleflex, Inc. (a) | 96,500 | 6,002 | |||||||||
The Boeing Co. (a) | 300,400 | 23,990 | |||||||||
Thomas & Betts Corp. (a)* | 281,300 | 14,495 | |||||||||
129,871 | |||||||||||
Commercial Services & Supplies 0.9% | |||||||||||
Consolidated Graphics, Inc. (a)* | 58,400 | 3,631 | |||||||||
Waste Management, Inc. (a) | 173,600 | 6,506 | |||||||||
10,137 | |||||||||||
Consumer Durables & Apparel 5.3% | |||||||||||
Blyth, Inc. | 141,800 | 3,392 | |||||||||
Hasbro, Inc. | 468,700 | 12,149 | |||||||||
Kellwood Co. (a) | 124,500 | 3,810 | |||||||||
Mattel, Inc. (a) | 209,600 | 4,743 | |||||||||
Newell Rubbermaid, Inc. (a) | 862,400 | 24,820 | |||||||||
Polo Ralph Lauren Corp. (a) | 128,000 | 9,088 | |||||||||
Snap-On, Inc. | 43,600 | 2,050 | |||||||||
60,052 | |||||||||||
Consumer Services 1.8% | |||||||||||
International Game Technology (a) | 222,600 | 9,463 | |||||||||
Jack in the Box, Inc. (a)* | �� | 20,700 | 1,161 | ||||||||
Papa John’s International, Inc. (a)* | 280,000 | 10,276 | |||||||||
20,900 | |||||||||||
Diversified Financials 4.6% | |||||||||||
American Express Co. (a) | 58,600 | 3,388 | |||||||||
Ameriprise Financial, Inc. (a) | 10,000 | 515 | |||||||||
Bank of America Corp. (a) | 247,000 | 13,306 | |||||||||
Franklin Resources, Inc. (a) | 147,200 | 16,775 | |||||||||
Investment Technology Group, Inc. (a)* | 142,900 | 6,673 | |||||||||
JPMorgan Chase & Co. (a) | 39,700 | 1,883 | |||||||||
Mellon Financial Corp. (a) | 151,300 | 5,870 | |||||||||
Northern Trust Corp. (a) | 64,300 | 3,776 | |||||||||
52,186 | |||||||||||
Energy 5.7% | |||||||||||
Exxon Mobil Corp. (a) | 405,800 | 28,982 | |||||||||
Grant Prideco, Inc. (a)* | 82,300 | 3,109 | |||||||||
Pride International, Inc. (a)* | 156,400 | 4,318 | |||||||||
SEACOR Holdings, Inc. (a)* | 43,700 | 3,910 | |||||||||
Veritas DGC, Inc. (a)* | 344,800 | 24,829 | |||||||||
65,148 | |||||||||||
Food, Beverage & Tobacco 5.4% | |||||||||||
Anheuser-Busch Cos., Inc. (a) | 94,800 | 4,495 | |||||||||
ConAgra Foods, Inc. | 1,079,400 | 28,226 | |||||||||
General Mills, Inc. (a) | 250,900 | 14,256 | |||||||||
H.J. Heinz Co. (a) | 79,500 | 3,352 | |||||||||
Reynolds American, Inc. | 16,300 | 1,030 | |||||||||
The Coca-Cola Co. (a) | 124,100 | 5,798 | |||||||||
The J.M. Smucker Co. (a) | 76,200 | 3,734 | |||||||||
60,891 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Health Care Equipment & Services 10.0% | |||||||||||
Aetna, Inc. (a) | 51,500 | 2,123 | |||||||||
AMERIGROUP Corp. (a)* | 14,100 | 422 | |||||||||
AmerisourceBergen Corp. (a) | 465,100 | 21,953 | |||||||||
Baxter International, Inc. (a) | 98,600 | 4,533 | |||||||||
Becton Dickinson & Co. (a) | 294,700 | 20,638 | |||||||||
CIGNA Corp. (a) | 19,900 | 2,328 | |||||||||
Humana, Inc. (a)* | 146,200 | 8,772 | |||||||||
IMS Health, Inc. (a) | 46,900 | 1,306 | |||||||||
Magellan Health Services, Inc. (a)* | 413,300 | 18,036 | |||||||||
McKesson Corp. (a) | 474,200 | 23,753 | |||||||||
Mentor Corp. (a) | 65,500 | 3,065 | |||||||||
Sierra Health Services, Inc. (a)* | 75,100 | 2,571 | |||||||||
WellPoint, Inc. (a)* | 52,445 | 4,003 | |||||||||
113,503 | |||||||||||
Insurance 8.7% | |||||||||||
American Financial Group, Inc. (a) | 52,500 | 2,513 | |||||||||
AON Corp. (a) | 537,900 | 18,713 | |||||||||
Genworth Financial, Inc., Class A (a) | 27,600 | 923 | |||||||||
Harleysville Group, Inc. (a) | 15,200 | 548 | |||||||||
HCC Insurance Holdings, Inc. (a) | 62,800 | 2,114 | |||||||||
Hilb, Rogal & Hobbs Co. | 15,000 | 599 | |||||||||
Loews Corp. (a) | 630,000 | 24,520 | |||||||||
MetLife, Inc. (a) | 74,700 | 4,268 | |||||||||
Nationwide Financial Services, Inc., Class A (a) | 105,800 | 5,387 | |||||||||
Philadelphia Consolidated Holding Corp. (a)* | 5,100 | 199 | |||||||||
Principal Financial Group, Inc. (a) | 515,100 | 29,098 | |||||||||
Protective Life Corp. (a) | 22,300 | 987 | |||||||||
SAFECO Corp. (a) | 1,700 | 99 | |||||||||
The Chubb Corp. (a) | 14,200 | 755 | |||||||||
W. R. Berkley Corp. (a) | 221,512 | 8,165 | |||||||||
98,888 | |||||||||||
Materials 6.2% | |||||||||||
Greif, Inc., Class A (a) | 109,500 | 10,261 | |||||||||
H.B. Fuller Co. (a) | 198,300 | 4,916 | |||||||||
International Paper Co. (a) | 251,800 | 8,398 | |||||||||
Nucor Corp. (a) | 285,200 | 16,659 | |||||||||
Pactiv Corp. (a)* | 324,000 | 9,992 | |||||||||
PPG Industries, Inc. (a) | 53,100 | 3,632 | |||||||||
Rohm & Haas Co. (a) | 238,500 | 12,359 | |||||||||
Sonoco Products Co. | 39,300 | 1,394 | |||||||||
The Lubrizol Corp. | 61,700 | 2,776 | |||||||||
70,387 | |||||||||||
Media 3.6% | |||||||||||
CBS Corp., Class B | 152,600 | 4,416 | |||||||||
The DIRECTV Group, Inc. (a)* | 501,300 | 11,169 | |||||||||
The McGraw-Hill Cos., Inc. (a) | 348,400 | 22,357 | |||||||||
The Walt Disney Co. (a) | 29,300 | 922 | |||||||||
Warner Music Group Corp. (a) | 101,400 | 2,629 | |||||||||
41,493 | |||||||||||
Pharmaceuticals & Biotechnology 5.1% | |||||||||||
Applied Biosystems Group —Applera Corp. (a) | 767,500 | 28,628 | |||||||||
Biogen Idec, Inc. (a)* | 32,900 | 1,566 | |||||||||
Forest Laboratories, Inc. (a)* | 30,200 | 1,478 | |||||||||
King Pharmaceuticals, Inc. (a)* | 798,500 | 13,359 | |||||||||
Merck & Co., Inc. (a) | 163,400 | 7,422 | |||||||||
Pfizer, Inc. (a) | 145,900 | 3,888 | |||||||||
Watson Pharmaceuticals, Inc. (a)* | 50,700 | 1,364 | |||||||||
57,705 | |||||||||||
Retailing 7.4% | |||||||||||
American Eagle Outfitters, Inc. (a) | 360,100 | 16,492 | |||||||||
AnnTaylor Stores Corp. * | 190,500 | 8,386 | |||||||||
Big Lots, Inc. * | 100,900 | 2,127 | |||||||||
Blockbuster, Inc., Class A * | 190,300 | 746 | |||||||||
J.C. Penney Co., Inc. (a) | 72,400 | 5,447 | |||||||||
Office Depot, Inc. (a)* | 362,900 | 15,238 | |||||||||
OfficeMax, Inc. | 14,600 | 695 | |||||||||
Payless Shoesource, Inc. (a)* | 804,400 | 21,518 | |||||||||
Sears Holdings Corp. (a)* | 79,700 | 13,905 | |||||||||
84,554 | |||||||||||
Semiconductors & Semiconductor Equipment 0.2% | |||||||||||
Agere Systems, Inc. (a)* | 16,570 | 281 | |||||||||
Integrated Device Technology, Inc. * | 128,800 | 2,042 | |||||||||
Texas Instruments, Inc. (a) | 9,900 | 299 | |||||||||
2,622 | |||||||||||
Software & Services 5.6% | |||||||||||
BEA Systems, Inc. (a)* | 24,000 | 390 | |||||||||
BMC Software, Inc. (a)* | 298,100 | 9,035 | |||||||||
Cadence Design Systems, Inc. (a)* | 335,700 | 5,996 | |||||||||
Ceridian Corp. (a)* | 35,300 | 832 | |||||||||
Electronic Data Systems Corp. (a) | 85,700 | 2,171 | |||||||||
Global Payments, Inc. (a) | 383,800 | 16,776 | |||||||||
Intuit, Inc. * | 21,200 | 748 | |||||||||
McAfee, Inc. (a)* | 322,600 | 9,333 | |||||||||
Sybase, Inc. (a)* | 127,300 | 3,100 | |||||||||
Synopsys, Inc. (a)* | 668,800 | 15,055 | |||||||||
63,436 | |||||||||||
Technology Hardware & Equipment 6.8% | |||||||||||
Agilent Technologies, Inc. (a)* | 33,100 | 1,178 | |||||||||
AVX Corp. (a) | 97,800 | 1,541 | |||||||||
Coherent, Inc. (a)* | 43,600 | 1,405 | |||||||||
Hewlett-Packard Co. (a) | 333,100 | 12,904 | |||||||||
Imation Corp. (a) | 111,000 | 5,081 | |||||||||
Lexmark International, Inc., Class A (a)* | 422,900 | 26,892 | |||||||||
Littelfuse, Inc. * | 10,300 | 349 | |||||||||
Motorola, Inc. (a) | 320,200 | 7,384 | |||||||||
UTStarcom, Inc. (a)* | 1,878,800 | 20,235 | |||||||||
76,969 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Telecommunication Services 1.5% | |||||||||||
ALLTEL Corp. | 12,000 | 640 | |||||||||
CenturyTel, Inc. (a) | 35,800 | 1,441 | |||||||||
Citizens Communications Co. (a) | 841,300 | 12,333 | |||||||||
Qwest Communications International, Inc. (a)* | 298,900 | 2,579 | |||||||||
16,993 | |||||||||||
Transportation 2.4% | |||||||||||
Continental Airlines, Inc., Class B (a)* | 288,200 | 10,629 | |||||||||
US Airways Group, Inc. (a)* | 341,800 | 17,042 | |||||||||
27,671 | |||||||||||
Utilities 3.8% | |||||||||||
Allegheny Energy, Inc. (a)* | 54,600 | 2,350 | |||||||||
Alliant Energy Corp. (a) | 93,800 | 3,597 | |||||||||
Dynegy, Inc., Class A (a)* | 659,400 | 4,009 | |||||||||
FirstEnergy Corp. (a) | 203,900 | 12,000 | |||||||||
TXU Corp. (a) | 331,400 | 20,921 | |||||||||
42,877 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 2.8% of net assets | |||||||||||
Repurchase Agreement 2.8% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $32,143 (fully collateralized by Federal National Mortgage Association with a value of $33,182.) 4.80%, 11/01/06 | 32,139 | 32,139 |
End of Investments.
* | Non-income producing security. |
(a) | All or a portion of this security is held as collateral for short sales. |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short Sales 41.0% of net assets | |||||||||||
Automobiles & Components 0.1% | |||||||||||
American Axle & Manufacturing Holdings, Inc. | 48,300 | 906 | |||||||||
Capital Goods 2.9% | |||||||||||
Briggs & Stratton Corp. | 87,000 | 2,218 | |||||||||
DRS Technologies, Inc. | 16,300 | 721 | |||||||||
Energy Conversion Devices, Inc. * | 372,600 | 13,708 | |||||||||
Hexcel Corp. * | 922,700 | 14,938 | |||||||||
Watsco, Inc. | 19,100 | 951 | |||||||||
32,536 | |||||||||||
Commercial Services & Supplies 0.5% | |||||||||||
Acco Brands Corp. * | 241,400 | 5,866 | |||||||||
Consumer Durables & Apparel 4.1% | |||||||||||
Hovnanian Enterprises, Inc., Class A * | 421,200 | 12,994 | |||||||||
M.D.C. Holdings, Inc. | 41,500 | 2,069 | |||||||||
Meritage Homes Corp. * | 60,200 | 2,756 | |||||||||
Polaris Industries, Inc. | 113,200 | 4,847 | |||||||||
Pulte Homes, Inc. | 114,200 | 3,539 | |||||||||
Quiksilver, Inc. * | 944,600 | 13,177 | |||||||||
Standard Pacific Corp. | 272,300 | 6,598 | |||||||||
45,980 | |||||||||||
Consumer Services 3.0% | |||||||||||
OSI Restaurant Partners, Inc. | 299,400 | 9,961 | |||||||||
Red Robin Gourmet Burgers, Inc. * | 4,700 | 227 | |||||||||
Scientific Games Corp., Class A * | 100,100 | 2,806 | |||||||||
Station Casinos, Inc. | 104,600 | 6,307 | |||||||||
Texas Roadhouse, Inc., Class A * | 238,900 | 3,452 | |||||||||
Wynn Resorts Ltd. * | 147,000 | 10,810 | |||||||||
33,563 | |||||||||||
Energy 2.9% | |||||||||||
Alpha Natural Resources, Inc. * | 494,600 | 7,869 | |||||||||
ATP Oil & Gas Corp. * | 77,900 | 3,349 | |||||||||
CARBO Ceramics, Inc. | 21,300 | 718 | |||||||||
Crosstex Energy, Inc. | 57,400 | 5,509 | |||||||||
Delta Petroleum Corp. * | 343,100 | 8,818 | |||||||||
Evergreen Energy, Inc. * | 61,500 | 790 | |||||||||
Petrohawk Energy Corp. * | 127,900 | 1,449 | |||||||||
Quicksilver Resources, Inc. * | 48,300 | 1,656 | |||||||||
Rowan Cos., Inc. | 18,200 | 607 | |||||||||
Syntroleum Corp. * | 91,400 | 360 | |||||||||
TETRA Technologies, Inc. * | 83,500 | 2,163 | |||||||||
33,288 | |||||||||||
Food & Staples Retailing 0.3% | |||||||||||
United Natural Foods, Inc. * | 108,622 | 3,791 | |||||||||
Food, Beverage & Tobacco 1.8% | |||||||||||
Hansen Natural Corp. * | 309,000 | 9,811 | |||||||||
Sanderson Farms, Inc. | 15,900 | 422 | |||||||||
Wm. Wrigley Jr. Co. | 196,600 | 10,213 | |||||||||
20,446 | |||||||||||
Health Care Equipment & Services 3.7% | |||||||||||
Brookdale Senior Living, Inc. | 65,700 | 3,162 | |||||||||
Conor Medsystems, Inc. * | 612,700 | 15,048 | |||||||||
Omnicare, Inc. | 257,100 | 9,739 | |||||||||
St. Jude Medical, Inc. * | 28,600 | 982 | |||||||||
The Cooper Cos., Inc. | 230,600 | 13,289 | |||||||||
42,220 | |||||||||||
Household & Personal Products 0.2% | |||||||||||
Central Garden & Pet Co. * | 51,900 | 2,593 | |||||||||
Insurance 0.3% | |||||||||||
American Equity Investment Life Holding Co. | 135,700 | 1,732 | |||||||||
National Financial Partners Corp. | 47,700 | 1,879 | |||||||||
3,611 | |||||||||||
Materials 1.9% | |||||||||||
Century Aluminum Co. * | 161,900 | 6,301 | |||||||||
Coeur d’Alene Mines Corp. * | 1,757,800 | 8,613 | |||||||||
RTI International Metals, Inc. * | 112,700 | 6,911 | |||||||||
21,825 | |||||||||||
Media 0.8% | |||||||||||
Viacom, Inc., Class B * | 244,600 | 9,520 | |||||||||
Pharmaceuticals & Biotechnology 2.8% | |||||||||||
Adams Respiratory Therapeutics, Inc. * | 127,800 | 5,508 | |||||||||
Affymetrix, Inc. * | 615,900 | 15,706 | |||||||||
Alexion Pharmaceuticals, Inc. * | 53,000 | 1,980 | |||||||||
Amylin Pharmaceuticals, Inc. * | 79,100 | 3,477 | |||||||||
MannKind Corp. * | 3,900 | 79 | |||||||||
Par Pharmaceutical Cos., Inc. * | 270,700 | 5,276 | |||||||||
32,026 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Real Estate 0.8% | |||||||||||
The St. Joe Co. | 66,200 | 3,560 | |||||||||
Trammell Crow Co. * | 110,500 | 5,387 | |||||||||
8,947 | |||||||||||
Retailing 5.7% | |||||||||||
Borders Group, Inc. | 171,600 | 3,533 | |||||||||
Chico’s FAS, Inc. * | 20,000 | 479 | |||||||||
GameStop Corp., Class A * | 270,400 | 13,807 | |||||||||
GSI Commerce, Inc. * | 421,800 | 7,605 | |||||||||
Guitar Center, Inc. * | 64,400 | 2,793 | |||||||||
O’Reilly Automotive, Inc. * | 57,900 | 1,869 | |||||||||
Pacific Sunwear of California, Inc. * | 862,600 | 15,199 | |||||||||
Pier 1 Imports, Inc. | 197,700 | 1,293 | |||||||||
Tuesday Morning Corp. | 7,800 | 129 | |||||||||
Urban Outfitters, Inc. * | 825,100 | 14,439 | |||||||||
Zumiez, Inc. * | 97,500 | 3,204 | |||||||||
64,350 | |||||||||||
Semiconductors & Semiconductor Equipment 0.1% | |||||||||||
Tessera Technologies, Inc. * | 38,400 | 1,341 | |||||||||
Software & Services 3.4% | |||||||||||
eFunds Corp. * | 33,700 | 836 | |||||||||
Equinix, Inc. * | 290,600 | 19,877 | |||||||||
Heartland Payment Systems, Inc. | 12,700 | 339 | |||||||||
Kanbay International, Inc. * | 55,300 | 1,571 | |||||||||
Opsware, Inc. * | 1,003,600 | 9,123 | |||||||||
Take-Two Interactive Software, Inc. * | 331,100 | 4,632 | |||||||||
Wright Express Corp. * | 90,700 | 2,482 | |||||||||
38,860 | |||||||||||
Technology Hardware & Equipment 0.9% | |||||||||||
Daktronics, Inc. | 64,100 | 1,520 | |||||||||
Multi-Fineline Electronix, Inc. * | 57,900 | 1,398 | |||||||||
Plantronics, Inc. | 97,300 | 2,054 | |||||||||
Powerwave Technologies, Inc. * | �� | 865,400 | 5,634 | ||||||||
10,606 | |||||||||||
Telecommunication Services 1.3% | |||||||||||
NII Holdings, Inc. * | 232,900 | 15,146 | |||||||||
Transportation 1.2% | |||||||||||
AirTran Holdings, Inc. * | 316,000 | 3,150 | |||||||||
Genesee & Wyoming, Inc. * | 9,900 | 278 | |||||||||
Werner Enterprises, Inc. | 519,500 | 9,533 | |||||||||
12,961 | |||||||||||
Utilities 2.3% | |||||||||||
Consolidated Edison, Inc. | 237,200 | 11,469 | |||||||||
Equitable Resources, Inc. | 325,700 | 13,197 | |||||||||
Piedmont Natural Gas Co., Inc. | 34,200 | 924 | |||||||||
South Jersey Industries, Inc. | 5,600 | 173 | |||||||||
25,763 |
End of Short Sale Positions.
* | Non-income producing security. |
Table of Contents
Assets | |||||||
Investments, at value (cost $1,029,078) | $ | 1,160,723 | |||||
Deposits with broker for short sales | 428,404 | ||||||
Receivables: | |||||||
Investments sold | 49,278 | ||||||
Fund shares sold | 7,891 | ||||||
Dividends | 818 | ||||||
Interest | 59 | ||||||
Prepaid expenses | + | 4 | |||||
Total assets | 1,647,177 | ||||||
Liabilities | |||||||
Securities sold short, at value (proceeds $455,082) | 466,145 | ||||||
Payables: | |||||||
Investments bought | 42,424 | ||||||
Investment adviser and administrator fees | 142 | ||||||
Transfer agent and shareholder services fees | 9 | ||||||
Fund shares redeemed | 431 | ||||||
Dividends on short sales | 84 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 58 | |||||
Total liabilities | 509,294 | ||||||
Net Assets | |||||||
Total assets | 1,647,177 | ||||||
Total liabilities | –509,294 | ||||||
Net assets | $ | 1,137,883 | |||||
Net Assets by Source | |||||||
Capital received from investors | 1,035,573 | ||||||
Net investment income not yet distributed | 4,267 | ||||||
Net realized capital losses | (22,539 | ) | |||||
Net unrealized capital gains | 120,582 | ||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 207,174 | 12,985 | $ | 15.95 | |||||||||||||||||
Select Shares | $ | 930,709 | 58,228 | $ | 15.98 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 7,889 | |||||
Interest | + | 10,315 | |||||
Total investment income | 18,204 | ||||||
Net Realized Gains and Losses | |||||||
Net realized losses on investments | (22,810 | ) | |||||
Net realized gains on futures contracts | + | 336 | |||||
Net realized losses | (22,474 | ) | |||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 116,907 | ||||||
Net unrealized losses on short sales | + | (14,684 | ) | ||||
Net unrealized gains | 102,223 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 11,335 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 269 | ||||||
Select Shares | 585 | ||||||
Registration fees | 247 | ||||||
Custodian fees | 89 | ||||||
Interest expense | 60 | ||||||
Portfolio accounting fees | 47 | ||||||
Professional fees | 45 | ||||||
Overdraft expense | 35 | ||||||
Shareholder reports | 29 | ||||||
Trustees’ fees | 10 | ||||||
Dividends on short sales | + | 832 | |||||
Other expenses | + | 10 | |||||
Total expenses | 13,593 | ||||||
Expense reduction by adviser and Schwab | –355 | ||||||
Custody credit | –69 | ||||||
Net expenses | 13,169 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 18,204 | ||||||
Net expenses | –13,169 | ||||||
Net investment income | 5,035 | ||||||
Net realized losses | (22,474 | ) | |||||
Net unrealized gains | + | 102,223 | |||||
Increase in net assets from operations | $ | 84,784 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 5,035 | $ | 743 | |||||||
Net realized gains or losses | (22,474 | ) | 7,920 | ||||||||
Net unrealized gains | + | 102,223 | 9,230 | ||||||||
Increase in net assets from operations | 84,784 | 17,893 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 185 | — | |||||||||
Select Shares | + | 1,326 | — | ||||||||
Total dividends from net investment income | 1,511 | — | |||||||||
Distributions from net realized gains | |||||||||||
Investor Shares | 1,058 | — | |||||||||
Select Shares | + | 6,701 | 3,789 | ||||||||
Total distributions from net realized gains | 7,759 | 3,789 | |||||||||
Total distributions | $ | 9,270 | $ | 3,789 | |||||||
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 14,290 | $ | 215,250 | 2,530 | $ | 35,429 | |||||||||||||
Select Shares | + | 54,075 | 813,417 | 11,743 | 163,791 | ||||||||||||||
Total shares sold | 68,365 | $ | 1,028,667 | 14,273 | $ | 199,220 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 75 | $ | 1,100 | — | $ | — | |||||||||||||
Select Shares | + | 475 | 6,957 | 255 | 3,389 | ||||||||||||||
Total shares reinvested | 550 | $ | 8,057 | 255 | $ | 3,389 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (3,696 | ) | $ | (55,379 | ) | (214 | ) | $ | (3,027 | ) | |||||||||
Select Shares | + | (12,150 | ) | (181,325 | ) | (1,421 | ) | (19,628 | ) | ||||||||||
Total shares redeemed | (15,846 | ) | $ | (236,704 | ) | (1,635 | ) | $ | (22,655 | ) | |||||||||
Net transactions in fund shares | 53,069 | $ | 800,020 | 12,893 | $ | 179,954 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 18,144 | $ | 262,349 | 5,251 | $ | 68,291 | |||||||||||||
Total increase | + | 53,069 | 875,534 | 12,893 | 194,058 | ||||||||||||||
End of period | 71,213 | $ | 1,137,883 | 18,144 | $ | 262,349 | |||||||||||||
Net investment income not yet distributed | $ | 4,267 | $ | 743 |
Table of Contents
11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 14.42 | 13.12 | 11.77 | 9.44 | 9.75 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.10 | 0.12 | 0.08 | 0.11 | 0.12 | ||||||||||||||||||
Net realized and unrealized gains or losses | 1.98 | 2.21 | 1.37 | 2.37 | (0.28 | ) | |||||||||||||||||
Total income or loss from investment operations | 2.08 | 2.33 | 1.45 | 2.48 | (0.16 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.11 | ) | (0.09 | ) | (0.10 | ) | (0.15 | ) | (0.09 | ) | |||||||||||||
Distributions from net reallized gains | (0.64 | ) | (0.94 | ) | — | — | (0.06 | ) | |||||||||||||||
Total distributions | (0.75 | ) | (1.03 | ) | (0.10 | ) | (0.15 | ) | (0.15 | ) | |||||||||||||
Net asset value at end of period | 15.75 | 14.42 | 13.12 | 11.77 | 9.44 | ||||||||||||||||||
Total return (%) | 14.85 | 18.62 | 12.39 | 26.68 | (1.78 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.98 | 1.07 | 1.05 | 1.04 | 1 | 0.89 | |||||||||||||||||
Gross operating expenses | 0.98 | 1.15 | 1.25 | 1.49 | 1.32 | ||||||||||||||||||
Net investment income | 0.87 | 1.01 | 0.62 | 1.05 | 1.20 | ||||||||||||||||||
Portfolio turnover rate | 57 | 74 | 85 | 181 | 131 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 95 | 29 | 20 | 18 | 17 |
1 The ratio of net operating expenses would have been 1.03% if interest expense had not been included.
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.4% | Common Stock | 84,964 | 94,722 | |||||||||||||
0.9% | Short-Term Investment | 835 | 835 | |||||||||||||
0.1% | U.S. Government Security | 90 | 90 | |||||||||||||
100.4% | Total Investments | 85,889 | 95,647 | |||||||||||||
1.4% | Collateral Invested for Securities on Loan | 1,323 | 1,323 | |||||||||||||
(1.8)% | Other Assets and Liabilities, Net | (1,713 | ) | |||||||||||||
100.0% | Total Net Assets | 95,257 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 99.4% of net assets | |||||||||||
Banks 24.2% | |||||||||||
1st Source Corp. | 11,000 | 347 | |||||||||
BancFirst Corp. | 4,000 | 199 | |||||||||
BancorpSouth, Inc. | 9,400 | 240 | |||||||||
Bank of Hawaii Corp. | 52,300 | 2,729 | |||||||||
Comerica, Inc. | 77,100 | 4,487 | |||||||||
Commerce Bancshares, Inc. | 46,360 | 2,295 | |||||||||
KeyCorp | 93,900 | 3,487 | |||||||||
PNC Financial Services Group, Inc. | 48,700 | 3,411 | |||||||||
Radian Group, Inc. | 72,200 | 3,848 | |||||||||
Regions Financial Corp. (a) | 22,500 | 854 | |||||||||
Whitney Holding Corp. | 34,700 | 1,133 | |||||||||
23,030 | |||||||||||
Diversified Financials 44.9% | |||||||||||
A.G. Edwards, Inc. | 32,100 | 1,831 | |||||||||
American Express Co. | 81,500 | 4,711 | |||||||||
AmeriCredit Corp. * | 84,700 | 2,166 | |||||||||
Ameriprise Financial, Inc. | 55,400 | 2,853 | |||||||||
Bank of America Corp. | 86,200 | 4,644 | |||||||||
CIT Group, Inc. | 23,800 | 1,239 | |||||||||
Franklin Resources, Inc. | 42,900 | 4,889 | |||||||||
Investment Technology Group, Inc. * | 48,500 | 2,265 | |||||||||
JPMorgan Chase & Co. | 97,600 | 4,630 | |||||||||
Mellon Financial Corp. | 117,500 | 4,559 | |||||||||
Merrill Lynch & Co., Inc. | 21,500 | 1,879 | |||||||||
Morgan Stanley | 2,500 | 191 | |||||||||
Northern Trust Corp. | 72,900 | 4,281 | |||||||||
State Street Corp. | 40,900 | 2,627 | |||||||||
42,765 | |||||||||||
Insurance 28.5% | |||||||||||
AFLAC, Inc. | 13,600 | 611 | |||||||||
American Financial Group, Inc. | 14,500 | 694 | |||||||||
American Physicians Capital, Inc. * | 5,500 | 301 | |||||||||
AON Corp. (a) | 14,400 | 501 | |||||||||
Assurant, Inc. | 17,100 | 900 | |||||||||
Genworth Financial, Inc., Class A | 117,700 | 3,936 | |||||||||
HCC Insurance Holdings, Inc. | 9,100 | 306 | |||||||||
Lincoln National Corp. | 10,200 | 646 | |||||||||
Loews Corp. | 97,100 | 3,779 | |||||||||
MetLife, Inc. | 74,900 | 4,279 | |||||||||
Nationwide Financial Services, Inc., Class A | 41,000 | 2,088 | |||||||||
Principal Financial Group, Inc. | 67,000 | 3,785 | |||||||||
Prudential Financial, Inc. | 6,100 | 469 | |||||||||
SAFECO Corp. | 10,600 | 617 | |||||||||
StanCorp Financial Group, Inc. | 3,800 | 174 | |||||||||
The Allstate Corp. | 2,100 | 129 | |||||||||
The Chubb Corp. | 47,400 | 2,519 | |||||||||
The Hartford Financial Services Group, Inc. | 8,700 | 758 | |||||||||
W. R. Berkley Corp. | 19,125 | 705 | |||||||||
27,197 | |||||||||||
Real Estate 1.8% | |||||||||||
CB Richard Ellis Group, Inc., Class A * | 57,600 | 1,730 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.9% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 835 | 835 | |||||||||
U.S. Government Security 0.1% of net assets | |||||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 90 | 90 |
End of Investments.
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 1.4% of net assets | |||||||||||
Securities Lending Investments Fund, a series of the Brown Brothers Investment Trust | 1,323,369 | 1,323 |
End of collateral invested for securities on loan.
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $1,287 (cost $85,889) | $ | 95,647 | |||||
Collateral invested for securities on loan | 1,323 | ||||||
Receivables: | |||||||
Investments sold | 1,827 | ||||||
Fund shares sold | 678 | ||||||
Dividends | 48 | ||||||
Prepaid expenses | + | 1 | |||||
Total assets | 99,524 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 1,323 | ||||||
Payables: | |||||||
Investments bought | 2,886 | ||||||
Investment adviser and administrator fees | 5 | ||||||
Transfer agent and shareholder services fees | 2 | ||||||
Fund shares redeemed | 22 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 28 | |||||
Total liabilities | 4,267 | ||||||
Net Assets | |||||||
Total assets | 99,524 | ||||||
Total liabilities | –4,267 | ||||||
Net assets | $ | 95,257 | |||||
Net Assets by Source | |||||||
Capital received from investors | 83,851 | ||||||
Net investment income not yet distributed | 465 | ||||||
Net realized capital gains | 1,183 | ||||||
Net unrealized capital gains | 9,758 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$95,257 | 6,047 | $ | 15.75 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 1,131 | |||||
Interest | + | 56 | |||||
Total Investment Income | 1,187 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 1,065 | ||||||
Net realized gains on futures contracts | + | 123 | |||||
Net realized gains | 1,188 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 5,742 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 346 | ||||||
Transfer agent and shareholder service fees | 160 | ||||||
Registration fees | 44 | ||||||
Portfolio accounting fees | 29 | ||||||
Professional fees | 27 | ||||||
Trustees’ fees | 7 | ||||||
Custodian fees | 6 | ||||||
Shareholder reports | 4 | ||||||
Other expenses | + | 7 | |||||
Total expenses | 630 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 1,187 | ||||||
Net expenses | –630 | ||||||
Net investment income | 557 | ||||||
Net realized gains | 1,188 | ||||||
Net unrealized gains | + | 5,742 | |||||
Increase in net assets from operations | $ | 7,487 |
Table of Contents
Operations |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 557 | $ | 224 | |||||||
Net realized gains | 1,188 | 1,583 | |||||||||
Net unrealized gains | + | 5,742 | 1,980 | ||||||||
Increase in net assets from operations | 7,487 | 3,787 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | 264 | 139 | |||||||||
Distribution from net realized gains | + | 1,580 | 1,403 | ||||||||
Total dividends and distributions paid | $ | 1,844 | $ | 1,542 | |||||||
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 5,038 | $ | 75,696 | 885 | $ | 11,993 | |||||||||||||
Shares Reinvested | 114 | 1,645 | 103 | 1,356 | |||||||||||||||
Shares Redeemed | + | (1,089 | ) | (16,334 | ) | (495 | ) | (6,547 | ) | ||||||||||
Net transactions in fund shares | $ | 4,063 | $ | 61,007 | 493 | $ | 6,802 | ||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 1,984 | $ | 28,607 | 1,491 | $ | 19,560 | |||||||||||||
Total increase | + | 4,063 | 66,650 | 493 | 9,047 | ||||||||||||||
End of period | 6,047 | $ | 95,257 | 1,984 | $ | 28,607 | |||||||||||||
Net investment income not yet distributed | $ | 465 | $ | 172 |
Table of Contents
11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 14.03 | 10.78 | 8.43 | 7.12 | 9.00 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | (0.01 | ) | (0.02 | ) | (0.06 | ) | 0.01 | 0.03 | |||||||||||||||
Net realized and unrealized gains or losses | 1.03 | 3.27 | 2.41 | 1.33 | (1.90 | ) | |||||||||||||||||
Total income or loss from investment operations | 1.02 | 3.25 | 2.35 | 1.34 | (1.87 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | — | — | — | (0.03 | ) | (0.01 | ) | ||||||||||||||||
Net asset value at end of period | 15.05 | 14.03 | 10.78 | 8.43 | 7.12 | ||||||||||||||||||
Total return (%) | 7.27 | 30.15 | 27.88 | 18.96 | (20.84 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.84 | 0.89 | 1.04 | 1.04 | 0.89 | ||||||||||||||||||
Gross operating expenses | 0.84 | 0.89 | 1.07 | 1.34 | 1.18 | ||||||||||||||||||
Net investment income or loss | (0.07 | ) | (0.28 | ) | (0.73 | ) | 0.13 | 0.25 | |||||||||||||||
Portfolio turnover rate | 76 | 42 | 105 | 200 | 99 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 611 | 397 | 54 | 25 | 21 |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
98.2% | Common Stock | 541,165 | 600,068 | |||||||||||||
—% | Rights | — | — | |||||||||||||
1.5% | Short-Term Investment | 9,533 | 9,533 | |||||||||||||
0.1% | U.S. Treasury Obligation | 308 | 308 | |||||||||||||
99.8% | Total Investments | 551,006 | 609,909 | |||||||||||||
2.7% | Collateral Invested for Securities on Loan | 16,729 | 16,729 | |||||||||||||
(2.5)% | Other Assets and Liabilities, Net | (15,387 | ) | |||||||||||||
100.0% | Total Net Assets | 611,251 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 98.2% of net assets | |||||||||||
Health Care Equipment & Services 42.6% | |||||||||||
Aetna, Inc. | 400,000 | 16,488 | |||||||||
Alliance Imaging, Inc. * | 5,800 | 49 | |||||||||
AmerisourceBergen Corp. (b) | 553,800 | 26,139 | |||||||||
Baxter International, Inc. | 446,300 | 20,516 | |||||||||
Becton Dickinson & Co. (b) | 416,600 | 29,175 | |||||||||
Caremark Rx, Inc. | 100,000 | 4,923 | |||||||||
Cerner Corp. (a)* | 208,000 | 10,048 | |||||||||
CIGNA Corp. (b) | 180,000 | 21,056 | |||||||||
CorVel Corp. * | 8,800 | 381 | |||||||||
Dade Behring Holdings, Inc. | 240,000 | 8,743 | |||||||||
Dentsply International, Inc. | 302,400 | 9,459 | |||||||||
Edwards Lifesciences Corp. * | 50,000 | 2,147 | |||||||||
Express Scripts, Inc. * | 157,000 | 10,004 | |||||||||
Humana, Inc. (a)* | 124,300 | 7,458 | |||||||||
IMS Health, Inc. | 531,000 | 14,788 | |||||||||
Laboratory Corp. of America Holdings * | 43,200 | 2,959 | |||||||||
Magellan Health Services, Inc. * | 161,800 | 7,061 | |||||||||
McKesson Corp. | 498,200 | 24,955 | |||||||||
MedCath Corp. * | 42,300 | 1,121 | |||||||||
Mentor Corp. (a) | 100,000 | 4,680 | |||||||||
PDI, Inc. * | 15,000 | 155 | |||||||||
Sierra Health Services, Inc. * | 630,500 | 21,588 | |||||||||
WellPoint, Inc. * | 200,100 | 15,272 | |||||||||
Zoll Medical Corp. * | 35,000 | 1,355 | |||||||||
260,520 | |||||||||||
Pharmaceuticals & Biotechnology 55.6% | |||||||||||
Accelrys, Inc. * | 140,000 | 882 | |||||||||
Allergan, Inc. | 89,000 | 10,279 | |||||||||
Alpharma, Inc., Class A | 719,300 | 15,875 | |||||||||
Amgen, Inc. * | 125,000 | 9,489 | |||||||||
Applied Biosystems Group — Applera Corp. | 953,800 | 35,577 | |||||||||
Barr Pharmaceuticals, Inc. * | 269,600 | 14,119 | |||||||||
Biogen Idec, Inc. (b)* | 450,800 | 21,458 | |||||||||
Bristol-Myers Squibb Co. | 225,000 | 5,569 | |||||||||
Bruker BioSciences Corp. * | 150,000 | 1,194 | |||||||||
Enzon Pharmaceuticals, Inc. (a)* | 80,000 | 685 | |||||||||
Forest Laboratories, Inc. * | 303,900 | 14,873 | |||||||||
Gilead Sciences, Inc. * | 220,000 | 15,158 | |||||||||
Johnson & Johnson (b) | 442,200 | 29,804 | |||||||||
King Pharmaceuticals, Inc. * | 1,400,000 | 23,422 | |||||||||
Maxygen, Inc. * | 2,500 | 21 | |||||||||
Merck & Co., Inc. (b) | 741,100 | 33,661 | |||||||||
Millennium Pharmaceuticals, Inc. * | 525,000 | 6,143 | |||||||||
PerkinElmer, Inc. | 575,000 | 12,282 | |||||||||
Pfizer, Inc. | 1,120,000 | 29,848 | |||||||||
Regeneron Pharmaceuticals, Inc. * | 20,000 | 401 | |||||||||
Schering-Plough Corp. | 1,100,000 | 24,354 | |||||||||
Waters Corp. * | 78,000 | 3,884 | |||||||||
Watson Pharmaceuticals, Inc. * | 690,000 | 18,568 | |||||||||
Wyeth | 235,200 | 12,002 | |||||||||
339,548 | |||||||||||
Rights 0.0% of net assets | |||||||||||
Pharmaceuticals & Biotechnology 0.0% | |||||||||||
OSI Pharmaceuticals, Inc. * | 458 | — |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 1.5% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 9,533 | 9,533 | |||||||||
U.S. Treasury Obligation 0.1% of net assets | |||||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 308 | 308 |
End of Investments.
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 2.7% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 16,729,401 | 16,729 |
End of collateral invested for securities on loan.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract | |||||||||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 90 | 6,224 | 321 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
Table of Contents
Assets | |||||||
Investments, at value including securities on loan of $16,264 (cost $551,006) | $ | 609,909 | |||||
Collateral invested for securities on loan | 16,729 | ||||||
Receivables: | |||||||
Fund shares sold | 1,909 | ||||||
Dividends | 119 | ||||||
Interest | 1 | ||||||
Income from securities on loan | 1 | ||||||
Prepaid expenses | + | 4 | |||||
Total assets | 628,672 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 16,729 | ||||||
Payables: | |||||||
Investment adviser and administrator fees | 27 | ||||||
Transfer agent and shareholder services fees | 13 | ||||||
Fund shares redeemed | 581 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 70 | |||||
Total liabilities | 17,421 | ||||||
Net Assets | |||||||
Total assets | 628,672 | ||||||
Total liabilities | –17,421 | ||||||
Net assets | $ | 611,251 | |||||
Net Assets by Source | |||||||
Capital received from investors | 547,464 | ||||||
Net realized capital gains | 4,563 | ||||||
Net unrealized capital gains | 59,224 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$611,251 | 40,625 | $ | 15.05 |
Table of Contents
Investment Income | |||||||
Dividends | $ | 3,933 | |||||
Interest | 348 | ||||||
Securities on loan | + | 35 | |||||
Total Investment Income | 4,316 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 8,791 | ||||||
Net realized gains on futures contracts | + | 166 | |||||
Net realized gains | 8,957 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 18,727 | ||||||
Net unrealized gains on futures contracts | + | 321 | |||||
Net unrealized gains | 19,048 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 3,020 | ||||||
Transfer agent and shareholder service fees | 1,406 | ||||||
Registration fees | 122 | ||||||
Portfolio accounting fees | 45 | ||||||
Shareholder reports | 42 | ||||||
Custodian fees | 32 | ||||||
Professional fees | 27 | ||||||
Trustees’ fees | 10 | ||||||
Overdraft expense | 5 | ||||||
Other expenses | + | 11 | |||||
Total expenses | 4,720 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 4,316 | ||||||
Net expenses | –4,720 | ||||||
Net investment loss | (404 | ) | |||||
Net realized gains | 8,957 | ||||||
Net unrealized gains | + | 19,048 | |||||
Increase in net assets from operations | $ | 27,601 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment loss | $ | (404 | ) | $ | (536 | ) | |||||
Net realized gains | 8,957 | 317 | |||||||||
Net unrealized gains | + | 19,048 | 33,870 | ||||||||
Increase in net assets from operations | $ | 27,601 | $ | 33,651 | |||||||
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 26,841 | $ | 397,961 | 25,580 | $ | 339,672 | |||||||||||||
Shares Redeemed | + | (14,502 | ) | (211,167 | ) | (2,299 | ) | (30,399 | ) | ||||||||||
Net transactions in fund shares | 12,339 | $ | 186,794 | 23,281 | $ | 309,273 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 28,286 | $ | 396,856 | 5,005 | $ | 53,932 | |||||||||||||
Total increase | + | 12,339 | 214,395 | 23,281 | 342,924 | ||||||||||||||
End of period | 40,625 | $ | 611,251 | 28,286 | $ | 396,856 |
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11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 4.88 | 4.42 | 4.32 | 2.90 | 3.86 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment loss | (0.03 | ) | (0.01 | ) | (0.04 | ) | (0.02 | ) | (0.02 | ) | |||||||||||||
Net realized and unrealized gains or losses | 0.44 | 0.47 | 0.14 | 1.44 | (0.94 | ) | |||||||||||||||||
Total income or loss from investment operations | 0.41 | 0.46 | 0.10 | 1.42 | (0.96 | ) | |||||||||||||||||
Net asset value at end of period | 5.29 | 4.88 | 4.42 | 4.32 | 2.90 | ||||||||||||||||||
Total return (%) | 8.40 | 10.41 | 2.31 | 48.97 | (24.87 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.95 | 0.97 | 1.02 | 1 | 1.04 | 0.89 | |||||||||||||||||
Gross operating expenses | 0.95 | 0.97 | 1.02 | 1.25 | 1.15 | ||||||||||||||||||
Net investment income | (0.48 | ) | (0.23 | ) | (0.78 | ) | (0.65 | ) | (0.57 | ) | |||||||||||||
Portfolio turnover rate | 86 | 89 | 109 | 165 | 117 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 71 | 53 | 49 | 43 | 26 |
1 | The ratio of net operating expenses would have been 1.01% if interest expense had not been included. |
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Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
98.2% | Common Stock | 61,318 | 69,819 | |||||||||||||
1.0 % | Short-Term Investment | 693 | 693 | |||||||||||||
0.1% | U.S. Treasury Obligation | 40 | 40 | |||||||||||||
99.3% | Total Investments | 62,051 | 70,552 | |||||||||||||
6.0 % | Collateral Invested for Securities on Loan | 4,233 | 4,233 | |||||||||||||
(5.3)% | Other Assets and Liabilities, Net | (3,735 | ) | |||||||||||||
100.0% | Total Net Assets | 71,050 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 98.2% of net assets | |||||||||||
Semiconductors & Semiconductor Equipment 13.5% | |||||||||||
Applied Materials, Inc. | 98,800 | 1,718 | |||||||||
Atmel Corp. * | 80,100 | 461 | |||||||||
Fairchild Semiconductor International, Inc. * | 39,100 | 630 | |||||||||
Integrated Device Technology, Inc. * | 29,400 | 466 | |||||||||
Micron Technology, Inc. * | 119,500 | 1,727 | |||||||||
Novellus Systems, Inc. * | 56,500 | 1,562 | |||||||||
Texas Instruments, Inc. | 100,000 | 3,018 | |||||||||
9,582 | |||||||||||
Software & Services 41.2% | |||||||||||
Amdocs Ltd. * | 32,300 | 1,252 | |||||||||
Autodesk, Inc. * | 31,600 | 1,161 | |||||||||
BEA Systems, Inc. * | 53,300 | 867 | |||||||||
BMC Software, Inc. (a)* | 114,500 | 3,470 | |||||||||
Cadence Design Systems, Inc. * | 110,400 | 1,972 | |||||||||
Convergys Corp. * | 14,000 | 297 | |||||||||
Covansys Corp. * | 21,900 | 512 | |||||||||
CSG Systems International, Inc. * | 72,100 | 1,945 | |||||||||
Electronic Data Systems Corp. | 121,900 | 3,088 | |||||||||
FactSet Research Systems, Inc. | 15,000 | 763 | |||||||||
Forrester Research, Inc. * | 29,300 | 921 | |||||||||
Global Payments, Inc. | 60,700 | 2,653 | |||||||||
Hyperion Solutions Corp. * | 27,900 | 1,043 | |||||||||
Intuit, Inc. * | 10,000 | 353 | |||||||||
Lightbridge, Inc. * | 80,300 | 928 | |||||||||
MoneyGram International, Inc. | 21,300 | 729 | |||||||||
Oracle Corp. * | 115,300 | 2,130 | |||||||||
Red Hat, Inc. * | 9,500 | 156 | |||||||||
SonicWALL, Inc. * | 61,200 | 643 | |||||||||
Sybase, Inc. * | 59,700 | 1,454 | |||||||||
Sykes Enterprises, Inc. * | 23,900 | 485 | |||||||||
Synopsys, Inc. * | 71,600 | 1,612 | |||||||||
TIBCO Software, Inc. * | 17,900 | 165 | |||||||||
Total System Services, Inc. | 30,300 | 730 | |||||||||
29,329 | |||||||||||
Technology Hardware & Equipment 43.5% | |||||||||||
Agilent Technologies, Inc. * | 28,400 | 1,011 | |||||||||
Avaya, Inc. * | 68,700 | 880 | |||||||||
AVX Corp. | 130,300 | 2,054 | |||||||||
Cisco Systems, Inc. * | 94,000 | 2,268 | |||||||||
Coherent, Inc. * | 31,500 | 1,015 | |||||||||
Ditech Networks, Inc. * | 5,500 | 44 | |||||||||
Emulex Corp. * | 5,700 | 107 | |||||||||
Harris Corp. | 18,600 | 792 | |||||||||
Hewlett-Packard Co. | 137,900 | 5,342 | |||||||||
Imation Corp. | 49,500 | 2,266 | |||||||||
International Business Machines Corp. | 42,000 | 3,878 | |||||||||
Lexmark International, Inc., Class A * | 39,100 | 2,486 | |||||||||
Littelfuse, Inc. * | 17,900 | 606 | |||||||||
Motorola, Inc. | 120,000 | 2,767 | |||||||||
Packeteer, Inc. * | 5,000 | 56 | |||||||||
Planar Systems, Inc. * | 40,000 | 482 | |||||||||
Rofin-Sinar Technologies, Inc. * | 14,600 | 899 | |||||||||
Staktek Holdings, Inc. * | 32,100 | 196 | |||||||||
UTStarcom, Inc. (a)* | 82,400 | 888 | |||||||||
Xerox Corp. * | 168,900 | 2,871 | |||||||||
30,908 |
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Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 1.0% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 693 | 693 | |||||||||
U.S. Treasury Obligation 0.1% of net assets | |||||||||||
U.S. Treasury Bill 4.82%, 12/14/06 | 40 | 40 |
End of Investments.
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Collateral Invested for Securities on Loan 6.0% of net assets | |||||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 4,233,105 | 4,233 |
End of collateral invested for securities on loan.
* | Non-income producing security. |
(a) | All or a portion of this security is on loan. |
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Assets | |||||||
Investments, at value including securities on loan of $4,140 (cost $62,051) | $ | 70,552 | |||||
Collateral invested for securities on loan | 4,233 | ||||||
Receivables: | |||||||
Investments sold | 3,130 | ||||||
Fund shares sold | 129 | ||||||
Dividends | 5 | ||||||
Income from securities on loan | + | 1 | |||||
Total assets | 78,050 | ||||||
Liabilities | |||||||
Collateral for securities on loan | 4,233 | ||||||
Payables: | |||||||
Investments bought | 2,614 | ||||||
Investment adviser and administrator fees | 3 | ||||||
Transfer agent and shareholder services fees | 1 | ||||||
Fund shares redeemed | 119 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 29 | |||||
Total liabilities | 7,000 | ||||||
Net Assets | |||||||
Total assets | 78,050 | ||||||
Total liabilities | –7,000 | ||||||
Net assets | $ | 71,050 | |||||
Net Assets by Source | |||||||
Capital received from investors | 98,923 | ||||||
Net realized capital losses | (36,374 | ) | |||||
Net unrealized capital gains | 8,501 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$71,050 | 13,429 | $ | 5.29 |
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Investment Income | |||||||
Dividends | �� | $ | 301 | ||||
Interest | 27 | ||||||
Securities on loan | + | 3 | |||||
Total Investment Income | 331 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 2,501 | ||||||
Net realized gains on futures contracts | + | 2 | |||||
Net realized gains | 2,503 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 1,658 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 382 | ||||||
Transfer agent and shareholder service fees | 177 | ||||||
Portfolio accounting fees | 31 | ||||||
Registration fees | 30 | ||||||
Professional fees | 25 | ||||||
Custodian fees | 8 | ||||||
Trustees’ fees | 7 | ||||||
Shareholder reports | 4 | ||||||
Other expenses | + | 6 | |||||
Total expenses | 670 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 331 | ||||||
Net expenses | –670 | ||||||
Net investment loss | (339 | ) | |||||
Net realized gains | 2,503 | ||||||
Net unrealized gains | + | 1,658 | |||||
Increase in net assets from operations | $ | 3,822 |
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Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment loss | $ | (339 | ) | $ | (111 | ) | |||||
Net realized gains | 2,503 | 2,354 | |||||||||
Net unrealized gains | + | 1,658 | 2,534 | ||||||||
Increase in net assets from operations | $ | 3,822 | $ | 4,777 | |||||||
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 7,995 | $ | 41,697 | 3,726 | $ | 17,658 | |||||||||||||
Shares Redeemed | + | (5,489 | ) | (27,733 | ) | (3,904 | ) | (18,286 | ) | ||||||||||
Net transactions in fund shares | 2,506 | $ | 13,964 | (178 | ) | $ | (628 | ) | |||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 10,923 | $ | 53,264 | 11,101 | $ | 49,115 | |||||||||||||
Total increase or decrease | + | 2,506 | 17,786 | (178 | ) | 4,149 | |||||||||||||
End of period | 13,429 | $ | 71,050 | 10,923 | $ | 53,264 |
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1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ Schwab S&P 500 Index Fund Schwab Institutional Select® S&P 500 Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® | Schwab MartketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ Laudus U.S. MarketMasters Fund™ Laudus Small-Cap MarketMasters Fund™ Laudus International MarketMasters Fund™ Schwab Viewpoints Fund™ Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund |
2. | Significant Accounting Policies: |
(a) | Security Valuation: |
• | Securities traded on an exchange or over-the-counter: valued at the closing value for the day, or, on days when no closing value has been reported, halfway between the most recent bid and asked quotes. Securities that are primarily traded on foreign exchanges are valued at the closing values of such securities on their respective exchanges with these values then translated into U.S. dollars at the current exchange rate. |
• | Securities for which no quoted value is available or when a significant event has occurred between the time of the security’s last close and the time the fund calculates net asset value: valued at fair value, as determined in good faith by the fund’s investment adviser using guidelines adopted by the fund’s Board of Trustees and the Pricing Committee. Some of the more common reasons that may necessitate that a security be valued at fair value include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. |
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• | Futures and forwards: open contracts are valued at their settlement prices as of the close of their exchanges (for futures) or at a market value based on that day’s exchange rates (for forwards). When a fund closes out a futures or forwards position, it calculates the difference between the value of the position at the beginning and at the end, and records a realized gain or loss accordingly. |
• | Short-term securities (60 days or less to maturity): valued at amortized cost. |
• | Mutual funds: valued at their respective net asset values as determined by those funds in accordance with the 1940 Act for a given day. |
(b) | Portfolio Investments: |
(c) | Security Transactions: |
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and values the asset side according to the value of the proceeds. When the fund closes out a short position (buys the security), it records the outcome as a realized gain or loss. Interest accrued on securities sold short is recorded as an expense on the fund’s records.
(d) | Investment Income: |
(e) | Expenses: |
(f) | Distributions to Shareholders: |
(g) | Custody Credit: |
(h) | Accounting Estimates: |
(i) | Federal Income Taxes: |
(j) | Indemnification: |
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(k) | New Accounting Standards: |
3. | Affiliates and Affiliated Transactions: (All dollar amounts are × 1,000) |
Average daily net assets | Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
First $500 million | 0.91 | % | 0.54 | % | 0.775 | % | 0.87 | % | 0.975 | % | 1.675 | % | ||||||||||||||
Over $500 million | 0.885 | % | 0.49 | % | 0.77 | % | 0.85 | % | 0.93 | % | 1.65 | % | ||||||||||||||
Over $1 billion | 0.86 | % | n/a | 0.76 | % | 0.83 | % | 0.91 | % | 1.63 | % | |||||||||||||||
Over $2 billion | n/a | n/a | n/a | 0.81 | % | n/a | n/a | |||||||||||||||||||
Average daily net assets | Financial Services Fund | | Health Care Fund | | Technology Fund | |||||||||||||||||||||
First $500 million | 0.54 | % | 0.54 | % | 0.54 | % | ||||||||||||||||||||
Over $500 million | 0.515 | % | 0.515 | % | 0.515 | % | ||||||||||||||||||||
Over $1 billion | 0.49 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||||
Over $2 billion | n/a | n/a | n/a |
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Transfer Agent Fees | | Shareholder Service Fees | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.05 | % | 0.20 | % | ||||||
Select Shares* | 0.05 | % | 0.05 | % |
Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 1.30 | % | 0.75 | % | 1.10 | % | 1.20 | % | 1.30 | % | 2.00 | %** | ||||||||||||||
Select Shares* | 1.15 | % | n/a | 0.95 | % | 0.99 | % | 1.12 | % | 1.77 | %** | |||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Investor Shares | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||||
Select Shares* | n/a | n/a | n/a |
* | Select Shares are only offered by Premier Equity Fund, Dividend Equity Fund, Large-Cap Growth Fund, Small-Cap Equity Fund, and Hedged Equity Fund. |
** | Excluding dividend and interest paid on securities sold short. |
Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Target Funds: | ||||||||||||||||||||||||||
Target 2010 | — | 1.2 | % | 0.3 | % | — | 0.6 | % | — | |||||||||||||||||
Target 2020 | — | 1.8 | % | 0.5 | % | — | 0.9 | % | — | |||||||||||||||||
Target 2030 | — | 1.3 | % | 0.3 | % | — | 0.8 | % | — | |||||||||||||||||
Target 2040 | — | 0.8 | % | 0.2 | % | — | 0.5 | % | — | |||||||||||||||||
Retirement Income | — | — | 0.4 | % | — | — | — | |||||||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Schwab Target Funds: | ||||||||||||||||||||||||||
Target 2010 | — | — | — | |||||||||||||||||||||||
Target 2020 | — | — | — | |||||||||||||||||||||||
Target 2030 | — | — | — | |||||||||||||||||||||||
Target 2040 | — | — | — | |||||||||||||||||||||||
Retirement Income | — | — | — |
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Premier Equity Fund | $ | — | ||||
Core Equity Fund | — | |||||
Dividend Equity Fund | — | |||||
Large-Cap Growth Fund | — | |||||
Small-Cap Equity Fund | 734 | |||||
Hedged Equity Fund | — | |||||
Financial Services Fund | — | |||||
Health Care Fund | — | |||||
Technology Fund | — |
4. | Purchases and Sales of Investment Securities: (All dollar amounts are × 1,000) |
Purchases of Securities | Sales/Maturities of Securities | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Premier Equity Fund | $ | 1,489,603 | $959,343 | |||||||
Core Equity Fund | 763,634 | 334,906 | ||||||||
Dividend Equity Fund | 545,607 | 404,686 | ||||||||
Large-Cap Growth Fund | 151,875 | 51,009 | ||||||||
Small-Cap Equity Fund | 762,683 | 379,159 | ||||||||
Hedged Equity Fund | 1,052,146 | 427,062 | ||||||||
Financial Services Fund | 95,694 | 35,894 | ||||||||
Health Care Fund | 609,216 | 423,033 | ||||||||
Technology Fund | 74,187 | 61,459 |
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5. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | Prior Period | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Premier Equity Fund | ||||||||||
Investor Shares | $ | 38 | $25 | |||||||
Select Shares | 42 | 28 | ||||||||
Core Equity Fund | 66 | 17 | ||||||||
Dividend Equity Fund | ||||||||||
Investor Shares | 19 | 15 | ||||||||
Select Shares | 20 | 19 | ||||||||
Large-Cap Growth Fund | ||||||||||
Investor Shares | 5 | 3 | ||||||||
Select Shares | 2 | — | ||||||||
Small-Cap Equity Fund | ||||||||||
Investor Shares | 34 | 14 | ||||||||
Select Shares | 16 | 16 | ||||||||
Hedged Equity Fund | ||||||||||
Investor Shares | 32 | 3 | ||||||||
Select Shares | 29 | 40 | ||||||||
Financial Services Fund | 11 | 7 | ||||||||
Health Care Fund | 42 | 121 | ||||||||
Technology Fund | 5 | 10 |
6. | Borrowing: (All dollar amounts are x 1,000) |
Fund | Amount Outstanding at 10/31/06 | | Average Borrowing* | | Weighted Average Interest Rate*(%) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Premier Equity Fund | $ | — | $ | 4,950 | 5.08 | |||||||||
Core Equity Fund | — | 404 | 5.70 | |||||||||||
Dividend Equity Fund | — | 808 | 4.82 | |||||||||||
Large-Cap Growth Fund | — | — | — | |||||||||||
Small-Cap Equity Fund | — | 1,241 | 5.27 | |||||||||||
Hedged Equity Fund | — | 2,597 | 5.44 | |||||||||||
Financial Services Fund | — | — | — | |||||||||||
Health Care Fund | — | 1,568 | 5.12 | |||||||||||
Technology Fund | — | 262 | 5.34 |
* | Based on the number of days for which the borrowing is outstanding. |
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7. | Federal Income Taxes: (All dollar amounts are x 1,000) |
Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed ordinary income | $ | — | $ | 3,881 | $ | 1,244 | $ | 138 | $ | — | $ | 4,267 | ||||||||||||||
Undistributed long-term capital gains | — | 21,463 | 30,177 | — | 3,609 | — | ||||||||||||||||||||
Unrealized appreciation on investments | 229,132 | 163,064 | 214,769 | 16,580 | 90,497 | 136,548 | ||||||||||||||||||||
Unrealized depreciation on investments | (17,083 | ) | (8,901 | ) | (9,835 | ) | (1,784 | ) | (13,138 | ) | (4,907 | ) | ||||||||||||||
Other unrealized appreciation/depreciation | — | — | — | — | 499 | (11,063 | ) | |||||||||||||||||||
Net unrealized appreciation / (depreciation) | $ | 212,049 | $ | 154,163 | $ | 204,934 | $ | 14,796 | $ | 77,858 | $ | 120,578 | ||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Undistributed ordinary income | $ | 560 | $ | — | $ | — | ||||||||||||||||||||
Undistributed long-term capital gains | 1,133 | 5,276 | — | |||||||||||||||||||||||
Unrealized appreciation on investments | 10,683 | 67,712 | 9,779 | |||||||||||||||||||||||
Unrealized depreciation on investments | (970 | ) | (9,201 | ) | (1,278 | ) | ||||||||||||||||||||
Net unrealized appreciation / (depreciation) | $ | 9,713 | $ | 58,511 | $ | 8,501 |
Expire | Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2009 | — | — | — | — | — | — | ||||||||||||||||||||
2010 | — | — | — | — | — | — | ||||||||||||||||||||
2011 | — | — | — | — | — | — | ||||||||||||||||||||
2012 | — | — | — | — | — | — | ||||||||||||||||||||
2013 | $ | 546 | — | — | $ | 158 | — | — | �� | |||||||||||||||||
2014 | 25 | — | — | 2,674 | — | $ | 22,535 | |||||||||||||||||||
Total | $ | 571 | — | — | $ | 2,832 | — | $ | 22,535 | |||||||||||||||||
Expire | Financial Services Fund | | Health Care Fund | | Technology Fund | | ||||||||||||||||||||
2009 | — | — | $ | 11,530 | ||||||||||||||||||||||
2010 | — | — | 18,148 | |||||||||||||||||||||||
2011 | — | — | 6,697 | |||||||||||||||||||||||
2012 | — | — | — | |||||||||||||||||||||||
2013 | — | — | — | |||||||||||||||||||||||
2014 | — | — | — | |||||||||||||||||||||||
Total | — | — | $ | 36,375 |
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Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deferred capital losses | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Capital losses utilized | — | $ | 3,858 | — | — | — | — | |||||||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Deferred capital losses | $ | — | $ | — | $ | — | ||||||||||||||||||||
Capital losses utilized | — | $ | 4,254 | — |
Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Current period distributions | ||||||||||||||||||||||||||
Ordinary income | $ | 3,776 | $ | 3,509 | $ | 21,310 | $ | 30 | $ | 1,708 | $ | 2,197 | ||||||||||||||
Long-term capital gains | — | — | 13,306 | — | 6,515 | 7,073 | ||||||||||||||||||||
Return of capital | — | — | — | — | — | — | ||||||||||||||||||||
Prior period distributions | ||||||||||||||||||||||||||
Ordinary income | — | 3,112 | 17,714 | — | 4,863 | — | ||||||||||||||||||||
Long-term capital gains | — | — | 9,224 | — | 2,191 | 3,789 | ||||||||||||||||||||
Return of capital | — | — | — | — | — | — | ||||||||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Current period distributions | ||||||||||||||||||||||||||
Ordinary income | $ | 616 | — | — | ||||||||||||||||||||||
Long-term capital gains | 1,228 | — | — | |||||||||||||||||||||||
Return of capital | — | — | — | |||||||||||||||||||||||
Prior period distributions | ||||||||||||||||||||||||||
Ordinary income | 139 | — | — | |||||||||||||||||||||||
Long-term capital gains | 1,403 | — | — | |||||||||||||||||||||||
Return of capital | — | — | — |
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Premier Equity Fund | | Core Equity Fund | | Dividend Equity Fund | | Large-Cap Growth Fund | | Small-Cap Equity Fund | | Hedged Equity Fund | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital Shares | (266 | ) | 1 | — | — | $ | (1,529 | ) | — | |||||||||||||||||
Undistributed net investment income | 266 | — | — | — | 1,524 | — | ||||||||||||||||||||
Net realized capital gains and losses | (1 | ) | — | — | 5 | — | ||||||||||||||||||||
Financial Services Fund | | Health Care Fund | | Technology Fund | | |||||||||||||||||||||
Capital Shares | — | $ | (404 | ) | $ | (339 | ) | |||||||||||||||||||
Undistributed net investment income | — | 404 | 339 | |||||||||||||||||||||||
Net realized capital gains and losses | — | — | — |
(All dollar amounts are x 1,000), unaudited:
Percentage | ||||||
---|---|---|---|---|---|---|
Premier Equity Fund | 100 | % | ||||
Core Equity Fund | 100 | % | ||||
Dividend Equity Fund | 99 | % | ||||
Large-Cap Growth Fund | 100 | % | ||||
Small-Cap Equity Fund | 69 | % | ||||
Hedged Equity Fund | 69 | % | ||||
Financial Services Fund | 92 | % | ||||
Health Care Fund | — | |||||
Technology Fund | — |
Premier Equity Fund | $ | 3,776 | ||||
Core Equity Fund | 3,509 | |||||
Dividend Equity Fund | 21,310 | |||||
Large-Cap Growth Fund | 30 | |||||
Small-Cap Equity Fund | 1,708 | |||||
Hedged Equity Fund | 2,196 | |||||
Financial Services Fund | 616 | |||||
Health Care Fund | — | |||||
Technology Fund | — |
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Schwab Premier Equity Fund
Schwab Core Equity Fund
Schwab Dividend Equity Fund
Schwab Large-Cap Growth Fund
Schwab Small-Cap Equity Fund
Schwab Hedged Equity Fund
Schwab Financial Services Fund
Schwab Health Care Fund
Schwab Technology Fund
San Francisco, California
December 14, 2006
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1. | the nature, extent and quality of the services provided to the funds under the Agreement, including the resources of CSIM and its affiliates dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreement reflect those economies of scale for the benefit of fund investors. |
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and appropriate indices/benchmarks, in light of total return and market trends. As part of this review, the trustees considered the composition of the peer group, selection criteria and the reputation of the third party who prepared the peer group analysis. In evaluating the performance of each fund, the trustees considered both market risk and shareholder risk expectations for such fund and the appropriateness of the benchmark used to compare the performance of each fund. The trustees further considered the level of fund performance in the context of its review of fund expenses and adviser profitability discussed below. Following such evaluation the Board concluded, within the context of its full deliberations, that the performance of the funds supported renewal of the Agreement.
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Independent Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996-1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6—Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
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Independent Trustees continued | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer—Fixed Income (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer—Equities (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust (continued) | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
1 | Trustees remain in office until they resign, retire or are removed by shareholder vote. The Schwab Funds retirement policy requires that independent trustees elected after January 1, 2000 retire at age 72 or after twenty years of service as a trustee, whichever comes first. Independent trustees elected prior to January 1, 2000 will retire on the following schedule: Messrs. Holmes and Dorward will retire on December 31, 2007, and Messrs. Stephens and Wilsey will retire on December 31, 2010. |
2 | In addition to their employment with the investment adviser and the distributor, Messrs. Schwab and Merk also own stock of The Charles Schwab Corporation. Mr. Schwab and Mr. Merk are Interested Trustees because they are employees of Schwab and/or the adviser. |
3 | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each other officer serves at the pleasure of the Board. |
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Schwab Funds® offers you an extensive family of mutual funds, each one based on a clearly defined investment approach and using disciplined management strategies. The list at right shows all currently available Schwab Funds. Whether you’re an experienced investor or just starting out, Schwab Funds can help you achieve your financial goals. An investor should consider a fund’s investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information can be found in the fund’s prospectus. Please call 1-800-435-4000 for a prospectus and brochure for any Schwab Fund. Please read the prospectus carefully before you invest. This report must be preceded or accompanied by a current prospectus. Proxy Voting Policies, Procedures and Results A description of the proxy voting policies and procedures used to determine how to vote proxies on behalf of the funds is available without charge, upon request, by visiting Schwab’s website at www.schwab.com/schwabfunds, the SEC’s website at www.sec.gov, or by contacting Schwab Funds at 1-800-435-4000. Information regarding how a fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available, without charge, by visiting Schwab’s website at www.schwab.com/schwabfunds or the SEC’s website at www.sec.gov. | The Schwab Funds Family® Stock Funds Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ Schwab Institutional Select® S&P 500 Fund Schwab S&P 500 Index Fund Schwab 1000 Index® Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Asset Allocation Funds Schwab Viewpoints Fund™ Schwab MarketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund Bond Funds Schwab YieldPlus Fund® Schwab Short-Term Bond Market Fund™ Schwab Total Bond Market Fund™ Schwab GNMA Fund™ Schwab Inflation Protected Fund™ Schwab Tax-Free YieldPlus Fund™ Schwab Short/Intermediate Tax-Free Bond Fund™ Schwab Long-Term Tax-Free Bond Fund™ Schwab California Tax-Free YieldPlus Fund™ Schwab California Short/Intermediate Tax-Free Bond Fund™ Schwab California Long-Term Tax-Free Bond Fund™ Schwab Money Funds Schwab offers an array of money market funds that seek high current income consistent with safety and liquidity.1 Choose from taxable or tax-advantaged alternatives. Many can be linked to your eligible Schwab account to “sweep” cash balances automatically, subject to availability, when you’re between investments. Or, for your larger cash reserves, choose one of our Value Advantage Investments®. |
1 | Investments in money market funds are neither insured nor guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency and, although they seek to preserve the value of your investment at $1 per share, it is possible to lose money. |
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101 Montgomery Street, San Francisco, CA 94104
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Performance at a Glance | 1 | |||||
From the Chairman | 2 | |||||
From the President | 3 | |||||
Investment Environment | 4 | |||||
Schwab Target 2010 Fund | 6 | |||||
Schwab Target 2020 Fund | 8 | |||||
Schwab Target 2030 Fund | 10 | |||||
Schwab Target 2040 Fund | 12 | |||||
Schwab Retirement Income Fund | 14 | |||||
Fund Expenses | 16 | |||||
Financial Statements | 17 | |||||
Financial Notes | 42 | |||||
Investment Advisory Agreement Approval | 49 | |||||
Trustees and Officers | 51 | |||||
Glossary | 55 |
Distributor and transfer agent: Charles Schwab & Co., Inc. (Schwab).
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| Total Return for the Report Period | |||||
---|---|---|---|---|---|---|
Schwab Target 2010 Fund (Ticker Symbol: SWBRX) | 13.39 | % | ||||
Benchmark: Target 2010 Composite Index | 14.00 | % | ||||
Fund Category: Morningstar Target-Date 2000–2014 | 9.42 | % | ||||
Performance Details | pages 6–7 | |||||
Schwab Target 2020 Fund (Ticker Symbol: SWCRX)2 | 14.25 | % | ||||
Benchmark: Target 2020 Composite Index | 15.03 | % | ||||
Fund Category: Morningstar Target-Date 2015–2029 | 13.52 | % | ||||
Performance Details | pages 8–9 | |||||
Schwab Target 2030 Fund (Ticker Symbol: SWDRX) | 14.99 | % | ||||
Benchmark: Target 2030 Composite Index | 15.96 | % | ||||
Fund Category: Morningstar Target-Date 2030+ | 15.46 | % | ||||
Performance Details | pages 10–11 | |||||
Schwab Target 2040 Fund (Ticker Symbol: SWERX) | 16.06 | % | ||||
Benchmark: Target 2040 Composite Index | 17.00 | % | ||||
Fund Category: Morningstar Target-Date 2030+ | 15.46 | % | ||||
Performance Details | pages 12–13 | |||||
Schwab Retirement Income Fund (Ticker Symbol: SWARX) | 7.52 | % | ||||
Benchmark: Target Income Composite Index | 7.74 | % | ||||
Fund Category: Morningstar Conservative Allocation | 8.43 | % | ||||
Performance Details | pages 14–15 | |||||
Minimum Initial Investment1 | ||||||
($1,000 for custodial accounts) | $2,500 |
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From the Chairman | ||
Charles Schwab Chairman | Dear Shareholder, I founded Schwab over thirty years ago to be a home for serious investors. That mission continues to guide us today as we constantly strive to improve and innovate. By doing this, and providing some of the highest quality products and services — at a competitive price — we remain true to our heritage. I take particular pride in the Schwab Funds. Founded over 15 years ago, Schwab Funds now includes more than 50 funds with over $170 billion in assets. With a variety of investment strategies, Schwab Funds provides a range of innovative investment choices that can serve as a foundation for your asset allocation plan, including the Schwab Target Funds, contained within this book. The Schwab Target Funds are asset allocation funds that are actively managed to adjust over time as you approach retirement. Research has shown that asset allocation can be the most important factor in determining overall portfolio performance. The Schwab Target Funds offer investors a convenient way to allocate their investment across management strategies and asset classes to help balance risk while seeking to provide competitive returns. Schwab Funds are managed by Charles Schwab Investment Management, Inc., one of the largest mutual fund managers in the U.S. Our portfolio managers share a passion for market analysis and use some of the most sophisticated financial models in the country. I am proud of their depth of experience, which reflects an average of 14 years in the investment industry. Furthermore, I am impressed by the commitment that our managers bring to the stewardship of their funds, for you, their shareholders. In closing, I want to thank you for investing with us. We work every day to warrant the trust you have placed in us; that will never change. Sincerely, |
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From the President | ||
Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and of each of the funds covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | Dear Shareholder, I am pleased to present the annual report for the Schwab Target Funds for the period ended October 31, 2006. Schwab Target Funds are asset allocation funds designed for retirement investing. The four dated funds are actively managed to adjust over time as you approach retirement while one is designed to help produce income with additional growth potential for those in retirement. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the Funds’ ticker symbols and report period returns for the funds, their benchmarks and category averages. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.schwabfunds.com. This website contains regular updates about the Schwab Funds. I encourage you to visit the website to stay informed about your fund. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Schwab Funds. Sincerely, |
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the funds. | As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Product (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. | |
Asset Class Performance Comparison % returns during the report period | ||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | ||||||
o 16.34% | S&P 500® Index: measures U.S. large-cap stocks. | |||||
o 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | |||||
o 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | |||||
o 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market | |||||
o 4.57% | Three-Month U.S. Treasury Bills (T-bills): measures short-term U.S. Treasury obligations |
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will be thoroughly scrutinized in the coming months. The challenge is to bring this economy to a state of stable growth and achieve a soft landing.
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Jeffrey Mortimer (upper left) CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. Kimon Daifotis (upper right) CFA, senior vice president and chief investment officer, fixed- income, is responsible for the overall management of the bond and cash portions of the fund. Caroline Lee (lower right) direc- tor and portfolio manager, is responsible for the day-to-day co-management of the fund. Tom Brown (lower left) associate portfolio manager, is responsible for the day-to-day co-management of the fund. | The Schwab Target Funds all share the same investment approach: each seeks to achieve its objective by investing in a combination of other Schwab Funds and Laudus Funds. The underlying funds include a combination of equity, fixed income and money market mutual funds to meet their various target asset allocations and investment styles. Performance of the Schwab Target Funds (the funds) reflects a blend of the results of their underlying funds. The portfolios of the funds with an earlier target date are more heavily allocated to fixed income, ultra-short fixed income and money market funds and represent a more conservative style of investment, while portfolios of the funds with later target dates have a higher percentage of assets allocated to equity funds. Schwab Target 2010 Fund (the fund) returned 13.39% for the one-year period, slightly underperforming its benchmark, the Target 2010 Composite Index, yet beating its fund category average. The fund has the shortest time horizon of the four dated funds and as such, has the lowest percentage of its assets allocated to equities. The fund’s primary target allocations are 63% of assets in equity securities and 35% in fixed-income securities. The fund’s allocation to equity securities positively contributed to performance, as equity markets, both domestic and international, rallied during the one-year period. Within the equity allocation, outstanding funds included those with an international equity focus such as the Laudus Rosenberg International Small-Cap Fund Institutional Shares and the Laudus International MarketMasters Fund Select Shares. Within the fixed income allocation of the fund, the Schwab Total Bond Market Fund and the Schwab YieldPlus Fund Select Shares contributed to returns. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. | |
As of 10/31/06: |
Statistics | |||||
Number of Holdings | 10 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 39,901 | ||||
Price/Earnings Ratio (P/E) | 18.8 | ||||
Price/Book Ratio (P/B) | 2.8 |
Asset Class Weightings % of Investments | ||||
Equity Funds — Domestic | 45.7 | % | ||
Fixed-Income Funds | 34.1 | % | ||
Equity Funds — International | 16.6 | % | ||
Short Term Investments | 3.6 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | ||||
Schwab Total Bond Market Fund | 33.1 | % | ||
Schwab Core Equity Fund | 22.0 | % | ||
Laudus International MarketMasters Fund, Select Shares | 10.2 | % | ||
Schwab Small-Cap Equity Fund, Select Shares | 6.7 | % | ||
Schwab Dividend Equity Fund, Select Shares | 6.7 | % | ||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares | 6.4 | % | ||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares | 6.3 | % | ||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares | 3.7 | % | ||
Schwab YieldPlus Fund, Select Shares | 0.9 | % | ||
Schwab Value Advantage Money Fund, Institutional Shares | 0.9 | % | ||
Total | 96.9 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment1,3 | |||
Average Annual Total Returns1,2 | |||||||||||||||||||
1 year | Since Inception | ||||||||||||||||||
Fund: Schwab Target 2010 Fund (7/1/05) | 13.39 | % | 11.80 | % | |||||||||||||||
Benchmark: Target 2010 Composite Index | 14.00 | % | 11.67 | % | |||||||||||||||
Fund Category: Morningstar Target-Date 2000–2014 | 9.42 | % | 6.84 | % |
Table of Contents
Schwab Target 2020 Fund
Jeffrey Mortimer (upper left) CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. Kimon Daifotis (upper right) CFA, senior vice president and chief investment officer, fixed- income, is responsible for the overall management of the bond and cash portions of the fund. Caroline Lee (lower right) direc- tor and portfolio manager, is responsible for the day-to-day co-management of the fund. Tom Brown (lower left) associate portfolio manager, is responsible for the day-to-day co-management of the fund. | The Schwab Target Funds all share the same investment approach: each seeks to achieve its objective by investing in a combination of other Schwab Funds and Laudus Funds. The underlying funds include a combination of equity, fixed income and money market mutual funds to meet their various target asset allocations and investment styles. Performance of the Schwab Target Funds (the funds) reflects a blend of the results of their underlying funds. The portfolios of the funds with an earlier target date are more heavily allocated to fixed income, ultra-short fixed income and money market funds and represent a more conservative style of investment, while portfolios of the funds with later target dates have a higher percentage of assets allocated to equity funds. Schwab Target 2020 Fund (the fund) returned 14.25% for the report period, outperforming its category average yet slightly underperforming its benchmark, the Target 2020 Composite Index. The fund has the second shortest time horizon of the four dated funds and allocates its assets primarily to equity securities and fixed-income securities. The fund’s primary target allocations are 70% of assets in equity securities and 28% of its assets in fixed-income securities. The fund’s emphasis on equity securities positively contributed to performance, as equity markets, both domestic and international, rallied during the one-year period. Within the equity allocation, outstanding funds included those with an international equity focus such as the Laudus Rosenberg International Small-Cap Fund Institutional Shares and the Laudus International MarketMasters Fund Select Shares. Within the fixed income allocation of the fund, the Schwab Total Bond Market Fund and the Schwab YieldPlus Fund Select Shares contributed to returns. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. | |
As of 10/31/06: |
Statistics | |||||
Number of Holdings | 10 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 39,697 | ||||
Price/Earnings Ratio (P/E) | 18.8 | ||||
Price/Book Ratio (P/B) | 2.8 |
Asset Class Weightings % of Investments | ||||
Equity Funds — Domestic | 50.8 | % | ||
Fixed-Income Funds | 27.2 | % | ||
Equity Funds — International | 17.8 | % | ||
Short-Term Investments | 4.2 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | ||||
Schwab Total Bond Market Fund | 26.1 | % | ||
Schwab Core Equity Fund | 23.6 | % | ||
Laudus International MarketMasters Fund, Select Shares | 9.8 | % | ||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares | 8.0 | % | ||
Schwab Dividend Equity Fund, Select Shares | 7.9 | % | ||
Schwab Small-Cap Equity Fund, Select Shares | 7.9 | % | ||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares | 7.5 | % | ||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares | 3.7 | % | ||
Schwab YieldPlus Fund, Select Shares | 0.9 | % | ||
Schwab Value Advantage Money Fund, Institutional Shares | 0.9 | % | ||
Total | 96.3 | % |
Table of Contents
Schwab Target 2020 Fund
Performance Summary as of 10/31/06
Performance of a Hypothetical $10,000 Investment1,3 | |||
Average Annual Total Returns1,2 | |||||||||||||||||||
1 year | Since Inception | ||||||||||||||||||
Fund: Schwab Target 2020 Fund (7/1/05) | 14.25 | % | 12.83 | % | |||||||||||||||
Benchmark: Target 2020 Composite Index | 15.03 | % | 12.71 | % | |||||||||||||||
Fund Category: Morningstar Target-Date 2015–2029 | 13.52 | % | 10.53 | % |
Table of Contents
Jeffrey Mortimer (upper left) CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. Kimon Daifotis (upper right) CFA, senior vice president and chief investment officer, fixed- income, is responsible for the overall management of the bond and cash portions of the fund. Caroline Lee (lower right) direc- tor and portfolio manager, is responsible for the day-to-day co-management of the fund. Tom Brown (lower left) associate portfolio manager, is responsible for the day-to-day co-management of the fund. | The Schwab Target Funds all share the same investment approach: each seeks to achieve its objective by investing in a combination of other Schwab Funds and Laudus Funds. The underlying funds include a combination of equity, fixed income and money market mutual funds to meet their various target asset allocations and investment styles. Performance of the Schwab Target Funds (the funds) reflects a blend of the results of their underlying funds. The portfolios of the funds with an earlier target date are more heavily allocated to fixed income, ultra-short fixed income and money market funds and represent a more conservative style of investment, while portfolios of the funds with later target dates have a higher percentage of assets allocated to equity funds. Schwab Target 2030 Fund (the fund) returned 14.99% for the one-year period, trailing its benchmark, Target 2030 Composite Index. The fund has the second farthest time horizon of the four dated funds and as such, has an even larger percentage of its assets allocated to equities as compared to its earlier dated counterparts. The fund’s primary asset allocation targets are 77% of its assets towards equity securities and 21% of its assets towards fixed-income securities. The fund’s emphasis on equity securities positively contributed to performance, as equity markets, both domestic and international, rallied during the one-year period. Within the equity allocation, outstanding funds included those with an international equity focus such as the Laudus Rosenberg International Small-Cap Fund Institutional Shares and the Laudus International MarketMasters Fund Select Shares. Within the fixed income allocation of the fund, the Schwab Total Bond Market Fund and Schwab YieldPlus Select Shares contributed to returns. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. | |
As of 10/31/06: |
Statistics | |||||
Number of Holdings | 10 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 39,357 | ||||
Price/Earnings Ratio (P/E) | 19.0 | ||||
Price/Book Ratio (P/B) | 2.8 |
Asset Class Weightings % of Investments | ||||
Equity Funds — Domestic | 56.4 | % | ||
Fixed-Income Funds | 20.7 | % | ||
Equity Funds — International | 18.7 | % | ||
Short-Term Investments | 4.2 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | ||||
Schwab Core Equity Fund | 26.5 | % | ||
Schwab Total Bond Market Fund | 19.7 | % | ||
Laudus International MarketMasters Fund, Select Shares | 11.7 | % | ||
Schwab Small-Cap Equity Fund, Select Shares | 9.6 | % | ||
Schwab Dividend Equity Fund, Select Shares | 7.9 | % | ||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares | 7.6 | % | ||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares | 6.9 | % | ||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares | 4.7 | % | ||
Schwab YieldPlus Fund, Select Shares | 1.0 | % | ||
Schwab Value Advantage Money Fund, Institutional Shares | 0.9 | % | ||
Total | 96.5 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment1,3 | |||
Average Annual Total Returns1,2 | |||||||||||||||||||
1 year | Since Inception | ||||||||||||||||||
Fund: Schwab Target 2030 Fund (7/1/05) | 14.99 | % | 13.55 | % | |||||||||||||||
Benchmark: Target 2030 Composite Index | 15.96 | % | 13.63 | % | |||||||||||||||
Fund Category: Morningstar Target-Date 2030+ | 15.46 | % | 13.55 | % |
Table of Contents
Jeffrey Mortimer (upper left) CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. Kimon Daifotis (upper right) CFA, senior vice president and chief investment officer, fixed- income, is responsible for the overall management of the bond and cash portions of the fund. Caroline Lee (lower right) direc- tor and portfolio manager, is responsible for the day-to-day co-management of the fund. Tom Brown (lower left) associate portfolio manager, is responsible for the day-to-day co-management of the fund. | The Schwab Target Funds all share the same investment approach: each seeks to achieve its objective by investing in a combination of other Schwab Funds and Laudus Funds. The underlying funds include a combination of equity, fixed income and money market mutual funds to meet their various target asset allocations and investment styles. Performance of the Schwab Target Funds (the funds) reflects a blend of the results of their underlying funds. The portfolios of the funds with an earlier target date are more heavily allocated to fixed income, ultra-short fixed income and money market funds and represent a more conservative style of investment, while portfolios of the funds with later target dates have a higher percentage of assets allocated to equity funds. Schwab Target 2040 Fund (the fund) returned 16.06% for the one-year period, outperforming its category average yet slightly trailing its benchmark, the Target 2040 Composite Index. The fund has the longest time horizon of the four dated funds and as such, has the largest percentage of assets allocated to equity securities. The fund’s primary target allocations are 84% of its assets to equity securities and 14% of its assets to fixed-income securities. The fund’s emphasis on equity securities positively contributed to performance, as equity markets, both domestic and international, rallied during the one-year period. Within the equity allocation, outstanding funds included those with an international equity focus such as the Laudus Rosenberg International Small-Cap Fund Institutional Shares and the Laudus International MarketMasters Fund Select Shares. Within the fixed income allocation of the fund, the Schwab Total Bond Market Fund and Schwab YieldPlus Fund Select Shares contributed to returns. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. | |
As of 10/31/06: |
Statistics | |||||
Number of Holdings | 10 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 39,758 | ||||
Price/Earnings Ratio (P/E) | 19.0 | ||||
Price/Book Ratio (P/B) | 2.8 |
Asset Class Weightings % of Investments | ||||
Equity Funds — Domestic | 60.7 | % | ||
Equity Funds — International | 20.4 | % | ||
Fixed-Income Funds | 14.0 | % | ||
Short-Term Investments | 4.9 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | ||||
Schwab Core Equity Fund | 27.0 | % | ||
Schwab Total Bond Market Fund | 13.0 | % | ||
Laudus International MarketMasters Fund, Select Shares | 12.4 | % | ||
Schwab Small-Cap Equity Fund, Select Shares | 10.3 | % | ||
Schwab Dividend Equity Fund, Select Shares | 8.8 | % | ||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares | 8.4 | % | ||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares | 7.8 | % | ||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares | 5.5 | % | ||
Schwab YieldPlus Fund, Select Shares | 0.9 | % | ||
Schwab Value Advantage Money Fund, Institutional Shares | 0.9 | % | ||
Total | 95.0 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment1,3 | |||
Average Annual Total Returns1,2 | |||||||||||||||||||
1 year | Since Inception | ||||||||||||||||||
Fund: Schwab Target 2040 Fund (7/1/05) | 16.06 | % | 14.75 | % | |||||||||||||||
Benchmark: Target 2040 Composite Index | 17.00 | % | 14.68 | % | |||||||||||||||
Fund Category: Morningstar Target-Date 2030+ | 15.46 | % | 13.55 | % |
Table of Contents
Jeffrey Mortimer (upper left) CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. Kimon Daifotis (upper right) CFA, senior vice president and chief investment officer, fixed- income, is responsible for the overall management of the bond and cash portions of the fund. Caroline Lee (lower right) direc- tor and portfolio manager, is responsible for the day-to-day co-management of the fund. Tom Brown (lower left) associate portfolio manager, is responsible for the day-to-day co-management of the fund. | The Schwab Target Funds all share the same investment approach: each seeks to achieve its objective by investing in a combination of other Schwab Funds and Laudus Funds. The underlying funds include a combination of equity, fixed income and money market mutual funds to meet their various target asset allocations and investment styles. Performance of the Schwab Target Funds (the funds) reflects a blend of the results of their underlying funds. The portfolios of the funds with an earlier target date and the Schwab Retirement Income Fund are more heavily allocated to fixed income, ultra-short fixed income and money market funds and represent a more conservative style of investment, while portfolios of the funds with later target dates have a higher percentage of assets allocated to equity funds. Schwab Retirement Income Fund (the fund) returned 7.52% for the period, slightly underperforming its benchmark, the Target Income Composite Index. The fund is designed for investors currently in retirement, and as such, has a majority of its portfolio invested in fixed income, ultra-short fixed income and money market funds. In addition, it seeks to provide current income with equity growth potential. Since the fund invests up to 75% of its assets in fixed-income and ultra-short fixed-income securities, the performance of the bond market had a significant impact on the fund’s performance. Within the fixed income allocation of the fund, the Schwab Total Bond Market Fund and the Schwab YieldPlus Fund Select Shares contributed to returns. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. The fund’s 20% target allocation to equity securities positively contributed to performance, as equity markets rallied during the one-year period. | |
As of 10/31/06: |
Statistics | |||||
Number of Holdings | 5 | ||||
Weighted Average Market Cap ($ x 1,000,000) | 49,039 | ||||
Price/Earnings Ratio (P/E) | 17.9 | ||||
Price/Book Ratio (P/B) | 2.7 |
Asset Class Weightings % of Investments | ||||
Fixed-Income Funds | 72.8 | % | ||
Equity Funds — Domestic | 15.7 | % | ||
Short-Term Investments | 6.6 | % | ||
Equity Funds — International | 4.9 | % | ||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | ||||
Schwab Total Bond Market Fund | 48.2 | % | ||
Schwab YieldPlus Fund, Select Shares | 24.2 | % | ||
Schwab Dividend Equity Fund, Select Shares | 15.6 | % | ||
Laudus International MarketMasters Fund, Select Shares | 4.9 | % | ||
Schwab Value Advantage Money Fund, Institutional Shares | 4.6 | % | ||
Total | 97.5 | % |
Table of Contents
Performance of a Hypothetical $10,000 Investment1,3 | |||
Average Annual Total Returns1,2 | |||||||||||||||||||
1 year | Since Inception | ||||||||||||||||||
Fund: Schwab Retirement Income Fund (7/1/05) | 7.52 | % | 5.68 | % | |||||||||||||||
Benchmark: Target Income Composite Index | 7.74 | % | 5.94 | % | |||||||||||||||
Fund Category: Morningstar Conservative Allocation | 8.43 | % | 6.53 | % |
Table of Contents
Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab 2010 Target Fund | ||||||||||||||||||
Actual Return | 0.06 | % | $ | 1,000 | $ | 1,034.40 | $ | 0.31 | ||||||||||
Hypothetical 5% Return | 0.06 | % | $ | 1,000 | $ | 1,024.90 | $ | 0.31 | ||||||||||
Schwab 2020 Target Fund | ||||||||||||||||||
Actual Return | 0.04 | % | $ | 1,000 | $ | 1,034.00 | $ | 0.21 | ||||||||||
Hypothetical 5% Return | 0.04 | % | $ | 1,000 | $ | 1,025.00 | $ | 0.20 | ||||||||||
Schwab 2030 Target Fund | ||||||||||||||||||
Actual Return | 0.03 | % | $ | 1,000 | $ | 1,032.70 | $ | 0.15 | ||||||||||
Hypothetical 5% Return | 0.03 | % | $ | 1,000 | $ | 1,025.05 | $ | 0.15 | ||||||||||
Schwab 2040 Target Fund | ||||||||||||||||||
Actual Return | 0.01 | % | $ | 1,000 | $ | 1,031.40 | $ | 0.05 | ||||||||||
Hypothetical 5% Return | 0.01 | % | $ | 1,000 | $ | 1,025.16 | $ | 0.05 | ||||||||||
Schwab Retirement Income Fund | ||||||||||||||||||
Actual Return | 0.10 | % | $ | 1,000 | $ | 1,039.90 | $ | 0.51 | ||||||||||
Hypothetical 5% Return | 0.10 | % | $ | 1,000 | $ | 1,024.70 | $ | 0.51 |
Table of Contents
11/1/05— 10/31/06 | 7/1/051— 10/31/05 | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||||||
Net asset value at beginning of period | 10.24 | 10.00 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||
Net investment income | 0.22 | 0.04 | ||||||||||||||||||||||||
Net realized and unrealized gains | 1.13 | 0.20 | ||||||||||||||||||||||||
Total income from investment operations | 1.35 | 0.24 | ||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||
Dividends from net investment income | (0.17 | ) | — | |||||||||||||||||||||||
Net asset value at end of period | 11.42 | 10.24 | ||||||||||||||||||||||||
Total return (%) | 13.39 | 2.40 | 2 | |||||||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||
Net operating expenses3 | 0.06 | 0.06 | 4 | |||||||||||||||||||||||
Gross operating expenses3 | 0.27 | 0.37 | 4 | |||||||||||||||||||||||
Net investment income | 2.12 | 1.51 | 4 | |||||||||||||||||||||||
Portfolio turnover rate | 0 | 5 | — | |||||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 62 | 32 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | The expenses incurred by underlying funds in which the fund invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
4 | Annualized. |
5 | Less than 1% |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
96.9% | Other Investment Companies | 55,435 | 60,115 | |||||||||||||
2.7% | Short-Term Investment | 1,699 | 1,699 | |||||||||||||
99.6% | Total Investments | 57,134 | 61,814 | |||||||||||||
0.4% | Other Assets and Liabilities, Net | 222 | ||||||||||||||
100.0% | Total Net Assets | 62,036 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 96.9% of net assets | |||||||||||
Equity Funds 62.0% | |||||||||||
Laudus International MarketMasters Fund, Select Shares (a) | 306,147 | 6,358 | |||||||||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares (a) | 178,133 | 3,912 | |||||||||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares (a) | 121,214 | 2,302 | |||||||||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares (a) | 420,814 | 3,964 | |||||||||
Schwab Core Equity Fund (a) | 742,979 | 13,671 | |||||||||
Schwab Dividend Equity Fund, Select Shares (a) | 283,748 | 4,143 | |||||||||
Schwab Small-Cap Equity Fund, Select Shares (a) | 233,285 | 4,152 | |||||||||
38,502 | |||||||||||
Fixed-Income Funds 34.0% | |||||||||||
Schwab Total Bond Market Fund (a) | 2,088,164 | 20,527 | |||||||||
Schwab YieldPlus Fund, Select Shares (a) | 56,292 | 545 | |||||||||
21,072 | |||||||||||
Money Funds 0.9% | |||||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 541,166 | 541 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 2.7% of net assets | |||||||||||
Brown Brothers Harriman, Grand Cayman Time Deposit 4.71%, 11/01/06 | 79 | 79 | |||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 1,620 | 1,620 | |||||||||
1,699 |
End of Investments.
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets and Liabilities
Assets | ||||||
Investments in affiliated underlying funds, at value (cost $55,435) | $ | 60,115 | ||||
Investments in unaffiliated issuers, at value (cost $1,699) | 1,699 | |||||
Total investments, at value (cost $57,134) | 61,814 | |||||
Receivables: | ||||||
Fund shares sold | 267 | |||||
Dividends | + | 86 | ||||
Total assets | 62,167 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 85 | |||||
Due to investment adviser | 7 | |||||
Fund shares redeemed | 7 | |||||
Trustee fees | 1 | |||||
Accrued expenses | + | 31 | ||||
Total liabilities | 131 | |||||
Net Assets | ||||||
Total assets | 62,167 | |||||
Total liabilities | –131 | |||||
Net assets | $ | 62,036 | ||||
Net Assets by Source | ||||||
Capital received from investors | 56,602 | |||||
Net investment income not yet distributed | 603 | |||||
Net realized capital gains | 151 | |||||
Net unrealized capital gains | 4,680 | |||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$62,036 | 5,432 | $ | 11.42 |
Table of Contents
Operations
Investment Income | ||||||
Dividends received from affiliated underlying funds | $ | 954 | ||||
Interest | + | 38 | ||||
Total Investment Income | 992 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains received from affiliated underlying funds | 260 | |||||
Net realized losses on investments | + | (15 | ) | |||
Net realized gains | 245 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains from affiliated underlying funds | 4,325 | |||||
Expenses | ||||||
Registration fees | 56 | |||||
Professional fees | 33 | |||||
Portfolio accounting fees | 10 | |||||
Shareholder reports | 9 | |||||
Trustees’ fees | 6 | |||||
Custodian fees | 4 | |||||
Other expenses | + | 6 | ||||
Total expenses | 124 | |||||
Expense reduction by adviser and Schwab | –97 | |||||
Net expenses | 27 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 992 | |||||
Net expenses | –27 | |||||
Net investment income | 965 | |||||
Net realized gains | 245 | |||||
Net unrealized gains | + | 4,325 | ||||
Increase in net assets from operations | $ | 5,535 |
Table of Contents
Changes in Net Assets
Operations |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 965 | $ | 136 | |||||||||||||||
Net realized gains | 245 | — | |||||||||||||||||
Net unrealized gains | + | 4,325 | 355 | ||||||||||||||||
Increase in net assets from operations | 5,535 | 491 | |||||||||||||||||
Distributions Paid | |||||||||||||||||||
Dividends from net investment income | $ | 592 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 3,028 | $ | 32,857 | 3,174 | $ | 32,017 | |||||||||||||
Shares Reinvested | 52 | 546 | — | — | |||||||||||||||
Shares Redeemed | + | (749 | ) | (8,074 | ) | (73 | ) | (744 | ) | ||||||||||
Net transactions in fund shares | 2,331 | $ | 25,329 | 3,101 | $ | 31,273 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 3,101 | $ | 31,764 | — | $ | — | |||||||||||||
Total increase | + | 2,331 | 30,272 | 3,101 | 31,764 | ||||||||||||||
End of period | 5,432 | $ | 62,036 | 3,101 | $ | 31,764 | |||||||||||||
Net investment income not yet distributed | $ | 603 | $ | 136 |
Table of Contents
11/1/05— 10/31/06 | 7/1/051— 10/31/05 | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||||||
Net asset value at beginning of period | 10.28 | 10.00 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||
Net investment income | 0.21 | 0.04 | ||||||||||||||||||||||||
Net realized and unrealized gains | 1.25 | 0.24 | ||||||||||||||||||||||||
Total income from investment operations | 1.46 | 0.28 | ||||||||||||||||||||||||
Less distributions: | �� | |||||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | — | |||||||||||||||||||||||
Net asset value at end of period | 11.56 | 10.28 | ||||||||||||||||||||||||
Total return (%) | 14.36 | 2.80 | 2 | |||||||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||
Net operating expenses3 | 0.04 | 0.04 | 4 | |||||||||||||||||||||||
Gross operating expenses3 | 0.22 | 0.36 | 4 | |||||||||||||||||||||||
Net investment income | 1.84 | 1.29 | 4 | |||||||||||||||||||||||
Portfolio turnover rate | — | — | ||||||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 84 | 35 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | The expenses incurred by underlying funds in which the fund invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
4 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
96.3% | Other Investment Companies | 74,274 | 80,582 | |||||||||||||
3.3% | Short-Term Investment | 2,725 | 2,725 | |||||||||||||
99.6% | Total Investments | 76,999 | 83,307 | |||||||||||||
0.4% | Other Assets and Liabilities, Net | 335 | ||||||||||||||
100.0% | Total Net Assets | 83,642 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 96.3% of net assets | |||||||||||
Equity Funds 68.3% | |||||||||||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares (a) | 666,762 | 6,281 | |||||||||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares (a) | 165,020 | 3,134 | |||||||||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares (a) | 303,325 | 6,661 | |||||||||
Laudus International MarketMasters Fund, Select Shares (a) | 393,535 | 8,173 | |||||||||
Schwab Dividend Equity Fund, Select Shares (a) | 452,744 | 6,610 | |||||||||
Schwab Small-Cap Equity Fund, Select Shares (a) | 370,789 | 6,600 | |||||||||
Schwab Core Equity Fund (a) | 1,070,972 | 19,706 | |||||||||
57,165 | |||||||||||
Fixed-Income Funds 27.1% | |||||||||||
Schwab Total Bond Market Fund (a) | 2,225,012 | 21,872 | |||||||||
Schwab YieldPlus Fund, Select Shares (a) | 80,045 | 775 | |||||||||
22,647 | |||||||||||
Money Funds 0.9% | |||||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 769,641 | 770 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 3.3% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 575 | 575 | |||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 2,150 | 2,150 | |||||||||
2,725 |
End of Investments.
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets and Liabilities
Assets | ||||||
Investments in affiliated underlying funds, at value (cost $74,274) | $ | 80,582 | ||||
Investments in unaffiliated issuers, at value (cost $2,725) | 2,725 | |||||
Total investments, at value (cost $76,999) | 83,307 | |||||
Receivables: | ||||||
Fund shares sold | 381 | |||||
Dividends | + | 93 | ||||
Total assets | 83,781 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 91 | |||||
Due to investment adviser | 17 | |||||
Fund shares redeemed | 12 | |||||
Trustee fees | 1 | |||||
Accrued expenses | + | 18 | ||||
Total liabilities | 139 | |||||
Net Assets | ||||||
Total assets | 83,781 | |||||
Total liabilities | –139 | |||||
Net assets | $ | 83,642 | ||||
Net Assets by Source | ||||||
Capital received from investors | 76,486 | |||||
Net investment income not yet distributed | 617 | |||||
Net realized capital gains | 231 | |||||
Net unrealized capital gains | 6,308 | |||||
Net Asset Value (NAV) by Shares Class |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$83,642 | 7,236 | $ | 11.56 |
Table of Contents
Operations
Investment Income | ||||||
Dividends received from affiliated underlying funds | $ | 1,025 | ||||
Interest | + | 58 | ||||
Total Investment Income | 1,083 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains received from affiliated underlying funds | 353 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains from affiliated underlying funds | 5,874 | |||||
Expenses | ||||||
Registration fees | 49 | |||||
Professional fees | 33 | |||||
Shareholder reports | 13 | |||||
Portfolio accounting fees | 10 | |||||
Custodian fees | 8 | |||||
Trustees’ fees | 6 | |||||
Other expenses | + | 6 | ||||
Total expenses | 125 | |||||
Expense reduction by adviser and Schwab | –103 | |||||
Net expenses | 22 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 1,083 | |||||
Net expenses | –22 | |||||
Net investment income | 1,061 | |||||
Net realized gains | 353 | |||||
Net unrealized gains | + | 5,874 | ||||
Increase in net assets from operations | $ | 7,288 |
Table of Contents
Changes in Net Assets
Operations |
11/1/05–10/31/06 | 7/01/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 1,061 | $ | 121 | |||||||||||||||
Net realized gains or losses | 353 | — | |||||||||||||||||
Net unrealized gains | + | 5,874 | 434 | ||||||||||||||||
Increase in net assets from operations | 7,288 | 555 | |||||||||||||||||
Distributions Paid | |||||||||||||||||||
Dividends from net investment income | $ | 687 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 4,728 | $ | 51,841 | 3,422 | $ | 34,636 | |||||||||||||
Shares Reinvested | 64 | 672 | — | — | |||||||||||||||
Shares Redeemed | + | (933 | ) | (10,204 | ) | (45 | ) | (459 | ) | ||||||||||
Net transactions in fund shares | 3,859 | $ | 42,309 | 3,377 | $ | 34,177 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 3,377 | $ | 34,732 | — | $ | — | |||||||||||||
Total increase or decrease | + | 3,859 | 48,910 | 3,377 | 34,732 | ||||||||||||||
End of period | 7,236 | $ | 83,642 | 3,377 | $ | 34,732 | |||||||||||||
Net investment income not yet distributed | $ | 617 | $ | 121 |
* | Commencement of operations. |
Table of Contents
11/1/05— 10/31/06 | 7/1/051— 10/31/05 | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||||||
Net asset value at beginning of period | 10.31 | 10.00 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||
Net investment income | 0.19 | 0.03 | ||||||||||||||||||||||||
Net realized and unrealized gains | 1.34 | 0.28 | ||||||||||||||||||||||||
Total income from investment operations | 1.53 | 0.31 | ||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||
Distributions from net income | (0.17 | ) | — | |||||||||||||||||||||||
Net asset value at end of period | 11.67 | 10.31 | ||||||||||||||||||||||||
Total return (%) | 14.99 | 3.10 | 2 | |||||||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||
Net operating expenses3 | 0.03 | 0.03 | 4 | |||||||||||||||||||||||
Gross operating expenses3 | 0.32 | 0.58 | 4 | |||||||||||||||||||||||
Net investment income | 1.54 | 1.05 | 4 | |||||||||||||||||||||||
Portfolio turnover rate | — | — | ||||||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 56 | 19 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | The expenses incurred by underlying funds in which the fund invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
4 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
96.5% | Other Investment Companies | 49,702 | 53,946 | |||||||||||||
3.2% | Short-Term Investment | 1,796 | 1,796 | |||||||||||||
99.7% | Total Investments | 51,498 | 55,742 | |||||||||||||
0.3% | Other Assets and Liabilities, Net | 178 | ||||||||||||||
100.0% | Total Net Assets | 55,920 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 96.5% of net assets | |||||||||||
Equity Funds 74.9% | |||||||||||
Laudus International MarketMasters Fund, Select Shares (a) | 315,461 | 6,552 | |||||||||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares (a) | 176,415 | 3,874 | |||||||||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares (a) | 138,401 | 2,628 | |||||||||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares (a) | 448,858 | 4,229 | |||||||||
Schwab Core Equity Fund (a) | 804,632 | 14,805 | |||||||||
Schwab Dividend Equity Fund, Select Shares (a) | 303,714 | 4,434 | |||||||||
Schwab Small-Cap Equity Fund, Select Shares (a) | 300,759 | 5,354 | |||||||||
41,876 | |||||||||||
Fixed-Income Funds 20.7% | |||||||||||
Schwab Total Bond Market Fund (a) | 1,121,864 | 11,028 | |||||||||
Schwab YieldPlus Fund, Select Shares (a) | 54,012 | 523 | |||||||||
11,551 | |||||||||||
Money Funds 0.9% | |||||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 519,480 | 519 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 3.2% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 371 | 371 | |||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 1,425 | 1,425 | |||||||||
1,796 |
End of Investments.
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets and Liabilities
Assets | ||||||
Investments in affiliated underlying funds, at value (cost $49,702) | $ | 53,946 | ||||
Investments in unaffiliated issuers, at value (cost $1,796) | 1,796 | |||||
Total investments, at value (cost $51,498) | 55,742 | |||||
Receivables: | ||||||
Fund shares sold | 210 | |||||
Dividends | 48 | |||||
Due from investment adviser | + | 3 | ||||
Total assets | 56,003 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 47 | |||||
Fund shares redeemed | 4 | |||||
Trustee fees | 1 | |||||
Accrued expenses | + | 31 | ||||
Total liabilities | 83 | |||||
Net Assets | ||||||
Total assets | 56,003 | |||||
Total liabilities | –83 | |||||
Net assets | $ | 55,920 | ||||
Net Assets by Source | ||||||
Capital received from investors | 51,246 | |||||
Net investment income not yet distributed | 297 | |||||
Net realized capital gains | 133 | |||||
Net unrealized capital gains | 4,244 |
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$55,920 | 4,791 | $ | 11.67 |
Table of Contents
Operations
Investment Income | ||||||
Dividends received from affiliated underlying funds | $ | 518 | ||||
Interest | + | 40 | ||||
Total Investment Income | 558 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains received from affiliated underlying funds | 192 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains from affiliated underlying funds | 3,992 | |||||
Expenses | ||||||
Registration fees | 45 | |||||
Professional fees | 33 | |||||
Shareholder reports | 10 | |||||
Portfolio accounting fees | 8 | |||||
Custodian fees | 7 | |||||
Trustees’ fees | 6 | |||||
Other expenses | + | 6 | ||||
Total expenses | 115 | |||||
Expense reduction by adviser and Schwab | –104 | |||||
Net expenses | 11 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 558 | |||||
Net expenses | –11 | |||||
Net investment income | 547 | |||||
Net realized gains | 192 | |||||
Net unrealized gains | + | 3,992 | ||||
Increase in net assets from operations | $ | 4,731 |
Table of Contents
Changes in Net Assets
Operations |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 547 | $ | 51 | |||||||||||||||
Net realized gains | 192 | — | |||||||||||||||||
Net unrealized gains | + | 3,992 | 252 | ||||||||||||||||
Increase in net assets from operations | 4,731 | 303 | |||||||||||||||||
Distributions Paid | |||||||||||||||||||
Dividends from net investment income | $ | 360 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 3,408 | $ | 37,640 | 1,866 | $ | 18,936 | |||||||||||||
Shares Reinvested | 33 | 346 | — | — | |||||||||||||||
Shares Redeemed | + | (497 | ) | (5,487 | ) | (19 | ) | (189 | ) | ||||||||||
Net transactions in fund shares | 2,944 | $ | 32,499 | 1,847 | $ | 18,747 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 1,847 | $ | 19,050 | — | $ | — | |||||||||||||
Total increase | + | 2,944 | 36,870 | 1,847 | 19,050 | ||||||||||||||
End of period | 4,791 | $ | 55,920 | 1,847 | $ | 19,050 | |||||||||||||
Net investment income not yet distributed | $ | 297 | $ | 51 |
* | Commencement of operations |
Table of Contents
11/1/05— 10/31/06 | 7/1/051— 10/31/05 | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||||||
Net asset value at beginning of period | 10.36 | 10.00 | ||||||||||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||
Net investment income | 0.19 | 0.02 | ||||||||||||||||||||||||
Net realized and unrealized gains | 1.45 | 0.34 | ||||||||||||||||||||||||
Total income from investment operations | 1.64 | 0.36 | ||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||
Dividends from net investment income | (0.17 | ) | — | |||||||||||||||||||||||
Net asset value at end of period | 11.83 | 10.36 | ||||||||||||||||||||||||
Total return (%) | 16.06 | 3.60 | 2 | |||||||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||
Net operating expenses3 | 0.01 | 0.01 | 4 | |||||||||||||||||||||||
Gross operating expenses3 | 0.48 | 1.10 | 4 | |||||||||||||||||||||||
Net investment income | 1.26 | 0.80 | 4 | |||||||||||||||||||||||
Portfolio turnover rate | 1 | — | ||||||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 34 | 9 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | The expense incurred by underlying funds in which the fund invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
4 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
95.0% | Other Investment Companies | 29,569 | 32,008 | |||||||||||||
3.9% | Short-Term Investment | 1,328 | 1,328 | |||||||||||||
98.9% | Total Investments | 30,897 | 33,336 | |||||||||||||
1.1% | Other Assets and Liabilities, Net | 360 | ||||||||||||||
100.0% | Total Net Assets | 33,696 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 95.0% of net assets | |||||||||||
Equity Funds 80.2% | |||||||||||
Laudus International MarketMasters Fund, Select Shares (a) | 201,740 | 4,190 | |||||||||
Laudus Rosenberg International Small Capitalization Fund, Institutional Shares (a) | 118,789 | 2,609 | |||||||||
Laudus Rosenberg U.S. Discovery Fund, Institutional Shares (a) | 98,138 | 1,864 | |||||||||
Laudus Rosenberg U.S. Large Capitalization Growth Fund, Institutional Shares (a) | 299,316 | 2,820 | |||||||||
Schwab Core Equity Fund (a) | 494,529 | 9,099 | |||||||||
Schwab Dividend Equity Fund, Select Shares (a) | 202,303 | 2,954 | |||||||||
Schwab Small-Cap Equity Fund, Select Shares (a) | 195,648 | 3,482 | |||||||||
27,018 | |||||||||||
Fixed-Income Funds 13.9% | |||||||||||
Schwab Total Bond Market Fund (a) | 444,695 | 4,371 | |||||||||
Schwab YieldPlus Fund, Select Shares (a) | 32,063 | 311 | |||||||||
4,682 | |||||||||||
Money Funds 0.9% | |||||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 308,415 | 308 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 3.9% of net assets | |||||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 496 | 496 | |||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 832 | 832 | |||||||||
1,328 |
End of Investments.
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets and Liabilities
Assets | ||||||
Investments in affiliated underlying funds, at value (cost $29,569) | $ | 32,008 | ||||
Investments in unaffiliated issuers, at value (cost $1,328) | 1,328 | |||||
Total investments, at value (cost $30,897) | 33,336 | |||||
Receivables: | ||||||
Fund shares sold | 396 | |||||
Dividends | 19 | |||||
Due from investment adviser | + | 6 | ||||
Total assets | 33,757 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 19 | |||||
Fund shares redeemed | 12 | |||||
Trustee fees | 1 | |||||
Accrued expenses | + | 29 | ||||
Total liabilities | 61 | |||||
Net Assets | ||||||
Total assets | 33,757 | |||||
Total liabilities | –61 | |||||
Net assets | $ | 33,696 | ||||
Net Assets by Source | ||||||
Capital received from investors | 31,064 | |||||
Net investment income not yet distributed | 117 | |||||
Net realized capital gains | 76 | |||||
Net unrealized capital gains | 2,439 |
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$33,696 | 2,849 | $ | 11.83 |
Table of Contents
Operations
Investment Income | ||||||
Dividends received from affiliated underlying funds | $ | 227 | ||||
Interest | + | 25 | ||||
Total Investment Income | 252 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains received from affiliated underlying funds | 108 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains from affiliated underlying funds | 2,315 | |||||
Expenses | ||||||
Professional fees | 32 | |||||
Registration fees | 29 | |||||
Portfolio accounting fees | 8 | |||||
Shareholder reports | 7 | |||||
Custodian fees | 7 | |||||
Trustees’ fees | 6 | |||||
Other expenses | + | 6 | ||||
Total expenses | 95 | |||||
Expense reduction by adviser and Schwab | –93 | |||||
Net expenses | 2 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 252 | |||||
Net expenses | –2 | |||||
Net investment income | 250 | |||||
Net realized gains | 108 | |||||
Net unrealized gains | + | 2,315 | ||||
Increase in net assets from operations | $ | 2,673 |
Table of Contents
Changes in Net Assets
Operations |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 250 | $ | 17 | |||||||||||||||
Net realized gains | 108 | — | |||||||||||||||||
Net unrealized gains | + | 2,315 | 124 | ||||||||||||||||
Increase in net assets from operations | 2,673 | 141 | |||||||||||||||||
Distributions Paid | |||||||||||||||||||
Dividends from net investment income | $ | 182 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 2,218 | $ | 24,869 | 894 | $ | 9,127 | |||||||||||||
Shares Reinvested | 16 | 176 | — | — | |||||||||||||||
Shares Redeemed | + | (255 | ) | (2,853 | ) | (24 | ) | (255 | ) | ||||||||||
Net transactions in fund shares | 1,979 | $ | 22,192 | 870 | $ | 8,872 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 870 | $ | 9,013 | — | $ | — | |||||||||||||
Total increase | + | 1,979 | 24,683 | 870 | 9,013 | ||||||||||||||
End of period | 2,849 | $ | 33,696 | 870 | $ | 9,013 | |||||||||||||
Net investment income not yet distributed | $ | 117 | $ | 17 |
* | Commencement of operations |
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11/1/05— 10/31/06 | 7/1/051— 10/31/05 | |||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||||||
Net asset value at beginning of period | 9.90 | 10.00 | ||||||||||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||||||
Net investment income | 0.41 | 0.11 | ||||||||||||||||||||||||
Net realized and unrealized gains or losses | 0.32 | (0.09 | ) | |||||||||||||||||||||||
Total income or loss from investment operations | 0.73 | 0.02 | ||||||||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||||
Dividends from net investment income | (0.41 | ) | (0.12 | ) | ||||||||||||||||||||||
Distributions from net realized gains | (0.03 | ) | — | |||||||||||||||||||||||
Total distributions | (0.44 | ) | (0.12 | ) | ||||||||||||||||||||||
Net asset value at end of period | 10.19 | 9.90 | ||||||||||||||||||||||||
Total return (%) | 7.52 | 0.16 | 2 | |||||||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||
Net operating expenses3 | 0.10 | 0.10 | 4 | |||||||||||||||||||||||
Gross operating expenses3 | 0.36 | 0.64 | 4 | |||||||||||||||||||||||
Net investment income | 4.20 | 3.40 | 4 | |||||||||||||||||||||||
Portfolio turnover rate | 1 | — | ||||||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 36 | 14 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | The expenses incurred by underlying funds in which the fund invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
4 | Annualized. |
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Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
97.5% | Other Investment Companies | 34,791 | 35,503 | |||||||||||||
1.9% | Short-Term Investment | 703 | 703 | |||||||||||||
99.4% | Total Investments | 35,494 | 36,206 | |||||||||||||
0.6% | Other Assets and Liabilities, Net | 216 | ||||||||||||||
100.0% | Total Net Assets | 36,422 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 97.5% of net assets | |||||||||||
Equity Funds 20.5% | |||||||||||
Laudus International MarketMasters Fund, Select Shares (a) | 85,531 | 1,776 | |||||||||
Schwab Dividend Equity Fund, Select Shares (a) | 390,464 | 5,701 | |||||||||
7,477 | |||||||||||
Fixed-Income Funds 72.4% | |||||||||||
Schwab Total Bond Market Fund (a) | 1,785,980 | 17,556 | |||||||||
Schwab YieldPlus Fund, Select Shares (a) | 908,911 | 8,798 | |||||||||
26,354 | |||||||||||
Money Funds 4.6% | |||||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 1,671,533 | 1,672 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 1.9% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 703 | 703 |
End of Investments.
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets and Liabilities
Assets | ||||||
Investments in affiliated underlying funds, at value (cost $34,791) | $ | 35,503 | ||||
Investments in unaffiliated issuers, at value (cost $703) | 703 | |||||
Total investments, at value (cost $35,494) | 36,206 | |||||
Receivables: | ||||||
Fund shares sold | 305 | |||||
Dividends | 114 | |||||
Due from investment adviser | + | 9 | ||||
Total assets | 36,634 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 110 | |||||
Fund shares redeemed | 23 | |||||
Accrued expenses | + | 79 | ||||
Total liabilities | 212 | |||||
Net Assets | ||||||
Total assets | 36,634 | |||||
Total liabilities | –212 | |||||
Net assets | $ | 36,422 | ||||
Net Assets by Source | ||||||
Capital received from investors | 35,710 | |||||
Net investment income not yet distributed | 4 | |||||
Net realized capital losses | (4 | ) | ||||
Net unrealized capital gains | 712 |
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$36,422 | 3,573 | $ | 10.19 |
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Operations
Investment Income | ||||||
Dividends received from affiliated underlying funds | $ | 1,206 | ||||
Interest | + | 28 | ||||
Total Investment Income | 1,234 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains received from affiliated underlying funds | 65 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains from affiliated underlying funds | 829 | |||||
Expenses | ||||||
Registration fees | 37 | |||||
Professional fees | 33 | |||||
Portfolio accounting fees | 9 | |||||
Trustees’ fees | 6 | |||||
Shareholder reports | 6 | |||||
Custodian fees | 5 | |||||
Other expenses | + | 6 | ||||
Total expenses | 102 | |||||
Expense reduction by adviser and Schwab | –73 | |||||
Net expenses | 29 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 1,234 | |||||
Net expenses | –29 | |||||
Net investment income | 1,205 | |||||
Net realized gains | 65 | |||||
Net unrealized gains | + | 829 | ||||
Increase in net assets from operations | $ | 2,099 |
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Changes in Net Assets
Operations |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 1,205 | $ | 124 | |||||||||||||||
Net realized gains | 65 | — | |||||||||||||||||
Net unrealized gains or losses | + | 829 | (117 | ) | |||||||||||||||
Increase in net assets from operations | 2,099 | 7 | |||||||||||||||||
Distributions Paid | |||||||||||||||||||
Dividends from net investment income | $ | 1,205 | $ | 138 | |||||||||||||||
Distributions from net realized gains | 65 | — | |||||||||||||||||
Total distributions | $ | 1,270 | $ | 138 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 7/1/05*–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | 3,030 | $ | 30,303 | 1,508 | $ | 15,066 | |||||||||||||
Shares reinvested | 86 | 859 | 10 | 99 | |||||||||||||||
Shares redeemed | + | (953 | ) | (9,526 | ) | (108 | ) | (1,077 | ) | ||||||||||
Net transactions in fund shares | 2,163 | $ | 21,636 | 1,410 | $ | 14,088 | |||||||||||||
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 7/1/05–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 1,410 | $ | 13,957 | — | $ | — | |||||||||||||
Total increase | + | 2,163 | 22,465 | 1,410 | 13,957 | ||||||||||||||
End of period | 3,573 | $ | 36,422 | 1,410 | $ | 13,957 | |||||||||||||
Net investment income not yet distributed | 4 | — |
* | Commencement of operations. |
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1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund Schwab S&P 500 Index Fund Schwab Institutional Select® S&P 500 Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Schwab MarketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ | Schwab MarketTrack Conservative Portfolio™ Laudus U.S. MarketMasters Fund™ Laudus Small-Cap MarketMasters Fund™ Laudus International MarketMasters Fund™ Schwab Viewpoints Fund™ Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ |
2. | Significant Accounting Policies: |
(a) | Security Valuation: |
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3. | Affiliates and Affiliated Transactions: (All dollar amounts are × 1,000) |
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Target 2010 Fund | 0.06 | % | ||||
Target 2020 Fund | 0.04 | % | ||||
Target 2030 Fund | 0.03 | % | ||||
Target 2040 Fund | 0.01 | % | ||||
Retirement Income Fund | 0.10 | % |
Target 2010 Fund | | Target 2020 Fund | | Target 2030 Fund | | Target 2040 Fund | | Retirement Income Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Active Equity Funds: | ||||||||||||||||||||||
Core Equity Fund | 1.2 | % | 1.8 | % | 1.3 | % | 0.8 | % | — | |||||||||||||
Dividend Equity Fund | 0.3 | % | 0.5 | % | 0.3 | % | 0.2 | % | 0.4 | % | ||||||||||||
Small-Cap Equity Fund | 0.6 | % | 0.9 | % | 0.8 | % | 0.5 | % | — | |||||||||||||
Laudus MarketMasters Funds: | ||||||||||||||||||||||
International MarketMasters Fund | 0.3 | % | 0.4 | % | 0.3 | % | 0.2 | % | 0.1 | % | ||||||||||||
Laudus Rosenberg Funds: | ||||||||||||||||||||||
U.S. Large Capitalization Growth Fund | 6.4 | % | 10.1 | % | 6.8 | % | 4.5 | % | — | |||||||||||||
U.S. Discovery Fund | 0.3 | % | 0.3 | % | 0.3 | % | 0.2 | % | — | |||||||||||||
International Small Capitalization Fund | 0.2 | % | 0.4 | % | 0.2 | % | 0.2 | % | — | |||||||||||||
Schwab Bond Funds: | ||||||||||||||||||||||
Total Bond Market Fund | 1.6 | % | 1.7 | % | 0.9 | % | 0.3 | % | 1.4 | % | ||||||||||||
YieldPlus Fund | —* | —* | —* | —* | 0.1 | % | ||||||||||||||||
Schwab Money Funds: | ||||||||||||||||||||||
Value Advantage Money Fund | —* | —* | —* | —* | —* |
* | Less than 0.1%. |
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4. | Purchases and Sales of Investment Securities: (All dollar amounts are × 1,000) |
Purchases of Securities | Sales/Maturities of Securities | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Target 2010 Fund | $ | 24,807 | $ | 166 | ||||||
Target 2020 Fund | 40,820 | — | ||||||||
Target 2030 Fund | 31,835 | — | ||||||||
Target 2040 Fund | 21,155 | 131 | ||||||||
Retirement Income Fund | 21,255 | 215 |
5. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | Prior Period | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Target 2010 Fund | $ | 1 | $ | 1 | ||||||
Target 2020 Fund | 11 | 1 | ||||||||
Target 2030 Fund | 4 | 1 | ||||||||
Target 2040 Fund | 5 | — | ||||||||
Retirement Income Fund | — | — |
6. | Borrowing: (All dollar amounts are × 1,000) |
Fund | Amount Outstanding at 10/31/06 | Average Borrowing* | Weighted Average Interest Rate*(%) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Target 2010 Fund | $ | — | $ | 44 | 5.14 | |||||||||
Target 2020 Fund | — | 140 | 4.79 | |||||||||||
Target 2030 Fund | — | —** | 5.50 | |||||||||||
Target 2040 Fund | — | 31 | 4.77 | |||||||||||
Retirement Income Fund | — | 135 | 4.76 |
* | Based on the number of days for which the borrowing is outstanding. |
** | Amount is less than $1,000. |
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7. | Federal Income Taxes: (All dollar amounts are × 1,000) |
Target 2010 Fund | | Target 2020 Fund | | Target 2030 Fund | | Target 2040 Fund | | Retirement Income Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed ordinary income | $ | 603 | $ | 617 | $ | 297 | $ | 118 | $ | 4 | ||||||||||||
Undistributed long-term capital gains | 166 | 231 | 133 | 75 | — | |||||||||||||||||
Unrealized appreciation | 4,848 | 6,430 | 4,271 | 2,438 | 817 | |||||||||||||||||
Unrealized depreciation | (182 | ) | (122 | ) | (27 | ) | — | (109 | ) | |||||||||||||
Net unrealized appreciation | $ | 4,666 | $ | 6,308 | $ | 4,244 | $ | 2,438 | $ | 708 |
Target 2010 Fund | | Target 2020 Fund | | Target 2030 Fund | | Target 2040 Fund | | Retirement Income Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Current period distributions | ||||||||||||||||||||||
Ordinary income | $ | 592 | $ | 687 | $ | 360 | $ | 182 | $ | 1,227 | ||||||||||||
Long-term capital gains | — | — | — | — | 43 | |||||||||||||||||
Return of capital | — | — | — | — | — | |||||||||||||||||
Prior period distributions | ||||||||||||||||||||||
Ordinary income | — | — | — | — | 138 | |||||||||||||||||
Long-term capital gains | ||||||||||||||||||||||
Return of capital | — | — | — | — | — |
Target 2010 Fund | | Target 2020 Fund | | Target 2030 Fund | | Target 2040 Fund | | Retirement Income Fund | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital shares | — | — | — | — | — | |||||||||||||||||
Undistributed net investment income | $ | 94 | $ | 122 | $ | 59 | $ | 32 | $ | 4 | ||||||||||||
Net realized capital gains and losses | $ | (94 | ) | $ | (122 | ) | $ | (59 | ) | $ | (32 | ) | $ | (4 | ) |
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(All dollar amounts are × 1,000)
Percentage | ||||||||
---|---|---|---|---|---|---|---|---|
Target 2010 Fund | 34.07 | % | ||||||
Target 2020 Fund | 33.95 | % | ||||||
Target 2030 Fund | 32.21 | % | ||||||
Target 2040 Fund | 31.85 | % | ||||||
Retirement Income Fund | 15.57 | % |
Target 2010 Fund | $ | 226 | ||||
Target 2020 Fund | 379 | |||||
Target 2030 Fund | 177 | |||||
Target 2040 Fund | 104 | |||||
Retirement Income Fund | 99 |
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Schwab Target 2010 Fund
Schwab Target 2020 Fund
Schwab Target 2030 Fund
Schwab Target 2040 Fund
Schwab Retirement Income Fund
San Francisco, California
December 14, 2006
Table of Contents
1. | the nature, extent and quality of the services provided to the funds under the Agreement, including the resources of CSIM and its affiliates dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreement reflect those economies of scale for the benefit of fund investors. |
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and appropriate indices/benchmarks, in light of total return and market trends. As part of this review, the trustees considered the composition of the peer group, selection criteria and the reputation of the third party who prepared the peer group analysis. In evaluating the performance of each fund, the trustees considered both market risk and shareholder risk expectations for such fund and the appropriateness of the benchmark used to compare the performance of each fund. The trustees further considered the level of fund performance in the context of its review of fund expenses and adviser profitability discussed below. Following such evaluation the Board concluded, within the context of its full deliberations, that the performance of the funds supported renewal of the Agreement.
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Independent Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996–1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6���Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
Table of Contents
Independent Trustees continued | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer — Fixed Income (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer — Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer — Equities (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust (continued) | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
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Table of Contents
Table of Contents
Schwab Core Equity Fund™
Schwab Dividend Equity Fund™
Schwab Large-Cap Growth Fund™
Schwab Small-Cap Equity Fund™
Schwab Hedged Equity Fund™
Schwab Financial Services Fund™
Schwab Health Care Fund™
Schwab Technology Fund™
Schwab Institutional Select® S&P 500 Fund
Schwab S&P 500 Index Fund
Schwab 1000 Index® Fund
Schwab Small-Cap Index Fund®
Schwab Total Stock Market Index Fund®
Schwab International Index Fund®
Schwab MarketTrack All Equity Portfolio™
Schwab MarketTrack Growth Portfolio™
Schwab MarketTrack Balanced Portfolio™
Schwab MarketTrack Conservative Portfolio™
Schwab Target 2010 Fund
Schwab Target 2020 Fund
Schwab Target 2030 Fund
Schwab Target 2040 Fund
Schwab Retirement Income Fund
Schwab Short-Term Bond Market Fund™
Schwab Total Bond Market Fund™
Schwab GNMA Fund™
Schwab Inflation Protected Fund™
Schwab Tax-Free YieldPlus Fund™
Schwab Short/Intermediate Tax-Free Bond Fund™
Schwab Long-Term Tax-Free Bond Fund™
Schwab California Tax-Free YieldPlus Fund™
Schwab California Short/Intermediate
Tax-Free Bond Fund™
Schwab California Long-Term Tax-Free Bond Fund™
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Charles Schwab Investment Management, Inc.
101 Montgomery Street, San Francisco, CA 94104
Schwab Funds®
P.O. Box 3812, Englewood, CO 80155—3812
Table of Contents
Schwab MarketTrack Portfolios® | |
Annual Report October 31, 2006 | |
Schwab MarketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ | |
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Performance at a Glance | 1 | |
From the Chairman | 2 | |
From the President | 3 | |
Investment Environment | 4 | |
Schwab MarketTrack All Equity Portfolio™ | 6 | |
Schwab MarketTrack Growth Portfolio™ | 8 | |
Schwab MarketTrack Balanced Portfolio™ | 10 | |
Schwab MarketTrack Conservative Portfolio™ | 12 | |
Fund Expenses | 14 | |
Financial Statements | 15 | |
Financial Notes | 50 | |
Investment Advisory Agreement Approval | 58 | |
Trustees and Officers | 60 | |
Glossary | 64 |
Distributor and transfer agent: Charles Schwab & Co., Inc. (Schwab).
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Total Return for the Report Period | ||||
---|---|---|---|---|
Schwab MarketTrack All Equity Portfolio™ (Ticker Symbol: SWEGX) | 19.31% | |||
Benchmark: All Equity Composite Index | 19.85% | |||
Fund Category: Morningstar Large-Cap Blend | 14.74% | |||
Performance Details | pages 6–7 | |||
Schwab MarketTrack Growth Portfolio™ | ||||
Investor Shares (Ticker Symbol: SWHGX) | 15.83% | |||
P Shares (Ticker Symbol: SWPGX)* | 4.69% | |||
Benchmark: Growth Composite Index | 16.37% | |||
Fund Category: Morningstar Large-Cap Blend | 14.74% | |||
Performance Details | pages 8–9 | |||
Schwab MarketTrack Balanced Portfolio™ (Ticker Symbol: SWBGX) | 12.92% | |||
Benchmark: Balanced Composite Index | 13.50% | |||
Fund Category: Morningstar Moderate Allocation | 11.91% | |||
Performance Details | pages 10–11 | |||
Schwab MarketTrack Conservative Portfolio™ | ||||
Investor Shares (Ticker Symbol: SWCGX) | 10.13% | |||
P Shares (Ticker Symbol: SWCPX)* | 4.22% | |||
Benchmark: Conservative Composite Index | 10.68% | |||
Fund Category: Morningstar Conservative Allocation | 8.43% | |||
Performance Details | pages 12–13 | |||
Minimum Initial Investment1 | ||||
Investor Shares | ||||
($500 for retirement, education and custodial accounts) | $1,000 | |||
P Shares | $100,000 |
1 | Please see prospectus for further detail and eligibility requirements. |
* | Return is for the period since inception (4/6/06) through 10/31/06. Not annualized. |
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Charles Schwab Chairman | From the Chairman Dear Shareholder, I founded Schwab over thirty years ago to be a home for serious investors. That mission continues to guide us today as we constantly strive to improve and innovate. By doing this, and providing some of the highest quality products and services — at a competitive price — we remain true to our heritage. I take particular pride in the Schwab Funds. Founded over 15 years ago, Schwab Funds now includes more than 50 funds with over $170 billion in assets. With a variety of investment strategies, Schwab Funds provides a range of innovative investment choices that can serve as a foundation for your asset allocation plan, including the Schwab MarketTrack Portfolios, contained within this book. The Schwab MarketTrack Portfolios are asset allocation funds. Research has shown that asset allocation can be the most important factor in determining overall portfolio performance. The Schwab MarketTrack Portfolios offer investors a convenient way to allocate their investment across management strategies and asset classes to help balance risk while seeking to provide competitive returns. Schwab Funds are managed by Charles Schwab Investment Management, Inc., one of the largest mutual fund managers in the U.S. Our portfolio managers share a passion for market analysis and use some of the most sophisticated financial models in the country. I am proud of their depth of experience, which reflects an average of 14 years in the investment industry. Furthermore, I am impressed by the commitment that our managers bring to the stewardship of their funds, for you, their shareholders. In closing, I want to thank you for investing with us. We work every day to warrant the trust you have placed in us; that will never change. Sincerely, |
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Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and of each of the funds covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | From the President Dear Shareholder, I am pleased to present the annual report for the Schwab MarketTrack Portfolios for the period ended October 31, 2006. Thanks to the support of investors like you, Schwab MarketTrack Portfolios assets were over $2 billion as of this report date. Schwab MarketTrack Portfolios offer the power of indexing plus asset allocation. Indexing offers the potential to keep pace with market performance while asset allocation can help you manage risk. Indexing can be a highly effective approach to stock investing. In fact, for the one-year report period, I’m pleased to note that all four of the Schwab MarketTrack Portfolios beat their respective fund category averages. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the funds’ ticker symbols and report period returns for the funds, their benchmarks and category averages. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.schwabfunds.com. This website contains regular updates about the Schwab Funds. I encourage you to visit the website to stay informed about your fund. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Schwab Funds. Sincerely, Past performance is no guarantee of future results. |
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | The Investment Environment As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Product (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. In efforts to curb inflationary pressures, the Fed raised short-term interest rates six times during the period. August marked a key point in the year as Committee members decided to hold the Fed’s target rate at 5.25%, where it remained as of the |
Asset Class Performance Comparison % returns during the report period | |||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | |||||||
n 16.34% | S&P 500® Index: measures U.S. large-cap stocks | ||||||
n 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | ||||||
o 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | ||||||
n 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market | ||||||
n 4.57% | Three-Month U.S. Treasury Bills (T-Bills): measures short-term U.S. Treasury obligations |
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Larry Mano, (right) vice president Tom Brown, (left) associate portfolio Matthew Hastings, CFA, vice presi Andrew Tikofsky, PhD, director and
Steven Hung, director and portfolio | end of the report period. In its statement, the Fed noted that the economy appeared to be growing at a more moderate rate as a result of prior rate increases, lagged effects of energy prices, and a cooling of the housing market. The Fed indicated they generally expected the economy to grow at a pace below its potential, which proved to be an accurate prediction. Consistent with the Fed’s report, GDP continued to decline, growing only 2.2% in the third quarter of 2006. Energy prices have been a key issue in the markets over the past year. Following Hurricane Katrina, oil prices peaked around $71 per barrel, with domestic gasoline prices passing $3.00 a gallon. Prices subsequently fell, but rebounded nearly 21% early in 2006, partly due to concerns that Iran might cut back exports in response to a dispute over their nuclear program. Prices declined throughout the report period due to a lack of hurricanes in the Gulf of Mexico, as well as an increase in U.S. fuel inventories. More recently, abundant inventories, warmer weather, and skepticism regarding OPEC’s proposed production cuts contributed to a slip in oil prices. Crude oil has declined nearly 26% since July 2006’s record $78.40 per barrel, yet still remained around the $60–61 per barrel range at the end of the report period, as diminishing U.S. crude inventories and concern about global surplus lingered in investors’ minds. The events of 2006 have also had a significant impact on the housing market. Housing starts fell considerably, down nearly 34% since the beginning of 2006. Existing home sales continued to decline as well, falling nearly 15% from their peak reached in 2005. Although sales have dropped, they remained strong by historical standards. Concerns remained as to whether the Fed’s actions, and the immediate effects on the housing market, would spill over into the rest of the economy. With regards to GDP, housing took off about one percent in the third quarter of 2006, although rebounds in income, consumer spending, and investments helped to offset the impact. Despite a moderation in economic growth during the report period, economic fundamentals remained healthy as of the end of the period. The Fed’s task of balancing inflation pressures without significantly hindering economic growth will be thoroughly scrutinized in the coming months. The challenge is to bring this economy to a state of stable growth and achieve a soft landing. |
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Statistics | |||||||
Number of Holdings | 5 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 64,220 | ||||||
Price/Earnings Ratio (P/E) | 19.1 | ||||||
Price/Book Ratio (P/B) | 2.6 |
Asset Class Weightings % of Investments | |||||||
Large-Cap Stocks | 44.6 | % | |||||
International Stocks | 30.1 | % | |||||
Small-Cap Stocks | 25.0 | % | |||||
Short-Term Investments | 0.3 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Schwab Institutional Select S&P 500 Fund | 44.6 | % | |||||
Schwab International Index Fund, Select Shares | 30.1 | % | |||||
Schwab Small-Cap Index Fund, Select Shares | 25.0 | % | |||||
Total | 99.7 | % |
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Performance of a Hypothetical $10,000 Investment1 |
Average Annual Total Returns1,2 | ||||||||||||||||||
1 year | 5 years | Since Inception | ||||||||||||||||
Portfolio: Schwab MarketTrack All Equity Portfolio™ (5/19/98) | 19.31 | % | 9.92 | % | 5.01 | % | ||||||||||||
Benchmark: All Equity Composite Index | 19.85 | % | 10.63 | % | 5.29 | % | ||||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 3.98 | % |
Style Assessment3 | |||||||
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Statistics | |||||||
Number of Holdings | 508 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 58,215 | ||||||
Price/Earnings Ratio (P/E) | 19.5 | ||||||
Price/Book Ratio (P/B) | 2.6 |
Asset Class Weightings % of Investments | |||||||
Large-Cap Stocks | 41.0 | % | |||||
International Stocks | 19.8 | % | |||||
Small-Cap Stocks | 19.7 | % | |||||
Bonds | 14.8 | % | |||||
Short Term Investments | 4.7 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Schwab Institutional Select S&P 500 Fund | 23.8 | % | |||||
Schwab International Index Fund, Select Shares | 19.7 | % | |||||
Schwab Small-Cap Index Fund, Select Shares | 19.7 | % | |||||
Schwab Total Bond Market Fund | 14.8 | % | |||||
Schwab Value Advantage Money Fund, Institutional Shares | 4.5 | % | |||||
Exxon Mobil Corp. | 0.6 | % | |||||
General Electric Co. | 0.5 | % | |||||
Bank of America Corp. | 0.4 | % | |||||
Microsoft Corp. | 0.4 | % | |||||
Citigroup, Inc. | 0.4 | % | |||||
Total | 84.8 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $100,000 Investment in P Shares1 | |||||
Average Annual Total Returns1,2 | ||||||||||||||||||
Portfolio Class and Inception Date | 1 year | 5 years | 10 years | Since Inception | ||||||||||||||
Investor Shares (11/20/95) | 15.83 | % | 8.55 | % | 7.88 | % | n/a | |||||||||||
P Shares (4/6/06) | n/a | n/a | n/a | 4.69% | ||||||||||||||
Benchmark: Growth Composite Index | 16.37 | % | 9.20 | % | 8.20 | % | (4/6/06 | ) 5.14% | ||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | 7.76 | % | (4/6/06 | ) 4.10% |
Style Assessment3 | |||||||
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Statistics | |||||||
Number of Holdings | 507 |
Asset Class Weightings % of Investments | |||||||
Bonds | 34.5 | % | |||||
Large-Cap Stocks | 31.3 | % | |||||
International Stocks | 14.9 | % | |||||
Small-Cap Stocks | 14.8 | % | |||||
Short-Term Investment | 4.5 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Schwab Total Bond Market Fund | 34.4 | % | |||||
Schwab Institutional Select S&P 500 Fund | 15.8 | % | |||||
Schwab International Index Fund, Select Shares | 15.0 | % | |||||
Schwab Small-Cap Index Fund, Select Shares | 14.8 | % | |||||
Schwab Value Advantage Money Fund, Institutional Shares | 4.3 | % | |||||
Exxon Mobil Corp. | 0.5 | % | |||||
General Electric Co. | 0.5 | % | |||||
Citigroup, Inc. | 0.3 | % | |||||
Microsoft Corp. | 0.3 | % | |||||
Bank of America Corp. | 0.3 | % | |||||
Total | 86.2 | % |
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Performance of a Hypothetical $10,000 Investment1 |
Average Annual Total Returns1,2 | ||||||||||||||||||
1 year | 5 years | 10 years | ||||||||||||||||
Portfolio: Schwab MarketTrack Balanced Portfolio™ (11/20/95) | 12.92 | % | 7.47 | % | 7.41 | % | ||||||||||||
Benchmark: Balanced Composite Index | 13.50 | % | 8.11 | % | 7.84 | % | ||||||||||||
Fund Category: Morningstar Moderate Allocation | 11.91 | % | 6.62 | % | 7.21 | % |
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Statistics | |||||||
Number of Holdings | 508 |
Asset Class Weightings % of Investments | |||||||
Bonds | 54.7 | % | |||||
Large-Cap Stocks | 20.6 | % | |||||
International Stocks | 10.0 | % | |||||
Small-Cap Stocks | 10.0 | % | |||||
Short-Term Investments | 4.7 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Schwab Total Bond Market Fund | 54.7 | % | |||||
Schwab S&P 500 Index Fund, Select Shares | 13.8 | % | |||||
Schwab International Index Fund, Select Shares | 10.0 | % | |||||
Schwab Small-Cap Index Fund, Select Shares | 10.0 | % | |||||
Schwab Value Advantage Money Fund, Institutional Shares | 4.3 | % | |||||
Schwab Institutional Select S&P 500 Fund | 0.6 | % | |||||
Exxon Mobil Corp. | 0.3 | % | |||||
General Electric Co. | 0.2 | % | |||||
Microsoft Corp. | 0.1 | % | |||||
Citigroup, Inc. | 0.1 | % | |||||
Total | 94.1 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $100,000 Investment in P Shares1 | |||||
Average Annual Total Returns1,2 | ||||||||||||||||||
Portfolio Class and Inception Date | 1 year | 5 years | 10 years | Since Inception | ||||||||||||||
Investor Shares (11/20/95) | 10.13 | % | 6.34 | % | 6.83 | % | n/a | |||||||||||
P Shares (4/6/06) | n/a | n/a | n/a | 4.22% | ||||||||||||||
Benchmark: Conservative Composite Index | 10.68 | % | 6.95 | % | 7.38 | % | (4/6/06 | ) 4.66% | ||||||||||
Fund Category: Morningstar Large-Cap Blend | 8.43 | % | 5.65 | % | 6.14 | % | (4/6/06 | ) 3.65% |
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Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab MarketTrack All Equity Portfolio™ | ||||||||||||||||||
Actual Return | 0.50 | % | $ | 1,000 | $ | 1,040.50 | $ | 2.57 | ||||||||||
Hypothetical 5% Return | 0.50 | % | $ | 1,000 | $ | 1,022.68 | $ | 2.55 | ||||||||||
Schwab MarketTrack Growth Portfolio™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 0.50 | % | $ | 1,000 | $ | 1,041.30 | $ | 2.57 | ||||||||||
Hypothetical 5% Return | 0.50 | % | $ | 1,000 | $ | 1,022.68 | $ | 2.55 | ||||||||||
P Shares | ||||||||||||||||||
Actual Return | 0.35 | % | $ | 1,000 | $ | 1,041.80 | $ | 1.80 | ||||||||||
Hypothetical 5% Return | 0.35 | % | $ | 1,000 | $ | 1,023.44 | $ | 1.79 | ||||||||||
Schwab MarketTrack Balanced Portfolio™ | ||||||||||||||||||
Actual Return | 0.50 | % | $ | 1,000 | $ | 1,040.90 | $ | 2.57 | ||||||||||
Hypothetical 5% Return | 0.50 | % | $ | 1,000 | $ | 1,022.68 | $ | 2.55 | ||||||||||
Schwab MarketTrack Conservative Portfolio™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 0.50 | % | $ | 1,000 | $ | 1,041.30 | $ | 2.57 | ||||||||||
Hypothetical 5% Return | 0.50 | % | $ | 1,000 | $ | 1,022.68 | $ | 2.55 | ||||||||||
P Shares | ||||||||||||||||||
Actual Return | 0.35 | % | $ | 1,000 | $ | 1,041.40 | $ | 1.80 | ||||||||||
Hypothetical 5% Return | 0.35 | % | $ | 1,000 | $ | 1,023.44 | $ | 1.79 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in Financial Highlights; does not include expenses of underlying funds in which the portfolios invest. |
2 | Expenses for each fund or share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days of the period, and divided by 365 days of the fiscal year. |
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11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 11.55 | 10.44 | 9.43 | 7.60 | 9.06 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.11 | 0.12 | 0.08 | 0.09 | 0.05 | ||||||||||||||||||
Net realized and unrealized gains or losses | 2.10 | 1.11 | 1.02 | 1.85 | (1.32 | ) | |||||||||||||||||
Total income or loss from investment operations | 2.21 | 1.23 | 1.10 | 1.94 | (1.27 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.12 | ) | (0.09 | ) | (0.09 | ) | (0.05 | ) | |||||||||||||
Distributions from net realized gains | — | — | — | (0.02 | ) | (0.14 | ) | ||||||||||||||||
Total distributions | (0.13 | ) | (0.12 | ) | (0.09 | ) | (0.11 | ) | (0.19 | ) | |||||||||||||
Net asset value at end of period | 13.63 | 11.55 | 10.44 | 9.43 | 7.60 | ||||||||||||||||||
Total return (%) | 19.31 | 11.81 | 11.75 | 25.77 | (14.40 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||||||||||||||||||
Gross operating expenses1 | 0.74 | 0.75 | 0.76 | 0.76 | 0.77 | ||||||||||||||||||
Net investment income | 0.89 | 1.07 | 0.83 | 1.10 | 0.58 | ||||||||||||||||||
Portfolio turnover rate | 8 | 49 | 7 | 10 | 15 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 527 | 463 | 450 | 427 | 353 |
1 | The expenses incurred by underlying funds in which the portfolio invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
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Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
99.6% | Other Investment Companies | 408,213 | 524,998 | ||||||||||||
0.4% | Short-Term Investment | 1,712 | 1,712 | ||||||||||||
—% | U.S. Treasury Obligation | 199 | 199 | ||||||||||||
100.0% | Total Investments | 410,124 | 526,909 | ||||||||||||
0.0% | Other Assets and Liabilities, Net | (42 | ) | ||||||||||||
100.0% | Total Net Assets | 526,867 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Other Investment Companies 99.6% of net assets | |||||||||||
Schwab Institutional Select S&P 500 Fund (a)(b) | 21,360,977 | 234,757 | |||||||||
Schwab International Index Fund, Select Shares (a) | 7,492,879 | 158,399 | |||||||||
Schwab Small-Cap Index Fund, Select Shares (a) | 5,076,701 | 131,842 | |||||||||
524,998 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.4% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 1,712 | 1,712 | |||||||||
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 200 | 199 |
End of Investments.
Number of Contracts | Contract Value | Unrealized Gains | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contract |
expires 12/15/06
(a) | Issuer is affiliated with the fund’s adviser. |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
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Assets | |||||||
Investments in affiliated underlying funds, at value (cost $408,213) | $ | 524,998 | |||||
Investments in unaffiliated issuers, at value (cost $1,911) | + | 1,911 | |||||
Total investments, at value (cost $410,124) | 526,909 | ||||||
Receivables: | |||||||
Fund shares sold | 481 | ||||||
Prepaid expenses | + | 3 | |||||
Total assets | 527,393 | ||||||
Liabilities | |||||||
Payables: | |||||||
Investment adviser and administrator fees | 9 | ||||||
Transfer agent and shareholder service fees | 11 | ||||||
Fund shares redeemed | 395 | ||||||
Accrued expenses | + | 111 | |||||
Total liabilities | 526 | ||||||
Net Assets | |||||||
Total assets | 527,393 | ||||||
Total liabilities | –526 | ||||||
Net assets | $ | 526,867 | |||||
Net Assets by Source | |||||||
Capital received from investors | 438,051 | ||||||
Distributions in excess of net investment income | (2,742 | ) | |||||
Net realized capital losses | (25,321 | ) | |||||
Net unrealized capital gains | 116,879 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$526,867 | 38,659 | $ | 13.63 |
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Investment Income | |||||||
Dividends received from affiliated underlying funds | $ | 6,841 | |||||
Interest | + | 83 | |||||
Total Investment Income | 6,924 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on sales of affiliated underlying funds | 11,963 | ||||||
Net realized gains received from affiliated underlying funds | 749 | ||||||
Net realized gains on futures contracts | + | 114 | |||||
Net realized gains | 12,826 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on affiliated underlying funds | 69,477 | ||||||
Net unrealized gains on futures contracts | + | 94 | |||||
Net unrealized gains | 69,571 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 2,180 | ||||||
Transfer agent and shareholder service fees | 1,240 | ||||||
Shareholder reports | 116 | ||||||
Registration fees | 39 | ||||||
Professional fees | 33 | ||||||
Portfolio accounting fees | 25 | ||||||
Custodian fees | 23 | ||||||
Trustees’ fees | 9 | ||||||
Overdraft expense | 5 | ||||||
Other expense | + | 12 | |||||
Total expenses | 3,682 | ||||||
Expense reduction by adviser and Schwab | –1,196 | ||||||
Net expenses | 2,486 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 6,924 | ||||||
Net expenses | –2,486 | ||||||
Net investment income | 4,438 | ||||||
Net realized gains | 12,826 | ||||||
Net unrealized gains | + | 69,571 | |||||
Increase in net assets from operations | $ | 86,835 |
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Operations |
11/1/05—10/31/06 | 11/1/04—10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 4,438 | $ | 5,041 | ||||||
Net realized gains or losses | 12,826 | (104 | ) | |||||||
Net unrealized gains | + | 69,571 | 47,628 | |||||||
Increase in net assets from operations | 86,835 | 52,565 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | $ | 5,267 | $ | 5,060 |
Transactions in Fund Shares |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares sold | 5,531 | $ | 70,097 | 5,741 | $ | 64,017 | |||||||||||||
Shares reinvested | 416 | 5,033 | 437 | 4,835 | |||||||||||||||
Shares redeemed | + | (7,352 | ) | (92,711 | ) | (9,253 | ) | (103,675 | ) | ||||||||||
Net transactions in fund shares | (1,405 | ) | $ | (17,581 | ) | (3,075 | ) | $ | (34,823 | ) |
Shares Outstanding and Net Assets |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 40,064 | $ | 462,880 | 43,139 | $ | 450,198 | |||||||||||||
Total increase or decrease | + | (1,405 | ) | 63,987 | (3,075 | ) | 12,682 | ||||||||||||
End of period | 38,659 | $ | 526,867 | 40,064 | $ | 462,880 | |||||||||||||
Distribution in excess of net investment income | $ | (2,742 | ) | $ | (1,913 | ) |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 16.81 | 15.57 | 14.36 | 12.05 | 13.88 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.30 | 0.27 | 0.21 | 0.18 | 0.19 | ||||||||||||||||||
Net realized and unrealized gains or losses | 2.33 | 1.20 | 1.21 | 2.33 | (1.62 | ) | |||||||||||||||||
Total income or loss from investment operations | 2.63 | 1.47 | 1.42 | 2.51 | (1.43 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.28 | ) | (0.23 | ) | (0.21 | ) | (0.20 | ) | (0.24 | ) | |||||||||||||
Distributions from net realized gains | — | — | — | — | (0.16 | ) | |||||||||||||||||
Total distributions | (0.28 | ) | (0.23 | ) | (0.21 | ) | (0.20 | ) | (0.40 | ) | |||||||||||||
Net asset value at end of period | 19.16 | 16.81 | 15.57 | 14.36 | 12.05 | ||||||||||||||||||
Total return (%) | 15.83 | 9.48 | 9.94 | 21.18 | (10.78 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||||||||||||||||||
Gross operating expenses1 | 0.71 | 0.72 | 0.73 | 0.74 | 0.75 | ||||||||||||||||||
Net investment income | 1.74 | 1.58 | 1.35 | 1.48 | 1.35 | ||||||||||||||||||
Portfolio turnover rate | 7 | 33 | 9 | 9 | 21 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 602 | 657 | 614 | 578 | 510 | ||||||||||||||||||
P Shares | 4/6/062— 10/31/06 | ||||||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 18.32 | ||||||||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.10 | ||||||||||||||||||||||
Net realized and unrealized gains | 0.76 | ||||||||||||||||||||||
Total income from investment operations | 0.86 | ||||||||||||||||||||||
Net asset value at end of period | 19.18 | ||||||||||||||||||||||
Total return (%) | 4.69 | 3 | |||||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.35 | 4 | |||||||||||||||||||||
Gross operating expenses1 | 0.56 | 4 | |||||||||||||||||||||
Net investment income | 0.95 | 4 | |||||||||||||||||||||
Portfolio turnover rate | 7 | 3 | |||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 119 |
1 | The expenses incurred by underlying funds in which the portfolio invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
2 | Commencement of operations. |
3 | Not annualized. |
4 | Annualized |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
17.2% | Common Stock | 70,477 | 123,699 | |||||||||||||
82.5% | Other Investment Companies | 455,095 | 594,832 | |||||||||||||
0.2% | Short-Term Investment | 1,500 | 1,500 | |||||||||||||
99.9% | Total Investments | 527,072 | 720,031 | |||||||||||||
0.1% | Other Assets and Liabilities, Net | 570 | ||||||||||||||
100.0% | Total Net Assets | 720,601 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 17.2% of net assets | |||||||||||
Automobiles & Components 0.1% | |||||||||||
Ford Motor Co. | 18,103 | 150 | |||||||||
General Motors Corp. | 5,425 | 189 | |||||||||
Harley-Davidson, Inc. | 3,000 | 206 | |||||||||
Johnson Controls, Inc. | 1,800 | 147 | |||||||||
The Goodyear Tire & Rubber Co. * | 1,600 | 25 | |||||||||
717 | |||||||||||
Banks 1.0% | |||||||||||
AmSouth Bancorp | 3,300 | 100 | |||||||||
BB&T Corp. | 5,300 | 231 | |||||||||
Comerica, Inc. | 1,700 | 99 | |||||||||
Commerce Bancorp, Inc. | 1,800 | 63 | |||||||||
Compass Bancshares, Inc. | 1,200 | 67 | |||||||||
Countrywide Financial Corp. | 5,298 | 202 | |||||||||
Fannie Mae | 9,400 | 557 | |||||||||
Fifth Third Bancorp | 5,369 | 214 | |||||||||
First Horizon National Corp. | 1,200 | 47 | |||||||||
Freddie Mac | 6,600 | 455 | |||||||||
Huntington Bancshares, Inc. | 2,262 | 55 | |||||||||
KeyCorp | 4,400 | 163 | |||||||||
M&T Bank Corp. | 998 | 122 | |||||||||
Marshall & Ilsley Corp. | 2,056 | 99 | |||||||||
MGIC Investment Corp. | 900 | 53 | |||||||||
National City Corp. | 6,100 | 227 | |||||||||
North Fork Bancorp, Inc. | 4,500 | 129 | |||||||||
PNC Financial Services Group, Inc. | 2,800 | 196 | |||||||||
Regions Financial Corp. | 4,542 | 172 | |||||||||
Sovereign Bancorp, Inc. | 3,885 | 93 | |||||||||
SunTrust Banks, Inc. | 3,500 | 276 | |||||||||
Synovus Financial Corp. | 2,750 | 81 | |||||||||
U.S. Bancorp | 17,972 | 608 | |||||||||
Wachovia Corp. | 18,552 | 1,030 | |||||||||
Washington Mutual, Inc. | 9,843 | 416 | |||||||||
Wells Fargo & Co. | 33,230 | 1,206 | |||||||||
Zions Bancorp | 900 | 72 | |||||||||
7,033 | |||||||||||
Capital Goods 1.5% | |||||||||||
3M Co. | 7,600 | 599 | |||||||||
American Power Conversion Corp. | 1,725 | 52 | |||||||||
American Standard Cos., Inc. | 2,100 | 93 | |||||||||
Caterpillar, Inc. | 6,600 | 401 | |||||||||
Cooper Industries Ltd., Class A | 900 | 81 | |||||||||
Cummins, Inc. | 400 | 51 | |||||||||
Danaher Corp. | 2,800 | 201 | |||||||||
Deere & Co. | 2,300 | 196 | |||||||||
Dover Corp. | 2,000 | 95 | |||||||||
Eaton Corp. | 1,400 | 101 | |||||||||
Emerson Electric Co. | 4,000 | 338 | |||||||||
Fluor Corp. | 800 | 63 | |||||||||
General Dynamics Corp. | 4,000 | 284 | |||||||||
General Electric Co. | 105,200 | 3,694 | |||||||||
Goodrich Corp. | 1,100 | 49 | |||||||||
Honeywell International, Inc. | 8,437 | 355 | |||||||||
Illinois Tool Works, Inc. | 4,200 | 201 | |||||||||
Ingersoll-Rand Co., Ltd., Class A | 3,300 | 121 | |||||||||
ITT Corp. | 1,800 | 98 | |||||||||
L-3 Communications Holdings, Inc. | 1,100 | 89 | |||||||||
Lockheed Martin Corp. | 3,900 | 339 | |||||||||
Masco Corp. | 4,500 | 124 | |||||||||
Navistar International Corp. * | 700 | 19 | |||||||||
Northrop Grumman Corp. | 3,592 | 238 | |||||||||
PACCAR, Inc. | 2,362 | 140 | |||||||||
Pall Corp. | 1,000 | 32 | |||||||||
Parker Hannifin Corp. | 1,150 | 96 | |||||||||
Raytheon Co. | 4,500 | 225 | |||||||||
Rockwell Automation, Inc. | 1,900 | 118 | |||||||||
Rockwell Collins, Inc. | 1,900 | 110 | |||||||||
Textron, Inc. | 1,500 | 136 | |||||||||
The Boeing Co. | 8,078 | 645 | |||||||||
Tyco International Ltd. | 19,803 | 583 | |||||||||
United Technologies Corp. | 10,000 | 657 | |||||||||
W.W. Grainger, Inc. | 900 | 66 | |||||||||
10,690 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Allied Waste Industries, Inc. * | 3,100 | 38 | |||||||||
Avery Dennison Corp. | 1,200 | 76 | |||||||||
Cintas Corp. | 1,638 | 68 | |||||||||
Equifax, Inc. | 1,200 | 45 | |||||||||
Monster Worldwide, Inc. * | 954 | 39 | |||||||||
Pitney Bowes, Inc. | 2,300 | 107 | |||||||||
R.R. Donnelley & Sons Co. | 2,100 | 71 | |||||||||
Robert Half International, Inc. | 1,700 | 62 | |||||||||
Waste Management, Inc. | 5,517 | 207 | |||||||||
713 | |||||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Brunswick Corp. | 900 | 28 | |||||||||
Centex Corp. | 1,200 | 63 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Coach, Inc. * | 3,600 | 143 | |||||||||
D.R. Horton, Inc. | 2,660 | 62 | |||||||||
Eastman Kodak Co. | 3,100 | 76 | |||||||||
Fortune Brands, Inc. | 1,400 | 108 | |||||||||
Harman International Industries, Inc. | 700 | 72 | |||||||||
Hasbro, Inc. | 1,650 | 43 | |||||||||
Jones Apparel Group, Inc. | 1,200 | 40 | |||||||||
KB Home | 800 | 36 | |||||||||
Leggett & Platt, Inc. | 2,000 | 47 | |||||||||
Lennar Corp., Class A | 1,300 | 62 | |||||||||
Liz Claiborne, Inc. | 1,200 | 51 | |||||||||
Mattel, Inc. | 4,150 | 94 | |||||||||
Newell Rubbermaid, Inc. | 2,745 | 79 | |||||||||
Nike, Inc., Class B | 2,300 | 211 | |||||||||
Pulte Homes, Inc. | 2,400 | 74 | |||||||||
Snap-On, Inc. | 600 | 28 | |||||||||
The Black & Decker Corp. | 900 | 75 | |||||||||
The Stanley Works | 600 | 28 | |||||||||
VF Corp. | 1,200 | 91 | |||||||||
Whirlpool Corp. | 907 | 79 | |||||||||
1,590 | |||||||||||
Consumer Services 0.3% | |||||||||||
Apollo Group, Inc., Class A * | 1,700 | 63 | |||||||||
Carnival Corp. | 4,300 | 210 | |||||||||
Darden Restaurants, Inc. | 1,800 | 75 | |||||||||
H&R Block, Inc. | 3,400 | 74 | |||||||||
Harrah’s Entertainment, Inc. | 1,780 | 132 | |||||||||
Hilton Hotels Corp. | 3,600 | 104 | |||||||||
International Game Technology | 3,400 | 145 | |||||||||
Marriott International, Inc., Class A | 3,900 | 163 | |||||||||
McDonald’s Corp. | 12,400 | 520 | |||||||||
Starbucks Corp. * | 7,920 | 299 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,900 | 113 | |||||||||
Wendy’s International, Inc. | 1,000 | 35 | |||||||||
Western Union Co. * | 7,888 | 174 | |||||||||
Wyndham Worldwide Corp. * | 1,986 | 59 | |||||||||
YUM! Brands, Inc. | 3,120 | 185 | |||||||||
2,351 | |||||||||||
Diversified Financials 1.8% | |||||||||||
American Express Co. | 12,300 | 711 | |||||||||
Ameriprise Financial, Inc. | 2,300 | 118 | |||||||||
Bank of America Corp. | 46,110 | 2,484 | |||||||||
Capital One Financial Corp. | 2,900 | 230 | |||||||||
Chicago Mercantile Exchange Holdings, Inc. | 340 | 170 | |||||||||
CIT Group, Inc. | 2,000 | 104 | |||||||||
Citigroup, Inc. | 49,392 | 2,478 | |||||||||
E*TRADE Financial Corp. * | 3,500 | 81 | |||||||||
Federated Investors, Inc., Class B | 1,100 | 38 | |||||||||
Franklin Resources, Inc. | 1,500 | 171 | |||||||||
Janus Capital Group, Inc. | 2,200 | 44 | |||||||||
JPMorgan Chase & Co. | 34,915 | 1,656 | |||||||||
Legg Mason, Inc. | 1,200 | 108 | |||||||||
Lehman Brothers Holdings, Inc. | 5,200 | 405 | |||||||||
Mellon Financial Corp. | 4,100 | 159 | |||||||||
Merrill Lynch & Co., Inc. | 9,400 | 822 | |||||||||
Moody’s Corp. | 3,000 | 199 | |||||||||
Morgan Stanley | 10,900 | 833 | |||||||||
Northern Trust Corp. | 2,200 | 129 | |||||||||
SLM Corp. | 4,110 | 200 | |||||||||
State Street Corp. | 3,300 | 212 | |||||||||
T. Rowe Price Group, Inc. | 2,400 | 114 | |||||||||
The Bank of New York Co., Inc. | 7,300 | 251 | |||||||||
The Bear Stearns Cos., Inc. | 1,082 | 164 | |||||||||
The Charles Schwab Corp. | 11,242 | 205 | |||||||||
The Goldman Sachs Group, Inc. | 4,379 | 831 | |||||||||
12,917 | |||||||||||
Energy 1.6% | |||||||||||
Anadarko Petroleum Corp. | 4,836 | 225 | |||||||||
Apache Corp. | 3,308 | 216 | |||||||||
Baker Hughes, Inc. | 3,360 | 232 | |||||||||
BJ Services Co. | 3,000 | 91 | |||||||||
Chesapeake Energy Corp. | 3,600 | 117 | |||||||||
ChevronTexaco Corp. | 22,235 | 1,494 | |||||||||
ConocoPhillips | 16,440 | 990 | |||||||||
CONSOL Energy, Inc. | 1,800 | 64 | |||||||||
Devon Energy Corp. | 4,600 | 307 | |||||||||
El Paso Corp. | 6,306 | 86 | |||||||||
EOG Resources, Inc. | 2,256 | 150 | |||||||||
Exxon Mobil Corp. | 59,498 | 4,249 | |||||||||
Halliburton Co. | 9,916 | 321 | |||||||||
Hess Corp. | 2,520 | 107 | |||||||||
Kinder Morgan, Inc. | 1,107 | 116 | |||||||||
Marathon Oil Corp. | 3,589 | 310 | |||||||||
Murphy Oil Corp. | 1,600 | 75 | |||||||||
Nabors Industries Ltd. * | 2,800 | 86 | |||||||||
National-Oilwell Varco, Inc. * | 1,600 | 97 | |||||||||
Noble Corp. | 1,300 | 91 | |||||||||
Occidental Petroleum Corp. | 7,800 | 366 | |||||||||
Rowan Cos., Inc. | 1,100 | 37 | |||||||||
Schlumberger Ltd. | 11,400 | 719 | |||||||||
Smith International, Inc. | 1,900 | 75 | |||||||||
Sunoco, Inc. | 1,400 | 93 | |||||||||
Transocean, Inc. * | 2,945 | 214 | |||||||||
Valero Energy Corp. | 6,000 | 314 | |||||||||
Weatherford International Ltd. * | 2,720 | 112 | |||||||||
Williams Cos., Inc. | 5,000 | 122 | |||||||||
XTO Energy, Inc. | 3,333 | 156 | |||||||||
11,632 | |||||||||||
Food & Staples Retailing 0.4% | |||||||||||
Costco Wholesale Corp. | 4,400 | 235 | |||||||||
CVS Corp. | 7,800 | 245 | |||||||||
Safeway, Inc. | 4,200 | 123 | |||||||||
Supervalu, Inc. | 2,043 | 68 | |||||||||
Sysco Corp. | 6,200 | 217 | |||||||||
The Kroger Co. | 7,200 | 162 | |||||||||
Wal-Mart Stores, Inc. | 24,800 | 1,222 | |||||||||
Walgreen Co. | 9,900 | 433 | |||||||||
Whole Foods Market, Inc. | 1,000 | 64 | |||||||||
Winn-Dixie Stores, Inc. * | 1,500 | — | |||||||||
2,769 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Food, Beverage & Tobacco 0.8% | |||||||||||
Altria Group, Inc. | 20,300 | 1,651 | |||||||||
Anheuser-Busch Cos., Inc. | 7,800 | 370 | |||||||||
Archer-Daniels-Midland Co. | 6,532 | 252 | |||||||||
Brown-Forman Corp., Class B | 904 | 65 | |||||||||
Campbell Soup Co. | 1,800 | 67 | |||||||||
Coca-Cola Enterprises, Inc. | 4,000 | 80 | |||||||||
ConAgra Foods, Inc. | 4,900 | 128 | |||||||||
Constellation Brands, Inc., Class A * | 1,920 | 53 | |||||||||
Dean Foods Co. * | 1,300 | 55 | |||||||||
General Mills, Inc. | 3,576 | 203 | |||||||||
H.J. Heinz Co. | 3,400 | 143 | |||||||||
Kellogg Co. | 2,500 | 126 | |||||||||
McCormick & Co., Inc. | 1,400 | 52 | |||||||||
Molson Coors Brewing Co., Class B | 800 | 57 | |||||||||
PepsiCo, Inc. | 16,460 | 1,044 | |||||||||
Reynolds American, Inc. | 2,284 | 144 | |||||||||
Sara Lee Corp. | 7,600 | 130 | |||||||||
The Coca-Cola Co. | 20,600 | 963 | |||||||||
The Hershey Co. | 2,400 | 127 | |||||||||
The Pepsi Bottling Group, Inc. | 1,932 | 61 | |||||||||
Tyson Foods, Inc., Class A | 2,500 | 36 | |||||||||
UST, Inc. | 1,600 | 86 | |||||||||
Wm. Wrigley Jr. Co. | 2,375 | 123 | |||||||||
6,016 | |||||||||||
Health Care Equipment & Services 0.7% | |||||||||||
Aetna, Inc. | 5,696 | 235 | |||||||||
AmerisourceBergen Corp. | 2,000 | 94 | |||||||||
Bausch & Lomb, Inc. | 600 | 32 | |||||||||
Baxter International, Inc. | 6,100 | 280 | |||||||||
Becton Dickinson & Co. | 2,600 | 182 | |||||||||
Biomet, Inc. | 2,475 | 94 | |||||||||
Boston Scientific Corp. * | 10,887 | 173 | |||||||||
C.R. Bard, Inc. | 1,000 | 82 | |||||||||
Cardinal Health, Inc. | 4,100 | 268 | |||||||||
Caremark Rx, Inc. | 4,470 | 220 | |||||||||
CIGNA Corp. | 1,400 | 164 | |||||||||
Coventry Health Care, Inc. * | 1,650 | 77 | |||||||||
Express Scripts, Inc. * | 1,600 | 102 | |||||||||
HCA, Inc. | 3,200 | 162 | |||||||||
Health Management Associates, Inc., Class A | 2,400 | 47 | |||||||||
Hospira, Inc. * | 1,530 | 56 | |||||||||
Humana, Inc. * | 1,400 | 84 | |||||||||
IMS Health, Inc. | 2,300 | 64 | |||||||||
Laboratory Corp. of America Holdings * | 1,300 | 89 | |||||||||
Manor Care, Inc. | 1,100 | 53 | |||||||||
McKesson Corp. | 2,654 | 133 | |||||||||
Medco Health Solutions, Inc. * | 2,641 | 141 | |||||||||
Medtronic, Inc. | 11,800 | 574 | |||||||||
Patterson Cos., Inc. * | 1,300 | 43 | |||||||||
Quest Diagnostics, Inc. | 1,802 | 90 | |||||||||
St. Jude Medical, Inc. * | 3,500 | 120 | |||||||||
Stryker Corp. | 2,884 | 151 | |||||||||
Tenet Healthcare Corp. * | 4,650 | 33 | |||||||||
UnitedHealth Group, Inc. | 12,600 | 615 | |||||||||
WellPoint, Inc. * | 5,902 | 450 | |||||||||
Zimmer Holdings, Inc. * | 2,300 | 166 | |||||||||
5,074 | |||||||||||
Household & Personal Products 0.4% | |||||||||||
Alberto-Culver Co., Class B | 900 | 46 | |||||||||
Avon Products, Inc. | 4,800 | 146 | |||||||||
Clorox Co. | 1,500 | 97 | |||||||||
Colgate-Palmolive Co. | 5,300 | 339 | |||||||||
Kimberly-Clark Corp. | 4,960 | 330 | |||||||||
Procter & Gamble Co. | 31,717 | 2,010 | |||||||||
The Estee Lauder Cos., Inc., Class A | 1,100 | 44 | |||||||||
3,012 | |||||||||||
Insurance 0.8% | |||||||||||
ACE Ltd. | 2,500 | 143 | |||||||||
AFLAC, Inc. | 5,200 | 234 | |||||||||
Ambac Financial Group, Inc. | 1,015 | 85 | |||||||||
American International Group, Inc. | 25,551 | 1,716 | |||||||||
AON Corp. | 2,625 | 91 | |||||||||
Cincinnati Financial Corp. | 1,984 | 90 | |||||||||
Genworth Financial, Inc., Class A | 3,700 | 124 | |||||||||
Lincoln National Corp. | 3,168 | 200 | |||||||||
Loews Corp. | 4,800 | 187 | |||||||||
Marsh & McLennan Cos., Inc. | 5,200 | 153 | |||||||||
MBIA, Inc. | 1,350 | 84 | |||||||||
MetLife, Inc. | 7,310 | 418 | |||||||||
Principal Financial Group, Inc. | 3,065 | 173 | |||||||||
Prudential Financial, Inc. | 5,200 | 400 | |||||||||
SAFECO Corp. | 1,100 | 64 | |||||||||
The Allstate Corp. | 6,700 | 411 | |||||||||
The Chubb Corp. | 3,800 | 202 | |||||||||
The Hartford Financial Services Group, Inc. | 2,900 | 253 | |||||||||
The Progressive Corp. | 8,400 | 203 | |||||||||
The St. Paul Travelers Cos., Inc. | 6,453 | 330 | |||||||||
Torchmark Corp. | 1,100 | 68 | |||||||||
UnumProvident Corp. | 2,349 | 46 | |||||||||
XL Capital Ltd., Class A | 1,300 | 92 | |||||||||
5,767 | |||||||||||
Materials 0.5% | |||||||||||
Air Products & Chemicals, Inc. | 2,300 | 160 | |||||||||
Alcoa, Inc. | 8,472 | 245 | |||||||||
Allegheny Technologies, Inc. | 735 | 58 | |||||||||
Ashland, Inc. | 800 | 47 | |||||||||
Ball Corp. | 800 | 33 | |||||||||
Bemis Co. | 1,000 | 34 | |||||||||
E.I. du Pont de Nemours & Co. | 9,592 | 439 | |||||||||
Eastman Chemical Co. | 800 | 49 | |||||||||
Ecolab, Inc. | 2,200 | 100 | |||||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 1,700 | 103 | |||||||||
Hercules, Inc. * | 900 | 16 | |||||||||
International Flavors & Fragrances, Inc. | 1,100 | 47 | |||||||||
International Paper Co. | 4,846 | 162 | |||||||||
Louisiana-Pacific Corp. | 600 | 12 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
MeadWestvaco Corp. | 1,970 | 54 | |||||||||
Monsanto Co. | 4,986 | 221 | |||||||||
Newmont Mining Corp. | 4,201 | 190 | |||||||||
Nucor Corp. | 3,600 | 210 | |||||||||
Pactiv Corp. * | 1,500 | 46 | |||||||||
Phelps Dodge Corp. | 1,820 | 183 | |||||||||
PPG Industries, Inc. | 1,700 | 116 | |||||||||
Praxair, Inc. | 3,200 | 193 | |||||||||
Rohm & Haas Co. | 2,205 | 114 | |||||||||
Sealed Air Corp. | 882 | 53 | |||||||||
Sigma-Aldrich Corp. | 600 | 45 | |||||||||
Temple-Inland, Inc. | 1,200 | 47 | |||||||||
The Dow Chemical Co. | 9,394 | 383 | |||||||||
United States Steel Corp. | 900 | 61 | |||||||||
Vulcan Materials Co. | 800 | 65 | |||||||||
Weyerhaeuser Co. | 2,300 | 146 | |||||||||
3,632 | |||||||||||
Media 0.6% | |||||||||||
CBS Corp., Class B | 7,905 | 229 | |||||||||
Clear Channel Communications, Inc. | 5,217 | 182 | |||||||||
Comcast Corp., Class A * | 21,843 | 888 | |||||||||
Dow Jones & Co., Inc. | 800 | 28 | |||||||||
Gannett Co., Inc. | 2,500 | 148 | |||||||||
Meredith Corp. | 500 | 26 | |||||||||
News Corp., Class A | 24,300 | 507 | |||||||||
Omnicom Group, Inc. | 1,800 | 183 | |||||||||
The E.W. Scripps Co., Class A | 800 | 39 | |||||||||
The Interpublic Group of Cos., Inc. * | 3,700 | 40 | |||||||||
The McGraw-Hill Cos., Inc. | 3,800 | 244 | |||||||||
The New York Times Co., Class A | 1,400 | 34 | |||||||||
The Walt Disney Co. | 20,119 | 633 | |||||||||
Time Warner, Inc. | 40,850 | 817 | |||||||||
Tribune Co. | 3,100 | 103 | |||||||||
Univision Communications, Inc., Class A * | 3,104 | 109 | |||||||||
Viacom, Inc., Class B * | 7,905 | 308 | |||||||||
4,518 | |||||||||||
Pharmaceuticals & Biotechnology 1.4% | |||||||||||
Abbott Laboratories | 15,300 | 727 | |||||||||
Allergan, Inc. | 1,300 | 150 | |||||||||
Amgen, Inc. * | 12,138 | 921 | |||||||||
Applied Biosystems Group — Applera Corp. | 2,000 | 75 | |||||||||
Barr Pharmaceuticals, Inc. * | 1,100 | 58 | |||||||||
Biogen Idec, Inc. * | 3,125 | 149 | |||||||||
Bristol-Myers Squibb Co. | 19,000 | 470 | |||||||||
Eli Lilly & Co. | 10,900 | 611 | |||||||||
Fisher Scientific International, Inc. * | 1,115 | 95 | |||||||||
Forest Laboratories, Inc. * | 3,400 | 166 | |||||||||
Genzyme Corp. * | 2,400 | 162 | |||||||||
Gilead Sciences, Inc. * | 4,300 | 296 | |||||||||
Johnson & Johnson | 29,254 | 1,972 | |||||||||
King Pharmaceuticals, Inc. * | 2,133 | 36 | |||||||||
MedImmune, Inc. * | 2,400 | 77 | |||||||||
Merck & Co., Inc. | 21,600 | 981 | |||||||||
Millipore Corp. * | 400 | 26 | |||||||||
Mylan Laboratories, Inc. | 2,600 | 53 | |||||||||
PerkinElmer, Inc. | 1,000 | 21 | |||||||||
Pfizer, Inc. | 73,476 | 1,958 | |||||||||
Schering-Plough Corp. | 14,100 | 312 | |||||||||
Thermo Electron Corp. * | 1,300 | 56 | |||||||||
Waters Corp. * | 1,300 | 65 | |||||||||
Watson Pharmaceuticals, Inc. * | 1,000 | 27 | |||||||||
Wyeth | 13,100 | 668 | |||||||||
10,132 | |||||||||||
Real Estate 0.2% | |||||||||||
Apartment Investment & Management Co., Class A | 900 | 52 | |||||||||
Archstone-Smith Trust | 1,900 | 114 | |||||||||
Boston Properties, Inc. | 800 | 85 | |||||||||
Equity Office Properties Trust | 3,900 | 166 | |||||||||
Equity Residential | 2,600 | 142 | |||||||||
Kimco Realty Corp. | 431 | 19 | |||||||||
Plum Creek Timber Co., Inc. | 1,700 | 61 | |||||||||
ProLogis | 1,700 | 108 | |||||||||
Public Storage, Inc. | 800 | 72 | |||||||||
Realogy Corp. * | 2,483 | 64 | |||||||||
Simon Property Group, Inc. | 2,200 | 214 | |||||||||
Vornado Realty Trust | 1,200 | 143 | |||||||||
1,240 | |||||||||||
Retailing 0.7% | |||||||||||
Amazon.com, Inc. * | 3,000 | 114 | |||||||||
AutoNation, Inc. * | 2,190 | 44 | |||||||||
AutoZone, Inc. * | 800 | 90 | |||||||||
Bed, Bath & Beyond, Inc. * | 2,800 | 113 | |||||||||
Best Buy Co., Inc. | 4,505 | 249 | |||||||||
Big Lots, Inc. * | 1,100 | 23 | |||||||||
Circuit City Stores, Inc. | 2,000 | 54 | |||||||||
Dillard’s, Inc., Class A | 500 | 15 | |||||||||
Dollar General Corp. | 3,303 | 46 | |||||||||
eBay, Inc. * | 11,036 | 355 | |||||||||
Family Dollar Stores, Inc. | 1,700 | 50 | |||||||||
Federated Department Stores, Inc. | 5,144 | 226 | |||||||||
Genuine Parts Co. | 1,800 | 82 | |||||||||
Home Depot, Inc. | 21,040 | 785 | |||||||||
J.C. Penney Co., Inc. | 2,800 | 211 | |||||||||
Kohl’s Corp. * | 3,200 | 226 | |||||||||
Limited Brands, Inc. | 3,738 | 110 | |||||||||
Lowe’s Cos., Inc. | 15,200 | 458 | |||||||||
Nordstrom, Inc. | 2,600 | 123 | |||||||||
Office Depot, Inc. * | 3,300 | 139 | |||||||||
OfficeMax, Inc. | 700 | 33 | |||||||||
RadioShack Corp. | 1,900 | 34 | |||||||||
Sears Holdings Corp. * | 1,000 | 174 | |||||||||
Staples, Inc. | 7,125 | 184 | |||||||||
Target Corp. | 8,800 | 521 | |||||||||
The Gap, Inc. | 7,200 | 151 | |||||||||
The Sherwin-Williams Co. | 1,200 | 71 | |||||||||
The TJX Cos., Inc. | 5,200 | 151 | |||||||||
Tiffany & Co. | 1,400 | 50 | |||||||||
4,882 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Semiconductors & Semiconductor Equipment 0.5% | |||||||||||
Advanced Micro Devices, Inc. * | 3,840 | 82 | |||||||||
Altera Corp. * | 3,680 | 68 | |||||||||
Analog Devices, Inc. | 3,400 | 108 | |||||||||
Applied Materials, Inc. | 16,200 | 282 | |||||||||
Broadcom Corp., Class A * | 4,350 | 132 | |||||||||
Freescale Semiconductor, Inc., Class B * | 3,898 | 153 | |||||||||
Intel Corp. | 60,530 | 1,292 | |||||||||
KLA-Tencor Corp. | 1,800 | 88 | |||||||||
Linear Technology Corp. | 3,000 | 93 | |||||||||
LSI Logic Corp. * | 3,000 | 30 | |||||||||
Maxim Integrated Products, Inc. | 3,100 | 93 | |||||||||
Micron Technology, Inc. * | 5,400 | 78 | |||||||||
National Semiconductor Corp. | 3,400 | 82 | |||||||||
Novellus Systems, Inc. * | 1,325 | 37 | |||||||||
NVIDIA Corp. * | 2,800 | 98 | |||||||||
PMC - Sierra, Inc. * | 1,600 | 10 | |||||||||
Teradyne, Inc. * | 1,700 | 24 | |||||||||
Texas Instruments, Inc. | 16,800 | 507 | |||||||||
Xilinx, Inc. | 3,200 | 82 | |||||||||
3,339 | |||||||||||
Software & Services 0.9% | |||||||||||
Adobe Systems, Inc. * | 4,800 | 184 | |||||||||
Affiliated Computer Services, Inc., Class A * | 1,271 | 68 | |||||||||
Autodesk, Inc. * | 2,400 | 88 | |||||||||
Automatic Data Processing, Inc. | 5,700 | 282 | |||||||||
BMC Software, Inc. * | 2,400 | 73 | |||||||||
CA, Inc. | 5,625 | 139 | |||||||||
Citrix Systems, Inc. * | 1,800 | 53 | |||||||||
Computer Sciences Corp. * | 1,680 | 89 | |||||||||
Compuware Corp. * | 3,600 | 29 | |||||||||
Convergys Corp. * | 1,354 | 29 | |||||||||
Electronic Arts, Inc. * | 2,866 | 152 | |||||||||
Electronic Data Systems Corp. | 4,600 | 116 | |||||||||
First Data Corp. | 7,888 | 191 | |||||||||
Fiserv, Inc. * | 1,800 | 89 | |||||||||
Google, Inc., Class A * | 2,100 | 1,000 | |||||||||
Intuit, Inc. * | 3,944 | 139 | |||||||||
Microsoft Corp. | 86,420 | 2,481 | |||||||||
Novell, Inc. * | 3,200 | 19 | |||||||||
Oracle Corp. * | 38,295 | 707 | |||||||||
Parametric Technology Corp. * | 1,080 | 21 | |||||||||
Paychex, Inc. | 3,600 | 142 | |||||||||
Sabre Holdings Corp., Class A | 1,283 | 33 | |||||||||
Symantec Corp. * | 11,721 | 233 | |||||||||
Unisys Corp. * | 3,100 | 20 | |||||||||
VeriSign, Inc. * | 2,500 | 52 | |||||||||
Yahoo! Inc. * | 12,600 | 332 | |||||||||
6,761 | |||||||||||
Technology Hardware & Equipment 1.2% | |||||||||||
ADC Telecommunications, Inc. * | 857 | 12 | |||||||||
Agilent Technologies, Inc. * | 4,437 | 158 | |||||||||
Apple Computer, Inc. * | 8,000 | 649 | |||||||||
Avaya, Inc. * | 4,132 | 53 | |||||||||
Ciena Corp. * | 457 | 11 | |||||||||
Cisco Systems, Inc. * | 63,500 | 1,532 | |||||||||
Comverse Technology, Inc. * | 1,900 | 41 | |||||||||
Corning, Inc. * | 13,900 | 284 | |||||||||
Dell, Inc. * | 23,740 | 578 | |||||||||
EMC Corp. * | 23,186 | 284 | |||||||||
Hewlett-Packard Co. | 28,403 | 1,100 | |||||||||
International Business Machines Corp. | 15,820 | 1,461 | |||||||||
Jabil Circuit, Inc. | 1,998 | 57 | |||||||||
JDS Uniphase Corp. * | 1,573 | 23 | |||||||||
Juniper Networks, Inc. * | 4,200 | 72 | |||||||||
Lexmark International, Inc., Class A * | 1,300 | 83 | |||||||||
Lucent Technologies, Inc. * | 40,092 | 97 | |||||||||
Molex, Inc. | 1,875 | 65 | |||||||||
Motorola, Inc. | 24,131 | 557 | |||||||||
NCR Corp. * | 2,000 | 83 | |||||||||
Network Appliance, Inc. * | 3,400 | 124 | |||||||||
QLogic Corp. * | 1,738 | 36 | |||||||||
QUALCOMM, Inc. | 16,200 | 590 | |||||||||
SanDisk Corp. * | 1,800 | 87 | |||||||||
Sanmina — SCI Corp. * | 5,000 | 20 | |||||||||
Solectron Corp. * | 7,900 | 26 | |||||||||
Sun Microsystems, Inc. * | 30,800 | 167 | |||||||||
Symbol Technologies, Inc. | 2,031 | 30 | |||||||||
Tektronix, Inc. | 900 | 27 | |||||||||
Tellabs, Inc. * | 4,000 | 42 | |||||||||
Xerox Corp. * | 9,400 | 160 | |||||||||
8,509 | |||||||||||
Telecommunication Services 0.6% | |||||||||||
ALLTEL Corp. | 3,730 | 199 | |||||||||
AT&T Corp. | 38,070 | 1,304 | |||||||||
BellSouth Corp. | 17,800 | 803 | |||||||||
CenturyTel, Inc. | 1,350 | 54 | |||||||||
Citizens Communications Co. | 2,576 | 38 | |||||||||
Embarq Corp. | 1,428 | 69 | |||||||||
Qwest Communications International, Inc. * | 15,773 | 136 | |||||||||
Sprint Nextel Corp. | 28,569 | 534 | |||||||||
Verizon Communications, Inc. | 27,258 | 1,008 | |||||||||
Windstream Corp. | 3,856 | 53 | |||||||||
4,198 | |||||||||||
Transportation 0.3% | |||||||||||
Burlington Northern Santa Fe Corp. | 3,800 | 295 | |||||||||
CSX Corp. | 4,400 | 157 | |||||||||
Delta Air Lines, Inc. * | 1,300 | 1 | |||||||||
FedEx Corp. | 2,920 | 335 | |||||||||
Norfolk Southern Corp. | 3,600 | 189 | |||||||||
Ryder System, Inc. | 400 | 21 | |||||||||
Southwest Airlines Co. | 7,480 | 112 | |||||||||
Union Pacific Corp. | 2,500 | 227 | |||||||||
United Parcel Service, Inc., Class B | 10,818 | 815 | |||||||||
2,152 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Utilities 0.6% | |||||||||||
Allegheny Energy, Inc. * | 1,070 | 46 | |||||||||
Ameren Corp. | 1,800 | 97 | |||||||||
American Electric Power Co., Inc. | 3,860 | 160 | |||||||||
CenterPoint Energy, Inc. | 2,949 | 46 | |||||||||
CMS Energy Corp. * | 1,000 | 15 | |||||||||
Consolidated Edison, Inc. | 2,100 | 101 | |||||||||
Constellation Energy Group, Inc. | 1,700 | 106 | |||||||||
Dominion Resources, Inc. | 3,378 | 274 | |||||||||
DTE Energy Co. | 1,700 | 77 | |||||||||
Duke Energy Corp. | 11,348 | 359 | |||||||||
Dynegy, Inc., Class A * | 3,100 | 19 | |||||||||
Edison International | 3,200 | 142 | |||||||||
Entergy Corp. | 2,100 | 180 | |||||||||
Exelon Corp. | 6,524 | 404 | |||||||||
FirstEnergy Corp. | 3,195 | 188 | |||||||||
FPL Group, Inc. | 3,800 | 194 | |||||||||
KeySpan Corp. | 1,300 | 53 | |||||||||
Nicor, Inc. | �� | 500 | 23 | ||||||||
NiSource, Inc. | 2,646 | 62 | |||||||||
Peoples Energy Corp. | 200 | 9 | |||||||||
PG&E Corp. | 4,000 | 173 | |||||||||
Pinnacle West Capital Corp. | 800 | 38 | |||||||||
PPL Corp. | 3,600 | 124 | |||||||||
Progress Energy, Inc. | 2,475 | 114 | |||||||||
Public Service Enterprise Group, Inc. | 2,300 | 140 | |||||||||
Sempra Energy | 2,103 | 112 | |||||||||
TECO Energy, Inc. | 1,300 | 21 | |||||||||
The AES Corp. * | 6,000 | 132 | |||||||||
The Southern Co. | 7,200 | 262 | |||||||||
TXU Corp. | 4,734 | 299 | |||||||||
Xcel Energy, Inc. | 3,850 | 85 | |||||||||
4,055 | |||||||||||
Other Investment Companies 82.5% of net assets | |||||||||||
Schwab Institutional Select S&P 500 Fund (a) | 15,600,509 | 171,450 | |||||||||
Schwab International Index Fund, Select Shares (a) | 6,737,074 | 142,422 | |||||||||
Schwab Small-Cap Index Fund, Select Shares (a) | 5,457,443 | 141,730 | |||||||||
Schwab Total Bond Market Fund (a) | 10,824,169 | 106,402 | |||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 32,828,008 | 32,828 | |||||||||
594,832 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.2% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 1,500 | 1,500 |
End of Investments.
* | Non-income producing security. |
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | |||||||
Investments in affiliated underlying funds, at value (cost $455,095) | $ | 594,832 | |||||
Investments in unaffiliated issuers, at value (cost $71,977) | + | 125,199 | |||||
Total investments, at value (cost $527,072) | 720,031 | ||||||
Receivables: | |||||||
Fund shares sold | 916 | ||||||
Dividends | 604 | ||||||
Prepaid expenses | + | 4 | |||||
Total assets | 721,555 | ||||||
Liabilities | |||||||
Payables: | |||||||
Investments bought | 431 | ||||||
Investment adviser and administrator fees | 13 | ||||||
Transfer agent and shareholder services fees | 13 | ||||||
Fund shares redeemed | 393 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 103 | |||||
Total liabilities | 954 | ||||||
Net Assets | |||||||
Total assets | 721,555 | ||||||
Total liabilities | –954 | ||||||
Net assets | $ | 720,601 | |||||
Net Assets by Source | |||||||
Capital received from investors | 522,452 | ||||||
Net investment income not yet distributed | 3,726 | ||||||
Net realized capital gains | 1,464 | ||||||
Net unrealized capital gains | 192,959 | ||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 601,864 | 31,415 | $ | 19.16 | |||||||||||||||||
P Shares | $ | 118,737 | 6,192 | $ | 19.18 |
Table of Contents
Investment Income | |||||||
Dividends received from affiliated underlying funds | $ | 13,673 | |||||
Dividends, including $1 from affiliated issuer | 1,180 | ||||||
Interest | + | 80 | |||||
Total Investment Income | 14,933 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on sales of affiliated underlying funds | 7,628 | ||||||
Net realized gains received from affiliated underlying funds | 1,135 | ||||||
Net realized gains on unaffiliated investments | + | 2,915 | |||||
Net realized gains | 11,678 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on affiliated underlying funds | 63,298 | ||||||
Net unrealized gains on unaffiliated investments | + | 15,394 | |||||
Net unrealized gains | 78,692 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 2,962 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 1,569 | ||||||
P Shares | 68 | ||||||
Shareholder reports | 92 | ||||||
Portfolio accounting fees | 43 | ||||||
Registration fees | 41 | ||||||
Professional fees | 34 | ||||||
Custodian fees | 27 | ||||||
Trustees’ fees | 10 | ||||||
Overdraft Expense | 4 | ||||||
Other expenses | + | 17 | |||||
Total expenses | 4,867 | ||||||
Expense reduction by adviser and Schwab | –1,487 | ||||||
Net expenses | 3,380 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 14,933 | ||||||
Net expenses | –3,380 | ||||||
Net investment income | 11,553 | ||||||
Net realized gains | 11,678 | ||||||
Net unrealized gains | + | 78,692 | |||||
Increase in net assets from operations | $ | 101,923 |
Table of Contents
Operations |
11/1/05—10/31/06 | 11/1/04—10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 11,553 | $ | 10,435 | ||||||
Net realized gains | 11,678 | 14,721 | ||||||||
Net unrealized gains | + | 78,692 | 33,101 | |||||||
Increase in net assets from operations | 101,923 | 58,257 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income (Investor Shares) | $ | 10,988 | $ | 9,037 |
Transactions in Fund Shares |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 4,979 | $ | 88,820 | 6,796 | $ | 111,249 | |||||||||||||
P. Shares | + | 7,185 | 131,591 | — | — | ||||||||||||||
Total shares sold | 12,164 | $ | 220,411 | 6,796 | $ | 111,249 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 616 | $ | 10,669 | 541 | $ | 8,784 | |||||||||||||
P. Shares | + | — | — | — | — | ||||||||||||||
Total shares reinvested | 616 | $ | 10,669 | 541 | $ | 8,784 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (13,275 | ) | $ | (240,466 | ) | (7,663 | ) | $ | (125,960 | ) | |||||||||
P. Shares | + | (993 | ) | (18,069 | ) | — | — | ||||||||||||
Total shares redeemed | (14,268 | ) | $ | (258,535 | ) | (7,663 | ) | $ | (125,960 | ) | |||||||||
Net transactions in fund shares | (1,488 | ) | $ | (27,455 | ) | (326 | ) | $ | (5,927 | ) |
Shares Outstanding and Net Assets |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 39,095 | $ | 657,121 | 39,421 | $ | 613,828 | |||||||||||||
Total increase or decrease | + | (1,488 | ) | 63,480 | (326 | ) | 43,293 | ||||||||||||
End of period | 37,607 | $ | 720,601 | 39,095 | $ | 657,121 | |||||||||||||
Net investment income not yet distributed | $ | 3,726 | $ | 2,892 |
Table of Contents
11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 15.46 | 14.66 | 13.78 | 12.05 | 13.47 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.38 | 0.34 | 0.29 | 0.25 | 0.32 | ||||||||||||||||||
Net realized and unrealized gains or losses | 1.58 | 0.74 | 0.88 | 1.77 | (1.22 | ) | |||||||||||||||||
Total income or loss from investment operations | 1.96 | 1.08 | 1.17 | 2.02 | (0.90 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.34 | ) | (0.28 | ) | (0.29 | ) | (0.29 | ) | (0.40 | ) | |||||||||||||
Distributions from net realized gains | (0.04 | ) | — | — | — | (0.12 | ) | ||||||||||||||||
Total distributions | (0.38 | ) | (0.28 | ) | (0.29 | ) | (0.29 | ) | (0.52 | ) | |||||||||||||
Net asset value at end of period | 17.04 | 15.46 | 14.66 | 13.78 | 12.05 | ||||||||||||||||||
Total return (%) | 12.92 | 7.41 | 8.61 | 17.12 | (7.08 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||||||||||||||||||
Gross operating expenses1 | 0.73 | 0.73 | 0.74 | 0.74 | 0.74 | ||||||||||||||||||
Net investment income | 2.35 | 2.20 | 2.03 | 1.98 | 2.35 | ||||||||||||||||||
Portfolio turnover rate | 8 | 25 | 11 | 17 | 31 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 534 | 519 | 541 | 516 | 462 |
1 | The expenses incurred by underlying funds in which the portfolio invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
15.5% | Common Stock | 47,622 | 82,797 | |||||||||||||
84.3% | Other Investment Companies | 368,594 | 450,183 | |||||||||||||
0.2% | Short-Term Investment | 960 | 960 | |||||||||||||
100.0% | Total Investments | 417,176 | 533,940 | |||||||||||||
0.0% | Other Assets and Liabilities, Net | 155 | ||||||||||||||
100.0% | Total Net Assets | 534,095 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 15.5% of net assets | |||||||||||
Automobiles & Components 0.1% | |||||||||||
Ford Motor Co. | 12,185 | 101 | |||||||||
General Motors Corp. | 3,650 | 128 | |||||||||
Harley-Davidson, Inc. | 2,000 | 137 | |||||||||
Johnson Controls, Inc. | 1,200 | 98 | |||||||||
The Goodyear Tire & Rubber Co. * | 1,000 | 15 | |||||||||
479 | |||||||||||
Banks 0.9% | |||||||||||
AmSouth Bancorp | 2,600 | 79 | |||||||||
BB&T Corp. | 3,600 | 157 | |||||||||
Comerica, Inc. | 1,100 | 64 | |||||||||
Commerce Bancorp, Inc. | 1,200 | 42 | |||||||||
Compass Bancshares, Inc. | 800 | 45 | |||||||||
Countrywide Financial Corp. | 3,498 | 133 | |||||||||
Fannie Mae | 6,300 | 373 | |||||||||
Fifth Third Bancorp | 3,658 | 146 | |||||||||
First Horizon National Corp. | 800 | 31 | |||||||||
Freddie Mac | 4,500 | 310 | |||||||||
Huntington Bancshares, Inc. | 1,597 | 39 | |||||||||
KeyCorp | 2,600 | 97 | |||||||||
M&T Bank Corp. | 500 | 61 | |||||||||
Marshall & Ilsley Corp. | 1,344 | 64 | |||||||||
MGIC Investment Corp. | 700 | 41 | |||||||||
National City Corp. | 4,100 | 153 | |||||||||
North Fork Bancorp, Inc. | 3,000 | 86 | |||||||||
PNC Financial Services Group, Inc. | 1,900 | 133 | |||||||||
Regions Financial Corp. | 3,078 | 117 | |||||||||
Sovereign Bancorp, Inc. | 1,890 | 45 | |||||||||
SunTrust Banks, Inc. | 2,300 | 182 | |||||||||
Synovus Financial Corp. | 1,900 | 56 | |||||||||
U.S. Bancorp | 12,554 | 425 | |||||||||
Wachovia Corp. | 12,596 | 699 | |||||||||
Washington Mutual, Inc. | 6,634 | 281 | |||||||||
Wells Fargo & Co. | 22,470 | 815 | |||||||||
Zions Bancorp | 600 | 48 | |||||||||
4,722 | |||||||||||
Capital Goods 1.3% | |||||||||||
3M Co. | 5,000 | 394 | |||||||||
American Power Conversion Corp. | 1,175 | 36 | |||||||||
American Standard Cos., Inc. | 1,500 | 66 | |||||||||
Caterpillar, Inc. | 4,600 | 279 | |||||||||
Cooper Industries Ltd., Class A | 600 | 54 | |||||||||
Cummins, Inc. | 300 | 38 | |||||||||
Danaher Corp. | 2,000 | 144 | |||||||||
Deere & Co. | 1,500 | 128 | |||||||||
Dover Corp. | 1,400 | 66 | |||||||||
Eaton Corp. | 1,000 | 72 | |||||||||
Emerson Electric Co. | 2,800 | 236 | |||||||||
Fluor Corp. | 500 | 39 | |||||||||
General Dynamics Corp. | 2,600 | 185 | |||||||||
General Electric Co. | 70,660 | 2,481 | |||||||||
Goodrich Corp. | 700 | 31 | |||||||||
Honeywell International, Inc. | 5,700 | 240 | |||||||||
Illinois Tool Works, Inc. | 2,800 | 134 | |||||||||
Ingersoll-Rand Co., Ltd., Class A | 2,200 | 81 | |||||||||
ITT Industries, Inc. | 1,200 | 65 | |||||||||
L-3 Communications Holdings, Inc. | 700 | 56 | |||||||||
Lockheed Martin Corp. | 2,400 | 209 | |||||||||
Masco Corp. | 3,000 | 83 | |||||||||
Navistar International Corp. * | 400 | 11 | |||||||||
Northrop Grumman Corp. | 2,256 | 150 | |||||||||
PACCAR, Inc. | 1,575 | 93 | |||||||||
Pall Corp. | 800 | 25 | |||||||||
Parker Hannifin Corp. | 700 | 59 | |||||||||
Raytheon Co. | 2,600 | 130 | |||||||||
Rockwell Automation, Inc. | 1,200 | 74 | |||||||||
Rockwell Collins, Inc. | 1,200 | 70 | |||||||||
Textron, Inc. | 1,000 | 91 | |||||||||
The Boeing Co. | 5,484 | 438 | |||||||||
Tyco International Ltd. | 12,949 | 381 | |||||||||
United Technologies Corp. | 6,600 | 434 | |||||||||
W.W. Grainger, Inc. | 600 | 44 | |||||||||
7,117 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Allied Waste Industries, Inc. * | 2,100 | 26 | |||||||||
Avery Dennison Corp. | 700 | 44 | |||||||||
Cintas Corp. | 1,102 | 46 | |||||||||
Equifax, Inc. | 900 | 34 | |||||||||
Monster Worldwide, Inc. * | 666 | 27 | |||||||||
Pitney Bowes, Inc. | 1,600 | 75 | |||||||||
R.R. Donnelley & Sons Co. | 1,400 | 47 | |||||||||
Robert Half International, Inc. | 1,200 | 44 | |||||||||
Waste Management, Inc. | 3,712 | 139 | |||||||||
482 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Consumer Durables & Apparel 0.2% | |||||||||||
Brunswick Corp. | 600 | 19 | |||||||||
Centex Corp. | 800 | 42 | |||||||||
Coach, Inc. * | 2,400 | 95 | |||||||||
D.R. Horton, Inc. | 1,790 | 42 | |||||||||
Eastman Kodak Co. | 2,000 | 49 | |||||||||
Fortune Brands, Inc. | 1,000 | 77 | |||||||||
Harman International Industries, Inc. | 300 | 31 | |||||||||
Hasbro, Inc. | 1,275 | 33 | |||||||||
Jones Apparel Group, Inc. | 800 | 27 | |||||||||
KB Home | 600 | 27 | |||||||||
Leggett & Platt, Inc. | 1,300 | 30 | |||||||||
Lennar Corp., Class A | 900 | 43 | |||||||||
Liz Claiborne, Inc. | 800 | 34 | |||||||||
Mattel, Inc. | 2,825 | 64 | |||||||||
Newell Rubbermaid, Inc. | 1,872 | 54 | |||||||||
Nike, Inc., Class B | 1,300 | 119 | |||||||||
Pulte Homes, Inc. | 1,600 | 49 | |||||||||
Snap-On, Inc. | 350 | 16 | |||||||||
The Black & Decker Corp. | 600 | 50 | |||||||||
The Stanley Works | 600 | 28 | |||||||||
VF Corp. | 800 | 61 | |||||||||
Whirlpool Corp. | 571 | 50 | |||||||||
1,040 | |||||||||||
Consumer Services 0.3% | |||||||||||
Apollo Group, Inc., Class A * | 1,100 | 41 | |||||||||
Carnival Corp. | 2,870 | 140 | |||||||||
Darden Restaurants, Inc. | 1,350 | 57 | |||||||||
H&R Block, Inc. | 2,400 | 52 | |||||||||
Harrah’s Entertainment, Inc. | 1,200 | 89 | |||||||||
Hilton Hotels Corp. | 2,500 | 72 | |||||||||
International Game Technology | 2,100 | 89 | |||||||||
Marriott International, Inc., Class A | 2,200 | 92 | |||||||||
McDonald’s Corp. | 8,100 | 340 | |||||||||
Starbucks Corp. * | 4,880 | 184 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,200 | 72 | |||||||||
Wendy’s International, Inc. | 800 | 28 | |||||||||
Wyndham Worldwide Corp. * | 1,283 | 38 | |||||||||
YUM! Brands, Inc. | 2,060 | 122 | |||||||||
1,416 | |||||||||||
Diversified Financials 1.6% | |||||||||||
American Express Co. | 8,310 | 480 | |||||||||
Ameriprise Financial, Inc. | 1,542 | 79 | |||||||||
Bank of America Corp. | 30,427 | 1,639 | |||||||||
Capital One Financial Corp. | 1,900 | 151 | |||||||||
Chicago Mercantile Exchange Holdings, Inc. | 230 | 115 | |||||||||
CIT Group, Inc. | 1,300 | 68 | |||||||||
Citigroup, Inc. | 34,266 | 1,719 | |||||||||
E*TRADE Financial Corp. * | 2,400 | 56 | |||||||||
Federated Investors, Inc., Class B | 700 | 24 | |||||||||
Franklin Resources, Inc. | 1,010 | 115 | |||||||||
Janus Capital Group, Inc. | 1,400 | 28 | |||||||||
JPMorgan Chase & Co. | 23,413 | 1,111 | |||||||||
Legg Mason, Inc. | 800 | 72 | |||||||||
Lehman Brothers Holdings, Inc. | 3,600 | 280 | |||||||||
Mellon Financial Corp. | 2,800 | 109 | |||||||||
Merrill Lynch & Co., Inc. | 6,300 | 551 | |||||||||
Moody’s Corp. | 2,000 | 133 | |||||||||
Morgan Stanley | 7,010 | 536 | |||||||||
Northern Trust Corp. | 1,400 | 82 | |||||||||
SLM Corp. | 3,000 | 146 | |||||||||
State Street Corp. | 2,200 | 141 | |||||||||
T. Rowe Price Group, Inc. | 1,600 | 76 | |||||||||
The Bank of New York Co., Inc. | 4,900 | 169 | |||||||||
The Bear Stearns Cos., Inc. | 602 | 91 | |||||||||
The Charles Schwab Corp. (a) | 6,883 | 125 | |||||||||
The Goldman Sachs Group, Inc. | 3,079 | 584 | |||||||||
8,680 | |||||||||||
Energy 1.4% | |||||||||||
Anadarko Petroleum Corp. | 3,020 | 140 | |||||||||
Apache Corp. | 2,048 | 134 | |||||||||
Baker Hughes, Inc. | 2,250 | 155 | |||||||||
BJ Services Co. | 2,000 | 60 | |||||||||
Chesapeake Energy Corp. | 2,300 | 75 | |||||||||
ChevronTexaco Corp. | 14,727 | 990 | |||||||||
ConocoPhillips | 10,985 | 662 | |||||||||
CONSOL Energy, Inc. | 1,200 | 42 | |||||||||
Devon Energy Corp. | 3,000 | 201 | |||||||||
El Paso Corp. | 3,222 | 44 | |||||||||
EOG Resources, Inc. | 1,518 | 101 | |||||||||
Exxon Mobil Corp. | 40,010 | 2,858 | |||||||||
Halliburton Co. | 6,748 | 218 | |||||||||
Hess Corp. | 1,800 | 76 | |||||||||
Kinder Morgan, Inc. | 745 | 78 | |||||||||
Marathon Oil Corp. | 2,218 | 192 | |||||||||
Murphy Oil Corp. | 1,100 | 52 | |||||||||
Nabors Industries Ltd. * | 2,000 | 62 | |||||||||
National-Oilwell Varco, Inc. * | 1,130 | 68 | |||||||||
Noble Corp. | 900 | 63 | |||||||||
Occidental Petroleum Corp. | 5,400 | 253 | |||||||||
Rowan Cos., Inc. | 600 | 20 | |||||||||
Schlumberger Ltd. | 7,800 | 492 | |||||||||
Smith International, Inc. | 1,300 | 51 | |||||||||
Sunoco, Inc. | 900 | 60 | |||||||||
Transocean, Inc. * | 2,016 | 146 | |||||||||
Valero Energy Corp. | 4,000 | 209 | |||||||||
Weatherford International Ltd. * | 1,820 | 75 | |||||||||
Williams Cos., Inc. | 3,000 | 73 | |||||||||
XTO Energy, Inc. | 2,266 | 106 | |||||||||
7,756 | |||||||||||
Food & Staples Retailing 0.4% | |||||||||||
Costco Wholesale Corp. | 3,000 | 160 | |||||||||
CVS Corp. | 5,200 | 163 | |||||||||
Safeway, Inc. | 2,800 | 82 | |||||||||
Supervalu, Inc. | 1,386 | 47 | |||||||||
Sysco Corp. | 4,400 | 154 | |||||||||
The Kroger Co. | 5,300 | 119 | |||||||||
Wal-Mart Stores, Inc. | 16,640 | 820 | |||||||||
Walgreen Co. | 6,600 | 288 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Whole Foods Market, Inc. | 800 | 51 | |||||||||
Winn-Dixie Stores, Inc. * | 1,200 | — | |||||||||
1,884 | |||||||||||
Food, Beverage & Tobacco 0.7% | |||||||||||
Altria Group, Inc. | 13,640 | 1,109 | |||||||||
Anheuser-Busch Cos., Inc. | 5,200 | 247 | |||||||||
Archer-Daniels-Midland Co. | 4,446 | 171 | |||||||||
Brown-Forman Corp., Class B | 804 | 58 | |||||||||
Campbell Soup Co. | 1,200 | 45 | |||||||||
Coca-Cola Enterprises, Inc. | 2,700 | 54 | |||||||||
ConAgra Foods, Inc. | 3,300 | 86 | |||||||||
Constellation Brands, Inc., Class A * | 1,290 | 35 | |||||||||
Dean Foods Co. * | 800 | 33 | |||||||||
General Mills, Inc. | 2,392 | 136 | |||||||||
H.J. Heinz Co. | 2,300 | 97 | |||||||||
Kellogg Co. | 1,700 | 86 | |||||||||
McCormick & Co., Inc. | 900 | 34 | |||||||||
Molson Coors Brewing Co., Class B | 200 | 14 | |||||||||
PepsiCo, Inc. | 11,070 | 702 | |||||||||
Reynolds American, Inc. | 1,228 | 78 | |||||||||
Sara Lee Corp. | 5,100 | 87 | |||||||||
The Coca-Cola Co. | 13,810 | 645 | |||||||||
The Hershey Co. | 1,600 | 85 | |||||||||
The Pepsi Bottling Group, Inc. | 926 | 29 | |||||||||
Tyson Foods, Inc., Class A | 1,700 | 25 | |||||||||
UST, Inc. | 1,100 | 59 | |||||||||
Wm. Wrigley Jr. Co. | 1,500 | 78 | |||||||||
3,993 | |||||||||||
Health Care Equipment & Services 0.6% | |||||||||||
Aetna, Inc. | 4,136 | 170 | |||||||||
AmerisourceBergen Corp. | 1,400 | 66 | |||||||||
Bausch & Lomb, Inc. | 400 | 21 | |||||||||
Baxter International, Inc. | 3,800 | 175 | |||||||||
Becton Dickinson & Co. | 1,800 | 126 | |||||||||
Biomet, Inc. | 1,575 | 60 | |||||||||
Boston Scientific Corp. * | 7,307 | 116 | |||||||||
C.R. Bard, Inc. | 600 | 49 | |||||||||
Cardinal Health, Inc. | 2,775 | 182 | |||||||||
Caremark Rx, Inc. | 2,988 | 147 | |||||||||
CIGNA Corp. | 1,000 | 117 | |||||||||
Coventry Health Care, Inc. * | 1,050 | 49 | |||||||||
Express Scripts, Inc. * | 1,000 | 64 | |||||||||
HCA, Inc. * | 2,208 | 111 | |||||||||
Health Management Associates, Inc., Class A | 1,600 | 31 | |||||||||
Hospira, Inc. * | 1,020 | 37 | |||||||||
Humana, Inc. * | 800 | 48 | |||||||||
IMS Health, Inc. | 1,500 | 42 | |||||||||
Laboratory Corp. of America Holdings * | 900 | 62 | |||||||||
Manor Care, Inc. | 500 | 24 | |||||||||
McKesson Corp. | 1,773 | 89 | |||||||||
Medco Health Solutions, Inc. * | 1,784 | 95 | |||||||||
Medtronic, Inc. | 7,800 | 380 | |||||||||
Patterson Cos., Inc. * | 900 | 30 | |||||||||
Quest Diagnostics, Inc. | 1,470 | 73 | |||||||||
St. Jude Medical, Inc. * | 2,120 | 73 | |||||||||
Stryker Corp. | 1,946 | 102 | |||||||||
Tenet Healthcare Corp. * | 3,150 | 22 | |||||||||
UnitedHealth Group, Inc. | 8,400 | 410 | |||||||||
WellPoint, Inc. * | 3,852 | 294 | |||||||||
Zimmer Holdings, Inc. * | 1,500 | 108 | |||||||||
3,373 | |||||||||||
Household & Personal Products 0.4% | |||||||||||
Alberto-Culver Co., Class B * | 600 | 31 | |||||||||
Avon Products, Inc. | 3,000 | 91 | |||||||||
Clorox Co. | 1,300 | 84 | |||||||||
Colgate-Palmolive Co. | 3,600 | 230 | |||||||||
Kimberly-Clark Corp. | 3,380 | 225 | |||||||||
Procter & Gamble Co. | 21,832 | 1,384 | |||||||||
The Estee Lauder Cos., Inc., Class A | 700 | 28 | |||||||||
2,073 | |||||||||||
Insurance 0.7% | |||||||||||
ACE Ltd. | 1,700 | 97 | |||||||||
AFLAC, Inc. | 3,300 | 148 | |||||||||
Ambac Financial Group, Inc. | 684 | 57 | |||||||||
American International Group, Inc. | 17,342 | 1,165 | |||||||||
AON Corp. | 2,025 | 71 | |||||||||
Cincinnati Financial Corp. | 1,323 | 60 | |||||||||
Genworth Financial, Inc., Class A | 2,500 | 84 | |||||||||
Lincoln National Corp. | 2,243 | 142 | |||||||||
Loews Corp. | 2,700 | 105 | |||||||||
Marsh & McLennan Cos., Inc. | 3,600 | 106 | |||||||||
MBIA, Inc. | 1,050 | 65 | |||||||||
MetLife, Inc. | 4,986 | 285 | |||||||||
Principal Financial Group, Inc. | 2,329 | 132 | |||||||||
Prudential Financial, Inc. | 3,500 | 269 | |||||||||
SAFECO Corp. | 800 | 47 | |||||||||
The Allstate Corp. | 4,700 | 288 | |||||||||
The Chubb Corp. | 2,400 | 128 | |||||||||
The Hartford Financial Services Group, Inc. | 1,800 | 157 | |||||||||
The Progressive Corp. | 6,000 | 145 | |||||||||
The St. Paul Travelers Cos., Inc. | 4,241 | 217 | |||||||||
Torchmark Corp. | 800 | 49 | |||||||||
UnumProvident Corp. | 1,657 | 33 | |||||||||
XL Capital Ltd., Class A | 800 | 56 | |||||||||
3,906 | |||||||||||
Materials 0.5% | |||||||||||
Air Products & Chemicals, Inc. | 1,500 | 104 | |||||||||
Alcoa, Inc. | 5,648 | 163 | |||||||||
Allegheny Technologies, Inc. | 492 | 39 | |||||||||
Ashland, Inc. | 500 | 30 | |||||||||
Ball Corp. | 800 | 33 | |||||||||
Bemis Co. | 600 | 20 | |||||||||
E.I. du Pont de Nemours & Co. | 6,484 | 297 | |||||||||
Eastman Chemical Co. | 600 | 37 | |||||||||
Ecolab, Inc. | 1,200 | 54 | |||||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 1,100 | 66 | |||||||||
Hercules, Inc. * | 700 | 13 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
International Flavors & Fragrances, Inc. | 800 | 34 | |||||||||
International Paper Co. | 3,166 | 106 | |||||||||
Louisiana-Pacific Corp. | 700 | 14 | |||||||||
MeadWestvaco Corp. | 1,279 | 35 | |||||||||
Monsanto Co. | 3,454 | 153 | |||||||||
Newmont Mining Corp. | 2,754 | 125 | |||||||||
Nucor Corp. | 2,400 | 140 | |||||||||
Pactiv Corp. * | 1,000 | 31 | |||||||||
Phelps Dodge Corp. | 1,080 | 108 | |||||||||
PPG Industries, Inc. | 1,200 | 82 | |||||||||
Praxair, Inc. | 2,000 | 120 | |||||||||
Rohm & Haas Co. | 1,421 | 74 | |||||||||
Sealed Air Corp. | 621 | 37 | |||||||||
Sigma-Aldrich Corp. | 500 | 38 | |||||||||
Temple-Inland, Inc. | 800 | 32 | |||||||||
The Dow Chemical Co. | 6,049 | 247 | |||||||||
United States Steel Corp. | 700 | 47 | |||||||||
Vulcan Materials Co. | 700 | 57 | |||||||||
Weyerhaeuser Co. | 1,400 | 89 | |||||||||
2,425 | |||||||||||
Media 0.6% | |||||||||||
CBS Corp., Class B | 5,309 | 154 | |||||||||
Clear Channel Communications, Inc. | 4,080 | 142 | |||||||||
Comcast Corp., Class A * | 14,661 | 596 | |||||||||
Dow Jones & Co., Inc. | 600 | 21 | |||||||||
Gannett Co., Inc. | 1,700 | 100 | |||||||||
Meredith Corp. | 300 | 16 | |||||||||
News Corp., Class A | 16,300 | 340 | |||||||||
Omnicom Group, Inc. | 1,200 | 122 | |||||||||
The E.W. Scripps Co., Class A | 600 | 30 | |||||||||
The Interpublic Group of Cos., Inc. * | 2,500 | 27 | |||||||||
The McGraw-Hill Cos., Inc. | 2,400 | 154 | |||||||||
The New York Times Co., Class A | 1,100 | 26 | |||||||||
The Walt Disney Co. | 13,217 | 416 | |||||||||
Time Warner, Inc. | 27,870 | 558 | |||||||||
Tribune Co. | 2,100 | 70 | |||||||||
Univision Communications, Inc., Class A * | 2,048 | 72 | |||||||||
Viacom, Inc., Class B * | 5,309 | 206 | |||||||||
3,050 | |||||||||||
Pharmaceuticals & Biotechnology 1.3% | |||||||||||
Abbott Laboratories | 10,200 | 485 | |||||||||
Allergan, Inc. | 900 | 104 | |||||||||
Amgen, Inc. * | 8,340 | 633 | |||||||||
Applera Corp.-Applied Biosystems Group | 1,400 | 52 | |||||||||
Barr Pharmaceuticals, Inc. * | 600 | 31 | |||||||||
Biogen Idec, Inc. * | 2,150 | 102 | |||||||||
Bristol-Myers Squibb Co. | 12,800 | 317 | |||||||||
Eli Lilly & Co. | 7,400 | 415 | |||||||||
Fisher Scientific International, Inc. * | 720 | 62 | |||||||||
Forest Laboratories, Inc. * | 2,400 | 117 | |||||||||
Genzyme Corp. * | 1,700 | 115 | |||||||||
Gilead Sciences, Inc. * | 2,980 | 205 | |||||||||
Johnson & Johnson | 19,872 | 1,339 | |||||||||
King Pharmaceuticals, Inc. * | 1,388 | 23 | |||||||||
MedImmune, Inc. * | 1,400 | 45 | |||||||||
Merck & Co., Inc. | 14,500 | 659 | |||||||||
Millipore Corp. * | 200 | 13 | |||||||||
Mylan Laboratories, Inc. | 1,700 | 35 | |||||||||
PerkinElmer, Inc. | 600 | 13 | |||||||||
Pfizer, Inc. | 49,386 | 1,316 | |||||||||
Schering-Plough Corp. | 9,500 | 210 | |||||||||
Thermo Electron Corp. * | 900 | 39 | |||||||||
Waters Corp. * | 900 | 45 | |||||||||
Watson Pharmaceuticals, Inc. * | 600 | 16 | |||||||||
Wyeth | 8,800 | 449 | |||||||||
6,840 | |||||||||||
Real Estate 0.2% | |||||||||||
Apartment Investment & Management Co., Class A | 600 | 34 | |||||||||
Archstone-Smith Trust | 1,300 | 78 | |||||||||
Boston Properties, Inc. | 500 | 54 | |||||||||
Equity Office Properties Trust | 2,600 | 111 | |||||||||
Equity Residential | 1,700 | 93 | |||||||||
Kimco Realty Corp. | 301 | 13 | |||||||||
Plum Creek Timber Co., Inc. | 1,200 | 43 | |||||||||
ProLogis | 1,200 | 76 | |||||||||
Public Storage, Inc. | 600 | 54 | |||||||||
Realogy Corp. * | 1,603 | 41 | |||||||||
Simon Property Group, Inc. | 1,450 | 141 | |||||||||
Vornado Realty Trust | 800 | 95 | |||||||||
833 | |||||||||||
Retailing 0.6% | |||||||||||
Amazon.com, Inc. * | 2,000 | 76 | |||||||||
AutoNation, Inc. * | 2,000 | 40 | |||||||||
AutoZone, Inc. * | 500 | 56 | |||||||||
Bed Bath & Beyond, Inc. * | 1,800 | 73 | |||||||||
Best Buy Co., Inc. | 3,150 | 174 | |||||||||
Big Lots, Inc. * | 700 | 15 | |||||||||
Circuit City Stores, Inc. | 1,400 | 38 | |||||||||
Dillard’s, Inc., Class A | 700 | 21 | |||||||||
Dollar General Corp. | 2,202 | 31 | |||||||||
eBay, Inc. * | 7,416 | 238 | |||||||||
Family Dollar Stores, Inc. | 1,100 | 32 | |||||||||
Federated Department Stores, Inc. | 3,508 | 154 | |||||||||
Genuine Parts Co. | 1,150 | 52 | |||||||||
Home Depot, Inc. | 14,600 | 545 | |||||||||
J.C. Penney Co., Inc. | 1,700 | 128 | |||||||||
Kohl’s Corp. * | 2,200 | 155 | |||||||||
Limited Brands, Inc. | 2,991 | 88 | |||||||||
Lowe’s Cos., Inc. | 10,000 | 302 | |||||||||
Nordstrom, Inc. | 1,800 | 85 | |||||||||
Office Depot, Inc. * | 2,500 | 105 | |||||||||
OfficeMax, Inc. | 600 | 29 | |||||||||
RadioShack Corp. | 1,300 | 23 | |||||||||
Sears Holdings Corp. * | 673 | 118 | |||||||||
Staples, Inc. | 4,575 | 118 | |||||||||
Target Corp. | 5,800 | 343 | |||||||||
The Gap, Inc. | 3,862 | 81 | |||||||||
The Sherwin-Williams Co. | 1,100 | 65 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
The TJX Cos., Inc. | 3,600 | 104 | |||||||||
Tiffany & Co. | 950 | 34 | |||||||||
3,323 | |||||||||||
Semiconductors & Semiconductor Equipment 0.4% | |||||||||||
Advanced Micro Devices, Inc. * | 2,040 | 43 | |||||||||
Altera Corp. * | 2,546 | 47 | |||||||||
Analog Devices, Inc. | 2,300 | 73 | |||||||||
Applied Materials, Inc. | 10,900 | 190 | |||||||||
Broadcom Corp., Class A * | 3,000 | 91 | |||||||||
Freescale Semiconductor, Inc., Class B * | 2,650 | 104 | |||||||||
Intel Corp. | 40,660 | 868 | |||||||||
KLA-Tencor Corp. | 1,200 | 59 | |||||||||
Linear Technology Corp. | 2,000 | 62 | |||||||||
LSI Logic Corp. * | 2,000 | 20 | |||||||||
Maxim Integrated Products, Inc. | 2,100 | 63 | |||||||||
Micron Technology, Inc. * | 3,600 | 52 | |||||||||
National Semiconductor Corp. | 2,200 | 54 | |||||||||
Novellus Systems, Inc. * | 900 | 25 | |||||||||
NVIDIA Corp. * | 1,800 | 63 | |||||||||
PMC — Sierra, Inc. * | 1,100 | 7 | |||||||||
Teradyne, Inc. * | 1,100 | 15 | |||||||||
Texas Instruments, Inc. | 11,300 | 341 | |||||||||
Xilinx, Inc. | 2,100 | 54 | |||||||||
2,231 | |||||||||||
Software & Services 0.9% | |||||||||||
Adobe Systems, Inc. * | 3,200 | 122 | |||||||||
Affiliated Computer Services, Inc., Class A * | 465 | 25 | |||||||||
Autodesk, Inc. * | 1,600 | 59 | |||||||||
Automatic Data Processing, Inc. | 3,900 | 193 | |||||||||
BMC Software, Inc. * | 1,600 | 49 | |||||||||
CA, Inc. | 3,825 | 95 | |||||||||
Citrix Systems, Inc. * | 1,200 | 35 | |||||||||
Computer Sciences Corp. * | 1,090 | 58 | |||||||||
Compuware Corp. * | 2,400 | 19 | |||||||||
Convergys Corp. * | 869 | 18 | |||||||||
Electronic Arts, Inc. * | 1,792 | 95 | |||||||||
Electronic Data Systems Corp. | 3,100 | 79 | |||||||||
First Data Corp. | 5,704 | 138 | |||||||||
Fiserv, Inc. * | 1,200 | 59 | |||||||||
Google, Inc., Class A * | 1,400 | 667 | |||||||||
Intuit, Inc. * | 2,654 | 94 | |||||||||
Microsoft Corp. | 58,390 | 1,676 | |||||||||
Novell, Inc. * | 2,200 | 13 | |||||||||
Oracle Corp. * | 25,721 | 475 | |||||||||
Parametric Technology Corp. * | 720 | 14 | |||||||||
Paychex, Inc. | 2,475 | 98 | |||||||||
Sabre Holdings Corp., Class A | 922 | 23 | |||||||||
Symantec Corp. * | 8,018 | 159 | |||||||||
Unisys Corp. * | 2,100 | 14 | |||||||||
VeriSign, Inc. * | 1,600 | 33 | |||||||||
Western Union Co. * | 5,704 | 126 | |||||||||
Yahoo! Inc. * | 8,400 | 221 | |||||||||
4,657 | |||||||||||
Technology Hardware & Equipment 1.0% | |||||||||||
ADC Telecommunications, Inc. * | 714 | 10 | |||||||||
Agilent Technologies, Inc. * | 2,917 | 104 | |||||||||
Apple Computer, Inc. * | 5,430 | 440 | |||||||||
Avaya, Inc. * | 2,775 | 36 | |||||||||
Ciena Corp. * | 300 | 7 | |||||||||
Cisco Systems, Inc. * | 42,100 | 1,016 | |||||||||
Comverse Technology, Inc. * | 1,000 | 22 | |||||||||
Corning, Inc. * | 9,550 | 195 | |||||||||
Dell, Inc. * | 16,500 | 401 | |||||||||
EMC Corp. * | 15,562 | 191 | |||||||||
Hewlett-Packard Co. | 18,324 | 710 | |||||||||
International Business Machines Corp. | 10,200 | 942 | |||||||||
Jabil Circuit, Inc. | 1,341 | 39 | |||||||||
JDS Uniphase Corp. * | 1,058 | 15 | |||||||||
Juniper Networks, Inc. * | 3,000 | 52 | |||||||||
Lexmark International, Inc., Class A * | 800 | 51 | |||||||||
Lucent Technologies, Inc. * | 26,905 | 65 | |||||||||
Molex, Inc. | 1,250 | 44 | |||||||||
Motorola, Inc. | 16,150 | 372 | |||||||||
NCR Corp. * | 1,200 | 50 | |||||||||
Network Appliance, Inc. * | 2,000 | 73 | |||||||||
QLogic Corp. * | 1,170 | 24 | |||||||||
QUALCOMM, Inc. | 10,760 | 392 | |||||||||
SanDisk Corp. * | 1,200 | 58 | |||||||||
Sanmina — SCI Corp. * | 3,400 | 13 | |||||||||
Solectron Corp. * | 5,300 | 18 | |||||||||
Sun Microsystems, Inc. * | 20,800 | 113 | |||||||||
Symbol Technologies, Inc. | 1,366 | 20 | |||||||||
Tektronix, Inc. | 500 | 15 | |||||||||
Tellabs, Inc. * | 2,700 | 28 | |||||||||
Xerox Corp. * | 5,200 | 88 | |||||||||
5,604 | |||||||||||
Telecommunication Services 0.5% | |||||||||||
Alltel Corp. | 2,510 | 134 | |||||||||
AT&T Corp. | 25,639 | 878 | |||||||||
BellSouth Corp. | 11,900 | 537 | |||||||||
CenturyTel, Inc. | 900 | 36 | |||||||||
Citizens Communications Co. | 1,732 | 25 | |||||||||
Embarq Corp. | 943 | 45 | |||||||||
Qwest Communications International, Inc. * | 10,622 | 92 | |||||||||
Sprint Nextel Corp. | 18,876 | 353 | |||||||||
Verizon Communications, Inc. | 17,836 | 660 | |||||||||
Windstream Corp. | 2,595 | 36 | |||||||||
2,796 | |||||||||||
Transportation 0.3% | |||||||||||
Burlington Northern Santa Fe Corp. | 2,500 | 194 | |||||||||
CSX Corp. | 3,000 | 107 | |||||||||
Delta Air Lines, Inc. * | 900 | 1 | |||||||||
FedEx Corp. | 1,960 | 225 | |||||||||
Norfolk Southern Corp. | 2,500 | 131 | |||||||||
Ryder System, Inc. | 400 | 21 | |||||||||
Southwest Airlines Co. | 5,137 | 77 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Union Pacific Corp. | 1,700 | 154 | |||||||||
United Parcel Service, Inc., Class B | 7,385 | 557 | |||||||||
1,467 | |||||||||||
Utilities 0.5% | |||||||||||
Allegheny Energy, Inc. * | 720 | 31 | |||||||||
Ameren Corp. | 1,200 | 65 | |||||||||
American Electric Power Co., Inc. | 2,580 | 107 | |||||||||
CenterPoint Energy, Inc. | 1,924 | 30 | |||||||||
CMS Energy Corp. * | 700 | 10 | |||||||||
Consolidated Edison, Inc. | 1,500 | 73 | |||||||||
Constellation Energy Group, Inc. | 1,000 | 62 | |||||||||
Dominion Resources, Inc. | 2,167 | 175 | |||||||||
DTE Energy Co. | 1,000 | 45 | |||||||||
Duke Energy Corp. | 7,512 | 238 | |||||||||
Dynegy, Inc., Class A * | 2,100 | 13 | |||||||||
Edison International | 2,200 | 98 | |||||||||
Entergy Corp. | 1,500 | 129 | |||||||||
Exelon Corp. | 4,324 | 268 | |||||||||
FirstEnergy Corp. | 2,030 | 119 | |||||||||
FPL Group, Inc. | 2,600 | 133 | |||||||||
KeySpan Corp. | 900 | 36 | |||||||||
Nicor, Inc. | 300 | 14 | |||||||||
NiSource, Inc. | 1,651 | 38 | |||||||||
Peoples Energy Corp. | 200 | 9 | |||||||||
PG&E Corp. | 2,700 | 116 | |||||||||
Pinnacle West Capital Corp. | 600 | 29 | |||||||||
PPL Corp. | 2,000 | 69 | |||||||||
Progress Energy, Inc. | 1,593 | 73 | |||||||||
Public Service Enterprise Group, Inc. | 1,500 | 92 | |||||||||
Sempra Energy | 1,360 | 72 | |||||||||
TECO Energy, Inc. | 900 | 15 | |||||||||
The AES Corp. * | 3,200 | 70 | |||||||||
The Southern Co. | 4,500 | 164 | |||||||||
TXU Corp. | 3,164 | 200 | |||||||||
Xcel Energy, Inc. | 2,585 | 57 | |||||||||
2,650 | |||||||||||
Other Investment Companies 84.3% of net assets | |||||||||||
Schwab Institutional Select S&P 500 Fund (a) | 7,662,656 | 84,213 | |||||||||
Schwab International Index Fund, Select Shares (a) | 3,778,134 | 79,870 | |||||||||
Schwab Small-Cap Index Fund, Select Shares (a) | 3,035,569 | 78,834 | |||||||||
Schwab Total Bond Market Fund (a) | 18,719,868 | 184,016 | |||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 23,250,213 | 23,250 | |||||||||
450,183 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.2% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 960 | 960 |
End of Investments.
* | Non-income producing security. |
(a) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Assets | |||||||
Investments in affiliated underlying funds, at value (cost $368,594) | $ | 450,183 | |||||
Investments, in unaffiliated issuers at value (cost $48,582) | + | 83,757 | |||||
Total investments, at value (cost $417,176) | 533,940 | ||||||
Receivables: | |||||||
Fund shares sold | 556 | ||||||
Dividends | 863 | ||||||
Prepaid expenses | + | 4 | |||||
Total assets | 535,363 | ||||||
Liabilities | |||||||
Payables: | |||||||
Investments bought | 745 | ||||||
Investment adviser and administrator fees | 10 | ||||||
Transfer agent and shareholder service fees | 11 | ||||||
Fund shares redeemed | 423 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 78 | |||||
Total liabilities | 1,268 | ||||||
Net Assets | |||||||
Total assets | 535,363 | ||||||
Total liabilities | –1,268 | ||||||
Net assets | $ | 534,095 | |||||
Net Assets by Source | |||||||
Capital received from investors | 404,200 | ||||||
Net investment income not yet distributed | 7,026 | ||||||
Net realized capital gains | 6,105 | ||||||
Net unrealized capital gains | 116,764 | ||||||
Net Asset Value (NAV) |
Net Assets | ÷ | Shares Outstanding | = | NAV | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$534,095 | 31,346 | $ | 17.04 |
Table of Contents
Investment Income | |||||||
Dividends received from unaffiliated underlying funds | $ | 13,641 | |||||
Dividends, including $1 from affiliated issuer | 1,143 | ||||||
Interest | + | 86 | |||||
Total Investment Income | 14,870 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on sales of affiliated underlying funds | 8,216 | ||||||
Net realized gains received from affiliated underlying funds | 1,008 | ||||||
Net realized gains on unaffiliated investments | + | 33 | |||||
Net realized gains | 9,257 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on affiliated underlying funds | 31,859 | ||||||
Net unrealized gains on unaffiliated investments | + | 10,341 | |||||
Net unrealized gains | 42,200 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 2,282 | ||||||
Transfer agent and shareholder service fees | 1,303 | ||||||
Shareholder reports | 53 | ||||||
Portfolio accounting fees | 37 | ||||||
Registration fees | 33 | ||||||
Professional fees | 33 | ||||||
Custodian fees | 19 | ||||||
Trustees’ fees | 9 | ||||||
Overdraft expense | 1 | ||||||
Other expenses | + | 14 | |||||
Total expenses | 3,784 | ||||||
Expense reduction by adviser and Schwab | –1,178 | ||||||
Net expenses | 2,606 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 14,870 | ||||||
Net expenses | –2,606 | ||||||
Net investment income | 12,264 | ||||||
Net realized gains | 9,257 | ||||||
Net unrealized gains | + | 42,200 | |||||
Increase in net assets from operations | $ | 63,721 |
Table of Contents
Operations |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 12,264 | $ | 11,810 | |||||||
Net realized gains | 9,257 | 17,247 | |||||||||
Net unrealized gains | + | 42,200 | 10,119 | ||||||||
Increase in net assets from operations | 63,721 | 39,176 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | 11,244 | 10,162 | |||||||||
Distributions from net realized gains | + | 1,491 | — | ||||||||
Total distributions | $ | 12,735 | $ | 10,162 |
Transactions in Fund Shares |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares sold | 3,966 | $ | 64,139 | 5,057 | $ | 76,535 | |||||||||||||
Shares reinvested | 779 | 12,213 | 651 | 9,764 | |||||||||||||||
Shares redeemed | + | (6,981 | ) | (112,331 | ) | (9,036 | ) | (137,415 | ) | ||||||||||
Net transactions in fund shares | (2,236 | ) | $ | (35,979 | ) | (3,328 | ) | $ | (51,116 | ) |
Shares Outstanding and Net Assets |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 33,582 | $ | 519,088 | 36,910 | $ | 541,190 | |||||||||||||
Total increase or decrease | + | (2,236 | ) | 15,007 | (3,328 | ) | (22,102 | ) | |||||||||||
End of period | 31,346 | $ | 534,095 | 33,582 | $ | 519,088 | |||||||||||||
Net investment income not yet distributed | $ | 7,026 | $ | 5,501 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 13.42 | 13.09 | 12.53 | 11.37 | 12.22 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income | 0.42 | 0.36 | 0.34 | 0.29 | 0.40 | ||||||||||||||||||
Net realized and unrealized gains or losses | 0.92 | 0.32 | 0.57 | 1.16 | (0.78 | ) | |||||||||||||||||
Total income or loss from investment operations | 1.34 | 0.68 | 0.91 | 1.45 | (0.38 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.42 | ) | (0.35 | ) | (0.35 | ) | (0.29 | ) | (0.41 | ) | |||||||||||||
Distributions from net realized gains | (0.01 | ) | — | — | — | (0.06 | ) | ||||||||||||||||
Total distributions | (0.43 | ) | (0.35 | ) | (0.35 | ) | (0.29 | ) | (0.47 | ) | |||||||||||||
Net asset value at end of period | 14.33 | 13.42 | 13.09 | 12.53 | 11.37 | ||||||||||||||||||
Total return (%) | 10.13 | 5.24 | 7.38 | 12.98 | (3.29 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||||||||||||||||||
Gross operating expenses1 | 0.74 | 0.75 | 0.75 | 0.75 | 0.76 | ||||||||||||||||||
Net investment income | 3.12 | 2.67 | 2.70 | 2.44 | 3.17 | ||||||||||||||||||
Portfolio turnover rate | 11 | 9 | 10 | 17 | 32 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 232 | 300 | 290 | 289 | 263 | ||||||||||||||||||
P Shares | 4/06/062— 10/31/06 | ||||||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 13.93 | ||||||||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||
Net investment income | 0.23 | ||||||||||||||||||||||
Net realized and unrealized gains | 0.35 | ||||||||||||||||||||||
Total income or loss from investment operations | 0.58 | ||||||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | |||||||||||||||||||||
Net asset value at end of period | 14.32 | ||||||||||||||||||||||
Total return (%) | 4.22 | 3 | |||||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses1 | 0.35 | 4 | |||||||||||||||||||||
Gross operating expenses1 | 0.60 | 4 | |||||||||||||||||||||
Net investment income | 2.81 | 4 | |||||||||||||||||||||
Portfolio turnover rate | 11 | 3 | |||||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 79 |
1 | The expenses incurred by underlying funds in which the portfolio invests are not included in this ratio. The income received by the portfolio from underlying funds is reduced by those expenses. |
2 | Commencement of operations. |
3 | Not annualized. |
4 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
6.2% | Common Stock | 12,294 | 19,430 | |||||||||||||
93.4% | Other Investment Companies | 249,898 | 290,264 | |||||||||||||
0.4% | Short-Term Investment | 1,153 | 1,153 | |||||||||||||
100.0% | Total Investments | 263,345 | 310,847 | |||||||||||||
0.0% | Other Assets and Liabilities, Net | (48 | ) | |||||||||||||
100.0% | Total Net Assets | 310,799 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 6.2% of net assets | |||||||||||
Automobiles & Components 0.0% | |||||||||||
Ford Motor Co. | 2,921 | 24 | |||||||||
General Motors Corp. | 825 | 29 | |||||||||
Harley-Davidson, Inc. | 500 | 34 | |||||||||
Johnson Controls, Inc. | 300 | 24 | |||||||||
The Goodyear Tire & Rubber Co. * | 300 | 5 | |||||||||
116 | |||||||||||
Banks 0.4% | |||||||||||
AmSouth Bancorp | 600 | 18 | |||||||||
BB&T Corp. | 850 | 37 | |||||||||
Comerica, Inc. | 300 | 18 | |||||||||
Commerce Bancorp, Inc. | 200 | 7 | |||||||||
Compass Bancshares, Inc. | 190 | 11 | |||||||||
Countrywide Financial Corp. | 798 | 30 | |||||||||
Fannie Mae | 1,475 | 87 | |||||||||
Fifth Third Bancorp | 867 | 35 | |||||||||
First Horizon National Corp. | 200 | 8 | |||||||||
Freddie Mac | 1,000 | 69 | |||||||||
Huntington Bancshares, Inc. | 423 | 10 | |||||||||
KeyCorp | 700 | 26 | |||||||||
M&T Bank Corp. | 199 | 24 | |||||||||
Marshall & Ilsley Corp. | 322 | 15 | |||||||||
MGIC Investment Corp. | 150 | 9 | |||||||||
National City Corp. | 950 | 35 | |||||||||
North Fork Bancorp, Inc. | 750 | 21 | |||||||||
PNC Financial Services Group, Inc. | 400 | 28 | |||||||||
Regions Financial Corp. | 670 | 25 | |||||||||
Sovereign Bancorp, Inc. | 420 | 10 | |||||||||
SunTrust Banks, Inc. | 500 | 40 | |||||||||
Synovus Financial Corp. | 400 | 12 | |||||||||
U.S. Bancorp | 2,922 | 99 | |||||||||
Wachovia Corp. | 2,970 | 165 | |||||||||
Washington Mutual, Inc. | 1,491 | 63 | |||||||||
Wells Fargo & Co. | 5,120 | 186 | |||||||||
Zions Bancorp | 100 | 8 | |||||||||
1,096 | |||||||||||
Capital Goods 0.5% | |||||||||||
3M Co. | 1,200 | 95 | |||||||||
American Power Conversion Corp. | 225 | 7 | |||||||||
American Standard Cos., Inc. | 300 | 13 | |||||||||
Caterpillar, Inc. | 1,100 | 67 | |||||||||
Cooper Industries Ltd., Class A | 150 | 13 | |||||||||
Cummins, Inc. | 100 | 13 | |||||||||
Danaher Corp. | 500 | 36 | |||||||||
Deere & Co. | 400 | 34 | |||||||||
Dover Corp. | 300 | 14 | |||||||||
Eaton Corp. | 200 | 14 | |||||||||
Emerson Electric Co. * | 650 | 55 | |||||||||
Fluor Corp. | 100 | 8 | |||||||||
General Dynamics Corp. | 600 | 43 | |||||||||
General Electric Co. | 16,490 | 579 | |||||||||
Goodrich Corp. | 200 | 9 | |||||||||
Honeywell International, Inc. | 1,275 | 54 | |||||||||
Illinois Tool Works, Inc. | 700 | 34 | |||||||||
Ingersoll-Rand Co., Ltd., Class A | 500 | 18 | |||||||||
ITT Corp. | 300 | 16 | |||||||||
L-3 Communications Holdings, Inc. | 200 | 16 | |||||||||
Lockheed Martin Corp. | 700 | 61 | |||||||||
Masco Corp. | 700 | 19 | |||||||||
Navistar International Corp. * | 100 | 3 | |||||||||
Northrop Grumman Corp. | 514 | 34 | |||||||||
PACCAR, Inc. | 450 | 27 | |||||||||
Pall Corp. | 200 | 6 | |||||||||
Parker Hannifin Corp. | 150 | 13 | |||||||||
Raytheon Co. | 600 | 30 | |||||||||
Rockwell Automation, Inc. | 300 | 19 | |||||||||
Rockwell Collins, Inc. | 300 | 17 | |||||||||
Textron, Inc. | 200 | 18 | |||||||||
The Boeing Co. | 1,246 | 99 | |||||||||
Tyco International Ltd. | 3,013 | 89 | |||||||||
United Technologies Corp. | 1,600 | 105 | |||||||||
W.W. Grainger, Inc. | 100 | 7 | |||||||||
1,685 | |||||||||||
Commercial Services & Supplies 0.0% | |||||||||||
Allied Waste Industries, Inc. * | 500 | 6 | |||||||||
Avery Dennison Corp. | 200 | 13 | |||||||||
Cintas Corp. | 260 | 11 | |||||||||
Equifax, Inc. | 200 | 7 | |||||||||
Monster Worldwide, Inc. * | 191 | 8 | |||||||||
Pitney Bowes, Inc. | 400 | 19 | |||||||||
R.R. Donnelley & Sons Co. | 300 | 10 | |||||||||
Robert Half International, Inc. | 300 | 11 | |||||||||
Waste Management, Inc. | 907 | 34 | |||||||||
119 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Consumer Durables & Apparel 0.1% | |||||||||||
Brunswick Corp. | 100 | 3 | |||||||||
Centex Corp. | 200 | 10 | |||||||||
Coach, Inc. * | 600 | 24 | |||||||||
D.R. Horton, Inc. | 420 | 10 | |||||||||
Eastman Kodak Co. | 500 | 12 | |||||||||
Fortune Brands, Inc. | 200 | 15 | |||||||||
Harman International Industries, Inc. | 100 | 10 | |||||||||
Hasbro, Inc. | 325 | 8 | |||||||||
Jones Apparel Group, Inc. | 200 | 7 | |||||||||
KB Home | 200 | 9 | |||||||||
Leggett & Platt, Inc. | 300 | 7 | |||||||||
Lennar Corp., Class A | 200 | 10 | |||||||||
Liz Claiborne, Inc. | 200 | 8 | |||||||||
Mattel, Inc. | 650 | 15 | |||||||||
Newell Rubbermaid, Inc. | 436 | 13 | |||||||||
Nike, Inc., Class B | 300 | 28 | |||||||||
Pulte Homes, Inc. | 400 | 12 | |||||||||
Snap-On, Inc. | 100 | 5 | |||||||||
The Black & Decker Corp. | 100 | 8 | |||||||||
The Stanley Works | 100 | 5 | |||||||||
VF Corp. | 200 | 15 | |||||||||
Whirlpool Corp. | 111 | 10 | |||||||||
244 | |||||||||||
Consumer Services 0.1% | |||||||||||
Apollo Group, Inc., Class A * | 250 | 9 | |||||||||
Carnival Corp. | 820 | 40 | |||||||||
Darden Restaurants, Inc. | 300 | 13 | |||||||||
H&R Block, Inc. | 600 | 13 | |||||||||
Harrah’s Entertainment, Inc. | 200 | 15 | |||||||||
Hilton Hotels Corp. | 600 | 17 | |||||||||
International Game Technology | 556 | 24 | |||||||||
Marriott International, Inc., Class A | 600 | 25 | |||||||||
McDonald’s Corp. | 2,000 | 84 | |||||||||
Starbucks Corp. * | 1,120 | 42 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 300 | 18 | |||||||||
Wendy’s International, Inc. | 200 | 7 | |||||||||
Western Union Co. * | 1,392 | 31 | |||||||||
Wyndham Worldwide Corp. * | 291 | 9 | |||||||||
YUM! Brands, Inc. | 480 | 28 | |||||||||
375 | |||||||||||
Diversified Financials 0.6% | |||||||||||
American Express Co. | 1,820 | 105 | |||||||||
Ameriprise Financial, Inc. | 364 | 19 | |||||||||
Bank of America Corp. | 7,142 | 385 | |||||||||
Capital One Financial Corp. | 450 | 36 | |||||||||
Chicago Mercantile Exchange Holdings, Inc. | 54 | 27 | |||||||||
CIT Group, Inc. | 300 | 16 | |||||||||
Citigroup, Inc. | 7,782 | 390 | |||||||||
E*TRADE Financial Corp. * | 600 | 14 | |||||||||
Federated Investors, Inc., Class B | 200 | 7 | |||||||||
Franklin Resources, Inc. | 200 | 23 | |||||||||
Janus Capital Group, Inc. | 400 | 8 | |||||||||
JPMorgan Chase & Co. | 5,352 | 254 | |||||||||
Legg Mason, Inc. | 190 | 17 | |||||||||
Lehman Brothers Holdings, Inc. | 800 | 62 | |||||||||
Mellon Financial Corp. | 700 | 27 | |||||||||
Merrill Lynch & Co., Inc. | 1,500 | 131 | |||||||||
Moody’s Corp. | 400 | 26 | |||||||||
Morgan Stanley | 1,630 | 124 | |||||||||
Northern Trust Corp. | 300 | 18 | |||||||||
SLM Corp. | 650 | 32 | |||||||||
State Street Corp. | 500 | 32 | |||||||||
T. Rowe Price Group, Inc. | 400 | 19 | |||||||||
The Bank of New York Co., Inc. | 1,200 | 41 | |||||||||
The Bear Stearns Cos., Inc. | 145 | 22 | |||||||||
The Charles Schwab Corp. | 2,125 | 39 | |||||||||
The Goldman Sachs Group, Inc. * | 728 | 138 | |||||||||
2,012 | |||||||||||
Energy 0.6% | |||||||||||
Anadarko Petroleum Corp. | 734 | 34 | |||||||||
Apache Corp. | 462 | 30 | |||||||||
Baker Hughes, Inc. | 470 | 33 | |||||||||
BJ Services Co. | 400 | 12 | |||||||||
Chesapeake Energy Corp. | 500 | 16 | |||||||||
ChevronTexaco Corp. | 3,520 | 237 | |||||||||
ConocoPhillips | 2,596 | 156 | |||||||||
CONSOL Energy, Inc. | 300 | 11 | |||||||||
Devon Energy Corp. | 700 | 47 | |||||||||
El Paso Corp. | 769 | 11 | |||||||||
EOG Resources, Inc. | 360 | 24 | |||||||||
Exxon Mobil Corp. | 9,518 | 680 | |||||||||
Halliburton Co. | 1,428 | 46 | |||||||||
Hess Corp. | 300 | 13 | |||||||||
Kinder Morgan, Inc. | 176 | 19 | |||||||||
Marathon Oil Corp. | 523 | 45 | |||||||||
Murphy Oil Corp. | 300 | 14 | |||||||||
Nabors Industries Ltd. * | 400 | 12 | |||||||||
National-Oilwell Varco, Inc. * | 270 | 16 | |||||||||
Noble Corp. | 200 | 14 | |||||||||
Occidental Petroleum Corp. | 1,200 | 56 | |||||||||
Rowan Cos., Inc. | 100 | 3 | |||||||||
Schlumberger Ltd. | 1,800 | 114 | |||||||||
Smith International, Inc. | 300 | 12 | |||||||||
Sunoco, Inc. | 200 | 13 | |||||||||
Transocean, Inc. * | 474 | 34 | |||||||||
Valero Energy Corp. | 1,000 | 52 | |||||||||
Weatherford International Ltd. * | 440 | 18 | |||||||||
Williams Cos., Inc. | 700 | 17 | |||||||||
XTO Energy, Inc. | 533 | 25 | |||||||||
1,814 | |||||||||||
Food & Staples Retailing 0.1% | |||||||||||
Costco Wholesale Corp. | 700 | 37 | |||||||||
CVS Corp. | 1,200 | 38 | |||||||||
Safeway, Inc. | 650 | 19 | |||||||||
Supervalu, Inc. | 318 | 11 | |||||||||
Sysco Corp. | 1,000 | 35 | |||||||||
The Kroger Co. | 1,200 | 27 | |||||||||
Wal-Mart Stores, Inc. | 3,900 | 192 | |||||||||
Walgreen Co. | 1,600 | 70 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Whole Foods Market, Inc. | 100 | 6 | |||||||||
Winn-Dixie Stores, Inc. * | 300 | — | |||||||||
435 | |||||||||||
Food, Beverage & Tobacco 0.3% | |||||||||||
Altria Group, Inc. | 3,220 | 262 | |||||||||
Anheuser-Busch Cos., Inc. | 1,200 | 57 | |||||||||
Archer-Daniels-Midland Co. | 1,014 | 39 | |||||||||
Brown-Forman Corp., Class B | 150 | 11 | |||||||||
Campbell Soup Co. | 300 | 11 | |||||||||
Coca-Cola Enterprises, Inc. | 700 | 14 | |||||||||
ConAgra Foods, Inc. | 800 | 21 | |||||||||
Constellation Brands, Inc., Class A * | 300 | 8 | |||||||||
Dean Foods Co. * | 200 | 8 | |||||||||
General Mills, Inc. | 582 | 33 | |||||||||
H.J. Heinz Co. | 600 | �� | 25 | ||||||||
Kellogg Co. | 400 | 20 | |||||||||
McCormick & Co., Inc. | 200 | 8 | |||||||||
Molson Coors Brewing Co., Class B | 50 | 4 | |||||||||
PepsiCo, Inc. | 2,560 | 162 | |||||||||
Reynolds American, Inc. | 274 | 17 | |||||||||
Sara Lee Corp. | 1,200 | 21 | |||||||||
The Coca-Cola Co. | 3,220 | 150 | |||||||||
The Hershey Co. | 400 | 21 | |||||||||
The Pepsi Bottling Group, Inc. | 350 | 11 | |||||||||
Tyson Foods, Inc., Class A | 400 | 6 | |||||||||
UST, Inc. | 300 | 16 | |||||||||
Wm. Wrigley Jr. Co. | 375 | 20 | |||||||||
945 | |||||||||||
Health Care Equipment & Services 0.3% | |||||||||||
Aetna, Inc. | 888 | 37 | |||||||||
AmerisourceBergen Corp. | 400 | 19 | |||||||||
Bausch & Lomb, Inc. | 100 | 5 | |||||||||
Baxter International, Inc. | 900 | 41 | |||||||||
Becton Dickinson & Co. | 400 | 28 | |||||||||
Biomet, Inc. | 450 | 17 | |||||||||
Boston Scientific Corp. * | 2,107 | 33 | |||||||||
C.R. Bard, Inc. | 200 | 16 | |||||||||
Cardinal Health, Inc. | 650 | 42 | |||||||||
Caremark Rx, Inc. | 581 | 29 | |||||||||
CIGNA Corp. | 200 | 23 | |||||||||
Coventry Health Care, Inc. * | 300 | 14 | |||||||||
Express Scripts, Inc. * | 200 | 13 | |||||||||
HCA, Inc. | 600 | 30 | |||||||||
Health Management Associates, Inc., Class A | 400 | 8 | |||||||||
Hospira, Inc. * | 240 | 9 | |||||||||
Humana, Inc. * | 200 | 12 | |||||||||
IMS Health, Inc. | 350 | 10 | |||||||||
Laboratory Corp. of America Holdings * | 200 | 14 | |||||||||
Manor Care, Inc. | 100 | 5 | |||||||||
McKesson Corp. | 422 | 21 | |||||||||
Medco Health Solutions, Inc. * | 422 | 23 | |||||||||
Medtronic, Inc. | 1,800 | 88 | |||||||||
Patterson Cos., Inc. * | 200 | 7 | |||||||||
Quest Diagnostics, Inc. | 278 | 14 | |||||||||
St. Jude Medical, Inc. * | 500 | 17 | |||||||||
Stryker Corp. | 602 | 31 | |||||||||
Tenet Healthcare Corp. * | 750 | 5 | |||||||||
UnitedHealth Group, Inc. | 2,000 | 98 | |||||||||
WellPoint, Inc. * | 900 | 69 | |||||||||
Zimmer Holdings, Inc. * | 350 | 25 | |||||||||
803 | |||||||||||
Household & Personal Products 0.2% | |||||||||||
Alberto-Culver Co., Class B | 150 | 8 | |||||||||
Avon Products, Inc. | 700 | 21 | |||||||||
Clorox Co. | 300 | 20 | |||||||||
Colgate-Palmolive Co. | 800 | 51 | |||||||||
Kimberly-Clark Corp. | 756 | 50 | |||||||||
Procter & Gamble Co. | 5,062 | 321 | |||||||||
The Estee Lauder Cos., Inc., Class A | 100 | 4 | |||||||||
475 | |||||||||||
Insurance 0.3% | |||||||||||
ACE Ltd. | 400 | 23 | |||||||||
AFLAC, Inc. | 800 | 36 | |||||||||
Ambac Financial Group, Inc. | 162 | 14 | |||||||||
American International Group, Inc. | 3,979 | 267 | |||||||||
AON Corp. | 475 | 17 | |||||||||
Cincinnati Financial Corp. | 330 | 15 | |||||||||
Genworth Financial, Inc., Class A | 300 | 10 | |||||||||
Lincoln National Corp. | 501 | 32 | |||||||||
Loews Corp. | 900 | 35 | |||||||||
Marsh & McLennan Cos., Inc. | 800 | 24 | |||||||||
MBIA, Inc. | 200 | 12 | |||||||||
MetLife, Inc. | 1,178 | 67 | |||||||||
Principal Financial Group, Inc. | 550 | 31 | |||||||||
Prudential Financial, Inc. | 800 | 62 | |||||||||
SAFECO Corp. | 200 | 12 | |||||||||
The Allstate Corp. | 1,100 | 67 | |||||||||
The Chubb Corp. | 600 | 32 | |||||||||
The Hartford Financial Services Group, Inc. | 425 | 37 | |||||||||
The Progressive Corp. | 1,400 | 34 | |||||||||
The St. Paul Travelers Cos., Inc. | 1,006 | 51 | |||||||||
Torchmark Corp. | 200 | 12 | |||||||||
UnumProvident Corp. | 346 | 7 | |||||||||
XL Capital Ltd., Class A | 200 | 14 | |||||||||
911 | |||||||||||
Materials 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 300 | 21 | |||||||||
Alcoa, Inc. | 1,312 | 38 | |||||||||
Allegheny Technologies, Inc. | 146 | 12 | |||||||||
Ashland, Inc. | 100 | 6 | |||||||||
Ball Corp. | 200 | 8 | |||||||||
Bemis Co. | 200 | 7 | |||||||||
E.I. du Pont de Nemours & Co. | 1,525 | 70 | |||||||||
Eastman Chemical Co. | 100 | 6 | |||||||||
Ecolab, Inc. | 400 | 18 | |||||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 300 | 18 | |||||||||
Hercules, Inc. * | 200 | 4 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
International Flavors & Fragrances, Inc. | 200 | 9 | |||||||||
International Paper Co. | 739 | 25 | |||||||||
Louisiana-Pacific Corp. | 100 | 2 | |||||||||
MeadWestvaco Corp. | 294 | 8 | |||||||||
Monsanto Co. | 664 | 29 | |||||||||
Newmont Mining Corp. | 643 | 29 | |||||||||
Nucor Corp. | 400 | 23 | |||||||||
Pactiv Corp. * | 300 | 9 | |||||||||
Phelps Dodge Corp. | 270 | 27 | |||||||||
PPG Industries, Inc. | 250 | 17 | |||||||||
Praxair, Inc. | 500 | 30 | |||||||||
Rohm & Haas Co. | 373 | 19 | |||||||||
Sealed Air Corp. | 153 | 9 | |||||||||
Sigma-Aldrich Corp. | 100 | 8 | |||||||||
Temple-Inland, Inc. | 200 | 8 | |||||||||
The Dow Chemical Co. | 1,372 | 56 | |||||||||
United States Steel Corp. | 100 | 7 | |||||||||
Vulcan Materials Co. | 200 | 16 | |||||||||
Weyerhaeuser Co. | 350 | 22 | |||||||||
561 | |||||||||||
Media 0.2% | |||||||||||
CBS Corp., Class B | 1,330 | 38 | |||||||||
Clear Channel Communications, Inc. | 967 | 34 | |||||||||
Comcast Corp., Class A * | 3,463 | 141 | |||||||||
Dow Jones & Co., Inc. | 100 | 3 | |||||||||
Gannett Co., Inc. | 400 | 24 | |||||||||
Meredith Corp. | 100 | 5 | |||||||||
News Corp., Class A | 3,880 | 81 | |||||||||
Omnicom Group, Inc. | 300 | 30 | |||||||||
The E.W. Scripps Co., Class A | 100 | 5 | |||||||||
The Interpublic Group of Cos., Inc. * | 600 | 7 | |||||||||
The McGraw-Hill Cos., Inc. | 600 | 38 | |||||||||
The New York Times Co., Class A | 200 | 5 | |||||||||
The Walt Disney Co. | 3,077 | 97 | |||||||||
Time Warner, Inc. | 6,380 | 128 | |||||||||
Tribune Co. | 500 | 17 | |||||||||
Univision Communications, Inc., Class A * | 519 | 18 | |||||||||
Viacom, Inc., Class B * | 1,330 | 52 | |||||||||
723 | |||||||||||
Pharmaceuticals & Biotechnology 0.5% | |||||||||||
Abbott Laboratories | 2,400 | 114 | |||||||||
Allergan, Inc. | 200 | 23 | |||||||||
Amgen, Inc. * | 1,952 | 148 | |||||||||
Applied Biosystems Group —Applera Corp. | 300 | 11 | |||||||||
Barr Pharmaceuticals, Inc. * | 200 | 11 | |||||||||
Biogen Idec, Inc. * | 480 | 23 | |||||||||
Bristol-Myers Squibb Co. | 3,000 | 74 | |||||||||
Eli Lilly & Co. | 1,725 | 97 | |||||||||
Fisher Scientific International, Inc. * | 163 | 14 | |||||||||
Forest Laboratories, Inc. * | 550 | 27 | |||||||||
Genzyme Corp. * | 325 | 22 | |||||||||
Gilead Sciences, Inc. * | 650 | 45 | |||||||||
Johnson & Johnson | 4,622 | 312 | |||||||||
King Pharmaceuticals, Inc. * | 366 | 6 | |||||||||
MedImmune, Inc. * | 400 | 13 | |||||||||
Merck & Co., Inc. | 3,400 | 154 | |||||||||
Millipore Corp. * | 100 | 6 | |||||||||
Mylan Laboratories, Inc. | 400 | 8 | |||||||||
PerkinElmer, Inc. | 200 | 4 | |||||||||
Pfizer, Inc. | 11,557 | 308 | |||||||||
Schering-Plough Corp. | 2,300 | 51 | |||||||||
Thermo Electron Corp. * | 200 | 9 | |||||||||
Waters Corp. * | 200 | 10 | |||||||||
Watson Pharmaceuticals, Inc. * | 200 | 5 | |||||||||
Wyeth | 2,000 | 102 | |||||||||
1,597 | |||||||||||
Real Estate 0.1% | |||||||||||
Apartment Investment & Management Co., Class A | 100 | 6 | |||||||||
Archstone-Smith Trust | 300 | 18 | |||||||||
Boston Properties, Inc. | 130 | 14 | |||||||||
Equity Office Properties Trust | 600 | 26 | |||||||||
Equity Residential | 400 | 22 | |||||||||
Kimco Realty Corp. | 168 | 7 | |||||||||
Plum Creek Timber Co., Inc. | 300 | 11 | |||||||||
ProLogis | 300 | 19 | |||||||||
Public Storage, Inc. | 100 | 9 | |||||||||
Realogy Corp. * | 364 | 9 | |||||||||
Simon Property Group, Inc. | 300 | 29 | |||||||||
Vornado Realty Trust | 200 | 24 | |||||||||
194 | |||||||||||
Retailing 0.3% | |||||||||||
Amazon.com, Inc. * | 300 | 12 | |||||||||
AutoNation, Inc. * | 500 | 10 | |||||||||
AutoZone, Inc. * | 150 | 17 | |||||||||
Bed, Bath & Beyond, Inc. * | 400 | 16 | |||||||||
Best Buy Co., Inc. | 675 | 37 | |||||||||
Big Lots, Inc. * | 200 | 4 | |||||||||
Circuit City Stores, Inc. | 300 | 8 | |||||||||
Dillard’s, Inc., Class A | 200 | 6 | |||||||||
Dollar General Corp. | 515 | 7 | |||||||||
eBay, Inc. * | 1,708 | 55 | |||||||||
Family Dollar Stores, Inc. | 300 | 9 | |||||||||
Federated Department Stores, Inc. | 910 | 40 | |||||||||
Genuine Parts Co. | 250 | 11 | |||||||||
Home Depot, Inc. | 3,450 | 129 | |||||||||
J.C. Penney Co., Inc. | 400 | 30 | |||||||||
Kohl’s Corp. * | 500 | 35 | |||||||||
Limited Brands, Inc. | 739 | 22 | |||||||||
Lowe’s Cos., Inc. | 2,400 | 72 | |||||||||
Nordstrom, Inc. | 400 | 19 | |||||||||
Office Depot, Inc. * | 600 | 25 | |||||||||
OfficeMax, Inc. | 100 | 5 | |||||||||
RadioShack Corp. | 300 | 5 | |||||||||
Sears Holdings Corp. * | 154 | 27 | |||||||||
Staples, Inc. | 1,125 | 29 | |||||||||
Target Corp. | 1,400 | 83 | |||||||||
The Gap, Inc. | 1,362 | 29 | |||||||||
The Sherwin-Williams Co. | 200 | 12 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
The TJX Cos., Inc. | 800 | 23 | |||||||||
Tiffany & Co. | 250 | 9 | |||||||||
786 | |||||||||||
Semiconductors & Semiconductor Equipment 0.2% | |||||||||||
Advanced Micro Devices, Inc. * | 560 | 12 | |||||||||
Altera Corp. * | 510 | 9 | |||||||||
Analog Devices, Inc. | 600 | 19 | |||||||||
Applied Materials, Inc. | 2,600 | 45 | |||||||||
Broadcom Corp., Class A * | 738 | 22 | |||||||||
Freescale Semiconductor, Inc., Class B * | 404 | 16 | |||||||||
Intel Corp. | 9,800 | 209 | |||||||||
KLA-Tencor Corp. | 300 | 15 | |||||||||
Linear Technology Corp. | 500 | 16 | |||||||||
LSI Logic Corp. * | 500 | 5 | |||||||||
Maxim Integrated Products, Inc. | 500 | 15 | |||||||||
Micron Technology, Inc. * | 900 | 13 | |||||||||
National Semiconductor Corp. | 600 | 15 | |||||||||
Novellus Systems, Inc. * | 250 | 7 | |||||||||
NVIDIA Corp. * | 400 | 14 | |||||||||
PMC — Sierra, Inc. * | 300 | 2 | |||||||||
Teradyne, Inc. * | 300 | 4 | |||||||||
Texas Instruments, Inc. | 2,700 | 81 | |||||||||
Xilinx, Inc. | 500 | 13 | |||||||||
532 | |||||||||||
Software & Services 0.3% | |||||||||||
Adobe Systems, Inc. * | 800 | 30 | |||||||||
Affiliated Computer Services, Inc., Class A * | 203 | 11 | |||||||||
Autodesk, Inc. * | 400 | 15 | |||||||||
Automatic Data Processing, Inc. | 900 | 44 | |||||||||
BMC Software, Inc. * | 400 | 12 | |||||||||
CA, Inc. | 850 | 21 | |||||||||
Citrix Systems, Inc. * | 300 | 9 | |||||||||
Computer Sciences Corp. * | 258 | 14 | |||||||||
Compuware Corp. * | 600 | 5 | |||||||||
Convergys Corp. * | 174 | 4 | |||||||||
Electronic Arts, Inc. * | 424 | 22 | |||||||||
Electronic Data Systems Corp. | 700 | 18 | |||||||||
First Data Corp. | 1,392 | 34 | |||||||||
Fiserv, Inc. * | 300 | 15 | |||||||||
Google, Inc., Class A * | 300 | 143 | |||||||||
Intuit, Inc. * | 626 | 22 | |||||||||
Microsoft Corp. | 13,620 | 391 | |||||||||
Novell, Inc. * | 500 | 3 | |||||||||
Oracle Corp. * | 5,988 | 110 | |||||||||
Parametric Technology Corp. * | 200 | 4 | |||||||||
Paychex, Inc. | 525 | 21 | |||||||||
Sabre Holdings Corp., Class A | 244 | 6 | |||||||||
Symantec Corp. * | 1,678 | 33 | |||||||||
Unisys Corp. * | 500 | 3 | |||||||||
VeriSign, Inc. * | 300 | 6 | |||||||||
Yahoo! Inc. * | 2,000 | 53 | |||||||||
1,049 | |||||||||||
Technology Hardware & Equipment 0.4% | |||||||||||
ADC Telecommunications, Inc. * | 142 | 2 | |||||||||
Agilent Technologies, Inc. * | 710 | 25 | |||||||||
Apple Computer, Inc. * | 1,200 | 97 | |||||||||
Avaya, Inc. * | 618 | 8 | |||||||||
Ciena Corp. * | 71 | 2 | |||||||||
Cisco Systems, Inc. * | 9,930 | 240 | |||||||||
Comverse Technology, Inc. * | 300 | 6 | |||||||||
Corning, Inc. * | 2,250 | 46 | |||||||||
Dell, Inc. * | 3,850 | 94 | |||||||||
EMC Corp. * | 3,650 | 45 | |||||||||
Hewlett-Packard Co. | 4,703 | 182 | |||||||||
International Business Machines Corp. | 2,500 | 231 | |||||||||
Jabil Circuit, Inc. | 322 | 9 | |||||||||
JDS Uniphase Corp. * | 251 | 4 | |||||||||
Juniper Networks, Inc. * | 600 | 10 | |||||||||
Lexmark International, Inc., Class A * | 200 | 13 | |||||||||
Lucent Technologies, Inc. * | 7,019 | 17 | |||||||||
Molex, Inc. | 250 | 9 | |||||||||
Motorola, Inc. | 3,666 | 85 | |||||||||
NCR Corp. * | 400 | 17 | |||||||||
Network Appliance, Inc. * | 500 | 18 | |||||||||
QLogic Corp. * | 276 | 6 | |||||||||
QUALCOMM, Inc. | 2,400 | 87 | |||||||||
SanDisk Corp. * | 285 | 14 | |||||||||
Sanmina — SCI Corp. * | 800 | 3 | |||||||||
Solectron Corp. * | 1,000 | 3 | |||||||||
Sun Microsystems, Inc. * | 5,000 | 27 | |||||||||
Symbol Technologies, Inc. | 322 | 5 | |||||||||
Tektronix, Inc. | 200 | 6 | |||||||||
Tellabs, Inc. * | 600 | 6 | |||||||||
Xerox Corp. * | 1,200 | 20 | |||||||||
1,337 | |||||||||||
Telecommunication Services 0.2% | |||||||||||
ALLTEL Corp. | 500 | 27 | |||||||||
AT&T Corp. | 5,945 | 203 | |||||||||
BellSouth Corp. | 2,750 | 124 | |||||||||
CenturyTel, Inc. | 250 | 10 | |||||||||
Citizens Communications Co. | 410 | 6 | |||||||||
Embarq Corp. | 222 | 11 | |||||||||
Qwest Communications International, Inc. * | 2,524 | 22 | |||||||||
Sprint Nextel Corp. | 4,454 | 83 | |||||||||
Verizon Communications, Inc. | 4,188 | 155 | |||||||||
Windstream Corp. | 516 | 7 | |||||||||
648 | |||||||||||
Transportation 0.1% | |||||||||||
Burlington Northern Santa Fe Corp. | 600 | 47 | |||||||||
CSX Corp. | 600 | 21 | |||||||||
Delta Air Lines, Inc. * | 200 | — | |||||||||
FedEx Corp. | 460 | 53 | |||||||||
Norfolk Southern Corp. | 600 | 32 | |||||||||
Ryder System, Inc. | 100 | 5 | |||||||||
Southwest Airlines Co. | 1,218 | 18 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Union Pacific Corp. | 400 | 36 | |||||||||
United Parcel Service, Inc., Class B | 1,712 | 129 | |||||||||
341 | |||||||||||
Utilities 0.2% | |||||||||||
Allegheny Energy, Inc. * | 170 | 7 | |||||||||
Ameren Corp. | 300 | 16 | |||||||||
American Electric Power Co., Inc. | 580 | 24 | |||||||||
CenterPoint Energy, Inc. | 474 | 7 | |||||||||
CMS Energy Corp. * | 200 | 3 | |||||||||
Consolidated Edison, Inc. | 300 | 15 | |||||||||
Constellation Energy Group, Inc. | 200 | 13 | |||||||||
Dominion Resources, Inc. | 515 | 42 | |||||||||
DTE Energy Co. | 200 | 9 | |||||||||
Duke Energy Corp. | 1,876 | 59 | |||||||||
Dynegy, Inc., Class A * | 500 | 3 | |||||||||
Edison International | 500 | 22 | |||||||||
Entergy Corp. | 350 | 30 | |||||||||
Exelon Corp. | 1,024 | 63 | |||||||||
FirstEnergy Corp. | 533 | 31 | |||||||||
FPL Group, Inc. | 600 | 31 | |||||||||
KeySpan Corp. | 200 | 8 | |||||||||
Nicor, Inc. | 100 | 5 | |||||||||
NiSource, Inc. | 376 | 9 | |||||||||
Peoples Energy Corp. | 100 | 4 | |||||||||
PG&E Corp. | 600 | 26 | |||||||||
Pinnacle West Capital Corp. | 100 | 5 | |||||||||
PPL Corp. | 600 | 21 | |||||||||
Progress Energy, Inc. | 354 | 16 | |||||||||
Public Service Enterprise Group, Inc. | 400 | 24 | |||||||||
Sempra Energy | 297 | 16 | |||||||||
TECO Energy, Inc. | 200 | 3 | |||||||||
The AES Corp. * | 800 | 18 | |||||||||
The Southern Co. | 1,100 | 40 | |||||||||
TXU Corp. | 800 | 51 | |||||||||
Xcel Energy, Inc. | 510 | 11 | |||||||||
632 | |||||||||||
Other Investment Companies 93.4% of net assets | |||||||||||
Schwab Institutional Select S&P 500 Fund (a) | 171,198 | 1,881 | |||||||||
Schwab International Index Fund, Select Shares (a) | 1,474,762 | 31,176 | |||||||||
Schwab S&P 500 Index Fund, Select Shares (a) | 1,980,547 | 42,701 | |||||||||
Schwab Small-Cap Index Fund, Select Shares (a) | 1,197,766 | 31,106 | |||||||||
Schwab Total Bond Market Fund (a) | 17,293,603 | 169,996 | |||||||||
Schwab Value Advantage Money Fund, Institutional Shares (a) | 13,403,662 | 13,404 | |||||||||
290,264 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 0.4% of net assets | |||||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 1,153 | 1,153 |
End of Investments.
* | Non-income producing security. |
(a) | Issuer is affiliated with the fund’s adviser. |
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Assets | |||||||
Investments in affiliated underlying funds, at value (cost $249,898) | $ | 290,264 | |||||
Investments, in unaffiliated issuers at value (cost $13,447) | + | 20,583 | |||||
Total investments, at value (cost $263,345) | 310,847 | ||||||
Receivables: | |||||||
Fund shares sold | 215 | ||||||
Dividends | 733 | ||||||
Prepaid expenses | + | 2 | |||||
Total assets | 311,797 | ||||||
Liabilities | |||||||
Payables: | |||||||
Investments bought | 693 | ||||||
Investment adviser and administrator fees | 4 | ||||||
Transfer agent and shareholder service fees | 5 | ||||||
Fund shares redeemed | 237 | ||||||
Trustee fees | 1 | ||||||
Accrued expenses | + | 58 | |||||
Total liabilities | 998 | ||||||
Net Assets | |||||||
Total assets | 311,797 | ||||||
Total liabilities | –998 | ||||||
Net assets | $ | 310,799 | |||||
Net Assets by Source | |||||||
Capital received from investors | 259,316 | ||||||
Net investment income not yet distributed | 1,190 | ||||||
Net realized capital gains | 2,791 | ||||||
Net unrealized capital gains | 47,502 | ||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 231,626 | 16,167 | $ | 14.33 | |||||||||||||||||
P Shares | $ | 79,173 | 5,527 | $ | 14.32 |
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Investment Income | |||||||
Dividends received from affiliated underlying funds | $ | 10,558 | |||||
Dividends received from unaffiliated | 313 | ||||||
Interest | + | 92 | |||||
Total Investment Income | 10,963 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on sales of affiliated underlying funds | 3,800 | ||||||
Net realized gains received from affiliated underlying funds | 657 | ||||||
Net realized losses on unaffiliated investments | + | (72 | ) | ||||
Net realized gains | 4,385 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on affiliated underlying funds | 26,872 | ||||||
Net unrealized losses on unaffiliated investments | + | (11,180 | ) | ||||
Net unrealized gains | 15,692 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 1,360 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 660 | ||||||
Select Shares | 45 | ||||||
Registration fees | 55 | ||||||
Professional fees | 32 | ||||||
Portfolio accounting fees | 31 | ||||||
Shareholder reports | 21 | ||||||
Custodian fees | 12 | ||||||
Trustees’ fees | 8 | ||||||
Other expenses | + | 11 | |||||
Total expenses | 2,235 | ||||||
Expense reduction by adviser and Schwab | –757 | ||||||
Net expenses | 1,478 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 10,963 | ||||||
Net expenses | –1,478 | ||||||
Net investment income | 9,485 | ||||||
Net realized gains | 4,385 | ||||||
Net unrealized gains | + | 15,692 | |||||
Increase in net assets from operations | $ | 29,562 |
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Operations |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 9,485 | $ | 8,081 | |||||||
Net realized gains | 4,385 | 2,298 | |||||||||
Net unrealized gains | + | 15,692 | 4,872 | ||||||||
Increase in net assets from operations | 29,562 | 15,251 | |||||||||
Distributions Paid | |||||||||||
Dividends from net investment income | |||||||||||
Investor Shares | 8,287 | 7,852 | |||||||||
P Shares | + | 1,074 | — | ||||||||
Total dividends from net investment income | 9,361 | 7,852 | |||||||||
Distributions from net realized gains | |||||||||||
Investor Shares | 202 | — | |||||||||
P Shares | + | — | — | ||||||||
Total distributions from net realized gains | 202 | — | |||||||||
Total distributions | $ | 9,563 | $ | 7,852 |
Transactions in Fund Shares |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 3,757 | $ | 51,692 | 4,139 | $ | 55,417 | |||||||||||||
P Shares | + | 6,493 | 90,438 | — | — | ||||||||||||||
Total shares sold | 10,250 | $ | 142,130 | 4,139 | $ | 55,417 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 587 | $ | 8,073 | 560 | $ | 7,474 | |||||||||||||
P Shares | + | 78 | 1,074 | — | — | ||||||||||||||
Total shares reinvested | 665 | $ | 9,147 | 560 | $ | 7,474 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (10,556 | ) | $ | (146,482 | ) | (4,489 | ) | $ | (60,077 | ) | |||||||||
P Shares | + | (1,044 | ) | (14,366 | ) | — | — | ||||||||||||
Total shares redeemed | (11,600 | ) | $ | (160,848 | ) | (4,489 | ) | $ | (60,077 | ) | |||||||||
Net transactions in fund shares | (685 | ) | $ | (9,571 | ) | 210 | $ | 2,814 |
Shares Outstanding and Net Assets |
11/1/05—10/31/06 | 11/1/04—10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 22,379 | $ | 300,371 | 22,169 | $ | 290,158 | |||||||||||||
Total increase or decrease | + | (685 | ) | 10,428 | 210 | 10,213 | |||||||||||||
End of period | 21,694 | $ | 310,799 | 22,379 | $ | 300,371 | |||||||||||||
Net investment income not yet distributed | $ | 1,190 | $ | 601 |
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1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Schwab MartketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ Schwab S&P 500 Index Fund Schwab Institutional Select® S&P 500 Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Laudus U.S. MarketMasters Fund™ Laudus Small-Cap MarketMasters Fund™ Laudus International MarketMasters Fund™ Schwab Viewpoints Fund™ | Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund |
2. | Significant Accounting Policies: |
(a) | Security Valuation: |
• | Securities traded on an exchange or over-the-counter: valued at the closing value for the day, or, on days when no closing value has been reported, halfway between the most recent bid and asked quotes. Securities that are primarily traded on foreign exchanges are valued at the closing values of such securities on their respective exchanges with these values then translated into U.S. dollars at the current exchange rate. |
• | Securities for which no quoted value is available or when a significant event has occurred between the time of the security’s last close and the time the fund calculates net asset value: valued at fair value, as determined in good faith by the fund’s investment adviser using guidelines adopted by the fund’s Board of Trustees and the Pricing Committee. Some of the more common reasons that may necessitate that a security be valued at fair value include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price. |
• | Futures and forwards: open contracts are valued at their settlement prices as of the close of their exchanges (for futures) or at a market value based on that day’s exchange rates (for forwards). When a fund closes out a futures or forwards position, it calculates the difference between the value of the position at the beginning and at the end, and records a realized gain or loss accordingly. |
• | Underlying funds: valued at their respective net asset values as determined by those funds, in accordance with the Investment Company Act of 1940. |
• | Short-term securities (60 days or less to maturity): valued at amortized cost. |
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(b) | Portfolio Investments: |
(c) | Security Transactions: |
(d) | Investment Income: |
(e) | Expenses: |
(f) | Distributions to Shareholders: |
(g) | Custody Credit: |
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(h) | Accounting Estimates: |
(i) | Federal Income Taxes: |
(j) | Indemnification: |
(k) | New Accounting Standards: |
3. | Affiliates and Affiliated Transactions: (All dollar amounts are × 1,000) |
Average daily net assets | MarketTrack All Equity Portfolio | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
First $500 million | 0.44 | % | 0.44 | % | 0.44 | % | 0.44 | % | ||||||||||
Over $500 million | 0.39 | % | 0.39 | % | 0.39 | % | 0.39 | % |
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Transfer Agent Fees | | Shareholder Service Fees | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.05 | % | 0.20 | % | ||||||
P Shares* | 0.05 | % | 0.05 | % |
MarketTrack All Equity Portfolio | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||||||
P Shares* | n/a | 0.35 | % | n/a | 0.35 | % |
* | P Shares are only offered by MarketTrack Growth Portfolio and MarketTrack Conservative Portfolio. |
Schwab Equity Index Funds: | ||||||||||||||||||
S&P 500 Index Fund | — | — | — | 0.5 | % | |||||||||||||
Small-Cap Index Fund | 7.9 | % | 8.5 | % | 4.8 | % | 1.9 | % | ||||||||||
International Index Fund | 9.5 | % | 8.6 | % | 4.8 | % | 1.9 | % | ||||||||||
Schwab Bond Funds: | ||||||||||||||||||
Total Bond Market Fund | — | 8.4 | % | 14.5 | % | 13.4 | % | |||||||||||
Schwab Institutional Select Funds: | ||||||||||||||||||
Institutional Select S&P 500 Index | 11.3 | % | 8.2 | % | 4.0 | % | 0.1 | % | ||||||||||
Schwab Money Funds: | ||||||||||||||||||
Value Advantage Money Fund | — | 0.1 | % | 0.1 | % | —** |
** | Less than 0.1% |
MarketTrack All Equity Portfolio | — | ||||
MarketTrack Growth Portfolio | — | ||||
MarketTrack Balanced Portfolio | — | ||||
MarketTrack Conservative Portfolio | — |
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4. | Purchases and Sales of Investment Securities: (All dollar amounts are × 1,000) |
Purchases of Securities | | Sales/Maturities of Securities | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
MarketTrack All Equity Portfolio | $ | 38,590 | $ | 57,971 | ||||||
MarketTrack Growth Portfolio | 50,620 | 77,224 | ||||||||
MarketTrack Balanced Portfolio | 43,593 | 77,421 | ||||||||
MarketTrack Conservative Portfolio | 33,095 | 41,302 |
5. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | | Prior Period | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
MarketTrack All Equity Portfolio | $ | 13 | $ | 8 | ||||||
MarketTrack Growth Portfolio | ||||||||||
Investor Shares | 11 | 10 | ||||||||
MarketTrack Balanced Portfolio | 3 | 5 | ||||||||
MarketTrack Conservative Portfolio | ||||||||||
Investor Shares | 16 | 3 |
6. | Borrowing: (All dollar amounts are × 1,000) |
Fund | Amount Outstanding at 10/31/06 | Average Borrowing* | | Weighted Average Interest Rate*(%) | | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MarketTrack All Equity Portfolio | $ | — | $1,246 | 4.78 | ||||||||||
MarketTrack Growth Portfolio | — | 987 | 5.02 | |||||||||||
MarketTrack Balanced Portfolio | — | 509 | 5.13 | |||||||||||
MarketTrack Conservative Portfolio | — | 471 | 5.14 |
* | Based on the number of days for which the borrowing is outstanding. |
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(All dollar amounts are × 1,000)
MarketTrack All Equity Portfolio | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed ordinary income | $ | 2 | * | $ | 3,726 | $ | 7,085 | $ | 1,190 | |||||||||
Undistributed long-term capital gains | — | 6,526 | 8,968 | 4,289 | ||||||||||||||
Unrealized appreciation | 103,591 | 195,244 | 118,917 | 48,162 | ||||||||||||||
Unrealized depreciation | — | (7,347 | ) | (5,075 | ) | (2,157 | ) | |||||||||||
Net unrealized appreciation / (depreciation) | $ | 103,591 | $ | 187,897 | $ | 113,842 | $ | 46,005 |
Expire | MarketTrack All Equity Portfolio* | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2010 | $ | 5,648 | $ | — | $ | — | $ | — | ||||||||||
2011 | 13,010 | — | — | — | ||||||||||||||
2012 | 6,944 | — | — | — | ||||||||||||||
Total | $ | 25,602 | $ | — | $ | — | $ | — |
MarketTrack All Equity Portfolio* | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deferred capital losses | $ | 58 | $ | — | $ | — | $ | — | ||||||||||
Capital losses utilized | 5,410 | 5,181 | — | — |
MarketTrack All Equity Portfolio* | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Current period distributions | ||||||||||||||||||
Ordinary income | $ | 5,267 | $ | 10,988 | $ | 11,244 | $ | 9,361 | ||||||||||
Long-term capital gains | — | — | 1,491 | 202 | ||||||||||||||
Return of capital | — | — | — | — | ||||||||||||||
Prior period distributions | ||||||||||||||||||
Ordinary income | $ | 5,060 | $ | 9,037 | $ | 10,162 | $ | 7,852 | ||||||||||
Long-term capital gains | — | — | — | — | ||||||||||||||
Return of capital | — | — | — | — |
* | Tax information for Market Track All Equity Portfolio is as of December 31, 2005. |
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MarketTrack All Equity Portfolio* | | MarketTrack Growth Portfolio | | MarketTrack Balanced Portfolio | | MarketTrack Conservative Portfolio | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital shares | $ | — | $ | (1 | ) | $ | (1 | ) | $ | 1 | ||||||||
Undistributed net investment income | — | 269 | 505 | 463 | ||||||||||||||
Net realized capital gains and losses | — | (268 | ) | (504 | ) | (464 | ) |
(All dollar amounts are × 1,000):
Percentage | ||||||
---|---|---|---|---|---|---|
MarketTrack All Equity Portfolio | 100.00 | % | ||||
MarketTrack Growth Portfolio | 51.01 | |||||
MarketTrack Balanced Portfolio | 35.65 | |||||
MarketTrack Conservative Portfolio | 20.87 |
MarketTrack All Equity Portfolio | $ | 5,267 | ||||
MarketTrack Growth Portfolio | 7,510 | |||||
MarketTrack Balanced Portfolio | 4,860 | |||||
MarketTrack Conservative Portfolio | 2,546 |
* | Tax information for Market Track All Equity Portfolio is as of December 31, 2005. |
Table of Contents
Schwab MarketTrack All Equity Portfolio
Schwab MarketTrack Growth Portfolio
Schwab MarketTrack Balanced Portfolio
Schwab MarketTrack Conservative Portfolio
San Francisco, California
December 14, 2006
Table of Contents
1. | the nature, extent and quality of the services provided to the funds under the Agreement, including the resources of CSIM and its affiliates dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreement reflect those economies of scale for the benefit of fund investors. |
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and appropriate indices/benchmarks, in light of total return and market trends. As part of this review, the trustees considered the composition of the peer group, selection criteria and the reputation of the third party who prepared the peer group analysis. In evaluating the performance of each fund, the trustees considered both market risk and shareholder risk expectations for such fund and the appropriateness of the benchmark used to compare the performance of each fund. The trustees further considered the level of fund performance in the context of its review of fund expenses and adviser profitability discussed below. Following such evaluation the Board concluded, within the context of its full deliberations, that the performance of the funds supported renewal of the Agreement.
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Independent Trustees | |||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996-1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6—Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
Table of Contents
Independent Trustees continued | |||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer—Fixed Income (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer—Equities (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust continued | |||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
1 | Trustees remain in office until they resign, retire or are removed by shareholder vote. The Schwab Funds retirement policy requires that independent trustees elected after January 1, 2000 retire at age 72 or after twenty years of service as a trustee, whichever comes first. Independent trustees elected prior to January 1, 2000 will retire on the following schedule: Messrs. Holmes and Dorward will retire on December 31, 2007, and Messrs. Stephens and Wilsey will retire on December 31, 2010. |
2 | In addition to their employment with the investment adviser and the distributor, Messrs. Schwab and Merk also own stock of The Charles Schwab Corporation. Mr. Schwab and Mr. Merk are Interested Trustees because they are employees of Schwab and/or the adviser. |
3 | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each other officer serves at the pleasure of the Board. |
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Schwab Funds® offers you an extensive family of mutual funds, each one based on a clearly defined investment approach and using disciplined management strategies. The list at right shows all currently available Schwab Funds. Whether you’re an experienced investor or just starting out, Schwab Funds can help you achieve your financial goals. An investor should consider a fund’s investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information can be found in the fund’s prospectus. Please call 1-800-435-4000 for a prospectus and brochure for any Schwab Fund. Please read the prospectus carefully before you invest. This report must be preceded or accompanied by a current prospectus. Proxy Voting Policies, Procedures and Results A description of the proxy voting policies and procedures used to determine how to vote proxies on behalf of the funds is available without charge, upon request, by visiting Schwab’s website at www.schwab.com/schwabfunds, the SEC’s website at www.sec.gov, or by contacting Schwab Funds at 1-800-435-4000. Information regarding how a fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available, without charge, by visiting Schwab’s website at www.schwab.com/schwabfunds or the SEC’s website at www.sec.gov. | The Schwab Funds Family® Stock Funds Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ Schwab Institutional Select® S&P 500 Fund Schwab S&P 500 Index Fund Schwab 1000 Index® Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Asset Allocation Funds Schwab Viewpoints Fund™ Schwab MarketTrack All Equity Portfolio™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund Bond Funds Schwab YieldPlus Fund® Schwab Short-Term Bond Market Fund™ Schwab Total Bond Market Fund™ Schwab GNMA Fund™ Schwab Inflation Protected Fund™ Schwab Tax-Free YieldPlus Fund™ Schwab Short/Intermediate Tax-Free Bond Fund™ Schwab Long-Term Tax-Free Bond Fund™ Schwab California Tax-Free YieldPlus Fund™ Schwab California Short/Intermediate Tax-Free Bond Fund™ Schwab California Long-Term Tax-Free Bond Fund™ Schwab Money Funds Schwab offers an array of money market funds that seek high current income consistent with safety and liquidity.1 Choose from taxable or tax-advantaged alternatives. Many can be linked to your eligible Schwab account to “sweep” cash balances automatically, subject to availability, when you’re between investments. Or, for your larger cash reserves, choose one of our Value Advantage Investments®. | ||
1 | Investments in money market funds are neither insured nor guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency and, although they seek to preserve the value of your investment at $1 per share, it is possible to lose money. |
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101 Montgomery Street, San Francisco, CA 94104
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Annual Report October 31, 2006 | |
COMMAND PERFORMANCE™ |
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Performance at a Glance | 2 | |||||
From the President | 3 | |||||
Investment Environment | 4 | |||||
Laudus U.S. MarketMasters Fund™ | 6 | |||||
Laudus Small-Cap MarketMasters Fund™ | 8 | |||||
Laudus International MarketMasters Fund™ | 10 | |||||
Fund Expenses | 12 | |||||
Financial Statements and Portfolio Holdings | 13 | |||||
Financial Notes | 43 | |||||
Investment Advisory and Sub-Advisory Agreement Approval | 51 | |||||
Trustees and Officers | 54 | |||||
Glossary | 58 | |||||
Select Shares® are available for the MarketMasters Funds™
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| Total Return for the Report Period | |||||
---|---|---|---|---|---|---|
Laudus U.S. MarketMasters Fund™ | ||||||
Investor Shares (Ticker Symbol: SWOGX) | 14.71% | |||||
Select Shares (Ticker Symbol: SWMGX) | 14.81% | |||||
Benchmark: S&P 500® Index | 16.34% | |||||
Fund Category: Morningstar Large-Cap Blend | 14.74% | |||||
Performance Details | pages 6–7 | |||||
Laudus Small-Cap MarketMasters Fund™ | ||||||
Investor Shares (Ticker Symbol: SWOSX) | 15.33% | |||||
Select Shares (Ticker Symbol: SWMSX) | 15.61% | |||||
Benchmark: Russell 2000® Index | 19.98% | |||||
Fund Category: Morningstar Small-Cap Blend | 16.35% | |||||
Performance Details | pages 8–9 | |||||
Laudus International MarketMasters Fund™ | ||||||
Investor Shares (Ticker Symbol: SWOIX) | 24.66% | |||||
Select Shares (Ticker Symbol: SWMIX) | 24.88% | |||||
Benchmark: MSCI-EAFE® Index | 27.52% | |||||
Fund Category: Morningstar Foreign Large-Cap Growth | 26.02% | |||||
Performance Details | pages 10–11 | |||||
Minimum Initial Investment1 | ||||||
Investor Shares ($1,000 for retirement, education and custodial accounts) | $ 2,500 | |||||
Select Shares | $50,000 |
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From the President | ||
Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and of each of the funds covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | Dear Shareholder, I am pleased to present the annual report for the Laudus MarketMasters Funds for the period ended October 31, 2006. At Laudus, our primary interests are to deliver strong performance and to protect the interests of our shareholders. Accordingly, as previously communicated to shareholders, we made several enhancements to the Laudus International MarketMasters Fund during this report period. We expect that these changes will expand the fund’s ability to execute its investment strategy and improve performance potential. First, we added two new sub-advisers, Mondrian Investment Partners Limited (Mondrian) and Wentworth, Hauser and Violich, Inc. Mondrian’s focus is on the international small-cap value sector, while Wentworth, Hauser and Violich, Inc. takes an opportunistic approach to the international large-cap growth sector. We also expanded current sub-adviser American Century Global Investment Management, Inc.’s small-cap mandate to include mid-cap growth. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the funds’ ticker symbols and report period returns for the funds, their benchmarks and category averages. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.laudus.com. This website contains regular updates about the Laudus Funds. I encourage you to visit the website to stay informed about your fund. With the support of investors like you, Laudus MarketMasters Funds assets exceed $2 billion as of this report date. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Laudus Funds. Sincerely, |
Laudus MarketMasters Fund 3
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Product (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. In efforts to curb inflationary pressures, the Fed raised short-term interest rates six times during the period. August marked a key point in the year as Committee members decided to hold the Fed’s target rate at 5.25%, where it remained as of the end of the report period. In its statement, the Fed noted that the economy appeared |
Asset Class Performance Comparison % returns during the report period | ||||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | ||||||||
n 16.34% | S&P® 500 Index: measures U.S. large-cap stocks | |||||||
n 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | |||||||
n 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | |||||||
n 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market |
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to be growing at a more moderate rate as a result of prior rate increases, lagged effects of energy prices, and a cooling of the housing market. The Fed indicated they generally expected the economy to grow at a pace below its potential, which proved to be an accurate prediction. Consistent with the Fed’s report, GDP continued to decline, growing only 2.2% in the third quarter of 2006.
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Caroline Lee, director and portfolio | The Laudus MarketMasters Funds use a multi-manager strategy. CSIM, the funds’ investment adviser, uses rigorous criteria to select investment managers with proven long-term track records to manage a portion of each fund’s assets. In addition to selecting the investment managers and allocating assets among them, CSIM is responsible for monitoring and coordinating the overall management of the funds. The Laudus U.S. MarketMasters Fund Investor Shares returned 14.71% for the one-year period, trailing its benchmark, the S&P 500 Index, which gained 16.34% for the same period. Thornburg Investment Management, Inc. had a positive impact on the fund and outperformed its benchmark, the S&P 500 Index, due to strong stock selection in the Consumer Discretionary and Telecommunication Services sectors; positions in companies such as Las Vegas Sands Corporation, DirecTV Group, Comcast, NII Holdings, Inc. and American Tower Corporation positively contributed to return. TCW Investment Management Company tracked its benchmark, the Russell Mid-Cap Value Index, as gains in stock selection were offset by weak industry group selection, particularly within the Information Technology sector; holdings in ASML Holdings, Avid Technology, Inc. and Analog Devices, Inc. detracted from performance. Harris Associates L.P., the fund’s mid/large-cap value manager, fell short of outperforming the Russell 1000 Value Index as a result of poor stock selection, particularly in the Consumer Discretionary and Information Technology sectors; positions in Dell, Inc., Tiffany & Co. and Lennar Corp. detracted from returns. Gardner Lewis Asset Management L.P., whose focus is growth, also underperformed its benchmark, the Russell 1000 Growth Index, as a result of weak stock selection and sector allocation, particularly within the Health Care sector; holdings in such companies as St. Jude Medical, Inc. and Boston Scientific Corp. detracted from performance. In order to reduce exposure to large-cap growth, we reduced the fund’s allocation to Gardner Lewis over this report period and brought the fund closer to neutrality. |
Statistics | |||||||
Number of Holdings | 159 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 50,990 | ||||||
Price/Earnings Ratio (P/E) | 20.7 | ||||||
Price/Book Ratio (P/B) | 2.8 |
Sector Weightings % of Investments | |||||||
Information Technology | 21.2 | % | |||||
Consumer Discretionary | 20.2 | % | |||||
Financials | 15.4 | % | |||||
Health Care | 14.2 | % | |||||
Industrials | 5.9 | % | |||||
Energy | 4.7 | % | |||||
Telecommunication Services | 3.9 | % | |||||
Consumer Staples | 3.6 | % | |||||
Materials | 3.1 | % | |||||
Utilities | 1.2 | % | |||||
Other | 6.6 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
Google, Inc., Class A | 1.8 | % | |||||
Comcast Corp. | 1.7 | % | |||||
Dell, Inc. | 1.7 | % | |||||
National Semiconductor Corp. | 1.3 | % | |||||
NII Holdings, Inc. | 1.2 | % | |||||
Hewlett-Packard Co. | 1.2 | % | |||||
Caremark Rx, Inc. | 1.2 | % | |||||
Exxon Mobil Corp. | 1.2 | % | |||||
Microsoft Corp. | 1.1 | % | |||||
YUM! Brands, Inc. | 1.1 | % | |||||
Total | 13.5 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||||||
Fund Class and Inception Date | 1 year | 5 years | Since Inception | ||||||||||||
Investor Shares (11/18/96) | 14.71 | % | 7.23 | % | 6.79% | ||||||||||
Select Shares® (6/4/04) | 14.81 | % | n/a | 9.51% | |||||||||||
Benchmark: S&P 500® Index | 16.34 | % | 7.25 | % | (11/18/96) 8.18% | ||||||||||
(6/4/04) 11.08% | |||||||||||||||
Fund Category: Morningstar Large-Cap Blend | 14.74 | % | 6.82 | % | (11/18/96) 7.47% | ||||||||||
(6/4/04) 10.46% |
Style Assessment3 | |||||||
Investment Managers and Allocations | |||||||||||
Investment Manager | Investment Style | % of Net Assets | |||||||||
Gardner Lewis Asset Management L.P. | Large-Cap Growth | 23.0 | % | ||||||||
Harris Associates L.P. | Mid/Large-Cap Value | 19.7 | % | ||||||||
TCW Investment Management Company | Small/Mid-Cap Blend | 22.2 | % | ||||||||
Thornburg Investment Management, Inc. | Large-Cap Blend | 32.9 | % |
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Caroline Lee, director and portfolio | The Laudus MarketMasters Funds use a multi-manager strategy. CSIM, the funds’ investment adviser, uses rigorous criteria to select investment managers with proven long-term track records to manage a portion of each fund’s assets. In addition to selecting the investment managers and llocating assets among them, CSIM is responsible for monitoring and coordinating the overall management of the funds. The Laudus Small-Cap MarketMasters Fund Investor Shares posted a positive return of 15.33% for the period, yet trailed its benchmark, the Russell 2000 Index, which was up 19.98%. A positive contributor to the fund’s returns was TAMRO Capital Partners, LLC, which beat its benchmark, the Russell 2000 Value Index, as a result of superior stock selection, particularly within the Financial and Industrials sectors; positions in First Marblehead Corp., Knight Capital Group, Inc., General Cable Corp. and Manitowoc Co., Inc. positively contributed to returns. Tocqueville Asset Management LP, whose focus is small-cap blend, also outperformed its benchmark, the Russell 2000 Index, primarily as a result of strong stock selection, particularly in the Energy and Information Technology sectors; holdings such as Aspen Technology, Inc., Oceaneering International, Inc. and TETRA Technologies, Inc. contributed to performance. TCW Investment Management Company tracked its benchmark, the Russell Mid-Cap Value Index, as gains in stock selection were offset by sector allocation. Veredus Asset Management LLC, whose focus is small-cap growth, underperformed its benchmark, the Russell 2000 Growth Index, mainly due to weak stock selection, particularly in Health Care and Consumer discretionary; positions in Foxhollow Technologies, Inc. and Syneron Medical, Ltd. detracted from returns. We have reduced the fund’s exposure to small-cap growth, as reflected by a reduction in Veredus’ allocation, and brought the fund closer to neutrality. |
Statistics | |||||||
Number of Holdings | 200 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 1,994 | ||||||
Price/Earnings Ratio (P/E) | 35.7 | ||||||
Price/Book Ratio (P/B) | 2.4 |
Sector Weightings % of Investments | |||||||
Information Technology | 31.0 | % | |||||
Industrials | 16.1 | % | |||||
Health Care | 13.8 | % | |||||
Consumer Discretionary | 12.6 | % | |||||
Financials | 9.1 | % | |||||
Energy | 4.9 | % | |||||
Consumer Staples | 4.6 | % | |||||
Materials | 2.8 | % | |||||
Others | 5.1 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
The Hain Celestial Group, Inc. | 1.8 | % | |||||
ManTech International Corp., Class A | 1.4 | % | |||||
Baldor Electric Co. | 1.4 | % | |||||
Packeteer, Inc. | 1.3 | % | |||||
Analogic Corp. | 1.2 | % | |||||
The Manitowoc Co., Inc. | 1.1 | % | |||||
Pharmion Corp. | 1.1 | % | |||||
Vignette Corp. | 1.1 | % | |||||
Lionbridge Technologies, Inc. | 1.0 | % | |||||
Thoratec Corp. | 1.0 | % | |||||
Total | 12.4 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||||||
Fund Class and Inception Date | 1 year | 5 years | Since Inception | ||||||||||||
Investor Shares (9/16/97) | 15.33 | % | 12.18 | % | 7.09% | ||||||||||
Select Shares (6/9/04) | 15.61 | % | n/a | 10.84% | |||||||||||
Benchmark: Russell 2000® Index | 19.98 | % | 13.75 | % | (9/16/97) 7.59% | ||||||||||
(6/9/04) 13.83% | |||||||||||||||
Fund Category: Morningstar Small-Cap Blend | 16.35 | % | 13.54 | % | (9/16/97) 8.37% | ||||||||||
(6/9/04) 13.90% |
Style Assessment3 | |||||||
Investment Managers and Allocations | |||||||||||
Investment Manager | Investment Style | % of Net Assets | |||||||||
TAMRO Capital Partners LLC | Small-Cap Value/Blend | 34.0 | % | ||||||||
TCW Investment Management Company | Small/Mid-Cap Blend | 19.9 | % | ||||||||
Tocqueville Asset Management L.P. | Small-Cap Blend | 28.9 | % | ||||||||
Veredus Asset Management LLC | Small-Cap Growth | 15.4 | % |
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Caroline Lee, director and portfolio | The Laudus MarketMasters Funds use a multi-manager strategy. CSIM, the funds’ investment adviser, uses rigorous criteria to select investment managers with proven long-term track records to manage a portion of each fund’s assets. In addition to selecting the investment managers and allocating assets among them, CSIM is responsible for monitoring and coordinating the overall management of the funds. Laudus MarketMasters International Fund Investor Shares returned 24.66%, underperforming its benchmark, the MSCI EAFE Index, which was up 27.52% for the report period. This index is also the benchmark for each of the fund’s investment managers. Of the investment managers, Harris Associates L.P. was a positive contributor to returns, outperforming the benchmark. This was due to strong stock selection, primarily within the Financial sector, in which Willis Group Holdings Limited was a key contributor to performance. William Blair & Company, LLC, whose focus is growth, also outperformed the benchmark as a result of strong stock selection, particularly within the Financial and Industrials sectors; holdings in Bancolombia S.A. and UBS AG positively contributed to performance. Mondrian also outperformed the benchmark as a result of strong stock selection within the Industrials and Information Technology sectors; holdings in The Weir Group plc and TT Electronics plc added to performance. On the downside, American Century Global Investment Management, Inc. underperformed the benchmark, mainly due to poor sector allocation in the Financials and Information Technology; positions in Sierra Wireless, Inc. and Zoran Corp. detracted from performance. Wentworth, Hauser and Violich, Inc. underperformed the benchmark as a result of weak sector allocation. Within the Energy sector, holdings in such stocks as Nabors Industries Ltd. and Weatherford International Ltd. detracted from performance.
|
Country Weightings % of Investments | ||||||||||||||
United Kingdom | 22.9 | % | Italy | 2.8 | % | |||||||||
Japan | 10.3 | % | Netherlands | 2.8 | % | |||||||||
Switzerland | 9.7 | % | Singapore | 2.8 | % | |||||||||
Germany | 7.9 | % | Canada | 2.6 | % | |||||||||
France | 6.7 | % | Other Countries | 24.8 | % | |||||||||
Australia | 2.8 | % | Cash & Cash Equivalents | 3.9 | % | |||||||||
Total | 100.0 | % |
Statistics | |||||||
Number of Holdings | 528 | ||||||
Weighted Average Market Cap ($ x 1,000,000) | 23,665 | ||||||
Price/Earnings Ratio (P/E) | 20.0 | ||||||
Price/Book Ratio (P/B) | 2.9 |
Sector Weightings % of Investments | |||||||
Consumer Discretionary | 22.3 | % | |||||
Financials | 19.3 | % | |||||
Industrials | 18.7 | % | |||||
Information Technology | 7.6 | % | |||||
Health Care | 7.0 | % | |||||
Consumer Staples | 6.9 | % | |||||
Materials | 5.1 | % | |||||
Energy | 4.7 | % | |||||
Telecommunication Services | 3.5 | % | |||||
Utilities | 0.9 | % | |||||
Others | 4.0 | % | |||||
Total | 100.0 | % |
Top Holdings % of Net Assets1 | |||||||
UBS AG | 1.5 | % | |||||
GlaxoSmithKline plc | 1.4 | % | |||||
DaimlerChrysler AG | 1.4 | % | |||||
British Sky Broadcasting Group plc | 1.3 | % | |||||
Signet Group plc | 1.2 | % | |||||
Novartis AG — Reg’d. | 1.1 | % | |||||
SK Telecom Co., Ltd. | 1.0 | % | |||||
Credit Suisse Group | 1.0 | % | |||||
Diageo plc | 1.0 | % | |||||
Adecco S.A. | 1.0 | % | |||||
Total | 11.9 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||||
Average Annual Total Returns1,2 | |||||||||||||||||||
Fund Class and Inception Date | 1 year | 5 years | 10 years | Since Inception | |||||||||||||||
Investor Shares (10/16/96) | 24.66 | % | 15.73 | % | 12.08 | % | n/a | ||||||||||||
Select Shares® (4/2/04) | 24.88 | % | n/a | n/a | 18.30% | ||||||||||||||
Benchmark: MSCI-EAFE® Index | 27.52 | % | 14.55 | % | 7.33 | % | (4/2/04) 18.09% | ||||||||||||
Fund Category: Morningstar Foreign Large-Cap Growth | 26.02 | % | 12.49 | % | 6.74 | % | (4/2/04) 16.03% |
Investment Managers and Allocations | |||||||||||
Investment Manager | Investment Style | % of Net Assets | |||||||||
American Century Global Investment Management, Inc. | International Small/Mid-Cap | 25.8 | % | ||||||||
Wentworth, Hauser and Violich | International Growth | 3.9 | % | ||||||||
Harris Associates LP | International Value | 33.2 | % | ||||||||
William Blair & Company, LLC | International Growth | 21.2 | % | ||||||||
Mondrian Investment Partners Limited | International Small-Cap | 14.6 | % |
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Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid During Period2 5/1/06–10/31/06 | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Laudus U.S. MarketMasters Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.15 | % | $ | 1,000 | $ | 1,036.10 | $ | 5.90 | ||||||||||
Hypothetical 5% Return | 1.15 | % | $ | 1,000 | $ | 1,019.41 | $ | 5.85 | ||||||||||
Select Shares® | ||||||||||||||||||
Actual Return | 0.92 | % | $ | 1,000 | $ | 1,036.90 | $ | 4.72 | ||||||||||
Hypothetical 5% Return | 0.92 | % | $ | 1,000 | $ | 1,020.57 | $ | 4.69 | ||||||||||
Laudus Small-Cap MarketMasters Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.40 | % | $ | 1,000 | $ | 969.30 | $ | 6.95 | ||||||||||
Hypothetical 5% Return | 1.40 | % | $ | 1,000 | $ | 1,018.15 | $ | 7.12 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 1.11 | % | $ | 1,000 | $ | 970.10 | $ | 5.51 | ||||||||||
Hypothetical 5% Return | 1.11 | % | $ | 1,000 | $ | 1,019.61 | $ | 5.65 | ||||||||||
Laudus International MarketMasters Fund™ | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Actual Return | 1.52 | % | $ | 1,000 | $ | 1,000.00 | $ | 7.67 | ||||||||||
Hypothetical 5% Return | 1.52 | % | $ | 1,000 | $ | 1,017.54 | $ | 7.74 | ||||||||||
Select Shares | ||||||||||||||||||
Actual Return | 1.34 | % | $ | 1,000 | $ | 1,001.40 | $ | 6.75 | ||||||||||
Hypothetical 5% Return | 1.34 | % | $ | 1,000 | $ | 1,018.46 | $ | 6.80 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in Financial Highlights. |
2 | Expenses for each fund or share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days of the period, and divided by 365 days of the fiscal year. |
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Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 11.26 | 10.30 | 9.94 | 7.48 | 9.20 | ||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | 0.03 | 0.02 | (0.03 | ) | (0.01 | ) | 0.06 | ||||||||||||||||
Net realized and unrealized gains or losses | 1.63 | 0.94 | 0.39 | 2.47 | (1.68 | ) | |||||||||||||||||
Total income or loss from investment operations | 1.66 | 0.96 | 0.36 | 2.46 | (1.62 | ) | |||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | — | — | — | (0.10 | ) | ||||||||||||||||
Net asset value at end of period | 12.90 | 11.26 | 10.30 | 9.94 | 7.48 | ||||||||||||||||||
Total return (%) | 14.71 | 9.32 | 3.62 | 32.89 | (17.92 | ) | |||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 1.20 | 1 | 1.25 | 1.25 | 1.25 | 0.83 | 2,3 | ||||||||||||||||
Gross operating expenses | 1.37 | 1.38 | 1.39 | 1.42 | 1.16 | 3 | |||||||||||||||||
Net investment income or loss | 0.18 | 0.14 | (0.25 | ) | (0.12 | ) | 0.50 | ||||||||||||||||
Portfolio turnover rate | 65 | 83 | 72 | 97 | 390 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 134 | 150 | 180 | 169 | 129 | ||||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 6/4/044— 10/31/04 | ||||||||||||||||||||
Per-Share Data ($) | |||||||||||||||||||||||
Net asset value at beginning of period | 11.30 | 10.32 | 10.42 | ||||||||||||||||||||
Income or loss from investment operations: | |||||||||||||||||||||||
Net investment income or loss | 0.04 | 0.02 | (0.00 | )5 | |||||||||||||||||||
Net realized and unrealized gains or losses | 1.63 | 0.96 | (0.10 | ) | |||||||||||||||||||
Total income or loss from investment operations | 1.67 | 0.98 | (0.10 | ) | |||||||||||||||||||
Less distributions: | |||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | — | — | |||||||||||||||||||
Net asset value at end of period | 12.93 | 11.30 | 10.32 | ||||||||||||||||||||
Total return (%) | 14.81 | 9.50 | (0.96 | )6 | |||||||||||||||||||
Ratios/Supplemental Data (%) | |||||||||||||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||
Net operating expenses | 0.97 | 7 | 1.07 | 1.07 | 8 | ||||||||||||||||||
Gross operating expenses | 1.33 | 1.33 | 1.37 | 8 | |||||||||||||||||||
Net investment income or loss | 0.43 | 0.25 | (0.08 | )8 | |||||||||||||||||||
Portfolio turnover rate | 65 | 83 | 72 | 6 | |||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 8 | 2 | 1 |
1 | The ratio of net operating expenses would have been 1.25%, if custody credits had not been included. |
2 | The ratio of net operating expenses would have been 0.74% if certain non-routine expenses (proxy fees) had not been included. |
3 | Prior to the fund’s change in structure on June 3, 2002, the expenses incurred by underlying funds in which the fund invested were not included in this ratio. |
4 | Commencement of operations. |
5 | Per share amount was less than $0.01. |
6 | Not annualized. |
7 | The ratio of net operating expenses would have been 1.07%, if custody credits had not been included. |
8 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
89.7% | Common Stock | 102,945 | 126,959 | |||||||||||||
4.6% | Foreign Common Stock | 6,271 | 6,452 | |||||||||||||
6.7% | Short-Term Investment | 9,430 | 9,430 | |||||||||||||
101.0% | Total Investments | 118,646 | 142,841 | |||||||||||||
(1.0)% | Other Assets and Liabilities | (1,400 | ) | |||||||||||||
100.0% | Net Assets | 141,441 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 89.7% of net assets | |||||||||||
Banks 3.2% | |||||||||||
Commerce Bancorp, Inc. | 8,660 | 302 | |||||||||
Freddie Mac | 16,926 | 1,168 | |||||||||
Marshall & Ilsley Corp. | 13,200 | 633 | |||||||||
New York Community Bancorp, Inc. | 8,757 | 143 | |||||||||
People’s Bank | 15,765 | 642 | |||||||||
SVB Financial Group* | 11,178 | 514 | |||||||||
Washington Mutual, Inc. | 25,000 | 1,058 | |||||||||
4,460 | |||||||||||
Capital Goods 4.3% | |||||||||||
Alliant Techsystems, Inc.* | 6,600 | 510 | |||||||||
Danaher Corp. | 9,800 | 703 | |||||||||
Dover Corp. | 11,200 | 532 | |||||||||
General Electric Co. | 37,800 | 1,327 | |||||||||
Pentair, Inc. | 21,100 | 695 | |||||||||
SPX Corp. | 9,890 | 569 | |||||||||
Teleflex, Inc. | 7,000 | 435 | |||||||||
Tyco International Ltd. | 46,000 | 1,354 | |||||||||
6,125 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
SAIC, Inc* | 10,600 | 212 | |||||||||
Consumer Durables & Apparel 2.3% | |||||||||||
Coach, Inc.* | 8,400 | 333 | |||||||||
Jones Apparel Group, Inc. | 17,065 | 570 | |||||||||
Leggett & Platt, Inc. | 19,650 | 459 | |||||||||
Lennar Corp., Class A | 22,000 | 1,044 | |||||||||
Nike, Inc., Class B | 3,700 | 340 | |||||||||
The Stanley Works | 10,340 | 493 | |||||||||
3,239 | |||||||||||
Consumer Services 5.9% | |||||||||||
Carnival Corp. | 29,000 | 1,416 | |||||||||
Las Vegas Sands Corp.* | 16,900 | 1,288 | |||||||||
McDonald’s Corp. | 35,400 | 1,484 | |||||||||
Regis Corp. | 18,200 | 683 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 8,000 | 478 | |||||||||
The Cheesecake Factory, Inc.* | 25,400 | 717 | |||||||||
Wynn Resorts Ltd. * | 10,100 | 743 | |||||||||
YUM! Brands, Inc. | 26,600 | 1,582 | |||||||||
8,391 | |||||||||||
Diversified Financials 8.8% | |||||||||||
American Capital Strategies Ltd. | 15,700 | 678 | |||||||||
American Express Co. | 15,600 | 902 | |||||||||
Capital One Financial Corp. | 12,100 | 960 | |||||||||
Chicago Mercantile Exchange Holdings, Inc. | 1,463 | 733 | |||||||||
Citigroup, Inc. | 26,500 | 1,329 | |||||||||
Federated Investors, Inc., Class B | 19,900 | 682 | |||||||||
JPMorgan Chase & Co. | 28,000 | 1,328 | |||||||||
Mellon Financial Corp. | 32,100 | 1,246 | |||||||||
Morgan Stanley | 19,500 | 1,490 | |||||||||
Nuveen Investments, Inc., Class A | 18,000 | 888 | |||||||||
NYSE Group, Inc.* | 13,100 | 969 | |||||||||
The Goldman Sachs Group, Inc. | 6,350 | 1,205 | |||||||||
12,410 | |||||||||||
Energy 4.8% | |||||||||||
Apache Corp. | 17,800 | 1,163 | |||||||||
Cameron International Corp.* | 6,000 | 301 | |||||||||
ChevronTexaco Corp. | 22,175 | 1,490 | |||||||||
ConocoPhillips | 17,700 | 1,066 | |||||||||
Exxon Mobil Corp. | 23,800 | 1,700 | |||||||||
Murphy Oil Corp. | 6,400 | 302 | |||||||||
Valero Energy Corp. | 9,045 | 473 | |||||||||
Weatherford International Ltd.* | 6,100 | 250 | |||||||||
6,745 | |||||||||||
Food & Staples Retailing 1.9% | |||||||||||
Costco Wholesale Corp. | 8,200 | 438 | |||||||||
CVS Corp. | 27,300 | 857 | |||||||||
Rite Aid Corp.* | 196,900 | 921 | |||||||||
Sysco Corp. | 14,500 | 507 | |||||||||
2,723 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Food, Beverage & Tobacco 1.1% | |||||||||||
Molson Coors Brewing Co., Class B | 5,640 | 401 | |||||||||
Pilgrim’s Pride Corp., Class B | 18,000 | 450 | |||||||||
The Hershey Co. | 13,000 | 688 | |||||||||
1,539 | |||||||||||
Health Care Equipment & Services 9.4% | |||||||||||
Alcon, Inc. | 5,510 | 584 | |||||||||
Bausch & Lomb, Inc. | 13,400 | 717 | |||||||||
Baxter International, Inc. | 25,500 | 1,172 | |||||||||
Beckman Coulter, Inc. | 6,900 | 397 | |||||||||
Boston Scientific Corp.* | 51,603 | 821 | |||||||||
Caremark Rx, Inc. | 34,850 | 1,716 | |||||||||
CIGNA Corp. | 8,200 | 959 | |||||||||
Cytyc Corp.* | 10,900 | 288 | |||||||||
Eclipsys Corp.* | 42,350 | 897 | |||||||||
Edwards Lifesciences Corp.* | 8,400 | 361 | |||||||||
HEALTHSOUTH Corp.* | 20,000 | 485 | |||||||||
Hillenbrand Industries, Inc. | 9,400 | 552 | |||||||||
Hospira, Inc.* | 16,580 | 603 | |||||||||
Humana, Inc.* | 18,500 | 1,110 | |||||||||
St. Jude Medical, Inc.* | 11,800 | 405 | |||||||||
Tenet Healthcare Corp.* | 64,400 | 455 | |||||||||
Triad Hospitals, Inc.* | 11,800 | 437 | |||||||||
WellPoint, Inc.* | 16,900 | 1,290 | |||||||||
13,249 | |||||||||||
Household & Personal Products 0.6% | |||||||||||
Procter & Gamble Co. | 14,100 | 894 | |||||||||
Insurance 2.5% | |||||||||||
American International Group, Inc. | 20,900 | 1,404 | |||||||||
Arthur J. Gallagher & Co. | 21,650 | 603 | |||||||||
Assurant, Inc. | 8,710 | 459 | |||||||||
MetLife, Inc. | 11,300 | 645 | |||||||||
Old Republic International Corp. | 21,375 | 482 | |||||||||
3,593 | |||||||||||
Materials 3.1% | |||||||||||
Air Products & Chemicals, Inc. | 15,600 | 1,087 | |||||||||
Cytec Industries, Inc. | 10,130 | 561 | |||||||||
International Flavors & Fragrances, Inc. | 16,000 | 680 | |||||||||
Monsanto Co. | 14,600 | 645 | |||||||||
Southern Copper Corp. | 27,000 | 1,387 | |||||||||
4,360 | |||||||||||
Media 6.1% | |||||||||||
Cablevision Systems Corp., Class A* | 30,000 | 834 | |||||||||
Comcast Corp.* | 59,450 | 2,407 | |||||||||
Liberty Global, Inc., Class A* | 6,448 | 169 | |||||||||
Liberty Global, Inc., Class C* | 46,539 | 1,183 | |||||||||
Liberty Media Holding Corp. — Capital* | 8,310 | 740 | |||||||||
The DIRECTV Group, Inc.* | 51,911 | 1,157 | |||||||||
The Walt Disney Co. | 20,200 | 635 | |||||||||
Time Warner, Inc. | 75,300 | 1,507 | |||||||||
8,632 | |||||||||||
Pharmaceuticals & Biotechnology 3.6% | |||||||||||
Fisher Scientific International, Inc.* | 15,200 | 1,301 | |||||||||
Johnson & Johnson | 14,845 | 1,001 | |||||||||
Pfizer, Inc. | 45,700 | 1,218 | |||||||||
Thermo Electron Corp.* | 18,300 | 784 | |||||||||
Valeant Pharmaceuticals International* | 11,232 | 210 | |||||||||
Varian, Inc.* | 12,120 | 568 | |||||||||
5,082 | |||||||||||
Retailing 5.0% | |||||||||||
Abercrombie & Fitch Co., Class A | 12,900 | 989 | |||||||||
Bed Bath & Beyond, Inc.* | 10,600 | 427 | |||||||||
Best Buy Co., Inc. | 16,400 | 906 | |||||||||
Federated Department Stores, Inc. | 16,896 | 742 | |||||||||
J.C. Penney Co., Inc. | 6,900 | 519 | |||||||||
Target Corp. | 22,900 | 1,355 | |||||||||
The Gap, Inc. | 38,700 | 814 | |||||||||
Tiffany & Co. | 36,000 | 1,286 | |||||||||
7,038 | |||||||||||
Semiconductors & Semiconductor Equipment 7.8% | |||||||||||
Analog Devices, Inc. | 27,900 | 888 | |||||||||
Applied Materials, Inc. | 33,700 | 586 | |||||||||
Broadcom Corp., Class A* | 22,050 | 667 | |||||||||
Cypress Semiconductor Corp.* | 21,300 | 357 | |||||||||
Intel Corp. | 71,600 | 1,528 | |||||||||
International Rectifier Corp.* | 13,200 | 475 | |||||||||
KLA-Tencor Corp. | 9,800 | 482 | |||||||||
LSI Logic Corp.* | 62,800 | 631 | |||||||||
MEMC Electronic Materials, Inc.* | 26,600 | 944 | |||||||||
Microchip Technology, Inc. | 18,000 | 593 | |||||||||
Micron Technology, Inc.* | 41,600 | 601 | |||||||||
National Semiconductor Corp. | 74,925 | 1,820 | |||||||||
Novellus Systems, Inc.* | 27,150 | 751 | |||||||||
Teradyne, Inc.* | 55,550 | 779 | |||||||||
11,102 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Software & Services 5.5% | |||||||||||
Activision, Inc.* | 27,845 | 429 | |||||||||
Adobe Systems, Inc.* | 17,200 | 658 | |||||||||
BearingPoint, Inc.* | 115,420 | 962 | |||||||||
Google, Inc., Class A* | 5,326 | 2,537 | |||||||||
McAfee, Inc.* | 15,300 | 443 | |||||||||
Microsoft Corp. | 55,100 | 1,582 | |||||||||
Oracle Corp.* | 61,300 | 1,132 | |||||||||
7,743 | |||||||||||
Technology Hardware & Equipment 7.8% | |||||||||||
ADC Telecommunications, Inc.* | 40,900 | 585 | |||||||||
Apple Computer, Inc.* | 11,600 | 941 | |||||||||
Corning, Inc.* | 35,400 | 723 | |||||||||
Dell, Inc.* | 96,100 | 2,338 | |||||||||
Diebold, Inc. | 13,580 | 593 | |||||||||
Hewlett-Packard Co. | 45,000 | 1,744 | |||||||||
Motorola, Inc. | 39,200 | 904 | |||||||||
QUALCOMM, Inc. | 19,000 | 692 | |||||||||
Sun Microsystems, Inc.* | 117,300 | 637 | |||||||||
Tektronix, Inc. | 15,220 | 462 | |||||||||
Vishay Intertechnology, Inc.* | 48,200 | 650 | |||||||||
Xerox Corp.* | 44,900 | 763 | |||||||||
11,032 | |||||||||||
Telecommunication Services 3.3% | |||||||||||
American Tower Corp., Class A* | 39,400 | 1,419 | |||||||||
Leap Wireless International, Inc.* | 8,570 | 475 | |||||||||
Level 3 Communications, Inc.* | 181,000 | 958 | |||||||||
NII Holdings, Inc.* | 27,100 | 1,762 | |||||||||
4,614 | |||||||||||
Transportation 1.4% | |||||||||||
JetBlue Airways Corp.* | 90,700 | 1,139 | |||||||||
Union Pacific Corp. | 10,000 | 906 | |||||||||
2,045 | |||||||||||
Utilities 1.2% | |||||||||||
Entergy Corp. | 10,900 | 936 | |||||||||
TXU Corp. | 12,600 | 795 | |||||||||
1,731 | |||||||||||
Foreign Common Stock 4.6% of net assets | |||||||||||
France 1.1% | |||||||||||
Automobiles & Components 0.6% | |||||||||||
PSA Peugeot Citroen | 15,700 | 902 | |||||||||
Pharmaceuticals & Biotechnology 0.5% | |||||||||||
Sanofi-Aventis (a) | 15,000 | 640 | |||||||||
1,542 | |||||||||||
Hong Kong 0.6% | |||||||||||
Banks 0.6% | |||||||||||
HSBC Holdings plc | 49,000 | 925 | |||||||||
Israel 0.5% | |||||||||||
Pharmaceuticals & Biotechnology 0.5% | |||||||||||
Teva Pharmaceutical Industries Ltd. (a) | 20,200 | 666 | |||||||||
Japan 0.5% | |||||||||||
Automobiles & Components 0.5% | |||||||||||
Honda Motor Co., Ltd. (a) | 18,400 | 650 | |||||||||
Netherlands 0.3% | |||||||||||
Semiconductors & Semiconductor Equipment 0.3% | |||||||||||
ASML Holding N.V.* | 19,900 | 455 | |||||||||
Taiwan 0.7% | |||||||||||
Telecommunication Services 0.7% | |||||||||||
Chunghwa Telecom Co., Ltd. (a) | 53,894 | 986 | |||||||||
United Kingdom 0.9% | |||||||||||
Insurance 0.5% | |||||||||||
Willis Group Holdings Ltd. | 16,900 | 642 | |||||||||
Pharmaceuticals & Biotechnology 0.4% | |||||||||||
GlaxoSmithKline plc (a) | 11,000 | 586 | |||||||||
1,228 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 6.7% of net assets | |||||||||||
Repurchase Agreements 6.7% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $9,431 (fully collateralized by Federal National Mortgage Association with a value of $9,764.) | 9,430 | 9,430 |
End of Investments.
* | Non-income producing security. |
(a) | American Depository Receipt. |
Table of Contents
Assets | ||||||
Investments, at value (cost $118,646) | $ | 142,841 | ||||
Cash | 3 | |||||
Receivables: | ||||||
Investments sold | 125 | |||||
Fund shares sold | 26 | |||||
Interest | 1 | |||||
Dividends | 71 | |||||
Prepaid expenses | + | 1 | ||||
Total assets | 143,068 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 1,386 | |||||
Investment adviser and administrator fees | 76 | |||||
Transfer agent and shareholder services fees | 30 | |||||
Fund shares redeemed | 34 | |||||
Trustee fees | 1 | |||||
Accrued expenses | + | 100 | ||||
Total liabilities | 1,627 | |||||
Net Assets | ||||||
Total assets | 143,068 | |||||
Total liabilities | –1,627 | |||||
Net assets | $ | 141,441 | ||||
Net Assets by Source | ||||||
Capital received from investors | 138,855 | |||||
Net investment income not yet distributed | 273 | |||||
Net realized capital losses | (21,882 | ) | ||||
Net unrealized capital gains | 24,195 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 133,562 | 10,357 | $12.90 | ||||||||||||||||||||||
Select Shares | $ | 7,879 | 609 | $12.93 |
Table of Contents
Investment Income | |||||||
Dividends (net of $23 foreign withholding tax) | $ | 1,830 | |||||
Interest | + | 202 | |||||
Total Investment Income | 2,032 | ||||||
Net Realized Gains and Losses | |||||||
Net realized gains on investments | 11,252 | ||||||
Net realized losses on foreign currency transactions | (3 | ) | |||||
Net realized losses on futures contracts | + | (38 | ) | ||||
Net realized gains | 11,211 | ||||||
Net Unrealized Gains and Losses | |||||||
Net unrealized gains on investments | 8,699 | ||||||
Expenses | |||||||
Investment adviser and administrator fees | 1,357 | ||||||
Transfer agent and shareholder service fees: | |||||||
Investor Shares | 375 | ||||||
Select Shares | 7 | ||||||
Custodian fees | 69 | ||||||
Registration fees | 56 | ||||||
Portfolio accounting fees | 51 | ||||||
Professional fees | 42 | ||||||
Shareholder reports | 40 | ||||||
Trustees’ fees | 6 | ||||||
Other expenses | + | 8 | |||||
Total expenses | 2,011 | ||||||
Custody credits | –73 | ||||||
Expense reduction by adviser and Schwab | –186 | ||||||
Net expenses | 1,752 | ||||||
Increase in Net Assets from Operations | |||||||
Total investment income | 2,032 | ||||||
Net expenses | –1,752 | ||||||
Net investment income | 280 | ||||||
Net realized gains | 11,211 | ||||||
Net unrealized gains | + | 8,699 | |||||
Increase in net assets from operations | $ | 20,190 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 280 | $ | 229 | ||||||
Net realized gains | 11,211 | 20,508 | ||||||||
Net unrealized gains or losses | + | 8,699 | (4,726 | ) | ||||||
Increase in net assets from operations | 20,190 | 16,011 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 196 | — | ||||||||
Select Shares | + | 10 | — | |||||||
Total dividends from net investment income | $ | 206 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 233 | $ | 2,811 | 470 | $ | 5,144 | |||||||||||||
Select Shares | + | 525 | 6,214 | 220 | 2,449 | ||||||||||||||
Total shares sold | 758 | $ | 9,025 | 690 | $ | 7,593 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 16 | $ | 188 | — | $ | — | |||||||||||||
Select Shares | + | 1 | 9 | — | — | ||||||||||||||
Total shares reinvested | 17 | $ | 197 | — | $ | — | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (3,245 | ) | $ | (38,952 | ) | (4,578 | ) | $ | (50,431 | ) | |||||||||
Select Shares | + | (135 | ) | (1,655 | ) | (119 | ) | (1,340 | ) | ||||||||||
Total shares redeemed | (3,380 | ) | $ | (40,607 | ) | (4,697 | ) | $ | (51,771 | ) | |||||||||
Net transactions in fund shares | (2,605 | ) | $ | (31,385 | ) | (4,007 | ) | $ | (44,178 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 13,571 | $ | 152,842 | 17,578 | $ | 181,009 | |||||||||||||
Total increase or decrease | + | (2,605 | ) | (11,401 | ) | (4,007 | ) | (28,167 | ) | ||||||||||
End of period | 10,966 | $ | 141,441 | 13,571 | $ | 152,842 | |||||||||||||
Net investment income not yet distributed | $ | 273 | $ | 206 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 13.38 | 12.18 | 11.08 | 7.18 | 8.73 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income or loss | (0.13 | ) | (0.14 | ) | (0.14 | ) | (0.09 | ) | 0.04 | |||||||||||||
Net realized and unrealized gains or losses | 2.08 | 1.34 | 1.24 | 3.99 | (1.54 | ) | ||||||||||||||||
Total income or loss from investment operations | 1.95 | 1.20 | 1.10 | 3.90 | (1.50 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | — | — | — | (0.00 | )1 | (0.03 | ) | |||||||||||||||
Distributions from net realized gains | (1.13 | ) | — | — | — | (0.02 | ) | |||||||||||||||
Total distributions | (1.13 | ) | — | — | (0.00 | )1 | (0.05 | ) | ||||||||||||||
Net asset value at end of period | 14.20 | 13.38 | 12.18 | 11.08 | 7.18 | |||||||||||||||||
Total return (%) | 15.33 | 9.85 | 9.93 | 54.32 | (17.34 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 1.48 | 2 | 1.55 | 1.55 | 1.55 | 0.93 | 3,4 | |||||||||||||||
Gross operating expenses | 1.63 | �� | 1.69 | 1.77 | 1.80 | 1.31 | 3 | |||||||||||||||
Net investment income | (0.82 | ) | (0.95 | ) | (1.08 | ) | (0.98 | ) | 0.06 | |||||||||||||
Portfolio turnover rate | 105 | 94 | 140 | 94 | 324 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 95 | 108 | 129 | 115 | 81 | |||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 6/9/045— 10/31/04 | |||||||||||||||||||
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 13.41 | 12.19 | 12.11 | |||||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment loss | (0.02 | ) | (0.11 | ) | (0.03 | ) | ||||||||||||||||
Net realized and unrealized gains or losses | 2.01 | 1.33 | 0.11 | |||||||||||||||||||
Total income from investment operations | 1.99 | 1.22 | 0.08 | |||||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Distributions from net realized gains | (1.13 | ) | — | — | ||||||||||||||||||
Net asset value at end of period | 14.27 | 13.41 | 12.19 | |||||||||||||||||||
Total return (%) | 15.61 | 10.01 | 0.66 | 6 | ||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 1.16 | 7 | 1.37 | 1.37 | 8 | |||||||||||||||||
Gross operating expenses | 1.55 | 1.63 | 1.79 | 8 | ||||||||||||||||||
Net investment income | (0.43 | ) | (0.76 | ) | (0.91 | )8 | ||||||||||||||||
Portfolio turnover rate | 105 | 94 | 140 | 6 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 7 | 1 | 0.32 |
1 | Per-share amount was less than $0.01. |
2 | The ratio of net operating expenses would have been 1.55% for the period ended 10/31/06, if custody credits had not been included. |
3 | Prior to the fund’s change in structure on June 3, 2002, the expenses incurred by underlying funds in which the fund invested were not included in this ratio. |
4 | The ratio of net operating expenses would have been 0.84% if certain non-routine expenses (proxy fees) had not been included. |
5 | Commencement of operations. |
6 | Not annualized. |
7 | The ratio of net operating expenses would have been 1.36% for the period ended 10/31/06, if custody credits had not been included. |
8 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
93.5% | Common Stock | 79,586 | 95,158 | |||||||||||||
1.6% | Foreign Common Stock | 1,514 | 1,636 | |||||||||||||
5.0% | Short-Term Investment | 5,098 | 5,098 | |||||||||||||
100.1% | Total Investments | 86,198 | 101,892 | |||||||||||||
(0.1)% | Other Assets and Liabilities | (100 | ) | |||||||||||||
100.0% | Net Assets | 101,792 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 93.5% of net assets | |||||||||||
Automobiles & Components 0.2% | |||||||||||
Force Protection, Inc.* | 20,600 | 154 | |||||||||
Banks 1.4% | |||||||||||
Commerce Bancorp, Inc. | 6,120 | 214 | |||||||||
Marshall & Ilsley Corp. | 6,600 | 316 | |||||||||
New York Community Bancorp, Inc. | 5,719 | 94 | |||||||||
People’s Bank | 10,796 | 439 | |||||||||
SVB Financial Group* | 7,747 | 357 | |||||||||
1,420 | |||||||||||
Capital Goods 10.9% | |||||||||||
Alliant Techsystems, Inc.* | 4,600 | 355 | |||||||||
American Railcar Industries, Inc. | 6,425 | 198 | |||||||||
Applied Signal Technology, Inc. | 31,600 | 469 | |||||||||
Astec Industries, Inc.* | 11,000 | 351 | |||||||||
Baldor Electric Co. | 45,620 | 1,463 | |||||||||
BE Aerospace, Inc.* | 18,100 | 458 | |||||||||
Dover Corp. | 7,700 | 366 | |||||||||
EMCOR Group, Inc.* | 4,125 | 244 | |||||||||
Encore Wire Corp.* | 4,275 | 115 | |||||||||
General Cable Corp.* | 23,260 | 875 | |||||||||
Granite Construction, Inc. | 3,200 | 167 | |||||||||
H&E Equipment Services, Inc.* | 5,875 | 158 | |||||||||
HEICO Corp. | 3,450 | 125 | |||||||||
Infrasource Services, Inc.* | 14,100 | 276 | |||||||||
Pentair, Inc. | 14,700 | 484 | |||||||||
Perini Corp.* | 7,750 | 192 | |||||||||
Quanta Services, Inc.* | 20,225 | 370 | |||||||||
SPX Corp. | 6,960 | 400 | |||||||||
Sterling Construction Co., Inc.* | 2,475 | 52 | |||||||||
Teleflex, Inc. | 13,660 | 850 | |||||||||
The Lamson & Sessions Co.* | 9,300 | 203 | |||||||||
The Manitowoc Co., Inc. | 21,010 | 1,153 | |||||||||
Trex Co., Inc.* | 27,360 | 723 | |||||||||
Trinity Industries, Inc. | 6,300 | 227 | |||||||||
URS Corp.* | 12,925 | 522 | |||||||||
Washington Group International, Inc.* | 5,725 | 324 | |||||||||
11,120 | |||||||||||
Commercial Services & Supplies 3.2% | |||||||||||
Acco Brands Corp.* | 30,840 | 749 | |||||||||
Corrections Corp. of America* | 3,500 | 160 | |||||||||
Mobile Mini, Inc.* | 8,600 | 277 | |||||||||
SAIC, Inc.* | 6,900 | 138 | |||||||||
Steelcase, Inc., Class A | 48,040 | 796 | |||||||||
TRC Cos., Inc.* | �� | 60,700 | 496 | ||||||||
Watson Wyatt & Co., Holdings | 15,100 | 682 | |||||||||
3,298 | |||||||||||
Consumer Durables & Apparel 2.8% | |||||||||||
Crocs, Inc.* | 5,775 | 229 | |||||||||
Jones Apparel Group, Inc. | 10,985 | 367 | |||||||||
La-Z-Boy, Inc. | 24,100 | 295 | |||||||||
Leggett & Platt, Inc. | 12,700 | 297 | |||||||||
Steven Madden Ltd. | 4,300 | 186 | |||||||||
The Stanley Works | 6,660 | 317 | |||||||||
The Yankee Candle Co., Inc. | 22,850 | 773 | |||||||||
Under Armour, Inc.* | 7,725 | 358 | |||||||||
2,822 | |||||||||||
Consumer Services 4.5% | |||||||||||
Bob Evans Farms, Inc. | 23,920 | 811 | |||||||||
California Pizza Kitchen, Inc.* | 22,710 | 733 | |||||||||
Chipotle Mexican Grill, Inc. Class A* | 9,475 | 568 | |||||||||
Cosi, Inc.* | 7,625 | 33 | |||||||||
DeVry, Inc.* | 39,800 | 969 | |||||||||
Regis Corp. | 12,800 | 481 | |||||||||
Ruth’s Chris Steak House, Inc.* | 10,875 | 214 | |||||||||
The Cheesecake Factory, Inc.* | 17,800 | 503 | |||||||||
Vail Resorts, Inc.* | 6,370 | 246 | |||||||||
4,558 | |||||||||||
Diversified Financials 3.6% | |||||||||||
Federated Investors, Inc., Class B | 13,900 | 477 | |||||||||
GAMCO Investors, Inc., Class A | 10,380 | 411 | |||||||||
Knight Capital Group, Inc., Class A* | 40,880 | 762 | |||||||||
Lazard Ltd. | 11,075 | 470 | |||||||||
Raymond James Financial, Inc. | 17,555 | 559 | |||||||||
The First Marblehead Corp. | 14,090 | 950 | |||||||||
3,629 | |||||||||||
Energy 4.9% | |||||||||||
Cameron International Corp.* | 4,300 | 215 | |||||||||
CARBO Ceramics, Inc. | 22,700 | 765 | |||||||||
Helmerich & Payne, Inc. | 22,900 | 549 | |||||||||
Murphy Oil Corp. | 4,050 | 191 | |||||||||
Oceaneering International, Inc.* | 25,100 | 903 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
PetroQuest Energy, Inc.* | 6,000 | 68 | |||||||||
TETRA Technologies, Inc.* | 15,600 | 404 | |||||||||
Tidewater, Inc. | 10,000 | 497 | |||||||||
Weatherford International Ltd.* | 2,600 | 107 | |||||||||
Whiting Petroleum Corp.* | 16,950 | 756 | |||||||||
Willbros Group, Inc.* | 34,575 | 531 | |||||||||
4,986 | |||||||||||
Food & Staples Retailing 0.7% | |||||||||||
Performance Food Group Co.* | 25,220 | 733 | |||||||||
Food, Beverage & Tobacco 2.3% | |||||||||||
Molson Coors Brewing Co., Class B | 3,920 | 279 | |||||||||
Pilgrim’s Pride Corp., Class B | 11,600 | 290 | |||||||||
The Hain Celestial Group, Inc.* | 63,850 | 1,802 | |||||||||
2,371 | |||||||||||
Health Care Equipment & Services 8.4% | |||||||||||
Analogic Corp. | 22,370 | 1,249 | |||||||||
Bausch & Lomb, Inc. | 9,400 | 503 | |||||||||
Beckman Coulter, Inc. | 4,800 | 276 | |||||||||
Centene Corp.* | 16,500 | 389 | |||||||||
Dendrite International, Inc.* | 64,100 | 670 | |||||||||
Edwards Lifesciences Corp.* | 5,900 | 253 | |||||||||
HEALTHSOUTH Corp.* | 14,160 | 343 | |||||||||
Hillenbrand Industries, Inc. | 6,500 | 382 | |||||||||
Hologic, Inc.* | 8,675 | 418 | |||||||||
Hospira, Inc.* | 11,580 | 421 | |||||||||
Intuitive Surgical, Inc.* | 3,875 | 384 | |||||||||
Lifecell Corp.* | 12,225 | 287 | |||||||||
Omnicell, Inc.* | 15,650 | 293 | |||||||||
Rita Medical Systems, Inc.* | 108,700 | 391 | |||||||||
Thoratec Corp.* | 64,500 | 1,016 | |||||||||
Triad Hospitals, Inc.* | 8,300 | 307 | |||||||||
Wright Medical Group, Inc.* | 38,800 | 959 | |||||||||
8,541 | |||||||||||
Household & Personal Products 0.8% | |||||||||||
NBTY, Inc.* | 28,610 | 796 | |||||||||
Insurance 1.5% | |||||||||||
Arthur J. Gallagher & Co. | 15,100 | 421 | |||||||||
Assurant, Inc. | 5,610 | 295 | |||||||||
KMG America Corp.* | 67,550 | 513 | |||||||||
Old Republic International Corp. | 14,950 | 337 | |||||||||
1,566 | |||||||||||
Materials 2.8% | |||||||||||
Bowater, Inc. | 32,830 | 686 | |||||||||
Cytec Industries, Inc. | 6,550 | 363 | |||||||||
Headwaters, Inc.* | 23,740 | 588 | |||||||||
International Flavors & Fragrances, Inc. | 11,100 | 472 | |||||||||
Symyx Technologies, Inc.* | 30,040 | 737 | |||||||||
2,846 | |||||||||||
Pharmaceuticals & Biotechnology 5.5% | |||||||||||
Adams Respiratory Therapeutics, Inc.* | 12,975 | 559 | |||||||||
Connetics Corp.* | 55,600 | 947 | |||||||||
PAREXEL International Corp.* | 4,600 | 136 | |||||||||
Perrigo Co. | 39,870 | 713 | |||||||||
Pharmaceutical Product Development, Inc. (PPD) | 11,380 | 360 | |||||||||
Pharmion Corp.* | 44,500 | 1,088 | |||||||||
Salix Pharmaceuticals Ltd.* | 48,500 | 647 | |||||||||
Thermo Electron Corp.* | 12,700 | 544 | |||||||||
Valeant Pharmaceuticals International* | 7,850 | 147 | |||||||||
Varian, Inc.* | 8,520 | 400 | |||||||||
5,541 | |||||||||||
Real Estate 2.2% | |||||||||||
FelCor Lodging Trust, Inc. | 27,290 | 566 | |||||||||
Innkeepers USA Trust | 27,290 | 468 | |||||||||
Post Properties, Inc. | 6,710 | 329 | |||||||||
Trammell Crow Co.* | 7,200 | 351 | |||||||||
Washington Real Estate Investment Trust | 12,020 | 507 | |||||||||
2,221 | |||||||||||
Retailing 5.4% | |||||||||||
1-800-FLOWERS.COM, Inc., Class A* | 113,300 | 625 | |||||||||
bebe stores, Inc. | 11,525 | 286 | |||||||||
Charlotte Russe Holding, Inc.* | 4,125 | 114 | |||||||||
Christopher & Banks Corp. | 6,850 | 185 | |||||||||
Coldwater Creek, Inc.* | 7,775 | 237 | |||||||||
Dick’s Sporting Goods, Inc.* | 2,850 | 142 | |||||||||
Federated Department Stores, Inc. | 10,144 | 446 | |||||||||
Fred’s, Inc. | 56,070 | 733 | |||||||||
Guess?, Inc.* | 3,625 | 207 | |||||||||
NetFlix, Inc.* | 31,140 | 861 | |||||||||
Sharper Image Corp.* | 51,680 | 575 | |||||||||
The Gap, Inc. | 23,800 | 500 | |||||||||
Wetseal, Inc., Class A* | 49,200 | 307 | |||||||||
Zumiez, Inc.* | 7,725 | 254 | |||||||||
5,472 | |||||||||||
Semiconductors & Semiconductor Equipment 8.2% | |||||||||||
Advanced Energy Industries, Inc.* | 15,400 | 242 | |||||||||
Amkor Technology, Inc.* | 23,700 | 164 | |||||||||
Brooks Automation, Inc.* | 66,200 | 940 | |||||||||
Cabot Microelectronics Corp.* | 23,500 | 671 | |||||||||
Cymer, Inc.* | 7,400 | 343 | |||||||||
Cypress Semiconductor Corp.* | 14,900 | 250 | |||||||||
FEI Co.* | 13,400 | 306 | |||||||||
Hittite Microwave Corp.* | 6,350 | 218 | |||||||||
International Rectifier Corp.* | 9,300 | 334 | |||||||||
Intevac, Inc.* | 7,350 | 152 | |||||||||
KLA-Tencor Corp. | 6,300 | 310 | |||||||||
Kopin Corp.* | 198,500 | 709 | |||||||||
LSI Logic Corp.* | 43,900 | 441 | |||||||||
Micron Technology, Inc.* | 14,300 | 207 | |||||||||
National Semiconductor Corp. | 13,860 | 337 | |||||||||
Netlogic Microsystems, Inc.* | 10,575 | 210 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Novellus Systems, Inc.* | 19,000 | 525 | |||||||||
Teradyne, Inc.* | 38,700 | 543 | |||||||||
Trident Microsystems, Inc.* | 28,350 | 599 | |||||||||
TriQuint Semiconductor, Inc.* | 28,025 | 126 | |||||||||
Ultratech, Inc.* | 53,200 | 760 | |||||||||
8,387 | |||||||||||
Software & Services 13.7% | |||||||||||
Activision, Inc.* | 19,370 | 299 | |||||||||
Altiris, Inc.* | 23,030 | 518 | |||||||||
Ansys, Inc.* | 8,975 | 413 | |||||||||
aQuantive, Inc.* | 16,875 | 459 | |||||||||
Aspen Technology, Inc.* | 91,578 | 918 | |||||||||
Corillian Corp.* | 45,700 | 136 | |||||||||
Epicor Software Corp.* | 71,100 | 997 | |||||||||
Gevity HR, Inc. | 36,000 | 813 | |||||||||
Indus International, Inc.* | 62,000 | 231 | |||||||||
Informatica Corp.* | 47,800 | 592 | |||||||||
Interwoven, Inc.* | 55,800 | 710 | |||||||||
Lionbridge Technologies, Inc.* | 150,100 | 1,016 | |||||||||
ManTech International Corp., Class A* | 43,130 | 1,469 | |||||||||
McAfee, Inc.* | 9,900 | 286 | |||||||||
Mentor Graphics Corp.* | 43,000 | 725 | |||||||||
MoneyGram International, Inc. | 4,825 | 165 | |||||||||
Openwave Systems, Inc.* | 76,200 | 658 | |||||||||
Radiant Systems, Inc.* | 12,700 | 140 | |||||||||
RightNow Technologies, Inc.* | 32,020 | 529 | |||||||||
TIBCO Software, Inc.* | 86,500 | 800 | |||||||||
ValueClick, Inc.* | 26,100 | 491 | |||||||||
Vignette Corp.* | 65,700 | 1,071 | |||||||||
webMethods, Inc.* | 67,900 | 511 | |||||||||
13,947 | |||||||||||
Technology Hardware & Equipment 8.6% | |||||||||||
ADC Telecommunications, Inc.* | 28,500 | 408 | |||||||||
Andrew Corp.* | 68,020 | 630 | |||||||||
Avocent Corp.* | 20,300 | 745 | |||||||||
Diebold, Inc. | 9,540 | 417 | |||||||||
Emulex Corp.* | 36,970 | 695 | |||||||||
Itron, Inc.* | 10,100 | 550 | |||||||||
L-1 Identity Solutions, Inc.* | 41,686 | 597 | |||||||||
Packeteer, Inc.* | 116,720 | 1,308 | |||||||||
Polycom, Inc.* | 26,220 | 718 | |||||||||
Powerwave Technologies, Inc.* | 120,200 | 783 | |||||||||
Seachange International, Inc.* | 54,400 | 456 | |||||||||
Tekelec* | 49,700 | 733 | |||||||||
Tektronix, Inc. | 9,785 | 297 | |||||||||
Vishay Intertechnology, Inc.* | 34,000 | 459 | |||||||||
8,796 | |||||||||||
Transportation 1.9% | |||||||||||
AirTran Holdings, Inc.* | 38,507 | 384 | |||||||||
American Commercial Lines, Inc.* | 5,575 | 357 | |||||||||
ExpressJet Holdings, Inc.* | 41,700 | 331 | |||||||||
JetBlue Airways Corp.* | 70,200 | 882 | |||||||||
1,954 | |||||||||||
Foreign Common Stock 1.6% of net assets | |||||||||||
Canada 0.8% | |||||||||||
Food, Beverage & Tobacco 0.8% | |||||||||||
SunOpta, Inc.* | 78,140 | 770 | |||||||||
Netherlands 0.3% | |||||||||||
Semiconductors & Semiconductor Equipment 0.3% | |||||||||||
ASML Holding N.V.* | 12,800 | 292 | |||||||||
Singapore 0.1% | |||||||||||
Semiconductors & Semiconductor Equipment 0.1% | |||||||||||
ASE Test Ltd.* | 14,150 | 125 | |||||||||
United Kingdom 0.4% | |||||||||||
Insurance 0.4% | |||||||||||
Willis Group Holdings Ltd. | 11,800 | 449 |
Security | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 5.0% of net assets | |||||||||||
Repurchase Agreement 5.0% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $5,099 (fully collateralized by Federal National Mortgage Association with a value of $5,340.) | 5,098 | 5,098 |
End of Investments.
* | Non-income producing security. |
Table of Contents
Assets | ||||||
Investments, at value (cost $86,198) | $ | 101,892 | ||||
Cash | 2 | |||||
Receivables: | ||||||
Investments sold | 399 | |||||
Fund shares sold | 25 | |||||
Dividends | 16 | |||||
Interest | 1 | |||||
Prepaid expenses | + | 1 | ||||
Total assets | 102,336 | |||||
Liabilities | ||||||
Payables: | ||||||
Investments bought | 187 | |||||
Investment adviser and administrator fees | 106 | |||||
Transfer agent and shareholder services fees | 21 | |||||
Trustee fees | 1 | |||||
Fund shares redeemed | 176 | |||||
Accrued expenses | + | 53 | ||||
Total liabilities | 544 | |||||
Net Assets | ||||||
Total assets | 102,336 | |||||
Total liabilities | –544 | |||||
Net assets | $ | 101,792 | ||||
Net Assets by Source | ||||||
Capital received from investors | 71,410 | |||||
Net investment income not yet distributed | 7 | |||||
Net realized capital gains | 14,681 | |||||
Net unrealized capital gains | 15,694 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 95,185 | 6,702 | $ | 14.20 | |||||||||||||||||
Select Shares | $ | 6,607 | 463 | $ | 14.27 |
Table of Contents
Investment Income | ||||||
Dividends | $ | 537 | ||||
Interest | + | 175 | ||||
Total Investment Income | 712 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 16,134 | |||||
Net realized gains on futures contracts | + | 18 | ||||
Net realized gains | 16,152 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 165 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 1,258 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 263 | |||||
Select Shares | 5 | |||||
Custodian fees | 73 | |||||
Registration fees | 47 | |||||
Professional fees | 42 | |||||
Shareholder reports | 23 | |||||
Portfolio accounting fees | 15 | |||||
Trustees’ fees | 6 | |||||
Other expenses | + | 19 | ||||
Total expenses | 1,751 | |||||
Custody credits | –78 | |||||
Expense reduction by adviser and Schwab | –92 | |||||
Net expenses | 1,581 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 712 | |||||
Net expenses | –1,581 | |||||
Net investment losses | (869 | ) | ||||
Net realized gains | 16,152 | |||||
Net unrealized gains | + | 165 | ||||
Increase in net assets from operations | $ | 15,448 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment loss | $ | (869 | ) | $ | (1,159 | ) | ||||
Net realized gains | 16,152 | 9,437 | ||||||||
Net unrealized gains | + | 165 | 3,833 | |||||||
Increase in net assets from operations | 15,448 | 12,111 | ||||||||
Distributions Paid | ||||||||||
Distributions from net realized gains | ||||||||||
Investor Shares | 8,829 | — | ||||||||
Select Shares | + | 89 | — | |||||||
Total distributions from net realized gains | $ | 8,918 | $ | — |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 190 | $ | 2,628 | 351 | $ | 4,603 | |||||||||||||
Select Shares | + | 472 | 6,249 | 75 | 993 | ||||||||||||||
Total shares sold | 662 | $ | 8,877 | 426 | $ | 5,596 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 623 | $ | 8,135 | — | $ | — | |||||||||||||
Select Shares | + | 5 | 66 | — | — | ||||||||||||||
Total shares reinvested | 628 | $ | 8,201 | — | $ | — | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (2,205 | ) | $ | (29,890 | ) | (2,867 | ) | $ | (37,600 | ) | |||||||||
Select Shares | + | (75 | ) | (1,031 | ) | (40 | ) | (541 | ) | ||||||||||
Total shares redeemed | (2,280 | ) | $ | (30,921 | ) | (2,907 | ) | $ | (38,141 | ) | |||||||||
Net transactions in fund shares | (990 | ) | $ | (13,843 | ) | (2,481 | ) | $ | (32,545 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 8,155 | $ | 109,105 | 10,636 | $ | 129,539 | |||||||||||||
Total decrease | + | (990 | ) | (7,313 | ) | (2,481 | ) | (20,434 | ) | ||||||||||
End of period | 7,165 | $ | 101,792 | 8,155 | $ | 109,105 | |||||||||||||
Net investment income not yet distributed | $ | 7 | $ | 11 |
Table of Contents
Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 16.78 | 13.58 | 11.95 | 8.74 | 10.80 | |||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.13 | 0.06 | 0.02 | 0.03 | 0.10 | |||||||||||||||||
Net realized and unrealized gains or losses | 3.98 | 3.16 | 1.65 | 3.18 | (1.43 | ) | ||||||||||||||||
Total income or loss from investment operations | 4.11 | 3.22 | 1.67 | 3.21 | (1.33 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.16 | ) | (0.02 | ) | (0.04 | ) | (0.00 | )1 | (0.07 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | (0.66 | ) | ||||||||||||||||
Total distributions | (0.16 | ) | (0.02 | ) | (0.04 | ) | (0.00 | )1 | (0.73 | ) | ||||||||||||
Net asset value at end of period | 20.73 | 16.78 | 13.58 | 11.95 | 8.74 | |||||||||||||||||
Total return (%) | 24.66 | 23.75 | 13.98 | 36.74 | (13.65 | ) | ||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 1.57 | 2 | 1.65 | 1.65 | 1.65 | 0.99 | 3,4 | |||||||||||||||
Gross operating expenses | 1.64 | 1.74 | 1.89 | 1.92 | 1.32 | 4 | ||||||||||||||||
Net investment income | 0.52 | 0.37 | 0.15 | 0.33 | 0.60 | |||||||||||||||||
Portfolio turnover rate | 90 | 53 | 69 | 99 | 158 | |||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 1,320 | 794 | 552 | 302 | 206 | |||||||||||||||||
Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 4/2/045— 10/31/04 | |||||||||||||||||||
Per-Share Data ($) | ||||||||||||||||||||||
Net asset value at beginning of period | 16.81 | 13.61 | 13.64 | |||||||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||||
Net investment income | 0.19 | 0.08 | 0.02 | |||||||||||||||||||
Net realized and unrealized gains or losses | 3.96 | 3.17 | (0.05 | ) | ||||||||||||||||||
Total income or loss from investment operations | 4.15 | 3.25 | (0.03 | ) | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | (0.05 | ) | — | |||||||||||||||||
Net asset value at end of period | 20.77 | 16.81 | 13.61 | |||||||||||||||||||
Total return (%) | 24.88 | 23.90 | (0.22 | )6 | ||||||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||
Net operating expenses | 1.39 | 7 | 1.47 | 1.47 | 8 | |||||||||||||||||
Gross operating expenses | 1.60 | 1.68 | 1.86 | 8 | ||||||||||||||||||
Net investment income | 0.72 | 0.59 | 0.37 | 8 | ||||||||||||||||||
Portfolio turnover rate | 90 | 53 | 69 | 6 | ||||||||||||||||||
Net assets, end of period ($ x 1,000,000) | 628 | 274 | 81 |
1 | Per share amount was less than $0.01. |
2 | The ratio of net operating expenses would have been 1.64% if custody credits had not been included. |
3 | The ratio of net operating expenses would have been 0.93% if certain non-routine expenses (proxy fees) had not been included. |
4 | Prior to the fund’s change in structure on June 3, 2002, the expenses incurred by underlying funds in which the fund invested were not included in this ratio. |
5 | Commencement of operations. |
6 | Not annualized. |
7 | The ratio of net operating expenses would have been 1.47% if custody credits had not been included. |
8 | Annualized. |
Table of Contents
Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0.5% | Common Stock | 8,305 | 9,658 | |||||||||||||
94.5% | Foreign Common Stock | 1,538,694 | 1,841,584 | |||||||||||||
0.4% | Preferred Stock | 5,017 | 8,258 | |||||||||||||
0.2% | Rights | 1,163 | 3,469 | |||||||||||||
3.8% | Short-Term Investment | 73,631 | 73,631 | |||||||||||||
—% | U.S. Treasury Obligation | 249 | 249 | |||||||||||||
99.4% | Total Investments | 1,627,059 | 1,936,849 | |||||||||||||
0.6% | Other Assets and Liabilities | 11,165 | ||||||||||||||
100.0% | Net Assets | 1,948,014 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 0.5% of net assets | |||||||||||
Energy 0.1% | |||||||||||
Schlumberger Ltd. | 55,000 | 3,469 | |||||||||
Food & Staples Retailing 0.1% | |||||||||||
Cencosud S.A. ADR, 144A (b) | 57,500 | 2,462 | |||||||||
Media 0.1% | |||||||||||
CTC Media Inc* | 55,200 | 1,340 | |||||||||
Technology Hardware & Equipment 0.1% | |||||||||||
NovAtel, Inc.* | 26,564 | 991 | |||||||||
Transportation 0.1% | |||||||||||
DryShips, Inc. | 100,843 | 1,396 | |||||||||
Foreign Common Stock 94.5% of net assets | |||||||||||
Australia 2.8% | |||||||||||
Banks 0.5% | |||||||||||
Australia and New Zealand Banking Group Ltd. | 396,200 | 8,874 | |||||||||
Capital Goods 0.2% | |||||||||||
United Group Ltd. | 431,337 | 4,876 | |||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Transfield Services Ltd. | 406,818 | 2,774 | |||||||||
Diversified Financials 0.4% | |||||||||||
Babcock & Brown Ltd. | 187,500 | 3,160 | |||||||||
Macquarie Bank Ltd. | 71,200 | 4,104 | |||||||||
7,264 | |||||||||||
Energy 0.1% | |||||||||||
WorleyParsons Ltd. | 107,700 | 1,519 | |||||||||
Materials 0.4% | |||||||||||
BHP Billiton Ltd. | 145,900 | 3,105 | |||||||||
BHP Billiton Ltd. ADR | 89,500 | 3,810 | |||||||||
Perilya Ltd. | 403,169 | 1,367 | |||||||||
8,282 | |||||||||||
Media 0.3% | |||||||||||
Austar United Communications Ltd.* | 2,379,061 | 2,196 | |||||||||
Macquarie Communications Infrastructure Group | 335,200 | 1,589 | |||||||||
Seek Ltd. | 281,000 | 1,158 | |||||||||
4,943 | |||||||||||
Pharmaceuticals & Biotechnology 0.3% | |||||||||||
CSL Ltd. | 142,800 | 6,194 | |||||||||
Real Estate 0.5% | |||||||||||
Commonwealth Property Office Fund | 6,282,154 | 6,913 | |||||||||
Lend Lease Corp., Ltd. | 164,400 | 2,146 | |||||||||
9,059 | |||||||||||
Software & Services 0.0% | |||||||||||
Computershare Ltd. | 73,738 | 439 | |||||||||
54,224 | |||||||||||
Austria 0.4% | |||||||||||
Banks 0.2% | |||||||||||
Erste Bank der Oesterreichischen Sparkassen AG | 32,344 | 2,200 | |||||||||
Raiffeisen International Bank — Holding AG | 21,800 | 2,492 | |||||||||
4,692 | |||||||||||
Energy 0.1% | |||||||||||
C.A.T. oil AG* | 37,200 | 815 | |||||||||
Real Estate 0.1% | |||||||||||
Meinl European Land Ltd.* | 67,200 | 1,483 | |||||||||
6,990 | |||||||||||
Belgium 0.2% | |||||||||||
Materials 0.1% | |||||||||||
Umicore | 17,900 | 2,775 | |||||||||
Technology Hardware & Equipment 0.1% | |||||||||||
EVS Broadcast Equipment SA | 37,154 | 2,015 | |||||||||
4,790 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Bermuda 2.0% | |||||||||||
Capital Goods 0.5% | |||||||||||
Cooper Industries Ltd., Class A | 22,500 | 2,013 | |||||||||
Fong’s Industries Co., Ltd. | 9,272,000 | 6,307 | |||||||||
Ingersoll-Rand Co., Ltd., Class A | 50,600 | 1,857 | |||||||||
10,177 | |||||||||||
Consumer Durables & Apparel 0.3% | |||||||||||
Arts Optical International Holdings Ltd. | 7,596,000 | 2,197 | |||||||||
Hongguo International Holdings Ltd.* | 6,334,000 | 3,329 | |||||||||
5,526 | |||||||||||
Energy 0.3% | |||||||||||
Nabors Industries Ltd.* | 105,700 | 3,264 | |||||||||
Weatherford International Ltd.* | 76,800 | 3,155 | |||||||||
6,419 | |||||||||||
Insurance 0.0% | |||||||||||
IPC Holdings Ltd. | 16,375 | 492 | |||||||||
PartnerRe Ltd. | 3,400 | 237 | |||||||||
729 | |||||||||||
Materials 0.2% | |||||||||||
Aquarius Platinum Ltd. | 162,644 | 3,024 | |||||||||
Media 0.1% | |||||||||||
Central European Media Enterprises, Ltd., Class A (a)* | 12,600 | 930 | |||||||||
Retailing 0.4% | |||||||||||
Esprit Holdings Ltd. | 406,500 | 3,933 | |||||||||
Li & Fung Ltd. | 1,536,400 | 4,011 | |||||||||
7,944 | |||||||||||
Technology Hardware & Equipment 0.1% | |||||||||||
Vtech Holdings Ltd. | 388,000 | 1,947 | |||||||||
Transportation 0.1% | |||||||||||
Cosco Pacific Ltd. | 1,360,000 | 2,806 | |||||||||
39,502 | |||||||||||
Brazil 0.6% | |||||||||||
Consumer Durables & Apparel 0.1% | |||||||||||
Cyrela Brazil Realty S.A. | 53,100 | 1,081 | |||||||||
Household & Personal Products 0.1% | |||||||||||
Natura Cosmeticos S.A. | 88,400 | 1,218 | |||||||||
Materials 0.1% | |||||||||||
Aracruz Celulose S.A. ADR | 7,500 | 412 | |||||||||
Companhia Vale do Rio Doce ADR | 64,900 | 1,651 | |||||||||
2,063 | |||||||||||
Retailing 0.1% | |||||||||||
Lojas Renner S.A. | 80,700 | 1,010 | |||||||||
Submarino S.A.* | 45,000 | 919 | |||||||||
1,929 | |||||||||||
Software & Services 0.0% | |||||||||||
Totvs S.A.* | 40,500 | 853 | |||||||||
Transportation 0.2% | |||||||||||
Companhia de Concessoes Rodoviarias | 135,800 | 1,450 | |||||||||
Gol Linhas Aereas International S.A. | 44,200 | 1,377 | |||||||||
Localiza Rent a Car S.A. | 35,800 | 891 | |||||||||
3,718 | |||||||||||
10,862 | |||||||||||
Canada 2.6% | |||||||||||
Banks 0.1% | |||||||||||
Canadian Western Bank | 38,458 | 1,449 | |||||||||
Capital Goods 0.1% | |||||||||||
Flint Energy Services Ltd.* | 35,890 | 1,838 | |||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Ritchie Bros Auctioneers, Inc. (a) | 21,200 | 1,156 | |||||||||
Consumer Durables & Apparel 0.3% | |||||||||||
Gildan Activewear, Inc.* | 102,400 | 5,212 | |||||||||
Energy 0.8% | |||||||||||
Cameco Corp. | 91,700 | 3,225 | |||||||||
Canadian Natural Resources Ltd. | 14,000 | 730 | |||||||||
CHC Helicopter Corp., Class A | 137,700 | 3,081 | |||||||||
Ensign Energy Services, Inc. | 35,500 | 576 | |||||||||
Precision Drilling Trust | 50,700 | 1,453 | |||||||||
Suncor Energy, Inc | 46,400 | 3,564 | |||||||||
Suncor Energy, Inc. | 18,800 | 1,441 | |||||||||
Talisman Energy, Inc. | 42,800 | 707 | |||||||||
Trican Well Service Ltd. | 2,200 | 39 | |||||||||
14,816 | |||||||||||
Food & Staples Retailing 0.1% | |||||||||||
Alimentation Couche-Tard, Inc., Class B | 49,200 | 1,166 | |||||||||
Shoppers Drug Mart Corp. | 28,000 | 1,140 | |||||||||
2,306 | |||||||||||
Insurance 0.2% | |||||||||||
Manulife Financial Corp. | 124,600 | 4,048 | |||||||||
Materials 0.4% | |||||||||||
Alcan, Inc. | 41,000 | 1,932 | |||||||||
IPSCO, Inc. | 23,900 | 2,186 | |||||||||
Potash Corp. of Saskatchewan, Inc. | 17,800 | 2,223 | |||||||||
Teck Cominco Ltd., Class B | 26,100 | 1,923 | |||||||||
8,264 | |||||||||||
Real Estate 0.2% | |||||||||||
Brookfield Asset Management, Inc. | 17,700 | 788 | |||||||||
Northern Property Real Estate Investment Trust | 171,300 | 3,707 | |||||||||
4,495 | |||||||||||
Retailing 0.1% | |||||||||||
The Forzani Group Ltd., Class A* | 120,942 | 1,888 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Transportation 0.2% | |||||||||||
Canadian National Railway Co. | 43,900 | 2,092 | |||||||||
Canadian Pacific Railway Ltd. | 37,500 | 2,118 | |||||||||
4,210 | |||||||||||
49,682 | |||||||||||
Cayman Islands 2.0% | |||||||||||
Automobiles & Components 0.0% | |||||||||||
Norstar Founders Group Ltd. | 1,858,000 | 732 | |||||||||
Capital Goods 0.0% | |||||||||||
Suntech Power Holdings Co., Ltd. ADR* | 1,600 | 42 | |||||||||
Consumer Durables & Apparel 0.1% | |||||||||||
Li Ning Co., Ltd. | 1,235,157 | 1,459 | |||||||||
Consumer Services 0.1% | |||||||||||
Ctrip.com International Ltd. ADR (a) | 30,600 | 1,499 | |||||||||
FU JI Food & Catering Services | 457,000 | 802 | |||||||||
2,301 | |||||||||||
Energy 0.6% | |||||||||||
GlobalSantaFe Corp. | 71,500 | 3,711 | |||||||||
Noble Corp. | 55,100 | 3,863 | |||||||||
Transocean, Inc.* | 52,900 | 3,837 | |||||||||
11,411 | |||||||||||
Food, Beverage & Tobacco 0.1% | |||||||||||
China Mengniu Dairy Co., Ltd. | 1,021,000 | 1,854 | |||||||||
Health Care Equipment & Services 0.1% | |||||||||||
Mindray Medical International Ltd., ADR* | 113,652 | 2,057 | |||||||||
Household & Personal Products 0.1% | |||||||||||
Hengan International Group Co., Ltd. | 662,000 | 1,591 | |||||||||
Materials 0.3% | |||||||||||
Lee & Man Paper Manufacturing Ltd. | 388,000 | 787 | |||||||||
Vision Grande Group Holdings Ltd. | 4,506,000 | 3,869 | |||||||||
4,656 | |||||||||||
Media 0.1% | |||||||||||
Focus Media Holding Ltd. ADR (a)* | 49,678 | 2,627 | |||||||||
Real Estate 0.2% | |||||||||||
Greentown China Holdings Ltd.* | 2,152,205 | 2,955 | |||||||||
Semiconductors & Semiconductor Equipment 0.1% | |||||||||||
ASM Pacific Technology Ltd. | 371,500 | 1,924 | |||||||||
Himax Technologies, Inc. ADR (a)* | 96,900 | 617 | |||||||||
2,541 | |||||||||||
Technology Hardware & Equipment 0.2% | |||||||||||
AAC Acoustic Technology Holdings, Inc.* | 1,996,000 | 2,313 | |||||||||
Foxconn International Holdings Ltd.* | 686,000 | 2,275 | |||||||||
4,588 | |||||||||||
38,814 | |||||||||||
Chile 0.1% | |||||||||||
Retailing 0.1% | |||||||||||
S.A.C.I. Falabella, SA | 524,600 | 1,691 | |||||||||
Columbia 0.1% | |||||||||||
Banks 0.1% | |||||||||||
BanColombia S.A. ADR (a) | 47,800 | 1,461 | |||||||||
Denmark 0.9% | |||||||||||
Capital Goods 0.3% | |||||||||||
FLSmidth & Co. A/S | 20,000 | 1,052 | |||||||||
NKT Holding A/S | 60,641 | 4,750 | |||||||||
5,802 | |||||||||||
Consumer Durables & Apparel 0.1% | |||||||||||
Bang & Olufsen A/S, Class B | 18,699 | 2,167 | |||||||||
Health Care Equipment & Services 0.1% | |||||||||||
Coloplast A/S | 24,300 | 2,056 | |||||||||
Insurance 0.2% | |||||||||||
Alm. Brand A/S* | 38,975 | 2,188 | |||||||||
Topdanmark A/S* | 12,500 | 1,766 | |||||||||
3,954 | |||||||||||
Pharmaceuticals & Biotechnology 0.2% | |||||||||||
Alk-Abello A/S* | 6,900 | 1,056 | |||||||||
Genmab A/S* | 64,477 | 2,878 | |||||||||
3,934 | |||||||||||
17,913 | |||||||||||
Egypt 0.0% | |||||||||||
Diversified Financials 0.0% | |||||||||||
Egyptian Financial Group — Hermes Holding* | 83,500 | 646 | |||||||||
Finland 0.2% | |||||||||||
Consumer Durables & Apparel 0.1% | |||||||||||
Amer Sports Oyj | 85,200 | 1,887 | |||||||||
Transportation 0.1% | |||||||||||
Finnlines Oyj | 132,645 | 2,778 | |||||||||
4,665 | |||||||||||
France 6.7% | |||||||||||
Automobiles & Components 0.4% | |||||||||||
Compagnie Generale des Etablissements Michelin, Class B | 107,600 | 8,770 | |||||||||
Banks 0.5% | |||||||||||
BNP Paribas | 89,290 | 9,806 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Capital Goods 1.3% | |||||||||||
Carbone Lorraine S.A. | 100,614 | 5,598 | |||||||||
Financiere Marc de Lacharriere SA | 16,150 | 1,504 | |||||||||
Latecoere | 142,113 | 4,589 | |||||||||
Nexans S.A. | 128,175 | 11,503 | |||||||||
Vinci S. A. | 18,000 | 2,028 | |||||||||
25,222 | |||||||||||
Consumer Durables & Apparel 0.3% | |||||||||||
LVMH Moet Hennessy Louis Vuitton S.A. | 48,200 | 5,020 | |||||||||
Diversified Financials 0.1% | |||||||||||
Eurazeo | 16,765 | 2,140 | |||||||||
Food, Beverage & Tobacco 0.2% | |||||||||||
Groupe Danone | 47,600 | 3,875 | |||||||||
Health Care Equipment & Services 0.2% | |||||||||||
Essilor International S.A. | 32,600 | 3,417 | |||||||||
Orpea* | 13,200 | 1,106 | |||||||||
4,523 | |||||||||||
Household & Personal Products 0.4% | |||||||||||
L’Oreal S.A. | 86,000 | 8,358 | |||||||||
Insurance 0.3% | |||||||||||
April Group | 11,200 | 478 | |||||||||
Axa | 21,700 | 827 | |||||||||
Euler Hermes S.A. | 31,472 | 4,086 | |||||||||
5,391 | |||||||||||
Media 1.7% | |||||||||||
Ipsos | 18,437 | 704 | |||||||||
Publicis Groupe S.A. | 330,900 | 12,780 | |||||||||
Societe Television Francaise 1 | 207,000 | 7,023 | |||||||||
Vivendi Universal S.A. | 333,500 | 12,635 | |||||||||
33,142 | |||||||||||
Pharmaceuticals & Biotechnology 0.2% | |||||||||||
Boiron S.A. | 64,213 | 1,455 | |||||||||
Sanofi-Aventis | 33,400 | 2,844 | |||||||||
4,299 | |||||||||||
Real Estate 0.1% | |||||||||||
Klepierre | 9,700 | 1,463 | |||||||||
Retailing 0.1% | |||||||||||
Etam | 17,489 | 1,563 | |||||||||
Software & Services 0.2% | |||||||||||
Capgemini SA | 53,500 | 3,035 | |||||||||
Iliad S.A. | 18,950 | 1,613 | |||||||||
4,648 | |||||||||||
Technology Hardware & Equipment 0.6% | |||||||||||
Ingenico S.A.* | 134,980 | 3,117 | |||||||||
Neopost S.A. | 64,743 | 7,904 | |||||||||
11,021 | |||||||||||
Transportation 0.1% | |||||||||||
Norbert Dentressangle | 15,770 | 1,308 | |||||||||
130,549 | |||||||||||
Germany 7.6% | |||||||||||
Automobiles & Components 2.5% | |||||||||||
Bayerische Motoren Werke (BMW) AG | 280,200 | 16,119 | |||||||||
Continental AG | 9,200 | 1,031 | |||||||||
DaimlerChrysler AG | 476,500 | 27,243 | |||||||||
ElringKlinger AG | 85,840 | 4,565 | |||||||||
48,958 | |||||||||||
Capital Goods 0.9% | |||||||||||
Bilfinger Berger AG | 79,990 | 5,000 | |||||||||
Hochtief AG | 50,300 | 3,290 | |||||||||
MTU Aero Engines Holding AG | 121,467 | 4,994 | |||||||||
Q-Cells AG* | 34,840 | 1,382 | |||||||||
Rheinmetall AG | 24,200 | 1,742 | |||||||||
Solarworld AG | 15,480 | 835 | |||||||||
17,243 | |||||||||||
Commercial Services & Supplies 0.1% | |||||||||||
Wirecard AG* | 257,531 | 2,206 | |||||||||
Consumer Durables & Apparel 0.3% | |||||||||||
Bijou Brigitte Modische Accessoires AG | 4,800 | 997 | |||||||||
Rational AG | 26,783 | 5,700 | |||||||||
6,697 | |||||||||||
Food & Staples Retailing 0.2% | |||||||||||
Metro AG | 67,800 | 4,035 | |||||||||
Health Care Equipment & Services 0.1% | |||||||||||
Celesio AG | 43,340 | 2,237 | |||||||||
Household & Personal Products 0.2% | |||||||||||
Henkel KGaA | 26,100 | 3,131 | |||||||||
Insurance 0.8% | |||||||||||
Hannover Rueckversicherung AG* | 359,500 | 15,272 | |||||||||
Materials 0.2% | |||||||||||
BASF AG | 19,300 | 1,698 | |||||||||
GEA Group AG | 136,800 | 2,462 | |||||||||
4,160 | |||||||||||
Media 0.1% | |||||||||||
CTS Eventim AG | 57,955 | 2,007 | |||||||||
Pharmaceuticals & Biotechnology 0.4% | |||||||||||
QIAGEN N.V.* | 323,849 | 5,112 | |||||||||
Schwarz Pharma AG | 25,300 | 2,959 | |||||||||
8,071 | |||||||||||
Real Estate 0.3% | |||||||||||
Deutsche Euroshop AG | 35,335 | 2,438 | |||||||||
IVG Immobilien AG | 85,900 | 3,099 | |||||||||
5,537 | |||||||||||
Retailing 0.1% | |||||||||||
Praktiker Bau — und Heimwerkermaerkte Holding AG | 63,547 | 2,022 | |||||||||
Semiconductors & Semiconductor Equipment 0.1% | |||||||||||
Kontron AG | 146,112 | 2,129 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Software & Services 0.6% | |||||||||||
SAP AG | 21,200 | 4,220 | |||||||||
Software AG | 51,654 | 3,567 | |||||||||
United Internet AG | 195,300 | 3,014 | |||||||||
10,801 | |||||||||||
Technology Hardware & Equipment 0.5% | |||||||||||
Wincor Nixdorf AG | 66,633 | 9,286 | |||||||||
Utilities 0.2% | |||||||||||
E.ON AG | 34,100 | 4,106 | |||||||||
RWE AG | 8,600 | 850 | |||||||||
4,956 | |||||||||||
148,748 | |||||||||||
Greece 1.0% | |||||||||||
Banks 0.5% | |||||||||||
EFG Eurobank Ergasias | 70,640 | 2,348 | |||||||||
Greek Postal Savings Bank* | 103,900 | 2,372 | |||||||||
National Bank of Greece S.A. | 56,180 | 2,547 | |||||||||
Piraeus Bank S.A. | 80,200 | 2,287 | |||||||||
9,554 | |||||||||||
Capital Goods 0.1% | |||||||||||
Frigoglass S.A. | 48,851 | 1,009 | |||||||||
Diversified Financials 0.3% | |||||||||||
Marfin Financial Group S.A. | 124,597 | 6,275 | |||||||||
Food, Beverage & Tobacco 0.1% | |||||||||||
Coca Cola Hellenic Bottling Co., S.A. | 59,500 | 1,947 | |||||||||
18,785 | |||||||||||
Hong Kong 1.2% | |||||||||||
Capital Goods 0.1% | |||||||||||
Melco International Development Ltd. | 1,130,000 | 2,763 | |||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Fountain Set (Holdings) Ltd. | 13,075,430 | 3,776 | |||||||||
Ports Design Ltd. | 474,500 | 823 | |||||||||
4,599 | |||||||||||
Consumer Services 0.1% | |||||||||||
eSun Holdings Ltd.* | 1,504,256 | 1,449 | |||||||||
Food & Staples Retailing 0.0% | |||||||||||
Wumart Stores, Inc. | 954,800 | 890 | |||||||||
Insurance 0.2% | |||||||||||
China Life Insurance Co., Ltd. | 1,444,000 | 3,045 | |||||||||
Materials 0.2% | |||||||||||
China National Building Material Co., Ltd. | 3,764,000 | 2,089 | |||||||||
Hung Hing Printing Group Ltd. | 2,302,000 | 1,257 | |||||||||
3,346 | |||||||||||
Real Estate 0.1% | |||||||||||
China Vanke Co., Ltd. | 928,603 | 1,120 | |||||||||
Hopson Development Holdings Ltd. | 311,500 | 677 | |||||||||
1,797 | |||||||||||
Retailing 0.3% | |||||||||||
Giordano International Ltd. | 9,080,000 | 4,541 | |||||||||
Parkson Retail Group Ltd | 235,000 | 975 | |||||||||
5,516 | |||||||||||
Software & Services 0.0% | |||||||||||
The9 Ltd. ADR* | 24,741 | 584 | |||||||||
23,989 | |||||||||||
Hungary 0.2% | |||||||||||
Pharmaceuticals & Biotechnology 0.2% | |||||||||||
EGIS Nyrt. | 23,924 | 3,122 | |||||||||
India 1.3% | |||||||||||
Automobiles & Components 0.1% | |||||||||||
Maruti Udyog Ltd. | 67,000 | 1,442 | |||||||||
Banks 0.1% | |||||||||||
HDFC Bank Ltd. | 85,300 | 1,901 | |||||||||
Housing Development Finance Corp., Ltd. | 48,500 | 1,574 | |||||||||
3,475 | |||||||||||
Capital Goods 0.2% | |||||||||||
Bharat Heavy Electricals Ltd. | 45,900 | 2,456 | |||||||||
Suzlon Energy Ltd. | 49,600 | 1,439 | |||||||||
3,895 | |||||||||||
Diversified Financials 0.1% | |||||||||||
Indiabulls Financial Services Ltd. | 110,000 | 1,034 | |||||||||
Household & Personal Products 0.1% | |||||||||||
Dabur India Ltd. | 512,900 | 1,743 | |||||||||
Hindustan Lever Ltd. | 194,000 | 1,016 | |||||||||
2,759 | |||||||||||
Materials 0.2% | |||||||||||
India Cements Ltd.* | 959,300 | 4,568 | |||||||||
Software & Services 0.4% | |||||||||||
Infosys Technologies Ltd. | 85,000 | 3,947 | |||||||||
Tech Mahindra Ltd.* | 52,300 | 1,160 | |||||||||
WNS Holdings Ltd.* | 77,204 | 2,297 | |||||||||
7,404 | |||||||||||
Telecommunication Services 0.1% | |||||||||||
Bharti Airtel Ltd.* | 126,000 | 1,480 | |||||||||
26,057 | |||||||||||
Indonesia 0.1% | |||||||||||
Banks 0.1% | |||||||||||
PT Bank Mandiri | 4,084,000 | 1,217 | |||||||||
Pharmaceuticals & Biotechnology 0.0% | |||||||||||
PT Kalbe Farma Tbk* | 6,070,200 | 903 | |||||||||
2,120 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Ireland 2.3% | |||||||||||
Banks 1.2% | |||||||||||
Anglo Irish Bank Corp., plc | 213,300 | 3,828 | |||||||||
Bank of Ireland | 951,600 | 19,053 | |||||||||
22,881 | |||||||||||
Capital Goods 0.3% | |||||||||||
Kingspan Group plc | 296,700 | 6,289 | |||||||||
Food, Beverage & Tobacco 0.5% | |||||||||||
C&C Group plc | 278,574 | 4,628 | |||||||||
Glanbia plc | 1,325,333 | 5,007 | |||||||||
9,635 | |||||||||||
Health Care Equipment & Services 0.0% | |||||||||||
United Drug plc | 185,000 | 869 | |||||||||
Media 0.2% | |||||||||||
Independent News & Media plc | 1,154,009 | 3,890 | |||||||||
Transportation 0.1% | |||||||||||
Ryanair Holdings plc ADR* | 29,200 | 1,951 | |||||||||
45,515 | |||||||||||
Israel 0.2% | |||||||||||
Capital Goods 0.2% | |||||||||||
Ormat Industries Ltd. | 281,947 | 2,924 | |||||||||
Technology Hardware & Equipment 0.0% | |||||||||||
Orbotech Ltd. (a)* | 25,000 | 604 | |||||||||
3,528 | |||||||||||
Italy 2.7% | |||||||||||
Automobiles & Components 0.1% | |||||||||||
Brembo S.p.A | 144,225 | 1,677 | |||||||||
Banks 0.1% | |||||||||||
Credito Emiliano S.p.A. | 97,200 | 1,391 | |||||||||
Capital Goods 0.1% | |||||||||||
Astaldi S.p.A. | 317,071 | 2,244 | |||||||||
Consumer Durables & Apparel 0.7% | |||||||||||
Geox S.p.A. | 87,000 | 1,150 | |||||||||
Luxottica Group S.p.A. | 129,600 | 4,005 | |||||||||
Safilo Group SpA* | 375,693 | 2,031 | |||||||||
Tod’s S.p.A. | 50,994 | 4,423 | |||||||||
Valentino Fashion Group S.p.A. | 91,571 | 3,281 | |||||||||
14,890 | |||||||||||
Diversified Financials 0.4% | |||||||||||
Azimut Holding S.p.A. | 290,268 | 3,282 | |||||||||
Banca Italease | 107,200 | 5,975 | |||||||||
9,257 | |||||||||||
Energy 0.3% | |||||||||||
Saipem S.p.A. | 229,400 | 5,404 | |||||||||
Food & Staples Retailing 0.1% | |||||||||||
Marr SpA | 121,634 | 1,017 | |||||||||
Food, Beverage & Tobacco 0.1% | |||||||||||
Davide Campari — Milano S.p.A. | 115,100 | 1,053 | |||||||||
Real Estate 0.1% | |||||||||||
Pirelli & C. Real Estate S.p.A. | 17,585 | 1,149 | |||||||||
Technology Hardware & Equipment 0.2% | |||||||||||
Digital Multimedia Technologies S.p.A.* | 66,515 | 4,448 | |||||||||
Transportation 0.4% | |||||||||||
Autostrada Torino — Milano S.p.A. | 199,526 | 4,238 | |||||||||
Gemina S.p.A.* | 927,101 | 3,432 | |||||||||
7,670 | |||||||||||
Utilities 0.1% | |||||||||||
ASM S.p.A. | 214,300 | 1,016 | |||||||||
Hera S.p.A. | 546,300 | 2,147 | |||||||||
3,163 | |||||||||||
53,363 | |||||||||||
Japan 10.3% | |||||||||||
Automobiles & Components 1.6% | |||||||||||
Denso Corp. | 212,200 | 8,090 | |||||||||
F.C.C. Co., Ltd. | 214,600 | 4,940 | |||||||||
Honda Motor Co., Ltd. | 358,800 | 12,664 | |||||||||
Sumitomo Rubber Industries Ltd. | 182,000 | 2,087 | |||||||||
Toyoda Gosei Co., Ltd. | 100,000 | 2,316 | |||||||||
30,097 | |||||||||||
Banks 0.4% | |||||||||||
Mitsubishi UFJ Financial Group, Inc. | 311 | 3,945 | |||||||||
Suruga Bank Ltd. | 217,000 | 2,699 | |||||||||
The Nishi-Nippon City Bank Ltd. | 296,000 | 1,404 | |||||||||
The Senshu Bank Ltd. | 170,000 | 465 | |||||||||
8,513 | |||||||||||
Capital Goods 1.2% | |||||||||||
Chiyoda Corp. | 81,000 | 1,466 | |||||||||
JTEKT Corp. | 103,900 | 2,161 | |||||||||
Komatsu Ltd. | 156,000 | 2,807 | |||||||||
MISUMI Group, Inc. | 59,300 | 1,036 | |||||||||
NGK Insulators Ltd | 118,000 | 1,602 | |||||||||
Nichias Corp. | 188,000 | 1,332 | |||||||||
Ryobi Ltd. | 365,000 | 2,910 | |||||||||
Takeuchi Mfg. Co., Ltd. | 60,800 | 2,578 | |||||||||
The Japan Steel Works Ltd. | 496,000 | 3,315 | |||||||||
Ushio, Inc. | 169,400 | 3,524 | |||||||||
22,731 | |||||||||||
Commercial Services & Supplies 0.6% | |||||||||||
Asahi Pretec Corp. | 43,800 | 1,059 | |||||||||
Meitec Corp. | 120,000 | 3,782 | |||||||||
Park24 Co., Ltd. | 90,400 | 1,314 | |||||||||
Sohgo Security Services Co., Ltd. | 54,500 | 968 | |||||||||
Takara Printing Co., Ltd. | 298,980 | 3,001 | |||||||||
Tempstaff Co., Ltd. | 870 | 1,359 | |||||||||
11,483 | |||||||||||
Consumer Durables & Apparel 0.9% | |||||||||||
Asics Corp. | 167,000 | 2,238 | |||||||||
ES-Con Japan Ltd. | 1,715 | 3,430 | |||||||||
Goldcrest Co., Ltd. | 31,200 | 1,707 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Hitachi Koki Co., Ltd. | 71,000 | 1,011 | |||||||||
Sanei-International Co., Ltd. | 44,400 | 1,271 | |||||||||
Sharp Corp. | 158,000 | 2,813 | |||||||||
Shimano, Inc. | 136,800 | 3,812 | |||||||||
Tamron Co., Ltd. | 102,100 | 1,859 | |||||||||
18,141 | |||||||||||
Diversified Financials 1.1% | |||||||||||
Daiwa Securities Group, Inc. | 1,163,500 | 13,155 | |||||||||
ORIX Corp. | 28,600 | 8,043 | |||||||||
Sparx Asset Management Co., Ltd. | 807 | 584 | |||||||||
21,782 | |||||||||||
Energy 0.1% | |||||||||||
Shinko Plantech Co., Ltd. | 262,000 | 1,969 | |||||||||
Food, Beverage & Tobacco 0.0% | |||||||||||
Ito En, Ltd. | 19,600 | 621 | |||||||||
Health Care Equipment & Services 0.1% | |||||||||||
Nakanishi, Inc. | 9,900 | 1,206 | |||||||||
Household & Personal Products 0.4% | |||||||||||
Milbon Co Ltd. | 5,900 | 195 | |||||||||
Uni-Charm Corp. | 139,200 | 7,758 | |||||||||
7,953 | |||||||||||
Materials 0.6% | |||||||||||
Air Water, Inc. | 138,000 | 1,321 | |||||||||
Kanto Denka Kogyo Co., Ltd. | 407,000 | 2,791 | |||||||||
NIFCO, Inc. | 178,100 | 3,653 | |||||||||
Showa Denko K.K. | 515,000 | 2,241 | |||||||||
Tokai Carbon Co., Ltd. | 128,000 | 863 | |||||||||
10,869 | |||||||||||
Pharmaceuticals & Biotechnology 0.3% | |||||||||||
Takeda Pharmaceutical Co., Ltd. | 98,500 | 6,324 | |||||||||
Real Estate 0.7% | |||||||||||
Aeon Mall Co., Ltd. | 35,600 | 1,879 | |||||||||
Joint Corp. | 145,600 | 5,724 | |||||||||
K.K. DaVinci Advisors* | 1,113 | 1,216 | |||||||||
Kenedix, Inc. | 210 | 1,177 | |||||||||
Tokyo Tatemono Co., Ltd. | 241,000 | 2,874 | |||||||||
12,870 | |||||||||||
Retailing 0.4% | |||||||||||
DeNa Co., Ltd.* | 322 | 935 | |||||||||
Honeys Co., Ltd. | 57,649 | 2,690 | |||||||||
Nitori Co., Ltd. | 28,660 | 1,162 | |||||||||
Paris Miki, Inc. | 92,800 | 1,529 | |||||||||
Yamada Denki Co., Ltd. | 22,000 | 2,186 | |||||||||
8,502 | |||||||||||
Semiconductors & Semiconductor Equipment 0.7% | |||||||||||
Rohm Co., Ltd. | 157,000 | 14,416 | |||||||||
Software & Services 0.1% | |||||||||||
KONAMI Corp. | 82,200 | 2,263 | |||||||||
Technology Hardware & Equipment 0.4% | |||||||||||
Brother Industries Ltd. | 138,000 | 1,736 | |||||||||
Hitachi Kokusai Electric, Inc. | 86,000 | 1,038 | |||||||||
Hoya Corp. | 52,500 | 2,029 | |||||||||
Keyence Corp. | 14,800 | 3,272 | |||||||||
8,075 | |||||||||||
Telecommunication Services 0.7% | |||||||||||
NTT DoCoMo, Inc. | 8,280 | 12,627 | |||||||||
200,442 | |||||||||||
Luxembourg 0.5% | |||||||||||
Energy 0.2% | |||||||||||
Acergy SA* | 80,836 | 1,471 | |||||||||
Tenaris S.A. | 72,500 | 2,798 | |||||||||
4,269 | |||||||||||
Real Estate 0.0% | |||||||||||
Gagfah SA* | 8,400 | 244 | |||||||||
Telecommunication Services 0.3% | |||||||||||
Millicom International Cellular S.A.* | 94,436 | 4,710 | |||||||||
9,223 | |||||||||||
Malaysia 0.1% | |||||||||||
Banks 0.1% | |||||||||||
Bumiputra-Commerce Holdings Berhad | 1,001,700 | 1,891 | |||||||||
Transportation 0.0% | |||||||||||
Transmile Group Berhad | 199,900 | 695 | |||||||||
2,586 | |||||||||||
Mexico 0.9% | |||||||||||
Capital Goods 0.1% | |||||||||||
Empresas ICA S.A. de C.V.* | 555,323 | 1,903 | |||||||||
Consumer Durables & Apparel 0.3% | |||||||||||
Corporacion GEO, SA de CV, Series B* | 483,300 | 2,216 | |||||||||
Desarrolladora Homex SA de CV ADR (a)* | 23,600 | 1,036 | |||||||||
Urbi, Desarrollos Urbanos, SA de CV* | 594,500 | 1,814 | |||||||||
5,066 | |||||||||||
Food & Staples Retailing 0.1% | |||||||||||
Wal-Mart de Mexico Series V | 872,900 | 3,035 | |||||||||
Telecommunication Services 0.2% | |||||||||||
America Movil SA de CV | 1,451,500 | 3,112 | |||||||||
Transportation 0.2% | |||||||||||
Grupo Aeroportuario del Pacifico SA de CV, ADR (a) | 93,300 | 3,521 | |||||||||
16,637 | |||||||||||
Netherlands 2.6% | |||||||||||
Capital Goods 1.1% | |||||||||||
Arcadis N.V. | 64,818 | 3,167 | |||||||||
Hagemeyer N.V.* | 688,200 | 3,519 | |||||||||
Imtech N.V. | 55,900 | 3,107 | |||||||||
Koninklijke BAM Groep N.V. | 386,062 | 8,046 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Koninklijke Boskalis Westminster N.V. | 50,757 | 3,702 | |||||||||
21,541 | |||||||||||
Commercial Services & Supplies 0.2% | |||||||||||
USG People NV | 76,600 | 3,127 | |||||||||
Consumer Durables & Apparel 0.7% | |||||||||||
Koninklijke (Royal) Philips Electronics N.V. | 392,600 | 13,675 | |||||||||
Diversified Financials 0.0% | |||||||||||
ING Groep N.V. ADR | 18,500 | 820 | |||||||||
Energy 0.2% | |||||||||||
Core Laboratories N.V.* | 700 | 51 | |||||||||
Fugro N.V. | 83,393 | 3,612 | |||||||||
3,663 | |||||||||||
Retailing 0.1% | |||||||||||
Macintosh Retail Group N.V. | 48,405 | 1,582 | |||||||||
Technology Hardware & Equipment 0.1% | |||||||||||
TKH Group N.V. | 10,004 | 705 | |||||||||
TomTom N.V.* | 46,800 | 1,970 | |||||||||
2,675 | |||||||||||
Transportation 0.2% | |||||||||||
Koninklijke Vopak N.V. | 71,082 | 2,725 | |||||||||
Smit Internationale NV | 23,916 | 1,149 | |||||||||
3,874 | |||||||||||
50,957 | |||||||||||
New Zealand 0.5% | |||||||||||
Consumer Services 0.1% | |||||||||||
Sky City Entertainment Group Ltd. | 424,598 | 1,464 | |||||||||
Health Care Equipment & Services 0.2% | |||||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 1,268,669 | 3,549 | |||||||||
Retailing 0.1% | |||||||||||
The Warehouse Group Ltd. | 356,137 | 1,532 | |||||||||
Transportation 0.1% | |||||||||||
Auckland International Airport Ltd. | 2,512,822 | 3,432 | |||||||||
9,977 | |||||||||||
Norway 1.4% | |||||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Ekornes ASA | 161,200 | 3,491 | |||||||||
Diversified Financials 0.1% | |||||||||||
Acta Holding ASA | 607,263 | 2,813 | |||||||||
Energy 0.9% | |||||||||||
Ability Group ASA (AGR)* | 82,302 | 642 | |||||||||
Deep Sea Supply ASA* | 547,413 | 1,336 | |||||||||
Farstad Shipping ASA | 202,200 | 4,203 | |||||||||
Olsen Energy ASA* | 33,292 | 1,444 | |||||||||
Petroleum Geo-Services ASA* | 35,500 | 2,074 | |||||||||
Seabird Exploration Ltd.* | 190,331 | 1,168 | |||||||||
SeaDrill Ltd.* | 167,000 | 2,389 | |||||||||
Songa Offshore ASA* | 207,816 | 1,861 | |||||||||
TGS Nopec Geophysical Co. ASA* | 83,616 | 1,495 | |||||||||
16,612 | |||||||||||
Food, Beverage & Tobacco 0.1% | |||||||||||
Cermaq ASA | 87,397 | 1,077 | |||||||||
Materials 0.0% | |||||||||||
Yara International ASA | 3,400 | 59 | |||||||||
Software & Services 0.1% | |||||||||||
Ementor ASA* | 505,584 | 2,556 | |||||||||
26,608 | |||||||||||
Panama 0.1% | |||||||||||
Transportation 0.1% | |||||||||||
Copa Holdings S.A., Class A (a) | 51,200 | 1,940 | |||||||||
Papua New Guinea 0.1% | |||||||||||
Materials 0.1% | |||||||||||
Lihir Gold Ltd.* | 969,500 | 2,086 | |||||||||
Portugal 0.1% | |||||||||||
Capital Goods 0.1% | |||||||||||
Mota-Engil, SGPS, S.A. | 384,905 | 2,388 | |||||||||
Republic of Korea 2.0% | |||||||||||
Banks 0.2% | |||||||||||
Kookmin Bank | 54,000 | 4,282 | |||||||||
Capital Goods 0.2% | |||||||||||
KCC Corp. | 7,900 | 2,312 | |||||||||
Samsung Techwin Co., Ltd. | 33,300 | 1,312 | |||||||||
3,624 | |||||||||||
Food & Staples Retailing 0.1% | |||||||||||
Shinsegae Co., Ltd. | 3,100 | 1,786 | |||||||||
Semiconductors & Semiconductor Equipment 0.2% | |||||||||||
Samsung Electronics Co., Ltd. | 5,490 | 3,555 | |||||||||
Software & Services 0.1% | |||||||||||
NHN Corp.* | 22,440 | 2,223 | |||||||||
Telecommunication Services 1.2% | |||||||||||
LG Dacom Corp. | 67,300 | 1,561 | |||||||||
SK Telecom Co., Ltd. | 96,900 | 20,986 | |||||||||
SK Telecom Co., Ltd. ADR (a) | 52,000 | 1,252 | |||||||||
23,799 | |||||||||||
39,269 | |||||||||||
Russia 0.0% | |||||||||||
Capital Goods 0.0% | |||||||||||
OAO TMK GDR | 22,328 | 564 | |||||||||
Singapore 2.7% | |||||||||||
Banks 0.3% | |||||||||||
United Overseas Bank Ltd. | 478,000 | 5,429 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Capital Goods 0.5% | |||||||||||
Hyflux Ltd. | 3,228,000 | 5,455 | |||||||||
Jaya Holdings Ltd. | 1,264,000 | 1,154 | |||||||||
SembCorp Marine Ltd. | 1,924,000 | 4,224 | |||||||||
10,833 | |||||||||||
Consumer Services 0.1% | |||||||||||
Raffles Education Corp., Ltd. | 925,000 | 1,582 | |||||||||
Diversified Financials 0.0% | |||||||||||
Singapore Exchange Ltd. | 57,000 | 164 | |||||||||
Health Care Equipment & Services 0.2% | |||||||||||
Parkway Holdings Ltd. | 2,457,000 | 4,378 | |||||||||
Household & Personal Products 0.1% | |||||||||||
GP Batteries International Ltd. | 1,682,000 | 1,470 | |||||||||
Real Estate 0.3% | |||||||||||
Capitaland Ltd. | 1,872,300 | 6,556 | |||||||||
Retailing 0.1% | |||||||||||
Osim International Ltd. | 1,002,120 | 1,087 | |||||||||
Telecommunication Services 0.3% | |||||||||||
MobileOne Ltd. | 4,421,000 | 5,624 | |||||||||
Transportation 0.8% | |||||||||||
Cosco Corp.(Singapore) Ltd. | 4,176,040 | 5,146 | |||||||||
Goodpack Ltd.* | 544,000 | 574 | |||||||||
SIA Engineering Co. | 940,000 | 2,261 | |||||||||
Singapore Airport Ltd. | 1,408,000 | 2,025 | |||||||||
SMRT Corp., Ltd. | 8,763,000 | 6,296 | |||||||||
16,302 | |||||||||||
53,425 | |||||||||||
South Africa 0.2% | |||||||||||
Diversified Financials 0.1% | |||||||||||
JSE Ltd. | 193,606 | 1,074 | |||||||||
Energy 0.0% | |||||||||||
Sasol | 22,400 | 769 | |||||||||
Media 0.1% | |||||||||||
Naspers Ltd. | 53,100 | 960 | |||||||||
Pharmaceuticals & Biotechnology 0.0% | |||||||||||
Aspen Pharmacare Holdings Ltd.* | 111,500 | 507 | |||||||||
3,310 | |||||||||||
Spain 2.1% | |||||||||||
Banks 0.1% | |||||||||||
Banco Pastor SA | 86,100 | 1,435 | |||||||||
Capital Goods 0.2% | |||||||||||
Mecalux, S.A.* | 61,250 | 2,356 | |||||||||
Tecnicas Reunidas S.A.* | 59,862 | 2,058 | |||||||||
4,414 | |||||||||||
Commercial Services & Supplies 0.2% | |||||||||||
Prosegur, Compania de Seguridad S.A. | 116,381 | 3,483 | |||||||||
Insurance 0.0% | |||||||||||
Grupo Catalana Occidente, S.A. | 24,700 | 813 | |||||||||
Materials 0.1% | |||||||||||
Tubacex, S.A. | 263,243 | 1,576 | |||||||||
Media 0.6% | |||||||||||
Gestevision Telecinco S.A. | 450,000 | 11,813 | |||||||||
Pharmaceuticals & Biotechnology 0.3% | |||||||||||
Grifols S.A.* | 630,971 | 6,608 | |||||||||
Retailing 0.3% | |||||||||||
Industria de Diseno Textil SA | 98,900 | 4,725 | |||||||||
Utilities 0.3% | |||||||||||
Enagas | 183,800 | 4,454 | |||||||||
Red Electrica de Espana | 27,200 | 1,056 | |||||||||
5,510 | |||||||||||
40,377 | |||||||||||
Sweden 0.9% | |||||||||||
Capital Goods 0.2% | |||||||||||
Hexagon AB | 62,500 | 2,324 | |||||||||
Munters AB | 35,406 | 1,370 | |||||||||
3,694 | |||||||||||
Materials 0.2% | |||||||||||
Billerud | 263,900 | 4,108 | |||||||||
Media 0.1% | |||||||||||
Modern Times Group AB, Class B* | 27,450 | 1,575 | |||||||||
Retailing 0.2% | |||||||||||
Hemtex AB | 68,590 | 1,028 | |||||||||
Lindex AB | 108,055 | 1,437 | |||||||||
Nobia AB | 24,100 | 855 | |||||||||
3,320 | |||||||||||
Software & Services 0.0% | |||||||||||
TradeDoubler AB* | 30,500 | 664 | |||||||||
Technology Hardware & Equipment 0.1% | |||||||||||
Telefonaktiebolaget LM Ericsson, Class B | 798,000 | 3,016 | |||||||||
Telecommunication Services 0.1% | |||||||||||
Tele2 AB, Class B | 104,000 | 1,092 | |||||||||
17,469 | |||||||||||
Switzerland 9.6% | |||||||||||
Capital Goods 1.0% | |||||||||||
ABB Ltd. | 451,300 | 6,712 | |||||||||
Burckhardt Compression Holding AG* | 14,686 | 1,594 | |||||||||
Geberit AG | 2,500 | 3,255 | |||||||||
Georg Fischer AG — Reg’d.* | 8,001 | 4,091 | |||||||||
Kaba Holding AG* | 7,645 | 2,231 | |||||||||
Sulzer AG | 2,800 | 2,460 | |||||||||
20,343 | |||||||||||
Commercial Services & Supplies 1.1% | |||||||||||
Adecco S.A. | 318,000 | 19,610 | |||||||||
SGS SA | 1,330 | 1,411 | |||||||||
21,021 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Consumer Durables & Apparel 0.6% | |||||||||||
Advanced Digital Broadcast Holdings SA* | 22,383 | 1,380 | |||||||||
Forbo Holding AG* | 3,309 | 1,158 | |||||||||
Schulthess Group AG | 2,408 | 1,403 | |||||||||
Swatch Group AG | 36,400 | 7,182 | |||||||||
11,123 | |||||||||||
Diversified Financials 3.1% | |||||||||||
Bank Sarasin & Cie AG | 615 | 1,772 | |||||||||
Credit Suisse Group | 341,100 | 20,562 | |||||||||
EFG International* | 55,300 | 1,811 | |||||||||
Partners Group* | 41,079 | 3,955 | |||||||||
UBS AG | 487,160 | 29,089 | |||||||||
UBS AG, Reg’d | 28,800 | 1,723 | |||||||||
Verwaltungs — und Privat-Bank AG | 4,679 | 1,179 | |||||||||
60,091 | |||||||||||
Food, Beverage & Tobacco 0.8% | |||||||||||
Lindt & Spruengli AG | 700 | 1,531 | |||||||||
Nestle S.A. | 38,800 | 13,259 | |||||||||
Nestle S.A. ADR | 23,200 | 1,989 | |||||||||
16,779 | |||||||||||
Health Care Equipment & Services 0.2% | |||||||||||
Galenica Holding AG — Reg’d. | 7,749 | 1,985 | |||||||||
Nobel Biocare Holding AG | 7,750 | 2,120 | |||||||||
4,105 | |||||||||||
Materials 0.8% | |||||||||||
Givaudan S.A. — Reg’d. | 9,600 | 7,952 | |||||||||
Lonza Group AG | 13,700 | 1,057 | |||||||||
Syngenta AG* | 44,000 | 7,100 | |||||||||
16,109 | |||||||||||
Pharmaceuticals & Biotechnology 1.7% | |||||||||||
Actelion Ltd.* | 11,600 | 1,948 | |||||||||
Novartis AG — Reg’d. | 339,900 | 20,632 | |||||||||
Novartis AG ADR | 27,500 | 1,670 | |||||||||
Roche Holdings AG | 47,500 | 8,317 | |||||||||
32,567 | |||||||||||
Software & Services 0.1% | |||||||||||
Temenos Group AG* | 149,976 | 1,993 | |||||||||
Transportation 0.2% | |||||||||||
Kuehne & Nagel International AG | 46,200 | 3,167 | |||||||||
187,298 | |||||||||||
Taiwan 2.3% | |||||||||||
Banks 1.0% | |||||||||||
Chinatrust Financial Holding Co., Ltd. | 26,421,123 | 19,149 | |||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Inventec Appliances Corp. | 312,000 | 703 | |||||||||
Largan Precision Co., Ltd. | 58,050 | 1,153 | |||||||||
Merry Electronics Co., Ltd. | 608,000 | 1,864 | |||||||||
3,720 | |||||||||||
Materials 0.1% | |||||||||||
Chung Hwa Pulp Corp. | 5,770,000 | 2,557 | |||||||||
Semiconductors & Semiconductor Equipment 0.2% | |||||||||||
MediaTek, Inc. | 171,440 | 1,669 | |||||||||
Realtek Semiconductor Corp. | 1,248,000 | 1,657 | |||||||||
3,326 | |||||||||||
Technology Hardware & Equipment 0.8% | |||||||||||
Catcher Technology Co., Ltd. | 321,419 | 2,770 | |||||||||
High Tech Computer Corp. | 188,800 | 4,674 | |||||||||
Hon Hai Precision Industry Co., Ltd. | 915,689 | 5,923 | |||||||||
Inventec Co., Ltd. | 873,000 | 629 | |||||||||
Wistron Corp. | 1,879,000 | 2,171 | |||||||||
16,167 | |||||||||||
44,919 | |||||||||||
Turkey 0.1% | |||||||||||
Media 0.1% | |||||||||||
Dogan Yayin Holding A.S.* | 287,400 | 1,089 | |||||||||
United Kingdom 22.8% | |||||||||||
Banks 1.6% | |||||||||||
HBOS plc | 409,300 | 8,480 | |||||||||
Lloyds TSB Group plc | 1,330,000 | 14,206 | |||||||||
Northern Rock plc | 237,800 | 5,429 | |||||||||
Standard Chartered plc | 139,000 | 3,910 | |||||||||
32,025 | |||||||||||
Capital Goods 2.4% | |||||||||||
Alfred McAlpine plc | 140,560 | 1,442 | |||||||||
BAE Systems plc | 8,100 | 263 | |||||||||
Charter plc* | 211,393 | 3,716 | |||||||||
Chloride Group plc | 1,110,202 | 2,929 | |||||||||
Cobham plc | 1,146,435 | 4,195 | |||||||||
Morgan Crucible Co., plc | 537,568 | 2,679 | |||||||||
Punch Graphix plc | 1,901,295 | 4,479 | |||||||||
Rolls Royce Group, Class B* | 37,760,630 | 72 | |||||||||
Rolls-Royce Group plc* | 958,300 | 8,578 | |||||||||
Spirax-Sarco Engineering plc | 158,966 | 2,821 | |||||||||
The Weir Group plc | 793,138 | 7,726 | |||||||||
Ultra Electronics Holdings plc | 157,369 | 3,349 | |||||||||
Vt Group plc | 511,053 | 4,679 | |||||||||
46,928 | |||||||||||
Commercial Services & Supplies 1.6% | |||||||||||
WS Atkins plc | 183,545 | 3,056 | |||||||||
Babcock International Group plc | 499,855 | 3,565 | |||||||||
De La Rue plc | 390,545 | 4,618 | |||||||||
Homeserve plc | 126,492 | 4,288 | |||||||||
Michael Page Group plc | 677,500 | 5,215 | |||||||||
RPS Group plc | 575,645 | 2,558 | |||||||||
Serco Group plc | 1,203,004 | 8,126 | |||||||||
31,426 | |||||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Aga Foodservice Group plc | 186,489 | 1,442 | |||||||||
The Berkeley Group Holdings plc* | 77,500 | 2,122 | |||||||||
3,564 | |||||||||||
Consumer Services 1.5% | |||||||||||
Compass Group plc | 3,190,000 | 17,046 | |||||||||
Greene King plc | 270,446 | 4,932 | |||||||||
J.D. Wetherspoon plc | 347,504 | 3,708 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Punch Taverns plc | 206,300 | 4,042 | |||||||||
29,728 | |||||||||||
Diversified Financials 1.1% | |||||||||||
Cattles plc | 1,006,089 | 7,214 | |||||||||
IG Group Holdings plc | 827,422 | 4,008 | |||||||||
Man Group plc | 483,400 | 4,492 | |||||||||
Schroders plc | 292,700 | 5,521 | |||||||||
21,235 | |||||||||||
Energy 0.9% | |||||||||||
BG Group plc | 429,700 | 5,702 | |||||||||
Cairn Energy plc* | 58,100 | 1,945 | |||||||||
Expro International Group plc | 355,660 | 5,171 | |||||||||
Tullow Oil plc | 617,190 | 4,589 | |||||||||
17,407 | |||||||||||
Food & Staples Retailing 0.4% | |||||||||||
Tesco plc | 1,112,500 | 8,346 | |||||||||
Food, Beverage & Tobacco 2.2% | |||||||||||
British American Tobacco plc | 20,900 | 1,149 | |||||||||
Cadbury Schweppes plc | 1,557,000 | 15,674 | |||||||||
Cadbury Schweppes plc ADR | 37,500 | 1,522 | |||||||||
Diageo plc | 1,085,000 | 20,062 | |||||||||
Diageo plc ADR | 26,700 | 1,988 | |||||||||
Northern Foods plc | 849,935 | 1,438 | |||||||||
41,833 | |||||||||||
Health Care Equipment & Services 0.2% | |||||||||||
Gyrus Group plc* | 202,214 | 1,397 | |||||||||
Southern Cross Healthcare Ltd.* | 321,968 | 1,861 | |||||||||
3,258 | |||||||||||
Household & Personal Products 0.4% | |||||||||||
Reckitt Benckiser plc | 167,500 | 7,282 | |||||||||
Insurance 0.8% | |||||||||||
Admiral Group plc | 95,700 | 1,694 | |||||||||
Willis Group Holdings Ltd. (a) | 341,000 | 12,968 | |||||||||
14,662 | |||||||||||
Materials 1.1% | |||||||||||
Anglo American plc ADR | 87,700 | 1,989 | |||||||||
Croda International plc | 425,546 | 4,243 | |||||||||
Lonmin plc | 18,300 | 1,010 | |||||||||
Rexam plc | 381,826 | 4,296 | |||||||||
Rio Tinto plc | 17,600 | 3,897 | |||||||||
Victrex plc | 385,711 | 5,291 | |||||||||
20,726 | |||||||||||
Media 2.7% | |||||||||||
British Sky Broadcasting Group plc | 2,489,000 | 25,807 | |||||||||
Johnston Press plc | 1,643,800 | 13,099 | |||||||||
Trinity Mirror plc | 1,449,000 | 13,500 | |||||||||
52,406 | |||||||||||
Pharmaceuticals & Biotechnology 1.8% | |||||||||||
AstraZeneca plc | 125,400 | 7,390 | |||||||||
GlaxoSmithKline plc | 1,039,500 | 27,703 | |||||||||
35,093 | |||||||||||
Real Estate 0.2% | |||||||||||
Big Yellow Group plc | 248,631 | 2,539 | |||||||||
Unite Group plc | 171,772 | 1,627 | |||||||||
4,166 | |||||||||||
Retailing 1.5% | |||||||||||
Signet Group plc | 10,100,000 | 23,149 | |||||||||
The Carphone Warehouse plc | 1,266,848 | 6,834 | |||||||||
29,983 | |||||||||||
Software & Services 0.0% | |||||||||||
Detica Group plc | 45,200 | 280 | |||||||||
Technology Hardware & Equipment 1.1% | |||||||||||
CSR plc* | 54,500 | 787 | |||||||||
Laird Group plc | 383,720 | 2,632 | |||||||||
Rotork plc | 628,909 | 9,405 | |||||||||
TT electronics plc | 1,842,010 | 7,813 | |||||||||
Wolfson Microelectronics plc* | 94,178 | 517 | |||||||||
21,154 | |||||||||||
Telecommunication Services 0.8% | |||||||||||
Vodafone Group plc | 6,312,875 | 16,267 | |||||||||
Transportation 0.1% | |||||||||||
Air Berlin Plc* | 107,088 | 2,069 | |||||||||
Utilities 0.2% | |||||||||||
International Power plc | 331,400 | 2,115 | |||||||||
Pennon Group plc | 208,114 | 2,051 | |||||||||
4,166 | |||||||||||
444,004 | |||||||||||
Preferred Stock 0.4% of net assets | |||||||||||
Brazil 0.2% | |||||||||||
Banks 0.1% | |||||||||||
Banco Itau Holding Financeira S.A. | 57,100 | 1,880 | |||||||||
Energy 0.1% | |||||||||||
Petroleo Brasileiro S.A. | 91,300 | 1,833 | |||||||||
3,713 | |||||||||||
Germany 0.2% | |||||||||||
Consumer Durables & Apparel 0.2% | |||||||||||
Hugo Boss AG | 97,487 | 4,545 | |||||||||
Rights 0.2% of net assets | |||||||||||
Sweden 0.2% | |||||||||||
JM AB* | 176,230 | 3,468 | |||||||||
Taiwan 0.0% | |||||||||||
Motech Industries, Inc.* | 28,751 | 1 |
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 3.8% of net assets | |||||||||||
Repurchase Agreement 3.8% | |||||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $73,641 (fully collateralized by Freddie Mac with a value of $75,441.) | 73,631 | 73,631 | |||||||||
U.S. Treasury Obligation 0.0% of net assets | |||||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 249 | 249 |
End of Investments.
* | Non-income producing security. |
(a) | All or a portion of this security is held as collateral for open futures contracts. |
(b) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $2,462 or 0.1% of net assets. |
Number of Contracts | Contract Value | Unrealized Gains | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Futures Contracts | ||||||||||||||||
Russell 2000 Index, Long expires 12/15/06 | 5 | 1,928 | 141 | |||||||||||||
S&P 500 Index, Long, expires 12/14/06 | 2 | 692 | 36 | |||||||||||||
177 |
Expiration Date | Currency to be Received | Amount of Currency to be Received ($ x 1,000) | Currency to be Delivered | Amount of Currency to be Delivered ($ x 1,000) | Unrealized Losses ($ x 1,000) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Forward Foreign Currency Contracts | |||||||||||||||||||||||
11/6/06 | USD | 15,189 | GBP | 15,035 | (154 | ) | |||||||||||||||||
1/31/07 | USD | 172 | JPY | 171 | (1 | ) | |||||||||||||||||
(155 | ) |
Table of Contents
Assets | |||||||||||
Investments, at value (cost $1,627,059) | $ | 1,936,849 | |||||||||
Cash | 506 | ||||||||||
Foreign currency, at value (cost $8,346) | 8,347 | ||||||||||
Receivables: | |||||||||||
Investments sold | 22,432 | ||||||||||
Fund shares sold | 3,339 | ||||||||||
Dividends | 2,039 | ||||||||||
Foreign tax reclaims | 976 | ||||||||||
Interest | 10 | ||||||||||
Transfer agent | 25 | ||||||||||
Prepaid expenses | + | 12 | |||||||||
Total assets | 1,974,535 | ||||||||||
Liabilities | |||||||||||
Payables: | |||||||||||
Investments bought | 22,605 | ||||||||||
Investment adviser and administrator fees | 2,110 | ||||||||||
Fund shares redeemed | 1,389 | ||||||||||
Due to brokers for futures | 6 | ||||||||||
Trustee fees | 2 | ||||||||||
Unrealized depreciation on forward foreign currency contracts | 155 | ||||||||||
Accrued expenses | + | 254 | |||||||||
Total liabilities | 26,521 | ||||||||||
Net Assets | |||||||||||
Total assets | 1,974,535 | ||||||||||
Total liabilities | –26,521 | ||||||||||
Net assets | $ | 1,948,014 | |||||||||
Net Assets by Source | |||||||||||
Capital received from investors | 1,482,954 | ||||||||||
Net investment income not yet distributed | 8,883 | ||||||||||
Net realized capital gains | 146,351 | ||||||||||
Net unrealized capital gains | 309,826 | ||||||||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 1,319,876 | 63,677 | $ | 20.73 | |||||||||||||||||
Select Shares | $ | 628,138 | 30,248 | $ | 20.77 |
Table of Contents
Investment Income | ||||||
Dividends (net of foreign withholding taxes of $2,939) | $ | 32,499 | ||||
Interest | + | 1,912 | ||||
Total Investment Income | 34,411 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 186,452 | |||||
Net realized gains on foreign currency transactions | 4,398 | |||||
Net realized losses on futures contracts | + | (6,530 | ) | |||
Net realized gains | 184,320 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 118,523 | |||||
Net unrealized losses on foreign currency transactions | (5,557 | ) | ||||
Net unrealized gains on futures contracts | + | 70 | ||||
Net unrealized gains | 113,036 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 20,797 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 2,954 | |||||
Select Shares | 1,000 | |||||
Custodian fees | 1,278 | |||||
Registration fees | 248 | |||||
Shareholder reports | 179 | |||||
Portfolio accounting fees | 127 | |||||
Professional fees | 73 | |||||
Trustees’ fees | 16 | |||||
Other expenses | + | 26 | ||||
Total expenses | 26,698 | |||||
Custody Credit | –1,205 | |||||
Expense reduction by adviser and Schwab | –634 | |||||
Net expenses | 24,859 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 34,411 | |||||
Net expenses | –24,859 | |||||
Net investment income | 9,552 | |||||
Net realized gains | 184,320 | |||||
Net unrealized gains | + | 113,036 | ||||
Increase in net assets from operations | $ | 306,908 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 9,552 | $ | 3,570 | ||||||
Net realized gains | 184,320 | 56,947 | ||||||||
Net unrealized gains | + | 113,036 | 110,325 | |||||||
Increase in net assets from operations | 306,908 | 170,842 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 7,908 | 907 | ||||||||
Select Shares | + | 3,448 | 317 | |||||||
Total dividends from net investment income | $ | 11,356 | $ | 1,224 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 36,898 | $ | 713,186 | 17,457 | $ | 271,992 | |||||||||||||
Select Shares | + | 20,443 | 394,541 | 11,835 | 185,351 | ||||||||||||||
Total shares sold | 57,341 | $ | 1,107,727 | 29,292 | $ | 457,343 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 406 | $ | 7,287 | 58 | $ | 837 | |||||||||||||
Select Shares | + | 164 | 2,946 | 20 | 278 | ||||||||||||||
Total shares reinvested | 570 | $ | 10,233 | 78 | $ | 1,115 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (20,911 | ) | $ | (404,207 | ) | (10,865 | ) | $ | (169,365 | ) | |||||||||
Select Shares | + | (6,679 | ) | (129,171 | ) | (1,515 | ) | (24,118 | ) | ||||||||||
Total shares redeemed | (27,590 | ) | $ | (533,378 | ) | (12,380 | ) | $ | (193,483 | ) | |||||||||
Net transactions in fund shares | 30,321 | $ | 584,582 | 16,990 | $ | 264,975 |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 63,604 | $ | 1,067,880 | 46,614 | $ | 633,287 | |||||||||||||
Total increase | + | 30,321 | 880,134 | 16,990 | 434,593 | ||||||||||||||
End of period | 93,925 | $ | 1,948,014 | 63,604 | $ | 1,067,880 | |||||||||||||
Net investment income not yet distributed | $ | 8,883 | $ | 1,223 |
Table of Contents
1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Laudus U.S. MarketMasters Fund Laudus Small-Cap MarketMasters Fund Laudus International MarketMasters Fund Schwab S&P 500 Index Fund Schwab Institutional Select S&P 500 Fund Schwab Small-Cap Index Fund Schwab Total Stock Market Index Fund Schwab International Index Fund Schwab MartketTrack All Equity Portfolio Schwab MarketTrack Growth Portfolio Schwab MarketTrack Balanced Portfolio Schwab MarketTrack Conservative Portfolio Schwab Viewpoints Fund | Schwab Premier Equity Fund Schwab Core Equity Fund Schwab Dividend Equity Fund Schwab Large-Cap Growth Fund Schwab Small-Cap Equity Fund Schwab Hedged Equity Fund Schwab Financial Services Fund Schwab Health Care Fund Schwab Technology Fund Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund |
2. | Significant Accounting Policies: |
(a) | Security Valuation: |
• | Securities traded on an exchange or over-the-counter: valued at the closing value for the day, or, on days when no closing value has been reported, halfway between the most recent bid and asked quotes. Securities that are primarily traded on foreign exchanges are valued at the closing values of such securities on their respective exchanges with these values then translated into U.S. dollars at the current exchange rate. |
• | Securities for which no quoted value is available or when a significant event has occurred between the time of the security’s last close and the time the fund calculates net asset value: valued at fair value, as determined in good faith by the fund’s investment adviser using guidelines adopted by the fund’s Board of Trustees and the Pricing Committee. Some of the more common reasons that may necessitate that a security be valued at fair value include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; the security’s primary pricing source is not able or willing to provide a price, or certain foreign securities closing market prices adjusted for changes in value that may occur between the close of foreign exchange and the time at which fund shares are priced. The Board of Trustees regularly reviews fair value determinations, made by the funds, pursuant to the procedures. |
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• | Bonds and notes: valued at halfway between the most recent bid and asked quotes or, if such quotes are unavailable, at prices for securities of comparable maturity, credit quality and type. Valuations for bonds and notes are provided by an independent bond-pricing service. |
• | Futures and forwards: open contracts are valued at their settlement prices as of the close of their exchanges (for futures) or at a market value based on that day’s exchange rates (for forwards). When a fund closes out a futures or forwards position, it calculates the difference between the value of the position at the beginning and at the end, and records a realized gain or loss accordingly. |
• | Short-term securities (60 days or less to maturity): valued at amortized cost. |
• | Mutual funds: valued at their respective net asset values as determined by those funds in accordance with the 1940 Act for a given day. |
(b) | Portfolio Investments: |
(c) | Security Transactions: |
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(d) | Investment Income: |
(e) | Expenses: |
(f) | Distributions to Shareholders: |
(g) | Custody Credit: |
(h) | Accounting Estimates: |
(i) | Federal Income Taxes: |
(j) | Indemnification: |
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of a tax position taken or expected to be taken in a tax return when there is uncertainty about whether that tax position will ultimately be sustained. We have not yet completed our evaluation of the impact, if any, of adopting FIN 48 on the Fund’s financial statements.
3. | Affiliates and Affiliated Transactions: (All dollar amounts are × 1,000) |
Average daily net assets | U.S. MarketMasters Fund | | Small-Cap MarketMasters Fund | | International MarketMasters Fund | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
First $500 million | 0.925 | % | 1.17 | % | 1.290 | % | ||||||||
Over $500 million | 0.92 | % | 1.13 | % | 1.275 | % | ||||||||
Over $1 billion | 0.91 | % | 1.07 | % | 1.25 | % |
Transfer Agent Fees | | Shareholder Service Fees | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.05 | % | 0.20 | % | ||||||
Select Shares | 0.05 | % | 0.15 | % |
U.S. MarketMasters Fund | | Small-Cap MarketMasters Fund | | International MarketMasters Fund | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 1.25 | % | 1.55 | % | 1.65 | % | ||||||||
Select Shares | 1.07 | % | 1.37 | % | 1.47 | % |
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4. | Purchases and Sales of Investment Securities: (All dollar amounts are × 1,000) |
Purchases of Securities | Sales/Maturities of Securities | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. MarketMasters Fund | $ | 90,929 | $ | 123,666 | ||||||
Small-Cap MarketMasters Fund | 106,702 | 122,595 | ||||||||
International MarketMasters Fund | 1,922,153 | 1,386,494 |
5. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | Prior Period | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. MarketMasters Fund | ||||||||||
Investor Shares | $ | 5 | $ | 1 | ||||||
Select Shares | — | — | ||||||||
Small-Cap MarketMasters Fund | ||||||||||
Investor Shares | $ | 3 | $ | 2 | ||||||
Select Shares | — | — | ||||||||
International MarketMasters Fund | ||||||||||
Investor Shares | $ | 89 | $ | 102 | ||||||
Select Shares | $ | 47 | $ | 26 |
6. | Borrowing: (All dollar amounts are × 1,000) |
Fund | Amount Outstanding at 10/31/06 | | Average Borrowing* | | Weighted Average Interest Rate*(%) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. MarketMasters Fund | $ | — | $ | 50 | 7.25 | |||||||||
Small-Cap MarketMasters Fund | — | 74 | 5.18 | |||||||||||
International MarketMasters Fund | — | 3,672 | 5.98 |
* | Based on the number of days for which the borrowing is outstanding. |
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7. | Federal Income Taxes: (All dollar amounts are × 1,000) |
U.S. MarketMasters Fund | Small-Cap MarketMasters Fund | | International MarketMasters Fund | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed ordinary income | $ | 273 | $2,643 | $15,958 | |||||||||||
Undistributed long-term capital gains | — | 12,710 | 151,792 | ||||||||||||
Unrealized appreciation on investments | 25,098 | 17,298 | 312,946 | ||||||||||||
Unrealized depreciation on investments | (1,784 | ) | (2,268) | (15,659) | |||||||||||
Other unrealized appreciation (depreciation) | — | — | 23 | ||||||||||||
Net unrealized appreciation/ (depreciation) | $ | 23,314 | $15,030 | $297,310 |
U.S. MarketMasters Fund | Small-Cap MarketMasters Fund | | International MarketMasters Fund | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2010 | $ | 20,397 | $— | $— | |||||||||||
2011 | 604 | — | — | ||||||||||||
Total | $ | 21,001 | $— | $— |
U.S. MarketMasters Fund | Small-Cap MarketMasters Fund | | International MarketMasters Fund | | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital losses utilized | $ | 11,097 | $— | $25,860 |
U.S. MarketMasters Fund | Small-Cap MarketMasters Fund | | International MarketMasters Fund | | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Current period distributions | ||||||||||||||||
Ordinary income | $ | 206 | $— | $11,356 | ||||||||||||
Long-term capital gains | — | $8,918 | — | |||||||||||||
Return of capital | — | — | — | |||||||||||||
Prior period distributions | ||||||||||||||||
Ordinary income | — | — | 1,224 | |||||||||||||
Long-term capital gains | — | — | — | |||||||||||||
Return of capital | — | — | — |
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U.S. MarketMasters Fund | | Small-Cap MarketMasters Fund | | International MarketMasters Fund | | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Capital shares | $ | 1 | $2 | $— | |||||||||||
Undistributed net investment income | (7 | ) | 865 | 9,464 | |||||||||||
Net realized capital gains and losses | 6 | (867 | ) | (9,464 | ) |
(All dollar amounts are × 1,000)
Percentage | ||||||
---|---|---|---|---|---|---|
U.S. MarketMasters Fund | 100 | % | ||||
Small-Cap MarketMasters Fund | 0 | % | ||||
International MarketMasters Fund | 0 | % |
U.S. MarketMasters Fund | $ | 206 | ||||
Small-Cap MarketMasters Fund | — | |||||
International MarketMasters Fund | 11,356 |
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Laudus U.S. MarketMasters Fund
Laudus Small-Cap MarketMasters Fund
Laudus International MarketMasters Fund
San Francisco, California
December 14, 2006
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1. | the nature, extent and quality of the services provided to the funds under the Agreements, including the resources of CSIM and its affiliates, and the Sub-Advisors, dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds and other types of accounts; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates, as well as the profitability of the Sub-Advisors; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreements reflect those economies of scale for the benefit of fund investors. |
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quality of services provided by CSIM since the trustees had last considered approval of the Agreements. The trustees also considered the fact that Schwab’s extensive branch network, Internet access, investment and research tools, telephone services, and array of account features benefit the funds and their shareholders. The trustees also considered Schwab’s excellent reputation as a full service brokerage firm and its overall financial condition. Finally, the trustees considered that the vast majority of the funds’ shareholders are also brokerage clients of Schwab, and that CSIM and its affiliates are uniquely positioned to provide services and support to the funds and such shareholders. The Board also considered the nature, extent and quality of the sub-advisory services provided by the Sub-Advisors to the funds and the resources each dedicates to the funds. In this regard, the trustees evaluated, among other things, each Sub-Advisor’s personnel, experience and compliance program. Following such evaluation, the Board concluded, within the context of its full deliberations, that the nature, extent and quality of services provided by CSIM and the Sub-Advisors to the funds and the resources of CSIM, and its affiliates, and the Sub-Advisors dedicated to the funds supported renewal of the Agreements.
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previously committed resources to minimize the effects on shareholders of diseconomies of scale during periods when fund assets were relatively small through their contractual expense waivers. For example, such diseconomies of scale may particularly affect newer funds or funds with investment strategies that are from time to time out of favor, but shareholders may benefit from the continued availability of such funds at subsidized expense levels. The trustees also considered CSIM’s agreement to contractual investment advisory fee schedules that include lower fees at higher graduated asset levels. The Board also considered certain commitments by CSIM and Schwab that are designed to pass along potential economies of scale to fund shareholders. Specifically, the Board considered CSIM and Schwab’s commitments, which may be changed only with Board approval: (i) to reduce contractual advisory fees or add breakpoints for certain funds, and (ii) to implement, by means of expense limitation agreement, reductions in net overall expenses for certain funds. Based on this evaluation, and in consideration of the commitments made by CSIM and Schwab as discussed above, the Board concluded, within the context of its full deliberations, that the funds obtain reasonable benefit from economies of scale.
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Independent Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996-1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6—Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
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Independent Trustees continued | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer—Fixed Income (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer—Equities (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer—Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust continued | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
1 | Trustees remain in office until they resign, retire or are removed by shareholder vote. The Schwab Funds retirement policy requires that independent trustees elected after January 1, 2000 retire at age 72 or after twenty years of service as a trustee, whichever comes first. Independent trustees elected prior to January 1, 2000 will retire on the following schedule: Messrs. Holmes and Dorward will retire on December 31, 2007, and Messrs. Stephens and Wilsey will retire on December 31, 2010. |
2 | In addition to their employment with the investment adviser and the distributor, Messrs. Schwab and Merk also own stock of The Charles Schwab Corporation. Mr. Schwab and Mr. Merk are Interested Trustees because they are employees of Schwab and/or the adviser. |
3 | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each other officer serves at the pleasure of the Board. |
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An investor should consider a fund’s investment objectives, risks, and charges and expenses carefully before investing or sending money. This and other important information can be found in the fund’s prospectus. Please call 1.800.435.4000 for a prospectus and brochure. Please read the prospectus carefully before you invest. This report must be preceded or accompanied by a current prospectus. Proxy Voting Policies, Procedures and Results A description of the proxy voting policies and procedures used to determine how to vote proxies on behalf of the funds is available without charge, upon request, by visiting Schwab’s website at www.schwab.com/marketmasters, the SEC’s website at http://www.sec.gov, or by contacting Schwab Funds at 1.800.435.4000. Information regarding how a fund voted proxies relating to portfolio securities during the most recent twelve-month period ended June 30 is available, without charge, by visiting Schwab’s website at www.schwab.com/schwabfunds or the SEC’s website at http://www.sec.gov. | The Laudus FundsTM Laudus MarketMasters FundsTM Laudus U.S. MarketMasters FundTM Laudus Small-Cap MarketMasters FundTM Laudus International MarketMasters FundTM Laudus Rosenberg U.S. Equity Funds Laudus Rosenberg U.S. Large Capitalization Fund Laudus Rosenberg U.S. Large Capitalization Growth Fund Laudus Rosenberg U.S. Capitalization Value Fund Laudus Rosenberg U.S. Discovery Fund Laudus Rosenberg U.S. Small Capitalization Growth Fund Laudus Rosenberg Equity Funds Laudus Rosenberg International Equity Fund Laudus Rosenberg International Discovery Fund Laudus Rosenberg International Small Capitalization Fund Laudus Rosenberg Long/Short Funds Laudus Rosenberg U.S. Large/Mid Capitalization Long/Short Equity Fund Laudus Rosenberg Global Long/Short Equity Fund Laudus Rosenberg Value Long/Short Equity Fund The Laudus Funds includes the Laudus Rosenberg Funds, which are part of the Laudus Trust and distributed by Laudus Distributor, Inc.; and the Laudus MarketMasters Funds, which are part of the Schwab Capital Trust, and distributed by Charles Schwab & Co., Inc. |
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Charles Schwab Investment Management, Inc.
101 Montgomery Street, San Francisco, CA 94104
Laudus MarketMasters Funds™
P.O. Box 3812, Englewood, CO 80155-3812
© 2006 Charles Schwab & Co., Inc. All rights reserved. Member SIPC. Printed on recycled paper. | MFR13812-09 |
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(formerly Laudus Balanced MarketMasters Fund™)
October 31, 2006
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Leveraging Schwab’s Advice Perspective.
In this report
Performance at a Glance | 1 |
From the Chairman | 2 |
From the President | 3 |
Investment Environment | 4 |
Schwab Viewpoints Fund™ | 6 |
Fund Expenses | 8 |
Financial Statements | 9 |
Financial Notes | 25 |
Investment Advisory and Sub-Advisory Agreement Approval | 34 |
Trustees and Officers | 37 |
Glossary | 41 |
Select Shares® are available on many Schwab Funds®
Distributor and transfer agent: Charles Schwab & Co., Inc. (Schwab).
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| Total Return for the Report Period | |||
---|---|---|---|---|
Schwab Viewpoints FundTM | ||||
Investor Shares (Ticker Symbol: SWOBX) | 8.59 | % | ||
Select Shares (Ticker Symbol: SWMBX) | 8.79 | % | ||
Benchmark: Balanced Blended Index | 11.80 | % | ||
Fund Category: Morningstar Moderate Allocation | 11.91 | % | ||
Minimum Initial Investment1 | ||||
Investor Shares ($1,000 for retirement, education and custodial accounts) | $ | 2,500 | ||
Select Shares | $ | 50,000 |
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From the Chairman | ||
Charles Schwab Chairman | Dear Shareholder, I founded Schwab over thirty years ago to be a home for serious investors. That mission continues to guide us today as we constantly strive to improve and innovate. By doing this, and providing some of the highest quality products and services — at a competitive price — we remain true to our heritage. I take particular pride in the Schwab Funds. Founded over 15 years ago, Schwab Funds now includes more than 50 funds with over $170 billion in assets. With a variety of investment strategies, Schwab Funds provides a range of innovative investment choices that can serve as a foundation for your asset allocation plan. As part of its investment strategy, some components of the Schwab Viewpoints Fund leverage Schwab Equity Ratings and use the same stock-ranking expertise that has helped Schwab’s model equity portfolio achieve industry recognition in Barron’s annual stock-selection competitions. Schwab Equity Ratings are based upon a disciplined, systematic approach that evaluates approximately 3,000 U.S. stocks on the basis of a wide variety of investment criteria. Schwab Funds are managed by Charles Schwab Investment Management, Inc., one of the largest mutual fund managers in the U.S. Our portfolio managers share a passion for market analysis and use some of the most sophisticated financial models in the country. I am proud of their depth of experience, which reflects an average of 14 years in the investment industry. Furthermore, I am impressed by the commitment that our managers bring to the stewardship of their funds, for you, their shareholders. In closing, I want to thank you for investing with us. We work every day to warrant the trust you have placed in us; that will never change. Sincerely, Charles Schwab Chairman Barron’s awarded Schwab the first-place rank for the five-year period from June 30, 2001 to June 30, 2006, and for the three year period from June 30, 2003 to June 30, 2006, for “best of” stock recommendation lists submitted by certain brokerage firms to Zacks Investment Research, Inc., an independent firm that analyzes broker research. Barron’s also awarded Schwab the first-place rank for the five-year periods from December 31, 2000 to December 31, 2005, and for the three year periods from December 31, 2001 to December 31, 2004, and the 2001 to 2003 for “best of” stock recommendation lists. Schwab’s model performance results are simulated model portfolio performance results, which do not represent actual investment performance or trading. The results of Schwab’s model performance are not an indicator of the returns a Schwab client would have realized or will realize in relying on Schwab Equity Ratings® or for mutual funds that use Schwab Equity Ratings as part of their methodology. For further information about Schwab Equity Ratings, see schwab.com. |
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From the President | ||
Evelyn Dilsaver is President and CEO of Charles Schwab Investment Management, Inc. and the fund covered in this report. She joined the firm in 1992 and has held a variety of executive positions at Schwab. | Dear Shareholder, I am pleased to present the annual report for the Schwab Viewpoints Fund for the period ended October 31, 2006. As previously communicated to shareholders, we implemented several key enhancements to the fund during the report period. We changed the fund’s name to Schwab Viewpoints Fund, to more closely align the fund’s name with its current strategies, which include leveraging the views of Schwab’s Investment Strategy Council. We have also made several changes that we believe will enhance the fund’s ability to take advantage of additional investment opportunities. First, we added an international allocation, which is managed by Harris Associates L.P., in order to harness the performance potential and diversification benefits of international investing. Further, within the fund’s domestic stock allocation, we removed the mid-cap allocation and added large- and small-cap blend allocations. Both of these new allocations are managed by Charles Schwab Investment Management, Inc. (CSIM), the fund’s investment adviser. With this report, you will see that we have recently started an initiative to enhance the presentation of our shareholder reports to make it easier for you to find information about your fund. This book represents the first step in this process, with additional changes anticipated for future report cycles. You will notice, for example, that we have added a new lead page, Performance at a Glance, which includes the fund’s ticker symbols and report period returns for the fund, its benchmark and category average. For ease of reference, we have relocated the fund manager’s discussion to be in close proximity to the fund performance and portfolio statistics sections. At this time, I would like to highlight another valuable information resource for fund shareholders, namely, our website at www.schwabfunds.com. This website contains regular updates about the Schwab Funds. I encourage you to visit the website to stay informed about your fund. I’d like to emphasize that your trust is very important to us and I will do all I can to maintain that trust. Thank you for investing in Schwab Funds. Sincerely, |
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | As the U.S. economy transitioned to slower growth, equities markets rebounded, aided by higher corporate profitability, falling energy/commodity prices, and lower interest rates. The S&P 500 Index returned 16.34% and the Russell 2000 Index returned 19.98%, respectively, for the one-year report period ended October 31, 2006. Improving fundamentals and attractive valuations strengthened investor interest in emerging markets and the MSCI-EAFE (Morgan Stanley Capital International, Inc. Europe, Australasia, and Far East) Index returned 27.52%. Performance in the bond markets has been mixed over the year, although the Lehman Brothers U.S. Aggregate Bond Index gained 5.19%. Several key issues continued to resonate with investors, including slowing economic growth, Federal Reserve (the Fed) policy, a sluggish real estate market, inflation concerns, and fluctuating energy prices. Economic growth has been anything but predictable over the past year. The last quarter of 2005 saw Gross Domestic Product (GDP) slow considerably as the economy adjusted to changes in inventories and higher energy prices. Although Hurricane Katrina remained a focal point in the news late in 2005, its economic impact was determined to be minimal as damage remained contained within the hurricane’s path. In the first quarter of 2006, GDP then rebounded, only to slow later in the year. Though falling existing home sales and lower motor vehicle production have done much to curtail growth in the eyes of the Fed, favorable labor market conditions, sustained increases in labor income, and lower energy prices continued to promote stable growth. The unemployment rate fell to a cyclical low of 4.4% in the third quarter of 2006 while consumer spending and business investment remained key contributors to GDP growth. In efforts to curb inflationary pressures, the Fed raised short-term interest rates six times during the period. August marked a key point in the year as Committee members decided to hold the Fed’s target rate at 5.25%, where it remained as of the end of the report period. In its statement, the Fed noted that the economy appeared |
Asset Class Performance Comparison % returns during the report period | |||||||||
This graph compares the performance of various asset classes during the report period. Final performance figures for the period are in the key below. | |||||||||
n | 16.34% | S&P 500® Index: measures U.S. large-cap stocks. | |||||||
n | 19.98% | Russell 2000® Index: measures U.S. small-cap stocks | |||||||
o | 27.52% | MSCI EAFE® Index: measures (in U.S. dollars) large-cap stocks in Europe, Australasia and the Far East | |||||||
n | 5.19% | Lehman Brothers U.S. Aggregate Bond Index: measures the U.S. bond market |
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to be growing at a more moderate rate as a result of prior rate increases, lagged effects of energy prices, and a cooling of the housing market. The Fed indicated they generally expected the economy to grow at a pace below its potential, which proved to be an accurate prediction. Consistent with the Fed’s report, GDP continued to decline, growing only in the third quarter of 2006.
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Jeffrey Mortimer, CFA, senior vice president and chief investment officer, equities, is responsible for the overall management of the fund. | Schwab Viewpoints Fund Investor Shares (formerly the Laudus Balanced MarketMasters Fund) returned 8.59% for the one-year report period, underperforming its benchmark, the Balanced Blended Index, which was up 11.80%. To meet its goal of providing capital growth and income, the fund invests in a mix of equity and fixed income securities. Accordingly, its performance reflects a blend of the various asset classes’ returns. As previously communicated to shareholders, we implemented several key enhancements to the fund during the report period. We added an international allocation, which is managed by Harris Associates L.P., in order to take advantage of the performance potential and diversification benefits of international investing. Further, we removed the mid-cap allocation and added large- and small-cap blend allocations, both of which are managed by CSIM, the fund’s investment adviser. These changes became effective May 1, 2006. The fund was generally overweight in stocks during the report period, as we believed stocks would have potential for higher returns. On the domestic side, TCW Investment Management Company, with a large-cap value focus, outperformed its benchmark, the Russell 1000 Value Index. Gardner Lewis Asset Management L.P., whose focus is on large-cap growth stocks, underperformed relative to its benchmark, the Russell 1000 Growth Index. The fund’s underperformance can be attributed to weak stock selection, with holdings in Boston Scientific Corp. and St. Jude Medical, Inc. detracting from return. As noted above, the period was one of transition. Since May 1, 2006, CSIM’s large- and small-cap blend allocations have outperformed their respective S&P 500 and S&P 600 benchmarks. Additionally, Harris’ allocation to the international markets has outperformed its MSCI EAFE benchmark. During the report period, bond yields rose in line with Fed rate hikes and the yield curve became inverted. Towards the end of the period, economic news suggested inflation was receding and growth was slowing, causing bond yields to decline. With the exception of short term rates, the net change in yields throughout the period remained relatively slight. The fund’s fixed income allocation, which is managed by PIMCO (Pacific Investment Management Company LLC), outperformed its benchmark, the Lehman Brothers U.S. Aggregate Bond Index, for the report period. |
Statistics | ||||
Number of Long Holdings | 429 | |||
Number of Short Positions | 8 | |||
Weighted Average Market Cap ($ x 1,000,000) | 42,378 | |||
Price/Earnings Ratio (P/E) | 21.7 | |||
Price/Book Ratio (P/B) | 2.7 | |||
Sector Weightings % of Investments | ||||
Consumer Discretionary | 21.7 | % | ||
Financials | 18.0 | % | ||
Information Technology | 14.7 | % | ||
Health Care | 14.4 | % | ||
Consumer Staples | 10.5 | % | ||
Industrials | 7.9 | % | ||
Telecommunication Services | 4.4 | % | ||
Materials | 4.3 | % | ||
Energy | 2.7 | % | ||
Utilities | 1.4 | % | ||
Total | 100.0 | % | ||
Top Holdings % of Net Assets1 | ||||
Fannie Mae 5.50%, 09/01/34 | 2.7 | % | ||
Fannie Mae 5.00%, 02/01/36 | 1.9 | % | ||
U.S. Treasury Inflation Protected Security 3.38%, 01/15/07 | 1.7 | % | ||
Fannie Mae 5.50%, 11/01/34 | 1.6 | % | ||
Fannie Mae TBA 6.00%, 12/01/99 | 1.3 | % | ||
U.S. Treasury Note 4.00%, 06/15/09 | 1.3 | % | ||
Fannie Mae 5.50%, 04/01/35 | 1.1 | % | ||
Fannie Mae 5.50%, 02/01/35 | 1.1 | % | ||
American Express Co. | 0.8 | % | ||
U.S. Treasury Note 5.13%, 06/30/11 | 0.7 | % | ||
Total | 14.2 | % |
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Performance of a Hypothetical $10,000 Investment in Investor Shares1 | Performance of a Hypothetical $50,000 Investment in Select Shares1 | |||
Average Annual Total Returns1,2 | ||||||
Fund Class and Inception Date | 1 Year | 5 Years | Since Inception | |||
Investor Shares (11/18/96) | 8.59% | 7.84% | 7.54% | |||
Select SharesT (6/3/04) | 8.79% | n/a | 8.57% | |||
Benchmark: Balanced Blended Index | 11.80% | 6.42% | (11/18/96) 7.72% (6/3/04) 8.35% | |||
Fund Category: Morningstar Moderate Allocation | 11.91% | 6.62% | (11/18/96) 6.86% (6/3/04) 9.34% |
Investment Managers and Allocations | |||||||||
Investment Manager | Investment Style | % Net Assets | |||||||
Charles Schwab Investment Management, Inc. | Large-Cap Blend | 3.0 | % | ||||||
Gardner Lewis Asset Management L.P. | Large-Cap Growth | 14.8 | % | ||||||
TCW Investment Management Company | Large-Cap Value | 18.0 | % | ||||||
Charles Schwab Investment Management, Inc. | Small-Cap Blend | 7.4 | % | ||||||
Harris Associates L.P. | International Value | 16.1 | % | ||||||
Pacific Investment Management Company LLC | Fixed-Income Total Return | 29.7 | % | ||||||
Charles Schwab Investment Management, Inc. | Overlay | 4.8 | % |
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Examples for a $1,000 Investment |
| Expense Ratio1 (Annualized) | | Beginning Account Value at 5/1/06 | | Ending Account Value (Net of Expenses) at 10/31/06 | | Expenses Paid2 During Period 5/1/06–10/31/06 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schwab Viewpoints Fund™ | ||||||||||||||||
Investor Shares | ||||||||||||||||
Actual Return | 0.96 | % | $ | 1,000 | $ | 1,009.00 | $ | 4.86 | ||||||||
Hypothetical 5% Return | 0.96 | % | $ | 1,000 | $ | 1,020.37 | $ | 4.89 | ||||||||
Select Shares® | ||||||||||||||||
Actual Return | 0.74 | % | $ | 1,000 | $ | 1,010.60 | $ | 3.75 | ||||||||
Hypothetical 5% Return | 0.74 | % | $ | 1,000 | $ | 1,021.48 | $ | 3.77 |
1 | Based on the most recent six-month expense ratio; may differ from the expense ratio provided in Financial Highlights. |
2 | Expenses for the share class are equal to its annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days of the period, and divided by 365 days of the fiscal year. |
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Investor Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 11/1/03— 10/31/04 | 11/1/02— 10/31/03 | 11/1/01— 10/31/02 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||||||||||
Net asset value at beginning of period | 12.85 | 11.88 | 11.07 | 9.35 | 10.12 | |||||||||||||||
Income or loss from investment operations: | ||||||||||||||||||||
Net investment income | 0.25 | 4 | 0.15 | 0.08 | 0.12 | 0.20 | ||||||||||||||
Net realized and unrealized gains or losses | 0.83 | 4 | 0.91 | 0.86 | 1.75 | (0.73 | ) | |||||||||||||
Total income or loss from investment operations | 1.08 | 1.06 | 0.94 | 1.87 | (0.53 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.16 | ) | (0.09 | ) | (0.13 | ) | (0.15 | ) | (0.24 | ) | ||||||||||
Distributions from net realized gains | (0.38 | ) | — | — | — | — | ||||||||||||||
Total distributions | (0.54 | ) | (0.09 | ) | (0.13 | ) | (0.15 | ) | (0.24 | ) | ||||||||||
Net asset value at end of period | 13.39 | 12.85 | 11.88 | 11.07 | 9.35 | |||||||||||||||
Total return (%) | 8.59 | 8.92 | 8.59 | 20.25 | (5.55 | ) | ||||||||||||||
Ratios/Supplemental Data (%) | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net operating expenses | 1.03 | 3 | 1.10 | 1.10 | 1.10 | 0.76 | 1,2 | |||||||||||||
Gross operating expenses | 1.26 | 1.27 | 1.32 | 1.33 | 1.10 | 2 | ||||||||||||||
Net investment income | 1.90 | 1.14 | 0.68 | 1.13 | 1.89 | |||||||||||||||
Portfolio turnover rate | 244 | 283 | 242 | 256 | 380 | |||||||||||||||
Net assets, end of period ($ x 1,000,000) | 122 | 130 | 130 | 109 | 97 |
1 | The ratio of net operating expenses would have been 0.72% if certain non-routine expenses (proxy fees) had not been included. |
2 | Prior to the fund’s change in structure of June 3, 2002, the expenses incurred by underlying funds in which the fund invested were not included in this ratio. |
3 | The ratio of net operating expenses would have been 1.10% if custody credits or dividend and interest expenses on short sales had not been included. |
4 | Calculated based on the average shares outstanding during the period. |
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Select Shares | 11/1/05— 10/31/06 | 11/1/04— 10/31/05 | 6/3/041— 10/31/04 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Per-Share Data ($) | ||||||||||||
Net asset value at beginning of period | 12.87 | 11.89 | 11.57 | |||||||||
Income from investment operations: | ||||||||||||
Net investment income | 0.29 | 5 | 0.15 | 0.02 | ||||||||
Net realized and unrealized gains | 0.82 | 5 | 0.93 | 0.30 | ||||||||
Total income from investment operations | 1.11 | 1.08 | 0.32 | |||||||||
Less distributions: | ||||||||||||
Dividends from net investment income | (0.19 | ) | (0.10 | ) | — | |||||||
Distributions from net realized gains | (0.38 | ) | — | — | ||||||||
Total distributions | (0.57 | ) | (0.10 | ) | — | |||||||
Net asset value at end of period | 13.41 | 12.87 | 11.89 | |||||||||
Total return (%) | 8.79 | 9.11 | 2.77 | 2 | ||||||||
Ratios/Supplemental Data (%) | ||||||||||||
Ratios to average net assets: | ||||||||||||
Net operating expenses | 0.81 | 4 | 0.95 | 0.95 | 3 | |||||||
Gross operating expenses | 1.24 | 1.22 | 1.29 | 3 | ||||||||
Net investment income | 2.21 | 1.32 | 0.73 | 3 | ||||||||
Portfolio turnover rate | 244 | 283 | 242 | 2 | ||||||||
Net assets, end of period ($ x 1,000,000) | 28 | 9 | 2 |
1 | Commencement of operations. |
2 | Not annualized. |
3 | Annualized. |
4 | The ratio of net operating expenses would have been 0.95% if custody credits or dividend and interest expenses on short sales had not been included. |
5 | Calculated based on the average shares outstanding during the period. |
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Holdings by Category | Cost ($ x 1,000) | | Value ($ x 1,000) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
43.5% | Common Stock | 56,469 | 65,311 | ||||||||||
15.5% | Foreign Common Stock | 22,625 | 23,310 | ||||||||||
8.6% | U.S. Treasury Obligations | 12,846 | 12,862 | ||||||||||
0.5% | Foreign Government Securities | 616 | 704 | ||||||||||
1.5% | Corporate Bonds | 2,146 | 2,159 | ||||||||||
0.6% | Municipal Bonds | 705 | 814 | ||||||||||
0.5% | Asset-Backed Obligations | 800 | 800 | ||||||||||
18.0% | Mortgage-Backed Securities | 27,190 | 26,985 | ||||||||||
0.6% | Non-Agency Mortgage-Backed Securities | 855 | 851 | ||||||||||
9.7% | Short-Term Investment | 14,582 | 14,582 | ||||||||||
4.1% | Other Investments | 6,028 | 6,225 | ||||||||||
0.1% | Options | 180 | 201 | ||||||||||
103.2% | Total Investments | 145,042 | 154,804 | ||||||||||
(11.9)% | Short Sales | (17,041 | ) | (17,780 | ) | ||||||||
—% | Options Written | (44 | ) | (73 | ) | ||||||||
8.7% | Other Assets and Liabilities | 13,095 | |||||||||||
100.0% | Net Assets | 150,046 |
Security | Number of Shares | Value ($ x 1,000) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Common Stock 43.5% of net assets | |||||||||||
Automobiles & Components 0.6% | |||||||||||
ArvinMeritor, Inc. (a) | 230 | 3 | |||||||||
General Motors Corp. (a) | 5,800 | 203 | |||||||||
Honda Motor Co., Ltd. (a) | 12,600 | 445 | |||||||||
TRW Automotive Holdings Corp. (a)* | 4,260 | 109 | |||||||||
Winnebago Industries, Inc. | 2,970 | 99 | |||||||||
859 | |||||||||||
Banks 0.8% | |||||||||||
BancFirst Corp. | 280 | 14 | |||||||||
BancorpSouth, Inc. (a) | 480 | 12 | |||||||||
Bank of Hawaii Corp. (a) | 3,270 | 171 | |||||||||
Comerica, Inc. (a) | 810 | 47 | |||||||||
Fannie Mae (a) | 11,600 | 687 | |||||||||
KeyCorp (a) | 810 | 30 | |||||||||
Radian Group, Inc. (a) | 2,170 | 116 | |||||||||
Whitney Holding Corp. (a) | 1,690 | 55 | |||||||||
1,132 | |||||||||||
Capital Goods 2.4% | |||||||||||
Acuity Brands, Inc. (a) | 3,310 | 164 | |||||||||
American Woodmark Corp. (a) | 3,390 | 125 | |||||||||
Belden CDT, Inc. | 510 | 19 | |||||||||
Crane Co. (a) | 6,280 | 245 | |||||||||
Danaher Corp. (a) | 6,600 | 474 | |||||||||
EMCOR Group, Inc. (a)* | 5,870 | 347 | |||||||||
Emerson Electric Co. (a) | 335 | 28 | |||||||||
General Dynamics Corp. (a) | 185 | 13 | |||||||||
Honeywell International, Inc. (a) | 12,200 | 514 | |||||||||
Lockheed Martin Corp. (a) | 2,210 | 192 | |||||||||
Orbital Sciences Corp. (a)* | 2,900 | 53 | |||||||||
Raytheon Co. (a) | 2,470 | 123 | |||||||||
Robbins & Myers, Inc. | 510 | 20 | |||||||||
Teleflex, Inc. (a) | 5,130 | 319 | |||||||||
The Boeing Co. (a) | 5,000 | 399 | |||||||||
Thomas & Betts Corp. (a)* | 3,690 | 190 | |||||||||
Tyco International Ltd. (a) | 7,800 | 230 | |||||||||
Valmont Industries, Inc. (a) | 1,740 | 97 | |||||||||
3,552 | |||||||||||
Commercial Services & Supplies 0.6% | |||||||||||
Administaff, Inc. (a) | 1,790 | 62 | |||||||||
AMREP Corp. (a)* | 500 | 36 | |||||||||
CBIZ, Inc. (a)* | 10,410 | 73 | |||||||||
Consolidated Graphics, Inc. (a)* | 2,940 | 183 | |||||||||
Equifax, Inc. (a) | 80 | 3 | |||||||||
Heidrick & Struggles International, Inc. (a)* | 2,960 | 121 | |||||||||
IKON Office Solutions, Inc. | 150 | 2 | |||||||||
Labor Ready, Inc. (a)* | 2,280 | 40 | |||||||||
Spherion Corp. (a)* | 4,790 | 35 | |||||||||
Steelcase, Inc., Class A (a) | 1,030 | 17 | |||||||||
The Standard Register Co. (a) | 1,570 | 21 | |||||||||
Waste Management, Inc. (a) | 8,500 | 318 | |||||||||
911 | |||||||||||
Consumer Durables & Apparel 1.4% | |||||||||||
Blyth, Inc. (a) | 7,730 | 185 | |||||||||
Coach, Inc.* | 5,700 | 226 | |||||||||
Hasbro, Inc. | 700 | 18 | |||||||||
Kellwood Co. (a) | 10,470 | 320 | |||||||||
Mattel, Inc. (a) | 22,900 | 518 | |||||||||
Newell Rubbermaid, Inc. (a) | 2,280 | 66 | |||||||||
Nike, Inc., Class B (a) | 2,500 | 230 | |||||||||
Sony Corp. (a) | 14,000 | 574 | |||||||||
2,137 | |||||||||||
Consumer Services 0.8% | |||||||||||
Career Education Corp. (a)* | 2,040 | 45 | |||||||||
CPI Corp. (a) | 1,580 | 75 | |||||||||
DeVry, Inc.* | 840 | 20 | |||||||||
IHOP Corp. (a) | 540 | 28 | |||||||||
Jack in the Box, Inc. (a)* | 940 | 53 | |||||||||
Papa John’s International, Inc. (a)* | 3,120 | 115 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. (a) | 5,500 | 329 | |||||||||
Wynn Resorts Ltd. (a)* | 6,900 | 507 | |||||||||
1,172 |
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Security | Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Diversified Financials 4.2% | |||||||||
American Capital Strategies Ltd. (a) | 10,800 | 466 | |||||||
American Express Co. (a) | 19,630 | 1,134 | |||||||
AmeriCredit Corp. (a)* | 260 | 7 | |||||||
Capital One Financial Corp. (a) | 13,300 | 1,055 | |||||||
Chicago Mercantile Exchange Holdings, Inc. (a) | 1,011 | 506 | |||||||
Franklin Resources, Inc. (a) | 1,450 | 165 | |||||||
Investment Technology Group, Inc. (a)* | 3,930 | 184 | |||||||
JPMorgan Chase & Co. (a) | 21,230 | 1,007 | |||||||
Mellon Financial Corp. (a) | 200 | 8 | |||||||
Merrill Lynch & Co., Inc. (a) | 10,300 | 900 | |||||||
Moody’s Corp. (a) | 110 | 7 | |||||||
Northern Trust Corp. (a) | 150 | 9 | |||||||
The Goldman Sachs Group, Inc. (a) | 4,350 | 826 | |||||||
6,274 | |||||||||
Energy 1.6% | |||||||||
ChevronTexaco Corp. (a) | 10,200 | 685 | |||||||
ConocoPhillips (a) | 9,900 | 596 | |||||||
Exxon Mobil Corp. (a) | 2,920 | 209 | |||||||
Parker Drilling Co. (a)* | 9,560 | 78 | |||||||
Pride International, Inc.* | 780 | 22 | |||||||
Valero Energy Corp. (a) | 6,205 | 325 | |||||||
Veritas DGC, Inc. (a)* | 7,220 | 520 | |||||||
2,435 | |||||||||
Food & Staples Retailing 0.8% | |||||||||
Costco Wholesale Corp. | 5,600 | 299 | |||||||
CVS Corp. (a) | 18,700 | 587 | |||||||
Sysco Corp. (a) | 10,000 | 350 | |||||||
1,236 | |||||||||
Food, Beverage & Tobacco 1.6% | |||||||||
Campbell Soup Co. (a) | 27,000 | 1,009 | |||||||
ConAgra Foods, Inc. (a) | 2,890 | 75 | |||||||
General Mills, Inc. (a) | 170 | 10 | |||||||
Kraft Foods, Inc., Class A (a) | 20,200 | 695 | |||||||
Reynolds American, Inc. (a) | 620 | 39 | |||||||
The Coca-Cola Co. (a) | 2,270 | 106 | |||||||
The Hershey Co. (a) | 8,900 | 471 | |||||||
2,405 | |||||||||
Health Care Equipment & Services 4.6% | |||||||||
Aetna, Inc. (a) | 13,215 | 545 | |||||||
Alcon, Inc. (a) | 3,800 | 403 | |||||||
Alliance Imaging, Inc. (a)* | 1,060 | 9 | |||||||
AMERIGROUP Corp. (a)* | 3,150 | 94 | |||||||
AmerisourceBergen Corp. (a) | 1,185 | 56 | |||||||
Baxter International, Inc. (a) | 7,200 | 331 | |||||||
Becton Dickinson & Co. (a) | 590 | 41 | |||||||
Boston Scientific Corp. (a)* | 51,102 | 813 | |||||||
Caremark Rx, Inc. (a) | 7,900 | 389 | |||||||
CIGNA Corp. (a) | 6,200 | 725 | |||||||
CorVel Corp. (a)* | 1,610 | 70 | |||||||
Humana, Inc. (a)* | 12,835 | 770 | |||||||
Magellan Health Services, Inc. (a)* | 7,500 | 327 | |||||||
McKesson Corp. (a) | 1,560 | 78 | |||||||
MedCath Corp. (a)* | 4,750 | 126 | |||||||
Medco Health Solutions, Inc. (a)* | 7,600 | 407 | |||||||
Mentor Corp. (a) | 6,270 | 293 | |||||||
Molina Healthcare, Inc. (a)* | 1,840 | 72 | |||||||
Sierra Health Services, Inc. (a)* | 8,380 | 287 | |||||||
St. Jude Medical, Inc. (a)* | 8,200 | 282 | |||||||
Tenet Healthcare Corp. (a)* | 110,630 | 781 | |||||||
WellPoint, Inc. (a)* | 260 | 20 | |||||||
Zoll Medical Corp. (a)* | 720 | 28 | |||||||
6,947 | |||||||||
Household & Personal Products 1.8% | |||||||||
Avon Products, Inc. (a) | 15,600 | 474 | |||||||
Kimberly-Clark Corp. (a) | 8,600 | 572 | |||||||
NBTY, Inc. (a)* | 38,130 | 1,061 | |||||||
Procter & Gamble Co. (a) | 9,600 | 609 | |||||||
2,716 | |||||||||
Insurance 2.4% | |||||||||
Alleghany Corp. (a)* | 240 | 73 | |||||||
American Financial Group, Inc. (a) | 3,320 | 159 | |||||||
American International Group, Inc. (a) | 7,300 | 490 | |||||||
American Physicians Capital, Inc. (a)* | 790 | 43 | |||||||
AON Corp. (a) | 100 | 4 | |||||||
Argonaut Group, Inc.* | 240 | 8 | |||||||
CNA Surety Corp. (a)* | 120 | 2 | |||||||
Delphi Financial Group, Inc., Class A (a) | 1,200 | 47 | |||||||
FBL Financial Group, Inc., Class A (a) | 1,020 | 36 | |||||||
FPIC Insurance Group, Inc.* | 100 | 4 | |||||||
Great American Financial Resources, Inc. (a) | 280 | 6 | |||||||
Harleysville Group, Inc. (a) | 1,380 | 50 | |||||||
LandAmerica Financial Group, Inc. (a) | 610 | 39 | |||||||
Loews Corp. (a) | 1,330 | 52 | |||||||
MetLife, Inc. (a) | 11,180 | 639 | |||||||
Nationwide Financial Services, Inc., Class A (a) | 1,930 | 98 | |||||||
Philadelphia Consolidated Holding Corp. (a)* | 1,590 | 62 | |||||||
Principal Financial Group, Inc. (a) | 2,080 | 118 | |||||||
Protective Life Corp. (a) | 330 | 15 | |||||||
Safety Insurance Group, Inc. (a) | 3,260 | 163 | |||||||
Selective Insurance Group, Inc. (a) | 840 | 46 | |||||||
StanCorp Financial Group, Inc. (a) | 620 | 28 | |||||||
State Auto Financial Corp. (a) | 900 | 29 | |||||||
The Chubb Corp. (a) | 11,950 | 635 | |||||||
The St. Paul Travelers Cos., Inc. (a) | 13,500 | 690 | |||||||
Universal American Financial Corp.* | 360 | 7 | |||||||
W. R. Berkley Corp. (a) | 710 | 26 | |||||||
3,569 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Materials 1.7% | |||||||||
AK Steel Holding Corp. (a)* | 5,350 | 80 | |||||||
Carpenter Technology Corp. (a) | 440 | 47 | |||||||
Crown Holdings, Inc. (a)* | 540 | 10 | |||||||
FMC Corp. (a) | 420 | 29 | |||||||
Greif, Inc., Class A (a) | 3,710 | 348 | |||||||
H.B. Fuller Co. (a) | 7,530 | 187 | |||||||
Hercules, Inc. (a)* | 4,550 | 83 | |||||||
International Paper Co. (a) | 1,225 | 41 | |||||||
MeadWestvaco Corp. (a) | 18,100 | 498 | |||||||
Monsanto Co. (a) | 10,000 | 442 | |||||||
Nucor Corp. (a) | 900 | 53 | |||||||
OM Group, Inc.* | 1,480 | 84 | |||||||
Packaging Corp. of America (a) | 480 | 11 | |||||||
Pactiv Corp.* | 1,220 | 38 | |||||||
Phelps Dodge Corp. | 130 | 13 | |||||||
Rohm & Haas Co. (a) | 1,585 | 82 | |||||||
Silgan Holdings, Inc. (a) | 3,150 | 130 | |||||||
Spartech Corp. (a) | 3,150 | 86 | |||||||
Temple-Inland, Inc. (a) | 340 | 13 | |||||||
The Lubrizol Corp. (a) | 380 | 17 | |||||||
United States Steel Corp. (a) | 4,200 | 284 | |||||||
2,576 | |||||||||
Media 2.4% | |||||||||
CBS Corp., Class B (a) | 260 | 8 | |||||||
Clear Channel Communications, Inc. (a) | 16,300 | 568 | |||||||
Comcast Corp. (a)* | 21,300 | 862 | |||||||
Comcast Corp., Class A (a)* | 10,500 | 427 | |||||||
LodgeNet Entertainment Corp.* | 100 | 2 | |||||||
Omnicom Group, Inc. (a) | 885 | 90 | |||||||
Readers Digest Association, Inc., Class A (a) | 22,000 | 316 | |||||||
The Interpublic Group of Cos., Inc. (a)* | 12,800 | 140 | |||||||
The McGraw-Hill Cos., Inc. (a) | 1,010 | 65 | |||||||
The Walt Disney Co. (a) | 13,800 | 434 | |||||||
Time Warner, Inc. (a) | 31,990 | 640 | |||||||
3,552 | |||||||||
Pharmaceuticals & Biotechnology 2.5% | |||||||||
Applied Biosystems Group-Applera Corp. (a) | 2,180 | 81 | |||||||
Biogen Idec, Inc. (a)* | 200 | 10 | |||||||
Bruker BioSciences Corp. (a)* | 4,280 | 34 | |||||||
GlaxoSmithKline plc (a) | 7,600 | 405 | |||||||
King Pharmaceuticals, Inc. (a)* | 2,660 | 44 | |||||||
Maxygen, Inc. (a)* | 1,460 | 12 | |||||||
Merck & Co., Inc. (a) | 3,380 | 154 | |||||||
Millennium Pharmaceuticals, Inc. (a)* | 40,500 | 474 | |||||||
Pfizer, Inc. (a) | 25,820 | 688 | |||||||
Sanofi-Aventis | 10,300 | 440 | |||||||
Teva Pharmaceutical Industries Ltd. (a) | 13,800 | 455 | |||||||
Watson Pharmaceuticals, Inc. (a)* | 14,000 | 377 | |||||||
Wyeth (a) | 12,215 | 623 | |||||||
3,797 | |||||||||
Retailing 1.8% | |||||||||
American Eagle Outfitters, Inc. (a) | 700 | 32 | |||||||
Bed, Bath & Beyond, Inc. (a)* | 7,300 | 294 | |||||||
Best Buy Co., Inc. (a) | 11,200 | 619 | |||||||
Blockbuster, Inc., Class A (a)* | 3,300 | 13 | |||||||
Federated Department Stores, Inc. (a) | 7,400 | 325 | |||||||
J.C. Penney Co., Inc. (a) | 5,560 | 418 | |||||||
Office Depot, Inc. (a)* | 10,970 | 461 | |||||||
Payless Shoesource, Inc. (a)* | 5,740 | 153 | |||||||
The Cato Corp., Class A (a) | 110 | 2 | |||||||
The Gymboree Corp. (a)* | 1,050 | 49 | |||||||
The Men’s Wearhouse, Inc. (a) | 7,500 | 299 | |||||||
Wetseal, Inc., Class A (a)* | 7,800 | 49 | |||||||
2,714 | |||||||||
Semiconductors & Semiconductor Equipment 2.1% | |||||||||
Agere Systems, Inc. (a)* | 160 | 3 | |||||||
Applied Materials, Inc. (a) | 26,120 | 454 | |||||||
Asyst Technologies, Inc. (a)* | 5,310 | 39 | |||||||
Broadcom Corp., Class A (a)* | 15,150 | 459 | |||||||
Cirrus Logic, Inc. (a)* | 3,030 | 21 | |||||||
Fairchild Semiconductor International, Inc. (a)* | 3,780 | 61 | |||||||
Intel Corp. (a) | 34,500 | 736 | |||||||
Intersil Corp., Class A (a) | 10,700 | 251 | |||||||
MEMC Electronic Materials, Inc. (a)* | 18,300 | 650 | |||||||
Microchip Technology, Inc. (a) | 12,300 | 405 | |||||||
Micron Technology, Inc. (a)* | 410 | 6 | |||||||
MKS Instruments, Inc. (a)* | 2,090 | 45 | |||||||
Texas Instruments, Inc. (a) | 1,370 | 41 | |||||||
Zoran Corp. (a)* | 350 | 5 | |||||||
3,176 | |||||||||
Software & Services 2.3% | |||||||||
Adobe Systems, Inc. (a)* | 11,800 | 451 | |||||||
Advent Software, Inc. (a)* | 160 | 6 | |||||||
Ariba, Inc.* | 740 | 6 | |||||||
Aspen Technology, Inc. (a)* | 1,040 | 10 | |||||||
Autodesk, Inc. (a)* | 680 | 25 | |||||||
BMC Software, Inc. (a)* | 1,260 | 38 | |||||||
Covansys Corp. (a)* | 2,680 | 63 | |||||||
CSG Systems International, Inc. (a)* | 10,210 | 276 | |||||||
Electronic Data Systems Corp. (a) | 20,490 | 519 | |||||||
Forrester Research, Inc. (a)* | 3,730 | 117 | |||||||
Global Payments, Inc. (a) | 4,220 | 185 | |||||||
Google, Inc., Class A (a)* | 2,186 | 1,041 | |||||||
Hyperion Solutions Corp. (a)* | 740 | 28 | |||||||
i2 Technologies, Inc. (a)* | 510 | 10 | |||||||
Interwoven, Inc. (a)* | 2,330 | 30 | |||||||
Intuit, Inc. (a)* | 690 | 24 | |||||||
Lightbridge, Inc. (a)* | 6,130 | 71 | |||||||
McAfee, Inc.* | 730 | 21 | |||||||
SonicWALL, Inc. (a)* | 5,090 | 53 | |||||||
SPSS, Inc. (a)* | 950 | 26 | |||||||
Sybase, Inc. (a)* | 6,550 | 160 | |||||||
Sykes Enterprises, Inc. (a)* | 9,950 | 202 | |||||||
Synopsys, Inc. (a)* | 4,850 | 109 | |||||||
Tyler Technologies, Inc. (a)* | 210 | 3 | |||||||
3,474 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Technology Hardware & Equipment 3.9% | |||||||||
AVX Corp. (a) | 3,400 | 54 | |||||||
Brocade Communications Systems, Inc. (a)* | 9,210 | 75 | |||||||
Carrier Access Corp. (a)* | 1,630 | 10 | |||||||
Coherent, Inc. (a)* | 5,580 | 180 | |||||||
Corning, Inc. (a)* | 24,200 | 494 | |||||||
Emulex Corp. (a)* | 1,270 | 24 | |||||||
Hewlett-Packard Co. (a) | 27,500 | 1,065 | |||||||
Imation Corp. (a) | 2,820 | 129 | |||||||
International Business Machines Corp. (a) | 8,830 | 815 | |||||||
Lexmark International, Inc., Class A (a)* | 180 | 11 | |||||||
Littelfuse, Inc. (a)* | 4,430 | 150 | |||||||
Lucent Technologies, Inc. (a)* | 191,400 | 465 | |||||||
Motorola, Inc. (a) | 1,320 | 30 | |||||||
NCR Corp. (a)* | 445 | 19 | |||||||
Photon Dynamics, Inc. (a)* | 420 | 5 | |||||||
Planar Systems, Inc. (a)* | 4,330 | 52 | |||||||
QUALCOMM, Inc. (a) | 13,100 | 477 | |||||||
Rofin-Sinar Technologies, Inc. (a)* | 430 | 27 | |||||||
Solectron Corp. (a)* | 101,540 | 339 | |||||||
Staktek Holdings, Inc. (a)* | 8,160 | 50 | |||||||
Sun Microsystems, Inc. (a)* | 121,100 | 658 | |||||||
UTStarcom, Inc. (a)* | 15,680 | 169 | |||||||
Xerox Corp. (a)* | 33,080 | 562 | |||||||
5,860 | |||||||||
Telecommunication Services 1.4% | |||||||||
AT&T Corp. (a) | 22,700 | 777 | |||||||
Broadwing Corp. (a)* | 5,810 | 87 | |||||||
Citizens Communications Co. (a) | 5,385 | 79 | |||||||
CT Communications, Inc. (a) | 2,260 | 53 | |||||||
Qwest Communications International, Inc. (a)* | 116,180 | 1,003 | |||||||
Verizon Communications, Inc. | 390 | 14 | |||||||
2,013 | |||||||||
Transportation 1.0% | |||||||||
AMR Corp. (a)* | 1,980 | 56 | |||||||
Con-way, Inc. (a) | 6,300 | 297 | |||||||
Continental Airlines, Inc., Class B (a)* | 2,170 | 80 | |||||||
CSX Corp. (a) | 30,170 | 1,076 | |||||||
Hub Group, Inc., Class A (a)* | 1,740 | 48 | |||||||
1,557 | |||||||||
Utilities 0.8% | |||||||||
Allete, Inc. (a) | 1,990 | 90 | |||||||
American Electric Power Co., Inc. (a) | 12,400 | 514 | |||||||
Edison International (a) | 680 | 30 | |||||||
FirstEnergy Corp. (a) | 500 | 30 | |||||||
The AES Corp. (a)* | 790 | 17 | |||||||
TXU Corp. (a) | 8,970 | 566 | |||||||
1,247 | |||||||||
Foreign Common Stock 15.5% of net assets | |||||||||
Australia 0.2% | |||||||||
Banks 0.2% | |||||||||
Australia and New Zealand Banking Group Ltd. | 13,900 | 311 | |||||||
France 1.4% | |||||||||
Automobiles & Components 0.3% | |||||||||
Compagnie Generale des Etablissements Michelin, Class B | 4,800 | 391 | |||||||
Banks 0.1% | |||||||||
BNP Paribas | 1,900 | 209 | |||||||
Media 0.9% | |||||||||
Publicis Groupe S.A. | 11,000 | 425 | |||||||
Vivendi Universal S.A. | 12,600 | 477 | |||||||
Societe Television Francaise 1 | 13,900 | 472 | |||||||
1,374 | |||||||||
Pharmaceuticals & Biotechnology 0.1% | |||||||||
Sanofi-Aventis | 2,400 | 204 | |||||||
2,178 | |||||||||
Germany 1.9% | |||||||||
Automobiles & Components 1.0% | |||||||||
DaimlerChrysler AG | 16,800 | 961 | |||||||
Bayerische Motoren Werke (BMW) AG | 10,500 | 604 | |||||||
1,565 | |||||||||
Food & Staples Retailing 0.2% | |||||||||
Metro AG | 4,500 | 268 | |||||||
Household & Personal Products 0.2% | |||||||||
Henkel KGaA | 2,500 | 300 | |||||||
Insurance 0.5% | |||||||||
Hannover Rueckversicherung AG* | 18,600 | 790 | |||||||
2,923 | |||||||||
Hong Kong 0.1% | |||||||||
Retailing 0.1% | |||||||||
Giordano International Ltd. | 330,000 | 165 | |||||||
Ireland 0.4% | |||||||||
Banks 0.4% | |||||||||
Bank of Ireland | 30,200 | 605 |
Table of Contents
Security | Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Japan 1.6% | |||||||||
Automobiles & Components 0.2% | |||||||||
Honda Motor Co., Ltd. | 6,600 | 233 | |||||||
Diversified Financials 0.3% | |||||||||
Daiwa Securities Group, Inc. | 39,000 | 441 | |||||||
Household & Personal Products 0.3% | |||||||||
Kao Corp. | 8,000 | 210 | |||||||
Uni-Charm Corp. | 4,900 | 273 | |||||||
483 | |||||||||
Pharmaceuticals & Biotechnology 0.1% | |||||||||
Takeda Pharmaceutical Co., Ltd. | 3,400 | 218 | |||||||
Semiconductors & Semiconductor Equipment 0.4% | |||||||||
Rohm Co., Ltd. | 5,900 | 542 | |||||||
Telecommunication Services 0.3% | |||||||||
NTT DoCoMo, Inc. | 290 | 442 | |||||||
2,359 | |||||||||
Mexico 0.1% | |||||||||
Media 0.1% | |||||||||
Grupo Televisa SA de CV, ADR (a) | 7,000 | 173 | |||||||
Netherlands 0.4% | |||||||||
Consumer Durables & Apparel 0.3% | |||||||||
Koninklijke (Royal) Philips Electronics N.V. | 15,000 | 522 | |||||||
Materials 0.1% | |||||||||
Akzo Nobel N.V. | 2,900 | 163 | |||||||
685 | |||||||||
Republic of Korea 0.6% | |||||||||
Telecommunication Services 0.6% | |||||||||
SK Telecom Co., Ltd. | 3,900 | 845 | |||||||
Singapore 0.2% | |||||||||
Banks 0.2% | |||||||||
United Overseas Bank Ltd. | 22,300 | 253 | |||||||
Spain 0.4% | |||||||||
Media 0.4% | |||||||||
Gestevision Telecinco S.A. | 22,500 | 591 | |||||||
Switzerland 3.3% | |||||||||
Commercial Services & Supplies 0.5% | |||||||||
Adecco S.A. | 11,200 | 691 | |||||||
Consumer Durables & Apparel 0.3% | |||||||||
Swatch Group AG | 1,900 | 375 | |||||||
Diversified Financials 1.0% | |||||||||
Credit Suisse Group | 11,300 | 681 | |||||||
UBS AG | 13,700 | 818 | |||||||
1,499 | |||||||||
Food, Beverage & Tobacco 0.4% | |||||||||
Nestle S.A. | 1,720 | 588 | |||||||
Materials 0.7% | |||||||||
Syngenta AG* | 3,300 | 532 | |||||||
Givaudan S.A. — Reg’d. | 410 | 340 | |||||||
Lonza Group AG | 2,700 | 208 | |||||||
1,080 | |||||||||
Pharmaceuticals & Biotechnology 0.4% | |||||||||
Novartis AG — Reg’d. | 11,000 | 668 | |||||||
4,901 | |||||||||
United Kingdom 4.9% | |||||||||
Banks 0.4% | |||||||||
Lloyds TSB Group plc | 50,000 | 534 | |||||||
Capital Goods 0.1% | |||||||||
Enodis plc | 59,000 | 209 | |||||||
Commercial Services & Supplies 0.0% | |||||||||
Michael Page Group plc | 7,600 | 58 | |||||||
Consumer Services 0.4% | |||||||||
Compass Group plc | 96,800 | 517 | |||||||
Diversified Financials 0.1% | |||||||||
Schroders plc | 10,100 | 191 | |||||||
Food, Beverage & Tobacco 0.9% | |||||||||
Diageo plc | 41,800 | 773 | |||||||
Cadbury Schweppes plc | 52,200 | 525 | |||||||
1,298 | |||||||||
Insurance 0.1% | |||||||||
Willis Group Holdings Ltd. (a) | 3,300 | 126 | |||||||
Media 1.3% | |||||||||
British Sky Broadcasting Group plc | 96,000 | 995 | |||||||
Johnston Press plc | 71,300 | 568 | |||||||
Trinity Mirror plc | 35,800 | 334 | |||||||
1,897 | |||||||||
Pharmaceuticals & Biotechnology 0.6% | |||||||||
GlaxoSmithKline plc | 34,700 | 925 | |||||||
Retailing 0.6% | |||||||||
Signet Group plc | 416,400 | 954 | |||||||
Telecommunication Services 0.4% | |||||||||
Vodafone Group plc | 237,400 | 612 | |||||||
7,321 |
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligations 8.6% of net assets | |||||||||
U.S. Treasury Bond | |||||||||
4.50%, 11/15/15 (a) | 100 | 99 | |||||||
6.88%, 08/15/25 (a) | 250 | 313 | |||||||
8.13%, 08/15/19 (a) | 100 | 132 | |||||||
9.13%, 05/15/18 (a) | 100 | 139 | |||||||
U.S. Treasury Inflation Protected Security | |||||||||
2.00%, 01/15/26 (a) | 308 | 295 | |||||||
2.38%, 04/15/11 (a) | 205 | 204 | |||||||
3.38%, 01/15/07 (a) | 2,561 | 2,532 | |||||||
3.63%, 01/15/08 (a) | 379 | 379 | |||||||
U.S. Treasury Note | |||||||||
3.25%, 01/15/09 (a) | 100 | 97 | |||||||
3.63%, 01/15/10 (a) | 100 | 97 | |||||||
3.75%, 05/15/08 (a) | 400 | 394 | |||||||
3.88%, 09/15/10 (a) | 900 | 878 | |||||||
4.00%, 06/15/09 (a) | 2,000 | 1,970 | |||||||
4.00%, 02/15/15 (a) | 500 | 480 | |||||||
4.50%, 11/15/10 (a) | 1,000 | 998 | |||||||
4.75%, 03/31/11 (a) | 600 | 604 | |||||||
4.88%, 04/30/11 (a) | 1,100 | 1,113 | |||||||
4.88%, 07/31/11 (a) | 1,000 | 1,013 | |||||||
5.13%, 06/30/11 (a) | 1,100 | 1,125 | |||||||
12,862 | |||||||||
Foreign Government Securities 0.5% of net assets | |||||||||
Government of United Kingdom | |||||||||
4.25%, 03/07/11 | 200 | 373 | |||||||
Panama Government International Bond | |||||||||
6.70%, 01/26/36 (a) | 326 | 331 | |||||||
704 | |||||||||
Corporate Bonds 1.5% of net assets | |||||||||
Fixed-Rate Obligations 0.4% | |||||||||
Caesars Entertainment, Inc. | |||||||||
9.38%, 02/15/07 (a) | 200 | 202 | |||||||
DaimlerChrysler NA Holding Corp | |||||||||
5.75%, 09/08/11 (a) | 100 | 100 | |||||||
El Paso Corp. | |||||||||
7.80%, 08/01/31 (a) | 100 | 105 | |||||||
Verizon Communications, Inc. | |||||||||
5.55%, 02/15/16 (a) | 100 | 100 | |||||||
507 | |||||||||
Variable-Rate Obligations 1.1% | |||||||||
BellSouth Corp | |||||||||
5.58%, 08/15/08 (a)(b) | 200 | 200 | |||||||
ConocoPhillips Australia Funding Co. | |||||||||
5.47%, 04/09/09 (a)(b) | 600 | 601 | |||||||
DaimlerChrysler NA Holding Corp. | |||||||||
5.64%, 03/07/07 (a)(b) | 400 | 400 | |||||||
HSBC Bank USA | |||||||||
5.46%, 09/21/07 (a)(b) | 250 | 251 | |||||||
Transocean, Inc. | |||||||||
5.59%, 09/05/08 (a)(b) | 200 | 200 | |||||||
1,652 | |||||||||
Municipal Bonds 0.6% of net assets | |||||||||
Revenue Bonds 0.6% | |||||||||
Golden State, California Securitization Corp. Revenue Bond, Series 2003-A-1 | |||||||||
6.25%, 06/01/33 (a) | 250 | 279 | |||||||
Tobacco Settlement Financing Corp. of Rhode Island Revenue Bond, Series 2002A | |||||||||
6.25%, 06/01/42 (a) | 500 | 535 | |||||||
814 | |||||||||
Asset-Backed Obligations 0.5% of net assets | |||||||||
Honda Auto Receivables Owner Trust, Series 2006-1 Class A2 | |||||||||
5.10%, 09/18/08 (a) | 400 | 400 | |||||||
Nissan Auto Receivables Owner Trust, Series 2001-B Class A2 | |||||||||
5.18%, 08/15/08 (a) | 400 | 400 | |||||||
800 | |||||||||
Mortgage-Backed Securities 18.0% of net assets | |||||||||
Collateralized Mortgage Obligations 0.4% | |||||||||
Variable-Rate Obligations 0.4% | |||||||||
Freddie Mac Structured Series T-61 Class 1A1 | |||||||||
5.96%, 07/25/44 (b) | 608 | 618 | |||||||
U.S. Government Agency Mortgages 17.6% | |||||||||
Fannie Mae | |||||||||
4.00%, 07/01/18 (a) | 771 | 733 | |||||||
4.00%, 11/01/18 (a) | 821 | 780 | |||||||
4.00%, 01/01/19 (a) | 18 | 17 | |||||||
4.00%, 04/01/19 (a) | 18 | 17 | |||||||
4.00%, 06/01/19 (a) | 132 | 126 | |||||||
4.00%, 06/01/19 (a) | 136 | 129 | |||||||
4.00%, 02/01/20 (a) | 470 | 445 | |||||||
4.00%, 03/01/20 (a) | 162 | 154 | |||||||
4.50%, 08/01/33 (a) | 207 | 195 | |||||||
4.50%, 05/01/35 (a) | 453 | 427 | |||||||
4.50%, 09/01/35 (a) | 939 | 881 | |||||||
4.50%, 09/01/35 (a) | 988 | 928 | |||||||
4.50%, 10/01/35 (a) | 96 | 90 | |||||||
5.00%, 02/01/36 (a) | 3,017 | 2,914 | |||||||
5.50%, 02/01/34 (a) | 690 | 684 | |||||||
5.50%, 04/01/34 (a) | 304 | 301 | |||||||
5.50%, 09/01/34 (a) | 4,159 | 4,118 | |||||||
5.50%, 11/01/34 (a) | 2,402 | 2,379 | |||||||
5.50%, 02/01/35 (a) | 1,664 | 1,647 | |||||||
5.50%, 02/01/35 (a) | 795 | 787 | |||||||
5.50%, 02/01/35 (a) | 349 | 346 |
Table of Contents
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
5.50%, 04/01/35 (a) | 1,742 | 1,723 | |||||||
5.50%, 05/01/35 (a) | 646 | 639 | |||||||
5.50%, 06/01/35 (a) | 92 | 91 | |||||||
5.50%, 09/01/35 (a) | 439 | 434 | |||||||
5.50%, 04/01/36 (a) | 989 | 978 | |||||||
5.50%, 07/01/36 (a) | 991 | 980 | |||||||
6.00%, 04/01/16 (a) | 26 | 26 | |||||||
6.00%, 03/01/18 (a) | 18 | 18 | |||||||
6.86%, 09/01/31 (b) | 18 | 19 | |||||||
Fannie Mae TBA | |||||||||
6.00%, 12/01/99 | 2,000 | 2,013 | |||||||
Freddie Mac | |||||||||
6.00%, 09/01/22 (a) | 171 | 173 | |||||||
Freddie Mac ARM | |||||||||
4.40%, 09/01/35 (b) | 163 | 161 | |||||||
Ginnie Mae TBA | |||||||||
6.00%, 12/01/99 | 1,000 | 1,014 | |||||||
26,367 | |||||||||
Non-Agency Mortgage-Backed Securities 0.6% of net assets | |||||||||
Fixed-Rate Obligations 0.1% | |||||||||
Bank of America Mortgage Securities Series 2004-2 Class 5A1 | |||||||||
6.50%, 10/25/31 (a) | 92 | 94 | |||||||
Residential Funding Mortgage Security I Series-S9 Class A1 | |||||||||
6.50%, 03/25/32 (a) | 51 | 52 | |||||||
146 | |||||||||
Variable-Rate Obligations 0.5% | |||||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2002-11 Class 1A1 | |||||||||
5.62%, 02/25/33 (a)(b) | 65 | 65 | |||||||
Bear Stearns Adjustable Rate Mortgage Trust Series 2005-4 Class 23A2 | |||||||||
5.40%, 05/25/35 (a)(b) | 127 | 127 | |||||||
Quest Trust, 144A Series 2004-X2 Class A1 | |||||||||
5.88%, 06/25/34 (c)(b) | 22 | 22 | |||||||
Washington Mutual Series 2003-R1 Class A1 | |||||||||
5.59%, 12/25/27 (a)(b) | 491 | 491 | |||||||
705 | |||||||||
Short-Term Investment 9.7% of net assets | |||||||||
Commercial Paper & Other Obligations 0.2% | |||||||||
Time Warner, Inc. | |||||||||
5.39%, 01/25/07 | 300 | 296 | |||||||
Repurchase Agreement 9.1% | |||||||||
Fixed Income Clearing Corp. dated 10/31/06, due 11/01/06 at 4.8%, with a maturity value of $13,726 (fully collateralized by Federal Home Loan Bank and Federal National Mortgage Association with a value of $1,279 and $13,064 respectively.) | 13,724 | 13,724 | |||||||
U.S. Treasury Obligations 0.4% | |||||||||
U.S. Treasury Bill | |||||||||
4.73%, 12/14/06 (a) | 30 | 30 | |||||||
4.83%, 12/14/06 (a) | 110 | 109 | |||||||
4.87%, 12/14/06 (a) | 30 | 30 | |||||||
4.90%, 12/14/06 (a) | 60 | 59 | |||||||
4.89%, 12/14/06 (a) | 25 | 25 | |||||||
4.93%, 12/14/06 (a) | 80 | 80 | |||||||
4.94%, 12/14/06 (a) | 170 | 169 | |||||||
5.03%, 12/14/06 (a) | 30 | 30 | |||||||
5.04%, 12/14/06 (a) | 30 | 30 | |||||||
562 |
Security and Number of Shares | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|
Other Investments 4.1% of net assets | ||||||||
iShares Lehman Aggregate Bond Fund (a) | 43,000 | 4,318 | ||||||
iShares Russell 1000 Value Index Fund (a) | 24,000 | 1,907 | ||||||
6,225 |
Security | Notional Amount ($ x 1,000) | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Purchased Options 0.1% of net assets | |||||||||
Swaptions 0.1% | |||||||||
3 Month LIBOR Swap Call, Strike Price 4.50, Expires 01/22/07 | 2,000 | — | |||||||
3 Month LIBOR Swap Call, Strike Price 5.00, Expires 03/08/07 | 2,100 | 7 | |||||||
3 Month LIBOR Swap Call, Strike Price 5.04, Expires 09/17/07 | 800 | 5 | |||||||
3 Month LIBOR Swap Call, Strike Price 5.25, Expires 06/07/07 | 2,000 | 16 | |||||||
3 Month LIBOR Swap Call, Strike Price 5.37, Expires 07/02/07 | 1,600 | 16 | |||||||
3 Month LIBOR Swap Call, Strike Price 5.50, Expires 06/30/07 | 2,000 | 24 |
Table of Contents
Security | Notional Amount ($ x 1,000) | Value ($ x 1,000) | ||||||
---|---|---|---|---|---|---|---|---|
3 Month LIBOR Swap Call, Strike Price 5.31 Expires 10/19/10 | 2,000 | 66 | ||||||
3 Month LIBOR Swap Put, Strike Price 5.31 Expires 10/19/10 | 2,000 | 66 | ||||||
200 |
Security | Number of Contracts | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Put Options 0.0% | |||||||||
90 Day Euro Dollar Futures, Strike Price 91.25, Expires 12/17/07 | 25 | — | |||||||
90 Day Euro Dollar Futures, Strike Price 91.75, Expires 12/18/06 | 50 | 1 | |||||||
90 Day Euro Dollar Futures, Strike Price 92.00, Expires 03/19/07 | 50 | — | |||||||
90 Day Euro Dollar Futures, Strike Price 92.50, Expires 12/18/06 | 3 | — | |||||||
90 Day Euro Dollar Futures, Strike Price 92.75, Expires 12/18/06 | 4 | — | |||||||
1 |
End of Investments.
* | Non-income producing security. |
(a) | All or a portion of this security is held as collateral for future contract, short sale, swap agreements, delayed-delivery security and options written |
(b) | Variable-rate security. |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registrations, normally to qualified institutional buyers. At the period end, the value of these amounted to $22 or 0.01% of net assets. |
Security and Number of Shares | Value ($ x 1,000) | ||||||||
---|---|---|---|---|---|---|---|---|---|
Short Sales (11.9)% of net assets | |||||||||
Other Investment Companies (7.1)% | |||||||||
Consumer Discretionary Select Sector SPDR Fund | 165,000 | 6,140 | |||||||
iShares MSCI EAFE Index Fund | 64,000 | 4,499 | |||||||
10,639 |
Security Rate, Maturity Date | Face Amount ($ x 1,000) | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
U.S. Government Agency Mortgages (2.0)% | |||||||||
Fannie Mae | |||||||||
5.50%, 12/01/99 | 2,950 | 2,916 | |||||||
U.S. Government Agency Securities (2.8)% | |||||||||
U.S. Treasury Note | |||||||||
4.38%, 05/15/07 | 500 | 498 | |||||||
U.S. Treasury Note | |||||||||
3.63%, 05/15/13 | 700 | 663 | |||||||
U.S. Treasury Note | |||||||||
0.01%, 05/15/14 | 900 | 909 | |||||||
U.S. Treasury Note | |||||||||
4.13%, 05/15/15 | 1,800 | 1,741 | |||||||
U.S. Treasury Note | |||||||||
6.00%, 08/15/09 | 400 | 414 | |||||||
4,225 |
Security | Notional Amount ($ x 1,000) | Value ($ x 1,000) | |||||||
---|---|---|---|---|---|---|---|---|---|
Options Written 0.0% of net assets | |||||||||
Swaptions 0.0% | |||||||||
3 Month LIBOR Swap Call Strike Price 4.56, Expires 01/22/07 | 900 | — | |||||||
3 Month LIBOR Swap Call Strike Price 5.04, Expires 03/08/07 | 900 | 7 | |||||||
3 Month LIBOR Swap Call Strike Price 5.34, Expires 06/07/07 | 1,000 | 19 | |||||||
3 Month LIBOR Swap Call Strike Price 5.50, Expires 07/02/07 | 500 | 15 | |||||||
3 Month LIBOR Swap Call Strike Price 5.60, Expires 06/30/07 | 900 | 25 | |||||||
66 | |||||||||
Straddle Option 0.0% | |||||||||
USD/JPY Forward Straddle Exercise Price $0.00 Expires 03/20/07 | 2,100 | 7 |
End of short sales and options written.
Table of Contents
Notional Amount (Foreign/USD) | Unrealized Gains/(Losses) (USD) | ||||||||
---|---|---|---|---|---|---|---|---|---|
Swap Agreements 0.1% of net assets | |||||||||
Interest Rate Swaps 0.1% | |||||||||
British Pounds 0.0% | |||||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 6 month LIBOR, expires 6/15/09, Barclays Bank plc | 200 | — | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 6 month LIBOR, expires 9/15/10, Barclays Bank plc | 700 | (19 | ) | ||||||
(19 | ) | ||||||||
Japanese Yen 0.0% | |||||||||
Receive variable rate payments of 6 month LIBOR, Pay fixed rate payments of 2.00%, expires 12/15/15, Barclays Bank plc | 10,000 | (2 | ) | ||||||
Receive variable rate payments of 6 month LIBOR, Pay fixed rate payments of 2.00%, expires 12/15/15, Merrill Lynch | 20,000 | (4 | ) | ||||||
(6 | ) | ||||||||
U.S. Dollars 0.1% | |||||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 12/20/11, Lehman Brothers | 1,200 | 21 | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 12/20/11, Merrill Lynch | 3,300 | 88 | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 12/20/11, Morgan Stanley | 1,000 | 18 | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 6/18/09, UBS AG | 4,000 | 14 | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 12/20/36, Morgan Stanley | 700 | 45 | |||||||
Receive fixed rate payments of 5.00%, Pay variable rate payments of 3 month LIBOR, expires 12/20/36, Royal Bank Scotland | 100 | 6 |
Notional Amount (USD) | Unrealized Gains/(Losses) (USD) | ||||||||
---|---|---|---|---|---|---|---|---|---|
Receive variable rate payments of 3 month LIBOR, Pay fixed rate payments of 5.00%, expires 12/20/16, Goldman Sachs | 1,500 | (48 | ) | ||||||
Receive variable rate payments of 3 month LIBOR, Pay fixed rate payments of 6.00%, expires 12/15/24, UBS AG | 200 | 4 | |||||||
148 | |||||||||
Net Realized Gain — Interest Rate Swaps | 123 | ||||||||
Credit Default Swaps 0.0% | |||||||||
U.S. Dollars 0.0% | |||||||||
Allstate Corp. Rate 0.26%, expires 12/20/08, Morgan Stanley | 100 | — | |||||||
Autozone, Inc. Rate 0.35%, expires 12/20/08, UBS AG | 200 | (1 | ) | ||||||
DaimlerChrysler NA Holding Corp. Rate 0.58%, expires 09/20/11, Barclays Bank plc | 100 | — | |||||||
Eaton Corp. Rate 0.28%, expires 12/20/08, Citibank N.A. | 100 | — | |||||||
Eli Lilly & Co. Rate 0.16%, expires 12/20/08, Barclays Bank plc | 100 | — | |||||||
Emerson Electric Co. Rate 0.21%, expires 12/20/08, Morgan Stanley | 100 | — | |||||||
Fedex Corp. Rate 0.29%, expires 12/20/08, Citibank N.A. | 100 | (1 | ) | ||||||
GMAC Rate 2.00%, expires 12/20/06, UBS, AG | 200 | — | |||||||
Home Depot, Inc. Rate 0.12%, expires 12/20/08, Lehman Brothers, Inc. | 100 | — | |||||||
Ingersoll-Rand Co. Ltd. Rate 0.32%, expires 12/20/08, Merrill Lynch | 100 | (1 | ) | ||||||
Johnson & Johnson, Inc. Rate 0.11%, expires 12/20/08, Lehman Brothers, Inc. | 100 | — | |||||||
Masco Corp. Rate 0.30%, expires 12/20/08, Lehman Brothers, Inc. | 100 | — | |||||||
People of Republic of China Rate 0.40%, expires 6/20/09, Lehman Brothers, Inc. | 200 | (2 | ) | ||||||
Radioshack Corp. Rate 0.35%, expires 12/20/08, Lehman Brothers, Inc. | 200 | 1 | |||||||
Republic of Hungary Rate 0.535%, expires 05/20/16 Morgan Stanley | 300 | (1 | ) |
Table of Contents
Notional Amount (Foreign/USD) | Unrealized Gains/(Losses) (USD) | |||||||
---|---|---|---|---|---|---|---|---|
Republic of Hungary Rate 0.54%, expires 05/20/16 JPMorgan Chase & Co. | 100 | (1 | ) | |||||
Republic of Hungary Rate 0.545%, expires 05/20/16 Deutche Bank | 200 | (1 | ) | |||||
Turkey Rate 2.70%, expires 9/20/10, Morgan Stanley | 100 | (4 | ) | |||||
XL Capital Ltd. Rate 0.205%, expires 03/20/12, Barclays Bank plc | 100 | — | ||||||
Wal-Mart Stores, Inc. Rate 0.14%, expires 12/20/08, Citibank N.A. | 200 | (1 | ) | |||||
Whirpool Corp. Rate 0.29%, expires 12/20/08, Lehman Brothers, Inc. | 100 | — | ||||||
Net Realized Gains — Credit Default Swaps | (12 | ) | ||||||
Total unrealized gain on swap agreements | 111 | |||||||
Net premiums received/paid | (176 | ) | ||||||
Swap Agreements, at fair value | (65 | ) |
Number of Contracts | Contract Value | Unrealized Gains/(Losses) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
\\nFutures Contracts | |||||||||||||
10 Years, Short, U.S. Treasury Note, expires 12/19/06 | (11 | ) | (1,190 | ) | 1 | ||||||||
5 Years, Long, U.S. Treasury Note, expires 12/29/06 | 31 | 3,272 | 21 | ||||||||||
90 Day Eurodollar, Long expires 12/17/07 | 40 | 9,525 | 18 | ||||||||||
90 Day Eurodollar, Long expires 06/18/07 | 24 | 5,697 | 13 | ||||||||||
90 Day Eurodollar, Long expires 03/17/08 | 15 | 3,573 | 21 | ||||||||||
90 Day Eurodollar, Long expires 09/17/07 | 90 | 21,403 | 40 | ||||||||||
LIBOR, Long expires 09/19/07 | 17 | 3,837 | (4 | ) | |||||||||
LIBOR, Long expires 06/20/07 | 7 | 1,579 | (2 | ) | |||||||||
U. S. Treasury Bond, Long, expires 12/19/06 | 6 | 676 | 14 | ||||||||||
UK Gilt, Long expires 12/28/06 | 1 | 210 | 1 | ||||||||||
UK Treasury Bond, Long expires 12/31/07 | 13 | 2,935 | 0 | ||||||||||
123 |
Table of Contents
Expiration Date | Currency to be Received | Amount of Currency to be Received ($ x 1,000) | Currency to be Delivered | Amount of Currency to be Delivered ($ x 1,000) | Unrealized Gains/Losses ($ x 1,000) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
\\nForward Foreign Currency Contracts | |||||||||||||||||||
12/13/06 | BRL | 54 | USD | 24 | 1 | ||||||||||||||
11/08/06 | CLP | 17,000 | USD | 31 | 1 | ||||||||||||||
12/18/06 | CLP | 1,900 | USD | 4 | — | ||||||||||||||
03/20/07 | INR | 1,366 | USD | 29 | 1 | ||||||||||||||
11/15/06 | JPY | 130,281 | USD | 1,145 | (29 | ) | |||||||||||||
11/15/06 | USD | 109 | JPY | 12,559 | 1 | ||||||||||||||
12/26/06 | KRW | 35,300 | USD | 37 | — | ||||||||||||||
02/26/07 | KRW | 10,559 | USD | 11 | — | ||||||||||||||
03/21/07 | KRW | 10,769 | USD | 11 | — | ||||||||||||||
12/04/06 | MXN | 180 | USD | 16 | — | ||||||||||||||
01/16/07 | MXN | 101 | USD | 9 | — | ||||||||||||||
11/24/06 | PLN | 67 | USD | 22 | 1 | ||||||||||||||
11/30/06 | USD | 481 | GBP | 257 | (9 | ) | |||||||||||||
01/17/07 | RUB | 78 | USD | 3 | — | ||||||||||||||
03/15/07 | RUB | 276 | USD | 10 | — | ||||||||||||||
12/13/06 | RUB | 179 | USD | 7 | — | ||||||||||||||
03/21/07 | SGD | 16 | USD | 10 | — | ||||||||||||||
11/27/06 | SGD | 45 | USD | 28 | 1 | ||||||||||||||
02/26/07 | TWN | 301 | USD | 9 | — | ||||||||||||||
11/24/06 | TWN | 301 | USD | 9 | — | ||||||||||||||
05/09/07 | CNY | 2,994 | USD | 390 | (4 | ) | |||||||||||||
08/16/07 | CNY | 3,721 | USD | 482 | 3 | ||||||||||||||
(33 | ) |
Table of Contents
Assets | ||||||
Investments, at value (cost $145,042) | $ | 154,804 | ||||
Cash | 3 | |||||
Deposit with broker for short sales | 9,547 | |||||
Foreign currency (cost $120) | 122 | |||||
Receivables: | ||||||
Investments sold | 16,236 | |||||
Investments sold short | 7,170 | |||||
Interest | 323 | |||||
Fund shares sold | 99 | |||||
Dividends | 73 | |||||
Due from brokers for futures | 51 | |||||
Foreign tax reclaims | 9 | |||||
Unrealized gains on forward foreign currency contracts | 9 | |||||
Prepaid expenses | + | 1 | ||||
Total assets | 188,447 | |||||
Liabilities | ||||||
Securities sold short, at value (proceeds $17,041) | 17,780 | |||||
Options written , at value (proceeds $44) | 73 | |||||
Swap agreements, at fair value (cost $176) | 65 | |||||
Payables: | ||||||
Investments bought | 19,680 | |||||
Investment advisers and administrator fees | 15 | |||||
Transfer agent and shareholder services fees | 30 | |||||
Covered short sales | 562 | |||||
Fund shares redeemed | 13 | |||||
Due to brokers for futures | 5 | |||||
Trustee fees | 1 | |||||
Unrealized losses on forward foreign currency contracts | 42 | |||||
Accrued expenses | + | 135 | ||||
Total liabilities | 38,401 | |||||
Net Assets | ||||||
Total assets | 188,447 | |||||
Total liabilities | –38,401 | |||||
Net assets | $ | 150,046 | ||||
Net Assets by Source | ||||||
Capital received from investors | 132,865 | |||||
Net investment income not yet distributed | 2,194 | |||||
Net realized capital gains | 5,790 | |||||
Net unrealized capital gains | 9,197 | |||||
Net Asset Value (NAV) by Shares Class |
Share Class | Net Assets | ÷ | Shares Outstanding | = | NAV | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 121,811 | 9,100 | $ | 13.39 | |||||||||||||||||
Select Shares | $ | 28,235 | 2,106 | $ | 13.41 |
Table of Contents
Investment Income | ||||||
Dividends (net of foreign withholding taxes of $20) | $ | 1,559 | ||||
Interest | + | 2,649 | ||||
Total Investment Income | 4,208 | |||||
Net Realized Gains and Losses | ||||||
Net realized gains on investments | 6,880 | |||||
Net realized losses on short sales | (939 | ) | ||||
Net realized gains on foreign currency transactions | 46 | |||||
Net realized gains on written option contracts | 29 | |||||
Net realized losses on futures contracts | (78 | ) | ||||
Net realized gains on swap agreements | + | 26 | ||||
Net realized gains | 5,964 | |||||
Net Unrealized Gains and Losses | ||||||
Net unrealized gains on investments | 3,568 | |||||
Net unrealized losses on short sales | (805 | ) | ||||
Net unrealized gains on foreign currency transactions | 9 | |||||
Net unrealized losses on option contracts | (37 | ) | ||||
Net unrealized gains on futures contracts | 251 | |||||
Net unrealized gains on swap agreements | + | 199 | ||||
Net unrealized gains | 3,185 | |||||
Expenses | ||||||
Investment adviser and administrator fees | 1,108 | |||||
Transfer agent and shareholder service fees: | ||||||
Investor Shares | 325 | |||||
Select Shares | 25 | |||||
Custodian fees | 116 | |||||
Registration fees | 64 | |||||
Portfolio accounting fees | 57 | |||||
Professional fees | 45 | |||||
Shareholder reports | 29 | |||||
Trustees’ fees | 6 | |||||
Dividend and interest on short sales | 13 | |||||
Other expenses | + | 11 | ||||
Total expenses | 1,799 | |||||
Expense reduction by adviser and Schwab | –238 | |||||
Custodian credits | –122 | |||||
Net expenses | 1,439 | |||||
Increase in Net Assets from Operations | ||||||
Total investment income | 4,208 | |||||
Net expenses | –1,439 | |||||
Net investment income | 2,769 | |||||
Net realized gains | 5,964 | |||||
Net unrealized gains | + | 3,185 | ||||
Increase in net assets from operations | $ | 11,918 |
Table of Contents
Operations |
11/1/05–10/31/06 | 11/1/04–10/31/05 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Net investment income | $ | 2,769 | $ | 1,588 | ||||||
Net realized gains | 5,964 | 14,477 | ||||||||
Net unrealized gains or losses | + | 3,185 | (4,356 | ) | ||||||
Increase in net assets from operations | 11,918 | 11,709 | ||||||||
Distributions Paid | ||||||||||
Dividends from net investment income | ||||||||||
Investor Shares | 1,595 | 947 | ||||||||
Select Shares | + | 137 | 21 | |||||||
Total dividends from net investment income | 1,732 | 968 | ||||||||
Distributions from net realized gains | ||||||||||
Investor Shares | 3,736 | — | ||||||||
Select Shares | + | 277 | — | |||||||
Total distributions from net realized gains | 4,013 | — | ||||||||
Total distributions | $ | 5,745 | $ | 968 |
Transactions in Fund Shares |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | VALUE | SHARES | VALUE | ||||||||||||||||
Shares Sold | |||||||||||||||||||
Investor Shares | 1,613 | $ | 20,830 | 1,399 | $ | 17,588 | |||||||||||||
Select Shares | + | 1,710 | 21,953 | 679 | 8,627 | ||||||||||||||
Total shares sold | 3,323 | $ | 42,783 | 2,078 | $ | 26,215 | |||||||||||||
Shares Reinvested | |||||||||||||||||||
Investor Shares | 395 | $ | 5,034 | 71 | $ | 883 | |||||||||||||
Select Shares | + | 30 | 387 | 2 | 20 | ||||||||||||||
Total shares reinvested | 425 | $ | 5,421 | 73 | $ | 903 | |||||||||||||
Shares Redeemed | |||||||||||||||||||
Investor Shares | (3,008 | ) | $ | (38,807 | ) | (2,354 | ) | $ | (29,691 | ) | |||||||||
Select Shares | + | (349 | ) | (4,516 | ) | (105 | ) | (1,307 | ) | ||||||||||
Total shares redeemed | (3,357 | ) | $ | (43,323 | ) | (2,459 | ) | $ | (30,998 | ) | |||||||||
Net transactions in fund shares | 391 | $ | 4,881 | (308 | ) | $ | (3,880 | ) |
Shares Outstanding and Net Assets |
11/1/05–10/31/06 | 11/1/04–10/31/05 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHARES | NET ASSETS | SHARES | NET ASSETS | ||||||||||||||||
Beginning of period | 10,815 | $ | 138,992 | 11,123 | $ | 132,131 | |||||||||||||
Total increase or decrease | + | 391 | 11,054 | (308 | ) | 6,861 | |||||||||||||
End of period | 11,206 | $ | 150,046 | 10,815 | $ | 138,992 | |||||||||||||
Net investment income not yet distributed | $ | 2,194 | $ | 1,187 |
Table of Contents
1. | Business Structure of the Funds |
Schwab Capital Trust (organized May 7, 1993) Schwab Viewpoints Fund™ Schwab S&P 500 Index Fund Schwab Institutional Select® S&P 500 Fund Schwab Small-Cap Index Fund® Schwab Total Stock Market Index Fund® Schwab International Index Fund® Schwab MartketTrack All Equity™ Schwab MarketTrack Growth Portfolio™ Schwab MarketTrack Balanced Portfolio™ Schwab MarketTrack Conservative Portfolio™ Laudus U.S. MarketMasters Fund™ Laudus Small-Cap MarketMasters Fund™ Laudus International MarketMasters Fund™ | Schwab Premier Equity Fund® Schwab Core Equity Fund™ Schwab Dividend Equity Fund™ Schwab Large-Cap Growth Fund™ Schwab Small-Cap Equity Fund™ Schwab Hedged Equity Fund™ Schwab Financial Services Fund™ Schwab Health Care Fund™ Schwab Technology Fund™ Schwab Target 2010 Fund Schwab Target 2020 Fund Schwab Target 2030 Fund Schwab Target 2040 Fund Schwab Retirement Income Fund |
2. | Significant Accounting Policies: |
(a) | Security Valuation: |
• | Securities traded on an exchange or over-the-counter: valued at the closing value for the day, or, on days when no closing value has been reported, halfway between the most recent bid and asked quotes. Securities that are primarily traded on foreign exchanges are valued at the closing values of such securities on their respective exchanges with these values then translated into U.S. dollars at the current exchange rate. |
• | Securities for which no quoted value is available or when a significant event has occurred between the time of the security’s last close and the time the fund calculates net asset value: valued at fair value, as determined in good faith by the fund’s investment adviser using guidelines adopted by the fund’s Board of Trustees and the Pricing Committee. Some of the more common reasons that may necessitate that a security be valued at fair value include: the security’s trading has been halted or suspended; the security has been de-listed from a national exchange; the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open; or the security’s primary pricing source is not able or willing to provide a price, or certain foreign securities’ closing market prices adjusted for changes in value that may occur between the close of foreign exchange and the time at which fund shares are priced. The Board of Trustees regularly reviews fair value determinations made by the Funds pursuant to the procedures. |
• | Bonds and notes: valued at halfway between the most recent bid and asked quotes or, if such quotes are unavailable, at prices for securities of comparable maturity, credit quality and type. Valuations for bonds and notes are provided by an independent bond-pricing service. |
Table of Contents
• | Futures and forwards: open contracts are valued at their settlement prices as of the close of their exchanges (for futures) or at a market value based on that day’s exchange rates (for forwards). When a fund closes out a futures or forwards position, it calculates the difference between the value of the position at the beginning and at the end and records a realized gain or loss accordingly. |
• | Swap and Swaption (option on Swap) agreements: are valued based on a model that utilizes market data, including swap yield curves, to calculate prices or are based on dealer quotes. |
• | Options: open contracts are valued at their last quoted sale price. |
• | Short-term securities (60 days or less to maturity): valued at amortized cost. |
• | Mutual funds: valued at their respective net asset values as determined by those funds in accordance with the 1940 Act for a given day. |
Table of Contents
(c) | Security Transactions: |
(d) | Investment Income: |
Table of Contents
date), then the fund amortizes the premium to the security’s call date and price, rather than the maturity date and price. Dividends and distributions from portfolio securities and underlying funds are recorded on the date they are effective (the ex-dividend date), although the funds record certain foreign security dividends on the day they learn of the ex-dividend date.
(e) | Expenses: |
(f) | Foreign Currency Translations: |
(g) | Distributions to Shareholders: |
(h) | Custody Credit: |
(i) | Accounting Estimates: |
(j) | Federal Income Taxes: |
(k) | Indemnification: |
(l) | New Accounting Standards: |
Table of Contents
of a tax position taken or expected to be taken in a tax return when there is uncertainty about whether that tax position will ultimately be sustained. We have not yet completed our evaluation of the impact, if any, of adopting FIN 48 on the Fund’s financial statements.
3. | Affiliates and Affiliated Transactions: |
Average daily net assets | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
First $500 million | 0.775% | |||||||||
Over $500 million | 0.75% | |||||||||
Over $1 billion | 0.725% |
Transfer Agent Fees | | Shareholder Service Fees | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investor Shares | 0.05 | % | 0.20 | % | ||||||
Select Shares | 0.05 | % | 0.15 | % |
Investor Shares | 1.10 | % | ||||
Select Shares | 0.95 | % |
Table of Contents
4. | Purchases and Sales of Investment Securities: (All dollar amounts are × 1,000) |
Purchases of Securities | Sales/Maturities of Securities | ||||||||
---|---|---|---|---|---|---|---|---|---|
$ | 117,203 | $ | 121,868 |
Purchases of Securities | Sales/Maturities of Securities | ||||||||
---|---|---|---|---|---|---|---|---|---|
$ | 192,486 | $ | 188,611 |
5. | Options Written: (All dollar amounts are × 1,000) |
Options Written | Number of Contracts | | Premiums | |||||
---|---|---|---|---|---|---|---|---|
Beginning of Period | 3 | $ | 23 | |||||
Options Written | 11 | 50 | ||||||
Options Closed | (1 | ) | 3 | |||||
Options Expired | (7 | ) | 26 | |||||
Options Exercised | — | — | ||||||
End of Period | 6 | $ | 44 |
6. | Redemption Fee: (All dollar amounts are × 1,000) |
Current Period | | Prior Period | ||||||
---|---|---|---|---|---|---|---|---|
Investor Shares | $ | 4 | $ | 1 | ||||
Select Shares | $ | — | $ | 0 | * |
* | Amount is not rounded to $1,000. |
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7. | Borrowing: (All dollar amounts are × 1,000) |
Amount Outstanding at 10/31/06 | | Average Borrowing* | | Weighted Average Interest Rate*(%) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$16 | $ | 464 | 5.37 | % |
* | Based on the number of days for which the borrowing is outstanding. |
8. | Federal Income Taxes: (All dollar amounts are × 1,000) |
Undistributed ordinary income | $ | 2,142 | ||||
Undistributed long-term capital gains | 6,685 | |||||
Unrealized appreciation on investments | 11,484 | |||||
Unrealized depreciation on investments | (2,457 | ) | ||||
Other net unrealized appreciation/(depreciation) | (674 | ) | ||||
Net unrealized appreciation/(depreciation) | 8,353 |
Current period distributions | ||||||
Ordinary income | $ | 1,732 | ||||
Long-term capital gains | 4,013 | |||||
Return of capital | — | |||||
Prior period distributions | ||||||
Ordinary income | 968 | |||||
Long-term capital gains | — | |||||
Return of capital | — |
Capital Shares | $ | (1 | ) | |||
Undistributed net investment income | $ | (30 | ) | |||
Net realized capital gains and losses | $ | 31 |
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(All dollar amounts are × 1,000)
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Schwab Viewpoints Fund
San Francisco, California
December 14, 2006
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1. | the nature, extent and quality of the services provided to the funds under the Agreements, including the resources of CSIM and its affiliates, and the Sub-Advisors, dedicated to the funds; |
2. | each fund’s investment performance and how it compared to that of certain other comparable mutual funds; |
3. | each fund’s expenses and how those expenses compared to those of certain other comparable mutual funds and other types of accounts; |
4. | the profitability of CSIM and its affiliates, including Charles Schwab & Co., Inc. (“Schwab”), with respect to each fund, including both direct and indirect benefits accruing to CSIM and its affiliates, as well as the profitability of the Sub-Advisors; and |
5. | the extent to which economies of scale would be realized as the funds grow and whether fee levels in the Agreements reflect those economies of scale for the benefit of fund investors. |
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considered that the vast majority of the funds’ shareholders are also brokerage clients of Schwab, and that CSIM and its affiliates are uniquely positioned to provide services and support to the funds and such shareholders. The Board also considered the nature, extent and quality of the sub-advisory services provided by the Sub-Advisors to the funds and the resources each dedicates to the funds. In this regard, the trustees evaluated, among other things, each Sub-Advisor’s personnel, experience and compliance program. Following such evaluation, the Board concluded, within the context of its full deliberations, that the nature, extent and quality of services provided by CSIM and the Sub-Advisors to the funds and the resources of CSIM, and its affiliates, and the Sub-Advisors dedicated to the funds supported renewal of the Agreements.
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considered CSIM’s agreement to contractual investment advisory fee schedules that include lower fees at higher graduated asset levels. The Board also considered certain commitments by CSIM and Schwab that are designed to pass along potential economies of scale to fund shareholders. Specifically, the Board considered CSIM and Schwab’s commitments, which may be changed only with Board approval: (i) to reduce contractual advisory fees or add breakpoints for certain funds, and (ii) to implement, by means of expense limitation agreement, reductions in net overall expenses for certain funds. Based on this evaluation, and in consideration of the commitments made by CSIM and Schwab as discussed above, the Board concluded, within the context of its full deliberations, that the funds obtain reasonable benefit from economies of scale.
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Independent Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Mariann Byerwalter 1960 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman of JDN Corporate Advisory LLC. From 1996 to 2001, Vice President for Business Affairs and Chief Financial Officer of Stanford University, and in 2001, Special Advisor to the President of Stanford University. | 96 | Board 1—Director, Redwood Trust, Inc. Board 2—Director, PMI Group, Inc. | ||||||||||||
Donald F. Dorward 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chief Executive Officer, Dorward & Associates (corporate management, marketing and communications consulting firm). From 1996–1999, Executive Vice President and Managing Director, Grey Advertising. Prior to 1996, President and Chief Executive Officer, Allen & Dorward Advertising. | 57 | None. | ||||||||||||
William A. Hasler 1941 Trustee (Trustee of Schwab Capital Trust since 2000.) | Retired. Dean Emeritus, Haas School of Business, University of California, Berkeley. Until February 2004, Co-Chief Executive Officer, Aphton Corp. (bio-pharmaceuticals). Prior to August 1998, Dean of the Haas School of Business, University of California, Berkeley (higher education). | 96 | Board 1—Director, Aphton Corp. Board 2—Director, Mission West Properties Board 3—Director, TOUSA Board 4—Director, Stratex Networks Board 5—Director, Genitope Corp. Board 6—Director & Non-Executive Chairman, Solectron Corp. Board 7—Director, Ditech Communications Corp. | ||||||||||||
Robert G. Holmes 1931 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, Semloh Financial, Inc. (international financial services and investment advisory firm). | 57 | None. | ||||||||||||
Gerald B. Smith 1950 Trustee (Trustee of Schwab Capital Trust since 2000.) | Chairman and Chief Executive Officer and founder of Smith Graham & Co. (investment advisors). | 57 | Board 1—Board of Cooper Industries Board 2—Chairman of the Audit Committee of Northern Border Partners, M.L.P. |
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Independent Trustees continued | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Donald R. Stephens 1938 Trustee (Trustee of Schwab Capital Trust since 1989.) | Managing Partner, D.R. Stephens & Company (investments). Prior to 1996, Chairman and Chief Executive Officer of North American Trust (real estate investment trust). | 57 | None. | ||||||||||||
Michael W. Wilsey 1943 Trustee (Trustee of Schwab Capital Trust since 1989.) | Chairman and Chief Executive Officer, Wilsey Bennett, Inc. (real estate investment and management, and other investments). | 57 | None. |
Interested Trustees | |||||||||||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served1) | Principal Occupations During the Past Five Years | Number of Portfolios in Fund Complex Overseen by the Trustee | Other Directorships | ||||||||||||
Charles R. Schwab2 1937 Chairman and Trustee (Chairman and Trustee of Schwab Capital Trust since 1989.) | Chairman, Chief Executive Officer and Director, The Charles Schwab Corporation, Charles Schwab & Co., Inc.; Chairman and Director, Charles Schwab Investment Management, Inc., Charles Schwab Bank, N. A.; Chairman and Chief Executive Officer, Schwab (SIS) Holdings Inc. I, Schwab International Holdings, Inc.; Chief Executive Officer and Director, Schwab Holdings, Inc.; Director, U.S. Trust Company, N. A., U.S. Trust Corporation, United States Trust Company of New York. Until May 2003, Co-Chief Executive Officer, The Charles Schwab Corporation. | 57 | None. | ||||||||||||
Randall W. Merk2 1954 Trustee (Trustee of Schwab Capital Trust since 2005.) | Executive Vice President and President, Schwab Financial Products, Charles Schwab & Co., Inc.; Director, Charles Schwab Asset Management (Ireland) Limited and Charles Schwab Worldwide Funds PLC. From September 2002 to July 2004, Chief Executive Officer and President, Charles Schwab Investment Management, Inc. and Executive Vice President, Charles Schwab & Co., Inc. Prior to September 2002, President and Chief Investment Officer, American Century Investment Management, and Director, American Century Companies, Inc. | 96 | None. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Evelyn Dilsaver 1955 President and Chief Executive Officer (Officer of Schwab Capital Trust since 2004.) | President, Chief Executive Officer, and Director, Charles Schwab Investment Management, Inc.; Executive Vice President, Charles Schwab & Co., Inc; President and Chief Executive Officer, Laudus Trust and Laudus Variable Insurance Trust; President, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; President, Mutual Fund Division, UST Advisers, Inc. From June 2003 to July 2004, Senior Vice President, Asset Management Products and Services, Charles Schwab & Co., Inc. Prior to June 2003, Executive Vice President, Chief Financial Officer, and Chief Administrative Officer, U.S. Trust, a subsidiary of The Charles Schwab Corporation. | ||||||
George Pereira 1964 Treasurer and Principal Financial Officer (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Financial Officer, Charles Schwab Investment Management, Inc.; Chief Financial Officer, Laudus Trust and Laudus Variable Insurance Trust; Treasurer, Chief Financial Officer and Chief Accounting Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust; Chief Financial Officer, Mutual Fund Division, UST Advisors, Inc. Director, Charles Schwab Worldwide Fund, PLC and Charles Schwab Asset Management (Ireland) Limited. From December 1999 to November 2004, Sr. Vice President, Financial Reporting, Charles Schwab & Co., Inc. | ||||||
Kimon Daifotis 1959 Senior Vice President and Chief Investment Officer — Fixed Income (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer — Fixed Income, Charles Schwab Investment Management, Inc. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Jeffrey Mortimer 1963 Senior Vice President and Chief Investment Officer — Equities (Officer of Schwab Capital Trust since 2004.) | Senior Vice President and Chief Investment Officer — Equities, Charles Schwab Investment Management, Inc.; Vice President and Chief Investment Officer, Laudus Trust and Laudus Variable Insurance Trust. Prior to 2004, Vice President and Sr. Portfolio Manager, Charles Schwab Investment Management, Inc. | ||||||
Randall Fillmore 1960 Chief Compliance Officer and AML Officer (Officer of Schwab Capital Trust since 2002.) | Senior Vice President and Chief Compliance Officer, Charles Schwab Investment Management, Inc.; Senior Vice President Charles Schwab & Co., Inc.; Chief Compliance Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Compliance Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. From 2002 to 2003, Vice President, Charles Schwab & Co., Inc., and Charles Schwab Investment Management, Inc. From 2000 to 2002, Vice President, Internal Audit, Charles Schwab & Co., Inc. | ||||||
Koji E. Felton 1961 Secretary and Chief Legal Officer (Officer of Schwab Capital Trust since 1998.) | Senior Vice President, Chief Counsel and Corporate Secretary, Charles Schwab Investment Management, Inc.; Senior Vice President and Deputy General Counsel, Charles Schwab & Co., Inc.; Chief Legal Officer, Laudus Trust and Laudus Variable Insurance Trust; Chief Legal Officer, Excelsior Funds Inc., Excelsior Tax-Exempt Funds, Inc., and Excelsior Funds Trust. Prior to June 1998, Branch Chief in Enforcement at U.S. Securities and Exchange Commission in San Francisco. | ||||||
Catherine MacGregor 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Charles Schwab & Co., Inc., Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust; since 2006, Chief Counsel, Laudus Trust and Laudus Variable Insurance Trust. Until July 2005, Senior Associate, Paul Hastings Janofsky & Walker LLP. |
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Officers of the Trust | |||||||
Name, Year of Birth, and Position(s) with the Trust; (Term of Office, and Length of Time Served3) | Principal Occupations During the Past Five Years | ||||||
Cathy Sabo 1964 Vice President (Officer of Schwab Capital Trust since 2005) | Vice President, Compliance, Charles Schwab Investment Management, Inc., Laudus Trust and Laudus Variable Insurance Trust. Until 2004, Vice President, Client, Sales & Services Controls, Charles Schwab & Co., Inc. | ||||||
Michael Haydel 1972 Vice President (Officer of Schwab Capital Trust since 2006) | Vice President, Asset Management Client Services, Charles Schwab & Co., Inc.; Vice President and AML Officer, Laudus Trust and Laudus Variable Insurance Trust. Until March 2004, Director Charles Schwab & Co., Inc. |
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Schwab Core Equity Fund™
Schwab Dividend Equity Fund™
Schwab Large-Cap Growth Fund™
Schwab Small-Cap Equity Fund™
Schwab Hedged Equity Fund™
Schwab Financial Services Fund™
Schwab Health Care Fund™
Schwab Technology Fund™
Schwab Institutional Select® S&P 500 Fund
Schwab S&P 500 Index Fund
Schwab 1000 Index® Fund
Schwab Small-Cap Index Fund®
Schwab Total Stock Market Index Fund®
Schwab International Index Fund®
Schwab MarketTrack All Equity Portfolio™
Schwab MarketTrack Growth Portfolio™
Schwab MarketTrack Balanced Portfolio™
Schwab MarketTrack Conservative Portfolio™
Schwab Target 2010 Fund
Schwab Target 2020 Fund
Schwab Target 2030 Fund
Schwab Target 2040 Fund
Schwab Retirement Income Fund
Schwab Short-Term Bond Market Fund™
Schwab Total Bond Market Fund™
Schwab GNMA Fund™
Schwab Inflation Protected Fund™
Schwab Tax-Free YieldPlus Fund™
Schwab Short/Intermediate Tax-Free Bond Fund™
Schwab Long-Term Tax-Free Bond Fund™
Schwab California Tax-Free YieldPlus Fund™
Schwab California Short/Intermediate
Tax-Free Bond Fund™
Schwab California Long-Term Tax-Free Bond Fund™
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101 Montgomery Street, San Francisco, CA 94104
Schwab Funds®
P.O. Box 3812, Englewood, CO 80155—3812
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(a) | Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other persons who perform a similar function, regardless of whether these individuals are employed by Registrant or a third party. | |
(c) | During the period covered by the report, no amendments were made to the provisions of this code of ethics. | |
(d) | During the period covered by the report, Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. | |
(f)(1) | Registrant has filed this code of ethics as an exhibit pursuant to Item 12(a)(1) of Form N-CSR. |
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Nature of these services: | review of the methodology of allocation of Charles Schwab & Co., Inc. (“Schwab”) expenses for purposes of Section 15(c) of the Investment Company Act of 1940. |
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(h) | During the past fiscal year, all non-audit services provided by Registrant’s principal accountant to either Registrant’s investment adviser or to any entity controlling, controlled by, or under common control with Registrant’s investment adviser that provides ongoing services to Registrant were pre-approved. Included in the audit committee’s pre-approval was the review and consideration as to whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence. |
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Cost | Value | |||||||||||
Holdings by Category | ($ x 1,000) | ($ x 1,000) | ||||||||||
99.9 | % | Common Stock | 5,588,418 | 7,950,692 | ||||||||
0.1 | % | Short-Term Investment | 8,212 | 8,212 | ||||||||
— | % | U.S. Treasury Obligation | 2,983 | 2,983 | ||||||||
100.0 | % | Total Investments | 5,599,613 | 7,961,887 | ||||||||
1.6 | % | Collateral Invested for Securities on Loan | 128,448 | 128,448 | ||||||||
(1.6) | % | Other Assets and Liabilities, Net | (125,539 | ) | ||||||||
100.0 | % | Net Assets | 7,964,796 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Common Stock 99.9% of net assets | ||||||||
Automobiles & Components 0.6% | ||||||||
Ford Motor Co. | 1,201,277 | 9,946 | ||||||
General Motors Corp. (a) | 364,825 | 12,740 | ||||||
Harley-Davidson, Inc. | 171,945 | 11,800 | ||||||
Johnson Controls, Inc. | 124,684 | 10,167 | ||||||
The Goodyear Tire & Rubber Co. (a)* | 107,696 | 1,651 | ||||||
46,304 | ||||||||
Banks 5.7% | ||||||||
AmSouth Bancorp | 220,977 | 6,678 | ||||||
BB&T Corp. | 352,216 | 15,328 | ||||||
Comerica, Inc. | 113,108 | 6,582 | ||||||
Commerce Bancorp, Inc. (a) | 98,200 | 3,429 | ||||||
Compass Bancshares, Inc. | 83,451 | 4,695 | ||||||
Countrywide Financial Corp. | 388,015 | 14,791 | ||||||
Fannie Mae | 619,831 | 36,731 | ||||||
Fifth Third Bancorp | 356,325 | 14,200 | ||||||
First Horizon National Corp. | 73,806 | 2,902 | ||||||
Freddie Mac | 442,564 | 30,532 | ||||||
Huntington Bancshares, Inc. (a) | 153,126 | 3,738 | ||||||
KeyCorp | 268,955 | 9,989 | ||||||
M&T Bank Corp. | 50,455 | 6,146 | ||||||
Marshall & Ilsley Corp. | 144,183 | 6,912 | ||||||
MGIC Investment Corp. | 50,120 | 2,945 | ||||||
National City Corp. | 367,523 | 13,690 | ||||||
North Fork Bancorp, Inc. | 294,378 | 8,413 | ||||||
PNC Financial Services Group, Inc. | 196,711 | 13,776 | ||||||
Regions Financial Corp. | 308,124 | 11,693 | ||||||
Sovereign Bancorp, Inc. | 233,282 | 5,566 | ||||||
SunTrust Banks, Inc. | 232,836 | 18,392 | ||||||
Synovus Financial Corp. | 202,697 | 5,955 | ||||||
U.S. Bancorp | 1,139,832 | 38,572 | ||||||
Wachovia Corp. | 1,202,870 | 66,759 | ||||||
Washington Mutual, Inc. | 615,199 | 26,023 | ||||||
Wells Fargo & Co. | 2,151,676 | 78,084 | ||||||
Zions Bancorp | 64,162 | 5,159 | ||||||
457,680 | ||||||||
Capital Goods 8.5% | ||||||||
3M Co. | 482,761 | 38,061 | ||||||
American Power Conversion Corp. | 96,248 | 2,910 | ||||||
American Standard Cos., Inc. | 109,817 | 4,864 | ||||||
Caterpillar, Inc. | 428,787 | 26,032 | ||||||
Cooper Industries Ltd., Class A | 66,011 | 5,905 | ||||||
Cummins, Inc. (a) | 30,977 | 3,933 | ||||||
Danaher Corp. | 151,019 | 10,839 | ||||||
Deere & Co. | 146,984 | 12,513 | ||||||
Dover Corp. | 140,023 | 6,651 | ||||||
Eaton Corp. | 96,095 | 6,960 | ||||||
Emerson Electric Co. | 262,819 | 22,182 | ||||||
Fluor Corp. | 52,999 | 4,157 | ||||||
General Dynamics Corp. | 258,472 | 18,377 | ||||||
General Electric Co. (b) | 6,641,667 | 233,189 | ||||||
Goodrich Corp. | 75,218 | 3,316 | ||||||
Honeywell International, Inc. | 530,120 | 22,329 | ||||||
Illinois Tool Works, Inc. | 282,770 | 13,553 | ||||||
Ingersoll-Rand Co., Ltd., Class A | 210,710 | 7,735 | ||||||
ITT Corp. | 124,260 | 6,758 | ||||||
L-3 Communications Holdings, Inc. | 74,495 | 5,998 | ||||||
Lockheed Martin Corp. | 236,352 | 20,546 | ||||||
Masco Corp. (a) | 250,581 | 6,929 | ||||||
Navistar International Corp. * | 32,355 | 897 | ||||||
Northrop Grumman Corp. | 220,121 | 14,614 | ||||||
PACCAR, Inc. | 158,847 | 9,405 | ||||||
Pall Corp. | 72,422 | 2,310 | ||||||
Parker Hannifin Corp. | 77,004 | 6,440 | ||||||
Raytheon Co. | 302,439 | 15,107 | ||||||
Rockwell Automation, Inc. | 113,641 | 7,046 | ||||||
Rockwell Collins, Inc. | 109,024 | 6,332 | ||||||
Textron, Inc. | 83,313 | 7,576 | ||||||
The Boeing Co. | 512,990 | 40,967 | ||||||
Tyco International Ltd. | 1,304,215 | 38,383 | ||||||
United Technologies Corp. | 647,334 | 42,543 | ||||||
W.W. Grainger, Inc. | 43,299 | 3,151 | ||||||
678,508 |
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Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Commercial Services & Supplies 0.6% | ||||||||
Allied Waste Industries, Inc. * | 104,886 | 1,274 | ||||||
Avery Dennison Corp. | 69,457 | 4,385 | ||||||
Cintas Corp. | 82,791 | 3,428 | ||||||
Equifax, Inc. | 82,320 | 3,131 | ||||||
Monster Worldwide, Inc. * | 82,126 | 3,327 | ||||||
Pitney Bowes, Inc. | 139,254 | 6,505 | ||||||
R.R. Donnelley & Sons Co. | 133,447 | 4,518 | ||||||
Robert Half International, Inc. | 108,073 | 3,950 | ||||||
Waste Management, Inc. | 372,965 | 13,979 | ||||||
44,497 | ||||||||
Consumer Durables & Apparel 1.2% | ||||||||
Brunswick Corp. | 56,303 | 1,774 | ||||||
Centex Corp. | 73,429 | 3,840 | ||||||
Coach, Inc. * | 246,216 | 9,760 | ||||||
D.R. Horton, Inc. | 166,456 | 3,900 | ||||||
Eastman Kodak Co. (a) | 172,361 | 4,206 | ||||||
Fortune Brands, Inc. | 93,149 | 7,168 | ||||||
Harman International Industries, Inc. | 40,600 | 4,155 | ||||||
Hasbro, Inc. | 113,895 | 2,952 | ||||||
Jones Apparel Group, Inc. | 75,784 | 2,531 | ||||||
KB Home | 39,275 | 1,765 | ||||||
Leggett & Platt, Inc. | 113,803 | 2,657 | ||||||
Lennar Corp., Class A | 80,382 | 3,817 | ||||||
Liz Claiborne, Inc. | 63,619 | 2,683 | ||||||
Mattel, Inc. | 246,667 | 5,582 | ||||||
Newell Rubbermaid, Inc. | 198,018 | 5,699 | ||||||
Nike, Inc., Class B | 120,871 | 11,106 | ||||||
Pulte Homes, Inc. | 124,686 | 3,864 | ||||||
Snap-On, Inc. | 36,954 | 1,738 | ||||||
The Black & Decker Corp. | 48,650 | 4,081 | ||||||
The Stanley Works | 37,174 | 1,771 | ||||||
VF Corp. | 56,207 | 4,272 | ||||||
Whirlpool Corp. | 49,291 | 4,285 | ||||||
93,606 | ||||||||
Consumer Services 1.8% | ||||||||
Apollo Group, Inc., Class A * | 88,210 | 3,260 | ||||||
Carnival Corp. | 278,107 | 13,577 | ||||||
Darden Restaurants, Inc. | 79,330 | 3,324 | ||||||
H&R Block, Inc. | 204,694 | 4,475 | ||||||
Harrah’s Entertainment, Inc. | 113,304 | 8,422 | ||||||
Hilton Hotels Corp. | 207,414 | 5,998 | ||||||
International Game Technology (a) | 217,069 | 9,228 | ||||||
Marriott International, Inc., Class A | 201,734 | 8,426 | ||||||
McDonald’s Corp. | 797,901 | 33,448 | ||||||
Starbucks Corp. (a)* | 478,610 | 18,068 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 137,073 | 8,189 | ||||||
Wendy’s International, Inc. | 66,758 | 2,310 | ||||||
Western Union Co. * | 490,262 | 10,810 | ||||||
Wyndham Worldwide Corp. * | 126,343 | 3,727 | ||||||
YUM! Brands, Inc. | 174,233 | 10,360 | ||||||
143,622 | ||||||||
Diversified Financials 10.4% | ||||||||
American Express Co. | 795,834 | 46,007 | ||||||
Ameriprise Financial, Inc. | 168,361 | 8,671 | ||||||
Bank of America Corp. | 2,926,732 | 157,663 | ||||||
Capital One Financial Corp. | 193,989 | 15,389 | ||||||
Chicago Mercantile Exchange Holdings, Inc. | 22,100 | 11,072 | ||||||
CIT Group, Inc. | 126,238 | 6,571 | ||||||
Citigroup, Inc. | 3,183,543 | 159,686 | ||||||
E*TRADE Financial Corp. * | 264,098 | 6,148 | ||||||
Federated Investors, Inc., Class B | 46,211 | 1,584 | ||||||
Franklin Resources, Inc. | 105,536 | 12,027 | ||||||
Goldman Sachs Group, Inc. (a) | 276,667 | 52,509 | ||||||
Janus Capital Group, Inc. | 135,451 | 2,720 | ||||||
JPMorgan Chase & Co. | 2,236,116 | 106,081 | ||||||
Legg Mason, Inc. | 81,700 | 7,355 | ||||||
Lehman Brothers Holdings, Inc. | 342,806 | 26,684 | ||||||
Mellon Financial Corp. | 286,141 | 11,102 | ||||||
Merrill Lynch & Co., Inc. | 570,290 | 49,855 | ||||||
Moody’s Corp. | 156,391 | 10,369 | ||||||
Morgan Stanley | 685,848 | 52,419 | ||||||
Northern Trust Corp. | 131,834 | 7,741 | ||||||
SLM Corp. | 263,062 | 12,806 | ||||||
State Street Corp. | 225,728 | 14,498 | ||||||
T. Rowe Price Group, Inc. | 170,026 | 8,044 | ||||||
The Bank of New York Co., Inc. | 494,230 | 16,987 | ||||||
The Bear Stearns Cos., Inc. | 77,223 | 11,688 | ||||||
The Charles Schwab Corp. (c) | 660,696 | 12,038 | ||||||
827,714 | ||||||||
Energy 9.4% | ||||||||
Anadarko Petroleum Corp. | 298,432 | 13,853 | ||||||
Apache Corp. | 211,349 | 13,805 | ||||||
Baker Hughes, Inc. | 218,141 | 15,063 | ||||||
BJ Services Co. | 191,575 | 5,778 | ||||||
Chesapeake Energy Corp. (a) | 242,500 | 7,867 | ||||||
ChevronTexaco Corp. | 1,409,919 | 94,747 | ||||||
ConocoPhillips | 1,057,004 | 63,674 | ||||||
CONSOL Energy, Inc. | 98,100 | 3,472 | ||||||
Devon Energy Corp. | 281,673 | 18,827 | ||||||
El Paso Corp. | 412,734 | 5,654 | ||||||
EOG Resources, Inc. | 155,607 | 10,353 | ||||||
Exxon Mobil Corp. (b) | 3,823,631 | 273,084 | ||||||
Halliburton Co. | 670,456 | 21,689 | ||||||
Hess Corp. | 142,902 | 6,059 | ||||||
Kinder Morgan, Inc. | 63,146 | 6,637 | ||||||
Marathon Oil Corp. | 232,061 | 20,050 | ||||||
Murphy Oil Corp. | 98,027 | 4,623 | ||||||
Nabors Industries Ltd. * | 198,396 | 6,126 | ||||||
National-Oilwell Varco, Inc. * | 111,805 | 6,753 | ||||||
Noble Corp. | 82,091 | 5,755 |
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Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Occidental Petroleum Corp. | 548,444 | 25,744 | ||||||
Rowan Cos., Inc. | 64,341 | 2,148 | ||||||
Schlumberger Ltd. | 755,559 | 47,661 | ||||||
Smith International, Inc. | 60,000 | 2,369 | ||||||
Sunoco, Inc. | 86,111 | 5,694 | ||||||
Transocean, Inc. (a)* | 201,088 | 14,587 | ||||||
Valero Energy Corp. | 394,085 | 20,622 | ||||||
Weatherford International Ltd. * | 208,531 | 8,566 | ||||||
Williams Cos., Inc. | 369,702 | 9,032 | ||||||
XTO Energy, Inc. | 233,187 | 10,880 | ||||||
751,172 | ||||||||
Food & Staples Retailing 2.3% | ||||||||
Costco Wholesale Corp. | 301,071 | 16,071 | ||||||
CVS Corp. | 524,061 | 16,445 | ||||||
Safeway, Inc. | 288,235 | 8,463 | ||||||
Supervalu, Inc. | 126,724 | 4,233 | ||||||
Sysco Corp. | 388,495 | 13,590 | ||||||
The Kroger Co. | 481,646 | 10,832 | ||||||
Wal-Mart Stores, Inc. | 1,582,493 | 77,985 | ||||||
Walgreen Co. | 646,799 | 28,252 | ||||||
Whole Foods Market, Inc. (a) | 89,700 | 5,726 | ||||||
181,597 | ||||||||
Food, Beverage & Tobacco 4.8% | ||||||||
Altria Group, Inc. | 1,343,189 | 109,242 | ||||||
Anheuser-Busch Cos., Inc. | 511,708 | 24,265 | ||||||
Archer-Daniels-Midland Co. | 419,069 | 16,134 | ||||||
Brown-Forman Corp., Class B | 53,249 | 3,844 | ||||||
Campbell Soup Co. | 122,713 | 4,587 | ||||||
Coca-Cola Enterprises, Inc. | 201,467 | 4,035 | ||||||
ConAgra Foods, Inc. (a) | 331,155 | 8,660 | ||||||
Constellation Brands, Inc., Class A * | 121,205 | 3,332 | ||||||
Dean Foods Co. * | 76,000 | 3,184 | ||||||
General Mills, Inc. | 233,863 | 13,288 | ||||||
H.J. Heinz Co. | 216,951 | 9,147 | ||||||
Kellogg Co. | 156,085 | 7,853 | ||||||
McCormick & Co., Inc. | 88,073 | 3,294 | ||||||
Molson Coors Brewing Co., Class B | 29,275 | 2,084 | ||||||
PepsiCo, Inc. | 1,058,158 | 67,129 | ||||||
Reynolds American, Inc. (a) | 113,578 | 7,174 | ||||||
Sara Lee Corp. | 486,730 | 8,323 | ||||||
The Coca-Cola Co. | 1,312,447 | 61,317 | ||||||
The Hershey Co. | 109,392 | 5,788 | ||||||
The Pepsi Bottling Group, Inc. | 102,711 | 3,248 | ||||||
Tyson Foods, Inc., Class A | 138,602 | 2,003 | ||||||
UST, Inc. | 103,296 | 5,532 | ||||||
Wm. Wrigley Jr. Co. | 138,234 | 7,181 | ||||||
380,644 | ||||||||
Health Care Equipment & Services 4.2% | ||||||||
Aetna, Inc. | 363,072 | 14,966 | ||||||
AmerisourceBergen Corp. | 148,482 | 7,008 | ||||||
Bausch & Lomb, Inc. | 31,704 | 1,697 | ||||||
Baxter International, Inc. | 430,311 | 19,781 | ||||||
Becton Dickinson & Co. | 169,994 | 11,905 | ||||||
Biomet, Inc. | 147,924 | 5,597 | ||||||
Boston Scientific Corp. * | 766,050 | 12,188 | ||||||
C.R. Bard, Inc. | 64,512 | 5,287 | ||||||
Cardinal Health, Inc. | 260,880 | 17,075 | ||||||
Caremark Rx, Inc. | 288,859 | 14,221 | ||||||
CIGNA Corp. | 73,970 | 8,653 | ||||||
Coventry Health Care, Inc. * | 102,747 | 4,824 | ||||||
Express Scripts, Inc. * | 88,127 | 5,616 | ||||||
HCA, Inc. | 262,330 | 13,253 | ||||||
Health Management Associates, Inc., Class A | 136,902 | 2,697 | ||||||
Hospira, Inc. * | 98,468 | 3,579 | ||||||
Humana, Inc. * | 108,589 | 6,515 | ||||||
IMS Health, Inc. | 127,883 | 3,562 | ||||||
Laboratory Corp. of America Holdings * | 79,844 | 5,469 | ||||||
Manor Care, Inc. | 45,374 | 2,178 | ||||||
McKesson Corp. | 209,666 | 10,502 | ||||||
Medco Health Solutions, Inc. * | 195,438 | 10,456 | ||||||
Medtronic, Inc. | 721,996 | 35,147 | ||||||
Patterson Cos., Inc. (a)* | 77,344 | 2,541 | ||||||
Quest Diagnostics, Inc. | 104,042 | 5,175 | ||||||
St. Jude Medical, Inc. * | 223,259 | 7,669 | ||||||
Stryker Corp. | 187,442 | 9,801 | ||||||
Tenet Healthcare Corp. * | 254,877 | 1,799 | ||||||
UnitedHealth Group, Inc. | 872,408 | 42,556 | ||||||
WellPoint, Inc. * | 409,099 | 31,222 | ||||||
Zimmer Holdings, Inc. * | 158,169 | 11,390 | ||||||
334,329 | ||||||||
Household & Personal Products 2.4% | ||||||||
Alberto-Culver Co., Class B | 45,240 | 2,298 | ||||||
Avon Products, Inc. | 288,320 | 8,768 | ||||||
Clorox Co. | 96,612 | 6,237 | ||||||
Colgate-Palmolive Co. | 329,557 | 21,082 | ||||||
Kimberly-Clark Corp. | 294,411 | 19,584 | ||||||
Procter & Gamble Co. (b) | 2,042,670 | 129,485 | ||||||
The Estee Lauder Cos., Inc., Class A | 63,300 | 2,557 | ||||||
190,011 | ||||||||
Insurance 4.8% | ||||||||
ACE Ltd. | 209,995 | 12,022 | ||||||
AFLAC, Inc. | 330,768 | 14,858 | ||||||
Ambac Financial Group, Inc. | 70,084 | 5,851 | ||||||
American International Group, Inc. | 1,663,332 | 111,726 | ||||||
AON Corp. | 226,315 | 7,874 | ||||||
Cincinnati Financial Corp. | 107,986 | 4,930 | ||||||
Genworth Financial, Inc., Class A | 292,738 | 9,789 | ||||||
Lincoln National Corp. | 184,170 | 11,660 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Loews Corp. | 280,987 | 10,936 | ||||||
Marsh & McLennan Cos., Inc. | 345,584 | 10,174 | ||||||
MBIA, Inc. | 83,124 | 5,155 | ||||||
MetLife, Inc. | 500,311 | 28,583 | ||||||
Principal Financial Group, Inc. | 187,912 | 10,615 | ||||||
Prudential Financial, Inc. | 314,981 | 24,231 | ||||||
SAFECO Corp. | 90,032 | 5,239 | ||||||
The Allstate Corp. | 415,282 | 25,482 | ||||||
The Chubb Corp. | 279,460 | 14,853 | ||||||
The Hartford Financial Services Group, Inc. | 203,517 | 17,741 | ||||||
The Progressive Corp. | 501,028 | 12,110 | ||||||
The St. Paul Travelers Cos., Inc. | 445,852 | 22,796 | ||||||
Torchmark Corp. | 64,261 | 3,964 | ||||||
UnumProvident Corp. | 196,938 | 3,895 | ||||||
XL Capital Ltd., Class A | 110,199 | 7,775 | ||||||
382,259 | ||||||||
Materials 3.0% | ||||||||
Air Products & Chemicals, Inc. | 142,154 | 9,904 | ||||||
Alcoa, Inc. | 557,137 | 16,107 | ||||||
Allegheny Technologies, Inc. | 54,355 | 4,279 | ||||||
Ashland, Inc. | 42,227 | 2,496 | ||||||
Ball Corp. | 60,522 | 2,517 | ||||||
Bemis Co. | 60,050 | 2,019 | ||||||
E.I. du Pont de Nemours & Co. | 589,978 | 27,021 | ||||||
Eastman Chemical Co. | 46,991 | 2,863 | ||||||
Ecolab, Inc. | 115,995 | 5,260 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 120,472 | 7,286 | ||||||
Hercules, Inc. * | 77,522 | 1,411 | ||||||
International Flavors & Fragrances, Inc. | 48,667 | 2,067 | ||||||
International Paper Co. | 315,603 | 10,525 | ||||||
Louisiana-Pacific Corp. | 61,194 | 1,211 | ||||||
MeadWestvaco Corp. | 117,577 | 3,236 | ||||||
Monsanto Co. | 346,476 | 15,321 | ||||||
Newmont Mining Corp. | 287,412 | 13,011 | ||||||
Nucor Corp. | 214,604 | 12,535 | ||||||
Pactiv Corp. * | 106,495 | 3,284 | ||||||
Phelps Dodge Corp. | 131,977 | 13,248 | ||||||
PPG Industries, Inc. | 115,861 | 7,925 | ||||||
Praxair, Inc. | 206,880 | 12,465 | ||||||
Rohm & Haas Co. | 93,042 | 4,822 | ||||||
Sealed Air Corp. | 54,055 | 3,217 | ||||||
Sigma-Aldrich Corp. | 39,413 | 2,960 | ||||||
Temple-Inland, Inc. | 80,959 | 3,193 | ||||||
The Dow Chemical Co. | 615,793 | 25,118 | ||||||
United States Steel Corp. | 81,248 | 5,492 | ||||||
Vulcan Materials Co. | 61,904 | 5,044 | ||||||
Weyerhaeuser Co. | 156,533 | 9,954 | ||||||
235,791 | ||||||||
Media 3.5% | ||||||||
CBS Corp., Class B | 504,311 | 14,595 | ||||||
Clear Channel Communications, Inc. | 318,500 | 11,100 | ||||||
Comcast Corp., Class A * | 1,353,032 | 55,028 | ||||||
Dow Jones & Co., Inc. (a) | 28,392 | 996 | ||||||
Gannett Co., Inc. | 145,039 | 8,578 | ||||||
Meredith Corp. | 17,454 | 916 | ||||||
News Corp., Class A | 1,514,811 | 31,584 | ||||||
Omnicom Group, Inc. | 114,691 | 11,635 | ||||||
The E.W. Scripps Co., Class A | 39,225 | 1,940 | ||||||
The Interpublic Group of Cos., Inc. * | 260,619 | 2,843 | ||||||
The McGraw-Hill Cos., Inc. | 242,211 | 15,543 | ||||||
The New York Times Co., Class A (a) | 82,087 | 1,984 | ||||||
The Walt Disney Co. | 1,370,176 | 43,106 | ||||||
Time Warner, Inc. | 2,604,429 | 52,115 | ||||||
Tribune Co. | 122,626 | 4,087 | ||||||
Univision Communications, Inc., Class A * | 134,435 | 4,713 | ||||||
Viacom, Inc., Class B * | 457,203 | 17,794 | ||||||
278,557 | ||||||||
Pharmaceuticals & Biotechnology 8.2% | ||||||||
Abbott Laboratories | 977,375 | 46,435 | ||||||
Allergan, Inc. | 97,761 | 11,291 | ||||||
Amgen, Inc. * | 755,118 | 57,321 | ||||||
Applied Biosystems Group-Applera Corp. | 125,342 | 4,675 | ||||||
Barr Pharmaceuticals, Inc. * | 66,437 | 3,479 | ||||||
Biogen Idec, Inc. * | 228,461 | 10,875 | ||||||
Bristol-Myers Squibb Co. | 1,259,128 | 31,164 | ||||||
Eli Lilly & Co. | 632,625 | 35,433 | ||||||
Fisher Scientific International, Inc. * | 77,676 | 6,651 | ||||||
Forest Laboratories, Inc. * | 209,623 | 10,259 | ||||||
Genzyme Corp. * | 165,507 | 11,173 | ||||||
Gilead Sciences, Inc. * | 291,372 | 20,076 | ||||||
Johnson & Johnson | 1,896,195 | 127,804 | ||||||
King Pharmaceuticals, Inc. * | 172,292 | 2,883 | ||||||
MedImmune, Inc. * | 153,659 | 4,923 | ||||||
Merck & Co., Inc. | 1,417,127 | 64,366 | ||||||
Millipore Corp. * | 28,708 | 1,853 | ||||||
Mylan Laboratories, Inc. | 126,349 | 2,590 | ||||||
PerkinElmer, Inc. | 71,880 | 1,535 | ||||||
Pfizer, Inc. | 4,721,357 | 125,824 | ||||||
Schering-Plough Corp. | 969,526 | 21,465 | ||||||
Thermo Electron Corp. * | 100,447 | 4,306 | ||||||
Waters Corp. * | 60,968 | 3,036 | ||||||
Watson Pharmaceuticals, Inc. * | 76,811 | 2,067 | ||||||
Wyeth | 861,882 | 43,982 | ||||||
655,466 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Real Estate 1.1% | ||||||||
Apartment Investment & Management Co., Class A | 57,401 | 3,290 | ||||||
Archstone-Smith Trust | 134,930 | 8,124 | ||||||
Boston Properties, Inc. | 65,900 | 7,040 | ||||||
Equity Office Properties Trust (a) | 237,008 | 10,073 | ||||||
Equity Residential | 186,292 | 10,174 | ||||||
Kimco Realty Corp. | 135,000 | 5,998 | ||||||
Plum Creek Timber Co., Inc. | 113,050 | 4,063 | ||||||
ProLogis | 155,206 | 9,820 | ||||||
Public Storage, Inc. | 68,725 | 6,165 | ||||||
Realogy Corp. * | 157,928 | 4,071 | ||||||
Simon Property Group, Inc. | 133,510 | 12,964 | ||||||
Vornado Realty Trust | 73,127 | 8,721 | ||||||
90,503 | ||||||||
Retailing 3.7% | ||||||||
Amazon.com, Inc. (a)* | 184,888 | 7,042 | ||||||
AutoNation, Inc. (a)* | 81,366 | 1,631 | ||||||
AutoZone, Inc. * | 29,807 | 3,338 | ||||||
Bed, Bath & Beyond, Inc. * | 179,765 | 7,243 | ||||||
Best Buy Co., Inc. | 252,741 | 13,964 | ||||||
Big Lots, Inc. * | 47,209 | 995 | ||||||
Circuit City Stores, Inc. | 93,008 | 2,509 | ||||||
Dillard’s, Inc., Class A | 33,811 | 1,020 | ||||||
Dollar General Corp. | 170,282 | 2,389 | ||||||
eBay, Inc. * | 740,406 | 23,789 | ||||||
Family Dollar Stores, Inc. | 90,192 | 2,656 | ||||||
Federated Department Stores, Inc. | 359,290 | 15,777 | ||||||
Genuine Parts Co. | 109,453 | 4,982 | ||||||
Home Depot, Inc. | 1,311,913 | 48,974 | ||||||
J.C. Penney Co., Inc. | 155,684 | 11,712 | ||||||
Kohl’s Corp. * | 217,951 | 15,387 | ||||||
Limited Brands, Inc. | 214,787 | 6,330 | ||||||
Lowe’s Cos., Inc. | 981,720 | 29,589 | ||||||
Nordstrom, Inc. | 142,282 | 6,737 | ||||||
Office Depot, Inc. * | 197,483 | 8,292 | ||||||
OfficeMax, Inc. | 47,067 | 2,240 | ||||||
RadioShack Corp. (a) | 79,867 | 1,425 | ||||||
Sears Holdings Corp. * | 58,475 | 10,202 | ||||||
Staples, Inc. | 461,497 | 11,902 | ||||||
Target Corp. | 544,939 | 32,250 | ||||||
The Gap, Inc. | 352,174 | 7,403 | ||||||
The Sherwin-Williams Co. | 67,751 | 4,013 | ||||||
The TJX Cos., Inc. | 292,939 | 8,481 | ||||||
Tiffany & Co. | 87,308 | 3,119 | ||||||
295,391 | ||||||||
Semiconductors & Semiconductor Equipment 2.7% | ||||||||
Advanced Micro Devices, Inc. (a)* | 306,171 | 6,512 | ||||||
Altera Corp. * | 224,794 | 4,145 | ||||||
Analog Devices, Inc. | 227,622 | 7,243 | ||||||
Applied Materials, Inc. | 938,249 | 16,316 | ||||||
Broadcom Corp., Class A * | 290,501 | 8,794 | ||||||
Freescale Semiconductor, Inc., Class B * | 264,873 | 10,417 | ||||||
Intel Corp. | 3,704,566 | 79,055 | ||||||
KLA-Tencor Corp. | 123,967 | 6,095 | ||||||
Linear Technology Corp. | 194,138 | 6,042 | ||||||
LSI Logic Corp. * | 254,038 | 2,553 | ||||||
Maxim Integrated Products, Inc. | 203,642 | 6,111 | ||||||
Micron Technology, Inc. * | 479,913 | 6,935 | ||||||
National Semiconductor Corp. | 191,430 | 4,650 | ||||||
Novellus Systems, Inc. * | 95,774 | 2,648 | ||||||
NVIDIA Corp. * | 220,100 | 7,675 | ||||||
PMC - Sierra, Inc. (a)* | 96,604 | 641 | ||||||
Teradyne, Inc. * | 131,483 | 1,843 | ||||||
Texas Instruments, Inc. | 1,013,840 | 30,598 | ||||||
Xilinx, Inc. | 214,068 | 5,461 | ||||||
213,734 | ||||||||
Software & Services 5.5% | ||||||||
Adobe Systems, Inc. * | 366,422 | 14,016 | ||||||
Affiliated Computer Services, Inc., Class A * | 63,172 | 3,378 | ||||||
Autodesk, Inc. * | 150,146 | 5,518 | ||||||
Automatic Data Processing, Inc. | 369,060 | 18,246 | ||||||
BMC Software, Inc. * | 160,701 | 4,871 | ||||||
CA, Inc. | 292,295 | 7,237 | ||||||
Citrix Systems, Inc. * | 114,845 | 3,391 | ||||||
Computer Sciences Corp. * | 109,953 | 5,811 | ||||||
Compuware Corp. * | 182,117 | 1,464 | ||||||
Convergys Corp. * | 92,806 | 1,968 | ||||||
Electronic Arts, Inc. * | 196,319 | 10,383 | ||||||
Electronic Data Systems Corp. | 365,088 | 9,248 | ||||||
First Data Corp. | 490,262 | 11,889 | ||||||
Fiserv, Inc. * | 131,097 | 6,476 | ||||||
Google, Inc., Class A * | 135,170 | 64,394 | ||||||
Intuit, Inc. * | 218,776 | 7,723 | ||||||
Microsoft Corp. (b) | 5,556,763 | 159,535 | ||||||
Novell, Inc. * | 224,287 | 1,346 | ||||||
Oracle Corp. * | 2,550,731 | 47,112 | ||||||
Parametric Technology Corp. * | 59,491 | 1,162 | ||||||
Paychex, Inc. | 210,830 | 8,324 | ||||||
Sabre Holdings Corp., Class A (a) | 72,922 | 1,854 | ||||||
Symantec Corp. * | 662,834 | 13,151 | ||||||
Unisys Corp. * | 184,292 | 1,205 | ||||||
VeriSign, Inc. * | 148,800 | 3,077 | ||||||
Yahoo! Inc. * | 800,491 | 21,085 | ||||||
433,864 | ||||||||
Technology Hardware & Equipment 6.8% | ||||||||
ADC Telecommunications, Inc. * | 59,641 | 853 | ||||||
Agilent Technologies, Inc. * | 272,667 | 9,707 | ||||||
Apple Computer, Inc. * | 544,625 | 44,158 | ||||||
Avaya, Inc. * | 263,155 | 3,371 | ||||||
Ciena Corp. * | 47,966 | 1,128 | ||||||
Cisco Systems, Inc. * | 3,909,298 | 94,331 | ||||||
Comverse Technology, Inc. * | 122,392 | 2,664 | ||||||
Corning, Inc. * | 997,429 | 20,377 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Dell, Inc. * | 1,436,194 | 34,943 | ||||||
EMC Corp. * | 1,503,326 | 18,416 | ||||||
Hewlett-Packard Co. | 1,764,558 | 68,359 | ||||||
International Business Machines Corp. | 978,747 | 90,368 | ||||||
Jabil Circuit, Inc. | 110,485 | 3,172 | ||||||
JDS Uniphase Corp. * | 127,689 | 1,855 | ||||||
Juniper Networks, Inc. * | 310,000 | 5,338 | ||||||
Lexmark International, Inc., Class A * | 73,116 | 4,649 | ||||||
Lucent Technologies, Inc. * | 2,873,749 | 6,983 | ||||||
Molex, Inc. | 90,848 | 3,171 | ||||||
Motorola, Inc. | 1,602,800 | 36,961 | ||||||
NCR Corp. * | 116,524 | 4,838 | ||||||
Network Appliance, Inc. * | 231,263 | 8,441 | ||||||
QLogic Corp. * | 107,172 | 2,206 | ||||||
QUALCOMM, Inc. | 1,062,758 | 38,674 | ||||||
SanDisk Corp. * | 111,600 | 5,368 | ||||||
Sanmina — SCI Corp. * | 288,702 | 1,140 | ||||||
Solectron Corp. * | 530,136 | 1,771 | ||||||
Sun Microsystems, Inc. * | 2,221,752 | 12,064 | ||||||
Symbol Technologies, Inc. | 109,217 | 1,631 | ||||||
Tektronix, Inc. | 55,351 | 1,681 | ||||||
Tellabs, Inc. * | 270,557 | 2,852 | ||||||
Xerox Corp. * | 630,296 | 10,715 | ||||||
542,185 | ||||||||
Telecommunication Services 3.5% | ||||||||
ALLTEL Corp. | 249,106 | 13,280 | ||||||
AT&T Corp. | 2,489,859 | 85,278 | ||||||
BellSouth Corp. | 1,158,380 | 52,243 | ||||||
CenturyTel, Inc. | 84,217 | 3,389 | ||||||
Citizens Communications Co. | 239,863 | 3,516 | ||||||
Embarq Corp. | 97,893 | 4,733 | ||||||
Qwest Communications International, Inc. * | 1,095,523 | 9,454 | ||||||
Sprint Nextel Corp. | 1,907,677 | 35,654 | ||||||
Verizon Communications, Inc. | 1,868,151 | 69,122 | ||||||
Windstream Corp. | 266,345 | 3,654 | ||||||
280,323 | ||||||||
Transportation 1.8% | ||||||||
Burlington Northern Santa Fe Corp. | 233,319 | 18,089 | ||||||
CSX Corp. | 283,726 | 10,120 | ||||||
FedEx Corp. | 195,349 | 22,375 | ||||||
Norfolk Southern Corp. | 265,504 | 13,958 | ||||||
Ryder System, Inc. | 35,093 | 1,848 | ||||||
Southwest Airlines Co. | 470,201 | 7,067 | ||||||
Union Pacific Corp. | 172,213 | 15,608 | ||||||
United Parcel Service, Inc., Class B | 688,790 | 51,900 | ||||||
140,965 | ||||||||
Utilities 3.4% | ||||||||
Allegheny Energy, Inc. * | 104,525 | 4,498 | ||||||
Ameren Corp. (a) | 125,730 | 6,802 | ||||||
American Electric Power Co., Inc. | 252,535 | 10,463 | ||||||
CenterPoint Energy, Inc. (a) | 174,137 | 2,696 | ||||||
CMS Energy Corp. * | 117,771 | 1,754 | ||||||
Consolidated Edison, Inc. | 150,869 | 7,294 | ||||||
Constellation Energy Group, Inc. | 114,391 | 7,138 | ||||||
Dominion Resources, Inc. | 217,358 | 17,604 | ||||||
DTE Energy Co. (a) | 110,514 | 5,021 | ||||||
Duke Energy Corp. | 790,869 | 25,023 | ||||||
Dynegy, Inc., Class A * | 244,620 | 1,487 | ||||||
Edison International | 208,567 | 9,269 | ||||||
Entergy Corp. | 132,173 | 11,344 | ||||||
Exelon Corp. | 428,054 | 26,531 | ||||||
FirstEnergy Corp. | 211,163 | 12,427 | ||||||
FPL Group, Inc. (a) | 260,750 | 13,298 | ||||||
KeySpan Corp. | 110,330 | 4,477 | ||||||
Nicor, Inc. | 21,182 | 973 | ||||||
NiSource, Inc. | 163,456 | 3,804 | ||||||
Peoples Energy Corp. | 15,854 | 693 | ||||||
PG&E Corp. | 222,156 | 9,584 | ||||||
Pinnacle West Capital Corp. | 51,945 | 2,483 | ||||||
PPL Corp. | 236,742 | 8,172 | ||||||
Progress Energy, Inc. (a) | 159,892 | 7,355 | ||||||
Public Service Enterprise Group, Inc. | 162,087 | 9,895 | ||||||
Sempra Energy | 165,517 | 8,779 | ||||||
TECO Energy, Inc. | 115,104 | 1,898 | ||||||
The AES Corp. * | 421,510 | 9,269 | ||||||
The Southern Co. | 474,309 | 17,265 | ||||||
TXU Corp. | 303,846 | 19,182 | ||||||
Xcel Energy, Inc. | 248,854 | 5,492 | ||||||
271,970 |
Security | Face Amount | Value | ||||||
Rate, Maturity Date | ($ x 1,000) | ($ x 1,000) | ||||||
Short-Term Investment 0.1% of net assets | ||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 8,212 | 8,212 | ||||||
U.S. Treasury Obligation 0.0% of net assets | ||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 3,000 | 2,983 | ||||||
End of Investments. |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Collateral Invested for Securities on Loan 1.6% of net assets | ||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 128,448,347 | 128,448 | ||||||
End of collateral invested for securities on loan. |
Number of | Contract | Unrealized | ||||||||||
Contracts | Value | Gains | ||||||||||
Futures Contract 0.1% of net assets | ||||||||||||
S&P 500 Index, e-mini, | ||||||||||||
Long, expires 12/15/06 | 105 | 7,262 | 389 |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. | |
(b) | All or a portion of this security is held as collateral for open futures contracts. | |
(c) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Cost | Value | |||||||||||
Holdings by Category | ($ x 1,000) | ($ x 1,000) | ||||||||||
98.9 | % | Common Stock | 1,812,825 | 2,057,718 | ||||||||
0.6 | % | Short-Term Investment | 11,977 | 11,977 | ||||||||
0.2 | % | U.S. Treasury Obligations | 3,282 | 3,282 | ||||||||
— | % | Warrants | — | 2 | ||||||||
99.7 | % | Total Investments | 1,828,084 | 2,072,979 | ||||||||
7.8 | % | Collateral Invested for Securities on Loan | 162,875 | 162,875 | ||||||||
(7.5 | )% | Other Assets and Liabilities, Net | (155,474 | ) | ||||||||
100.0 | % | Total Net Assets | 2,080,380 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Common Stock 98.9% of net assets | ||||||||
Automobiles & Components 0.6% | ||||||||
Ford Motor Co. | 314,445 | 2,603 | ||||||
General Motors Corp. (a) | 93,871 | 3,278 | ||||||
Harley-Davidson, Inc. (a) | 43,491 | 2,985 | ||||||
Johnson Controls, Inc. | 32,115 | 2,619 | ||||||
The Goodyear Tire & Rubber Co. (a)* | 27,545 | 422 | ||||||
11,907 | ||||||||
Banks 5.7% | ||||||||
AmSouth Bancorp | 56,795 | 1,716 | ||||||
BB&T Corp. | 89,140 | 3,880 | ||||||
Comerica, Inc. | 27,799 | 1,618 | ||||||
Commerce Bancorp, Inc. (a) | 30,963 | 1,081 | ||||||
Compass Bancshares, Inc. | 20,781 | 1,169 | ||||||
Countrywide Financial Corp. | 100,736 | 3,840 | ||||||
Fannie Mae | 160,637 | 9,519 | ||||||
Fifth Third Bancorp | 92,641 | 3,692 | ||||||
First Horizon National Corp. | 19,921 | 783 | ||||||
Freddie Mac | 114,649 | 7,910 | ||||||
Huntington Bancshares, Inc. (a) | 38,064 | 929 | ||||||
KeyCorp | 67,373 | 2,502 | ||||||
M&T Bank Corp. (a) | 13,417 | 1,634 | ||||||
Marshall & Ilsley Corp. | 42,183 | 2,022 | ||||||
MGIC Investment Corp. | 13,771 | 809 | ||||||
National City Corp. | 100,413 | 3,741 | ||||||
North Fork Bancorp, Inc. | 77,276 | 2,209 | ||||||
PNC Financial Services Group, Inc. | 48,647 | 3,407 | ||||||
Regions Financial Corp. (a) | 75,732 | 2,874 | ||||||
Sovereign Bancorp, Inc. | 55,442 | 1,323 | ||||||
SunTrust Banks, Inc. | 60,529 | 4,781 | ||||||
Synovus Financial Corp. | 53,744 | 1,579 | ||||||
U.S. Bancorp | 294,951 | 9,981 | ||||||
Wachovia Corp. | 317,754 | 17,635 | ||||||
Washington Mutual, Inc. | 159,937 | 6,765 | ||||||
Wells Fargo & Co. | 558,874 | 20,282 | ||||||
Zions Bancorp | 17,115 | 1,376 | ||||||
119,057 | ||||||||
Capital Goods 8.4% | ||||||||
3M Co. | 125,029 | 9,857 | ||||||
American Power Conversion Corp. | 22,385 | 677 | ||||||
American Standard Cos., Inc. | 27,164 | 1,203 | ||||||
Caterpillar, Inc. | 108,835 | 6,607 | ||||||
Cooper Industries Ltd., Class A | 17,176 | 1,536 | ||||||
Cummins, Inc. (a) | 9,374 | 1,190 | ||||||
Danaher Corp. | 38,677 | 2,776 | ||||||
Deere & Co. | 37,194 | 3,166 | ||||||
Dover Corp. | 34,792 | 1,653 | ||||||
Eaton Corp. | 24,246 | 1,756 | ||||||
Emerson Electric Co. | 67,624 | 5,707 | ||||||
Fluor Corp. | 14,194 | 1,113 | ||||||
General Dynamics Corp. | 66,920 | 4,758 | ||||||
General Electric Co. (b) | 1,713,315 | 60,155 | ||||||
Goodrich Corp. | 20,038 | 884 | ||||||
Honeywell International, Inc. | 135,940 | 5,726 | ||||||
Illinois Tool Works, Inc. | 69,698 | 3,341 | ||||||
Ingersoll-Rand Co., Ltd. Class A | 53,387 | 1,960 | ||||||
ITT Corp. | 33,775 | 1,837 | ||||||
L-3 Communications Holdings, Inc. | 20,457 | 1,647 | ||||||
Lockheed Martin Corp. | 59,516 | 5,174 | ||||||
Masco Corp. (a) | 63,518 | 1,756 | ||||||
Navistar International Corp. * | 8,854 | 246 | ||||||
Northrop Grumman Corp. (a) | 56,776 | 3,769 | ||||||
PACCAR, Inc. | 41,345 | 2,448 | ||||||
Pall Corp. | 20,034 | 639 | ||||||
Parker Hannifin Corp. | 19,631 | 1,642 | ||||||
Raytheon Co. | 76,221 | 3,807 | ||||||
Rockwell Automation, Inc. | 29,202 | 1,811 | ||||||
Rockwell Collins, Inc. | 28,412 | 1,650 | ||||||
Textron, Inc. | 21,300 | 1,937 | ||||||
The Boeing Co. | 132,934 | 10,616 | ||||||
Tyco International Ltd. | 334,344 | 9,840 | ||||||
United Technologies Corp. | 167,820 | 11,029 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
W.W. Grainger, Inc. | 12,522 | 911 | ||||||
174,824 | ||||||||
Commercial Services & Supplies 0.6% | ||||||||
Allied Waste Industries, Inc. * | 40,740 | 495 | ||||||
Avery Dennison Corp. | 16,899 | 1,067 | ||||||
Cintas Corp. | 22,679 | 939 | ||||||
Equifax, Inc. | 22,649 | 861 | ||||||
Monster Worldwide, Inc. * | 23,336 | 945 | ||||||
Pitney Bowes, Inc. | 36,772 | 1,718 | ||||||
R.R. Donnelley & Sons Co. (a) | 34,666 | 1,174 | ||||||
Robert Half International, Inc. | 28,427 | 1,039 | ||||||
Waste Management, Inc. | 91,276 | 3,421 | ||||||
11,659 | ||||||||
Consumer Durables & Apparel 1.2% | ||||||||
Brunswick Corp. | 15,437 | 486 | ||||||
Centex Corp. | 17,149 | 897 | ||||||
Coach, Inc. * | 60,719 | 2,407 | ||||||
D.R. Horton, Inc. | 35,407 | 830 | ||||||
Eastman Kodak Co. (a) | 47,687 | 1,164 | ||||||
Fortune Brands, Inc. | 23,659 | 1,821 | ||||||
Harman International Industries, Inc. | 11,014 | 1,127 | ||||||
Hasbro, Inc. | 35,442 | 919 | ||||||
Jones Apparel Group, Inc. | 20,500 | 685 | ||||||
KB Home | 10,385 | 467 | ||||||
Leggett & Platt, Inc. | 31,978 | 747 | ||||||
Lennar Corp., Class A | 22,340 | 1,061 | ||||||
Liz Claiborne, Inc. | 16,562 | 698 | ||||||
Mattel, Inc. | 64,010 | 1,448 | ||||||
Newell Rubbermaid, Inc. | 51,474 | 1,481 | ||||||
Nike, Inc., Class B | 31,794 | 2,921 | ||||||
Pulte Homes, Inc. | 27,600 | 855 | ||||||
Snap-On, Inc. | 13,922 | 655 | ||||||
The Black & Decker Corp. | 11,801 | 990 | ||||||
The Stanley Works (a) | 12,936 | 616 | ||||||
VF Corp. | 14,199 | 1,079 | ||||||
Whirlpool Corp. | 12,945 | 1,125 | ||||||
24,479 | ||||||||
Consumer Services 1.8% | ||||||||
Apollo Group, Inc., Class A * | 22,493 | 831 | ||||||
Carnival Corp. (a) | 73,861 | 3,606 | ||||||
Darden Restaurants, Inc. | 24,250 | 1,016 | ||||||
H&R Block, Inc. | 48,200 | 1,054 | ||||||
Harrah’s Entertainment, Inc. | 28,144 | 2,092 | ||||||
Hilton Hotels Corp. | 62,971 | 1,821 | ||||||
International Game Technology (a) | 56,282 | 2,393 | ||||||
Marriott International, Inc., Class A | 57,034 | 2,382 | ||||||
McDonald’s Corp. | 202,859 | 8,504 | ||||||
Starbucks Corp. (a)* | 124,731 | 4,709 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 36,190 | 2,162 | ||||||
Wendy’s International, Inc. | 19,491 | 674 | ||||||
Western Union Co. * | 126,987 | 2,800 | ||||||
Wyndham Worldwide Corp. * | 33,237 | 980 | ||||||
YUM! Brands, Inc. | 44,886 | 2,669 | ||||||
37,693 | ||||||||
Diversified Financials 10.3% | ||||||||
American Express Co. | 203,021 | 11,737 | ||||||
Ameriprise Financial, Inc. | 41,225 | 2,123 | ||||||
Bank of America Corp. (b) | 752,276 | 40,525 | ||||||
Capital One Financial Corp. | 50,828 | 4,032 | ||||||
Chicago Mercantile Exchange Holdings, Inc. | 5,900 | 2,956 | ||||||
CIT Group, Inc. | 32,984 | 1,717 | ||||||
Citigroup, Inc. (b) | 820,551 | 41,159 | ||||||
E*TRADE Financial Corp. * | 70,919 | 1,651 | ||||||
Federated Investors, Inc., Class B | 14,533 | 498 | ||||||
Franklin Resources, Inc. | 28,675 | 3,268 | ||||||
Janus Capital Group, Inc. | 34,780 | 698 | ||||||
JPMorgan Chase & Co. | 577,849 | 27,413 | ||||||
Legg Mason, Inc. | 20,596 | 1,854 | ||||||
Lehman Brothers Holdings, Inc. (a) | 89,137 | 6,939 | ||||||
Mellon Financial Corp. (a) | 71,165 | 2,761 | ||||||
Merrill Lynch & Co., Inc. | 147,141 | 12,863 | ||||||
Moody’s Corp. | 39,101 | 2,592 | ||||||
Morgan Stanley | 177,941 | 13,600 | ||||||
Northern Trust Corp. | 33,541 | 1,970 | ||||||
SLM Corp. | 68,033 | 3,312 | ||||||
State Street Corp. | 55,941 | 3,593 | ||||||
T. Rowe Price Group, Inc. | 43,478 | 2,057 | ||||||
The Bank of New York Co., Inc. (b) | 126,627 | 4,352 | ||||||
The Bear Stearns Cos., Inc. | 20,021 | 3,030 | ||||||
The Charles Schwab Corp. (c) | 171,623 | 3,127 | ||||||
The Goldman Sachs Group, Inc. (a) | 71,694 | 13,607 | ||||||
213,434 | ||||||||
Energy 9.3% | ||||||||
Anadarko Petroleum Corp. | 76,268 | 3,540 | ||||||
Apache Corp. | 52,409 | 3,423 | ||||||
Baker Hughes, Inc. | 54,571 | 3,768 | ||||||
BJ Services Co. | 49,173 | 1,483 | ||||||
Chesapeake Energy Corp. (a) | 59,545 | 1,932 | ||||||
ChevronTexaco Corp. | 363,287 | 24,413 | ||||||
ConocoPhillips | 271,861 | 16,377 | ||||||
CONSOL Energy, Inc. | 25,256 | 894 | ||||||
Devon Energy Corp. | 73,184 | 4,892 | ||||||
El Paso Corp. | 115,494 | 1,582 | ||||||
EOG Resources, Inc. | 40,250 | 2,678 | ||||||
Exxon Mobil Corp. (b) | 986,722 | 70,472 | ||||||
Halliburton Co. | 171,096 | 5,535 | ||||||
Hess Corp. (a) | 36,258 | 1,537 | ||||||
Kinder Morgan, Inc. | 17,763 | 1,867 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Marathon Oil Corp. | 59,467 | 5,138 | ||||||
Murphy Oil Corp. | 29,054 | 1,370 | ||||||
Nabors Industries Ltd. (a)* | 52,428 | 1,619 | ||||||
National-Oilwell Varco, Inc. * | 28,093 | 1,697 | ||||||
Noble Corp. | 21,286 | 1,492 | ||||||
Occidental Petroleum Corp. | 142,958 | 6,710 | ||||||
Rowan Cos., Inc. | 14,575 | 487 | ||||||
Schlumberger Ltd. (a) | 196,488 | 12,394 | ||||||
Smith International, Inc. (a) | 32,500 | 1,283 | ||||||
Sunoco, Inc. | 22,658 | 1,498 | ||||||
Transocean, Inc. (a)* | 51,828 | 3,760 | ||||||
Valero Energy Corp. | 101,137 | 5,292 | ||||||
Weatherford International Ltd. * | 54,909 | 2,256 | ||||||
Williams Cos., Inc. (a) | 97,635 | 2,385 | ||||||
XTO Energy, Inc. | 60,042 | 2,802 | ||||||
194,576 | ||||||||
Food & Staples Retailing 2.2% | ||||||||
Costco Wholesale Corp. | 75,817 | 4,047 | ||||||
CVS Corp. | 136,308 | 4,277 | ||||||
Safeway, Inc. | 73,824 | 2,168 | ||||||
Supervalu, Inc. | 34,258 | 1,144 | ||||||
Sysco Corp. | 101,740 | 3,559 | ||||||
The Kroger Co. | 119,939 | 2,698 | ||||||
Wal-Mart Stores, Inc. (b) | 405,276 | 19,972 | ||||||
Walgreen Co. | 167,266 | 7,306 | ||||||
Whole Foods Market, Inc. (a) | 22,969 | 1,466 | ||||||
46,637 | ||||||||
Food, Beverage & Tobacco 4.7% | ||||||||
Altria Group, Inc. (b) | 347,476 | 28,260 | ||||||
Anheuser-Busch Cos., Inc. | 127,602 | 6,051 | ||||||
Archer-Daniels-Midland Co. | 108,783 | 4,188 | ||||||
Brown-Forman Corp., Class B | 13,755 | 993 | ||||||
Campbell Soup Co. | 38,256 | 1,430 | ||||||
Coca-Cola Enterprises, Inc. | 47,834 | 958 | ||||||
ConAgra Foods, Inc. (a) | 86,269 | 2,256 | ||||||
Constellation Brands, Inc., Class A * | 31,450 | 865 | ||||||
Dean Foods Co. * | 21,419 | 897 | ||||||
General Mills, Inc. | 59,601 | 3,386 | ||||||
H.J. Heinz Co. | 57,960 | 2,444 | ||||||
Kellogg Co. | 41,491 | 2,087 | ||||||
McCormick & Co., Inc. | 26,561 | 993 | ||||||
Molson Coors Brewing Co., Class B | 7,976 | 568 | ||||||
PepsiCo, Inc. | 273,595 | 17,357 | ||||||
Reynolds American, Inc. (a) | 28,068 | 1,773 | ||||||
Sara Lee Corp. | 128,493 | 2,197 | ||||||
The Coca-Cola Co. | 338,214 | 15,801 | ||||||
The Hershey Co. | 27,457 | 1,453 | ||||||
The Pepsi Bottling Group, Inc. | 25,101 | 794 | ||||||
Tyson Foods, Inc., Class A | 34,240 | 495 | ||||||
UST, Inc. | 25,814 | 1,383 | ||||||
Wm. Wrigley Jr. Co. | 34,509 | 1,793 | ||||||
98,422 | ||||||||
Health Care Equipment & Services 4.1% | ||||||||
Aetna, Inc. | 90,887 | 3,746 | ||||||
AmerisourceBergen Corp. | 34,072 | 1,608 | ||||||
Bausch & Lomb, Inc. | 8,111 | 434 | ||||||
Baxter International, Inc. | 109,114 | 5,016 | ||||||
Becton Dickinson & Co. | 40,679 | 2,849 | ||||||
Biomet, Inc. | 39,764 | 1,505 | ||||||
Boston Scientific Corp. * | 189,355 | 3,013 | ||||||
C.R. Bard, Inc. | 17,207 | 1,410 | ||||||
Cardinal Health, Inc. | 67,281 | 4,404 | ||||||
Caremark Rx, Inc. | 72,089 | 3,549 | ||||||
CIGNA Corp. | 19,931 | 2,332 | ||||||
Coventry Health Care, Inc. * | 25,531 | 1,199 | ||||||
Express Scripts, Inc. * | 23,540 | 1,500 | ||||||
HCA, Inc. | 70,318 | 3,552 | ||||||
Health Management Associates, Inc., Class A | 38,440 | 757 | ||||||
Hospira, Inc. * | 26,061 | 947 | ||||||
Humana, Inc. (a)* | 29,548 | 1,773 | ||||||
IMS Health, Inc. | 36,124 | 1,006 | ||||||
Laboratory Corp. of America Holdings * | 20,053 | 1,373 | ||||||
Manor Care, Inc. (a) | 12,055 | 578 | ||||||
McKesson Corp. | 51,782 | 2,594 | ||||||
Medco Health Solutions, Inc. * | 48,311 | 2,585 | ||||||
Medtronic, Inc. | 188,732 | 9,187 | ||||||
Patterson Cos., Inc. (a)* | 20,090 | 660 | ||||||
Quest Diagnostics, Inc. | 25,974 | 1,292 | ||||||
St. Jude Medical, Inc. * | 54,201 | 1,862 | ||||||
Stryker Corp. (a) | 49,227 | 2,574 | ||||||
Tenet Healthcare Corp. * | 75,592 | 534 | ||||||
UnitedHealth Group, Inc. | 223,590 | 10,907 | ||||||
WellPoint, Inc. * | 103,611 | 7,908 | ||||||
Zimmer Holdings, Inc. * | 40,290 | 2,901 | ||||||
85,555 | ||||||||
Household & Personal Products 2.4% | ||||||||
Alberto-Culver Co., Class B | 12,491 | 635 | ||||||
Avon Products, Inc. | 74,254 | 2,258 | ||||||
Clorox Co. | 25,064 | 1,618 | ||||||
Colgate-Palmolive Co. | 85,666 | 5,480 | ||||||
Kimberly-Clark Corp. | 76,078 | 5,061 | ||||||
Procter & Gamble Co. | 526,953 | 33,403 | ||||||
The Estee Lauder Cos., Inc., Class A | 20,720 | 837 | ||||||
49,292 | ||||||||
Insurance 4.7% | ||||||||
ACE Ltd. | 53,926 | 3,087 | ||||||
AFLAC, Inc. (b) | 83,698 | 3,760 | ||||||
Ambac Financial Group, Inc. | 19,390 | 1,619 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
American International Group, Inc. | 431,354 | 28,974 | ||||||
AON Corp. (a) | 56,402 | 1,962 | ||||||
Cincinnati Financial Corp. | 28,186 | 1,287 | ||||||
Genworth Financial, Inc., Class A | 78,747 | 2,633 | ||||||
Lincoln National Corp. | 49,296 | 3,121 | ||||||
Loews Corp. | 78,613 | 3,060 | ||||||
Marsh & McLennan Cos., Inc. | 87,889 | 2,587 | ||||||
MBIA, Inc. | 22,374 | 1,388 | ||||||
MetLife, Inc. (b) | 127,375 | 7,277 | ||||||
Principal Financial Group, Inc. | 46,983 | 2,654 | ||||||
Prudential Financial, Inc. | 80,511 | 6,194 | ||||||
SAFECO Corp. | 22,171 | 1,290 | ||||||
The Allstate Corp. (b) | 104,498 | 6,412 | ||||||
The Chubb Corp. | 69,803 | 3,710 | ||||||
The Hartford Financial Services Group, Inc. | 51,141 | 4,458 | ||||||
The Progressive Corp. | 128,123 | 3,097 | ||||||
The St. Paul Travelers Cos., Inc. | 115,894 | 5,926 | ||||||
Torchmark Corp. | 15,882 | 979 | ||||||
UnumProvident Corp. | 60,158 | 1,190 | ||||||
XL Capital Ltd., Class A | 29,925 | 2,111 | ||||||
98,776 | ||||||||
Materials 3.0% | ||||||||
Air Products & Chemicals, Inc. | 36,577 | 2,548 | ||||||
Alcoa, Inc. | 140,238 | 4,054 | ||||||
Allegheny Technologies, Inc. | 16,321 | 1,285 | ||||||
Ashland, Inc. | 10,893 | 644 | ||||||
Ball Corp. | 14,212 | 591 | ||||||
Bemis Co. (b) | 16,797 | 565 | ||||||
E.I. du Pont de Nemours & Co. | 152,959 | 7,006 | ||||||
Eastman Chemical Co. | 13,231 | 806 | ||||||
Ecolab, Inc. | 29,632 | 1,344 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 33,654 | 2,035 | ||||||
Hercules, Inc. * | 31,113 | 566 | ||||||
International Flavors & Fragrances, Inc. | 12,182 | 517 | ||||||
International Paper Co. | 78,841 | 2,629 | ||||||
Louisiana-Pacific Corp. | 17,044 | 337 | ||||||
MeadWestvaco Corp. | 30,043 | 827 | ||||||
Monsanto Co. | 90,070 | 3,983 | ||||||
Newmont Mining Corp. | 73,909 | 3,346 | ||||||
Nucor Corp. | 53,731 | 3,138 | ||||||
Pactiv Corp. * | 29,340 | 905 | ||||||
Phelps Dodge Corp. (a) | 35,145 | 3,528 | ||||||
PPG Industries, Inc. | 29,563 | 2,022 | ||||||
Praxair, Inc. | 53,526 | 3,225 | ||||||
Rohm & Haas Co. | 26,168 | 1,356 | ||||||
Sealed Air Corp. | 14,221 | 846 | ||||||
Sigma-Aldrich Corp. | 10,659 | 801 | ||||||
Temple-Inland, Inc. | 22,480 | 887 | ||||||
The Dow Chemical Co. | 159,246 | 6,496 | ||||||
United States Steel Corp. | 23,309 | 1,576 | ||||||
Vulcan Materials Co. | 14,728 | 1,200 | ||||||
Weyerhaeuser Co. | 40,395 | 2,569 | ||||||
61,632 | ||||||||
Media 3.4% | ||||||||
CBS Corp., Class B | 132,327 | 3,829 | ||||||
Clear Channel Communications, Inc. | 82,382 | 2,871 | ||||||
Comcast Corp., Class A (a)(b)* | 347,379 | 14,128 | ||||||
Dow Jones & Co., Inc. (a) | 7,406 | 260 | ||||||
Gannett Co., Inc. | 38,727 | 2,290 | ||||||
Meredith Corp. | 5,921 | 311 | ||||||
News Corp., Class A | 387,773 | 8,085 | ||||||
Omnicom Group, Inc. | 29,778 | 3,021 | ||||||
The E.W. Scripps Co., Class A | 13,410 | 663 | ||||||
The Interpublic Group of Cos., Inc. * | 70,334 | 767 | ||||||
The McGraw-Hill Cos., Inc. | 59,981 | 3,849 | ||||||
The New York Times Co., Class A (a) | 18,809 | 455 | ||||||
The Walt Disney Co. | 348,799 | 10,973 | ||||||
Time Warner, Inc. (a) | 675,004 | 13,507 | ||||||
Tribune Co. | 30,780 | 1,026 | ||||||
Univision Communications, Inc., Class A * | 40,296 | 1,413 | ||||||
Viacom, Inc., Class B * | 115,108 | 4,480 | ||||||
71,928 | ||||||||
Pharmaceuticals & Biotechnology 8.1% | ||||||||
Abbott Laboratories (b) | 253,614 | 12,049 | ||||||
Allergan, Inc. | 25,069 | 2,896 | ||||||
Amgen, Inc. (b)* | 194,310 | 14,750 | ||||||
Applied Biosystems Group-Applera Corp. | 35,411 | 1,321 | ||||||
Barr Pharmaceuticals, Inc. * | 17,025 | 892 | ||||||
Biogen Idec, Inc. * | 59,638 | 2,839 | ||||||
Bristol-Myers Squibb Co. | 326,348 | 8,077 | ||||||
Eli Lilly & Co. | 163,239 | 9,143 | ||||||
Fisher Scientific International, Inc. (a)* | 20,662 | 1,769 | ||||||
Forest Laboratories, Inc. * | 55,026 | 2,693 | ||||||
Genzyme Corp. * | 43,396 | 2,930 | ||||||
Gilead Sciences, Inc. (a)* | 75,859 | 5,227 | ||||||
Johnson & Johnson | 486,334 | 32,779 | ||||||
King Pharmaceuticals, Inc. * | 42,753 | 715 | ||||||
MedImmune, Inc. * | 35,581 | 1,140 | ||||||
Merck & Co., Inc. | 362,967 | 16,486 | ||||||
Millipore Corp. * | 8,013 | 517 | ||||||
Mylan Laboratories, Inc. | 33,623 | 689 | ||||||
PerkinElmer, Inc. | 20,053 | 428 | ||||||
Pfizer, Inc. (b) | 1,212,987 | 32,326 | ||||||
Schering-Plough Corp. | 248,515 | 5,502 | ||||||
Thermo Electron Corp. (a)* | 25,269 | 1,083 | ||||||
Waters Corp. * | 16,190 | 806 | ||||||
Watson Pharmaceuticals, Inc. * | 18,801 | 506 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Wyeth | 223,309 | 11,395 | ||||||
168,958 | ||||||||
Real Estate 1.2% | ||||||||
Apartment Investment & Management Co., Class A | 15,668 | 898 | ||||||
Archstone-Smith Trust | 35,530 | 2,139 | ||||||
Boston Properties, Inc. | 18,973 | 2,027 | ||||||
Equity Office Properties Trust (a) | 58,146 | 2,471 | ||||||
Equity Residential | 48,308 | 2,638 | ||||||
Kimco Realty Corp. | 35,990 | 1,599 | ||||||
Plum Creek Timber Co., Inc. | 28,718 | 1,032 | ||||||
ProLogis | 40,701 | 2,575 | ||||||
Public Storage, Inc. | 20,173 | 1,810 | ||||||
Realogy Corp. * | 38,471 | 992 | ||||||
Simon Property Group, Inc. | 36,729 | 3,566 | ||||||
Vornado Realty Trust | 20,199 | 2,409 | ||||||
24,156 | ||||||||
Retailing 3.7% | ||||||||
Amazon.com, Inc. (a)* | 47,538 | 1,811 | ||||||
AutoNation, Inc. (a)* | 24,053 | 482 | ||||||
AutoZone, Inc. * | 7,574 | 848 | ||||||
Bed, Bath & Beyond, Inc. * | 44,297 | 1,785 | ||||||
Best Buy Co., Inc. | 66,978 | 3,701 | ||||||
Big Lots, Inc. * | 17,478 | 368 | ||||||
Circuit City Stores, Inc. | 22,320 | 602 | ||||||
Dillard’s, Inc., Class A | 9,678 | 292 | ||||||
Dollar General Corp. | 36,223 | 508 | ||||||
eBay, Inc. * | 194,945 | 6,264 | ||||||
Family Dollar Stores, Inc. | 27,134 | 799 | ||||||
Federated Department Stores, Inc. | 91,554 | 4,020 | ||||||
Genuine Parts Co. | 27,744 | 1,263 | ||||||
Home Depot, Inc. | 337,022 | 12,581 | ||||||
J.C. Penney Co., Inc. | 38,956 | 2,931 | ||||||
Kohl’s Corp. * | 54,297 | 3,833 | ||||||
Limited Brands, Inc. | 55,379 | 1,632 | ||||||
Lowe’s Cos., Inc. | 250,377 | 7,546 | ||||||
Nordstrom, Inc. | 41,414 | 1,961 | ||||||
Office Depot, Inc. * | 48,892 | 2,053 | ||||||
OfficeMax, Inc. | 14,397 | 685 | ||||||
RadioShack Corp. (a) | 20,945 | 374 | ||||||
Sears Holdings Corp. (a)* | 14,653 | 2,556 | ||||||
Staples, Inc. | 119,463 | 3,081 | ||||||
Target Corp. | 142,520 | 8,434 | ||||||
The Gap, Inc. | 87,628 | 1,842 | ||||||
The Sherwin-Williams Co. | 18,044 | 1,069 | ||||||
The TJX Cos., Inc. | 74,587 | 2,159 | ||||||
Tiffany & Co. | 19,192 | 686 | ||||||
76,166 | ||||||||
Semiconductors & Semiconductor Equipment 2.6% | ||||||||
Advanced Micro Devices, Inc. (a)* | 80,599 | 1,714 | ||||||
Altera Corp. * | 59,626 | 1,100 | ||||||
Analog Devices, Inc. | 58,510 | 1,862 | ||||||
Applied Materials, Inc. | 247,962 | 4,312 | ||||||
Broadcom Corp., Class A (a)* | 74,246 | 2,247 | ||||||
Freescale Semiconductor, Inc., Class B * | 66,356 | 2,610 | ||||||
Intel Corp. (b) | 957,272 | 20,428 | ||||||
KLA-Tencor Corp. | 32,996 | 1,622 | ||||||
Linear Technology Corp. | 49,950 | 1,554 | ||||||
LSI Logic Corp. * | 69,172 | 695 | ||||||
Maxim Integrated Products, Inc. | 49,704 | 1,492 | ||||||
Micron Technology, Inc. * | 128,614 | 1,859 | ||||||
National Semiconductor Corp. | 47,796 | 1,161 | ||||||
Novellus Systems, Inc. * | 27,114 | 750 | ||||||
NVIDIA Corp. (a)* | 58,456 | 2,038 | ||||||
PMC — Sierra, Inc. (a)* | 18,535 | 123 | ||||||
Teradyne, Inc. * | 37,408 | 525 | ||||||
Texas Instruments, Inc. | 254,314 | 7,675 | ||||||
Xilinx, Inc. (a) | 56,439 | 1,440 | ||||||
55,207 | ||||||||
Software & Services 5.4% | ||||||||
Adobe Systems, Inc. * | 96,169 | 3,678 | ||||||
Affiliated Computer Services, Inc., Class A * | 17,993 | 962 | ||||||
Autodesk, Inc. * | 38,471 | 1,414 | ||||||
Automatic Data Processing, Inc. | 92,234 | 4,560 | ||||||
BMC Software, Inc. (a)* | 40,314 | 1,222 | ||||||
CA, Inc. | 69,880 | 1,730 | ||||||
Citrix Systems, Inc. * | 30,552 | 902 | ||||||
Computer Sciences Corp. * | 28,536 | 1,508 | ||||||
Compuware Corp. * | 59,340 | 477 | ||||||
Convergys Corp. * | 25,295 | 537 | ||||||
Electronic Arts, Inc. * | 50,920 | 2,693 | ||||||
Electronic Data Systems Corp. | 91,637 | 2,321 | ||||||
First Data Corp. | 126,987 | 3,079 | ||||||
Fiserv, Inc. * | 30,347 | 1,499 | ||||||
Google, Inc., Class A (a)* | 35,263 | 16,799 | ||||||
Intuit, Inc. * | 57,495 | 2,030 | ||||||
Microsoft Corp. (b) | 1,433,501 | 41,156 | ||||||
Novell, Inc. * | 58,583 | 352 | ||||||
Oracle Corp. * | 669,403 | 12,364 | ||||||
Parametric Technology Corp. * | 17,533 | 343 | ||||||
Paychex, Inc. (a) | 56,181 | 2,218 | ||||||
Sabre Holdings Corp., Class A (a) | 21,122 | 537 | ||||||
Symantec Corp. * | 164,170 | 3,257 | ||||||
Unisys Corp. * | 52,541 | 344 | ||||||
VeriSign, Inc. * | 40,696 | 842 | ||||||
Yahoo! Inc. (a)* | 202,064 | 5,322 | ||||||
112,146 | ||||||||
Technology Hardware & Equipment 6.8% | ||||||||
ADC Telecommunications, Inc. * | 19,488 | 279 | ||||||
Agilent Technologies, Inc. * | 69,330 | 2,468 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Apple Computer, Inc. (a)* | 141,159 | 11,445 | ||||||
Avaya, Inc. * | 73,345 | 940 | ||||||
Ciena Corp. * | 13,528 | 318 | ||||||
Cisco Systems, Inc. (b)* | 1,013,155 | 24,447 | ||||||
Comverse Technology, Inc. * | 33,494 | 729 | ||||||
Corning, Inc. (a)* | 258,838 | 5,288 | ||||||
Dell, Inc. (b)* | 372,733 | 9,069 | ||||||
EMC Corp. * | 381,475 | 4,673 | ||||||
Hewlett-Packard Co. | 456,585 | 17,688 | ||||||
International Business Machines Corp. | 253,427 | 23,399 | ||||||
Jabil Circuit, Inc. | 29,647 | 851 | ||||||
JDS Uniphase Corp. * | 27,977 | 407 | ||||||
Juniper Networks, Inc. * | 92,171 | 1,587 | ||||||
Lexmark International, Inc., Class A * | 19,578 | 1,245 | ||||||
Lucent Technologies, Inc. * | 743,904 | 1,808 | ||||||
Molex, Inc. | 24,651 | 860 | ||||||
Motorola, Inc. | 406,651 | 9,377 | ||||||
NCR Corp. * | 30,258 | 1,256 | ||||||
Network Appliance, Inc. * | 61,767 | 2,254 | ||||||
QLogic Corp. * | 29,893 | 615 | ||||||
QUALCOMM, Inc. | 274,179 | 9,977 | ||||||
SanDisk Corp. * | 31,867 | 1,533 | ||||||
Sanmina — SCI Corp. * | 81,576 | 322 | ||||||
Solectron Corp. * | 146,290 | 489 | ||||||
Sun Microsystems, Inc. * | 582,428 | 3,163 | ||||||
Symbol Technologies, Inc. | 40,759 | 609 | ||||||
Tektronix, Inc. | 16,824 | 511 | ||||||
Tellabs, Inc. * | 75,431 | 795 | ||||||
Xerox Corp. (a)* | 170,094 | 2,892 | ||||||
141,294 | ||||||||
Telecommunication Services 3.5% | ||||||||
ALLTEL Corp. | 64,424 | 3,435 | ||||||
AT&T Corp. (a) | 644,616 | 22,078 | ||||||
BellSouth Corp. | 301,323 | 13,590 | ||||||
CenturyTel, Inc. | 23,721 | 955 | ||||||
Citizens Communications Co. (a) | 66,025 | 968 | ||||||
Embarq Corp. | 24,786 | 1,198 | ||||||
Qwest Communications International, Inc. * | 279,267 | 2,410 | ||||||
Sprint Nextel Corp. | 495,817 | 9,267 | ||||||
Verizon Communications, Inc. | 481,086 | 17,800 | ||||||
Windstream Corp. | 76,048 | 1,043 | ||||||
72,744 | ||||||||
Transportation 1.8% | ||||||||
Burlington Northern Santa Fe Corp. | 60,029 | 4,654 | ||||||
CSX Corp. | 73,630 | 2,626 | ||||||
FedEx Corp. | 50,876 | 5,827 | ||||||
Norfolk Southern Corp. | 68,035 | 3,577 | ||||||
Ryder System, Inc. | 10,291 | 542 | ||||||
Southwest Airlines Co. | 138,261 | 2,078 | ||||||
Union Pacific Corp. | 44,672 | 4,049 | ||||||
United Parcel Service, Inc., Class B (a) | 179,457 | 13,522 | ||||||
36,875 | ||||||||
Utilities 3.4% | ||||||||
Allegheny Energy, Inc. * | 27,991 | 1,204 | ||||||
Ameren Corp. (a) | 32,380 | 1,752 | ||||||
American Electric Power Co., Inc. | 65,340 | 2,707 | ||||||
CenterPoint Energy, Inc. (a) | 43,936 | 680 | ||||||
CMS Energy Corp. * | 36,742 | 547 | ||||||
Consolidated Edison, Inc. | 36,742 | 1,776 | ||||||
Constellation Energy Group, Inc. | 29,858 | 1,863 | ||||||
Dominion Resources, Inc. | 57,278 | 4,639 | ||||||
DTE Energy Co. (a) | 25,619 | 1,164 | ||||||
Duke Energy Corp. | 207,020 | 6,550 | ||||||
Dynegy, Inc., Class A * | 60,711 | 369 | ||||||
Edison International | 54,039 | 2,401 | ||||||
Entergy Corp. | 33,366 | 2,864 | ||||||
Exelon Corp. | 111,144 | 6,889 | ||||||
FirstEnergy Corp. | 54,727 | 3,221 | ||||||
FPL Group, Inc. (a) | 67,160 | 3,425 | ||||||
KeySpan Corp. | 28,072 | 1,139 | ||||||
Nicor, Inc. | 4,127 | 190 | ||||||
NiSource, Inc. | 40,929 | 952 | ||||||
Peoples Energy Corp. | 6,411 | 280 | ||||||
PG&E Corp. | 58,277 | 2,514 | ||||||
Pinnacle West Capital Corp. | 15,846 | 758 | ||||||
PPL Corp. | 63,271 | 2,184 | ||||||
Progress Energy, Inc. (a) | 39,907 | 1,836 | ||||||
Public Service Enterprise Group, Inc. | 40,151 | 2,451 | ||||||
Sempra Energy | 41,469 | 2,200 | ||||||
TECO Energy, Inc. | 33,523 | 553 | ||||||
The AES Corp. * | 111,078 | 2,443 | ||||||
The Southern Co. | 120,388 | 4,382 | ||||||
TXU Corp. | 77,783 | 4,910 | ||||||
Xcel Energy, Inc. (a) | 66,043 | 1,458 | ||||||
70,301 |
Security | Face Amount | |||||||
Rate, Maturity Date | ($ x 1,000) | |||||||
Short-Term Investment 0.6% of net assets | ||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 11,977 | 11,977 |
Table of Contents
Maturity Amount | Value | |||||||
Security | ($ x 1,000) | ($ x 1,000) | ||||||
U.S. Treasury Obligations 0.2% of net assets | ||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 2,500 | 2,486 | ||||||
4.91%, 12/14/06 | 150 | 149 | ||||||
4.93%, 12/14/06 | 600 | 597 | ||||||
5.00%, 12/14/06 | 50 | 50 | ||||||
3,282 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Warrants 0.0% of net assets | ||||||||
Technology Hardware & Equipment 0.0% | ||||||||
Lucent Technologies, Inc. * expires 12/10/07 | 11,390 | 2 |
Security | Face Amount | Value | ||||||
Rate, Maturity Date | ($ x 1,000) | ($ x 1,000) | ||||||
Collateral Invested for Securities on Loan 7.8% of net assets | ||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 162,875,434 | 162,875 |
Number of | Contract | Unrealized | ||||||||||
Contracts | Value | Gains | ||||||||||
Futures Contracts | ||||||||||||
S&P500 Index, e-mini, Long, expires 12/15/06 | 177 | 12,241 | 276 | |||||||||
S&P500 Index, Long, expires 12/14/06 | 20 | 6,916 | 31 | |||||||||
307 |
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | All or a portion of this security is held as collateral for open futures contracts. | |
(c) | Issuer is affiliated with the fund’s adviser. |
Table of Contents
Cost | Value | |||||||||||
Holdings by Category | ($ x 1,000) | ($ x 1,000) | ||||||||||
99.7 | % | Common Stock | 1,241,488 | 1,654,700 | ||||||||
0.2 | % | Short-Term Investment | 3,156 | 3,156 | ||||||||
— | % | U.S. Treasury Obligation | 679 | 681 | ||||||||
99.9 | % | Total Investments | 1,245,323 | 1,658,537 | ||||||||
15.2 | % | Collateral Invested for Securities on Loan | 251,338 | 251,338 | ||||||||
(15.1) | % | Other Assets and Liabilities, Net | (250,387 | ) | ||||||||
100.0 | % | Total Net Assets | 1,659,488 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Common Stock 99.7% of net assets | ||||||||
Automobiles & Components 0.9% | ||||||||
American Axle & Manufacturing Holdings, Inc. | 62,185 | 1,166 | ||||||
ArvinMeritor, Inc. (a) | 94,012 | 1,412 | ||||||
Bandag, Inc. (a) | 23,140 | 1,016 | ||||||
Cooper Tire & Rubber Co. (a) | 77,323 | 830 | ||||||
Drew Industries, Inc. * | 20,713 | 562 | ||||||
Fleetwood Enterprises, Inc. * | 74,244 | 530 | ||||||
Lear Corp. (a)* | 82,635 | 2,496 | ||||||
LKQ Corp. * | 54,006 | 1,250 | ||||||
Modine Manufacturing Co. | 48,491 | 1,154 | ||||||
Sauer-Danfoss, Inc. | 69,820 | 1,852 | ||||||
Tenneco Automotive, Inc. * | 58,618 | 1,331 | ||||||
Winnebago Industries, Inc. | 48,930 | 1,629 | ||||||
15,228 | ||||||||
Banks 8.1% | ||||||||
1st Source Corp. | 19,321 | 610 | ||||||
Accredited Home Lenders Holding Co. * | 27,071 | 828 | ||||||
Alabama National Bancorp | 23,882 | 1,620 | ||||||
Amcore Financial, Inc. | 34,593 | 1,083 | ||||||
Anchor Bancorp Wisconsin, Inc. | 30,587 | 888 | ||||||
BancFirst Corp. | 16,416 | 817 | ||||||
BancorpSouth, Inc. | 114,368 | 2,922 | ||||||
Bank Mutual Corp. | 73,693 | 893 | ||||||
BankAtlantic Bancorp, Inc., Class A | 71,834 | 941 | ||||||
BankUnited Financial Corp., Class A | 48,313 | 1,303 | ||||||
Boston Private Financial Holdings, Inc. | 44,772 | 1,238 | ||||||
Brookline Bancorp, Inc. | 74,496 | 993 | ||||||
Cathay General Bancorp (a) | 66,222 | 2,281 | ||||||
Centennial Bank Holdings, Inc. * | 70,865 | 680 | ||||||
Central Pacific Financial Corp. | 39,332 | 1,447 | ||||||
Charter Financial Corp. (a) | 19,395 | 921 | ||||||
CharterMac (a) | 71,623 | 1,458 | ||||||
Chemical Financial Corp. | 35,103 | 1,050 | ||||||
Chittenden Corp. | 64,424 | 1,900 | ||||||
Citizens Banking Corp. (a) | 60,364 | 1,568 | ||||||
Corus Bankshares, Inc. (a) | 77,748 | 1,596 | ||||||
CVB Financial Corp. | 98,654 | 1,433 | ||||||
Doral Financial Corp. (a) | 144,207 | 663 | ||||||
Downey Financial Corp. (a) | 39,030 | 2,688 | ||||||
East West Bancorp, Inc. | 64,357 | 2,350 | ||||||
F.N.B. Corp. (a) | 74,937 | 1,269 | ||||||
Fidelity Bankshares, Inc. | 32,583 | 1,293 | ||||||
First Bancorp. | 112,777 | 1,116 | ||||||
First Charter Corp. | 39,758 | 990 | ||||||
First Citizens BancShares, Inc., Class A | 15,465 | 2,904 | ||||||
First Commonwealth Financial Corp. (a) | 83,956 | 1,122 | ||||||
First Community Bancorp | 29,816 | 1,594 | ||||||
First Financial Bancorp (a) | 61,089 | 992 | ||||||
First Financial Bankshares, Inc. (a) | 31,221 | 1,251 | ||||||
First Midwest Bancorp, Inc. Illinois | 59,763 | 2,273 | ||||||
First Niagra Financial Group, Inc. | 155,736 | 2,230 | ||||||
First Republic Bank | 32,135 | 1,251 | ||||||
FirstFed Financial Corp. (a)* | 21,895 | 1,352 | ||||||
FirstMerit Corp. | 93,382 | 2,168 | ||||||
Flagstar Bancorp, Inc. | 78,430 | 1,179 | ||||||
Fremont General Corp. | 86,162 | 1,252 | ||||||
Frontier Financial Corp. | 59,185 | 1,717 | ||||||
Glacier Bancorp, Inc. | 37,074 | 1,295 | ||||||
Greater Bay Bancorp | 71,490 | 1,841 | ||||||
Hancock Holding Co. | 49,310 | 2,530 | ||||||
Hanmi Financial Corp. | 68,488 | 1,464 | ||||||
Harbor Florida Bancshares, Inc. | 33,205 | 1,508 | ||||||
International Bancshares Corp. | 79,323 | 2,434 | ||||||
Kearny Financial Corp. | 93,878 | 1,502 | ||||||
MAF Bancorp, Inc. | 41,486 | 1,788 | ||||||
MB Financial, Inc. | 40,024 | 1,443 | ||||||
National Penn Bancshares, Inc. (a) | 62,019 | 1,271 | ||||||
NBT Bancorp., Inc. | 45,485 | 1,130 | ||||||
NewAlliance Bancshares, Inc. | 147,911 | 2,290 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Northwest Bancorp, Inc. | 70,928 | 1,897 | ||||||
Old National Bancorp | 96,483 | 1,831 | ||||||
Pacific Capital Bancorp | 63,642 | 1,958 | ||||||
Park National Corp. | 19,953 | 2,023 | ||||||
PFF Bancorp, Inc. | 30,461 | 945 | ||||||
PrivateBancorp, Inc. (a) | 29,276 | 1,202 | ||||||
Prosperity Bancshares, Inc. | 38,365 | 1,331 | ||||||
Provident Bankshares Corp. | 44,069 | 1,593 | ||||||
Provident Financial Services, Inc. | 102,351 | 1,877 | ||||||
Republic Bancorp, Inc. | 101,521 | 1,358 | ||||||
S&T Bancorp, Inc. | 31,881 | 1,079 | ||||||
Santander BanCorp (a) | 69,003 | 1,290 | ||||||
Signature Bank NY * | 32,909 | 998 | ||||||
Sterling Bancshares, Inc. Texas | 62,608 | 1,146 | ||||||
Sterling Financial Corp. Washington | 48,347 | 1,608 | ||||||
Susquehanna Bancshares, Inc. | 64,808 | 1,620 | ||||||
SVB Financial Group * | 49,523 | 2,279 | ||||||
Texas Regional Bancshares, Inc., Class A | 75,466 | 2,932 | ||||||
The South Financial Group, Inc. | 83,525 | 2,216 | ||||||
Trustco Bank Corp. NY (a) | 103,702 | 1,146 | ||||||
Trustmark Corp. | 77,877 | 2,466 | ||||||
UCBH Holdings, Inc. | 112,125 | 1,922 | ||||||
UMB Financial Corp. | 61,624 | 2,210 | ||||||
Umpqua Holdings Corp. | 53,595 | 1,514 | ||||||
United Bankshares, Inc. | 56,322 | 2,151 | ||||||
United Community Banks, Inc. Georgia | 55,840 | 1,756 | ||||||
W Holding Co., Inc. (a) | 209,214 | 1,190 | ||||||
Washington Federal, Inc. | 117,539 | 2,732 | ||||||
WesBanco, Inc. | 32,298 | 1,058 | ||||||
Westamerica Bancorp | 43,470 | 2,167 | ||||||
Western Alliance Bancorp (a)* | 31,231 | 1,061 | ||||||
Wintrust Financial Corp. | 29,655 | 1,431 | ||||||
134,607 | ||||||||
Capital Goods 7.8% | ||||||||
A.O. Smith Corp. | 39,130 | 1,376 | ||||||
A.S.V., Inc. (a)* | 30,875 | 451 | ||||||
AAR Corp. * | 44,997 | 1,172 | ||||||
Actuant Corp., Class A | 36,574 | 1,878 | ||||||
Acuity Brands, Inc. | 66,532 | 3,296 | ||||||
AGCO Corp. * | 125,945 | 3,369 | ||||||
Albany International Corp., Class A | 42,500 | 1,428 | ||||||
Applied Industrial Technologies, Inc. | 68,166 | 1,959 | ||||||
Armor Holdings, Inc. * | 45,516 | 2,342 | ||||||
Astec Industries, Inc. * | 23,395 | 746 | ||||||
Baldor Electric Co. | 46,308 | 1,486 | ||||||
Barnes Group, Inc. | 63,640 | 1,276 | ||||||
BE Aerospace, Inc. * | 79,551 | 2,011 | ||||||
Beacon Roofing Supply, Inc. (a)* | 47,182 | 934 | ||||||
Belden CDT, Inc. | 65,393 | 2,367 | ||||||
Blount International, Inc. * | 56,662 | 620 | ||||||
Briggs & Stratton Corp. | 63,693 | 1,624 | ||||||
Bucyrus International, Inc., Class A | 37,846 | 1,586 | ||||||
Builders FirstSource, Inc. * | 18,760 | 297 | ||||||
Ceradyne, Inc. (a)* | 34,012 | 1,403 | ||||||
Clarcor, Inc. | 71,898 | 2,342 | ||||||
Curtiss-Wright Corp. | 54,756 | 1,853 | ||||||
DHB Industries, Inc. * | 19,920 | 46 | ||||||
DRS Technologies, Inc. | 52,091 | 2,303 | ||||||
ElkCorp. | 25,396 | 638 | ||||||
EMCOR Group, Inc. * | 49,802 | 2,946 | ||||||
Encore Wire Corp. (a)* | 29,441 | 791 | ||||||
Energy Conversion Devices, Inc. * | 41,063 | 1,511 | ||||||
ESCO Technologies, Inc. * | 35,469 | 1,540 | ||||||
Esterline Technologies Corp. * | 30,311 | 1,143 | ||||||
Evergreen Solar, Inc. (a)* | 66,889 | 582 | ||||||
Federal Signal Corp. | 71,459 | 1,090 | ||||||
Franklin Electric Co., Inc. | 28,318 | 1,528 | ||||||
Freightcar America, Inc. | 17,490 | 930 | ||||||
Gardner Denver, Inc. * | 71,912 | 2,444 | ||||||
GATX Corp. | 67,590 | 2,945 | ||||||
GenCorp, Inc. (a)* | 76,552 | 1,003 | ||||||
General Cable Corp. * | 74,632 | 2,806 | ||||||
Genlyte Group, Inc. * | 41,815 | 3,231 | ||||||
Granite Construction, Inc. | 58,056 | 3,025 | ||||||
Griffon Corp. * | 43,450 | 1,068 | ||||||
H&E Equipment Services, Inc. * | 48,927 | 1,313 | ||||||
Hexcel Corp. * | 91,783 | 1,486 | ||||||
Infrasource Services, Inc. * | 32,158 | 629 | ||||||
Interline Brands, Inc. * | 43,134 | 1,033 | ||||||
Ionatron, Inc. (a)* | 75,240 | 332 | ||||||
Jacuzzi Brands, Inc. * | 105,290 | 1,305 | ||||||
Kaydon Corp. | 44,235 | 1,849 | ||||||
Lennox International, Inc. | 86,403 | 2,329 | ||||||
Lincoln Electric Holdings, Inc. | 57,525 | 3,537 | ||||||
Middleby Corp. * | 10,826 | 976 | ||||||
Moog, Inc., Class A * | 53,872 | 2,009 | ||||||
Mueller Industries, Inc. | 48,924 | 1,794 | ||||||
NACCO Industries, Inc., Class A | 11,477 | 1,728 | ||||||
Navistar International Corp. * | 97,719 | 2,710 | ||||||
NCI Building Systems, Inc. * | 27,506 | 1,646 | ||||||
Nordson Corp. | 49,343 | 2,272 | ||||||
Orbital Sciences Corp. * | 77,536 | 1,408 | ||||||
Perini Corp. * | 25,130 | 621 | ||||||
Quanta Services, Inc. * | 170,136 | 3,114 | ||||||
Regal Beloit Corp. | 42,447 | 2,099 | ||||||
Sequa Corp., Class A * | 14,713 | 1,561 | ||||||
Simpson Manufacturing Co., Inc. (a)(b) | 60,694 | 1,723 | ||||||
TAL International Group, Inc. | 44,122 | 1,023 | ||||||
Teledyne Technologies, Inc. * | 46,925 | 1,958 | ||||||
Toro Co. | 60,335 | 2,604 | ||||||
Triumph Group, Inc. | 21,101 | 1,016 | ||||||
UAP Holding Corp. | 62,413 | 1,562 | ||||||
Universal Forest Products, Inc. | 22,762 | 1,033 | ||||||
URS Corp. * | 67,253 | 2,718 | ||||||
Valmont Industries, Inc. | 39,547 | 2,207 | ||||||
Vicor Corp. | 55,668 | 662 | ||||||
Wabtec Corp. | 63,550 | 1,995 | ||||||
Washington Group International, Inc. * | 36,647 | 2,075 | ||||||
Watsco, Inc. | 34,982 | 1,742 | ||||||
Watts Water Technologies, Inc., Class A | 43,107 | 1,604 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Williams Scotsman International, Inc. * | 54,033 | 1,271 | ||||||
Woodward Governor Co. | 47,317 | 1,690 | ||||||
130,020 | ||||||||
Commercial Services & Supplies 3.8% | ||||||||
ABM Industries, Inc. | 68,209 | 1,355 | ||||||
Acco Brands Corp. * | 58,123 | 1,412 | ||||||
Administaff, Inc. | 40,110 | 1,382 | ||||||
American Reprographics Co. * | 60,006 | 2,130 | ||||||
Banta Corp. | 33,464 | 1,482 | ||||||
Brady Corp., Class A | 61,729 | 2,284 | ||||||
Cenveo, Inc. * | 47,842 | 949 | ||||||
Consolidated Graphics, Inc. * | 22,600 | 1,405 | ||||||
Corrections Corp. of America * | 81,973 | 3,745 | ||||||
CoStar Group, Inc. * | 21,783 | 1,031 | ||||||
Deluxe Corp. | 58,446 | 1,325 | ||||||
First Advantage Corp. (a)* | 52,008 | 1,082 | ||||||
FTI Consulting, Inc. * | 55,008 | 1,563 | ||||||
G&K Services, Inc., Class A | 23,530 | 897 | ||||||
Global Cash Access, Inc. * | 110,039 | 1,755 | ||||||
IHS, Inc. * | 76,340 | 2,639 | ||||||
IKON Office Solutions, Inc. | 209,821 | 3,128 | ||||||
John H. Harland Co. | 42,260 | 1,728 | ||||||
Kelly Services, Inc., Class A | 48,023 | 1,382 | ||||||
Knoll, Inc. | 70,603 | 1,398 | ||||||
Korn/Ferry International * | 57,161 | 1,264 | ||||||
Labor Ready, Inc. * | 81,514 | 1,427 | ||||||
McGrath Rentcorp | 24,932 | 673 | ||||||
Mine Safety Appliances Co. (a) | 47,289 | 1,788 | ||||||
Mobile Mini, Inc. * | 31,368 | 1,009 | ||||||
Navigant Consulting, Inc. * | 58,748 | 1,046 | ||||||
NCO Group, Inc. * | 36,449 | 983 | ||||||
PHH Corp. * | 73,463 | 2,028 | ||||||
Resources Connection, Inc. * | 58,250 | 1,686 | ||||||
Rollins, Inc. | 103,950 | 2,250 | ||||||
School Specialty, Inc. * | 30,293 | 1,186 | ||||||
TeleTech Holdings, Inc. * | 103,400 | 2,007 | ||||||
Tetra Tech, Inc. * | 78,478 | 1,427 | ||||||
The Advisory Board Co. * | 26,676 | 1,473 | ||||||
United Stationers, Inc. * | 41,467 | 1,980 | ||||||
Viad Corp. | 30,896 | 1,142 | ||||||
Waste Connections, Inc. * | 57,629 | 2,345 | ||||||
Watson Wyatt & Co., Holdings | 58,181 | 2,627 | ||||||
62,413 | ||||||||
Consumer Durables & Apparel 3.6% | ||||||||
American Greetings Corp., Class A | 91,711 | 2,193 | ||||||
Blyth, Inc. | 49,309 | 1,180 | ||||||
Brookfield Homes Corp. (a) | 35,727 | 1,159 | ||||||
Brown Shoe Co., Inc. | 36,250 | 1,412 | ||||||
Callaway Golf Co. | 94,369 | 1,267 | ||||||
Carter’s, Inc. * | 75,514 | 2,132 | ||||||
Champion Enterprises Inc * | 91,233 | 845 | ||||||
Columbia Sportswear Co. (a)* | 52,819 | 2,949 | ||||||
Crocs, Inc. (a)* | 49,709 | 1,969 | ||||||
Ethan Allen Interiors, Inc. | 46,579 | 1,659 | ||||||
Fossil, Inc. * | 81,866 | 1,788 | ||||||
Furniture Brands International, Inc. (a) | 68,702 | 1,278 | ||||||
JAKKS Pacific, Inc. * | 37,574 | 815 | ||||||
Jarden Corp. * | 75,508 | 2,717 | ||||||
K-Swiss, Inc., Class A | 41,928 | 1,481 | ||||||
Kellwood Co. (a) | 40,528 | 1,240 | ||||||
Kimball International, Inc., Class B | 12,351 | 307 | ||||||
La-Z-Boy, Inc. (a) | 69,209 | 848 | ||||||
Leapfrog Enterprises, Inc. (a)* | 69,425 | 669 | ||||||
Marvel Entertainment, Inc. (a)* | 122,630 | 3,109 | ||||||
Meritage Homes Corp. (a)* | 32,185 | 1,473 | ||||||
Oakley, Inc. | 83,709 | 1,555 | ||||||
Oxford Industries, Inc. | 20,018 | 1,057 | ||||||
Phillips-Van Heusen Corp. | 60,675 | 2,777 | ||||||
Polaris Industries, Inc. (a) | 52,123 | 2,232 | ||||||
Quiksilver, Inc. * | 142,112 | 1,982 | ||||||
RC2 Corp. * | 25,886 | 1,170 | ||||||
Skechers U.S.A., Inc., Class A * | 56,178 | 1,679 | ||||||
Technical Olympic USA, Inc. (a) | 73,701 | 818 | ||||||
Tempur-Pedic International, Inc. * | 110,662 | 2,184 | ||||||
The Warnaco Group, Inc. * | 57,363 | 1,218 | ||||||
The Yankee Candle Co., Inc. | 58,346 | 1,975 | ||||||
Tupperware Corp. | 76,811 | 1,631 | ||||||
Under Armour, Inc. (a)* | 61,820 | 2,865 | ||||||
Volcom Inc (a)* | 29,290 | 960 | ||||||
WCI Communities, Inc. (a)* | 56,688 | 914 | ||||||
Whirlpool Corp. | 172 | 15 | ||||||
Wolverine World Wide, Inc. | 83,436 | 2,366 | ||||||
59,888 | ||||||||
Consumer Services 4.9% | ||||||||
American Real Estate Partners L.P. (a) | 55,192 | 3,455 | ||||||
Ameristar Casinos, Inc. | 76,075 | 1,872 | ||||||
Applebee’s International, Inc. | 100,230 | 2,287 | ||||||
Aztar Corp. * | 44,048 | 2,360 | ||||||
Bally Technologies, Inc. (a)* | 71,762 | 1,424 | ||||||
Bob Evans Farms, Inc. | 47,146 | 1,599 | ||||||
Bright Horizons Family Solutions, Inc. * | 37,188 | 1,429 | ||||||
CBRL Group, Inc. | 27,553 | 1,210 | ||||||
CEC Entertainment, Inc. * | 45,538 | 1,570 | ||||||
Cedar Fair L.P. * | 70,332 | 1,930 | ||||||
Chipotle Mexican Grill, Inc. Class A (a)* | 45,347 | 2,716 | ||||||
CKE Restaurants, Inc. (a) | 83,079 | 1,623 | ||||||
Corinthian Colleges, Inc. * | 120,729 | 1,479 | ||||||
DeVry, Inc. * | 98,080 | 2,388 | ||||||
Domino’s Pizza, Inc. | 90,379 | 2,457 | ||||||
Escala Group, Inc. (a)* | 38,196 | 193 | ||||||
Gaylord Entertainment Co. * | 53,835 | 2,506 | ||||||
IHOP Corp. | 33,472 | 1,746 | ||||||
Isle of Capri Casinos, Inc. (a)* | 36,884 | 926 | ||||||
Jack in the Box, Inc. * | 55,481 | 3,113 | ||||||
Jackson Hewitt Tax Service, Inc. | 48,676 | 1,684 | ||||||
Landry’s Restaurants, Inc. | 27,036 | 792 | ||||||
Life Time Fitness, Inc. * | 45,677 | 2,354 | ||||||
Marcus Corp. | 29,083 | 727 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Matthews International Corp., Class A | 40,284 | 1,548 | ||||||
Orient-Express Hotels Ltd., Class A | 79,772 | 3,147 | ||||||
P.F. Chang’s China Bistro, Inc. (a)* | 33,142 | 1,386 | ||||||
Papa John’s International, Inc. * | 49,255 | 1,808 | ||||||
Pinnacle Entertainment, Inc. * | 63,985 | 1,936 | ||||||
RARE Hospitality International, Inc. * | 42,882 | 1,351 | ||||||
Red Robin Gourmet Burgers, Inc. (a)* | 18,227 | 879 | ||||||
Regis Corp. | 57,249 | 2,150 | ||||||
Ruby Tuesday, Inc. | 77,514 | 2,151 | ||||||
Shuffle Master, Inc. (a)* | 41,612 | 1,164 | ||||||
Six Flags, Inc. (a)* | 101,908 | 581 | ||||||
Sonic Corp. * | 114,429 | 2,603 | ||||||
Sotheby’s | 78,741 | 2,992 | ||||||
Speedway Motorsports, Inc. | 60,484 | 2,278 | ||||||
Steiner Leisure Ltd. * | 28,609 | 1,306 | ||||||
Strayer Education, Inc. | 19,371 | 2,191 | ||||||
Texas Roadhouse, Inc., Class A * | 85,396 | 1,234 | ||||||
Triarc Cos., Class B (a) | 101,831 | 1,710 | ||||||
Universal Technical Institute, Inc. * | 37,056 | 740 | ||||||
Vail Resorts, Inc. * | 51,871 | 2,005 | ||||||
WMS Industries, Inc. * | 44,201 | 1,562 | ||||||
80,562 | ||||||||
Diversified Financials 2.3% | ||||||||
Advance America Cash Advance Centers, Inc. | 115,065 | 1,725 | ||||||
Calamos Asset Management, Inc., Class A | 32,096 | 938 | ||||||
Cash America International, Inc. | 44,470 | 1,838 | ||||||
Cohen & Steers, Inc. (a) | 41,928 | 1,462 | ||||||
CompuCredit Corp. (a)* | 68,200 | 2,371 | ||||||
Credit Acceptance Corp. (a)* | 32,166 | 1,076 | ||||||
Financial Federal Corp. | 36,123 | 994 | ||||||
GAMCO Investors, Inc., Class A (a) | 42,031 | 1,664 | ||||||
GFI Group, Inc. (a)* | 37,342 | 2,154 | ||||||
Greenhill & Co., Inc. (a) | 40,182 | 2,730 | ||||||
International Securities Exchange, Inc. | 56,748 | 2,914 | ||||||
Investment Technology Group, Inc. * | 63,465 | 2,964 | ||||||
Knight Capital Group, Inc., Class A * | 149,872 | 2,795 | ||||||
LaBranche & Co., Inc. (a)* | 82,987 | 736 | ||||||
OptionsXpress Holdings, Inc. | 82,447 | 2,563 | ||||||
Piper Jaffray Cos. * | 30,339 | 2,098 | ||||||
Portfolio Recovery Associates, Inc. (a)* | 20,743 | 967 | ||||||
TradeStation Group, Inc. * | 58,079 | 909 | ||||||
W.P. Carey & Co. LLC (a) | 51,366 | 1,484 | ||||||
W.P. Stewart & Co., Ltd. (a) | 57,051 | 787 | ||||||
Waddell & Reed Financial, Inc., Class A | 115,139 | 2,936 | ||||||
38,105 | ||||||||
Energy 8.0% | ||||||||
Alliance Resource Partners L.P. | 50,610 | 1,802 | ||||||
Alon USA Energy, Inc. | 64,178 | 1,802 | ||||||
Alpha Natural Resources, Inc. * | 72,661 | 1,156 | ||||||
Atlas America, Inc. * | 25,609 | 1,230 | ||||||
ATP Oil & Gas Corp. (a)* | 32,533 | 1,399 | ||||||
Atwood Oceanics, Inc. * | 40,404 | 1,867 | ||||||
Basic Energy Services, Inc. * | 47,102 | 1,151 | ||||||
Berry Petroleum Co., Class A | 56,612 | 1,690 | ||||||
Bill Barrett Corp. (a)* | 55,093 | 1,572 | ||||||
Boardwalk Pipeline Partners, LP (a) | 138,835 | 3,993 | ||||||
Bois d’Arc Energy, Inc. * | 70,602 | 1,135 | ||||||
BP Prudhoe Bay Royalty Trust (a) | 29,865 | 2,161 | ||||||
Bristow Group, Inc. (a)* | 30,287 | 1,006 | ||||||
Buckeye Partners L.P. (a)* | 52,908 | 2,423 | ||||||
CARBO Ceramics, Inc. (a) | 30,420 | 1,025 | ||||||
Comstock Resources, Inc. * | 50,726 | 1,415 | ||||||
Crosstex Energy, Inc. (a) | 10,348 | 993 | ||||||
Crosstex Energy, LP (a)* | 31,183 | 1,169 | ||||||
Delta Petroleum Corp. * | 52,127 | 1,340 | ||||||
Dorchester Minerals L.P. (a) | 39,409 | 975 | ||||||
Dril-Quip, Inc. * | 51,350 | 2,022 | ||||||
Encore Acquisition Co. * | 63,377 | 1,587 | ||||||
Energy Partners, Ltd. * | 46,878 | 1,145 | ||||||
Evergreen Energy, Inc. (a)* | 101,457 | 1,304 | ||||||
EXCO Resources, Inc. * | 127,851 | 1,851 | ||||||
Foundation Coal Holdings, Inc. | 59,578 | 2,187 | ||||||
General Maritime Corp. | 52,796 | 1,929 | ||||||
Giant Industries, Inc. * | 20,130 | 1,630 | ||||||
Global Industries Ltd. * | 158,982 | 2,639 | ||||||
Grey Wolf, Inc. * | 266,348 | 1,864 | ||||||
Hanover Compressor Co. * | �� | 133,762 | 2,477 | |||||
Hercules Offshore, Inc. * | 42,204 | 1,503 | ||||||
Holly Corp. | 79,906 | 3,800 | ||||||
Hornbeck Offshore Services, Inc. * | 37,545 | 1,355 | ||||||
Hugoton Royalty Trust (a) | 55,820 | 1,437 | ||||||
Hydril Co. * | 30,414 | 1,826 | ||||||
Inergy Holdings LP (a) | 18,510 | 648 | ||||||
Inergy, L.P. * | 54,952 | 1,605 | ||||||
International Coal Group, Inc. (a)* | 113,868 | 591 | ||||||
Lone Star Technologies, Inc. * | 40,425 | 1,952 | ||||||
Lufkin Industries, Inc. | 14,195 | 857 | ||||||
Magellan Midstream Holdings LP (a) | 87,425 | 2,010 | ||||||
Magellan Midstream Partners (a) | 92,608 | 3,620 | ||||||
Natural Resource Partners L.P. (a) | 33,263 | 1,733 | ||||||
Newpark Resources, Inc. * | 81,810 | 481 | ||||||
NS Group, Inc. * | 31,016 | 2,027 | ||||||
Oceaneering International, Inc. * | 70,322 | 2,531 | ||||||
Oil States International, Inc. * | 63,236 | 1,836 | ||||||
OMI Corp. (a) | 104,787 | 2,339 | ||||||
Overseas Shipholding Group, Inc. | 53,961 | 3,375 | ||||||
Pacific Energy Partners L.P. (a) | 47,887 | 1,714 | ||||||
Parker Drilling Co. * | 155,165 | 1,271 | ||||||
Penn Virginia Corp. | 25,289 | 1,809 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Penn Virginia Resource Partners, L.P. (a)* | 41,446 | 1,084 | ||||||
Petrohawk Energy Corp. (a)* | 193,850 | 2,196 | ||||||
Petroleum Development Corp. * | 19,903 | 919 | ||||||
Pioneer Drilling Co. * | 64,031 | 841 | ||||||
Regency Energy Partners LP | 53,320 | 1,386 | ||||||
RPC, Inc. | 83,926 | 1,823 | ||||||
SEACOR Holdings, Inc. * | 34,616 | 3,097 | ||||||
Ship Finance International Ltd. | 95,125 | 2,004 | ||||||
Stone Energy Corp. * | 34,269 | 1,335 | ||||||
Sunoco Logistics Partners L.P. (a)* | 25,986 | 1,212 | ||||||
Superior Energy Services, Inc. * | 104,787 | 3,280 | ||||||
Swift Energy Co. * | 39,001 | 1,822 | ||||||
TETRA Technologies, Inc. (a)* | 85,674 | 2,219 | ||||||
The Houston Exploration Co. * | 36,501 | 1,977 | ||||||
Universal Compression Holdings, Inc. * | 39,803 | 2,399 | ||||||
USEC, Inc. * | 116,923 | 1,305 | ||||||
Veritas DGC, Inc. * | 52,792 | 3,802 | ||||||
W-H Energy Services, Inc. * | 34,578 | 1,619 | ||||||
Warren Resources, Inc. (a)* | 47,045 | 555 | ||||||
Western Refining, Inc. | 92,722 | 2,185 | ||||||
Whiting Petroleum Corp. * | 46,811 | 2,088 | ||||||
World Fuel Services Corp. | 34,978 | 1,505 | ||||||
132,912 | ||||||||
Food & Staples Retailing 1.0% | ||||||||
Casey’s General Stores, Inc. | 64,726 | 1,571 | ||||||
Central European Distribution Corp. * | 24,517 | 622 | ||||||
Longs Drug Stores Corp. | 52,605 | 2,264 | ||||||
Performance Food Group Co. * | 48,074 | 1,398 | ||||||
Rite Aid Corp. (a)* | 721,895 | 3,379 | ||||||
Ruddick Corp. | 57,956 | 1,634 | ||||||
The Great Atlantic & Pacific Tea Co., Inc. * | 56,990 | 1,577 | ||||||
The Pantry, Inc. * | 30,276 | 1,652 | ||||||
United Natural Foods, Inc. * | 53,282 | 1,860 | ||||||
Weis Markets, Inc. | 37,793 | 1,534 | ||||||
17,491 | ||||||||
Food, Beverage & Tobacco 1.7% | ||||||||
Chiquita Brands International, Inc. * | 57,002 | 781 | ||||||
Corn Products International, Inc. | 101,390 | 3,669 | ||||||
Delta & Pine Land Co. | 43,215 | 1,751 | ||||||
Flowers Foods, Inc. | 81,284 | 2,208 | ||||||
Fresh Del Monte Produce, Inc. (a)* | 80,046 | 1,248 | ||||||
Gold Kist, Inc. * | 54,954 | 1,089 | ||||||
Hansen Natural Corp. (a)* | 112,460 | 3,571 | ||||||
Lancaster Colony Corp. | 43,543 | 1,766 | ||||||
Pilgrim’s Pride Corp., Class B | 88,880 | 2,220 | ||||||
Ralcorp Holdings, Inc. * | 36,235 | 1,792 | ||||||
Seaboard Corp. (b) | 1,875 | 2,647 | ||||||
The Hain Celestial Group, Inc. * | 47,931 | 1,353 | ||||||
Tootsie Roll Industries, Inc. | 72,392 | 2,301 | ||||||
Universal Corp. | 31,545 | 1,161 | ||||||
Vector Group Ltd. (a) | 71,250 | 1,221 | ||||||
28,778 | ||||||||
Health Care Equipment & Services 4.9% | ||||||||
Allscripts Healthcare Solutions, Inc. (a)* | 58,875 | 1,389 | ||||||
American Medical Systems Holdings, Inc. (a)* | 95,025 | 1,692 | ||||||
AMERIGROUP Corp. * | 69,442 | 2,081 | ||||||
Analogic Corp. | 15,054 | 840 | ||||||
Apria Healthcare Group, Inc. * | 69,737 | 1,624 | ||||||
Arrow International, Inc. | 58,720 | 2,099 | ||||||
Arthrocare Corp. (a)* | 32,330 | 1,306 | ||||||
Biosite, Inc. * | 23,575 | 1,083 | ||||||
Brookdale Senior Living, Inc. | 78,669 | 3,786 | ||||||
Centene Corp. * | 51,692 | 1,219 | ||||||
Chemed Corp. (b) | 32,900 | 1,168 | ||||||
Conor Medsystems, Inc. * | 41,331 | 1,015 | ||||||
Cyberonics, Inc. (a)* | 29,385 | 530 | ||||||
Eclipsys Corp. * | 57,467 | 1,218 | ||||||
ev3, Inc. * | 46,423 | 796 | ||||||
Foxhollow Technologies, Inc. (a)* | 26,404 | 924 | ||||||
Genesis HealthCare Corp. * | 27,778 | 1,345 | ||||||
Haemonetics Corp. * | 33,655 | 1,535 | ||||||
HealthExtras, Inc. * | 47,365 | 1,091 | ||||||
Healthspring, Inc. * | 79,949 | 1,610 | ||||||
Healthways, Inc. * | 47,563 | 2,014 | ||||||
Immucor, Inc. * | 93,954 | 2,587 | ||||||
Integra LifeSciences Holdings * | 40,148 | 1,483 | ||||||
Intermagnetics General Corp. * | 38,914 | 1,064 | ||||||
Invacare Corp. | 38,911 | 849 | ||||||
inVentiv Health, Inc. * | 37,301 | 1,067 | ||||||
Inverness Medical Innovations, Inc. (a)* | 26,856 | 1,012 | ||||||
Kindred Healthcare, Inc. * | 51,492 | 1,390 | ||||||
Kyphon, Inc. * | 55,736 | 2,202 | ||||||
LCA-Vision, Inc. | 25,343 | 890 | ||||||
LifePoint Hospitals, Inc. * | 71,941 | 2,554 | ||||||
Magellan Health Services, Inc. * | 51,010 | 2,226 | ||||||
Matria Healthcare, Inc. (a)* | 21,841 | 616 | ||||||
Mentor Corp. (a)(b) | 59,996 | 2,808 | ||||||
Molina Healthcare, Inc. * | 44,813 | 1,758 | ||||||
Odyssey Healthcare, Inc. * | 48,141 | 638 | ||||||
Owens & Minor, Inc. | 51,592 | 1,626 | ||||||
Per-Se Technologies, Inc. (a)* | 47,565 | 1,164 | ||||||
PolyMedica Corp. (a) | 31,147 | 1,294 | ||||||
PSS World Medical, Inc. * | 90,366 | 1,818 | ||||||
Psychiatric Solutions, Inc. * | 71,054 | 2,359 | ||||||
Sirona Dental Systems, Inc. * | 22,565 | 835 | ||||||
Steris Corp. | 95,958 | 2,339 | ||||||
Sunrise Senior Living, Inc. * | 59,277 | 1,850 | ||||||
SurModics, Inc. (a)* | 25,819 | 901 | ||||||
Symmetry Medical, Inc. * | 38,991 | 608 | ||||||
Thoratec Corp. * | 66,726 | 1,051 | ||||||
TriZetto Group, Inc. * | 68,880 | 1,177 | ||||||
United Surgical Partners International, Inc. * | 60,344 | 1,498 | ||||||
Viasys Healthcare, Inc. * | 32,484 | 931 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
WebMD Health Corp., Class A (a)* | 69,724 | 2,542 | ||||||
WellCare Health Plans, Inc. * | 54,593 | 3,207 | ||||||
West Pharmaceutical Services, Inc. | 44,265 | 1,861 | ||||||
80,570 | ||||||||
Household & Personal Products 0.7% | ||||||||
Central Garden & Pet Co. * | 22,392 | 1,119 | ||||||
Chattem, Inc. * | 26,313 | 1,116 | ||||||
Elizabeth Arden, Inc. * | 33,898 | 591 | ||||||
NBTY, Inc. * | 94,529 | 2,630 | ||||||
Nu Skin Enterprises, Inc., Class A | 96,822 | 1,851 | ||||||
Playtex Products, Inc. * | 88,541 | 1,234 | ||||||
Revlon, Inc. (b)* | 533,983 | 710 | ||||||
Spectrum Brands, Inc. (a)* | 54,470 | 530 | ||||||
USANA Health Sciences, Inc. (a)* | 26,529 | 1,192 | ||||||
10,973 | ||||||||
Insurance 4.2% | ||||||||
21st Century Insurance Group | 114,205 | 1,802 | ||||||
Alfa Corp. | 118,311 | 2,185 | ||||||
American Equity Investment Life Holding Co. | 49,964 | 638 | ||||||
Arch Capital Group Ltd. * | 49,227 | 3,165 | ||||||
Argonaut Group, Inc. * | 46,100 | 1,568 | ||||||
Aspen Insurance Holdings Ltd. | 105,962 | 2,630 | ||||||
Assured Guaranty Ltd. | 82,537 | 2,077 | ||||||
CNA Surety Corp. * | 71,600 | 1,456 | ||||||
Commerce Group, Inc. | 93,348 | 2,763 | ||||||
Delphi Financial Group, Inc., Class A | 71,880 | 2,821 | ||||||
FBL Financial Group, Inc., Class A | 47,368 | 1,674 | ||||||
Great American Financial Resources, Inc. | 83,565 | 1,931 | ||||||
Harleysville Group, Inc. | 50,760 | 1,831 | ||||||
Hilb, Rogal & Hobbs Co. | 54,619 | 2,180 | ||||||
Horace Mann Educators Corp. | 59,678 | 1,202 | ||||||
Infinity Property & Casualty Corp. | 28,892 | 1,243 | ||||||
IPC Holdings Ltd. | 86,677 | 2,604 | ||||||
LandAmerica Financial Group, Inc. | 28,933 | 1,825 | ||||||
Max Re Capital Ltd. | 79,384 | 1,848 | ||||||
Montpelier Re Holdings Ltd. | 124,449 | 2,209 | ||||||
National Financial Partners Corp. | 45,638 | 1,798 | ||||||
National Western Life Insurance Co., Class A * | 5,594 | 1,342 | ||||||
Navigators Group, Inc. * | 21,485 | 1,011 | ||||||
Odyssey Re Holdings Corp. (a) | 96,583 | 3,424 | ||||||
Ohio Casualty Corp. | 85,043 | 2,333 | ||||||
Platinum Underwriters Holdings, Ltd. | 73,457 | 2,193 | ||||||
ProAssurance Corp. * | 48,289 | 2,352 | ||||||
RLI Corp. | 35,155 | 1,906 | ||||||
Scottish Re Group Ltd. | 68,688 | 785 | ||||||
Selective Insurance Group, Inc. | 42,857 | 2,368 | ||||||
State Auto Financial Corp. | 62,256 | 2,000 | ||||||
Stewart Information Services Corp. | 23,843 | 884 | ||||||
The Phoenix Cos., Inc. | 143,992 | 2,281 | ||||||
United Fire & Casualty Co. | 34,300 | 1,214 | ||||||
Universal American Financial Corp. * | 85,502 | 1,590 | ||||||
USI Holdings Corp. * | 61,971 | 987 | ||||||
Zenith National Insurance Corp. | 49,545 | 2,305 | ||||||
70,425 | ||||||||
Materials 5.0% | ||||||||
A. Schulman, Inc. | 42,709 | 1,034 | ||||||
AK Steel Holding Corp. * | 167,419 | 2,500 | ||||||
Albemarle Corp. | 63,716 | 4,144 | ||||||
Aleris International, Inc. * | 35,799 | 1,844 | ||||||
AMCOL International Corp. (a) | 34,352 | 904 | ||||||
Aptargroup, Inc. | 50,163 | 2,755 | ||||||
Arch Chemicals, Inc. | 32,672 | 1,093 | ||||||
Bowater, Inc. (a) | 66,581 | 1,392 | ||||||
Carpenter Technology Corp. | 36,101 | 3,863 | ||||||
Century Aluminum Co. (a)* | 40,074 | 1,560 | ||||||
CF Industries Holdings, Inc. | 76,753 | 1,521 | ||||||
Chaparral Steel Co. | 63,646 | 2,647 | ||||||
Cleveland-Cliffs, Inc. (a) | 54,698 | 2,313 | ||||||
Coeur d’Alene Mines Corp. (a)* | 316,606 | 1,551 | ||||||
Compass Minerals International, Inc. | 43,082 | 1,333 | ||||||
Ferro Corp. | 53,277 | 1,051 | ||||||
Georgia Gulf Corp. | 41,655 | 891 | ||||||
Gibraltar Industries, Inc. | 44,711 | 944 | ||||||
Graphic Packaging Corp. * | 215,915 | 842 | ||||||
Greif, Inc., Class A | 35,431 | 3,320 | ||||||
H.B. Fuller Co. | 88,516 | 2,194 | ||||||
Headwaters, Inc. (a)* | 55,014 | 1,362 | ||||||
Hercules, Inc. * | 169,914 | 3,093 | ||||||
Kronos Worldwide, Inc. | 49,005 | 1,461 | ||||||
MacDermid, Inc. | 42,282 | 1,414 | ||||||
Metal Management, Inc. | 35,021 | 962 | ||||||
Minerals Technologies, Inc. | 25,461 | 1,404 | ||||||
NL Industries, Inc. (a) | 62,046 | 689 | ||||||
Olin Corp. | 93,291 | 1,614 | ||||||
Oregon Steel Mills, Inc. * | 48,885 | 2,659 | ||||||
PolyOne Corp. * | 123,875 | 1,016 | ||||||
Quanex Corp. | 56,404 | 1,890 | ||||||
Rockwood Holdings, Inc. * | 98,688 | 2,300 | ||||||
Royal Gold, Inc. (a) | 32,138 | 946 | ||||||
RPM International, Inc. | 134,451 | 2,575 | ||||||
RTI International Metals, Inc. (a)* | 25,166 | 1,543 | ||||||
Ryerson Tull, Inc. (a) | 33,292 | 802 | ||||||
Schnitzer Steel Industries, Inc., Class A | 39,055 | 1,365 | ||||||
Sensient Technologies Corp. | 65,425 | 1,508 | ||||||
Silgan Holdings, Inc. | 55,912 | 2,313 | ||||||
Spartech Corp. | 44,813 | 1,228 | ||||||
Steel Dynamics, Inc. | 67,162 | 4,037 | ||||||
Stillwater Mining Co. * | 113,541 | 1,221 | ||||||
Symyx Technologies, Inc. * | 44,812 | 1,100 | ||||||
Texas Industries, Inc. (a) | 30,751 | 1,910 | ||||||
Wausau-Mosinee Paper Corp. | 58,820 | 798 | ||||||
Worthington Industries, Inc. | 112,560 | 1,945 | ||||||
82,851 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Media 2.1% | ||||||||
Advo, Inc. | 37,205 | 1,092 | ||||||
Arbitron, Inc. | 41,256 | 1,733 | ||||||
Catalina Marketing Corp. | 67,006 | 1,699 | ||||||
Citadel Broadcasting Co. | 171,124 | 1,752 | ||||||
CKX, Inc. * | 87,671 | 1,201 | ||||||
Crown Media Holdings, Inc., Class A (a)* | 57,213 | 228 | ||||||
Cumulus Media, Inc., Class A (a)* | 72,889 | 781 | ||||||
Entercom Communications Corp. | 58,784 | 1,627 | ||||||
Entravision Communications Corp. * | 58,927 | 432 | ||||||
Gemstar — TV Guide International, Inc. (b)* | 472,286 | 1,644 | ||||||
Hearst-Argyle Television, Inc. | 71,980 | 1,814 | ||||||
Journal Communications, Inc., Class A | 98,678 | 1,154 | ||||||
Lee Enterprises, Inc. | 54,740 | 1,562 | ||||||
Live Nation, Inc. * | 90,289 | 1,919 | ||||||
Martha Stewart Living Omnimedia, Class A (a)* | 72,005 | 1,526 | ||||||
Media General, Inc., Class A | 32,336 | 1,200 | ||||||
Mediacom Communications Corp., Class A * | 163,086 | 1,362 | ||||||
Morningstar, Inc. * | 41,951 | 1,717 | ||||||
Radio One, Inc., Class A * | 154,088 | 1,062 | ||||||
RCN Corp. * | 50,068 | 1,446 | ||||||
Readers Digest Association, Inc., Class A | 128,843 | 1,853 | ||||||
Scholastic Corp. * | 55,269 | 1,737 | ||||||
Sun-Times Media Group, Inc., Class A | 134,680 | 781 | ||||||
Valassis Communications, Inc. * | 65,162 | 978 | ||||||
Westwood One, Inc. | 106,610 | 843 | ||||||
World Wrestling Entertainment, Inc. | 97,288 | 1,622 | ||||||
34,765 | ||||||||
Pharmaceuticals & Biotechnology 4.6% | ||||||||
Adams Respiratory Therapeutics, Inc. * | 44,510 | 1,918 | ||||||
Adolor Corp. * | 54,247 | 744 | ||||||
Alexion Pharmaceuticals, Inc. (a)* | 39,628 | 1,480 | ||||||
Alpharma, Inc., Class A | 73,230 | 1,616 | ||||||
Andrx Corp. * | 101,578 | 2,498 | ||||||
Applera Corp. — Celera Genomics Group * | 101,917 | 1,582 | ||||||
Bio-Rad Laboratories, Inc., Class A * | 39,731 | 2,917 | ||||||
BioMarin Pharmaceuticals, Inc. * | 102,214 | 1,638 | ||||||
Bruker BioSciences Corp. * | 32,426 | 258 | ||||||
Cubist Pharmaceuticals, Inc. * | 60,332 | 1,344 | ||||||
CV Therapeutics, Inc. (a)* | 52,063 | 674 | ||||||
Digene Corp. * | 31,316 | 1,454 | ||||||
Dionex Corp. * | 24,844 | 1,352 | ||||||
eResearch Technology, Inc. (a)* | 47,155 | 388 | ||||||
Exelixis, Inc. * | 66,572 | 646 | ||||||
Human Genome Sciences, Inc. * | 167,581 | 2,237 | ||||||
ICOS Corp. * | 88,589 | 2,810 | ||||||
Idenix Pharmaceuticals, Inc. (a)* | 45,058 | 383 | ||||||
Illumina, Inc. * | 50,994 | 2,242 | ||||||
KV Pharmaceutical Co., Class A * | 76,401 | 1,705 | ||||||
MannKind Corp. (a)* | 36,232 | 734 | ||||||
Martek Biosciences Corp. (a)* | 38,976 | 924 | ||||||
Medarex, Inc. * | 145,550 | 1,880 | ||||||
Medicis Pharmaceutical Corp., Class A (a) | 74,549 | 2,612 | ||||||
MGI Pharma, Inc. (b)* | 99,791 | 1,899 | ||||||
Momenta Pharmaceuticals, Inc. (a)* | 30,383 | 453 | ||||||
Myogen, Inc. * | 52,687 | 2,756 | ||||||
Myriad Genetics, Inc. * | 46,765 | 1,257 | ||||||
Nektar Therapeutics (a)* | 110,171 | 1,590 | ||||||
New River Pharmaceuticals, Inc. (a)* | 31,777 | 1,616 | ||||||
Nuvelo, Inc. * | 65,908 | 1,215 | ||||||
Onyx Pharmaceuticals, Inc. (a)* | 49,666 | 933 | ||||||
OSI Pharmaceuticals, Inc. (a)* | 74,491 | 2,852 | ||||||
Par Pharmaceutical Cos., Inc. * | 42,280 | 824 | ||||||
PAREXEL International Corp. * | 12,509 | 370 | ||||||
Perrigo Co. | 130,651 | 2,337 | ||||||
Progenics Pharmaceuticals, Inc. * | 33,697 | 880 | ||||||
Regeneron Pharmaceuticals, Inc. * | 74,349 | 1,491 | ||||||
Salix Pharmaceuticals Ltd. * | 63,733 | 850 | ||||||
Sciele Pharma, Inc. * | 49,432 | 1,078 | ||||||
Tanox, Inc. * | 56,454 | 758 | ||||||
Telik, Inc. (a)* | 63,826 | 1,209 | ||||||
The Medicines Co. * | 60,508 | 1,571 | ||||||
Theravance, Inc. * | 80,538 | 2,534 | ||||||
United Therapeutics Corp. (a)* | 31,576 | 1,890 | ||||||
Valeant Pharmaceuticals International * | 127,586 | 2,383 | ||||||
Varian, Inc. * | 49,171 | 2,306 | ||||||
Ventana Medical Systems, Inc. * | 48,506 | 1,959 | ||||||
ViroPharma, Inc. * | 93,374 | 1,245 | ||||||
ZymoGenetics, Inc. * | 82,977 | 1,332 | ||||||
75,624 | ||||||||
Real Estate 7.0% | ||||||||
Alexander’s, Inc. * | 7,210 | 2,630 | ||||||
Alexandria Real Estate Equities, Inc. | 31,429 | 3,133 | ||||||
American Financial Realty Trust | 179,117 | 2,090 | ||||||
American Home Mortgage Investment Corp. (a) | 69,169 | 2,364 | ||||||
Annaly Mortgage Management, Inc. | 169,245 | 2,221 | ||||||
Biomed Property Trust, Inc. | 62,234 | 2,006 | ||||||
Commercial Net Lease Realty (a) | 75,126 | 1,688 | ||||||
Corporate Office Properties Trust SBI (a) | 55,249 | 2,640 | ||||||
Cousins Properties, Inc. | 70,545 | 2,523 | ||||||
Digital Realty Trust, Inc. | 27,304 | 912 | ||||||
EastGroup Properties, Inc. | 30,590 | 1,628 | ||||||
Entertainment Properties Trust | 34,955 | 1,923 | ||||||
Equity Inns, Inc. | 73,687 | 1,236 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Equity Lifestyle Properties, Inc. | 31,859 | 1,570 | ||||||
Equity One, Inc. | 104,337 | 2,621 | ||||||
Extra Space Storage, Inc. | 51,858 | 956 | ||||||
FelCor Lodging Trust, Inc. * | 82,894 | 1,721 | ||||||
First Industrial Realty Trust (a) | 60,301 | 2,772 | ||||||
Franklin Street Properties Corp. | 76,865 | 1,580 | ||||||
Friedman, Billings, Ramsey Group, Inc., Class A (a) | 218,817 | 1,670 | ||||||
Getty Realty Corp. (a) | 34,442 | 1,102 | ||||||
Glimcher Realty Trust (a) | 49,548 | 1,276 | ||||||
Healthcare Realty Trust, Inc. | 65,681 | 2,660 | ||||||
Highwoods Properties, Inc. | 74,842 | 2,859 | ||||||
Home Properties, Inc. (a) | 43,965 | 2,777 | ||||||
Inland Real Estate Corp. | 93,136 | 1,741 | ||||||
Innkeepers USA Trust | 52,723 | 904 | ||||||
Kilroy Realty Corp. | 39,658 | 2,987 | ||||||
KKR Financial Corp. | 112,163 | 3,009 | ||||||
LaSalle Hotel Properties | 49,326 | 2,084 | ||||||
Lexington Corp. Properties Trust (a) | 72,291 | 1,540 | ||||||
Longview Fibre Co. | 89,821 | 1,892 | ||||||
Maguire Properties, Inc. | 61,635 | 2,636 | ||||||
Mid-America Apartment Communities, Inc. | 30,352 | 1,932 | ||||||
Move, Inc. * | 181,052 | 865 | ||||||
National Health Investors, Inc. | 38,368 | 1,233 | ||||||
Nationwide Health Properties, Inc. | 94,280 | 2,710 | ||||||
Newcastle Investment Corp. | 60,230 | 1,787 | ||||||
Novastar Financial, Inc. (a) | 41,026 | 1,310 | ||||||
Omega Healthcare Investors, Inc. | 77,858 | 1,314 | ||||||
Pennsylvania Real Estate Investment Trust | 50,312 | 2,168 | ||||||
Post Properties, Inc. | 56,867 | 2,785 | ||||||
Potlatch Corp. | 50,803 | 2,063 | ||||||
PS Business Parks, Inc. | 30,438 | 2,004 | ||||||
RAIT Investment Trust | 38,506 | 1,158 | ||||||
Realty Income Corp. (a) | 115,196 | 3,041 | ||||||
Redwood Trust, Inc. | 34,329 | 1,887 | ||||||
Senior Housing Properties Trust | 100,216 | 2,298 | ||||||
Sovran Self Storage, Inc. (a) | 22,026 | 1,299 | ||||||
Spirit Finance Corp. | 111,121 | 1,323 | ||||||
Strategic Hotel & Resorts, Inc. | 67,931 | 1,445 | ||||||
Sunstone Hotel Investors, Inc. | 74,509 | 2,195 | ||||||
Tanger Factory Outlet Centers, Inc. | 43,034 | 1,605 | ||||||
Taubman Centers, Inc. | 70,883 | 3,324 | ||||||
Tejon Ranch Co. * | 19,392 | 941 | ||||||
Trammell Crow Co. * | 45,293 | 2,208 | ||||||
Trustreet Properties, Inc. (a) | 92,532 | 1,570 | ||||||
U-store-It Trust | 75,979 | 1,669 | ||||||
Washington Real Estate Investment Trust (a) | 58,282 | 2,457 | ||||||
115,942 | ||||||||
Retailing 5.5% | ||||||||
99 Cents Only Stores * | 97,006 | 1,163 | ||||||
Aaron Rents, Inc. | 64,371 | 1,602 | ||||||
Aeropostale, Inc. * | 71,988 | 2,110 | ||||||
bebe stores, Inc. (b) | 122,563 | 3,043 | ||||||
Big Lots, Inc. * | 161,833 | 3,411 | ||||||
Blockbuster, Inc., Class A (a)* | 265,621 | 1,041 | ||||||
Borders Group, Inc. | 89,850 | 1,850 | ||||||
Building Material Holding Corp. (a) | 35,248 | 919 | ||||||
Cabela’s, Inc., Class A (a)* | 84,836 | 2,002 | ||||||
Charming Shoppes, Inc. * | 170,253 | 2,520 | ||||||
Christopher & Banks Corp. | 48,724 | 1,315 | ||||||
Coldwater Creek, Inc. * | 120,979 | 3,689 | ||||||
Conn’s, Inc. (a)* | 26,403 | 634 | ||||||
CSK Auto Corp. * | 61,103 | 953 | ||||||
Dick’s Sporting Goods, Inc. * | 68,840 | 3,425 | ||||||
Dress Barn, Inc. * | 84,512 | 1,836 | ||||||
DSW, Inc. (a)* | 58,697 | 2,031 | ||||||
Genesco, Inc. * | 29,044 | 1,091 | ||||||
Group 1 Automotive, Inc. | 31,664 | 1,815 | ||||||
Guess?, Inc. * | 62,886 | 3,581 | ||||||
Guitar Center, Inc. * | 32,874 | 1,426 | ||||||
Hibbett Sporting Goods, Inc. * | 45,775 | 1,338 | ||||||
Jos. A. Bank Clothiers, Inc. (a)* | 23,212 | 689 | ||||||
Keystone Automotive Industries, Inc. * | 20,135 | 774 | ||||||
NetFlix, Inc. (a)* | 82,886 | 2,293 | ||||||
New York & Co., Inc. * | 70,523 | 917 | ||||||
Nutri/System, Inc. (a)* | 42,048 | 2,593 | ||||||
OfficeMax, Inc. | 96,592 | 4,596 | ||||||
Pacific Sunwear of California, Inc. * | 94,761 | 1,670 | ||||||
Payless Shoesource, Inc. * | 104,919 | 2,807 | ||||||
Pier 1 Imports, Inc. (a) | 114,402 | 748 | ||||||
Priceline.com, Inc. (a)* | 54,130 | 2,181 | ||||||
Rent-A-Center, Inc. * | 98,405 | 2,830 | ||||||
Select Comfort Corp. (a)* | 66,001 | 1,411 | ||||||
Sonic Automotive, Inc. | 40,832 | 1,074 | ||||||
Stage Stores, Inc. | 32,818 | 1,064 | ||||||
Stamps.com, Inc. * | 27,811 | 446 | ||||||
Stein Mart, Inc. | 53,599 | 877 | ||||||
Talbots, Inc. | 74,770 | 2,097 | ||||||
The Buckle, Inc. | 24,784 | 981 | ||||||
The Cato Corp., Class A | 11,504 | 263 | ||||||
The Children’s Place Retail Stores, Inc. * | 34,813 | 2,443 | ||||||
The Finish Line, Class A | 57,517 | 745 | ||||||
The Gymboree Corp. * | 42,910 | 1,994 | ||||||
The Men’s Wearhouse, Inc. (b) | 82,645 | 3,293 | ||||||
The Pep Boys-Manny, Moe & Jack | 75,504 | 1,071 | ||||||
Tuesday Morning Corp. (a) | 49,425 | 815 | ||||||
Tween Brands, Inc. * | 46,055 | 1,926 | ||||||
United Auto Group, Inc. (a) | 123,616 | 2,841 | ||||||
VistaPrint Ltd. * | 48,900 | 1,530 | ||||||
Zale Corp. (b)* | 68,744 | 1,983 | ||||||
91,747 | ||||||||
Semiconductors & Semiconductor Equipment 3.4% | ||||||||
AMIS Holdings, Inc. * | 125,998 | 1,208 | ||||||
Amkor Technology, Inc. (a)* | 245,218 | 1,695 | ||||||
Applied Micro Circuits Corp. (b)* | 461,563 | 1,408 | ||||||
Atheros Communications (a)* | 62,643 | 1,361 | ||||||
ATMI, Inc. * | 51,954 | 1,647 | ||||||
Axcelis Technologies, Inc. * | 135,141 | 933 | ||||||
Brooks Automation, Inc. * | 114,831 | 1,631 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Cabot Microelectronics Corp. * | 34,600 | 988 | ||||||
Cirrus Logic, Inc. * | 139,004 | 981 | ||||||
Conexant Systems, Inc. (b)* | 617,555 | 1,192 | ||||||
Credence Systems Corp. * | 138,747 | 447 | ||||||
Cree, Inc. (a)* | 101,396 | 2,230 | ||||||
Cymer, Inc. * | 56,165 | 2,602 | ||||||
Diodes, Inc. (a)* | 35,154 | 1,548 | ||||||
DSP Group, Inc. * | 31,411 | 682 | ||||||
Entegris, Inc. * | 189,572 | 2,125 | ||||||
FormFactor, Inc. * | 57,373 | 2,191 | ||||||
Genesis Microchip, Inc. (a)* | 46,089 | 472 | ||||||
Hittite Microwave Corp. * | 39,909 | 1,369 | ||||||
Micrel, Inc. * | 116,105 | 1,296 | ||||||
Microsemi Corp. * | 86,019 | 1,686 | ||||||
MKS Instruments, Inc. * | 84,499 | 1,829 | ||||||
OmniVision Technologies, Inc. (a)* | 64,073 | 1,052 | ||||||
ON Semiconductor Corp. (b)* | 387,846 | 2,412 | ||||||
Photronics, Inc. * | 55,774 | 780 | ||||||
PMC — Sierra, Inc. (a)* | 254,323 | 1,686 | ||||||
Power Integrations, Inc. * | 47,962 | 1,052 | ||||||
RF Micro Devices, Inc. * | 252,854 | 1,846 | ||||||
Semtech Corp. * | 113,829 | 1,483 | ||||||
Silicon Image, Inc. * | 111,022 | 1,313 | ||||||
SiRF Technology Holdings, Inc. (a)* | 64,046 | 1,801 | ||||||
Skyworks Solutions, Inc. * | 205,708 | 1,364 | ||||||
Spansion, Inc. Class A (a)* | 171,763 | 2,449 | ||||||
Standard Microsystems Corp. * | 20,592 | 635 | ||||||
Tessera Technologies, Inc. * | 55,290 | 1,930 | ||||||
Trident Microsystems, Inc. * | 80,243 | 1,696 | ||||||
Varian Semiconductor Equipment Associates, Inc. * | 78,714 | 2,872 | ||||||
Vitesse Semiconductor Corp. (a)* | 306,394 | 359 | ||||||
Zoran Corp. * | 68,524 | 954 | ||||||
57,205 | ||||||||
Software & Services 7.2% | ||||||||
Advent Software, Inc. * | 51,014 | 1,889 | ||||||
Ansys, Inc. * | 52,024 | 2,393 | ||||||
aQuantive, Inc. (a)* | 97,522 | 2,651 | ||||||
BearingPoint, Inc. * | 274,757 | 2,289 | ||||||
Blackbaud, Inc. | 59,369 | 1,484 | ||||||
Blackboard, Inc. (a)* | 35,961 | 997 | ||||||
CACI International, Inc., Class A * | 39,627 | 2,280 | ||||||
Clarent Corp. * | 105,200 | 2 | ||||||
CNET Networks, Inc. * | 198,430 | 1,774 | ||||||
CSG Systems International, Inc. * | 78,045 | 2,106 | ||||||
DealerTrack Holdings, Inc. * | 44,336 | 1,130 | ||||||
Digital Insight Corp. * | 44,337 | 1,365 | ||||||
Digital River, Inc. * | 47,870 | 2,769 | ||||||
Digitas, Inc. * | 121,908 | 1,287 | ||||||
EarthLink, Inc. * | 216,981 | 1,523 | ||||||
eFunds Corp. * | 55,913 | 1,387 | ||||||
Equinix, Inc. (a)* | 35,147 | 2,404 | ||||||
Euronet Worldwide, Inc. (a)* | 43,736 | 1,300 | ||||||
FactSet Research Systems, Inc. | 66,796 | 3,400 | ||||||
Gartner, Inc. * | 149,949 | 2,789 | ||||||
Gevity HR, Inc. | 37,581 | 849 | ||||||
Heartland Payment Systems, Inc. (a) | 45,670 | 1,220 | ||||||
Hyperion Solutions Corp. * | 86,914 | 3,251 | ||||||
Informatica Corp. * | 135,581 | 1,680 | ||||||
Infospace, Inc. * | 46,479 | 939 | ||||||
Intergraph Corp. * | 44,162 | 1,929 | ||||||
j2 Global Communications, Inc. (a)* | 68,328 | 1,875 | ||||||
Jack Henry & Associates, Inc. | 106,620 | 2,323 | ||||||
Kronos, Inc. * | 44,255 | 1,500 | ||||||
Lawson Software, Inc. * | 171,651 | 1,308 | ||||||
Macrovision Corp. * | 73,451 | 1,955 | ||||||
Manhattan Associates, Inc. * | 6,247 | 185 | ||||||
ManTech International Corp., Class A * | 39,282 | 1,338 | ||||||
Marchex, Inc., Class B (a)* | 37,600 | 533 | ||||||
MAXIMUS, Inc. | 26,774 | 747 | ||||||
Mentor Graphics Corp. * | 121,767 | 2,054 | ||||||
Micros Systems, Inc. * | 52,817 | 2,624 | ||||||
MicroStrategy, Inc., Class A * | 21,162 | 2,526 | ||||||
Midway Games, Inc. (a)* | 116,054 | 993 | ||||||
MPS Group, Inc. * | 154,646 | 2,358 | ||||||
Nuance Communications, Inc. (a)* | 193,257 | 2,230 | ||||||
Openwave Systems, Inc. * | 123,792 | 1,068 | ||||||
Opsware, Inc. * | 110,042 | 1,000 | ||||||
Parametric Technology Corp. * | 149,552 | 2,922 | ||||||
Perot Systems Corp., Class A * | 164,492 | 2,426 | ||||||
Progress Software Corp. * | 51,480 | 1,482 | ||||||
Quality Systems, Inc. * | 32,172 | 1,365 | ||||||
Quest Software, Inc. * | 138,488 | 2,040 | ||||||
RealNetworks, Inc. * | 236,530 | 2,597 | ||||||
Sapient Corp. (a)* | 106,663 | 581 | ||||||
Secure Computing Corp. * | 73,419 | 527 | ||||||
SRA International, Inc., Class A * | 69,595 | 2,231 | ||||||
Sybase, Inc. * | 135,719 | 3,305 | ||||||
Syntel, Inc. (a) | 49,458 | 1,239 | ||||||
Take-Two Interactive Software, Inc. (a)* | 89,004 | 1,245 | ||||||
Talx Corp. | 34,153 | 831 | ||||||
The BISYS Group, Inc. * | 167,618 | 1,851 | ||||||
THQ, Inc. * | 79,461 | 2,389 | ||||||
TIBCO Software, Inc. * | 301,136 | 2,786 | ||||||
Transaction Systems Architects, Inc., Class A * | 50,259 | 1,694 | ||||||
United Online, Inc. | 101,887 | 1,378 | ||||||
ValueClick, Inc. * | 133,043 | 2,501 | ||||||
VeriFone Holdings, Inc. (a)* | 90,343 | 2,639 | ||||||
Verint Systems, Inc. * | 44,222 | 1,448 | ||||||
WebEx Communications, Inc. * | 64,659 | 2,486 | ||||||
Websense, Inc. * | 70,904 | 1,941 | ||||||
Wind River Systems, Inc. * | 118,836 | 1,305 | ||||||
Wright Express Corp. * | 43,376 | 1,187 | ||||||
120,100 | ||||||||
Technology Hardware & Equipment 5.3% | ||||||||
3Com Corp. * | 517,119 | 2,513 | ||||||
Adaptec, Inc. * | 182,113 | 825 | ||||||
Aeroflex, Inc. * | 94,880 | 1,025 | ||||||
Anixter International, Inc. (a)* | 52,843 | 3,158 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Arris Group, Inc. * | 144,990 | 1,943 | ||||||
Avid Technology, Inc. (a)* | 50,605 | 1,828 | ||||||
Avocent Corp. * | 65,856 | 2,418 | ||||||
Benchmark Electronics, Inc. * | 86,494 | 2,296 | ||||||
Black Box Corp. | 19,892 | 887 | ||||||
Brightpoint, Inc. * | 68,295 | 826 | ||||||
Brocade Communications Systems, Inc. (b)* | 383,283 | 3,108 | ||||||
Checkpoint Systems, Inc. * | 56,844 | 1,035 | ||||||
Cogent, Inc. * | 105,809 | 1,217 | ||||||
Cognex Corp. | 61,809 | 1,423 | ||||||
Coherent, Inc. * | 50,300 | 1,621 | ||||||
CommScope, Inc. * | 82,649 | 2,637 | ||||||
Dycom Industries, Inc. * | 55,932 | 1,304 | ||||||
Electro Scientific Industries, Inc. * | 39,085 | 780 | ||||||
Electronics for Imaging, Inc. * | 73,409 | 1,735 | ||||||
Emulex Corp. * | 129,290 | 2,431 | ||||||
FLIR Systems, Inc. (a)* | 83,754 | 2,675 | ||||||
Foundry Networks, Inc. * | 187,424 | 2,373 | ||||||
Gateway, Inc. (b)* | 417,106 | 701 | ||||||
Global Imaging Systems, Inc. * | 54,654 | 1,190 | ||||||
Hutchinson Technology, Inc. * | 26,486 | 613 | ||||||
Imation Corp. | 52,013 | 2,381 | ||||||
Insight Enterprises, Inc. * | 59,600 | 1,281 | ||||||
InterDigital Communications Corp. * | 82,994 | 2,968 | ||||||
Intermec, Inc. * | 84,440 | 1,908 | ||||||
Itron, Inc. (a)* | 32,459 | 1,767 | ||||||
Ixia * | 64,940 | 594 | ||||||
Kemet Corp. * | 129,031 | 948 | ||||||
Komag, Inc. (a)* | 38,484 | 1,472 | ||||||
L-1 Identity Solutions, Inc. (a)* | 36,584 | 524 | ||||||
MasTec, Inc. * | 53,073 | 581 | ||||||
MTS Systems Corp. | 32,375 | 1,078 | ||||||
Multi-Fineline Electronix, Inc. (a)* | 22,181 | 536 | ||||||
Newport Corp. * | 55,737 | 1,205 | ||||||
Palm, Inc. (a)* | 132,160 | 2,029 | ||||||
Paxar Corp. * | 52,961 | 1,060 | ||||||
Plantronics, Inc. (a) | 50,093 | 1,058 | ||||||
Plexus Corp. * | 58,862 | 1,290 | ||||||
Polycom, Inc. * | 138,739 | 3,801 | ||||||
Powerwave Technologies, Inc. (a)* | 136,674 | 890 | ||||||
Rackable Systems, Inc. * | 31,589 | 980 | ||||||
Redback Networks, Inc. * | 76,859 | 1,216 | ||||||
Rofin-Sinar Technologies, Inc. * | 24,268 | 1,494 | ||||||
Rogers Corp. * | 23,367 | 1,635 | ||||||
ScanSource, Inc. * | 33,778 | 1,060 | ||||||
Sonus Networks, Inc. (a)* | 306,958 | 1,605 | ||||||
Sycamore Networks, Inc. (b)* | 366,015 | 1,373 | ||||||
SYNNEX Corp. * | 12,600 | 283 | ||||||
Technitrol, Inc. | 54,043 | 1,363 | ||||||
Tekelec * | 88,927 | 1,312 | ||||||
Trimble Navigation Ltd. * | 74,801 | 3,457 | ||||||
UTStarcom, Inc. (a)* | 152,163 | 1,639 | ||||||
ViaSat, Inc. * | 27,019 | 733 | ||||||
88,083 | ||||||||
Telecommunication Services 1.2% | ||||||||
Broadwing Corp. * | 104,779 | 1,570 | ||||||
Centennial Communications Corp. * | 139,175 | 718 | ||||||
Cincinnati Bell, Inc. * | 342,245 | 1,605 | ||||||
Commonwealth Telephone Enterprises, Inc. | 30,467 | 1,275 | ||||||
Dobson Communications Corp., Class A * | 226,146 | 1,755 | ||||||
IDT Corp., Class B * | 125,205 | 1,626 | ||||||
NeuStar, Inc. * | 79,495 | 2,323 | ||||||
SBA Communications Corp. * | 118,934 | 3,177 | ||||||
Syniverse Holdings, Inc. * | 90,479 | 1,335 | ||||||
Time Warner Telecom, Inc., Class A (a)* | 160,808 | 3,206 | ||||||
USA Mobility, Inc. | 36,309 | 922 | ||||||
19,512 | ||||||||
Transportation 2.9% | ||||||||
AirTran Holdings, Inc. (a)* | 108,098 | 1,078 | ||||||
Alaska Air Group, Inc. * | 45,809 | 1,839 | ||||||
Amerco, Inc. * | 27,804 | 2,550 | ||||||
American Commercial Lines, Inc. * | 41,001 | 2,630 | ||||||
AMR Corp. (a)* | 14,417 | 409 | ||||||
Arkansas Best Corp. | 34,572 | 1,417 | ||||||
Continental Airlines, Inc., Class B (a)* | 125,511 | 4,629 | ||||||
Dollar Thrifty Automotive Group, Inc. * | 30,658 | 1,231 | ||||||
EGL, Inc. * | 54,206 | 1,843 | ||||||
Florida East Coast Industries, Class A | 43,450 | 2,596 | ||||||
Forward Air Corp. | 41,682 | 1,353 | ||||||
Genesee & Wyoming, Inc. * | 46,572 | 1,308 | ||||||
Heartland Express, Inc. | 139,552 | 2,279 | ||||||
Hub Group, Inc., Class A * | 66,192 | 1,798 | ||||||
JetBlue Airways Corp. (a)* | 212,303 | 2,667 | ||||||
Kansas City Southern * | 95,309 | 2,706 | ||||||
Kirby Corp. * | 68,534 | 2,401 | ||||||
Knight Transportation, Inc. | 109,888 | 2,002 | ||||||
Macquaire Infrastructure Co. Trust | 36,051 | 1,075 | ||||||
Old Dominion Freight Line * | 49,989 | 1,383 | ||||||
Pacer International, Inc. | 52,018 | 1,596 | ||||||
SkyWest, Inc. | 82,212 | 2,192 | ||||||
Swift Transportation Co., Inc. * | 102,350 | 2,574 | ||||||
Werner Enterprises, Inc. | 102,143 | 1,874 | ||||||
47,430 | ||||||||
Utilities 3.6% | ||||||||
Allete, Inc. | 39,490 | 1,781 | ||||||
Aquila, Inc. (b)* | 521,091 | 2,392 | ||||||
Avista Corp. | 58,612 | 1,509 | ||||||
Black Hills Corp. | 44,198 | 1,525 | ||||||
California Water Service Group | 21,487 | 836 | ||||||
CH Energy Group, Inc. | 19,497 | 1,014 | ||||||
Cleco Corp. | 66,715 | 1,715 | ||||||
Duquesne Light Holdings, Inc. | 104,177 | 2,066 | ||||||
Dynegy, Inc., Class A * | 530,336 | 3,224 | ||||||
El Paso Electric Co. * | 66,416 | 1,551 | ||||||
Great Plains Energy, Inc. (a) | 80,281 | 2,612 | ||||||
Idacorp, Inc. | 52,798 | 2,082 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
ITC Holdings Corp. | 17,156 | 609 | ||||||
MGE Energy, Inc. | 25,560 | 874 | ||||||
New Jersey Resources Corp. | 35,909 | 1,862 | ||||||
Nicor, Inc. | 57,694 | 2,652 | ||||||
Northwest Natural Gas Co. | 36,395 | 1,506 | ||||||
NorthWestern Corp. | 49,712 | 1,759 | ||||||
Ormat Technologies, Inc. (a) | 44,045 | 1,691 | ||||||
Otter Tail Corp. | 40,409 | 1,210 | ||||||
Peoples Energy Corp. | 47,712 | 2,084 | ||||||
Piedmont Natural Gas Co., Inc. (a) | 99,377 | 2,683 | ||||||
PNM Resources, Inc. | 90,129 | 2,538 | ||||||
Sierra Pacific Resources * | 214,037 | 3,245 | ||||||
South Jersey Industries, Inc. | 34,460 | 1,066 | ||||||
Southwest Gas Corp. | 50,196 | 1,801 | ||||||
The Laclede Group, Inc. | 25,977 | 926 | ||||||
UIL Holdings Corp. | 33,775 | 1,343 | ||||||
Unisource Energy Corp. | 47,817 | 1,701 | ||||||
Vectren Corp. | 101,117 | 2,938 | ||||||
Westar Energy, Inc. | 104,921 | 2,657 | ||||||
WGL Holdings, Inc. | 62,161 | 2,017 | ||||||
59,469 |
Security | Face Amount | Value | ||||||
Rate, Maturity Date | ($ x 1,000) | ($ x 1,000) | ||||||
Short-Term Investment 0.2% of net assets | ||||||||
JP Morgan, Grand Cayman Time Deposit 4.71%, 11/01/06 | 3,156 | 3,156 | ||||||
U.S. Treasury Obligation 0.0% of net assets | ||||||||
U.S. Treasury Bill 5.03%, 12/14/06 | 685 | 681 | ||||||
End of Investments. | ||||||||
Collateral Invested for Securities on Loan 15.2% of net assets | ||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust | 251,338 | 251,338 |
Number of | Contract | Unrealized | ||||||||||
Contracts | Value | Gains | ||||||||||
Futures Contract | ||||||||||||
Russell 2000 Index, e-mini Futures, Long expires 12/31/06 | 51 | 3,932 | 182 |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. | |
(b) | All or a portion of this security is held as collateral for open futures contracts. |
Table of Contents
Cost | Value | |||||||||||
Holdings by Category | ($ x 1,000) | ($ x 1,000) | ||||||||||
99.6 | % | Common Stock | 1,038,021 | 1,363,639 | ||||||||
0.1 | % | Foreign Common Stock | 425 | 994 | ||||||||
— | % | Preferred Stock | 64 | 94 | ||||||||
— | % | U.S. Treasury Obligation | 308 | 308 | ||||||||
— | % | Rights | — | — | ||||||||
99.7 | % | Total Investments | 1,038,818 | 1,365,035 | ||||||||
3.9 | % | Collateral Invested for Securities on Loan | 52,763 | 52,763 | ||||||||
(3.6) | % | Other Assets and Liabilities, Net | (49,183 | ) | ||||||||
100.0 | % | Net Assets | 1,368,615 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Common Stock 99.6% of net assets | ||||||||
Automobiles & Components 0.6% | ||||||||
Aftermarket Technology Corp. * | 2,511 | 47 | ||||||
American Axle & Manufacturing Holdings, Inc. | 5,300 | 99 | ||||||
ArvinMeritor, Inc. (a) | 4,900 | 74 | ||||||
Bandag, Inc. (a) | 700 | 31 | ||||||
BorgWarner, Inc. | 5,400 | 310 | ||||||
Collins & Aikman Corp. * | 1,400 | — | ||||||
Cooper Tire & Rubber Co. (a) | 6,400 | 69 | ||||||
Drew Industries, Inc. * | 2,400 | 65 | ||||||
Federal Screw Works | 250 | 4 | ||||||
Ford Motor Co. | 148,736 | 1,232 | ||||||
General Motors Corp. (a) | 45,386 | 1,585 | ||||||
Gentex Corp. | 4,600 | 73 | ||||||
Harley-Davidson, Inc. | 25,500 | 1,750 | ||||||
Hawk Corp., Class A * | 1,800 | 26 | ||||||
Johnson Controls, Inc. | 15,000 | 1,223 | ||||||
Lear Corp. (a) | 5,800 | 175 | ||||||
Modine Manufacturing Co. | 3,700 | 88 | ||||||
Monaco Coach Corp. | 1,200 | 14 | ||||||
Proliance International, Inc. * | 872 | 4 | ||||||
Sauer-Danfoss, Inc. | 3,800 | 101 | ||||||
Standard Motor Products, Inc. | 2,000 | 22 | ||||||
Stoneridge, Inc. * | 1,700 | 12 | ||||||
Strattec Security Corp. * | 1,500 | 58 | ||||||
Superior Industries International, Inc. | 800 | 14 | ||||||
Tenneco Automotive, Inc. * | 4,480 | 102 | ||||||
The Goodyear Tire & Rubber Co. (a)* | 12,500 | 192 | ||||||
Thor Industries, Inc. | 4,500 | 197 | ||||||
TRW Automotive Holdings Corp. * | 7,800 | 200 | ||||||
Visteon Corp. * | 5,451 | 40 | ||||||
Winnebago Industries, Inc. | 2,600 | 87 | ||||||
7,894 | ||||||||
Banks 5.9% | ||||||||
1st Source Corp. | 1,728 | 55 | ||||||
Abigail Adams National Bancorp | 550 | 7 | ||||||
Accredited Home Lenders Holding Co. * | 2,500 | 76 | ||||||
Alabama National Bancorp | 1,600 | 109 | ||||||
Amcore Financial, Inc. | 1,200 | 38 | ||||||
Ameris Bancorp | 1,800 | 50 | ||||||
AmSouth Bancorp | 28,403 | 858 | ||||||
Anchor Bancorp Wisconsin, Inc. | 3,100 | 90 | ||||||
Arrow Financial Corp. | 1,050 | 27 | ||||||
Associated Banc-Corp. | 15,500 | 509 | ||||||
Astoria Financial Corp. | 8,300 | 241 | ||||||
BancFirst Corp. | 1,000 | 50 | ||||||
BancorpSouth, Inc. | 7,612 | 194 | ||||||
BancTrust Financial Group, Inc. | 1,100 | 27 | ||||||
Bank Mutual Corp. | 6,168 | 75 | ||||||
Bank of Hawaii Corp. | 3,500 | 183 | ||||||
Bank of the Ozarks, Inc. (a) | 2,800 | 88 | ||||||
BankAtlantic Bancorp, Inc., Class A | 2,200 | 29 | ||||||
BankUnited Financial Corp., Class A | 2,200 | 59 | ||||||
Banner Corp. | 1,200 | 52 | ||||||
Bay View Capital Corp. * | 506 | 8 | ||||||
BB&T Corp. | 47,046 | 2,047 | ||||||
Berkshire Bancorp, Inc. | 3,600 | 56 | ||||||
Berkshire Hills Bancorp, Inc. | 1,400 | 51 | ||||||
BOK Financial Corp. | 4,540 | 233 | ||||||
Boston Private Financial Holdings, Inc. | 2,129 | 59 | ||||||
Brookline Bancorp, Inc. | 2,405 | 32 | ||||||
Bryn Mawr Bank Corp. | 1,400 | 31 | ||||||
Camco Financial Corp. | 700 | 10 | ||||||
Camden National Corp. | 700 | 31 | ||||||
Capital City Bank Group, Inc. | 1,875 | 63 | ||||||
Capital Crossing Bank * | 2,000 | 58 | ||||||
Capitol Bancorp Ltd. | 1,500 | 70 | ||||||
Capitol Federal Financial (a) | 6,920 | 262 | ||||||
Cascade Bancorp | 2,655 | 97 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Cathay General Bancorp | 3,200 | 110 | ||||||
Central Pacific Financial Corp. | 3,400 | 125 | ||||||
Century Bancorp Inc., Class A | 800 | 21 | ||||||
Charter Financial Corp. | 900 | 43 | ||||||
CharterMac | 3,900 | 79 | ||||||
Chemical Financial Corp. | 1,383 | 41 | ||||||
Chittenden Corp. | 2,272 | 67 | ||||||
Citizens Banking Corp. (a) | 4,590 | 119 | ||||||
Citizens First Bancorp, Inc. | 700 | 21 | ||||||
Citizens South Banking Corp. | 1,000 | 13 | ||||||
City Holding Co. | 1,800 | 71 | ||||||
City National Corp. | 3,100 | 206 | ||||||
Coastal Financial Corp. | 3,670 | 50 | ||||||
Columbia Banking System, Inc. | 1,951 | 62 | ||||||
Comerica, Inc. | 13,496 | 785 | ||||||
Commerce Bancorp, Inc. (a) | 11,320 | 395 | ||||||
Commerce Bancshares, Inc. | 13,331 | 660 | ||||||
Community Bank System, Inc. | 1,400 | 35 | ||||||
Community Trust Bancorp, Inc. | 2,487 | 95 | ||||||
Compass Bancshares, Inc. | 11,400 | 641 | ||||||
Corus Bankshares, Inc. (a) | 4,000 | 82 | ||||||
Countrywide Financial Corp. | 45,000 | 1,715 | ||||||
Cullen/Frost Bankers, Inc. | 3,300 | 179 | ||||||
CVB Financial Corp. | 5,283 | 77 | ||||||
Dime Community Bancshares, Inc. | 3,375 | 47 | ||||||
Doral Financial Corp. (a) | 9,900 | 46 | ||||||
Downey Financial Corp. | 2,000 | 138 | ||||||
East West Bancorp, Inc. | 2,600 | 95 | ||||||
Exchange National Bancshares, Inc. | 750 | 23 | ||||||
F.N.B. Corp. (a) | 2,639 | 45 | ||||||
Fannie Mae | 78,900 | 4,676 | ||||||
Fidelity Bankshares, Inc. | 2,899 | 115 | ||||||
Fifth Third Bancorp | 42,601 | 1,698 | ||||||
First Bancorp. | 4,200 | 42 | ||||||
First Busey Corp. | 1,500 | 34 | ||||||
First Charter Corp. | 3,500 | 87 | ||||||
First Citizens BancShares, Inc., Class A | 300 | 56 | ||||||
First Commonwealth Financial Corp. | 2,504 | 33 | ||||||
First Financial Bancorp | 1,839 | 30 | ||||||
First Financial Bankshares, Inc. | 2,000 | 80 | ||||||
First Financial Corp. Indiana | 600 | 21 | ||||||
First Financial Holdings, Inc. | 1,400 | 51 | ||||||
First Horizon National Corp. (c) | 10,800 | 425 | ||||||
First Indiana Corp. | 1,718 | 44 | ||||||
First M&F Corp. | 2,000 | 38 | ||||||
First Merchants Corp. | 1,041 | 26 | ||||||
First Midwest Bancorp, Inc. Illinois | 3,125 | 119 | ||||||
First Niagra Financial Group, Inc. | 7,670 | 110 | ||||||
First Place Financial Corp. | 2,900 | 68 | ||||||
First Republic Bank | 1,200 | 47 | ||||||
First United Corp. | 2,200 | 48 | ||||||
FirstFed Financial Corp. * | 400 | 25 | ||||||
FirstMerit Corp. | 7,300 | 169 | ||||||
Flagstar Bancorp, Inc. | 6,200 | 93 | ||||||
Flushing Financial Corp. | 3,300 | 58 | ||||||
Freddie Mac | 56,100 | 3,870 | ||||||
Fremont General Corp. | 6,200 | 90 | ||||||
Frontier Financial Corp. | 1,575 | 46 | ||||||
Fulton Financial Corp. | 14,762 | 236 | ||||||
Glacier Bancorp, Inc. | 2,465 | 86 | ||||||
Great Southern Bancorp, Inc. | 1,400 | 44 | ||||||
Greater Bay Bancorp | 5,406 | 139 | ||||||
Hancock Holding Co. | 2,100 | 108 | ||||||
Harbor Florida Bancshares, Inc. | 1,100 | 50 | ||||||
Harleysville National Corp. | 1,274 | 27 | ||||||
Heritage Financial Corp/WA | 735 | 18 | ||||||
Home Federal Bancorp | 800 | 22 | ||||||
Horizon Financial Corp. | 2,695 | 63 | ||||||
Hudson City Bancorp, Inc. | 48,731 | 669 | ||||||
Huntington Bancshares, Inc. (a) | 19,856 | 485 | ||||||
IBERIABANK Corp. | 875 | 51 | ||||||
Independent Bank Corp. Michigan | 1,802 | 43 | ||||||
Independent Bank Corp/Rockland MA | 1,000 | 33 | ||||||
IndyMac Bancorp, Inc. | 5,900 | 268 | ||||||
Integra Bank Corp. | 1,225 | 32 | ||||||
Interchange Financial Services Corp. | 1,575 | 36 | ||||||
International Bancshares Corp. | 4,577 | 140 | ||||||
Irwin Financial Corp. | 3,700 | 82 | ||||||
ITLA Capital Corp. | 700 | 40 | ||||||
KeyCorp | 34,300 | 1,274 | ||||||
Lakeland Financial Corp. | 2,200 | 57 | ||||||
M&T Bank Corp. | 8,962 | 1,092 | ||||||
MAF Bancorp, Inc. | 2,028 | 87 | ||||||
MainSource Financial Group, Inc. | 1,653 | 30 | ||||||
Marshall & Ilsley Corp. | 19,650 | 942 | ||||||
Massbank Corp. | 1,500 | 50 | ||||||
MB Financial, Inc. | 2,133 | 77 | ||||||
Mercantile Bankshares Corp. | 8,361 | 377 | ||||||
Merchants Bancshares, Inc. | 750 | 18 | ||||||
MGIC Investment Corp. | 9,300 | 546 | ||||||
Mid-State Bancshares | 3,500 | 105 | ||||||
Midwest Banc Holdings, Inc. | 1,300 | 31 | ||||||
MutualFirst Financial, Inc. | 2,000 | 42 | ||||||
Nara Bancorp, Inc. | 4,000 | 76 | ||||||
National City Corp. | 56,821 | 2,117 | ||||||
National Penn Bancshares, Inc. (a) | 1,457 | 30 | ||||||
NBT Bancorp., Inc. | 1,400 | 35 | ||||||
NetBank, Inc. | 3,300 | 18 | ||||||
New York Community Bancorp, Inc. | 22,697 | 371 | ||||||
North Fork Bancorp, Inc. | 38,411 | 1,098 | ||||||
North Valley Bancorp | 1,500 | 28 | ||||||
Northrim BanCorp, Inc. | 2,625 | 71 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Northway Financial, Inc. | 200 | 7 | ||||||
Northwest Bancorp, Inc. | 5,000 | 134 | ||||||
Oak Hill Financial, Inc. | 1,000 | 27 | ||||||
OceanFirst Financial Corp. | 1,050 | 25 | ||||||
Ocwen Financial Corp. * | 5,920 | 93 | ||||||
Old National Bancorp | 6,244 | 118 | ||||||
Omega Financial Corp. | 1,000 | 32 | ||||||
Oriental Financial Group, Inc. | 1,663 | 20 | ||||||
PAB Bankshares, Inc. | 700 | 15 | ||||||
Pacific Capital Bancorp | 2,844 | 87 | ||||||
Park National Corp. | 845 | 86 | ||||||
Partners Trust Financial Group, Inc. | 3,970 | 45 | ||||||
Pennfed Finance Services, Inc. | 4,000 | 73 | ||||||
People’s Bank | 12,375 | 504 | ||||||
Peoples Financial Corp. | 3,000 | 81 | ||||||
PFF Bancorp, Inc. | 1,680 | 52 | ||||||
Pinnacle Financial Partners, Inc. * | 475 | 16 | ||||||
PNC Financial Services Group, Inc. | 24,500 | 1,716 | ||||||
Popular, Inc. | 21,700 | 395 | ||||||
Prosperity Bancshares, Inc. | 2,400 | 83 | ||||||
Provident Bankshares Corp. | 1,657 | 60 | ||||||
Provident Financial Holdings, Inc. | 750 | 23 | ||||||
Provident Financial Services, Inc. | 917 | 17 | ||||||
R&G Financial Corp., Class B | 2,550 | 20 | ||||||
Radian Group, Inc. | 6,702 | 357 | ||||||
Regions Financial Corp. | 39,314 | 1,492 | ||||||
Renasant Corp. | 1,125 | 36 | ||||||
Republic Bancorp, Inc. | 5,648 | 76 | ||||||
Republic Bancorp, Inc., Class A | 1,735 | 37 | ||||||
S&T Bancorp, Inc. | 1,400 | 47 | ||||||
Sandy Spring Bancorp, Inc. | 2,900 | 106 | ||||||
Santander BanCorp | 4,686 | 88 | ||||||
Seacoast Banking Corp of Florida | 1,980 | 53 | ||||||
Shore Bancshares, Inc. | 750 | 22 | ||||||
Simmons First National Corp., Class A | 1,000 | 31 | ||||||
Sky Financial Group, Inc. | 8,510 | 213 | ||||||
Southwest Bancorp, Inc. | 3,300 | 89 | ||||||
Sovereign Bancorp, Inc. | 30,389 | 725 | ||||||
State Bancorp, Inc. | 1,058 | 19 | ||||||
Sterling Bancorp | 1,918 | 37 | ||||||
Sterling Bancshares, Inc. Texas | 2,100 | 38 | ||||||
Sterling Financial Corp. Pennsylvania | 1,562 | 36 | ||||||
Sterling Financial Corp. Washington | 1,827 | 61 | ||||||
Suffolk Bancorp | 2,400 | 84 | ||||||
Sun Bancorp, Inc.,NJ * | 3,645 | 76 | ||||||
SunTrust Banks, Inc. | 31,842 | 2,515 | ||||||
Susquehanna Bancshares, Inc. | 3,168 | 79 | ||||||
SVB Financial Group * | 2,200 | 101 | ||||||
SY Bancorp, Inc. | 1,470 | 43 | ||||||
Synovus Financial Corp. | 24,600 | 723 | ||||||
TCF Financial Corp. | 13,600 | 354 | ||||||
TD Banknorth, Inc. | 11,496 | 340 | ||||||
Texas Regional Bancshares, Inc., Class A | 2,558 | 99 | ||||||
TF Financial Corp. | 700 | 23 | ||||||
The Colonial BancGroup, Inc. | 10,100 | 241 | ||||||
The First of Long Island Corp. | 2,000 | 88 | ||||||
The PMI Group, Inc. | 8,100 | 345 | ||||||
The South Financial Group, Inc. | 4,500 | 119 | ||||||
Timberland Bancorp, Inc. | 1,000 | 35 | ||||||
Tompkins Trustco, Inc. | 931 | 46 | ||||||
Triad Guaranty, Inc. * | 1,700 | 88 | ||||||
TriCo Bancshares | 400 | 10 | ||||||
Trustco Bank Corp. NY | 2,857 | 32 | ||||||
Trustmark Corp. | 4,300 | 136 | ||||||
U.S. Bancorp | 158,531 | 5,365 | ||||||
UCBH Holdings, Inc. | 9,400 | 161 | ||||||
UMB Financial Corp. | 3,574 | 128 | ||||||
Umpqua Holdings Corp. | 343 | 10 | ||||||
Union Bankshares Corp. | 1,050 | 32 | ||||||
UnionBanCal Corp. | 20,100 | 1,157 | ||||||
United Bankshares, Inc. | 3,400 | 130 | ||||||
United Community Banks, Inc. Georgia | 3,750 | 118 | ||||||
USB Holding Co., Inc. | 1,958 | 44 | ||||||
Valley National Bancorp | 8,550 | 223 | ||||||
W Holding Co., Inc. | 11,938 | 68 | ||||||
Wachovia Corp. | 163,314 | 9,064 | ||||||
Washington Federal, Inc. | 7,942 | 185 | ||||||
Washington Mutual, Inc. | 78,449 | 3,318 | ||||||
Washington Trust Bancorp, Inc. | 1,000 | 27 | ||||||
Webster Financial Corp. | 4,663 | 225 | ||||||
Wells Fargo & Co. | 275,154 | 9,985 | ||||||
WesBanco, Inc. | 3,200 | 105 | ||||||
West Coast Bancorp | 1,200 | 39 | ||||||
Westamerica Bancorp | 1,700 | 85 | ||||||
Whitney Holding Corp. | 6,675 | 218 | ||||||
Willow Financial Bancorp, Inc. | 1,596 | 25 | ||||||
Wilmington Trust Corp. | 5,700 | 237 | ||||||
Wintrust Financial Corp. | 1,800 | 87 | ||||||
WSFS Financial Corp. | 1,000 | 64 | ||||||
Zions Bancorp | 7,725 | 621 | ||||||
80,044 | ||||||||
Capital Goods 7.9% | ||||||||
3D Systems Corp. (a)* | 1,400 | 23 | ||||||
3M Co. | 65,000 | 5,125 | ||||||
A.O. Smith Corp. | 1,300 | 46 | ||||||
Aaon, Inc. | 4,075 | 95 | ||||||
AAR Corp. * | 2,500 | 65 | ||||||
Actuant Corp., Class A | 2,840 | 146 | ||||||
Acuity Brands, Inc. | 5,200 | 258 | ||||||
Aerosonic Corp. * | 300 | 2 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
AGCO Corp. * | 6,762 | 181 | ||||||
Alamo Group, Inc. | 500 | 12 | ||||||
Albany International Corp., Class A | 3,918 | 132 | ||||||
Alliant Techsystems, Inc. * | 2,437 | 188 | ||||||
American Power Conversion Corp. | 16,600 | 502 | ||||||
American Science & Engineering, Inc. * | 500 | 26 | ||||||
American Standard Cos., Inc. | 15,400 | 682 | ||||||
American Superconductor Corp. * | 700 | 7 | ||||||
American Woodmark Corp. (a) | 1,000 | 37 | ||||||
Ameron International Corp. | 900 | 66 | ||||||
Ametek, Inc. | 4,200 | 196 | ||||||
Ampco-Pittsburgh Corp. | 2,800 | 93 | ||||||
Apogee Enterprises, Inc. | 1,200 | 19 | ||||||
Applied Industrial Technologies, Inc. | 6,525 | 187 | ||||||
Armor Holdings, Inc. * | 500 | 26 | ||||||
Astronics Corp. * | 1,250 | 22 | ||||||
Badger Meter, Inc. | 4,000 | 101 | ||||||
Baldor Electric Co. | 3,800 | 122 | ||||||
BE Aerospace, Inc. * | 1,100 | 28 | ||||||
Belden CDT, Inc. | 4,400 | 159 | ||||||
Blount International, Inc. * | 1,200 | 13 | ||||||
Breeze-Eastern Corp. * | 500 | 6 | ||||||
Briggs & Stratton Corp. | 3,500 | 89 | ||||||
C&D Technologies, Inc. | 4,500 | 22 | ||||||
Carlisle Cos., Inc. | 1,600 | 134 | ||||||
Cascade Corp. | 4,400 | 225 | ||||||
Caterpillar, Inc. | 53,800 | 3,266 | ||||||
Ceradyne, Inc. * | 2,500 | 103 | ||||||
Chase Corp. | 100 | 2 | ||||||
CIRCOR International, Inc. | 3,750 | 124 | ||||||
Clarcor, Inc. | 3,400 | 111 | ||||||
Columbus McKinnon Corp. * | 2,400 | 53 | ||||||
Cooper Industries Ltd., Class A | 13,700 | 1,225 | ||||||
Crane Co. | 5,000 | 195 | ||||||
Cummins, Inc. (a) | 3,900 | 495 | ||||||
Curtiss-Wright Corp. | 600 | 20 | ||||||
Danaher Corp. | 24,000 | 1,722 | ||||||
Deere & Co. | 19,000 | 1,617 | ||||||
Distributed Energy Systems Corp. * | 1,400 | 5 | ||||||
Donaldson Co., Inc. | 6,500 | 244 | ||||||
Dover Corp. | 16,700 | 793 | ||||||
DRS Technologies, Inc. | 2,357 | 104 | ||||||
Ducommun, Inc. * | 3,200 | 67 | ||||||
Eaton Corp. | 12,600 | 913 | ||||||
Electro Rent Corp. * | 5,100 | 84 | ||||||
ElkCorp. | 3,450 | 87 | ||||||
EMCOR Group, Inc. * | 3,900 | 231 | ||||||
Emerson Electric Co. | 35,000 | 2,954 | ||||||
Energy Conversion Devices, Inc. * | 600 | 22 | ||||||
ESCO Technologies, Inc. * | 2,800 | 122 | ||||||
Esterline Technologies Corp. * | 2,400 | 90 | ||||||
Evergreen Solar, Inc. (a)* | 1,000 | 9 | ||||||
Fastenal Co. | 13,200 | 531 | ||||||
Federal Signal Corp. | 2,800 | 43 | ||||||
Flow International Corp. * | 900 | 11 | ||||||
Flowserve Corp. * | 3,900 | 207 | ||||||
Fluor Corp. | 5,600 | 439 | ||||||
Foster Wheeler Ltd. * | 5,200 | 234 | ||||||
Franklin Electric Co., Inc. | 1,300 | 70 | ||||||
FuelCell Energy, Inc. * | 1,200 | 8 | ||||||
Gardner Denver, Inc. * | 3,400 | 116 | ||||||
GATX Corp. | 4,000 | 174 | ||||||
GenCorp, Inc. (a)* | 2,500 | 33 | ||||||
General Cable Corp. * | 4,700 | 177 | ||||||
General Dynamics Corp. | 31,400 | 2,233 | ||||||
General Electric Co. (c) | 815,966 | 28,649 | ||||||
Genlyte Group, Inc. * | 3,200 | 247 | ||||||
Global Power Equipment Group, Inc. * | 1,000 | 1 | ||||||
Goodrich Corp. | 8,404 | 370 | ||||||
Graco, Inc. | 7,012 | 286 | ||||||
GrafTech International, Ltd. * | 2,100 | 13 | ||||||
Granite Construction, Inc. | 4,850 | 253 | ||||||
Hardinge, Inc. | 1,800 | 27 | ||||||
Harsco Corp. | 3,100 | 253 | ||||||
Heico Corp., Class A | 2,286 | 69 | ||||||
Herley Industries, Inc. * | 4,000 | 59 | ||||||
Hexcel Corp. * | 2,000 | 32 | ||||||
Honeywell International, Inc. | 71,062 | 2,993 | ||||||
Hubbell, Inc., Class B | 3,800 | 188 | ||||||
Huttig Building Products, Inc. * | 811 | 4 | ||||||
IDEX Corp. | 3,150 | 148 | ||||||
II-VI, Inc. * | 3,800 | 93 | ||||||
Illinois Tool Works, Inc. | 51,700 | 2,478 | ||||||
Ingersoll-Rand Co., Ltd., Class A | 27,400 | 1,006 | ||||||
Insituform Technologies, Inc., Class A * | 1,300 | 30 | ||||||
Integrated Electrical Services, Inc. * | 105 | 2 | ||||||
ITT Corp. | 17,400 | 946 | ||||||
Jacobs Engineering Group, Inc. * | 3,800 | 287 | ||||||
Jacuzzi Brands, Inc. * | 4,500 | 56 | ||||||
JLG Industries, Inc. | 8,600 | 238 | ||||||
Joy Global, Inc. | 19,350 | 757 | ||||||
Kadant, Inc. * | 1 | — | ||||||
Kaydon Corp. | 3,300 | 138 | ||||||
Kennametal, Inc. | 4,000 | 247 | ||||||
L-3 Communications Holdings, Inc. | 9,100 | 733 | ||||||
Ladish Co., Inc. * | 1,300 | 41 | ||||||
Lawson Products, Inc. | 2,000 | 97 | ||||||
Lennox International, Inc. | 4,771 | 129 | ||||||
Lincoln Electric Holdings, Inc. | 3,900 | 240 | ||||||
Lockheed Martin Corp. | 37,052 | 3,221 | ||||||
Magnetek, Inc. * | 1,500 | 7 | ||||||
Masco Corp. (a) | 35,800 | 990 | ||||||
McDermott International, Inc. * | 7,500 | 335 | ||||||
Medis Technologies Ltd. (a)* | 1,110 | 30 | ||||||
Merrimac Industries, Inc. * | 600 | 6 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Michael Baker Corp. * | 500 | 11 | ||||||
Middleby Corp. * | 3,500 | 315 | ||||||
Modtech Holdings, Inc. * | 1,000 | 5 | ||||||
Moog, Inc., Class A * | 2,787 | 104 | ||||||
MSC Industrial Direct Co., Class A | 4,300 | 176 | ||||||
Mueller Industries, Inc. | 1,700 | 62 | ||||||
NACCO Industries, Inc., Class A | 1,300 | 196 | ||||||
Navistar International Corp. * | 6,900 | 191 | ||||||
NCI Building Systems, Inc. * | 2,900 | 174 | ||||||
Nordson Corp. | 4,000 | 184 | ||||||
Northrop Grumman Corp. (a) | 30,032 | 1,994 | ||||||
Omega Flex, Inc. * | 700 | 15 | ||||||
Orbital Sciences Corp. * | 4,600 | 84 | ||||||
Oshkosh Truck Corp. | 9,000 | 407 | ||||||
PACCAR, Inc. | 21,150 | 1,252 | ||||||
Pall Corp. | 10,900 | 348 | ||||||
Parker Hannifin Corp. | 11,000 | 920 | ||||||
Pentair, Inc. | 9,500 | 313 | ||||||
Plug Power, Inc. * | 2,248 | 9 | ||||||
Powell Industries, Inc. * | 1,000 | 24 | ||||||
Power-One, Inc. * | 6,000 | 41 | ||||||
Precision Castparts Corp. | 10,302 | 701 | ||||||
Quanta Services, Inc. * | 8,900 | 163 | ||||||
Quipp, Inc. | 900 | 7 | ||||||
Quixote Corp. | 1,300 | 24 | ||||||
Raven Industries, Inc. | 2,800 | 90 | ||||||
Raytheon Co. | 34,900 | 1,743 | ||||||
Regal Beloit Corp. | 2,500 | 124 | ||||||
Rockwell Automation, Inc. | 15,700 | 973 | ||||||
Rockwell Collins, Inc. | 13,100 | 761 | ||||||
Roper Industries, Inc. | 6,500 | 311 | ||||||
Rush Enterprises, Inc., Class B * | 500 | 9 | ||||||
Sequa Corp., Class A * | 2,800 | 297 | ||||||
Simpson Manufacturing Co., Inc. (a) | 3,200 | 91 | ||||||
SPX Corp. | 8,610 | 495 | ||||||
Standex International Corp. | 3,000 | 87 | ||||||
Stantec, Inc. * | 1,690 | 35 | ||||||
Taser International, Inc. * | 1,700 | 16 | ||||||
Tecumseh Products Co., Class A * | 3,200 | 54 | ||||||
Teledyne Technologies, Inc. * | 12,157 | 507 | ||||||
Teleflex, Inc. | 4,300 | 267 | ||||||
Tennant Co. | 4,200 | 116 | ||||||
Terex Corp. * | 7,400 | 383 | ||||||
Textron, Inc. | 11,800 | 1,073 | ||||||
The Allied Defense Group, Inc. * | 500 | 8 | ||||||
The Boeing Co. | 68,800 | 5,494 | ||||||
The Gorman-Rupp Co. | 2,875 | 109 | ||||||
The Greenbrier Cos., Inc. | 1,600 | 60 | ||||||
The Manitowoc Co., Inc. | 5,800 | 318 | ||||||
The Shaw Group, Inc. * | 2,000 | 53 | ||||||
The Timken Co. | 6,600 | 198 | ||||||
Thomas & Betts Corp. * | 7,300 | 376 | ||||||
Titan International, Inc. | 800 | 15 | ||||||
Toro Co. | 4,100 | 177 | ||||||
Tredegar Corp. | 2,600 | 45 | ||||||
Trinity Industries, Inc. | 1,650 | 59 | ||||||
Triumph Group, Inc. | 1,200 | 58 | ||||||
Tyco International Ltd. | 154,100 | 4,535 | ||||||
United Industrial Corp. | 1,200 | 54 | ||||||
United Rentals, Inc. * | 5,900 | 140 | ||||||
United Technologies Corp. | 84,068 | 5,525 | ||||||
Universal Forest Products, Inc. | 2,500 | 113 | ||||||
UQM Technologies, Inc. * | 1,500 | 4 | ||||||
URS Corp. * | 3,700 | 149 | ||||||
USG Corp. * | 3,900 | 191 | ||||||
Valence Technology, Inc. * | 1,400 | 2 | ||||||
Valmont Industries, Inc. | 1,900 | 106 | ||||||
Vicor Corp. | 4,200 | 50 | ||||||
W.W. Grainger, Inc. | 7,300 | 531 | ||||||
Wabash National Corp. | 2,500 | 35 | ||||||
Wabtec Corp. | 2,828 | 89 | ||||||
Walter Industries, Inc. | 1,900 | 88 | ||||||
Watsco, Inc. | 3,400 | 169 | ||||||
Watts Water Technologies, Inc., Class A | 1,000 | 37 | ||||||
WESCO International, Inc. * | 4,800 | 313 | ||||||
Wolverine Tube, Inc. (a)* | 1,000 | 3 | ||||||
Woodward Governor Co. | 1,500 | 54 | ||||||
Xanser Corp. * | 1,400 | 8 | ||||||
107,986 | ||||||||
Commercial Services & Supplies 1.2% | ||||||||
A.T. Cross Co., Class A * | 2,400 | 17 | ||||||
ABM Industries, Inc. | 4,900 | 97 | ||||||
Adesa, Inc. | 8,200 | 206 | ||||||
Administaff, Inc. | 2,800 | 96 | ||||||
Allied Waste Industries, Inc. * | 29,100 | 354 | ||||||
American Locker Group, Inc. * | 500 | 2 | ||||||
American Reprographics Co. * | 4,000 | 142 | ||||||
Angelica Corp. | 2,500 | 52 | ||||||
ARAMARK Corp., Class B | 14,800 | 495 | ||||||
Avery Dennison Corp. | 9,700 | 612 | ||||||
Banta Corp. | 2,700 | 120 | ||||||
Bowne & Co., Inc. | 4,200 | 66 | ||||||
Brady Corp., Class A | 1,400 | 52 | ||||||
Casella Waste Systems, Inc., Class A * | 2,500 | 28 | ||||||
CDI Corp. | 3,700 | 87 | ||||||
Cenveo, Inc. * | 1,300 | 26 | ||||||
ChoicePoint, Inc. * | 6,900 | 251 | ||||||
Cintas Corp. | 15,350 | 636 | ||||||
Clean Harbors, Inc. * | 2,500 | 107 | ||||||
CompX International, Inc. | 800 | 14 | ||||||
Consolidated Graphics, Inc. * | 3,900 | 242 | ||||||
Copart, Inc. * | 6,550 | 190 | ||||||
Cornell Cos., Inc. * | 2,100 | 38 | ||||||
Corrections Corp. of America * | 5,742 | 262 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
CoStar Group, Inc. * | 800 | 38 | ||||||
CRA International, Inc. * | 2,500 | 127 | ||||||
Deluxe Corp. | 3,800 | 86 | ||||||
Diamond Management & Technology Consultants, Inc. * | 1,000 | 11 | ||||||
Ennis, Inc. | 4,500 | 103 | ||||||
Equifax, Inc. | 11,800 | 449 | ||||||
Exponent, Inc. * | 6,000 | 109 | ||||||
First Consulting Group, Inc. * | 1,800 | 19 | ||||||
FTI Consulting, Inc. * | 2,700 | 77 | ||||||
G&K Services, Inc., Class A | 1,600 | 61 | ||||||
GP Strategies Corp. * | 1,500 | 12 | ||||||
Healthcare Services Group | 5,625 | 153 | ||||||
Heidrick & Struggles International, Inc. * | 3,100 | 127 | ||||||
Herman Miller, Inc. | 5,700 | 195 | ||||||
HNI Corp. | 4,000 | 180 | ||||||
Hudson Highland Group, Inc. * | 720 | 8 | ||||||
ICT Group, Inc. * | 500 | 16 | ||||||
IHS, Inc. * | 3,600 | 124 | ||||||
IKON Office Solutions, Inc. | 12,500 | 186 | ||||||
John H. Harland Co. | 3,500 | 143 | ||||||
Kelly Services, Inc., Class A | 3,200 | 92 | ||||||
Kforce, Inc. * | 405 | 6 | ||||||
Korn/Ferry International * | 3,600 | 80 | ||||||
Labor Ready, Inc. * | 3,500 | 61 | ||||||
Learning Tree International, Inc. * | 1,400 | 12 | ||||||
M&F Worldwide Corp. * | 1,200 | 19 | ||||||
Manpower, Inc. | 6,991 | 474 | ||||||
McGrath Rentcorp | 1,600 | 43 | ||||||
Mine Safety Appliances Co. (a) | 2,700 | 102 | ||||||
Mobile Mini, Inc. * | 1,200 | 39 | ||||||
Monster Worldwide, Inc. * | 9,800 | 397 | ||||||
Multi-Color Corp. | 750 | 24 | ||||||
Navigant Consulting, Inc. * | 5,000 | 89 | ||||||
NCO Group, Inc. * | 2,701 | 73 | ||||||
On Assignment, Inc. * | 1,700 | 19 | ||||||
PHH Corp. * | 4,186 | 116 | ||||||
Pitney Bowes, Inc. | 20,000 | 934 | ||||||
R.R. Donnelley & Sons Co. | 17,000 | 576 | ||||||
Republic Services, Inc. | 17,700 | 726 | ||||||
Resources Connection, Inc. * | 3,700 | 107 | ||||||
Robert Half International, Inc. | 14,000 | 512 | ||||||
Rollins, Inc. | 6,675 | 144 | ||||||
School Specialty, Inc. * | 1,600 | 63 | ||||||
Sitel Corp. * | 2,800 | 12 | ||||||
Spherion Corp. * | 4,330 | 31 | ||||||
Steelcase, Inc., Class A | 11,500 | 191 | ||||||
Stericycle, Inc. * | 3,200 | 226 | ||||||
TeleTech Holdings, Inc. * | 5,000 | 97 | ||||||
Tetra Tech, Inc. * | 12,031 | 219 | ||||||
The Advisory Board Co. * | 1,000 | 55 | ||||||
The Brink’s Co. | 5,600 | 294 | ||||||
The Corporate Executive Board Co. | 2,700 | 243 | ||||||
The Dun & Bradstreet Corp. * | 12,140 | 938 | ||||||
The Geo Group, Inc. * | 5,700 | 217 | ||||||
The Standard Register Co. | 4,100 | 55 | ||||||
TRC Cos., Inc. * | 1,350 | 11 | ||||||
United Stationers, Inc. * | 2,900 | 138 | ||||||
Viad Corp. | 3,625 | 134 | ||||||
Volt Information Sciences, Inc. * | 2,100 | 83 | ||||||
Waste Connections, Inc. * | 3,650 | 149 | ||||||
Waste Industries USA, Inc. | 1,500 | 43 | ||||||
Waste Management, Inc. | 48,100 | 1,803 | ||||||
Watson Wyatt & Co., Holdings | 4,600 | 208 | ||||||
Westaff, Inc. * | 2,000 | 8 | ||||||
16,279 | ||||||||
Consumer Durables & Apparel 1.6% | ||||||||
American Greetings Corp., Class A | 8,500 | 203 | ||||||
Applica, Inc. * | 3,100 | 18 | ||||||
Beazer Homes USA, Inc. | 2,553 | 111 | ||||||
Blyth, Inc. | 4,800 | 115 | ||||||
Brookfield Homes Corp. (a) | 3,074 | 100 | ||||||
Brown Shoe Co., Inc. | 1,950 | 76 | ||||||
Brunswick Corp. | 7,400 | 233 | ||||||
Callaway Golf Co. | 5,600 | 75 | ||||||
Carter’s, Inc. * | 5,000 | 141 | ||||||
Cavco Industries, Inc. * | 410 | 14 | ||||||
Centex Corp. | 10,700 | 560 | ||||||
Chromcraft Revington, Inc. * | 1,300 | 12 | ||||||
Coach, Inc. * | 32,008 | 1,269 | ||||||
Columbia Sportswear Co. * | 4,350 | 243 | ||||||
Craftmade International, Inc. | 2,800 | 55 | ||||||
CSS Industries, Inc. | 900 | 28 | ||||||
D.R. Horton, Inc. | 24,604 | 576 | ||||||
DGSE Cos, Inc. * | 700 | 2 | ||||||
Dominion Homes, Inc. (a)* | 500 | 3 | ||||||
Eastman Kodak Co. | 22,700 | 554 | ||||||
Ethan Allen Interiors, Inc. | 4,200 | 150 | ||||||
Flexsteel Industries, Inc. | 600 | 8 | ||||||
Foamex International, Inc. * | 2,600 | 14 | ||||||
Fortune Brands, Inc. | 11,500 | 885 | ||||||
Fossil, Inc. * | 2,962 | 65 | ||||||
Furniture Brands International, Inc. (a) | 4,700 | 87 | ||||||
Garmin Ltd. (a) | 10,000 | 534 | ||||||
Hampshire Group Ltd. * | 2,000 | 27 | ||||||
Hanesbrands, Inc. * | 8,047 | 190 | ||||||
Harman International Industries, Inc. | 6,800 | 696 | ||||||
Hasbro, Inc. | 14,500 | 376 | ||||||
Hovnanian Enterprises, Inc., Class A * | 3,700 | 114 | ||||||
Interface, Inc., Class A * | 3,300 | 48 | ||||||
Jarden Corp. * | 2,475 | 89 | ||||||
Jones Apparel Group, Inc. | 12,156 | 406 | ||||||
K-Swiss, Inc., Class A | 2,400 | 85 | ||||||
K2, Inc. * | 1,700 | 23 | ||||||
KB Home | 7,800 | 351 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Kellwood Co. | 2,900 | 89 | ||||||
Kenneth Cole Productions, Inc., Class A | 3,100 | 79 | ||||||
Kimball International, Inc., Class B | 3,600 | 89 | ||||||
Leggett & Platt, Inc. | 16,200 | 378 | ||||||
Lennar Corp., Class A | 12,190 | 579 | ||||||
Lenox Group, Inc. * | 3,300 | 20 | ||||||
Levitt Corp., Class A | 550 | 7 | ||||||
Liz Claiborne, Inc. | 8,600 | 363 | ||||||
M.D.C. Holdings, Inc. (a) | 1,903 | 95 | ||||||
M/I Homes, Inc. | 1,800 | 65 | ||||||
Marine Products Corp. | 405 | 4 | ||||||
MarineMax, Inc. * | 800 | 23 | ||||||
Marvel Entertainment, Inc. (a)* | 11,700 | 297 | ||||||
Mattel, Inc. | 34,300 | 776 | ||||||
Meade Instruments Corp. * | 800 | 2 | ||||||
Meritage Homes Corp. (a)* | 1,000 | 46 | ||||||
Mity Enterprises, Inc. * | 600 | 11 | ||||||
Mohawk Industries, Inc. * | 4,819 | 350 | ||||||
Movado Group, Inc. | 3,300 | 85 | ||||||
Nautilus Group, Inc. (a) | 4,125 | 58 | ||||||
Newell Rubbermaid, Inc. | 23,900 | 688 | ||||||
Nike, Inc., Class B | 20,700 | 1,902 | ||||||
NVR, Inc. * | 500 | 281 | ||||||
Oakley, Inc. | 6,700 | 124 | ||||||
Oneida Ltd. (b)* | 700 | — | ||||||
Palm Harbor Homes, Inc. (a)* | 2,700 | 38 | ||||||
Phillips-Van Heusen Corp. | 4,300 | 197 | ||||||
Polaris Industries, Inc. (a) | 3,200 | 137 | ||||||
Polo Ralph Lauren Corp. | 7,500 | 533 | ||||||
Pool Corp. | 5,662 | 232 | ||||||
Pulte Homes, Inc. | 20,244 | 627 | ||||||
Quiksilver, Inc. * | 4,000 | 56 | ||||||
RC2 Corp. * | 2,200 | 99 | ||||||
Recoton Corp. * | 500 | — | ||||||
Russ Berrie & Co., Inc. * | 1,000 | 15 | ||||||
Salton, Inc. * | 1,100 | 3 | ||||||
Skechers U.S.A., Inc., Class A * | 6,500 | 194 | ||||||
Skyline Corp. | 2,600 | 103 | ||||||
Snap-On, Inc. | 4,000 | 188 | ||||||
SONICblue, Inc. * | 2,600 | — | ||||||
Standard Pacific Corp. | 4,800 | 116 | ||||||
Stanley Furniture Co., Inc. | 5,200 | 115 | ||||||
Steven Madden Ltd. * | 2,700 | 116 | ||||||
Stride Rite Corp. | 2,900 | 43 | ||||||
Superior Uniform Group, Inc. | 1,600 | 20 | ||||||
Tandy Brands Accessories, Inc. | 1,000 | 12 | ||||||
Tarragon Corp. (a) | 4,422 | 50 | ||||||
Technical Olympic USA, Inc. (a) | 2,812 | 31 | ||||||
Tempur-Pedic International, Inc. * | 8,000 | 158 | ||||||
The Black & Decker Corp. | 7,100 | 596 | ||||||
The Boyds Collection Ltd. (e)* | 34 | — | ||||||
The Fairchild Corp., Class A * | 3,100 | 8 | ||||||
The Ryland Group, Inc. (a) | 3,700 | 170 | ||||||
The Stanley Works | 6,600 | 314 | ||||||
The Warnaco Group, Inc. * | 2,500 | 53 | ||||||
The Yankee Candle Co., Inc. | 3,700 | 125 | ||||||
Timberland Co., Class A * | 5,300 | 153 | ||||||
Toll Brothers, Inc. * | 11,200 | 324 | ||||||
Tupperware Corp. | 4,800 | 102 | ||||||
Unifi, Inc. * | 1,900 | 5 | ||||||
Unifirst Corp. | 1,500 | 54 | ||||||
Uniroyal Technology Corp. * | 1,100 | — | ||||||
Universal Electronics, Inc. * | 2,200 | 48 | ||||||
VF Corp. | 13,500 | 1,026 | ||||||
Virco Manufacturing Corp. * | 1,170 | 7 | ||||||
WCI Communities, Inc. (a)* | 3,800 | 61 | ||||||
Whirlpool Corp. | 6,849 | 595 | ||||||
Wolverine World Wide, Inc. | 7,800 | 221 | ||||||
21,892 | ||||||||
Consumer Services 2.4% | ||||||||
Ambassadors Groups, Inc. | 3,400 | 93 | ||||||
Ambassadors International, Inc. | 1,700 | 66 | ||||||
American Real Estate Partners L.P. | 3,800 | 238 | ||||||
Ameristar Casinos, Inc. | 3,400 | 84 | ||||||
Apollo Group, Inc., Class A * | 14,550 | 538 | ||||||
Applebee’s International, Inc. | 7,912 | 181 | ||||||
Aztar Corp. * | 1,900 | 102 | ||||||
Bally Technologies, Inc. (a)* | 3,000 | 60 | ||||||
Bally Total Fitness Holding Corp. (a)* | 6,500 | 18 | ||||||
Bob Evans Farms, Inc. | 2,200 | 75 | ||||||
Boyd Gaming Corp. | 7,800 | 308 | ||||||
Bright Horizons Family Solutions, Inc. * | 2,600 | 100 | ||||||
Brinker International, Inc. | 6,900 | 320 | ||||||
Buca, Inc. * | 1,100 | 6 | ||||||
Career Education Corp. * | 8,614 | 192 | ||||||
Carnival Corp. | 50,000 | 2,441 | ||||||
CBRL Group, Inc. | 946 | 42 | ||||||
CEC Entertainment, Inc. * | 2,025 | 70 | ||||||
Cedar Fair L.P. * | 5,300 | 145 | ||||||
Choice Hotels International, Inc. | 6,800 | 285 | ||||||
Churchill Downs, Inc. | 900 | 38 | ||||||
CKE Restaurants, Inc. (a) | 4,800 | 94 | ||||||
Corinthian Colleges, Inc. * | 9,200 | 113 | ||||||
CPI Corp. | 400 | 19 | ||||||
Darden Restaurants, Inc. | 13,300 | 557 | ||||||
DeVry, Inc. * | 4,800 | 117 | ||||||
Domino’s Pizza, Inc. | 5,100 | 139 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 4,899 | 69 | ||||||
Dover Motorsports, Inc. | 1,400 | 7 | ||||||
Empire Resorts, Inc. (a)* | 500 | 4 | ||||||
Gaylord Entertainment Co. * | 2,625 | 122 | ||||||
H&R Block, Inc. | 26,300 | 575 | ||||||
Harrah’s Entertainment, Inc. | 15,273 | 1,135 | ||||||
Hilton Hotels Corp. | 32,926 | 952 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
IHOP Corp. | 3,000 | 157 | ||||||
International Game Technology (a) | 29,100 | 1,237 | ||||||
International Speedway Corp., Class A | 3,245 | 168 | ||||||
Interstate Hotels & Resorts, Inc. * | 82 | 1 | ||||||
Isle of Capri Casinos, Inc. * | 4,400 | 110 | ||||||
ITT Educational Services, Inc. * | 6,000 | 414 | ||||||
Jack in the Box, Inc. * | 4,200 | 236 | ||||||
Jackson Hewitt Tax Service, Inc. | 3,000 | 104 | ||||||
Krispy Kreme Doughnuts, Inc. (a)* | 2,100 | 23 | ||||||
Landry’s Restaurants, Inc. | 1,800 | 53 | ||||||
Las Vegas Sands Corp. * | 17,000 | 1,295 | ||||||
Laureate Education, Inc. * | 4,700 | 248 | ||||||
Life Time Fitness, Inc. * | 2,500 | 129 | ||||||
Lone Star Steakhouse & Saloon, Inc. | 1,600 | 44 | ||||||
Luby’s, Inc. * | 1,400 | 14 | ||||||
Marriott International, Inc., Class A | 37,400 | 1,562 | ||||||
Matthews International Corp., Class A | 1,900 | 73 | ||||||
McDonald’s Corp. | 105,300 | 4,414 | ||||||
MGM Mirage * | 22,500 | 968 | ||||||
MTR Gaming Group, Inc. * | 2,300 | 24 | ||||||
Multimedia Games, Inc. * | 1,500 | 14 | ||||||
Nobel Learning Communities, Inc. | 500 | 5 | ||||||
O’Charley’s, Inc. * | 400 | 8 | ||||||
Orient-Express Hotels Ltd., Class A | 1,600 | 63 | ||||||
OSI Restaurant Partners, Inc. | 7,000 | 233 | ||||||
P.F. Chang’s China Bistro, Inc. (a)* | 800 | 33 | ||||||
Panera Bread Co., Class A * | 800 | 49 | ||||||
Papa John’s International, Inc. * | 3,400 | 125 | ||||||
Penn National Gaming, Inc. * | 6,800 | 249 | ||||||
Pre-Paid Legal Services, Inc. (a) | 3,600 | 153 | ||||||
RARE Hospitality International, Inc. * | 3,325 | 105 | ||||||
Regis Corp. | 3,900 | 146 | ||||||
Royal Caribbean Cruises, Ltd. | 16,500 | 668 | ||||||
Ruby Tuesday, Inc. | 5,600 | 155 | ||||||
Ryan’s Restaurant Group, Inc. * | 2,250 | 37 | ||||||
Scientific Games Corp., Class A * | 6,500 | 182 | ||||||
Service Corp. International | 24,100 | 220 | ||||||
Shuffle Master, Inc. (a)* | 2,812 | 79 | ||||||
Six Flags, Inc. (a)* | 7,500 | 43 | ||||||
Smith & Wollensky Restaurant Group, Inc. * | 900 | 4 | ||||||
Sonic Corp. * | 7,968 | 181 | ||||||
Sotheby’s | 5,438 | 207 | ||||||
Speedway Motorsports, Inc. | 4,800 | 181 | ||||||
Starbucks Corp. (a)* | 62,600 | 2,363 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 17,730 | 1,059 | ||||||
Station Casinos, Inc. (a) | 4,650 | 280 | ||||||
Stewart Enterprises, Inc., Class A | 7,200 | 45 | ||||||
Strayer Education, Inc. | 700 | 79 | ||||||
The Cheesecake Factory, Inc. * | 2,887 | 82 | ||||||
The ServiceMaster Co. | 22,900 | 259 | ||||||
The Steak n Shake Co. * | 1,580 | 29 | ||||||
Tim Hortons, Inc. | 13,949 | 403 | ||||||
Triarc Cos., Class B | 4,400 | 74 | ||||||
Vail Resorts, Inc. * | 3,800 | 147 | ||||||
Vertrue, Inc. * | 4,500 | 202 | ||||||
Weight Watchers International, Inc. | 8,700 | 379 | ||||||
Wendy’s International, Inc. | 10,300 | 356 | ||||||
Western Union Co. * | 62,932 | 1,388 | ||||||
Wyndham Worldwide Corp. * | 16,744 | 494 | ||||||
Wynn Resorts Ltd. (a)* | 4,000 | 294 | ||||||
YUM! Brands, Inc. | 24,000 | 1,427 | ||||||
33,079 | ||||||||
Diversified Financials 8.9% | ||||||||
A.G. Edwards, Inc. | 5,900 | 337 | ||||||
Advanta Corp., Class A | 7,400 | 266 | ||||||
Affiliated Managers Group, Inc. (a)* | 1,800 | 180 | ||||||
AllianceBernstein Holding LP * | 7,700 | 598 | ||||||
American Express Co. | 105,150 | 6,079 | ||||||
AmeriCredit Corp. * | 12,300 | 314 | ||||||
Ameriprise Financial, Inc. | 21,030 | 1,083 | ||||||
Asset Acceptance Capital Corp. * | 2,500 | 44 | ||||||
Asta Funding, Inc. | 2,000 | 68 | ||||||
Bank of America Corp. (c) | 381,577 | 20,556 | ||||||
BlackRock, Inc., Class A | 3,400 | 513 | ||||||
Capital One Financial Corp. | 23,710 | 1,881 | ||||||
Cash America International, Inc. | 2,500 | 103 | ||||||
CBOT Holdings, Inc., Class A (a)* | 4,400 | 653 | ||||||
Chicago Mercantile Exchange Holdings, Inc. | 2,200 | 1,102 | ||||||
CIT Group, Inc. | 18,600 | 968 | ||||||
Citigroup, Inc. (c) | 412,286 | 20,680 | ||||||
CompuCredit Corp. * | 4,400 | 153 | ||||||
Credit Acceptance Corp. * | 2,400 | 80 | ||||||
E*TRADE Financial Corp. * | 34,335 | 799 | ||||||
Eaton Vance Corp. | 11,600 | 360 | ||||||
Federated Investors, Inc., Class B | 9,950 | 341 | ||||||
Financial Federal Corp. | 1,200 | 33 | ||||||
Franklin Resources, Inc. | 20,600 | 2,348 | ||||||
GAMCO Investors, Inc., Class A | 700 | 28 | ||||||
Greenhill & Co., Inc. (a) | 2,500 | 170 | ||||||
IntercontinentalExchange, Inc. * | 5,100 | 431 | ||||||
International Securities Exchange, Inc. | 3,000 | 154 | ||||||
Investment Technology Group, Inc. * | 4,750 | 222 | ||||||
Investors Financial Services Corp. | 5,500 | 216 | ||||||
Janus Capital Group, Inc. | 19,200 | 386 | ||||||
Jefferies Group, Inc. | 8,200 | 236 | ||||||
JPMorgan Chase & Co. | 295,944 | 14,040 | ||||||
Knight Capital Group, Inc., Class A * | 9,700 | 181 | ||||||
LaBranche & Co., Inc. (a)* | 2,400 | 21 | ||||||
Legg Mason, Inc. | 10,050 | 905 | ||||||
Lehman Brothers Holdings, Inc. | 47,744 | 3,716 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Leucadia National Corp. | 17,908 | 472 | ||||||
Mellon Financial Corp. | 35,800 | 1,389 | ||||||
Merrill Lynch & Co., Inc. | 79,800 | 6,976 | ||||||
MicroFinancial, Inc. | 1,900 | 7 | ||||||
Moody’s Corp. | 26,600 | 1,764 | ||||||
Morgan Stanley | 90,300 | 6,902 | ||||||
Nasdaq Stock Market, Inc. * | 8,800 | 314 | ||||||
Nelnet, Inc., Class A * | 4,500 | 132 | ||||||
Northern Trust Corp. | 18,500 | 1,086 | ||||||
Nuveen Investments, Inc., Class A | 7,300 | 360 | ||||||
NYSE Group, Inc. (a)* | 11,500 | 851 | ||||||
Piper Jaffray Cos. * | 950 | 66 | ||||||
Portfolio Recovery Associates, Inc. (a)* | 2,000 | 93 | ||||||
Raymond James Financial, Inc. | 10,350 | 330 | ||||||
Resource America, Inc., Class A | 2,000 | 46 | ||||||
SEI Investments Co. | 9,700 | 546 | ||||||
Siebert Financial Corp. * | 2,900 | 10 | ||||||
SLM Corp. | 37,300 | 1,816 | ||||||
State Street Corp. | 28,000 | 1,798 | ||||||
Student Loan Corp. | 1,700 | 352 | ||||||
SWS Group, Inc. | 1,141 | 32 | ||||||
T. Rowe Price Group, Inc. | 21,400 | 1,012 | ||||||
TD Ameritrade Holding Corp. * | 47,100 | 776 | ||||||
The Bank of New York Co., Inc. | 63,000 | 2,165 | ||||||
The Bear Stearns Cos., Inc. | 13,620 | 2,061 | ||||||
The Charles Schwab Corp. (d) | 111,120 | 2,025 | ||||||
The First Marblehead Corp. | 5,000 | 337 | ||||||
The Goldman Sachs Group, Inc. (a) | 38,700 | 7,345 | ||||||
W.P. Carey & Co. LLC | 4,100 | 118 | ||||||
Waddell & Reed Financial, Inc., Class A | 7,250 | 185 | ||||||
Westwood Holdings Group, Inc. | 285 | 6 | ||||||
World Acceptance Corp. * | 1,000 | 50 | ||||||
121,667 | ||||||||
Energy 8.5% | ||||||||
Alliance Resource Partners L.P. | 3,400 | 121 | ||||||
Alon USA Energy, Inc. | 3,700 | 104 | ||||||
Anadarko Petroleum Corp. | 39,060 | 1,813 | ||||||
Apache Corp. | 25,772 | 1,683 | ||||||
APCO Argentina, Inc. | 200 | 16 | ||||||
Arch Coal, Inc. | 7,000 | 242 | ||||||
Atlas America, Inc. * | 1,780 | 85 | ||||||
ATP Oil & Gas Corp. (a)* | 1,600 | 69 | ||||||
Atwood Oceanics, Inc. * | 2,400 | 111 | ||||||
Baker Hughes, Inc. | 28,300 | 1,954 | ||||||
Basic Energy Services, Inc. * | 3,000 | 73 | ||||||
Berry Petroleum Co., Class A | 4,000 | 119 | ||||||
BJ Services Co. | 28,600 | 863 | ||||||
Boardwalk Pipeline Partners L.P. (a) | 8,000 | 230 | ||||||
BP Prudhoe Bay Royalty Trust (a) | 2,200 | 159 | ||||||
Bristow Group, Inc. (a)* | 1,800 | 60 | ||||||
Buckeye Partners L.P. (a)* | 3,400 | 156 | ||||||
Cabot Oil & Gas Corp. | 13,600 | 720 | ||||||
Cameron International Corp. * | 9,100 | 456 | ||||||
CARBO Ceramics, Inc. (a) | 1,900 | 64 | ||||||
Chesapeake Energy Corp. (a) | 19,200 | 623 | ||||||
ChevronTexaco Corp. | 178,939 | 12,025 | ||||||
Cimarex Energy Co. | 5,508 | 198 | ||||||
CNX Gas Corp. * | 12,000 | 314 | ||||||
Comstock Resources, Inc. * | 4,500 | 126 | ||||||
ConocoPhillips | 131,623 | 7,929 | ||||||
CONSOL Energy, Inc. | 14,100 | 499 | ||||||
CREDO Petroleum Corp. * | 2,700 | 35 | ||||||
Cross Timbers Royalty Trust (a) | 1,500 | 73 | ||||||
Crosstex Energy L.P. (a)* | 2,000 | 75 | ||||||
Denbury Resources, Inc. * | 9,800 | 282 | ||||||
Devon Energy Corp. | 37,360 | 2,497 | ||||||
Diamond Offshore Drilling, Inc. (a) | 9,800 | 678 | ||||||
Dresser-Rand Group, Inc. * | 6,000 | 130 | ||||||
El Paso Corp. | 51,387 | 704 | ||||||
Enbridge Energy Management LLC * | 1,313 | 64 | ||||||
Encore Acquisition Co. * | 2,250 | 56 | ||||||
Energy Partners, Ltd. (a)* | 1,700 | 42 | ||||||
Energy Transfer Partners L.P. | 4,000 | 196 | ||||||
ENSCO International, Inc. (a) | 11,200 | 548 | ||||||
Enterprise GP Holdings L.P. (a) | 2,100 | 71 | ||||||
Enterprise Products Partners L.P. (a) | 29,500 | 811 | ||||||
EOG Resources, Inc. | 22,800 | 1,517 | ||||||
Exxon Mobil Corp. (c) | 493,166 | 35,222 | ||||||
FMC Technologies, Inc. * | 4,591 | 278 | ||||||
Forest Oil Corp. * | 4,450 | 145 | ||||||
Frontier Oil Corp. | 14,400 | 423 | ||||||
General Maritime Corp. | 3,000 | 110 | ||||||
Global Industries Ltd. * | 8,900 | 148 | ||||||
Grant Prideco, Inc. * | 10,100 | 381 | ||||||
Grey Wolf, Inc. * | 15,000 | 105 | ||||||
Gulf Island Fabrication, Inc. | 2,800 | 82 | ||||||
GulfMark Offshore, Inc. * | 1,600 | 55 | ||||||
Halliburton Co. | 78,200 | 2,530 | ||||||
Hanover Compressor Co. * | 5,600 | 104 | ||||||
Harvest Natural Resources, Inc. * | 6,000 | 67 | ||||||
Helix Energy Solutions Group, Inc. * | 6,064 | 196 | ||||||
Helmerich & Payne, Inc. | 9,600 | 230 | ||||||
Hess Corp. (a) | 19,200 | 814 | ||||||
Holly Corp. | 3,000 | 143 | ||||||
Hornbeck Offshore Services, Inc. * | 2,500 | 90 | ||||||
Hugoton Royalty Trust | 4,846 | 125 | ||||||
Hydril Co. * | 2,500 | 150 | ||||||
Inergy, L.P. * | 2,000 | 58 | ||||||
Input/Output, Inc. * | 4,200 | 47 | ||||||
Key Energy Services, Inc. * | 10,300 | 144 | ||||||
Kinder Morgan Management, LLC * | 3,819 | 166 | ||||||
Kinder Morgan, Inc. | 10,700 | 1,125 | ||||||
Lone Star Technologies, Inc. * | 1,200 | 58 | ||||||
Lufkin Industries, Inc. | 1,000 | 60 | ||||||
Magellan Midstream Partners (a) | 2,400 | 94 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Marathon Oil Corp. | 30,654 | 2,649 | ||||||
Mariner Energy, Inc. * | 6,601 | 131 | ||||||
Maritrans, Inc. | 2,500 | 93 | ||||||
Markwest Energy Partners L.P. * | 500 | 27 | ||||||
Massey Energy Co. | 6,800 | 172 | ||||||
Meridian Resource Corp. * | 3,100 | 10 | ||||||
Murphy Oil Corp. | 14,500 | 684 | ||||||
Nabors Industries Ltd. * | 23,634 | 730 | ||||||
NATCO Group, Inc., Class A * | 1,200 | 40 | ||||||
National-Oilwell Varco, Inc. * | 11,540 | 697 | ||||||
Natural Resource Partners L.P. (a) | 2,000 | 104 | ||||||
Newfield Exploration Co. * | 7,400 | 302 | ||||||
Noble Corp. | 10,100 | 708 | ||||||
Noble Energy, Inc. | 14,218 | 691 | ||||||
Occidental Petroleum Corp. | 75,020 | 3,521 | ||||||
Oceaneering International, Inc. * | 2,200 | 79 | ||||||
Oil States International, Inc. * | 3,600 | 105 | ||||||
OMI Corp. (a) | 6,500 | 145 | ||||||
Overseas Shipholding Group, Inc. | 3,700 | 231 | ||||||
Pacific Energy Partners L.P. (a) | 3,500 | 125 | ||||||
Parker Drilling Co. * | 7,800 | 64 | ||||||
Patterson-UTI Energy, Inc. | 13,200 | 306 | ||||||
Peabody Energy Corp. | 18,500 | 776 | ||||||
Penn Virginia Corp. | 2,500 | 179 | ||||||
Penn Virginia Resource Partners, L.P. (a)* | 5,000 | 131 | ||||||
Pioneer Natural Resources Co. | 10,133 | 413 | ||||||
Plains All American Pipeline L.P. (a) | 4,600 | 218 | ||||||
Plains Exploration & Production Co. * | 6,579 | 278 | ||||||
Pogo Producing Co. | 4,700 | 210 | ||||||
Pride International, Inc. * | 12,700 | 351 | ||||||
Quicksilver Resources, Inc. (a)* | 4,200 | 144 | ||||||
Range Resources Corp. | 8,100 | 220 | ||||||
Rowan Cos., Inc. | 8,400 | 280 | ||||||
RPC, Inc. | 7,650 | 166 | ||||||
Schlumberger Ltd. | 100,000 | 6,308 | ||||||
SEACOR Holdings, Inc. * | 1,250 | 112 | ||||||
Smith International, Inc. | 17,300 | 683 | ||||||
St. Mary Land & Exploration Co. | 7,400 | 276 | ||||||
Stone Energy Corp. * | 976 | 38 | ||||||
Sunoco Logistics Partners L.P. (a)* | 2,000 | 93 | ||||||
Sunoco, Inc. | 11,000 | 727 | ||||||
Superior Energy Services, Inc. * | 7,400 | 232 | ||||||
Swift Energy Co. * | 2,500 | 117 | ||||||
Syntroleum Corp. * | 4,000 | 16 | ||||||
TC Pipelines L.P. * | 2,400 | 77 | ||||||
Teekay Shipping Corp. | 3,000 | 123 | ||||||
TEL Offshore Trust | 83 | 1 | ||||||
TEPPCO Partners L.P. (a) | 7,000 | 276 | ||||||
Tesoro Corp. | 4,800 | 307 | ||||||
TETRA Technologies, Inc. * | 5,300 | 137 | ||||||
The Houston Exploration Co. * | 2,200 | 119 | ||||||
Tidewater, Inc. | 5,200 | 259 | ||||||
Todco * | 5,500 | 188 | ||||||
Transocean, Inc. (a)* | 27,731 | 2,012 | ||||||
Ultra Petroleum Corp. * | 13,000 | 694 | ||||||
Unit Corp. * | 4,400 | 204 | ||||||
Universal Compression Holdings, Inc. | 2,900 | 175 | ||||||
USEC, Inc. | 6,800 | 76 | ||||||
Valero Energy Corp. | 47,980 | 2,511 | ||||||
Valero L.P. * | 1,600 | 86 | ||||||
Veritas DGC, Inc. * | 3,000 | 216 | ||||||
W&T Offshore, Inc. | 5,000 | 169 | ||||||
W-H Energy Services, Inc. * | 900 | 42 | ||||||
Weatherford International Ltd. * | 21,200 | 871 | ||||||
Westmoreland Coal Co. * | 3,500 | 80 | ||||||
Williams Cos., Inc. | 42,360 | 1,035 | ||||||
World Fuel Services Corp. | 2,100 | 90 | ||||||
XTO Energy, Inc. | 25,942 | 1,210 | ||||||
116,281 | ||||||||
Food & Staples Retailing 2.2% | ||||||||
Arden Group, Inc. | 600 | 84 | ||||||
BJ’s Wholesale Club, Inc. * | 6,100 | 175 | ||||||
Casey’s General Stores, Inc. | 5,100 | 124 | ||||||
Costco Wholesale Corp. | 38,600 | 2,060 | ||||||
CVS Corp. | 63,700 | 1,999 | ||||||
Ingles Markets, Inc., Class A | 300 | 9 | ||||||
Longs Drug Stores Corp. | 3,300 | 142 | ||||||
Nash Finch Co. | 1,700 | 44 | ||||||
Pathmark Stores, Inc. * | 3,900 | 40 | ||||||
Performance Food Group Co. * | 1,900 | 55 | ||||||
PriceSmart, Inc. * | 500 | 8 | ||||||
Rite Aid Corp. (a)* | 40,400 | 189 | ||||||
Ruddick Corp. | 3,100 | 87 | ||||||
Safeway, Inc. | 35,900 | 1,054 | ||||||
Smart & Final, Inc. * | 2,700 | 49 | ||||||
Spartan Corp. | 500 | 10 | ||||||
Supervalu, Inc. | 19,832 | 662 | ||||||
Sysco Corp. | 48,636 | 1,701 | ||||||
The Andersons, Inc. | 1,000 | 36 | ||||||
The Great Atlantic & Pacific Tea Co., Inc. * | 2,200 | 61 | ||||||
The Kroger Co. | 60,800 | 1,367 | ||||||
The Pantry, Inc. * | 1,000 | 55 | ||||||
The Topps Co., Inc. | 1,700 | 15 | ||||||
United Natural Foods, Inc. * | 2,600 | 91 | ||||||
Wal-Mart Stores, Inc. | 309,100 | 15,232 | ||||||
Walgreen Co. | 80,400 | 3,512 | ||||||
Weis Markets, Inc. | 1,700 | 69 | ||||||
Whole Foods Market, Inc. (a) | 10,900 | 696 | ||||||
Wild Oats Markets, Inc. * | 3,800 | 68 | ||||||
29,694 | ||||||||
Food, Beverage & Tobacco 4.5% | ||||||||
Alliance One International, Inc. * | 3,300 | 16 | ||||||
Altria Group, Inc. | 168,800 | 13,729 | ||||||
American Italian Pasta Co., Class A * | 1,000 | 8 | ||||||
Anheuser-Busch Cos., Inc. | 61,500 | 2,916 | ||||||
Archer-Daniels-Midland Co. | 53,958 | 2,077 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Bridgford Foods Corp. * | 300 | 2 | ||||||
Brown-Forman Corp., Class B | 9,912 | 716 | ||||||
Campbell Soup Co. | 35,400 | 1,323 | ||||||
Chiquita Brands International, Inc. | 3,200 | 44 | ||||||
Coca-Cola Bottling Co. Consolidated | 400 | 25 | ||||||
Coca-Cola Enterprises, Inc. | 30,000 | 601 | ||||||
ConAgra Foods, Inc. | 43,293 | 1,132 | ||||||
Constellation Brands, Inc., Class A * | 17,600 | 484 | ||||||
Corn Products International, Inc. | 5,800 | 210 | ||||||
Dean Foods Co. * | 8,613 | 361 | ||||||
Del Monte Foods Co. | 8,931 | 96 | ||||||
Delta & Pine Land Co. | 2,000 | 81 | ||||||
Flowers Foods, Inc. | 4,772 | 130 | ||||||
Fresh Del Monte Produce, Inc. | 4,200 | 66 | ||||||
General Mills, Inc. | 31,300 | 1,778 | ||||||
Green Mountain Coffee Roasters, Inc. * | 900 | 36 | ||||||
Griffin Land & Nurseries, Inc. * | 300 | 8 | ||||||
H.J. Heinz Co. | 27,900 | 1,176 | ||||||
Hormel Foods Corp. | 9,000 | 325 | ||||||
J & J Snack Foods Corp. | 6,400 | 214 | ||||||
John B. Sanfilippo & Son * | 5,000 | 53 | ||||||
Kellogg Co. | 34,400 | 1,731 | ||||||
Kraft Foods, Inc., Class A (a) | 128,700 | 4,427 | ||||||
Lancaster Colony Corp. | 3,400 | 138 | ||||||
Lance, Inc. | 2,900 | 57 | ||||||
Loews Corp. — Carolina Group | 5,600 | 324 | ||||||
Maui Land & Pineapple Co, Inc. * | 800 | 25 | ||||||
McCormick & Co., Inc. | 11,300 | 423 | ||||||
MGP Ingredients, Inc. | 3,400 | 76 | ||||||
Molson Coors Brewing Co., Class B | 6,000 | 427 | ||||||
Monterey Gourmet Foods, Inc. * | 700 | 3 | ||||||
Peet’s Coffee & Tea, Inc. (a)* | 1,800 | 48 | ||||||
PepsiAmericas, Inc. | 13,200 | 270 | ||||||
PepsiCo, Inc. | 140,800 | 8,932 | ||||||
Pilgrim’s Pride Corp., Class B | 1,400 | 35 | ||||||
Ralcorp Holdings, Inc. * | 6,700 | 331 | ||||||
Reynolds American, Inc. (a) | 22,664 | 1,431 | ||||||
Rocky Mountain Chocolate Factory, Inc. | 2,311 | 30 | ||||||
Sanderson Farms, Inc. | 1,750 | 46 | ||||||
Sara Lee Corp. | 64,378 | 1,101 | ||||||
Seaboard Corp. | 200 | 282 | ||||||
Smithfield Foods, Inc. * | 6,300 | 169 | ||||||
Tasty Baking Co. | 500 | 5 | ||||||
The Coca-Cola Co. | 202,200 | 9,447 | ||||||
The Hain Celestial Group, Inc. * | 1,406 | 40 | ||||||
The Hershey Co. | 19,400 | 1,026 | ||||||
The J.M. Smucker Co. | 2,438 | 119 | ||||||
The Pepsi Bottling Group, Inc. | 23,400 | 740 | ||||||
Tootsie Roll Industries, Inc. | 2,391 | 76 | ||||||
TreeHouse Foods, Inc. * | 1,722 | 44 | ||||||
Tyson Foods, Inc., Class A | 30,340 | 438 | ||||||
Universal Corp. | 1,800 | 66 | ||||||
UST, Inc. | 12,700 | 680 | ||||||
Vector Group Ltd. (a) | 3,735 | 64 | ||||||
Wm. Wrigley Jr. Co. | 20,750 | 1,078 | ||||||
Zapata Corp. * | 8,000 | 49 | ||||||
61,785 | ||||||||
Health Care Equipment & Services 4.4% | ||||||||
ABIOMED, Inc. * | 800 | 11 | ||||||
Advanced Medical Optics, Inc. * | 4,111 | 168 | ||||||
Aetna, Inc. | 59,200 | 2,440 | ||||||
Align Technology, Inc. * | 8,700 | 121 | ||||||
Alliance Imaging, Inc. * | 1,800 | 15 | ||||||
Allscripts Healthcare Solutions, Inc. (a)* | 1,900 | 45 | ||||||
Amedisys, Inc. * | 2,500 | 101 | ||||||
America Service Group, Inc. * | 3,550 | 55 | ||||||
American Medical Systems Holdings, Inc. * | 7,800 | 139 | ||||||
AMERIGROUP Corp. * | 1,800 | 54 | ||||||
AmerisourceBergen Corp. | 20,648 | 975 | ||||||
AMN Healthcare Services, Inc. * | 4,110 | 104 | ||||||
Amsurg Corp. * | 2,300 | 48 | ||||||
Analogic Corp. | 1,400 | 78 | ||||||
Apria Healthcare Group, Inc. * | 4,100 | 95 | ||||||
Arrow International, Inc. | 3,500 | 125 | ||||||
Arthrocare Corp. (a)* | 1,400 | 57 | ||||||
Aspect Medical Systems, Inc. * | 3,700 | 66 | ||||||
Bausch & Lomb, Inc. | 3,400 | 182 | ||||||
Baxter International, Inc. | 50,118 | 2,304 | ||||||
Beckman Coulter, Inc. | 5,100 | 294 | ||||||
Becton Dickinson & Co. | 21,300 | 1,492 | ||||||
Biomet, Inc. | 20,125 | 762 | ||||||
BioScrip, Inc. * | 2,172 | 5 | ||||||
Biosite, Inc. * | 1,400 | 64 | ||||||
Boston Scientific Corp. * | 109,568 | 1,743 | ||||||
Brookdale Senior Living, Inc. | 300 | 14 | ||||||
C.R. Bard, Inc. | 8,000 | 656 | ||||||
Cantel Medical Corp. * | 3,571 | 51 | ||||||
Cardinal Health, Inc. | 36,160 | 2,367 | ||||||
Caremark Rx, Inc. | 37,090 | 1,826 | ||||||
Centene Corp. * | 1,000 | 24 | ||||||
Cerner Corp. * | 8,400 | 406 | ||||||
Cerus Corp. * | 500 | 4 | ||||||
Chemed Corp. | 1,400 | 50 | ||||||
Chindex International, Inc. (a)* | 2,200 | 29 | ||||||
Cholestech Corp. * | 1,700 | 26 | ||||||
CIGNA Corp. | 12,800 | 1,497 | ||||||
Clinical Data, Inc. * | 117 | 2 | ||||||
Community Health Systems, Inc. * | 7,100 | 230 | ||||||
Conmed Corp. * | 1,700 | 38 | ||||||
CorVel Corp. * | 1,900 | 82 | ||||||
Coventry Health Care, Inc. * | 23,937 | 1,124 | ||||||
Cross Country Healthcare, Inc. * | 1,600 | 31 | ||||||
CryoLife, Inc. * | 750 | 4 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Cyberonics, Inc. (a)* | 1,200 | 22 | ||||||
Cytyc Corp. * | 7,800 | 206 | ||||||
Dade Behring Holdings, Inc. | 5,200 | 189 | ||||||
Datascope Corp. | 2,500 | 90 | ||||||
DaVita, Inc. * | 8,250 | 459 | ||||||
Dendrite International, Inc. * | 3,600 | 38 | ||||||
Dentsply International, Inc. | 13,100 | 410 | ||||||
DJ Orthopedics, Inc. * | 3,000 | 121 | ||||||
Dynacq Healthcare, Inc. * | 3,616 | 7 | ||||||
Eclipsys Corp. * | 3,800 | 81 | ||||||
Edwards Lifesciences Corp. * | 3,900 | 167 | ||||||
Emdeon Corp. * | 21,926 | 255 | ||||||
Enpath Medical, Inc. * | 3,000 | 29 | ||||||
Express Scripts, Inc. * | 12,600 | 803 | ||||||
Five Star Quality Care, Inc. * | 135 | 1 | ||||||
Gen-Probe, Inc. * | 3,400 | 163 | ||||||
Genesis HealthCare Corp. * | 6,250 | 303 | ||||||
Gentiva Health Services, Inc. * | 3,250 | 60 | ||||||
Greatbatch, Inc. * | 1,100 | 25 | ||||||
Haemonetics Corp. * | 3,700 | 169 | ||||||
Hanger Orthopedic Group, Inc. * | 5,400 | 42 | ||||||
HCA, Inc. | 27,200 | 1,374 | ||||||
Health Management Associates, Inc., Class A | 15,900 | 313 | ||||||
Health Net, Inc. * | 9,100 | 378 | ||||||
HealthExtras, Inc. * | 1,900 | 44 | ||||||
HealthTronics, Inc. * | 3,500 | 24 | ||||||
Healthways, Inc. * | 3,100 | 131 | ||||||
Henry Schein, Inc. * | 4,600 | 229 | ||||||
Hillenbrand Industries, Inc. | 5,800 | 340 | ||||||
Hologic, Inc. * | 5,200 | 250 | ||||||
Hooper Holmes, Inc. | 4,600 | 17 | ||||||
Hospira, Inc. * | 14,070 | 511 | ||||||
Humana, Inc. * | 18,900 | 1,134 | ||||||
ICU Medical, Inc. * | 550 | 23 | ||||||
IDEXX Laboratories, Inc. * | 2,500 | 208 | ||||||
Immucor, Inc. * | 3,795 | 104 | ||||||
IMS Health, Inc. | 19,300 | 537 | ||||||
Integra LifeSciences Holdings * | 1,100 | 41 | ||||||
Intermagnetics General Corp. * | 3,084 | 84 | ||||||
Intuitive Surgical, Inc. * | 1,050 | 104 | ||||||
Invacare Corp. | 2,000 | 44 | ||||||
inVentiv Health, Inc. * | 2,233 | 64 | ||||||
Kindred Healthcare, Inc. * | 4,624 | 125 | ||||||
Kinetic Concepts, Inc. * | 2,500 | 87 | ||||||
Kyphon, Inc. * | 3,000 | 118 | ||||||
Laboratory Corp. of America Holdings * | 12,800 | 877 | ||||||
Landauer, Inc. | 1,100 | 60 | ||||||
LifePoint Hospitals, Inc. * | 3,707 | 132 | ||||||
Lincare Holdings, Inc. * | 7,100 | 238 | ||||||
Magellan Health Services, Inc. * | 3,007 | 131 | ||||||
Manor Care, Inc. | 8,000 | 384 | ||||||
Matria Healthcare, Inc. (a)* | 1,800 | 51 | ||||||
McKesson Corp. | 22,900 | 1,147 | ||||||
MedCath Corp. * | 1,500 | 40 | ||||||
Medco Health Solutions, Inc. * | 25,033 | 1,339 | ||||||
Medical Action Industries, Inc. * | 2,500 | 66 | ||||||
Medical Staffing Network Holdings, Inc. * | 1,300 | 7 | ||||||
Medtronic, Inc. | 95,374 | 4,643 | ||||||
Mentor Corp. | 3,000 | 140 | ||||||
Meridian Bioscience, Inc. | 7,500 | 173 | ||||||
Merit Medical Systems, Inc. * | 2,222 | 35 | ||||||
Molina Healthcare, Inc. * | 2,500 | 98 | ||||||
National Healthcare Corp. | 600 | 33 | ||||||
National Medical Health Card Systems, Inc. * | 800 | 11 | ||||||
Neogen Corp. * | 625 | 13 | ||||||
Novoste Corp. * | 400 | 1 | ||||||
Nutraceutical International Corp. * | 5,000 | 75 | ||||||
OCA, Inc. * | 2,112 | — | ||||||
Odyssey Healthcare, Inc. * | 2,250 | 30 | ||||||
Omnicare, Inc. | 7,500 | 284 | ||||||
Option Care, Inc. (a) | 2,250 | 29 | ||||||
OraSure Technologies, Inc. * | 1,500 | 12 | ||||||
Owens & Minor, Inc. | 2,000 | 63 | ||||||
Patterson Cos., Inc. * | 10,600 | 348 | ||||||
PDI, Inc. * | 2,900 | 30 | ||||||
Pediatrix Medical Group, Inc. * | 6,000 | 270 | ||||||
Per-Se Technologies, Inc. (a)* | 5,428 | 133 | ||||||
PolyMedica Corp. (a) | 779 | 32 | ||||||
PSS World Medical, Inc. * | 5,800 | 117 | ||||||
Q-Med, Inc. * | 500 | 2 | ||||||
Quest Diagnostics, Inc. | 14,820 | 737 | ||||||
Regeneration Technologies, Inc. * | 1,700 | 11 | ||||||
RehabCare Group, Inc. * | 4,000 | 51 | ||||||
Res-Care, Inc. * | 4,500 | 87 | ||||||
ResMed, Inc. * | 4,000 | 176 | ||||||
Respironics, Inc. * | 3,800 | 134 | ||||||
Sierra Health Services, Inc. * | 21,500 | 736 | ||||||
SonoSite, Inc. * | 1,600 | 46 | ||||||
St. Jude Medical, Inc. * | 29,600 | 1,017 | ||||||
Steris Corp. | 6,100 | 149 | ||||||
Stryker Corp. | 31,100 | 1,626 | ||||||
Sunrise Senior Living, Inc. * | 3,400 | 106 | ||||||
Symbion, Inc. * | 2,500 | 41 | ||||||
Tenet Healthcare Corp. * | 36,650 | 259 | ||||||
The Cooper Cos., Inc. | 2,781 | 160 | ||||||
Theragenics Corp. * | 2,500 | 8 | ||||||
Thoratec Corp. * | 2,636 | 42 | ||||||
Triad Hospitals, Inc. * | 6,044 | 224 | ||||||
TriPath Imaging, Inc. * | 2,600 | 24 | ||||||
TriZetto Group, Inc. * | 5,900 | 101 | ||||||
United Surgical Partners International, Inc. * | 2,100 | 52 | ||||||
UnitedHealth Group, Inc. | 118,880 | 5,799 | ||||||
Universal Health Services, Inc., Class B | 4,000 | 212 | ||||||
Urologix, Inc. * | 1,800 | 5 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
US Physical Therapy, Inc. * | 3,500 | 42 | ||||||
Utah Medical Products, Inc. | 2,500 | 85 | ||||||
Varian Medical Systems, Inc. * | 11,900 | 653 | ||||||
VCA Antech, Inc. * | 5,400 | 175 | ||||||
Viasys Healthcare, Inc. * | 2,982 | 85 | ||||||
VistaCare, Inc., Class A * | 1,000 | 13 | ||||||
Vital Signs, Inc. | 1,900 | 107 | ||||||
WebMD Health Corp., Class A (a)* | 2,600 | 95 | ||||||
WellPoint, Inc. * | 57,723 | 4,405 | ||||||
West Pharmaceutical Services, Inc. | 4,600 | 193 | ||||||
Wright Medical Group, Inc. * | 1,700 | 42 | ||||||
Young Innovations, Inc. | 2,000 | 72 | ||||||
Zimmer Holdings, Inc. * | 20,300 | 1,462 | ||||||
60,204 | ||||||||
Household & Personal Products 1.9% | ||||||||
Alberto-Culver Co., Class B | 6,950 | 353 | ||||||
Avon Products, Inc. | 39,000 | 1,186 | ||||||
Central Garden & Pet Co. * | 1,600 | 80 | ||||||
Chattem, Inc. * | 1,200 | 51 | ||||||
Church & Dwight Co., Inc. | 4,950 | 201 | ||||||
Clorox Co. | 12,200 | 788 | ||||||
Colgate-Palmolive Co. | 42,500 | 2,719 | ||||||
Energizer Holdings, Inc. * | 6,333 | 495 | ||||||
Herbalife Ltd. * | 300 | 11 | ||||||
Inter Parfums, Inc. | 675 | 13 | ||||||
Kimberly-Clark Corp. | 40,639 | 2,703 | ||||||
NBTY, Inc. * | 5,400 | 150 | ||||||
Nu Skin Enterprises, Inc., Class A | 6,500 | 124 | ||||||
Oil-Dri Corp. of America | 500 | 8 | ||||||
Procter & Gamble Co. (c) | 269,915 | 17,110 | ||||||
Spectrum Brands, Inc. (a)* | 2,800 | 27 | ||||||
The Estee Lauder Cos., Inc., Class A | 10,300 | 416 | ||||||
USANA Health Sciences, Inc. (a)* | 1,000 | 45 | ||||||
WD-40 Co. | 1,600 | 55 | ||||||
26,535 | ||||||||
Insurance 5.5% | ||||||||
21st Century Holding Co. | 1,500 | 42 | ||||||
21st Century Insurance Group | 7,200 | 114 | ||||||
ACE Ltd. | 23,100 | 1,322 | ||||||
AFLAC, Inc. | 42,600 | 1,914 | ||||||
Alfa Corp. | 6,800 | 126 | ||||||
Alleghany Corp. * | 220 | 67 | ||||||
Ambac Financial Group, Inc. | 7,750 | 647 | ||||||
American Financial Group, Inc. | 5,500 | 263 | ||||||
American International Group, Inc. | 211,922 | 14,235 | ||||||
American National Insurance Co. | 1,300 | 151 | ||||||
American Physicians Capital, Inc. * | 2,500 | 137 | ||||||
AmerUs Group Co. | 4,400 | 301 | ||||||
AON Corp. (a) | 25,500 | 887 | ||||||
Arch Capital Group Ltd. * | 3,900 | 251 | ||||||
Argonaut Group, Inc. * | 2,400 | 82 | ||||||
Arthur J. Gallagher & Co. | 6,800 | 189 | ||||||
Assurant, Inc. | 11,500 | 606 | ||||||
Axis Capital Holdings Ltd. | 7,200 | 237 | ||||||
Baldwin & Lyons, Inc., Class B | 750 | 19 | ||||||
Berkshire Hathaway, Inc., Class A * | 121 | 12,762 | ||||||
Brown & Brown, Inc. | 11,000 | 322 | ||||||
Cincinnati Financial Corp. | 13,450 | 614 | ||||||
Clark, Inc. | 1,700 | 21 | ||||||
CNA Financial Corp. * | 20,900 | 783 | ||||||
CNA Surety Corp. * | 2,200 | 45 | ||||||
Commerce Group, Inc. | 3,200 | 95 | ||||||
Conseco, Inc. * | 11,500 | 234 | ||||||
Crawford & Co., Class B | 1,600 | 12 | ||||||
Delphi Financial Group, Inc., Class A | 6,772 | 266 | ||||||
EMC Insurance Group, Inc. | 1,200 | 37 | ||||||
Erie Indemnity Co., Class A | 5,500 | 279 | ||||||
Everest Re Group Ltd. | 2,900 | 288 | ||||||
FBL Financial Group, Inc., Class A | 2,090 | 74 | ||||||
Fidelity National Financial, Inc. | 13,517 | 301 | ||||||
Fidelity National Title Group, Inc., Class A | 17,327 | 381 | ||||||
First American Corp. | 7,800 | 318 | ||||||
FPIC Insurance Group, Inc. * | 400 | 14 | ||||||
Genworth Financial, Inc., Class A | 37,500 | 1,254 | ||||||
Great American Financial Resources, Inc. | 2,800 | 65 | ||||||
Hanover Insurance Group, Inc. | 4,900 | 222 | ||||||
Harleysville Group, Inc. | 1,800 | 65 | ||||||
HCC Insurance Holdings, Inc. | 7,950 | 268 | ||||||
Hilb, Rogal & Hobbs Co. | 3,000 | 120 | ||||||
Horace Mann Educators Corp. | 4,300 | 87 | ||||||
Independence Holding Co. | 2,700 | 64 | ||||||
Infinity Property & Casualty Corp. | 2,500 | 108 | ||||||
LandAmerica Financial Group, Inc. | 5,300 | 334 | ||||||
Lincoln National Corp. | 21,926 | 1,388 | ||||||
Loews Corp. | 45,000 | 1,751 | ||||||
Markel Corp. * | 300 | 120 | ||||||
Marsh & McLennan Cos., Inc. | 43,000 | 1,266 | ||||||
MBIA, Inc. | 11,250 | 698 | ||||||
Mercury General Corp. | 5,400 | 280 | ||||||
MetLife, Inc. | 62,000 | 3,542 | ||||||
MIIX Group, Inc. * | 2,400 | — | ||||||
National Financial Partners Corp. | 2,500 | 98 | ||||||
National Western Life Insurance Co., Class A * | 300 | 72 | ||||||
Nationwide Financial Services, Inc., Class A | 11,400 | 580 | ||||||
Navigators Group, Inc. * | 1,500 | 71 | ||||||
NYMAGIC, Inc. | 2,100 | 67 | ||||||
Odyssey Re Holdings Corp. | 5,400 | 191 | ||||||
Ohio Casualty Corp. | 5,500 | 151 | ||||||
Old Republic International Corp. | 20,437 | 460 | ||||||
PartnerRe Ltd. (a) | 1,900 | 133 | ||||||
Penn Treaty American Corp. * | 150 | 1 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Philadelphia Consolidated Holding Corp. * | 5,500 | 215 | ||||||
PMA Capital Corp., Class A * | 700 | 7 | ||||||
Presidential Life Corp. | 1,000 | 24 | ||||||
Principal Financial Group, Inc. | 25,400 | 1,435 | ||||||
ProAssurance Corp. * | 1,670 | 81 | ||||||
Protective Life Corp. | 5,500 | 243 | ||||||
Prudential Financial, Inc. | 45,500 | 3,500 | ||||||
Reinsurance Group of America, Inc. | 5,100 | 288 | ||||||
RenaissanceRe Holdings Ltd. | 1,800 | 98 | ||||||
RLI Corp. | 2,800 | 152 | ||||||
SAFECO Corp. | 12,500 | 727 | ||||||
Safety Insurance Group, Inc. | 1,000 | 50 | ||||||
SCPIE Holdings, Inc. * | 700 | 20 | ||||||
Selective Insurance Group, Inc. | 1,200 | 66 | ||||||
SNTL Litigation Trust Certificates * | 1,300 | — | ||||||
StanCorp Financial Group, Inc. | 5,000 | 228 | ||||||
State Auto Financial Corp. | 3,800 | 122 | ||||||
Stewart Information Services Corp. | 1,400 | 52 | ||||||
The Allstate Corp. | 58,874 | 3,613 | ||||||
The Chubb Corp. | 33,094 | 1,759 | ||||||
The Hartford Financial Services Group, Inc. | 24,400 | 2,127 | ||||||
The Midland Co. | 1,800 | 84 | ||||||
The Phoenix Cos., Inc. | 7,000 | 111 | ||||||
The Progressive Corp. | 85,200 | 2,059 | ||||||
The St. Paul Travelers Cos., Inc. | 54,550 | 2,789 | ||||||
Torchmark Corp. | 10,600 | 654 | ||||||
Transatlantic Holdings, Inc. | 6,437 | 392 | ||||||
United Fire & Casualty Co. | 1,000 | 35 | ||||||
Unitrin, Inc. | 5,600 | 240 | ||||||
UnumProvident Corp. | 23,914 | 473 | ||||||
USI Holdings Corp. * | 4,500 | 72 | ||||||
W. R. Berkley Corp. | 22,950 | 846 | ||||||
Wesco Financial Corp. | 200 | 96 | ||||||
White Mountains Insurance Group Ltd. | 200 | 114 | ||||||
XL Capital Ltd., Class A | 14,700 | 1,037 | ||||||
Zenith National Insurance Corp. | 3,400 | 158 | ||||||
75,859 | ||||||||
Materials 3.1% | ||||||||
A. Schulman, Inc. | 2,300 | 56 | ||||||
A.M. Castle & Co. | 1,500 | 50 | ||||||
AEP Industries, Inc. * | 400 | 21 | ||||||
Air Products & Chemicals, Inc. | 17,700 | 1,233 | ||||||
Airgas, Inc. | 5,000 | 189 | ||||||
AK Steel Holding Corp. * | 9,527 | 142 | ||||||
Albemarle Corp. | 4,500 | 293 | ||||||
Alcoa, Inc. | 68,664 | 1,985 | ||||||
Aleris International, Inc. * | 2,459 | 127 | ||||||
Allegheny Technologies, Inc. | 7,700 | 606 | ||||||
Aptargroup, Inc. | 2,200 | 121 | ||||||
Arch Chemicals, Inc. | 2,700 | 90 | ||||||
Ashland, Inc. | 5,500 | 325 | ||||||
Ball Corp. | 5,700 | 237 | ||||||
Bemis Co. | 8,900 | 299 | ||||||
Bowater, Inc. (a) | 2,300 | 48 | ||||||
Buckeye Technologies, Inc. * | 1,200 | 12 | ||||||
Cabot Corp. | 5,200 | 206 | ||||||
Carpenter Technology Corp. | 2,500 | 267 | ||||||
Celanese Corp. | 12,500 | 258 | ||||||
Century Aluminum Co. * | 600 | 23 | ||||||
Chaparral Steel Co. | 4,500 | 187 | ||||||
Chemtura Corp. | 16,927 | 145 | ||||||
Chesapeake Corp. | 1,000 | 16 | ||||||
Commercial Metals Co. | 9,000 | 239 | ||||||
Compass Minerals International, Inc. | 2,500 | 77 | ||||||
Crown Holdings, Inc. * | 10,400 | 202 | ||||||
Cytec Industries, Inc. | 3,600 | 199 | ||||||
Deltic Timber Corp. | 700 | 36 | ||||||
E.I. du Pont de Nemours & Co. | 78,195 | 3,581 | ||||||
Eagle Materials, Inc. | 4,143 | 152 | ||||||
Eastman Chemical Co. | 5,600 | 341 | ||||||
Ecolab, Inc. | 21,500 | 975 | ||||||
Ferro Corp. | 4,200 | 83 | ||||||
Florida Rock Industries, Inc. | 5,987 | 257 | ||||||
FMC Corp. | 3,100 | 213 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 16,000 | 968 | ||||||
Georgia Gulf Corp. | 3,300 | 71 | ||||||
Gibraltar Industries, Inc. | 2,500 | 53 | ||||||
Glamis Gold Ltd. * | 11,100 | 490 | ||||||
Greif, Inc., Class A | 3,700 | 347 | ||||||
H.B. Fuller Co. | 4,000 | 99 | ||||||
Hawkins, Inc. | 1,900 | 27 | ||||||
Headwaters, Inc. (a)* | 2,500 | 62 | ||||||
Hercules, Inc. * | 8,500 | 155 | ||||||
Huntsman Corp. * | 17,500 | 302 | ||||||
International Flavors & Fragrances, Inc. | 4,400 | 187 | ||||||
International Paper Co. | 39,304 | 1,311 | ||||||
Kronos Worldwide, Inc. | 2,560 | 76 | ||||||
LESCO, Inc. * | 500 | 4 | ||||||
Louisiana-Pacific Corp. | 8,300 | 164 | ||||||
Lyondell Chemical Co. | 19,930 | 512 | ||||||
MacDermid, Inc. | 3,800 | 127 | ||||||
Martin Marietta Materials, Inc. | 4,200 | 370 | ||||||
Material Sciences Corp. * | 4,000 | 48 | ||||||
MeadWestvaco Corp. | 14,474 | 398 | ||||||
Meridian Gold, Inc. * | 6,600 | 167 | ||||||
Minerals Technologies, Inc. | 600 | 33 | ||||||
Mod-Pac Corp. * | 500 | 6 | ||||||
Monsanto Co. | 43,290 | 1,914 | ||||||
Myers Industries, Inc. | 2,580 | 47 | ||||||
Nalco Holding Co. * | 11,100 | 225 | ||||||
Neenah Paper, Inc. | 1,231 | 45 | ||||||
NewMarket Corp. | 2,000 | 129 | ||||||
Newmont Mining Corp. | 32,251 | 1,460 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
NL Industries, Inc. (a) | 5,300 | 59 | ||||||
NN, Inc. | 1,800 | 20 | ||||||
Nucor Corp. | 27,000 | 1,577 | ||||||
Olin Corp. | 4,820 | 83 | ||||||
OM Group, Inc. * | 2,400 | 137 | ||||||
Omnova Solutions, Inc. * | 3,400 | 15 | ||||||
Oregon Steel Mills, Inc. * | 2,500 | 136 | ||||||
Owens-Illinois, Inc. * | 13,700 | 227 | ||||||
Packaging Corp. of America | 8,500 | 195 | ||||||
Pactiv Corp. * | 12,400 | 382 | ||||||
Penford Corp. | 2,700 | 44 | ||||||
Phelps Dodge Corp. | 14,660 | 1,472 | ||||||
PolyOne Corp. * | 3,200 | 26 | ||||||
PPG Industries, Inc. | 13,900 | 951 | ||||||
Praxair, Inc. | 25,700 | 1,548 | ||||||
Quanex Corp. | 5,625 | 189 | ||||||
Reliance Steel & Aluminum Co. | 8,500 | 292 | ||||||
Rock-Tennessee Co., Class A | 1,500 | 31 | ||||||
Rohm & Haas Co. | 26,753 | 1,386 | ||||||
Royal Gold, Inc. (a) | 2,200 | 65 | ||||||
RPM International, Inc. | 9,600 | 184 | ||||||
RTI International Metals, Inc. (a)* | 1,500 | 92 | ||||||
Schnitzer Steel Industries, Inc., Class A | 1,650 | 58 | ||||||
Schweitzer-Mauduit International, Inc. | 2,300 | 53 | ||||||
Sealed Air Corp. | 6,000 | 357 | ||||||
Sensient Technologies Corp. | 4,800 | 111 | ||||||
Sigma-Aldrich Corp. | 6,300 | 473 | ||||||
Silgan Holdings, Inc. | 5,800 | 240 | ||||||
Smurfit-Stone Container Corp. * | 20,000 | 213 | ||||||
Sonoco Products Co. | 4,100 | 145 | ||||||
Southern Copper Corp. (a) | 10,800 | 555 | ||||||
Spartech Corp. | 4,200 | 115 | ||||||
Steel Dynamics, Inc. | 3,500 | 210 | ||||||
Stepan Co. | 1,200 | 38 | ||||||
Stillwater Mining Co. * | 7,133 | 77 | ||||||
Symyx Technologies, Inc. * | 3,800 | 93 | ||||||
Temple-Inland, Inc. | 8,800 | 347 | ||||||
Texas Industries, Inc. | 1,000 | 62 | ||||||
The Dow Chemical Co. | 78,766 | 3,213 | ||||||
The Lubrizol Corp. | 5,400 | 243 | ||||||
The Mosaic Co. * | 29,500 | 552 | ||||||
The Scotts Miracle-Gro Co., Class A | 5,600 | 277 | ||||||
Titanium Metals Corp. * | 7,200 | 212 | ||||||
United States Steel Corp. | 9,900 | 669 | ||||||
Valhi, Inc. | 8,600 | 212 | ||||||
Valspar Corp. | 8,400 | 225 | ||||||
Vulcan Materials Co. | 6,900 | 562 | ||||||
Wausau-Mosinee Paper Corp. | 4,700 | 64 | ||||||
Westlake Chemical Corp. | 5,100 | 161 | ||||||
Weyerhaeuser Co. | 18,250 | 1,161 | ||||||
Worthington Industries, Inc. | 7,200 | 124 | ||||||
43,021 | ||||||||
Media 4.0% | ||||||||
4Kids Entertainment, Inc. * | 1,000 | 18 | ||||||
Acme Communications, Inc. * | 1,900 | 10 | ||||||
ACT Teleconferencing, Inc. * | 1,100 | — | ||||||
Adelphia Communications, Class A * | 6,301 | — | ||||||
Advo, Inc. | 4,050 | 119 | ||||||
Arbitron, Inc. | 2,120 | 89 | ||||||
Belo Corp., Class A | 9,400 | 165 | ||||||
Cablevision Systems Corp., Class A * | 21,100 | 586 | ||||||
Cadmus Communications Corp. | 3,900 | 59 | ||||||
Carmike Cinemas, Inc. | 2,500 | 50 | ||||||
Catalina Marketing Corp. | 5,900 | 150 | ||||||
CBS Corp., Class B | 72,006 | 2,084 | ||||||
Citadel Broadcasting Co. | 2,500 | 26 | ||||||
Clear Channel Communications, Inc. | 49,721 | 1,733 | ||||||
Clear Channel Outdoor Holdings, Inc., Class A * | 23,700 | 582 | ||||||
Comcast Corp. * | 42,800 | 1,733 | ||||||
Comcast Corp., Class A * | 151,336 | 6,155 | ||||||
Cox Radio, Inc., Class A * | 4,600 | 77 | ||||||
Crown Media Holdings, Inc., Class A (a)* | 6,000 | 24 | ||||||
Cumulus Media, Inc., Class A * | 4,351 | 47 | ||||||
Daily Journal Corp. * | 500 | 20 | ||||||
Discovery Holding Co., Class A * | 22,323 | 331 | ||||||
Dow Jones & Co., Inc. (a) | 6,500 | 228 | ||||||
DreamWorks Animation SKG, Inc., Class A * | 2,800 | 74 | ||||||
EchoStar Communications Corp., Class A * | 37,700 | 1,339 | ||||||
Emak Worldwide, Inc. * | 500 | 3 | ||||||
Emmis Communications Corp., Class A * | 713 | 9 | ||||||
Entercom Communications Corp. | 3,000 | 83 | ||||||
Entravision Communications Corp. * | 5,000 | 37 | ||||||
Gannett Co., Inc. | 19,500 | 1,153 | ||||||
Gemstar — TV Guide International, Inc. * | 33,360 | 116 | ||||||
Getty Images, Inc. * | 4,600 | 199 | ||||||
Gray Television, Inc. | 5,600 | 36 | ||||||
Harte-Hanks, Inc. | 8,100 | 205 | ||||||
Hearst-Argyle Television, Inc. | 3,700 | 93 | ||||||
Interactive Data Corp. * | 20,700 | 473 | ||||||
John Wiley & Sons, Inc., Class A | 6,300 | 222 | ||||||
Journal Communications, Inc., Class A | 7,500 | 88 | ||||||
Journal Register Co. | 3,200 | 25 | ||||||
Lakes Entertainment, Inc. * | 1,800 | 20 | ||||||
Lamar Advertising Co., Class A * | 9,200 | 531 | ||||||
Lee Enterprises, Inc. | 2,500 | 71 | ||||||
Liberty Global, Inc., Class A * | 12,575 | 330 | ||||||
Liberty Global, Inc., Class C * | 12,601 | 320 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Liberty Media Holding Corp. — Capital * | 11,161 | 994 | ||||||
Lin TV Corp., Class A * | 3,300 | 27 | ||||||
Live Nation, Inc. * | 6,215 | 132 | ||||||
Martha Stewart Living Omnimedia, Class A (a)* | 3,900 | 83 | ||||||
Media General, Inc., Class A | 2,000 | 74 | ||||||
Mediacom Communications Corp., Class A * | 7,600 | 63 | ||||||
Meredith Corp. | 3,800 | 199 | ||||||
Morningstar, Inc. * | 3,200 | 131 | ||||||
News Corp., Class A | 253,950 | 5,295 | ||||||
Nexstar Broadcasting Group, Inc., Class A * | 4,500 | 17 | ||||||
NTL, Inc. | 15,000 | 405 | ||||||
Omnicom Group, Inc. | 16,800 | 1,704 | ||||||
Pegasus Communications Corp., Class A * | 6,320 | 13 | ||||||
Playboy Enterprises, Inc., Class B * | 4,500 | 48 | ||||||
ProQuest Co. * | 1,700 | 22 | ||||||
R.H. Donnelley Corp. * | 2,966 | 179 | ||||||
Radio One, Inc., Class A * | 9,500 | 65 | ||||||
Readers Digest Association, Inc., Class A | 7,300 | 105 | ||||||
Regal Entertainment Group, Class A (a) | 4,200 | 87 | ||||||
Salem Communications Corp., Class A * | 900 | 12 | ||||||
Scholastic Corp. * | 2,200 | 69 | ||||||
Sinclair Broadcast Group, Inc., Class A | 4,800 | 43 | ||||||
Sirius Satellite Radio, Inc. (a)* | 2,600 | 10 | ||||||
Sun-Times Media Group, Inc., Class A | 7,300 | 42 | ||||||
The DIRECTV Group, Inc. * | 101,476 | 2,261 | ||||||
The E.W. Scripps Co., Class A | 12,000 | 594 | ||||||
The Interpublic Group of Cos., Inc. * | 34,537 | 377 | ||||||
The McClatchy Co., Class A | 8,416 | 365 | ||||||
The McGraw-Hill Cos., Inc. | 34,600 | 2,220 | ||||||
The New York Times Co., Class A (a) | 13,200 | 319 | ||||||
The Walt Disney Co. | 195,410 | 6,148 | ||||||
Time Warner, Inc. | 367,052 | 7,345 | ||||||
Tivo, Inc. * | 4,500 | 29 | ||||||
Tribune Co. | 26,900 | 897 | ||||||
Triple Crown Media, Inc. * | 560 | 4 | ||||||
Univision Communications, Inc., Class A * | 25,510 | 894 | ||||||
Valassis Communications, Inc. * | 3,700 | 56 | ||||||
Value Line, Inc. | 300 | 16 | ||||||
Viacom, Inc., Class B * | 56,606 | 2,203 | ||||||
Warner Music Group Corp. | 11,700 | 303 | ||||||
Washington Post, Class B | 600 | 452 | ||||||
Westwood One, Inc. | 7,200 | 57 | ||||||
World Wrestling Entertainment, Inc. | 4,900 | 82 | ||||||
XM Satellite Radio Holdings, Inc., Class A * | 15,300 | 178 | ||||||
54,332 | ||||||||
Pharmaceuticals & Biotechnology 7.4% | ||||||||
Abbott Laboratories | 125,705 | 5,972 | ||||||
Accelrys, Inc. * | 1,300 | 8 | ||||||
Adolor Corp. * | 1,700 | 23 | ||||||
Affymetrix, Inc. * | 4,900 | 125 | ||||||
Albany Molecular Research, Inc. * | 1,600 | 19 | ||||||
Alkermes, Inc. * | 3,100 | 52 | ||||||
Allergan, Inc. | 13,234 | 1,529 | ||||||
Alpharma, Inc., Class A | 3,700 | 82 | ||||||
Amgen, Inc. * | 103,268 | 7,839 | ||||||
Amylin Pharmaceuticals, Inc. * | 2,300 | 101 | ||||||
Andrx Corp. * | 6,400 | 157 | ||||||
Aphton Corp. * | 800 | — | ||||||
Applera Corp. — Celera Genomics Group * | 5,600 | 87 | ||||||
Applied Biosystems Group-Applera Corp. | 16,500 | 615 | ||||||
Arena Pharmaceuticals, Inc. * | 800 | 12 | ||||||
ArQule, Inc. * | 8,800 | 35 | ||||||
AVANIR Pharmaceuticals, Class A (a)* | 475 | 2 | ||||||
Avigen, Inc. * | 900 | 5 | ||||||
Barr Pharmaceuticals, Inc. * | 8,781 | 460 | ||||||
Bio-Rad Laboratories, Inc., Class A * | 3,000 | 220 | ||||||
BioCryst Pharmaceuticals, Inc. * | 1,400 | 17 | ||||||
Biogen Idec, Inc. * | 28,125 | 1,339 | ||||||
BioMarin Pharmaceuticals, Inc. * | 1,800 | 29 | ||||||
BioVeris Corp. * | 3,800 | 36 | ||||||
Bradley Pharmaceuticals, Inc. * | 1,700 | 30 | ||||||
Bristol-Myers Squibb Co. | 153,750 | 3,805 | ||||||
Bruker BioSciences Corp. * | 2,100 | 17 | ||||||
Caliper Life Sciences, Inc. * | 700 | 4 | ||||||
Cambrex Corp. | 3,400 | 80 | ||||||
Celgene Corp. * | 27,000 | 1,443 | ||||||
Cell Genesys, Inc. * | 1,500 | 7 | ||||||
Cephalon, Inc. * | 3,500 | 246 | ||||||
Charles River Laboratories, Inc. * | 6,416 | 275 | ||||||
CNS, Inc. | 5,000 | 185 | ||||||
CollaGenex Pharmaceuticals, Inc. * | 3,000 | 35 | ||||||
Connetics Corp. * | 3,400 | 58 | ||||||
Covance, Inc. * | 5,800 | 339 | ||||||
Cubist Pharmaceuticals, Inc. * | 1,900 | 42 | ||||||
CuraGen Corp. * | 2,100 | 8 | ||||||
CV Therapeutics, Inc. (a)* | 1,100 | 14 | ||||||
CYTOGEN Corp. * | 230 | 1 | ||||||
Dendreon Corp. * | 1,400 | 7 | ||||||
Digene Corp. * | 1,400 | 65 | ||||||
Dionex Corp. * | 1,200 | 65 | ||||||
Diversa Corp. * | 1,100 | 10 | ||||||
Durect Corp. * | 2,000 | 9 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Dyax Corp. * | 2,000 | 6 | ||||||
Eli Lilly & Co. | 92,400 | 5,175 | ||||||
Embrex, Inc. * | 1,300 | 15 | ||||||
Emisphere Technologies, Inc. (a)* | 800 | 5 | ||||||
Encysive Pharmaceuticals, Inc. * | 2,600 | 12 | ||||||
Endo Pharmaceutical Holdings, Inc. * | 10,500 | 300 | ||||||
Entremed, Inc. * | 1,200 | 3 | ||||||
Enzo Biochem, Inc. * | 1,781 | 25 | ||||||
Enzon Pharmaceuticals, Inc. * | 4,400 | 38 | ||||||
Epicept Corp. * | 489 | 1 | ||||||
eResearch Technology, Inc. (a)* | 5,625 | 46 | ||||||
Exelixis, Inc. * | 1,800 | 17 | ||||||
Fisher Scientific International, Inc. * | 8,876 | 760 | ||||||
Forest Laboratories, Inc. * | 27,500 | 1,346 | ||||||
Gene Logic, Inc. * | 1,300 | 2 | ||||||
Genentech, Inc. * | 83,300 | 6,939 | ||||||
Genzyme Corp. * | 20,732 | 1,400 | ||||||
Geron Corp. * | 1,000 | 8 | ||||||
Gilead Sciences, Inc. * | 35,420 | 2,440 | ||||||
Harvard Bioscience, Inc. * | 500 | 3 | ||||||
Human Genome Sciences, Inc. * | 5,100 | 68 | ||||||
ICOS Corp. * | 2,700 | 86 | ||||||
Illumina, Inc. * | 1,500 | 66 | ||||||
ImClone Systems, Inc. * | 6,935 | 217 | ||||||
ImmunoGen, Inc. * | 1,500 | 6 | ||||||
Impax Laboratories, Inc. * | 1,600 | 11 | ||||||
Incyte Corp. * | 2,600 | 12 | ||||||
Indevus Pharmaceuticals, Inc. * | 1,800 | 12 | ||||||
Inspire Pharmaceuticals, Inc. * | 1,300 | 7 | ||||||
InterMune, Inc. * | 1,100 | 24 | ||||||
Invitrogen Corp. * | 3,629 | 211 | ||||||
Isis Pharmaceuticals, Inc. * | 1,900 | 16 | ||||||
Johnson & Johnson | 246,370 | 16,605 | ||||||
Kendle International, Inc. * | 2,700 | 93 | ||||||
King Pharmaceuticals, Inc. * | 18,516 | 310 | ||||||
Kos Pharmaceuticals, Inc. * | 3,200 | 159 | ||||||
Kosan Biosciences, Inc. * | 2,500 | 10 | ||||||
KV Pharmaceutical Co., Class A * | 2,700 | 60 | ||||||
Lexicon Genetics, Inc. * | 6,900 | 28 | ||||||
Ligand Pharmaceuticals, Inc., Class B (a)* | 2,300 | 25 | ||||||
Luminex Corp. * | 800 | 13 | ||||||
Matrixx Initiatives, Inc. * | 1,700 | 37 | ||||||
Maxygen, Inc. * | 1,500 | 13 | ||||||
Medarex, Inc. * | 3,000 | 39 | ||||||
Medicis Pharmaceutical Corp., Class A (a) | 3,400 | 119 | ||||||
MedImmune, Inc. * | 19,875 | 637 | ||||||
Merck & Co., Inc. | 183,552 | 8,337 | ||||||
MGI Pharma, Inc. * | 3,932 | 75 | ||||||
Millennium Pharmaceuticals, Inc. * | 25,856 | 302 | ||||||
Millipore Corp. * | 5,100 | 329 | ||||||
Molecular Devices Corp. * | 3,200 | 64 | ||||||
Mylan Laboratories, Inc. | 16,600 | 340 | ||||||
Myogen, Inc. * | 2,500 | 131 | ||||||
Myriad Genetics, Inc. * | 1,400 | 38 | ||||||
Nabi Biopharmaceuticals * | 2,800 | 18 | ||||||
Nanogen, Inc. * | 1,500 | 3 | ||||||
Nektar Therapeutics (a)* | 2,200 | 32 | ||||||
Neose Technologies, Inc. * | 500 | 1 | ||||||
Neurocrine Biosciences, Inc. * | 1,400 | 16 | ||||||
Neurogen Corp. * | 800 | 5 | ||||||
Northfield Laboratories, Inc. (a)* | 1,100 | 15 | ||||||
Noven Pharmaceuticals, Inc. * | 1,800 | 40 | ||||||
NPS Pharmacuticals, Inc. * | 1,000 | 5 | ||||||
Nuvelo, Inc. * | 300 | 6 | ||||||
Onyx Pharmaceuticals, Inc. (a)* | 1,800 | 34 | ||||||
Orchid Cellmark, Inc. * | 280 | 1 | ||||||
OSI Pharmaceuticals, Inc. (a)* | 1,998 | 76 | ||||||
OXiGENE, Inc. (a)* | 900 | 4 | ||||||
Pain Therapeutics, Inc. * | 2,600 | 22 | ||||||
Par Pharmaceutical Cos., Inc. * | 1,900 | 37 | ||||||
PAREXEL International Corp. * | 2,400 | 71 | ||||||
PDL BioPharma, Inc. * | 4,100 | 87 | ||||||
PerkinElmer, Inc. | 11,477 | 245 | ||||||
Perrigo Co. | 7,300 | 131 | ||||||
Pfizer, Inc. | 610,192 | 16,262 | ||||||
Pharmaceutical Product Development, Inc. (PPD) | 10,000 | 316 | ||||||
Pharmacopeia Drug Discovery, Inc. * | 650 | 3 | ||||||
Pharmacyclics, Inc. * | 1,100 | 6 | ||||||
PharmaNet Development Group, Inc. * | 1,500 | 28 | ||||||
Pharmion Corp. * | 2,500 | 61 | ||||||
POZEN, Inc. * | 1,300 | 22 | ||||||
Regeneron Pharmaceuticals, Inc. * | 1,900 | 38 | ||||||
Sangamo BioSciences, Inc. * | 1,200 | 7 | ||||||
Savient Pharmaceuticals, Inc. * | 2,300 | 17 | ||||||
Schering-Plough Corp. | 121,750 | 2,696 | ||||||
Sciele Pharma, Inc. * | 3,400 | 74 | ||||||
Sepracor, Inc. (a)* | 6,600 | 342 | ||||||
SuperGen, Inc. * | 900 | 5 | ||||||
Tanox, Inc. * | 4,900 | 66 | ||||||
Techne Corp. * | 3,800 | 212 | ||||||
The Medicines Co. * | 1,700 | 44 | ||||||
Thermo Electron Corp. * | 19,550 | 838 | ||||||
Third Wave Technologies, Inc. * | 1,800 | 7 | ||||||
Titan Pharmaceuticals, Inc. * | 800 | 2 | ||||||
Trimeris, Inc. * | 500 | 4 | ||||||
Tripos, Inc. * | 6,000 | 8 | ||||||
Valeant Pharmaceuticals International | 7,900 | 148 | ||||||
Varian, Inc. * | 5,800 | 272 | ||||||
Ventana Medical Systems, Inc. * | 2,400 | 97 | ||||||
Vertex Pharmaceuticals, Inc. * | 3,144 | 128 | ||||||
Vical, Inc. * | 1,600 | 10 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
ViroPharma, Inc. * | 1,000 | 13 | ||||||
Waters Corp. * | 8,700 | 433 | ||||||
Watson Pharmaceuticals, Inc. * | 7,732 | 208 | ||||||
Wyeth | 109,400 | 5,583 | ||||||
ZymoGenetics, Inc. * | 2,000 | 32 | ||||||
101,381 | ||||||||
Real Estate 2.5% | ||||||||
Affordable Residential Communities * | 3,000 | 33 | ||||||
Alexander’s, Inc. * | 700 | 255 | ||||||
Alexandria Real Estate Equities, Inc. | 2,500 | 249 | ||||||
AMB Property Corp. | 7,300 | 426 | ||||||
American Financial Realty Trust | 8,500 | 99 | ||||||
American Home Mortgage Investment Corp. (a) | 4,500 | 154 | ||||||
American Land Lease, Inc. | 1,700 | 44 | ||||||
American Mortgage Acceptance Co. | 1,500 | 27 | ||||||
American Realty Investors, Inc. * | 1,037 | 9 | ||||||
Annaly Mortgage Management, Inc. | 9,400 | 123 | ||||||
Anthracite Capital, Inc. | 4,900 | 70 | ||||||
Anworth Mortgage Asset Corp. | 1,000 | 9 | ||||||
Apartment Investment & Management Co., Class A | 7,400 | 424 | ||||||
Archstone-Smith Trust | 15,285 | 920 | ||||||
AvalonBay Communities, Inc. | 6,100 | 799 | ||||||
Boston Properties, Inc. | 9,900 | 1,058 | ||||||
Brandywine Realty Trust | 7,363 | 246 | ||||||
BRE Properties, Class A | 5,000 | 331 | ||||||
Brookfield Properties Corp. | 17,800 | 674 | ||||||
Camden Property Trust | 2,300 | 186 | ||||||
CapitalSource, Inc. (a) | 6,900 | 191 | ||||||
Capstead Mortgage Corp. | 2,240 | 19 | ||||||
CB Richard Ellis Group, Inc., Class A * | 17,500 | 526 | ||||||
CBL & Associates Properties, Inc. | 4,400 | 192 | ||||||
Colonial Properties Trust | 2,567 | 129 | ||||||
Commercial Net Lease Realty (a) | 3,320 | 75 | ||||||
Consolidated-Tomoka Land Co. | 900 | 58 | ||||||
Corporate Office Properties Trust SBI | 3,500 | 167 | ||||||
Correctional Properties Trust | 1,600 | 52 | ||||||
Cousins Properties, Inc. | 5,200 | 186 | ||||||
Crescent Real Estate Equity Co. | 7,400 | 161 | ||||||
Developers Diversified Realty Corp. | 7,612 | 464 | ||||||
Duke Realty Corp. | 12,990 | 520 | ||||||
EastGroup Properties, Inc. | 900 | 48 | ||||||
Entertainment Properties Trust | 2,200 | 121 | ||||||
Equity Inns, Inc. | 2,700 | 45 | ||||||
Equity Lifestyle Properties, Inc. | 3,000 | 148 | ||||||
Equity Office Properties Trust (a) | 32,738 | 1,391 | ||||||
Equity One, Inc. | 6,600 | 166 | ||||||
Equity Residential | 24,700 | 1,349 | ||||||
Essex Property Trust, Inc. | 2,600 | 347 | ||||||
Federal Realty Investment Trust | 5,200 | 417 | ||||||
FelCor Lodging Trust, Inc. * | 5,700 | 118 | ||||||
First Industrial Realty Trust (a) | 2,600 | 120 | ||||||
Forest City Enterprises, Inc., Class A | 10,400 | 571 | ||||||
Friedman, Billings, Ramsey Group, Inc., Class A | 12,080 | 92 | ||||||
General Growth Properties, Inc. | 20,460 | 1,062 | ||||||
Getty Realty Corp. (a) | 2,000 | 64 | ||||||
Glenborough Realty Trust, Inc. | 2,400 | 62 | ||||||
Glimcher Realty Trust (a) | 3,800 | 98 | ||||||
Global Signal, Inc. | 5,000 | 271 | ||||||
Health Care Property Investors, Inc. | 10,648 | 334 | ||||||
Health Care REIT, Inc. | 5,200 | 215 | ||||||
Healthcare Realty Trust, Inc. | 4,900 | 198 | ||||||
Highwoods Properties, Inc. | 5,600 | 214 | ||||||
Home Properties, Inc. | 2,500 | 158 | ||||||
Hospitality Properties Trust | 6,000 | 291 | ||||||
Host Hotels & Resorts, Inc. | 39,254 | 905 | ||||||
HRPT Properties Trust | 13,500 | 161 | ||||||
IMPAC Mortgage Holdings, Inc. | 4,800 | 45 | ||||||
Inland Real Estate Corp. | 5,500 | 103 | ||||||
Innkeepers USA Trust | 1,500 | 26 | ||||||
iStar Financial, Inc. | 9,390 | 435 | ||||||
Jones Lang LaSalle, Inc. | 2,300 | 212 | ||||||
Kilroy Realty Corp. | 1,800 | 136 | ||||||
Kimco Realty Corp. | 19,196 | 853 | ||||||
LaSalle Hotel Properties | 3,500 | 148 | ||||||
Lexington Corp. Properties Trust | 3,000 | 64 | ||||||
Liberty Media Holding Corp. — Capital | 8,300 | 400 | ||||||
LTC Properties, Inc. | 2,800 | 76 | ||||||
Mack-Cali Realty Corp. | 5,900 | 312 | ||||||
Maguire Properties, Inc. | 3,000 | 128 | ||||||
MFA Mortgage Investments, Inc. | 5,500 | 44 | ||||||
Mid-America Apartment Communities, Inc. | 2,500 | 159 | ||||||
Move, Inc. * | 5,020 | 24 | ||||||
National Health Investors, Inc. | 3,100 | 100 | ||||||
National Health Realty, Inc. | 2,300 | 47 | ||||||
Nationwide Health Properties, Inc. | 5,100 | 147 | ||||||
New Century Financial Corp. (a) | 3,600 | 142 | ||||||
New Plan Excel Realty Trust | 8,500 | 245 | ||||||
Newcastle Investment Corp. | 2,200 | 65 | ||||||
Novastar Financial, Inc. (a) | 2,000 | 64 | ||||||
Omega Healthcare Investors, Inc. | 2,784 | 47 | ||||||
Parkway Properties, Inc. | 500 | 25 | ||||||
Pennsylvania Real Estate Investment Trust | 2,500 | 108 | ||||||
Plum Creek Timber Co., Inc. | 15,047 | 541 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
PMC Commercial Trust | 1,500 | 21 | ||||||
Post Properties, Inc. | 2,200 | 108 | ||||||
Potlatch Corp. | 2,753 | 112 | ||||||
ProLogis | 20,854 | 1,319 | ||||||
PS Business Parks, Inc. | 3,000 | 198 | ||||||
Public Storage, Inc. | 14,590 | 1,309 | ||||||
RAIT Investment Trust | 3,300 | 99 | ||||||
Ramco-Gershenson Properties | 1,400 | 46 | ||||||
Rayonier, Inc. | 2,388 | 98 | ||||||
Realogy Corp. * | 20,930 | 540 | ||||||
Realty Income Corp. | 4,600 | 121 | ||||||
Reckson Associates Realty Corp. | 5,300 | 234 | ||||||
Redwood Trust, Inc. | 2,500 | 137 | ||||||
Regency Centers Corp. | 5,700 | 411 | ||||||
Saul Centers, Inc. | 2,100 | 102 | ||||||
Saxon Capital, Inc. | 3,500 | 50 | ||||||
Senior Housing Properties Trust | 4,950 | 114 | ||||||
Shelbourne Properties I (b)* | 500 | 5 | ||||||
Shelbourne Properties III (b)* | 500 | 3 | ||||||
Simon Property Group, Inc. | 18,574 | 1,804 | ||||||
SL Green Realty Corp. (a) | 4,200 | 508 | ||||||
Sovran Self Storage, Inc. | 800 | 47 | ||||||
Sun Communities, Inc. | 3,000 | 105 | ||||||
Tanger Factory Outlet Centers, Inc. | 1,600 | 60 | ||||||
Taubman Centers, Inc. | 4,100 | 192 | ||||||
Tejon Ranch Co. * | 674 | 33 | ||||||
The Macerich Co. | 5,200 | 418 | ||||||
The Mills Corp. | 5,400 | 99 | ||||||
The St. Joe Co. (a) | 5,300 | 285 | ||||||
Thornburg Mortgage, Inc. (a) | 7,800 | 200 | ||||||
Trammell Crow Co. * | 2,800 | 136 | ||||||
Trustreet Properties, Inc. | 1,000 | 17 | ||||||
UMH Properties, Inc. | 1,600 | 26 | ||||||
United Dominion Realty Trust, Inc. | 9,400 | 304 | ||||||
Universal Health Realty Income | 900 | 35 | ||||||
Urstadt Biddle Properties, Inc. | 500 | 9 | ||||||
Urstadt Biddle Properties, Inc., Class A | 1,000 | 19 | ||||||
Ventas, Inc. | 5,800 | 226 | ||||||
Vornado Realty Trust | 10,500 | 1,252 | ||||||
Washington Real Estate Investment Trust (a) | 3,100 | 131 | ||||||
Weingarten Realty Investors | 7,975 | 371 | ||||||
Wellsford Real Properties, Inc. * | 1,400 | 9 | ||||||
33,851 | ||||||||
Retailing 4.0% | ||||||||
99 Cents Only Stores * | 3,066 | 37 | ||||||
Aaron Rents, Inc. | 3,750 | 93 | ||||||
Aaron Rents, Inc., Class A | 2,175 | 49 | ||||||
Abercrombie & Fitch Co., Class A | 5,800 | 445 | ||||||
Advance Auto Parts, Inc. | 9,540 | 334 | ||||||
Advanced Marketing Services, Inc. * | 2,400 | 7 | ||||||
Aeropostale, Inc. * | 4,400 | 129 | ||||||
Amazon.com, Inc. (a)* | 33,700 | 1,284 | ||||||
America’s Car-Mart, Inc. (a)* | 3,750 | 56 | ||||||
American Eagle Outfitters, Inc. | 12,100 | 554 | ||||||
AnnTaylor Stores Corp. * | 9,825 | 432 | ||||||
Asbury Automotive Group, Inc. | 4,100 | 98 | ||||||
Audiovox Corp., Class A * | 1,600 | 21 | ||||||
AutoNation, Inc. (a)* | 21,600 | 433 | ||||||
AutoZone, Inc. * | 6,100 | 683 | ||||||
Barnes & Noble, Inc. | 7,400 | 306 | ||||||
Bed, Bath & Beyond, Inc. * | 23,700 | 955 | ||||||
Best Buy Co., Inc. | 39,225 | 2,167 | ||||||
Big Lots, Inc. * | 11,100 | 234 | ||||||
Blockbuster, Inc., Class A * | 6,900 | 27 | ||||||
Borders Group, Inc. | 5,700 | 117 | ||||||
Building Material Holding Corp. (a) | 3,000 | 78 | ||||||
Cabela’s, Inc., Class A (a)* | 3,500 | 83 | ||||||
CarMax, Inc. * | 3,923 | 174 | ||||||
Charming Shoppes, Inc. * | 10,200 | 151 | ||||||
Chico’s FAS, Inc. * | 13,300 | 318 | ||||||
Christopher & Banks Corp. | 2,900 | 78 | ||||||
Circuit City Stores, Inc. | 16,500 | 445 | ||||||
Claire’s Stores, Inc. | 16,000 | 454 | ||||||
Coldwater Creek, Inc. * | 8,502 | 259 | ||||||
CSK Auto Corp. * | 3,500 | 55 | ||||||
Deb Shops, Inc. | 1,600 | 45 | ||||||
Dick’s Sporting Goods, Inc. * | 3,000 | 149 | ||||||
Dillard’s, Inc., Class A | 5,500 | 166 | ||||||
Dollar General Corp. | 27,775 | 390 | ||||||
Dollar Tree Stores, Inc. * | 8,650 | 269 | ||||||
Dress Barn, Inc. * | 6,000 | 130 | ||||||
Duckwall-ALCO Stores, Inc. * | 1,800 | 71 | ||||||
eBay, Inc. * | 110,848 | 3,562 | ||||||
Expedia, Inc. * | 31,345 | 509 | ||||||
Family Dollar Stores, Inc. | 12,700 | 374 | ||||||
Federated Department Stores, Inc. | 42,952 | 1,886 | ||||||
Finlay Enterprises, Inc. * | 1,000 | 7 | ||||||
Foot Locker, Inc. | 14,100 | 327 | ||||||
GameStop Corp., Class A (a)* | 1,524 | 78 | ||||||
Genesco, Inc. * | 4,300 | 162 | ||||||
Genuine Parts Co. | 13,500 | 614 | ||||||
Group 1 Automotive, Inc. | 1,400 | 80 | ||||||
Guess?, Inc. * | 2,700 | 154 | ||||||
Guitar Center, Inc. * | 1,700 | 74 | ||||||
Handleman Co. | 6,600 | 53 | ||||||
Hibbett Sporting Goods, Inc. * | 3,543 | 104 | ||||||
Hollywood Media Corp. * | 1,100 | 5 | ||||||
Home Depot, Inc. | 162,300 | 6,059 | ||||||
IAC/InterActiveCorp. * | 31,345 | 971 | ||||||
J.C. Penney Co., Inc. | 22,400 | 1,685 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Keystone Automotive Industries, Inc. * | 1,800 | 69 | ||||||
Kohl’s Corp. * | 28,300 | 1,998 | ||||||
Liberty Media Holding Corp. - Interactive * | 55,809 | 1,232 | ||||||
Limited Brands, Inc. | 31,520 | 929 | ||||||
Lithia Motors, Inc., Class A | 700 | 18 | ||||||
Lowe’s Cos., Inc. | 122,500 | 3,692 | ||||||
Midas, Inc. * | 1,300 | 27 | ||||||
Monro Muffler Brake, Inc. | 1,050 | 40 | ||||||
NetFlix, Inc. (a)* | 6,000 | 166 | ||||||
NexCen Brands, Inc. * | 1,100 | 7 | ||||||
Nordstrom, Inc. | 20,600 | 975 | ||||||
O’Reilly Automotive, Inc. * | 4,400 | 142 | ||||||
Office Depot, Inc. * | 26,000 | 1,092 | ||||||
OfficeMax, Inc. | 6,400 | 304 | ||||||
Pacific Sunwear of California, Inc. * | 7,475 | 132 | ||||||
Payless Shoesource, Inc. * | 5,906 | 158 | ||||||
PETsMART, Inc. | 11,100 | 319 | ||||||
Pomeroy IT Solutions, Inc. * | 2,100 | 18 | ||||||
Priceline.com, Inc. (a)* | 3,983 | 160 | ||||||
RadioShack Corp. (a) | 10,700 | 191 | ||||||
Rent-A-Center, Inc. * | 5,250 | 151 | ||||||
Rent-Way, Inc. (a)* | 3,200 | 34 | ||||||
REX Stores Corp. * | 1,875 | 31 | ||||||
Ross Stores, Inc. | 13,400 | 394 | ||||||
Saks, Inc. * | 10,800 | 209 | ||||||
Sears Holdings Corp. * | 12,885 | 2,248 | ||||||
Select Comfort Corp. (a)* | 4,500 | 96 | ||||||
Shoe Carnival, Inc. * | 1,200 | 34 | ||||||
Sonic Automotive, Inc. | 1,400 | 37 | ||||||
Source Interlink Cos., Inc. * | 5,000 | 45 | ||||||
Stage Stores, Inc. | 1,800 | 58 | ||||||
Staples, Inc. | 61,800 | 1,594 | ||||||
Stein Mart, Inc. | 3,800 | 62 | ||||||
Talbots, Inc. | 5,700 | 160 | ||||||
Target Corp. | 69,800 | 4,131 | ||||||
The Buckle, Inc. | 3,500 | 139 | ||||||
The Cato Corp., Class A | 4,300 | 98 | ||||||
The Children’s Place Retail Stores, Inc. * | 1,800 | 126 | ||||||
The Finish Line, Class A | 3,600 | 47 | ||||||
The Gap, Inc. | 73,900 | 1,553 | ||||||
The Gymboree Corp. * | 2,500 | 116 | ||||||
The Men’s Wearhouse, Inc. | 3,600 | 143 | ||||||
The Sherwin-Williams Co. | 13,000 | 770 | ||||||
The TJX Cos., Inc. | 40,400 | 1,170 | ||||||
Tiffany & Co. | 11,500 | 411 | ||||||
Tractor Supply Co. * | 4,000 | 194 | ||||||
Trans World Entertainment Corp. * | 1,500 | 10 | ||||||
Tuesday Morning Corp. (a) | 2,500 | 41 | ||||||
Tween Brands, Inc. * | 1,742 | 73 | ||||||
Tweeter Home Entertainment Group, Inc. * | 1,100 | 4 | ||||||
United Auto Group, Inc. | 2,000 | 46 | ||||||
Urban Outfitters, Inc. * | 12,800 | 224 | ||||||
ValueVision Media, Inc., Class A * | 1,400 | 18 | ||||||
Williams-Sonoma, Inc. | 9,200 | 313 | ||||||
Winmark Corp. * | 1,200 | 26 | ||||||
Zale Corp. * | 5,020 | 145 | ||||||
55,100 | ||||||||
Semiconductors & Semiconductor Equipment 2.6% | ||||||||
Actel Corp. * | 1,100 | 18 | ||||||
Advanced Energy Industries, Inc. * | 3,900 | 61 | ||||||
Advanced Micro Devices, Inc. (a)* | 34,200 | 727 | ||||||
Agere Systems, Inc. * | 15,011 | 255 | ||||||
Alliance Semiconductor Corp. * | 1,200 | 4 | ||||||
Altera Corp. * | 30,400 | 561 | ||||||
AMIS Holdings, Inc. * | 2,500 | 24 | ||||||
Amkor Technology, Inc. * | 14,400 | 99 | ||||||
Anadigics, Inc. * | 1,150 | 9 | ||||||
Analog Devices, Inc. | 30,200 | 961 | ||||||
Applied Materials, Inc. | 139,098 | 2,419 | ||||||
Applied Micro Circuits Corp. * | 25,238 | 77 | ||||||
Asyst Technologies, Inc. * | 1,700 | 13 | ||||||
Atmel Corp. * | 37,900 | 218 | ||||||
ATMI, Inc. * | 1,400 | 44 | ||||||
Axcelis Technologies, Inc. * | 7,044 | 49 | ||||||
AXT, Inc. (a)* | 800 | 4 | ||||||
Broadcom Corp., Class A * | 40,700 | 1,232 | ||||||
Brooks Automation, Inc. * | 5,585 | 79 | ||||||
Cabot Microelectronics Corp. * | 660 | 19 | ||||||
CEVA, Inc. * | 433 | 3 | ||||||
Cirrus Logic, Inc. * | 3,800 | 27 | ||||||
Cohu, Inc. | 1,100 | 22 | ||||||
Conexant Systems, Inc. * | 37,546 | 72 | ||||||
Credence Systems Corp. * | 1,700 | 5 | ||||||
Cree, Inc. (a)* | 6,000 | 132 | ||||||
Cymer, Inc. * | 4,200 | 195 | ||||||
Cypress Semiconductor Corp. (a)* | 8,500 | 143 | ||||||
Diodes, Inc. * | 4,275 | 188 | ||||||
DSP Group, Inc. * | 3,300 | 72 | ||||||
Electroglas, Inc. * | 900 | 3 | ||||||
EMCORE Corp. (a)* | 1,500 | 9 | ||||||
Entegris, Inc. * | 10,199 | 114 | ||||||
Exar Corp. * | 3,300 | 43 | ||||||
Fairchild Semiconductor International, Inc. * | 8,600 | 139 | ||||||
FEI Co. (a)* | 1,500 | 34 | ||||||
FormFactor, Inc. * | 2,500 | 95 | ||||||
Freescale Semiconductor, Inc., Class B * | 31,360 | 1,233 | ||||||
FSI International, Inc. * | 1,300 | 8 | ||||||
HI/FN, Inc. * | 800 | 4 | ||||||
Ibis Technology Corp. * | 800 | 2 | ||||||
Integrated Device Technology, Inc. * | 11,220 | 178 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Integrated Silicon Solutions, Inc. * | 3,400 | 18 | ||||||
Intel Corp. | 483,832 | 10,325 | ||||||
International Rectifier Corp. * | 6,600 | 237 | ||||||
Intersil Corp., Class A | 12,364 | 290 | ||||||
IXYS Corp. * | 900 | 9 | ||||||
KLA-Tencor Corp. | 15,000 | 738 | ||||||
Kopin Corp. * | 2,500 | 9 | ||||||
Kulicke & Soffa Industries, Inc. * | 4,400 | 40 | ||||||
Lam Research Corp. * | 11,600 | 574 | ||||||
Lattice Semiconductor Corp. * | 4,600 | 29 | ||||||
Linear Technology Corp. | 25,000 | 778 | ||||||
LSI Logic Corp. * | 29,964 | 301 | ||||||
LTX Corp. * | 1,900 | 9 | ||||||
Marvell Technology Group Ltd. * | 32,400 | 592 | ||||||
Mattson Technology, Inc. * | 4,100 | 40 | ||||||
Maxim Integrated Products, Inc. | 25,453 | 764 | ||||||
MEMC Electronic Materials, Inc. * | 16,300 | 579 | ||||||
Micrel, Inc. * | 6,800 | 76 | ||||||
Microchip Technology, Inc. | 16,475 | 543 | ||||||
Micron Technology, Inc. * | 52,699 | 761 | ||||||
Microsemi Corp. * | 7,652 | 150 | ||||||
MIPS Technologies, Inc. * | 1,100 | 8 | ||||||
MKS Instruments, Inc. * | 4,300 | 93 | ||||||
MoSys, Inc. * | 1,200 | 9 | ||||||
Nanometrics, Inc. * | 300 | 3 | ||||||
National Semiconductor Corp. | 29,200 | 709 | ||||||
Novellus Systems, Inc. * | 11,171 | 309 | ||||||
NVIDIA Corp. * | 28,000 | 976 | ||||||
OmniVision Technologies, Inc. (a)* | 4,800 | 79 | ||||||
ON Semiconductor Corp. * | 21,000 | 131 | ||||||
Pericom Semiconductor Corp. * | 600 | 6 | ||||||
Photronics, Inc. * | 3,900 | 55 | ||||||
Pixelworks, Inc. * | 4,100 | 9 | ||||||
PLX Technology, Inc. * | 1,300 | 16 | ||||||
PMC — Sierra, Inc. (a)* | 8,800 | 58 | ||||||
QuickLogic Corp. * | 900 | 3 | ||||||
Rambus, Inc. * | 8,200 | 136 | ||||||
RF Micro Devices, Inc. * | 13,700 | 100 | ||||||
Rudolph Technologies, Inc. * | 1,318 | 23 | ||||||
Semitool, Inc. * | 4,300 | 52 | ||||||
Semtech Corp. * | 6,000 | 78 | ||||||
Silicon Image, Inc. * | 6,500 | 77 | ||||||
Silicon Laboratories, Inc. * | 5,000 | 163 | ||||||
Silicon Storage Technology, Inc. * | 7,000 | 29 | ||||||
Sipex Corp. * | 1,600 | 6 | ||||||
SiRF Technology Holdings, Inc. (a)* | 3,500 | 98 | ||||||
Skyworks Solutions, Inc. * | 5,689 | 38 | ||||||
Standard Microsystems Corp. * | 3,600 | 111 | ||||||
Supertex, Inc. * | 1,400 | 62 | ||||||
Teradyne, Inc. * | 15,559 | 218 | ||||||
Tessera Technologies, Inc. * | 3,000 | 105 | ||||||
Texas Instruments, Inc. | 143,397 | 4,328 | ||||||
Three-Five Systems, Inc. * | 1,099 | — | ||||||
Transmeta Corp., Delaware * | 4,500 | 5 | ||||||
Transwitch Corp. * | 3,100 | 5 | ||||||
Trident Microsystems, Inc. * | 5,000 | 106 | ||||||
TriQuint Semiconductor, Inc. * | 5,310 | 24 | ||||||
Ultratech, Inc. * | 1,300 | 19 | ||||||
Varian Semiconductor Equipment Associates, Inc. * | 2,250 | 82 | ||||||
Veeco Instruments, Inc. * | 3,500 | 65 | ||||||
Virage Logic Corp. * | 1,400 | 13 | ||||||
Vitesse Semiconductor Corp. (a)* | 6,986 | 8 | ||||||
Xilinx, Inc. | 27,600 | 704 | ||||||
Zoran Corp. * | 4,261 | 59 | ||||||
35,634 | ||||||||
Software & Services 6.2% | ||||||||
Accenture Ltd., Class A | 72,000 | 2,370 | ||||||
Activision, Inc. * | 19,866 | 306 | ||||||
Actuate Corp. * | 2,300 | 12 | ||||||
Acxiom Corp. | 13,300 | 329 | ||||||
Adobe Systems, Inc. * | 46,210 | 1,768 | ||||||
Advent Software, Inc. * | 4,100 | 152 | ||||||
Affiliated Computer Services, Inc., Class A * | 9,900 | 529 | ||||||
Agile Software Corp. * | 4,400 | 30 | ||||||
Akamai Technologies, Inc. * | 12,138 | 569 | ||||||
Alliance Data Systems Corp. * | 6,600 | 401 | ||||||
Altiris, Inc. * | 2,500 | 56 | ||||||
Ansoft Corp. * | 4,600 | 123 | ||||||
Answerthink, Inc. * | 1,700 | 5 | ||||||
Ansys, Inc. * | 3,400 | 156 | ||||||
aQuantive, Inc. * | 6,000 | 163 | ||||||
Ariba, Inc. * | 5,270 | 40 | ||||||
ARTISTdirect, Inc. * | 1,000 | 3 | ||||||
Aspen Technology, Inc. * | 6,000 | 60 | ||||||
Autodesk, Inc. * | 16,800 | 617 | ||||||
Automatic Data Processing, Inc. | 48,100 | 2,378 | ||||||
BEA Systems, Inc. * | 30,400 | 495 | ||||||
BearingPoint, Inc. * | 7,100 | 59 | ||||||
Blackbaud, Inc. | 3,000 | 75 | ||||||
BMC Software, Inc. * | 19,000 | 576 | ||||||
Borland Software Corp. * | 3,000 | 17 | ||||||
Bottomline Technologies, Inc. * | 2,000 | 19 | ||||||
BroadVision, Inc. * | 1,090 | 1 | ||||||
CA, Inc. | 47,508 | 1,176 | ||||||
CACI International, Inc., Class A * | 2,100 | 121 | ||||||
Cadence Design Systems, Inc. * | 22,600 | 404 | ||||||
Captaris, Inc. * | 2,200 | 13 | ||||||
Carreker Corp. * | 3,700 | 27 | ||||||
Catapult Communications Corp. * | 1,600 | 14 | ||||||
Ceridian Corp. * | 19,500 | 460 | ||||||
CheckFree Corp. * | 7,900 | 312 | ||||||
Chordiant Software, Inc. * | 1,100 | 3 | ||||||
CIBER, Inc. * | 1,900 | 13 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Citrix Systems, Inc. * | 20,000 | 591 | ||||||
Clarent Corp. * | 1,545 | — | ||||||
CNET Networks, Inc. * | 9,983 | 89 | ||||||
Cognizant Technology Solutions Corp., Class A * | 10,600 | 798 | ||||||
Computer Sciences Corp. * | 16,238 | 858 | ||||||
Compuware Corp. * | 19,900 | 160 | ||||||
Convergys Corp. * | 10,500 | 223 | ||||||
Corillian Corp. * | 2,000 | 6 | ||||||
Covansys Corp. * | 5,000 | 117 | ||||||
CSG Systems International, Inc. * | 5,400 | 146 | ||||||
Digimarc Corp. * | 3,500 | 31 | ||||||
Digital Insight Corp. * | 2,300 | 71 | ||||||
Digital River, Inc. * | 2,100 | 122 | ||||||
Digitas, Inc. * | 6,800 | 72 | ||||||
Divine, Inc. * | 161 | — | ||||||
DST Systems, Inc. * | 8,100 | 501 | ||||||
Dynamics Research Corp. * | 1,200 | 12 | ||||||
EarthLink, Inc. * | 11,850 | 83 | ||||||
Edgewater Technology, Inc. * | 767 | 5 | ||||||
eFunds Corp. * | 5,002 | 124 | ||||||
Electronic Arts, Inc. * | 25,200 | 1,333 | ||||||
Electronic Data Systems Corp. | 42,100 | 1,066 | ||||||
eLoyalty Corp. * | 190 | 4 | ||||||
Embarcadero Technologies, Inc. * | 2,900 | 24 | ||||||
Entrust, Inc. * | 2,800 | 11 | ||||||
Epicor Software Corp. * | 4,000 | 56 | ||||||
EPIQ Systems, Inc. * | 550 | 8 | ||||||
Equinix, Inc. (a)* | 2,565 | 175 | ||||||
eSPEED, Inc., Class A * | 3,300 | 33 | ||||||
Euronet Worldwide, Inc. (a)* | 2,500 | 74 | ||||||
FactSet Research Systems, Inc. | 3,750 | 191 | ||||||
Fair Isaac Corp. | 7,744 | 284 | ||||||
FalconStor Software, Inc. * | 1,200 | 9 | ||||||
Fidelity National Information Services, Inc. | 9,050 | 376 | ||||||
First Data Corp. | 62,932 | 1,526 | ||||||
Firstwave Technologies, Inc. * | 1,000 | 2 | ||||||
Fiserv, Inc. * | 15,300 | 756 | ||||||
Forrester Research, Inc. * | 4,100 | 129 | ||||||
Gartner, Inc. * | 10,300 | 192 | ||||||
Global Payments, Inc. | 6,240 | 273 | ||||||
Google, Inc., Class A * | 22,900 | 10,909 | ||||||
GSE Systems, Inc. * | 424 | 1 | ||||||
Hewitt Associates, Inc., Class A * | 9,425 | 236 | ||||||
Hyperion Solutions Corp. * | 4,275 | 160 | ||||||
iBEAM Broadcasting Corp. * | 290 | — | ||||||
iGate Corp. * | 3,800 | 21 | ||||||
Informatica Corp. * | 6,700 | 83 | ||||||
Inforte Corp. * | 3,700 | 15 | ||||||
Infospace, Inc. * | 3,872 | 78 | ||||||
infoUSA, Inc. * | 4,800 | 53 | ||||||
Interactive Intelligence, Inc. * | 1,000 | 18 | ||||||
Intergraph Corp. * | 9,700 | 424 | ||||||
Internet Capital Group, Inc. * | 350 | 4 | ||||||
Intervoice, Inc. * | 1,678 | 10 | ||||||
Interwoven, Inc. * | 5,925 | 75 | ||||||
Intuit, Inc. * | 33,430 | 1,180 | ||||||
Iron Mountain, Inc. (a)* | 9,787 | 424 | ||||||
j2 Global Communications, Inc. (a)* | 4,000 | 110 | ||||||
Jack Henry & Associates, Inc. | 6,300 | 137 | ||||||
JDA Software Group, Inc. * | 4,500 | 66 | ||||||
Kana Software, Inc. * | 528 | 2 | ||||||
Kanbay International, Inc. * | 3,000 | 85 | ||||||
Keane, Inc. * | 3,960 | 46 | ||||||
Kronos, Inc. * | 1,875 | 64 | ||||||
Lawson Software, Inc. * | 8,000 | 61 | ||||||
Lightbridge, Inc. * | 4,700 | 54 | ||||||
LookSmart, Ltd. * | 480 | 2 | ||||||
Macrovision Corp. * | 3,100 | 83 | ||||||
Magma Design Automation, Inc. * | 1,700 | 16 | ||||||
Manhattan Associates, Inc. * | 1,300 | 38 | ||||||
ManTech International Corp., Class A * | 2,500 | 85 | ||||||
MapInfo Corp. * | 3,125 | 42 | ||||||
Mastercard, Inc. | 10,000 | 741 | ||||||
MAXIMUS, Inc. | 1,700 | 47 | ||||||
McAfee, Inc. * | 14,445 | 418 | ||||||
Mentor Graphics Corp. * | 5,700 | 96 | ||||||
MetaSolv, Inc. * | 2,800 | 11 | ||||||
Micros Systems, Inc. * | 11,000 | 546 | ||||||
Microsoft Corp. (c) | 800,850 | 22,992 | ||||||
MicroStrategy, Inc., Class A * | 856 | 102 | ||||||
Midway Games, Inc. (a)* | 5,600 | 48 | ||||||
Moldflow Corp. * | 300 | 4 | ||||||
MoneyGram International, Inc. | 7,500 | 257 | ||||||
MPS Group, Inc. * | 8,100 | 124 | ||||||
MSC.Software Corp. * | 1,800 | 24 | ||||||
Napster, Inc. * | 724 | 3 | ||||||
NAVTEQ Corp. * | 6,100 | 203 | ||||||
NetRatings, Inc. * | 3,000 | 52 | ||||||
NetScout Systems, Inc. * | 1,800 | 15 | ||||||
Novell, Inc. * | 25,600 | 154 | ||||||
Nuance Communications, Inc. * | 1,974 | 23 | ||||||
NYFIX, Inc. * | 750 | 4 | ||||||
Openwave Systems, Inc. * | 7,771 | 67 | ||||||
Opnet Technologies, Inc. * | 3,600 | 53 | ||||||
Opsware, Inc. * | 800 | 7 | ||||||
Oracle Corp. * | 434,449 | 8,024 | ||||||
Parametric Technology Corp. * | 8,680 | 170 | ||||||
Paychex, Inc. | 32,400 | 1,279 | ||||||
Perot Systems Corp., Class A * | 9,100 | 134 | ||||||
Phoenix Technologies Ltd. * | 1,300 | 6 | ||||||
PLATO Learning, Inc. * | 1,433 | 8 | ||||||
Progress Software Corp. * | 4,200 | 121 | ||||||
Quality Systems, Inc. * | 2,000 | 85 | ||||||
Quest Software, Inc. * | 7,700 | 113 | ||||||
Quovadx, Inc. * | 2,600 | 7 | ||||||
Radiant Systems, Inc. * | 3,800 | 42 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
RealNetworks, Inc. * | 13,300 | 146 | ||||||
Red Hat, Inc. * | 14,600 | 239 | ||||||
Renaissance Learning, Inc. (a) | 2,100 | 31 | ||||||
S1 Corp. * | 12,930 | 64 | ||||||
Saba Software, Inc. * | 1,349 | 8 | ||||||
Sabre Holdings Corp., Class A (a) | 12,401 | 315 | ||||||
Sagent Technology, Inc. * | 1,500 | — | ||||||
Salesforce.com, Inc. (a)* | 8,500 | 332 | ||||||
Sapient Corp. (a)* | 9,100 | 50 | ||||||
SAVVIS, Inc. * | 4,000 | 124 | ||||||
Secure Computing Corp. * | 3,200 | 23 | ||||||
Selectica, Inc. * | 1,900 | 4 | ||||||
Sonic Foundry, Inc. * | 600 | 2 | ||||||
SonicWALL, Inc. * | 7,400 | 78 | ||||||
SPSS, Inc. * | 3,200 | 89 | ||||||
SRA International, Inc., Class A * | 5,000 | 160 | ||||||
Startek, Inc. | 3,900 | 53 | ||||||
Stellent, Inc. | 3,600 | 40 | ||||||
SumTotal Systems, Inc. * | 463 | 3 | ||||||
SupportSoft, Inc. * | 4,800 | 25 | ||||||
Sybase, Inc. * | 19,036 | 464 | ||||||
Symantec Corp. * | 93,673 | 1,858 | ||||||
Synopsys, Inc. * | 13,684 | 308 | ||||||
Synplicity, Inc. * | 1,200 | 8 | ||||||
Syntel, Inc. | 2,500 | 63 | ||||||
Take-Two Interactive Software, Inc. * | 6,000 | 84 | ||||||
Talx Corp. | 3,825 | 93 | ||||||
TeleCommunication Systems, Inc., Class A * | 1,300 | 4 | ||||||
The BISYS Group, Inc. * | 9,000 | 99 | ||||||
THQ, Inc. * | 2,925 | 88 | ||||||
TIBCO Software, Inc. * | 16,000 | 148 | ||||||
Tier Technologies, Inc., Class B * | 500 | 3 | ||||||
Total System Services, Inc. | 16,300 | 393 | ||||||
Transaction Systems Architects, Inc., Class A * | 5,200 | 175 | ||||||
Troy Group, Inc. * | 2,000 | 8 | ||||||
Tumbleweed Communications Corp. * | 2,000 | 5 | ||||||
Ulticom, Inc. * | 4,800 | 48 | ||||||
Unisys Corp. * | 27,600 | 181 | ||||||
United Online, Inc. | 6,150 | 83 | ||||||
USinternetworking, Inc. * | 1,100 | — | ||||||
VA Software Corp. * | 4,527 | 18 | ||||||
ValueClick, Inc. * | 8,500 | 160 | ||||||
VeriFone Holdings, Inc. * | 1,500 | 44 | ||||||
Verint Systems, Inc. * | 2,500 | 82 | ||||||
VeriSign, Inc. * | 20,875 | 432 | ||||||
Vignette Corp. * | 3,394 | 55 | ||||||
Vitria Technology, Inc. * | 925 | 2 | ||||||
Web.com, Inc. * | 510 | 2 | ||||||
WebEx Communications, Inc. * | 4,500 | 173 | ||||||
webMethods, Inc. * | 4,421 | 33 | ||||||
Websense, Inc. * | 5,000 | 137 | ||||||
Wind River Systems, Inc. * | 6,760 | 74 | ||||||
Witness Systems, Inc. * | 2,100 | 37 | ||||||
Yahoo! Inc. * | 111,144 | 2,928 | ||||||
85,021 | ||||||||
Technology Hardware & Equipment 6.1% | ||||||||
3Com Corp. * | 17,900 | 87 | ||||||
Adaptec, Inc. * | 5,700 | 26 | ||||||
ADC Telecommunications, Inc. * | 4,031 | 58 | ||||||
ADTRAN, Inc. | 7,000 | 162 | ||||||
Aeroflex, Inc. * | 5,400 | 58 | ||||||
Agilent Technologies, Inc. * | 39,317 | 1,400 | ||||||
Agilysys, Inc. | 1,600 | 24 | ||||||
American Technical Ceramics Corp. * | 500 | 7 | ||||||
Amphenol Corp., Class A | 8,800 | 598 | ||||||
Anaren, Inc. * | 3,300 | 66 | ||||||
Andrew Corp. * | 13,425 | 124 | ||||||
Anixter International, Inc. * | 3,300 | 197 | ||||||
Apple Computer, Inc. * | 65,000 | 5,270 | ||||||
Arris Group, Inc. * | 2,600 | 35 | ||||||
Arrow Electronics, Inc. * | 12,000 | 358 | ||||||
Avanex Corp. * | 2,100 | 3 | ||||||
Avaya, Inc. * | 37,885 | 485 | ||||||
Avici Systems, Inc. * | 375 | 3 | ||||||
Avid Technology, Inc. * | 3,756 | 136 | ||||||
Avnet, Inc. * | 11,288 | 267 | ||||||
Avocent Corp. * | 3,963 | 145 | ||||||
AVX Corp. | 14,000 | 221 | ||||||
Aware, Inc. * | 1,100 | 5 | ||||||
Bel Fuse, Inc. | 1,200 | 37 | ||||||
Bell Microproducts, Inc. * | 1,000 | 7 | ||||||
Benchmark Electronics, Inc. * | 4,575 | 121 | ||||||
Black Box Corp. | 1,700 | 76 | ||||||
Blue Coat Systems, Inc. * | 340 | 8 | ||||||
Brightpoint, Inc. * | 4,454 | 54 | ||||||
Brocade Communications Systems, Inc. * | 21,000 | 170 | ||||||
C-COR, Inc. * | 3,100 | 31 | ||||||
CalAmp Corp. * | 1,000 | 7 | ||||||
CDW Corp. | 6,800 | 447 | ||||||
Checkpoint Systems, Inc. * | 4,600 | 84 | ||||||
Ciena Corp. * | 2,470 | 58 | ||||||
Cisco Systems, Inc. * | 511,909 | 12,352 | ||||||
Cogent, Inc. * | 5,000 | 57 | ||||||
Cognex Corp. | 2,900 | 67 | ||||||
Cognitronics Corp. * | 2,600 | 5 | ||||||
Coherent, Inc. * | 1,300 | 42 | ||||||
Com21, Inc. * | 1,400 | — | ||||||
Comarco, Inc. * | 500 | 5 | ||||||
CommScope, Inc. * | 4,900 | 156 | ||||||
Comtech Telecommunications Corp. * | 2,175 | 78 | ||||||
Comverse Technology, Inc. * | 13,400 | 292 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Corning, Inc. * | 121,807 | 2,489 | ||||||
CoSine Communications, Inc. * | 730 | 2 | ||||||
CTS Corp. | 5,800 | 82 | ||||||
Daktronics, Inc. | 5,200 | 123 | ||||||
DDi Corp. * | 1 | — | ||||||
Dell, Inc. * | 178,900 | 4,353 | ||||||
Diebold, Inc. | 5,300 | 232 | ||||||
Ditech Networks, Inc. * | 4,100 | 32 | ||||||
Echelon Corp. (a)* | 3,700 | 31 | ||||||
Electro Scientific Industries, Inc. * | 1,300 | 26 | ||||||
Electronics for Imaging, Inc. * | 3,400 | 80 | ||||||
EMC Corp. * | 199,686 | 2,446 | ||||||
EMS Technologies, Inc. * | 1,000 | 18 | ||||||
Emulex Corp. * | 5,900 | 111 | ||||||
Excel Technology, Inc. * | 600 | 15 | ||||||
Extreme Networks, Inc. * | 4,500 | 17 | ||||||
F5 Networks, Inc. * | 3,300 | 218 | ||||||
Finisar Corp. (a)* | 7,900 | 27 | ||||||
FLIR Systems, Inc. * | 4,800 | 153 | ||||||
Foundry Networks, Inc. * | 9,300 | 118 | ||||||
Frequency Electronics, Inc. | 500 | 7 | ||||||
Gateway, Inc. * | 11,800 | 20 | ||||||
Gerber Scientific, Inc. * | 1,900 | 28 | ||||||
Glenayre Technologies, Inc. * | 2,300 | 6 | ||||||
Global Imaging Systems, Inc. * | 4,200 | 91 | ||||||
Harmonic, Inc. * | 6,342 | 51 | ||||||
Harris Corp. | 14,000 | 596 | ||||||
Hewlett-Packard Co. | 239,636 | 9,283 | ||||||
Hutchinson Technology, Inc. * | 2,500 | 58 | ||||||
I.D. Systems, Inc. * | 3,000 | 63 | ||||||
Imation Corp. | 2,000 | 92 | ||||||
Immersion Corp. * | 800 | 5 | ||||||
InFocus Corp. * | 1,600 | 5 | ||||||
Ingram Micro, Inc., Class A * | 13,400 | 276 | ||||||
Insight Enterprises, Inc. * | 4,650 | 100 | ||||||
Intelli-Check, Inc. * | 500 | 3 | ||||||
Inter-Tel, Inc. | 6,000 | 124 | ||||||
InterDigital Communications Corp. * | 4,500 | 161 | ||||||
Intermec, Inc. * | 5,600 | 127 | ||||||
International Business Machines Corp. | 131,510 | 12,142 | ||||||
Iomega Corp. * | 12,400 | 51 | ||||||
Itron, Inc. * | 2,500 | 136 | ||||||
Ixia * | 5,200 | 48 | ||||||
Jabil Circuit, Inc. | 15,400 | 442 | ||||||
JDS Uniphase Corp. * | 14,053 | 204 | ||||||
Juniper Networks, Inc. * | 40,565 | 699 | ||||||
Keithley Instruments, Inc. | 3,200 | 44 | ||||||
Kemet Corp. * | 6,700 | 49 | ||||||
L-1 Identity Solutions, Inc. * | 756 | 11 | ||||||
LaserCard Corp. * | 1,000 | 11 | ||||||
LeCroy Corp. * | 900 | 11 | ||||||
Lexmark International, Inc., Class A * | 10,900 | 693 | ||||||
Lightpath Technologies, Inc. * | 75 | — | ||||||
Littelfuse, Inc. * | 2,000 | 68 | ||||||
Lucent Technologies, Inc. * | 301,923 | 734 | ||||||
MasTec, Inc. * | 5,350 | 59 | ||||||
Maxwell Technologies, Inc. * | 1,000 | 18 | ||||||
McData Corp., Class A * | 4,047 | 23 | ||||||
Measurement Specialties, Inc. * | 700 | 15 | ||||||
Mechanical Technology, Inc. * | 1,800 | 3 | ||||||
Mercury Computer Systems, Inc. * | 3,600 | 44 | ||||||
Merix Corp. * | 3,700 | 33 | ||||||
Methode Electronics, Inc. | 3,600 | 40 | ||||||
MOCON, Inc. | 600 | 6 | ||||||
Molex, Inc. | 16,125 | 563 | ||||||
Motorola, Inc. | 195,955 | 4,519 | ||||||
MRV Communications, Inc. (a)* | 4,307 | 15 | ||||||
MTS Systems Corp. | 4,500 | 150 | ||||||
Multi-Fineline Electronix, Inc. (a)* | 2,500 | 60 | ||||||
National Instruments Corp. | 5,675 | 177 | ||||||
NCR Corp. * | 23,800 | 988 | ||||||
Network Appliance, Inc. * | 27,500 | 1,004 | ||||||
Network Equipment Technologies, Inc. * | 5,000 | 28 | ||||||
Newport Corp. * | 4,200 | 91 | ||||||
NMS Communications Corp. * | 1,500 | 3 | ||||||
Oplink Communications, Inc. * | 657 | 13 | ||||||
OSI Systems, Inc. * | 3,700 | 77 | ||||||
OYO Geospace Corp. * | 300 | 17 | ||||||
Packeteer, Inc. * | 3,600 | 40 | ||||||
Palm, Inc. (a)* | 3,138 | 48 | ||||||
Park Electrochemical Corp. | 3,600 | 111 | ||||||
Parkervision, Inc. * | 400 | 4 | ||||||
Paxar Corp. * | 2,300 | 46 | ||||||
PC Connection, Inc. * | 3,000 | 33 | ||||||
PC-Tel, Inc. * | 1,400 | 15 | ||||||
Pemstar, Inc. (a)* | 1,600 | 7 | ||||||
Performance Technologies, Inc. * | 1,600 | 9 | ||||||
Photon Dynamics, Inc. * | 3,400 | 40 | ||||||
Planar Systems, Inc. * | 3,700 | 45 | ||||||
Plantronics, Inc. (a) | 4,000 | 84 | ||||||
Plexus Corp. * | 3,700 | 81 | ||||||
Polycom, Inc. * | 9,200 | 252 | ||||||
Powerwave Technologies, Inc. (a)* | 3,583 | 23 | ||||||
Presstek, Inc. * | 1,100 | 7 | ||||||
Printronix, Inc. | 2,400 | 29 | ||||||
QLogic Corp. * | 17,044 | 351 | ||||||
QUALCOMM, Inc. | 135,100 | 4,916 | ||||||
Quantum Corp. * | 5,500 | 12 | ||||||
Radisys Corp. * | 3,700 | 68 | ||||||
Redback Networks, Inc. * | 8,076 | 128 | ||||||
Research Frontiers, Inc. * | 800 | 5 | ||||||
Richardson Electronics, Ltd. | 1,300 | 12 | ||||||
Rofin-Sinar Technologies, Inc. * | 1,900 | 117 | ||||||
Rogers Corp. * | 2,500 | 175 | ||||||
SafeNet, Inc. * | 2,770 | 59 | ||||||
SanDisk Corp. * | 11,000 | 529 | ||||||
Sanmina — SCI Corp. * | 41,316 | 163 | ||||||
ScanSource, Inc. * | 1,200 | 38 | ||||||
SCM Microsystems, Inc. * | 1,200 | 4 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Seachange International, Inc. * | 3,350 | 28 | ||||||
Seagate Technology | 37,066 | 837 | ||||||
Sirenza Microdevices, Inc. * | 1,300 | 10 | ||||||
Solectron Corp. * | 81,520 | 272 | ||||||
Sonus Networks, Inc. (a)* | 19,400 | 101 | ||||||
Spectralink Corp. | 1,000 | 9 | ||||||
Stratasys, Inc. (a)* | 1,350 | 38 | ||||||
Stratex Networks, Inc. * | 2,800 | 13 | ||||||
Sun Microsystems, Inc. * | 248,230 | 1,348 | ||||||
SunPower Corp., Class A (a)* | 1,300 | 44 | ||||||
Sycamore Networks, Inc. * | 18,200 | 68 | ||||||
Symbol Technologies, Inc. | 19,690 | 294 | ||||||
Symmetricom, Inc. * | 8,450 | 72 | ||||||
Synaptics, Inc. * | 3,500 | 99 | ||||||
Tech Data Corp. * | 5,300 | 209 | ||||||
Technitrol, Inc. | 4,000 | 101 | ||||||
Tekelec * | 8,700 | 128 | ||||||
Tektronix, Inc. | 9,202 | 279 | ||||||
Tellabs, Inc. * | 34,564 | 364 | ||||||
TESSCO Technologies, Inc. * | 900 | 29 | ||||||
Tollgrade Communications, Inc. * | 3,600 | 30 | ||||||
Trimble Navigation Ltd. * | 5,700 | 263 | ||||||
TTM Technologies, Inc. * | 4,400 | 53 | ||||||
UTStarcom, Inc. (a)* | 9,500 | 102 | ||||||
Vertel Corp. * | 900 | — | ||||||
ViaSat, Inc. * | 3,500 | 95 | ||||||
Vishay Intertechnology, Inc. * | 36,688 | 495 | ||||||
Westell Technologies, Inc., Class A * | 2,560 | 6 | ||||||
Western Digital Corp. * | 15,700 | 287 | ||||||
WJ Communications, Inc. * | 2,300 | 5 | ||||||
Xerox Corp. * | 69,700 | 1,185 | ||||||
Xybernaut Corp. * | 1,400 | — | ||||||
Zebra Technologies Corp., Class A * | 6,375 | 238 | ||||||
Zygo Corp. * | 500 | 9 | ||||||
83,409 | ||||||||
Telecommunication Services 3.0% | ||||||||
@Road, Inc. * | 4,400 | 28 | ||||||
ALLTEL Corp. | 30,587 | 1,631 | ||||||
American Tower Corp., Class A * | 33,800 | 1,218 | ||||||
AT&T Corp. | 318,806 | 10,919 | ||||||
AT&T Latin America Corp., Class A * | 2,100 | — | ||||||
Atlantic Tele-Network, Inc. | 3,250 | 63 | ||||||
BellSouth Corp. | 151,887 | 6,850 | ||||||
Centennial Communications Corp. * | 8,000 | 41 | ||||||
CenturyTel, Inc. | 10,500 | 423 | ||||||
Cincinnati Bell, Inc. * | 18,568 | 87 | ||||||
Citizens Communications Co. | 24,900 | 365 | ||||||
ClearOne Communications, Inc. * | 107 | — | ||||||
Commonwealth Telephone Enterprises, Inc. | 9,400 | 394 | ||||||
Covad Communications Group, Inc. * | 7,000 | 9 | ||||||
Crown Castle International Corp. * | 20,900 | 703 | ||||||
CT Communications, Inc. | 4,500 | 105 | ||||||
D&E Communications, Inc. | 3,500 | 49 | ||||||
Dobson Communications Corp., Class A * | 13,300 | 103 | ||||||
Embarq Corp. | 11,576 | 560 | ||||||
HickoryTech Corp. | 4,600 | 33 | ||||||
IDT Corp., Class B * | 7,600 | 99 | ||||||
Leap Wireless International, Inc. * | 1,800 | 100 | ||||||
Level 3 Communications, Inc. (a)* | 93,000 | 492 | ||||||
Lynch Interactive Corp. * | 9 | 26 | ||||||
Moscow CableCom Corp. * | 1,400 | 14 | ||||||
NII Holdings, Inc. * | 1,900 | 124 | ||||||
North Pittsburgh Systems, Inc. | 3,500 | 92 | ||||||
Qwest Communications International, Inc. * | 151,337 | 1,306 | ||||||
Rural Cellular Corp. * | 1,200 | 13 | ||||||
SBA Communications Corp. * | 9,300 | 248 | ||||||
Sprint Nextel Corp. | 234,030 | 4,374 | ||||||
TALK America Holdings, Inc. (a)* | 5,000 | 40 | ||||||
Telephone & Data Systems, Inc. | 5,100 | 249 | ||||||
Time Warner Telecom, Inc., Class A * | 9,000 | 179 | ||||||
U.S. Cellular Corp. * | 6,100 | 387 | ||||||
U.S. Wireless Corp. * | 400 | — | ||||||
Verizon Communications, Inc. | 247,572 | 9,160 | ||||||
Warwick Valley Telephone Co. | 1,100 | 22 | ||||||
Windstream Corp. | 31,624 | 434 | ||||||
Wireless Facilities, Inc. * | 1,800 | 4 | ||||||
40,944 | ||||||||
Transportation 1.8% | ||||||||
AirTran Holdings, Inc. * | 5,800 | 58 | ||||||
Alaska Air Group, Inc. * | 1,900 | 76 | ||||||
Alexander & Baldwin, Inc. | 3,400 | 157 | ||||||
Amerco, Inc. * | 900 | 83 | ||||||
AMR Corp. (a)* | 17,000 | 482 | ||||||
Arkansas Best Corp. | 1,100 | 45 | ||||||
Avis Budget Group, Inc. | 8,372 | 166 | ||||||
Burlington Northern Santa Fe Corp. | 30,300 | 2,349 | ||||||
C.H. Robinson Worldwide, Inc. | 15,000 | 626 | ||||||
Con-way, Inc. | 4,500 | 212 | ||||||
Continental Airlines, Inc., Class B (a)* | 7,500 | 277 | ||||||
CSX Corp. | 34,200 | 1,220 | ||||||
Dollar Thrifty Automotive Group, Inc. * | 3,500 | 141 | ||||||
EGL, Inc. * | 3,500 | 119 | ||||||
Expeditors International of Washington, Inc. | 16,200 | 768 | ||||||
ExpressJet Holdings, Inc. * | 3,000 | 24 | ||||||
FedEx Corp. | 24,063 | 2,756 | ||||||
Florida East Coast Industries, Class A | 3,600 | 215 | ||||||
Forward Air Corp. | 2,600 | 84 | ||||||
Heartland Express, Inc. | 8,941 | 146 | ||||||
Hub Group, Inc., Class A * | 1,400 | 38 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Interpool, Inc. | 1,200 | 29 | ||||||
J.B. Hunt Transport Services, Inc. | 13,000 | 281 | ||||||
JetBlue Airways Corp. (a)* | 11,962 | 150 | ||||||
Kansas City Southern * | 5,050 | 143 | ||||||
Kirby Corp. * | 5,600 | 196 | ||||||
Knight Transportation, Inc. | 4,050 | 74 | ||||||
Laidlaw International, Inc. | 8,200 | 238 | ||||||
Landstar Systems, Inc. | 15,200 | 706 | ||||||
MAIR Holdings, Inc. * | 1,100 | 6 | ||||||
Mesa Air Group, Inc. * | 3,800 | 34 | ||||||
Norfolk Southern Corp. | 32,000 | 1,682 | ||||||
Northwest Airlines Corp. * | 6,500 | 5 | ||||||
Old Dominion Freight Line * | 4,050 | 112 | ||||||
Pacer International, Inc. | 2,800 | 86 | ||||||
Park-Ohio Holdings Corp. * | 2,600 | 36 | ||||||
Ryder System, Inc. | 6,400 | 337 | ||||||
Saia, Inc. * | 1,100 | 29 | ||||||
SkyWest, Inc. | 4,000 | 107 | ||||||
Southwest Airlines Co. | 64,125 | 964 | ||||||
Swift Transportation Co., Inc. * | 5,970 | 150 | ||||||
UAL Corp. * | 5,600 | 201 | ||||||
Union Pacific Corp. | 22,000 | 1,994 | ||||||
United Parcel Service, Inc., Class B | 91,480 | 6,893 | ||||||
US Airways Group, Inc. * | 5,900 | 294 | ||||||
UTI Worldwide, Inc. | 4,300 | 111 | ||||||
Werner Enterprises, Inc. | 5,832 | 107 | ||||||
YRC Worldwide, Inc. * | 5,004 | 194 | ||||||
25,201 | ||||||||
Utilities 3.4% | ||||||||
AGL Resources, Inc. | 4,300 | 161 | ||||||
Allegheny Energy, Inc. * | 11,900 | 512 | ||||||
Allete, Inc. | 2,733 | 123 | ||||||
Alliant Energy Corp. | 9,300 | 357 | ||||||
Ameren Corp. (a) | 15,100 | 817 | ||||||
American Electric Power Co., Inc. | 33,820 | 1,401 | ||||||
Aqua America, Inc. (a) | 4,894 | 119 | ||||||
Aquila, Inc. * | 29,400 | 135 | ||||||
Atmos Energy Corp. | 6,700 | 206 | ||||||
Avista Corp. | 3,800 | 98 | ||||||
Black Hills Corp. | 1,400 | 48 | ||||||
CenterPoint Energy, Inc. (a) | 26,100 | 404 | ||||||
Central Vermont Public Service Corp. | 2,700 | 61 | ||||||
CH Energy Group, Inc. | 1,900 | 99 | ||||||
Cleco Corp. | 3,400 | 87 | ||||||
CMS Energy Corp. * | 17,400 | 259 | ||||||
Consolidated Edison, Inc. | 17,000 | 822 | ||||||
Constellation Energy Group, Inc. | 15,500 | 967 | ||||||
Dominion Resources, Inc. | 26,610 | 2,155 | ||||||
DPL, Inc. | 11,452 | 329 | ||||||
DTE Energy Co. (a) | 13,801 | 627 | ||||||
Duke Energy Corp. | 100,356 | 3,175 | ||||||
Duquesne Light Holdings, Inc. | 6,100 | 121 | ||||||
Dynegy, Inc., Class A * | 38,700 | 235 | ||||||
Edison International | 37,710 | 1,676 | ||||||
El Paso Electric Co. * | 2,800 | 65 | ||||||
Energen Corp. | 5,200 | 223 | ||||||
Energy East Corp. | 12,214 | 297 | ||||||
Entergy Corp. | 15,700 | 1,347 | ||||||
Equitable Resources, Inc. | 8,800 | 357 | ||||||
Exelon Corp. | 54,474 | 3,376 | ||||||
FirstEnergy Corp. | 28,217 | 1,661 | ||||||
Florida Public Utilites Co. | 1,599 | 22 | ||||||
FPL Group, Inc. (a) | 29,400 | 1,499 | ||||||
Great Plains Energy, Inc. | 6,500 | 211 | ||||||
Green Mountain Power Corp. | 3,800 | 128 | ||||||
Hawaiian Electric Industries, Inc. | 7,700 | 216 | ||||||
Idacorp, Inc. | 4,200 | 166 | ||||||
KeySpan Corp. | 13,400 | 544 | ||||||
MDU Resources Group, Inc. | 16,425 | 422 | ||||||
Mirant Corp. * | 17,700 | 523 | ||||||
National Fuel Gas Co. | 5,800 | 217 | ||||||
New Jersey Resources Corp. | 1,650 | 85 | ||||||
Nicor, Inc. | 3,000 | 138 | ||||||
NiSource, Inc. | 22,864 | 532 | ||||||
Northeast Utilities | 10,124 | 253 | ||||||
Northwest Natural Gas Co. | 2,700 | 112 | ||||||
NRG Energy, Inc. (a)* | 7,000 | 337 | ||||||
NSTAR | 7,734 | 269 | ||||||
OGE Energy Corp. | 6,500 | 251 | ||||||
Oneok, Inc. | 9,900 | 412 | ||||||
Ormat Technologies, Inc. | 2,800 | 107 | ||||||
Otter Tail Corp. | 1,100 | 33 | ||||||
Peoples Energy Corp. | 3,200 | 140 | ||||||
Pepco Holdings, Inc. | 14,000 | 356 | ||||||
PG&E Corp. | 29,900 | 1,290 | ||||||
Piedmont Natural Gas Co., Inc. (a) | 3,200 | 86 | ||||||
Pinnacle West Capital Corp. | 6,800 | 325 | ||||||
PNM Resources, Inc. | 5,500 | 155 | ||||||
PPL Corp. | 30,000 | 1,036 | ||||||
Progress Energy, Inc. (a) | 21,159 | 973 | ||||||
Public Service Enterprise Group, Inc. | 19,000 | 1,160 | ||||||
Puget Energy, Inc. | 7,500 | 179 | ||||||
Questar Corp. | 8,100 | 660 | ||||||
Reliant Energy, Inc. (a)* | 25,125 | 319 | ||||||
SCANA Corp. | 7,905 | 316 | ||||||
Sempra Energy | 19,175 | 1,017 | ||||||
Sierra Pacific Resources * | 4,476 | 68 | ||||||
Southern Union Co. | 6,074 | 168 | ||||||
Southwest Gas Corp. | 3,600 | 129 | ||||||
TECO Energy, Inc. | 15,700 | 259 | ||||||
The AES Corp. * | 52,596 | 1,157 | ||||||
The Laclede Group, Inc. | 3,300 | 118 | ||||||
The Southern Co. | 58,600 | 2,133 | ||||||
TXU Corp. | 52,800 | 3,333 | ||||||
UGI Corp. | 8,200 | 217 | ||||||
UIL Holdings Corp. | 3,166 | 126 | ||||||
Unisource Energy Corp. | 3,800 | 135 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Unitil Corp. | 600 | 15 | ||||||
Vectren Corp. | 5,766 | 167 | ||||||
Westar Energy, Inc. | 8,200 | 208 | ||||||
WGL Holdings, Inc. | 3,000 | 97 | ||||||
Wisconsin Energy Corp. | 11,400 | 524 | ||||||
WPS Resources Corp. | 2,400 | 128 | ||||||
Xcel Energy, Inc. | 34,195 | 755 | ||||||
46,546 | ||||||||
Foreign Common Stock 0.1% of net assets | ||||||||
Cayman Islands 0.1% | ||||||||
Energy 0.1% | ||||||||
GlobalSantaFe Corp. | 19,155 | 994 | ||||||
Preferred Stock 0.0% of net assets | ||||||||
Real Estate 0.0% | ||||||||
Simon Property Group, Inc. | 1,200 | 94 |
Security | Face Amount | Value | ||||||
Rate, Maturity Date | ($ x 1,000) | ($ x 1,000) | ||||||
U.S. Treasury Obligation 0.0% of net assets | ||||||||
U.S. Treasury Bill 4.90%, 12/14/06 | 310 | 308 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Rights 0.0% of net assets | ||||||||
OSI Pharmaceuticals, Inc. * | 1,640 | -- | ||||||
End of Investments. | ||||||||
Collateral Invested for Securities on Loan 3.9% of net assets | ||||||||
State Street Navigator Security Lending Prime Portfolio | 52,763,359 | 52,763 | ||||||
End of collateral invested for securities on loan. |
Number of | Contract | Unrealized | ||||||||||
Contracts | Value | Gains | ||||||||||
Futures Contracts | ||||||||||||
Russell 2000 Index, e-mini, Long expires 12/31/06 | 10 | 771 | 56 | |||||||||
S&P 500 Index, e-mini, Long, expires 12/15/06 | 10 | 692 | 36 | |||||||||
92 |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. | |
(b) | Fair-valued by Management. | |
(c) | All or a portion of this security is held as collateral for open futures contracts. | |
(d) | Issuer is affiliated with the fund’s adviser. | |
(e) | Bankrupt security/delisted. |
Table of Contents
Cost | Value | |||||||||||
Holdings by Category | ($ x 1,000) | ($ x 1,000) | ||||||||||
99.4 | % | Foreign Common Stock | 967,386 | 1,649,642 | ||||||||
0.3 | % | Short-Term Investment | 4,182 | 4,182 | ||||||||
99.7 | % | Total Investments | 971,568 | 1,653,824 | ||||||||
5.8 | % | Collateral Invested for Securities on Loan | 96,480 | 96,480 | ||||||||
(5.5) | % | Other Assets and Liabilities, Net | (91,025 | ) | ||||||||
100.0 | % | Total Net Assets | 1,659,279 |
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Foreign Common Stock 99.4% of net assets | ||||||||
Australia 4.3% | ||||||||
Banks 1.7% | ||||||||
Australia and New Zealand Banking Group Ltd. | 275,227 | 6,164 | ||||||
Commonwealth Bank of Australia | 208,546 | 7,695 | ||||||
National Australia Bank Ltd. | 251,679 | 7,420 | ||||||
St. George Bank Ltd. (a) | 79,285 | 1,986 | ||||||
Westpac Banking Corp. | 298,794 | 5,539 | ||||||
28,804 | ||||||||
Capital Goods 0.1% | ||||||||
Wesfarmers Ltd. | 59,508 | 1,590 | ||||||
Diversified Financials 0.2% | �� | |||||||
Macquarie Bank Ltd. | 36,389 | 2,098 | ||||||
Suncorp.-Metway Ltd. (a) | 94,261 | 1,517 | ||||||
3,615 | ||||||||
Energy 0.1% | ||||||||
Woodside Petroleum Ltd. | 70,492 | 2,071 | ||||||
Food & Staples Retailing 0.3% | ||||||||
Coles Myer Ltd. | 185,781 | 1,953 | ||||||
Woolworths Ltd. | 186,347 | 2,984 | ||||||
4,937 | ||||||||
Food, Beverage & Tobacco 0.1% | ||||||||
Foster’s Group Ltd. | 310,703 | 1,552 | ||||||
Insurance 0.3% | ||||||||
AMP Ltd. | 283,951 | 2,085 | ||||||
QBE Insurance Group Ltd. | 128,017 | 2,446 | ||||||
4,531 | ||||||||
Materials 1.1% | ||||||||
BHP Billiton Ltd. | 582,860 | 12,406 | ||||||
Rinker Group Ltd. | 152,818 | 2,187 | ||||||
Rio Tinto Ltd. (a) | 44,243 | 2,690 | ||||||
17,283 | ||||||||
Real Estate 0.2% | ||||||||
Westfield Group | 250,650 | 3,615 | ||||||
Telecommunication Services 0.2% | ||||||||
Telstra Corp., Ltd. (a) | 956,807 | 2,938 | ||||||
70,936 | ||||||||
Austria 0.2% | ||||||||
Banks 0.1% | ||||||||
Erste Bank der Oesterreichischen Sparkassen AG | 33,336 | 2,268 | ||||||
Energy 0.1% | ||||||||
OMV AG | 24,905 | 1,353 | ||||||
3,621 | ||||||||
Belgium 1.3% | ||||||||
Banks 0.4% | ||||||||
Dexia | 116,326 | 3,138 | ||||||
KBC GROEP NV | 32,914 | 3,594 | ||||||
6,732 | ||||||||
Diversified Financials 0.5% | ||||||||
Fortis | 205,652 | 8,624 | ||||||
Food, Beverage & Tobacco 0.1% | ||||||||
InBev NV * | 33,347 | 1,877 | ||||||
Materials 0.1% | ||||||||
Solvay SA | 11,315 | 1,466 | ||||||
Utilities 0.2% | ||||||||
Electrabel SA | 3,678 | 2,217 | ||||||
20,916 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Canada 6.7% | ||||||||
Automobiles & Components 0.1% | ||||||||
Magna International, Inc., Class A (a) | 16,790 | 1,257 | ||||||
Banks 2.0% | ||||||||
Bank of Montreal (a) | 82,275 | 5,088 | ||||||
Bank of Nova Scotia (a) | 151,680 | 6,659 | ||||||
Canadian Imperial Bank of Commerce (a) | 56,793 | 4,430 | ||||||
National Bank of Canada (a) | 26,520 | 1,447 | ||||||
Royal Bank of Canada (a) | 201,446 | 8,934 | ||||||
Toronto-Dominion Bank (a) | 113,303 | 6,568 | ||||||
33,126 | ||||||||
Energy 1.9% | ||||||||
Canadian Natural Resources Ltd. | 88,025 | 4,582 | ||||||
Enbridge, Inc. (a) | 59,980 | 2,017 | ||||||
EnCana Corp. | 132,106 | 6,274 | ||||||
Imperial Oil Ltd. (a) | 52,047 | 1,774 | ||||||
Nexen, Inc. | 42,457 | 2,265 | ||||||
Petro-Canada | 79,554 | 3,392 | ||||||
Suncor Energy, Inc | 72,088 | 5,537 | ||||||
Talisman Energy, Inc. | 162,888 | 2,676 | ||||||
TransCanada Corp. (a) | 75,940 | 2,457 | ||||||
30,974 | ||||||||
Food & Staples Retailing 0.1% | ||||||||
Shoppers Drug Mart Corp. | 34,748 | 1,415 | ||||||
Insurance 0.8% | ||||||||
Manulife Financial Corp. (a) | 245,296 | 7,973 | ||||||
Power Corp. of Canada (a) | 48,677 | 1,475 | ||||||
Sun Life Financial, Inc. (a) | 97,223 | 4,088 | ||||||
13,536 | ||||||||
Materials 0.7% | ||||||||
Alcan, Inc. | 56,826 | 2,665 | ||||||
Barrick Gold Corp. | 137,399 | 4,252 | ||||||
Novelis, Inc. | 1 | — | ||||||
Potash Corp of Saskatchewan | 16,545 | 2,073 | ||||||
Teck Cominco Ltd., Class B | 33,931 | 2,500 | ||||||
11,490 | ||||||||
Media 0.1% | ||||||||
The Thomson Corp. (a) | 32,575 | 1,348 | ||||||
Real Estate 0.1% | ||||||||
Brookfield Asset Management, Inc., Class A (a) | 50,757 | 2,312 | ||||||
Technology Hardware & Equipment 0.3% | ||||||||
Nortel Networks Corp. * | 703,685 | 1,573 | ||||||
Research In Motion Ltd. * | 31,116 | 3,655 | ||||||
5,228 | ||||||||
Telecommunication Services 0.4% | ||||||||
BCE, Inc. (a) | 135,368 | 3,821 | ||||||
Rogers Communications, Inc. | 37,589 | 2,249 | ||||||
6,070 | ||||||||
Transportation 0.2% | ||||||||
Canadian National Railway Co. | 86,466 | 4,119 | ||||||
110,875 | ||||||||
Denmark 0.5% | ||||||||
Banks 0.2% | ||||||||
Danske Bank A/S | 71,510 | 2,995 | ||||||
Pharmaceuticals & Biotechnology 0.2% | ||||||||
Novo-Nordisk A/S, Class B | 33,620 | 2,532 | ||||||
Transportation 0.1% | ||||||||
AP Moller - Maersk A/S | 128 | 1,156 | ||||||
AP Moller - Maersk A/S | 149 | 1,321 | ||||||
2,477 | ||||||||
8,004 | ||||||||
Finland 1.1% | ||||||||
Materials 0.2% | ||||||||
Stora Enso Oyj | 103,510 | 1,673 | ||||||
UPM-Kymmene Oyj | 83,482 | 2,119 | ||||||
3,792 | ||||||||
Technology Hardware & Equipment 0.8% | ||||||||
Nokia Oyj | 653,383 | 12,987 | ||||||
Utilities 0.1% | ||||||||
Fortum Oyj | 68,798 | 1,900 | ||||||
18,679 | ||||||||
France 10.3% | ||||||||
Automobiles & Components 0.4% | ||||||||
Compagnie Generale des Etablissements Michelin, Class B | 20,614 | 1,680 | ||||||
PSA Peugeot Citroen | 28,624 | 1,642 | ||||||
Renault S.A. | 30,704 | 3,588 | ||||||
6,910 | ||||||||
Banks 1.7% | ||||||||
BNP Paribas | 131,357 | 14,426 | ||||||
Credit Agricole S.A. | 113,868 | 4,838 | ||||||
Societe Generale | 58,802 | 9,762 | ||||||
29,026 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Capital Goods 0.7% | ||||||||
Compagnie de Saint-Gobain | 53,044 | 3,909 | ||||||
Schneider Electric SA | 34,576 | 3,591 | ||||||
Vinci S. A. | 37,948 | 4,275 | ||||||
11,775 | ||||||||
Consumer Durables & Apparel 0.3% | ||||||||
LVMH Moet Hennessy Louis Vuitton S.A. | 40,824 | 4,252 | ||||||
Consumer Services 0.2% | ||||||||
Accor SA | 37,106 | 2,574 | ||||||
Energy 1.6% | ||||||||
Total SA | 393,890 | 26,645 | ||||||
Food & Staples Retailing 0.3% | ||||||||
Carrefour S.A. * | 96,720 | 5,891 | ||||||
Food, Beverage & Tobacco 0.5% | ||||||||
Groupe Danone | 41,720 | 6,108 | ||||||
Pernod Ricard SA | 13,699 | 2,742 | ||||||
8,850 | ||||||||
Health Care Equipment & Services 0.1% | ||||||||
Essilor International S.A. | 16,331 | 1,712 | ||||||
Household & Personal Products 0.2% | ||||||||
L’Oreal S.A. | 40,437 | 3,930 | ||||||
Insurance 0.8% | ||||||||
Assurances Generales de France (AGF) | 12,978 | 1,823 | ||||||
Axa | 292,677 | 11,134 | ||||||
12,957 | ||||||||
Materials 0.5% | ||||||||
Air Liquide S.A. | 18,948 | 4,027 | ||||||
Lafarge S.A. | 27,323 | 3,663 | ||||||
7,690 | ||||||||
Media 0.5% | ||||||||
Lagardere S.C.A. | 22,134 | 1,592 | ||||||
Vivendi Universal S.A. | 181,776 | 6,887 | ||||||
8,479 | ||||||||
Pharmaceuticals & Biotechnology 0.8% | ||||||||
Sanofi-Aventis | 154,055 | 13,118 | ||||||
Retailing 0.1% | ||||||||
Pinault-Printemps-Redoute S.A. | 12,173 | 1,815 | ||||||
Technology Hardware & Equipment 0.2% | ||||||||
Alcatel SA, Class A | 206,671 | 2,623 | ||||||
Telecommunication Services 0.6% | ||||||||
Bouygues SA | 39,073 | 2,278 | ||||||
France Telecom SA | 270,491 | 7,044 | ||||||
9,322 | ||||||||
Utilities 0.8% | ||||||||
Suez SA | 202,911 | 9,089 | ||||||
Veolia Environnement | 65,105 | 3,984 | ||||||
13,073 | ||||||||
170,642 | ||||||||
Germany 7.6% | ||||||||
Automobiles & Components 1.0% | ||||||||
Bayerische Motoren Werke (BMW) AG | 47,949 | 2,758 | ||||||
Continental AG | 22,867 | 2,562 | ||||||
DaimlerChrysler AG | 162,404 | 9,285 | ||||||
Volkswagen AG | 30,793 | 3,042 | ||||||
17,647 | ||||||||
Banks 0.5% | ||||||||
Bayerische Hypo-und Vereinsbank AG (a) | 101,300 | 4,594 | ||||||
Commerzbank AG | 105,004 | 3,734 | ||||||
8,328 | ||||||||
Capital Goods 0.8% | ||||||||
Siemens AG * | 142,378 | 12,844 | ||||||
Consumer Durables & Apparel 0.1% | ||||||||
Adidas-Salomon AG | 25,972 | 1,303 | ||||||
Diversified Financials 0.8% | ||||||||
Deutsche Bank AG | 82,735 | 10,464 | ||||||
Deutsche Boerse AG | 16,600 | 2,682 | ||||||
13,146 | ||||||||
Insurance 1.1% | ||||||||
Allianz AG | 63,388 | 11,779 | ||||||
Muenchener Rueckversicherungs AG | 36,694 | 5,967 | ||||||
17,746 | ||||||||
Materials 0.9% | ||||||||
BASF AG | 83,012 | 7,330 | ||||||
Bayer AG (a) | 122,106 | 6,142 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
ThyssenKrupp AG | 60,228 | 2,242 | ||||||
15,714 | ||||||||
Software & Services 0.4% | ||||||||
SAP AG | 34,535 | 6,875 | ||||||
Telecommunication Services 0.5% | ||||||||
Deutsche Telekom AG | 485,962 | 8,425 | ||||||
Transportation 0.2% | ||||||||
Deutsche Post AG | 113,727 | 3,152 | ||||||
Utilities 1.3% | ||||||||
E.ON AG | 112,817 | 13,585 | ||||||
RWE AG | 74,676 | 7,396 | ||||||
20,981 | ||||||||
126,161 | ||||||||
Greece 0.3% | ||||||||
Banks 0.3% | ||||||||
Alpha Bank A.E. | 65,044 | 1,890 | ||||||
National Bank of Greece S.A. | 58,220 | 2,639 | ||||||
4,529 | ||||||||
Hong Kong 0.8% | ||||||||
Banks 0.1% | ||||||||
Hang Seng Bank Ltd. | 121,836 | 1,551 | ||||||
Capital Goods 0.2% | ||||||||
Hutchison Whampoa Ltd. | 336,370 | 2,982 | ||||||
Real Estate 0.4% | ||||||||
Cheung Kong (Holdings) Ltd. | 204,240 | 2,219 | ||||||
Sun Hung Kai Properties Ltd. | 210,604 | 2,300 | ||||||
Swire Pacific Ltd. | 167,890 | 1,772 | ||||||
6,291 | ||||||||
Utilities 0.1% | ||||||||
CLP Holdings Ltd. | 247,080 | 1,569 | ||||||
Hong Kong & China Gas Co. | 600,400 | 1,375 | ||||||
2,944 | ||||||||
13,768 | ||||||||
Ireland 0.7% | ||||||||
Banks 0.5% | ||||||||
Allied Irish Banks plc | 138,658 | 3,751 | ||||||
Anglo Irish Bank Corp., plc | 110,337 | 1,980 | ||||||
Bank of Ireland | 155,007 | 3,104 | ||||||
8,835 | ||||||||
Materials 0.2% | ||||||||
CRH plc | 87,100 | 3,077 | ||||||
11,912 | ||||||||
Italy 3.3% | ||||||||
Banks 1.2% | ||||||||
Banca Intesa S.p.A. | 608,806 | 4,159 | ||||||
Banche Popolari Unite Scpa | 56,071 | 1,539 | ||||||
SanPaolo IMI S.p.A. | 164,991 | 3,520 | ||||||
UniCredito Italiano S.p.A. | 541,340 | 4,508 | ||||||
UniCredito Italiano S.p.A. | 777,937 | 6,447 | ||||||
20,173 | ||||||||
Energy 0.8% | ||||||||
Eni S.p.A. (a) | 419,043 | 12,676 | ||||||
Insurance 0.4% | ||||||||
Assicurazioni Generali S.p.A. * | 173,745 | 6,890 | ||||||
Media 0.1% | ||||||||
Mediaset S.p.A. | 110,368 | 1,237 | ||||||
Telecommunication Services 0.4% | ||||||||
Telecom Italia RNC S.p.A. | 963,731 | 2,435 | ||||||
Telecom Italia S.p.A. | 1,701,963 | 5,155 | ||||||
7,590 | ||||||||
Utilities 0.4% | ||||||||
Enel S.p.A. | 640,287 | 6,132 | ||||||
54,698 | ||||||||
Japan 18.8% | ||||||||
Automobiles & Components 2.6% | ||||||||
Bridgestone Corp. | 91,657 | 1,909 | ||||||
Denso Corp. | 68,000 | 2,592 | ||||||
Honda Motor Co., Ltd. | 246,039 | 8,684 | ||||||
Nissan Motors Co., Ltd. | 337,196 | 4,031 | ||||||
Toyota Motor Corp. | 438,703 | 25,904 | ||||||
43,120 | ||||||||
Banks 3.4% | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 1,612 | 20,448 | ||||||
Mitsui Trust Holdings, Inc. | 129,000 | 1,514 | ||||||
Mizuho Financial Group, Inc. | 1,666 | 12,950 | ||||||
Resona Holdings, Inc. | 1,748 | 5,305 | ||||||
Shinsei Bank Ltd. | 222,000 | 1,280 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,014 | 11,081 | ||||||
The Bank of Yokohama Ltd. | 214,000 | 1,649 | ||||||
The Sumitomo Trust & Banking Co., Ltd. | 253,950 | 2,724 | ||||||
56,951 | ||||||||
Capital Goods 1.6% | ||||||||
Asahi Glass Co., Ltd. | 143,000 | 1,644 | ||||||
Fanuc Ltd. | 32,300 | 2,802 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Itochu Corp. | 237,000 | 1,886 | ||||||
Komatsu Ltd. | 135,609 | 2,440 | ||||||
Mitsubishi Corp. | 227,000 | 4,383 | ||||||
Mitsubishi Electric Corp. | 303,000 | 2,638 | ||||||
Mitsubishi Heavy Industries Ltd. | 565,000 | 2,518 | ||||||
Mitsui & Co., Ltd. | 231,000 | 3,150 | ||||||
SMC Corp. | 7,000 | 955 | ||||||
Sumitomo Corp. | 188,000 | 2,470 | ||||||
Sumitomo Electric Industries Ltd. | 97,000 | 1,371 | ||||||
26,257 | ||||||||
Commercial Services & Supplies 0.2% | ||||||||
Dai Nippon Printing Co., Ltd. | 87,000 | 1,294 | ||||||
Secom Co., Ltd. | 38,500 | 1,925 | ||||||
3,219 | ||||||||
Consumer Durables & Apparel 1.1% | ||||||||
Fuji Photo Film Co., Ltd. | 70,811 | 2,631 | ||||||
Matsushita Electric Industrial Co., Ltd. | 328,912 | 6,857 | ||||||
Sharp Corp. | 123,785 | 2,203 | ||||||
Sony Corp. | 159,500 | 6,519 | ||||||
18,210 | ||||||||
Diversified Financials 0.9% | ||||||||
Credit Saison Co., Ltd. | 26,000 | 940 | ||||||
Daiwa Securities Group, Inc. | 177,045 | 2,002 | ||||||
Nikko Cordial Corp. | 120,000 | 1,433 | ||||||
Nomura Holdings, Inc. | 311,000 | 5,468 | ||||||
ORIX Corp. | 14,000 | 3,937 | ||||||
Takefuji Corp. | 18,000 | 652 | ||||||
14,432 | ||||||||
Energy 0.1% | ||||||||
Nippon Oil Corp. | 182,000 | 1,360 | ||||||
Food & Staples Retailing 0.4% | ||||||||
Aeon Co., Ltd. | 97,000 | 2,281 | ||||||
Seven & I Holdings Co., Ltd. | 133,203 | 4,273 | ||||||
6,554 | ||||||||
Food, Beverage & Tobacco 0.3% | ||||||||
Japan Tobacco, Inc. | 750 | 3,264 | ||||||
Kirin Brewery Co., Ltd. | 136,000 | 1,809 | ||||||
5,073 | ||||||||
Household & Personal Products 0.1% | ||||||||
Kao Corp. | 78,619 | 2,065 | ||||||
Insurance 0.7% | ||||||||
Millea Holdings, Inc. | 129,500 | 4,876 | ||||||
Mitsui Sumitomo Insurance Co., Ltd. | 211,875 | 2,626 | ||||||
Sompo Japan Insurance, Inc. | 140,920 | 1,870 | ||||||
T&D Holdings, Inc. | 37,000 | 2,700 | ||||||
12,072 | ||||||||
Materials 1.0% | ||||||||
JFE Holdings, Inc. | 85,000 | 3,413 | ||||||
Nippon Steel Corp. | 1,020,000 | 4,145 | ||||||
Nitto Denko Corp. | 28,000 | 1,593 | ||||||
Shin-Etsu Chemical Co., Ltd. | 58,280 | 3,821 | ||||||
Sumitomo Chemical Co., Ltd. | 229,000 | 1,630 | ||||||
Sumitomo Metal Industries, Ltd. | 658,000 | 2,473 | ||||||
17,075 | ||||||||
Pharmaceuticals & Biotechnology 1.0% | ||||||||
Astellas Pharma, Inc. | 79,370 | 3,574 | ||||||
Daiichi Sankyo Co., Ltd. | 105,500 | 3,135 | ||||||
Eisai Co., Ltd. | 45,000 | 2,302 | ||||||
Takeda Pharmaceutical Co., Ltd. | 130,200 | 8,359 | ||||||
17,370 | ||||||||
Real Estate 0.4% | ||||||||
Mitsubishi Estate Co., Ltd. | 181,502 | 4,341 | ||||||
Mitsui Fudosan Co., Ltd. | 125,777 | 3,094 | ||||||
7,435 | ||||||||
Semiconductors & Semiconductor Equipment 0.2% | ||||||||
Rohm Co., Ltd. | 14,112 | 1,296 | ||||||
Tokyo Electron Ltd. | 28,000 | 2,088 | ||||||
3,384 | ||||||||
Software & Services 0.3% | ||||||||
Nintendo Co., Ltd. | 18,239 | 3,727 | ||||||
Yahoo! Japan Corp. | 1,840 | 715 | ||||||
4,442 | ||||||||
Technology Hardware & Equipment 2.0% | ||||||||
Canon, Inc. | 190,995 | 10,200 | ||||||
Fujitsu Ltd. | 326,000 | 2,656 | ||||||
Hitachi Ltd. | 487,079 | 2,785 | ||||||
Hoya Corp. | 69,607 | 2,690 | ||||||
Keyence Corp. | 6,400 | 1,415 | ||||||
Kyocera Corp. | 24,500 | 2,196 | ||||||
Murata Manufacturing Co., Ltd. | 32,574 | 2,274 | ||||||
NEC Corp. | 327,000 | 1,684 | ||||||
Ricoh Co., Ltd. | 89,000 | 1,756 | ||||||
TDK Corp. | 22,000 | 1,716 | ||||||
Toshiba Corp. (a) | 471,178 | 2,974 | ||||||
32,346 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Telecommunication Services 1.0% | ||||||||
KDDI Corp. | 444 | 2,769 | ||||||
Nippon Telegraph & Telephone Corp. (NTT) | 1,565 | 7,862 | ||||||
NTT DoCoMo, Inc. | 2,615 | 3,988 | ||||||
Softbank Corp. (a) | 109,000 | 2,380 | ||||||
16,999 | ||||||||
Transportation 0.5% | ||||||||
Central Japan Railway Co. | 272 | 2,930 | ||||||
East Japan Railway Co. | 562 | 3,928 | ||||||
Mitsui O.S.K. Lines Ltd. | 175,000 | 1,457 | ||||||
8,315 | ||||||||
Utilities 1.0% | ||||||||
Chubu Electric Power Co., Inc. (a) | 102,100 | 2,827 | ||||||
Kyushu Electric Power Co., Inc. | 58,493 | 1,368 | ||||||
The Kansai Electric Power Co., Inc. | 130,000 | 3,067 | ||||||
The Tokyo Electric Power Co., Inc. | 181,890 | 5,287 | ||||||
Tohoku Electric Power Co., Inc. | 57,700 | 1,278 | ||||||
Tokyo Gas Co., Ltd. | 394,201 | 2,012 | ||||||
15,839 | ||||||||
312,518 | ||||||||
Netherlands 4.1% | ||||||||
Banks 0.5% | ||||||||
ABN AMRO Holding N.V. | 300,416 | 8,754 | ||||||
Capital Goods 0.1% | ||||||||
European Aeronautic Defense & Space Co. | 46,558 | 1,261 | ||||||
Consumer Durables & Apparel 0.4% | ||||||||
Koninklijke (Royal) Philips Electronics N.V. | 209,766 | 7,307 | ||||||
Diversified Financials 1.0% | ||||||||
ING Groep N.V. | 366,162 | 16,217 | ||||||
Food & Staples Retailing 0.2% | ||||||||
Koninklijke Ahold NV * | 248,229 | 2,615 | ||||||
Food, Beverage & Tobacco 0.6% | ||||||||
Heineken NV | 34,407 | 1,558 | ||||||
Royal Numico N.V. | 28,252 | 1,262 | ||||||
Unilever NV | 272,295 | 6,715 | ||||||
9,535 | ||||||||
Insurance 0.2% | ||||||||
Aegon N.V. | 184,183 | 3,384 | ||||||
Materials 0.5% | ||||||||
Akzo Nobel N.V. | 39,704 | 2,226 | ||||||
Koninklijke DSM N.V. | 32,938 | 1,502 | ||||||
Mittal Steel Co NV | 98,640 | 4,236 | ||||||
7,964 | ||||||||
Media 0.1% | ||||||||
Reed Elsevier N.V. | 105,903 | 1,808 | ||||||
Semiconductors & Semiconductor Equipment 0.2% | ||||||||
ASML Holding NV * | 63,189 | 1,442 | ||||||
STMicroelectronics NV | 70,117 | 1,213 | ||||||
2,655 | ||||||||
Telecommunication Services 0.2% | ||||||||
Koninklijke (Royal) KPN NV | 303,896 | 4,063 | ||||||
Transportation 0.1% | ||||||||
TNT N.V. | 67,143 | 2,579 | ||||||
68,142 | ||||||||
Norway 0.4% | ||||||||
Banks 0.1% | ||||||||
DNB NOR ASA | 117,439 | 1,538 | ||||||
Energy 0.3% | ||||||||
Norsk Hydro ASA (a) | 118,680 | 2,746 | ||||||
Statoil ASA | 103,920 | 2,639 | ||||||
5,385 | ||||||||
6,923 | ||||||||
Portugal 0.2% | ||||||||
Banks 0.1% | ||||||||
Banco Comercial Portugues S.A. | 531,272 | 1,730 | ||||||
Telecommunication Services 0.1% | ||||||||
Portugal Telecom, SGPS, S.A. | 186,107 | 2,322 | ||||||
4,052 | ||||||||
Singapore 0.5% | ||||||||
Banks 0.4% | ||||||||
DBS Group Holdings Ltd. | 175,246 | 2,291 | ||||||
Overseas-Chinese Banking Corp., Ltd. | 437,552 | 1,965 | ||||||
United Overseas Bank Ltd. | 214,682 | 2,439 | ||||||
6,695 | ||||||||
Telecommunication Services 0.1% | ||||||||
Singapore Telecommunications Ltd. | 775,480 | 1,321 | ||||||
8,016 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
Spain 4.6% | ||||||||
Banks 2.0% | ||||||||
Banco Bilbao Vizcaya Argentaria S.A. | 552,339 | 13,331 | ||||||
Banco Popular Espanol SA | 155,820 | 2,700 | ||||||
Banco Santander Central Hispano S.A. | 1,013,916 | 17,547 | ||||||
33,578 | ||||||||
Capital Goods 0.1% | ||||||||
ACS Actividades de Construction Y Servicios, SA | 35,072 | 1,760 | ||||||
Energy 0.3% | ||||||||
Repsol YPF S.A. | 154,504 | 5,136 | ||||||
Food, Beverage & Tobacco 0.1% | ||||||||
Altadis S.A. | 42,027 | 2,010 | ||||||
Retailing 0.1% | ||||||||
Industria de Diseno Textil SA | 41,211 | 1,969 | ||||||
Telecommunication Services 0.9% | ||||||||
Telefonica S.A. | 777,060 | 14,960 | ||||||
Transportation 0.1% | ||||||||
Abertis Infraestructuras SA | 52,740 | 1,428 | ||||||
Utilities 1.0% | ||||||||
Endesa S.A. | 173,536 | 7,614 | ||||||
Iberdrola S.A. | 143,905 | 6,595 | ||||||
Union Fenosa SA | 38,092 | 1,933 | ||||||
16,142 | ||||||||
76,983 | ||||||||
Sweden 1.8% | ||||||||
Banks 0.7% | ||||||||
ForeningsSparbanken AB | 64,379 | 2,106 | ||||||
Nordea Bank AB | 346,815 | 4,770 | ||||||
Skandinaviska Enskilda Banken AB, (SEB) Series A | 70,925 | 1,979 | ||||||
Svenska Handelsbanken AB, Class A | 82,642 | 2,138 | ||||||
10,993 | ||||||||
Capital Goods 0.2% | ||||||||
Sandvik AB | 160,500 | 1,958 | ||||||
Volvo AB | 34,020 | 2,120 | ||||||
4,078 | ||||||||
Retailing 0.2% | ||||||||
Hennes & Mauritz AB, Series B | 71,752 | 3,090 | ||||||
Technology Hardware & Equipment 0.5% | ||||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,372,504 | 8,968 | ||||||
Telecommunication Services 0.2% | ||||||||
TeliaSonera AB | 343,834 | 2,503 | ||||||
29,632 | ||||||||
Switzerland 7.6% | ||||||||
Capital Goods 0.3% | ||||||||
ABB Ltd. | 339,807 | 5,054 | ||||||
Consumer Durables & Apparel 0.2% | ||||||||
Compagnie Financiere Richemont AG, Series A | 83,283 | 4,119 | ||||||
Diversified Financials 2.0% | ||||||||
Credit Suisse Group | 199,166 | 12,006 | ||||||
UBS AG | 348,598 | 20,815 | ||||||
32,821 | ||||||||
Food, Beverage & Tobacco 1.4% | ||||||||
Nestle S.A. | 65,820 | 22,492 | ||||||
Insurance 0.6% | ||||||||
Swiss Re | 53,201 | 4,364 | ||||||
Zurich Financial Services AG | 22,760 | 5,623 | ||||||
9,987 | ||||||||
Materials 0.3% | ||||||||
Holcim Ltd. | 26,619 | 2,292 | ||||||
Syngenta AG * | 15,609 | 2,519 | ||||||
4,811 | ||||||||
Pharmaceuticals & Biotechnology 2.8% | ||||||||
Novartis AG — Reg’d. | 436,697 | 26,508 | ||||||
Roche Holdings AG | 111,022 | 19,439 | ||||||
45,947 | ||||||||
125,231 | ||||||||
United Kingdom 24.3% | ||||||||
Automobiles & Components 0.0% | ||||||||
Rolls Royce Group, Class B * | 11,223,007 | 21 | ||||||
Banks 5.6% | ||||||||
Barclays plc | 1,053,619 | 14,196 | ||||||
HBOS plc | 605,157 | 12,537 |
Table of Contents
Number of | Value | |||||||
Security | Shares | ($ x 1,000) | ||||||
HSBC Holdings plc | 1,805,836 | 34,266 | ||||||
Lloyds TSB Group plc | 895,483 | 9,565 | ||||||
Royal Bank of Scotland Group plc | 501,714 | 17,860 | ||||||
Standard Chartered plc | 183,129 | 5,152 | ||||||
93,576 | ||||||||
Capital Goods 0.6% | ||||||||
BAE Systems plc | 490,319 | 3,920 | ||||||
Rolls-Royce Group plc * | 305,804 | 2,737 | ||||||
Smiths Group plc | 77,351 | 1,395 | ||||||
Wolseley plc | 100,048 | 2,359 | ||||||
10,411 | ||||||||
Commercial Services & Supplies 0.1% | ||||||||
Experian Group Ltd. * | 147,144 | 1,618 | ||||||
Consumer Services 0.3% | ||||||||
Carnival plc | 30,775 | 1,498 | ||||||
Compass Group plc | 328,860 | 1,757 | ||||||
Ladbrokes plc | 101,485 | 791 | ||||||
4,046 | ||||||||
Diversified Financials 0.3% | ||||||||
3i Group plc | 79,355 | 1,453 | ||||||
Man Group plc | 305,124 | 2,835 | ||||||
4,288 | ||||||||
Energy 5.1% | ||||||||
BG Group plc | 541,434 | 7,186 | ||||||
BP plc | 3,203,910 | 35,817 | ||||||
Royal Dutch Shell plc, Class A | 749,220 | 26,070 | ||||||
Royal Dutch Shell plc, Class B | 434,049 | 15,596 | ||||||
84,669 | ||||||||
Food & Staples Retailing 0.6% | ||||||||
Boots Group plc | 85,666 | 1,323 | ||||||
Tesco plc | 1,227,342 | 9,208 | ||||||
10,531 | ||||||||
Food, Beverage & Tobacco 1.9% | ||||||||
British American Tobacco plc | 232,940 | 6,344 | ||||||
Cadbury Schweppes plc | 343,491 | 3,458 | ||||||
Diageo plc | 445,768 | 8,242 | ||||||
Gallaher Group plc | 117,546 | 1,995 | ||||||
Imperial Tobacco Group plc | 106,921 | 3,787 | ||||||
SABMiller plc | 124,102 | 2,400 | ||||||
Unilever plc | 214,819 | 5,335 | ||||||
31,561 | ||||||||
Health Care Equipment & Services 0.1% | ||||||||
Smith & Nephew plc | 175,479 | 1,714 | ||||||
Household & Personal Products 0.3% | ||||||||
Reckitt Benckiser plc | 94,602 | 4,113 | ||||||
Insurance 1.0% | ||||||||
Aviva plc | 375,087 | 5,540 | ||||||
Legal & General Group plc | 992,966 | 2,738 | ||||||
Old Mutual plc | 874,614 | 2,831 | ||||||
Prudential plc | 394,603 | 4,834 | ||||||
15,943 | ||||||||
Materials 1.9% | ||||||||
Anglo American plc | 240,109 | 10,867 | ||||||
BHP Billiton plc | 385,794 | 7,429 | ||||||
Hanson plc | 128,676 | 1,786 | ||||||
Rio Tinto plc | 167,659 | 9,277 | ||||||
Xstrata plc | 61,410 | 2,614 | ||||||
31,973 | ||||||||
Media 0.7% | ||||||||
British Sky Broadcasting Group plc | 195,898 | 2,031 | ||||||
ITV plc | 738,032 | 1,485 | ||||||
Pearson plc | 143,637 | 2,120 | ||||||
Reed Elsevier plc | 180,755 | 2,055 | ||||||
Reuters Group plc | 196,728 | 1,677 | ||||||
WPP Group plc | 214,518 | 2,748 | ||||||
12,116 | ||||||||
Pharmaceuticals & Biotechnology 2.4% | ||||||||
AstraZeneca plc | 253,064 | 14,914 | ||||||
GlaxoSmithKline plc | 932,267 | 24,845 | ||||||
39,759 | ||||||||
Real Estate 0.3% | ||||||||
British Land Co., plc | 90,252 | 2,574 | ||||||
Land Securities Group plc | 75,040 | 3,001 | ||||||
5,575 | ||||||||
Retailing 0.4% | ||||||||
Home Retail Group * | 147,144 | 1,126 | ||||||
Kingfisher plc | 310,070 | 1,555 | ||||||
Marks & Spencer Group plc | 275,748 | 3,449 | ||||||
6,130 | ||||||||
Telecommunication Services 1.7% | ||||||||
BT Group plc | 1,305,157 | 6,938 | ||||||
Vodafone Group plc | 8,348,655 | 21,512 | ||||||
28,450 | ||||||||
Utilities 1.0% | ||||||||
Centrica plc | 538,641 | 3,406 | ||||||
National Grid plc | 405,043 | 5,165 | ||||||
Scottish Power plc | 248,688 | 3,100 | ||||||
Scottish Southern Energy plc | 133,187 | 3,341 |
Table of Contents
Security | Face Amount | Value | ||||||
Rate, Maturity Date | ($ x 1,000) | ($ x 1,000) | ||||||
United Utilities plc | 139,438 | 1,898 | ||||||
16,910 | ||||||||
403,404 | ||||||||
Short-Term Investment 0.3% of net assets | ||||||||
Wells Fargo, Grand Cayman Time Deposit 4.71%, 11/01/06 | 4,182 | 4,182 |
Number of | ||||||||
Security | Shares | |||||||
Collateral Invested for Securities on Loan 5.8% of net assets | ||||||||
Securities Lending Investment Fund, a series of the Brown Brothers Investment Trust. | 96,479,879 | 96,480 |
* | Non-income producing security. | |
(a) | All or a portion of this security is on loan. |
Table of Contents
(a) | Based on their evaluation of Registrant’s disclosure controls and procedures, as of a date within 90 days of the filing date, Registrant’s Chief Executive Officer, Evelyn Dilsaver and Registrant’s Principal Financial Officer, George Pereira, have concluded that Registrant’s disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to Registrant’s officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above. |
(b) | During the second fiscal quarter of the period covered by this report, there have been no changes in Registrant’s internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, Registrant’s internal control over financial reporting. |
(a)(1) | Registrant’s code of ethics (that is the subject of the disclosure required by Item 2(a)) is attached. | |
(2) | Separate certifications for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(a) under the 1940 Act, are attached. | |
(3) | Not applicable. |
Table of Contents
(b) | A certification for Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act, is attached. This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. section 1350 and is not being filed as part of the Form N-CSR with the Commission. |
By: | /s/ Evelyn Dilsaver | |||
Evelyn Dilsaver | ||||
Chief Executive Officer |
By: | /s/ Evelyn Dilsaver | |||
Evelyn Dilsaver | ||||
Chief Executive Officer |
By: | /s/ George Pereira | |||
George Pereira | ||||
Principal Financial Officer |