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OMB APPROVAL
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OMB Number: 3235-0570
Expires: August 31, 2011
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hours per response: 18.9
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21531
---------------------------------------------
TFS Capital Investment Trust
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1800 Bayberry Court, Suite 103 Richmond, Virginia 23226
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Wade R. Bridge, Esq.
Ultimus Fund Solutions, LLC 225 Pictoria Drive, Suite 450 Cincinnati, Ohio 45246
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (804) 484-1401
----------------------------
Date of fiscal year end: October 31, 2009
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Date of reporting period: April 30, 2009
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
- --------------------------------------------------------------------------------
TFS MARKET NEUTRAL FUND
TFS SMALL CAP FUND
- --------------------------------------------------------------------------------
each a series of the
TFS Capital Investment Trust
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
April 30, 2009
(Unaudited)
[LOGO OMITTED] TFS
Capital(R)
For more information or assistance in opening an account,
please call toll-free 1-888-534-2001.
LETTER TO SHAREHOLDERS
================================================================================
June 15, 2009
Dear Shareholder,
Enclosed is the Semi-Annual Report to shareholders of the TFS Market Neutral
Fund (ticker: TFSMX) and the TFS Small Cap Fund (ticker: TFSSX) for the period
ended April 30, 2009. On behalf of the investment adviser, TFS Capital LLC
("TFS"), I'd like to thank you for your investment.
TFS is pleased to announce that TFSMX's strong performance earned it the 2009
Lipper Award in the Equity Market Neutral category. This marks the 2nd
consecutive year that TFSMX has won this award. The Lipper award is presented to
the fund in the category with the best 3-year return ending December 31, 2008.
For this period, TFSMX was ranked #1 out of 27 funds.1
TFSMX recently filed a prospectus supplement indicating that it will implement a
"soft close" under which, with limited exceptions, the Fund will no longer sell
shares to new investors. The effective date for the "soft close" is close of
business June 30, 2009. The intent of the "soft close" is to slow the growth of
TFSMX. TFS believes that this action will assist the portfolio management team
in its effort to maintain TFSMX's high standard of performance. For more
information, please refer to the prospectus supplement which is available at
www.TFSCapital.com. It is notable that TFSMX may continue to grow after the
"soft close" and TFS may recommend to the Board of Trustees that further
restrictions be implemented. TFSSX and the two private partnerships managed by
TFS will remain open for new investors.
Although TFSMX is undergoing a "soft close," this action does not mean that TFS
intends to reduce its capital allocation to strategy research and development.
Rather, we continue to invest heavily in ongoing research and expect to spend
more on research in 2009 than in any prior year. For example, TFS has recently
hired two senior quantitative analysts to further supplement the portfolio
management team's research capabilities.
Below are performance highlights for the Funds.
TFS MARKET NEUTRAL FUND (TICKER: TFSMX)
Average Annual Total Returns (for periods ended April 30, 2009):
- --------------------------------------------------------------------------------
Since Inception
1 year 3 years (9/7/2004)
- --------------------------------------------------------------------------------
TFS Market Neutral Fund -5.50% 6.42% 8.38%
S&P 500 Index -35.31% -10.76% -3.30%
- --------------------------------------------------------------------------------
TFSMX's performance compares favorably to the overall U.S. equity market as
measured by the S&P 500 Index. From inception through April 30, 2009, TFSMX
generated an 8.38% average annual return and had an annualized standard
deviation of 8.98%, whereas the S&P 500 Index generated a -3.30% average annual
return and had an annualized standard deviation of 24.02%. Therefore, from
inception through April 30, 2009, TFSMX produced an average annual return that
was 11.68 percentage points above that of the S&P 500 Index while subjecting
investors to only 37.4% of the volatility.
1
TFS SMALL CAP FUND (TICKER: TFSSX)
Average Annual Total Returns (for periods ended April 30, 2009)
- --------------------------------------------------------------------------------
Since Inception
1 year 3 years (3/7/2006)
- --------------------------------------------------------------------------------
TFS Small Cap Fund -21.42% -6.60% -4.18%
Russell 2000(R) Index -30.74% -12.72% -10.46%
- --------------------------------------------------------------------------------
As evidenced by the return figures above, TFSSX has continued to achieve its
objective of outperforming the Russell 2000(R) Index. In fact, the Fund now has
over a 3-year track record and, since inception, has achieved an average annual
return that is 6.28 percentage points higher than that of the Russell 2000(R)
Index. As of the end of March 2009, the trailing 3-year return placed TFSSX in
the top 10% of its category for both Lipper and Morningstar.
Best regards,
Larry S. Eiben
Chief Operating Officer & Co-Portfolio Manager
TFS Capital LLC
1 TFSMX was ranked #28 out of 46 funds using its 1-year return.
2
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. INVESTMENT RESULTS AND
PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE
OR LESS THAN THEIR ORIGINAL COST. FEE WAIVERS HAVE POSITIVELY IMPACTED EACH
FUND'S PERFORMANCE OVER THE RELEVANT PERIODS AND WITHOUT SUCH WAIVERS, FUND
PERFORMANCE WOULD HAVE BEEN LOWER. FOR EACH FUND'S CURRENT EXPENSE RATIO
INFORMATION PLEASE SEE THE FINANCIAL HIGHLIGHTS TABLES INCLUDED IN THIS REPORT.
CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA QUOTED.
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END IS AVAILABLE AT
WWW.TFSCAPITAL.COM.
An investor should consider the investment objectives, risks, charges and
expenses of the Funds carefully before investing. The Funds' prospectus contains
this and other important information. To obtain a copy of the TFS Funds'
prospectus please visit www.TFSCapital.com or call 1-888-534-2001 and a copy
will be sent to you free of charge. Please read the prospectus carefully before
you invest. The TFS Funds are distributed by Ultimus Fund Distributors, LLC.
- --------------------------------------------------------------------------------
Gross Net Adj. Net
Expense Expense Expense
Ratio Ratio Ratio
- --------------------------------------------------------------------------------
TFS Market Neutral Fund 4.60% 4.55% 2.49%
TFS Small Cap Fund 4.40% 0.88% N/A
- --------------------------------------------------------------------------------
The expense ratios are based on the fiscal periods ended October 31, 2008. TFS
has contractually agreed to reduce its management fees and to absorb operating
expenses (for the life of each Fund) to the extent necessary to limit the annual
ordinary operating expenses to an amount not exceeding 2.50% of the TFS Market
Neutral Fund's average daily net assets and to an amount not exceeding 1.75% of
the Small Cap Fund's average daily net assets. The 2.50% cap for the Market
Neutral Fund does not include dividend expenses, borrowing costs and brokerage
expense on securities sold short which totaled 2.06% for the prior fiscal
period. The Small Cap Fund management fee includes a potential performance fee
adjustment, depending on the Small Cap Fund's performance relative to its
benchmark. The expense cap for the Small Cap Fund is calculated prior to any
performance fee adjustment; therefore it is possible an investor will pay an
amount different than the stated 1.75%. See the current Prospectus for a more
detailed discussion.
3
TFS MARKET NEUTRAL FUND
PORTFOLIO INFORMATION
APRIL 30, 2009 (UNAUDITED)
================================================================================
TFS MARKET NEUTRAL FUND VS S&P 500 INDEX
NET SECTOR EXPOSURE*
[BAR CHART OMITTED]
TFS Market S&P 500
Neutral Fund Index
------------ -------
Consumer Discretionary -8.4% 9.5%
Consumer Staples 0.4% 12.0%
Energy 2.7% 12.5%
Financials 0.1% 12.2%
Health Care -1.2% 13.8%
Industrials 6.3% 10.5%
Information Technology 7.8% 18.4%
Materials 5.7% 3.4%
Telecommunication Services 0.0% 3.7%
Utilities 3.7% 4.0%
Closed-End Funds 11.7% 0.0%
* The net percentages for the TFS Market Neutral Fund are computed by taking
the net dollar exposure, including short positions, and dividing by the
net assets of the Fund. Consequently, the percentages are not likely to
total to 100%.
TOP 10 LONG EQUITY POSITIONS TOP 10 SHORT EQUITY POSITIONS
- ------------------------------------------- ----------------------------------------------
% OF % OF
SECURITY DESCRIPTION NET ASSETS SECURITY DESCRIPTION NET ASSETS
- ------------------------------------------- ----------------------------------------------
TNS, Inc. 0.44% Dendreon Corporation 0.55%
Coventry Health Care, Inc. 0.43% MF Global Ltd. 0.33%
Celanese Corporation - Series A 0.42% Lamar Advertising Company - Class A 0.33%
Altas Air Worldwide Holdings, Inc. 0.41% Group 1 Automotive, Inc. 0.32%
TeleTech Holdings, Inc. 0.40% Blue Nile, Inc. 0.32%
Arrow Electronics, Inc. 0.40% Meredith Corporation 0.31%
Bemis Company, Inc. 0.39% AmeriCredit Corporation 0.30%
ArcSight, Inc. 0.39% Cooper Tire & Rubber Company 0.30%
Manpower, Inc. 0.39% Savient Pharmaceuticals, Inc. 0.30%
Key Energy Services, Inc. 0.39% Iconix Brand Group, Inc. 0.29%
4
TFS SMALL CAP FUND
PORTFOLIO INFORMATION
APRIL 30, 2009 (UNAUDITED)
================================================================================
TFS SMALL CAP FUND
SECTOR ALLOCATION (% OF NET ASSETS)
[BAR CHART OMITTED]
TFS Small
Cap Fund
---------
Consumer Discretionary 12.2%
Consumer Staples 2.5%
Energy 3.0%
Financials 12.1%
Health Care 10.6%
Industrials 18.7%
Information Technology 25.3%
Materials 9.2%
Telecommunication Services 0.7%
Utilities 4.6%
TOP 10 EQUITY POSITIONS
-----------------------------------------------------
% OF
SECURITY DESCRIPTION NET ASSETS
-----------------------------------------------------
Pacific Sunwear of California, Inc. 0.95%
TRW Automotive Holdings Corporation 0.93%
International Paper Company 0.89%
Celanese Corporation - Series A 0.86%
Fairchild Semiconductor International, Inc. 0.84%
Avnet, Inc. 0.84%
Lubrizol Corporation 0.83%
Jabil Circuit, Inc. 0.83%
Tech Data Corporation 0.83%
Manpower, Inc. 0.82%
5
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2009 (UNAUDITED)
================================================================================
COMMON STOCKS -- 71.9% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.1%
AUTO COMPONENTS -- 1.1%
American Axle & Manufacturing Holdings, Inc. .. 24,100 $ 24,100
BorgWarner, Inc. .............................. 2,500 72,375
Federal-Mogul Corporation (a) (b) ............. 151,875 1,685,813
Goodyear Tire & Rubber Company (The) (a) ...... 64,800 712,152
Hawk Corporation - Class A (a) (b) ............ 36,421 522,641
TRW Automotive Holdings Corporation (a) (b) ... 218,673 1,884,961
WABCO Holdings, Inc. (b) ...................... 67,436 1,078,302
------------
5,980,344
------------
DIVERSIFIED CONSUMER SERVICES -- 0.6%
Coinstar, Inc. (a) ............................ 300 10,677
DeVry, Inc. ................................... 31,418 1,337,150
Hillenbrand, Inc. (b) ......................... 68,289 1,241,494
Lincoln Educational Services Corporation (a) .. 8,174 135,607
Pre-Paid Legal Services, Inc. (a) ............. 10,628 391,429
Weight Watchers International, Inc. ........... 1,900 47,272
------------
3,163,629
------------
HOTELS, RESTAURANTS & LEISURE -- 1.3%
Boyd Gaming Corporation ....................... 6,000 55,140
Burger King Holdings, Inc. .................... 6,800 111,112
Chipotle Mexican Grill, Inc. - Class A (a) .. . 8,200 664,938
CKE Restaurants, Inc. ......................... 62,600 599,082
Denny's Corporation (a) ....................... 22,600 60,568
DineEquity, Inc. .............................. 21,800 698,472
Domino's Pizza, Inc. (a) ...................... 50,800 479,552
Frisch's Restaurants, Inc. .................... 1,044 26,152
International Game Technology (b) ............. 44,700 552,045
International Speedway Corporation - Class A .. 9,669 228,962
Interval Leisure Group, Inc. (a) .............. 74,260 594,823
Krispy Kreme Doughnuts, Inc. (a) .............. 200 788
Papa John's International, Inc. (a) (b) ....... 30,943 821,227
Red Lion Hotels Corporation (a) ............... 1,939 8,861
Texas Roadhouse, Inc. (a) ..................... 27,455 312,438
Wyndham Worldwide Corporation ................. 174,500 2,038,160
------------
7,252,320
------------
HOUSEHOLD DURABLES -- 0.7%
Beazer Homes USA, Inc. (a) .................... 22,500 56,700
Blyth, Inc. ................................... 10,300 454,024
Centex Corporation ............................ 4,900 53,606
Ethan Allen Interiors, Inc. ................... 800 10,760
Hovnanian Enterprises, Inc. - Class A (a) ..... 62,300 172,571
Jarden Corporation (a) ........................ 400 8,040
Leggett & Platt, Inc. ......................... 3,000 43,080
Lennar Corporation - Class A .................. 1,200 11,688
Meritage Homes Corporation (a) ................ 32,900 684,649
Newell Rubbermaid, Inc. (b) ................... 139,800 1,460,910
6
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.1% (CONTINUED)
HOUSEHOLD DURABLES -- 0.7% (CONTINUED)
Standard Pacific Corporation (a) .............. 5,600 $ 10,472
Tupperware Corporation (b) .................... 40,200 1,006,206
------------
3,972,706
------------
INTERNET & CATALOG RETAIL -- 0.4%
Expedia, Inc. (a) ............................. 5,500 74,855
Liberty Media Corporation - Interactive (a) (b) 357,987 1,897,331
PetMed Express, Inc. (a) ...................... 300 4,878
------------
1,977,064
------------
LEISURE EQUIPMENT & PRODUCTS -- 0.3%
Eastman Kodak Company ......................... 38,000 115,900
Smith & Wesson Holding Corporation (a) (b) .. . 207,100 1,484,907
------------
1,600,807
------------
MEDIA -- 1.2%
Ascent Media Corporation - Class A (a) ........ 7,986 205,719
Cablevision Systems Corporation ............... 3,800 65,208
CBS Corporation - Class B ..................... 20,500 144,320
Cinemark Holdings, Inc. (b) ................... 104,948 934,037
CTC Media, Inc. (a) (b) ....................... 182,081 1,427,515
Gannett Company, Inc. ......................... 25,700 100,487
Hearst-Argyle Television, Inc. ................ 58,540 263,430
Interactive Data Corporation (b) .............. 44,955 1,010,589
Knology, Inc. (a) ............................. 26,600 188,860
Liberty Media Corporation - Capital Group -
Series A (a) ............................... 92,750 1,085,175
Marvel Entertainment, Inc. (a) ................ 6,300 187,992
Rentrak Corporation (a) ....................... 1,713 16,616
Scripps Networks Interactive, Inc. - Class A .. 1,600 43,904
SIRIUS XM Radio, Inc. (a) ..................... 1,484,400 578,025
------------
6,251,877
------------
MULTI-LINE RETAIL -- 0.0%
Saks, Inc. (a) ................................ 11,300 58,873
------------
SPECIALTY RETAIL -- 1.1%
Barnes & Noble, Inc. .......................... 38,922 1,016,643
Buckle, Inc. (The) ............................ 21,866 817,133
Cato Corporation (The) - Class A .............. 24,638 473,542
Charlotte Russe Holdings, Inc. (a) ............ 32,400 406,620
Chico's FAS, Inc. (a) ......................... 35,700 272,748
Collective Brands, Inc. (a) ................... 8,600 124,872
Foot Locker, Inc. ............................. 31,800 378,102
Hot Topic, Inc. (a) ........................... 69,400 849,456
Jo-Ann Stores, Inc. (a) ....................... 2,500 45,800
New York & Company, Inc. (a) .................. 50,928 295,382
Office Depot, Inc. (a) ........................ 22,400 58,016
OfficeMax, Inc. (b) ........................... 87,200 649,640
Pacific Sunwear of California, Inc. (a) ....... 112,548 455,819
Rex Stores Corporation (a) .................... 700 8,330
Talbots, Inc. (The) ........................... 8,200 19,352
------------
5,871,455
------------
7
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.1% (CONTINUED)
TEXTILES, APPAREL & LUXURY GOODS -- 0.4%
Carter's, Inc. (a) ............................ 1,800 $ 38,484
Columbia Sportswear Company ................... 210 6,451
CROCS, Inc. (a) ............................... 9,300 20,925
Fossil, Inc. (a) .............................. 1,500 30,240
Gildan Activewear, Inc. - Class A (a) ......... 4,900 56,105
Iconix Brand Group, Inc. (a) .................. 1,200 17,112
Jones Apparel Group, Inc. ..................... 129,400 1,195,656
Liz Claiborne, Inc. ........................... 3,000 14,220
Oxford Industries, Inc. ....................... 700 6,818
Quiksilver, Inc. (a) .......................... 5,000 8,250
True Religion Apparel, Inc. (a) ............... 2,700 42,552
Wolverine World Wide, Inc. .................... 47,216 983,510
------------
2,420,323
------------
CONSUMER STAPLES -- 2.3%
BEVERAGES -- 0.1%
Central European Distribution Corporation (a) . 1,100 24,640
Coca-Cola Bottling Company Consolidated ....... 2,313 120,554
Constellation Brands, Inc. - Class A (a) ...... 31,900 369,721
------------
514,915
------------
FOOD & STAPLES RETAILING -- 0.3%
BJ's Wholesale Club, Inc. (a) ................. 3,800 126,692
Ingles Markets, Inc. - Class A ................ 2,818 43,989
PriceSmart, Inc. .............................. 9,100 162,435
SUPERVALU, Inc. ............................... 12,400 202,740
Susser Holdings Corporation (a) ............... 4,958 71,643
Weis Markets, Inc. (b) ........................ 26,975 997,805
------------
1,605,304
------------
FOOD PRODUCTS -- 1.2%
AgFeed Industries, Inc. (a) ................... 10,400 38,064
American Dairy, Inc. (a) ...................... 3,800 60,078
B&G Foods, Inc. ............................... 38,234 233,992
Darling International, Inc. (a) (b) ........... 242,107 1,384,852
Del Monte Foods Company (b) ................... 228,921 1,728,353
Fresh Del Monte Produce, Inc. (a) (b) ......... 72,528 1,053,107
J.M. Smucker Company (The) (b) ................ 28,300 1,115,020
Ralcorp Holdings, Inc. (a) .................... 12,800 731,648
Smithfield Foods, Inc. (a) .................... 11,900 102,816
Tyson Foods, Inc. - Class A ................... 5,500 57,970
------------
6,505,900
------------
HOUSEHOLD PRODUCTS -- 0.0%
Oil-Dri Corporation of America (b) ............ 500 8,070
------------
PERSONAL PRODUCTS -- 0.7%
American Oriental Bioengineering, Inc. (a) .. . 2,200 9,328
Bare Escentuals, Inc. (a) ..................... 71,295 660,192
Herbalife Ltd. (b) ............................ 55,346 1,096,958
NBTY, Inc. (a) ................................ 3,600 93,276
Nu Skin Enterprises, Inc. - Class A ........... 70,550 904,451
8
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 2.3% (CONTINUED)
PERSONAL PRODUCTS -- 0.7% (CONTINUED)
Nutraceutical International Corporation (a) ... 10,171 $ 83,605
Prestige Brands Holdings, Inc. (a) (b) ........ 153,600 992,256
Schiff Nutrition International, Inc. (a) ...... 2,941 14,117
------------
3,854,183
------------
TOBACCO -- 0.0%
Alliance One International, Inc. (a) .......... 39,692 148,845
Star Scientific, Inc. (a) ..................... 31,000 152,520
------------
301,365
------------
ENERGY -- 4.1%
ENERGY EQUIPMENT & SERVICES -- 1.9%
Complete Production Services, Inc. (a) ........ 93,980 627,786
Dresser-Rand Group, Inc. (a) (b) .............. 31,800 783,234
ENGlobal Corporation (a) ...................... 9,700 55,969
Global Industries Ltd. (a) .................... 1,400 9,058
Gulf Island Fabrication, Inc. (b) ............. 40,606 525,442
Gulfmark Offshore, Inc. (a) ................... 22,178 596,145
Helix Energy Solutions Group, Inc. (a) ........ 4,100 37,269
Hercules Offshore, Inc. (a) ................... 405,400 1,297,280
Hornbeck Offshore Services, Inc. (a) .......... 1,300 30,199
ION Geophysical Corporation (a) ............... 71,500 178,750
Key Energy Services, Inc. (a) (b) ............. 478,338 2,099,904
Oceaneering International, Inc. (a) ........... 1,400 63,798
Parker Drilling Company (a) ................... 24,290 67,040
Pioneer Drilling Company (a) .................. 38,365 191,825
Precision Drilling Trust ...................... 3,000 14,130
Rowan Companies, Inc. ......................... 4,300 67,123
Superior Energy Services, Inc. (a) (b) ........ 90,300 1,734,663
TETRA Technologies, Inc. (a) .................. 27,963 159,948
Unit Corporation (a) .......................... 500 13,645
Willbros Group, Inc. (a) (b) .................. 139,400 1,597,524
------------
10,150,732
------------
OIL, GAS & CONSUMABLE FUELS -- 2.2%
Alon USA Energy, Inc. ......................... 800 10,160
Alpha Natural Resources, Inc. (a) (b) ......... 25,600 524,288
Apco Argentina, Inc. .......................... 6,654 126,892
Approach Resources, Inc. (a) (b) .............. 90,197 640,399
Atlas Pipeline Partners, L.P. ................. 6,600 27,390
ATP Oil & Gas Corporation (a) ................. 1,000 7,160
Berry Petroleum Company - Class A ............. 100 1,648
Boardwalk Pipeline Partners L.P. .............. 800 16,400
Cabot Oil & Gas Corporation ................... 2,100 63,399
Clayton Williams Energy, Inc. (a) (b) ......... 36,920 1,108,708
Clean Energy Fuels Corporation (a) ............ 700 5,922
Continental Resources, Inc. (a) ............... 2,700 63,045
Copano Energy, LLC ............................ 600 9,384
CVR Energy, Inc. (a) (b) ...................... 193,443 1,423,740
DHT Maritime, Inc. ............................ 117,738 495,677
Encore Acquisition Company (a) ................ 20,500 598,395
EXCO Resources, Inc. (a) ...................... 10,100 118,978
9
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY -- 4.1% (CONTINUED)
OIL, GAS & CONSUMABLE FUELS -- 2.2% (CONTINUED)
Forest Oil Corporation (a) .................... 11,700 $ 187,200
Frontier Oil Corporation ...................... 17,900 227,509
General Maritime Corporation .................. 1,600 15,888
GeoResources, Inc. (a) ........................ 26,070 185,097
GMX Resources, Inc. (a) ....................... 500 5,470
Golar LNG Ltd. ................................ 800 4,312
Gran Tierra Energy, Inc. (a) (b) .............. 451,129 1,118,800
Harvest Energy Trust .......................... 2,400 11,640
International Coal Group, Inc. (a) ............ 10,100 20,099
Interoil Corporation (a) ...................... 2,200 71,038
Linn Energy, LLC .............................. 1,800 29,772
Massey Energy Company ......................... 4,800 76,368
Panhandle Oil & Gas, Inc. ..................... 1,086 18,625
Patriot Coal Corporation (a) .................. 24,000 151,200
Pengrowth Energy Trust ........................ 3,800 25,004
Penn Virginia Corporation ..................... 2,200 30,954
Petroleum Development Corporation (a) ......... 59,486 964,268
PetroQuest Energy, Inc. (a) ................... 38,700 116,487
Plains Exploration & Production Company (a) ... 300 5,661
Provident Energy Trust ........................ 4,600 20,148
Quicksilver Resources, Inc. (a) ............... 9,100 73,983
Rosetta Resources, Inc. (a) ................... 97,500 687,375
SandRidge Energy, Inc. (a) .................... 18,500 150,960
Stone Energy Corporation (a) .................. 3,100 13,361
Targa Resources Partners L.P. ................. 600 6,912
Teekay Tankers Ltd. - Class A ................. 6,393 77,100
USEC, Inc. (a) ................................ 18,200 112,658
VAALCO Energy, Inc. (a) (b) ................... 226,289 1,079,398
Venoco, Inc. (a) (b) .......................... 216,600 946,542
W&T Offshore, Inc. ............................ 500 4,640
Walter Energy, Inc. ........................... 5,800 132,240
Western Refining, Inc. (a) .................... 8,300 104,497
------------
11,916,791
------------
FINANCIALS -- 9.2%
CAPITAL MARKETS -- 1.6%
American Capital Ltd. ......................... 82,800 255,852
Apollo Investment Corporation (b) ............. 231,800 1,112,640
Ares Capital Corporation ...................... 23,576 138,391
BGC Partners, Inc. - Class A .................. 97,861 253,460
BlackRock Kelso Capital Corporation (b) ....... 73,991 431,368
Blackstone Group L.P. (The) ................... 23,300 228,107
Capital Southwest Corporation ................. 2,420 188,179
Gamco Investors, Inc. - Class A ............... 6,300 315,945
GFI Group, Inc. ............................... 1,300 5,304
GLG Partners, Inc. (b) ........................ 374,467 894,976
Hercules Technology Growth Capital, Inc. ...... 35,600 213,956
LaBranche & Company, Inc. (a) (b) ............. 298,742 1,248,742
Lazard Ltd. - Class A (b) ..................... 12,500 341,250
MF Global Ltd. (a) ............................ 16,900 103,090
10
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.2% (CONTINUED)
CAPITAL MARKETS -- 1.6% (CONTINUED)
Penson Worldwide, Inc. (a) .................... 50,687 $ 513,966
Prospect Capital Corporation .................. 38,491 349,113
SEI Investments Company (b) ................... 73,800 1,035,414
thinkorswim Group, Inc. (a) ................... 2,700 25,650
Waddell & Reed Financial, Inc. - Class A (b) .. 43,569 976,381
------------
8,631,784
------------
COMMERCIAL BANKS -- 0.7%
BancFirst Corporation ......................... 600 25,620
Banco Latinoamericano de Exportaciones, S.A. -
Class E - ADR (b) ........................... 50,962 626,832
Bancorp Rhode Island, Inc. .................... 892 16,511
Bank of Hawaii Corporation .................... 17,400 611,436
CapitalSource, Inc. ........................... 17,700 54,693
Colonial Bancgroup, Inc. (The) ................ 44,000 33,440
Commerce Bancshares, Inc. (b) ................. 31,200 1,032,720
Community Trust Bancorporation, Inc. .......... 373 11,287
First Horizon National Corporation ............ 17,515 201,593
German American Bancorp, Inc. ................. 300 3,570
Huntington Bancshares ......................... 20,800 58,032
Merchants Bancshares, Inc. .................... 124 2,350
National Bankshares, Inc. ..................... 200 4,166
Peapack-Gladstone Financial Corporation ....... 2,000 37,920
Santander BanCorp ............................. 43,001 288,107
Texas Capital Bancshares, Inc. (a) ............ 44,282 619,948
------------
3,628,225
------------
CONSUMER FINANCE -- 0.1%
Advance America, Cash Advance Centers, Inc. ... 50,659 202,636
AmeriCredit Corporation (a) ................... 3,100 31,527
Credit Acceptance Corporation (a) ............. 800 18,392
EZCORP, Inc. - Class A (a) .................... 1,100 13,629
Nelnet, Inc. - Class A (b) .................... 58,728 354,130
------------
620,314
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.0%
CIT Group, Inc. ............................... 57,600 127,872
Interactive Brokers Group, Inc. - Class A (a) . 4,200 61,950
------------
189,822
------------
INSURANCE -- 5.2%
Affirmative Insurance Holdings, Inc. .......... 18,630 61,665
Allied World Assurance Company Holdings Ltd. (b) 35,351 1,312,936
Ambac Financial Group, Inc. ................... 39,600 36,036
American Equity Investment Life Holding Company 51,055 287,440
American Financial Group, Inc. (b) ............ 74,195 1,304,348
American International Group, Inc. ............ 42,800 59,064
American National Insurance Company (b) ....... 19,109 1,296,928
American Physicians Capital, Inc. ............. 700 29,162
American Physicians Service Group, Inc. (b) ... 18,332 368,290
11
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.2% (CONTINUED)
INSURANCE -- 5.2% (CONTINUED)
American Safety Insurance Holdings Ltd. (a) ... 8,800 $ 100,144
Amerisafe, Inc. (a) (b) ....................... 38,295 588,211
Argo Group International Holdings Ltd. (a) (b) 38,828 1,086,796
Aspen Insurance Holdings Ltd. (b) ............. 25,500 601,290
Assurant, Inc. (b) ............................ 21,300 520,572
Brown & Brown, Inc. (b) ....................... 73,000 1,420,580
CNA Financial Corporation (b) ................. 73,777 883,111
CNA Surety Corporation (a) (b) ................ 56,720 1,091,860
Conseco, Inc. (a) ............................. 11,500 18,400
eHealth, Inc. (a) (b) ......................... 22,138 424,828
Enstar Group Ltd. (a) ......................... 4,299 306,691
Erie Indemnity Company - Class A (b) .......... 33,685 1,189,754
First American Corporation .................... 2,200 61,776
First Mercury Financial Corporation (a) (b) ... 102,869 1,359,928
Genworth Financial, Inc. ...................... 799,520 1,886,867
Hanover Insurance Group, Inc. (The) (b) ....... 36,659 1,099,037
HCC Insurance Holdings, Inc. (b) .............. 23,100 552,552
Horace Mann Educators Corporation (b) ......... 127,313 1,117,808
IPC Holdings Ltd. (b) ......................... 44,800 1,166,592
Kansas City Life Insurance Company ............ 1,000 22,030
Lincoln National Corporation .................. 12,500 140,500
MBIA, Inc. (a) ................................ 4,100 19,393
Meadowbrook Insurance Group, Inc. (b) ......... 123,071 732,273
Navigators Group, Inc. (The) (a) (b) .......... 24,700 1,120,886
NYMAGIC, Inc. ................................. 2,000 23,580
Odyssey Re Holdings Corporation (b) ........... 30,116 1,153,142
Old Republic International Corporation ........ 10,800 101,196
Platinum Underwriters Holdings Ltd. ........... 10,700 307,839
ProAssurance Corporation (a) (b) .............. 19,500 856,830
SeaBright Insurance Holdings Ltd. (a) ......... 43,811 406,566
Selective Insurance Group, Inc. ............... 27,911 411,966
State Auto Financial Corporation .............. 16,335 265,117
Transatlantic Holdings, Inc. .................. 28,015 1,062,609
Unitrin, Inc. (b) ............................. 58,467 993,939
Universal Insurance Holdings, Inc. ............ 1,500 6,120
XL Capital Ltd. - Class A ..................... 38,000 361,380
------------
28,218,032
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
Anworth Mortgage Asset Corporation (b) ........ 157,978 1,015,799
Capstead Mortgage Corporation (b) ............. 119,900 1,365,661
CBL & Associates Properties, Inc. ............. 3,100 24,614
Chimera Investment Corporation (b) ............ 317,712 1,121,523
Corporate Office Properties Trust ............. 6,200 189,472
Developers Diversified Realty Corporation ..... 12,600 52,039
Getty Realty Corporation (b) .................. 54,249 1,064,365
Host Hotels & Resorts, Inc. ................... 8,800 67,672
Lexington Realty Trust ........................ 3,513 13,523
Liberty Property Trust (b) .................... 20,600 501,404
12
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.2% (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.4% (CONTINUED)
LTC Properties, Inc. (b) ...................... 57,359 $ 1,033,036
National Health Investors, Inc. (b) ........... 35,293 946,558
Saul Centers, Inc. ............................ 7,229 230,171
U-Store-It Trust .............................. 7,800 26,754
------------
7,652,591
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.0%
St. Joe Company (The) (a) ..................... 2,300 57,224
------------
THRIFTS & MORTGAGE FINANCE -- 0.2%
Astoria Financial Corporation ................. 2,500 20,650
Berkshire Hills Bancorp, Inc. ................. 6,251 141,023
Federal National Mortgage Association ......... 296,000 230,880
Freddie Mac ................................... 230,900 182,411
MGIC Investment Corporation ................... 54,000 138,240
NewAlliance Bancshares, Inc. .................. 100 1,291
Ocwen Financial Corporation (a) ............... 19,886 221,132
Rockville Financial, Inc. ..................... 6,734 63,367
Tree.com, Inc. (a) ............................ 100 642
------------
999,636
------------
HEALTH CARE -- 7.4%
BIOTECHNOLOGY -- 0.6%
Abraxis BioScience, Inc. (a) .................. 2,548 123,578
Amylin Pharmaceuticals, Inc. (a) .............. 23,400 255,996
Arena Pharmaceuticals, Inc. (a) ............... 76,700 215,527
Ariad Pharmaceuticals, Inc. (a) ............... 800 1,200
ArQule, Inc. (a) .............................. 85 378
Celera Corporation (a) ........................ 2,300 18,607
Cell Genesys, Inc. (a) ........................ 1,200 672
Cubist Pharmaceuticals, Inc. (a) .............. 6,700 111,220
Genomic Health, Inc. (a) ...................... 2,164 48,690
Geron Corporation (a) ......................... 23,200 119,248
Human Genome Sciences, Inc. (a) ............... 63,700 139,503
Immunomedics, Inc. (a) ........................ 900 1,044
Infinity Pharmaceuticals, Inc. (a) ............ 10,940 67,719
Intermune, Inc. (a) ........................... 1,700 23,018
MannKind Corporation (a) ...................... 7,700 31,493
Medarex, Inc. (a) ............................. 29,900 177,008
Medivation, Inc. (a) .......................... 44,178 853,961
Micromet, Inc. (a) ............................ 35,035 119,820
Momenta Pharmaceuticals, Inc. (a) ............. 2,300 25,760
OSI Pharmaceuticals, Inc. (a) ................. 5,600 187,992
Osiris Therapeutics, Inc. (a) ................. 344 4,358
Regeneron Pharmaceuticals, Inc. (a) ........... 3,900 51,714
Savient Pharmaceuticals, Inc. (a) ............. 1,700 8,976
SIGA Technologies, Inc. (a) (b) ............... 106,396 659,655
United Therapeutics Corporation (a) ........... 300 18,843
------------
3,265,980
------------
13
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 7.4% (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES -- 0.8%
Abiomed, Inc. (a) ............................. 1,600 $ 10,672
Atrion Corporation ............................ 801 71,738
ATS Medical, Inc. (a) ......................... 55,932 149,338
Beckman Coulter, Inc. ......................... 1,200 63,072
Clarient, Inc. (a) ............................ 31,891 88,657
DENTSPLY International, Inc. .................. 2,400 68,688
Exactech, Inc. (a) ............................ 8,999 119,237
Home Diagnostics, Inc. (a) .................... 30,984 184,045
ICU Medical, Inc. (a) ......................... 7,100 266,960
IDEXX Laboratories, Inc. (a) .................. 20,000 786,000
Merit Medical Systems, Inc. (a) ............... 32,262 500,384
Orthofix International N.V. (a) ............... 33,040 563,332
Palomar Medical Technologies, Inc. (a) ........ 700 6,027
ResMed, Inc. (a) .............................. 1,600 61,520
SonoSite, Inc. (a) ............................ 1,500 27,060
STERIS Corporation ............................ 1,300 31,330
Symmetry Medical, Inc. (a) .................... 41,150 298,749
Teleflex, Inc. ................................ 23,700 1,018,626
Wright Medical Group, Inc. (a) ................ 3,500 48,125
Young Innovations, Inc. ....................... 8,281 128,355
------------
4,491,915
------------
HEALTH CARE PROVIDERS & SERVICES -- 4.0%
Air Methods Corporation (a) ................... 1,400 37,170
Alliance Imaging, Inc. (a) .................... 101,239 796,751
Amedysis, Inc. (a) ............................ 3,800 127,452
America Service Group, Inc. (a) ............... 4,170 59,339
American CareSource Holdings, Inc. (a) (b) .... 1,447 12,488
AMN Healthcare Services, Inc. (a) ............. 1,245 8,578
AmSurg Corporation (a) ........................ 27,674 568,424
Catalyst Health Solutions, Inc. (a) (b) ....... 53,946 1,216,482
Centene Corporation (a) (b) ................... 53,025 974,069
Community Health Systems, Inc. (a) ............ 88,600 2,023,624
Coventry Health Care, Inc. (a) (b) ............ 146,400 2,329,224
Ensign Group, Inc. (The) (b) .................. 55,820 865,210
Gentiva Health Services, Inc. (a) (b) ......... 41,877 667,101
Health Grades, Inc. (a) ....................... 10,287 32,918
Health Management Associates, Inc. - Class A (a) 146,100 682,287
Health Net, Inc. (a) .......................... 8,500 122,740
HealthSpring, Inc. (a) (b) .................... 96,526 890,935
IPC The Hospitalist Company, Inc. (a) ......... 25,428 466,095
LCA-Vision, Inc. .............................. 300 1,725
MEDNAX, Inc. (a) (b) .......................... 39,800 1,428,820
Molina Healthcare, Inc. (a) ................... 28,448 615,899
Psychiatric Solutions, Inc. (a) ............... 77,200 1,496,908
RehabCare Group, Inc. (a) (b) ................. 58,504 977,017
Skilled Healthcare Group, Inc. - Class A (a) .. 24,964 217,936
Sun Healthcare Group, Inc. (a) (b) ............ 104,864 888,198
Tenet Healthcare Corporation (a) .............. 37,800 85,050
14
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 7.4% (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES -- 4.0% (CONTINUED)
U.S. Physical Therapy, Inc. (a) (b) ........... 40,874 $ 477,408
Universal Health Services, Inc. - Class B (b) . 32,800 1,653,120
WellCare Health Plans, Inc. (a) (b) ........... 133,660 2,006,237
------------
21,729,205
------------
HEALTH CARE TECHNOLOGY -- 0.2%
Allscripts-Misys Healthcare Solutions, Inc. ... 6,900 85,698
athenahealth, Inc. (a) ........................ 1,500 47,700
iCad, Inc. (a) ................................ 10,726 12,871
IMS Health, Inc. (b) .......................... 82,900 1,041,224
------------
1,187,493
------------
LIFE SCIENCES TOOLS & SERVICES -- 1.3%
Affymetrix, Inc. (a) .......................... 5,700 26,733
AMAG Pharmaceuticals, Inc. (a) ................ 200 8,970
Bruker Corporation (a) (b) .................... 251,850 1,657,173
eResearchTechnology, Inc. (a) ................. 197,918 1,003,444
Kendle International, Inc. (a) ................ 30,666 272,927
MEDTOX Scientific, Inc. (a) ................... 4,861 39,423
Parexel International Corporation (a) (b) ..... 102,822 1,018,966
PerkinElmer, Inc. (b) ......................... 96,520 1,406,297
Pharmaceutical Product Development, Inc. (b) .. 56,900 1,115,809
Varian, Inc. (a) (b) .......................... 16,600 548,132
------------
7,097,874
------------
PHARMACEUTICALS -- 0.5%
Auxilium Pharmaceuticals, Inc. (a) ............ 200 4,580
Caraco Pharmaceutical Laboratories Ltd. (a) ... 44,091 197,528
Cypress Bioscience, Inc. (a) .................. 1,700 12,240
DURECT Corporation (a) ........................ 1,678 4,094
Endo Pharmaceuticals Holdings, Inc. (a) ....... 3,400 56,236
King Pharmaceuticals, Inc. (a) (b) ............ 119,608 942,511
Par Pharmaceutical Companies, Inc. (a) ........ 800 8,584
Perrigo Company ............................... 2,600 67,392
Salix Pharmaceuticals Ltd. (a) ................ 700 7,700
Sepracor, Inc. (a) ............................ 75,200 1,068,592
Spectrum Pharmaceuticals, Inc. (a) ............ 1,200 2,928
SuperGen, Inc. (a) ............................ 200 402
Valeant Pharmaceuticals International (a) ..... 800 13,408
ViroPharma, Inc. (a) .......................... 4,300 24,209
Watson Pharmaceuticals, Inc. (a) .............. 4,000 123,760
XenoPort, Inc. (a) ............................ 600 8,202
------------
2,542,366
------------
INDUSTRIALS -- 13.6%
AEROSPACE & DEFENSE -- 1.0%
Astronics Corporation - Class B (a) ........... 7,212 77,890
Axsys Technologies, Inc. (a) .................. 6,550 274,510
Cubic Corporation (b) ......................... 46,151 1,324,995
Ducommun, Inc. (b) ............................ 23,264 402,932
15
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.6% (CONTINUED)
AEROSPACE & DEFENSE -- 1.0% (CONTINUED)
DynCorp International, Inc. (a) (b) ........... 87,900 $ 1,340,475
Esterline Technologies Corporation (a) (b) .... 41,879 1,103,512
Spirit AeroSystems Holdings, Inc. (a) ......... 2,600 33,150
Stanley, Inc. (a) ............................. 7,015 180,847
Teledyne Technologies, Inc. (a) (b) ........... 21,004 670,658
------------
5,408,969
------------
AIR FREIGHT & LOGISTICS -- 0.7%
Atlas Air Worldwide Holdings, Inc. (a) (b) .... 83,079 2,205,748
UTI Worldwide, Inc. (a) (b) ................... 117,094 1,576,085
------------
3,781,833
------------
AIRLINES -- 0.7%
AMR Corporation (a) ........................... 47,800 227,528
Copa Holdings, S.A. - Class A (b) ............. 50,417 1,545,281
Hawaiian Holdings, Inc. (a) ................... 38,000 189,620
Republic Airways Holdings, Inc. (a) (b) ....... 114,642 820,837
UAL Corporation (a) ........................... 47,500 233,700
US Airways Group, Inc. (a) .................... 267,700 1,014,583
------------
4,031,549
------------
BUILDING PRODUCTS -- 0.2%
Armstrong World Industries, Inc. (a) (b) ...... 50,772 923,035
------------
COMMERCIAL SERVICES & SUPPLIES -- 2.5%
ABM Industries, Inc. .......................... 28,164 493,433
American Ecology Corporation (b) .............. 103,268 1,705,987
American Reprographics Company (a) (b) ........ 183,225 1,181,801
APAC Customer Services, Inc. (a) .............. 95,758 441,444
ATC Technology Corporation (a) (b) ............ 43,562 692,200
Avery Dennison Corporation .................... 300 8,622
Brink's Company (The) (b) ..................... 42,800 1,213,380
Cenveo, Inc. (a) .............................. 88,381 417,158
Cornell Companies, Inc. (a) (b) ............... 59,664 1,084,692
Covanta Holding Corporation (a) (b) ........... 75,000 1,058,250
Deluxe Corporation ............................ 46,235 670,408
EnergySolutions, Inc. (b) ..................... 213,329 2,069,291
Ennis, Inc. ................................... 6,900 62,100
Interface, Inc. - Class A ..................... 125,264 725,279
R.R. Donnelley & Sons Company (b) ............. 114,700 1,336,255
Team, Inc. (a) (b) ............................ 35,577 511,242
Tetra Tech, Inc. (a) .......................... 1,600 39,296
Viad Corporation .............................. 10,200 194,616
------------
13,905,454
------------
CONSTRUCTION & ENGINEERING -- 0.9%
AECOM Technology Corporation (a) .............. 100 2,573
Chicago Bridge & Iron Company N.V. ............ 8,900 95,230
Dycom Industries, Inc. (a) .................... 19,800 166,716
Foster Wheeler AG (a) ......................... 2,800 60,284
Furmanite Corporation (a) ..................... 27,298 108,100
16
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.6% (CONTINUED)
CONSTRUCTION & ENGINEERING -- 0.9% (CONTINUED)
Granite Construction, Inc. .................... 1,600 $ 63,120
KBR, Inc. (b) ................................. 85,700 1,338,634
MasTec, Inc. (a) .............................. 55,200 690,552
Michael Baker Corporation (a) (b) ............. 38,161 1,282,210
Orion Marine Group, Inc. (a) .................. 25,800 386,484
Perini Corporation (a) ........................ 1,800 31,140
Shaw Group, Inc. (The) (a) .................... 14,500 486,185
------------
4,711,228
------------
ELECTRICAL EQUIPMENT -- 1.5%
Acuity Brands, Inc. ........................... 1,500 43,110
A-Power Energy Generation Systems Ltd. (a) .... 3,600 29,700
AZZ, Inc. (a) ................................. 10,300 318,579
Canadian Solar, Inc. (a) ...................... 5,500 36,025
Chase Corporation ............................. 7,383 70,508
Energy Conversion Devices, Inc. (a) ........... 300 5,514
FuelCell Energy, Inc. (a) ..................... 400 1,272
General Cable Corporation (a) ................. 2,700 73,278
GrafTech International Ltd. (a) (b) ........... 128,600 1,130,394
GT Solar International, Inc. (a) (b) .......... 146,850 1,041,166
II-VI, Inc. (a) ............................... 12,427 297,875
Polypore International, Inc. (a) (b) .......... 151,453 1,141,956
Powell Industries, Inc. (a) (b) ............... 43,205 1,554,948
SunPower Corporation - Class B (a) ............ 2,300 58,328
Thomas & Betts Corporation (a) (b) ............ 46,759 1,455,140
Woodward Governor Company (b) ................. 37,514 748,779
------------
8,006,572
------------
INDUSTRIAL CONGLOMERATES -- 0.3%
McDermott International, Inc. (a) (b) ......... 66,200 1,068,468
Otter Tail Corporation ........................ 114 2,528
Raven Industries, Inc. ........................ 14,664 350,470
Standex International Corporation ............. 3,900 54,093
------------
1,475,559
------------
MACHINERY -- 3.1%
American Railcar Industries, Inc. ............. 50,345 459,147
Ampco-Pittsburgh Corporation .................. 25,472 620,498
Blount International, Inc. (a) ................ 56,918 364,275
Chart Industries, Inc. (a) (b) ................ 114,619 1,585,181
CIRCOR International, Inc. (b) ................ 35,882 923,244
CNH Global N.V. ............................... 200 3,192
Colfax Corporation (a) ........................ 51,948 448,311
Columbus McKinnon Corporation (a) ............. 7,078 91,731
Dynamic Materials Corporation ................. 700 11,228
Flowserve Corporation (b) ..................... 900 61,110
Force Protection, Inc. (a) .................... 10,000 76,200
Gardner Denver, Inc. (a) (b) .................. 50,603 1,347,052
Harsco Corporation (b) ........................ 50,280 1,385,214
John Bean Technologies Corporation (b) ........ 100,260 1,104,865
K-Tron International, Inc. (a) ................ 600 48,252
17
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 13.6% (CONTINUED)
MACHINERY -- 3.1% (CONTINUED)
L.B. Foster Company - Class A (a) ............. 9,084 $ 297,501
Manitowoc Company, Inc. (The) ................. 84,579 503,245
Met-Pro Corporation ........................... 4,072 41,494
Mueller Industries, Inc. (b) .................. 50,415 1,107,617
Mueller Water Products, Inc. - Class A (b) .... 246,810 1,034,134
NACCO Industries, Inc. - Class A .............. 4,196 160,497
Navistar International Corporation (a) ........ 1,500 56,700
Pall Corporation (b) .......................... 50,000 1,320,500
Robbins & Myers, Inc. ......................... 800 15,160
Sauer-Danfoss, Inc. (b) ....................... 213,100 884,365
SPX Corporation (b) ........................... 29,700 1,371,249
Timken Company (b) ............................ 81,880 1,316,630
Trinity Industries, Inc. ...................... 8,400 122,724
Xerium Technologies, Inc. (a) ................. 17,467 14,498
------------
16,775,814
------------
MARINE -- 0.3%
Diana Shipping, Inc. .......................... 3,900 61,230
Excel Maritime Carriers Ltd. .................. 2,900 20,619
Genco Shipping & Trading Ltd. ................. 3,600 68,760
International Shipholding Corporation (b) ..... 25,542 536,382
OceanFreight, Inc. ............................ 3,600 4,572
TBS International Ltd. (a) .................... 114,856 910,808
------------
1,602,371
------------
PROFESSIONAL SERVICES -- 0.8%
First Advantage Corporation (a) ............... 2,610 37,427
Franklin Covey Company (a) .................... 2,321 9,725
Manpower, Inc. (b) ............................ 49,300 2,124,337
Monster Worldwide, Inc. (a) ................... 15,600 215,280
Volt Information Sciences, Inc. (a) (b) ....... 160,691 1,153,761
VSE Corporation (b) ........................... 29,477 881,068
------------
4,421,598
------------
ROAD & RAIL -- 0.7%
Avis Budget Group, Inc. (a) ................... 5,600 11,704
Marten Transport Ltd. (a) (b) ................. 71,877 1,490,729
Ryder System, Inc. (b) ........................ 51,100 1,414,959
Saia, Inc. (a) ................................ 37,486 489,567
USA Truck, Inc. (a) ........................... 16,996 238,964
------------
3,645,923
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.9%
Aircastle Ltd. ................................ 57,836 381,718
H&E Equipment Services, Inc. (a) .............. 54,229 408,344
Interline Brands, Inc. (a) (b) ................ 77,976 1,010,569
Kaman Corporation (b) ......................... 41,951 709,392
Textainer Group Holdings Ltd. (b) ............. 81,491 722,010
United Rentals, Inc. (a) ...................... 9,400 56,964
WESCO International, Inc. (a) (b) ............. 67,308 1,750,008
------------
5,039,005
------------
18
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 16.3%
COMMUNICATIONS EQUIPMENT -- 2.4%
3com Corporation (a) (b) ...................... 112,400 $ 455,220
Acme Packet, Inc. (a) (b) ..................... 250,238 1,929,335
BigBand Networks, Inc. (a) (b) ................ 199,440 1,168,718
Brocade Communications Systems, Inc. (a) ...... 236,253 1,365,542
Ceragon Networks Ltd. (a) ..................... 300 1,530
Ciena Corporation (a) ......................... 800 9,560
Cogo Group, Inc. (a) (b) ...................... 224,591 1,837,154
CommScope, Inc. (a) (b) ....................... 56,700 1,423,170
Emulex Corporation (a) ........................ 9,200 96,324
Harmonic, Inc. (a) (b) ........................ 235,060 1,722,990
Hughes Communications, Inc. (a) ............... 4,510 86,457
Infinera Corporation (a) ...................... 200 1,688
InterDigital, Inc. (a) ........................ 9,300 244,776
Oplink Communications, Inc. (a) ............... 11,616 128,241
Opnext, Inc. (a) (b) .......................... 210,629 532,891
Orckit Communications Ltd. (a) ................ 200 648
Riverbed Technology, Inc. (a) ................. 6,000 109,920
Starent Networks Corporation (a) .............. 2,900 57,217
Tellabs, Inc. (a) (b) ......................... 338,911 1,775,894
------------
12,947,275
------------
COMPUTERS & PERIPHERALS -- 1.0%
3PAR, Inc. (a) ................................ 63,960 489,933
Data Domain, Inc. (a) ......................... 7,900 130,982
Diebold, Inc. (b) ............................. 47,137 1,245,831
Logitech International S.A. (a) ............... 4,800 63,936
NCR Corporation (a) (b) ....................... 142,800 1,449,420
Netezza Corporation (a) ....................... 84,245 681,542
QLogic Corporation (a) ........................ 9,300 131,874
Rackable Systems, Inc. (a) .................... 1,800 8,208
Seagate Technology ............................ 1,400 11,424
STEC, Inc. (a) ................................ 9,000 86,400
Super Micro Computer, Inc. (a) ................ 66,158 345,345
Synaptics, Inc. (a) ........................... 2,000 64,960
Teradata Corporation (a) (b) .................. 61,400 1,026,608
------------
5,736,463
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.1%
Arrow Electronics, Inc. (a) (b) ............... 95,200 2,164,848
Avnet, Inc. (a) (b) ........................... 92,100 2,016,069
Checkpoint Systems, Inc. (a) .................. 48,229 585,982
China Security & Surveillance Technology,
Inc. (a) ................................... 34,740 235,537
Cogent, Inc. (a) (b) .......................... 54,200 614,628
CPI International, Inc. (a) ................... 2,623 28,722
CTS Corporation ............................... 24,143 146,548
Flextronics International Ltd. (a) ............ 45,000 174,600
FLIR Systems, Inc. (a) ........................ 200 4,436
Ingram Micro, Inc. - Class A (a) (b) .......... 88,900 1,290,828
Jabil Circuit, Inc. (b) ....................... 141,227 1,143,939
Methode Electronics, Inc. ..................... 78,993 475,538
19
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 16.3% (CONTINUED)
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 3.1%
(CONTINUED)
Molex, Inc. ................................... 1,300 $ 21,671
Multi-Fineline Electronix, Inc. (a) ........... 75,154 1,508,341
PC Connection, Inc. (a) ....................... 5,070 25,096
Plexus Corporation (a) ........................ 400 8,860
Rogers Corporation (a) (b) .................... 42,222 1,074,550
Spectrum Control, Inc. (a) .................... 4,149 29,333
Tech Data Corporation (a) ..................... 65,000 1,871,350
Trimble Navigation Ltd. (a) ................... 65,500 1,404,320
TTM Technologies, Inc. (a) .................... 6,087 45,166
Universal Display Corporation (a) ............. 500 5,645
Vishay Intertechnology, Inc. (a) (b) .......... 332,451 1,951,487
------------
16,827,494
------------
INTERNET SOFTWARE & SERVICES -- 1.7%
Art Technology Group, Inc. (a) (b) ............ 299,328 939,890
AsiaInfo Holdings, Inc. (a) (b) ............... 64,700 1,083,725
CryptoLogic Ltd. .............................. 60 411
Equinix, Inc. (a) ............................. 14,400 1,011,312
GigaMedia Ltd. (a) ............................ 15,000 99,750
Limelight Networks, Inc. (a) .................. 176,878 866,702
Rackspace Hosting, Inc. (a) (b) ............... 147,428 1,354,863
S1 Corporation (a) (b) ........................ 158,087 980,140
SAVVIS, Inc. (a) .............................. 60,400 687,352
SINA Corporation (a) .......................... 2,300 64,423
United Online, Inc. ........................... 50,720 268,816
ValueClick, Inc. (a) .......................... 71,900 762,140
VeriSign, Inc. (a) ............................ 200 4,116
Websense, Inc. (a) ............................ 73,300 1,306,939
------------
9,430,579
------------
IT SERVICES -- 3.5%
Broadridge Financial Solutions, Inc. (b) ...... 55,300 1,070,055
CACI International, Inc. - Class A (a) ........ 17,800 703,990
CIBER, Inc. (a) (b) ........................... 200,860 648,778
Convergys Corporation (a) (b) ................. 179,798 1,817,758
DST Systems, Inc. (a) ......................... 1,400 50,638
Genpact Ltd. (a) (b) .......................... 107,831 966,166
Global Payments, Inc. (b) ..................... 28,528 914,608
Hewitt Associates, Inc. - Class A (a) (b) ..... 33,000 1,034,880
iGATE Corporation (b) ......................... 121,750 461,432
Lender Processing Services, Inc. (b) .......... 29,700 851,202
Metavante Technologies, Inc. (a) (b) .......... 42,200 995,498
Ness Technologies, Inc. (a) (b) ............... 154,140 568,777
Perot Systems Corporation (a) (b) ............. 95,700 1,345,542
Sapient Corporation (a) (b) ................... 281,390 1,443,531
TeleTech Holdings, Inc. (a) (b) ............... 165,565 2,197,047
TNS, Inc. (a) ................................. 141,724 2,388,049
20
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 16.3% (CONTINUED)
IT SERVICES -- 3.5% (CONTINUED)
Total System Services, Inc. (b) ............... 91,800 $ 1,144,746
Virtusa Corporation (a) (b) ................... 50,400 322,056
------------
18,924,753
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.7%
Amkor Technology, Inc. (a) .................... 47,782 205,941
Atheros Communications, Inc. (a) .............. 2,000 34,440
Atmel Corporation (a) (b) ..................... 355,905 1,366,675
ATMI, Inc. (a) ................................ 1,300 20,527
Cree, Inc. (a) ................................ 23,500 643,665
Fairchild Semiconductor International,
Inc. (a) (b) ............................... 234,443 1,444,169
FormFactor, Inc. (a) .......................... 2,900 50,547
Integrated Device Technology, Inc. (a) (b) .... 231,398 1,256,491
Intersil Corporation - Class A (b) ............ 39,100 453,560
Kopin Corporation (a) ......................... 15,862 43,621
LSI Logic Corporation (a) ..................... 2,500 9,600
MEMC Electronic Materials, Inc. (a) ........... 4,100 66,420
Micron Technology, Inc. (a) ................... 151,000 736,880
National Semiconductor Corporation ............ 15,400 190,498
NetLogic Microsystems, Inc. (a) ............... 1,700 55,403
OmniVision Technologies, Inc. (a) ............. 1,300 12,363
PMC-Sierra, Inc. (a) .......................... 8,400 66,528
Rambus, Inc. (a) .............................. 16,400 196,472
Sigma Designs, Inc. (a) ....................... 4,600 59,432
Silicon Laboratories, Inc. (a) ................ 2,600 86,476
Techwell, Inc. (a) ............................ 3,400 25,058
Tessera Technologies, Inc. (a) ................ 1,500 21,060
Triquint Semiconductor, Inc. (a) (b) .......... 322,951 1,236,902
Volterra Semiconductor Corporation (a) ........ 34,400 395,256
Zoran Corporation (a) (b) ..................... 40,387 361,060
------------
9,039,044
------------
SOFTWARE -- 2.9%
ACI Worldwide, Inc. (a) ....................... 6,739 116,383
ANSYS, Inc. (a) ............................... 20,918 577,755
ArcSight, Inc. (a) (b) ........................ 140,993 2,128,994
Cadence Design Systems, Inc. (a) .............. 11,400 63,612
CDC Corporation - Class A (a) ................. 1,800 2,124
Commvault Systems, Inc. (a) ................... 3,100 38,595
Compuware Corporation (a) ..................... 137,563 1,028,971
Deltek, Inc. (a) .............................. 29,693 122,335
Double-Take Software, Inc. (a) ................ 52,670 427,680
Ebix, Inc. (a) ................................ 3,878 107,808
Fair Isaac Corporation ........................ 20,500 344,810
i2 Technologies, Inc. (a) ..................... 17,612 157,099
Net 1 UEPS Technologies, Inc. (a) (b) ......... 68,731 1,134,062
NetScout Systems, Inc. (a) (b) ................ 111,204 999,724
NetSuite, Inc. (a) ............................ 84,629 1,183,960
Novell, Inc. (a) (b) .......................... 327,719 1,232,224
Nuance Communications, Inc. (a) ............... 4,700 62,745
21
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 16.3% (CONTINUED)
SOFTWARE -- 2.9% (CONTINUED)
Parametric Technology Corporation (a) (b) ..... 137,703 $ 1,535,389
Pegasystems, Inc. ............................. 48,798 852,501
PROS Holdings, Inc. (a) (b) ................... 125,589 811,305
Quality Systems, Inc. ......................... 200 10,724
Quest Software, Inc. (a) (b) .................. 102,214 1,485,169
Red Hat, Inc. (a) (b) ......................... 30,100 519,827
Smith Micro Software, Inc. (a) ................ 300 2,580
Sourcefire, Inc. (a) .......................... 18,598 201,416
Take-Two Interactive Software, Inc. (a) ....... 11,400 103,512
THQ, Inc. (a) ................................. 1,300 4,446
TIBCO Software, Inc. (a) ...................... 95,500 603,560
TiVo, Inc. (a) ................................ 4,700 35,250
------------
15,894,560
------------
MATERIALS -- 7.2%
CHEMICALS -- 3.3%
A. Schulman, Inc. (b) ......................... 71,711 1,125,146
Airgas, Inc. (b) .............................. 13,600 586,432
Albemarle Corporation (b) ..................... 37,800 1,013,796
Ashland, Inc. (b) ............................. 73,146 1,606,286
Cabot Corporation ............................. 30,188 440,745
Celanese Corporation - Series A (b) ........... 110,700 2,306,988
Cytec Industries, Inc. (b) .................... 56,400 1,120,104
Flotek Industries, Inc. (a) ................... 700 1,449
FMC Corporation (b) ........................... 15,600 760,188
Huntsman Corporation (b) ...................... 251,500 1,348,040
Innophos Holdings, Inc. (b) ................... 72,681 1,077,859
Intrepid Potash, Inc. (a) ..................... 2,900 71,601
Lubrizol Corporation (b) ...................... 36,798 1,590,409
Minerals Technologies, Inc. (b) ............... 25,400 944,626
NewMarket Corporation ......................... 20,103 1,266,489
Rockwood Holdings, Inc. (a) (b) ............... 87,303 1,073,827
Stepan Company (b) ............................ 16,500 652,905
Terra Industries, Inc. (b) .................... 36,100 956,650
Zoltek Companies, Inc. (a) .................... 900 7,083
------------
17,950,623
------------
CONSTRUCTION MATERIALS -- 0.0%
Eagle Materials, Inc. ......................... 1,200 33,360
Headwaters, Inc. (a) .......................... 2,800 7,056
------------
40,416
------------
CONTAINERS & PACKAGING -- 2.0%
Bemis Company, Inc. (b) ....................... 89,300 2,146,772
BWAY Holding Company (a) (b) .................. 68,267 636,249
Myers Industries, Inc. ........................ 51,070 512,232
Owens-Illinois, Inc. (a) (b) .................. 53,500 1,304,865
Pactiv Corporation (a) (b) .................... 61,100 1,335,646
Rock-Tenn Company - Class A ................... 33,800 1,276,288
Sealed Air Corporation (b) .................... 88,600 1,688,716
Silgan Holdings, Inc. (b) ..................... 24,135 1,122,036
22
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 7.2% (CONTINUED)
CONTAINERS & PACKAGING -- 2.0% (CONTINUED)
Sonoco Products Company ....................... 7,200 $ 175,752
Temple-Inland, Inc. ........................... 56,600 675,804
------------
10,874,360
------------
METALS & MINING -- 1.3%
AMCOL International Corporation ............... 26,200 507,756
ASA Ltd. ...................................... 9,200 484,380
Century Aluminum Company (a) .................. 14,600 58,984
Cliffs Natural Resources, Inc. (b) ............ 30,600 705,636
Coeur d'Alene Mines Corporation (a) ........... 170,800 235,704
Commercial Metals Company ..................... 20,000 297,600
Compass Minerals International, Inc. .......... 2,500 120,550
Crystallex International Corporation (a) ...... 3,000 840
Eldorado Gold Corporation (a) ................. 7,400 59,200
Golden Star Resources Ltd. (a) ................ 5,800 7,772
Hecla Mining Company (a) ...................... 148,800 367,536
Horsehead Holding Corporation (a) (b) ......... 185,703 1,325,919
IAMGOLD Corporation ........................... 7,500 59,925
Ivanhoe Mines Ltd. (a) ........................ 11,800 75,638
Northern Dynasty Minerals Ltd. (a) ............ 2,500 16,275
NovaGold Resources, Inc. (a) .................. 14,000 38,220
Pan American Silver Corporation (a) ........... 6,500 107,120
Reliance Steel & Aluminum Company ............. 43,500 1,532,505
Royal Gold, Inc. .............................. 3,400 122,944
Seabridge Gold, Inc. (a) ...................... 1,100 21,780
Silver Standard Resources, Inc. (a) ........... 1,200 20,376
Silver Wheaton Corporation (a) ................ 8,400 64,008
Stillwater Mining Company (a) ................. 132,600 598,026
Titanium Metals Corporation ................... 14,100 95,739
US Gold Corporation (a) ....................... 125,529 249,803
------------
7,174,236
------------
PAPER & FOREST PRODUCTS -- 0.6%
International Paper Company (b) ............... 143,700 1,819,242
Louisiana-Pacific Corporation ................. 8,000 32,560
MeadWestvaco Corporation (b) .................. 60,700 950,562
P.H. Glatfelter Company (b) ................... 62,099 551,439
------------
3,353,803
------------
TELECOMMUNICATION SERVICES -- 0.7%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.2%
Atlantic Tele-Network, Inc. ................... 10,188 224,951
CenturyTel, Inc. .............................. 100 2,715
Frontier Communications Corporation ........... 8,600 61,146
Level 3 Communications, Inc. (a) .............. 171,100 191,632
NTELOS Holdings Corporation (b) ............... 39,000 623,220
SureWest Communications ....................... 39,141 252,068
Windstream Corporation ........................ 7,500 62,250
------------
1,417,982
------------
23
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 71.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES -- 0.7% (CONTINUED)
WIRELESS TELECOMMUNICATION SERVICES -- 0.5%
NII Holdings, Inc. (a) (b) .................... 75,400 $ 1,218,464
Syniverse Holdings, Inc. (a) (b) .............. 95,226 1,199,848
United States Cellular Corporation (a) ........ 5,300 180,200
------------
2,598,512
------------
UTILITIES -- 4.0%
ELECTRIC UTILITIES -- 0.4%
El Paso Electric Company (a) (b) .............. 69,700 961,860
NV Energy, Inc. (b) ........................... 90,400 926,600
Pepco Holdings, Inc. .......................... 14,900 178,055
Unitil Corporation (b) ........................ 11,629 238,162
------------
2,304,677
------------
GAS UTILITIES -- 1.5%
AGL Resources, Inc. (b) ....................... 51,712 1,611,863
Atmos Energy Corporation (b) .................. 54,328 1,342,445
Energen Corporation (b) ....................... 44,150 1,594,698
ONEOK, Inc. (b) ............................... 51,839 1,356,626
Southwest Gas Corporation (b) ................. 51,700 1,044,857
UGI Corporation (b) ........................... 56,452 1,295,009
------------
8,245,498
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.3%
Mirant Corporation (a) ........................ 4,200 53,466
Reliant Energy, Inc. (a) (b) .................. 240,200 1,191,392
------------
1,244,858
------------
MULTI-UTILITIES -- 1.2%
Alliant Energy Corporation .................... 47,700 1,066,572
MDU Resources Group, Inc. (b) ................. 46,000 808,220
NiSource, Inc. (b) ............................ 98,400 1,081,416
OGE Energy Corporation (b) .................... 48,449 1,245,624
TECO Energy, Inc. (b) ......................... 116,835 1,237,283
Vectren Corporation (b) ....................... 53,785 1,192,413
------------
6,631,528
------------
WATER UTILITIES -- 0.6%
American States Water Company (b) ............. 34,530 1,192,321
Artesian Resources Corporation - Class A (b) .. 2,895 42,441
California Water Service Group (b) ............ 29,700 1,159,191
SJW Corporation (b) ........................... 27,275 687,330
York Water Company (b) ........................ 2,197 29,066
------------
3,110,349
------------
TOTAL COMMON STOCKS (Cost $368,047,815) ........... $391,195,039
------------
24
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% SHARES VALUE
- --------------------------------------------------------------------------------
40/86 Strategic Income Fund ......................... 14,673 $ 96,989
Adams Express Company (The) ......................... 21,480 175,062
Advent/Claymore Convertible Securities & Income Fund 100 1,140
Advent/Claymore Enhanced Growth & Income Fund ....... 32,708 277,037
Alliance California Municipal Income Fund, Inc. ..... 7,868 90,403
Alliance New York Municipal Income Fund, Inc. ....... 2,030 24,015
Alpine Global Premier Properties Fund ............... 327,277 1,273,108
American Income Fund, Inc. .......................... 200 1,232
American Select Portfolio, Inc. ..................... 14,030 129,076
American Strategic Income Portfolio, Inc. ........... 2,995 26,626
American Strategic Income Portfolio, Inc. II ........ 16,419 140,711
American Strategic Income Portfolio, Inc. III ....... 27,079 222,048
Bancroft Fund Ltd. .................................. 1,681 19,651
BlackRock California Insured Municipal Income Trust . 4,935 56,456
BlackRock California Investment Quality Municipal
Trust ............................................ 400 4,020
BlackRock California Municipal Bond Trust ........... 4,182 49,097
BlackRock California Municipal Income Trust ......... 800 9,400
BlackRock California Municipal Income Trust II ...... 8,590 93,459
BlackRock Enhanced Capital & Income Fund ............ 32,912 374,539
BlackRock Enhanced Dividend Achievers Trust ......... 2,400 16,128
BlackRock Florida Municipal 2020 Term Trust ......... 666 7,739
BlackRock Income Trust .............................. 48,320 295,235
BlackRock Insured Municipal Income Investment Trust . 6,778 78,828
BlackRock International Growth & Income Trust ....... 100 870
BlackRock Investment Quality Municipal Income Trust . 700 6,776
BlackRock Long-Term Municipal Advantage Trust ....... 100 879
BlackRock Muni New York Intermediate Duration
Fund, Inc. ....................................... 3,393 35,966
BlackRock Municipal Bond Investment Trust ........... 2,300 27,094
BlackRock Municipal Income Investment Trust ......... 300 3,570
BlackRock MuniEnhanced Fund, Inc. ................... 30,332 269,348
BlackRock MuniHoldings California Insured Fund, Inc. 87,622 966,471
BlackRock MuniHoldings Fund, Inc. ................... 4,890 58,533
BlackRock MuniHoldings Insured Fund II, Inc. ........ 27,656 297,579
BlackRock MuniHoldings Insured Fund, Inc. ........... 11,408 124,005
BlackRock MuniHoldings Insured Investment Fund ...... 67,713 750,937
BlackRock MuniHoldings New Jersey Insured Fund, Inc. 15,735 190,394
BlackRock MuniHoldings New York Insured Fund, Inc. .. 43,501 469,811
BlackRock MuniYield California Fund, Inc. ........... 41,499 469,769
BlackRock MuniYield California Insured Fund, Inc. ... 45,544 507,360
BlackRock MuniYield Insured Investment Fund ......... 7,398 82,118
BlackRock MuniYield Investment Fund ................. 18,843 206,331
BlackRock MuniYield Michigan Insured Fund II, Inc. .. 18,550 187,726
BlackRock MuniYield Michigan Insured Fund, Inc. ..... 26,931 290,047
BlackRock MuniYield New Jersey Fund, Inc. ........... 6,599 80,112
BlackRock MuniYield New Jersey Insured Fund, Inc. ... 7,121 85,096
BlackRock MuniYield New York Insured Fund, Inc. ..... 58,103 617,054
BlackRock MuniYield Pennsylvania Insured Fund ....... 11,272 133,799
BlackRock MuniYield Quality Fund II, Inc. ........... 24,134 245,201
BlackRock New York Insured Municipal Income Trust ... 300 3,540
BlackRock New York Investment
Quality Municipal Trust, Inc. .................... 100 1,179
25
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
BlackRock New York Municipal Income Trust II ........ 2,779 $ 31,847
BlackRock Pennsylvania Strategic Municipal Trust .... 1,701 16,755
BlackRock Real Asset Equity Trust ................... 104,703 820,872
BlackRock S&P Quality Rankings Global
Equity Managed Trust ............................. 6,010 56,434
BlackRock Senior High Income Fund, Inc. ............. 100 261
BlackRock Strategic Dividend Achievers Trust ........ 48,448 364,329
Blue Chip Value Fund, Inc. .......................... 200 488
Boulder Growth & Income Fund, Inc. .................. 102,776 448,103
Boulder Total Return Fund, Inc. ..................... 43,463 408,552
Calamos Global Total Return Fund .................... 3,428 33,800
Central Securities Corporation ...................... 10,079 141,207
Chartwell Dividend and Income Fund, Inc. ............ 20,081 59,038
Chile Fund, Inc. .................................... 100 1,188
Clough Global Allocation Fund ....................... 18,618 211,873
Clough Global Equity Fund ........................... 43,942 457,436
Clough Global Opportunities Fund .................... 99,757 975,623
Cohen & Steers Advantage Income Realty Fund, Inc. ... 100 343
Cohen & Steers Dividend Majors Fund, Inc. ........... 29,650 240,165
Cohen & Steers Global Income Builder, Inc. .......... 74,853 525,468
Cohen & Steers Premium Income Realty Fund, Inc. ..... 100 333
Cohen & Steers Quality Income Realty Fund, Inc. ..... 8,701 31,063
Cohen & Steers REIT and Utility Income Fund, Inc. ... 251,877 1,468,443
Cohen & Steers Select Utility Fund, Inc. ............ 85,751 839,502
Cohen & Steers Total Return Realty Fund, Inc. ....... 2,500 17,250
Cohen & Steers Worldwide Realty Income Fund, Inc. ... 72,852 222,927
Credit Suisse High Yield Bond Fund .................. 400 716
DCA Total Return Fund ............................... 67,370 110,487
DCW Total Return Fund (The) ......................... 35,272 111,107
Delaware Enhanced Global Dividend and Income Fund ... 100 747
Delaware Investments Arizona Municipal Income
Fund, Inc. ....................................... 4,503 46,291
Delaware Investments Colorado Municipal Income
Fund, Inc. ....................................... 1,061 12,838
Delaware Investments Global Dividend
and Income Fund, Inc. ............................ 100 491
Delaware Investments National Municipal Income Fund . 200 2,270
Denali Fund (The) ................................... 2,785 26,513
Diamond Hill Financial Trends Fund, Inc. ............ 25,860 141,971
Dreman/Claymore Dividend & Income Fund .............. 41,366 75,700
Dreyfus High Yield Strategies Fund .................. 30,825 85,385
Dreyfus Municipal Income, Inc. ...................... 14,004 106,430
DTF Tax-Free Income, Inc. ........................... 7,414 94,380
DWS Dreman Value Income Edge Fund, Inc. ............. 80,250 317,790
DWS Multi-Market Income Trust ....................... 100 645
DWS Municipal Income Trust .......................... 21,867 213,859
DWS RREEF Real Estate Fund II, Inc. ................. 21,847 12,890
DWS RREEF Real Estate Fund, Inc. .................... 68,281 148,853
DWS RREEF World Real Estate & Tactical
Strategies Fund, Inc. ............................ 40,597 210,698
DWS Strategic Income Trust .......................... 9,258 81,007
Eagle Capital Growth Fund, Inc. ..................... 200 872
26
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Eaton Vance Credit Opportunities Fund ............... 100 $ 539
Eaton Vance Floating-Rate Income Trust .............. 100 935
Eaton Vance Insured Massachusetts Municipal Bond Fund 100 1,350
Eaton Vance Insured Michigan Municipal Bond Fund .... 454 5,285
Eaton Vance Michigan Municipal Income Trust ......... 1,397 15,786
Eaton Vance Pennsylvania Municipal Income Trust ..... 244 2,662
Eaton Vance Short Duration Diversified Income Fund .. 21,164 280,211
Eaton Vance Tax-Advantaged Dividend Income Fund ..... 84,933 858,673
Eaton Vance Tax-Advantaged Global
Dividend Income Fund (b) ......................... 213,055 1,908,973
Eaton Vance Tax-Advantaged Global
Dividend Opportunities Fund ...................... 699 8,807
Eaton Vance Tax-Managed Global Buy-Write
Opportunities Fund ............................... 151,524 1,530,392
Eaton Vance Tax-Managed Global Diversified
Equity Income Fund ............................... 100 940
Equus Total Return, Inc. ............................ 8,694 20,866
European Equity Fund, Inc. (The) .................... 15,618 76,528
Evergreen Global Dividend Opportunity Fund .......... 62,650 561,971
Evergreen International Balanced Income Fund ........ 25,657 283,253
Evergreen Multi-Sector Income Fund .................. 34,768 382,448
Fiduciary/Claymore Dynamic Equity Fund (c) .......... 800 3,368
First Israel Fund, Inc. ............................. 4,307 39,538
First Opportunity Fund, Inc. ........................ 1,300 6,331
First Trust Enhanced Equity Income Fund ............. 83,237 705,850
First Trust Tax-Advantaged Preferred Income Fund .... 300 1,185
First Trust/Aberdeen Emerging Opportunity Fund ...... 20,503 242,140
First Trust/Aberdeen Global Opportunity Fund ........ 25,083 289,709
First Trust/Four Corners Senior Floating Rate Income
Fund ............................................. 12,924 112,051
First Trust/Four Corners Senior Floating Rate Income
Fund II .......................................... 100 940
Flaherty & Crumrine/Claymore Total Return Fund, Inc. 18,642 142,611
Fort Dearborn Income Securities, Inc. ............... 100 1,333
Foxby Corporation (a) ............................... 1,100 770
Franklin Templeton Limited Duration Income Trust .... 11,266 107,590
Franklin Universal Trust ............................ 58,749 240,283
Gabelli Dividend & Income Trust ..................... 119,446 1,137,126
Gabelli Global Deal Fund (The) ...................... 55,211 703,940
Gabelli Global Multimedia Trust, Inc. ............... 24,737 100,927
Gabelli Global Utility & Income Trust ............... 1,600 23,488
Gabelli Healthcare and WellnessRx Trust (The) ....... 17,867 88,263
General American Investors Company, Inc. ............ 48,811 836,621
Global High Income Fund, Inc. ....................... 21,799 201,641
Global Income & Currency Fund, Inc. ................. 16,498 225,198
Global Income Fund .................................. 2,900 7,627
H&Q Healthcare Investors (a) ........................ 6,164 64,044
H&Q Life Sciences Investors (a) ..................... 18,169 147,714
Helios Advantage Income Fund, Inc. .................. 4,100 4,264
Helios High Income Fund, Inc. ....................... 24,895 27,136
Helios Multi-Sector High Income Fund, Inc. .......... 92,898 70,602
Highland Credit Strategies Fund ..................... 203,090 999,203
27
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Indonesia Fund, Inc. ................................ 100 $ 670
ING Clarion Global Real Estate Income Fund .......... 7,081 29,315
ING Clarion Real Estate Income Fund ................. 16,912 58,008
ING Prime Rate Trust ................................ 183,360 716,938
Japan Equity Fund, Inc. (The) ....................... 75,722 331,662
Japan Smaller Capitalization Fund, Inc. ............. 31,800 195,888
John Hancock Bank and Thrift Opportunity Fund ....... 18,189 217,722
John Hancock Patriot Premium Dividend Fund II ....... 63,621 419,899
John Hancock Tax-Advantaged Dividend Income Fund .... 100 836
John Hancock Tax-Advantaged Global Shareholder
Yield Fund ....................................... 4,261 41,545
Korea Equity Fund, Inc. ............................. 100 649
Lazard Global Total Return & Income Fund, Inc. ...... 12,251 132,188
Lazard World Dividend & Income Fund, Inc. ........... 11,710 90,753
Liberty All-Star Equity Fund ........................ 201,603 687,466
Liberty All-Star Growth Fund, Inc. .................. 80,654 214,540
LMP Capital and Income Fund, Inc. ................... 68,854 526,045
LMP Corporate Loan Fund, Inc. ....................... 15,250 118,493
LMP Real Estate Income Fund, Inc. ................... 15,681 78,405
Macquarie Global Infrastructure Total Return
Fund, Inc. ....................................... 61,223 667,943
Macquarie/First Trust Global Infrastructure/
Utilities Dividend & Income Fund ................. 43,960 384,650
Madison Strategic Sector Premium Fund ............... 11,785 111,368
Madison/Claymore Covered Call & Equity Strategy Fund 19,608 129,413
Malaysia Fund, Inc. ................................. 100 554
MBIA Capital/Claymore Managed Duration Investment
Grade Municipal Fund ............................. 5,580 59,650
Mexico Equity and Income Fund, Inc. (The) ........... 28,610 142,478
Mexico Fund, Inc. (The) (a) ......................... 2,600 37,700
MFS Charter Income Trust ............................ 32,093 246,474
MFS InterMarket Income Trust I ...................... 102 724
MFS Investment Grade Municipal Trust ................ 3,056 23,745
MFS Multimarket Income Trust ........................ 400 2,168
MFS Special Value Trust ............................. 7,679 33,864
Montgomery Street Income Securities, Inc. ........... 1,706 23,372
Morgan Stanley Asia-Pacific Fund, Inc. .............. 1,076 11,621
Morgan Stanley California Insured Municipal
Income Trust ..................................... 15,621 178,079
Morgan Stanley California Quality Municipal
Securities ....................................... 6,458 66,582
Morgan Stanley Eastern Europe Fund, Inc. ............ 500 4,670
Morgan Stanley Emerging Markets Debt Fund, Inc. ..... 90,785 687,242
Morgan Stanley Emerging Markets Domestic Debt
Fund, Inc. (b) ................................... 192,118 2,001,870
Morgan Stanley Global Opportunity Bond Fund, Inc. ... 7,136 36,750
Morgan Stanley Insured California Municipal
Securities ....................................... 100 1,286
Morgan Stanley Insured Municipal Bond Trust ......... 100 1,237
Morgan Stanley Insured Municipal Income Trust ....... 100 1,272
Morgan Stanley Municipal Income Opportunities
Trust III ........................................ 100 662
Morgan Stanley New York Quality Municipal Securities 3,278 37,402
New America High Income Fund, Inc. .................. 5,237 30,794
New Germany Fund, Inc. (The) ........................ 40,042 303,919
New Ireland Fund, Inc. (The) ........................ 1,899 9,552
NFJ Dividend, Interest & Premium Strategy Fund ...... 181,223 2,004,326
Nicholas-Applegate Convertible & Income Fund ........ 7,475 41,038
28
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Nicholas-Applegate Convertible & Income Fund II ..... 28,469 $ 143,484
Nicholas-Applegate Equity & Convertible Income Fund . 60,100 721,801
Nicholas-Applegate Global Equity & Convertible
Income Fund ...................................... 11,499 116,025
Nicholas-Applegate International & Premium
Strategy Fund .................................... 3,800 39,444
Nuveen Arizona Dividend Advantage Municipal Fund .... 1,100 12,155
Nuveen Arizona Dividend Advantage Municipal Fund 2 .. 300 3,600
Nuveen Arizona Dividend Advantage Municipal Fund 3 .. 301 3,170
Nuveen California Dividend Advantage Municipal Fund . 331 3,691
Nuveen California Dividend Advantage Municipal Fund 2 16,161 182,619
Nuveen California Investment Quality Municipal Fund . 16,964 188,300
Nuveen California Municipal Market Opportunity Fund . 7,450 82,546
Nuveen California Performance Plus Municipal
Fund, Inc. ....................................... 12,093 131,451
Nuveen California Premium Income Municipal Fund ..... 8,384 88,619
Nuveen California Quality Income Municipal Fund ..... 10,123 119,451
Nuveen California Select Quality Municipal Fund, Inc. 2,717 30,919
Nuveen Connecticut Dividend Advantage Municipal
Fund 2 ........................................... 100 1,340
Nuveen Connecticut Premium Income Municipal Fund .... 1,100 13,618
Nuveen Core Equity Alpha Fund ....................... 30,104 277,258
Nuveen Diversified Dividend and Income Fund ......... 17,491 113,866
Nuveen Equity Premium Advantage Fund ................ 30,386 324,522
Nuveen Equity Premium Income Fund ................... 81,027 832,147
Nuveen Equity Premium Opportunity Fund .............. 100 1,082
Nuveen Floating Rate Income Fund .................... 111,789 737,807
Nuveen Floating Rate Income Opportunity Fund ........ 100 648
Nuveen Florida Investment Quality Municipal Fund .... 20,261 226,113
Nuveen Florida Quality Income Municipal Fund ........ 28,977 336,713
Nuveen Georgia Dividend Advantage Municipal Fund .... 600 7,308
Nuveen Georgia Dividend Advantage Municipal Fund 2 .. 1,269 14,416
Nuveen Georgia Premium Income Municipal Fund ........ 1,000 12,090
Nuveen Global Value Opportunities Fund .............. 13,008 155,836
Nuveen Insured California Dividend Advantage
Municipal Fund ................................... 7,585 90,792
Nuveen Insured California Premium Income Municipal
Fund ............................................. 9,162 112,601
Nuveen Insured Dividend Advantage Municipal Fund .... 963 12,220
Nuveen Insured Florida Premium Income Municipal Fund 25,507 307,614
Nuveen Insured Florida Tax Free Advantage Municipal
Fund ............................................. 2,102 24,635
Nuveen Insured Municipal Opportunity Fund, Inc. ..... 58,081 705,684
Nuveen Insured New York Dividend Advantage Municipal
Fund ............................................. 6,387 78,624
Nuveen Insured New York Premium Income Municipal Fund 7,491 90,566
Nuveen Insured New York Tax Free Advantage Municipal
Fund ............................................. 1,030 12,999
Nuveen Insured Premium Income Municipal Fund 2 ...... 10,106 112,177
Nuveen Insured Tax-Free Advantage Municipal Fund .... 1,916 24,007
Nuveen Investment Quality Municipal Fund, Inc. ...... 2,700 33,264
Nuveen Maryland Dividend Advantage Municipal Fund 2 . 100 1,217
Nuveen Maryland Dividend Advantage Municipal Fund 3 . 100 1,210
Nuveen Michigan Dividend Advantage Municipal Fund ... 2,225 24,720
Nuveen Michigan Premium Income Municipal Fund, Inc. . 8,409 91,238
Nuveen Michigan Quality Income Municipal Fund, Inc. . 18,521 207,250
Nuveen Multi-Currency Short-Term
Government Income Fund (b) ....................... 110,134 1,441,654
Nuveen Multi-Strategy Income and Growth Fund ........ 357,085 1,514,040
Nuveen Multi-Strategy Income and Growth Fund 2 (b) .. 384,554 1,707,420
29
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Nuveen New Jersey Dividend Advantage Municipal Fund . 2,506 $ 27,942
Nuveen New Jersey Dividend Advantage Municipal Fund 2 3,487 39,961
Nuveen New Jersey Investment Quality Municipal
Fund, Inc. ....................................... 17,952 204,114
Nuveen New Jersey Premium Income Municipal Fund, Inc. 11,410 136,464
Nuveen New York Dividend Advantage Municipal Fund ... 7,289 87,541
Nuveen New York Investment Quality Municipal Fund ... 23,046 282,083
Nuveen New York Performance Plus Municipal Fund, Inc. 13,858 169,622
Nuveen New York Quality Income Municipal Fund, Inc. . 24,564 294,522
Nuveen New York Select Quality Municipal Fund, Inc. . 24,596 294,414
Nuveen Ohio Dividend Advantage Municipal Fund ....... 1,908 23,716
Nuveen Ohio Dividend Advantage Municipal Fund 2 ..... 2,129 25,101
Nuveen Ohio Dividend Advantage Municipal Fund 3 ..... 200 2,546
Nuveen Ohio Quality Income Municipal Fund ........... 1,110 15,085
Nuveen Pennsylvania Dividend Advantage Municipal Fund 2,000 22,620
Nuveen Pennsylvania Dividend Advantage Municipal
Fund 2 ........................................... 5,100 58,344
Nuveen Pennsylvania Investment Quality Municipal Fund 16,099 182,563
Nuveen Pennsylvania Premium Income Municipal Fund 2 . 13,414 142,323
Nuveen Performance Plus Municipal Fund .............. 2,451 30,441
Nuveen Premier Insured Municipal Income Fund, Inc. .. 100 1,268
Nuveen Premier Municipal Income Fund, Inc. .......... 100 1,175
Nuveen Premium Income Municipal Fund 2 .............. 2,107 25,705
Nuveen Premium Income Municipal Fund 4 .............. 100 1,061
Nuveen Tax-Advantaged Dividend Growth Fund .......... 36,837 296,538
Nuveen Tax-Advantaged Floating Rate Fund ............ 2,600 7,254
Nuveen Tax-Advantaged Total Return Strategy Fund .... 3,302 24,270
Old Mutual Claymore Long-Short Fund ................. 63,227 488,112
Petroleum & Resources Corporation ................... 12,050 232,324
Putnam Master Intermediate Income Trust ............. 22,300 95,890
Putnam Premier Income Trust ......................... 28,561 122,812
Renaissance Capital Growth & Income Fund III, Inc. .. 3,500 10,115
RMR Asia Pacific Real Estate Fund ................... 5,900 39,235
RMR Asia Real Estate Fund ........................... 14,849 96,519
RMR Dividend Capture Fund ........................... 3,878 6,205
RMR F.I.R.E. Fund ................................... 3,100 3,937
RMR Hospitality and Real Estate Fund ................ 4,154 8,225
RMR Preferred Dividend Fund ......................... 3,313 3,744
RMR Real Estate Fund (a) ............................ 26,975 62,312
Seligman LaSalle International Real Estate Fund, Inc. 15,772 79,491
Singapore Fund, Inc. (The) .......................... 2,238 17,703
Source Capital, Inc. ................................ 2,807 92,687
Spain Fund, Inc. (The) .............................. 8,854 41,525
Strategic Global Income Fund, Inc. .................. 15,276 124,652
SunAmerica Focused Alpha Growth Fund, Inc. .......... 39,672 387,595
SunAmerica Focused Alpha Large-Cap Fund, Inc. ....... 4,825 48,009
Swiss Helvetia Fund, Inc. (The) ..................... 6,993 64,825
Taiwan Greater China Fund (The) ..................... 100 485
Templeton Emerging Markets Income Fund .............. 147,634 1,448,290
Thai Capital Fund, Inc. (The) ....................... 100 700
Thai Fund, Inc. (The) ............................... 100 593
Tri-Continental Corporation ......................... 22,913 205,300
TS&W/Claymore Tax-Advantaged Balanced Fund .......... 8,908 66,721
30
TFS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
CLOSED-END FUNDS -- 11.7% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
Turkish Investment Fund, Inc. (The) ................. 100 $ 712
Van Kampen Dynamic Credit Opportunities Fund ........ 100 754
Van Kampen Ohio Quality Municipal Trust ............. 100 1,291
Van Kampen Pennsylvania Value Municipal Income Trust 10,069 110,860
Van Kampen Trust for Investment
Grade New Jersey Municipals ...................... 998 13,164
Van Kampen Trust for Investment Grade New York
Municipals ....................................... 100 1,170
Western Asset Emerging Markets Debt Fund, Inc. ...... 69,006 895,698
Western Asset Emerging Markets Floating Rate
Fund, Inc. ....................................... 23,285 191,170
Western Asset Emerging Markets Income Fund, Inc. .... 55,701 502,980
Western Asset Global High Income Fund, Inc. ......... 38,660 301,548
Western Asset Municipal Partners Fund, Inc. ......... 3,578 42,220
Western Asset Variable Rate Strategic Fund, Inc. .... 11,342 125,102
Western Asset Worldwide Income Fund, Inc. ........... 29,615 280,750
Zweig Fund, Inc. .................................... 212,697 570,028
Zweig Total Return Fund, Inc. (The) ................. 124,871 412,074
------------
TOTAL CLOSED-END FUNDS (Cost $58,023,666) ........... $ 63,473,514
------------
================================================================================
SHORT-TERM INVESTMENTS -- 5.8% SHARES VALUE
- --------------------------------------------------------------------------------
UMB Money Market Fiduciary, 0.05% (b)(d)
(Cost $31,657,632) ............................... 31,657,632 $ 31,657,632
------------
TOTAL INVESTMENTS AT VALUE -- 89.4%
(Cost $457,729,113) ............................... $486,326,185
OTHER ASSETS IN EXCESS OF LIABILITIES -- 10.6% .... 57,672,237
------------
NET ASSETS -- 100.0% .............................. $543,998,422
============
ADR - American Depositary Receipt.
(a) Non-income producing security.
(b) All or a portion of the shares have been committed as collateral for open
short positions.
(c) Fair value priced (Note 2). Fair valued securities totaled $3,368 at April
30, 2009, representing 0.0% of net assets.
(d) Variable rate security.
See accompanying notes to financial statements.
31
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT
APRIL 30, 2009 (UNAUDITED)
================================================================================
COMMON STOCKS -- 54.8% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 15.5%
AUTO COMPONENTS -- 1.0%
Autoliv, Inc. ................................. 10,200 $ 251,634
Cooper Tire & Rubber Company .................. 197,658 1,634,632
Drew Industries, Inc. (a) ..................... 40,007 571,300
Fuel Systems Solutions, Inc. (a) .............. 35,100 535,977
Gentex Corporation ............................ 1,200 16,044
Goodyear Tire & Rubber Company (The) (a) ...... 58,100 638,519
Magna International, Inc. - Class A ........... 5,500 186,780
Raser Technologies, Inc. (a) .................. 142,271 556,279
Superior Industries International, Inc. ....... 62,773 946,617
------------
5,337,782
------------
AUTOMOBILES -- 0.4%
Harley-Davidson, Inc. ......................... 28,100 622,696
Thor Industries, Inc. ......................... 43,800 1,006,962
Winnebago Industries, Inc. .................... 72,830 641,632
------------
2,271,290
------------
DIVERSIFIED CONSUMER SERVICES -- 0.8%
Capella Education Company (a) ................. 15,301 786,165
Corinthian Colleges, Inc. (a) ................. 27,900 429,660
Escala Group, Inc. (a) ........................ 32,500 62,400
Home Solutions of America, Inc. (a) ........... 95,563 4,969
Jackson Hewitt Tax Service, Inc. .............. 2,800 13,692
K12, Inc. (a) ................................. 37,491 659,092
Pre-Paid Legal Services, Inc. (a) ............. 10,831 398,906
Sotheby's Holdings, Inc. - Class A ............ 128,000 1,486,080
Stewart Enterprises, Inc. - Class A ........... 171,130 597,244
------------
4,438,208
------------
HOTELS, RESTAURANTS & LEISURE -- 3.1%
Ameristar Casinos, Inc. ....................... 1,800 36,936
Bally Technologies, Inc. (a) .................. 1,600 41,888
BJ's Restaurants, Inc. (a) .................... 57,998 956,387
Bob Evans Farms, Inc. ......................... 36,200 877,850
Brinker International, Inc. ................... 2,200 38,984
Buffalo Wild Wings, Inc. (a) .................. 21,722 848,027
California Pizza Kitchen, Inc. (a) ............ 79,058 1,242,001
Cheesecake Factory, Inc. (The) (a) ............ 6,000 104,220
Cracker Barrel Old Country Store, Inc. ........ 4,400 143,484
DineEquity, Inc. .............................. 300 9,612
Gaylord Entertainment Company (a) ............. 60,020 836,679
Isle of Capri Casinos, Inc. (a) ............... 100 1,074
Jack in the Box, Inc. (a) ..................... 1,500 36,885
Jamba, Inc. (a) ............................... 143,344 108,941
Landry's Restaurants, Inc. (a) ................ 400 3,656
Las Vegas Sands Corporation (a) ............... 143,100 1,119,042
Life Time Fitness, Inc. (a) ................... 54,462 1,021,707
Monarch Casino & Resort, Inc. (a) ............. 300 3,066
P.F. Chang's China Bistro, Inc. (a) ........... 51,400 1,551,252
32
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 15.5% (CONTINUED)
HOTELS, RESTAURANTS & LEISURE -- 3.1% (CONTINUED)
Panera Bread Company - Class A (a) ............ 16,400 $ 918,564
Peet's Coffee & Tea, Inc. (a) ................. 28,285 771,615
Penn National Gaming, Inc. (a) ................ 2,600 88,452
Pinnacle Entertainment, Inc. (a) .............. 100,224 1,250,796
Red Robin Gourmet Burgers, Inc. (a) ........... 40,907 1,004,267
Royal Caribbean Cruises Ltd. .................. 72,000 1,060,560
Ruby Tuesday, Inc. (a) ........................ 2,400 18,432
Steak n Shake Company (The) (a) ............... 84,538 977,259
Vail Resorts, Inc. (a) ........................ 18,184 530,973
VCG Holding Corporation (a) ................... 12,791 25,198
WMS Industries, Inc. (a) ...................... 28,500 915,135
Wynn Resorts Ltd. (a) ......................... 12,400 486,452
------------
17,029,394
------------
HOUSEHOLD DURABLES -- 1.6%
American Greetings Corporation ................ 105,522 828,348
Beazer Homes USA, Inc. (a) .................... 106,500 268,380
Black & Decker Corporation (The) .............. 13,300 535,990
Brookfield Homes Corporation .................. 46,060 241,815
Cavco Industries, Inc. (a) .................... 19,242 451,032
Dr. Horton, Inc. .............................. 5,600 73,080
Ethan Allen Interiors, Inc. ................... 60,236 810,174
Harman International Industries, Inc. ......... 2,500 45,475
iRobot Corporation (a) ........................ 33,485 384,073
KB Home ....................................... 10,800 195,156
MDC Holdings, Inc. ............................ 11,700 399,906
Meritage Homes Corporation (a) ................ 6,000 124,860
Mohawk Industries, Inc. (a) ................... 6,100 288,591
Pulte Homes, Inc. ............................. 5,800 66,758
Ryland Group, Inc. (The) ...................... 2,400 49,704
Sealy Corporation (a) ......................... 105,879 374,812
Snap-on, Inc. ................................. 10,700 362,944
Stanley Works (The) ........................... 15,200 578,056
Tempur-Pedic International, Inc. .............. 92,880 1,194,437
Toll Brothers, Inc. (a) ....................... 3,100 62,806
Whirlpool Corporation ......................... 30,600 1,381,896
------------
8,718,293
------------
INTERNET & CATALOG RETAIL -- 1.1%
BIDZ.com, Inc. (a) ............................ 2,021 8,327
Blue Nile, Inc. (a) ........................... 40,700 1,732,192
NetFlix, Inc. (a) ............................. 31,845 1,442,897
NutriSystem, Inc. ............................. 61,616 846,604
Overstock.com, Inc. (a) ....................... 44,828 604,281
PetMed Express, Inc. (a) ...................... 45,725 743,488
Priceline.com, Inc. (a) ....................... 1,200 116,508
Stamps.com, Inc. (a) .......................... 28,717 268,791
------------
5,763,088
------------
33
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 15.5% (CONTINUED)
LEISURE EQUIPMENT & PRODUCTS -- 0.6%
Brunswick Corporation ......................... 1,100 $ 6,578
Eastman Kodak Company ......................... 82,000 250,100
Hasbro, Inc. .................................. 13,500 359,910
JAKKS Pacific, Inc. (a) ....................... 1,200 15,180
Polaris Industries, Inc. ...................... 33,395 1,117,063
Pool Corporation .............................. 70,500 1,259,130
------------
3,007,961
------------
MEDIA -- 1.6%
Charter Communications, Inc. - Class A (a) .... 20,500 728
Cox Radio, Inc. - Class A (a) ................. 130,619 626,971
Dish Network Corporation - Class A (a) ........ 300 3,975
DreamWorks Animation SKG, Inc. - Class A (a) .. 1,800 43,218
Gannett Company, Inc. ......................... 396,065 1,548,614
Harte-Hanks, Inc. ............................. 81,372 672,133
Hearst-Argyle Television, Inc. ................ 6,600 29,700
Interpublic Group of Companies, Inc. (a) ...... 139,200 871,392
Lamar Advertising Company - Class A (a) ....... 105,600 1,784,640
Lee Enterprises, Inc. ......................... 103,443 39,308
Martha Stewart Living Omnimedia, Inc. (a) ..... 56,500 204,530
McClatchy Company - Class A ................... 20,438 10,832
Media General, Inc. ........................... 89,025 231,465
Meredith Corporation .......................... 66,575 1,669,701
Morningstar, Inc. (a) ......................... 300 11,901
New York Times Company (The) .................. 121,729 654,902
Regal Entertainment Group - Class A ........... 11,800 154,108
Virgin Media, Inc. ............................ 25,700 198,404
------------
8,756,522
------------
MULTI-LINE RETAIL -- 0.3%
Dillard's, Inc. ............................... 1,900 14,649
Fred's, Inc. .................................. 74,971 1,024,104
Sears Holdings Corporation (a) ................ 13,779 860,774
------------
1,899,527
------------
SPECIALTY RETAIL -- 3.3%
Aaron's, Inc. ................................. 1,400 46,984
Abercrombie & Fitch Company - Class A ......... 2,400 64,944
Aeropostale, Inc. (a) ......................... 3,900 132,483
American Eagle Outfitters, Inc. ............... 100 1,482
AnnTaylor Stores Corporation (a) .............. 17,100 126,369
AutoNation, Inc. (a) .......................... 79,700 1,411,487
Barnes & Noble, Inc. .......................... 2,800 73,136
Blockbuster, Inc. - Class A (a) ............... 236,288 189,030
CarMax, Inc. (a) .............................. 86,091 1,098,521
Christopher & Banks Corporation ............... 20,477 113,852
Collective Brands, Inc. (a) ................... 49,100 712,932
Conn's, Inc. (a) .............................. 49,090 807,040
Dick's Sporting Goods, Inc. (a) ............... 9,500 180,500
DSW, Inc. - Class A (a) ....................... 83,007 902,286
34
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 15.5% (CONTINUED)
SPECIALTY RETAIL -- 3.3% (CONTINUED)
Foot Locker, Inc. ............................. 500 $ 5,945
Genesco, Inc. (a) ............................. 700 15,946
Group 1 Automotive, Inc. ...................... 81,645 1,739,038
Guess?, Inc. .................................. 5,100 132,804
Gymboree Corporation (a) ...................... 9,400 323,360
Haverty Furniture Companies, Inc. ............. 66,500 721,525
Hibbett Sports, Inc. (a) ...................... 57,362 1,195,998
Hot Topic, Inc. (a) ........................... 12,600 154,224
J. Crew Group, Inc. (a) ....................... 81,800 1,407,778
Jos. A. Bank Clothiers, Inc. (a) .............. 18,859 762,658
Limited Brands, Inc. .......................... 17,800 203,276
Men's Warehouse, Inc. (The) ................... 55,300 1,030,792
OfficeMax, Inc. ............................... 2,600 19,370
Pep Boys - Manny Moe & Jack (The) ............. 50,400 372,960
PetSmart, Inc. ................................ 2,700 61,776
RadioShack Corporation ........................ 9,700 136,576
Rent-A-Center, Inc. (a) ....................... 1,900 36,575
Systemax, Inc. (a) ............................ 29,200 492,312
Talbots, Inc. ................................. 155,417 366,784
Tiffany & Company ............................. 32,100 928,974
Tractor Supply Company (a) .................... 22,500 908,550
Tween Brands, Inc. (a) ........................ 400 1,168
Urban Outfitters, Inc. (a) .................... 3,700 72,113
West Marine, Inc. (a) ......................... 40,837 234,813
Williams-Sonoma, Inc. ......................... 2,800 39,200
Zale Corporation (a) .......................... 119,111 443,093
Zumiez, Inc. (a) .............................. 11,400 137,484
------------
17,806,138
------------
TEXTILES, APPAREL & LUXURY GOODS -- 1.7%
Cherokee, Inc. ................................ 30,926 565,018
Columbia Sportswear Company ................... 23,200 712,704
Hanesbrands, Inc. (a) ......................... 71,900 1,183,474
Iconix Brand Group, Inc. (a) .................. 109,809 1,565,876
Jones Apparel Group, Inc. ..................... 69,600 643,104
Kenneth Cole Productions, Inc. - Class A ...... 9,964 68,951
K-Swiss, Inc. - Class A ....................... 37,700 378,508
lululemon athletica, Inc. (a) ................. 109,303 1,524,777
Phillips-Van Heusen Corporation ............... 1,600 46,448
Polo Ralph Lauren Corporation ................. 1,200 64,608
Steven Madden Ltd. (a) ........................ 700 20,594
Timberland Company (The) - Class A (a) ........ 3,800 61,712
True Religion Apparel, Inc. (a) ............... 66,243 1,043,990
Under Armour, Inc. - Class A (a) .............. 35,771 842,049
Volcom, Inc. (a) .............................. 48,699 656,950
Wolverine World Wide, Inc. .................... 1,300 27,079
------------
9,405,842
------------
35
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.9%
BEVERAGES -- 0.1%
Boston Beer Company, Inc. - Class A (a) ....... 15,520 $ 412,832
Jones Soda Company (a) ........................ 128,177 137,150
PepsiAmericas, Inc. ........................... 12,000 294,840
------------
844,822
------------
FOOD & STAPLES RETAILING -- 0.2%
Great Atlantic & Pacific Tea Company, Inc.
(The) (a) .................................. 138,627 1,017,522
Pantry, Inc. (a) .............................. 500 11,810
------------
1,029,332
------------
FOOD PRODUCTS -- 1.1%
Cal-Maine Foods, Inc. ......................... 33,820 895,215
Chiquita Brands International, Inc. (a) ....... 7,800 59,046
Flowers Foods, Inc. ........................... 34,700 801,570
Green Mountain Coffee Roasters, Inc. (a) ...... 12,830 927,737
Hain Celestial Group, Inc. (The) (a) .......... 47,965 800,536
Smithfield Foods, Inc. (a) .................... 87,700 757,728
Synutra International, Inc. (a) ............... 8,034 67,807
Tootsie Roll Industries, Inc. ................. 30,217 735,787
Treehouse Foods Inc. (a) ...................... 31,900 848,221
------------
5,893,647
------------
HOUSEHOLD PRODUCTS -- 0.0%
Energizer Holdings, Inc. (a) .................. 1,000 57,300
------------
PERSONAL PRODUCTS -- 0.4%
Chattem, Inc. (a) ............................. 18,580 1,020,228
Estee Lauder Companies, Inc. (The) - Class A .. 4,400 131,560
Mannatech, Inc. ............................... 99,829 436,253
USANA Health Sciences, Inc. (a) ............... 20,448 488,911
------------
2,076,952
------------
TOBACCO -- 0.1%
Universal Corporation ......................... 21,721 655,105
------------
ENERGY -- 1.4%
ENERGY EQUIPMENT & SERVICES -- 0.3%
Allis-Chalmers Energy, Inc. (a) ............... 800 1,544
Atwood Oceanics, Inc. (a) ..................... 4,300 95,976
Bristow Group, Inc. (a) ....................... 25,900 589,484
Carbo Ceramics, Inc. .......................... 14,800 454,508
Core Laboratories N.V. ........................ 1,400 116,522
Dresser-Rand Group, Inc. (a) .................. 1,700 41,871
Helmerich & Payne, Inc. ....................... 9,400 289,708
Oil States International, Inc. (a) ............ 900 17,010
SulphCo, Inc. (a) ............................. 232,659 209,393
Tidewater, Inc. ............................... 3,500 151,375
------------
1,967,391
------------
OIL, GAS & CONSUMABLE FUELS -- 1.1%
Berry Petroleum Company - Class A ............. 16,300 268,624
Carrizo Oil & Gas, Inc. (a) ................... 900 11,097
36
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
ENERGY -- 1.4% (CONTINUED)
OIL, GAS & CONSUMABLE FUELS -- 1.1% (CONTINUED)
Cheniere Energy, Inc. (a) ..................... 184,279 $ 726,059
Crosstex Energy, Inc. ......................... 10,204 20,102
Delta Petroleum Corporation (a) ............... 117,898 346,620
Evergreen Energy, Inc. (a) .................... 302,222 332,746
Frontline Ltd. ................................ 3,600 72,468
FX Energy, Inc. (a) ........................... 6,100 22,936
GeoGlobal Resources, Inc. (a) ................. 14,023 19,772
Interoil Corporation (a) ...................... 8,437 272,431
James River Coal Company (a) .................. 4,200 59,808
McMoRan Exploration Company (a) ............... 68,500 376,065
Nordic American Tanker Shipping Ltd. .......... 12,424 403,407
Overseas Shipholding Group, Inc. .............. 4,100 117,711
Pacific Ethanol, Inc. (a) ..................... 136,969 50,679
Permian Basin Royalty Trust ................... 6,390 56,360
Pioneer Natural Resources Company ............. 100 2,312
PrimeEnergy Corporation (a) ................... 196 8,328
Swift Energy Company (a) ...................... 3,100 33,542
Tri-Valley Corporation (a) .................... 61,374 76,718
Tsakos Energy Navigation Ltd. ................. 1,900 29,754
USEC, Inc. (a) ................................ 202,377 1,252,714
Verenium Corporation (a) ...................... 47,283 16,076
Whiting Petroleum Corporation (a) ............. 7,400 242,424
World Fuel Services Corporation ............... 25,685 979,369
------------
5,798,122
------------
FINANCIALS -- 9.1%
CAPITAL MARKETS -- 1.2%
Affiliated Managers Group, Inc. (a) ........... 1,400 79,590
Allied Capital Corporation .................... 2,300 5,658
Cohen & Steers, Inc. .......................... 59,149 870,673
Evercore Partners, Inc. - Class A ............. 52,630 993,654
Fortress Investment Group LLC - Class A ....... 1,900 6,574
Gladstone Capital Corporation ................. 26,763 179,580
Greenhill & Company, Inc. ..................... 10,927 847,170
Janus Capital Group, Inc. ..................... 200 2,006
Jefferies Group, Inc. ......................... 2,800 54,796
KBW, Inc. (a) ................................. 21,200 512,828
Knight Capital Group, Inc. (a) ................ 200 3,098
Legg Mason, Inc. .............................. 12,700 254,889
MF Global Ltd. (a) ............................ 293,192 1,788,471
NGP Capital Resources Company ................. 20,298 142,492
optionsXpress Holdings, Inc. .................. 4,500 74,070
Pzena Investment Management, Inc. ............. 66,970 318,108
Raymond James Financial, Inc. ................. 41,300 647,997
W.P. Stewart & Company Ltd. (a) ............... 104 364
------------
6,782,018
------------
37
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.1% (CONTINUED)
COMMERCIAL BANKS -- 4.4%
BancorpSouth, Inc. ............................ 1,200 $ 27,900
BancTrust Financial Group, Inc. ............... 12,745 83,862
Bank of the Ozarks, Inc. ...................... 33,618 834,735
BOK Financial Corporation ..................... 13,694 515,716
Capital City Bank Group, Inc. ................. 8,322 125,163
Cardinal Financial Corporation ................ 6,024 47,288
Cascade Bancorp, Inc. ......................... 45,084 74,839
Cathay General Bancorp ........................ 50,214 563,401
Chemical Financial Corporation ................ 27,936 596,434
City Bank ..................................... 9,239 28,918
City National Corporation ..................... 3,600 131,760
CoBiz Financial, Inc. ......................... 61,036 358,281
Colonial Bancgroup, Inc. (The) ................ 108,955 82,806
Comerica, Inc. ................................ 6,100 127,978
Community Bank System, Inc. ................... 37,900 623,455
CVB Financial Corporation ..................... 104,400 627,444
East West Bancorp, Inc. ....................... 66,847 456,565
Fifth Third Bancorp ........................... 16,800 68,880
First BanCorp ................................. 147,786 814,301
First Busey Corporation ....................... 35,689 279,445
First Financial Bankshares, Inc. .............. 17,450 859,936
First South Bancorp, Inc. ..................... 2,990 34,564
Frontier Financial Corporation ................ 63,534 90,218
Glacier Bancorp, Inc. ......................... 43,600 667,952
Great Southern Bancorp, Inc. .................. 17,818 293,819
Horizon Financial Corporation ................. 100 149
IberiaBank Corporation ........................ 13,400 612,112
International Bancshares Corporation .......... 76,022 1,027,057
KeyCorp ....................................... 20,500 126,075
Midwest Bank Holdings, Inc. (a) ............... 5,300 8,586
National Penn Bancshares, Inc. ................ 83,700 677,133
Old National Bancorp .......................... 51,294 699,137
Old Second Bancorp, Inc. ...................... 36,375 196,425
Pacific Capital Bancorp ....................... 73,222 508,161
PacWest Bancorp ............................... 42,886 624,849
Park National Corporation ..................... 16,627 1,113,178
PrivateBancorp, Inc. .......................... 40,437 818,849
Prosperity Bancshares, Inc. ................... 29,500 819,215
Provident Bankshares Corporation .............. 146,285 1,285,845
Republic Bancorp, Inc. - Class A .............. 2,535 56,378
Sandy Spring Bancorp, Inc. .................... 31,086 505,148
Seacoast Banking Corporation of Florida ....... 61,361 258,943
Security Bank Corporation ..................... 32,973 18,795
Sterling Bancorp .............................. 19,100 218,504
Sterling Financial Corporation ................ 240,359 766,745
Suffolk Bancorp ............................... 17,451 446,746
Synovus Financial Corporation ................. 35,100 113,373
Towne Bank .................................... 2,400 41,352
38
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.1% (CONTINUED)
COMMERCIAL BANKS -- 4.4% (CONTINUED)
UCBH Holdings, Inc. ........................... 389,791 $ 498,932
Umpqua Holdings Corporation ................... 55,296 530,289
United Bankshares, Inc. ....................... 39,032 1,012,490
United Community Banks, Inc. .................. 127,874 824,786
United Security Bancshares, Inc. .............. 1,560 11,298
W Holding Company, Inc. ....................... 6,498 150,559
Westamerica Bancorporation .................... 15,500 831,265
Western Alliance Bancorporation (a) ........... 68,203 444,002
Wilshire Bancorp, Inc. ........................ 16,200 65,448
Zions Bancorporation .......................... 9,900 108,207
------------
23,835,691
------------
CONSUMER FINANCE -- 0.5%
AmeriCredit Corporation (a) ................... 162,651 1,654,161
CompuCredit Corporation (a) ................... 40,780 130,496
SLM Corporation (a) ........................... 1,300 6,279
World Acceptance Corporation (a) .............. 32,710 970,833
------------
2,761,769
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.6%
Asset Acceptance Capital Corporation (a) ...... 54,950 455,536
Asta Funding, Inc. ............................ 2,300 6,624
Financial Federal Corporation ................. 30,470 749,867
Life Partners Holdings, Inc. .................. 29,681 555,628
Portfolio Recovery Associates, Inc. (a) ....... 34,394 1,202,758
Primus Guaranty Ltd. (a) ...................... 5,156 10,518
------------
2,980,931
------------
INSURANCE -- 0.6%
Arch Capital Group Ltd. (a) ................... 700 40,446
Assurant, Inc. ................................ 2,200 53,768
Axis Capital Holdings Ltd. .................... 27,400 675,136
Crawford & Company - Class B (a) .............. 14,124 84,038
Endurance Specialty Holdings Ltd. ............. 1,700 44,472
LandAmerica Financial Group, Inc. ............. 92,077 4,235
MBIA, Inc. (a) ................................ 156,845 741,877
Montpelier Re Holdings Ltd. ................... 900 11,214
Presidential Life Corporation ................. 3,800 40,622
Principal Financial Group, Inc. ............... 13,000 212,420
Reinsurance Group of America, Inc. ............ 1,200 38,148
RLI Corporation ............................... 6,200 297,786
Safety Insurance Group, Inc. .................. 20,518 678,120
Tower Group, Inc. ............................. 2,400 65,256
Zenith National Insurance Corporation ......... 11,300 257,527
------------
3,245,065
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
Alesco Financial, Inc. ........................ 132,209 56,850
American Campus Communities, Inc. ............. 9,300 201,624
Anthracite Capital, Inc. ...................... 15,590 6,236
Arbor Realty Trust, Inc. ...................... 61,977 174,155
39
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 9.1% (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS -- 1.7% (CONTINUED)
Capital Trust, Inc. ........................... 60,342 $ 102,581
Cousins Properties, Inc. ...................... 67,573 570,992
Digital Realty Trust, Inc. .................... 17,700 637,377
Duke Realty Corporation ....................... 6,800 66,436
Equity One, Inc. .............................. 94,645 1,408,318
Essex Property Trust, Inc. .................... 2,800 177,772
Federal Realty Investment Trust ............... 15,800 872,160
Health Care REIT, Inc. ........................ 3,800 129,466
iStar Financial, Inc. ......................... 58,800 198,156
Macerich Company (The) ........................ 51,800 908,054
Mack-Cali Realty Corporation .................. 2,000 53,720
Newcastle Investment Corporation .............. 22,288 13,819
NorthStar Realty Finance Corporation .......... 214,885 681,185
Pennsylvania Real Estate Investment Trust ..... 24,400 189,100
RAIT Financial Trust .......................... 214,296 317,158
Ramco-Gershenson Properties Trust ............. 46,806 514,866
Realty Income Corporation ..................... 5,700 127,281
Redwood Trust, Inc. ........................... 1,500 24,405
Regency Centers Corporation ................... 11,200 419,440
SL Green Realty Corporation ................... 7,300 128,918
Sun Communities, Inc. ......................... 4,800 70,320
Tanger Factory Outlet Centers, Inc. ........... 21,400 713,048
Universal Health Realty Income Trust .......... 8,299 265,734
------------
9,029,171
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT -- 0.1%
Avatar Holdings, Inc. (a) ..................... 17,277 321,007
CB Richard Ellis Group, Inc. - Class A (a) .... 18,600 139,500
Consolidated Tomoka Land Company .............. 1,207 41,991
------------
502,498
------------
THRIFTS & MORTGAGE FINANCE -- 0.0%
Brooklyn Federal Bancorp, Inc. ................ 349 4,334
Corus Bankshares, Inc. (a) .................... 110,218 23,146
Downey Financial Corporation .................. 42,834 1,114
FirstFed Financial Corporation (a) ............ 23,697 10,427
Guaranty Financial Group, Inc. (a) ............ 62,759 37,028
Triad Guaranty, Inc. (a) ...................... 21,250 7,012
Viewpoint Financial, Inc. ..................... 3,262 50,757
Washington Federal, Inc. ...................... 2,000 25,960
------------
159,778
------------
HEALTH CARE -- 8.6%
BIOTECHNOLOGY -- 3.9%
Alnylam Pharmaceuticals, Inc. (a) ............. 56,851 1,044,353
Anadys Pharmaceuticals, Inc. (a) .............. 105,200 261,948
Arena Pharmaceuticals, Inc. (a) ............... 272,925 766,919
Array Biopharma, Inc. (a) ..................... 186,052 545,132
BioMarin Pharmaceutical, Inc. (a) ............. 27,900 358,794
BioSante Pharmaceuticals, Inc. (a) ............ 8,997 18,534
Celldex Therapeutics, Inc. (a) ................ 400 3,464
40
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 8.6% (CONTINUED)
BIOTECHNOLOGY -- 3.9% (CONTINUED)
Cepheid, Inc. (a) ............................. 99,487 $ 965,024
Cleveland BioLabs, Inc. (a) ................... 13,437 46,492
Cougar Biotechnoloy, Inc. (a) ................. 22,779 795,443
Dendreon Corporation (a) ...................... 141,586 3,001,623
Dyax Corporation (a) .......................... 98,803 193,654
Enzon Pharmaceuticals, Inc. (a) ............... 92,922 534,302
GenVec, Inc. (a) .............................. 39,932 27,952
Geron Corporation (a) ......................... 233,932 1,202,410
GTx, Inc. (a) ................................. 57,170 561,981
Halozyme Therapeutics, Inc. (a) ............... 52,691 333,007
Idera Pharmaceuticals, Inc. (a) ............... 25,471 153,081
Incyte Corporation Ltd. (a) ................... 265,524 626,637
InterMune, Inc. (a) ........................... 77,715 1,052,261
Introgen Therapeutics, Inc. (a) ............... 99,112 4,956
Isis Pharmaceuticals, Inc. (a) ................ 64,141 1,005,731
MannKind Corporation (a) ...................... 79,600 325,564
Martek Biosciences Corporation (a) ............ 51,736 942,630
Metabolix, Inc. (a) ........................... 77,665 613,553
Micromet, Inc. (a) ............................ 1,928 6,594
Momenta Pharmaceuticals, Inc. (a) ............. 55,388 620,346
Neurocrine Biosciences, Inc. (a) .............. 116,987 386,057
Northfield Laboratories, Inc. (a) ............. 207,951 103,975
Onyx Pharmaceuticals, Inc. (a) ................ 2,500 64,750
PDL BioPharma, Inc. ........................... 12,300 87,945
Progenics Pharmaceuticals, Inc. (a) ........... 13,551 74,259
Rigel Pharmaceuticals, Inc. (a) ............... 137,267 911,453
Sangamo Biosciences, Inc. (a) ................. 118,347 502,975
Savient Pharmaceuticals, Inc. (a) ............. 304,837 1,609,539
StemCells, Inc. (a) ........................... 140,134 238,228
Synta Pharmaceuticals Corporation (a) ......... 21,851 71,016
Theravance, Inc. (a) .......................... 43,534 623,842
Trimeris, Inc. ................................ 18,127 36,435
Vanda Pharmaceuticals, Inc. (a) ............... 100 101
ZymoGenetics, Inc. (a) ........................ 186,082 651,287
------------
21,374,247
------------
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9%
Abaxis, Inc. (a) .............................. 47,756 722,071
Align Technology, Inc. (a) .................... 104,025 1,290,950
ArthroCare Corporation (a) .................... 37,602 302,696
Bovie Medical Corporation (a) ................. 3,200 21,600
Conceptus, Inc. (a) ........................... 74,723 1,011,750
Cooper Companies, Inc. (The) .................. 3,700 106,375
Cyberonics, Inc. (a) .......................... 52,538 695,603
Edwards Lifesciences Corporation (a) .......... 1,000 63,380
Greatbatch, Inc. (a) .......................... 18,383 386,778
Hansen Medical, Inc. (a) ...................... 30,825 165,530
Hologic, Inc. (a) ............................. 12,400 184,264
IDEXX Laboratories, Inc. (a) .................. 1,700 66,810
41
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 8.6% (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.9% (CONTINUED)
Insulet Corporation (a) ....................... 72,566 $ 417,255
Integra LifeSciences Holdings Corporation (a) . 500 12,910
Inverness Medical Innovations, Inc. (a) ....... 36,900 1,191,501
Masimo Corporation (a) ........................ 29,100 840,990
Meridian Bioscience, Inc. ..................... 3,800 66,044
NeuroMetrix, Inc. (a) ......................... 34,086 55,560
NuVasive, Inc. (a) ............................ 29,158 1,105,088
Quidel Corporation (a) ........................ 40,200 467,928
Stereotaxis, Inc. (a) ......................... 132,263 441,758
SurModics, Inc. (a) ........................... 30,520 662,284
------------
10,279,125
------------
HEALTH CARE PROVIDERS & SERVICES -- 1.1%
Air Methods Corporation (a) ................... 6,829 181,310
Amedisys, Inc. (a) ............................ 27,000 905,580
AMERIGROUP Corporation (a) .................... 1,200 35,844
Bio-Reference Labs, Inc. (a) .................. 29,380 754,185
Emergency Medical Services Corporation (a) .... 28,494 992,731
Emeritus Corporation (a) ...................... 33,500 302,840
HealthSouth Corporation (a) ................... 99,974 936,756
LCA-Vision, Inc. .............................. 61,498 353,613
LifePoint Hospitals, Inc. (a) ................. 4,200 108,570
Lincare Holdings, Inc. (a) .................... 1,800 43,434
Patterson Companies, Inc. (a) ................. 10,900 223,014
Psychiatric Solutions, Inc. (a) ............... 2,000 38,780
Triple-S Management Corporation (a) ........... 23,680 303,578
VCA Antech, Inc. (a) .......................... 33,800 845,676
------------
6,025,911
------------
HEALTH CARE TECHNOLOGY -- 0.7%
athenahealth, Inc. (a) ........................ 26,200 833,160
Cerner Corporation (a) ........................ 22,580 1,214,804
Computer Programs and Systems, Inc. ........... 21,910 766,631
Eclipsys Corporation (a) ...................... 3,400 44,880
Phase Forward, Inc. (a) ....................... 49,900 711,574
------------
3,571,049
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.3%
AMAG Pharmaceuticals, Inc. (a) ................ 33,395 1,497,766
Charles River Laboratories International,
Inc. (a) ................................... 4,700 129,955
Covance, Inc. (a) ............................. 7,300 286,744
QIAGEN N.V. (a) ............................... 400 6,592
------------
1,921,057
------------
PHARMACEUTICALS -- 0.7%
Acura Pharmaceuticals, Inc. (a) ............... 428 2,970
Ardea Biosciences, Inc. (a) ................... 3,950 48,743
BioMimetic Therapeutics, Inc. (a) ............. 10,266 88,390
Cypress Bioscience, Inc. (a) .................. 89,407 643,731
Elite Pharmaceuticals, Inc. (a) ............... 24,200 1,452
Pain Therapeutics, Inc. (a) ................... 37,276 176,688
42
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
HEALTH CARE -- 8.6% (CONTINUED)
PHARMACEUTICALS -- 0.7% (CONTINUED)
POZEN, Inc. (a) ............................... 88,389 $ 677,060
Salix Pharmaceuticals Ltd. (a) ................ 121,575 1,337,325
ViroPharma, Inc. (a) .......................... 75,430 424,671
VIVUS, Inc. (a) ............................... 45,565 182,716
XenoPort, Inc. (a) ............................ 21,227 290,173
------------
3,873,919
------------
INDUSTRIALS -- 7.3%
AEROSPACE & DEFENSE -- 0.4%
AAR Corporation (a) ........................... 13,200 198,924
BE Aerospace, Inc. (a) ........................ 93,300 1,006,707
Ceradyne, Inc. (a) ............................ 32,848 566,300
GenCorp, Inc. (a) ............................. 99,291 238,298
------------
2,010,229
------------
AIR FREIGHT & LOGISTICS -- 0.0%
Dynamex, Inc. (a) ............................. 6,995 102,896
------------
AIRLINES -- 0.2%
AirTran Holdings, Inc. (a) .................... 1,600 11,120
Alaska Air Group, Inc. (a) .................... 4,600 77,188
Allegiant Travel Company (a) .................. 17,100 889,884
Continental Airlines, Inc. - Class B (a) ...... 4,600 48,392
Hawaiian Holdings, Inc. (a) ................... 22,497 112,260
JetBlue Airways Corporation (a) ............... 14,700 72,471
UAL Corporation (a) ........................... 9,600 47,232
------------
1,258,547
------------
BUILDING PRODUCTS -- 1.0%
AAON, Inc. .................................... 32,272 628,659
American Woodmark Corporation ................. 28,925 598,748
Armstrong World Industries, Inc. (a) .......... 15,800 287,244
Builders FirstSource, Inc. (a) ................ 90,876 300,800
Masco Corporation ............................. 5,800 51,388
Owens Corning, Inc. (a) ....................... 17,500 313,250
Simpson Manufacturing Company, Inc. ........... 38,598 859,191
Trex Company, Inc. (a) ........................ 99,590 1,090,510
Universal Forest Products, Inc. ............... 33,198 1,114,125
USG Corporation (a) ........................... 3,200 47,552
------------
5,291,467
------------
COMMERCIAL SERVICES & SUPPLIES -- 0.9%
AMREP Corporation (a) ......................... 10,054 186,904
ATC Technology Corporation (a) ................ 9,518 151,241
Corrections Corporation of America (a) ........ 500 7,065
Covanta Holding Corporation (a) ............... 3,000 42,330
Document Security Systems, Inc. (a) ........... 21,893 41,816
Energy Infrastructure Acquisition Corporation (a) 1,751 35
EnerNOC, Inc. (a) ............................. 33,972 593,491
Fuel Tech, Inc. (a) ........................... 49,040 642,914
GeoEye, Inc. (a) .............................. 46,907 1,167,515
43
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 7.3% (CONTINUED)
COMMERCIAL SERVICES & SUPPLIES -- 0.9% (CONTINUED)
HNI Corporation ............................... 44,147 $ 684,278
Knoll, Inc. ................................... 20,972 148,482
McGrath RentCorp .............................. 11,814 249,748
Mobile Mini, Inc. (a) ......................... 59,559 815,958
Standard Register Company (The) ............... 20,813 108,644
Steelcase, Inc. - Class A ..................... 15,200 68,856
------------
4,909,277
------------
CONSTRUCTION & ENGINEERING -- 0.0%
EMCOR Group, Inc. (a) ......................... 2,000 41,580
MasTec, Inc. (a) .............................. 1,200 15,012
URS Corporation (a) ........................... 2,900 127,774
------------
184,366
------------
ELECTRICAL EQUIPMENT -- 1.0%
American Superconductor Corporation (a) ....... 56,955 1,463,744
Ametek, Inc. .................................. 2,900 93,409
Baldor Electric Company ....................... 54,200 1,257,440
Belden, Inc. .................................. 800 12,896
C&D Technologies, Inc. (a) .................... 78,943 172,885
Encore Wire Corporation ....................... 33,680 735,571
FuelCell Energy, Inc. (a) ..................... 242,677 771,713
GrafTech International Ltd. (a) ............... 4,900 43,071
Medis Technologies Ltd. (a) ................... 63,019 22,687
Microvision, Inc. (a) ......................... 154,541 287,446
Orion Energy Systems, Inc. (a) ................ 17,310 73,567
Roper Industries, Inc. ........................ 5,200 237,068
Solarfun Power Holdings Company Ltd. - ADR (a) 14,919 64,003
SunPower Corporation - Class B (a) ............ 8,600 235,468
Valence Technology, Inc. (a) .................. 75,018 168,040
------------
5,639,008
------------
INDUSTRIAL CONGLOMERATES -- 0.2%
Textron, Inc. ................................. 92,500 992,525
------------
MACHINERY -- 1.7%
3D Systems Corporation (a) .................... 20,143 141,203
AGCO Corporation (a) .......................... 41,400 1,006,020
Astec Industries, Inc. (a) .................... 40,500 1,248,210
Basin Water, Inc. (a) ......................... 46,221 13,866
Briggs & Stratton Corporation ................. 72,886 1,084,544
China Fire & Security Group, Inc. (a) ......... 21,737 239,324
Flowserve Corporation ......................... 4,200 285,180
Gorman-Rupp Company (The) ..................... 8,842 188,335
Lindsay Corporation ........................... 13,600 529,176
Middleby Corporation (The) (a) ................ 400 17,508
Nordson Corporation ........................... 24,800 899,744
Oshkosh Corporation ........................... 9,400 90,240
Terex Corporation (a) ......................... 61,100 843,180
Titan International, Inc. ..................... 62,900 380,545
44
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 7.3% (CONTINUED)
MACHINERY -- 1.7% (CONTINUED)
Toro Company (The) ............................ 45,009 $ 1,367,373
Valmont Industries, Inc. ...................... 400 25,512
Watts Water Technologies, Inc. - Class A ...... 43,616 970,892
------------
9,330,852
------------
PROFESSIONAL SERVICES -- 0.8%
Administaff, Inc. ............................. 800 21,328
CoStar Group, Inc. (a) ........................ 31,294 1,159,443
Heidrick & Struggles International, Inc. ...... 34,101 576,307
Hill International, Inc. (a) .................. 12,900 52,116
Huron Consulting Group, Inc. (a) .............. 15,590 747,541
Manpower, Inc. ................................ 6,200 267,158
Odyssey Marine Exploration, Inc. (a) .......... 162,582 565,785
Robert Half International, Inc. ............... 15,600 374,712
School Specialty, Inc. (a) .................... 19,313 362,505
------------
4,126,895
------------
ROAD & RAIL -- 0.6%
Arkansas Best Corporation ..................... 64,600 1,490,968
Con-Way, Inc. ................................. 1,900 47,082
J.B. Hunt Transport Services, Inc. ............ 2,200 61,864
Kansas City Southern (a) ...................... 11,000 167,750
Knight Transportation, Inc. ................... 1,800 31,824
Landstar System, Inc. ......................... 1,200 42,732
Ryder System, Inc. ............................ 2,400 66,456
Werner Enterprises, Inc. ...................... 22,300 364,605
YRC Worldwide, Inc. (a) ....................... 263,563 798,596
------------
3,071,877
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.5%
Applied Industrial Technologies, Inc. ......... 1,300 29,250
Beacon Roofing Supply, Inc. (a) ............... 30,600 486,540
GATX Corporation .............................. 4,400 132,484
Houston Wire & Cable Company .................. 64,027 617,220
MSC Industrial Direct Company, Inc. ........... 2,300 93,955
RSC Holdings, Inc. (a) ........................ 96,500 689,975
Watsco, Inc. .................................. 20,248 869,652
------------
2,919,076
------------
INFORMATION TECHNOLOGY -- 8.5%
COMMUNICATIONS EQUIPMENT -- 1.0%
ADC Telecommunications, Inc. (a) .............. 2,400 17,664
Avocent Corporation (a) ....................... 63,500 916,940
Bel Fuse, Inc. - Class B ...................... 4,046 65,464
Blue Coat Systems, Inc. (a) ................... 1,800 23,868
Comtech Telecommunications Corporation (a) .... 6,300 210,861
DG FastChannel, Inc. (a) ...................... 33,049 771,033
Extreme Networks, Inc. (a) .................... 13,097 23,051
Harris Corporation ............................ 2,200 67,276
Infinera Corporation (a) ...................... 69,274 584,673
JDS Uniphase Corporation (a) .................. 7,900 36,419
45
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 8.5% (CONTINUED)
COMMUNICATIONS EQUIPMENT -- 1.0% (CONTINUED)
Loral Space & Communications, Inc. (a) ........ 6,314 $ 147,432
Palm, Inc. (a) ................................ 110,942 1,163,782
ParkerVision, Inc. (a) ........................ 3,034 8,495
Plantronics, Inc. ............................. 3,000 38,220
Polycom, Inc. (a) ............................. 3,400 63,376
Sierra Wireless, Inc. (a) ..................... 300 1,692
Tekelec (a) ................................... 73,400 1,137,700
Telkonet, Inc. (a) ............................ 156,779 14,110
UTStarcom, Inc. (a) ........................... 212,497 248,621
------------
5,540,677
------------
COMPUTERS & PERIPHERALS -- 1.6%
Avid Technology, Inc. (a) ..................... 93,726 1,037,547
Data Domain, Inc. (a) ......................... 73,610 1,220,454
Imation Corporation ........................... 74,024 740,240
Lexmark International, Inc. - Class A (a) ..... 45,900 900,558
Novatel Wireless, Inc. (a) .................... 71,151 487,384
Rackable Systems, Inc. (a) .................... 124,817 569,165
SanDisk Corporation (a) ....................... 47,000 738,840
STEC, Inc. (a) ................................ 129,176 1,240,090
Stratasys, Inc. (a) ........................... 66,927 626,437
Synaptics, Inc. (a) ........................... 39,287 1,276,042
------------
8,836,757
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 1.2%
Anixter International, Inc. (a) ............... 11,100 441,558
Arrow Electronics, Inc. (a) ................... 1,800 40,932
Avnet, Inc. (a) ............................... 9,600 210,144
Celestica, Inc. (a) ........................... 7,000 41,370
China Security & Surveillance Technology,
Inc. (a) ................................... 57,757 391,592
CTS Corporation ............................... 15,400 93,478
Daktronics, Inc. .............................. 65,893 595,673
DTS, Inc. (a) ................................. 45,340 1,208,311
Echelon Corporation (a) ....................... 57,879 460,717
FARO Technologies, Inc. (a) ................... 400 6,064
Itron, Inc. (a) ............................... 1,100 50,600
Jabil Circuit, Inc. ........................... 2,200 17,820
L-1 Identity Solutions, Inc. (a) .............. 600 4,392
Littelfuse, Inc. (a) .......................... 1,300 21,307
Maxwell Technologies, Inc. (a) ................ 48,950 501,248
Molex, Inc. ................................... 4,700 78,349
Multi-Fineline Electronix, Inc. (a) ........... 100 2,007
Plexus Corporation (a) ........................ 19,900 440,785
Research Frontiers, Inc. (a) .................. 28,444 103,252
Trimble Navigation Ltd. (a) ................... 3,400 72,896
Universal Display Corporation (a) ............. 106,260 1,199,675
X-Rite, Inc. (a) .............................. 165,113 283,994
------------
6,266,164
------------
46
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 8.5% (CONTINUED)
INTERNET SOFTWARE & SERVICES -- 1.1%
Bankrate, Inc. (a) ............................ 25,680 $ 642,000
Constant Contact, Inc. (a) .................... 42,123 671,019
GSI Commerce, Inc. (a) ........................ 55,489 788,499
IAC/InterActiveCorporation (a) ................ 7,400 118,548
iMergent, Inc. ................................ 3,773 25,883
Knot, Inc. (The) (a) .......................... 84,887 769,925
Liquidity Services, Inc. (a) .................. 7,436 55,993
LoopNet, Inc. (a) ............................. 77,992 669,951
Marchex, Inc. - Class B ....................... 31,542 142,570
MercadoLibre, Inc. (a) ........................ 200 5,466
Omniture, Inc. (a) ............................ 24,500 301,840
Sohu.com, Inc. (a) ............................ 1,300 67,795
VistaPrint Ltd. (a) ........................... 34,002 1,167,969
Vocus, Inc. (a) ............................... 711 12,087
WebMD Health Corporation (a) .................. 22,121 570,943
------------
6,010,488
------------
IT SERVICES -- 0.6%
Alliance Data Systems Corporation (a) ......... 25,600 1,071,872
Euronet Worldwide, Inc. (a) ................... 93,910 1,519,464
Heartland Payment Systems, Inc. ............... 700 5,628
Mantech International Corporation - Class A (a) 8,200 296,758
NeuStar, Inc. - Class A (a) ................... 11,700 222,417
TeleTech Holdings, Inc. (a) ................... 600 7,962
------------
3,124,101
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6%
Advanced Energy Industries, Inc. (a) .......... 400 3,372
Amkor Technology, Inc. (a) .................... 62,800 270,668
Atheros Communications, Inc. (a) .............. 48,400 833,448
Cabot Microelectronics Corporation (a) ........ 400 11,524
Cavium Networks, Inc. (a) ..................... 63,490 798,704
Cymer, Inc. (a) ............................... 800 22,728
Cypress Semiconductor Corporation (a) ......... 61,432 487,156
EMCORE Corporation (a) ........................ 146,814 182,049
KLA-Tencor Corporation ........................ 5,200 144,248
Kulicke & Soffa Industries, Inc. (a) .......... 82,100 328,400
Lam Research Corporation (a) .................. 12,500 348,500
LDK Solar Company Ltd. (a) .................... 30,600 244,800
LSI Logic Corporation (a) ..................... 77,900 299,136
Microsemi Corporation (a) ..................... 1,500 20,130
Monolithic Power Systems, Inc. (a) ............ 1,100 20,350
National Semiconductor Corporation ............ 24,900 308,013
NetLogic Microsystems, Inc. (a) ............... 25,706 837,759
Novellus Systems, Inc. (a) .................... 6,800 122,808
OmniVision Technologies, Inc. (a) ............. 106,603 1,013,795
Power Integrations, Inc. ...................... 42,240 899,712
Sigma Designs, Inc. (a) ....................... 90,921 1,174,699
Silicon Image, Inc. (a) ....................... 95,940 260,957
47
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 8.5% (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 1.6%
(CONTINUED)
Standard Microsystems Corporation (a) ......... 6,600 $ 104,676
Varian Semiconductor Equipment Associates,
Inc. (a) ................................... 2,100 53,739
Veeco Instruments, Inc. (a) ................... 1,600 11,584
------------
8,802,955
------------
SOFTWARE -- 1.4%
Advent Software, Inc. (a) ..................... 31,276 1,039,614
Amdocs Ltd. (a) ............................... 200 4,186
Blackboard, Inc. (a) .......................... 26,088 887,775
Concur Technologies, Inc. (a) ................. 25,000 676,750
FactSet Research Systems, Inc. ................ 16,700 894,953
Informatica Corporation (a) ................... 18,400 292,560
Interactive Intelligence, Inc. (a) ............ 2,530 27,830
Macrovision Solutions Corporation (a) ......... 5,600 113,232
Manhattan Associates, Inc. (a) ............... 36,637 608,907
Mentor Graphics Corporation (a) ............... 1,800 12,096
Midway Games, Inc. (a) ........................ 51,015 3,724
Parametric Technology Corporation (a) ......... 2,200 24,530
Quality Systems, Inc. ......................... 21,780 1,167,843
Tyler Technologies, Inc. (a) .................. 50,600 834,900
Ultimate Software Group, Inc. (The) (a) ....... 46,982 879,973
Vasco Data Security International, Inc. (a) ... 300 2,076
------------
7,470,949
------------
MATERIALS -- 1.5%
CHEMICALS -- 0.6%
Altair Nanotechnologies, Inc. (a) ............. 185,965 215,719
Calgon Carbon Corporation (a) ................. 55,600 944,088
Eastman Chemical Company ...................... 3,400 134,912
International Flavors & Fragrances, Inc. ...... 1,100 34,320
NL Industries, Inc. ........................... 2,632 31,873
Nova Chemicals Corporation .................... 2,700 15,579
Olin Corporation .............................. 49,800 627,480
Scotts Miracle-Gro Company (The) - Class A .... 1,700 57,409
Valhi, Inc. ................................... 11,948 127,127
Valspar Corporation (The) ..................... 2,600 62,400
Zoltek Companies, Inc. (a) .................... 105,949 833,819
------------
3,084,726
------------
CONSTRUCTION MATERIALS -- 0.6%
Eagle Materials, Inc. ......................... 32,489 903,194
Martin Marietta Materials, Inc. ............... 10,500 882,315
Texas Industries, Inc. ........................ 33,183 1,061,192
Vulcan Materials Company ...................... 8,000 380,400
------------
3,227,101
------------
48
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
COMMON STOCKS -- 54.8% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 1.5% (CONTINUED)
CONTAINERS & PACKAGING -- 0.1%
Ball Corporation .............................. 3,100 $ 116,932
Crown Holdings, Inc. (a) ...................... 10,000 220,500
Owens-Illinois, Inc. (a) ...................... 6,600 160,974
------------
498,406
------------
METALS & MINING -- 0.2%
AK Steel Holding Corporation .................. 55,500 722,055
Commercial Metals Company ..................... 3,500 52,080
Hecla Mining Company (a) ...................... 189,882 469,009
Schnitzer Steel Industries, Inc. - Class A .... 1,300 64,428
------------
1,307,572
------------
PAPER & FOREST PRODUCTS -- 0.0%
AbitibiBowater, Inc. (a) ...................... 70,886 10,775
------------
TELECOMMUNICATION SERVICES -- 0.7%
DIVERSIFIED TELECOMMUNICATION SERVICES -- 0.5%
Cbeyond, Inc. (a) ............................. 42,929 874,893
Centurytel, Inc. .............................. 31,500 855,225
Cogent Communications Group, Inc. (a) ......... 120,813 1,019,662
------------
2,749,780
------------
WIRELESS TELECOMMUNICATION SERVICES -- 0.2%
Clearwire Corporation - Class A (a) ........... 70,357 389,778
Leap Wireless International, Inc. (a) ......... 2,000 72,140
NII Holdings, Inc. (a) ........................ 12,300 198,768
SBA Communications Corporation - Class A (a) .. 4,800 120,960
------------
781,646
------------
UTILITIES -- 0.3%
ELECTRIC UTILITIES -- 0.2%
Central Vermont Public Service Corporation .... 11,600 199,056
DPL, Inc. ..................................... 37,490 840,901
Great Plains Energy, Inc. ..................... 4,000 57,880
------------
1,097,837
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS -- 0.0%
Calpine Corporation (a) ....................... 9,200 74,612
------------
MULTI-UTILITIES -- 0.0%
Centerpoint Energy, Inc. ...................... 11,400 121,296
------------
WATER UTILITIES -- 0.1%
Consolidated Water Company Ltd. ............... 15,481 207,600
------------
TOTAL COMMON STOCKS (Proceeds $293,421,554) ....... $298,149,402
------------
49
TFS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED)
================================================================================
RIGHTS -- 0.0% SHARES VALUE
- --------------------------------------------------------------------------------
United America Indemnity Ltd. - Class A (a)(b)
(Proceeds $6,559) ................................ 11,300 $ 12,085
------------
TOTAL SECURITIES SOLD SHORT -- 54.8% (Proceeds $293,428,113) $298,161,487
============
ADR - American Depositary Receipt.
(a) Non-income producing security.
(b) Fair value priced (Note 2). Fair valued short securities totaled $(12,085)
at April 30, 2009, representing (0.0%) of net assets.
See accompanying notes to financial statements.
50
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 2009 (UNAUDITED)
================================================================================
COMMON STOCKS -- 98.9% SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 12.2%
AUTO COMPONENTS -- 2.4%
Federal-Mogul Corporation (a) ................. 2,200 $ 24,420
TRW Automotive Holdings Corporation (a) ....... 3,400 29,308
WABCO Holdings, Inc. .......................... 1,300 20,787
------------
74,515
------------
DIVERSIFIED CONSUMER SERVICES -- 1.3%
DeVry, Inc. ................................... 400 17,024
Hillenbrand, Inc. ............................. 600 10,908
Pre-Paid Legal Services, Inc. (a) ............. 400 14,732
------------
42,664
------------
HOTELS, RESTAURANTS & LEISURE -- 2.9%
Chipotle Mexican Grill, Inc. - Class A (a) .... 200 16,218
CKE Restaurants, Inc. ......................... 2,300 22,011
DineEquity, Inc. .............................. 700 22,428
International Game Technology ................. 1,000 12,350
Interval Leisure Group, Inc. (a) .............. 221 1,770
Wyndham Worldwide Corporation ................. 1,400 16,352
------------
91,129
------------
HOUSEHOLD DURABLES -- 2.0%
Blyth, Inc. ................................... 500 22,040
Meritage Homes Corporation (a) ................ 900 18,729
Newell Rubbermaid, Inc. ....................... 2,200 22,990
------------
63,759
------------
INTERNET & CATALOG RETAIL -- 0.6%
Liberty Media Corporation - Interactive (a) ... 3,500 18,550
------------
MEDIA -- 0.7%
Cinemark Holdings, Inc. ....................... 1,400 12,460
Interactive Data Corporation .................. 400 8,992
------------
21,452
------------
SPECIALTY RETAIL -- 2.3%
Buckle, Inc. (The) ............................ 400 14,948
Jo-Ann Stores, Inc. (a) ....................... 800 14,656
Pacific Sunwear of California, Inc. (a) ....... 7,400 29,970
Rex Stores Corporation (a) .................... 1,000 11,900
------------
71,474
------------
CONSUMER STAPLES -- 2.5%
FOOD & STAPLES RETAILING -- 0.2%
Weis Markets, Inc. ............................ 200 7,398
------------
FOOD PRODUCTS -- 1.2%
American Dairy, Inc. (a) ...................... 600 9,486
Darling International, Inc. (a) ............... 2,200 12,584
Del Monte Foods Company ....................... 1,900 14,345
------------
36,415
------------
51
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
CONSUMER STAPLES -- 2.5% (CONTINUED)
PERSONAL PRODUCTS -- 1.1%
Herbalife Ltd. ................................ 700 $ 13,874
Prestige Brands Holdings, Inc. (a) ............ 1,600 10,336
Schiff Nutrition International, Inc. (a) ...... 2,300 11,040
------------
35,250
------------
ENERGY -- 3.0%
ENERGY EQUIPMENT & SERVICES -- 1.9%
Complete Production Services, Inc. (a) ........ 3,500 23,380
Hercules Offshore, Inc. (a) ................... 5,600 17,920
Willbros Group, Inc. (a) ...................... 1,500 17,190
------------
58,490
------------
OIL, GAS & CONSUMABLE FUELS -- 1.1%
CVR Energy, Inc. (a) .......................... 1,800 13,248
Encore Acquisition Company (a) ................ 400 11,676
VAALCO Energy, Inc. (a) ....................... 1,900 9,063
------------
33,987
------------
FINANCIALS -- 12.1%
CAPITAL MARKETS -- 1.8%
BlackRock Kelso Capital Corporation ........... 1,500 8,745
GLG Partners, Inc. ............................ 3,000 7,170
Hercules Technology Growth Capital, Inc. ...... 2,500 15,025
Penson Worldwide, Inc. (a) .................... 1,600 16,224
SEI Investments Company ....................... 800 11,224
------------
58,388
------------
COMMERCIAL BANKS -- 2.2%
Banco Latinoamericano de Exportaciones, S.A. -
Class E - ADR .............................. 1,100 13,530
Bank of Hawaii Corporation .................... 400 14,056
Peapack-Gladstone Financial Corporation ....... 600 11,376
Santander BanCorp ............................. 1,600 10,720
Texas Capital Bancshares, Inc. (a) ............ 1,400 19,600
------------
69,282
------------
CONSUMER FINANCE -- 1.0%
Credit Acceptance Corporation (a) ............. 900 20,691
Nelnet, Inc. - Class A ........................ 1,600 9,648
------------
30,339
------------
INSURANCE -- 5.2%
Allied World Assurance Company Holdings Ltd. .. 300 11,142
American Financial Group, Inc. ................ 1,100 19,338
American National Insurance Company ........... 330 22,397
American Physicians Service Group, Inc. ....... 338 6,791
American Safety Insurance Holdings Ltd. (a) ... 900 10,242
Argo Group International Holdings Ltd. (a) .... 500 13,995
CNA Financial Corporation ..................... 1,100 13,167
CNA Surety Corporation (a) .................... 600 11,550
Erie Indemnity Company - Class A .............. 200 7,064
Genworth Financial, Inc. ...................... 9,400 22,184
52
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
FINANCIALS -- 12.1% (CONTINUED)
INSURANCE -- 5.2% (CONTINUED)
Hanover Insurance Group, Inc. (The) ........... 200 $ 5,996
HCC Insurance Holdings, Inc. .................. 400 9,568
IPC Holdings Ltd. ............................. 400 10,416
------------
163,850
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.6%
Anworth Mortgage Asset Corporation ............ 1,700 10,931
Getty Realty Corporation ...................... 500 9,810
LTC Properties, Inc. .......................... 500 9,005
National Health Investors, Inc. ............... 400 10,728
Saul Centers, Inc. ............................ 300 9,552
------------
50,026
------------
THRIFTS & MORTGAGE FINANCE -- 0.3%
Berkshire Hills Bancorp, Inc. ................. 400 9,024
------------
HEALTH CARE -- 10.6%
HEALTH CARE EQUIPMENT & SUPPLIES -- 1.2%
ICU Medical, Inc. (a) ......................... 500 18,800
IDEXX Laboratories, Inc. (a) .................. 500 19,650
------------
38,450
------------
HEALTH CARE PROVIDERS & SERVICES -- 6.9%
AmSurg Corporation (a) ........................ 800 16,432
Community Health Systems, Inc. (a) ............ 1,000 22,840
Coventry Health Care, Inc. (a) ................ 1,300 20,683
Health Management Associates, Inc. - Class A (a) 3,400 15,878
HealthSpring, Inc. (a) ........................ 1,200 11,076
Molina Healthcare, Inc. (a) ................... 1,000 21,650
Psychiatric Solutions, Inc. (a) ............... 1,000 19,390
RehabCare Group, Inc. (a) ..................... 900 15,030
Sun Healthcare Group, Inc. (a) ................ 2,300 19,481
U.S. Physical Therapy, Inc. (a) ............... 900 10,512
Universal Health Services, Inc. - Class B ..... 500 25,200
WellCare Health Plans, Inc. (a) ............... 1,200 18,012
------------
216,184
------------
HEALTH CARE TECHNOLOGY -- 0.3%
IMS Health, Inc. .............................. 800 10,048
------------
LIFE SCIENCES TOOLS & SERVICES -- 0.7%
Parexel International Corporation (a) ......... 1,500 14,865
Pharmaceutical Product Development, Inc. ...... 400 7,844
------------
22,709
------------
PHARMACEUTICALS -- 1.5%
Caraco Pharmaceutical Laboratories Ltd. (a) ... 3,400 15,232
King Pharmaceuticals, Inc. (a) ................ 1,300 10,244
Sepracor, Inc. (a) ............................ 1,400 19,894
------------
45,370
------------
53
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 18.7%
AEROSPACE & DEFENSE -- 0.4%
Cubic Corporation ............................. 400 $ 11,484
------------
AIR FREIGHT & LOGISTICS -- 0.9%
Atlas Air Worldwide Holdings, Inc. (a) ........ 800 21,240
UTI Worldwide, Inc. (a) ....................... 600 8,076
------------
29,316
------------
AIRLINES -- 1.6%
AMR Corporation (a) ........................... 2,500 11,900
Copa Holdings, S.A. - Class A ................. 300 9,195
Republic Airways Holdings, Inc. (a) ........... 1,400 10,024
UAL Corporation (a) ........................... 2,100 10,332
US Airways Group, Inc. (a) .................... 2,800 10,612
------------
52,063
------------
COMMERCIAL SERVICES & SUPPLIES -- 3.4%
American Ecology Corporation .................. 1,100 18,172
American Reprographics Company (a) ............ 2,000 12,900
APAC Customer Services, Inc. (a) .............. 2,600 11,986
Brink's Company (The) ......................... 700 19,845
Cenveo, Inc. (a) .............................. 3,400 16,048
Deluxe Corporation ............................ 1,000 14,500
EnergySolutions, Inc. ......................... 1,300 12,610
------------
106,061
------------
CONSTRUCTION & ENGINEERING -- 1.4%
Dycom Industries, Inc. (a) .................... 1,800 15,156
KBR, Inc. ..................................... 700 10,934
MasTec, Inc. (a) .............................. 1,500 18,765
------------
44,855
------------
ELECTRICAL EQUIPMENT -- 2.4%
AZZ, Inc. (a) ................................. 500 15,465
GT Solar International, Inc. (a) .............. 2,100 14,889
II-VI, Inc. (a) ............................... 600 14,382
Polypore International, Inc. (a) .............. 600 4,524
Thomas & Betts Corporation (a) ................ 800 24,896
------------
74,156
------------
INDUSTRIAL CONGLOMERATES -- 0.5%
McDermott International, Inc. (a) ............. 1,000 16,140
------------
MACHINERY -- 5.1%
Ampco-Pittsburgh Corporation .................. 800 19,488
CIRCOR International, Inc. .................... 700 18,011
Gardner Denver, Inc. (a) ...................... 500 13,310
Harsco Corporation ............................ 800 22,040
L.B. Foster Company - Class A (a) ............. 500 16,375
Met-Pro Corporation ........................... 1,600 16,304
Pall Corporation .............................. 600 15,846
Sauer-Danfoss, Inc. ........................... 4,000 16,600
Timken Company ................................ 1,400 22,512
------------
160,486
------------
54
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INDUSTRIALS -- 18.7% (CONTINUED)
MARINE -- 0.7%
TBS International Ltd. (a) .................... 2,700 $ 21,411
------------
PROFESSIONAL SERVICES -- 1.5%
Manpower, Inc. ................................ 600 25,854
Volt Information Sciences, Inc. (a) ........... 2,900 20,822
------------
46,676
------------
ROAD & RAIL -- 0.7%
Marten Transport Ltd. (a) ..................... 500 10,370
Ryder System, Inc. ............................ 400 11,076
------------
21,446
------------
TRADING COMPANIES & DISTRIBUTORS -- 0.1%
Textainer Group Holdings Ltd. ................. 400 3,544
------------
INFORMATION TECHNOLOGY -- 25.3%
COMMUNICATIONS EQUIPMENT -- 3.0%
Acme Packet, Inc. (a) ......................... 1,900 14,649
Brocade Communications Systems, Inc. (a) ...... 4,000 23,120
Harmonic, Inc. (a) ............................ 3,200 23,456
Oplink Communications, Inc. (a) ............... 1,900 20,976
Tellabs, Inc. (a) ............................. 2,300 12,052
------------
94,253
------------
COMPUTERS & PERIPHERALS -- 1.2%
NCR Corporation (a) ........................... 1,500 15,225
Teradata Corporation (a) ...................... 1,400 23,408
------------
38,633
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS -- 5.6%
Arrow Electronics, Inc. (a) ................... 600 13,644
Avnet, Inc. (a) ............................... 1,200 26,268
China Security & Surveillance Technology,
Inc. (a) ................................... 3,100 21,018
Cogent, Inc. (a) .............................. 800 9,072
Ingram Micro, Inc. - Class A (a) .............. 500 7,260
Jabil Circuit, Inc. ........................... 3,200 25,920
Rogers Corporation (a) ........................ 500 12,725
Tech Data Corporation (a) ..................... 900 25,911
Trimble Navigation Ltd. (a) ................... 900 19,296
Vishay Intertechnology, Inc. (a) .............. 2,200 12,914
------------
174,028
------------
INTERNET SOFTWARE & SERVICES -- 2.4%
AsiaInfo Holdings, Inc. (a) ................... 600 10,050
Rackspace Hosting, Inc. (a) ................... 1,400 12,866
S1 Corporation (a) ............................ 2,600 16,120
SAVVIS, Inc. (a) .............................. 1,700 19,346
Websense, Inc. (a) ............................ 1,000 17,830
------------
76,212
------------
55
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 25.3% (CONTINUED)
IT SERVICES -- 5.9%
Broadridge Financial Solutions, Inc. .......... 1,200 $ 23,220
CACI International, Inc. - Class A (a) ........ 500 19,775
Convergys Corporation (a) ..................... 1,700 17,187
Genpact Ltd. (a) .............................. 1,300 11,648
Global Payments, Inc. ......................... 300 9,618
Lender Processing Services, Inc. .............. 300 8,598
Metavante Technologies, Inc. (a) .............. 800 18,872
Ness Technologies, Inc. (a) ................... 5,500 20,295
Perot Systems Corporation (a) ................. 800 11,248
TeleTech Holdings, Inc. (a) ................... 1,600 21,232
TNS, Inc. (a) ................................. 1,297 21,854
------------
183,547
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 3.8%
Atmel Corporation (a) ......................... 3,200 12,288
Cree, Inc. (a) ................................ 500 13,695
Fairchild Semiconductor International, Inc. (a) 4,300 26,488
Integrated Device Technology, Inc. (a) ........ 2,300 12,489
Intersil Corporation - Class A ................ 1,300 15,080
Micron Technology, Inc. (a) ................... 4,800 23,424
Triquint Semiconductor, Inc. (a) .............. 4,300 16,469
------------
119,933
------------
SOFTWARE -- 3.4%
ArcSight, Inc. (a) ............................ 1,600 24,160
Double-Take Software, Inc. (a) ................ 1,900 15,428
Net 1 UEPS Technologies, Inc. (a) ............. 700 11,550
NetScout Systems, Inc. (a) .................... 1,023 9,197
Novell, Inc. (a) .............................. 2,200 8,272
Parametric Technology Corporation (a) ......... 800 8,920
PROS Holdings, Inc. (a) ....................... 1,700 10,982
Quest Software, Inc. (a) ...................... 1,300 18,889
------------
107,398
------------
MATERIALS -- 9.2%
CHEMICALS -- 3.8%
Airgas, Inc. .................................. 300 12,936
Celanese Corporation - Series A ............... 1,300 27,092
Cytec Industries, Inc. ........................ 900 17,874
Huntsman Corporation .......................... 3,100 16,616
Lubrizol Corporation .......................... 600 25,932
NewMarket Corporation ......................... 300 18,900
------------
119,350
------------
CONTAINERS & PACKAGING -- 2.7%
Bemis Company, Inc. ........................... 500 12,020
BWAY Holding Company (a) ...................... 800 7,456
Pactiv Corporation (a) ........................ 800 17,488
Rock-Tenn Company - Class A ................... 400 15,104
Silgan Holdings, Inc. ......................... 400 18,596
Temple-Inland, Inc. ........................... 1,300 15,522
------------
86,186
------------
56
TFS SMALL CAP FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
================================================================================
COMMON STOCKS -- 98.9% (CONTINUED) SHARES VALUE
- --------------------------------------------------------------------------------
MATERIALS -- 9.2% (CONTINUED)
METALS & MINING -- 1.4%
AMCOL International Corporation ............... 1,000 $ 19,380
Commercial Metals Company ..................... 1,600 23,808
------------
43,188
------------
PAPER & FOREST PRODUCTS -- 1.3%
International Paper Company ................... 2,200 27,852
P.H. Glatfelter Company ....................... 1,400 12,432
------------
40,284
------------
TELECOMMUNICATION SERVICES -- 0.7%
WIRELESS TELECOMMUNICATION SERVICES -- 0.7%
NII Holdings, Inc. (a) ........................ 600 9,696
Syniverse Holdings, Inc. (a) .................. 900 11,340
------------
21,036
------------
UTILITIES -- 4.6%
ELECTRIC UTILITIES -- 0.5%
El Paso Electric Company (a) .................. 400 5,520
NV Energy, Inc. ............................... 1,000 10,250
------------
15,770
------------
GAS UTILITIES -- 2.9%
AGL Resources, Inc. ........................... 600 18,702
Atmos Energy Corporation ...................... 800 19,768
Energen Corporation ........................... 700 25,284
Southwest Gas Corporation ..................... 500 10,105
UGI Corporation ............................... 800 18,352
------------
92,211
------------
MULTI-UTILITIES -- 1.2%
MDU Resources Group, Inc. ..................... 600 10,542
NiSource, Inc. ................................ 2,300 25,277
------------
35,819
------------
TOTAL COMMON STOCKS -- 98.9% (Cost $2,919,402) .... $ 3,104,239
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.1% ..... 35,782
------------
NET ASSETS -- 100.0% .............................. $ 3,140,021
============
ADR - American Depositary Receipt.
(a) Non-income producing security.
See accompanying notes to financial statements.
57
TFS CAPITAL INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2009 (UNAUDITED)
=============================================================================================
TFS TFS
MARKET SMALL
NEUTRAL FUND CAP FUND
- ---------------------------------------------------------------------------------------------
ASSETS
Investments in securities:
At acquisition cost ................................... $ 457,729,113 $ 2,919,402
============== ==============
At value (Note 2) ..................................... $ 486,326,185 $ 3,104,239
Deposits with brokers for securities sold short (Note 2) . 346,126,001 --
Dividends and interest receivable ........................ 322,003 2,270
Receivable for investment securities sold ................ 114,741,120 387,771
Receivable for capital shares sold ....................... 1,130,594 18,901
Receivable from Adviser (Note 4) ......................... -- 20,055
Other assets ............................................. 70,601 13,306
-------------- --------------
TOTAL ASSETS .......................................... 948,716,504 3,546,542
-------------- --------------
LIABILITIES
Short-term bank borrowing ................................ -- 2,810
Securities sold short, at value (Note 2)
(proceeds $293,428,113) ............................... 298,161,487 --
Payable for investment securities purchased .............. 102,998,021 388,007
Payable for capital shares redeemed ...................... 1,408,214 5,439
Dividends payable on securities sold short (Note 2) ...... 125,903 --
Interest payable on securities sold short (Note 2) ....... 933,691 --
Payable to Adviser (Note 4) .............................. 939,777 --
Payable to administrator (Note 4) ........................ 88,100 6,000
Other accrued expenses and liabilities ................... 62,889 4,265
-------------- --------------
TOTAL LIABILITIES ..................................... 404,718,082 406,521
-------------- --------------
NET ASSETS ............................................... $ 543,998,422 $ 3,140,021
============== ==============
NET ASSETS CONSIST OF:
Paid-in capital .......................................... $ 564,079,763 $ 4,519,282
Accumulated net investment income (loss) ................. (4,231,632) 15,083
Accumulated net realized losses from security transactions (39,713,407) (1,579,181)
Net unrealized appreciation (depreciation) on:
Investments ........................................... 28,597,072 184,837
Short positions ....................................... (4,733,374) --
-------------- --------------
Net assets ............................................... $ 543,998,422 $ 3,140,021
============== ==============
Shares of beneficial interest outstanding (unlimited
number of shares authorized, no par value) ............ 39,978,031 422,439
============== ==============
Net asset value, redemption price and
offering price per share (a) (Note 2) ................. $ 13.61 $ 7.43
============== ==============
(a) Redemption price may differ from the net asset value per share depending
upon the length of time the shares are held (Note 2).
See accompanying notes to financial statements.
58
TFS CAPITAL INVESTMENT TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2009 (UNAUDITED)
============================================================================================
TFS TFS
MARKET SMALL
NEUTRAL FUND CAP FUND
- --------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends ................................................ $ 7,545,561 $ 21,242
Interest ................................................. 58,832 23
------------ ------------
TOTAL INVESTMENT INCOME ............................... 7,604,393 21,265
------------ ------------
EXPENSES
Investment advisory fees (Note 4) ........................ 4,989,366 159
Brokerage expense on securities sold short (Note 2) ...... 3,796,683 --
Dividend expense on securities sold short (Note 2) ....... 2,493,810 --
Administration fees (Note 4) ............................. 215,573 12,000
Transfer agent fees (Note 4) ............................. 141,858 9,000
Accounting services fees (Note 4) ........................ 79,455 15,120
Custodian fees ........................................... 79,690 7,176
Registration fees ........................................ 40,532 9,178
Printing of shareholder reports .......................... 47,339 2,166
Professional fees ........................................ 22,636 14,536
Postage and supplies ..................................... 28,675 3,391
Compliance service fees (Note 4) ......................... 12,000 12,000
Pricing fees ............................................. 19,604 2,074
Insurance expense ........................................ 14,057 682
Trustees' fees ........................................... 5,813 5,813
Borrowing costs (Note 5) ................................. 2,792 284
Other expenses ........................................... 13,209 3,930
------------ ------------
TOTAL EXPENSES ........................................ 12,003,092 97,509
Fees waived and expenses reimbursed
by the Adviser (Note 4) ............................... (167,067) (91,327)
------------ ------------
NET EXPENSES .......................................... 11,836,025 6,182
------------ ------------
NET INVESTMENT INCOME (LOSS) ................................ (4,231,632) 15,083
------------ ------------
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS AND
SECURITIES SOLD SHORT
Net realized gains (losses) from security transactions of:
Investments ........................................... (39,929,975) (1,468,700)
Securities sold short ................................. 17,671,742 --
Net change in unrealized appreciation (depreciation) on:
Investments ........................................... 92,573,518 1,693,879
Securities sold short ................................. (44,164,491) --
------------ ------------
NET REALIZED AND UNREALIZED
GAINS ON INVESTMENTS ..................................... 26,150,794 225,179
------------ ------------
NET INCREASE IN NET ASSETS
FROM OPERATIONS .......................................... $ 21,919,162 $ 240,262
============ ============
See accompanying notes to financial statements.
59
TFS MARKET NEUTRAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
==================================================================================================================
SIX MONTHS
ENDED FOUR MONTHS YEAR
APRIL 30, ENDED ENDED
2009 OCTOBER 31, JUNE 30,
(UNAUDITED) 2008 (a) 2008
- ------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment loss ...................................... $ (4,231,632) $ (2,645,461) $ (3,825,384)
Net realized gains (losses) from security transactions of:
Investments ........................................... (39,929,975) (28,429,068) (21,583,171)
Short positions ....................................... 17,671,742 17,317,074 27,980,135
Net change in unrealized appreciation (depreciation) on:
Investments ........................................... 92,573,518 (54,930,256) (20,608,839)
Short positions ....................................... (44,164,491) 9,943,964 27,060,992
-------------- -------------- --------------
Net increase (decrease) in net assets from operations ....... 21,919,162 (58,743,747) 9,023,733
-------------- -------------- --------------
FROM DISTRIBUTIONS
Distributions from net investment income ................. -- -- (75,557)
Distributions from net realized gains
from security transactions ............................ (7,411,156) -- (4,093,514)
-------------- -------------- --------------
Decrease in net assets from distributions to shareholders ... (7,411,156) -- (4,169,071)
-------------- -------------- --------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ................................ 242,778,333 237,571,341 201,721,125
Net asset value of shares issued in
reinvesment of distributions to shareholders .......... 6,647,525 -- 3,396,677
Proceeds from redemption fees collected (Note 2) ......... 650,464 541,934 982,502
Payments for shares redeemed ............................. (99,149,865) (72,044,321) (151,102,416)
-------------- -------------- --------------
Net increase in net assets from capital share transactions .. 150,926,457 166,068,954 55,997,888
-------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS ................................ 165,434,463 107,325,207 59,852,550
NET ASSETS
Beginning of period ...................................... 378,563,959 271,238,752 211,386,202
-------------- -------------- --------------
End of period ............................................ $ 543,998,422 $ 378,563,959 $ 271,238,752
============== ============== ==============
ACCUMULATED NET INVESTMENT LOSS ............................. $ (4,231,632) $ -- $ --
============== ============== ==============
CAPITAL SHARE ACTIVITY
Shares sold .............................................. 18,435,886 16,482,137 13,716,056
Shares issued in reinvestment of
distributions to shareholders ......................... 529,683 -- 239,540
Shares redeemed .......................................... (7,568,343) (5,299,283) (11,046,333)
-------------- -------------- --------------
Net increase in shares outstanding ....................... 11,397,226 11,182,854 2,909,263
Shares outstanding, beginning of period .................. 28,580,805 17,397,951 14,488,688
-------------- -------------- --------------
Shares outstanding, end of period ........................ 39,978,031 28,580,805 17,397,951
============== ============== ==============
(a) Fund changed fiscal year end to October 31.
See accompanying notes to financial statements.
60
TFS SMALL CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
=========================================================================================================
SIX MONTHS
ENDED FOUR MONTHS YEAR
APRIL 30, ENDED ENDED
2009 OCTOBER 31, JUNE 30,
(UNAUDITED) 2008 (a) 2008
- ---------------------------------------------------------------------------------------------------------
FROM OPERATIONS
Net investment income (loss) ......................... $ 15,083 $ 4,055 $ (87,752)
Net realized losses from security transactions ....... (1,468,700) (20,380) (78,473)
Net change in unrealized appreciation (depreciation)
on investments .................................... 1,693,879 (1,151,693) (763,246)
------------ ------------ ------------
Net increase (decrease) in net assets from operations ... 240,262 (1,168,018) (929,471)
------------ ------------ ------------
FROM DISTRIBUTIONS
Distributions from net investment income ............. (4,055) -- --
Distributions from net realized gains
from security transactions ........................ -- -- (760,875)
------------ ------------ ------------
Decrease in net assets from distributions to shareholders (4,055) -- (760,875)
------------ ------------ ------------
FROM CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold ............................ 1,112,110 65,589 270,485
Net asset value of shares issued in
reinvesment of distributions to shareholders ...... 3,976 -- 748,784
Proceeds from redemption fees collected (Note 2) ..... 100 159 1,951
Payments for shares redeemed ......................... (1,265,456) (425,681) (387,376)
------------ ------------ ------------
Net increase (decrease) in net assets from
capital share transactions ........................... (149,270) (359,933) 633,844
------------ ------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ................. 86,937 (1,527,951) (1,056,502)
NET ASSETS
Beginning of period .................................. 3,053,084 4,581,035 5,637,537
------------ ------------ ------------
End of period ........................................ $ 3,140,021 $ 3,053,084 $ 4,581,035
============ ============ ============
ACCUMULATED NET INVESTMENT INCOME ....................... $ 15,083 $ 4,055 $ --
============ ============ ============
CAPITAL SHARE ACTIVITY
Shares sold .......................................... 180,895 9,051 24,283
Shares issued in reinvestment of
distributions to shareholders ..................... 655 -- 72,486
Shares redeemed ...................................... (208,020) (52,008) (35,844)
------------ ------------ ------------
Net increase (decrease) in shares outstanding ........ (26,470) (42,957) 60,925
Shares outstanding, beginning of period .............. 448,909 491,866 430,941
------------ ------------ ------------
Shares outstanding, end of period .................... 422,439 448,909 491,866
============ ============ ============
(a) Fund changed fiscal year end to October 31.
See accompanying notes to financial statements.
61
TFS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
===============================================================================================================================
SIX MONTHS FOUR
ENDED MONTHS YEAR YEAR YEAR PERIOD
APRIL 30, ENDED ENDED ENDED ENDED ENDED
PER SHARE DATA FOR A SHARE 2009 OCTOBER 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
OUTSTANDING THROUGHOUT EACH PERIOD: (UNAUDITED) 2008(b) 2008 2007 2006 2005(a)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 13.25 $ 15.59 $ 14.59 $ 12.44 $ 10.37 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss) ......... (0.11) (0.09) (0.23) 0.01 (0.04) (0.11)
Net realized and unrealized gains
(losses) on investments ........... 0.70 (2.27) 1.56 2.35 2.12 0.49
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations ........ 0.59 (2.36) 1.33 2.36 2.08 0.38
---------- ---------- ---------- ---------- ---------- ----------
Less distributions:
Distributions from net
investment income ................. -- -- (0.01) -- -- --
Distributions from net realized gains
from security transactions ........ (0.25) -- (0.40) (0.22) (0.01) --
Distributions in excess of net
realized gains (losses) from
security transactions ............. -- -- -- -- -- (0.01)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ..................... (0.25) -- (0.41) (0.22) (0.01) (0.01)
---------- ---------- ---------- ---------- ---------- ----------
Proceeds from redemption
fees collected (Note 2) .............. 0.02 0.02 0.08 0.01 0.00(c) 0.00(c)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value at end of period ........ $ 13.61 $ 13.25 $ 15.59 $ 14.59 $ 12.44 $ 10.37
========== ========== ========== ========== ========== ==========
Total return (d) ........................ 4.77%(e) (15.01%)(e) 9.93% 19.18% 20.04% 3.77%(e)
========== ========== ========== ========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) .. $ 543,998 $ 378,564 $ 271,239 $ 211,386 $ 22,478 $ 8,101
========== ========== ========== ========== ========== ==========
Ratio of gross expenses to
average net assets ................ 5.40%(h) 4.60%(h) 4.05% 3.30% 5.10% 6.82%(h)
Ratio of net expenses to
average net assets (f) ............ 5.32%(h) 4.55%(h) 3.94% 3.07% 3.21% 3.26%(h)
Ratio of net expenses to average
net assets excluding
dividend expense (f) (g) .......... 4.20%(h) 3.68%(h) 2.80% 2.48% 2.49% 2.49%(h)
Ratio of net expenses to average
net assets excluding dividend
expense, borrowing costs and
brokerage expense on securities
sold short (f) (g) ................ 2.49%(h) 2.49%(h) 2.50% 2.48% 2.49% 2.49%(h)
Ratio of net investment income
(loss) to average net assets ...... (1.90%)(h) (2.24%)(h) (2.15%) 0.09% (0.69%) (1.77%)(h)
Portfolio turnover rate .............. 200%(e) 204%(e) 536% 492% 398% 368%(h)
(a) Represents the period from the commencement of operations (September 7,
2004) through June 30, 2005.
(b) Fund changed fiscal year end to October 31.
(c) Amount rounds to less than $0.01 per share.
(d) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. The returns shown do
not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
(e) Not annualized.
(f) Ratio was determined after advisory fee waivers and expense
reimbursements.
(g) Dividend expense, borrowing costs and brokerage expense on securities sold
short totaled 2.83%(h), 2.06%(h), 1.44%, 0.59%, 0.72% and 0.77%(h) of
average net assets for the periods ended April 30, 2009, October 31, 2008
and June 30, 2008, 2007, 2006 and 2005, respectively.
(h) Annualized.
See accompanying notes to financial statements.
62
TFS SMALL CAP FUND
FINANCIAL HIGHLIGHTS
====================================================================================================================
SIX MONTHS FOUR
ENDED MONTHS YEAR YEAR PERIOD
APRIL 30, ENDED ENDED ENDED ENDED
PER SHARE DATA FOR A SHARE 2009 OCTOBER 31, JUNE 30, JUNE 30, JUNE 30,
OUTSTANDING THROUGHOUT EACH PERIOD: (UNAUDITED) 2008(b) 2008 2007 2006(a)
- --------------------------------------------------------------------------------------------------------------------
Net asset value at beginning of period .. $ 6.80 $ 9.31 $ 13.08 $ 10.39 $ 10.00
---------- ---------- ---------- ---------- ----------
Income (loss) from investment operations:
Net investment income (loss) ......... 0.04 0.01 (0.18) (0.07) (0.01)
Net realized and unrealized
gains (losses) on investments ..... 0.60 (2.52) (1.79) 2.76 0.40
---------- ---------- ---------- ---------- ----------
Total from investment operations ........ 0.64 (2.51) (1.97) 2.69 0.39
---------- ---------- ---------- ---------- ----------
Less distributions:
Distributions from net
investment income ................. (0.01) -- -- -- --
Distributions from net realized gains
from security transactions ........ -- -- (1.80) (0.00)(c) --
---------- ---------- ---------- ---------- ----------
Total distributions ..................... (0.01) -- (1.80) (0.00) --
---------- ---------- ---------- ---------- ----------
Proceeds from redemption
fees collected (Note 2) .............. 0.00(c) 0.00(c) 0.00(c) 0.00(c) --
---------- ---------- ---------- ---------- ----------
Net asset value at end of period ........ $ 7.43 $ 6.80 $ 9.31 $ 13.08 $ 10.39
========== ========== ========== ========== ==========
Total return (d) ........................ 9.43%(e) (26.96%)(e) (16.40%) 25.93% 3.90%(e)
========== ========== ========== ========== ==========
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) .. $ 3,140 $ 3,053 $ 4,581 $ 5,638 $ 3,932
========== ========== ========== ========== ==========
Ratio of gross expenses to
average net assets ................. 8.30%(g) 4.44%(g) 5.57% 5.14% 8.18%(g)
Ratio of net expenses to
average net assets (f) ............. 0.53%(g) 0.88%(g) 2.72% 2.03% 1.72%(g)
Ratio of net expenses to average
net assets excluding borrowing costs 0.50%(g) 0.87%(g) 2.68% 2.03% 1.72%(g)
Ratio of net investment income
(loss) to average net assets ....... 1.28%(g) 0.28%(g) (1.76%) (0.69%) (0.69%)(g)
Portfolio turnover rate .............. 221%(e) 123%(e) 269% 419% 184%(g)
(a) Represents the period from the commencement of operations (March 7, 2006)
through June 30, 2006.
(b) Fund changed fiscal year end to October 31.
(c) Amount rounds to less than $0.01 per share.
(d) Total return is a measure of the change in value of an investment in the
Fund over the period covered, which assumes any dividends or capital gains
distributions are reinvested in shares of the Fund. The returns shown do
not reflect the deduction of taxes a shareholder would pay on Fund
distributions or the redemption of Fund shares.
(e) Not annualized.
(f) Ratio was determined after advisory fee waivers and expense
reimbursements.
(g) Annualized.
See accompanying notes to financial statements.
63
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2009 (UNAUDITED)
================================================================================
1. ORGANIZATION
The TFS Market Neutral Fund and the TFS Small Cap Fund (individually, a "Fund",
and collectively, the "Funds") are each a diversified series of TFS Capital
Investment Trust (the "Trust"), an open-end management investment company
established as an Ohio business trust under a Declaration of Trust dated January
30, 2004. As part of the Trust's organization, the TFS Market Neutral Fund
issued in a private placement on June 28, 2004 10,000 shares of the Fund, at
$10.00 per share, to TFS Capital LLC (the "Adviser"), the investment adviser to
the Fund. The TFS Market Neutral Fund commenced operations on September 7, 2004.
The TFS Small Cap Fund commenced operations on March 7, 2006.
The TFS Market Neutral Fund seeks to produce capital appreciation while having a
low correlation to the U.S. equity market. For this purpose, the term "U.S.
equity market" means the S&P 500 Index. In addition, the Fund seeks to produce
lower volatility than would result from a long-only investment in the U.S.
equity market. "Long-only" refers to a portfolio of common stocks that mimics
the movement of the U.S. equity market, as opposed to one that attempts to hedge
equity market risk through the use of short positions, equity options or futures
contracts.
The TFS Small Cap Fund seeks long-term capital appreciation. In addition, the
Fund seeks to outperform the Russell 2000(R) Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the Funds' significant accounting policies:
Securities valuation - The Funds' portfolio securities are valued at market
value as of the close of the regular trading on the New York Stock Exchange
("NYSE") (generally 4:00 p.m., Eastern time) on each business day the NYSE is
open. Securities listed on the NYSE or other exchanges are valued on the basis
of their last sale prices on the exchanges on which they are primarily traded.
However, if the last sale price on the NYSE is different than the last sale
price on any other exchange, the NYSE price will be used. If there are no sales
on that day, the securities are valued at the mean of the most recent bid and
ask prices on the NYSE or other primary exchange. Securities which are quoted by
NASDAQ are valued at the NASDAQ Official Closing Price. If there are no sales on
that day, the securities are valued at the mean between the closing bid and ask
prices as reported by NASDAQ. Other assets and securities for which no
quotations are readily available are valued at fair value as determined in good
faith under the supervision of the Board of Trustees of the Trust. Such methods
of fair valuation may include, but are not limited to: multiple of earnings,
discount from market of a similar freely traded security, or a combination of
these and other methods.
The Financial Accounting Standards Board's ("FASB") Statement on Financial
Accounting Standards No. 157 "Fair Value Measurements" establishes a single
authoritative definition of fair value, sets out a framework for measuring fair
value and requires additional disclosures about fair value measurements. Various
inputs are used in determining the value of each of the Fund's investments.
These inputs are summarized in the three broad levels listed below:
o Level 1 - quoted prices in active markets for identical securities
o Level 2 - other significant observable inputs
o Level 3 - significant unobservable inputs
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
64
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
The following is a summary of the inputs used to value the Funds' investments
and other financial instruments as of April 30, 2009:
- --------------------------------------------------------------------------------
INVESTMENTS OTHER FINANCIAL
TFS MARKET NEUTRAL FUND IN SECURITIES INSTRUMENTS
- --------------------------------------------------------------------------------
Level 1 - Quoted prices ..................... $ 486,322,817 $ (298,149,402)
Level 2 - Other significant observable inputs 3,368 (12,085)
Level 3 - Significant unobservable inputs ... -- --
-------------- --------------
Total ....................................... $ 486,326,185 $ (298,161,487)
============== ==============
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------
INVESTMENTS
TFS SMALL CAP FUND IN SECURITIES
- ----------------------------------------------------------------
Level 1 - Quoted prices .................... $ 3,104,239
Level 2 - Other signficant observable inputs --
Level 3 - Significant unobservable inputs .. --
--------------
Total ...................................... $ 3,104,239
==============
- ----------------------------------------------------------------
Share valuation - The net asset value per share of each Fund is calculated daily
by dividing the total value of each Fund's assets, less liabilities, by the
number of shares outstanding. The offering price and redemption price per share
of each Fund is equal to the net asset value per share, except that shares are
subject to a redemption fee of 2% if redeemed within 180 days of the date of
purchase. During the periods ended April 30, 2009, October 31, 2008 and June 30,
2008, proceeds from redemption fees totaled $650,464, $541,934 and $982,502,
respectively, for the TFS Market Neutral Fund and $100, $159 and $1,951,
respectively, for the TFS Small Cap Fund.
Investment income - Dividend income is recorded on the ex-dividend date.
Interest income is accrued as earned.
Security transactions - Security transactions are accounted for on the trade
date. Gains and losses on securities sold are determined on a specific
identification basis.
Distributions to shareholders - Distributions to shareholders arising from net
investment income and net realized capital gains, if any, are distributed at
least once each year. The amount of distributions from net investment income and
net realized gains are determined in accordance with federal income tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. These "book/tax" differences are permanent in
nature and are primarily due to differing treatments of net short-tem gains. The
tax character of distributions paid by each of the Funds during the periods
ended April 30, 2009, October 31, 2008 and June 30, 2008 was as follows:
- ------------------------------------------------------------------------------------------------
Long-Term
Period Ordinary Capital Total
Ended Income Gains Distributions
- ------------------------------------------------------------------------------------------------
TFS Market Neutral Fund 4/30/2009 $ 7,411,156 $ -- $ 7,411,156
10/31/2008 $ -- $ -- $ --
6/30/2008 $ 4,086,498 $ 82,573 $ 4,169,071
- ------------------------------------------------------------------------------------------------
TFS Market Small Cap Fund 4/30/2009 $ 4,055 $ -- $ 4,055
10/31/2008 $ -- $ -- $ --
6/30/2008 $ 760,875 $ -- $ 760,875
- ------------------------------------------------------------------------------------------------
65
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
Short positions - The TFS Market Neutral Fund may sell securities short. For
financial statement purposes, an amount equal to the settlement amount is
included in the Statement of Assets and Liabilities as an asset and an
equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current value of the short position. Subsequent
fluctuations in the market prices of securities sold, but not yet purchased, may
require purchasing the securities at prices which may differ from the market
value reflected on the Statement of Assets and Liabilities. The Fund is liable
for any dividends payable on securities while those securities are in a short
position and will also bear other costs, such as charges for the prime brokerage
accounts, in connection with its short positions. These costs are reported as
brokerage expenses on securities sold short in the Statement of Operations. As
collateral for its short positions, the Fund is required under the Investment
Company Act of 1940 to maintain assets consisting of cash, cash equivalents or
liquid securities equal to the market value of the securities sold short. The
amount of the collateral is required to be adjusted daily to reflect changes in
the value of the securities sold short.
Estimates - The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
Expenses - Common expenses of the Trust are allocated between the Funds based on
the relative net assets of each Fund or the nature of the services performed and
the relative applicability to each Fund.
Federal income tax - It is each Fund's policy to comply with the special
provisions of Subchapter M of the Internal Revenue Code applicable to regulated
investment companies. As provided therein, in any fiscal year in which a Fund so
qualifies and distributes at least 90% of its taxable net income, the Fund (but
not the shareholders) will be relieved of federal income tax on the income
distributed. Accordingly, no provision for income taxes has been made.
In order to avoid imposition of the excise tax applicable to regulated
investment companies, it is also each Fund's intention to declare as dividends
in each calendar year at least 98% of its net investment income (earned during
the calendar year) and 98% of its net realized capital gains (earned during the
twelve months ended October 31) plus undistributed amounts from prior years.
The following information is computed on a tax basis for each item as of April
30, 2009:
- ---------------------------------------------------------------------------------------------
TFS MARKET TFS SMALL
NEUTRAL FUND CAP FUND
- ---------------------------------------------------------------------------------------------
Tax cost of portfolio investments and securities sold short $ 203,571,471 $ 2,920,891
============= =============
Gross unrealized appreciation ............................. $ 71,999,566 $ 366,720
Gross unrealized depreciation ............................. (87,406,339) (183,372)
------------- -------------
Net unrealized appreciation (depreciation) ................ (15,406,773) 183,348
Undistributed ordinary income ............................. -- 15,083
Capital loss carryforwards ................................ (141,401) (104,211)
Other losses .............................................. (4,533,167) (1,473,481)
------------- -------------
Total accumulated deficit ................................. $ (20,081,341) $ (1,379,261)
============= =============
- ---------------------------------------------------------------------------------------------
The difference between the federal income tax cost of portfolio of investments
and the financial statement cost for the Funds is due to certain timing
differences in the recognition of capital gains or losses under income tax
regulations and accounting principles generally accepted in the United States of
America. These "book/tax" differences are temporary in nature and are primarily
due to the tax deferral of losses on wash sales.
66
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
As of October 31, 2008, the Funds had the following capital loss carryforwards
for federal income tax purposes. These capital loss carryforwards may be
utilized in the current and future years to offset net realized capital gains,
if any, prior to distribution to shareholders.
- --------------------------------------------------------------------------------
TFS MARKET TFS SMALL
EXPIRES NEUTRAL FUND CAP FUND
- --------------------------------------------------------------------------------
June 30, 2016 ................................ $ -- $ 16,913
October 31, 2016 ............................. $ 141,401 $ 87,298
- --------------------------------------------------------------------------------
FASB's Interpretation No. 48 ("FIN 48") "Accounting for Uncertainty in Income
Taxes" provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken in the course of preparing each Fund's tax
returns to determine whether the tax positions are "more-likely-than-not" of
being sustained by the applicable tax authority. Tax positions not deemed to
meet the "more-likely-than-not" threshold would be recorded as a tax benefit or
expense in the current year. Based on management's analysis, the application of
FIN 48 does not have a material impact on these financial statements. The
statute of limitations on the Funds' tax returns remains open for the periods
ended June 30, 2005 through October 31, 2008.
3. INVESTMENT TRANSACTIONS
During the six months ended April 30, 2009, cost of purchases and proceeds from
sales of portfolio securities, other than short-term investments, U.S.
government securities and short positions, amounted to $919,064,437 and
$755,743,719, respectively, for the TFS Market Neutral Fund and $5,340,151 and
$5,459,738, respectively, for the TFS Small Cap Fund.
4. TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AGREEMENT
Each Fund's investments are managed by the Adviser pursuant to the terms of an
Investment Advisory Agreement. The TFS Market Neutral Fund pays the Adviser an
investment advisory fee, computed and accrued daily and paid monthly, at an
annual rate of 2.25% of its average daily net assets. The TFS Small Cap Fund
pays the Adviser an investment advisory fee, computed and accrued daily and paid
monthly, at an annual rate of 1.25% of its average daily net assets (the "Base
Fee"), which may be increased or decreased by as much as 1.25% if the Fund
outperforms or underperforms its benchmark by at least 2.50%. The term
"benchmark," when used for the TFS Small Cap Fund's investment advisory fee
discussion, means the performance of the Russell 2000 Index plus 2.50%. The
performance fee adjustment is calculated monthly by comparing the TFS Small Cap
Fund's performance to that of the benchmark over the performance period. The
applicable performance period is a rolling twelve month period whereby the most
recent calendar month is substituted for the earliest month as time passes. The
performance fee adjustment will be applied to the average net assets of the Fund
over the performance period. The Base Fee with respect to the Fund will be
increased by one basis point (0.01%) for every two basis points (0.02%) of
outperformance, to a maximum fee of 2.50% per annum. However, if the Fund
underperforms its benchmark the fee will be decreased one basis point (0.01%)
for every two basis points (0.02%) of underperformance, to a minimum fee of
0.00% per annum. The Adviser may receive the performance fee adjustment for
periods during which the Fund has negative investment performance. During the
six months ended April 30, 2009, investment advisory fees were reduced $14,509
below the Base Fee pursuant to the performance fee adjustment.
The Adviser has contractually agreed to reduce its advisory fees and to absorb
each Fund's operating expenses (for the life of the Funds) to the extent
necessary to limit each Fund's aggregate annual ordinary operating expenses
(which do not include brokerage costs, taxes, borrowing costs and
67
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
extraordinary expenses) to 2.50% of the TFS Market Neutral Fund's average daily
net assets and 1.75% of the TFS Small Cap Fund's average daily net assets. For
the TFS Small Cap Fund, the expense cap is calculated prior to the performance
fee adjustment. Therefore, it is possible that the TFS Small Cap Fund's annual
ordinary operating expenses could exceed the 1.75% cap. As a result of this
agreement, during the six months ended April 30, 2009, the Adviser waived
investment advisory fees of $167,067 with respect to the TFS Market Neutral Fund
and waived all of its investment advisory fees of $159 and reimbursed $91,168 of
other operating expenses with respect to the TFS Small Cap Fund.
Advisory fee reductions and expense reimbursements by the Adviser are subject to
repayment by the respective Fund for a period of three years after such fees and
expenses were incurred, provided that such repayments do not cause the ordinary
operating expenses to exceed the 2.50% and the 1.75% expense cap, respectively,
for the TFS Market Neutral Fund and the TFS Small Cap Fund. As of April 30,
2009, the Adviser may in the future recoup fee reductions and expense
reimbursements totaling $643,944 and $446,430, respectively, from the TFS Market
Neutral Fund and the TFS Small Cap Fund. The Adviser may recapture these amounts
no later than the dates as stated below:
June 30, June 30, June 30, October 31, April 30,
2009 2010 2011 2011 2012
-------- -------- -------- -------- --------
TFS Market Neutral Fund $ 37,030 $184,445 $194,726 $ 60,676 $167,067
TFS Small Cap Fund $ 20,360 $140,996 $142,256 $ 51,491 $ 91,327
The President of the Trust is also a Principal of the Adviser.
COMPLIANCE CONSULTING AGREEMENT
Under the terms of the Compliance Consulting Agreement, Drake Compliance, LLC
("Drake") provides ongoing regulatory compliance consulting, monitoring and
reporting services for the Trust.
In addition, a principal of Drake serves as the Trust's Chief Compliance
Officer. For these services, Drake receives $2,000 per month from each Fund. In
addition, each Fund reimburses certain out-of-pocket expenses incurred by Drake,
if any, including, but not limited to, postage and supplies and travel expenses.
ADMINISTRATION AGREEMENT
Under the terms of an Administration Agreement, Ultimus Fund Solutions, LLC
("Ultimus") supplies executive, administrative and regulatory services for the
Funds. Ultimus supervises the preparation of tax returns, reports to
shareholders of the Funds, reports to and filings with the Securities and
Exchange Commission and state securities commissions and materials for meetings
of the Board of Trustees. For these services, each Fund pays Ultimus a monthly
fee at an annual rate of 0.15% of its average daily net assets up to $50
million; 0.125% of such assets between $50 million and $100 million; 0.10% of
such assets between $100 million and $250 million; 0.075% of such assets between
$250 million and $500 million; and 0.05% of such assets in excess of $500
million, subject to a minimum monthly fee of $2,000. Certain officers of the
Trust are also officers of Ultimus.
ACCOUNTING SERVICES AGREEMENT
Under the terms of an Accounting Services Agreement, Ultimus calculates the
daily net asset value per share and maintains the financial books and records of
each Fund. For the performance of these services, the TFS Market Neutral Fund
pays Ultimus a monthly base fee of $4,000 per month plus an asset based fee of
0.005% of average gross daily assets. In addition, the Fund pays $1 per
portfolio trade in excess of 1,000 portfolio trades per month. For the
performance of these services, the TFS Small Cap Fund pays Ultimus a base fee of
$2,500 per month plus an asset based fee of 0.010% of the first $500 million of
average daily net assets and 0.005% of such assets in excess of $500 million. In
addition, each Fund reimburses certain out-of-pocket expenses incurred by
Ultimus in obtaining valuations of the Funds' portfolio securities.
68
TFS CAPITAL INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
TRANSFER AGENT AND SHAREHOLDER SERVICES AGREEMENT
Under the terms of a Transfer Agent and Shareholder Services Agreement, Ultimus
maintains the records of each shareholder's account, answers shareholders'
inquiries concerning their accounts, processes purchases and redemptions of each
Fund's shares, acts as dividend and distribution disbursing agent and performs
other shareholder service functions. For these services, each Fund pays Ultimus
a monthly fee at an annual rate of $24 per shareholder account, subject to a
$1,500 minimum monthly fee. In addition, the Funds reimburse Ultimus for
out-of-pocket expenses including, but not limited to, postage and supplies.
DISTRIBUTION AGREEMENT
The Trust has entered into a Distribution Agreement with Ultimus Fund
Distributors, LLC (the "Distributor"), pursuant to which the Distributor
provides distribution services and serves as the principal underwriter to each
Fund. The Distributor is a wholly-owned subsidiary of Ultimus. The fees payable
to the Distributor are paid by the Adviser.
5. BORROWING COSTS
During the six months ended April 30, 2009, the TFS Market Neutral Fund and the
TFS Small Cap Fund incurred $2,792 and $284 of borrowing costs, respectively. As
of April 30, 2009, the TFS Market Neutral Fund had no outstanding borrowings,
while the TFS Small Cap Fund had $2,810 outstanding borrowings with UMB Bank,
N.A. The average outstanding borrowings for the six months ended April 30, 2009
for the TFS Market Neutral Fund include 158 days of $0 borrowings and 87 days of
$0 borrowings for the TFS Small Cap Fund. The average outstanding borrowing and
average interest rate on borrowings during the six months ended April 30, 2009
were as follows:
- --------------------------------------------------------------------------------
AVERAGE AVERAGE
OUTSTANDING INTEREST
BORROWING RATE
- --------------------------------------------------------------------------------
TFS Market Neutral Fund ........................... $ 426,662 1.20%
TFS Small Cap Fund ................................ $ 41,324 1.56%
- --------------------------------------------------------------------------------
6. CONTINGENCIES AND COMMITMENTS
The Funds indemnify the Trust's officers and Trustees for certain liabilities
that might arise from their performance of their duties to the Funds.
Additionally, in the normal course of business the Funds enter into contracts
that contain a variety of representations and warranties and which provide
general indemnifications. The Funds' maximum exposure under these arrangements
is unknown, as this would involve future claims that may be made against the
Funds that have not yet occurred. However, based on experience, the Funds expect
the risk of loss to be remote.
69
TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED)
================================================================================
We believe it is important for you to understand the impact of costs on your
investment. As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including redemption fees; and (2) ongoing costs, including
management fees and other Fund expenses. The following examples are intended to
help you understand your ongoing costs (in dollars) of investing in the Funds
and to compare these costs with the ongoing costs of investing in other mutual
funds.
A mutual fund's ongoing costs are expressed as a percentage of its average net
assets. This figure is known as the expense ratio. The ongoing costs reflected
in the table are based on an investment of $1,000 made at the beginning of the
most recent semi-annual period (November 1, 2008) and held until the end of the
period (April 30, 2009).
The table below illustrates each Fund's costs in two ways:
Actual fund return - This section helps you to estimate the actual expenses that
you paid over the period. The "Ending Account Value" shown is derived from each
Fund's actual return, and the third column shows the dollar amount of operating
expenses that would have been paid by an investor who started with $1,000 in the
Funds. You may use the information here, together with the amount you invested,
to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Funds under the heading "Expenses Paid During Period."
Hypothetical 5% return - This section is intended to help you compare each
Fund's costs with those of other mutual funds. It assumes that each Fund had an
annual return of 5% before expenses during the period shown, but that the
expense ratio is unchanged. In this case, because the return used is not the
Fund's actual return, the results do not apply to your investment. The example
is useful in making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5% return. You can
assess each Fund's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
Note that expenses shown in the table are meant to highlight and help you
compare ongoing costs only. The Funds do not charge any sales loads. However, a
redemption fee of 2% is applied on the sale of shares purchased within 180 days
of the date of their purchase and does not apply to the redemption of shares
acquired through reinvestment of dividends and other distributions. The
calculations below assume no shares were bought or sold during the period. Your
actual costs may have been higher or lower, depending on the amount of your
investment and the timing of any purchases or redemptions.
More information about each Fund's expenses, including annualized expense
ratios, can be found in this report. For additional information on operating
expenses and other shareholder costs, please refer to the Funds' prospectus.
70
TFS CAPITAL INVESTMENT TRUST
ABOUT YOUR FUNDS' EXPENSES (UNAUDITED) (CONTINUED)
================================================================================
TFS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
Beginning Ending
Account Value Account Value Expenses Paid
Nov. 1, 2008 April 30, 2009 During Period*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,047.70 $ 27.01
- --------------------------------------------------------------------------------
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $ 998.41 $ 26.36
- --------------------------------------------------------------------------------
TFS SMALL CAP FUND
- --------------------------------------------------------------------------------
Beginning Ending
Account Value Account Value Expenses Paid
Nov. 1, 2008 April 30, 2009 During Period*
- --------------------------------------------------------------------------------
Based on Actual Fund Return $1,000.00 $1,094.30 $ 2.75
- --------------------------------------------------------------------------------
Based on Hypothetical 5% Return
(before expenses) $1,000.00 $1,022.17 $ 2.66
- --------------------------------------------------------------------------------
* Expenses are equal to the annualized expense ratio of 5.32% and 0.53%,
respectively, for the TFS Market Neutral Fund and the TFS Small Cap Fund
for the period, multiplied by the average account value over the period,
multipled by 181/365 (to reflect the applicable period).
OTHER INFORMATION (UNAUDITED)
================================================================================
A description of the policies and procedures that the Funds use to determine how
to vote proxies relating to portfolio securities is available without charge
upon request by calling toll-free 1-888-534-2001, or on the Securities and
Exchange Commission's ("SEC") website at http://www.sec.gov. Information
regarding how the Funds voted proxies relating to portfolio securities during
the most recent 12-month period ended June 30 is also available without charge
upon request by calling toll-free 1-888-534-2001, or on the SEC's website at
http://www.sec.gov.
The Funds file a complete listing of portfolio holdings with the SEC as of the
end of the first and third quarters of each fiscal year on Form N-Q. The filings
are available upon request, by calling 1-888-534-2001. Furthermore, you may
obtain copies of the filings on the SEC's website at http://www.sec.gov. The
Funds' Forms N-Q may also be reviewed and copied at the SEC's Public Reference
Room in Washington, DC, and information on the operation of the Public Reference
Room may be obtained by calling 1-800-SEC-0330.
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ITEM 2. CODE OF ETHICS.
Not required
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not required
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not required
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable [schedule filed with Item 1]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
The registrant has not adopted procedures by which shareholders may recommend
nominees to the registrant's board of trustees.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Investment Company Act of
1940) as of a date within 90 days of the filing date of this report, the
registrant's principal executive officer and principal financial officer have
concluded that such disclosure controls and procedures are reasonably designed
and are operating effectively to ensure that material information relating to
the registrant, including its consolidated subsidiaries, is made known to them
by others within those entities, particularly during the period in which this
report is being prepared, and that the information required in filings on Form
N-CSR is recorded, processed, summarized, and reported on a timely basis.
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the second fiscal quarter of the period covered by this
report that have materially affected, or are reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not required
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the Act (17 CFR 270.30a-2(a)): Attached hereto
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the Act (17 CFR 270.23c-1) sent or given during the period covered by the report
by or on behalf of the registrant to 10 or more persons: Not applicable
(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR
270.30a-2(b)): Attached hereto
Exhibit 99.CERT Certifications required by Rule 30a-2(a) under the Act
Exhibit 99.906CERT Certifications required by Rule 30a-2(b) under the Act
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) TFS Capital Investment Trust
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By (Signature and Title)* /s/ Larry S, Eiben
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Larry S. Eiben, President
Date June 29, 2009
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Larry S. Eiben
--------------------------------------------------
Larry S. Eiben, President
Date June 29, 2009
-------------------------
By (Signature and Title)* /s/ Mark J. Seger
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Mark J. Seger, Treasurer
Date June 29, 2009
-------------------------
* Print the name and title of each signing officer under his or her signature.