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 811-07076
WILSHIRE MUTUAL FUNDS, INC.
(EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER)
WILSHIRE ASSOCIATES INCORPORATED
1299 OCEAN AVENUE, SUITE 700
SANTA MONICA, CA 90401-1085
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES) (ZIP CODE)
LAWRENCE DAVANZO, PRESIDENT
1299 OCEAN AVENUE, SUITE 700
SANTA MONICA, CA 90401-1085
(NAME AND ADDRESS OF AGENT FOR SERVICE)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: 310-260-6639
DATE OF FISCAL YEAR END: DECEMBER 31
DATE OF REPORTING PERIOD: JUNE 30, 2008
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, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
[LOGO] WILSHIRE MUTUAL FUNDS
SEMI-ANNUAL REPORT
(Unaudited)
LARGE COMPANY GROWTH PORTFOLIO
LARGE COMPANY VALUE PORTFOLIO
SMALL COMPANY GROWTH PORTFOLIO
SMALL COMPANY VALUE PORTFOLIO
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO
WILSHIRE LARGE CAP CORE 130/30 FUND
JUNE 30, 2008
----------------
www.wilfunds.com
WILSHIRE MUTUAL FUNDS, INC.
Shareholder Letter ........................................................ 1
Large Company Growth Portfolio:
Commentary: ............................................................ 3
Large Company Value Portfolio:
Commentary: ............................................................ 6
Small Company Growth Portfolio:
Commentary: ............................................................ 9
Small Company Value Portfolio:
Commentary: ............................................................ 12
Dow Jones Wilshire 5000 Index Portfolio:
Commentary: ............................................................ 15
Wilshire Large Cap Core 130/30 Fund:
Commentary: ............................................................ 18
Disclosure of Fund Expenses ............................................... 21
Condensed Schedules of Investments:
Large Company Growth Portfolio ......................................... 24
Large Company Value Portfolio .......................................... 26
Small Company Growth Portfolio ......................................... 28
Small Company Value Portfolio .......................................... 30
Dow Jones Wilshire 5000 Index Portfolio ................................ 32
Schedule of Investments:
Wilshire Large Cap Core 130/30 Fund .................................... 34
Schedule of Securities Sold Short:
Wilshire Large Cap Core 130/30 Fund .................................... 41
Statements of Assets and Liabilities ...................................... 45
Statements of Operations .................................................. 47
Statements of Changes in Net Assets ....................................... 48
Statement of Cash Flows ................................................... 52
Financial Highlights:
Large Company Growth Portfolio ......................................... 53
Large Company Value Portfolio .......................................... 55
Small Company Growth Portfolio ......................................... 57
Small Company Value Portfolio .......................................... 59
Dow Jones Wilshire 5000 Index Portfolio ................................ 61
Wilshire Large Cap Core 130/30 Fund .................................... 65
Notes to Financial Statements ............................................. 67
Additional Fund Information ............................................... 77
------------------------------------------------------------
THIS REPORT IS FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF LARGE COMPANY
GROWTH PORTFOLIO, LARGE COMPANY VALUE PORTFOLIO, SMALL COMPANY GROWTH PORTFOLIO,
SMALL COMPANY VALUE PORTFOLIO, DOW JONES WILSHIRE 5000 INDEX PORTFOLIO AND
WILSHIRE LARGE CAP CORE 130/30 FUND. ITS USE IN CONNECTION WITH ANY OFFERING OF
A PORTFOLIO'S SHARES IS AUTHORIZED ONLY IF ACCOMPANIED OR PRECEDED BY THE
PORTFOLIO'S CURRENT PROSPECTUS.
Wilshire Mutual Funds, Inc. are distributed by SEI Investments Distribution Co.
Dear Wilshire Mutual Funds Shareholder:
We are pleased to present this Semi-Annual Report to all shareholders of the
Wilshire Mutual Funds, Inc. This report covers the six month period ended June
30, 2008 (the "Period"), for all share classes of the Large Company Growth
Portfolio, Large Company Value Portfolio, Wilshire Large Cap Core 130/30 Fund,
Small Company Growth Portfolio, Small Company Value Portfolio and Dow Jones
Wilshire 5000 Index Portfolio.
MARKET ENVIRONMENT
The first half of 2008 has been one of the most challenging periods for the U.S.
economy and capital markets. The economy continues to experience a significant
overhang from the correction in the housing market that began in 2007.
Employment has been weak with recent unemployment claims rising to a six year
high and July's unemployment rate at 5.7%. GDP growth has been muted for several
quarters with recent quarters being revised downward. The second quarter GDP
grew at a 1.9% rate, boosted by the $80 billion tax rebate program. First
quarter growth was revised down to 0.9%, and the 4th quarter of 2007 was revised
downward to (0.2)%. While technically not in a recession (which traditionally is
defined as two consecutive quarters of negative GDP growth), the economy will
continue to face numerous challenges for the remainder of the year.
There are some bright spots. Interest rates continue to remain low, with the
Fed's recent decision to maintain the Fed Funds rate at 2%. Although inflation
is running at a 4.1% annual rate for the year ended June 30, recent declines in
oil prices and other commodities have reduced the pressure on the Fed to raise
rates to tamp down a higher inflation. While housing prices continue to decline
in most markets, the June index for sales contracts rose 5.3%, a leading
indicator of existing home sales. The government's housing legislation to shore
up Fannie Mae and Freddie Mac is expected to reduce foreclosures. Lastly,
productivity has shown surprising strength.
The U.S. stock market has experienced significant volatility over the past six
months as investors have wrestled with the many challenges facing the economy.
During the first quarter, the market declined significantly in reaction to
numerous factors, notably weak economic data, the collapse of Bear Stearns and
rising energy prices. Then, in mid-March, stocks began to rally but by early
May, investors began selling again with declining stock prices continuing
through the month of June. For the six months ended June 30, 2008, the Dow Jones
Wilshire 5000 Index, the broadest measure of the stock market, declined 10.9%.
Value stocks fell 13.6%, trailing growth stocks which declined only 9.1%.
Financial stocks, which comprise 14% of the overall market and 28% of value
stocks, declined nearly 30% for the six months. Energy stocks, making up 16% of
the market, were up over 8%. But there were dramatic swings in both sectors
throughout the market, making it very difficult for investors to take advantage
of any long-term trends.
In many ways, this created a two decision market. Investors who made the right
call underweighting Financials and overweighting Energy stocks looked like
heroes. Unfortunately, there weren't many heroes around for the past six months.
FUND PERFORMANCE OVERVIEW
Wilshire manages six funds, five actively managed, multi-manager funds, and a
Dow Jones Wilshire 5000 Index Portfolio. As expected, the Index Fund closely
tracked its benchmark for the quarter, with
1
a return of (11.4)% vs. (10.9)% for the Dow Jones Wilshire 5000 Index. The five
actively managed funds had mixed results. The Wilshire Large Cap Core 130/30
Fund, launched late last year, performed in line with expectations, returning
0.75% above the S&P 500 Index for the period. The Fund is managed by four
experienced 130/30 managers, two using a fundamental stock picking approach, and
two quantitative managers. The Small Company Growth Portfolio also performed
well, beating its benchmark by 1% for the period with a return of (7.9)% vs.
(8.9)% for the Russell 2000 Growth Index.
In the value sector, Wilshire's Large and Small Company Value Portfolios both
slightly trailed their benchmarks during a difficult period for value stocks.
The Large Company Value Portfolio fell 14.3% vs. 13.6% for the Russell 1000
Value Index, due mostly to the continued disappointing results from one of the
three subadvisors, Pzena Investment Management. Pzena continued to overweight
financial stocks, including Fannie Mae and Freddie Mac. Pzena is often early in
its convictions, and we expect the Fund to benefit substantially from its
holdings as the Financial sector recovers. The Small Company Value Portfolio
trailed its benchmark by 0.5% during the six months with one of the subadvisors
beating its benchmark, and the other trailing its benchmark.
Wilshire's largest fund by assets and number of subadvisors is the Large Company
Growth Portfolio. Restructured in January 2007 with six new subadvisors, the
fund got off to a good start in 2007, returning 16.3% vs. 11.8% for the Russell
1000 Growth Index for the calendar year. The past six months have been more
challenging, with the fund falling short of its benchmark by 2.4%. Importantly,
since the fund's restructuring in early 2007, performance has been strong
against its benchmark. The annualized return from February 1, 2007 through June
30, 2008 was 0.5%, 1.1% above the return for the Russell 1000 Growth Index.
Wilshire's investment process focuses on hiring subadvisors with a demonstrated
ability to add value, and blending those subadvisors to manage investment style
risk. We will continue to strive to improve the performance of each fund for the
remainder of 2008.
Sincerely,
/s/ Lawrence E. Davanzo
- ----------------------------------
Lawrence E. Davanzo
President
* THE PERFORMANCE STATED IS FOR INVESTMENT CLASS SHARES. THE PERFORMANCE
DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE
RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE QUOTED TO
THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO
THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
2
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LARGE COMPANY GROWTH PORTFOLIO
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (11.46)%
ONE YEAR ENDED 06/30/08 ............................................ (5.65)%
FIVE YEARS ENDED 06/30/08 .......................................... 7.14%
TEN YEARS ENDED 06/30/08 ........................................... 3.02%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (11.28)%
ONE YEAR ENDED 06/30/08 ............................................ (5.24)%
FIVE YEARS ENDED 06/30/08 .......................................... 7.53%
TEN YEARS ENDED 06/30/08 ........................................... 3.36%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, there were no waivers
or reimbursements. Without such waivers and reimbursements, historical
total returns would have been lower. The table above does not reflect the
deduction that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
** Not Annualized.
3
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LARGE COMPANY GROWTH PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction in the month of January. This correction
was succeeded by increasing volatility and heightened concerns on behalf of
investors as credit conditions continued to worsen. Despite a difficult first
quarter, the second quarter began with a strong rebound in equity markets, as
first quarter GDP was revised up and corporate earnings beat expectations. This
rally was short lived, however, as investor sentiment quickly turned bearish
when it became evident that much of the financial turmoil which plagued markets
during the first quarter was not yet over. Weakness in the US job market coupled
with expectations of additional write-downs in the Financials sector caused
significant equity market declines in June, ending the first half of the year on
a disappointing note. The Wilshire Large Company Growth Portfolio underperformed
during the first quarter, but yielded strong relative performance during the
second quarter. Unfortunately, the Fund's underperformance during the first
quarter outweighed the positive results during the second quarter, falling short
of its benchmark for the first half of 2008.
The performance of the Fund was primarily attributable to the underperformance
of several of the Fund's sub-advisors during the month of January, most notably
Logan Capital Management ("Logan") and Victory Capital Management ("Victory"),
as the more aggressive positioning of both strategies proved to be out of favor
during the market correction in the first quarter. Fortunately, both
sub-advisors yielded favorable returns during the second quarter. Furthermore,
the less aggressive positioning by Quest Investment Management, Sawgrass Asset
Management, and Los Angeles Capital provided an effective buffer during the
month of June, as all three sub-advisors outperformed as the equity market slid
on economic and financial concerns. Wilshire's disciplined investment approach
of combining unique investment philosophies and growth sub-styles was again
beneficial during the quarter, as the sub-advisors provided complementary
performance in up and down markets. Following a strong second quarter, the Fund
remains well positioned to take advantage of the current opportunities in the
equity market.
4
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LARGE COMPANY GROWTH PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
INFORMATION TECHNOLOGY 27.7%
HEALTH CARE 16.0%
INDUSTRIALS 14.8%
ENERGY 13.4%
CONSUMER STAPLES 6.5%
MATERIALS 6.3%
FINANCIALS 6.0%
CONSUMER DISCRETIONARY 5.8%
UTILITIES 1.9%
TELECOMMUNICATIONS SERVICES 1.3%
INVESTMENT COMPANY 0.3%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
5
- --------------------------------------------------------------------------------
LARGE COMPANY VALUE PORTFOLIO
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (14.33)%
ONE YEAR ENDED 06/30/08 ............................................ (21.34)%
FIVE YEARS ENDED 06/30/08 .......................................... 7.21%
TEN YEARS ENDED 06/30/08 ........................................... 3.53%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (14.23)%
ONE YEAR ENDED 06/30/08 ............................................ (21.11)%
FIVE YEARS ENDED 06/30/08 .......................................... 7.48%
TEN YEARS ENDED 06/30/08 ........................................... 3.80%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, there were no waivers
or reimbursements. Without such waivers and reimbursements, historical
total returns would have been lower. The table above does not reflect the
deduction that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
** Not Annualized.
6
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LARGE COMPANY VALUE PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction during the month of January. Large Cap
Value equities held up well relative to their growth counterparts during this
correction, as the Financials sector was resilient in January. The early rally
in this sector however, was succeeded by increasing volatility and heightened
concerns on behalf of investors as credit conditions continued to worsen,
thereby hampering on the performance of Financials. The second quarter began
with a strong rebound in equity markets, as first quarter GDP was revised up and
corporate earnings beat expectations. This rally was short lived, however, as
investor sentiment quickly turned bearish when it became evident that much of
the financial turmoil which plagued markets during the first quarter was not yet
over. Weakness in the US job market coupled with expectations of additional
write-downs in the Financials sector caused equity market declines in June.
The Wilshire Large Cap Value Portfolio underperformed the Russell 1000 Growth
Index during the first half of 2008, primarily due to a difficult first
quarter. The Fund's performance was primarily attributable to the
underperformance of two of its sub-advisors early in the first quarter, as both
Acadian Asset Management ("Acadian") and Systematic Financial Management
("Systematic") maintained notable underweight exposure in the Financials sector
in January. The Fund's underweight exposure to Energy also hindered results
during the first quarter, as the Fund's deeper value oriented sub-advisor, Pzena
Investment Management, found attractive valuations in other sectors of the
market. It's important to note however, that both Acadian and Systematic
outperformed the benchmark by significant margins during the second quarter. Due
to the complementary positioning of Systematic and Acadian, the Wilshire Large
Company Value Portfolio maintained a slight underweight position in Financials,
which proved to be beneficial late in the second quarter. Wilshire has made no
changes to the allocations of the sub-advisors, as the Fund continues to exhibit
healthy portfolio characteristics with attractive valuations relative to the
market.
7
- --------------------------------------------------------------------------------
LARGE COMPANY VALUE PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
FINANCIALS 22.3%
ENERGY 17.1%
HEALTH CARE 10.3%
INFORMATION TECHNOLOGY 10.1%
CONSUMER STAPLES 10.1%
CONSUMER DISCRETIONARY 8.6%
MATERIALS 7.0%
INDUSTRIALS 6.8%
UTILITIES 4.7%
TELECOMMUNICATIONS SERVICES 3.0%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
8
- --------------------------------------------------------------------------------
SMALL COMPANY GROWTH PORTFOLIO
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (7.91)%
ONE YEAR ENDED 06/30/08 ............................................ (8.92)%
FIVE YEARS ENDED 06/30/08 .......................................... 10.32%
TEN YEARS ENDED 06/30/08 ........................................... 5.08%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ........................................ (8.00)%
ONE YEAR ENDED 06/30/08 ............................................ (8.85)%
FIVE YEARS ENDED 06/30/08 .......................................... 10.58%
TEN YEARS ENDED 06/30/08 ........................................... 5.30%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, each class waived 60
basis points on an annualized basis. Without such waivers and
reimbursements, historical total returns would have been lower. The table
above does not reflect the deduction that a shareholder would pay on
Portfolio distributions or the redemption of Portfolio shares.
** Not Annualized.
9
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SMALL COMPANY GROWTH PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction in the month of January. This correction
was succeeded by increasing volatility and heightened concerns on behalf of
investors as credit conditions continued to worsen. On a sector basis, Health
Care and Information Technology, which make up a significant portion of the
small cap growth market, were among the worst performing sectors during the
first quarter. The second quarter proved to be favorable for small cap growth
equities, which rebounded significantly following a challenging start to 2008.
Consistent with most of the market, small cap growth equities provided a
dramatic rally early in the quarter, however the weakness in the US job market
coupled with expectations of additional write-downs in the Financials sector
also plagued small cap growth equities with negative sentiment. Fortunately, the
strong returns experienced during April and May far outweighed the losses
experienced during the month of June.
The Wilshire Small Company Growth Portfolio outperformed the Russell 2000 Growth
Index during the first half of 2008,due primarily to a very strong second
quarter. Ranger Investment Management and Los Angeles Capital Management
outperformed the benchmark, as both sub-advisors opportunistically positioned
their portfolios with overweight exposure to the strong performing Energy
sector, while underweighting Financials. Wilshire did not make any changes to
the allocations of the Subadvisors during the quarter, as characteristics remain
in line with expectations, and year-to-date relative performance remains
competitive.
10
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SMALL COMPANY GROWTH PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
INFORMATION TECHNOLOGY 23.1%
HEALTH CARE 22.3%
INDUSTRIALS 19.0%
ENERGY 16.7%
CONSUMER DISCRETIONARY 8.3%
MATERIALS 3.6%
FINANCIALS 3.3%
TELECOMMUNICATIONS SERVICES 1.7%
UTILITIES 1.2%
CONSUMER STAPLES 0.8%
PREFERRED STOCK 0.0%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
11
- --------------------------------------------------------------------------------
SMALL COMPANY VALUE PORTFOLIO
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (10.31)%
ONE YEAR ENDED 06/30/08 ............................................. (20.13)%
FIVE YEARS ENDED 06/30/08 ........................................... 10.42%
TEN YEARS ENDED 06/30/08 ............................................ 6.06%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (9.93)%
ONE YEAR ENDED 06/30/08 ............................................. (19.65)%
FIVE YEARS ENDED 06/30/08 ........................................... 10.82%
TEN YEARS ENDED 06/30/08 ............................................ 6.37%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, each class waived 60
basis points on an annualized basis. Without such waivers and
reimbursements, historical total returns would have been lower. The table
above does not reflect the deduction that a shareholder would pay on
Portfolio distributions or the redemption of Portfolio shares.
** Not Annualized.
12
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SMALL COMPANY VALUE PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
Following a challenging 2007 for the small cap value segment of the market,
small cap value equities continued to struggle during the first half of 2008.
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction during the month of January, which favored
the Financials sector. The early rally in this sector, however, was succeeded by
increasing volatility and heightened concerns on behalf of investors as credit
conditions continued to worsen, thereby hampering the performance of Financials.
The second quarter began with a strong rebound in equity markets, as first
quarter GDP was revised up and corporate earnings beat expectations. This rally
was short lived, however, as investor sentiment quickly turned bearish when it
became evident that much of the financial turmoil which plagued markets during
the first quarter was not yet over. Weakness in the US job market coupled with
expectations of additional write-downs in the Financials sector caused equity
market declines in June. The Wilshire Small Company Value Portfolio slightly
underperformed the Russell 2000 Value Index on a year-to-date basis, primarily
due to a challenging first quarter. The Fund's underperformance was due to
several factors and was partially the result of the cautionary underweight
position in the Financials sector on behalf of the Fund's sub-advisors early in
the year. The Fund's more active sub-advisor, NWQ, also suffered from selection
within the Industrials and Materials sectors, where the Subadvisor maintained a
significant overweight relative to its benchmark. Fortunately, the positioning
of both sub-advisors proved to be favorable late in the first quarter and second
quarter, as they benefited from overweight positions in the Energy sector,
coupled with strong broad based security selection. NWQ's dramatic underweight
in Financials was also favorable. Despite a strong second quarter, the Fund
continues to marginally trail the Russell 2000 Value Index for the year-to-date.
Both NWQ and LA Capital outperformed by a significant margin in 2007, and
continue to provide competitive results over longer-time periods. Wilshire did
not make any structural changes to the Fund during the quarter, as we believe
the Fund is well positioned with portfolio characteristics that remain
consistent with our expectations.
13
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SMALL COMPANY VALUE PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
FINANCIALS 24.9%
INDUSTRIALS 19.0%
ENERGY 11.7%
INFORMATION TECHNOLOGY 11.3%
MATERIALS 9.4%
CONSUMER DISCRETIONARY 7.6%
HEALTH CARE 6.8%
CONSUMER STAPLES 4.4%
UTILITIES 4.3%
TELECOMMUNICATIONS SERVICES 0.6%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
14
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DOW JONES WILSHIRE 5000 INDEX PORTFOLIO
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.35)%
ONE YEAR ENDED 06/30/08 ............................................. (13.21)%
FIVE YEARS ENDED 06/30/08 ........................................... 7.64%
INCEPTION (02/01/99) THROUGH 06/30/08 ............................... 1.84%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.12)%
ONE YEAR ENDED 06/30/08 ............................................. (12.93)%
FIVE YEARS ENDED 06/30/08 ........................................... 7.91%
INCEPTION (02/01/99) THROUGH 06/30/08 ............................... 2.12%
QUALIFIED CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.35)%
ONE YEAR ENDED 06/30/08 ............................................. (13.24)%
FIVE YEARS ENDED 06/30/08 ........................................... 7.49%
INCEPTION (05/10/00) THROUGH 06/30/08 ............................... 0.84%
HORACE MANN CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.31)%
ONE YEAR ENDED 06/30/08 ............................................. (13.24)%
FIVE YEARS ENDED 06/30/08 ........................................... 7.54%
INCEPTION (12/10/99) THROUGH 06/30/08 ............................... 1.99%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, there were no waivers
or reimbursements. Without such waivers and reimbursements, historical
total returns would have been lower. The table above does not reflect the
deduction that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
** Not Annualized.
15
- --------------------------------------------------------------------------------
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction in the month of January. This correction
represented a tremendous reversal in the market, when many of the strongest
performing equities during the calendar year of 2007 sold off as investors took
profits and de-leveraged their portfolios. Commensurate with this reversal, the
Financials sector began the year with strong relative performance, which was
short-lived and succeeded by increasing volatility and heightened concerns on
behalf of investors as credit conditions continued to worsen. The second quarter
then began with a strong rebound in equity markets, as first quarter GDP was
revised up and corporate earnings beat expectations. This rally was short lived,
however, as investor sentiment quickly turned bearish when it became evident
that much of the financial turmoil which plagued markets during the first
quarter was not yet over. Weakness in the US job market coupled with
expectations of additional write-downs in the Financials sector were the primary
causes of equity market declines in June, which muted the strong results during
the first two months of the quarter. Furthermore, rising energy prices continued
to heighten economic woes, despite providing handsome returns for energy related
companies. On an absolute basis, the Dow Jones Wilshire 5000 Index Portfolio
(Institutional Class Shares) was down (11.12)% on a year-to-date basis.
Performance was primarily attributable to ongoing declines in the Financials
sector, coupled with dismal results on a broad basis across most of the equity
market. The only positive sectors for the year-to-date were Energy and
Materials, as both sectors continued to benefit from rising commodity prices
throughout the year. Unfortunately, these two sectors only represent
approximately 17% of the index, and provided only a moderate buffer against the
rest of the market. The Dow Jones Wilshire 5000 Index Portfolio continues to
perform within our expectations, providing broad exposure to the U.S. equity
market.
16
- --------------------------------------------------------------------------------
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
INFORMATION TECHNOLOGY 16.3%
ENERGY 15.6%
FINANCIALS 15.2%
INDUSTRIALS 11.8%
HEALTH CARE 11.5%
CONSUMER STAPLES 9.2%
CONSUMER DISCRETIONARY 8.7%
MATERIALS 4.4%
UTILITIES 4.2%
TELECOMMUNICATIONS SERVICES 3.1%
PREFERRED STOCK 0.0%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
17
- --------------------------------------------------------------------------------
WILSHIRE LARGE CAP CORE 130/30 FUND
COMMENTARY [LOGO]
- --------------------------------------------------------------------------------
INVESTMENT CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.27)%
INCEPTION (11/15/07) THROUGH 06/30/08 ............................... (10.20)%
INSTITUTIONAL CLASS SHARES
AVERAGE ANNUAL TOTAL RETURN*
SIX MONTHS ENDED 06/30/08** ......................................... (11.17)%
INCEPTION (11/15/07) THROUGH 06/30/08 ............................... (10.08)%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT WWW.WILFUNDS.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
* Assumes reinvestment of all dividends and distributions. During certain
periods since inception, certain fees and expenses were waived or
reimbursed. For the six months ended June 30, 2008, the Investment Class
and Institutional Class waived 1.12 and 1.11 basis points on an annualized
basis, respectively. Without such waivers and reimbursements, historical
total returns would have been lower. The table above does not reflect the
deduction that a shareholder would pay on Portfolio distributions or the
redemption of Portfolio shares.
** Not Annualized.
18
- --------------------------------------------------------------------------------
WILSHIRE LARGE CAP CORE 130/30 FUND
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
The first half of 2008 was characterized by turbulence in the financial markets
which began with a notable correction in the month of January. This correction
represented a tremendous reversal in the market, when many of the strongest
performing equities during the calendar year of 2007 sold off as investors took
profits and de-leveraged their portfolios. Commensurate with this reversal, the
Financials sector began the year with strong relative performance, which was
short-lived and succeeded by increasing volatility and heightened concerns on
behalf of investors as credit conditions continued to worsen. The second quarter
then began with a strong rebound in equity markets, as first quarter GDP was
revised up and corporate earnings beat expectations. This rally was short lived,
however, as investor sentiment quickly turned bearish when it became evident
that much of the financial turmoil which plagued markets during the first
quarter was not yet over. Weakness in the US job market coupled with
expectations of additional write-downs in the Financials sector were the primary
causes of equity market declines in June, which muted the strong results during
the first two months of the quarter. Furthermore, rising energy prices continued
to heighten economic woes, despite providing handsome returns for energy related
companies.
Despite a rather tumultuous market, the Wilshire Large Cap Core 130/30 Fund
outpaced the S&P 500 Index on a year-to-date basis. The most notable
contributors to outperformance were AXA Rosenberg ("AXA") and Thompson, Siegel &
Walmsley ("TS&W"), as both firms benefited from underweight exposures to the
Financials sector coupled with strong broad based security selection. Wilshire's
management team recently repositioned the Fund's allocations to its
sub-advisors, with moderate increases in the allocations to Twin Capital
Management and TS&W to ensure that the Fund's positioning remains consistent
with its style neutral objective and effective subadvisor diversification. We
believe the Fund is well positioned with portfolio characteristics that remain
consistent with our expectations. We remain confident that the 130/30 approach
of the Fund will continue to provide more breadth to exploit opportunities in
the large cap equity market, as it continues to outperform the S&P 500 Index on
a year-to-date basis.
19
- --------------------------------------------------------------------------------
WILSHIRE LARGE CAP CORE 130/30 FUND
COMMENTARY - (CONTINUED) [LOGO]
- --------------------------------------------------------------------------------
PORTFOLIO SECTOR WEIGHTING*
(As of June 30, 2008)
[PIE CHART]
INFORMATION TECHNOLOGY 17.3%
ENERGY 14.7%
INDUSTRIALS 12.7%
FINANCIALS 11.2%
CONSUMER DISCRETIONARY 10.4%
HEALTH CARE 10.1%
CONSUMER STAPLES 9.6%
MATERIALS 6.6%
UTILITIES 4.4%
TELECOMMUNICATIONS SERVICES 2.8%
INVESTMENT COMPANY 0.2%
* BASED ON PERCENT OF PORTFOLIO'S TOTAL LONG-TERM MARKET VALUE.
20
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DISCLOSURE OF FUND EXPENSES [LOGO]
FOR THE SIX MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
We believe it is important for you to understand the impact of fees regarding
your investment. All mutual funds have operating expenses. As a shareholder of a
Portfolio (or a "fund"), you incur ongoing costs, which include costs for
investment advisory, administrative services, distribution and/or shareholder
services and shareholder reports (like this one), among others. Operating
expenses, which are deducted from a fund's gross income, directly reduce the
investment return of the fund. A fund's expenses are expressed as a percentage
of its average net assets. This figure is known as the expense ratio. The
following examples are intended to help you understand the ongoing fees (in
dollars) of investing in your fund and to compare these costs with those of
other mutual funds. The examples are based on an investment of $1,000 made at
the beginning of the period shown and held for the entire period.
This table illustrates your fund's costs in two ways:
ACTUAL FUND RETURN: This section helps you to estimate the actual expenses,
after any applicable fee waivers, that you paid over the period. The "Ending
Account Value" shown is derived from the Portfolio's ACTUAL return for the past
six month period. The "Expense Ratio" column shows the period's annualized
expense ratio and the "Expenses Paid During Period" column shows the dollar
amount that would have been paid by an investor who started with $1,000 in the
Portfolio at the beginning of the period.
You may use the information here, together with your account value, 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 your fund in the first line
under the heading entitled "Expenses Paid During Period."
HYPOTHETICAL 5% RETURN: This section is intended to help you compare your fund's
costs with those of other mutual funds. The "Ending Account Value" shown is
derived from hypothetical account values and hypothetical expenses based on the
Portfolio's actual expense ratio and assumed rate of return. It assumes that the
Portfolio had an annual return of 5% before expenses, but that the expense ratio
is unchanged. In this case, because the return used is NOT the Portfolio's
actual return, the results do not apply to your investment. This example is
useful in making comparisons to other mutual funds because the Securities and
Exchange Commission requires all mutual funds to calculate expenses based on an
assumed 5% annual return. You can assess your fund's ongoing costs by comparing
this hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help
you compare your ONGOING costs only and do not reflect any transactional costs
such as sales charges (loads), redemption fees, or exchange fees. Wilshire
Mutual Funds, Inc. has no such charges, but these may be present in other funds
to which you compare this data. Therefore, the hypothetical portions of the
table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds.
21
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DISCLOSURE OF FUND EXPENSES - (CONTINUED) [LOGO]
FOR THE SIX MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Beginning Ending
Account Account Expenses Paid
Value Value Expense During Period
01/01/08 06/30/08 Ratio(1) 01/01/08-06/30/08(2)
--------- --------- -------- --------------------
LARGE COMPANY GROWTH PORTFOLIO
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 885.40 1.48% $6.94
Institutional Class .......................... $1,000.00 $ 887.20 1.08% $5.07
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,017.50 1.48% $7.42
Institutional Class .......................... $1,000.00 $1,019.49 1.08% $5.42
LARGE COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 856.70 1.55% $7.16
Institutional Class .......................... $1,000.00 $ 857.70 1.29% $5.96
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,017.16 1.55% $7.77
Institutional Class .......................... $1,000.00 $1,018.45 1.29% $6.47
SMALL COMPANY GROWTH PORTFOLIO
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 920.90 1.45% $6.93
Institutional Class .......................... $1,000.00 $ 920.00 1.18% $5.63
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,017.65 1.45% $7.27
Institutional Class .......................... $1,000.00 $1,019.00 1.18% $5.92
SMALL COMPANY VALUE PORTFOLIO
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 896.90 1.29% $6.08
Institutional Class .......................... $1,000.00 $ 900.70 0.97% $4.58
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,018.45 1.29% $6.47
Institutional Class .......................... $1,000.00 $1,020.04 0.97% $4.87
22
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DISCLOSURE OF FUND EXPENSES - (CONTINUED) [LOGO]
FOR THE SIX MONTH PERIOD ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Beginning Ending
Account Account Expenses Paid
Value Value Expense During Period
01/01/08 06/30/08 Ratio(1) 01/01/08-06/30/08(2)
--------- --------- -------- --------------------
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 886.50 0.72% $ 3.38
Institutional Class .......................... $1,000.00 $ 888.80 0.43% $ 2.02
Qualified Class .............................. $1,000.00 $ 886.50 0.83% $ 3.89
Horace Mann Class ............................ $1,000.00 $ 886.90 0.78% $ 3.66
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,021.23 0.72% $ 3.62
Institutional Class .......................... $1,000.00 $1,022.73 0.43% $ 2.16
Qualified Class .............................. $1,000.00 $1,020.74 0.83% $ 4.17
Horace Mann Class ............................ $1,000.00 $1,020.98 0.78% $ 3.92
WILSHIRE LARGE CAP CORE 130/30 FUND
- --------------------------------------------------------------------------------------------------------
ACTUAL FUND RETURN
Investment Class ............................. $1,000.00 $ 888.30 2.75% $12.91
Institutional Class .......................... $1,000.00 $ 887.30 2.47% $11.59
HYPOTHETICAL 5% RETURN
Investment Class ............................. $1,000.00 $1,017.40 2.75% $13.75
Institutional Class .......................... $1,000.00 $1,018.65 2.47% $12.36
(1) ANNUALIZED, BASED ON THE PORTFOLIO'S MOST RECENT FISCAL HALF-YEAR
EXPENSES.
(2) EXPENSES ARE EQUAL TO THE PORTFOLIO'S ANNUALIZED EXPENSE RATIO MULTIPLIED
BY THE AVERAGE ACCOUNT VALUE OVER THE PERIOD, MULTIPLIED BY THE NUMBER OF
DAYS IN THE PERIOD, THEN DIVIDED BY 366.
23
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY GROWTH PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ----------- -------------- ---------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 5.7%
80,000 Coach, Inc.+(a) ............... 0.6 $ 2,310,400
48,870 Nike, Inc., Class B ........... 0.8 2,913,141
430,403 Other Securities .............. 4.3 16,566,570
---------------
21,790,111
---------------
CONSUMER STAPLES -- 6.4%
206,676 CVS ........................... 2.1 8,178,169
47,950 PepsiCo, Inc. ................. 0.8 3,049,141
37,240 Procter & Gamble Co. .......... 0.6 2,264,564
238,559 Other Securities .............. 2.9 10,974,634
---------------
24,466,508
---------------
ENERGY -- 13.1%
16,845 Apache Corp. .................. 0.6 2,341,455
47,850 Exxon Mobil Corp. ............. 1.1 4,217,020
46,500 FMC Technologies, Inc.+ ....... 0.9 3,577,245
60,953 Halliburton Co. ............... 0.9 3,234,776
60,885 National Oilwell Varco,
Inc.+ ......................... 1.4 5,401,717
48,235 Schlumberger, Ltd. ............ 1.4 5,181,886
29,736 Transocean, Inc. .............. 1.2 4,531,469
56,989 XTO Energy, Inc. .............. 1.0 3,904,316
290,509 Other Securities .............. 4.6 17,743,503
---------------
50,133,387
---------------
FINANCIALS -- 5.8%
38,250 Aflac, Inc. ................... 0.6 2,402,100
61,143 American Express Co.(a) ....... 0.6 2,303,257
9,122 CME Group, Inc. ............... 0.9 3,495,460
19,321 Goldman Sachs Group, Inc.
(The) ......................... 0.9 3,379,243
392,488 Other Securities .............. 2.8 10,755,564
---------------
22,335,624
---------------
HEALTH CARE -- 15.7%
61,700 Allergan, Inc.(a) ............. 0.8 3,211,485
60,980 Baxter International, Inc. .... 1.0 3,899,061
79,200 Celgene Corp.+ ................ 1.3 5,058,504
209,730 Gilead Sciences, Inc.+ ........ 2.9 11,105,203
Percentage of
Shares Net Assets (%) Value
- ----------- -------------- ---------------
HEALTH CARE (CONTINUED)
46,757 Johnson & Johnson ............. 0.8 $ 3,008,345
74,915 Stryker Corp. ................. 1.2 4,710,654
69,195 Thermo Fisher Scientific,
Inc.+ ......................... 1.0 3,856,238
540,723 Other Securities .............. 6.7 25,063,578
---------------
59,913,068
---------------
INDUSTRIALS -- 14.6%
158,900 ABB, Ltd. ADR+ ................ 1.2 4,500,048
36,700 Burlington Northern
Santa Fe Corp. ................ 1.0 3,665,963
40,570 CSX Corp. ..................... 0.7 2,548,202
63,750 Expeditors International of
Washington, Inc. .............. 0.7 2,741,250
19,284 Flowserve Corp. ............... 0.7 2,636,124
29,857 Joy Global, Inc. .............. 0.6 2,264,056
36,659 Precision Castparts Corp. ..... 0.9 3,532,828
558,235 Other Securities .............. 8.8 33,855,499
---------------
55,743,970
---------------
INFORMATION TECHNOLOGY -- 27.1%
92,871 Adobe Systems, Inc.+ .......... 1.0 3,658,189
67,390 Apple, Inc.+ .................. 2.9 11,283,781
324,840 Cisco Systems, Inc.+ .......... 2.0 7,555,777
137,500 Cognizant Technology
Solutions Corp., Class A+ ..... 1.2 4,470,125
112,893 Corning, Inc. ................. 0.7 2,602,184
14,077 Google, Inc., Class A+ ........ 1.8 7,410,414
83,582 Hewlett-Packard Co. ........... 1.0 3,695,160
233,595 Intel Corp. ................... 1.3 5,017,621
63,238 International Business
Machines Corp. ................ 2.0 7,495,599
15,936 Mastercard, Inc., Class A ..... 1.1 4,231,327
247,614 Microsoft Corp. ............... 1.8 6,811,862
167,070 Oracle Corp.+ ................. 0.9 3,508,470
143,934 QUALCOMM, Inc. ................ 1.7 6,386,352
43,530 Research In Motion, Ltd.+ ..... 1.3 5,088,657
915,164 Other Securities .............. 6.4 24,739,951
---------------
103,955,469
---------------
See Notes to Financial Statements.
24
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY GROWTH PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ----------- -------------- ---------------
MATERIALS -- 6.2%
61,203 Monsanto Co. .................. 2.0 $ 7,738,507
15,240 United States Steel Corp. ..... 0.7 2,816,046
207,590 Other Securities .............. 3.5 13,285,656
---------------
23,840,209
---------------
TELECOMMUNICATION SERVICES -- 1.3%
60,000 America Movil SAB de CV
ADR, Ser L .................... 0.8 3,165,000
51,320 Other Securities .............. 0.5 1,906,031
---------------
5,071,031
---------------
UTILITIES -- 1.9%
39,172 Exelon Corp. .................. 0.9 3,523,913
55,822 Other Securities .............. 1.0 3,684,886
---------------
7,208,799
---------------
Total Common Stock
(Cost $332,695,368) 374,458,176
---------------
INVESTMENT COMPANY -- 0.3%
FINANCIALS -- 0.3%
22,000 Other Securities
(Cost $1,220,560) ............. 0.3 1,215,280
---------------
MONEY MARKET FUND -- 9.0%
34,447,448 PNC Institutional Money
Market Trust, 2.730%
(Cost $34,447,448)(b)(c) ...... 8.9 34,447,448
---------------
Total Investments -- 107.1%
(Cost $368,363,376) 410,120,904
Other Assets & Liabilities,
Net -- (7.1)% (27,535,861)
---------------
NET ASSETS -- 100.0% $ 382,585,043
===============
- ----------
ADR - American Depositary Receipt
Ser - Series
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents the seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
The Condensed Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Portfolio's 50 largest holdings and
each investment of any issuer that exceeds 1% of the Portfolio's net
assets. "Other Securities" represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange
Commission ("SEC"). The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 607-2200;
(ii) on the SEC's website at http://www.sec.gov; and (iii) on our website
at www.wilfunds.com.
See Notes to Financial Statements.
25
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY VALUE PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ----------- -------------- ---------------
COMMON STOCK -- 97.0%
CONSUMER DISCRETIONARY -- 8.3%
13,400 Home Depot, Inc. (The) ........ 0.7 $ 313,828
14,300 McDonald's Corp. .............. 1.7 803,945
110,100 Other Securities .............. 5.9 2,827,407
---------------
3,945,180
---------------
CONSUMER STAPLES -- 9.8%
21,200 Altria Group, Inc. ............ 0.9 435,872
3,727 Bunge, Ltd.(a) ................ 0.8 401,360
23,900 Kroger Co. (The) .............. 1.5 689,993
17,700 Philip Morris International,
Inc. .......................... 1.8 874,203
16,700 Safeway, Inc. ................. 1.0 476,785
5,400 Wal-Mart Stores, Inc. ......... 0.6 303,480
54,141 Other Securities .............. 3.2 1,475,158
---------------
4,656,851
---------------
ENERGY -- 16.6%
8,000 Anadarko Petroleum
Corp. ......................... 1.3 598,720
4,375 BP PLC ADR .................... 0.6 304,369
12,700 Chevron Corp. ................. 2.7 1,258,951
12,100 ConocoPhillips ................ 2.4 1,142,119
18,600 Exxon Mobil Corp. ............. 3.5 1,639,218
17,400 Marathon Oil Corp. ............ 1.9 902,538
13,200 Occidental Petroleum
Corp. ......................... 2.5 1,186,152
21,000 Other Securities .............. 1.7 852,947
---------------
7,885,014
---------------
FINANCIALS -- 21.7%
9,725 Allstate Corp. (The) .......... 0.9 443,363
25,400 Bank of America Corp. ......... 1.3 606,298
12,950 Capital One Financial
Corp.(a) ...................... 1.0 492,230
28,675 Citigroup, Inc. ............... 1.0 480,593
27,100 Discover Financial
Services ...................... 0.8 356,907
23,675 Freddie Mac ................... 0.8 388,270
Percentage of
Shares Net Assets (%) Value
- ----------- -------------- ---------------
FINANCIALS (CONTINUED)
20,375 JPMorgan Chase & Co. .......... 1.5 $ 699,066
9,575 Morgan Stanley ................ 0.7 345,370
9,900 State Street Corp. ............ 1.3 633,501
6,175 Torchmark Corp. ............... 0.8 362,164
23,300 Travelers Cos., Inc. (The) .... 2.1 1,011,219
20,000 Wells Fargo & Co.(a) .......... 1.0 475,000
177,855 Other Securities .............. 8.5 4,002,828
---------------
10,296,809
---------------
HEALTH CARE -- 9.9%
8,325 AmerisourceBergen Corp.,
Class A ....................... 0.7 332,917
11,250 Amgen, Inc.+ .................. 1.1 530,550
14,675 Bristol-Myers Squibb Co. ...... 0.6 301,278
15,500 Eli Lilly & Co. ............... 1.5 715,480
8,900 Invitrogen Corp.+ ............. 0.7 349,414
7,675 Johnson & Johnson ............. 1.0 493,810
65,600 Pfizer, Inc. .................. 2.4 1,146,031
43,300 Other Securities .............. 1.9 863,127
---------------
4,732,607
---------------
INDUSTRIALS -- 6.5%
11,100 Honeywell International,
Inc. .......................... 1.2 558,108
4,475 Northrop Grumman Corp. ........ 0.6 299,378
9,250 Parker Hannifin Corp. ......... 1.4 659,709
34,025 Other Securities .............. 3.3 1,612,839
---------------
3,130,034
---------------
INFORMATION TECHNOLOGY -- 9.8%
88,600 Alcatel-Lucent ADR+ ........... 1.1 535,144
15,925 CA, Inc. ...................... 0.8 367,708
10,900 Hewlett-Packard Co. ........... 1.0 481,889
7,500 International Business
Machines Corp. ................ 1.9 888,975
37,950 Microsoft Corp. ............... 2.2 1,044,005
62,800 Other Securities .............. 2.8 1,342,362
---------------
4,660,083
---------------
See Notes to Financial Statements.
26
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY VALUE PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- -------------
MATERIALS -- 6.8%
3,900 CF Industries Holdings,
Inc.(a) ........................ 1.3 $ 595,920
2,800 Mosaic Co. (The)+ .............. 0.9 405,160
5,000 United States Steel Corp. ...... 1.9 923,900
22,400 Other Securities ............... 2.7 1,301,051
-------------
3,226,031
-------------
TELECOMMUNICATION SERVICES -- 2.9%
21,400 AT&T, Inc. ..................... 1.5 720,966
8,900 Verizon Communications,
Inc. ........................... 0.7 315,060
7,896 Other Securities ............... 0.7 330,028
-------------
1,366,054
-------------
UTILITIES -- 4.7%
9,200 American Electric Power
Co., Inc. ...................... 0.8 370,116
15,300 Mirant Corp.+(a) ............... 1.3 598,995
61,325 Other Securities ............... 2.6 1,244,083
-------------
2,213,194
-------------
Total Common Stock
(Cost $48,131,604) 46,111,857
-------------
MONEY MARKET FUND -- 12.3%
5,813,571 PNC Institutional Money
Market Trust, 2.730%
(Cost $5,813,571)(b)(c) ........ 12.3 5,813,571
-------------
Total Investments -- 109.3%
(Cost $53,945,175) 51,925,428
Other Assets & Liabilities,
Net -- (9.3)% (4,402,994)
-------------
NET ASSETS -- 100.0% $ 47,522,434
=============
- ----------
ADR - American Depositary Receipt
PLC - Public Limited Company
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents 7-day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
The Condensed Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Portfolio's 50 largest holdings and
each investment of any issuer that exceeds 1% of the Portfolio's net
assets. "Other Securities" represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange
Commission ("SEC"). The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 607-2200;
(ii) on the SEC's website at http://www.sec.gov; and (iii) on our website
at www.wilfunds.com.
See Notes to Financial Statements.
27
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY GROWTH PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- -------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 8.1%
2,080 Capella Education Co.+(a) ...... 0.8 $ 124,072
1,325 priceline.com, Inc.+ ........... 1.0 152,984
1,411 Strayer Education, Inc. ........ 1.9 294,997
4,792 Warnaco Group, Inc.
(The)+ ......................... 1.3 211,183
26,707 Other Securities ............... 3.1 517,809
-------------
1,301,045
-------------
CONSUMER STAPLES -- 0.8%
4,150 Other Securities ............... 0.8 131,620
-------------
131,620
-------------
ENERGY -- 16.3%
2,250 Arena Resources, Inc.+ ......... 0.7 118,845
2,800 ATP Oil & Gas Corp.+ ........... 0.7 110,516
1,570 Atwood Oceanics, Inc.+ ......... 1.2 195,214
10,320 Brigham Exploration Co.+ ....... 1.0 163,366
1,450 Carrizo Oil & Gas, Inc.+ ....... 0.6 98,731
2,900 Dril-Quip, Inc.+ ............... 1.1 182,700
6,466 EXCO Resources, Inc.+(a) ....... 1.5 238,659
1,738 Exterran Holdings, Inc.+ ....... 0.8 124,250
1,525 GMX Resources, Inc.+ ........... 0.7 113,003
3,527 PetroHawk Energy Corp.+ ........ 1.0 163,335
7,510 Petroquest Energy, Inc.+ ....... 1.3 202,019
61,709 Other Securities ............... 5.7 900,718
-------------
2,611,356
-------------
FINANCIALS -- 3.2%
3,900 Nationwide Health
Properties, Inc. ............... 0.8 122,810
29,200 Other Securities ............... 2.4 398,987
-------------
521,797
-------------
HEALTH CARE -- 21.8%
7,320 HMS Holdings Corp.+ ............ 1.0 157,160
2,860 Icon PLC ADR+ .................. 1.4 215,988
1,200 Illumina, Inc.+ ................ 0.7 104,532
5,070 Immucor, Inc.+ ................. 0.8 131,212
7,665 inVentiv Health, Inc.+ ......... 1.3 213,009
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- -------------
HEALTH CARE (CONTINUED)
5,920 Masimo Corp.+ .................. 1.3 $ 203,353
6,560 Meridian Bioscience, Inc. ...... 1.1 176,595
8,460 Natus Medical, Inc.+ ........... 1.1 177,152
2,642 OSI Pharmaceuticals, Inc.+ ..... 0.7 109,167
7,660 Phase Forward, Inc.+ ........... 0.9 137,650
6,253 Providence Service Corp.
(The)+ ......................... 0.8 132,001
121,166 Other Securities ............... 10.7 1,731,904
-------------
3,489,723
-------------
INDUSTRIALS -- 18.6%
4,980 Chart Industries, Inc.+ ........ 1.5 242,226
7,540 Cornell, Inc.+ ................. 1.1 181,788
3,840 Eagle Bulk Shipping,
Inc.(a) ........................ 0.7 113,549
1,760 Genco Shipping &
Trading, Ltd. .................. 0.7 114,752
2,332 Middleby Corp.+ ................ 0.6 102,397
6,411 Ritchie Bros. Auctioneers,
Inc. ........................... 1.1 173,929
9,069 Wabtec Corp. ................... 2.8 440,934
53,213 Other Securities ............... 10.1 1,603,889
-------------
2,973,464
-------------
INFORMATION TECHNOLOGY -- 22.6%
4,530 Blackboard, Inc.+ .............. 1.1 173,181
7,120 Double-Take Software,
Inc.+ .......................... 0.6 97,829
3,926 Flir Systems, Inc.+ ............ 1.0 159,277
4,550 Micros Systems, Inc.+ .......... 0.9 138,730
11,280 Microsemi Corp.+ ............... 1.8 284,031
1,500 MicroStrategy, Inc.,
Class A+ ....................... 0.6 97,125
5,190 Monolithic Power
Systems, Inc.+ ................. 0.7 112,208
4,670 Netlogic Microsystems,
Inc.+(a) ....................... 1.0 155,045
6,700 Nice Systems, Ltd. ADR+ ........ 1.2 198,119
3,471 Quality Systems, Inc.(a) ....... 0.6 101,631
6,560 Vocus, Inc.+ ................... 1.3 211,035
See Notes to Financial Statements.
28
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY GROWTH PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- -------------
INFORMATION TECHNOLOGY (CONTINUED)
132,202 Other Securities ............... 11.8 $ 1,885,907
-------------
3,614,118
-------------
MATERIALS -- 3.6%
820 CF Industries Holdings,
Inc. ........................... 0.8 125,296
2,275 Compass Minerals
International, Inc. ............ 1.1 183,273
9,476 Other Securities ............... 1.7 260,866
-------------
569,435
-------------
TELECOMMUNICATION SERVICES -- 1.7%
10,363 Syniverse Holdings, Inc.+ ...... 1.1 167,880
8,618 Other Securities ............... 0.6 99,082
-------------
266,962
-------------
UTILITIES -- 1.1%
2,139 ITC Holdings Corp. ............. 0.7 109,324
1,895 Other Securities ............... 0.4 76,319
-------------
185,643
-------------
Total Common Stock
(Cost $14,418,283) 15,665,163
-------------
PREFERRED STOCK -- 0.0%
HEALTH CARE -- 0.0%
28 Other Securities
Cost ($4,004) .................. 0.0 6,636
-------------
MONEY MARKET FUND -- 20.4%
3,270,107 PNC Institutional Money
Market Trust, 2.730%
Cost ($3,270,107)(b)(c) ........ 20.4 3,270,107
-------------
Total Investments -- 118.2%
(Cost $17,692,394) 18,941,906
Other Assets & Liabilities,
Net -- (18.2)% (2,921,962)
-------------
NET ASSETS -- 100.0% $ 16,019,944
=============
- ----------
ADR - American Depositary Receipt
PLC - Public Limited Company
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
The Condensed Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Portfolio's 50 largest holdings and
each investment of any issuer that exceeds 1% of the Portfolio's net
assets. "Other Securities" represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange
Commission ("SEC"). The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 607-2200;
(ii) on the SEC's website at http://www.sec.gov; and (iii) on our website
at www.wilfunds.com.
See Notes to Financial Statements.
29
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY VALUE PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
COMMON STOCK -- 99.0%
CONSUMER DISCRETIONARY -- 7.5%
5,200 Aaron Rents, Inc.(a) ............. 0.6 $ 116,116
5,600 Bob Evans Farms, Inc. ............ 0.8 160,160
8,450 Hooker Furniture Corp. ........... 0.8 146,354
24,350 Pacific Sunwear of California+ ... 1.1 207,706
5,300 Sauer-Danfoss, Inc. .............. 0.9 165,095
85,803 Other Securities ................. 3.3 662,350
------------
1,457,781
------------
CONSUMER STAPLES -- 4.4%
7,300 Casey's General Stores, Inc. ..... 0.9 169,141
2,822 Universal Corp. .................. 0.7 127,611
7,450 WD-40 Co. ........................ 1.1 217,913
14,525 Other Securities ................. 1.7 336,177
------------
850,842
------------
ENERGY -- 11.6%
6,400 Acergy SA ADR .................... 0.8 142,464
5,025 Approach Resources, Inc.+ ........ 0.7 134,620
2,200 Arena Resources, Inc.+ ........... 0.6 116,204
2,700 Bill Barrett Corp.+ .............. 0.8 160,407
3,069 PetroHawk Energy Corp.+ .......... 0.7 142,125
14,850 Warren Resources, Inc.+ .......... 1.1 217,998
83,533 Other Securities ................. 6.9 1,336,577
------------
2,250,395
------------
FINANCIALS -- 24.7%
1,290 Affiliated Managers
Group, Inc.+(a) .................. 0.6 116,177
1,893 Alexandria Real Estate
Equities, Inc.(a) ................ 1.0 184,266
5,000 Aspen Insurance
Holdings, Ltd. ................... 0.6 118,350
2,500 Home Properties, Inc. ............ 0.6 120,150
3,518 Jones Lang LaSalle, Inc. ......... 1.1 211,748
4,223 Safety Insurance
Group, Inc. ...................... 0.8 150,549
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
FINANCIALS (CONTINUED)
3,350 WSFS Financial Corp. ............. 0.8 $ 149,410
3,550 Zenith National Insurance
Corp. ............................ 0.6 124,818
318,671 Other Securities ................. 18.6 3,631,508
------------
4,806,976
------------
HEALTH CARE -- 6.7%
2,289 Bio-Rad Laboratories,
Inc., Class A+ ................... 0.9 185,157
5,000 Community Health
Systems, Inc.+ ................... 0.9 164,899
65,280 Other Securities ................. 4.9 959,177
------------
1,309,233
------------
INDUSTRIALS -- 18.8%
2,850 Acuity Brands, Inc. .............. 0.7 137,028
5,200 Albany International Corp.,
Class A .......................... 0.8 150,799
5,200 Belden, Inc. ..................... 0.9 176,176
11,314 Briggs & Stratton Corp.(a) ....... 0.7 143,462
6,098 Corrections Corp of
America+ ......................... 0.9 167,511
1,640 FTI Consulting, Inc.+ ............ 0.6 112,273
10,750 Gibraltar Industries, Inc. ....... 0.9 171,678
20,200 Griffon Corp.+ ................... 0.9 176,952
3,400 Kennametal, Inc. ................. 0.6 110,670
3,100 Lincoln Electric Holdings,
Inc. ............................. 1.2 243,969
15,000 Marten Transport, Ltd.+ .......... 1.1 239,550
3,250 Otter Tail Corp. ................. 0.7 126,198
3,350 RBC Bearings, Inc.+ .............. 0.6 111,622
2,987 United Stationers, Inc.+ ......... 0.6 110,370
68,168 Other Securities ................. 7.6 1,478,628
------------
3,656,886
------------
INFORMATION TECHNOLOGY -- 11.2%
15,100 GSI Group, Inc.+ ................. 0.6 117,176
12,650 Keithley Instruments, Inc. ....... 0.6 120,175
3,400 Rogers Corp.+ .................... 0.7 127,805
See Notes to Financial Statements.
30
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY VALUE PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
INFORMATION TECHNOLOGY (CONTINUED)
5,336 Standard Microsystems
Corp.+ ........................... 0.8 $ 144,872
199,738 Other Securities ................. 8.5 1,660,946
------------
2,170,974
------------
MATERIALS -- 9.3%
4,050 Aptargroup, Inc. ................. 0.9 169,898
8,281 Hercules, Inc.(a) ................ 0.7 140,197
18,450 Sappi, Ltd. ADR(a) ............... 1.1 219,370
20,300 Temple-Inland, Inc.(a) ........... 1.2 228,781
22,400 Wausau Paper Corp. ............... 0.9 172,703
61,174 Other Securities ................. 4.5 876,043
------------
1,806,992
------------
TELECOMMUNICATION SERVICES -- 0.6%
28,388 Other Securities ................. 0.6 120,301
------------
120,301
------------
UTILITIES -- 4.2%
9,217 Black Hills Corp. ................ 1.5 295,497
4,250 NorthWestern Corp. ............... 0.6 108,035
16,094 Other Securities ................. 2.1 422,525
------------
826,057
------------
Total Common Stock
(Cost $20,100,271) 19,256,437
------------
MONEY MARKET FUND -- 17.1%
3,327,705 PNC Institutional Money
Market Trust, 2.730%
Cost ($3,327,705)(b)(c) .......... 17.1 3,327,705
------------
Total Investments -- 116.1%
(Cost $23,427,976) 22,584,142
Other Assets & Liabilities,
Net -- (16.1)% (3,123,647)
------------
NET ASSETS -- 100.0% $ 19,460,495
============
- ----------
ADR - American Depositary Receipt
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
The Condensed Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Portfolio's 50 largest holdings and
each investment of any issuer that exceeds 1% of the Portfolio's net
assets. "Other Securities" represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange
Commission ("SEC"). The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 607-2200;
(ii) on the SEC's website at http://www.sec.gov; and (iii) on our website
at www.wilfunds.com.
See Notes to Financial Statements.
31
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
COMMON STOCK -- 99.5%
CONSUMER DISCRETIONARY -- 8.7%
43,783 Comcast Corp. Special,
Class A .......................... 0.4 $ 830,563
17,200 McDonald's Corp. ................. 0.5 966,983
57,674 Time Warner, Inc.(a) ............. 0.4 853,574
28,270 Walt Disney Co. (The) ............ 0.4 882,023
781,735 Other Securities ................. 7.0 15,361,057
------------
18,894,200
------------
CONSUMER STAPLES -- 9.2%
33,420 Coca-Cola Co. (The) .............. 0.8 1,737,172
21,492 CVS .............................. 0.4 850,437
25,290 PepsiCo, Inc. .................... 0.7 1,608,191
32,525 Philip Morris International,
Inc. ............................. 0.7 1,606,410
46,702 Procter & Gamble Co. ............. 1.3 2,839,948
37,245 Wal-Mart Stores, Inc. ............ 1.0 2,093,168
291,408 Other Securities ................. 4.3 9,393,605
------------
20,128,931
------------
ENERGY -- 15.5%
5,856 Apache Corp. ..................... 0.4 813,983
32,599 Chevron Corp. .................... 1.5 3,231,538
22,251 ConocoPhillips ................... 1.0 2,100,271
6,386 Devon Energy Corp. ............... 0.3 767,341
82,650 Exxon Mobil Corp. ................ 3.3 7,283,944
13,010 Occidental Petroleum
Corp. ............................ 0.5 1,169,078
17,900 Schlumberger, Ltd. ............... 0.9 1,922,996
329,216 Other Securities ................. 7.6 16,737,602
------------
34,026,753
------------
FINANCIALS -- 15.1%
36,050 American International
Group, Inc. ...................... 0.4 953,882
68,686 Bank of America Corp. ............ 0.8 1,639,535
433 Berkshire Hathaway, Inc.,
Class B+ ......................... 0.8 1,737,195
84,000 Citigroup, Inc. .................. 0.6 1,407,840
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
FINANCIALS (CONTINUED)
5,470 Goldman Sachs Group, Inc.
(The) ............................ 0.5 $ 956,703
53,659 JPMorgan Chase & Co. ............. 0.8 1,841,039
28,359 U.S. Bancorp ..................... 0.4 790,932
48,104 Wells Fargo & Co.(a) ............. 0.5 1,142,469
927,050 Other Securities ................. 10.3 22,582,979
------------
33,052,574
------------
HEALTH CARE -- 11.5%
24,350 Abbott Laboratories .............. 0.6 1,289,819
17,102 Amgen, Inc.+ ..................... 0.4 806,529
42,935 Johnson & Johnson ................ 1.3 2,762,437
17,768 Medtronic, Inc. .................. 0.4 919,493
33,458 Merck & Co., Inc. ................ 0.6 1,261,032
104,411 Pfizer, Inc. ..................... 0.8 1,824,059
20,550 Wyeth ............................ 0.5 985,578
499,054 Other Securities ................. 6.9 15,299,252
------------
25,148,199
------------
INDUSTRIALS -- 11.7%
10,150 Caterpillar, Inc.(a) ............. 0.4 749,272
153,796 General Electric Co. ............. 1.9 4,104,816
14,244 United Technologies Corp. ........ 0.4 878,854
526,832 Other Securities ................. 9.0 19,875,907
------------
25,608,849
------------
INFORMATION TECHNOLOGY -- 16.2%
12,800 Apple, Inc.+ ..................... 1.0 2,143,232
92,123 Cisco Systems, Inc.+ ............. 1.0 2,142,781
3,200 Google, Inc., Class A+ ........... 0.8 1,684,543
37,977 Hewlett-Packard Co. .............. 0.8 1,678,963
88,516 Intel Corp. ...................... 0.9 1,901,323
21,620 International Business
Machines Corp. ................... 1.2 2,562,618
128,940 Microsoft Corp. .................. 1.5 3,547,138
59,830 Oracle Corp.+ .................... 0.6 1,256,429
25,075 QUALCOMM, Inc. ................... 0.4 1,112,578
904,597 Other Securities ................. 8.0 17,509,271
------------
35,538,876
------------
See Notes to Financial Statements.
32
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO JUNE 30, 2008 [LOGO]
CONDENSED SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
MATERIALS -- 4.4%
6,551 Freeport-McMoRan
Copper & Gold, Inc. ............. 0.4 $ 767,711
7,580 Monsanto Co. .................... 0.4 958,414
225,133 Other Securities ................ 3.6 7,868,463
------------
9,594,588
------------
TELECOMMUNICATION SERVICES -- 3.0%
91,524 AT&T, Inc. ...................... 1.4 3,083,443
44,009 Verizon Communications,
Inc. ............................ 0.7 1,557,919
162,510 Other Securities ................ 0.9 2,012,321
------------
6,653,683
------------
UTILITIES -- 4.2%
10,774 Exelon Corp. .................... 0.5 969,228
238,947 Other Securities ................ 3.7 8,267,356
------------
9,236,584
------------
Total Common Stock
(Cost $180,820,588) 217,883,237
------------
PREFERRED STOCK -- 0.0%
HEALTH CARE -- 0.0%
4 Other Securities
(Cost $1,175) ................... 0.0 948
------------
RIGHT -- 0.0%
Number
of Rights
- ------------
UNITED STATES -- 0.0%
708 Other Securities
(Cost $ -- ) .................. 0.0 --
------------
Percentage of
Shares Net Assets (%) Value
- ------------ -------------- ------------
MONEY MARKET FUND -- 11.1%
24,260,839 PNC Institutional Money
Market Trust 2.730%
(Cost $24,260,839)(b)(c) ........ 11.1 $ 24,260,839
------------
Total Investments -- 110.6%
(Cost $205,082,602) 242,145,024
Other Assets & Liabilities,
Net -- (10.6)% (23,119,105)
------------
NET ASSETS -- 100.0% $219,025,919
============
- ----------
* Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Amounts designated as "--" are either $0 or have been rounded to $0.
The Condensed Schedule of Investments does not reflect the complete
portfolio holdings. It includes the Portfolio's 50 largest holdings and
each investment of any issuer that exceeds 1% of the Portfolio's net
assets. "Other Securities" represent all issues not required to be
disclosed under the rules adopted by the U.S. Securities and Exchange
Commission ("SEC"). The complete schedule of portfolio holdings is
available (i) without charge, upon request, by calling (800) 607-2200;
(ii) on the SEC's website at http://www.sec.gov; and (iii) on our website
at www.wilfunds.com.
See Notes to Financial Statements.
33
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
COMMON STOCK -- 121.6%
CONSUMER DISCRETIONARY -- 12.6%
1,478 Abercrombie & Fitch Co.,
Class A ......................................... $ 92,641
2,850 Amazon.com, Inc.+ ............................... 208,990
590 Autozone, Inc.+ ................................. 71,396
1,550 Best Buy Co., Inc. .............................. 61,380
210 Big Lots, Inc.+ ................................. 6,560
5,485 Burger King Holdings, Inc. ...................... 146,943
190 CBS Corp., Class B .............................. 3,703
160 Clear Channel Communications,
Inc. ............................................ 5,632
2,100 Coach, Inc.+ .................................... 60,647
430 Comcast Corp. Special,
Class A ......................................... 8,157
90 Darden Restaurants, Inc. ........................ 2,875
90 DeVry, Inc. ..................................... 4,826
400 DIRECTV Group, Inc.
(The)+ .......................................... 10,364
3,200 Discovery Holding Co.,
Class A+ ........................................ 70,272
2,400 DISH Network Corp.,
Class A+ ........................................ 70,272
220 DreamWorks Animation
SKG, Inc., Class A+ ............................. 6,558
220 Eastman Kodak Co. ............................... 3,175
2,120 Expedia, Inc.+ .................................. 38,966
1,525 GameStop Corp., Class A+ ........................ 61,610
1,160 Gannett Co., Inc. ............................... 25,137
310 Gap, Inc. (The) ................................. 5,168
2,800 Goodyear Tire & Rubber
Co. (The)+ ...................................... 49,924
170 Home Depot, Inc. (The) .......................... 3,981
2,000 IAC/InterActiveCorp+ ............................ 38,560
5,720 Johnson Controls, Inc. .......................... 164,050
260 Lennar Corp., Class A ........................... 3,208
200 Liberty Media Corp. -
Entertainment, Ser A+ ........................... 4,846
1,200 Liz Claiborne, Inc. ............................. 16,980
150 Lowe's Cos., Inc. ............................... 3,113
150 Macy's, Inc. .................................... 2,913
Shares Value
- ------------ ------------
CONSUMER DISCRETIONARY (CONTINUED)
7,480 McDonald's Corp. ................................ $ 420,527
4,350 News Corp., Class A ............................. 65,424
870 Nike, Inc., Class B ............................. 51,861
2,990 Nordstrom, Inc. ................................. 90,597
90 Omnicom Group, Inc. ............................. 4,039
2,220 Panera Bread Co.,
Class A+ ........................................ 102,697
985 priceline.com, Inc.+ ............................ 113,728
220 RadioShack Corp. ................................ 2,699
500 Sherwin-Williams Co. (The) ...................... 22,965
140 Tiffany & Co. ................................... 5,705
18,950 Time Warner, Inc. ............................... 280,461
7,650 TJX Cos., Inc. .................................. 240,746
103 TRW Automotive Holdings
Corp.+ .......................................... 1,902
5,195 Urban Outfitters, Inc.+ ......................... 162,032
70 VF Corp. ........................................ 4,983
160 Viacom, Inc., Class B+ .......................... 4,886
1,340 WABCO Holdings, Inc. ............................ 62,256
420 Walt Disney Co. (The) ........................... 13,104
2,660 Yum! Brands, Inc. ............................... 93,339
------------
2,996,798
------------
CONSUMER STAPLES -- 11.7%
2,470 Altria Group, Inc. .............................. 50,783
270 Archer-Daniels-Midland
Co. ............................................. 9,113
5,950 Avon Products, Inc. ............................. 214,319
50 Bunge, Ltd. ..................................... 5,385
2,600 Campbell Soup Co. ............................... 86,996
7,690 Coca-Cola Co. (The) ............................. 399,726
1,360 Colgate-Palmolive Co. ........................... 93,976
190 ConAgra Foods, Inc. ............................. 3,663
4,200 Constellation Brands, Inc.,
Class A+ ........................................ 83,412
110 Corn Products International,
Inc. ............................................ 5,402
70 Costco Wholesale Corp. .......................... 4,910
16,325 CVS ............................................. 645,980
See Notes to Financial Statements.
34
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
CONSUMER STAPLES (CONTINUED)
1,000 Estee Lauder Cos., Inc.
(The), Class A .................................. $ 46,450
90 General Mills, Inc. ............................. 5,469
130 Hansen Natural Corp.+ ........................... 3,747
100 Herbalife, Ltd. ................................. 3,875
1,000 HJ Heinz Co. .................................... 47,850
210 Kellogg Co. ..................................... 10,084
110 Kraft Foods, Inc., Class A ...................... 3,130
2,800 Kroger Co. (The) ................................ 80,836
1,980 Molson Coors Brewing Co.,
Class B ......................................... 107,573
2,205 PepsiCo, Inc. ................................... 139,579
4,410 Philip Morris International,
Inc. ............................................ 217,810
1,500 Procter & Gamble Co. ............................ 91,215
90 Reynolds American, Inc. ......................... 4,200
7,360 Sara Lee Corp. .................................. 90,159
140 SUPERVALU, Inc. ................................. 4,325
590 Tyson Foods, Inc., Class A ...................... 8,815
120 Walgreen Co. .................................... 3,901
5,455 Wal-Mart Stores, Inc. ........................... 306,571
------------
2,779,254
------------
ENERGY -- 17.9%
90 Anadarko Petroleum Corp. ........................ 6,736
660 Apache Corp. .................................... 91,740
90 Atwood Oceanics, Inc.+ .......................... 11,191
400 Bill Barrett Corp.+ ............................. 23,764
1,930 Cameron International
Corp.+ .......................................... 106,826
80 Chesapeake Energy Corp. ......................... 5,277
4,690 Chevron Corp. ................................... 464,919
1,100 Cimarex Energy Co. .............................. 76,637
440 Comstock Resources, Inc.+ ....................... 37,149
5,340 ConocoPhillips .................................. 504,042
500 Consol Energy, Inc. ............................. 56,185
120 Devon Energy Corp. .............................. 14,419
1,400 ENSCO International, Inc. ....................... 113,036
50 EOG Resources, Inc. ............................. 6,560
8,920 Exxon Mobil Corp. ............................... 786,119
Shares Value
- ------------ ------------
ENERGY (CONTINUED)
60 Forest Oil Corp.+ ............................... $ 4,470
600 Foundation Coal Holdings,
Inc. ............................................ 53,148
90 Halliburton Co. ................................. 4,776
1,096 Helix Energy Solutions
Group, Inc.+ .................................... 45,637
950 Helmerich & Payne, Inc. ......................... 68,419
100 Hess Corp. ...................................... 12,619
1,000 Mariner Energy, Inc.+ ........................... 36,970
810 Massey Energy Co. ............................... 75,938
500 McMoRan Exploration
Co.+ ............................................ 13,760
70 Murphy Oil Corp. ................................ 6,864
384 National Oilwell Varco,
Inc.+ ........................................... 34,068
800 Newfield Exploration Co.+ ....................... 52,200
1,600 Noble Corp. ..................................... 103,936
1,280 Occidental Petroleum
Corp. ........................................... 115,021
300 Oil States International,
Inc.+ ........................................... 19,032
1,600 Petroleo Brasileiro
SA ADR .......................................... 113,328
1,140 Pioneer Natural Resources
Co. ............................................. 89,239
1,000 Plains Exploration &
Production Co.+ ................................. 72,970
1,600 Pride International, Inc.+ ...................... 75,664
1,100 Rowan, Inc. ..................................... 51,425
1,525 Schlumberger, Ltd. .............................. 163,831
130 Southwestern Energy Co.+ ........................ 6,189
800 St. Mary Land &
Exploration Co. ................................. 51,712
390 Stone Energy Corp.+ ............................. 25,705
280 Swift Energy Co.+ ............................... 18,497
670 Tidewater, Inc. ................................. 43,570
1,470 Transocean, Inc. ................................ 224,014
430 Unit Corp.+ ..................................... 35,677
380 W&T Offshore, Inc. .............................. 22,234
140 Whiting Petroleum Corp.+ ........................ 14,851
See Notes to Financial Statements.
35
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
ENERGY (CONTINUED)
1,900 Williams, Inc. .................................. $ 76,589
3,137 XTO Energy, Inc. ................................ 214,916
------------
4,251,869
------------
FINANCIALS -- 13.7%
90 ACE, Ltd. ....................................... 4,958
130 Aflac, Inc. ..................................... 8,164
96 Alleghany Corp.+ ................................ 31,877
140 Allstate Corp. (The) ............................ 6,383
140 American Express Co. ............................ 5,274
960 American International
Group, Inc. ..................................... 25,402
70 Ameriprise Financial, Inc. ...................... 2,847
260 Annaly Capital Management,
Inc. ............................................ 4,033
120 AON Corp. ....................................... 5,513
1,300 Arch Capital Group, Ltd.+ ....................... 86,216
3,200 Assurant, Inc. .................................. 211,071
4,290 Bank of America Corp. ........................... 102,402
2,730 Bank of New York Mellon
Corp. (The) ..................................... 103,276
1,590 BB&T Corp. ...................................... 36,204
710 BlackRock, Inc. ................................. 125,670
160 Charles Schwab Corp.
(The) ........................................... 3,286
160 Chubb Corp. ..................................... 7,842
6,085 Citigroup, Inc. ................................. 101,985
15 CME Group, Inc. ................................. 5,748
800 CNA Financial Corp. ............................. 20,120
200 Discover Financial Services ..................... 2,634
1,100 Douglas Emmett, Inc. ............................ 24,167
50 Equity Residential .............................. 1,914
780 Everest Re Group, Ltd. .......................... 62,174
50 Franklin Resources, Inc. ........................ 4,583
110 Genworth Financial, Inc.,
Class A ......................................... 1,959
720 Goldman Sachs Group,
Inc. (The) ...................................... 125,928
70 Hartford Financial Services
Group, Inc. ..................................... 4,520
Shares Value
- ------------ ------------
FINANCIALS (CONTINUED)
30 IntercontinentalExchange,
Inc.+ ........................................... $ 3,420
7,560 JPMorgan Chase & Co. ............................ 259,384
140 Lehman Brothers
Holdings, Inc. .................................. 2,773
3,740 Loews Corp. ..................................... 175,406
1,800 Manulife Financial Corp. ........................ 62,478
4,280 MetLife, Inc. ................................... 225,855
1,300 Moody's Corp. ................................... 44,772
2,295 Morgan Stanley .................................. 82,781
2,980 Northern Trust Corp. ............................ 204,338
70 NYSE Euronext ................................... 3,546
80 PNC Financial Services
Group, Inc. ..................................... 4,568
1,280 Principal Financial Group,
Inc. ............................................ 53,722
3,989 Prudential Financial, Inc. ...................... 238,302
6,300 Regions Financial Corp. ......................... 68,733
1,120 State Street Corp. .............................. 71,669
270 Stewart Information
Services Corp. .................................. 5,222
3,615 SunTrust Banks, Inc. ............................ 130,935
1,530 T Rowe Price Group, Inc. ........................ 86,399
190 Travelers Cos., Inc. (The) ...................... 8,246
4,170 U.S. Bancorp .................................... 116,301
4,460 Unum Group ...................................... 91,207
1,900 Ventas, Inc. .................................... 80,882
130 Wachovia Corp. .................................. 2,019
4,450 Wells Fargo & Co. ............................... 105,688
70 XL Capital, Ltd., Class A ....................... 1,439
------------
3,256,235
------------
HEALTH CARE -- 12.3%
2,475 Abbott Laboratories ............................. 131,101
100 Aetna, Inc. ..................................... 4,053
730 Alcon, Inc. ..................................... 118,837
140 Amgen, Inc.+ .................................... 6,602
3,705 Baxter International, Inc. ...................... 236,897
1,200 Becton Dickinson & Co. .......................... 97,560
See Notes to Financial Statements.
36
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
HEALTH CARE (CONTINUED)
60 Biogen Idec, Inc.+ .............................. $ 3,353
330 Boston Scientific Corp.+ ........................ 4,056
13,370 Bristol-Myers Squibb Co. ........................ 274,486
90 Cigna Corp. ..................................... 3,185
3,000 Covidien, Ltd. .................................. 143,669
170 Eli Lilly & Co. ................................. 7,847
2,370 Express Scripts, Inc.+ .......................... 148,646
90 Genzyme Corp.+ .................................. 6,482
5,665 Gilead Sciences, Inc.+ .......................... 299,962
1,200 Health Net, Inc.+ ............................... 28,872
980 Henry Schein, Inc.+ ............................. 50,539
2,700 Hologic, Inc.+ .................................. 58,860
2,400 Hospira, Inc.+ .................................. 96,264
750 Inverness Medical
Innovations, Inc.+ .............................. 24,878
610 Invitrogen Corp.+ ............................... 23,949
1,380 Johnson & Johnson ............................... 88,789
170 Kinetic Concepts, Inc.+ ......................... 6,785
170 King Pharmaceuticals,
Inc.+ ........................................... 1,780
90 McKesson Corp. .................................. 5,032
100 Medco Health Solutions,
Inc.+ ........................................... 4,720
2,050 Merck & Co., Inc. ............................... 77,265
1,200 PerkinElmer, Inc. ............................... 33,420
19,650 Pfizer, Inc. .................................... 343,285
1,700 Quest Diagnostics, Inc. ......................... 82,399
340 Schering-Plough Corp. ........................... 6,695
6,835 Thermo Fisher Scientific,
Inc.+ ........................................... 380,914
100 UnitedHealth Group, Inc. ........................ 2,625
400 Varian, Inc.+ ................................... 20,424
1,200 Waters Corp.+ ................................... 77,400
100 Watson Pharmaceuticals,
Inc.+ ........................................... 2,717
562 Wyeth ........................................... 26,954
------------
2,931,302
------------
Shares Value
- ------------ ------------
INDUSTRIALS -- 15.5%
5 AGCO Corp.+ ..................................... $ 262
120 Alliant Techsystems, Inc.+ ...................... 12,202
1,570 Allied Waste Industries,
Inc.+ ........................................... 19,813
140 Ametek, Inc. .................................... 6,611
90 Boeing Co. ...................................... 5,915
1,400 Brink's Co. (The) ............................... 91,588
810 Burlington Northern
Santa Fe Corp. .................................. 80,911
2,380 Caterpillar, Inc. ............................... 175,692
570 CH Robinson Worldwide,
Inc. ............................................ 31,259
700 Crane Co. ....................................... 26,971
190 CSX Corp. ....................................... 11,934
1,490 Cummins, Inc. ................................... 97,625
2,035 Danaher Corp. ................................... 157,306
6,120 Deere & Co. ..................................... 441,435
1,883 Dover Corp. ..................................... 91,081
3,065 Emerson Electric Co. ............................ 151,564
130 Fastenal Co. .................................... 5,611
320 First Solar, Inc.+ .............................. 87,302
800 Fluor Corp. ..................................... 148,864
780 Foster Wheeler, Ltd.+ ........................... 57,057
300 Genco Shipping &
Trading, Ltd. ................................... 19,560
1,175 General Cable Corp.+ ............................ 71,499
400 General Dynamics Corp. .......................... 33,680
3,780 General Electric Co. ............................ 100,888
80 Goodrich Corp. .................................. 3,797
4,420 Honeywell International,
Inc. ............................................ 222,237
90 Illinois Tool Works, Inc. ....................... 4,276
90 Ingersoll-Rand Co., Ltd.,
Class A ......................................... 3,369
70 Jacobs Engineering Group,
Inc.+ ........................................... 5,649
600 Joy Global, Inc. ................................ 45,498
750 L-3 Communications
Holdings, Inc. .................................. 68,153
See Notes to Financial Statements.
37
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
INDUSTRIALS (CONTINUED)
880 Lockheed Martin Corp. ........................... $ 86,820
1,450 Manitowoc Co., Inc. (The) ....................... 47,169
1,410 Manpower, Inc. .................................. 82,118
1,300 Navistar International
Corp.+ .......................................... 85,566
1,100 Norfolk Southern Corp. .......................... 68,937
150 Overseas Shipholding ............................ 11,928
60 Parker Hannifin Corp. ........................... 4,279
120 Raytheon Co. .................................... 6,754
2,400 Republic Services, Inc. ......................... 71,280
500 Rockwell Automation, Inc. ....................... 21,865
70 Rockwell Collins, Inc. .......................... 3,357
4,185 RR Donnelley & Sons Co. ......................... 124,253
660 SPX Corp. ....................................... 86,942
90 Sunpower Corp., Class A+ ........................ 6,478
2,200 Terex Corp.+ .................................... 113,014
1,600 Textron, Inc. ................................... 76,688
1,130 Timken Co. ...................................... 37,222
130 Tyco International, Ltd. ........................ 5,205
5,105 Union Pacific Corp. ............................. 385,427
100 United Parcel Service, Inc.,
Class B ......................................... 6,147
190 United Technologies
Corp. ........................................... 11,723
400 Walter Industries, Inc. ......................... 43,508
50 WW Grainger, Inc. ............................... 4,090
------------
3,670,379
------------
INFORMATION TECHNOLOGY -- 21.0%
2,650 Accenture, Ltd., Class A ........................ 107,908
1,200 ADC Telecommunications,
Inc.+ ........................................... 17,724
140 Altera Corp. .................................... 2,898
470 Amphenol Corp., Class A ......................... 21,094
300 Analog Devices, Inc. ............................ 9,531
3,345 Apple, Inc.+ .................................... 560,086
140 Automatic Data Processing,
Inc. ............................................ 5,866
100 Avnet, Inc.+ .................................... 2,728
2,300 BMC Software, Inc.+ ............................. 82,800
Shares Value
- ------------ ------------
INFORMATION TECHNOLOGY (CONTINUED)
220 Broadcom Corp., Class A+ ........................ $ 6,004
220 CA, Inc. ........................................ 5,080
1,125 Cadence Design Systems,
Inc.+ ........................................... 11,998
4,535 Cisco Systems, Inc.+ ............................ 105,484
110 Cognizant Technology
Solutions Corp., Class A+ ....................... 3,576
2,010 Computer Sciences Corp.+ ........................ 94,148
930 Convergys Corp.+ ................................ 13,820
9,814 Corning, Inc. ................................... 226,213
3,830 Dell, Inc.+ ..................................... 83,800
140 Dolby Laboratories, Inc.,
Class A+ ........................................ 5,642
260 eBay, Inc.+ ..................................... 7,106
2,200 EchoStar Corp., Class A+ ........................ 68,684
270 EMC Corp.+ ...................................... 3,966
2,100 Fiserv, Inc.+ ................................... 95,277
6,332 Flextronics International+ ...................... 59,521
80 Google, Inc., Class A+ .......................... 42,114
1,190 Harris Corp. .................................... 60,083
3,600 Hewitt Associates, Inc.,
Class A+ ........................................ 137,989
13,220 Hewlett-Packard Co. ............................. 571,193
2,000 Integrated Device
Technology, Inc.+ ............................... 19,880
2,700 Intel Corp. ..................................... 57,996
4,020 International Business
Machines Corp. .................................. 476,491
3,600 Intuit, Inc.+ ................................... 99,252
240 Juniper Networks, Inc.+ ......................... 5,323
190 Lexmark International, Inc.,
Class A+ ........................................ 6,352
6,950 LSI Corp.+ ...................................... 42,673
125 Mastercard, Inc., Class A ....................... 33,190
3,565 McAfee, Inc.+ ................................... 121,317
1,090 MEMC Electronic Materials,
Inc.+ ........................................... 67,079
8,700 Micron Technology, Inc.+ ........................ 52,200
9,045 Microsoft Corp. ................................. 248,828
See Notes to Financial Statements.
38
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
INFORMATION TECHNOLOGY (CONTINUED)
2,900 National Semiconductor
Corp. ........................................... $ 59,566
4,300 Novell, Inc.+ ................................... 25,327
22,865 Oracle Corp.+ ................................... 480,164
2,251 PMC - Sierra, Inc.+ ............................. 17,220
230 QLogic Corp.+ ................................... 3,356
170 QUALCOMM, Inc. .................................. 7,543
785 Research In Motion, Ltd.+ ....................... 91,767
100 Salesforce.com, Inc.+ ........................... 6,823
280 Symantec Corp.+ ................................. 5,418
1,145 Synopsys, Inc.+ ................................. 27,377
280 Teradyne, Inc.+ ................................. 3,100
90 Texas Instruments, Inc. ......................... 2,534
180 Trimble Navigation, Ltd.+ ....................... 6,426
4,970 Tyco Electronics, Ltd. .......................... 178,025
2,200 VeriSign, Inc.+ ................................. 83,160
2,000 Vishay Intertechnology,
Inc.+ ........................................... 17,740
2,690 Western Digital Corp.+ .......................... 92,886
4,295 Western Union Co. (The) ......................... 106,172
4,260 Xilinx, Inc. .................................... 107,565
170 Yahoo!, Inc.+ ................................... 3,512
------------
4,968,595
------------
MATERIALS -- 8.1%
2,535 Air Products & Chemicals,
Inc. ............................................ 250,610
90 AK Steel Holding Corp. .......................... 6,210
640 Ashland, Inc. ................................... 30,848
800 Cabot Corp. ..................................... 19,448
1,350 Celanese Corp., Ser A ........................... 61,641
650 CF Industries Holdings,
Inc. ............................................ 99,320
2,800 Chemtura Corp. .................................. 16,352
3,600 Crown Holdings, Inc.+ ........................... 93,564
450 Cytec Industries, Inc. .......................... 24,552
100 Dow Chemical Co. (The) .......................... 3,491
1,010 Eastman Chemical Co. ............................ 69,549
90 EI Du Pont de
Nemours & Co. ................................... 3,860
Shares Value
- ------------ ------------
MATERIALS (CONTINUED)
890 FMC Corp. ....................................... $ 68,922
2,260 Freeport-McMoRan
Copper & Gold, Inc. ............................. 264,849
1,118 Hercules, Inc. .................................. 18,928
4,700 International Paper Co. ......................... 109,510
1,685 Monsanto Co. .................................... 213,051
650 Mosaic Co. (The)+ ............................... 94,055
1,560 Nalco Holding Co. ............................... 32,994
130 Newmont Mining Corp. ............................ 6,781
110 Nucor Corp. ..................................... 8,214
852 Olin Corp. ...................................... 22,305
1,510 Owens-Illinois, Inc.+ ........................... 62,952
1,800 PPG Industries, Inc. ............................ 103,266
1,300 Praxair, Inc. ................................... 122,512
390 Rockwood Holdings, Inc.+ ........................ 13,572
100 Sigma-Aldrich Corp. ............................. 5,386
1,600 Steel Dynamics, Inc. ............................ 62,512
40 United States Steel Corp. ....................... 7,391
1,200 Valspar Corp. ................................... 22,692
------------
1,919,337
------------
TELECOMMUNICATION SERVICES -- 3.5%
3,080 American Tower Corp.,
Class A+ ........................................ 130,130
4,850 AT&T, Inc. ...................................... 163,397
1,160 CenturyTel, Inc. ................................ 41,284
1,570 NII Holdings, Inc.+ ............................. 74,559
11,580 Verizon Communications,
Inc. ............................................ 409,932
------------
819,302
------------
UTILITIES -- 5.3%
400 Alliant Energy Corp. ............................ 13,704
70 American Electric Power
Co., Inc. ....................................... 2,816
2,490 CMS Energy Corp. ................................ 37,101
30 Constellation Energy
Group, Inc. ..................................... 2,463
5,000 Dominion Resources, Inc. ........................ 237,450
230 DPL, Inc. ....................................... 6,067
See Notes to Financial Statements.
39
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF INVESTMENTS - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
UTILITIES (CONTINUED)
2,107 DTE Energy Co. .................................. $ 89,421
510 Duke Energy Corp. ............................... 8,864
300 Edison International ............................ 15,414
1,520 Exelon Corp. .................................... 136,740
70 FirstEnergy Corp. ............................... 5,763
230 Great Plains Energy, Inc. ....................... 5,814
1,660 MDU Resources
Group, Inc. ..................................... 57,868
120 Mirant Corp.+ ................................... 4,698
1,825 NRG Energy, Inc.+ ............................... 78,293
1,400 OGE Energy Corp. ................................ 44,394
2,830 Oneok, Inc. ..................................... 138,189
2,300 Pepco Holdings, Inc. ............................ 58,995
3,600 PG&E Corp. ...................................... 142,884
80 Questar Corp. ................................... 5,683
4,270 Reliant Energy, Inc.+ ........................... 90,822
1,490 Sempra Energy ................................... 84,111
------------
1,267,554
------------
Total Common Stock
(Cost $29,910,452) 28,860,625
------------
INVESTMENT COMPANY -- 0.3%
UNITED STATES -- 0.3%
3,325 Financial Select SPDR ........................... 67,365
------------
Total Investment Company
(Cost $93,210) 67,365
------------
Total Investments -- 121.9%
(Cost $30,003,662) 28,927,990
Other Assets & Liabilities,
Net -- 21.9% (5,192,280)
------------
NET ASSETS -- 100.0% $ 23,755,717
============
- ----------
ADR - American Depositary Receipt
SPDR - Standard and Poor's 500 Depositary Receipt
+ Non-income producing security.
See Notes to Financial Statements.
40
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF SECURITIES SOLD SHORT (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
SECURITIES SOLD SHORT -- (26.8)%
CONSUMER DISCRETIONARY -- (4.1)%
295 Amazon.com, Inc.+ ............................... $ 21,632
1,100 Apollo Group, Inc.,
Class A+ ........................................ 48,686
1,410 Best Buy Co., Inc. .............................. 55,835
210 BorgWarner, Inc. ................................ 9,320
150 Boyd Gaming Corp. ............................... 1,884
4,735 Brunswick Corp. ................................. 50,191
190 Cablevision Systems Corp.,
Class A+ ........................................ 4,294
1,100 CBS Corp., Class B .............................. 21,439
104 DISH Network Corp.,
Class A+ ........................................ 3,045
300 DreamWorks Animation
SKG, Inc., Class A+ ............................. 8,943
170 General Motors Corp. ............................ 1,955
1,400 Genuine Parts Co. ............................... 55,552
670 Harley-Davidson, Inc. ........................... 24,294
700 Hasbro, Inc. .................................... 25,004
1,300 International Game
Technology ...................................... 32,474
520 J.C. Penney Co., Inc. ........................... 18,871
140 Kohl's Corp.+ ................................... 5,606
400 Lamar Advertising Co.,
Class A+ ........................................ 14,412
740 Las Vegas Sands Corp.+ .......................... 35,106
300 Lear Corp.+ ..................................... 4,254
3,210 Liberty Global, Inc.,
Class A+ ........................................ 100,890
350 Ltd. Brands, Inc. ............................... 5,898
1,540 Mattel, Inc. .................................... 26,365
680 MGM Mirage+ ..................................... 23,045
1,200 News Corp., Class A ............................. 18,048
1,100 O'Reilly Automotive, Inc.+ ...................... 24,585
220 PetSmart, Inc. .................................. 4,389
300 Polo Ralph Lauren Corp. ......................... 18,834
700 Royal Caribbean
Cruises, Ltd. ................................... 15,729
2,570 Scholastic Corp.+ ............................... 73,656
Shares Value
- ------------ ------------
CONSUMER DISCRETIONARY (CONTINUED)
40 Sears Holdings Corp.+ ........................... $ 2,946
1,300 Service Corp. International ..................... 12,818
110 Sherwin-Williams Co.
(The) ........................................... 5,052
300 Sotheby's ....................................... 7,911
140 Stanley Works (The) ............................. 6,276
5,520 Starbucks Corp.+ ................................ 86,885
900 Starwood Hotels & Resorts
Worldwide, Inc. ................................. 36,063
550 Urban Outfitters, Inc.+ ......................... 17,155
490 Whirlpool Corp. ................................. 30,248
------------
959,590
------------
CONSUMER STAPLES -- (3.3)%
4,165 Campbell Soup Co. ............................... 139,361
200 Central European
Distribution Corp.+ ............................. 14,830
2,550 Clorox Co. ...................................... 133,110
1,400 Dean Foods Co.+ ................................. 27,468
400 Energizer Holdings, Inc.+ ....................... 29,236
700 Estee Lauder Cos., Inc.
(The), Class A .................................. 32,515
500 Hansen Natural Corp.+ ........................... 14,410
3,110 Hershey Co. (The) ............................... 101,946
110 Kellogg Co. ..................................... 5,282
480 Lorillard, Inc.+ ................................ 33,197
1,700 Procter & Gamble Co. ............................ 103,377
2,430 Safeway, Inc. ................................... 69,376
1,800 SYSCO Corp. ..................................... 49,518
1,100 Walgreen Co. .................................... 35,761
150 Whole Foods Market, Inc. ........................ 3,554
------------
792,941
------------
ENERGY -- (0.6)%
80 Baker Hughes, Inc. .............................. 6,987
230 BJ Services Co. ................................. 7,346
40 Diamond Offshore
Drilling, Inc. .................................. 5,566
600 Frontier Oil Corp. .............................. 14,345
See Notes to Financial Statements.
41
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF SECURITIES SOLD SHORT - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
ENERGY (CONTINUED)
290 Holly Corp. ..................................... $ 10,707
1,200 Nabors Industries, Ltd.+ ........................ 59,076
200 Sunoco, Inc. .................................... 8,138
700 Tesoro Corp. .................................... 13,839
270 Valero Energy Corp. ............................. 11,119
------------
137,123
------------
FINANCIALS -- (5.7)%
60 Affiliated Managers
Group, Inc.+ .................................... 5,404
2,062 American Express Co. ............................ 77,676
3,097 American International
Group, Inc. ..................................... 81,947
420 Apartment Investment &
Management Co., Class A ......................... 14,305
400 Astoria Financial Corp. ......................... 8,032
400 AvalonBay Communities,
Inc. ............................................ 35,664
500 Boston Properties, Inc. ......................... 45,110
300 Camden Property Trust ........................... 13,278
290 CB Richard Ellis Group,
Inc., Class A+ .................................. 5,568
900 Cincinnati Financial Corp. ...................... 22,860
160 Eaton Vance Corp. ............................... 6,362
1,000 Equity Residential .............................. 38,270
2,830 Fannie Mae ...................................... 55,213
1,200 Forest City Enterprises,
Inc., Class A ................................... 38,664
1,000 General Growth Properties,
Inc. ............................................ 35,030
700 Hartford Financial Services
Group, Inc. ..................................... 64,570
700 Invesco, Ltd. ................................... 16,786
600 Jefferies Group, Inc. ........................... 10,092
1,900 Keycorp ......................................... 20,862
800 Kimco Realty Corp. .............................. 27,616
90 Legg Mason, Inc. ................................ 3,921
300 M&T Bank Corp. .................................. 21,162
800 Macerich Co. (The) .............................. 49,704
2,240 Marsh & McLennan, Inc. .......................... 59,472
Shares Value
- ------------ ------------
FINANCIALS (CONTINUED)
2,200 Merrill Lynch & Co., Inc. ....................... $ 69,762
1,140 Moody's Corp. ................................... 39,262
1,530 Morgan Stanley .................................. 55,187
600 Nasdaq OMX Group
(The)+ .......................................... 15,930
1,600 New York Community
Bancorp, Inc. ................................... 28,544
3,450 Old Republic International
Corp. ........................................... 40,848
300 Philadelphia Consolidated
Holding Co.+ .................................... 10,191
800 Plum Creek Timber
Co., Inc. ....................................... 34,168
2,670 Progressive Corp. (The) ......................... 49,982
900 Simon Property Group,
Inc. ............................................ 80,900
2,300 SLM Corp.+ ...................................... 44,505
1,845 Tanger Factory Outlet
Centers ......................................... 66,291
700 TCF Financial Corp. ............................. 8,421
600 Ventas, Inc. .................................... 25,542
3,700 Washington Mutual, Inc. ......................... 18,241
1,670 Wells Fargo & Co. ............................... 39,663
------------
1,385,005
------------
HEALTH CARE -- (3.7)%
1,200 Allergan, Inc. .................................. 62,460
1,675 Amgen, Inc.+ .................................... 78,993
640 Amylin Pharmaceuticals,
Inc.+ ........................................... 16,250
100 Barr Pharmaceuticals,
Inc.+ ........................................... 4,508
300 Brookdale Senior Living,
Inc. ............................................ 6,108
60 C.R. Bard, Inc. ................................. 5,277
300 Celgene Corp.+ .................................. 19,161
360 Covance, Inc.+ .................................. 30,967
600 DaVita, Inc.+ ................................... 31,878
800 Forest Laboratories, Inc.+ ...................... 27,792
1,300 Genentech, Inc.+ ................................ 98,669
See Notes to Financial Statements.
42
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF SECURITIES SOLD SHORT - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
HEALTH CARE (CONTINUED)
230 Health Net, Inc.+ ............................... $ 5,534
790 Hospira, Inc.+ .................................. 31,687
200 Intuitive Surgical, Inc.+ ....................... 53,880
1,055 Johnson & Johnson ............................... 67,879
120 Medtronic, Inc. ................................. 6,210
190 Myriad Genetics, Inc.+ .......................... 8,649
2,400 Schering-Plough Corp. ........................... 47,256
320 Sepracor, Inc.+ ................................. 6,374
1,100 Stryker Corp. ................................... 69,168
700 UnitedHealth Group, Inc. ........................ 18,375
500 VCA Antech, Inc.+ ............................... 13,890
700 Vertex Pharmaceuticals,
Inc.+ ........................................... 23,429
2,035 Zimmer Holdings, Inc.+ .......................... 138,482
------------
872,876
------------
INDUSTRIALS -- (2.4)%
991 3M Co. .......................................... 68,963
330 Alaska Air Group, Inc.+ ......................... 5,062
800 AMR Corp.+ ...................................... 4,096
130 Avery Dennison Corp. ............................ 5,711
300 Bucyrus International, Inc. ..................... 21,906
2,365 Carlisle, Inc. .................................. 68,585
900 Cintas Corp. .................................... 23,859
140 Con-way, Inc. ................................... 6,616
1,800 Crane Co. ....................................... 69,353
400 Danaher Corp. ................................... 30,920
1,282 Expeditors International of
Washington, Inc. ................................ 55,126
1,550 Hertz Global Holdings,
Inc.+ ........................................... 14,881
2,810 Masco Corp. ..................................... 44,201
700 Monster Worldwide, Inc.+ ........................ 14,427
150 Pitney Bowes, Inc. .............................. 5,115
150 Quanta Services, Inc.+ .......................... 4,991
2,500 Robert Half International,
Inc. ............................................ 59,925
90 Teleflex, Inc. .................................. 5,003
190 Thomas & Betts Corp.+ ........................... 7,192
Shares Value
- ------------ ------------
INDUSTRIALS (CONTINUED)
280 UAL Corp. ....................................... $ 1,462
600 United Parcel Service,
Inc., Class B ................................... 36,882
140 USG Corp.+ ...................................... 4,140
170 Waste Management, Inc. .......................... 6,411
260 YRC Worldwide, Inc.+ ............................ 3,866
------------
568,693
------------
INFORMATION TECHNOLOGY -- (3.8)%
1,900 Adobe Systems, Inc.+ ............................ 74,841
140 Agilent Technologies,
Inc.+ ........................................... 4,976
4,200 Alcatel-Lucent ADR+ ............................. 25,368
800 Applied Materials, Inc. ......................... 15,272
600 Automatic Data Processing,
Inc. ............................................ 25,140
4,400 Cadence Design Systems,
Inc.+ ........................................... 44,440
990 Cisco Systems, Inc.+ ............................ 23,027
995 Citrix Systems, Inc.+ ........................... 29,263
1,180 Cognizant Technology
Solutions Corp., Class A+ ....................... 38,362
800 Cypress Semiconductor
Corp.+ .......................................... 19,800
220 Dolby Laboratories, Inc.,
Class A+ ........................................ 8,866
1,200 Electronic Arts, Inc.+ .......................... 53,316
5,497 EMC Corp.+ ...................................... 80,751
130 Fidelity National
Information Services, Inc. ...................... 4,798
130 Fiserv, Inc.+ ................................... 5,898
4,100 Flextronics International+ ...................... 38,540
90 Google, Inc., Class A+ .......................... 47,378
2,020 Intuit, Inc.+ ................................... 55,691
1,050 Iron Mountain, Inc.+ ............................ 27,878
110 Kla-Tencor Corp. ................................ 4,478
860 Lam Research Corp.+ ............................. 31,089
720 Linear Technology Corp. ......................... 23,450
400 Microchip Technology,
Inc. ............................................ 12,216
See Notes to Financial Statements.
43
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND JUNE 30, 2008 [LOGO]
SCHEDULE OF SECURITIES SOLD SHORT - (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Shares Value
- ------------ ------------
INFORMATION TECHNOLOGY (CONTINUED)
2,300 NetApp, Inc.+ ................................... $ 49,818
1,000 Paychex, Inc. ................................... 31,280
600 Rambus, Inc.+ ................................... 11,442
1,100 SanDisk Corp.+ .................................. 20,570
1,380 Varian Semiconductor
Equipment Associates,
Inc.+ ........................................... 48,052
150 VeriSign, Inc.+ ................................. 5,670
3,600 Xerox Corp. ..................................... 48,816
------------
910,486
------------
MATERIALS -- (1.2)%
210 Allegheny Technologies,
Inc. ............................................ 12,449
220 Crown Holdings, Inc.+ ........................... 5,718
830 Ecolab, Inc. .................................... 35,682
2,910 MeadWestvaco Corp. .............................. 69,374
240 Nalco Holding Co. ............................... 5,076
250 Newmont Mining Corp. ............................ 13,040
600 Pactiv Corp.+ ................................... 12,738
1,300 Smurfit-Stone Container
Corp.+ .......................................... 5,291
640 Vulcan Materials Co. ............................ 38,259
1,680 Weyerhaeuser Co. ................................ 85,915
------------
283,542
------------
TELECOMMUNICATION SERVICES -- (0.9)%
1,160 American Tower Corp.,
Class A+ ........................................ 49,010
140 Crown Castle International
Corp.+ .......................................... 5,422
380 NII Holdings, Inc.+ ............................. 18,046
4,800 Qwest Communications
International, Inc. ............................. 18,864
6,400 Sprint Nextel Corp. ............................. 60,801
915 Verizon Communications,
Inc. ............................................ 32,391
1,630 Windstream Corp. ................................ 20,114
------------
204,648
------------
Shares Value
- ------------ ------------
UTILITIES -- (1.1)%
900 Allegheny Energy, Inc. .......................... $ 45,099
70 Equitable Resources, Inc. ....................... 4,834
800 Exelon Corp. .................................... 71,968
1,000 FirstEnergy Corp. ............................... 82,329
20 FPL Group, Inc. ................................. 1,312
120 PG&E Corp. ...................................... 4,763
1,380 Southern Co. .................................... 48,190
------------
258,495
------------
Securities Sold Short
(Proceeds $7,180,771) 6,373,399
------------
INVESTMENT COMPANY -- (0.3)%
UNITED STATES -- (0.3)%
2,875 Technology Select SPDR .......................... 65,866
------------
Total Investment Company
(Proceeds $(62,756)) ($ Thousands) 65,866
------------
Total Securities Sold Short
(Proceeds $7,224,138) $ 6,419,894
------------
- ----------
ADR - American Depositary Receipt
SPDR - Standard and Poor's 500 Depositary Receipt
+ Non-income producing security.
See Notes to Financial Statements.
44
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
DOW JONES WILSHIRE
LARGE LARGE SMALL SMALL WILSHIRE LARGE CAP
COMPANY COMPANY COMPANY COMPANY 5000 CORE
GROWTH VALUE GROWTH VALUE INDEX 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------- ------------ ------------ ------------ ------------- ------------
ASSETS:
Investments, at value (Note 2) .............. $ 410,120,904 $ 51,925,428 $ 18,941,906 $ 22,584,142 $ 242,145,024 $ 28,927,990
Cash ........................................ 6,078,757 511,221 315,362 -- 907,286 1,769,284
Receivable from Investment Advisor .......... -- -- -- 7,394 -- 15,721
Income Receivable ........................... -- -- -- -- -- 2,979
Receivable for Portfolio shares sold ........ 1,124,915 1,053,078 -- 44,234 124,541 639,221
Receivable for investment securities sold ... 7,248,579 405,462 77,683 1,542,717 12,873,729 11,025
Dividends and interest receivable ........... 194,370 60,470 8,043 29,502 281,900 28,241
Prepaid expenses and other assets ........... 43,101 16,169 16,363 14,741 33,625 52,557
------------- ------------ ------------ ------------ ------------- ------------
Total Assets ............................. $ 424,810,626 $ 53,971,828 $ 19,359,357 $ 24,222,730 $ 256,366,105 $ 31,447,018
------------- ------------ ------------ ------------ ------------- ------------
LIABILITIES:
Cash overdraft .............................. -- -- -- 1,309,452 -- --
Securities sold short, at value ............. -- -- -- -- -- 6,419,894
Payable for Portfolio shares redeemed ....... 1,162,037 19,044 6,238 8,889 142,486 13,052
Payable for investment
securities purchased ..................... 5,971,633 544,436 58,847 106,376 12,795,624 1,223,380
Payable upon return of
securities loaned ........................ 34,447,448 5,813,571 3,270,107 3,327,705 24,260,839 --
Investment advisory fees
payable (Note 3) ......................... 246,985 30,219 3,412 -- 18,899 --
Distribution fees payable (Note 4) .......... 128,412 17,589 6,218 1,102 36,934 6,173
Service fees payable (Note 4) ............... 59,720 8,404 998 1,610 7,421 2,482
Dividends on short sales .................... -- -- -- -- -- 8,150
Accrued expenses and other payables ......... 209,348 16,131 (6,407) 7,101 77,983 18,170
------------- ------------ ------------ ------------ ------------- ------------
Total Liabilities ........................ 42,225,583 6,449,394 3,339,413 4,762,235 37,340,186 7,691,301
------------- ------------ ------------ ------------ ------------- ------------
NET ASSETS .................................. $ 382,585,043 $ 47,522,434 $ 16,019,944 $ 19,460,495 $ 219,025,919 $ 23,755,717
============= ============ ============ ============ ============= ============
NET ASSETS CONSIST OF:
Undistributed accumulated net
investment income/(loss) ................. $ (691,432) $ 285,567 $ (55,627) $ 102,412 $ 1,791,484 $ 15,404
Accumulated net realized gain/(loss)
on investments sold, futures contracts
and securities sold short ................ 10,279,659 (6,095,863) (576,281) (1,083,362) (26,835,347) (1,901,377)
Net unrealized appreciation of
investments and securities sold short .... 41,757,528 (2,019,747) 1,249,405 (843,834) 37,062,422 (274,039)
Paid-in capital ............................. 331,239,288 55,352,477 15,402,447 21,285,279 207,007,360 25,915,729
------------- ------------ ------------ ------------ ------------- ------------
NET ASSETS .................................. $ 382,585,043 $ 47,522,434 $ 16,019,994 $ 19,460,495 $ 219,025,919 $ 23,755,717
============= ============ ============ ============ ============= ============
Investments, at cost (Note 2) ............... $ 368,363,376 $ 53,945,175 $ 17,692,394 $ 23,427,976 $ 205,082,602 $ 30,006,273
Market value of securities on
loan (Note 2) ............................ $ 33,341,069 $ 5,493,546 $ 3,056,758 $ 3,071,756 $ 22,941,410 $ --
Proceeds from short sales (Note 2) .......... $ -- $ -- $ -- $ -- $ -- $ 7,224,138
See Notes to Financial Statements.
45
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- -------------------------------------------------------------------------------
DOW JONES WILSHIRE
LARGE LARGE SMALL SMALL WILSHIRE LARGE CAP
COMPANY COMPANY COMPANY COMPANY 5000 CORE
GROWTH VALUE GROWTH VALUE INDEX 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------- ------------ ------------ ------------ ------------- ------------
NET ASSETS:
Investment Class shares $ 242,581,247 $ 41,276,108 $ 15,760,697 $ 18,229,891 $ 118,572,425 $ 7,750,615
============= ============ ============ ============ ============= ============
(50,000,000 shares authorized, per class,
per Portfolio, par value $.001 per
share)+
Institutional Class shares .................. $ 140,003,796 $ 6,246,326 $ 259,247 $ 1,230,604 $ 98,466,163 $ 16,005,102
============= ============ ============ ============ ============= ============
(50,000,000 shares authorized, per class,
per Portfolio, par value $.001 per
share)+
Qualified Class shares ...................... N/A N/A N/A N/A $ 589,186 N/A
============= ============ ============ ============ ============= ============
(50,000,000 shares authorized, per class,
per Portfolio, par value $.001 per
share)+
Horace Mann Class shares .................... N/A N/A N/A N/A $ 1,398,145 N/A
============= ============ ============ ============ ============= ============
(50,000,000 shares authorized, per class,
per Portfolio, par value $.001 per
share)+
SHARES OUTSTANDING:
Investment Class shares ..................... 7,751,819 2,750,790 1,009,815 1,232,538 10,766,305 862,930
============= ============ ============ ============ ============= ============
Institutional Class shares .................. 4,352,321 416,220 16,101 82,254 8,931,302 1,780,039
============= ============ ============ ============ ============= ============
Qualified Class shares ...................... N/A N/A N/A N/A 53,527 N/A
============= ============ ============ ============ ============= ============
Horace Mann Class shares .................... N/A N/A N/A N/A 127,350 N/A
============= ============ ============ ============ ============= ============
INVESTMENT CLASS SHARES:
Net asset value, offering and redemption
price per share .......................... $ 31.29 $ 15.01 $ 15.61 $ 14.79 $ 11.01 $ 8.98
============= ============ ============ ============ ============= ============
INSTITUTIONAL CLASS SHARES:
Net asset value, offering and redemption
price per share .......................... $ 32.17 $ 15.01 $ 16.10 $ 14.96 $ 11.02 $ 8.99
============= ============ ============ ============ ============= ============
QUALIFIED CLASS SHARES:
Net asset value, offering and redemption
price per share .......................... N/A N/A N/A N/A $ 11.01 N/A
============= ============ ============ ============ ============= ============
HORACE MANN CLASS SHARES:
Net asset value, offering and redemption
price per share .......................... N/A N/A N/A N/A $ 10.98 N/A
============= ============ ============ ============ ============= ============
- ----------
+ For the Wilshire Large Cap Core 130/30 Fund, (40,000,000 shares
authorized, per class, par value $.001 per share).
See Notes to Financial Statements.
46
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF OPERATIONS [LOGO]
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
DOW JONES WILSHIRE
LARGE LARGE SMALL SMALL WILSHIRE LARGE CAP
COMPANY COMPANY COMPANY COMPANY 5000 CORE
GROWTH VALUE GROWTH VALUE INDEX 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------ ------------ ----------- ----------- ------------ -----------
INVESTMENT INCOME:
Dividends .................................. $ 1,781,852 $ 647,639 $ 31,777 $ 164,547 $ 2,281,994 $ 199,998
Interest ................................... 80,478 6,286 2,948 30,596 58,496 3,493
Short stock rebates (Note 2) ............... -- -- -- -- -- 60,256
Securities lending income .................. 200,071 26,643 30,835 49,579 146,279 --
Foreign taxes withheld ..................... (16,527) (980) (145) 252 (159) (343)
------------ ------------ ----------- ----------- ------------ -----------
Total Income ............................ 2,045,874 679,588 65,415 244,974 2,486,610 263,404
------------ ------------ ----------- ----------- ------------ -----------
EXPENSES
Investment advisory fee (Note 2) ........... 1,539,792 197,790 71,295 98,774 116,539 99,760
Distribution (12b-1) fees (Note 4) ......... 325,342 56,927 20,640 23,558 161,801 10,503
Service fees (Note 4) ...................... 219,463 15,101 7,612 8,249 31,836 1,913
Administration and Accounting fees
(note 3) ................................ 163,985 21,057 6,700 9,280 93,117 7,978
Pricing fees ............................... 20,315 8,627 10,940 9,172 51,857 15,023
Transfer agent fees (Note 3) ............... 134,186 28,568 23,538 27,453 84,014 27,912
Organizational expenses .................... -- -- -- -- -- 43,752
Professional fees .......................... 90,595 11,609 2,999 4,197 38,939 9,949
Printing fees .............................. 94,115 18,361 4,605 4,968 33,672 6,137
Custodian fees (Note 3) .................... 52,773 15,848 9,051 10,408 25,103 15,975
Registration and filing fees ............... 15,514 10,608 10,026 10,726 16,275 3,735
Directors' fees and expenses (Note 3) ...... 28,451 3,679 792 1,184 12,397 522
Chief compliance officer fees .............. 15,841 2,011 653 896 9,078 790
Dividend expense on securities sold short .. -- -- -- -- -- 47,961
Interest expense ........................... -- -- -- -- -- 75,031
Other ...................................... 36,934 8,604 3,763 3,924 20,498 2,125
------------ ------------ ----------- ----------- ------------ -----------
Total Expenses ............................. 2,737,306 398,790 172,614 212,789 695,126 369,066
Fees waived and reimbursed by investment
adviser (Note 3) ........................ -- -- (51,572) (69,723) -- (110,869)
------------ ------------ ----------- ----------- ------------ -----------
Net expenses ............................ 2,737,306 398,790 121,042 143,066 695,126 258,197
------------ ------------ ----------- ----------- ------------ -----------
NET INVESTMENT INCOME/(LOSS) ............... (691,432) 280,798 (55,627) 101,908 1,791,484 5,207
------------ ------------ ----------- ----------- ------------ -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)ON
INVESTMENTS, FUTURES CONTRACTS
AND SHORT SALES (NOTES 1 AND 4)
Net realized gain/(loss) from:
Investments ............................. 8,819,944 (3,844,011) (827,310) (892,689) (5,670,611) (1,900,552)
Futures contracts ....................... -- -- -- -- -- --
Short sales ............................. -- -- -- -- -- 64,600
Net change in unrealized appreciation/
(depreciation) on:
Investments ............................. (62,100,863) (5,042,993) (596,275) (1,856,246) (24,713,929) (1,226,525)
Futures contracts ....................... -- -- -- -- -- --
Short sales ............................. -- -- -- -- -- 674,455
------------ ------------ ----------- ----------- ------------ -----------
NET REALIZED AND UNREALIZED LOSS ON
INVESTMENTS, FUTURES CONTRACTS AND SHORT
SALES ................................... (53,280,919) (8,887,004) (1,423,585) (2,748,935) (30,384,540) (2,388,022)
------------ ------------ ----------- ----------- ------------ -----------
NET DECREASE IN NET ASSETS RESULTING FROM
OPERATIONS .............................. $(53,972,351) $ (8,606,206) $(1,479,212) $(2,647,027) $(28,593,056) $(2,382,815)
============ ============ =========== =========== ============ ===========
See Notes to Financial Statements.
47
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS [LOGO]
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
LARGE LARGE SMALL SMALL DOW JONES WILSHIRE
COMPANY COMPANY COMPANY COMPANY WILSHIRE LARGE CAP
GROWTH VALUE GROWTH VALUE 5000 INDEX CORE 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------ ------------ ----------- ----------- ------------ -----------
OPERATIONS:
Net investment income/(loss) ............... $ (691,432) $ 280,798 $ (55,627) $ 101,908 $ 1,791,484 $ 5,207
Net realized gain/(loss) on investments,
futures contracts and short sales ....... 8,819,944 (3,844,011) (827,310) (892,689) (5,670,611) (1,835,952)
Net change in unrealized depreciation on
investments, futures contracts and short
sales ................................... (62,100,863) (5,042,993) (596,275) (1,856,246) (24,713,929) (552,070)
------------ ------------ ----------- ----------- ------------ -----------
Net decrease in net assets resulting from
operations .............................. (53,972,351) (8,606,206) (1,479,212) (2,647,027) (28,593,056) (2,382,815)
------------ ------------ ----------- ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income:
Investment Class shares ................. -- -- -- -- -- --
Institutional Class shares .............. -- -- -- -- -- --
Qualified Class shares .................. -- -- -- -- -- --
Horace Mann Class shares ................ -- -- -- -- -- --
Return of capital:
Investment Class shares ................. -- -- -- -- -- --
Institutional Class shares .............. -- -- -- -- -- --
Net realized capital gains:
Investment Class shares ................. -- -- -- -- -- --
Institutional Class shares .............. -- -- -- -- -- --
------------ ------------ ----------- ----------- ------------ -----------
Total distributions to shareholders ........ -- -- -- -- -- --
------------ ------------ ----------- ----------- ------------ -----------
CAPITAL STOCK TRANSACTIONS (DOLLARS):
Investment Class shares:
Shares sold ............................. 16,052,632 4,677,328 1,533,909 2,485,914 6,464,382 4,407,186
Shares issued as reinvestment of
distributions ......................... -- -- -- -- -- --
Shares redeemed ......................... (50,624,009) (13,248,207) (3,039,561) (3,645,535) (15,222,273) (3,073,103)
------------ ------------ ----------- ----------- ------------ -----------
Total Investment Class shares .............. (34,571,377) (8,570,879) (1,485,652) (1,159,621) (8,757,891) 1,334,083
------------ ------------ ----------- ----------- ------------ -----------
Institutional Class shares:
Shares sold ............................. 15,662,770 718,421 125 364,222 3,494,801 7,631,179
Shares issued as reinvestment of
distributions ......................... -- -- -- -- -- --
Shares redeemed ......................... (25,847,220) (1,802,377) (15,362) (4,378,507) (6,167,983) (2,893,549)
------------ ------------ ----------- ----------- ------------ -----------
Total Institutional Class shares ........... (10,184,450) (1,083,956) (15,237) (4,014,285) (2,673,182) 4,737,630
------------ ------------ ----------- ----------- ------------ -----------
Qualified Class shares:
Shares sold ............................. N/A N/A N/A N/A 69,225 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A -- N/A
Shares redeemed ......................... N/A N/A N/A N/A (15,952) N/A
------------ ------------ ----------- ----------- ------------ -----------
Total Qualified Class shares ............... N/A N/A N/A N/A 53,273 N/A
------------ ------------ ----------- ----------- ------------ -----------
Horace Mann Class shares:
Shares sold ............................. N/A N/A N/A N/A 30,995 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A -- N/A
Shares redeemed ......................... N/A N/A N/A N/A (45,935) N/A
------------ ------------ ----------- ----------- ------------ -----------
Total Horace Mann Class shares ............. N/A N/A N/A N/A (14,940) N/A
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in net assets from
Capital Stock transactions .............. (44,755,827) (9,654,835) (1,500,889) (5,173,906) (11,392,740) 6,071,713
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in net assets ...... $(98,728,178) $(18,261,041) $(2,980,101) $(7,820,933) $(39,985,796) $ 3,688,898
------------ ------------ ----------- ----------- ------------ -----------
See Notes to Financial Statements.
48
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED) [LOGO]
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
LARGE LARGE SMALL SMALL DOW JONES WILSHIRE
COMPANY COMPANY COMPANY COMPANY WILSHIRE LARGE CAP
GROWTH VALUE GROWTH VALUE 5000 INDEX CORE 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------ ------------ ----------- ----------- ------------ -----------
NET ASSETS:
Beginning of year .......................... $481,313,221 $ 65,783,475 $19,000,045 $27,281,428 $259,011,715 $20,066,819
------------ ------------ ----------- ----------- ------------ -----------
End of year ................................ $382,585,043 $ 47,522,434 $16,019,944 $19,460,495 $219,025,919 $23,755,717
============ ============ =========== =========== ============ ===========
Undistributed net investment income/(loss)
at end of period ........................ $ (691,432) $ 285,567 $ (55,627) $ 102,412 $ 1,791,484 $ 15,404
============ ============ =========== =========== ============ ===========
CAPITAL SHARE TRANSACTIONS:
Investment Class shares:
Shares sold ............................. 499,684 297,505 102,852 162,994 559,418 477,795
Shares issued as reinvestment of
distributions ......................... -- -- -- -- -- --
Shares redeemed ......................... (1,583,816) (820,582) (196,785) (241,888) (1,315,629) (325,823)
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in Investment Class
shares outstanding ...................... (1,084,132) (523,077) (93,933) (78,894) (756,211) 151,972
============ ============ =========== =========== ============ ===========
Institutional Class shares:
Shares sold ............................. 475,172 44,705 8 23,900 302,211 792,196
Shares issued as reinvestment of
distributions ......................... -- -- -- -- -- --
Shares redeemed ......................... (784,765) (112,861) (944) (281,878) (532,118) (314,711)
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in Institutional
Class shares outstanding ................ (309,593) (68,156) (936) (257,978) (229,907) 477,485
============ ============ =========== =========== ============ ===========
Qualified Class shares:
Shares sold ............................. N/A N/A N/A N/A 6,027 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A -- N/A
Shares redeemed ......................... N/A N/A N/A N/A (1,397) N/A
------------ ------------ ----------- ----------- ------------ -----------
Net decrease in Qualified Class shares
outstanding ............................. N/A N/A N/A N/A 4,630 N/A
============ ============ =========== =========== ============ ===========
Horace Mann Class shares:
Shares sold ............................. N/A N/A N/A N/A 2,686 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A -- N/A
Shares redeemed ......................... N/A N/A N/A N/A (3,994) N/A
------------ ------------ ----------- ----------- ------------ -----------
Net decrease in Horace Mann Class shares
outstanding ............................. N/A N/A N/A N/A (1,308) N/A
============ ============ =========== =========== ============ ===========
See Notes to Financial Statements.
49
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS [LOGO]
FOR THE YEAR ENDED DECEMBER 31, 2007
- --------------------------------------------------------------------------------
LARGE LARGE SMALL SMALL DOW JONES WILSHIRE
COMPANY COMPANY COMPANY COMPANY WILSHIRE LARGE CAP
GROWTH VALUE GROWTH VALUE 5000 INDEX CORE 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------- ------------ ----------- ----------- ------------ -----------
OPERATIONS:
Net investment income/(loss) ............... $ (918,024) $ 705,098 $ (82,010) $ 166,730 $ 3,532,220 $ 6,620
Net realized gain on investments, futures
contracts and short sales ............... 94,476,379 10,714,022 1,898,551 1,652,666 5,406,000 (63,192)
Net change in unrealized appreciation/
(depreciation) on investments, futures
contracts and short sales ............... (8,558,818) (12,965,172) (547,929) (2,690,428) 4,141,406 278,031
------------- ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in net assets
resulting from operations ............... 84,999,537 (1,546,052) 1,268,612 (871,032) 13,079,626 221,459
------------- ------------ ----------- ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income:
Investment Class shares ................. -- (584,332) -- (135,499) (1,988,583) (340)
Institutional Class shares .............. -- (121,616) -- (53,996) (1,914,540) (3,660)
Qualified Class shares .................. N/A N/A N/A N/A (7,704) N/A
Horace Mann Class shares ................ N/A N/A N/A N/A (20,879) N/A
Return of capital:
Investment Class shares ................. -- (3,499) -- -- -- --
Institutional Class shares .............. -- (728) -- -- -- --
Net realized capital gains:
Investment Class shares ................. (53,102,352) (12,707,134) (1,996,330) (1,876,493) -- --
Institutional Class shares .............. (29,224,950) (1,896,287) (31,666) (491,375) -- --
------------- ------------ ----------- ----------- ------------ -----------
Total distributions to shareholders ........ (82,327,302) (15,313,596) (2,027,996) (2,557,363) (3,931,706) (4,000)
------------- ------------ ----------- ----------- ------------ -----------
CAPITAL STOCK TRANSACTIONS (DOLLARS):
Investment Class shares:
Shares sold ............................. 35,525,765 10,043,737 4,426,500 7,416,974 23,787,800 7,126,829
Shares issued as reinvestment of
distributions ......................... 51,693,850 13,109,304 1,978,700 1,992,669 1,938,381 340
Shares redeemed ......................... (153,789,077) (27,927,474) (2,516,145) (8,835,728) (33,691,378) (2,011)
------------- ------------ ----------- ----------- ------------ -----------
Total Investment Class shares .............. (66,569,462) (4,774,433) 3,889,055 573,915 (7,965,197) 7,125,158
------------- ------------ ----------- ----------- ------------ -----------
Institutional Class shares:
Shares sold ............................. 39,819,932 9,822,769 228,615 4,895,814 56,225,754 12,828,982
Shares issued as reinvestment of
distributions ......................... 17,762,919 1,722,894 25,895 542,252 1,907,129 3,660
Shares redeemed ......................... (116,988,327) (8,008,131) (133,165) (316,683) (13,542,851) (108,440)
------------- ------------ ----------- ----------- ------------ -----------
Total Institutional Class shares ........... (59,405,476) 3,537,532 121,345 5,121,383 44,590,032 12,724,202
------------- ------------ ----------- ----------- ------------ -----------
Qualified Class shares:
Shares sold ............................. N/A N/A N/A N/A 70,608 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A 7,704 N/A
Shares redeemed ......................... N/A N/A N/A N/A (604,756) N/A
------------- ------------ ----------- ----------- ------------ -----------
Total Qualified Class shares ............... N/A N/A N/A N/A (526,444) N/A
------------- ------------ ----------- ----------- ------------ -----------
Horace Mann Class shares:
Shares sold ............................. N/A N/A N/A N/A 81,602 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A 20,681 N/A
Shares redeemed ......................... N/A N/A N/A N/A (397,326) N/A
------------- ------------ ----------- ----------- ------------ -----------
Total Horace Mann Class shares ............. N/A N/A N/A N/A (295,043) N/A
------------- ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in net assets from
Capital Stock transactions .............. (125,974,938) (1,236,901) 4,010,400 5,695,298 35,803,348 19,849,360
------------- ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in net assets ...... $(123,302,703) $(18,096,549) $ 3,251,016 $ 2,266,903 $ 44,951,268 $20,066,819
------------- ------------ ----------- ----------- ------------ -----------
See Notes to Financial Statements.
50
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS - (CONTINUED) [LOGO]
FOR THE YEAR ENDED DECEMBER 31, 2007
- --------------------------------------------------------------------------------
LARGE LARGE SMALL SMALL DOW JONES WILSHIRE
COMPANY COMPANY COMPANY COMPANY WILSHIRE LARGE CAP
GROWTH VALUE GROWTH VALUE 5000 INDEX CORE 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND(1)
------------ ------------ ----------- ----------- ------------ -----------
NET ASSETS:
Beginning of year .......................... $604,615,924 $ 83,880,024 $15,749,029 $25,014,525 $214,060,447 $ --
------------ ------------ ----------- ----------- ------------ -----------
End of year ................................ $481,313,221 $ 65,783,475 $19,000,045 $27,281,428 $259,011,715 $20,066,819
============ ============ =========== =========== ============ ===========
Undistributed net investment income at end
of period ............................... $ -- $ 4,769 $ -- $ 504 $ -- $ 10,197
============ ============ =========== =========== ============ ===========
CAPITAL SHARE TRANSACTIONS:
Investment Class shares:
Shares sold ............................. 907,634 430,030 236,891 388,461 1,898,429 711,124
Shares issued as reinvestment of
distributions ......................... 1,432,756 736,064 113,263 117,009 152,990 33
Shares redeemed ......................... (3,980,551) (1,218,317) (136,959) (453,290) (2,669,789) (198)
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in Investment Class
shares outstanding ...................... (1,640,161) (52,223) 213,195 52,180 (618,370) 710,959
============ ============ =========== =========== ============ ===========
Institutional Class shares:
Shares sold ............................. 995,791 420,448 11,809 252,666 4,660,674 1,281,874
Shares issued as reinvestment of
distributions ......................... 479,820 96,846 1,435 31,600 150,523 355
Shares redeemed ......................... (2,931,497) (354,081) (7,124) (16,817) (1,072,713) (10,668)
------------ ------------ ----------- ----------- ------------ -----------
Net increase/(decrease) in Institutional
Class shares outstanding ................ (1,455,886) 163,213 6,120 267,449 3,738,484 1,271,561
============ ============ =========== =========== ============ ===========
Qualified Class shares:
Shares sold ............................. N/A N/A N/A N/A 5,579 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A 608 N/A
Shares redeemed ......................... N/A N/A N/A N/A (49,988) N/A
------------ ------------ ----------- ----------- ------------ -----------
Net decrease in Qualified Class shares
outstanding ............................. N/A N/A N/A N/A (43,801) N/A
============ ============ =========== =========== ============ ===========
Horace Mann Class shares:
Shares sold ............................. N/A N/A N/A N/A 6,522 N/A
Shares issued as reinvestment of
distributions ......................... N/A N/A N/A N/A 1,636 N/A
Shares redeemed ......................... N/A N/A N/A N/A (31,071) N/A
------------ ------------ ----------- ----------- ------------ -----------
Net decrease in Horace Mann Class shares
outstanding ............................. N/A N/A N/A N/A (22,913) N/A
============ ============ =========== =========== ============ ===========
- ----------
(1) The Wilshire Large Cap Core 130/30 Fund commenced operations November 15,
2007.
See Notes to Financial Statements.
51
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
STATEMENT OF CASH FLOWS [LOGO]
FOR THE SIX MONTHS ENDED JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
WILSHIRE
LARGE CAP
CORE 130/30
FUND
------------
INCREASE (DECREASE) IN CASH
CASH FLOWS FROM OPERATING ACTIVITIES:
Net decrease in net assets from operations ....................... $ (2,382,814)
Adjustment to reconcile net increase in net assets from operations
to net cash used in operating activities:
Purchase of investment securities ................................ (27,162,439)
Proceeds from disposition of investment securities ............... 21,283,894
Purchases to cover securities sold short ......................... (10,086,324)
Proceeds from securities sold short .............................. 11,313,633
Decrease in investment securities sold receivable ................ 149,555
Decrease in dividends and interest receivable .................... 6,021
Increase in rebate income receivable ............................. (2,979)
Increase in reimbursement due from Advisor ....................... (15,721)
Decrease in prepaid expenses and other assets .................... 60
Decrease in dividend expense on short positions .................. (2,906)
Increase in payable for investment securities purchased .......... (592,461)
Decrease in Investment Advisory fees payable ..................... (50,291)
Increase in distribution fees payable ............................ 4,585
Increase in service fees payable ................................. 1,832
Decrease in other accrued expenses ............................... (2,598)
Change in unrealized depreciation on investments ................. 552,070
Realized loss on investments ..................................... 1,835,952
------------
Net cash used for operating activities ........................ (5,150,931)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares sold ........................................ 11,529,717
Payment on shares redeemed ....................................... (5,953,600)
------------
Net cash flows provided by financing activities .................. 5,576,117
------------
Net increase in cash ............................................. 425,186
Cash at beginning of period ...................................... 1,344,098
------------
Cash at end of period ............................................ $ 1,769,284
============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Non cash financing activities not included herein consists of interest paid of
$71,493.
See Notes to Financial Statements.
52
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY GROWTH PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
------------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period .............. $ 35.34 $ 36.20 $ 34.49 $ 31.80 $ 29.83 $ 23.59
-------- -------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss)(1) ................... (0.08) (0.13) (0.06) (0.12) 0.04 (0.05)
Net realized and unrealized gain/(loss) on
investments and futures contracts ............... (3.97) 6.18 1.77 2.81 1.96 6.29
-------- -------- -------- -------- -------- --------
Total from investment operations .................. (4.05) 6.05 1.71 2.69 2.00 6.24
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ........................ -- -- -- -- (0.03) --
From capital gains ................................ -- (6.91) -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions ............................... -- (6.91) -- -- (0.03) --
-------- -------- -------- -------- -------- --------
Net asset value, end of period .................... $ 31.29 $ 35.34 $ 36.20 $ 34.49 $ 31.80 $ 29.83
======== ======== ======== ======== ======== ========
Total return ...................................... (11.46)%(2) 16.33% 4.96% 8.46% 6.70% 26.45%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) .............. $242,581 $312,297 $379,226 $411,660 $410,332 $365,658
Operating expenses excluding custody earnings
credit .......................................... 1.48%(3) 1.41% 1.34% 1.39% 1.44% 1.37%
Operating expenses including
reimbursement/waiver/custody earnings credit .... 1.48%(3) 1.41% 1.34% 1.38% 1.43% 1.36%
Operating expenses excluding
reimbursement/waiver/custody earnings credit .... 1.48%(3) 1.41% 1.34% 1.39% 1.44% 1.47%
Net investment income/(loss) ...................... (0.49)%(3) (0.32)% (0.18)% (0.37)% 0.11% (0.20)%
Portfolio turnover rate ........................... 58%(2) 129% 62% 58% 121% 93%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
53
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY GROWTH PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
-------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
------------- ---------- ---------- ------------ ---------- ----------
Net asset value, beginning of period ............. $ 36.25 $ 36.84 $ 34.97 $ 32.13 $ 30.13 $ 23.81
-------- -------- -------- -------- -------- --------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss)(1) .................. (0.01) 0.03 0.07 0.00(2) 0.13 0.03
Net realized and unrealized gain/(loss) on
investments and futures contracts .............. (4.07) 6.29 1.80 2.84 2.01 6.36
-------- -------- -------- -------- -------- --------
Total from investment operations ................. (4.08) 6.32 1.87 2.84 2.14 6.39
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ....................... -- -- -- -- (0.14) (0.07)
From capital gains ............................... -- (6.91) -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions .............................. -- (6.91) -- -- (0.14) (0.07)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ................... $ 32.17 $ 36.25 $ 36.84 $ 34.97 $ 32.13 $ 30.13
======== ======== ======== ======== ======== ========
Total return ..................................... (11.28)%(4) 16.80% 5.35% 8.84% 7.10% 26.85%
======== ======== ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $140,004 $169,017 $225,390 $212,501 $182,467 $160,814
Operating expenses excluding custody earnings
credit ......................................... 1.08%(5) 1.02% 0.98% 1.01% 1.10% 1.05%
Operating expenses including
reimbursement/waiver/custody earnings credit ... 1.08%(5) 1.02% 0.98% 1.01% 1.09% 1.04%
Operating expenses excluding
reimbursement/waiver/custody earnings credit ... 1.08%(5) 1.02% 0.98% 1.01% 1.10% 1.15%
Net investment income/(loss) ..................... (0.08)%(5) 0.08% 0.19% 0.00%(3) 0.45% 0.12%
Portfolio turnover rate .......................... 58%(4) 129% 62% 58% 121% 93%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Amount is less than $0.01 per share.
(3) Amount represents less than 0.01%
(4) Not annualized
(5) Annualized
See Notes to Financial Statements.
54
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY VALUE PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
------------ ----------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............... $ 17.51 $ 22.99 $ 21.17 $ 21.92 $ 20.52 $ 16.03
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) ........................... 0.08 0.20 0.20 0.14 0.14 0.13
Net realized and unrealized gain/(loss)
on investments ................................... (2.58) (0.58) 3.71 1.82 2.59 4.44
------- ------- ------- ------- ------- -------
Total from investment operations ................... (2.50) (0.38) 3.91 1.96 2.73 4.57
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ......................... -- (0.23) (0.19) (0.14) (0.39) (0.08)
Tax return of capital .............................. -- (0.00)(2) -- (0.10) -- --
From capital gains ................................. -- (4.87) (1.90) (2.47) (0.94) --
------- ------- ------- ------- ------- -------
Total distributions ................................ -- (5.10) (2.09) (2.71) (1.33) (0.08)
------- ------- ------- ------- ------- -------
Net asset value, end of period ..................... $ 15.01 $ 17.51 $ 22.99 $ 21.17 $ 21.92 $ 20.52
======= ======= ======= ======= ======= =======
Total return ....................................... (14.33)%(3) (2.00)% 18.49% 8.90% 13.28% 28.51%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............... $41,276 $57,314 $76,481 $56,245 $49,749 $35,997
Operating expenses excluding custody earnings
credit ........................................... 1.55%(4) 1.42% 1.39% 1.50% 1.65% 1.56%
Operating expenses including
reimbursement/waiver/custody earnings credit ..... 1.55%(4) 1.42% 1.39% 1.49% 1.65% 1.55%
Operating expenses excluding
reimbursement/waiver/custody earnings credit ..... 1.55%(4) 1.42% 1.39% 1.50% 1.65% 1.67%
Net investment income .............................. 1.03%(4) 0.85% 0.87% 0.64% 0.67% 0.75%
Portfolio turnover rate ............................ 54%(3) 120% 50% 43% 73% 103%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Amount is less than $0.01 per share.
(3) Not annualized
(4) Annualized
See Notes to Financial Statements.
55
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
LARGE COMPANY VALUE PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............... $17.49 $23.04 $21.19 $21.94 $ 20.55 $ 16.04
------ ------ ------ ------ ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) ........................... 0.10 0.27 0.27 0.20 0.21 0.18
Net realized and unrealized gain/(loss)
on investments .................................. (2.58) (0.64) 3.74 1.83 2.59 4.44
------ ------ ------ ------ ------- -------
Total from investment operations ................... (2.48) (0.37) 4.01 2.03 2.80 4.62
------ ------ ------ ------ ------- -------
LESS DISTRIBUTIONS:
From net investment income ......................... -- (0.31) (0.26) (0.21) (0.47) (0.11)
Tax return of capital .............................. -- (0.00)(2) -- (0.10) -- --
From capital gains ................................. -- (4.87) (1.90) (2.47) (0.94) --
------ ------ ------ ------ ------- -------
Total distributions ................................ -- (5.18) (2.16) (2.78) (1.41) (0.11)
------ ------ ------ ------ ------- -------
Net asset value, end of period ..................... $15.01 $17.49 $23.04 $21.19 $ 21.94 $ 20.55
====== ====== ====== ====== ======= =======
Total return ....................................... (14.23)%(3) (1.92)% 18.94% 9.18% 13.62% 28.83%
====== ====== ====== ====== ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............... $6,246 $8,469 $7,399 $7,811 $10,059 $30,224
Operating expenses excluding custody earnings
credit ........................................... 1.29%(4) 1.12% 1.08% 1.21% 1.34% 1.31%
Operating expenses including
reimbursement/waiver/custody earnings credit ..... 1.29%(4) 1.12% 1.08% 1.20% 1.34% 1.30%
Operating expenses excluding
reimbursement/waiver/custody earnings credit ..... 1.29%(4) 1.12% 1.08% 1.21% 1.34% 1.42%
Net investment income .............................. 1.30%(4) 1.15% 1.18% 0.91% 0.97% 1.00%
Portfolio turnover rate ............................ 54%(3) 120% 50% 43% 73% 103%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Amount is less than $0.01 per share.
(3) Not annualized
(4) Annualized
See Notes to Financial Statements.
56
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY GROWTH PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............. $ 16.94 $ 17.46 $ 16.88 $ 17.74 $ 15.73 $ 11.48
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(1) ........................... (0.10) (0.09) (0.17) (0.17) (0.24) (0.26)
Net realized and unrealized gain/(loss) on
investments ................................... (1.23) 1.60 2.04 0.79 2.95 4.51
------- ------- ------- ------- ------- -------
Total from investment operations ................. (1.33) 1.51 1.87 0.62 2.71 4.25
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From capital gains ............................... -- (2.03) (1.29) (1.48) (0.70) --
------- ------- ------- ------- ------- -------
Total distributions .............................. -- (2.03) (1.29) (1.48) (0.70) --
------- ------- ------- ------- ------- -------
Net asset value, end of period ................... $ 15.61 $ 16.94 $ 17.46 $ 16.88 $ 17.74 $ 15.73
======= ======= ======= ======= ======= =======
Total return ..................................... (7.91)%(2) 8.36% 11.12% 3.48% 17.22% 37.02%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $15,761 $18,702 $15,553 $14,913 $13,916 $11,224
Operating expenses excluding custody earnings
credit ........................................ 2.05%(3) 2.06% 2.05% 1.52% 1.87% 2.51%
Operating expenses including reimbursement/waiver/
custody earnings credit ....................... 1.45%(3) 1.46% 1.43% 1.50% 1.87% 2.51%
Operating expenses excluding reimbursement/waiver/
custody earnings credit ....................... 2.05%(3) 2.06% 2.05% 2.36% 2.82% 3.11%
Net investment loss .............................. (1.27)%(3) (1.09)% (0.96)% (0.97)% (1.46)% (1.98)%
Portfolio turnover rate .......................... 44%(2) 99% 62% 71% 106% 162%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
57
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY GROWTH PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............. $ 17.50 $ 17.93 $ 17.25 $ 18.04 $ 15.94 $ 11.61
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(1) ........................... (0.08) (0.06) (0.12) (0.12) (0.19) (0.23)
Net realized and unrealized gain/(loss) on
investments ................................... (1.32) 1.66 2.09 0.81 2.99 4.56
------- ------- ------- ------- ------- -------
Total from investment operations ................. (1.40) 1.60 1.97 0.69 2.80 4.33
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From capital gains ............................... -- (2.03) (1.29) (1.48) (0.70) --
------- ------- ------- ------- ------- -------
Total distributions .............................. -- (2.03) (1.29) (1.48) (0.70) --
------- ------- ------- ------- ------- -------
Net asset value, end of period ................... $ 16.10 $ 17.50 $ 17.93 $ 17.25 $ 18.04 $ 15.94
======= ======= ======= ======= ======= =======
Total return ..................................... (8.00)%(2) 8.58% 11.46% 3.81% 17.56% 37.30%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $ 259 $ 298 $ 196 $ 206 $ 214 $ 159
Operating expenses excluding custody earnings
credit ........................................ 1.78%(3) 1.81% 1.77% 1.21% 1.55% 2.28%
Operating expenses including reimbursement/waiver/
custody earnings credit ....................... 1.18%(3) 1.21% 1.15% 1.19% 1.55% 2.28%
Operating expenses excluding reimbursement/waiver/
custody earnings credit ....................... 1.78%(3) 1.81% 1.77% 2.05% 2.50% 2.88%
Net investment loss .............................. (1.01)%(3) (0.92)% (0.68)% (0.66)% (1.14)% (1.75)%
Portfolio turnover rate .......................... 44%(2) 99% 62% 71% 106% 162%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
58
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY VALUE PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............. $ 16.49 $ 18.77 $ 17.46 $ 21.47 $ 19.52 $ 14.34
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income/(loss)(1) .................. 0.07 0.10 0.03 (0.07) (0.06) 0.04
Net realized and unrealized gain/(loss) on
investments ................................... (1.77) (0.70) 3.38 1.22 4.51 5.18
------- ------- ------- ------- ------- -------
Total from investment operations ................. (1.70) (0.60) 3.41 1.15 4.45 5.22
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ....................... -- (0.11) (0.03) -- (0.03) (0.04)
From capital gains ............................... -- (1.57) (2.07) (5.16) (2.47) --
------- ------- ------- ------- ------- -------
Total distributions .............................. -- (1.68) (2.10) (5.16) (2.50) (0.04)
------- ------- ------- ------- ------- -------
Net asset value, end of period ................... $ 14.79 $ 16.49 $ 18.77 $ 17.46 $ 21.47 $ 19.52
======= ======= ======= ======= ======= =======
Total return ..................................... (10.31)%(2) (3.45)% 19.64% 5.41% 22.78% 36.41%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $18,230 $21,630 $23,639 $17,048 $36,826 $13,441
Operating expenses excluding custody earnings
credit ........................................ 1.46%(3) 1.79% 1.92% 1.50% 1.48% 1.52%
Operating expenses including reimbursement/waiver/
custody earnings credit ....................... 1.29%(3) 1.19% 1.31% 1.48% 1.46% 1.52%
Operating expenses excluding reimbursement/waiver/
custody earnings credit ....................... 1.46%(3) 1.79% 1.92% 2.10% 2.09% 2.12%
Net investment income/(loss) ..................... 0.86%(3) (0.05)% 0.15% (0.32)% (0.28)% 0.22%
Portfolio turnover rate .......................... 35%(2) 68% 72% 68% 134% 124%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
59
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
SMALL COMPANY VALUE PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ............. $ 16.61 $ 18.90 $ 17.56 $ 21.50 $ 19.55 $ 14.35
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1) ......................... 0.07 0.17 0.09 0.00(2) 0.01 0.08
Net realized and unrealized gain/(loss) on
investments ................................... (1.72) (0.72) 3.41 1.22 4.51 5.21
------- ------- ------- ------- ------- -------
Total from investment operations ................. (1.65) (0.55) 3.50 1.22 4.52 5.29
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ....................... -- (0.17) (0.09) -- (0.10) (0.09)
From capital gains ............................... -- (1.57) (2.07) (5.16) (2.47) --
------- ------- ------- ------- ------- -------
Total distributions .............................. -- (1.74) (2.16) (5.16) (2.57) (0.09)
------- ------- ------- ------- ------- -------
Net asset value, end of period ................... $ 14.96 $ 16.61 $ 18.90 $ 17.56 $ 21.50 $ 19.55
======= ======= ======= ======= ======= =======
Total return ..................................... (9.93)%(3) (3.18)% 20.05% 5.73% 23.11% 36.86%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ............. $ 1,230 $ 5,652 $ 1,375 $ 1,231 $ 3,961 $10,142
Operating expenses excluding custody earnings
credit ........................................ 1.53%(4) 1.51% 1.62% 1.17% 1.17% 1.23%
Operating expenses including reimbursement/waiver/
custody earnings credit ....................... 0.97%(4) 0.91% 1.02% 1.16% 1.15% 1.23%
Operating expenses excluding reimbursement/waiver/
custody earnings credit ....................... 1.53%(4) 1.51% 1.62% 1.78% 1.78% 1.83%
Net investment income/(loss) ..................... 0.34%(4) 0.30% 0.44% (0.01)% 0.03% 0.51%
Portfolio turnover rate .......................... 35%(3) 68% 72% 68% 134% 124%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Amount is less than $0.01 per share.
(3) Not annualized
(4) Annualized
See Notes to Financial Statements.
60
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ........... $ 12.42 $ 12.02 $ 10.59 $ 10.09 $ 9.17 $ 7.10
--------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) ....................... 0.08 0.15 0.12 0.09 0.09 0.05
Net realized and unrealized gain/(loss) on
investments ................................. (1.49) 0.42 1.41 0.48 0.93 2.05
--------- --------- --------- --------- --------- ---------
Total from investment operations ............... (1.41) 0.57 1.53 0.57 1.02 2.10
--------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS:
From net investment income ..................... -- (0.17) (0.10) (0.07) (0.10) (0.03)
--------- --------- --------- --------- --------- ---------
Total distributions ............................ -- (0.17) (0.10) (0.07) (0.10) (0.03)
--------- --------- --------- --------- --------- ---------
Net asset value, end of period ................. $ 11.01 $ 12.42 $ 12.02 $ 10.59 $ 10.09 $ 9.17
========= ========= ========= ========= ========= =========
Total return ................................... (11.35)%(2) 4.75% 14.46% 5.63% 11.17% 29.62%
========= ========= ========= ========= ========= =========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 118,573 $ 143,090 $ 145,952 $ 123,809 $ 122,263 $ 107,818
Operating expenses excluding custody earnings
credit ...................................... 0.72%(3) 0.68% 0.74% 0.82% 0.92% 1.06%
Operating expenses including reimbursement/
waiver/custody earnings credit .............. 0.72%(3) 0.68% 0.74% 0.82% 0.92% 1.05%
Operating expenses excluding reimbursement/
waiver/custody earnings credit .............. 0.72%(3) 0.68% 0.74% 0.82% 0.92% 1.06%
Net investment income .......................... 1.41%(3) 1.20% 1.08% 0.89% 0.93% 0.66%
Portfolio turnover rate ........................ 14%(2) 60% 69% 46% 31% 3%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
61
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ........... $ 12.41 $ 12.02 $ 10.60 $ 10.11 $ 9.18 $ 7.10
-------- --------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income(1) ....................... 0.10 0.19 0.15 0.12 0.12 0.08
Net realized and unrealized gain/(loss) on
investments ................................. (1.49) 0.41 1.40 0.47 0.94 2.05
-------- --------- -------- -------- -------- --------
Total from investment operations ............... (1.39) 0.60 1.55 0.59 1.06 2.13
-------- --------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
From net investment income ..................... -- (0.21) (0.13) (0.10) (0.13) (0.05)
-------- --------- -------- -------- -------- --------
Total distributions ............................ -- (0.21) (0.13) (0.10) (0.13) (0.05)
-------- --------- -------- -------- -------- --------
Net asset value, end of period ................. $ 11.02 $ 12.41 $ 12.02 $ 10.60 $ 10.11 $ 9.18
======== ========= ======== ======== ======== ========
Total return ................................... (11.12)%(2) 4.97% 14.66% 5.83% 11.56% 30.05%
======== ========= ======== ======== ======== ========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 98,466 $ 113,721 $ 65,177 $ 42,854 $ 41,368 $ 23,621
Operating expenses excluding custody earnings
credit ...................................... 0.43%(3) 0.39% 0.47% 0.54% 0.62% 0.76%
Operating expenses including reimbursement/
waiver/custody earnings credit .............. 0.43%(3) 0.39% 0.47% 0.54% 0.62% 0.75%
Operating expenses excluding reimbursement/
waiver/custody earnings credit .............. 0.43%(3) 0.39% 0.47% 0.54% 0.62% 0.76%
Net investment income .......................... 1.69%(3) 1.49% 1.35% 1.17% 1.22% 0.96%
Portfolio turnover rate ........................ 14%(2) 60% 69% 46% 31% 3%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
62
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
QUALIFIED CLASS SHARES
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ........... $ 12.42 $ 12.02 $ 10.61 $ 10.10 $ 9.15 $ 7.09
------- ------- ------- ------- ------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(1) ....................... 0.08 0.14 0.11 0.08 0.08 0.04
Net realized and unrealized gain/(loss) on
investments ................................. (1.49) 0.42 1.39 0.47 0.94 2.05
------- ------- ------- ------- ------- -------
Total from investment operations ............... (1.41) 0.56 1.50 0.55 1.02 2.09
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ..................... -- (0.16) (0.09) (0.04) (0.07) (0.03)
------- ------- ------- ------- ------- -------
Total distributions ............................ -- (0.16) (0.09) (0.04) (0.07) (0.03)
------- ------- ------- ------- ------- -------
Net asset value, end of period ................. $ 11.01 $ 12.42 $ 12.02 $ 10.61 $ 10.10 $ 9.15
======= ======= ======= ======= ======= =======
Total return ................................... (11.35)%(2) 4.63% 14.18% 5.46% 11.13% 29.45%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 589 $ 607 $ 1,114 $ 880 $ 1,399 $ 3,565
Operating expenses excluding custody earnings
credit ...................................... 0.83%(3) 0.79% 0.83% 0.93% 0.99% 1.15%
Operating expenses including reimbursement/
waiver/custody earnings credit .............. 0.83%(3) 0.79% 0.83% 0.93% 0.99% 1.14%
Operating expenses excluding reimbursement/
waiver/custody earnings credit .............. 0.83%(3) 0.79% 0.83% 0.93% 0.99% 1.15%
Net investment income/(loss) ................... (1.35)%(3) 1.08% 0.99% 0.75% 0.85% 0.58%
Portfolio turnover rate ........................ 14%(2) 60% 69% 46% 31% 3%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
63
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
DOW JONES WILSHIRE 5000 INDEX PORTFOLIO [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
HORACE MANN CLASS SHARES
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
06/30/2008 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/2007 12/31/2006 12/31/2005 12/31/2004 12/31/2003
----------- ---------- ---------- ---------- ---------- ----------
Net asset value, beginning of period ........... $ 12.38 $ 11.99 $ 10.57 $ 10.08 $ 9.15 $ 7.09
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss)(1) ................ 0.08 0.14 0.12 0.08 0.08 0.05
Net realized and unrealized gain on
investments ................................. (1.48) 0.41 1.39 0.47 0.95 2.04
------- ------- ------- ------- ------- -------
Total from investment operations ............... (1.40) 0.55 1.51 0.55 1.03 2.09
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
From net investment income ..................... -- (0.16) (0.09) (0.06) (0.10) (0.03)
------- ------- ------- ------- ------- -------
Total distributions ............................ -- (0.16) (0.09) (0.06) (0.10) (0.03)
------- ------- ------- ------- ------- -------
Net asset value, end of period ................. $ 10.98 $ 12.38 $ 11.99 $ 10.57 $ 10.08 $ 9.15
======= ======= ======= ======= ======= =======
Total return ................................... (11.31)%(2) 4.60% 14.32% 5.49% 11.23% 29.44%
======= ======= ======= ======= ======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ........... $ 1,398 $ 1,593 $ 1,817 $ 1,891 $ 1,964 $ 1,915
Operating expenses excluding custody earnings
credit ...................................... 0.78%(3) 0.74% 0.77% 0.89% 0.97% 1.11%
Operating expenses including reimbursement/
waiver/custody earnings credit .............. 0.78%(3) 0.74% 0.77% 0.89% 0.97% 1.10%
Operating expenses excluding reimbursement/
waiver/custody earnings credit .............. 0.78%(3) 0.74% 0.77% 0.89% 0.97% 1.11%
Net investment income .......................... (1.37)%(3) 1.14% 1.05% 0.82% 0.87% 0.61%
Portfolio turnover rate ........................ 14%(2) 60% 69% 46% 31% 3%
- ----------
(1) The selected per share data was calculated using the average shares
outstanding method for the period.
(2) Not annualized
(3) Annualized
See Notes to Financial Statements.
64
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND [LOGO]
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INVESTMENT CLASS SHARES
-------------------------------
SIX MONTHS
ENDED PERIOD
06/30/2008 ENDED
(UNAUDITED) 12/31/2007(1)
--------------- -------------
Net asset value, beginning of period $ 10.12 $ 10.00
------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(2) ................................................... -- (0.02)
Net realized and unrealized gain/(loss) on investments and short sales ... (1.14) 0.14
------- -------
Total from investment operations ......................................... (1.14) 0.12
------- -------
LESS DISTRIBUTIONS:
From net investment income ............................................... -- (0.00)(3)
------- -------
Total distributions ...................................................... -- (0.00)
------- -------
Net asset value, end of period ........................................... $ 8.98 $ 10.12
======= =======
Total return(4) .......................................................... (11.27)%(5) 1.21%(5)
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ..................................... $ 7,751 $ 7,196
Operating expenses including dividends on short sales and
interest expense, after expense reimbursement/waiver .................. 2.75%(6) 3.51%(6)
Operating expenses including dividends on short sales and
interest expense, before expense reimbursement/waiver ................. 3.87%(6) 5.00%(6)
Operating expenses excluding dividends on short sales and
interest expense, after expense reimbursement/waiver .................. 1.50%(6) 1.50%(6)
Net investment loss ...................................................... (0.09)%(6) (1.24)%(6)
Portfolio turnover rate .................................................. 158%(5) 84%(5)
- ----------
(1) The Wilshire Large Cap Core 130/30 Fund commenced operations November 15,
2007.
(2) The selected per share data was calculated using the average shares
outstanding method for the period.
(3) Amount is less than $0.01 per share.
(4) Total return represents the total return for the period indicated.
(5) Not annualized.
(6) Annualized.
See Notes to Financial Statements.
65
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
WILSHIRE LARGE CAP CORE 130/30 FUND [LOGO]
FINANCIAL HIGHLIGHTS - (CONTINUED)
- --------------------------------------------------------------------------------
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
INSTITUTIONAL CLASS SHARES
-------------------------------
SIX MONTHS
ENDED PERIOD
06/30/2008 ENDED
(UNAUDITED) 12/31/2007(1)
--------------- -------------
Net asset value, beginning of period $ 10.12 $ 10.00
------- -------
INCOME/(LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(2) ................................................... 0.01 (0.01)
Net realized and unrealized gain/(loss) on investments and short sales ... (1.14) 0.13
------- -------
Total from investment operations ......................................... (1.13) 0.12
------- -------
LESS DISTRIBUTIONS:
From net investment income ............................................... -- (0.00)(3)
------- -------
Total distributions ...................................................... -- (0.00)
------- -------
Net asset value, end of period ........................................... $ 8.99 $ 10.12
======= =======
Total return(4) .......................................................... (11.17)%(5) 1.23%(5)
======= =======
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ..................................... $16,005 $ 12,870
Operating expenses including dividends on short sales and
interest expense, after expense reimbursement/waiver .................. 2.47%(6) 3.09%(6)
Operating expenses including dividends on short sales and
interest expense, before expense reimbursement/waiver ................. 3.57%(6) 4.38%(6)
Operating expenses excluding dividends on short sales and
interest expense, after expense reimbursement/waiver .................. 1.25%(6) 1.25%(6)
Net investment income .................................................... 0.16%(6) (0.79%)(6)
Portfolio turnover rate .................................................. 158%(5) 84%(5)
- ----------
(1) The Wilshire Large Cap Core 130/30 Fund commenced operations November 15,
2007.
(2) The selected per share data was calculated using the average shares
outstanding method for the period.
(3) Amount is less than $0.01 per share.
(4) Total return represents the total return for the period indicated.
(5) Not annualized.
(6) Annualized.
See Notes to Financial Statements.
66
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
1. Organization.
Wilshire Mutual Funds, Inc. (the "Company") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end diversified
investment company, which was incorporated under Maryland law on July 30, 1992.
The Company operates as a series company and presently offers seven series, six
of which had operations during the semi-annual period: Large Company Growth
Portfolio, Large Company Value Portfolio, Small Company Growth Portfolio, Small
Company Value Portfolio, Dow Jones Wilshire 5000 Index Portfolio and Wilshire
Large Cap Core 130/30 Fund (collectively the "Portfolios", each a "Portfolio").
The Company accounts separately for the assets, liabilities and operations of
each series.
Each of the Portfolios offers Investment and Institutional Class shares, each of
which has equal rights as to voting privileges. The Dow Jones Wilshire 5000
Index Portfolio also offers Qualified Class Shares and Horace Mann Class Shares.
Each of the Investment Class, Qualified Class and Horace Mann Class has
exclusive voting rights with respect to its particular service and distribution
plan. Investment income, realized and unrealized capital gains and losses and
the common expenses of each Portfolio are allocated on a pro-rata basis to each
class based on the relative net assets of each class to the total net assets of
each Portfolio. Each class of shares differs in its respective service and
distribution expenses.
2. Significant Accounting Policies.
The preparation of financial statements in accordance 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 disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
PORTFOLIO VALUATION: A security listed or traded on U.S. exchanges is valued at
its last sales price on the exchange where it is principally traded. In the
absence of a current quotation, the security is valued at the mean between the
last bid and asked prices on that exchange. Securities quoted on the National
Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which
there have been sales, are valued at the NASDAQ official closing price. If there
are no such sales, the most recent bid quotation is used. Securities traded
over-the-counter (other than on NASDAQ) are valued at the last current sale
price. Debt securities that have a remaining maturity of 60 days or less are
valued at cost, plus or minus any amortized premium or discount. In the event
market quotations are not readily available, securities are valued at fair value
according to procedures established by the Board of Directors or as determined
in good faith by the Pricing Committee, whose members include at least two
representatives of the Adviser, one of whom is an officer of the Company or by
the Company's Valuation Committee. Fair value is defined as the amount the owner
of a security might reasonably expect to receive upon a current sale. Securities
whose value does not reflect fair value because a significant valuation event
has occurred may be valued at fair value by the Pricing Committee or by the
Company's Valuation
67
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Committee. Significant events include, but are not limited to the following:
significant fluctuations in domestic markets, foreign markets or foreign
currencies; occurrences not directly tied to the securities markets such as
natural disasters, armed conflicts or significant governmental actions; and
major announcements affecting a single issuer or an entire market or market
sector.
SECURITIES SOLD SHORT: The Wilshire Large Cap Core 130/30 Fund will engage in
short selling. To complete a short sales transaction, the Portfolio must borrow
the security to make delivery to the buyer. The Portfolio then is obligated to
replace the security borrowed by purchasing the security at the market price at
the time of replacement. The price at such time may be more or less than the
price at which the security was sold by the Portfolio. Until the security is
replaced, the Portfolio is required to pay to the lender amounts equal to any
dividends or interest, which accrue during the period of the loan. To borrow the
security, the Portfolio also may be required to pay a premium, which would
increase the cost of the security sold. The Portfolio pays interest to the
lender for borrowing the security. This amount is reflected as interest expense
in the Statements of Operations.
Until the Portfolio closes its short position or replaces the borrowed security,
the Portfolio will: (a) maintain a segregated account containing cash or liquid
securities at such a level that (i) the amount deposited in the account plus the
amount deposited with the custodian as collateral will equal the current value
of the security sold short and (ii) the amount deposited in the segregated
account as collateral will not be less than the market value of the security at
the time the security was sold short; or (b) otherwise cover the Portfolio's
short position.
The short stock rebate presented in the Statements of Operations represents the
net income earned on the short sale proceeds held on deposit with the
Portfolio's custodian earned on short sale transactions. The Portfolio is
subject to risk of loss if the broker were to fail to perform its obligation
under contractual terms. Dividends on short positions are recorded on the
ex-dividend date as an expense on the Statements of Operations. Short sales
transactions result in off-balance sheet risk because the ultimate obligation
may exceed the amount shown in the Statements of Assets and Liabilities. The
Portfolio will incur a loss if the price of the security increases between the
date of the short sale and the date on which the Portfolio replaces the borrowed
security. The Fund will realize a gain if the price of the security declines
between those dates. Short selling involves the risk of a potentially unlimited
increase in the market value of the security sold short, which could result in a
potentially unlimited loss for the Portfolio.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Realized gains and losses from securities
transactions are recorded on the identified cost basis. Dividend income is
recognized on the ex-dividend date and interest income, including, where
applicable, accretion of discount and amortization of premium on investments, is
recognized on the accrual basis. Distributions received on securities that
represent a return of capital or capital gain are reclassed as a reduction of
cost of investments and/or as a realized gain. The actual character of income,
realized gain and return of capital distributions received from Real Estate
Investment Trusts are not known until after the end of the fiscal year, at which
time such distributions are appropriately adjusted.
68
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPENSES: Distribution and Service fees directly attributable to a class of
shares are charged to that class' operations. Expenses of the Portfolios other
than Distribution and Service fees are prorated among the classes to which the
expense relates based on the relative net assets of each class of shares.
Expenses directly attributable to a Fund are charged to that Fund. Expenses not
directly attributable to a Fund are allocated proportionately among all Funds
daily in relation to the net assets of each Fund or another reasonable basis.
Expenses which are attributable to the Company and the Wilshire Variable
Insurance Trust are allocated across the Company and the Wilshire Variable
Insurance Trust based upon relative net assets or another reasonable basis.
Expenses and fees, including the advisory fees, are accrued daily and taken into
account for the purpose of determining the net asset value of each Portfolio's
shares.
OFFERING COSTS: Offering costs for Wilshire Large Cap Core 130/30 Fund are
amortized on a straight-line basis over one year from commencement of
operations.
DISTRIBUTIONS TO SHAREHOLDERS: Distributions to shareholders are recorded on the
ex-dividend date. Distributions from net investment income, if any, are declared
and paid annually. The Portfolios' net realized capital gains, unless offset by
any available capital loss carryforward, are distributed to shareholders
annually. Additional distributions of net investment income and capital gains
may be made at the discretion of the Board of Trustees in order to avoid the
application of a 4% non-deductible Federal excise tax.
SECURITIES LENDING: The Portfolios may seek additional income by lending their
securities on a short-term basis to banks, brokers and dealers in return for
cash collateral, which is invested in short-term securities. A Portfolio may
return a portion of the interest earned to the borrower or a third party which
is unaffiliated with the Company and acting as a "placing broker." A Portfolio
receives compensation for lending securities in the form of fees. A Portfolio
also continues to receive dividends on the securities loaned. Security loans are
secured at all times by collateral. It is the Company's policy that the
collateral be equal to at least 102% of the market value of the securities
loaned plus accrued interest when the transaction is entered into and that the
collateral supporting loans be remarked daily. Gain or loss in the market price
of the securities loaned that may occur during the term of the loan are
reflected in the value of the Portfolio. The risks from securities lending are
that the borrower may not provide additional collateral when required or return
the securities when due or when called for by the Portfolio. PFPC Trust Company,
the Portfolios' custodian, acts as the securities lending agent for the
Portfolios. The value of the securities on loan and the value of the related
collateral at June 30, 2008 are shown in the Statements of Assets and
Liabilities. The related income from securities loaned is reflected in the
Statements of Operations.
RECENT ACCOUNTING STANDARD: In March 2008, FASB issued Statement of Financial
Accounting Standards No. 161, "Disclosures about Derivative Instruments and
Hedging Activities" ("FAS 161") and is effective for fiscal years beginning
after November 15, 2008. FAS 161 is intended to improve financial reporting for
derivative instruments by requiring enhanced disclosure that enables investors
to understand how and why an entity uses derivatives, how derivatives are
accounted for, and how derivative instruments affect an entity's results of
operations and financial position. Management is currently evaluating the
implications of FAS 161. The impact on the Portfolios' financial statement
disclosures, if any, is currently being assessed.
69
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
3. Investment Advisory Fee and Other Transactions.
Pursuant to the Advisory Agreement (the "Agreement") between the Company and
Wilshire Associates Incorporated ("Wilshire" or the "Adviser"), Wilshire charges
annual fees of 0.75% of average daily net assets for the Large Company Growth
and Large Company Value Portfolios, 0.85% of average daily net assets for the
Small Company Growth and Small Company Value Portfolios, 0.10% of average daily
net assets for the Dow Jones Wilshire 5000 Index Portfolio and 1.00% for the
Wilshire Large Cap Core 130/30 Fund. For the six months ended June 30, 2008,
Wilshire voluntarily waived 0.60% from its fee for the Small Company Growth
Portfolio and 0.60% from its fee for the Small Company Value Portfolio. Wilshire
will not seek recoupment from the Company for expenses previously waived or
reimbursed through June 30, 2008 for such Portfolios. Wilshire has entered into
a contractual expense limitation agreement with the Wilshire Large Cap Core
130/30 Fund to waive a portion of its management fee and/or reimburse expenses
to limit expenses (excluding taxes, brokerage expenses, dividend expenses on
short securities, and extraordinary expenses) to 1.50% and 1.25% of average
daily net assets for Investment Class shares and Institutional Class shares,
respectively. This agreement to limit expenses continues through at least April
30, 2009. Wilshire may recoup the amount of any management fee waived within
three years after the year in which Wilshire incurred the expense if the
recoupment does not exceed the existing expense limitation for the Wilshire
Large Cap Core 130/30 Fund. At June 30, 2008, the amounts of waivers subject to
recoupment for Wilshire Large Cap Core 130/30 Fund are $67,117, expiring in 2011
and $21,064, expiring in 2010.
For the six-months ended June 30, 2008, Wilshire waived fees and reimbursed
expenses as follows:
PORTFOLIO WAIVED FEES REIMBURSED EXPENSES
- --------- ----------- -------------------
Small Company Growth Portfolio ............. $ 51,572 $ --
Small Company Value Portfolio .............. 69,723 --
Wilshire Large Cap Core 130/30 Fund ........ 67,117 43,752
The Board of Directors of the Company has approved Los Angeles Capital
Management and Equity Research ("L.A. Capital"), Logan Capital Management, Inc.
("Logan"), Payden & Rydell ("Payden"), Quest Investment Management, Inc.
("Quest"), Sawgrass Asset Management ("Sawgrass"), Victory Capital Management
Inc. ("Victory"), Pzena Investment Management, LLC ("Pzena"), Acadian Asset
Management, Inc. ("Acadian"), Systematic Financial Management, L.P.
("Systematic"), Ranger Investment Management, L.P., NWQ Investment Management
Company, LP ("NWQ"), AG Asset Management, LLC ("AG"), AXA Rosenberg Investment
Management LLC ("AXA"), Thompson, Siegel & Walmsley LLC ("TSW") and TWIN Capital
Management, Inc. ("TWIN") (collectively the "Sub-Advisers") to provide
sub-advisory services with respect to the Portfolios. L.A. Capital, Logan,
Payden, Quest, Sawgrass and Victory each manage a portion of the Large Company
Growth Portfolio. L.A. Capital, Pzena, Acadian and Systematic each manage a
portion of the Large Company Value Portfolio. L.A. Capital and Ranger each
manage a portion of the Small Company Growth Portfolio. L.A. Capital and NWQ
each manage a portion of the Small Company Value Portfolio. L.A. Capital is the
sole sub-adviser for the Dow Jones Wilshire 5000 Index Portfolio. AG, AXA, TSW
and TWIN each manage a portion of the Wilshire Large Cap Core 130/30 Fund.
70
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
Wilshire continues to oversee the Sub-Advisers. The fees of the Sub-Advisers are
paid by Wilshire.
PFPC Inc. ("PFPC") serves as the Company's administrator and accounting agent
pursuant to a services agreement. PFPC Trust Company serves as the custodian for
all Portfolios except the Wilshire Large Cap Core 130/30 Fund. Custodial Trust
Company serves as the custodian for the Wilshire Large Cap Core 130/30 Fund.
The officers of the Company receive remuneration from the Adviser. The Company
does not pay any remuneration to its officers with the exception of the
Company's Chief Compliance Officer ("CCO"). The Company and Wilshire Variable
Insurance Trust each pay a portion of the CCO's compensation and related out of
pocket expenses, and the Adviser pays the remainder of such compensation.
Effective April 1, 2008, the Company and Wilshire Variable Insurance Trust
together pay each independent director an annual retainer of $14,000, an annual
additional Board Chair retainer of $12,000, a Board in-person meeting fee of
$1,500, a Board telephonic meeting fee of $1,000, an annual Committee Member
retainer of $4,000, an annual Committee Chairperson retainer of $8,000 in lieu
of the $4,000 Committee Member retainer, and a Committee telephonic meeting fee
of $500. Prior to April 1, 2008, the Company and the Wilshire Variable Insurance
Trust together paid each independent director an annual Board member retainer of
$10,000, an annual additional Board chair retainer of $16,000, a Board meeting
fee of $1,500, a telephonic meeting fee of $1,000, an annual Committee member
retainer of $4,000, an annual Committee chair retainer of $8,000 in lieu of the
$4,000 Committee member retainer, and a Committee telephonic meeting fee of
$500.
4. Distribution and Shareholder Services Plans.
The Directors of the Company have adopted shareholder services and/or
distribution plans (the "Plans") pursuant to Rule 12b-1 under the 1940 Act, with
respect to the Investment Class Shares of each Portfolio and the Qualified Class
Shares of the Dow Jones Wilshire 5000 Index Portfolio. Under the Plans, each
such Portfolio reimburses PFPC Distributors, Inc. (the "Distributor"), at an
annual rate of up to 0.25% of the value of the average daily net assets
attributable to the Investment Class Shares and Qualified Class Shares of each
Portfolio for certain service fees provided by securities dealers or other
financial intermediaries ("service fees") or for certain distribution expenses
for the purpose of financing any activity intended to result in the sale of
Investment Class Shares or Qualified Class Shares. For the six months ended June
30, 2008, the distribution and service fee expenses incurred for each such class
of the Large Company Growth Portfolio, Large Company Value Portfolio, Small
Company Growth Portfolio, Small Company Value Portfolio, Dow Jones Wilshire 5000
Index Portfolio and Wilshire Large Cap Core 130/30 Fund were 0.25%, 0.25%,
0.25%, 0.25%, 0.25% and 0.25% of average net assets, respectively.
In addition, Investment Class Shares and Institutional Class Shares pay the
expenses associated with certain shareholder servicing arrangements with third
parties, provided that payment of such fees to any such shareholder service
provider does not exceed in any year 0.20% and 0.15% for the Investment and
Institutional Class Shares, respectively, of the Portfolio's average net assets
attributable to the shares whose holders are serviced by such provider.
For the six-month period ended June 30, 2008, the shareholder service provider
fees were as follows (as a percent of average net assets of each class):
71
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENT CLASS INSTITUTIONAL CLASS
- --------- ---------------- -------------------
Large Company Growth Portfolio ....................... 0.15% 0.01%
Large Company Value Portfolio ........................ 0.08% 0.01%
Small Company Growth Portfolio ....................... 0.08% 0.09%
Small Company Value Portfolio ........................ 0.07% 0.02%
Dow Jones Wilshire 5000 Index Portfolio .............. 0.04% 0.00%
Wilshire Large Cap Core 130/30 Fund .................. 0.02% 0.00%
The Qualified Class Shares of the Dow Jones Wilshire 5000 Index Portfolio has
adopted a shareholder services plan which authorizes payments by the Qualified
Class Shares of up to 0.15% of the average daily net assets attributable to the
Portfolio's Qualified Class Shares for certain shareholder services provided by
Insurers or other financial intermediaries. For the six-month period ended June
30, 2008, the shareholder service provider fees for the Qualified Class Shares
were 0.15% of average net assets.
The Directors of the Company have adopted a shareholder services and
distribution plan pursuant to Rule 12b-1 with respect to the Horace Mann Class
Shares of the Dow Jones Wilshire 5000 Index Portfolio. Under such Plan, the
Company reimburses the Distributor for its shareholder service and distribution
payments at an annual rate of up to 0.35% of the value of the average daily net
assets of the Dow Jones Wilshire 5000 Index Portfolio attributable to the Horace
Mann Class Shares.
5. Securities Transactions.
For the six-month period ended June 30, 2008, aggregate cost of purchases and
proceeds from sales of securities, other than short-term investments, were as
follows:
PORTFOLIO PURCHASES SALES
- --------- ----------- -----------
Large Company Growth Portfolio .................... 237,799,717 284,646,797
Large Company Value Portfolio ..................... 29,145,353 41,173,295
Small Company Growth Portfolio .................... 7,347,346 8,534,282
Small Company Value Portfolio ..................... 8,011,899 12,478,946
Dow Jones Wilshire 5000 Index Portfolio ........... 31,782,767 39,273,368
Wilshire Large Cap Core 130/30 Fund ............... 26,811,218 19,894,086
For Wilshire Large Cap Core 130/30 Fund, short sales and purchases to cover were
$10,023,439 and $11,270,583, respectively.
ADOPTION OF STATEMENT OF FINANCIAL ACCOUNTING STANDARD NO. 157 "FAIR VALUE
MEASUREMENTS"("FAS 157"): In September 2006, the Financial Accounting Standards
Board ("FASB") issued FAS 157 effective for fiscal years beginning after
November 15, 2007. This standard clarifies the definition of fair value for
financial reporting,
72
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
establishes a framework for measuring fair value and requires additional
disclosures about the use of fair value measurements. The Portfolios have
adopted FAS 157 as of January 1, 2008. The three levels of the fair value
hierarchy under FAS 157 are described below:
o Level 1 - quoted prices in active markets for identical securities.
o Level 2 - other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.).
o Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The summary of inputs used to value the Portfolios' net assets as of June 30,
2008 is as follows:
LARGE LARGE SMALL SMALL
COMPANY COMPANY COMPANY COMPANY DOW JONES WILSHIRE
GROWTH VALUE GROWTH VALUE WILSHIRE 5000 LARGE CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO INDEX PORTFOLIO 130/30 FUND
------------- ------------ ------------ ------------ --------------- ------------
Level 1-Quoted Prices ............... $ 410,120,904 $ 51,925,428 $ 18,941,906 $ 22,584,142 $ 242,145,024 $ 28,927,990
Level 2-Other Significant
Observable Inputs ................. -- -- -- -- -- --
Level 3-Significant
Unobservable Inputs ............... -- -- -- -- -- --
------------- ------------ ------------ ------------ --------------- ------------
Total Market Value
of Investments .................... $ 410,120,904 $ 51,925,428 $ 18,941,906 $ 22,584,142 $ 242,145,024 $ 28,927,990
============= ============ ============ ============ =============== ============
6. Significant Shareholder Activity.
On June 30, 2008, the Portfolios had the following concentrations of
shareholders holding 10% or more of the outstanding shares of the Portfolios.
These represent omnibus shareholder accounts comprised of many individual
shareholders.
PORTFOLIO
- ---------
Large Company Growth Portfolio (1 omnibus shareholder) ............. 43%
Large Company Value Portfolio (2 omnibus shareholders) ............. 75%
Small Company Growth Portfolio (2 omnibus shareholders) ............ 78%
Small Company Value Portfolio (2 omnibus shareholders) ............. 60%
Dow Jones Wilshire 5000 Index Portfolio (3 omnibus shareholders) ... 67%
Wilshire Large Cap Core 130/30 Fund (3 omnibus shareholders) ....... 85%
73
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
7. Tax Information.
No provision for federal income taxes is required because each Portfolio intends
to qualify as a regulated investment company under Subchapter M of the Internal
Revenue Code of 1986, as amended, and distribute to shareholders all of its
taxable income and gains. Federal income tax regulations differ from accounting
principles generally accepted in the United States of America; therefore,
distributions determined in accordance with tax regulations may differ in amount
or character from net investment income and realized gains for financial
reporting purposes. Financial reporting records are adjusted for permanent
book/tax differences to reflect tax character. Financial records are not
adjusted for temporary differences.
Management has analyzed the Portfolios' tax positions taken on federal income
tax returns for all open tax years and has concluded that as of June 30, 2008,
no provision for income tax would be required in the Portfolios' financial
statements. The Portfolios' federal and state income and federal excise tax
returns for tax payers for which the applicable statutes of limitations have not
expired are subject to examination by the Internal Revenue Service and state
departments of revenue.
Under current tax law, capital and currency losses realized after October 31 may
be deferred and treated as occurring on the first day of the following fiscal
year. For the year ended December 31, 2007, the following Portfolios had
post-October capital loss deferrals as follows:
PORTFOLIO CAPITAL LOSSES
- --------- --------------
Large Company Value Portfolio ................................ $1,938,468
Wilshire Large Cap Core 130/30 Fund .......................... 10,573
The federal tax cost, unrealized appreciation and depreciation at June 30, 2008
for each Portfolio are as follows:
NET
UNREALIZED
TAX UNREALIZED UNREALIZED APPRECIATION
PORTFOLIO COST APPRECIATION DEPRECIATION (DEPRECIATION)
- --------- ------------ ------------ ------------ --------------
Large Company Growth Portfolio ............. $368,363,376 $ 61,700,490 $(19,942,962) $ 41,757,528
Large Company Value Portfolio .............. 53,945,175 4,328,874 (6,348,621) (2,019,747)
Small Company Growth Portfolio ............. 17,692,394 2,813,544 (1,564,139) 1,249,405
Small Company Value Portfolio .............. 23,427,976 2,606,301 (3,450,135) (843,834)
Dow Jones Wilshire 5000 Index Portfolio .... 205,082,602 60,161,126 (23,098,704) 37,062,422
Wilshire Large Cap Core 130/30 Fund ........ 30,006,273 1,408,452 (2,486,735) (1,078,283)
The Portfolios intend to retain realized gains to the extent of available
capital loss carryforwards. At December 31, 2007, the following Portfolios had
available for federal income tax purposes unused capital losses as follows:
74
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
EXPIRING DECEMBER 31,
-----------------------------------------------
PORTFOLIO 2010 2011 2012 2013
- --------- ---------- ---------- ---------- --------
Dow Jones Wilshire 5000 Index Portfolio ..... $2,983,227 $3,810,802 $5,509,772 $108,266
Capital loss carryforwards utilized in the current year were as follows:
PORTFOLIO
- ---------
Large Company Growth Portfolio ................................... $6,132,547
Doe Jones Wilshire 5000 Index Portfolio .......................... 4,957,039
The tax character of distributions paid were:
2007 2007 2007 2006 2006
ORDINARY CAPITAL RETURN OF ORDINARY CAPITAL
PORTFOLIO INCOME GAINS CAPITAL INCOME GAINS
- --------- ----------- ----------- --------- ---------- ----------
Large Company Growth Portfolio .............. $11,201,849 $71,125,453 $ -- $ -- $ --
Large Company Value Portfolio ............... 2,716,827 12,592,542 4,227 1,012,778 5,833,008
Small Company Growth Portfolio .............. 220,425 1,807,571 -- -- 1,099,689
Small Company Value Portfolio ............... 727,195 1,830,168 -- 543,566 2,017,669
Dow Jones Wilshire 5000 Index Portfolio ..... 3,931,706 -- -- 1,951,930 --
Wilshire Large Cap Core 130/30 Fund ......... 4,000 -- -- -- --
At December 31, 2007, the components of distributable accumulated
earnings/(losses) on a tax basis were as follows:
DOW JONES WILSHIRE
LARGE LARGE SMALL SMALL WILSHIRE LARGE CAP
COMPANY COMPANY COMPANY COMPANY 5000 CORE
GROWTH VALUE GROWTH VALUE INDEX 130/30
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO FUND
------------ ----------- ---------- --------- ------------ ---------
Undistributed ordinary income ................. $ 3,908,641 $ -- $ -- $ -- $ -- $ 10,197
Accumulated capital gain/(loss) ............... -- (1,938,468) 305,872 1,780 (12,412,067) (10,573)
Unrealized appreciation ....................... 101,409,465 2,714,631 1,790,837 820,463 53,023,682 223,179
------------ ----------- ---------- --------- ------------ ---------
Total accumulated earnings .................... $105,318,106 $ 776,163 $2,096,709 $ 822,243 $ 40,611,615 $ 222,803
------------ ----------- ---------- --------- ------------ ---------
The differences between book and tax-basis unrealized appreciation/depreciation
are attributable primarily to the tax deferral of losses on wash sales on all
Portfolios.
75
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WILSHIRE MUTUAL FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS - (CONTINUED) [LOGO]
JUNE 30, 2008 (UNAUDITED)
- --------------------------------------------------------------------------------
8. Reclassifications.
Accounting principles generally accepted in the United States of America require
that certain components of net assets be reclassified between financial and tax
reporting. These reclassifications have no effect on net assets or net asset
values per share. The permanent differences are primarily attributable to the
net realized gain on sale of partnerships, write-off of net operating losses and
the re-characterization of distributions. As of December 31, 2007, the
reclassifications were as follows:
INCREASE INCREASE/(DECREASE)
DECREASE UNDISTRIBUTED NET REALIZED
PORTFOLIO PAID-IN CAPITAL INVESTMENT INCOME CAPITAL GAINS
- --------- --------------- ----------------- -------------------
Large Company Growth Portfolio ............... $ -- $918,024 $(918,024)
Large Company Value Portfolio ................ (4,227) 5,320 (1,093)
Small Company Growth Portfolio ............... (47,240) 82,010 (34,770)
Small Company Value Portfolio ................ -- 23,269 (23,269)
Dow Jones Wilshire 5000 Index Portfolio ...... (100,032) 71,357 28,675
Wilshire Large Cap Core 130/30 Fund .......... (5,344) 7,577 (2,233)
9. Indemnifications.
In the normal course of business, the Company, on behalf of the Portfolios
enters into contracts that provide general indemnifications. The Portfolios'
maximum exposure under these arrangements is dependent on claims that may be
made against the Portfolios in the future and, therefore, cannot be estimated;
however, based on experience, the risk of material loss from such claims is
considered remote.
10. Subsequent Events.
Effective July 14, 2008, SEI Investments Global Funds Services serves as the
Company's administrator and accounting agent pursuant to an admimistration
agreement dated May 31, 2008.
Effective July 14, 2008, DST Systems, Inc. serves as the Company's transfer
agent and dividend disbursing agent.
Effective July 14, 2008, SEI Investments Distribution Co. serves as the
Company's distributor.
76
- --------------------------------------------------------------------------------
WILSHIRE MUTUAL FUNDS, INC.
ADDITIONAL FUND INFORMATION [LOGO]
- --------------------------------------------------------------------------------
INFORMATION ON PROXY VOTING
The Securities and Exchange Commission ("SEC") has adopted the requirement that
all funds file their complete proxy voting records with the SEC on an annual
basis on Form N-PX. Such filing, for the 12-month period ended June 30, must be
made no later than August 31 of each year.
A description of policies and procedures that the Portfolios use to determine
how to vote proxies relating to portfolio securities, along with each
Portfolio's proxy voting record relating to portfolio securities held during
most recent 12-month period ended June 30 is available at no charge, upon
request by calling 1-888-200-6796, by e-mailing us at www.wilfunds.com or on the
SEC's website at http://www.sec.gov.
INFORMATION ON FORM N-Q
The Company files its complete schedule of portfolio holdings with the SEC for
the first and third quarters of each fiscal year on Form N-Q within sixty days
after the end of period. The Company's Form N-Q is available on the SEC's
website at http://www.sec.gov, and may be reviewed and copied at the SEC's
Public Reference Room in Washington, DC. Information on the operation of the
Public Reference Room may be obtained by calling 1-202-551-8090.
77
[LOGO] WILSHIRE MUTUAL FUNDS
Wilshire Associates Incorporated
1299 Ocean Avenue
Santa Monica, CA 90401
1-888-200-6796
www.wilfunds.com
WIL-SA-002-0100
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
The Schedules of Investments in securities of unaffiliated issuers as of the
close of the reporting period for the Dow Jones Wilshire 5000 Index Portfolio,
the Large Company Growth Portfolio, the Large Company Value Portfolio, the Small
Company Growth Portfolio and the Small Company Value Portfolio are listed below.
The Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period for the Wilshire Large Cap Core 130/30 Fund is
included as part of the report to shareholders filed under Item 1 of this form.
Large Company Value Portfolio
Shares Value
- ---------- --------------
COMMON STOCK -- 97.0%
CONSUMER DISCRETIONARY -- 8.3%
2,000 Advance Auto Parts, Inc. ........................ $ 77,660
6,400 Autoliv, Inc. SDR(a) ............................ 298,368
9,400 Blockbuster, Inc., Class B + .................... 18,988
-- Chipotle Mexican Grill, Inc., Class B + (a) ..... --
5,700 Comcast Corp. Special, Class A .................. 108,129
-- Cooper Tire & Rubber Co. ........................ --
-- CROCS, Inc. + (a) ............................... --
-- DeVry, Inc.(a) .................................. --
10,000 Exide Technologies + ............................ 167,600
4,700 Expedia, Inc. + ................................. 86,386
8,100 Hanesbrands, Inc. + ............................. 219,834
13,400 Home Depot, Inc. (The) .......................... 313,828
2,300 J.C. Penney Co., Inc. ........................... 83,467
4,600 Lennar Corp., Class A ........................... 56,764
5,657 Liberty Media Corp. - Capital + ................. 81,461
3,300 Macy's, Inc. .................................... 64,086
3,925 Magna International, Inc., Class A(a) ........... 232,517
14,300 McDonald's Corp. ................................ 803,945
-- NetFlix, Inc. + (a) ............................. --
1,300 Nike, Inc., Class B ............................. 77,493
-- priceline.com, Inc. + (a) ....................... --
7,800 Quiksilver, Inc. + .............................. 76,596
4,400 RadioShack Corp. ................................ 53,988
-- Red Robin Gourmet Burgers, Inc. + (a) ........... --
-- Scientific Games Corp., Class A + (a) ........... --
1,300 Shiloh Industries, Inc. ......................... 12,207
3,300 Snap-On, Inc. ................................... 171,633
4,843 Standard Motor Products, Inc. ................... 39,519
-- Syntax-Brillian Corp. + (a) ..................... --
1,500 Tiffany & Co. ................................... 61,125
8,000 TJX Cos., Inc. .................................. 251,760
-- Under Armour, Inc., Class A + (a) ............... --
2,100 VF Corp. ........................................ 149,478
4,800 Walt Disney Co. (The) ........................... 149,760
4,675 Whirlpool Corp.(a) .............................. 288,588
--------------
3,945,180
--------------
CONSUMER STAPLES -- 9.8%
21,200 Altria Group, Inc. .............................. 435,872
3,727 Bunge, Ltd.(a) .................................. 401,360
-- Cal-Maine Foods, Inc.(a) ........................ --
2,900 Coca-Cola Co. (The) ............................. 150,742
5,500 CVS ............................................. 217,635
2,557 Fresh Del Monte Produce, Inc. + ................. 60,268
-- Green Mountain Coffee Roasters, Inc. + (a) ...... --
4,025 Kimberly-Clark Corp. ............................ 240,615
9,450 Kraft Foods, Inc., Class A ...................... 268,853
23,900 Kroger Co. (The) ................................ 689,993
10,159 Omega Protein Corp. + ........................... 151,877
17,700 Philip Morris International, Inc. ............... 874,203
3,000 Procter & Gamble Co. ............................ 182,430
16,700 Safeway, Inc. ................................... 476,785
16,550 Sara Lee Corp. .................................. 202,738
5,400 Wal-Mart Stores, Inc. ........................... 303,480
--------------
4,656,851
--------------
ENERGY -- 16.6%
-- Alon USA Energy, Inc.(a) ........................ --
8,000 Anadarko Petroleum Corp. ........................ 598,720
200 Apache Corp. .................................... 27,800
2,100 ATP Oil & Gas Corp. + (a) ....................... 82,887
4,375 BP PLC ADR ...................................... 304,369
12,700 Chevron Corp. ................................... 1,258,951
1,500 Cimarex Energy Co. .............................. 104,505
12,100 ConocoPhillips .................................. 1,142,119
Shares Value
- ---------- --------------
ENERGY -- 16.6% (CONTINUED)
-- Delta Petroleum Corp. + (a) ..................... $ --
5,900 El Paso Corp. ................................... 128,266
-- Endeavour International Corp. + (a) ............. --
-- Evergreen Energy, Inc. + (a) .................... --
18,600 Exxon Mobil Corp. ............................... 1,639,218
-- GMX Resources, Inc. + (a) ....................... --
-- Goodrich Petroleum Corp. + (a) .................. --
17,400 Marathon Oil Corp. .............................. 902,538
-- McMoRan Exploration Co. + (a) ................... --
1,300 Noble Energy, Inc. .............................. 130,728
-- Nova Biosource Fuels, Inc. + (a) ................ --
13,200 Occidental Petroleum Corp. ...................... 1,186,152
5,700 Patterson-UTI Energy, Inc. ...................... 205,428
-- VeraSun Energy Corp. + (a) ...................... --
-- Western Refining, Inc.(a) ....................... --
4,300 Williams, Inc. .................................. 173,333
--------------
7,885,014
--------------
FINANCIALS -- 21.7%
-- Alexandria Real Estate Equities, Inc. (a) ....... --
9,725 Allstate Corp. (The) ............................ 443,363
200 American Financial Group, Inc. .................. 5,350
600 Ameriprise Financial, Inc. ...................... 24,402
7,000 Annaly Capital Management, Inc. ................. 108,570
3,700 AON Corp. ....................................... 169,978
1,300 Arch Capital Group, Ltd. + ...................... 86,216
1,900 Assurant, Inc. .................................. 125,324
3,100 Asta Funding, Inc.(a) ........................... 28,086
25,400 Bank of America Corp. ........................... 606,298
4,200 Bank of New York Mellon Corp. (The) ............. 158,886
8,900 BB&T Corp. ...................................... 202,653
12,950 Capital One Financial Corp.(a) .................. 492,230
28,675 Citigroup, Inc. ................................. 480,593
520 Citizens Republic Bancorp, Inc.(a) .............. 1,466
6,825 Comerica, Inc. .................................. 174,925
4,300 Corus Bankshares, Inc.(a) ....................... 17,888
27,100 Discover Financial Services ..................... 356,907
5,000 Evercore Partners, Inc., Class A ................ 47,500
14,700 Fannie Mae ...................................... 286,797
10,564 Fidelity National Financial, Inc., Class A ...... 133,106
2,644 First Merchants Corp. ........................... 47,989
23,675 Freddie Mac ..................................... 388,270
1,200 Goldman Sachs Group, Inc. (The) ................. 209,880
2,200 Hartford Financial Services Group, Inc. ......... 142,054
6,600 Interactive Brokers Group, Inc., Class A + (a) .. 212,058
4,800 Invesco, Ltd. ................................... 115,104
20,375 JPMorgan Chase & Co. ............................ 699,066
7,875 Lehman Brothers Holdings, Inc. .................. 156,004
9,575 Morgan Stanley .................................. 345,370
16,375 National City Corp.(a) .......................... 78,109
11,300 New York Community Bancorp, Inc. ................ 201,592
3,200 Northern Trust Corp. ............................ 219,424
-- NorthStar Realty Finance Corp. (a) .............. --
3,000 OceanFirst Financial Corp. ...................... 54,150
Large Company Value Portfolio
3,867 PartnerRe, Ltd. ................................. 267,326
3,900 Prologis ........................................ 211,965
9,900 State Street Corp. .............................. 633,501
6,175 Torchmark Corp. ................................. 362,164
23,300 Travelers Cos., Inc. (The) ...................... 1,011,219
7,900 Unum Group ...................................... 161,555
12,125 Wachovia Corp.(a) ............................... 188,301
13,125 Washington Mutual, Inc.(a) ...................... 64,706
20,000 Wells Fargo & Co.(a) ............................ 475,000
-- Westamerica Bancorporation(a) ................... --
4,935 XL Capital, Ltd., Class A ....................... 101,464
--------------
10,296,809
--------------
Shares Value
- ---------- --------------
HEALTH CARE -- 9.9%
4,900 Aetna, Inc. ..................................... $ 198,597
-- Affymetrix, Inc. + (a) .......................... --
-- Altus Pharmaceuticals, Inc. + (a) ............... --
-- AMAG Pharmaceuticals, Inc. + (a) ................ --
8,325 AmerisourceBergen Corp., Class A ................ 332,917
11,250 Amgen, Inc. + ................................... 530,550
-- Arena Pharmaceuticals, Inc. + (a) ............... --
3,600 Biogen Idec, Inc. + ............................. 201,204
6,200 Boston Scientific Corp. + ....................... 76,198
14,675 Bristol-Myers Squibb Co. ........................ 301,278
-- Cell Genesys, Inc. + (a) ........................ --
-- Conceptus, Inc. + (a) ........................... --
-- CytRx Corp. + (a) ............................... --
15,500 Eli Lilly & Co. ................................. 715,480
-- GenVec, Inc. + (a) .............................. --
-- Geron Corp. + (a) ............................... --
-- GTx, Inc. + (a) ................................. --
-- Hythiam, Inc. + (a) ............................. --
-- Illumina, Inc. + (a) ............................ --
-- Immunomedics, Inc. + (a) ........................ --
-- Integra LifeSciences Holdings Corp. + (a) ....... --
-- InterMune, Inc. + (a) ........................... --
-- Inverness Medical Innovations, Inc. + (a) ....... --
8,900 Invitrogen Corp. + .............................. 349,414
-- Isis Pharmaceuticals, Inc. + (a) ................ --
-- Javelin Pharmaceuticals, Inc. + (a) ............. --
7,675 Johnson & Johnson ............................... 493,810
-- MannKind Corp. + (a) ............................ --
-- Mentor Corp.(a) ................................. --
-- Molina Healthcare, Inc. + (a) ................... --
-- Onyx Pharmaceuticals, Inc. + (a) ................ --
-- Penwest Pharmaceuticals Co. + (a) ............... --
-- Perrigo Co.(a) .................................. --
65,600 Pfizer, Inc. .................................... 1,146,031
-- Progenics Pharmaceuticals, Inc. + (a) ........... --
15,000 Repligen Corp. + ................................ 70,800
-- Savient Pharmaceuticals, Inc. + (a) ............. --
6,200 Schering-Plough Corp. ........................... 122,078
-- SonoSite, Inc. + (a) ............................ --
7,400 UnitedHealth Group, Inc. ........................ 194,250
-- Zymogenetics, Inc. + (a) ........................ --
--------------
4,732,607
--------------
INDUSTRIALS -- 6.5%
-- AGCO Corp. + (a) ................................ --
-- American Commercial Lines, Inc. + (a) ........... --
-- Briggs & Stratton Corp.(a) ...................... --
4,200 CNH Global NV ................................... 142,674
500 CSX Corp. ....................................... 31,405
1,200 Cummins, Inc. ................................... 78,624
2,700 Eaton Corp. ..................................... 229,418
-- EnerNOC, Inc. + (a) ............................. --
5,402 Excel Maritime Carriers, Ltd.(a) ................ 212,029
-- General Cable Corp. + (a) ....................... --
-- H&E Equipment Services, Inc. + (a) .............. --
1,300 Harsco Corp. .................................... 70,733
3,900 Hawaiian Holdings, Inc. + ....................... 27,105
11,100 Honeywell International, Inc. ................... 558,108
1,200 Interline Brands, Inc. + ........................ 19,116
2,200 International Shipholding Corp. + ............... 51,568
-- Middleby Corp. + (a) ............................ --
4,475 Northrop Grumman Corp. .......................... 299,378
9,250 Parker Hannifin Corp. ........................... 659,709
-- Rollins, Inc. ................................... --
1,000 Ryder System, Inc. .............................. 68,880
650 SPX Corp. ....................................... 85,625
-- Sunpower Corp., Class A + (a) ................... --
550 Tecumseh Products Co., Class B + ................ 15,956
Shares Value
- ---------- --------------
INDUSTRIALS -- 6.5% (CONTINUED)
448 Tecumseh Products Co., Class A + ................ $ 14,685
3,500 Terex Corp. + ................................... 179,795
-- TransDigm Group, Inc. + (a) ..................... --
1,775 Tyco International, Ltd. ........................ 71,071
-- Ultrapetrol Bahamas, Ltd. + (a) ................. --
2,000 Union Pacific Corp. ............................. 151,000
1,500 Walter Industries, Inc. ......................... 163,155
--------------
3,130,034
--------------
INFORMATION TECHNOLOGY -- 9.8%
5,000 Affiliated Computer Services, Inc., Class A + ... 267,450
88,600 Alcatel-Lucent ADR + ............................ 535,144
17,400 Amkor Technology, Inc. + ........................ 181,134
-- Anixter International, Inc. + (a) ............... --
-- Bankrate, Inc. + (a) ............................ --
15,925 CA, Inc. ........................................ 367,708
4,800 Computer Sciences Corp. + ....................... 224,832
3,000 Corning, Inc. ................................... 69,150
-- Earthlink, Inc. + (a) ........................... --
-- Factset Research Systems, Inc.(a) ............... --
-- Finisar Corp. + (a) ............................. --
-- GSI Commerce, Inc. + (a) ........................ --
10,900 Hewlett-Packard Co. ............................. 481,889
2,600 Integrated Silicon Solution, Inc. + ............. 14,456
-- Internap Network Services Corp. + (a) ........... --
7,500 International Business Machines Corp. ........... 888,975
-- Itron, Inc. + (a) ............................... --
-- Marchex, Inc., Class B(a) ....................... --
1,800 MEMC Electronic Materials, Inc. + ............... 110,772
37,950 Microsoft Corp. ................................. 1,044,005
7,600 Motorola, Inc. .................................. 55,784
-- Multi-Fineline Electronix, Inc. + (a) ........... --
4,400 National Semiconductor Corp. .................... 90,376
-- Netlogic Microsystems, Inc. + (a) ............... --
-- Omniture, Inc. + (a) ............................ --
-- Omnivision Technologies, Inc. + (a) ............. --
4,000 PC Connection, Inc. + ........................... 37,240
-- Quality Systems, Inc.(a) ........................ --
-- SAVVIS, Inc. + (a) .............................. --
-- SiRF Technology Holdings, Inc. + (a) ............ --
-- Sonus Networks, Inc. + (a) ...................... --
-- Synaptics, Inc. + (a) ........................... --
-- Terremark Worldwide, Inc. + (a) ................. --
Large Company Value Portfolio
2,800 TTM Technologies, Inc. + ........................ 36,988
6,200 Tyco Electronics, Ltd. .......................... 222,084
3,200 United Online, Inc. ............................. 32,096
-- Utstarcom, Inc. + (a) ........................... --
-- Vasco Data Security International, Inc. + (a) ... --
-- VistaPrint, Ltd. + (a) .......................... --
--------------
4,660,083
--------------
MATERIALS -- 6.8%
2,700 Alcoa, Inc. ..................................... 96,174
5,200 Celanese Corp., Ser A ........................... 237,432
3,900 CF Industries Holdings, Inc.(a) ................. 595,920
-- Coeur d'Alene Mines Corp. + (a) ................. --
4,000 Eastman Chemical Co.(a) ......................... 275,440
4,300 EI Du Pont de Nemours & Co. ..................... 184,427
-- Flotek Industries, Inc. + (a) ................... --
2,300 Freeport-McMoRan Copper & Gold, Inc. ............ 269,537
2,800 Mosaic Co. (The) + .............................. 405,160
1,800 Nucor Corp. ..................................... 134,406
2,100 Terra Industries, Inc. .......................... 103,635
-- Texas Industries, Inc.(a) ....................... --
5,000 United States Steel Corp. ....................... 923,900
--------------
3,226,031
--------------
Shares Value
- ---------- --------------
TELECOMMUNICATION SERVICES -- 2.9%
-- Alaska Communications Systems Group, Inc.(a) .... $ --
21,400 AT&T, Inc. ...................................... 720,966
3,700 CenturyTel, Inc. ................................ 131,683
3,800 Embarq Corp. .................................... 179,626
396 Telephone & Data Systems, Inc. .................. 18,719
8,900 Verizon Communications, Inc. .................... 315,060
--------------
1,366,054
--------------
UTILITIES -- 4.7%
9,200 American Electric Power Co., Inc. ............... 370,116
3,800 Edison International ............................ 195,244
15,300 Mirant Corp. + (a) .............................. 598,995
6,800 Northeast Utilities ............................. 173,604
1,900 NRG Energy, Inc. + .............................. 81,510
-- Ormat Technologies, Inc.(a) ..................... --
4,975 Sempra Energy ................................... 280,839
30,200 Star Gas Partners, LP + ......................... 84,258
6,150 Wisconsin Energy Corp.(a) ....................... 278,103
7,500 Xcel Energy, Inc. ............................... 150,525
--------------
2,213,194
--------------
Total Common Stock (Cost $48,131,604) 46,111,857
--------------
MONEY MARKET FUND -- 12.3%
5,813,571 PNC Institutional Money Market Trust (b)(c) ..... 5,813,571
--------------
Total Money Market Fund (Cost $5,813,571) 5,813,571
--------------
Total Investments -- 109.3%
(Cost $53,945,175) 51,925,428
Other Assets & Liabilities, Net -- (9.3)% (4,402,994)
--------------
NET ASSETS -- 100.0% $ 47,522,434
==============
ADR -- American Depositary Receipt
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents the seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Amounts designated as "--" are either $0 or have been rounded to $0.
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
COMMON STOCK -- 99.5%
CONSUMER DISCRETIONARY -- 8.7%
300 1-800-FLOWERS.COM, Inc., Class A + .............. $ 1,935
200 4Kids Entertainment, Inc. + ..................... 1,482
100 99 Cents Only Stores + .......................... 660
250 Aaron Rents, Inc.(a) ............................ 5,583
900 Abercrombie & Fitch Co., Class A ................ 56,412
300 Acme United Corp. ............................... 4,200
1,500 Advance Auto Parts, Inc. ........................ 58,245
825 Aeropostale, Inc. + ............................. 25,847
100 AFC Enterprises + ............................... 799
590 AH Belo Corp., Class A .......................... 3,363
2,200 Aldila, Inc. .................................... 12,606
4,600 Amazon.com, Inc. + (a) .......................... 337,318
400 Ambassadors Group, Inc. ......................... 5,968
1,500 Ambassadors International, Inc. ................. 6,570
1,500 American Apparel, Inc. + (a) .................... 9,975
1,300 American Axle & Manufacturing Holdings, Inc. .... 10,387
2,725 American Eagle Outfitters, Inc. ................. 37,142
450 American Greetings Corp., Class A ............... 5,553
700 America's Car-Mart, Inc. + (a) .................. 12,544
450 Ameristar Casinos, Inc.(a) ...................... 6,219
2,450 AnnTaylor Stores Corp. + ........................ 58,702
2,850 Apollo Group, Inc., Class A + ................... 126,140
2,550 ArvinMeritor, Inc. .............................. 31,824
100 Ashworth, Inc. + ................................ 349
100 ATC Technology Corp. + .......................... 2,328
3,350 AutoNation, Inc. + (a) .......................... 33,567
1,300 Bally Technologies, Inc. + ...................... 43,940
-- Barnes & Noble, Inc. ............................ --
900 Bebe Stores, Inc. ............................... 8,649
4,025 Bed Bath & Beyond, Inc. + (a) ................... 113,103
2,950 Belo Corp., Class A ............................. 21,565
5,600 Best Buy Co., Inc. .............................. 221,759
200 Big 5 Sporting Goods Corp. ...................... 1,514
1,300 Big Lots, Inc. + ................................ 40,612
600 Black & Decker Corp. ............................ 34,506
1,100 Blockbuster, Inc., Class A + (a) ................ 2,750
50 Blue Nile, Inc. + ............................... 2,126
800 Bluegreen Corp. + ............................... 4,840
550 Blyth, Inc. ..................................... 6,617
400 Bon-Ton Stores, Inc. (The)(a) ................... 2,088
600 Books-A-Million, Inc., Class A .................. 4,596
400 Borders Group, Inc.(a) .......................... 2,400
1,280 BorgWarner, Inc. ................................ 56,806
500 Boyd Gaming Corp.(a) ............................ 6,280
1,375 Brinker International, Inc. ..................... 25,988
1,500 Brookfield Homes Corp.(a) ....................... 18,420
1,500 Brown Shoe Co., Inc. ............................ 20,325
2,500 Brunswick Corp. ................................. 26,500
1,500 Buckle, Inc. (The) .............................. 68,595
1,800 Burger King Holdings, Inc. ...................... 48,222
1,500 Cabela's, Inc. + (a) ............................ 16,515
3,425 Cablevision Systems Corp., Class A + (a) ........ 77,405
200 Cache, Inc. + ................................... 2,140
400 California Coastal Communities, Inc. + .......... 1,528
375 California Pizza Kitchen, Inc. + ................ 4,196
500 Callaway Golf Co. ............................... 5,915
-- Capella Education Co. + ......................... --
1,350 Career Education Corp. + (a) .................... 19,724
900 Caribou Coffee Co., Inc. + ...................... 1,629
3,055 Carmax, Inc. + (a) .............................. 43,350
6,400 Carnival Corp.(a) ............................... 210,944
550 Carter's, Inc. + ................................ 7,601
9,337 CBS Corp., Class B .............................. 181,978
3,400 Centex Corp. .................................... 45,458
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
300 Champion Enterprises, Inc. + .................... $ 1,755
362 Charles & Colvard, Ltd. + ....................... 405
1,450 Charming Shoppes, Inc. + ........................ 6,656
2,550 Cheesecake Factory (The) + ...................... 40,571
4,650 Chico's FAS, Inc. + ............................. 24,971
1,300 Cinemark Holdings, Inc.(a) ...................... 16,978
5,975 Circuit City Stores, Inc.(a) .................... 17,268
2,299 Citadel Broadcasting Corp. + .................... 2,805
50 Citi Trends, Inc. + ............................. 1,133
1,700 CKE Restaurants, Inc. ........................... 21,199
1,200 CKX, Inc. + ..................................... 10,500
6,487 Clear Channel Communications, Inc. .............. 228,342
5,400 Coach, Inc. + (a) ............................... 155,952
600 Coachmen Industries, Inc. ....................... 1,272
100 Cobra Electronics Corp. ......................... 273
1,150 Coldwater Creek, Inc. + (a) ..................... 6,072
550 Collective Brands, Inc. + (a) ................... 6,397
100 Collectors Universe ............................. 811
43,783 Comcast Corp. Special, Class A .................. 830,563
1,200 Comstock Homebuilding, Inc., Class A + (a) ...... 432
500 Conn's, Inc. + (a) .............................. 8,035
2,000 Cooper Tire & Rubber Co. ........................ 15,680
2,350 Corinthian Colleges, Inc. + ..................... 27,284
1,100 Cox Radio, Inc., Class A + ...................... 12,980
700 CROCS, Inc. + (a) ............................... 5,607
1,700 Crown Media Holdings, Inc., Class A + (a) ....... 8,058
550 CSK Auto Corp. + ................................ 5,764
50 CSS Industries, Inc. ............................ 1,211
800 Cumulus Media, Inc., Class A + .................. 3,152
1,500 Dana Holding Corp. + ............................ 8,025
1,500 Darden Restaurants, Inc. ........................ 47,910
50 Deckers Outdoor Corp. + ......................... 6,960
200 DEI Holdings, Inc. + ............................ 340
100 Design Within Reach, Inc. + ..................... 348
1,575 DeVry, Inc.(a) .................................. 84,451
1,300 Dick's Sporting Goods, Inc. + ................... 23,062
600 Dillard's, Inc., Class A(a) ..................... 6,942
9,827 DIRECTV Group, Inc. (The) + ..................... 254,618
4,000 Discovery Holding Co., Class A + ................ 87,840
3,525 DISH Network Corp., Class A + ................... 103,212
100 Dixie Group, Inc. + ............................. 658
2,750 Dollar Tree, Inc. + ............................. 89,898
1,350 Domino's Pizza, Inc. + (a) ...................... 15,525
2,150 Dover Downs Gaming & Entertainment, Inc. ........ 13,803
5,723 DR Horton, Inc.(a) .............................. 62,095
1,500 DreamWorks Animation SKG, Inc., Class A + ....... 44,715
1,300 Dress Barn, Inc. + .............................. 17,394
1,500 DSW, Inc., Class A + ............................ 17,670
4,125 Eastman Kodak Co. ............................... 59,524
1,500 Einstein Noah Restaurant Group, Inc. + .......... 16,605
719 Emmis Communications Corp., Class A + ........... 1,812
800 Empire Resorts, Inc. + (a) ...................... 2,344
750 Entercom Communications Corp., Class A .......... 5,265
2,600 Entravision Communications Corp., Class A + ..... 10,452
1,100 EW Scripps Co., Class A ......................... 45,694
3,100 Exide Technologies + ............................ 51,956
2,815 Expedia, Inc. + ................................. 51,740
1,300 Family Dollar Stores, Inc.(a) ................... 25,922
200 Famous Dave's of America, Inc. + ................ 1,540
1,500 Federal Mogul Corp. + ........................... 24,195
100 Finish Line (The), Class A ...................... 870
900 Fleetwood Enterprises, Inc. + (a) ............... 2,358
4,600 Foot Locker, Inc. ............................... 57,270
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
33,935 Ford Motor Co. + (a) ............................ $ 163,227
2,800 Fortune Brands, Inc. ............................ 174,747
300 Forward Industries, Inc. + ...................... 804
1,400 Fossil, Inc. + .................................. 40,698
200 Fred's, Inc., Class A ........................... 2,248
700 Furniture Brands International, Inc.(a) ......... 9,352
700 Gaiam, Inc., Class A + (a) ...................... 9,457
1,725 GameStop Corp., Class A + ....................... 69,690
600 Gaming Partners International Corp. + ........... 2,328
3,300 Gannett Co., Inc. ............................... 71,511
8,550 Gap, Inc. (The) ................................. 142,529
2,625 Garmin, Ltd.(a) ................................. 112,454
300 Gaylord Entertainment Co. + (a) ................. 7,188
7,320 General Motors Corp.(a) ......................... 84,180
1,810 Gentex Corp. .................................... 26,136
3,000 Genuine Parts Co. ............................... 119,040
750 Getty Images, Inc. + ............................ 25,448
4,975 Goodyear Tire & Rubber Co. (The) + (a) .......... 88,704
1,000 Gray Television, Inc. ........................... 2,870
1,800 Great Wolf Resorts, Inc. + ...................... 7,866
1,300 Guess ?, Inc. ................................... 48,685
5,060 H&R Block, Inc. ................................. 108,283
100 Handleman Co. + (a) ............................. 180
1,196 Hanesbrands, Inc. + (a) ......................... 32,459
3,775 Harley-Davidson, Inc. ........................... 136,882
1,600 Harman International Industries, Inc. ........... 66,224
1,500 Harte-Hanks, Inc. ............................... 17,175
1,900 Hasbro, Inc. .................................... 67,868
1,500 Hearst-Argyl Television ......................... 28,800
700 Helen of Troy, Ltd. + ........................... 11,284
200 Hibbett Sports, Inc. + .......................... 4,220
300 Hillenbrand, Inc. ............................... 6,420
1,500 HNI Corp. ....................................... 26,490
25,100 Home Depot, Inc. (The) .......................... 587,841
700 Hooker Furniture Corp. .......................... 12,124
100 HOT Topic, Inc. + ............................... 541
1,500 Hovnanian Enterprises, Inc., Class A + .......... 8,220
2,715 IAC/InterActiveCorp + ........................... 52,345
1,500 ICF International + ............................. 24,930
450 Iconix Brand Group, Inc. + (a) .................. 5,436
1,899 Idearc, Inc.(a) ................................. 4,463
100 Infosonics Corp. + .............................. 75
4,450 International Game Technology ................... 111,161
237 International Speedway Corp., Class A ........... 9,250
8,742 Interpublic Group, Inc. + ....................... 75,181
1,300 J. Crew Group, Inc. + (a) ....................... 42,913
3,592 J.C. Penney Co., Inc. ........................... 130,354
2,400 Jack in the Box, Inc. + (a) ..................... 53,784
775 Jackson Hewitt Tax Service, Inc. ................ 9,471
1,124 Jarden Corp. + (a) .............................. 20,502
300 John Wiley & Sons, Inc., Class A ................ 13,509
10,400 Johnson Controls, Inc. .......................... 298,272
1,378 Jones Apparel Group, Inc. ....................... 18,948
1,100 Journal Communications, Inc., Class A ........... 5,302
900 Journal Register Co.(a) ......................... 162
700 KB Home(a) ...................................... 11,851
200 Kenneth Cole Productions, Inc., Class A ......... 2,540
50 Knology, Inc. + ................................. 550
4,400 Kohl's Corp. + .................................. 176,175
300 Krispy Kreme Doughnuts, Inc. + .................. 1,497
550 K-Swiss, Inc., Class A .......................... 8,085
200 Lakes Entertainment, Inc. + (a) ................. 1,316
500 Lamar Advertising Co., Class A + (a) ............ 18,015
1,200 Las Vegas Sands Corp. + (a) ..................... 56,928
700 La-Z-Boy, Inc. .................................. 5,355
600 Leapfrog Enterprises, Inc., Class A + ........... 4,992
3,050 Lear Corp. + .................................... 43,249
500 Learning Tree International, Inc. + ............. 8,550
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
750 Lee Enterprises, Inc.(a) ........................ $ 2,993
2,410 Leggett & Platt, Inc. ........................... 40,416
3,600 Lennar Corp., Class A(a) ........................ 44,424
500 Lenox Group, Inc. + (a) ......................... 130
1,500 Libbey, Inc. .................................... 11,160
5,551 Liberty Global, Inc., Class A + ................. 174,468
3,535 Liberty Media Corp. - Capital + ................. 50,904
7,940 Liberty Media Corp. - Entertainment, Ser A,
Class A + ....................................... 192,386
9,375 Liberty Media Corp. - Interactive, Class A + .... 138,375
2,200 Lifetime Brands, Inc.(a) ........................ 17,930
1,200 LIN TV Corp., Class A + ......................... 7,152
200 Lincoln Educational Services Corp. + ............ 2,326
898 Live Nation, Inc. + ............................. 9,501
1,500 Liz Claiborne, Inc.(a) .......................... 21,225
2,800 LKQ Corp. + ..................................... 50,596
1,500 Lodgian, Inc. + ................................. 11,745
22,081 Lowe's Cos., Inc. ............................... 458,180
4,240 Ltd. Brands, Inc. ............................... 71,444
600 M/I Homes, Inc. ................................. 9,438
6,398 Macy's, Inc. .................................... 124,249
-- Marcus Corp. .................................... --
700 Marine Products Corp. ........................... 4,620
4,725 Marriott International, Inc., Class A ........... 123,984
900 Martha Stewart Living Omnimedia, Class A + (a) .. 6,660
400 Marvel Entertainment, Inc. + .................... 12,856
5,130 Mattel, Inc. .................................... 87,825
100 Matthews International Corp., Class A ........... 4,526
996 McClatchy Co., Class A(a) ....................... 6,753
17,200 McDonald's Corp. ................................ 966,983
4,900 McGraw-Hill Cos., Inc. (The)(a) ................. 196,588
371 MDC Holdings, Inc. .............................. 14,491
500 Media General, Inc., Class A(a). ................ 5,975
967 Mediacom Communications Corp., Class A + ........ 5,164
529 Men's Wearhouse, Inc. (The) ..................... 8,617
650 Meritage Homes Corp. + .......................... 9,861
900 MGM Mirage + (a) ................................ 30,501
677 Mohawk Industries, Inc. + (a) ................... 43,396
1,600 Monarch Casino & Resort, Inc. + ................. 18,880
650 Morgans Hotel Group Co. + (a) ................... 6,695
800 Morton's Restaurant Group, Inc. + ............... 5,504
1,700 MTR Gaming Group, Inc. + ........................ 8,109
2,100 Multimedia Games, Inc. + (a) .................... 9,282
50 Nautilus, Inc. .................................. 254
100 Navarre Corp. + ................................. 164
700 NetFlix, Inc. + (a) ............................. 18,249
1,400 New York & Co., Inc. + .......................... 12,782
1,800 New York Times Co., Class A(a) .................. 27,702
3,826 Newell Rubbermaid, Inc. ......................... 64,239
35,338 News Corp., Class A ............................. 531,484
200 NexCen Brands, Inc. + (a) ....................... 112
200 Nexstar Broadcasting Group, Inc., Class A + ..... 818
5,000 Nike, Inc., Class B.............................. 298,050
1,400 Nitches, Inc. + ................................. 1,358
1,700 Noble International, Ltd.(a) .................... 7,599
2,800 Nordstrom, Inc. ................................. 84,840
-- NutriSystem, Inc.(a) ............................ --
5,225 Office Depot, Inc. + ............................ 57,162
600 OfficeMax, Inc. ................................. 8,340
4,300 Omnicom Group, Inc. ............................. 192,984
1,900 Orbitz Worldwide, Inc. + ........................ 9,519
2,325 O'Reilly Automotive, Inc. + ..................... 51,964
650 Orleans Homebuilders, Inc.(a) ................... 2,379
500 Outdoor Channel Holdings, Inc. + (a) ............ 3,490
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
300 Overstock.com, Inc. + .......................... $ 7,785
50 Oxford Industries, Inc. ......................... 958
700 Pacific Sunwear of California + ................. 5,971
600 Palm Harbor Homes, Inc. + (a) ................... 3,318
900 PC Mall, Inc. + ................................. 12,204
2,500 Penn National Gaming, Inc. + (a) ................ 80,375
500 Penske Auto Group, Inc. ......................... 7,370
300 Perry Ellis International, Inc. + ............... 6,366
3,250 PetSmart, Inc.(a) ............................... 64,838
1,300 Phillips-Van Heusen Corp. ....................... 47,606
600 Pier 1 Imports, Inc. + (a) ...................... 2,064
2,000 Pinnacle Entertainment, Inc. + (a) .............. 20,980
600 Playboy Enterprises, Inc., Class B + ............ 2,964
1,000 Polaris Industries, Inc.(a) ..................... 40,380
1,400 Polo Ralph Lauren Corp. ......................... 87,892
2,200 Pool Corp.(a) ................................... 39,072
2,275 Premier Exhibitions, Inc. + (a) ................. 10,329
1,500 Pre-Paid Legal Services, Inc. + ................. 60,930
1,500 Primedia, Inc. .................................. 6,990
100 Princeton Review, Inc. + ........................ 676
94 Proliance International, Inc. + ................. 89
4,775 Pulte Homes, Inc.(a) ............................ 45,983
3,450 Quiksilver, Inc. + .............................. 33,879
3,350 RadioShack Corp. ................................ 41,105
600 RCN Corp. + ..................................... 6,468
1,250 Regal Entertainment Group, Class A(a) ........... 19,100
200 Regis Corp. ..................................... 5,270
1,750 Rent-A-Center, Inc. + (a) ....................... 35,998
100 Retail Ventures, Inc. + ......................... 460
541 RH Donnelley Corp. + ............................ 1,623
500 Riviera Holdings Corp. + ........................ 5,075
100 Rocky Brands, Inc. + ............................ 483
1,950 Ross Stores, Inc. ............................... 69,264
1,625 Royal Caribbean Cruises, Ltd.(a) ................ 36,514
500 Ruby Tuesday, Inc. .............................. 2,700
200 Russ Berrie & Co., Inc. + ....................... 1,594
1,300 Ryland Group, Inc. .............................. 28,353
3,500 Saks, Inc. + (a) ................................ 38,430
100 Salem Communications Corp., Class A ............. 197
2,550 Sally Beauty Holdings, Inc. + (a) ............... 16,473
500 Sauer-Danfoss, Inc. ............................. 15,575
600 Scientific Games Corp., Class A + (a) ........... 17,772
700 Sealy Corp.(a) .................................. 4,018
1,025 Sears Holdings Corp. + (a) ...................... 75,502
688 Select Comfort Corp. + .......................... 1,128
3,775 Service Corp. International ..................... 37,222
600 Sharper Image Corp. + ........................... 17
2,200 Sherwin-Williams Co. (The) ...................... 101,046
400 Shoe Carnival, Inc. + ........................... 4,716
2,100 Shuffle Master, Inc. + .......................... 10,374
1,100 Sinclair Broadcast Group, Inc., Class A ......... 8,360
20,075 Sirius Satellite Radio, Inc. + (a) .............. 38,544
900 Six Flags, Inc. + (a) ........................... 1,035
1,425 Snap-On, Inc.(a) ................................ 74,114
1,500 Sonic Automotive, Inc., Class A ................. 19,335
900 Sonic Corp. + ................................... 13,320
603 Sotheby's(a) .................................... 15,901
200 Source Interlink, Inc. + (a) .................... 442
1,700 Spanish Broadcasting System, Inc., Class A + .... 1,938
75 Spartan Motors, Inc. ............................ 560
400 Speedway Motorsports, Inc. ...................... 8,152
1,300 Stage Stores, Inc. .............................. 15,171
200 Stanley Furniture Co., Inc. ..................... 2,160
700 Stanley Works (The) ............................. 31,381
10,725 Staples, Inc.(a) ................................ 254,718
11,250 Starbucks Corp. + ............................... 177,075
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
2,373 Starwood Hotels & Resorts Worldwide, Inc. ....... $ 95,086
550 Steak N Shake Co. (The) + (a) ................... 3,482
100 Steinway Musical Instruments + .................. 2,640
1,400 Stewart Enterprises, Inc., Class A .............. 10,080
-- Stoneridge, Inc. + .............................. --
150 Superior Industries International, Inc.(a) ...... 2,532
1,300 Syms Corp. ...................................... 17,680
-- Systemax, Inc.(a) ............................... --
300 Talbots, Inc.(a) ................................ 3,477
10,550 Target Corp. .................................... 490,469
729 Tarragon Corp. + ................................ 1,276
800 Tempur-Pedic International, Inc.(a) ............. 6,248
450 Tenneco, Inc. + ................................. 6,089
1,500 Texas Roadhouse, Inc., Class A + ................ 13,455
1,200 thinkorswim Group, Inc. + (a) ................... 8,460
2,500 Tiffany & Co. ................................... 101,875
400 Timberland Co., Class A + ....................... 6,540
3,725 Time Warner Cable, Inc., Class A + (a) .......... 98,638
57,674 Time Warner, Inc.(a) ............................ 853,574
5,850 TJX Cos., Inc. .................................. 184,099
1,600 Toll Brothers, Inc. + ........................... 29,968
637 TOUSA, Inc. + (a) ............................... 108
200 Trans World Entertainment + ..................... 568
100 TravelCenters of America LLC + .................. 227
2,050 Triarc Cos., Inc., Class B ...................... 12,977
50 Triple Crown Media, Inc. + ...................... 24
800 TRW Automotive Holdings Corp. + ................. 14,776
200 Tuesday Morning Corp. ........................... 822
750 Tupperware Brands Corp. ......................... 25,665
1,500 Ulta Salon Cosmetics & Fragrance, Inc. +(a) ..... 16,860
200 Universal Electronics, Inc. + ................... 4,180
2,500 Urban Outfitters, Inc. + (a) .................... 77,975
-- Valassis Communications, Inc. + ................. --
200 Value Line, Inc. ................................ 6,650
800 Valuevision Media, Inc., Class A + (a) .......... 2,856
950 VF Corp. ........................................ 67,621
9,337 Viacom, Inc., Class B + ......................... 285,152
6,025 Virgin Media Inc. ............................... 82,000
50 Visteon Corp. + ................................. 132
-- Volcom, Inc. + .................................. --
591 WABCO Holdings, Inc. ............................ 27,458
600 Walking Co. Holdings, Inc. (The) + (a) .......... 3,372
28,270 Walt Disney Co. (The) ........................... 882,023
100 Warnaco Group, Inc. (The) + ..................... 4,407
1,650 Warner Music Group Corp. ........................ 11,781
650 WCI Communities, Inc. + (a) ..................... 943
296 Weight Watchers International, Inc. ............. 10,541
1,000 Wendy's International, Inc. ..................... 27,220
900 Westwood One, Inc. + ............................ 1,116
1,772 Whirlpool Corp.(a) .............................. 109,385
2,600 Williams-Sonoma, Inc. ........................... 51,584
500 Winnebago Industries(a) ......................... 5,095
1,300 WMS Industries, Inc. + (a) ...................... 38,701
400 Wolverine World Wide, Inc. ...................... 10,668
1,100 World Wrestling Entertainment, Inc., Class A .... 17,017
100 WorldSpace, Inc., Class A + (a) ................. 187
700 WPT Enterprises, Inc. + (a) ..................... 721
3,385 Wyndham Worldwide Corp. ......................... 60,625
700 Wynn Resorts, Ltd.(a) ........................... 56,945
4,250 XM Satellite Radio Holdings, Inc., Class A + .... 33,320
100 Young Broadcasting, Inc., Class A + ............. 14
7,200 Yum! Brands, Inc. ............................... 252,647
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
CONSUMER DISCRETIONARY -- 8.7% (CONTINUED)
1,900 Zale Corp. + (a) ................................ $ 35,891
--------------
18,894,200
--------------
CONSUMER STAPLES -- 9.2%
1,400 Alberto-Culver Co., Class B ..................... 36,778
200 Alico, Inc. ..................................... 6,932
32,525 Altria Group, Inc. .............................. 668,714
50 Andersons, Inc. (The) ........................... 2,036
10,600 Anheuser-Busch Cos., Inc. ....................... 658,472
8,736 Archer-Daniels-Midland Co. ...................... 294,839
6,650 Avon Products, Inc.(a) .......................... 239,533
2,800 Bare Escentuals, Inc. + (a) ..................... 52,444
700 BJ's Wholesale Club, Inc. + ..................... 27,090
1,500 Boston Beer Co., Inc., Class A + ................ 61,020
800 Brown-Forman Corp., Class B ..................... 60,456
2,200 Bunge, Ltd. ..................................... 236,918
4,125 Campbell Soup Co.(a) ............................ 138,023
2,250 Casey's General Stores, Inc. .................... 52,133
700 Chiquita Brands International, Inc. + (a) ....... 10,619
2,550 Church & Dwight Co., Inc. ....................... 143,693
2,100 Clorox Co. ...................................... 109,620
33,420 Coca-Cola Co. (The) ............................. 1,737,172
4,920 Coca-Cola Enterprises, Inc. ..................... 85,116
7,230 Colgate-Palmolive Co. ........................... 499,593
7,073 ConAgra Foods, Inc.(a) .......................... 136,367
2,550 Constellation Brands, Inc., Class A + ........... 50,643
800 Corn Products International, Inc. ............... 39,288
7,100 Costco Wholesale Corp.(a) ....................... 497,993
21,492 CVS ............................................. 850,437
2,650 Darling International, Inc. + ................... 43,778
1,734 Dean Foods Co. + (a) ............................ 34,021
3,105 Del Monte Foods Co. ............................. 22,046
3,800 Dr. Pepper Snapple Group, Inc. .................. 79,724
1,300 Energizer Holdings, Inc. + ...................... 95,017
1,100 Estee Lauder Cos., Inc. (The), Class A .......... 51,095
2,725 Flowers Foods, Inc. ............................. 77,227
4,550 General Mills, Inc. ............................. 276,504
300 Great Atlantic & Pacific Tea Co. + .............. 6,846
1,150 Hansen Natural Corp. + (a) ...................... 33,143
1,300 Herbalife, Ltd. ................................. 50,375
3,100 Hershey Co. (The)(a) ............................ 101,618
4,300 HJ Heinz Co. .................................... 205,755
850 Hormel Foods Corp. .............................. 29,419
50 Ingles Markets, Inc., Class A ................... 1,167
1,500 Inter Parfums, Inc. ............................. 22,500
50 J&J Snack Foods Corp. ........................... 1,371
1,400 JM Smucker Co. (The) ............................ 56,896
4,100 Kellogg Co. ..................................... 196,882
6,524 Kimberly-Clark Corp. ............................ 390,005
20,671 Kraft Foods, Inc., Class A ...................... 588,089
9,575 Kroger Co. (The) ................................ 276,430
1,975 Lorillard, Inc. + ............................... 136,591
900 Mannatech, Inc.(a) .............................. 4,896
3,150 McCormick & Co., Inc. ........................... 112,329
1,700 MGP Ingredients, Inc. ........................... 9,860
3,700 Molson Coors Brewing Co., Class B ............... 201,021
600 National Beverage Corp. ......................... 4,362
100 Natural Health Trends Corp. + (a) ............... 101
650 NBTY, Inc. + .................................... 20,839
500 Nu Skin Enterprises, Inc., Class A .............. 7,460
1,970 Pepsi Bottling Group, Inc. ...................... 55,002
3,000 PepsiAmericas, Inc. ............................. 59,340
25,290 PepsiCo, Inc. ................................... 1,608,191
32,525 Philip Morris International, Inc. ............... 1,606,410
1,700 Prestige Brands Holdings, Inc. + ................ 18,122
46,702 Procter & Gamble Co. ............................ 2,839,948
100 Reliv International, Inc.(a) .................... 547
10,300 Revlon, Inc., Class A + ......................... 8,755
3,114 Reynolds American, Inc. ......................... 145,330
Shares Value
- ---------- --------------
CONSUMER STAPLES -- 9.2% (CONTINUED)
7,450 Rite Aid Corp. + (a) ............................ $ 11,846
70 Rocky Mountain Chocolate Factory, Inc. .......... 674
6,950 Safeway, Inc. ................................... 198,423
50 Sanderson Farms, Inc. ........................... 1,726
11,070 Sara Lee Corp. .................................. 135,608
700 SIRVA, Inc. + ................................... --
2,600 Smithfield Foods, Inc. + (a) .................... 51,688
600 Spartan Stores, Inc. ............................ 13,800
200 Spectrum Brands, Inc. + (a) ..................... 510
2,736 SUPERVALU, Inc. ................................. 84,515
8,450 SYSCO Corp. ..................................... 232,460
3,305 Tyson Foods, Inc., Class A ...................... 49,377
1,500 USANA Health Sciences, Inc. + ................... 40,305
2,500 UST, Inc. ....................................... 136,525
1,500 Vector Group, Ltd. .............................. 24,195
14,750 Walgreen Co. .................................... 479,523
37,245 Wal-Mart Stores, Inc. ........................... 2,093,168
1,500 Weis Markets, Inc. .............................. 48,705
2,125 Whole Foods Market, Inc.(a) ..................... 50,341
800 Winn-Dixie Stores, Inc. + ....................... 12,816
3,700 Wm. Wrigley Jr. Co. ............................. 287,785
--------------
20,128,931
--------------
ENERGY -- 15.5%
-- Alliance Holdings GP, LP ........................ --
750 Allis-Chalmers Energy, Inc. + ................... 13,350
1,900 Alon USA Energy, Inc.(a) ........................ 22,724
550 Alpha Natural Resources, Inc. + (a) ............. 57,360
2,100 American Oil & Gas, Inc. + ...................... 8,232
7,306 Anadarko Petroleum Corp. ........................ 546,780
5,856 Apache Corp. .................................... 813,983
2,000 Arch Coal, Inc. ................................. 150,060
550 Arlington Tankers, Ltd.(a) ...................... 12,771
-- Atlas Pipeline Holdings, LP(a) .................. --
6,200 Baker Hughes, Inc. .............................. 541,507
600 Barnwell Industries, Inc. ....................... 7,860
300 Berry Petroleum Co., Class A .................... 17,664
900 BioFuel Energy Corp. + .......................... 2,295
4,072 BJ Services Co. ................................. 130,060
550 Bois d'Arc Energy, Inc. + ....................... 13,371
350 BP Prudhoe Bay Royalty Trust(a) ................. 36,176
2,400 BPZ Resources, Inc. + (a) ....................... 70,560
1,500 BreitBurn Energy Partners, LP(a) ................ 32,445
-- Brigham Exploration Co. + ....................... --
875 Bronco Drilling Co., Inc. + ..................... 16,083
900 Cabot Oil & Gas Corp. ........................... 60,957
218 Cal Dive International, Inc. + .................. 3,115
600 Callon Petroleum Co. + .......................... 16,416
1,500 Calumet Specialty Products Partners, LP ......... 21,540
2,900 Cameron International Corp. + ................... 160,515
50 CARBO Ceramics, Inc. ............................ 2,918
50 Carrizo Oil & Gas, Inc. + ....................... 3,405
2,200 Cheniere Energy, Inc. + (a) ..................... 9,614
7,150 Chesapeake Energy Corp.(a) ...................... 471,614
32,599 Chevron Corp. ................................... 3,231,538
747 Cimarex Energy Co. .............................. 52,043
600 Clean Energy Fuels Corp. + (a) .................. 6,894
350 CNX Gas Corp. + ................................. 14,714
1,500 Complete Production Services, Inc. + ............ 54,630
2,150 Comstock Resources, Inc. + ...................... 181,525
1,500 Concho Resources, Inc. + ........................ 55,950
22,251 ConocoPhillips .................................. 2,100,271
2,800 Consol Energy, Inc. ............................. 314,636
2,100 Continental Resources, Inc. + ................... 145,572
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
ENERGY -- 15.5% (CONTINUED)
200 Cross Timbers Royalty Trust(a) .................. $ 12,036
1,300 Crosstex Energy, Inc.(a) ........................ 45,058
1,500 CVR Energy, Inc. + .............................. 28,875
150 Dawson Geophysical Co. + ........................ 8,919
1,500 Delek US Holdings, Inc. ......................... 13,815
2,500 Delta Petroleum Corp. + ......................... 63,800
4,350 Denbury Resources, Inc. + ....................... 158,775
6,386 Devon Energy Corp. .............................. 767,341
1,450 Diamond Offshore Drilling, Inc. ................. 201,753
-- Dorchester Minerals, LP ......................... --
2,000 Double Hull Tankers, Inc. ....................... 20,060
2,000 Dresser-Rand Group, Inc. + ...................... 78,200
12,214 El Paso Corp. ................................... 265,532
1 Enbridge Energy Management LLC + ................ 26
350 Encore Acquisition Co. + ........................ 26,317
1,500 Ener1, Inc. + ................................... 11,130
750 Energy Partners, Ltd. + ......................... 11,190
1,750 Energy Transfer Equity, LP ...................... 50,733
1,500 Energy Transfer Partners, LP .................... 65,205
3,700 ENSCO International, Inc. ....................... 298,737
3,325 EOG Resources, Inc. ............................. 436,240
900 Evergreen Energy, Inc. + (a) .................... 1,566
800 EXCO Resources, Inc. + (a) ...................... 29,528
1,608 Exterran Holdings, Inc. + ....................... 114,956
82,650 Exxon Mobil Corp. ............................... 7,283,944
3,478 FMC Technologies, Inc. + ........................ 267,563
950 Forest Oil Corp. + .............................. 70,775
2,200 Foundation Coal Holdings, Inc.(a) ............... 194,876
1,100 Frontier Oil Corp. .............................. 26,301
600 Geokinetics, Inc. + ............................. 10,866
600 GeoMet, Inc. + .................................. 5,688
500 Georesources, Inc. + (a) ........................ 9,210
750 Global Industries, Ltd. + ....................... 13,448
-- GMX Resources, Inc. + ........................... --
2,750 Grey Wolf, Inc. + ............................... 24,833
-- Gulf Island Fabrication, Inc. ................... --
650 Gulfport Energy Corp. + ......................... 10,706
14,100 Halliburton Co. ................................. 748,286
900 Harvest Natural Resources, Inc. + ............... 9,954
2,750 Helix Energy Solutions Group, Inc. + ............ 114,510
2,000 Helmerich & Payne, Inc. ......................... 144,040
2,000 Hercules Offshore, Inc. + (a) ................... 76,040
4,000 Hess Corp. ...................................... 504,760
2,100 Holly Corp. ..................................... 77,532
250 IHS, Inc., Class A + ............................ 17,400
1,125 International Coal Group, Inc. + (a) ............ 14,681
3,050 ION Geophysical Corp. + (a) ..................... 53,223
750 James River Coal Co. + (a) ...................... 44,018
3,600 Key Energy Services, Inc. + ..................... 69,912
2,500 Kinder Morgan Energy Partners, LP(a) ............ 139,325
641 Kinder Morgan Management LLC + .................. 34,537
1,300 Linn Energy, LLC(A) ............................. 32,305
550 Magellan Midstream Holdings, LP ................. 12,375
11,172 Marathon Oil Corp. .............................. 579,491
1,713 Mariner Energy, Inc. + .......................... 63,330
200 Martin Midstream Partners, LP ................... 6,586
2,700 Massey Energy Co. ............................... 253,125
450 Matrix Service Co. + ............................ 10,377
500 McMoRan Exploration Co. + (a) ................... 13,760
2,800 Murphy Oil Corp. ................................ 274,540
4,500 Nabors Industries, Ltd. + ....................... 221,535
1,750 NATCO Group, Inc., Class A + .................... 95,428
6,695 National Oilwell Varco, Inc. + .................. 593,979
-- Natural Gas Services Group, Inc. + .............. --
1,925 Newfield Exploration Co. + ...................... 125,606
1,075 Newpark Resources + ............................. 8,450
3,600 NGAS Resources, Inc. + (a) ...................... 33,408
Shares Value
- ---------- --------------
ENERGY -- 15.5% (CONTINUED)
3,820 Noble Corp.(a) .................................. $ 248,147
4,100 Noble Energy, Inc. .............................. 412,296
13,010 Occidental Petroleum Corp. ...................... 1,169,078
400 Oceaneering International, Inc. + ............... 30,820
1,300 Oil States International, Inc. + ................ 82,472
100 Omni Energy Services Corp. + .................... 641
600 Pacific Ethanol, Inc. + ......................... 1,086
150 Parallel Petroleum Corp. + ...................... 3,020
1,700 Parker Drilling Co. + ........................... 17,017
365 Patriot Coal Corp. + ............................ 55,951
1,950 Patterson-UTI Energy, Inc. ...................... 70,278
3,650 Peabody Energy Corp.(a) ......................... 321,383
2,947 PetroHawk Energy Corp. + ........................ 136,476
250 Petroleum Development Corp. + ................... 16,623
2,000 Petroquest Energy, Inc. + ....................... 53,800
450 Pioneer Drilling Co. + .......................... 8,465
1,325 Pioneer Natural Resources Co. ................... 103,721
953 Plains Exploration & Production Co. + ........... 69,540
1,750 Pride International, Inc. + ..................... 82,758
1,500 Quicksilver Resources, Inc. + ................... 57,960
2,000 Range Resources Corp. ........................... 131,080
1,500 Rosetta Resources, Inc. + ....................... 42,750
1,500 Rowan, Inc. ..................................... 70,125
250 RPC, Inc. ....................................... 4,200
1,500 Sandridge Energy + .............................. 96,870
17,900 Schlumberger, Ltd. .............................. 1,922,996
3,500 Smith International, Inc. ....................... 290,990
4,650 Southwestern Energy Co. + ....................... 221,387
9,891 Spectra Energy Corp. ............................ 284,267
1,550 St. Mary Land & Exploration Co. ................. 100,192
2,465 Sunoco, Inc. .................................... 100,301
950 Superior Energy Services, Inc. + ................ 52,383
650 Superior Well Services, Inc. + .................. 20,612
-- T-3 Energy Services, Inc. + ..................... --
1,300 Teekay Corp. .................................... 58,734
2,800 Tesoro Corp.(a) ................................. 55,356
1,150 Tetra Technologies, Inc. + ...................... 27,267
693 TGC Industries, Inc. + .......................... 6,168
1,350 Tidewater, Inc. ................................. 87,791
1,500 Toreador Resources Corp. + ...................... 12,795
4,566 Transocean, Inc. ................................ 695,812
500 Trico Marine Services, Inc. + (a) ............... 18,210
1,250 TXCO Resources, Inc. + .......................... 14,700
1,865 Ultra Petroleum Corp. + ......................... 183,143
700 Union Drilling, Inc. + .......................... 15,176
1,300 Unit Corp. + .................................... 107,861
3,150 Uranium Resources, Inc. + (a) ................... 11,624
2,450 USEC, Inc. + (a) ................................ 14,896
600 Vaalco Energy, Inc. + ........................... 5,082
8,064 Valero Energy Corp. ............................. 332,076
550 Venoco, Inc. + .................................. 12,766
2,462 VeraSun Energy Corp. + (a) ...................... 10,168
100 Verenium Corp. + (a) ............................ 193
1,950 W&T Offshore, Inc. .............................. 114,095
2,300 Warren Resources, Inc. + ........................ 33,764
9,900 Weatherford International, Ltd. + ............... 490,940
1,500 Western Refining, Inc.(a) ....................... 17,760
1,300 Whiting Petroleum Corp. + ....................... 137,904
8,500 Williams, Inc. .................................. 342,635
-- World Fuel Services Corp. ....................... --
7,860 XTO Energy, Inc. ................................ 538,489
--------------
34,026,753
--------------
FINANCIALS -- 15.1%
1,200 21st Century Holding Co. ........................ 9,804
900 Abington Bancorp, Inc. .......................... 8,208
600 ACA Capital Holdings, Inc. + (a) ................ 204
1,550 Acadia Realty Trust ............................. 35,883
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
5,650 ACE, Ltd. ....................................... $ 311,258
1,300 Advance America Cash Advance Centers, Inc. ...... 6,604
300 Advanta Corp., Class B .......................... 1,887
200 Affirmative Insurance Holdings, Inc. ............ 1,360
7,600 Aflac, Inc. ..................................... 477,279
-- Allied World Assurance Co. Holdings, Ltd. ....... --
10,125 Allstate Corp. (The) ............................ 461,598
2,225 AMB Property Corp. .............................. 112,096
519 AMBAC Financial Group, Inc.(a) .................. 695
1,200 AmCOMP, Inc. + .................................. 11,664
405 Amcore Financial, Inc. .......................... 2,292
7 American Campus Communities, Inc. ............... 195
100 American Equity Investment Life Holding Co. ..... 815
15,950 American Express Co. ............................ 600,836
1,600 American Financial Group, Inc. .................. 42,800
36,050 American International Group, Inc. .............. 953,882
300 American Physicians Capital, Inc. ............... 14,532
3,250 AmeriCredit Corp. + (a) ......................... 28,015
3,880 Ameriprise Financial, Inc. ...................... 157,800
1,500 Amtrust Financial Services, Inc. ................ 18,900
310 Anchor Bancorp Wisconsin, Inc. .................. 2,173
8,325 Annaly Capital Management, Inc. ................. 129,120
1,700 Anworth Mortgage Asset Corp. .................... 11,067
3,750 AON Corp. ....................................... 172,275
1,015 Apartment Investment & Management Co., Class A .. 34,571
200 Arbor Realty Trust, Inc. (a) .................... 1,794
300 Arch Capital Group, Ltd. + ...................... 19,896
1,100 Arthur J Gallagher & Co. ........................ 26,510
2,050 Ashford Hospitality Trust, Inc. ................. 9,471
1,700 Aspen Insurance Holdings, Ltd. .................. 40,239
900 Asset Acceptance Capital Corp. .................. 10,998
1,854 Associated Banc-Corp(a) ......................... 35,764
100 Associated Estates Realty Corp. ................. 1,071
900 Assurant, Inc. .................................. 59,364
750 Assured Guaranty, Ltd.(a) ....................... 13,493
2,750 Astoria Financial Corp.(a) ...................... 55,220
725 AvalonBay Communities, Inc. ..................... 64,641
2,000 Axis Capital Holdings, Ltd ...................... 59,620
50 Bancorp, Inc. + ................................. 381
1,850 Bancorpsouth, Inc. .............................. 32,357
650 Bank Mutual Corp. ............................... 6,526
68,686 Bank of America Corp. ........................... 1,639,535
550 Bank of Hawaii Corp. ............................ 26,290
16,963 Bank of New York Mellon Corp. (The) ............. 641,710
400 BankAtlantic Bancorp, Inc., Class A ............. 704
700 BankFinancial Corp. ............................. 9,107
300 Banner Corp.(a) ................................. 2,658
8,475 BB&T Corp.(a) ................................... 192,975
1,500 Beneficial Mutual Bancorp, Inc. + ............... 16,605
433 Berkshire Hathaway, Inc., Class B + ............. 1,737,195
1,500 BGC Partners, Inc., Class A + ................... 11,325
1,000 BioMed Realty Trust, Inc. ....................... 24,530
1,325 Boston Properties, Inc. (a) ..................... 119,541
788 Brandywine Realty Trust ......................... 12,419
1,325 BRE Properties, Inc. (a) ........................ 57,346
4,675 Brookfield Properties Corp. ..................... 83,168
606 Brookline Bancorp, Inc. ......................... 5,787
1,400 Brown & Brown, Inc. ............................. 24,346
100 Camden National Corp. ........................... 2,328
1,425 Camden Property Trust ........................... 63,071
350 Capital City Bank Group, Inc.(a) ................ 7,616
1,700 Capital Corp of the West(a) ..................... 6,460
5,200 Capital One Financial Corp.(a) .................. 197,652
4,039 CapitalSource, Inc. (a) ......................... 44,752
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
1,200 CapLease, Inc. .................................. $ 8,988
1,600 Capstead Mortgage Corp. ......................... 17,360
600 Cardinal Financial Corp. ........................ 3,756
1,500 Cascade Bancorp(a) .............................. 11,550
1,900 Castlepoint Holdings, Ltd. ...................... 17,271
288 Cathay General Bancorp(a) ....................... 3,131
4,525 CB Richard Ellis Group, Inc., Class A + ......... 86,880
1,050 CBL & Associates Properties, Inc. ............... 23,982
1,150 Cedar Shopping Centers, Inc. .................... 13,478
700 Centerline Holding Co., LP(a) ................... 1,169
13,464 Charles Schwab Corp. (The) ...................... 276,551
400 Charter Financial Corp. ......................... 9,600
5,150 Chubb Corp. ..................................... 252,402
2,994 Cincinnati Financial Corp. ...................... 76,048
5,871 CIT Group Inc. .................................. 39,982
84,000 Citigroup, Inc. ................................. 1,407,840
1,157 Citizens Republic Bancorp, Inc.(a) .............. 3,263
350 City Holding Co. ................................ 14,270
1,325 CME Group, Inc. ................................. 507,727
1,500 CNA Surety Corp. + .............................. 18,960
750 CoBiz Financial, Inc. ........................... 4,935
350 Cohen & Steers, Inc.(a) ......................... 9,090
2,450 Colonial BancGroup, Inc.(a) ..................... 10,829
429 Colonial Properties Trust ....................... 8,589
276 Columbia Banking System, Inc. ................... 5,335
1,973 Comerica, Inc. .................................. 50,568
2,376 Commerce Bancshares, Inc. ....................... 94,231
563 Community Bancorp + (a) ......................... 2,821
1,500 Community Bank System, Inc. ..................... 30,930
-- Community Trust Bancorp, Inc. ................... --
700 CompuCredit Corp. + (a) ......................... 4,200
4,400 Conseco, Inc. + ................................. 43,648
450 Corporate Office Properties Trust ............... 15,449
1,800 Corus Bankshares, Inc.(a) ....................... 7,488
9,098 Countrywide Financial Corp.(a) .................. 38,667
650 Cousins Properties, Inc. (a) .................... 15,015
1,300 Credit Acceptance Corp. + (a) ................... 33,228
450 Cullen/Frost Bankers, Inc. ...................... 22,433
755 CVB Financial Corp. ............................. 7,127
1,500 Darwin Professional Underwriters, Inc. + ........ 46,200
4,150 DCT Industrial Trust, Inc. ...................... 34,362
237 Deerfield Capital Corp. (a) ..................... 187
322 Delphi Financial Group, Inc., Class A ........... 7,451
1,000 Delta Financial Corp. + (a) ..................... 30
2,351 Developers Diversified Realty Corp. ............. 81,603
900 DiamondRock Hospitality Co. ..................... 9,801
500 Digital Realty Trust, Inc. (a) .................. 20,455
1,000 Dime Community Bancshares ....................... 16,510
7,825 Discover Financial Services ..................... 103,055
1,500 Doral Financial Corp. + ......................... 20,310
1,100 Douglas Emmett, Inc. ............................ 24,167
3,601 Duke Realty Corp. ............................... 80,842
6,387 E*Trade Financial Corp. + (a) ................... 20,055
500 East West Bancorp, Inc.(a) ...................... 3,530
2,525 Eaton Vance Corp. ............................... 100,394
-- EMC Insurance Group, Inc. ....................... --
1,500 Employers Holdings, Inc.(a) ..................... 31,050
200 Encore Capital Group, Inc. + .................... 1,766
850 Endurance Specialty Holdings, Ltd. .............. 26,172
50 Enterprise Financial Services Corp.(a) .......... 943
3,779 Equity Residential .............................. 144,621
-- Erie Indemnity Co., Class A ..................... --
400 Everest Re Group, Ltd. .......................... 31,884
500 Extra Space Storage, Inc. ....................... 7,680
1,000 Ezcorp, Inc., Class A + ......................... 12,750
14,525 Fannie Mae ...................................... 283,382
500 FBL Financial Group, Inc., Class A .............. 9,940
300 Federal Realty Investment Trust (a) ............. 20,700
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
900 Federated Investors, Inc., Class B .............. $ 30,978
1,500 FelCor Lodging Trust, Inc. ...................... 15,750
2,100 FFD Financial Corp. ............................. 27,962
3,291 Fidelity National Financial, Inc., Class A ...... 41,467
7,001 Fifth Third Bancorp(a) .......................... 71,270
1,200 Financial Institutions, Inc. .................... 19,272
100 First Acceptance Corp. + ........................ 320
992 First American Corp. ............................ 26,189
1,150 First Bancorp(a) ................................ 7,291
300 First Bancorp ................................... 3,792
680 First Busey Corp.(a) ............................ 8,990
650 First Cash Financial Services, Inc. + ........... 9,744
800 First Commonwealth Financial Corp.(a) ........... 7,464
425 First Community Bancshares, Inc. ................ 11,985
1,300 First Financial Bancorp ......................... 11,960
100 First Financial Corp. ........................... 3,061
4,950 First Horizon National Corp.(a) ................. 36,779
650 First Industrial Realty Trust, Inc. (a) ......... 17,856
550 First Marblehead Corp.(a) ....................... 1,414
750 First Midwest Bancorp, Inc. ..................... 13,988
1,608 First Niagara Financial Group, Inc. ............. 20,679
1,300 First Potomac Realty Trust ...................... 19,812
1,500 First Source Corp. .............................. 24,150
1,200 FirstMerit Corp. ................................ 19,572
700 Flagstar Bancorp, Inc. .......................... 2,107
1,150 Flagstone Reinsurance Holdings, Ltd. ............ 13,559
2,800 FNB Corp.(a) .................................... 32,984
600 Forest City Enterprises, Inc., Class A .......... 19,332
1,500 Fortress Investment Group LLC, Class A(a) ....... 18,480
350 Franklin Bank Corp. + (a) ....................... 214
3,200 Franklin Resources, Inc. ........................ 293,280
550 Franklin Street Properties Corp. ................ 6,952
10,425 Freddie Mac ..................................... 170,969
150 Fremont General Corp. + (a) ..................... 18
2,585 Friedman Billings Ramsey Group, Inc., Class A ... 3,878
1,500 Frontier Financial Corp. ........................ 12,780
2,634 Fulton Financial Corp.(a) ....................... 26,472
440 FX Real Estate and Entertainment, Inc. + (a) .... 836
-- GAMCO Investors, Inc., Class A .................. --
3,550 General Growth Properties, Inc. ................. 124,356
1,500 Genpact, Ltd. + ................................. 22,380
8,150 Genworth Financial, Inc., Class A ............... 145,152
1,500 GFI Group, Inc. ................................. 13,515
2,300 Glacier Bancorp, Inc.(a) ........................ 36,777
3,100 GLG Partners, Inc.(a) ........................... 24,180
1,300 Glimcher Realty Trust (a) ....................... 14,534
5,470 Goldman Sachs Group, Inc. (The) ................. 956,703
435 Gramercy Capital Corp. (a) ...................... 5,042
335 Green Bankshares, Inc.(a) ....................... 4,697
150 Greenhill & Co., Inc.(a) ........................ 8,079
1,500 Greenlight Capital RE, Ltd., Class A + .......... 34,290
2,300 Grubb & Ellis Co. ............................... 8,855
2,000 Guaranty Bancorp + .............................. 7,200
708 Guaranty Financial Group, Inc. + ................ 3,802
1,100 Hallmark Financial Services + ................... 10,637
1,050 Hanmi Financial Corp.(a) ........................ 5,471
1,400 Hanover Insurance Group, Inc. (The) ............. 59,500
1,500 Harleysville Group, Inc. ........................ 50,745
1,320 Harleysville National Corp. ..................... 14,731
4,750 Hartford Financial Services Group, Inc. ......... 306,707
1,500 Hatteras Financial Corp. ........................ 34,485
2,375 HCC Insurance Holdings, Inc. .................... 50,208
3,325 HCP, Inc. ....................................... 105,768
900 Health Care REIT, Inc. .......................... 40,050
50 Heritage Commerce Corp. ......................... 495
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
1,200 Hersha Hospitality Trust ........................ $ 9,060
350 Highwoods Properties, Inc. ...................... 10,997
1,200 Hilltop Holdings, Inc. + ........................ 12,372
500 Horace Mann Educators Corp. ..................... 7,010
1,000 Hospitality Properties Trust .................... 24,460
9,450 Host Hotels & Resorts, Inc. ..................... 128,991
700 Housevalues, Inc. + ............................. 1,925
5,075 HRPT Properties Trust ........................... 34,358
9,026 Hudson City Bancorp, Inc.(a) .................... 150,553
7,451 Huntington Bancshares, Inc.(a) .................. 42,992
850 IMPAC Mortgage Holdings, Inc. (a) ............... 638
1,500 Imperial Capital Bancorp, Inc. .................. 8,595
650 Independent Bank Corp.(a) ....................... 2,600
1,500 Independent Bank Corp. .......................... 35,760
2,225 IndyMac Bancorp, Inc.(a) ........................ 1,380
1,500 Infinity Property & Casualty .................... 62,280
300 Inland Real Estate Corp. ........................ 4,326
1,375 IntercontinentalExchange, Inc. + ................ 156,750
500 International Assets Holding Corp. + ............ 15,030
865 International Bancshares Corp. .................. 18,485
550 Intervest Bancshares Corp., Class A ............. 2,816
6,600 Invesco, Ltd. ................................... 158,268
300 Investment Technology Group, Inc. + ............. 10,038
1,300 Investors Real Estate Trust ..................... 12,402
850 IPC Holdings, Ltd. .............................. 22,568
2,100 Irwin Financial Corp.(a) ........................ 5,649
3,564 iStar Financial, Inc. (a) ....................... 47,080
3,275 Janus Capital Group, Inc. ....................... 86,689
3,000 Jefferies Group, Inc.(a) ........................ 50,460
150 JER Investors Trust, Inc. (a) ................... 945
53,659 JPMorgan Chase & Co. ............................ 1,841,039
600 Kearny Financial Corp. .......................... 6,600
6,473 Keycorp ......................................... 71,074
3,025 Kimco Realty Corp. .............................. 104,423
1,300 Kite Realty Group Trust ......................... 16,250
1,800 KKR Financial Holdings LLC ...................... 18,900
1,450 Knight Capital Group, Inc., Class A + ........... 26,071
700 LaBranche & Co., Inc. + ......................... 4,956
1,300 Lazard, Ltd., Class A(a) ........................ 44,395
2,600 Legg Mason, Inc. ................................ 113,282
10,718 Lehman Brothers Holdings, Inc.(a) ............... 212,324
3,405 Leucadia National Corp. ......................... 159,831
450 Lexington Realty Trust (a) ...................... 6,134
950 Liberty Property Trust .......................... 31,493
3,800 Lincoln National Corp. .......................... 172,216
5,450 Loews Corp. ..................................... 255,605
1,500 LTC Properties, Inc. ............................ 38,340
1,025 M&T Bank Corp. .................................. 72,303
1,425 Macerich Co. (The) .............................. 88,535
900 Mack-Cali Realty Corp. .......................... 30,753
1,500 Maguire Properties, Inc. ........................ 18,255
1,250 MainSource Financial Group, Inc. ................ 19,375
9,520 Marsh & McLennan, Inc. .......................... 252,756
5,132 Marshall & Ilsley Corp. ......................... 78,673
1,300 Max Capital Group, Ltd. ......................... 27,729
244 MB Financial, Inc. .............................. 5,483
5,000 MBIA, Inc.(a) ................................... 21,950
1,000 Medallion Financial Corp. ....................... 9,420
1,000 Medical Properties Trust, Inc. .................. 10,120
12,796 Merrill Lynch & Co., Inc.(a) .................... 405,761
8,271 MetLife, Inc. ................................... 436,460
1,500 MF Global, Ltd. + ............................... 9,465
3,000 MFA Mortgage Investments, Inc. .................. 19,560
3,800 MGIC Investment Corp.(a) ........................ 23,218
100 Mid-America Apartment Communities, Inc. ......... 5,104
250 Midwest Banc Holdings, Inc. ..................... 1,218
1,200 Montpelier Re Holdings, Ltd. .................... 17,700
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
3,675 Moody's Corp.(a) ................................ $ 126,567
15,275 Morgan Stanley(a) ............................... 550,969
-- MSCI, Inc., Class A + ........................... --
600 Nara Bancorp, Inc. .............................. 6,438
4,150 Nasdaq OMX Group (The) + ........................ 110,183
200 National Atlantic Holdings Corp., Class A + ..... 1,210
10,938 National City Corp.(a) .......................... 52,174
400 National Interstate Corp. ....................... 7,352
3,444 National Penn Bancshares, Inc. .................. 45,736
1,095 National Retail Properties, Inc. ................ 22,886
570 Nationwide Financial Services, Class A .......... 27,366
2,950 Nationwide Health Properties, Inc. .............. 92,896
-- Navigators Group, Inc. + ........................ --
1,500 NBT Bancorp, Inc. ............................... 30,915
1,300 Nelnet, Inc., Class A ........................... 14,599
5,712 New York Community Bancorp, Inc. ................ 101,902
3,100 NewAlliance Bancshares, Inc. .................... 38,688
750 Newcastle Investment Corp. (a) .................. 5,258
50 North Valley Bancorp ............................ 326
4,900 Northern Trust Corp. ............................ 335,993
1,650 NorthStar Realty Finance Corp. (a) .............. 13,728
500 Northwest Bancorp, Inc. ......................... 10,910
1,550 Nymex Holdings, Inc. ............................ 130,944
2,750 NYSE Euronext ................................... 139,315
-- OceanFirst Financial Corp. ...................... --
-- Och-Ziff Capital Management Group LLC, Class A .. --
800 Ocwen Financial Corp. + ......................... 3,720
750 oday ............................................ 17,828
1,044 Old National Bancorp ............................ 14,887
3,612 Old Republic International Corp. ................ 42,766
400 Old Second Bancorp, Inc.(a) ..................... 4,648
2,300 Omega Healthcare Investors, Inc. ................ 38,295
1,500 OneBeacon Insurance Group ....................... 26,355
750 optionsXpress Holdings, Inc. .................... 16,755
432 Oriental Financial Group, Inc. .................. 6,160
-- Oritani Financial Corp. + ....................... --
1,783 Pacific Capital Bancorp NA(a) ................... 24,570
1,500 Park National Corp. ............................. 80,850
400 PartnerRe, Ltd. ................................. 27,652
1,000 Penn Treaty American Corp. + .................... 4,840
3,347 People's United Financial, Inc. ................. 52,213
823 PHH Corp. + ..................................... 12,633
400 Philadelphia Consolidated Holding Co. + ......... 13,588
4,250 Phoenix Cos., Inc. (The) ........................ 32,343
-- Pico Holdings, Inc. + ........................... --
500 Pinnacle Financial Partners, Inc. + (a) ......... 10,045
750 Platinum Underwriters Holdings, Ltd. ............ 24,458
4,084 Plum Creek Timber Co., Inc. ..................... 174,427
525 PMI Group, Inc.(a) .............................. 1,024
6,675 Popular, Inc.(a) ................................ 43,988
300 Portfolio Recovery Associates, Inc. + (a) ....... 11,250
1,300 Post Properties, Inc. ........................... 38,675
1,500 Preferred Bank(a) ............................... 7,770
400 Presidential Life Corp. ......................... 6,168
100 Primus Guaranty, Ltd. + (a) ..................... 291
4,000 Principal Financial Group, Inc. ................. 167,880
265 ProAssurance Corp. + ............................ 12,749
9,575 Progressive Corp. (The) ......................... 179,244
4,644 Prologis ........................................ 252,400
671 Prosperity Bancshares, Inc. ..................... 17,936
1,050 Protective Life Corp. ........................... 39,953
1,300 Provident Bankshares Corp.(a) ................... 8,294
700 Provident Financial Services, Inc. .............. 9,807
1,550 Provident New York Bancorp. ..................... 17,143
7,100 Prudential Financial, Inc. ...................... 424,153
1,439 Public Storage .................................. 116,257
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
500 Pzena Investment Management, Inc., Class A(a) .. $ 6,380
570 Radian Group, Inc. .............................. 827
1,700 RAIT Financial Trust (a) ........................ 12,614
900 Raymond James Financial, Inc.(a) ................ 23,751
801 Rayonier, Inc. .................................. 34,010
3,100 Realty Income Corp. (a) ......................... 70,556
1,625 Regency Centers Corp. ........................... 96,070
12,356 Regions Financial Corp.(a) ...................... 134,803
1,700 RenaissanceRe Holdings, Ltd. .................... 75,939
50 Renasant Corp. .................................. 737
-- Republic Bancorp, Inc., Class A ................. --
1,750 Resource America, Inc., Class A ................. 16,310
200 Resource Capital Corp. (a) ...................... 1,442
-- Riskmetrics Group, Inc. + ....................... --
1,200 Roma Financial Corp.(a) ......................... 15,720
1,100 Safeco Corp. .................................... 73,876
150 Safety Insurance Group, Inc. .................... 5,348
600 Santander BanCorp ............................... 6,366
1,500 Saul Centers, Inc. .............................. 70,485
700 SeaBright Insurance Holdings, Inc. + ............ 10,136
750 Seacoast Banking Corp of Florida(a) ............. 5,820
2,000 SEI Investments Co. ............................. 47,040
2,300 Selective Insurance Group ....................... 43,148
2,950 Senior Housing Properties Trust ................. 57,614
1,500 Simmons First National , Class A ................ 41,955
3,266 Simon Property Group, Inc. ...................... 293,580
397 SL Green Realty Corp. (a) ....................... 32,840
6,700 SLM Corp. + ..................................... 129,645
650 South Financial Group, Inc. (The)(a) ............ 2,548
1,000 Southern Missouri Bancorp, Inc. ................. 15,490
50 Southwest Bancorp, Inc. ......................... 575
7,527 Sovereign Bancorp, Inc.(a) ...................... 55,399
700 St. Joe Co. (The)(a) ............................ 24,024
490 StanCorp Financial Group, Inc. .................. 23,010
1,500 State Auto Financial Corp. ...................... 35,895
5,965 State Street Corp. .............................. 381,700
50 Sterling Bancorp NY ............................. 598
600 Sterling Bancshares, Inc. ....................... 5,454
394 Sterling Financial Corp.(a) ..................... 1,631
300 Stewart Information Services Corp. .............. 5,802
-- Stifel Financial Corp. + ........................ --
600 Strategic Hotels & Resorts, Inc. ................ 5,622
1,500 Student Loan Corp. (The) ........................ 147,120
50 Suffolk Bancorp ................................. 1,469
783 Sun Bancorp, Inc. + ............................. 7,947
950 Sunstone Hotel Investors, Inc. .................. 15,770
6,130 SunTrust Banks, Inc. ............................ 222,028
150 Superior Bancorp + (a) .......................... 1,274
1,290 Susquehanna Bancshares, Inc. .................... 17,660
350 SVB Financial Group + (a) ....................... 16,839
4,231 Synovus Financial Corp.(a) ...................... 36,937
4,125 T Rowe Price Group, Inc. ........................ 232,939
500 Taubman Centers, Inc. ........................... 24,325
1,500 Taylor Capital Group, Inc. ...................... 11,235
1,900 TCF Financial Corp. ............................. 22,857
3,225 TD Ameritrade Holding Corp. + ................... 58,340
50 Tejon Ranch Co. + ............................... 1,803
400 Texas Capital Bancshares, Inc. + ................ 6,400
1,550 TFS Financial Corp.(a) .......................... 17,965
600 Thomas Weisel Partners Group, Inc. + ............ 3,282
2,746 Thornburg Mortgage, Inc.(a) ..................... 555
1,000 Torchmark Corp. ................................. 58,650
100 TradeStation Group, Inc. + ...................... 1,015
9,109 Travelers Cos., Inc. (The) ...................... 395,330
2,950 Triad Guaranty, Inc. + (a) ...................... 3,068
1,708 Trustco Bank Corp. .............................. 12,673
800 Trustmark Corp.(a) .............................. 14,120
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
FINANCIALS -- 15.1% (CONTINUED)
28,359 U.S. Bancorp .................................... $ 790,932
1,225 UCBH Holdings, Inc.(a) .......................... 2,756
3,650 UDR, Inc. ....................................... 81,687
160 UMB Financial Corp. ............................. 8,203
950 Umpqua Holdings Corp.(a) ........................ 11,524
1,500 Unifirst Corp. .................................. 66,990
600 UnionBanCal Corp. ............................... 24,252
650 United America Indemnity, Ltd., Class A + ....... 8,691
1,300 United Bankshares, Inc. ......................... 29,835
800 United Community Banks, Inc.(a) ................. 6,824
600 United Community Financial Corp. ................ 2,250
1,500 United Financial Bankcorp, Inc. ................. 16,755
-- United Fire & Casualty Co. ...................... --
400 United PanAm Financial Corp. + .................. 900
300 United Security Bancshares(a) ................... 4,362
350 Unitrin Inc. .................................... 9,650
7,007 Unum Group ...................................... 143,293
1,350 U-Store-It Trust ................................ 16,133
-- Validus Holdings, Ltd. .......................... --
1,508 Valley National Bancorp(a) ...................... 23,778
1,575 Ventas, Inc. .................................... 67,048
525 Vineyard National Bancorp(a) .................... 1,985
2,565 Virginia Commerce Bancorp + ..................... 13,312
2,925 Vornado Realty Trust ............................ 257,399
781 W Holding Co., Inc.(a) .......................... 666
100 W.P. Stewart & Co., Ltd.(a) ..................... 152
2,187 W.R. Berkley Corp. .............................. 52,838
32,702 Wachovia Corp.(a) ............................... 507,861
1,800 Waddell & Reed Financial, Inc., Class A ......... 63,018
1,033 Washington Federal, Inc. ........................ 18,697
12,531 Washington Mutual, Inc.(a) ...................... 61,778
250 Washington Real Estate Investment Trust (a) ..... 7,513
400 Washington Trust Bancorp, Inc. .................. 7,880
550 Wauwatosa Holdings, Inc. + ...................... 5,841
2,854 Webster Financial Corp. ......................... 53,084
1,900 Weingarten Realty Investors ..................... 57,608
48,104 Wells Fargo & Co.(a) ............................ 1,142,469
300 WesBanco, Inc. .................................. 5,145
550 Western Alliance Bancorp + (a) .................. 4,268
1,700 Westfield Financial, Inc. ....................... 15,385
1,675 Whitney Holding Corp.(a) ........................ 30,653
700 Wilmington Trust Corp. .......................... 18,508
700 Wilshire Bancorp, Inc. .......................... 5,999
-- Wintrust Financial Corp. ........................ --
2,425 XL Capital, Ltd., Class A ....................... 49,858
1,630 Zions Bancorporation(a) ......................... 51,329
400 ZipRealty, Inc. + (a) ........................... 1,612
--------------
33,052,574
--------------
HEALTH CARE -- 11.5%
24,350 Abbott Laboratories ............................. 1,289,819
100 Abraxis Bioscience, Inc. + ...................... 6,346
600 Acadia Pharmaceuticals, Inc. + (a) .............. 2,214
-- Acorda Therapeutics, Inc. + ..................... --
100 ADAM, Inc. + .................................... 745
100 Adolor Corp. + .................................. 548
981 Advanced Medical Optics, Inc. + (a) ............. 18,384
7,750 Aetna, Inc. ..................................... 314,107
700 Affymetrix, Inc. + (a) .......................... 7,203
300 Air Methods Corp. + ............................. 7,500
300 Akorn, Inc. + (a) ............................... 993
700 Albany Molecular Research, Inc. + ............... 9,289
950 Align Technology, Inc. + (a) .................... 9,966
3,075 Alkermes, Inc. + ................................ 38,007
5,230 Allergan, Inc.(a) ............................... 272,222
1,600 Alliance Imaging, Inc. + ........................ 13,872
Shares Value
- ---------- --------------
HEALTH CARE -- 11.5% (CONTINUED)
2,100 Allos Therapeutics, Inc. + ...................... $ 14,511
-- Allscripts Healthcare Solutions, Inc. + ......... --
100 Altus Pharmaceuticals, Inc. + (a) ............... 445
-- AMAG Pharmaceuticals, Inc. + (a) ................ --
0 Amedisys, Inc. + ................................ 17
900 American Medical Systems Holdings, Inc. + (a) ... 13,455
600 AMERIGROUP Corp. + .............................. 12,480
3,940 AmerisourceBergen Corp., Class A ................ 157,561
17,102 Amgen, Inc. + ................................... 806,529
1,300 Amicus Therapeutics, Inc. + (a) ................. 13,884
750 AMN Healthcare Services, Inc. + ................. 12,690
1,750 Amylin Pharmaceuticals, Inc. + (a) .............. 44,433
600 Angeion Corp. + ................................. 3,126
500 Anika Therapeutics, Inc. + ...................... 4,295
900 APP Pharmaceuticals, Inc. + (a) ................. 15,048
1,850 Applera Corp. - Applied Biosystems Group ........ 61,938
2,100 Arena Pharmaceuticals, Inc. + (a) ............... 10,899
400 Artes Medical, Inc. + ........................... 536
1,900 Aspect Medical Systems, Inc. + (a) .............. 11,951
2,000 AspenBio Pharma, Inc. + ......................... 12,760
1,500 athenahealth, Inc. + ............................ 46,140
200 Atherogenics, Inc. + ............................ 117
1,075 Barr Pharmaceuticals, Inc. + .................... 48,461
10,038 Baxter International, Inc. ...................... 641,829
500 Beckman Coulter, Inc. ........................... 33,765
3,425 Becton Dickinson & Co. .......................... 278,453
800 Biodel, Inc. + (a) .............................. 10,400
1,700 BioForm Medical, Inc. + ......................... 6,868
4,105 Biogen Idec, Inc. + ............................. 229,428
1,900 BioMarin Pharmaceutical, Inc. + ................. 55,062
22,839 Boston Scientific Corp. + ....................... 280,691
30,900 Bristol-Myers Squibb Co. ........................ 634,377
1,500 Bruker Corp. + .................................. 19,275
200 BSD Medical Corp. + ............................. 1,126
1,025 C.R. Bard, Inc. ................................. 90,149
100 Candela Corp. + ................................. 233
2,100 Capital Senior Living Corp. + ................... 15,834
1,150 Caraco Pharmaceutical Laboratories, Ltd.+ ....... 15,180
4,936 Cardinal Health, Inc. ........................... 254,598
-- CardioNet, Inc. + ............................... --
1,200 Celera Corp. + .................................. 13,632
6,200 Celgene Corp. + ................................. 395,994
1,625 Cephalon, Inc. + (a) ............................ 108,371
500 Cepheid, Inc. + ................................. 14,060
550 Cerner Corp. + (a) .............................. 24,849
2,594 Charles River Laboratories International,
Inc. + (a) ...................................... 165,808
3,800 Cigna Corp. ..................................... 134,482
200 Cleveland Biolabs, Inc. + ....................... 906
-- Clinical Data, Inc. + ........................... --
1,100 Community Health Systems, Inc. + ................ 36,278
-- Conceptus, Inc. + (a) ........................... --
-- Conmed Corp. + .................................. --
705 Cooper Cos., Inc. (The) ......................... 26,191
1,500 Corvel Corp. + .................................. 50,805
1,450 Covance, Inc. + ................................. 124,729
4,016 Coventry Health Care, Inc. + .................... 122,167
7,787 Covidien, Ltd. .................................. 372,918
500 Cubist Pharmaceuticals, Inc. + .................. 8,930
100 CuraGen Corp. + ................................. 96
1,100 CV Therapeutics, Inc. + ......................... 9,053
700 Cynosure, Inc., Class A + ....................... 13,874
400 Datascope Corp. ................................. 18,800
2,275 DaVita, Inc. + .................................. 120,871
200 Dendreon Corp. + (a) ............................ 890
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
HEALTH CARE -- 11.5% (CONTINUED)
2,075 Dentsply International, Inc.(a) ................. $ 76,360
100 Dialysis Corp. of America + ..................... 727
100 Dyax Corp. + .................................... 310
2,300 Eclipsys Corp. + ................................ 42,228
550 Edwards Lifesciences Corp. + .................... 34,122
14,195 Eli Lilly & Co. ................................. 655,241
1,850 Emergent Biosolutions, Inc. + ................... 18,371
1,500 Emeritus Corp. + ................................ 21,930
3,350 Endo Pharmaceuticals Holdings, Inc. + ........... 81,037
200 eResearchTechnology, Inc. + ..................... 3,488
2,200 ev3, Inc. + (a) ................................. 20,856
1,300 Exelixis, Inc. + ................................ 6,500
2,650 Express Scripts, Inc. + ......................... 166,208
100 Five Star Quality Care, Inc. + .................. 473
4,900 Forest Laboratories, Inc. + ..................... 170,226
6,800 Genentech, Inc. + ............................... 516,120
600 Genomic Health, Inc. + (a) ...................... 11,490
1,375 Gen-Probe, Inc. + ............................... 65,285
50 Gentiva Health Services, Inc. + ................. 953
3,655 Genzyme Corp. + ................................. 263,233
13,900 Gilead Sciences, Inc. + ......................... 736,004
450 GTx, Inc. + (a) ................................. 6,458
1,200 Halozyme Therapeutics, Inc. + ................... 6,456
3,750 Health Management Associates, Inc., Class A + ... 24,413
2,200 Health Net, Inc. + .............................. 52,932
1,250 Healthsouth Corp. + (a) ......................... 20,788
1,500 Healthspring, Inc. + ............................ 25,320
800 Henry Schein, Inc. + ............................ 41,256
300 Hill-Rom Holdings, Inc. ......................... 8,094
4,295 HLTH Corp. + .................................... 48,619
3,452 Hologic, Inc. + ................................. 75,254
3,840 Hospira, Inc. + ................................. 154,022
1,150 Human Genome Sciences, Inc. + ................... 5,992
2,900 Humana, Inc. + .................................. 115,333
200 Hythiam, Inc. + ................................. 484
2,300 Idenix Pharmaceuticals, Inc. + .................. 16,721
1,500 Idexx Laboratories, Inc. + (a) .................. 73,110
844 Illumina, Inc. + (a) ............................ 73,521
1,625 ImClone Systems, Inc. + ......................... 65,748
100 Immtech Pharmaceuticals, Inc. + (a) ............. 98
1,680 Immucor, Inc. + ................................. 43,478
2,500 IMS Health, Inc. ................................ 58,250
1,700 Incyte Corp., Ltd. + ............................ 12,937
1,900 Indevus Pharmaceuticals, Inc. + (a) ............. 2,983
600 Infinity Pharmaceuticals, Inc. + ................ 4,704
650 InterMune, Inc. + (a) ........................... 8,528
1,500 Invacare Corp. .................................. 30,660
1,681 Inverness Medical Innovations, Inc. + (a) ....... 55,759
1,150 Invitrogen Corp. + .............................. 45,149
200 IRIS International, Inc. + ...................... 3,130
700 Isis Pharmaceuticals, Inc. + (a) ................ 9,541
400 Jazz Pharmaceuticals, Inc. + (a) ................ 2,964
42,935 Johnson & Johnson ............................... 2,762,437
300 Kendle International, Inc. + .................... 10,899
800 Keryx Biopharmaceuticals, Inc. + ................ 392
2,350 Kinetic Concepts, Inc. + (a) .................... 93,789
5,024 King Pharmaceuticals, Inc. + .................... 52,601
925 Laboratory Corp. of America Holdings + .......... 64,408
700 LCA-Vision, Inc.(a) ............................. 3,339
600 LHC Group, Inc. + ............................... 13,950
565 LifePoint Hospitals, Inc. + ..................... 15,990
600 Ligand Pharmaceuticals, Inc., Class B + ......... 1,560
700 Lincare Holdings, Inc. + ........................ 19,880
200 Luminex Corp. + (a) ............................. 4,110
1,500 MAKO Surgical Corp. + ........................... 10,980
1,100 MannKind Corp. + (a) ............................ 3,300
200 Maxygen, Inc. + ................................. 678
Shares Value
- ---------- --------------
HEALTH CARE -- 11.5% (CONTINUED)
3,650 McKesson Corp.(a) ............................... $ 204,071
200 MDRNA, Inc. + ................................... 244
1,925 Medarex, Inc. + ................................. 12,724
-- MedAssets, Inc. + ............................... --
1,500 Medcath Corp. + ................................. 26,970
8,098 Medco Health Solutions, Inc. + .................. 382,225
1,500 Medicines Co. (The) + ........................... 29,730
300 Medicis Pharmaceutical Corp., Class A ........... 6,234
17,768 Medtronic, Inc. ................................. 919,493
550 Mentor Corp.(a) ................................. 15,301
33,458 Merck & Co., Inc. ............................... 1,261,032
100 Merge Healthcare, Inc. .......................... 116
800 Micrus Endovascular Corp. + ..................... 11,216
250 Millipore Corp. + (a). .......................... 16,965
1,500 Molina Healthcare, Inc. + ....................... 36,510
1,700 Momenta Pharmaceuticals, Inc. + (a) ............. 20,910
6,250 Mylan, Inc.(a) .................................. 75,438
1,300 Myriad Genetics, Inc. + (a) ..................... 59,176
1,450 Nektar Therapeutics + ........................... 4,858
200 Neurocrine Biosciences, Inc. + .................. 838
800 Nighthawk Radiology Holdings, Inc. + (a) ........ 5,664
600 Northstar Neuroscience, Inc. +. ................. 954
900 Novacea, Inc. + ................................. 2,349
900 Oculus Innovative Sciences, Inc. + .............. 2,169
200 Odyssey HealthCare, Inc. + ...................... 1,948
3,350 Omnicare, Inc. .................................. 87,837
1,325 Onyx Pharmaceuticals, Inc. + (a) ................ 47,170
1,250 Orexigen Therapeutics, Inc. + (a) ............... 9,863
1,350 OSI Pharmaceuticals, Inc. + ..................... 55,782
50 Palomar Medical Technologies, Inc. + ............ 499
1,500 Parexel International Corp. + ................... 39,465
1,850 Patterson Cos., Inc. + .......................... 54,372
800 PDI, Inc. + ..................................... 6,968
2,800 PDL BioPharma, Inc. ............................. 29,736
500 Pediatrix Medical Group, Inc. + ................. 24,615
1,517 PerkinElmer, Inc. ............................... 42,248
2,750 Perrigo Co. ..................................... 87,368
104,411 Pfizer, Inc. .................................... 1,824,059
1,400 Pharmaceutical Product Development, Inc. ........ 60,060
311 PharMerica Corp. + .............................. 7,025
400 Pozen, Inc. + (a) ............................... 4,352
1,300 Progenics Pharmaceuticals, Inc. + (a) ........... 20,631
200 Providence Service Corp. (The) + ................ 4,222
500 PSS World Medical, Inc. + ....................... 8,150
850 Psychiatric Solutions, Inc. + ................... 32,164
1,700 Pure Bioscience + (a) ........................... 6,749
2,925 Quest Diagnostics, Inc. ......................... 141,775
-- Quidel Corp. + .................................. --
1,200 Regeneron Pharmaceuticals, Inc. + ............... 17,328
400 Repros Therapeutics, Inc. + ..................... 3,788
600 Res-Care, Inc. + ................................ 10,668
800 Resmed, Inc. + (a) .............................. 28,592
100 Rigel Pharmaceuticals, Inc. + ................... 2,266
818 RTI Biologics, Inc. + ........................... 7,158
1,500 RXi Pharmaceuticals Corp. + ..................... 12,000
1,200 Salix Pharmaceuticals, Ltd. + ................... 8,436
300 Sangamo Biosciences, Inc. + (a) ................. 2,985
800 Savient Pharmaceuticals, Inc. + (a) ............. 20,240
25,725 Schering-Plough Corp. ........................... 506,525
1,500 Sciele Pharma, Inc. ............................. 29,025
900 Seattle Genetics, Inc. + ........................ 7,614
100 Senomyx, Inc. + ................................. 493
3,200 Sepracor, Inc. + ................................ 63,744
1,500 Sequenom, Inc. + ................................ 23,940
450 Sirona Dental Systems, Inc. + (a) ............... 11,664
700 Skilled Healthcare Group, Inc., Class A + ....... 9,394
1,100 Somaxon Pharmaceuticals, Inc. + (a) ............. 5,247
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
HEALTH CARE -- 11.5% (CONTINUED)
5,900 St. Jude Medical, Inc. + ........................ $ 241,192
650 STERIS Corp. .................................... 18,694
5,020 Stryker Corp. ................................... 315,658
1,300 Sun Healthcare Group, Inc. + .................... 17,407
1,300 Sunrise Senior Living, Inc. + ................... 29,224
1,500 SurModics, Inc. + ............................... 67,260
700 Symmetry Medical, Inc. + ........................ 11,354
2,400 Synta Pharmaceuticals Corp. + (a) ............... 14,640
900 Techne Corp. + .................................. 69,651
400 Telik, Inc. + (a) ............................... 484
7,326 Tenet Healthcare Corp. + ........................ 40,733
1,900 Tercica, Inc. + ................................. 16,777
850 Theravance, Inc. + (a) .......................... 10,090
600 Thermage, Inc. + ................................ 1,716
6,309 Thermo Fisher Scientific, Inc. + ................ 351,601
2,400 Thoratec Corp. + ................................ 41,736
1,500 TranS1, Inc. + (a) .............................. 22,605
50 Transcend Services, Inc. + ...................... 446
600 United American Healthcare Corp. + .............. 1,200
200 United Therapeutics Corp. + ..................... 19,550
19,312 UnitedHealth Group, Inc. ........................ 506,939
1,500 Universal American Corp. + ...................... 15,330
1,300 Universal Health Services, Inc., Class B ........ 82,186
750 Valeant Pharmaceuticals International + (a) ..... 12,833
2,500 Varian Medical Systems, Inc. + .................. 129,625
2,600 VCA Antech, Inc. + .............................. 72,228
2,100 Vertex Pharmaceuticals, Inc. + .................. 70,287
300 Viropharma, Inc. + .............................. 3,318
1,500 Virtual Radiologic Corp. + (a) .................. 19,875
200 Vital Signs, Inc. ............................... 11,356
2,850 Warner Chilcott, Ltd., Class A + ................ 48,308
2,000 Waters Corp. + .................................. 129,000
1,350 Watson Pharmaceuticals, Inc. + .................. 36,680
8,241 WellPoint, Inc. + ............................... 392,765
20,550 Wyeth ........................................... 985,578
2,850 Zimmer Holdings, Inc. + ......................... 193,943
600 Zoll Medical Corp. + ............................ 20,202
800 Zymogenetics, Inc. + (a) ........................ 6,736
--------------
25,148,199
--------------
INDUSTRIALS -- 11.7%
10,450 3M Co. .......................................... 727,216
-- AAON, Inc. ...................................... --
700 ABM Industries, Inc. ............................ 15,575
-- ACCO Brands Corp. + ............................. --
200 Accuride Corp. + ................................ 850
240 Actuant Corp., Class A. ......................... 7,524
100 Acuity Brands, Inc. ............................. 4,808
-- Administaff, Inc. ............................... --
2,600 Aecom Technology Corp. + (a) .................... 84,578
1,200 AeroCentury Corp. + ............................. 13,092
850 AGCO Corp. + (a) ................................ 44,549
700 Aircastle, Ltd.(a) .............................. 5,887
350 Alexander & Baldwin, Inc. ....................... 15,943
150 Alliant Techsystems, Inc. + ..................... 15,252
5,975 Allied Waste Industries, Inc. + ................. 75,405
250 Amerco, Inc. + .................................. 11,920
1,300 American Commercial Lines, Inc. + (a) ........... 14,209
-- American Reprographics Co. + .................... --
300 American Science & Engineering, Inc.(a) ......... 15,459
2,150 American Superconductor Corp. + (a) ............. 77,078
50 Ameron International Corp. ...................... 5,999
1,050 Ametek, Inc. .................................... 49,581
5,675 AMR Corp. + (a) ................................. 29,056
1,500 Amrep Corp. ..................................... 71,385
200 Angelica Corp. .................................. 4,254
400 AO Smith Corp. .................................. 13,132
Shares Value
- ---------- --------------
INDUSTRIALS -- 11.7% (CONTINUED)
-- Apogee Enterprises, Inc. ........................ $ --
100 Applied Energetics, Inc. + (a) .................. 159
200 Applied Signal Technology, Inc. ................. 2,732
300 Armstrong World Industries, Inc. ................ 8,766
750 Ascent Solar Technologies, Inc. + (a) ........... 7,763
1,500 Astec Industries, Inc. + ........................ 48,210
1,500 Atlas Air Worldwide Holdings + .................. 74,190
1,100 Avery Dennison Corp.(a) ......................... 48,323
3,092 Avis Budget Group, Inc. + ....................... 25,880
200 Axsys Technologies, Inc. + ...................... 10,408
1,500 Badger Meter, Inc. .............................. 75,795
200 Baker (Michael) Corp. + ......................... 4,376
-- Baldor Electric Co.(a) .......................... --
1,300 Barnes Group, Inc. .............................. 30,017
1,500 Barrett Business Services, Inc. ................. 17,745
400 Basin Water, Inc. + (a) ......................... 1,872
1,475 BE Aerospace, Inc. + ............................ 34,353
500 Belden, Inc. .................................... 16,940
1,000 Blount International, Inc. + .................... 11,610
1,400 BlueLinx Holdings, Inc.(a) ...................... 4,956
10,750 Boeing Co. ...................................... 706,489
550 Brady Corp., Class A ............................ 18,992
750 Briggs & Stratton Corp.(a) ...................... 9,510
450 Brink's Co. (The) ............................... 29,439
100 BTU International, Inc. + ....................... 1,189
1,500 Bucyrus International, Inc. ..................... 109,530
2,550 Builders FirstSource, Inc. + (a) ................ 13,541
150 Building Materials Holding Corp. ................ 266
4,090 Burlington Northern Santa Fe Corp. .............. 408,550
100 C&D Technologies, Inc. + (a) .................... 846
1,500 CAI International + ............................. 26,100
1,500 Calgon Carbon Corp. + ........................... 23,190
500 Carlisle, Inc.(a) ............................... 14,500
100 Casella Waste Systems, Inc., Class A + .......... 1,219
10,150 Caterpillar, Inc.(a) ............................ 749,272
1,800 CBIZ, Inc. + .................................... 14,310
400 CDI Corp. ....................................... 10,176
1,900 Ceco Environmental Corp. + ...................... 11,191
3,000 Celadon Group, Inc. + ........................... 29,970
1,300 Cenveo, Inc. + (a) .............................. 12,701
3,100 CH Robinson Worldwide, Inc. ..................... 170,004
1,850 Chart Industries, Inc. + ........................ 89,984
686 ChoicePoint, Inc. + ............................. 33,065
1,832 Cintas Corp. .................................... 48,566
400 Clarcor, Inc. ................................... 14,040
1,500 Coherent, Inc. + ................................ 44,835
300 Coleman Cable, Inc. + ........................... 3,096
1,500 Colfax Corp. + .................................. 37,635
400 Columbus McKinnon Corp. + ....................... 9,632
900 Comfort Systems USA, Inc. ....................... 12,096
300 Commercial Vehicle Group, Inc. + ................ 2,805
100 Competitive Technologies, Inc. + ................ 210
750 COMSYS IT Partners, Inc. + ...................... 6,840
-- Consolidated Graphics, Inc. + ................... --
2,000 Continental Airlines, Inc., Class B + ........... 20,220
450 Con-way, Inc. ................................... 21,267
3,025 Cooper Industries, Ltd., Class A ................ 119,487
700 Copart, Inc. + .................................. 29,974
200 Cornell, Inc. + ................................. 4,822
1,700 Corrections Corp of America + ................... 46,699
3,750 Covanta Holding Corp. + ......................... 100,087
100 Covenant Transportation Group, Inc., Class A + .. 335
300 Crane Co. ....................................... 11,559
7,800 CSX Corp. ....................................... 489,918
1,500 Cubic Corp. ..................................... 33,420
2,500 Cummins, Inc. ................................... 163,800
300 Curtiss-Wright Corp. ............................ 13,422
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INDUSTRIALS -- 11.7% (CONTINUED)
3,468 Danaher Corp. ................................... $ 268,076
8,200 Deere & Co. ..................................... 591,466
5,825 Delta Air Lines, Inc. + (a) ..................... 33,202
750 Deluxe Corp. .................................... 13,365
200 Diamond Management & Technology Consultants,
Inc., Class A ................................... 1,042
200 Document Security Systems, Inc. + (a) ........... 972
1,500 Dollar Thrifty Automotive Group + ............... 14,175
900 Donaldson Co., Inc. ............................. 40,176
3,650 Dover Corp. ..................................... 176,551
478 DRS Technologies, Inc. .......................... 37,628
-- Duff & Phelps Corp., Class A + .................. --
1,425 Dun & Bradstreet Corp. .......................... 124,886
-- Dycom Industries, Inc. + ........................ --
400 Dynamic Materials Corp.(a) ...................... 13,180
-- DynCorp International, Inc., Class A + .......... --
700 Eagle Bulk Shipping, Inc.(a) .................... 20,699
2,900 Eaton Corp. ..................................... 246,413
2,500 EMCOR Group, Inc. + ............................. 71,325
12,000 Emerson Electric Co. ............................ 593,399
1,200 Empire Resources, Inc. .......................... 4,572
550 Encore Wire Corp. ............................... 11,655
-- EnergySolutions, Inc. ........................... --
50 Ennis, Inc. ..................................... 783
50 EnPro Industries, Inc. + ........................ 1,867
3,475 Equifax, Inc. ................................... 116,829
1,725 Evergreen Solar, Inc. + (a) ..................... 16,715
3,625 Expeditors International of Washington, Inc. .... 155,875
400 Exponent, Inc. + ................................ 12,564
100 ExpressJet Holdings, Inc. + ..................... 55
1,850 Fastenal Co.(a) ................................. 79,845
800 Federal Signal Corp. ............................ 9,600
4,932 FedEx Corp. ..................................... 388,592
750 First Advantage Corp., Class A + ................ 11,888
200 Flanders Corp. + ................................ 1,210
500 Flowserve Corp. ................................. 68,350
2,000 Fluor Corp.(a) .................................. 372,159
100 Force Protection, Inc. + (a) .................... 331
1,750 Foster Wheeler, Ltd. + .......................... 128,013
350 Franklin Electric Co., Inc. ..................... 13,573
-- FreightCar America, Inc. ........................ --
600 Frontier Airlines Holdings, Inc. + (a) .......... 180
100 Frozen Food Express Industries .................. 675
1,325 FTI Consulting, Inc. + .......................... 90,709
-- Fuel Tech, Inc. + (a) ........................... --
500 FuelCell Energy, Inc. + (a) ..................... 3,550
1,800 Furmanite Corp. + ............................... 14,364
1,500 G&K Services, Inc., Class A ..................... 45,690
550 Gardner Denver, Inc. + .......................... 31,240
200 GATX Corp. ...................................... 8,866
300 Gehl Co. + ...................................... 4,437
300 GenCorp, Inc. + ................................. 2,148
1,425 General Cable Corp. + (a) ....................... 86,711
4,790 General Dynamics Corp. .......................... 403,318
153,796 General Electric Co. ............................ 4,104,816
1,500 General Maritime Corp. .......................... 38,970
1,300 Geo Group, Inc. (The) + ......................... 29,250
1,825 Goodrich Corp. .................................. 86,615
1,625 Gorman-Rupp Co. (The) ........................... 64,740
487 Graco, Inc. ..................................... 18,540
1,650 GrafTech International, Ltd. + .................. 44,270
550 Greenbrier, Inc. ................................ 11,165
1,850 Griffon Corp. + ................................. 16,206
1,350 Hardinge, Inc. .................................. 17,780
1,800 Harsco Corp. .................................... 97,938
375 Healthcare Services Group(a) .................... 5,704
933 Heartland Express, Inc.(a) ...................... 13,911
Shares Value
- ---------- --------------
INDUSTRIALS -- 11.7% (CONTINUED)
200 Herley Industries, Inc. + ....................... $ 2,656
650 Herman Miller, Inc. ............................. 16,179
3,550 Hertz Global Holdings, Inc. + ................... 34,080
1,050 Hexcel Corp. + .................................. 20,265
1,400 HI Shear Technology Corp. ....................... 17,710
300 Hill International, Inc. + ...................... 4,932
2,100 Hoku Scientific, Inc. + (a) ..................... 10,542
12,175 Honeywell International, Inc. ................... 612,159
2,050 Horizon Lines, Inc., Class A(a) ................. 20,398
400 Hubbell, Inc., Class B .......................... 15,948
400 Hurco Cos., Inc. + (a) .......................... 12,356
100 Huron Consulting Group, Inc. + .................. 4,534
300 ICT Group, Inc. + ............................... 2,460
675 IDEX Corp. ...................................... 24,867
1,750 II-VI, Inc. + ................................... 61,110
650 IKON Office Solutions, Inc. ..................... 7,332
8,516 Illinois Tool Works, Inc. ....................... 404,595
50 Imperial Industries, Inc. + ..................... 182
2,450 Industrial Services of America, Inc. + (a) ...... 39,029
6,284 Ingersoll-Rand Co., Ltd., Class A ............... 235,210
100 Innovative Solutions & Support, Inc. + .......... 645
-- Integrated Electrical Services, Inc. + .......... --
1,500 Interface, Inc., Class A ........................ 18,795
-- Interline Brands, Inc. + ........................ --
2,050 International Shipholding Corp. + ............... 48,051
400 Intersections, Inc. + ........................... 4,372
2,500 ITT Corp. ....................................... 158,325
1,800 Jacobs Engineering Group, Inc. + ................ 145,259
1,275 JB Hunt Transport Services, Inc. ................ 42,432
1,625 JetBlue Airways Corp. + (a) ..................... 6,061
1,775 Joy Global, Inc. ................................ 134,598
50 Kadant, Inc. + .................................. 1,130
923 Kansas City Southern + .......................... 40,603
2,550 KBR, Inc. ....................................... 89,021
400 Kelly Services, Inc., Class A ................... 7,732
1,000 Kennametal, Inc. ................................ 32,550
150 Kforce, Inc. + .................................. 1,274
1,200 Kimball International, Inc., Class B ............ 9,936
850 Kirby Corp. + (a) ............................... 40,800
387 Knight Transportation, Inc. ..................... 7,082
1,500 Knoll, Inc. ..................................... 18,225
7,000 Kreisler Manufacturing Corp. + .................. 85,750
2,325 L-3 Communications Holdings, Inc. ............... 211,273
100 LaBarge, Inc. + ................................. 1,300
850 Landstar System, Inc.(a) ........................ 46,937
100 LECG Corp. + .................................... 874
2,150 Lennox International, Inc. ...................... 62,264
5,700 Lockheed Martin Corp. ........................... 562,362
700 LSI Industries, Inc. ............................ 5,684
200 Macquarie Infrastructure Co. LLC ................ 5,058
1,400 Manitowoc Co., Inc. (The) ....................... 45,542
1,928 Manpower, Inc. .................................. 112,286
100 Marten Transport, Ltd. + ........................ 1,597
5,650 Masco Corp. ..................................... 88,874
1,500 MasTec, Inc. + .................................. 15,990
3,275 McDermott International, Inc. + (a) ............. 202,690
600 Meadow Valley Corp. + ........................... 5,400
1,200 Medis Technologies, Ltd. + ...................... 4,044
800 Mesa Air Group, Inc. + (a) ...................... 408
1,650 Metalico, Inc. + (a) ............................ 28,908
1,300 Mfri, Inc. + .................................... 19,630
400 Mobile Mini, Inc. + ............................. 8,000
1,650 Monster Worldwide, Inc. + ....................... 34,007
3,050 MPS Group, Inc. + ............................... 32,422
300 MSC Industrial Direct Co., Class A(a) ........... 13,233
3,300 Mueller Water Products, Inc., Class B ........... 28,182
100 NACCO Industries, Inc., Class A ................. 7,435
400 Navigant Consulting, Inc. + ..................... 7,824
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INDUSTRIALS -- 11.7% (CONTINUED)
5,350 Norfolk Southern Corp. .......................... $ 335,285
900 North American Galvanizing & Coating, Inc. + .... 7,911
4,200 Northrop Grumman Corp. .......................... 280,980
4,800 Northwest Airlines Corp. + ...................... 31,968
100 On Assignment, Inc. + ........................... 802
900 Orbital Sciences Corp. + ........................ 21,204
1,500 Orion Energy Systems, Inc. + (a) ................ 15,000
1,500 Orion Marine Group, Inc. + ...................... 21,195
800 Oshkosh Corp.(a) ................................ 16,552
950 Owens Corning, Inc. + (a) ....................... 21,613
5,005 PACCAR, Inc. .................................... 209,359
1,850 Pall Corp. ...................................... 73,408
2,593 Parker Hannifin Corp. ........................... 184,933
1,300 Pentair, Inc. ................................... 45,526
1,200 PeopleSupport, Inc. + ........................... 10,200
600 Pike Electric Corp. + ........................... 9,966
3,825 Pitney Bowes, Inc. .............................. 130,432
-- Polypore International, Inc. + .................. --
200 Portec Rail Products, Inc. ...................... 2,310
1,500 Powell Industries, Inc. + ....................... 75,615
700 Power-One, Inc. + ............................... 1,323
3,150 PowerSecure International, Inc. + (a) ........... 22,869
1,900 Precision Castparts Corp. ....................... 183,103
1,720 PRG-Schultz International, Inc. + ............... 16,185
2,450 Quanta Services, Inc. + ......................... 81,512
300 Raven Industries, Inc. .......................... 9,834
6,550 Raytheon Co. .................................... 368,634
2,475 Republic Services, Inc. ......................... 73,508
200 Resources Connection, Inc. ...................... 4,070
400 Robbins & Myers, Inc. ........................... 19,948
3,200 Robert Half International, Inc. ................. 76,704
2,500 Rockwell Automation, Inc. ....................... 109,324
2,825 Rockwell Collins, Inc. .......................... 135,487
1,150 Roper Industries, Inc. .......................... 75,762
3,350 RR Donnelley & Sons Co. ......................... 99,461
700 RSC Holdings, Inc. + (a) ........................ 6,482
75 Rush Enterprises, Inc., Class A + ............... 901
400 Ryder System, Inc. .............................. 27,552
2,850 Saia, Inc. + .................................... 31,122
1,500 Schawk, Inc., Class A ........................... 17,985
1,700 Shaw Group, Inc. (The) + ........................ 105,043
1,300 SIFCO Industries, Inc. + ........................ 13,130
1,600 Simclar, Inc. + ................................. 5,904
50 Simpson Manufacturing Co., Inc. ................. 1,187
-- Skywest, Inc. ................................... --
10,268 Southwest Airlines Co. .......................... 133,894
500 Spherion Corp. + ................................ 2,310
900 Spire Corp. + (a) ............................... 11,232
3,100 Spirit Aerosystems Holdings, Inc., Class A+ ..... 59,458
484 SPX Corp. ....................................... 63,757
1,600 Standard Parking Corp. + ........................ 29,120
1,850 Standard Register Co. (The) ..................... 17,446
50 Standex International Corp. ..................... 1,037
1,000 Steelcase, Inc., Class A ........................ 10,030
1,775 Stericycle, Inc. + (a) .......................... 91,767
1,500 Sun Hydraulics Corp. ............................ 48,405
1,950 Superior Essex, Inc. + .......................... 87,029
550 SYKES Enterprises, Inc. + ....................... 10,373
100 Sypris Solutions, Inc. .......................... 420
1,500 TAL International Group, Inc. ................... 34,110
700 Taser International, Inc. + (a) ................. 3,493
200 TBS International, Ltd., Class A + (a) .......... 7,990
-- Team, Inc. + .................................... --
1,500 Tecumseh Products Co., Class A + ................ 49,170
250 Tennant Co. ..................................... 7,518
1,900 Terex Corp. + ................................... 97,603
Shares Value
- ---------- --------------
INDUSTRIALS -- 11.7% (CONTINUED)
443 Tetra Tech, Inc. + .............................. $ 10,021
1,500 Textainer Group Holdings, Ltd. ADR. ............. 29,295
3,700 Textron, Inc. ................................... 177,341
1,575 Thomas & Betts Corp. + .......................... 59,614
600 Thomas Group, Inc. .............................. 1,320
800 Timken Co. ...................................... 26,352
250 Titan International, Inc. ....................... 8,905
300 Toro Co. ........................................ 9,981
100 TRC, Inc. + ..................................... 402
1,500 Tredegar Corp. .................................. 22,050
300 Trex Co., Inc. + (a) ............................ 3,519
2,600 Trimas Corp. + .................................. 15,574
800 Trinity Industries, Inc. ........................ 27,752
4,025 TRM Corp. + ..................................... 845
1,300 TrueBlue, Inc. + ................................ 17,173
1,500 TurboChef Technologies, Inc. + .................. 7,170
400 Twin Disc, Inc. ................................. 8,372
9,012 Tyco International, Ltd. ........................ 360,840
2,125 UAL Corp.(a) .................................... 11,093
200 Ultralife Corp. + ............................... 2,138
7,600 Union Pacific Corp. ............................. 573,799
9,750 United Parcel Service, Inc., Class B ............ 599,333
600 United Rentals, Inc. + (a) ...................... 11,766
150 United Stationers, Inc. + ....................... 5,543
14,244 United Technologies Corp. ....................... 878,854
400 Universal Forest Products, Inc. ................. 11,984
850 URS Corp. + ..................................... 35,675
1,491 US Airways Group, Inc. + (a) .................... 3,728
1,200 US Home Systems, Inc. + ......................... 4,716
300 USG Corp. + ..................................... 8,871
500 UTEK Corp. + .................................... 5,000
900 UTi Worldwide, Inc. ............................. 17,955
400 Viad Corp. ...................................... 10,316
800 Vicor Corp. ..................................... 7,984
450 Volt Information Sciences, Inc. + ............... 5,360
1,550 Wabash National Corp. ........................... 11,718
300 Wabtec Corp. .................................... 14,586
300 Walter Industries, Inc. ......................... 32,631
1,575 Waste Connections, Inc. ......................... 50,290
7,600 Waste Management, Inc. .......................... 286,595
1,300 Watson Wyatt Worldwide, Inc., Class A ........... 68,757
250 Werner Enterprises, Inc. ........................ 4,645
-- WESCO International, Inc. + ..................... --
1,500 Woodward Governor Co. ........................... 53,490
300 WW Grainger, Inc. ............................... 24,540
1,000 Xerium Technologies, Inc. ....................... 3,960
650 YRC Worldwide, Inc. + (a) ....................... 9,666
--------------
25,608,849
--------------
INFORMATION TECHNOLOGY -- 16.2%
5,300 3Com Corp. + .................................... 11,236
1,300 Acacia Research-Acacia Technologies + (a) ....... 5,824
9,200 Accenture, Ltd., Class A ........................ 374,623
200 Access Integrated Technologies, Inc.,
Class A + (a) ................................... 422
100 Actel Corp. + ................................... 1,685
4,419 Activision Blizzard, Inc. + ..................... 150,555
750 Acxiom Corp. .................................... 8,618
1,781 ADC Telecommunications, Inc. + .................. 26,305
600 ADDvantage Technologies Group, Inc. + ........... 1,836
8,534 Adobe Systems, Inc. + ........................... 336,153
700 Adtran, Inc. .................................... 16,688
500 Advanced Analogic Technologies, Inc. + .......... 2,065
700 Advanced Energy Industries, Inc. + .............. 9,590
8,550 Advanced Micro Devices, Inc. + (a) .............. 49,847
-- Advent Software, Inc. + ......................... --
1,500 Aehr Test Systems + ............................. 11,595
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
900 Affiliated Computer Services, Inc., Class A + ... $ 48,141
6,146 Agilent Technologies, Inc. + .................... 218,429
500 Agilysys, Inc. .................................. 5,670
1,000 Airvana, Inc. + (a) ............................. 5,360
2,259 Akamai Technologies, Inc. + (a) ................. 78,591
650 Alliance Data Systems Corp. + ................... 36,758
3,850 Altera Corp.(a) ................................. 79,695
100 American Technology Corp. + ..................... 185
2,650 Amkor Technology, Inc. + ........................ 27,587
1,925 Amphenol Corp., Class A ......................... 86,394
300 ANADIGICS, Inc. + (a) ........................... 2,955
5,950 Analog Devices, Inc.(a) ......................... 189,031
200 Anaren, Inc. + .................................. 2,114
1,500 Ansoft Corp. + .................................. 54,600
700 Answers Corp. + (a) ............................. 2,555
1,775 Ansys, Inc. + ................................... 83,638
12,800 Apple, Inc. + ................................... 2,143,232
20,383 Applied Materials, Inc. ......................... 389,110
2,500 Ariba, Inc. + ................................... 36,775
1,855 Arris Group, Inc. + ............................. 15,675
1,450 Arrow Electronics, Inc. + ....................... 44,544
700 Aspen Technology, Inc. + ........................ 9,310
100 Astea International, Inc. + ..................... 366
400 Atheros Communications, Inc. + .................. 12,000
9,050 Atmel Corp. + ................................... 31,494
3,800 Autodesk, Inc. + ................................ 128,478
7,975 Automatic Data Processing, Inc. ................. 334,152
1,500 Avid Technology, Inc. + ......................... 25,485
1,825 Avnet, Inc. + ................................... 49,786
350 Avocent Corp. + ................................. 6,510
1,300 AVX Corp. ....................................... 14,703
789 Axcelis Technologies, Inc. + .................... 3,850
300 Bankrate, Inc. + (a) ............................ 11,721
2,600 BearingPoint, Inc. + (a) ........................ 2,106
300 Bel Fuse, Inc., Class B ......................... 7,413
650 Benchmark Electronics, Inc. + ................... 10,621
150 BigBand Networks, Inc. + ........................ 710
600 Bitstream, Inc., Class A + ...................... 3,930
1,300 Blackbaud, Inc. ................................. 27,820
200 Blue Coat Systems, Inc. + ....................... 2,822
3,042 BMC Software, Inc. + ............................ 109,512
600 Brightpoint, Inc. + ............................. 4,380
6,865 Broadcom Corp., Class A + ....................... 187,346
3,450 Broadridge Financial Solutions, Inc. ............ 72,623
7,350 Brocade Communications Systems, Inc. + .......... 60,564
606 Brooks Automation, Inc. + ....................... 5,012
6,022 CA, Inc. ........................................ 139,048
5,802 Cadence Design Systems, Inc. + (a) .............. 58,600
200 Callidus Software, Inc. + ....................... 1,000
200 Cascade Microtech, Inc. + ....................... 1,316
600 Catapult Communications Corp. + ................. 4,272
1,400 Ciber, Inc. + ................................... 8,694
1,897 Ciena Corp. + (a) ............................... 43,953
900 Cirrus Logic, Inc. + ............................ 5,004
92,123 Cisco Systems, Inc. + ........................... 2,142,781
2,625 Citrix Systems, Inc. + .......................... 77,201
900 Cogent, Inc. + (a) .............................. 10,233
3,925 Cognizant Technology Solutions Corp.,
Class A + ....................................... 127,602
791 CommScope, Inc. + (a) ........................... 41,741
1,780 Computer Sciences Corp. + ....................... 83,375
5,325 Compuware Corp. + ............................... 50,801
400 comScore, Inc. + (a) ............................ 8,728
100 Comtech Telecommunications Corp. + .............. 4,900
1,300 Concur Technologies, Inc. + ..................... 43,199
1,800 Convergys Corp. + ............................... 26,748
24,469 Corning, Inc. ................................... 564,010
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
1,500 CPI International, Inc. + ....................... $ 18,450
600 Cray, Inc. + .................................... 2,784
700 Cree, Inc. + (a) ................................ 15,967
1,450 CSG Systems International, Inc. + ............... 15,979
100 CTS Corp. ....................................... 1,005
1,009 Cybersource Corp. + ............................. 16,881
4,025 Cypress Semiconductor Corp. + ................... 99,619
-- Daktronics, Inc. ................................ --
-- Data Domain, Inc. + ............................. --
600 Datalink Corp. + ................................ 2,772
1,500 DealerTrack Holdings, Inc. + .................... 21,165
27,650 Dell, Inc. + .................................... 604,982
1,500 Deltek, Inc. + .................................. 11,370
1,500 Dice Holdings, Inc. + ........................... 12,390
550 Diebold, Inc. ................................... 19,569
1,500 Digital Ally, Inc. + ............................ 12,780
600 Ditech Networks, Inc. + ......................... 1,290
1,500 DivX, Inc. + .................................... 11,010
1,300 Dolby Laboratories, Inc., Class A + ............. 52,390
-- DST Systems, Inc. + (a) ......................... --
700 Eagle Test Systems, Inc. + ...................... 7,840
1,721 Earthlink, Inc. + (a) ........................... 14,887
17,450 eBay, Inc. + .................................... 476,908
650 Echelon Corp. + (a) ............................. 7,085
2,105 EchoStar Corp., Class A + (a) ................... 65,718
100 EF Johnson Technologies, Inc. + ................. 175
600 Electro Scientific Industries, Inc. + ........... 8,502
5,450 Electronic Arts, Inc. + ......................... 242,144
7,750 Electronic Data Systems Corp. ................... 190,960
450 Electronics for Imaging, Inc. + ................. 6,570
31,129 EMC Corp. + ..................................... 457,285
500 Emcore Corp. + (a) .............................. 3,130
1,250 Emulex Corp. + .................................. 14,563
200 En Pointe Technologies, Inc. + .................. 454
100 EndWave Corp. + ................................. 635
1,336 Entegris, Inc. + ................................ 8,751
200 Entorian Technologies, Inc. + ................... 154
900 Epicor Software Corp. + ......................... 6,219
425 EPIQ Systems, Inc. + ............................ 6,035
500 Exar Corp. + .................................... 3,770
200 Extreme Networks + .............................. 568
900 F5 Networks, Inc. + (a) ......................... 25,578
450 Factset Research Systems, Inc.(a) ............... 25,362
1,444 Fair Isaac Corp. ................................ 29,992
1,350 Fairchild Semiconductor International, Inc. + ... 15,836
1,900 FalconStor Software, Inc. + (a) ................. 13,452
200 FARO Technologies, Inc. + ....................... 5,034
3,518 Fidelity National Information Services, Inc. .... 129,849
2,128 Fiserv, Inc. + .................................. 96,547
1,500 Flir Systems, Inc. + (a) ........................ 60,855
350 Formfactor, Inc. + .............................. 6,451
1,500 Forrester Research, Inc. + ...................... 46,320
4,100 Foundry Networks, Inc. + ........................ 48,462
1,700 Gartner, Inc. + ................................. 35,224
650 Gevity HR, Inc. ................................. 3,497
2,350 Global Cash Access Holdings, Inc. + ............. 16,121
850 Global Payments, Inc. ........................... 39,610
200 Globecomm Systems, Inc. + ....................... 1,652
900 Glu Mobile, Inc. + (a) .......................... 4,347
3,200 Google, Inc., Class A + ......................... 1,684,543
450 GSI Commerce, Inc. + (a) ........................ 6,134
800 Harmonic, Inc. + ................................ 7,608
1,925 Harris Corp. .................................... 97,193
1,300 Harris Stratex Networks, Inc., Class A + ........ 12,337
450 Heartland Payment Systems, Inc.(a) .............. 10,620
2,770 Hewitt Associates, Inc., Class A + .............. 106,174
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
37,977 Hewlett-Packard Co. ............................. $ 1,678,963
350 Hittite Microwave Corp. + ....................... 12,467
-- Hughes Communications, Inc. + ................... --
500 Hypercom Corp. + ................................ 2,200
100 ID Systems, Inc. + .............................. 644
100 iGO, Inc. + ..................................... 126
50 Ikanos Communications, Inc. + ................... 169
200 Imergent, Inc. .................................. 2,368
600 Infinera Corp. + ................................ 5,292
900 infoGROUP, Inc. ................................. 3,951
2,875 Informatica Corp. + ............................. 43,240
750 Infospace, Inc. ................................. 6,248
2,100 Ingram Micro, Inc., Class A + ................... 37,275
1,000 Insight Enterprises, Inc. + ..................... 11,730
5,060 Integrated Device Technology, Inc. + ............ 50,296
1,900 Integrated Silicon Solution, Inc. + ............. 10,564
88,516 Intel Corp. ..................................... 1,901,323
550 Interactive Intelligence, Inc. + ................ 6,402
300 InterDigital, Inc. + ............................ 7,296
200 Intermec, Inc. + ................................ 4,216
871 Internap Network Services Corp. + (a) ........... 4,076
21,620 International Business Machines Corp. ........... 2,562,618
2,350 International Rectifier Corp. + ................. 45,120
600 Internet Capital Group, Inc. + .................. 4,638
600 Interphase Corp. + .............................. 2,028
1,850 Intersil Corp., Class A ......................... 44,992
1,300 Interwoven, Inc. + .............................. 15,613
4,425 Intuit, Inc. + .................................. 121,997
300 INX, Inc. + ..................................... 3,135
-- IPG Photonics Corp. + ........................... --
4,150 Iron Mountain, Inc. + (a) ....................... 110,183
200 Isilon Systems, Inc. + (a) ...................... 888
900 Ixia + .......................................... 6,255
800 IXYS Corp. + .................................... 9,552
450 j2 Global Communications, Inc. + ................ 10,350
4,300 Jabil Circuit, Inc. ............................. 70,563
1,250 Jack Henry & Associates, Inc. ................... 27,050
550 JDA Software Group, Inc. + ...................... 9,955
4,803 JDS Uniphase Corp. + (a) ........................ 54,562
7,265 Juniper Networks, Inc. + ........................ 161,138
300 Jupitermedia Corp. + ............................ 420
100 Keithley Instruments, Inc. ...................... 950
1,700 Kemet Corp. + ................................... 5,508
600 KEY Tronic Corp. + .............................. 2,058
100 Keynote Systems, Inc. + ......................... 1,288
1,825 Kla-Tencor Corp. ................................ 74,296
1,300 Knot, Inc. (The) + (a) .......................... 12,714
400 Kulicke & Soffa Industries, Inc. + .............. 2,916
1,073 L-1 Identity Solutions, Inc. + .................. 14,292
2,425 Lam Research Corp. + ............................ 87,664
600 LaserCard Corp. + ............................... 2,862
700 Lattice Semiconductor Corp. + ................... 2,191
3,650 Lawson Software, Inc. + ......................... 26,536
200 Leadis Technology, Inc. + ....................... 320
100 LeCroy Corp. + .................................. 892
1,875 Lexmark International, Inc., Class A + .......... 62,681
1,900 Limelight Networks, Inc. + ...................... 7,258
3,525 Linear Technology Corp.(a) ...................... 114,809
450 Liquidity Services, Inc. + ...................... 5,189
193 Local.com Corp. + ............................... 716
200 LoJack Corp. + .................................. 1,592
1,200 LoopNet, Inc. + (a) ............................. 13,560
300 Loral Space & Communications, Inc. + ............ 5,286
9,860 LSI Corp. + ..................................... 60,540
600 Lumera Corp. + .................................. 588
2,701 Macrovision Solutions Corp. + ................... 40,407
1,550 Magma Design Automation, Inc. + ................. 9,409
100 Majesco Entertainment Co. + ..................... 89
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
600 MakeMusic, Inc. + ............................... $ 4,644
-- Manhattan Associates, Inc. + .................... --
700 Marchex, Inc., Class B(a) ....................... 8,624
6,850 Marvell Technology Group, Ltd. + (a) ............ 120,971
575 Mastercard, Inc., Class A ....................... 152,674
400 Mattson Technology, Inc. + ...................... 1,904
1,500 MAXIMUS, Inc. ................................... 52,230
2,550 McAfee, Inc. + .................................. 86,777
200 Measurement Specialties, Inc. + ................. 3,518
3,875 MEMC Electronic Materials, Inc. + ............... 238,467
750 Mentor Graphics Corp. + ......................... 11,850
100 Mercury Computer Systems, Inc. + ................ 753
1,000 Merix Corp. + ................................... 2,300
2,702 Metavante Technologies, Inc. + .................. 61,119
900 Methode Electronics, Inc. ....................... 9,405
1,100 Micrel, Inc. .................................... 10,065
3,537 Microchip Technology, Inc. ...................... 108,020
13,202 Micron Technology, Inc. + ....................... 79,212
1,400 Micronetics, Inc. + ............................. 11,872
1,500 Micros Systems, Inc. + .......................... 45,735
650 Microsemi Corp. + ............................... 16,367
128,940 Microsoft Corp. ................................. 3,547,138
1,500 MicroStrategy, Inc., Class A + .................. 97,125
900 Midway Games, Inc. + (a) ........................ 1,980
200 MIPS Technologies, Inc. + ....................... 750
700 MKS Instruments, Inc. + ......................... 15,330
2,075 Molex, Inc. ..................................... 50,651
300 MoneyGram International, Inc. ................... 271
600 Monolithic Power Systems, Inc. + ................ 12,972
600 MoSys, Inc. + ................................... 2,946
32,216 Motorola, Inc.(a) ............................... 236,465
4 Move, Inc. + .................................... 9
350 MTS Systems Corp. ............................... 12,558
-- Multi-Fineline Electronix, Inc. + (a) ........... --
200 Nanometrics, Inc. + ............................. 1,164
900 Napco Security Systems, Inc. + .................. 4,077
1,475 National Instruments Corp. ...................... 41,846
2,725 National Semiconductor Corp. .................... 55,972
200 NaviSite, Inc. + ................................ 760
992 NAVTEQ Corp. + .................................. 76,384
4,125 NCR Corp. + ..................................... 103,950
100 Neomagic Corp. + (a) ............................ 34
5,750 NetApp, Inc. + .................................. 124,545
500 NetList, Inc. + ................................. 850
400 Netlogic Microsystems, Inc. + (a) ............... 13,280
1,700 Netscout Systems, Inc. + ........................ 18,156
1,500 NetSuite, Inc. + ................................ 30,705
1,200 Network Equipment Technologies, Inc. + (a) ...... 4,260
750 NeuStar, Inc., Class A + ........................ 16,170
200 Newport Corp. + ................................. 2,278
100 NMS Communications Corp. + ...................... 111
550 Novatel Wireless, Inc. + (a) .................... 6,122
7,359 Novell, Inc. + .................................. 43,345
2,923 Novellus Systems, Inc. + (a) .................... 61,938
3,950 Nuance Communications, Inc. + (a) ............... 61,897
100 NVE Corp. + (a) ................................. 3,166
9,875 Nvidia Corp. + .................................. 184,860
600 Occam Networks, Inc. + .......................... 2,394
1,647 Omniture, Inc. + (a) ............................ 30,585
500 Omnivision Technologies, Inc. + (a) ............. 6,045
6,055 ON Semiconductor Corp. + (a) .................... 55,524
100 Online Resources Corp. + ........................ 835
811 Openwave Systems, Inc. + ........................ 1,208
100 Opnet Technologies, Inc. + ...................... 900
2,050 Opnext, Inc. + .................................. 11,029
700 Optelecom-NKF, Inc. + ........................... 6,083
59,830 Oracle Corp. + .................................. 1,256,429
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
200 OSI Systems, Inc. +. ............................ $ 4,284
100 Overland Storage, Inc. + ........................ 117
480 Palm, Inc.(a) ................................... 2,587
100 PAR Technology Corp. + .......................... 747
1,240 Parametric Technology Corp. + ................... 20,671
200 Parkervision, Inc. + ............................ 1,986
4,750 Paychex, Inc. ................................... 148,580
1,150 Pegasystems, Inc. ............................... 15,479
100 Pericom Semiconductor Corp. + ................... 1,484
1,350 Perot Systems Corp., Class A + .................. 20,264
8 Pfsweb, Inc. +. ................................. 38
100 Phoenix Technologies, Ltd. + .................... 1,100
100 Photon Dynamics, Inc. + ......................... 1,508
600 Photronics, Inc. + .............................. 4,224
33 Pixelworks, Inc. + .............................. 58
100 Planar Systems, Inc. + .......................... 260
350 Plantronics, Inc. ............................... 7,812
100 PLATO Learning, Inc. + .......................... 265
350 Plexus Corp. + .................................. 9,688
100 PLX Technology, Inc. + .......................... 763
3,325 PMC - Sierra, Inc. + ............................ 25,436
950 Polycom, Inc. + (a) ............................. 23,142
2,880 Powerwave Technologies, Inc. + .................. 12,240
400 QAD, Inc. ....................................... 2,708
3,650 QLogic Corp. + .................................. 53,254
25,075 QUALCOMM, Inc. .................................. 1,112,578
350 Quality Systems, Inc.(a) ........................ 10,248
2,400 Quest Software, Inc. + .......................... 35,544
100 Radiant Systems, Inc. + ......................... 1,073
200 Radyne Corp. + .................................. 2,286
1,500 Rambus, Inc. + .................................. 28,605
2,526 RealNetworks, Inc. + ............................ 16,672
2,490 Red Hat, Inc. + (a) ............................. 51,518
600 Relm Wireless Corp. ............................. 900
89 Remec, Inc. + ................................... 107
600 Renaissance Learning, Inc. ...................... 6,726
3,227 RF Micro Devices, Inc. + ........................ 9,358
1,200 RightNow Technologies, Inc. + ................... 16,404
1,500 Rogers Corp. + .................................. 56,385
340 Rudolph Technologies, Inc. + .................... 2,618
1,900 S1 Corp. + ...................................... 14,383
3,525 SAIC, Inc. + .................................... 73,355
2,000 Salesforce.com, Inc. + .......................... 136,460
2,525 SanDisk Corp. + ................................. 47,218
7,401 Sanmina-SCI Corp. + ............................. 9,473
1,650 Sapient Corp. + ................................. 10,593
1,500 SAVVIS, Inc. + (a) .............................. 19,365
8,059 Seagate Technology .............................. 154,169
500 Secure Computing Corp. + ........................ 2,070
100 Semitool, Inc. + ................................ 751
2,500 Semtech Corp. + ................................. 35,175
1,400 Sento Corp. + ................................... 70
300 ShoreTel, Inc. + ................................ 1,326
2,100 Silicon Image, Inc. + ........................... 15,225
750 Silicon Laboratories, Inc. + .................... 27,068
100 Silicon Storage Technology, Inc. + .............. 277
1,100 Simulations Plus, Inc. + ........................ 1,870
350 SiRF Technology Holdings, Inc. + (a) ............ 1,512
2,507 Skyworks Solutions, Inc. + ...................... 24,744
1,200 Smart Modular Technologies WWH, Inc. + .......... 4,596
300 Smith Micro Software, Inc. + (a) ................ 1,710
200 Soapstone Networks, Inc. + ...................... 766
1,500 Solera Holdings, Inc. + ......................... 41,490
200 Sonic Solutions, Inc. + ......................... 1,192
900 SonicWALL, Inc. + ............................... 5,805
3,125 Sonus Networks, Inc. + (a) ...................... 10,688
1,000 Spansion, Inc., Class A + ....................... 2,250
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
1,500 SPSS, Inc. + .................................... $ 54,555
200 SRA International, Inc., Class A + .............. 4,492
1,500 Standard Microsystems Corp. + ................... 40,725
500 Starent Networks Corp. + (a) .................... 6,290
1,700 STEC, Inc. + (a) ................................ 17,459
1,500 SuccessFactors, Inc. + (a) ...................... 16,425
11,000 Sun Microsystems, Inc. + (a) .................... 119,680
950 Sybase, Inc. + .................................. 27,949
2,400 Sycamore Networks, Inc. + ....................... 7,728
14,333 Symantec Corp. + ................................ 277,344
100 Symmetricom, Inc. + ............................. 384
1,200 Symyx Technologies + ............................ 8,376
1,500 SYNNEX Corp. + .................................. 37,635
2,917 Synopsys, Inc. + ................................ 69,745
1,500 Syntel, Inc. .................................... 50,580
1,050 Take-Two Interactive Software, Inc. + ........... 26,849
2,350 Tech Data Corp. + ............................... 79,642
1,500 Technitrol, Inc. ................................ 25,485
1,300 TechTarget, Inc. + .............................. 13,728
2,300 Tekelec + ....................................... 33,833
9,304 Tellabs, Inc. + ................................. 43,264
2,400 Teradata Corp. + (a) ............................ 55,536
2,725 Teradyne, Inc. + ................................ 30,166
200 Terremark Worldwide, Inc. + (a) ................. 1,092
1,600 Tessco Technologies, Inc. + ..................... 21,888
400 Tessera Technologies, Inc. + .................... 6,548
20,772 Texas Instruments, Inc. ......................... 584,939
2,500 THQ, Inc. + ..................................... 50,650
4,425 TIBCO Software, Inc. + .......................... 33,851
-- Tivo, Inc. + (a) ................................ --
200 TNS, Inc. + ..................................... 4,792
3,137 Total System Services, Inc. ..................... 69,704
1,200 Travelzoo, Inc. + ............................... 10,284
650 Trident Microsystems, Inc. + .................... 2,373
1,667 Trimble Navigation, Ltd. + ...................... 59,512
500 Trio Tech International ......................... 2,575
3,100 TriQuint Semiconductor, Inc. + .................. 18,786
100 Trx, Inc. + ..................................... 134
700 TTM Technologies, Inc. + ........................ 9,247
7,737 Tyco Electronics, Ltd. .......................... 277,139
1,000 Tyler Technologies, Inc. + ...................... 13,570
700 Unica Corp. + (a) ............................... 5,628
6,070 Unisys Corp. + .................................. 23,977
1,000 United Online, Inc. ............................. 10,030
700 Universal Display Corp. + (a) ................... 8,624
2,200 Utstarcom, Inc. + (a) ........................... 12,034
1,505 Valueclick, Inc. + .............................. 22,801
850 Varian Semiconductor Equipment Associates,
Inc. + (a) ...................................... 29,597
450 Vasco Data Security International, Inc. + (a) ... 4,739
1,500 VeriFone Holdings, Inc. + ....................... 17,925
2,416 VeriSign, Inc. + ................................ 91,325
425 Vicon Industries, Inc. + ........................ 2,223
550 Vignette Corp. + ................................ 6,600
200 Virage Logic Corp. + ............................ 1,432
6,900 Visa, Inc., Class A ............................. 561,038
4,106 Vishay Intertechnology, Inc. + .................. 36,420
-- Vocus, Inc. + ................................... --
300 Volterra Semiconductor Corp. + .................. 5,178
250 WebMD Health Corp., Class A + (a) ............... 6,975
200 Website Pros, Inc. + ............................ 1,666
3,025 Western Digital Corp. + (a) ..................... 104,453
11,504 Western Union Co. (The) ......................... 284,379
3,600 Wind River Systems, Inc. + ...................... 39,204
200 Wireless Ronin Technologies, Inc. + (a) ......... 982
200 Wireless Xcessories Group + ..................... 204
100 WPCS International, Inc. + ...................... 565
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 16.2% (CONTINUED)
550 Wright Express Corp. + .......................... $ 13,640
12,900 Xerox Corp. ..................................... 174,924
3,775 Xilinx, Inc. .................................... 95,319
1,100 X-Rite, Inc. + (a) .............................. 2,816
20,500 Yahoo!, Inc. + .................................. 423,529
725 Zebra Technologies Corp., Class A + ............. 23,664
1,300 Zoran Corp. + ................................... 15,210
1,000 Zygo Corp. + .................................... 9,830
--------------
35,538,876
--------------
MATERIALS -- 4.4%
1,126 AbitibiBowater, Inc. ............................ 10,506
2,350 Air Products & Chemicals, Inc.(a) ............... 232,321
2,620 Airgas, Inc. .................................... 152,982
2,375 AK Steel Holding Corp. .......................... 163,875
1,000 Albemarle Corp. ................................. 39,910
12,148 Alcoa, Inc. ..................................... 432,712
1,350 Allegheny Technologies, Inc. .................... 80,028
1,400 American Vanguard Corp. ......................... 17,220
750 Aptargroup, Inc. ................................ 31,463
50 Arch Chemicals, Inc. ............................ 1,658
1,350 Ashland, Inc. ................................... 65,070
3,000 Ball Corp. ...................................... 143,219
2,850 Bemis Co., Inc. ................................. 63,897
1,500 Brush Engineered Materials, Inc. + .............. 36,630
1,300 Buckeye Technologies, Inc. + .................... 10,998
1,400 Cabot Corp. ..................................... 34,034
-- Carpenter Technology Corp. ...................... --
500 Castle (A.M.) & Co. ............................. 14,305
2,000 Celanese Corp., Ser A ........................... 91,320
1,200 CF Industries Holdings, Inc.(a) ................. 183,360
3,670 Chemtura Corp. .................................. 21,433
1,900 Cleveland-Cliffs, Inc. .......................... 226,461
7,600 Coeur d'Alene Mines Corp. + (a) ................. 22,040
1,300 Commercial Metals Co. ........................... 49,010
2,800 Core Molding Technologies, Inc. + ............... 19,446
2,000 Crown Holdings, Inc. + .......................... 51,980
-- Deltic Timber Corp. ............................. --
10,000 Domtar Corp. + .................................. 54,500
15,811 Dow Chemical Co. (The) .......................... 551,961
1,200 Eagle Materials, Inc.(a) ........................ 30,396
400 Eastman Chemical Co.(a) ......................... 27,544
3,200 Ecolab, Inc. .................................... 137,568
13,500 EI Du Pont de Nemours & Co. ..................... 579,014
400 Esmark, Inc. + .................................. 7,648
1,100 FMC Corp. ....................................... 85,184
6,551 Freeport-McMoRan Copper & Gold, Inc. ............ 767,711
1,000 Friedman Industries ............................. 8,000
800 Glatfelter ...................................... 10,808
2,400 Graphic Packaging Holding Co. + ................. 4,848
400 HB Fuller Co. ................................... 8,976
1,300 Headwaters, Inc. + (a) .......................... 15,301
1,900 Hecla Mining Co. + (a) .......................... 17,594
3,800 Hercules, Inc. .................................. 64,334
300 Horsehead Holding Corp. + ....................... 3,648
1,250 Huntsman Corp. .................................. 14,250
2,450 ICO, Inc. + ..................................... 14,749
1,500 Innophos Holdings, Inc. ......................... 47,925
1,000 International Flavors & Fragrances, Inc. ........ 39,060
7,242 International Paper Co.(a) ...................... 168,739
-- Koppers Holdings, Inc. .......................... --
1,500 Kronos Worldwide, Inc. .......................... 23,085
3,100 Louisiana-Pacific Corp.(a) ...................... 26,319
-- LSB Industries, Inc. + (a) ...................... --
850 Lubrizol Corp. .................................. 39,381
1,976 MeadWestvaco Corp. .............................. 47,108
7,580 Monsanto Co. .................................... 958,414
2,800 Mosaic Co. (The) + .............................. 405,160
Shares Value
- ---------- --------------
MATERIALS -- 4.4% (CONTINUED)
700 Myers Industries, Inc. .......................... $ 5,705
3,700 Nalco Holding Co. ............................... 78,255
900 Nanophase Technologies Corp. + .................. 2,079
6,400 Newmont Mining Corp. ............................ 333,824
2,700 NL Industries, Inc. ............................. 25,731
4,070 Nucor Corp.(a) .................................. 303,907
1,670 Olin Corp. ...................................... 43,721
1,875 Owens-Illinois, Inc. + .......................... 78,168
1,050 Packaging Corp of America ....................... 22,586
1,450 Pactiv Corp. + .................................. 30,784
1,500 Polyone Corp. + ................................. 10,455
3,100 PPG Industries, Inc. ............................ 177,847
4,550 Praxair, Inc. ................................... 428,792
950 Reliance Steel & Aluminum Co. ................... 73,236
2,458 Rohm & Haas Co. ................................. 114,150
1,300 RPM International, Inc. ......................... 26,780
-- Scotts Miracle-Gro Co. (The), Class A ........... --
2,100 Sealed Air Corp. ................................ 39,921
1,300 Sensient Technologies Corp. ..................... 36,608
1,200 Sigma-Aldrich Corp. ............................. 64,632
4,525 Smurfit-Stone Container Corp. + ................. 18,417
1,500 Solutia, Inc. + ................................. 19,230
2,275 Sonoco Products Co. ............................. 70,411
600 Southern Copper Corp.(a) ........................ 63,978
700 Spartech Corp. .................................. 6,601
2,200 Steel Dynamics, Inc. ............................ 85,954
1,850 Stillwater Mining Co. + (a) ..................... 21,886
3,025 Temple-Inland, Inc.(a) .......................... 34,092
1,050 Terra Industries, Inc.(a) ....................... 51,818
250 Texas Industries, Inc. .......................... 14,033
2,873 Titanium Metals Corp.(a) ........................ 40,193
100 Tronox, Inc., Class A ........................... 316
1,500 UFP Technologies, Inc. + ........................ 15,015
50 United States Lime & Minerals, Inc. + ........... 1,979
2,400 United States Steel Corp. ....................... 443,472
1,500 US Energy Corp. Wyoming. ........................ 4,620
-- Valhi, Inc. ..................................... --
3,500 Valspar Corp. ................................... 66,185
1,500 Verso Paper Corp. + ............................. 12,690
1,000 Vista Gold Corp. + .............................. 3,650
1,944 Vulcan Materials Co.(a) ......................... 116,211
100 Wausau Paper Corp. .............................. 771
400 Westlake Chemical Corp. ......................... 5,944
3,350 Weyerhaeuser Co. ................................ 171,318
800 Worthington Industries, Inc.(a) ................. 16,400
2,400 WR Grace & Co. + ................................ 56,376
-1 Yamana Gold Inc. ................................ --
50 Zep, Inc. ....................................... 744
-- Zoltek Cos., Inc. + (a) ......................... --
--------------
9,594,588
--------------
TELECOMMUNICATION SERVICES -- 3.0%
600 Alaska Communications Systems Group, Inc. ....... 7,164
6,325 American Tower Corp., Class A + (a) ............. 267,231
91,524 AT&T, Inc. ...................................... 3,083,443
350 Cbeyond, Inc. + ................................. 5,607
2,100 Centennial Communications Corp. + ............... 14,679
2,200 CenturyTel, Inc. ................................ 78,298
2,925 Cincinnati Bell, Inc. + ......................... 11,642
6,451 Citizens Communications Co. ..................... 73,154
3,300 Clearwire Corp., Class A + (a) .................. 42,768
1,700 Cogent Communications Group, Inc. + ............. 22,780
707 Consolidated Communications Holdings, Inc. ...... 10,527
3,000 Crown Castle International Corp. + .............. 116,190
600 D&E Communications, Inc. ........................ 5,334
1,957 Embarq Corp. .................................... 92,507
Dow Jones Wilshire 5000 Index
Shares Value
- ---------- --------------
TELECOMMUNICATION SERVICES -- 3.0% (CONTINUED)
2,160 Fairpoint Communications, Inc. .................. $ 15,574
200 Fibernet Telecom Group, Inc. + .................. 1,690
100 FiberTower Corp. + .............................. 140
1,100 General Communication, Inc., Class A + .......... 7,557
650 Global Crossing, Ltd. + ......................... 11,661
1,100 Globalstar, Inc. + .............................. 3,113
1,800 Goamerica, Inc. + ............................... 13,500
800 Ibasis, Inc. .................................... 2,624
2,050 IDT Corp., Class B(a) ........................... 3,485
600 InPhonic, Inc. + (a) ............................ 3
600 Iowa Telecommunications Services, Inc. .......... 10,566
100 Kratos Defense & Security Solutions, Inc. + ..... 196
1,300 Leap Wireless International, Inc. + ............. 56,121
23,263 Level 3 Communications, Inc. + (a) .............. 68,626
4,300 MetroPCS Communications, Inc. + ................. 76,153
2,225 NII Holdings, Inc. + (a) ........................ 105,665
900 PAETEC Holding Corp. + .......................... 5,715
800 Premiere Global Services, Inc. + ................ 11,664
22,420 Qwest Communications International, Inc.(a) ..... 88,111
1,500 Rural Cellular Corp., Class A + ................. 66,765
1,200 SBA Communications Corp., Class A + ............. 43,212
45,854 Sprint Nextel Corp.(a) .......................... 435,613
200 SureWest Communications ......................... 1,686
800 Syniverse Holdings, Inc. + ...................... 12,960
1,570 Telephone & Data Systems, Inc. .................. 74,214
900 TerreStar Corp. + (a) ........................... 3,582
1,875 tw telecom, Inc. + .............................. 30,056
400 USA Mobility, Inc. .............................. 3,020
44,009 Verizon Communications, Inc. .................... 1,557,919
600 Vonage Holdings Corp. + (a) ..................... 996
8,928 Windstream Corp.(a) ............................. 110,172
--------------
6,653,683
--------------
UTILITIES -- 4.2%
9,910 AES Corp. (The) + ............................... 190,371
1,000 AGL Resources, Inc. ............................. 34,580
2,400 Allegheny Energy, Inc. .......................... 120,264
1,200 Alliant Energy Corp. ............................ 41,112
3,400 Ameren Corp.(a) ................................. 143,582
5,630 American Electric Power Co., Inc. ............... 226,495
1,500 American Water Works ............................ 33,270
3,221 Aqua America, Inc.(a) ........................... 51,439
5,900 Aquila, Inc. + .................................. 22,243
1,100 Atmos Energy Corp. .............................. 30,327
850 Avista Corp. .................................... 18,241
-- California Water Service Group .................. --
7,000 Calpine Corp. + ................................. 157,920
4,500 Centerpoint Energy, Inc. ........................ 72,225
400 Cleco Corp. ..................................... 9,332
3,450 CMS Energy Corp. ................................ 51,405
4,000 Consolidated Edison, Inc. ....................... 156,360
3,300 Constellation Energy Group, Inc. ................ 270,930
9,190 Dominion Resources, Inc. ........................ 436,432
1,500 DPL, Inc. ....................................... 39,570
3,100 DTE Energy Co.(a) ............................... 131,564
19,582 Duke Energy Corp. ............................... 340,335
7,700 Dynegy, Inc., Class A + ......................... 65,835
4,250 Edison International ............................ 218,365
650 El Paso Electric Co. + .......................... 12,870
500 Empire District Electric Co. .................... 9,270
690 Energen Corp. ................................... 53,841
3,125 Energy East Corp. ............................... 77,250
2,500 Entergy Corp. ................................... 301,200
2,300 Equitable Resources, Inc. ....................... 158,838
10,774 Exelon Corp. .................................... 969,228
4,250 FirstEnergy Corp. ............................... 349,902
Shares Value
- ---------- --------------
UTILITIES -- 4.2% (CONTINUED)
6,060 FPL Group, Inc. ................................. $ 397,414
800 Great Plains Energy, Inc.(a) .................... 20,224
750 Hawaiian Electric Industries, Inc.(a) ........... 18,548
650 Idacorp, Inc. ................................... 18,779
1,800 Integrys Energy Group, Inc. ..................... 91,494
1,325 ITC Holdings Corp. .............................. 67,721
2,125 MDU Resources Group, Inc. ....................... 74,078
4,725 Mirant Corp. + (a) .............................. 184,984
750 National Fuel Gas Co. ........................... 44,610
1,300 Nicor, Inc. ..................................... 55,367
5,715 NiSource, Inc. .................................. 102,413
3,000 Northeast Utilities ............................. 76,590
3,825 NRG Energy, Inc. + .............................. 164,093
2,190 NSTAR ........................................... 74,066
1,100 OGE Energy Corp. ................................ 34,881
1,325 Oneok, Inc. ..................................... 64,700
2,650 Pepco Holdings, Inc. ............................ 67,973
5,800 PG&E Corp. ...................................... 230,202
1,700 Piedmont Natural Gas Co.(a) ..................... 44,472
2,900 Pinnacle West Capital Corp. ..................... 89,233
700 PNM Resources, Inc.(a) .......................... 8,372
950 Portland General Electric Co. ................... 21,394
5,200 PPL Corp. ....................................... 271,804
4,241 Progress Energy, Inc. ........................... 177,401
8,400 Public Service Enterprise Group, Inc. ........... 385,812
2,300 Puget Energy, Inc. .............................. 55,177
3,300 Questar Corp. ................................... 234,432
4,479 Reliant Energy, Inc. + .......................... 95,268
1,379 SCANA Corp. ..................................... 51,023
5,000 Sempra Energy ................................... 282,250
3,550 Sierra Pacific Resources ........................ 45,121
11,350 Southern Co. .................................... 396,341
1,572 Southern Union Co. .............................. 42,475
1,300 Southwest Gas Corp. ............................. 38,649
730 Southwest Water Co.(a) .......................... 7,315
3,100 TECO Energy, Inc.(a) ............................ 66,619
1,300 UGI Corp. ....................................... 37,323
1,500 UIL Holdings Corp. .............................. 44,115
933 Vectren Corp. ................................... 29,119
950 Westar Energy, Inc. ............................. 20,435
350 WGL Holdings, Inc. .............................. 12,159
1,650 Wisconsin Energy Corp. .......................... 74,613
6,125 Xcel Energy, Inc. ............................... 122,929
--------------
9,236,584
--------------
Total Common Stock (Cost $180,820,588) 217,883,237
--------------
PREFERRED STOCK -- 0.0%
HEALTH CARE -- 0.0%
4 Inverness Medical Innovations, Inc. + ........... 948
--------------
Total Preferred Stock (Cost $1,175) 948
--------------
RIGHT -- 0.0%
708 Guaranty Financial Group ........................ --
--------------
Total Right (Cost $-) --
--------------
MONEY MARKET FUND -- 11.1%
24,260,839 PNC Institutional Money Market Trust (b)(c) ..... 24,260,839
--------------
Total Money Market Fund
(Cost $24,260,839) 24,260,839
--------------
Total Investments -- 110.6%
(Cost $205,082,602) 242,145,024
Other Assets & Liabilities, Net -- (10.6)% (23,119,105)
--------------
Shares Value
- ---------- --------------
NET ASSETS -- 100.0% $ 219,025,919
==============
ADR -- American Depositary Receipt
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents 7-day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Amounts designated as "--" are either $0 or have been rounded to $0.
Large Company Growth Portfolio
Shares Value
- ---------- --------------
COMMON STOCK -- 97.9%
CONSUMER DISCRETIONARY -- 5.7%
6,529 Amazon.com, Inc. + (a) .......................... $ 478,772
900 American Eagle Outfitters, Inc. ................. 12,267
8,781 Apollo Group, Inc., Class A + ................... 388,647
1,300 Best Buy Co., Inc.(a) ........................... 51,480
19,465 Burger King Holdings, Inc. ...................... 521,467
3,100 Central European Media Enterprises, Ltd.,
Class A + (a) ................................... 280,643
80,000 Coach, Inc. + (a) ............................... 2,310,400
9,600 Dick's Sporting Goods, Inc. + (a) ............... 170,304
61,950 DIRECTV Group, Inc. (The) + ..................... 1,605,124
24,700 DreamWorks Animation SKG, Inc., Class A + (a) ... 736,307
11,000 Eastman Kodak Co. ............................... 158,730
4,679 Expedia, Inc. + (a) ............................. 86,000
1,200 Family Dollar Stores, Inc. ...................... 23,928
11,132 GameStop Corp., Class A + ....................... 449,733
7,900 Garmin, Ltd.(a) ................................. 338,436
-- General Motors Corp.(a) ......................... --
29 Getty Images, Inc. + ............................ 984
7,600 Guess ?, Inc. ................................... 284,620
1,898 Harman International Industries, Inc. ........... 78,558
13,007 IAC/InterActiveCorp + ........................... 250,775
6,700 ITT Educational Services, Inc. + ................ 553,621
9,330 Johnson Controls, Inc. .......................... 267,584
-- KB Home(a) ...................................... --
6,115 Kohl's Corp. + .................................. 244,845
35,350 Las Vegas Sands Corp. + (a) ..................... 1,677,005
-- Lennar Corp., Class A(a) ........................ --
11,590 Lowe's Cos., Inc. ............................... 240,493
16,970 McDonald's Corp. ................................ 954,053
10,800 Newell Rubbermaid, Inc. ......................... 181,332
48,870 Nike, Inc., Class B ............................. 2,913,141
400 Panera Bread Co., Class A + (a) ................. 18,504
15,979 priceline.com, Inc. + (a) ....................... 1,844,935
23,700 Ross Stores, Inc. ............................... 841,824
3,634 Scientific Games Corp., Class A + (a) ........... 107,639
-- Snap-On, Inc.(a) ................................ --
4,672 Starwood Hotels & Resorts Worldwide, Inc.(a) .... 187,207
2,200 Strayer Education, Inc. ......................... 459,954
5,560 Target Corp. .................................... 258,484
5,126 Tiffany & Co. ................................... 208,885
30,800 TJX Cos., Inc.(a) ............................... 969,275
7,753 Urban Outfitters, Inc. + (a) .................... 241,816
5,269 WABCO Holdings, Inc. ............................ 244,798
8,860 Walt Disney Co. (The) ........................... 276,432
24,825 Yum! Brands, Inc. ............................... 871,109
--------------
21,790,111
--------------
CONSUMER STAPLES -- 6.4%
28,695 Altria Group, Inc. .............................. 589,969
56,512 Avon Products, Inc.(a) .......................... 2,035,562
1,196 Bunge, Ltd.(a) .................................. 128,797
23,614 Coca-Cola Co. (The) ............................. 1,227,456
-- Coca-Cola Enterprises, Inc. ..................... --
29,975 Costco Wholesale Corp.(a) ....................... 2,102,447
206,676 CVS ............................................. 8,178,169
16,495 Fomento Economico Mexicano SAB de CV ADR ........ 750,687
4,500 General Mills, Inc. ............................. 273,465
3,245 Hansen Natural Corp. + (a) ...................... 93,521
11,050 HJ Heinz Co. .................................... 528,742
1,200 Hormel Foods Corp. .............................. 41,532
31 Kellogg Co. ..................................... 1,489
4,746 Molson Coors Brewing Co., Class B ............... 257,850
47,950 PepsiCo, Inc. ................................... 3,049,141
Shares Value
- ---------- --------------
CONSUMER STAPLES -- 6.4% (CONTINUED)
28,695 Philip Morris International, Inc. ............... $ 1,417,246
37,240 Procter & Gamble Co. ............................ 2,264,564
3,450 Walgreen Co. .................................... 112,160
25,155 Wal-Mart Stores, Inc. ........................... 1,413,711
--------------
24,466,508
--------------
ENERGY -- 13.1%
16,845 Apache Corp. .................................... 2,341,455
23,400 BJ Services Co. ................................. 747,396
22,250 Cameron International Corp. + ................... 1,231,538
3,300 Chesapeake Energy Corp.(a) ...................... 217,668
4,400 Cimarex Energy Co. .............................. 306,548
2,100 Continental Resources, Inc. + ................... 145,572
9,000 Denbury Resources, Inc. + ....................... 328,500
1,300 Devon Energy Corp. .............................. 156,208
1,400 Encore Acquisition Co. + ........................ 105,266
12,600 ENSCO International, Inc. ....................... 1,017,324
13,844 EOG Resources, Inc. ............................. 1,816,333
47,850 Exxon Mobil Corp. ............................... 4,217,020
46,500 FMC Technologies, Inc. + ........................ 3,577,245
5,600 Forest Oil Corp. + .............................. 417,200
532 Foundation Coal Holdings, Inc.(a) ............... 47,125
60,953 Halliburton Co. ................................. 3,234,776
2,900 Helmerich & Payne, Inc. ......................... 208,858
2,200 Hess Corp. ...................................... 277,618
60,885 National Oilwell Varco, Inc. + .................. 5,401,717
11,200 Newfield Exploration Co. + ...................... 730,800
2,700 Noble Corp.(a) .................................. 175,392
3,800 Noble Energy, Inc. .............................. 382,128
6,900 Occidental Petroleum Corp. ...................... 620,034
14,200 Patterson-UTI Energy, Inc. ...................... 511,768
16,905 Peabody Energy Corp.(a) ......................... 1,488,485
400 PetroHawk Energy Corp. + ........................ 18,524
17,620 Petroleo Brasileiro SA ADR(a) ................... 1,248,025
1,226 Pioneer Natural Resources Co. ................... 95,971
3,000 Plains Exploration & Production Co. + ........... 218,910
300 Pride International, Inc. + ..................... 14,187
7,500 Quicksilver Resources, Inc. + ................... 289,800
2,850 Range Resources Corp. ........................... 186,789
48,235 Schlumberger, Ltd. .............................. 5,181,886
26,772 Southwestern Energy Co. + ....................... 1,274,615
4,000 Superior Energy Services, Inc. + ................ 220,560
2,000 Tetra Technologies, Inc. + ...................... 47,420
3,400 Tidewater, Inc. ................................. 221,102
29,736 Transocean, Inc. ................................ 4,531,469
7,400 Unit Corp. + .................................... 613,978
18,300 Valero Energy Corp. ............................. 753,594
4,600 W&T Offshore, Inc. .............................. 269,146
1,600 Whiting Petroleum Corp. + ....................... 169,728
29,010 Williams, Inc. .................................. 1,169,393
56,989 XTO Energy, Inc. ................................ 3,904,316
--------------
50,133,387
--------------
FINANCIALS -- 5.8%
38,250 Aflac, Inc. ..................................... 2,402,100
61,143 American Express Co.(a) ......................... 2,303,257
12,100 Bank of Hawaii Corp. ............................ 578,380
-- BB&T Corp.(a) ................................... --
2,310 BlackRock, Inc.(a) .............................. 408,870
-- Capital One Financial Corp.(a) .................. --
104,015 Charles Schwab Corp. (The) ...................... 2,136,468
27,200 Citigroup, Inc. ................................. 455,872
2,600 City National Corp. ............................. 109,382
9,122 CME Group, Inc. ................................. 3,495,460
5,017 Cullen/Frost Bankers, Inc. ...................... 250,097
-- Fifth Third Bancorp(a) .......................... --
19,321 Goldman Sachs Group, Inc. (The) ................. 3,379,243
9,500 Health Care REIT, Inc.++ ........................ 422,750
51,700 Hudson City Bancorp, Inc. ....................... 862,356
Large Company Growth Portfolio
Shares Value
- ---------- --------------
FINANCIALS -- 5.8% (CONTINUED)
4,132 IntercontinentalExchange, Inc. + ................ $ 471,048
11,750 Invesco, Ltd. ................................... 281,765
4,200 Jefferies Group, Inc.(a) ........................ 70,644
18,440 JPMorgan Chase & Co. ............................ 632,676
6,900 Kimco Realty Corp.++ ............................ 238,188
-- Lehman Brothers Holdings, Inc.(a) ............... --
-- Merrill Lynch & Co., Inc.(a) .................... --
-- Morgan Stanley(a) ............................... --
2,700 MSCI, Inc., Class A + ........................... 97,983
-- National City Corp.(a) .......................... --
3,461 NYSE Euronext ................................... 175,334
7,654 Rayonier, Inc.++ ................................ 324,989
8,109 State Street Corp. .............................. 518,895
16,775 T Rowe Price Group, Inc. ........................ 947,284
85,125 TD Ameritrade Holding Corp. + ................... 1,539,911
-- Wachovia Corp.(a) ............................... --
-- Washington Mutual, Inc.(a) ...................... --
-- Wells Fargo & Co.(a) ............................ --
8,800 Wilmington Trust Corp. .......................... 232,672
--------------
22,335,624
--------------
HEALTH CARE -- 15.7%
34,460 Abbott Laboratories ............................. 1,825,346
13,281 Aetna, Inc. ..................................... 538,279
6,630 Alcon, Inc. ..................................... 1,079,298
61,700 Allergan, Inc.(a) ............................... 3,211,485
18,800 Amgen, Inc. + ................................... 886,608
60,980 Baxter International, Inc. ...................... 3,899,061
2,520 Becton Dickinson & Co. .......................... 204,876
1,100 Biogen Idec, Inc. + ............................. 61,479
11,585 BioMarin Pharmaceutical, Inc. + ................. 335,733
42,100 Bristol-Myers Squibb Co. ........................ 864,313
79,200 Celgene Corp. + ................................. 5,058,504
10,000 Charles River Laboratories International,
Inc. + (a) ...................................... 639,200
5,985 Cigna Corp. ..................................... 211,809
1,870 Cooper Cos., Inc. (The) ......................... 69,471
9,067 Covance, Inc. + ................................. 779,943
21,900 Eli Lilly & Co. ................................. 1,010,904
2,000 Endo Pharmaceuticals Holdings, Inc. + ........... 48,380
28,921 Express Scripts, Inc. + ......................... 1,813,925
28,005 Forest Laboratories, Inc. + ..................... 972,894
9,238 Genentech, Inc. + ............................... 701,164
6,500 Gen-Probe, Inc. + ............................... 308,620
28,795 Genzyme Corp. + ................................. 2,073,816
209,730 Gilead Sciences, Inc. + ......................... 11,105,203
10,420 Hill-Rom Holdings, Inc. ......................... 281,132
2,474 HLTH Corp. + .................................... 28,006
4,100 Idexx Laboratories, Inc. + (a) .................. 199,834
3,030 Intuitive Surgical, Inc. + ...................... 816,282
46,757 Johnson & Johnson ............................... 3,008,345
2,946 Laboratory Corp. of America Holdings + .......... 205,130
-- McKesson Corp.(a) ............................... --
7,682 Medco Health Solutions, Inc. + .................. 362,590
37,281 Medtronic, Inc. ................................. 1,929,292
20,470 Merck & Co., Inc. ............................... 771,514
2,900 Millipore Corp. + (a) ........................... 196,794
13,960 Novo Nordisk ADR ................................ 921,360
4,800 Patterson Cos., Inc. + .......................... 141,072
5,035 Pediatrix Medical Group, Inc. + ................. 247,873
30,827 Pfizer, Inc. .................................... 538,548
9,288 Resmed, Inc. + (a) .............................. 331,953
61,950 Schering-Plough Corp. ........................... 1,219,796
2,800 St. Jude Medical, Inc. + ........................ 114,464
74,915 Stryker Corp. ................................... 4,710,654
10,900 Techne Corp. + .................................. 843,551
13,125 Teva Pharmaceutical Industries, Ltd. ADR ........ 601,125
69,195 Thermo Fisher Scientific, Inc. + ................ 3,856,238
Shares Value
- ---------- --------------
HEALTH CARE -- 15.7% (CONTINUED)
1,300 Varian Medical Systems, Inc. + .................. $ 67,405
28 VCA Antech, Inc. + .............................. 778
6,266 Waters Corp. + .................................. 404,157
-- WellPoint, Inc. + ............................... --
974 Wyeth ........................................... 46,713
5,410 Zimmer Holdings, Inc. + ......................... 368,151
--------------
59,913,068
--------------
INDUSTRIALS -- 14.6%
23,050 3M Co. .......................................... 1,604,049
158,900 ABB, Ltd. ADR + ................................. 4,500,048
7,900 AGCO Corp. + (a) ................................ 414,039
11,500 Ametek, Inc. .................................... 543,030
3,772 Avery Dennison Corp.(a) ......................... 165,704
11,424 Boeing Co. ...................................... 750,785
2,374 Brink's Co. (The) ............................... 155,307
19,730 Bucyrus International, Inc. ..................... 1,440,685
36,700 Burlington Northern Santa Fe Corp. .............. 3,665,963
3,200 Caterpillar, Inc.(a) ............................ 236,224
28,943 CH Robinson Worldwide, Inc. ..................... 1,587,234
69 ChoicePoint, Inc. + ............................. 3,326
4,800 Corrections Corp of America + ................... 131,856
40,570 CSX Corp. ....................................... 2,548,202
5,470 Cummins, Inc. ................................... 358,394
12,200 Danaher Corp. ................................... 943,060
2,946 Deere & Co. ..................................... 212,495
11,800 DryShips, Inc.(a) ............................... 946,124
6,335 Eaton Corp. ..................................... 538,285
63,750 Expeditors International of Washington, Inc. .... 2,741,250
13,938 FedEx Corp. ..................................... 1,098,175
1,895 First Solar, Inc. + ............................. 516,994
19,284 Flowserve Corp. ................................. 2,636,124
4,690 Fluor Corp.(a) .................................. 872,715
200 FTI Consulting, Inc. + .......................... 13,692
4,663 GATX Corp. ...................................... 206,711
19,350 General Dynamics Corp. .......................... 1,629,270
11,200 Goodrich Corp. .................................. 531,552
21,100 Honeywell International, Inc. ................... 1,060,908
4,905 Hubbell, Inc., Class B .......................... 195,562
4,200 Illinois Tool Works, Inc. ....................... 199,542
6,000 ITT Corp. ....................................... 379,980
25,261 Jacobs Engineering Group, Inc. + ................ 2,038,562
11,300 JB Hunt Transport Services, Inc. ................ 376,064
29,857 Joy Global, Inc. ................................ 2,264,056
9,400 Kansas City Southern + .......................... 413,506
15,605 KBR, Inc. ....................................... 544,771
6,400 L-3 Communications Holdings, Inc. ............... 581,568
7,761 Manitowoc Co., Inc. (The) ....................... 252,465
8,885 Norfolk Southern Corp. .......................... 556,823
31,700 Oshkosh Corp.(a) ................................ 655,873
1 Owens Corning, Inc. + (a) ....................... 23
6,734 PACCAR, Inc. .................................... 281,683
20,200 Pitney Bowes, Inc. .............................. 688,820
36,659 Precision Castparts Corp. ....................... 3,532,828
13,773 Ryder System, Inc. .............................. 948,684
9,740 Shaw Group, Inc. (The) + ........................ 601,835
11,300 SPX Corp. ....................................... 1,488,549
20,600 Stericycle, Inc. + (a) .......................... 1,065,020
7,000 Sunpower Corp., Class A + (a) ................... 503,860
6,600 Terex Corp. + ................................... 339,042
616 Textron, Inc. ................................... 29,525
17,400 Union Pacific Corp. ............................. 1,313,700
16,500 United Parcel Service, Inc., Class B ............ 1,014,255
24,100 United Technologies Corp. ....................... 1,486,970
6,205 Walter Industries, Inc. ......................... 674,918
33,500 Waste Management, Inc. .......................... 1,263,285
--------------
55,743,970
--------------
Large Company Growth Portfolio
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 27.1%
92,871 Adobe Systems, Inc. + ........................... $ 3,658,189
1,000 Akamai Technologies, Inc. + (a) ................. 34,790
-- Alcatel-Lucent ADR + (a) ........................ --
49,335 Altera Corp.(a) ................................. 1,021,235
28,434 Amphenol Corp., Class A ......................... 1,276,117
2,693 Ansys, Inc. + ................................... 126,894
67,390 Apple, Inc. + ................................... 11,283,781
5,158 Autodesk, Inc. + ................................ 174,392
7,600 BMC Software, Inc. + ............................ 273,600
9,000 Broadcom Corp., Class A + ....................... 245,610
345 Ciena Corp. + ................................... 7,994
324,840 Cisco Systems, Inc. + ........................... 7,555,777
11,853 Citrix Systems, Inc. + (a) ...................... 348,597
137,500 Cognizant Technology Solutions Corp.,
Class A + ....................................... 4,470,125
112,893 Corning, Inc. ................................... 2,602,184
2,730 Cree, Inc. + (a) ................................ 62,271
2,800 Cypress Semiconductor Corp. + ................... 69,300
25,600 Dell, Inc. + .................................... 560,128
58 Diebold, Inc. ................................... 2,064
43,779 eBay, Inc. + (a) ................................ 1,196,480
13,112 Electronic Arts, Inc. + ......................... 582,566
93,765 EMC Corp. + ..................................... 1,377,408
19,400 Flir Systems, Inc. + ............................ 787,058
14,077 Google, Inc., Class A + ......................... 7,410,414
3,094 Hewitt Associates, Inc., Class A + .............. 118,593
83,582 Hewlett-Packard Co. ............................. 3,695,160
39,896 Integrated Device Technology, Inc. + ............ 396,566
233,595 Intel Corp. ..................................... 5,017,621
63,238 International Business Machines Corp. ........... 7,495,599
86 International Rectifier Corp. + ................. 1,651
20,551 Intuit, Inc. + .................................. 566,591
6,858 JDS Uniphase Corp. + (a) ........................ 77,907
100,090 Juniper Networks, Inc. + (a) .................... 2,219,996
13,600 Linear Technology Corp.(a) ...................... 442,952
15,936 Mastercard, Inc., Class A ....................... 4,231,327
9,274 McAfee, Inc. + .................................. 315,594
13,687 MEMC Electronic Materials, Inc. + ............... 842,298
5,875 Mettler Toledo International, Inc. + ............ 557,303
17,119 Microchip Technology, Inc.(a) ................... 522,814
247,614 Microsoft Corp. ................................. 6,811,862
-- Motorola, Inc.(a) ............................... --
1,400 NAVTEQ Corp. + .................................. 107,800
28,505 Nuance Communications, Inc. + (a) ............... 446,673
80,665 Nvidia Corp. + .................................. 1,510,049
167,070 Oracle Corp. + .................................. 3,508,470
143,934 QUALCOMM, Inc. .................................. 6,386,352
43,530 Research In Motion, Ltd. + ...................... 5,088,657
13,735 Salesforce.com, Inc. + .......................... 937,139
1,189 Silicon Laboratories, Inc. + .................... 42,911
1,100 Sohu.com, Inc. + ................................ 77,484
33,141 Synopsys, Inc. + ................................ 792,401
4,211 Teradata Corp. + (a) ............................ 97,443
92 Teradyne, Inc. + ................................ 1,018
19,418 Texas Instruments, Inc. ......................... 546,811
19,400 Trimble Navigation, Ltd. + ...................... 692,580
19,188 Varian Semiconductor Equipment Associates,
Inc. + (a) ...................................... 668,126
22,252 VeriSign, Inc. + ................................ 841,126
10,900 VMware, Inc., Class A + (a) ..................... 587,074
1,800 WebMD Health Corp., Class A + (a) ............... 50,220
44,050 Western Digital Corp. + (a) ..................... 1,521,047
21,750 Western Union Co. (The) ......................... 537,660
22,300 Xilinx, Inc.(a) ................................. 563,075
20,800 Yahoo!, Inc. + .................................. 429,728
2,476 Zebra Technologies Corp., Class A + ............. 80,817
--------------
103,955,469
--------------
Shares Value
- ---------- --------------
MATERIALS -- 6.2%
4,315 Agrium, Inc. .................................... $ 464,035
9,760 Albemarle Corp. ................................. 389,522
6,930 ArcelorMittal(a) ................................ 686,555
9,100 Ashland, Inc. ................................... 438,620
7,040 BHP Billiton, Ltd. ADR(a) ....................... 599,738
12,430 Celanese Corp., Ser A ........................... 567,554
3,500 CF Industries Holdings, Inc. .................... 534,800
7,875 Cia Vale do Rio Doce ADR ........................ 282,083
7,665 Commercial Metals Co. ........................... 288,971
-- Eastman Chemical Co.(a) ......................... --
13,762 EI Du Pont de Nemours & Co. ..................... 590,252
15,618 FMC Corp. ....................................... 1,209,458
10,144 Freeport-McMoRan Copper & Gold, Inc. ............ 1,188,775
33,630 Gerdau Ameristeel Corp.(a) ...................... 649,059
7,664 International Flavors & Fragrances, Inc. ........ 299,356
61,203 Monsanto Co. .................................... 7,738,507
3,317 Mosaic Co. (The) + .............................. 479,970
7,900 Newmont Mining Corp. ............................ 412,064
7,600 Nucor Corp.(a) .................................. 567,492
12,900 Owens-Illinois, Inc. + .......................... 537,801
5,100 Potash Corp of Saskatchewan ..................... 1,165,707
19,940 Praxair, Inc. ................................... 1,879,146
1,400 Steel Dynamics, Inc. ............................ 54,698
-- Terra Industries, Inc.(a) ....................... --
15,240 United States Steel Corp. ....................... 2,816,046
--------------
23,840,209
--------------
TELECOMMUNICATION SERVICES -- 1.3%
60,000 America Movil SAB de CV ADR, Ser L .............. 3,165,000
20,550 AT&T, Inc. ...................................... 692,330
4,070 Millicom International Cellular SA .............. 421,245
-- Sprint Nextel Corp.(a) .......................... --
Large Company Growth Portfolio
26,700 Vimpel-Communications ADR(a) .................... 792,456
--------------
5,071,031
--------------
UTILITIES -- 1.9%
-- Ameren Corp.(a) ................................. --
14,900 American Electric Power Co., Inc. ............... 599,427
24,023 Energen Corp. ................................... 1,874,515
39,172 Exelon Corp. .................................... 3,523,913
3,850 FirstEnergy Corp. ............................... 316,971
6,049 FPL Group, Inc. ................................. 396,693
7,000 Questar Corp. ................................... 497,280
--------------
7,208,799
--------------
Total Common Stock (Cost $332,695,368) 374,458,176
--------------
INVESTMENT COMPANY -- 0.3%
FINANCIALS -- 0.3%
22,000 iShares Russell 1000 + .......................... 1,215,280
--------------
Total Investment Company (Cost $1,220,560) 1,215,280
--------------
MONEY MARKET FUND -- 9.0%
34,447,448 PNC Institutional Money Market Trust (b)(c) ..... 34,447,448
--------------
Total Money Market Fund
(Cost $34,447,448) 34,447,448
--------------
Total Investments -- 107.1%
(Cost $368,363,376) 410,120,904
Other Assets & Liabilities, Net -- (7.1)% (27,535,861)
--------------
NET ASSETS -- 100.0% $ 382,585,043
==============
ADR -- American Depositary Receipt
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents the seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Amounts designated as "--" are either $0 or have been rounded to $0.
Small Company Growth Portfolio
Shares Value
- ---------- --------------
COMMON STOCK -- 97.8%
CONSUMER DISCRETIONARY -- 8.1%
300 Aaron Rents, Inc.(a) ............................ $ 6,699
925 Aeropostale, Inc. + ............................. 28,980
9,494 American Apparel, Inc. + (a) .................... 63,135
1,125 Bally Technologies, Inc. + ...................... 38,025
300 Blue Nile, Inc. + ............................... 12,756
2,080 Capella Education Co. + (a) ..................... 124,072
725 Chipotle Mexican Grill, Inc., Class B + ......... 54,635
270 Coinstar, Inc. + ................................ 8,832
300 Corinthian Colleges, Inc. + ..................... 3,483
650 CROCS, Inc. + (a) ............................... 5,207
905 DeVry, Inc. ..................................... 48,526
200 Matthews International Corp., Class A ........... 9,052
1,662 NetFlix, Inc. + ................................. 43,328
288 Overstock.com, Inc. + ........................... 7,474
686 Peet's Coffee & Tea, Inc. + (a) ................. 13,597
525 Pre-Paid Legal Services, Inc. + (a) ............. 21,326
1,325 priceline.com, Inc. + ........................... 152,984
525 Red Robin Gourmet Burgers, Inc. + ............... 14,564
200 Scientific Games Corp., Class A + ............... 5,924
40 Shuffle Master, Inc. + .......................... 198
1,000 Smith & Wesson Holding Corp. + .................. 5,210
300 Sonic Corp. + ................................... 4,440
3,425 Sotheby's(a) .................................... 90,317
100 Spartan Motors, Inc. ............................ 747
1,237 Stamps.com, Inc. + .............................. 15,438
1,411 Strayer Education, Inc. ......................... 294,997
800 Syntax-Brillian Corp. + (a) ..................... 416
100 Texas Roadhouse, Inc., Class A + (a) ............ 897
325 Under Armour, Inc., Class A + ................... 8,333
300 Universal Electronics, Inc. + ................... 6,270
4,792 Warnaco Group, Inc. (The) + ..................... 211,183
--------------
1,301,045
--------------
CONSUMER STAPLES -- 0.8%
1,100 American Oriental Bioengineering, Inc. + ........ 10,857
50 Andersons, Inc. (The) ........................... 2,036
500 Cal-Maine Foods, Inc. ........................... 16,495
425 Central European Distribution Corp. + (a) ....... 31,514
425 Corn Products International, Inc. ............... 20,871
125 Green Mountain Coffee Roasters, Inc. + .......... 4,696
925 United Natural Foods, Inc. + .................... 18,019
600 Universal Corp. ................................. 27,132
--------------
131,620
--------------
ENERGY -- 16.3%
1,608 Allis-Chalmers Energy, Inc. + ................... 28,622
644 Alon USA Energy, Inc. ........................... 7,702
300 Approach Resources, Inc. + ...................... 8,037
2,250 Arena Resources, Inc. + ......................... 118,845
2,800 ATP Oil & Gas Corp. + ........................... 110,516
1,570 Atwood Oceanics, Inc. + ......................... 195,214
900 Bois d'Arc Energy, Inc. + ....................... 21,879
10,320 Brigham Exploration Co. + ....................... 163,366
100 Cano Petroleum, Inc. + .......................... 794
1,450 Carrizo Oil & Gas, Inc. + ....................... 98,731
800 Comstock Resources, Inc. + ...................... 67,544
100 Contango Oil & Gas Co. + ........................ 9,292
1,010 Dawson Geophysical Co. + ........................ 60,055
300 Delta Petroleum Corp. + ......................... 7,656
2,900 Dril-Quip, Inc. + ............................... 182,700
2,100 Edge Petroleum Corp. + .......................... 11,319
9,900 Endeavour International Corp. + ................. 21,483
50 ENGlobal Corp. + ................................ 712
7,900 Evergreen Energy, Inc. + (a) .................... 13,746
6,466 EXCO Resources, Inc. + (a) ...................... 238,659
1,738 Exterran Holdings, Inc. + ....................... 124,250
Shares Value
- ---------- --------------
ENERGY -- 16.3% (CONTINUED)
2,100 FX Energy, Inc. + ............................... $ 11,067
1,525 GMX Resources, Inc. + ........................... 113,003
500 Goodrich Petroleum Corp. + ...................... 41,460
1,900 Gulfport Energy Corp. + ......................... 31,293
200 Hercules Offshore, Inc. + ....................... 7,604
700 International Coal Group, Inc. + ................ 9,135
425 Lufkin Industries, Inc. ......................... 35,394
3,100 McMoRan Exploration Co. + ....................... 85,312
2,100 Meridian Resource Corp. + ....................... 6,195
797 NATCO Group, Inc., Class A + .................... 43,460
200 Natural Gas Services Group, Inc. + .............. 6,096
7,003 Nova Biosource Fuels, Inc. + .................... 4,692
1,700 Parallel Petroleum Corp. + ...................... 34,221
100 Parker Drilling Co. + ........................... 1,001
3,527 PetroHawk Energy Corp. + ........................ 163,335
400 Petroleum Development Corp. + ................... 26,596
7,510 Petroquest Energy, Inc. + ....................... 202,019
400 Quest Resource Corp. + .......................... 4,564
3,390 Rosetta Resources, Inc. + ....................... 96,615
700 Superior Well Services, Inc. + .................. 22,197
500 Swift Energy Co. + .............................. 33,030
500 Toreador Resources Corp. + ...................... 4,265
200 TXCO Resources, Inc. + .......................... 2,352
5,600 Vaalco Energy, Inc. + ........................... 47,432
100 Venoco, Inc. + .................................. 2,321
1,283 VeraSun Energy Corp. + (a) ...................... 5,299
1,426 Warren Resources, Inc. + ........................ 20,934
73 Western Refining, Inc. .......................... 864
500 W-H Energy Services, Inc. + ..................... 47,870
100 Whiting Petroleum Corp. + ....................... 10,608
--------------
2,611,356
--------------
FINANCIALS -- 3.2%
100 Advance America Cash Advance Centers, Inc. ...... 508
250 Alexandria Real Estate Equities, Inc. ........... 24,335
900 Anworth Mortgage Asset Corp. .................... 5,859
3,500 Ares Capital Corp. .............................. 35,280
2,300 Financial Federal Corp. ......................... 50,508
2,100 First Niagara Financial Group, Inc. ............. 27,006
500 Hancock Holding Co. ............................. 19,645
325 Investment Technology Group, Inc. + ............. 10,875
9,400 MFA Mortgage Investments, Inc. .................. 61,288
3,900 Nationwide Health Properties, Inc. .............. 122,810
100 NorthStar Realty Finance Corp. .................. 832
400 optionsXpress Holdings, Inc. .................... 8,936
300 Penson Worldwide, Inc. + ........................ 3,585
300 Pico Holdings, Inc. + ........................... 13,035
700 Prospect Capital Corp. .......................... 9,226
400 Provident Financial Services, Inc. .............. 5,604
600 Senior Housing Properties Trust ................. 11,718
1,100 Sterling Bancshares, Inc. ....................... 9,999
3,200 SWS Group, Inc. ................................. 53,152
325 Tejon Ranch Co. + ............................... 11,720
2,000 Trustco Bank Corp. .............................. 14,840
400 Westamerica Bancorporation ...................... 21,036
--------------
521,797
--------------
HEALTH CARE -- 21.8%
600 Abaxis, Inc. + .................................. 14,478
100 Acadia Pharmaceuticals, Inc. + (a) .............. 369
100 Affymetrix, Inc. + .............................. 1,029
325 Air Methods Corp. + ............................. 8,125
300 Albany Molecular Research, Inc. + ............... 3,981
325 Alexion Pharmaceuticals, Inc. + ................. 23,563
2,900 Alexza Pharmaceuticals, Inc. + .................. 11,426
325 Align Technology, Inc. + ........................ 3,409
100 Alkermes, Inc. + ................................ 1,236
1,117 Allscripts Healthcare Solutions, Inc. + ......... 13,862
Small Company Growth Portfolio
Shares Value
- ---------- --------------
HEALTH CARE -- 21.8% (CONTINUED)
3,400 Altus Pharmaceuticals, Inc. + ................... $ 15,130
200 AMAG Pharmaceuticals, Inc. + .................... 6,820
300 Amsurg Corp., Class A + ......................... 7,305
500 Angiodynamics, Inc. + ........................... 6,810
2,100 Arena Pharmaceuticals, Inc. + ................... 10,899
1,000 Arqule, Inc. + .................................. 3,250
1,700 Array Biopharma, Inc. + ......................... 7,990
300 Arthrocare Corp. + .............................. 12,243
755 Bruker Corp. + .................................. 9,702
35 Cambrex Corp. + ................................. 205
1,900 Cell Genesys, Inc. + ............................ 4,940
200 Centene Corp. + ................................. 3,358
1,025 Cepheid, Inc. + ................................. 28,823
1,050 Chemed Corp. .................................... 38,441
100 Conceptus, Inc. + ............................... 1,849
625 Corvel Corp. + .................................. 21,169
800 Cubist Pharmaceuticals, Inc. + .................. 14,288
4,051 Cyberonics, Inc. + .............................. 87,907
1,100 Cypress Bioscience, Inc. + ...................... 7,909
3,900 CytRx Corp. + ................................... 2,535
925 Dionex Corp. + .................................. 61,392
5,100 Discovery Laboratories, Inc. + .................. 8,415
1,417 Eclipsys Corp. + ................................ 26,016
100 Enzo Biochem, Inc. + ............................ 1,122
1,076 eResearchTechnology, Inc. + ..................... 18,765
1,880 Gen-Probe, Inc. + ............................... 89,262
2,500 GenVec, Inc. + .................................. 3,600
1,000 Geron Corp. + ................................... 3,450
1,350 Greatbatch, Inc. + .............................. 23,355
100 GTx, Inc. + ..................................... 1,435
425 Haemonetics Corp. + ............................. 23,571
7,320 HMS Holdings Corp. + ............................ 157,160
3,470 Hologic, Inc. + (a) ............................. 75,646
4,656 Hythiam, Inc. + ................................. 11,268
2,860 Icon PLC ADR + .................................. 215,988
1,200 Illumina, Inc. + ................................ 104,532
5,070 Immucor, Inc. + ................................. 131,212
2,700 Immunomedics, Inc. + ............................ 5,751
700 Insulet Corp. + ................................. 11,011
725 Integra LifeSciences Holdings Corp. + ........... 32,248
42 InterMune, Inc. + ............................... 551
7,665 inVentiv Health, Inc. + ......................... 213,009
593 Inverness Medical Innovations, Inc. + ........... 19,670
54 Isis Pharmaceuticals, Inc. + .................... 736
6,500 Javelin Pharmaceuticals, Inc. + ................. 15,080
100 Kendle International, Inc. + .................... 3,633
200 Landauer, Inc. .................................. 11,248
1,000 LHC Group, Inc. + ............................... 23,250
4,000 MannKind Corp. + ................................ 12,000
1,200 Martek Biosciences Corp. + ...................... 40,452
5,920 Masimo Corp. + .................................. 203,353
700 Medarex, Inc. + ................................. 4,627
2,200 Medicis Pharmaceutical Corp., Class A ........... 45,716
2,100 Mentor Corp. .................................... 58,422
6,560 Meridian Bioscience, Inc. ....................... 176,595
340 Molina Healthcare, Inc. + ....................... 8,276
2,300 Momenta Pharmaceuticals, Inc. + ................. 28,290
8,460 Natus Medical, Inc. + ........................... 177,152
647 Neurocrine Biosciences, Inc. + .................. 2,711
3,600 Noven Pharmaceuticals, Inc. + ................... 38,484
1,000 Obagi Medical Products, Inc. + .................. 8,550
100 Odyssey HealthCare, Inc. + ...................... 974
1,051 Omnicell, Inc. + ................................ 13,852
500 Omrix Biopharmaceuticals, Inc. + ................ 7,870
600 Onyx Pharmaceuticals, Inc. + .................... 21,360
100 Orthofix International NV + ..................... 2,895
2,642 OSI Pharmaceuticals, Inc. + ..................... 109,167
1,675 Pain Therapeutics, Inc. + ....................... 13,233
Shares Value
- ---------- --------------
HEALTH CARE -- 21.8% (CONTINUED)
875 Par Pharmaceutical Cos., Inc. + ................. $ 14,201
800 PDL BioPharma, Inc. ............................. 8,496
1,110 Pediatrix Medical Group, Inc. + ................. 54,645
9,100 Penwest Pharmaceuticals Co. + ................... 24,570
2,026 Perrigo Co. ..................................... 64,366
200 PharmaNet Development Group, Inc. + ............. 3,154
7,660 Phase Forward, Inc. + ........................... 137,650
100 Progenics Pharmaceuticals, Inc. + ............... 1,587
6,253 Providence Service Corp. (The) + ................ 132,001
2,180 Psychiatric Solutions, Inc. + ................... 82,491
2,200 Questcor Pharmaceuticals, Inc. + ................ 10,208
600 Quidel Corp. + .................................. 9,912
1,400 Regeneron Pharmaceuticals, Inc. + ............... 20,216
96 Rigel Pharmaceuticals, Inc. + ................... 2,175
1,800 Savient Pharmaceuticals, Inc. + ................. 45,540
1,000 Senomyx, Inc. + ................................. 4,930
1,100 Sirona Dental Systems, Inc. + (a) ............... 28,512
400 SonoSite, Inc. + ................................ 11,204
100 Spectranetics Corp. + ........................... 986
300 Symmetry Medical, Inc. + ........................ 4,866
270 Trizetto Group + ................................ 5,773
725 United Therapeutics Corp. + ..................... 70,869
100 Valeant Pharmaceuticals International + (a) ..... 1,711
1,400 Vanda Pharmaceuticals, Inc. + ................... 4,606
1,025 Varian, Inc. + .................................. 52,337
100 Viropharma, Inc. + .............................. 1,106
100 West Pharmaceutical Services, Inc. .............. 4,328
500 Wright Medical Group, Inc. + .................... 14,205
800 Zoll Medical Corp. + ............................ 26,936
800 Zymogenetics, Inc. + ............................ 6,736
--------------
3,489,723
--------------
INDUSTRIALS -- 18.6%
705 AAR Corp. + ..................................... 9,539
1,050 Actuant Corp., Class A .......................... 32,918
1,125 Administaff, Inc. ............................... 31,376
525 Advisory Board Co. (The) + ...................... 20,648
850 AGCO Corp. + .................................... 44,549
100 American Commercial Lines, Inc. + ............... 1,093
500 American Ecology Corp. .......................... 14,765
525 Astec Industries, Inc. + ........................ 16,874
300 Badger Meter, Inc. .............................. 15,159
1,225 Brady Corp., Class A ............................ 42,299
4,039 Briggs & Stratton Corp. ......................... 51,215
200 Ceradyne, Inc. + ................................ 6,860
4,980 Chart Industries, Inc. + ........................ 242,226
1,125 Clean Harbors, Inc. + ........................... 79,943
100 Comfort Systems USA, Inc. ....................... 1,344
7,540 Cornell, Inc. + ................................. 181,788
3,460 Corrections Corp of America + ................... 95,046
625 CRA International, Inc. + ....................... 22,594
3,840 Eagle Bulk Shipping, Inc.(a) .................... 113,549
925 Energy Conversion Devices, Inc. + ............... 68,117
404 EnerNOC, Inc. + ................................. 7,252
1,600 Ennis, Inc. ..................................... 25,040
432 Equifax, Inc. ................................... 14,524
2,058 ESCO Technologies, Inc. + ....................... 96,561
847 Flow International Corp. + ...................... 6,607
500 Forward Air Corp. ............................... 17,300
340 Franklin Electric Co., Inc. ..................... 13,185
1,125 FTI Consulting, Inc. + .......................... 77,018
1,760 Genco Shipping & Trading, Ltd. .................. 114,752
3,018 GenCorp, Inc. + ................................. 21,609
107 General Cable Corp. + ........................... 6,511
4,298 Geo Group, Inc. (The) + ......................... 96,705
2,200 GrafTech International, Ltd. + .................. 59,026
100 Graham Corp. .................................... 7,411
Small Company Growth Portfolio
Shares Value
- ---------- --------------
INDUSTRIALS -- 18.6% (CONTINUED)
100 H&E Equipment Services, Inc. + .................. $ 1,202
420 II-VI, Inc. + ................................... 14,666
814 Kaman Corp. ..................................... 18,527
300 Knight Transportation, Inc. ..................... 5,490
100 Ladish Co., Inc. + .............................. 2,059
1,700 Layne Christensen Co. + ......................... 74,443
4,600 LMI Aerospace, Inc. + ........................... 80,822
100 Medis Technologies, Ltd. + ...................... 337
2,332 Middleby Corp. + ................................ 102,397
100 Navigant Consulting, Inc. + ..................... 1,956
100 Nordson Corp. ................................... 7,289
300 Resources Connection, Inc. ...................... 6,105
6,411 Ritchie Bros. Auctioneers, Inc. ................. 173,929
2,391 Rollins, Inc. ................................... 35,435
1,125 Sunpower Corp., Class A + ....................... 80,978
400 Team, Inc. + .................................... 13,728
93 Tetra Tech, Inc. + .............................. 2,104
701 Titan International, Inc. ....................... 24,970
100 TransDigm Group, Inc. + ......................... 3,359
1,170 Triumph Group, Inc. ............................. 55,107
980 TrueBlue, Inc. + ................................ 12,946
100 Ultrapetrol Bahamas, Ltd. + ..................... 1,261
1,461 United Stationers, Inc. + ....................... 53,984
9,069 Wabtec Corp. .................................... 440,934
300 Walter Industries, Inc. ......................... 32,631
1,350 Watson Wyatt Worldwide, Inc., Class A ........... 71,402
--------------
2,973,464
--------------
INFORMATION TECHNOLOGY -- 22.6%
100 ACI Worldwide, Inc. + ........................... 1,759
1,979 Advanced Analogic Technologies, Inc. + .......... 8,173
5,780 ANADIGICS, Inc. + (a) ........................... 56,933
325 Anixter International, Inc. + ................... 19,334
300 Ansys, Inc. + ................................... 14,136
5,169 Art Technology Group, Inc. + .................... 16,541
1,025 ATMI, Inc. + .................................... 28,618
8,048 AuthenTec, Inc. + ............................... 83,860
525 Avid Technology, Inc. + ......................... 8,920
100 Avocent Corp. + ................................. 1,860
2,100 Bankrate, Inc. + (a) ............................ 82,047
150 Benchmark Electronics, Inc. + ................... 2,451
4,530 Blackboard, Inc. + .............................. 173,181
700 Blue Coat Systems, Inc. + ....................... 9,877
675 Brightpoint, Inc. + ............................. 4,928
90 Brooks Automation, Inc. + ....................... 744
545 Cabot Microelectronics Corp. + .................. 18,067
1,125 CACI International, Inc., Class A + ............. 51,491
2,773 Cavium Networks, Inc. + (a) ..................... 58,233
1,425 Checkpoint Systems, Inc. + ...................... 29,754
1,200 Cirrus Logic, Inc. + ............................ 6,672
80 Cogent, Inc. + .................................. 910
600 Cognex Corp. .................................... 13,830
931 CSG Systems International, Inc. + ............... 10,260
200 CTS Corp. ....................................... 2,010
4,332 Cybersource Corp. + ............................. 72,474
1,075 Cymer, Inc. + ................................... 28,896
500 Cypress Semiconductor Corp. + ................... 12,375
1,390 Digital River, Inc. + ........................... 53,626
2,734 Diodes, Inc. + .................................. 75,568
7,120 Double-Take Software, Inc. + .................... 97,829
1,000 Earthlink, Inc. + ............................... 8,650
925 Emulex Corp. + .................................. 10,776
300 Equinix, Inc. + ................................. 26,766
88 Factset Research Systems, Inc. .................. 4,960
525 FEI Co. + ....................................... 11,960
1,200 Finisar Corp. + ................................. 1,428
3,926 Flir Systems, Inc. + ............................ 159,277
100 GSI Commerce, Inc. + ............................ 1,363
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 22.6% (CONTINUED)
300 Harmonic, Inc. + ................................ $ 2,853
300 Hittite Microwave Corp. + ....................... 10,686
6,120 Informatica Corp. + ............................. 92,045
472 InterDigital, Inc. + ............................ 11,479
2,050 Intermec, Inc. + ................................ 43,214
1,772 Internap Network Services Corp. + ............... 8,293
200 IPG Photonics Corp. + ........................... 3,762
100 Itron, Inc. + ................................... 9,835
925 j2 Global Communications, Inc. + ................ 21,275
200 Knot, Inc. (The) + .............................. 1,956
350 Littelfuse, Inc. + .............................. 11,043
1,972 Macrovision Solutions Corp. + ................... 29,503
1,125 Manhattan Associates, Inc. + .................... 26,696
1,350 Mantech International Corp., Class A + .......... 64,962
100 Marchex, Inc., Class B .......................... 1,232
100 Mattson Technology, Inc. + ...................... 476
4,550 Micros Systems, Inc. + .......................... 138,730
11,280 Microsemi Corp. + ............................... 284,031
1,500 MicroStrategy, Inc., Class A + .................. 97,125
3 Microtune, Inc. + ............................... 10
1,575 MIPS Technologies, Inc. + ....................... 5,906
5,190 Monolithic Power Systems, Inc. + ................ 112,208
22,282 Move, Inc. + .................................... 51,917
938 Multi-Fineline Electronix, Inc. + (a) ........... 25,954
553 Netgear, Inc. + ................................. 7,665
4,670 Netlogic Microsystems, Inc. + (a) ............... 155,045
100 Netscout Systems, Inc. + ........................ 1,068
6,700 Nice Systems, Ltd. ADR + ........................ 198,119
635 Nuance Communications, Inc. + (a) ............... 9,950
488 Omniture, Inc. + ................................ 9,062
61 Omnivision Technologies, Inc. + ................. 737
1,097 OSI Systems, Inc. + ............................. 23,498
838 Perot Systems Corp., Class A + .................. 12,578
100 Plexus Corp. + .................................. 2,768
100 PLX Technology, Inc. + .......................... 763
70 PMC - Sierra, Inc. + ............................ 536
1,700 Presstek, Inc. + ................................ 8,432
635 Progress Software Corp. + ....................... 16,237
3,471 Quality Systems, Inc.(a) ........................ 101,631
1,900 RealNetworks, Inc. + ............................ 12,540
1,380 RightNow Technologies, Inc. + ................... 18,865
600 Rogers Corp. + .................................. 22,554
525 SAVVIS, Inc. + .................................. 6,778
92 Silicon Image, Inc. + ........................... 667
100 SiRF Technology Holdings, Inc. + ................ 432
5,613 Skyworks Solutions, Inc. + ...................... 55,400
130 Sohu.com, Inc. + ................................ 9,157
201 Sonus Networks, Inc. + .......................... 687
600 SPSS, Inc. + .................................... 21,822
400 Standard Microsystems Corp. + ................... 10,860
900 Sybase, Inc. + .................................. 26,478
200 Symyx Technologies + ............................ 1,396
1,181 Synaptics, Inc. + ............................... 44,559
400 SYNNEX Corp. + .................................. 10,036
400 Syntel, Inc.(a) ................................. 13,488
66 Tekelec + ....................................... 971
2,875 TeleTech Holdings, Inc. + ....................... 57,385
225 Terremark Worldwide, Inc. + ..................... 1,229
1,125 Tessera Technologies, Inc. + .................... 18,416
300 Trident Microsystems, Inc. + .................... 1,095
100 TTM Technologies, Inc. + ........................ 1,321
100 Ultratech, Inc. + ............................... 1,552
100 Utstarcom, Inc. + ............................... 547
335 Vasco Data Security International, Inc. + ....... 3,528
1,165 Veeco Instruments, Inc. + ....................... 18,733
100 Vignette Corp. + ................................ 1,200
1,005 VistaPrint, Ltd. + .............................. 26,894
6,560 Vocus, Inc. + ................................... 211,035
Small Company Growth Portfolio
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 22.6% (CONTINUED)
1,397 Volterra Semiconductor Corp. + .................. $ 24,112
856 Websense, Inc. + ................................ 14,415
8,610 Yucheng Technologies, Ltd. + (a) ................ 96,346
496 Zoran Corp. + ................................... 5,803
--------------
3,614,118
--------------
MATERIALS -- 3.6%
100 American Vanguard Corp. ......................... 1,230
525 Arch Chemicals, Inc. ............................ 17,404
820 CF Industries Holdings, Inc. .................... 125,296
2,712 Coeur d'Alene Mines Corp. + ..................... 7,865
2,275 Compass Minerals International, Inc. ............ 183,273
653 Flotek Industries, Inc. + ....................... 13,465
1,330 Haynes International, Inc. + .................... 76,542
925 HB Fuller Co. ................................... 20,757
66 Hecla Mining Co. + .............................. 611
2,665 RTI International Metals, Inc. + ................ 94,927
500 Texas Industries, Inc. .......................... 28,065
--------------
569,435
--------------
TELECOMMUNICATION SERVICES -- 1.7%
206 Alaska Communications Systems Group, Inc. ....... 2,460
725 Cbeyond, Inc. + ................................. 11,615
3,101 Cincinnati Bell, Inc. + ......................... 12,342
10,363 Syniverse Holdings, Inc. + ...................... 167,880
4,486 tw telecom, Inc. + .............................. 71,910
100 USA Mobility, Inc. .............................. 755
--------------
266,962
--------------
UTILITIES -- 1.1%
925 Allete, Inc. .................................... 38,850
613 Black Hills Corp. ............................... 19,653
157 Integrys Energy Group, Inc. ..................... 7,980
2,139 ITC Holdings Corp. .............................. 109,324
200 Ormat Technologies, Inc. ........................ 9,836
--------------
185,643
--------------
Total Common Stock (Cost $14,418,283) 15,665,163
--------------
PREFERRED STOCK -- 0.0%
HEALTH CARE -- 0.0%
28 Inverness Medical Innovations, Inc. + ........... 6,636
--------------
Total Preferred Stock (Cost $4,004) 6,636
--------------
MONEY MARKET FUND -- 20.4%
3,270,107 PNC Institutional Money Market Trust (b)(c) ..... 3,270,107
--------------
Total Money Market Fund (Cost $3,270,107) 3,270,107
--------------
Total Investments -- 118.2%
(Cost $17,692,394) 18,941,906
Other Assets & Liabilities, Net -- (18.2)% (2,921,962)
--------------
NET ASSETS -- 100.0% $ 16,019,944
==============
ADR -- American Depositary Receipt
PLC -- Public Limited Company
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents the seven day annualized yield
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Amounts designated as "--" are either $0 or have been rounded to $0.
Small Company Value Portfolio
Shares Value
- ---------- --------------
COMMON STOCK -- 99.0%
CONSUMER DISCRETIONARY -- 7.5%
5,200 Aaron Rents, Inc.(a) ............................ $ 116,116
2,700 AFC Enterprises + ............................... 21,573
600 Blue Nile, Inc. + ............................... 25,512
100 Bluegreen Corp. + ............................... 605
5,600 Bob Evans Farms, Inc. ........................... 160,160
1,150 Charter Communications, Inc., Class A + ......... 1,208
2,100 Circuit City Stores, Inc.(a) .................... 6,069
644 Coinstar, Inc. + ................................ 21,065
400 DeVry, Inc.(a) .................................. 21,448
1,900 Fossil, Inc. + .................................. 55,233
100 FTD Group, Inc. ................................. 1,333
100 Furniture Brands International, Inc.(a) ......... 1,336
12,800 Golfsmith International Holdings, Inc. + ........ 29,184
4,200 Gray Television, Inc. ........................... 12,054
8,450 Hooker Furniture Corp. .......................... 146,354
600 Iconix Brand Group, Inc. + ...................... 7,248
350 Interactive Data Corp. .......................... 8,796
300 Jakks Pacific, Inc. + ........................... 6,555
100 Matthews International Corp., Class A ........... 4,526
300 Morningstar, Inc. + (a) ......................... 21,609
900 NetFlix, Inc. + (a) ............................. 23,463
6,805 NexCen Brands, Inc. + ........................... 3,811
24,350 Pacific Sunwear of California + ................. 207,706
805 Peet's Coffee & Tea, Inc. + (a) ................. 15,955
305 priceline.com, Inc. + (a) ....................... 35,215
319 RCN Corp. + ..................................... 3,439
20 Regis Corp. ..................................... 527
2,800 Rent-A-Center, Inc. + ........................... 57,596
16,902 RH Donnelley Corp. + (a) ........................ 50,705
5,300 Sauer-Danfoss, Inc. ............................. 165,095
2,300 Sotheby's(a) .................................... 60,651
3,853 Source Interlink, Inc. + (a) .................... 8,515
500 Spartan Motors, Inc. ............................ 3,735
2,441 Stamps.com, Inc. + .............................. 30,464
94 Stewart Enterprises, Inc., Class A .............. 677
100 Strayer Education, Inc. ......................... 20,907
16,300 Syntax-Brillian Corp. + (a) ..................... 8,476
900 Tupperware Brands Corp. ......................... 30,798
300 Tween Brands, Inc. + ............................ 4,938
750 Under Armour, Inc., Class A + (a) ............... 19,230
200 Universal Electronics, Inc. + ................... 4,180
765 Warnaco Group, Inc. (The) + ..................... 33,714
--------------
1,457,781
--------------
CONSUMER STAPLES -- 4.4%
650 Andersons, Inc. (The) ........................... 26,462
1,550 Cal-Maine Foods, Inc.(a) ........................ 51,135
7,300 Casey's General Stores, Inc. .................... 169,141
3,300 Central Garden and Pet Co., Class A + ........... 13,530
1,948 Corn Products International, Inc. ............... 95,665
50 Fresh Del Monte Produce, Inc. + ................. 1,179
1,600 Prestige Brands Holdings, Inc. + ................ 17,056
800 Ralcorp Holdings, Inc. + (a) .................... 39,552
4,527 Smithfield Foods, Inc. + (a) .................... 89,996
2,822 Universal Corp. ................................. 127,611
7,450 WD-40 Co. ....................................... 217,913
100 Winn-Dixie Stores, Inc. + ....................... 1,602
--------------
850,842
--------------
ENERGY -- 11.6%
6,400 Acergy SA ADR ................................... 142,464
100 Allis-Chalmers Energy, Inc. + ................... 1,780
5,025 Approach Resources, Inc. + ...................... 134,620
2,200 Arena Resources, Inc. + ......................... 116,204
1,500 ATP Oil & Gas Corp. + (a) ....................... 59,205
1,162 Basic Energy Services, Inc. + ................... 36,603
Shares Value
- ---------- --------------
ENERGY -- 11.6% (CONTINUED)
2,700 Bill Barrett Corp. + ............................ $ 160,407
2,600 Brigham Exploration Co. + ....................... 41,158
600 Bristow Group, Inc. + ........................... 29,694
800 Callon Petroleum Co. + .......................... 21,888
7,400 Cano Petroleum, Inc. + .......................... 58,756
350 Carrizo Oil & Gas, Inc. + ....................... 23,832
100 Complete Production Services, Inc. + ............ 3,642
7,100 Edge Petroleum Corp. + .......................... 38,269
400 Encore Acquisition Co. + ........................ 30,076
6,870 Evergreen Energy, Inc. + (a) .................... 11,954
1,337 Exterran Holdings, Inc. + ....................... 95,582
1,100 GMX Resources, Inc. + (a) ....................... 81,510
5,690 Grey Wolf, Inc. + ............................... 51,381
500 Gulfmark Offshore, Inc. + ....................... 29,090
3,600 Gulfport Energy Corp. + ......................... 59,292
200 Harvest Natural Resources, Inc. + ............... 2,212
1,450 Hercules Offshore, Inc. + ....................... 55,129
1,390 McMoRan Exploration Co. + (a) ................... 38,253
15,416 Meridian Resource Corp. + ....................... 45,477
700 Newpark Resources + ............................. 5,502
2,023 Nova Biosource Fuels, Inc. + (a) ................ 1,355
800 Oil States International, Inc. + ................ 50,752
1,600 Parker Drilling Co. + ........................... 16,016
3,069 PetroHawk Energy Corp. + ........................ 142,125
1,600 Petroleum Development Corp. + ................... 106,384
100 Petroquest Energy, Inc. + ....................... 2,690
100 Pioneer Drilling Co. + .......................... 1,881
1,000 Quest Resource Corp. + .......................... 11,410
1,300 Rosetta Resources, Inc. + ....................... 37,050
800 Superior Well Services, Inc. + .................. 25,368
1,600 Swift Energy Co. + .............................. 105,696
100 TXCO Resources, Inc. + .......................... 1,176
11,539 Vaalco Energy, Inc. + ........................... 97,735
54 VeraSun Energy Corp. + (a) ...................... 223
14,850 Warren Resources, Inc. + ........................ 217,998
552 Whiting Petroleum Corp. + ....................... 58,556
--------------
2,250,395
--------------
FINANCIALS -- 24.7%
1,290 Affiliated Managers Group, Inc. + (a) ........... 116,177
1,893 Alexandria Real Estate Equities, Inc. (a) ....... 184,266
3,150 American Campus Communities, Inc. ............... 87,696
5,881 Anworth Mortgage Asset Corp. .................... 38,285
5,500 Apollo Investments + (a) ........................ 78,815
4,000 Ares Capital Corp. .............................. 40,320
100 Ashford Hospitality Trust, Inc. ................. 462
5,000 Aspen Insurance Holdings, Ltd. .................. 118,350
3,812 Assured Guaranty, Ltd.(a) ....................... 68,578
-- Asta Funding, Inc. .............................. --
8,505 Bancorp, Inc. + ................................. 64,808
100 Bank Mutual Corp. ............................... 1,004
200 BankUnited Financial Corp., Class A(a) .......... 192
72 BGC Partners, Inc., Class A + ................... 544
500 Boston Private Financial Holdings, Inc. ......... 2,835
1,500 Brookline Bancorp, Inc. ......................... 14,325
3,600 Central Pacific Financial Corp. ................. 38,376
100 Chemical Financial Corp. ........................ 2,040
13,886 Citizens Republic Bancorp, Inc.(a) .............. 39,159
10,000 Colonial BancGroup, Inc.(a) ..................... 44,200
1,400 Community Bank System, Inc. ..................... 28,868
1,392 CompuCredit Corp. + (a) ......................... 8,352
2,700 Corus Bankshares, Inc.(a) ....................... 11,232
3,100 Delphi Financial Group, Inc., Class A ........... 71,734
100 Dime Community Bancshares ....................... 1,651
1,600 Downey Financial Corp.(a) ....................... 4,432
625 Enterprise Financial Services Corp.(a) .......... 11,781
1,300 Entertainment Properties Trust .................. 64,272
57 Equity One, Inc. ................................ 1,171
Small Company Value Portfolio
Shares Value
- ---------- --------------
FINANCIALS -- 24.7% (CONTINUED)
2,810 Financial Federal Corp. ......................... $ 61,708
680 First Citizens BancShares, Inc., Class A ........ 94,853
200 First Commonwealth Financial Corp. .............. 1,866
1,060 First Community Bancshares, Inc. ................ 29,892
900 First Financial Bancorp ......................... 8,280
837 First Financial Bankshares, Inc. ................ 38,343
3,400 First Marblehead Corp.(a) ....................... 8,738
7,800 First Niagara Financial Group, Inc. ............. 100,308
1,200 FirstFed Financial Corp. + (a) .................. 9,648
1,600 Flushing Financial Corp. ........................ 30,320
1,800 FNB Corp. ....................................... 21,204
1,900 Frontier Financial Corp.(a) ..................... 16,188
535 GAMCO Investors, Inc., Class A .................. 26,547
1,600 Glacier Bancorp, Inc.(a) ........................ 25,584
850 Greenhill & Co., Inc.(a) ........................ 45,781
-- Hallmark Financial Services + ................... --
1,990 Hancock Holding Co. ............................. 78,187
1,700 Hanmi Financial Corp.(a) ........................ 8,857
274 Harleysville Group, Inc. ........................ 9,269
2,700 Hercules Technology Growth Capital, Inc. ........ 24,111
1,714 Highwoods Properties, Inc. ...................... 53,854
2,500 Home Properties, Inc. ........................... 120,150
2,351 IBERIABANK Corp. ................................ 104,548
710 Imperial Capital Bancorp, Inc. .................. 4,068
361 Independent Bank Corp. .......................... 8,606
519 Independent Bank Corp.(a) ....................... 2,076
24,780 IndyMac Bancorp, Inc.(a) ........................ 15,364
100 International Bancshares Corp. .................. 2,137
1,000 IPC Holdings, Ltd. .............................. 26,550
1,298 Irwin Financial Corp.(a) ........................ 3,492
3,518 Jones Lang LaSalle, Inc. ........................ 211,748
5,900 Knight Capital Group, Inc., Class A + ........... 106,082
1,100 Kohlberg Capital Corp. .......................... 11,000
1,500 LaBranche & Co., Inc. + ......................... 10,620
50 Lakeland Financial Corp. ........................ 954
100 LaSalle Hotel Properties ........................ 2,513
1,765 LTC Properties, Inc. ............................ 45,113
600 Max Capital Group, Ltd. ......................... 12,798
8,400 MCG Capital Corp. ............................... 33,432
16,400 MFA Mortgage Investments, Inc. .................. 106,928
4,366 National Financial Partners Corp.(a) ............ 86,534
100 National Health Investors, Inc. ................. 2,851
212 National Penn Bancshares, Inc. .................. 2,815
2,600 Nationwide Health Properties, Inc. .............. 81,874
890 Navigators Group, Inc. + ........................ 48,105
1,116 NBT Bancorp, Inc. ............................... 23,001
1,500 Ocwen Financial Corp. + ......................... 6,975
1,100 Odyssey Re Holdings Corp. ....................... 39,050
55 Old National Bancorp ............................ 784
17 Omega Healthcare Investors, Inc. ................ 283
1,200 Pacific Capital Bancorp NA(a) ................... 16,536
3,000 PacWest Bancorp ................................. 44,640
370 Pennsylvania Real Estate Investment Trust ....... 8,562
500 Penson Worldwide, Inc. + ........................ 5,975
1,071 PFF Bancorp, Inc.(a) ............................ 1,157
14,054 Phoenix Cos., Inc. (The) ........................ 106,951
2,200 Pico Holdings, Inc. + ........................... 95,590
400 Piper Jaffray + ................................. 11,732
100 Platinum Underwriters Holdings, Ltd. ............ 3,261
8,100 PMA Capital Corp., Class A + .................... 74,601
2,087 Potlatch Corp. .................................. 94,165
1,300 Prospect Capital Corp. .......................... 17,134
2,322 Prosperity Bancshares, Inc. ..................... 62,067
2,100 Provident Bankshares Corp.(a) ................... 13,398
3,800 Provident Financial Services, Inc. .............. 53,238
100 RAIT Financial Trust (a) ........................ 742
350 Ramco-Gershenson Properties Trust ............... 7,189
Shares Value
- ---------- --------------
FINANCIALS -- 24.7% (CONTINUED)
300 Realty Income Corp. (a) ......................... $ 6,828
600 RLI Corp. ....................................... 29,682
4,223 Safety Insurance Group, Inc. .................... 150,549
2,850 Selective Insurance Group ....................... 53,466
1,200 Senior Housing Properties Trust ................. 23,436
2,300 South Financial Group, Inc. (The) ............... 9,016
100 Sterling Bancorp NY ............................. 1,195
5,000 Sterling Bancshares, Inc. ....................... 45,450
1,615 Sterling Financial Corp.(a) ..................... 6,686
1,700 Susquehanna Bancshares, Inc. .................... 23,273
2,050 SVB Financial Group + (a) ....................... 98,625
5,600 SWS Group, Inc. ................................. 93,016
100 Texas Capital Bancshares, Inc. + ................ 1,600
2,800 Tower Group, Inc. ............................... 59,332
9,900 Trustco Bank Corp. .............................. 73,458
7,600 UCBH Holdings, Inc.(a) .......................... 17,100
700 UMB Financial Corp. ............................. 35,889
2,677 Umpqua Holdings Corp.(a) ........................ 32,472
200 United Bankshares, Inc. ......................... 4,590
100 United Community Banks, Inc.(a) ................. 853
300 United Fire & Casualty Co. ...................... 8,079
30,950 W Holding Co., Inc.(a) .......................... 26,308
100 WesBanco, Inc. .................................. 1,715
1,500 Westamerica Bancorporation(a) ................... 78,885
7,105 Wilshire Bancorp, Inc. .......................... 60,890
650 Wintrust Financial Corp. ........................ 15,503
3,350 WSFS Financial Corp. ............................ 149,410
3,550 Zenith National Insurance Corp. ................. 124,818
--------------
4,806,976
--------------
HEALTH CARE -- 6.7%
3,366 Amsurg Corp., Class A + ......................... 81,962
1,000 Analogic Corp. .................................. 63,069
1,000 Angiodynamics, Inc. + ........................... 13,620
3,310 Arena Pharmaceuticals, Inc. + (a) ............... 17,179
2,289 Bio-Rad Laboratories, Inc., Class A + ........... 185,157
1,357 Chemed Corp. .................................... 49,680
5,000 Community Health Systems, Inc. + ................ 164,899
1,681 Conmed Corp. + .................................. 44,631
200 Cyberonics, Inc. + .............................. 4,340
2,100 Cypress Bioscience, Inc. + ...................... 15,099
100 Eclipsys Corp. + ................................ 1,836
1,165 Greatbatch, Inc. + .............................. 20,155
900 Haemonetics Corp. + ............................. 49,914
400 Hanger Orthopedic Group, Inc. + ................. 6,596
233 Inverness Medical Innovations, Inc. + (a) ....... 7,729
600 Magellan Health Services, Inc. + ................ 22,218
1,166 MannKind Corp. + (a) ............................ 3,498
1,100 Martek Biosciences Corp. + ...................... 37,081
800 Medicis Pharmaceutical Corp., Class A ........... 16,624
1,500 Merit Medical Systems, Inc. + ................... 22,050
39 Momenta Pharmaceuticals, Inc. + ................. 480
2,100 Neurocrine Biosciences, Inc. + .................. 8,799
3,200 Nighthawk Radiology Holdings, Inc. + (a) ........ 22,656
500 Obagi Medical Products, Inc. + .................. 4,275
5,500 Opko Health, Inc. + (a) ......................... 8,360
1,038 Owens & Minor, Inc. ............................. 47,426
2,000 Palomar Medical Technologies, Inc. + ............ 19,960
500 Par Pharmaceutical Cos., Inc. + ................. 8,115
200 Parexel International Corp. + ................... 5,262
3,675 Penwest Pharmaceuticals Co. + (a) ............... 9,923
100 Perrigo Co. ..................................... 3,177
3,400 PharmaNet Development Group, Inc. + ............. 53,618
250 Providence Service Corp. (The) + ................ 5,278
4,900 Salix Pharmaceuticals, Ltd. + ................... 34,447
3,000 Sepracor, Inc. + ................................ 59,760
5,700 Skilled Healthcare Group, Inc., Class A + ....... 76,494
500 Symmetry Medical, Inc. + ........................ 8,110
Small Company Value Portfolio
Shares Value
- ---------- --------------
HEALTH CARE -- 6.7% (CONTINUED)
5,300 Viropharma, Inc. + .............................. $ 58,618
1,400 Zoll Medical Corp. + ............................ 47,138
--------------
1,309,233
--------------
INDUSTRIALS -- 18.8%
2,850 Acuity Brands, Inc. ............................. 137,028
-- AGCO Corp. + .................................... --
839 Air Transport Services Group, Inc. + ............ 839
2,500 Aircastle, Ltd.(a) .............................. 21,025
5,200 Albany International Corp., Class A ............. 150,799
829 AO Smith Corp. .................................. 27,216
700 Arkansas Best Corp.(a) .......................... 25,648
60 Astec Industries, Inc. + ........................ 1,928
5,200 Belden, Inc. .................................... 176,176
1,344 Blount International, Inc. + .................... 15,604
200 Brady Corp., Class A ............................ 6,906
11,314 Briggs & Stratton Corp.(a) ...................... 143,462
816 Cascade Corp.(a) ................................ 34,533
8,669 CBIZ, Inc. + .................................... 68,919
1,700 Ceradyne, Inc. + ................................ 58,310
1,000 Comfort Systems USA, Inc. ....................... 13,440
6,098 Corrections Corp of America + ................... 167,511
1,850 Curtiss-Wright Corp. ............................ 82,768
600 Dollar Thrifty Automotive Group + ............... 5,670
400 Dycom Industries, Inc. + ........................ 5,808
770 Dynamic Materials Corp.(a) ...................... 25,372
2,200 Eagle Bulk Shipping, Inc.(a) .................... 65,054
2,400 Ennis, Inc. ..................................... 37,560
1,200 EnPro Industries, Inc. + ........................ 44,808
1,574 ESCO Technologies, Inc. + ....................... 73,852
1,800 ExpressJet Holdings, Inc. + (a) ................. 990
100 Flow International Corp. + ...................... 780
600 Forward Air Corp. ............................... 20,760
1,640 FTI Consulting, Inc. + .......................... 112,273
180 G&K Services, Inc., Class A ..................... 5,483
550 Gardner Denver, Inc. + .......................... 31,240
1,600 Genco Shipping & Trading, Ltd. .................. 104,320
4,756 GenCorp, Inc. + ................................. 34,053
1,650 General Cable Corp. + (a) ....................... 100,403
10,750 Gibraltar Industries, Inc. ...................... 171,678
900 GrafTech International, Ltd. + .................. 24,147
20,200 Griffon Corp. + ................................. 176,952
1,200 Heartland Express, Inc.(a) ...................... 17,892
69 ICT Group, Inc. + ............................... 566
2,550 Kadant, Inc. + .................................. 57,630
1,872 Kaman Corp. ..................................... 42,607
3,400 Kennametal, Inc. ................................ 110,670
450 Ladish Co., Inc. + .............................. 9,266
1,600 Layne Christensen Co. + ......................... 70,064
3,100 Lincoln Electric Holdings, Inc. ................. 243,969
15,000 Marten Transport, Ltd. + ........................ 239,550
1,200 Mine Safety Appliances Co. ...................... 47,988
700 Mobile Mini, Inc. + ............................. 14,000
890 Moog, Inc., Class A + ........................... 33,144
100 MPS Group, Inc. + ............................... 1,063
600 Mueller Water Products, Inc., Class A ........... 4,842
1,400 NCI Building Systems, Inc. + .................... 51,422
3,250 Otter Tail Corp. ................................ 126,198
100 PeopleSupport, Inc. + ........................... 850
100 Quanex Building Products Corp. .................. 1,486
3,350 RBC Bearings, Inc. + ............................ 111,622
1,300 Regal-Beloit Corp. .............................. 54,925
200 Robbins & Myers, Inc. ........................... 9,974
1,850 Rollins, Inc. ................................... 27,417
100 Superior Essex, Inc. + .......................... 4,463
300 TBS International, Ltd., Class A + (a) .......... 11,985
1,600 Tredegar Corp. .................................. 23,520
2,987 United Stationers, Inc. + ....................... 110,370
Shares Value
- ---------- --------------
INDUSTRIALS -- 18.8% (CONTINUED)
7,100 US Airways Group, Inc. + (a) .................... $ 17,750
150 Viad Corp. ...................................... 3,869
350 Wabtec Corp. .................................... 17,017
500 Waste Connections, Inc. + ....................... 15,965
100 YRC Worldwide, Inc. + (a) ....................... 1,487
--------------
3,656,886
--------------
INFORMATION TECHNOLOGY -- 11.2%
3,300 3Com Corp. + .................................... 6,996
2,919 Actel Corp. + ................................... 49,185
3,300 Acxiom Corp. .................................... 37,917
2,400 Advanced Energy Industries, Inc. + .............. 32,880
100 Anaren, Inc. + .................................. 1,057
1,150 Anixter International, Inc. + (a) ............... 68,414
600 Ansys, Inc. + ................................... 28,272
976 Applied Micro Circuits Corp. + .................. 8,355
30 Ariba, Inc. + ................................... 441
2,033 Arris Group, Inc. + (a) ......................... 17,179
95 Art Technology Group, Inc. + .................... 304
1,550 Avid Technology, Inc. + (a) ..................... 26,335
2,750 Avocent Corp. + ................................. 51,150
49 Axcelis Technologies, Inc. + .................... 239
75 Benchmark Electronics, Inc. + ................... 1,226
3,400 BigBand Networks, Inc. + ........................ 16,082
2,342 Checkpoint Systems, Inc. + ...................... 48,901
7,800 Cirrus Logic, Inc. + ............................ 43,368
500 Cognex Corp. .................................... 11,525
1,700 CommScope, Inc. + (a) ........................... 89,708
5,730 CTS Corp. ....................................... 57,587
2,865 Cybersource Corp. + ............................. 47,931
30 DG FastChannel, Inc. + (a) ...................... 518
2,000 Digi International, Inc. + ...................... 15,700
100 Electro Scientific Industries, Inc. + ........... 1,417
5,399 Electronics for Imaging, Inc. + ................. 78,825
466 Entegris, Inc. + ................................ 3,052
1,000 Flir Systems, Inc. + ............................ 40,570
15,100 GSI Group, Inc. + ............................... 117,176
360 Imation Corp. ................................... 8,251
1,715 Internet Capital Group, Inc. + .................. 13,257
100 IPG Photonics Corp. + ........................... 1,881
550 Itron, Inc. + (a) ............................... 54,093
12,650 Keithley Instruments, Inc. ...................... 120,175
3,810 Kemet Corp. + ................................... 12,344
1,700 Lattice Semiconductor Corp. + ................... 5,321
2,500 Macrovision Solutions Corp. + ................... 37,400
3,254 Marchex, Inc., Class B(a) ....................... 40,089
12,200 Mattson Technology, Inc. + ...................... 58,072
2,750 Microsemi Corp. + ............................... 69,245
10,300 MIPS Technologies, Inc. + ....................... 38,625
200 MKS Instruments, Inc. + ......................... 4,380
1,400 MRV Communications, Inc. + ...................... 1,666
400 MTS Systems Corp. ............................... 14,352
2,644 Multi-Fineline Electronix, Inc. + (a) ........... 73,159
-- Nextwave Wireless, Inc. + ....................... --
1,800 Omnivision Technologies, Inc. + (a) ............. 21,762
200 Park Electrochemical Corp. ...................... 4,862
2 PDF Solutions, Inc. + ........................... 12
100 Perot Systems Corp., Class A + .................. 1,501
34,300 Quantum Corp. + ................................. 46,305
100 Rackable Systems, Inc. + ........................ 1,340
100 Radisys Corp. + ................................. 906
9,800 RealNetworks, Inc. + ............................ 64,681
3,400 Rogers Corp. + .................................. 127,805
1,024 Rudolph Technologies, Inc. + .................... 7,885
18,100 Sanmina-SCI Corp. + ............................. 23,168
400 SAVVIS, Inc. + (a) .............................. 5,164
100 Semitool, Inc. + ................................ 751
3,673 Silicon Storage Technology, Inc. + .............. 10,174
Small Company Value Portfolio
Shares Value
- ---------- --------------
INFORMATION TECHNOLOGY -- 11.2% (CONTINUED)
1,350 SiRF Technology Holdings, Inc. + (a) ............ $ 5,832
642 Skyworks Solutions, Inc. + ...................... 6,337
2,800 Spansion, Inc., Class A + ....................... 6,300
5,336 Standard Microsystems Corp. + ................... 144,872
8,424 Symyx Technologies + ............................ 58,800
790 SYNNEX Corp. + .................................. 19,821
100 Technitrol, Inc. ................................ 1,699
350 TeleTech Holdings, Inc. + ....................... 6,986
100 Tessera Technologies, Inc. + .................... 1,637
10,700 TIBCO Software, Inc. + .......................... 81,855
100 TNS, Inc. + ..................................... 2,396
800 TriQuint Semiconductor, Inc. + .................. 4,848
2,800 United Online, Inc. ............................. 28,084
140 Veeco Instruments, Inc. + ....................... 2,251
800 VeriFone Holdings, Inc. + ....................... 9,560
93 Vignette Corp. + ................................ 1,116
1,508 Zoran Corp. + ................................... 17,644
--------------
2,170,974
--------------
MATERIALS -- 9.3%
7,626 AbitibiBowater, Inc. ............................ 71,151
4,050 Aptargroup, Inc. ................................ 169,898
2,518 Arch Chemicals, Inc. ............................ 83,472
10,400 Buckeye Technologies, Inc. + .................... 87,984
1,200 Century Aluminum Co. + .......................... 79,788
4,100 Coeur d'Alene Mines Corp. + (a) ................. 11,890
750 Compass Minerals International, Inc. ............ 60,420
16,900 Domtar Corp. + .................................. 92,105
3,900 Ferro Corp. ..................................... 73,164
100 Flotek Industries, Inc. + (a) ................... 2,062
6,550 Glatfelter ...................................... 88,491
2,390 HB Fuller Co. ................................... 53,632
8,281 Hercules, Inc.(a) ............................... 140,197
600 Innospec, Inc. .................................. 11,292
1,490 OM Group, Inc. + ................................ 48,857
650 Royal Gold, Inc. ................................ 20,384
400 RTI International Metals, Inc. + ................ 14,248
18,450 Sappi, Ltd. ADR(a) .............................. 219,370
100 ShengdaTech, Inc. + (a) ......................... 993
1,500 Silgan Holdings, Inc. ........................... 76,110
20,300 Temple-Inland, Inc.(a) .......................... 228,781
-- Texas Industries, Inc. .......................... --
22,400 Wausau Paper Corp. .............................. 172,703
--------------
1,806,992
--------------
TELECOMMUNICATION SERVICES -- 0.6%
371 Alaska Communications Systems Group, Inc.(a) .... 4,430
17,170 Cincinnati Bell, Inc. + ......................... 68,336
6,897 FiberTower Corp. + .............................. 9,656
950 tw telecom, Inc. + .............................. 15,229
3,000 USA Mobility, Inc. .............................. 22,650
--------------
120,301
--------------
UTILITIES -- 4.2%
1,750 Allete, Inc. .................................... 73,500
9,217 Black Hills Corp. ............................... 295,497
2,000 El Paso Electric Co. + .......................... 39,600
1,974 Northwest Natural Gas Co. ....................... 91,317
4,250 NorthWestern Corp. .............................. 108,035
950 Ormat Technologies, Inc.(a) ..................... 46,721
6,070 PNM Resources, Inc.(a) .......................... 72,597
600 Portland General Electric Co. ................... 13,512
2,750 Unisource Energy Corp. .......................... 85,278
--------------
826,057
--------------
Total Common Stock (Cost $20,100,271) 19,256,437
--------------
Shares Value
- ---------- --------------
MONEY MARKET FUND -- 17.1%
3,327,705 PNC Institutional Money Market Trust (b)(c) ..... $ 3,327,705
--------------
Total Money Market Fund (Cost $3,327,705) 3,327,705
--------------
Total Investments -- 116.1%
(Cost $23,427,976) 22,584,142
Other Assets & Liabilities, Net -- (16.1)% (3,123,646)
--------------
NET ASSETS -- 100.0% $ 19,460,495
==============
ADR -- American Depositary Receipt
+ Non-income producing security.
(a) All or a portion of this security is on loan.
(b) Represents the seven day annualized yield.
(c) Investment purchased with proceeds from collateral received from
securities on loan.
Small Company Value Portfolio
Amounts designated as "--" are either $0 or have been rounded to $0.
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.
There have been no changes to the procedures by which shareholders may recommend
nominees to the Registrant's Board of Directors since the registrant last
disclosed such procedures in the definitive proxy statement filed with the SEC
on January 10, 2006.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial
officers, or persons performing similar functions, have concluded
that the registrant's disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940, as
amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as
of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule
30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules
13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the registrant's second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Wilshire Mutual Funds, Inc.
/s/ Lawrence E. Davanzo
By (Signature and Title)* -----------------------------------
Lawrence E. Davanzo, President
(principal executive officer)
Date August 29, 2008
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.
/s/ Lawrence E. Davanzo
By (Signature and Title)* -----------------------------------
Lawrence E. Davanzo, President
(principal executive officer)
Date August 29, 2008
/s/ Helen Thompson
By (Signature and Title)* -----------------------------------
Helen Thompson, Treasurer
(principal financial officer)
Date August 29, 2008
* Print the name and title of each signing officer under his or her
signature.