-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Fo4zy9pzG7JV0q0kUZrsdufzEMFP+R1Lw0Cw0aPHOLhvgOzzF6zngZ59N8batpeK irbrF7JStRy8o4Va9z0oIw== 0000919574-09-016484.txt : 20091116 0000919574-09-016484.hdr.sgml : 20091116 20091116161051 ACCESSION NUMBER: 0000919574-09-016484 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20090930 FILED AS OF DATE: 20091116 DATE AS OF CHANGE: 20091116 EFFECTIVENESS DATE: 20091116 FILER: COMPANY DATA: COMPANY CONFORMED NAME: TWO SIGMA INVESTMENTS LLC CENTRAL INDEX KEY: 0001179392 IRS NUMBER: 314181471 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10385 FILM NUMBER: 091186927 BUSINESS ADDRESS: STREET 1: 379 WEST BROADWAY STREET 2: 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10012 BUSINESS PHONE: 2127756639 MAIL ADDRESS: STREET 1: 379 WEST BROADWAY STREET 2: 5TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10012 13F-HR 1 d1046260_13f-hr.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F Cover Page Report for the Calendar Year or Quarter Ended: September 30, 2009 Check here if Amendment: |_|; Amendment Number: ___ This Amendment (Check only one): |_| is a restatement |_| adds new holding entries. Institutional Manager Filing this Report: Name: Two Sigma Investments, LLC Address: 379 West Broadway 5th Floor New York, New York 10012 13F File Number: 028- 10385 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Matthew B. Siano, Esq. Title: General Counsel Phone: (212) 625-5712 Signature, Place and Date of Signing: /s/ Matthew B. Siano New York, New York November 16, 2009 - ----------------------- -------------------------- ---------------------- [Signature] [City, State] [Date] Report Type: (Check only one): [X] 13F HOLDINGS REPORT. (Check here if all holdings of this reporting manager are reported in this report). [_] 13F NOTICE. (Check here if no holdings reported are in this report, and all holdings are reported by other reporting managers(s).) [_] 13F COMBINATION REPORT. (Check here if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).) Form 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 3 Form 13F Information Table Entry Total: 1,617 Form 13F Information Table Value Total: $6,249,426 (thousands) List of Other Included Managers: No. Form 13F File Number Name * 028-10704 Two Sigma Equity Portfolio, LLC * 028-11144 Two Sigma Spectrum Portfolio, LLC * 028-13293 Two Sigma Strategies Master Fund, Ltd. * This Form 13F holdings report is being filed on behalf of Two Sigma Investments, LLC ("Investments"). Investments serves as the sole manager or investment manager, as applicable, of (i) Two Sigma Equity Portfolio, LLC ("Equity"), Two Sigma Spectrum Portfolio, LLC ("Spectrum") and Two Sigma Strategies Master Fund, Ltd. ("Strategies"), three investment entities that are managed by Investments, each of which may be deemed to be "other managers" for purposes of this Form 13F report and (ii) Two Sigma Spectrum Portfolio II, LLC ("Spectrum II"), Two Sigma Jupiter Portfolio, LLC ("Jupiter"), Two Sigma Options Portfolio, Ltd. ("Options"), Two Sigma Horizon Portfolio, LLC ("Horizon") and Two Sigma Constellation US Master Fund, Ltd. ("Constellation"), five investment entities that are managed by Investments, each of which may not presently be deemed to be "other managers" for purposes of this Form 13F report. Investments, rather than Equity, Spectrum, Strategies, Spectrum II, Jupiter, Options, Horizon or Constellation, exercises sole investment discretion and voting authority over the securities held in the various accounts of Equity, Spectrum, Strategies, Spectrum II, Jupiter, Options, Horizon and Constellation. FORM 13F INFORMATION TABLE Two Sigma Investments, LLC September 30, 2009
COLUMN 1 COLUMN 2 COLUMN 3 COLUMN 4 COLUMN 5 COL 6 COL 7 COLUMN 8 VALUE SHRS OR SH/ PUT/ INVSMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x1000) PRN AMT PRN CALL DSCRTN MNGRS SOLE SHARED NONE - -------------- -------------- ----- ------- ------- --- ---- ------ ----- ---- ------ ---- 1ST SOURCE CORP COM 336901103 220 13,500 SOLE * 13,500 0 0 3COM CORP COM 885535104 186 35,630 SOLE * 35,630 0 0 99 CENTS ONLY STORES COM 65440K106 600 44,600 SOLE * 44,600 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 1,565 187,633 SOLE * 187,633 0 0 A POWER ENERGY GENERAT SYS L COM G04136100 1,212 112,579 SOLE * 112,579 0 0 AAR CORP COM 000361105 582 26,532 SOLE * 26,532 0 0 ABB LTD SPONSORED ADR 000375204 2,608 130,097 SOLE * 130,097 0 0 ABBOTT LABS COM 002824100 37,381 755,623 SOLE * 755,623 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 248 16,458 SOLE * 16,458 0 0 ACCELRYS INC COM 00430U103 570 98,294 SOLE * 98,294 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 104,347 2,799,757 SOLE * 2,799,757 0 0 ACCO BRANDS CORP COM 00081T108 203 28,105 SOLE * 28,105 0 0 ACE LTD SHS H0023R105 21,339 399,145 SOLE * 399,145 0 0 ACERGY S A SPONSORED ADR 00443E104 152 12,000 SOLE * 12,000 0 0 ACETO CORP COM 004446100 596 90,297 SOLE * 90,297 0 0 ACI WORLDWIDE INC COM 004498101 1,054 69,698 SOLE * 69,698 0 0 ACME PACKET INC COM 004764106 221 22,029 SOLE * 22,029 0 0 ACTUANT CORP CL A NEW 00508X203 384 23,917 SOLE * 23,917 0 0 ACTUATE CORP COM 00508B102 829 143,414 SOLE * 143,414 0 0 ADAPTEC INC COM 00651F108 1,102 329,810 SOLE * 329,810 0 0 ADOBE SYS INC COM 00724F101 2,786 84,303 SOLE * 84,303 0 0 ADOLOR CORP COM 00724X102 85 53,760 SOLE * 53,760 0 0 ADTRAN INC COM 00738A106 433 17,623 SOLE * 17,623 0 0 ADVANCED ANALOGIC TECHNOLOGI COM 00752J108 443 111,682 SOLE * 111,682 0 0 ADVANCED BATTERY TECHNOLOG I COM 00752H102 152 35,100 SOLE * 35,100 0 0 ADVANCED ENERGY INDS COM 007973100 362 25,436 SOLE * 25,436 0 0 AECOM TECHNOLOGY CORP DELAWA COM 00766T100 10,313 379,999 SOLE * 379,999 0 0 AEROPOSTALE COM 007865108 10,007 230,198 SOLE * 230,198 0 0 AES CORP COM 00130H105 9,550 644,400 SOLE * 644,400 0 0 AETNA INC NEW COM 00817Y108 496 17,826 SOLE * 17,826 0 0 AFC ENTERPRISES INC COM 00104Q107 392 46,500 SOLE * 46,500 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 24,811 458,031 SOLE * 458,031 0 0 AFFILIATED MANAGERS GROUP COM 008252108 4,981 76,617 SOLE * 76,617 0 0 AFFYMAX INC COM 00826A109 241 10,076 SOLE * 10,076 0 0 AFFYMETRIX INC COM 00826T108 1,588 180,872 SOLE * 180,872 0 0 AGCO CORP COM 001084102 871 31,526 SOLE * 31,526 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 1,013 36,409 SOLE * 36,409 0 0 AGREE REALTY CORP COM 008492100 715 31,201 SOLE * 31,201 0 0 AGRIA CORP SPONSORED ADR 00850H103 75 35,500 SOLE * 35,500 0 0 AGRIUM INC COM 008916108 1,967 39,490 SOLE * 39,490 0 0 AIR METHODS CORP COM PAR $.06 009128307 280 8,600 SOLE * 8,600 0 0 AIR PRODS & CHEMS INC COM 009158106 2,460 31,707 SOLE * 31,707 0 0 AIR TRANSPORT SERVICES GRP I COM 00922R105 49 14,200 SOLE * 14,200 0 0 AIRCASTLE LTD COM G0129K104 153 15,800 SOLE * 15,800 0 0 AIRGAS INC COM 009363102 3,986 82,409 SOLE * 82,409 0 0 AIRTRAN HLDGS INC COM 00949P108 4,271 683,331 SOLE * 683,331 0 0 AIRVANA INC COM 00950V101 144 21,300 SOLE * 21,300 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 646 32,800 SOLE * 32,800 0 0 AKEENA SOLAR INC DE COM 009720103 73 64,415 SOLE * 64,415 0 0 AKORN INC COM 009728106 42 31,126 SOLE * 31,126 0 0 ALASKA AIR GROUP INC COM 011659109 2,327 86,865 SOLE * 86,865 0 0 ALASKA COMMUNICATIONS SYS GR COM 01167P101 367 39,665 SOLE * 39,665 0 0 ALBANY MOLECULAR RESH INC COM 012423109 223 25,700 SOLE * 25,700 0 0 ALBEMARLE CORP COM 012653101 1,877 54,267 SOLE * 54,267 0 0 ALCATEL-LUCENT SPONSORED ADR 013904305 205 45,577 SOLE * 45,577 0 0 ALCOA INC COM 013817101 5,525 421,076 SOLE * 421,076 0 0 ALCON INC COM SHS H01301102 7,975 57,508 SOLE * 57,508 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 1,501 27,623 SOLE * 27,623 0 0 ALEXION PHARMACEUTICALS INC COM 015351109 1,608 36,089 SOLE * 36,089 0 0 ALLEGHENY TECHNOLOGIES INC COM 01741R102 798 22,800 SOLE * 22,800 0 0 ALLERGAN INC COM 018490102 4,867 85,752 SOLE * 85,752 0 0 ALLIANCE DATA SYSTEMS CORP COM 018581108 3,085 50,501 SOLE * 50,501 0 0 ALLIANT TECHSYSTEMS INC COM 018804104 25,568 328,419 SOLE * 328,419 0 0 ALLIED CAP CORP NEW COM 01903Q108 153 50,098 SOLE * 50,098 0 0 ALLIED NEVADA GOLD CORP COM 019344100 674 68,858 SOLE * 68,858 0 0 ALLIED WRLD ASSUR COM HLDG L SHS G0219G203 7,109 148,338 SOLE * 148,338 0 0 ALLSTATE CORP COM 020002101 12,580 410,855 SOLE * 410,855 0 0 ALPHA NATURAL RESOURCES INC COM 02076X102 1,588 45,224 SOLE * 45,224 0 0 ALTRIA GROUP INC COM 02209S103 65,534 3,679,638 SOLE * 3,679,638 0 0 ALUMINUM CORP CHINA LTD SPON ADR H SHS 022276109 498 18,174 SOLE * 18,174 0 0 ALVARION LTD SHS M0861T100 163 39,569 SOLE * 39,569 0 0 AMDOCS LTD ORD G02602103 5,941 221,000 SOLE * 221,000 0 0 AMEREN CORP COM 023608102 5,991 237,000 SOLE * 237,000 0 0 AMERICA MOVIL SAB DE CV SPON ADR L SHS 02364W105 16,692 380,817 SOLE * 380,817 0 0 AMERICAN CAP LTD COM 02503Y103 363 112,538 SOLE * 112,538 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 367 12,900 SOLE * 12,900 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 7,062 418,845 SOLE * 418,845 0 0 AMERICAN ELEC PWR INC COM 025537101 45,631 1,472,452 SOLE * 1,472,452 0 0 AMERICAN EXPRESS CO COM 025816109 33,697 994,004 SOLE * 994,004 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 473 18,537 SOLE * 18,537 0 0 AMERICAN GREETINGS CORP CL A 026375105 1,771 79,430 SOLE * 79,430 0 0 AMERICAN INTL GROUP INC COM NEW 026874784 1,504 34,100 SOLE * 34,100 0 0 AMERICAN PHYSICIANS CAPITAL COM 028884104 826 28,666 SOLE * 28,666 0 0 AMERICAN PUBLIC EDUCATION IN COM 02913V103 1,385 39,877 SOLE * 39,877 0 0 AMERICAN RAILCAR INDS INC COM 02916P103 466 43,928 SOLE * 43,928 0 0 AMERICAN SUPERCONDUCTOR CORP COM 030111108 492 14,658 SOLE * 14,658 0 0 AMERICAN WTR WKS CO INC NEW COM 030420103 403 20,228 SOLE * 20,228 0 0 AMERICAS CAR MART INC COM 03062T105 234 9,760 SOLE * 9,760 0 0 AMERICREDIT CORP COM 03060R101 5,030 318,567 SOLE * 318,567 0 0 AMERIGAS PARTNERS L P UNIT L P INT 030975106 805 22,328 SOLE * 22,328 0 0 AMERIGON INC COM 03070L300 194 26,400 SOLE * 26,400 0 0 AMERIPRISE FINL INC COM 03076C106 4,312 118,698 SOLE * 118,698 0 0 AMERISAFE INC COM 03071H100 302 17,500 SOLE * 17,500 0 0 AMERISOURCEBERGEN CORP COM 03073E105 1,136 50,791 SOLE * 50,791 0 0 AMKOR TECHNOLOGY INC COM 031652100 72 10,499 SOLE * 10,499 0 0 AMN HEALTHCARE SERVICES INC COM 001744101 694 73,068 SOLE * 73,068 0 0 AMPHENOL CORP NEW CL A 032095101 5,984 158,817 SOLE * 158,817 0 0 AMR CORP COM 001765106 3,901 490,741 SOLE * 490,741 0 0 AMTRUST FINANCIAL SERVICES I COM 032359309 453 39,706 SOLE * 39,706 0 0 AMYLIN PHARMACEUTICALS INC COM 032346108 214 15,647 SOLE * 15,647 0 0 ANADARKO PETE CORP COM 032511107 8,260 131,681 SOLE * 131,681 0 0 ANADARKO PETE CORP PUT COM 032511107 232 3,700 PUT SOLE * 3,700 0 0 ANADIGICS INC COM 032515108 570 121,200 SOLE * 121,200 0 0 ANALOGIC CORP COM PAR $0.05 032657207 288 7,798 SOLE * 7,798 0 0 ANAREN INC COM 032744104 599 35,235 SOLE * 35,235 0 0 ANDERSONS INC COM 034164103 607 17,228 SOLE * 17,228 0 0 ANGIODYNAMICS INC COM 03475V101 147 10,700 SOLE * 10,700 0 0 ANGLOGOLD ASHANTI LTD SPONSORED ADR 035128206 1,087 26,658 SOLE * 26,658 0 0 ANNALY CAP MGMT INC COM 035710409 60,298 3,324,000 SOLE * 3,324,000 0 0 ANNTAYLOR STORES CORP COM 036115103 586 36,859 SOLE * 36,859 0 0 ANTHRACITE CAP INC COM 037023108 21 20,326 SOLE * 20,326 0 0 ANTIGENICS INC DEL COM 037032109 213 103,000 SOLE * 103,000 0 0 ANWORTH MORTGAGE ASSET CP COM 037347101 10,106 1,282,437 SOLE * 1,282,437 0 0 APACHE CORP COM 037411105 1,866 20,316 SOLE * 20,316 0 0 APARTMENT INVT & MGMT CO CL A 03748R101 1,088 73,752 SOLE * 73,752 0 0 APOGEE ENTERPRISES INC COM 037598109 522 34,749 SOLE * 34,749 0 0 APOLLO INVT CORP COM 03761U106 2,156 225,736 SOLE * 225,736 0 0 APPLE INC COM 037833100 112,585 607,414 SOLE * 607,414 0 0 APPLE INC CALL COM 037833100 278 1,500 CALL SOLE * 1,500 0 0 APPLIED MATLS INC COM 038222105 1,218 90,907 SOLE * 90,907 0 0 APPLIED MICRO CIRCUITS CORP COM NEW 03822W406 101 10,100 SOLE * 10,100 0 0 APPROACH RESOURCES INC COM 03834A103 168 18,474 SOLE * 18,474 0 0 ARACRUZ CELULOSE S A SPON ADR PFD B 038496204 1,117 50,202 SOLE * 50,202 0 0 ARDEA BIOSCIENCES INC COM 03969P107 885 48,265 SOLE * 48,265 0 0 ARES CAP CORP COM 04010L103 682 61,918 SOLE * 61,918 0 0 ARGO GROUP INTL HLDGS LTD COM G0464B107 275 8,171 SOLE * 8,171 0 0 ARGON ST INC COM 040149106 774 40,643 SOLE * 40,643 0 0 ARIBA INC COM NEW 04033V203 147 12,700 SOLE * 12,700 0 0 ARM HLDGS PLC SPONSORED ADR 042068106 104 14,866 SOLE * 14,866 0 0 ARQULE INC COM 04269E107 567 125,003 SOLE * 125,003 0 0 ARRIS GROUP INC COM 04269Q100 305 23,481 SOLE * 23,481 0 0 ARUBA NETWORKS INC COM 043176106 932 105,422 SOLE * 105,422 0 0 ASBURY AUTOMOTIVE GROUP INC COM 043436104 1,694 133,581 SOLE * 133,581 0 0 ASCENT MEDIA CORP COM SER A 043632108 289 11,303 SOLE * 11,303 0 0 ASHFORD HOSPITALITY TR INC COM SHS 044103109 185 53,356 SOLE * 53,356 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 4,246 160,400 SOLE * 160,400 0 0 ASSISTED LIVING CONCPT NEV N CL A NEW 04544X300 433 20,923 SOLE * 20,923 0 0 ASSOCIATED BANC CORP COM 045487105 836 73,233 SOLE * 73,233 0 0 ASSOCIATED ESTATES RLTY CORP COM 045604105 272 28,300 SOLE * 28,300 0 0 ASSURANT INC COM 04621X108 18,068 563,558 SOLE * 563,558 0 0 ASTRAZENECA PLC SPONSORED ADR 046353108 2,351 52,300 SOLE * 52,300 0 0 AT&T INC COM 00206R102 70,776 2,620,362 SOLE * 2,620,362 0 0 ATC TECHNOLOGY CORP COM 00211W104 285 14,427 SOLE * 14,427 0 0 ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 3,682 115,183 SOLE * 115,183 0 0 AUDIOVOX CORP CL A 050757103 97 14,200 SOLE * 14,200 0 0 AURIZON MINES LTD COM 05155P106 171 39,208 SOLE * 39,208 0 0 AUTODESK INC COM 052769106 9,425 396,014 SOLE * 396,014 0 0 AUTOLIV INC COM 052800109 3,153 93,843 SOLE * 93,843 0 0 AUTOZONE INC COM 053332102 30,809 210,700 SOLE * 210,700 0 0 AVATAR HLDGS INC COM 053494100 580 30,500 SOLE * 30,500 0 0 AVERY DENNISON CORP COM 053611109 313 8,684 SOLE * 8,684 0 0 AVIS BUDGET GROUP COM 053774105 2,242 167,810 SOLE * 167,810 0 0 AVNET INC COM 053807103 1,633 62,866 SOLE * 62,866 0 0 AVOCENT CORP COM 053893103 531 26,187 SOLE * 26,187 0 0 AVX CORP NEW COM 002444107 245 20,526 SOLE * 20,526 0 0 AXA SPONSORED ADR 054536107 877 32,400 SOLE * 32,400 0 0 AXIS CAPITAL HOLDINGS SHS G0692U109 1,478 48,961 SOLE * 48,961 0 0 AZZ INC COM 002474104 1,197 29,815 SOLE * 29,815 0 0 B & G FOODS INC NEW CL A 05508R106 988 120,611 SOLE * 120,611 0 0 BABCOCK & BROWN AIR LTD SPONSORED ADR 05614P101 562 58,453 SOLE * 58,453 0 0 BAIDU INC SPON ADR REP A 056752108 19,201 49,100 SOLE * 49,100 0 0 BAKER HUGHES INC COM 057224107 6,194 145,186 SOLE * 145,186 0 0 BAKER MICHAEL CORP COM 057149106 488 13,437 SOLE * 13,437 0 0 BALCHEM CORP COM 057665200 252 9,600 SOLE * 9,600 0 0 BALL CORP COM 058498106 370 7,522 SOLE * 7,522 0 0 BALLY TECHNOLOGIES INC COM 05874B107 2,555 66,587 SOLE * 66,587 0 0 BANCO BRADESCO S A SP ADR PFD NEW 059460303 14,387 723,360 SOLE * 723,360 0 0 BANCO SANTANDER CHILE NEW SP ADR REP COM 05965X109 247 4,300 SOLE * 4,300 0 0 BANCO SANTANDER SA ADR 05964H105 2,327 144,068 SOLE * 144,068 0 0 BANCOLOMBIA S A SPON ADR PREF 05968L102 292 6,800 SOLE * 6,800 0 0 BANK HAWAII CORP COM 062540109 274 6,590 SOLE * 6,590 0 0 BANK MONTREAL QUE COM 063671101 862 17,020 SOLE * 17,020 0 0 BANK OF AMERICA CORPORATION COM 060505104 41,123 2,430,431 SOLE * 2,430,431 0 0 BANK OF THE OZARKS INC COM 063904106 778 29,330 SOLE * 29,330 0 0 BANKATLANTIC BANCORP CL A NEW 065908600 47 16,260 SOLE * 16,260 0 0 BANNER CORP COM 06652V109 31 11,221 SOLE * 11,221 0 0 BARD C R INC COM 067383109 1,477 18,786 SOLE * 18,786 0 0 BARE ESCENTUALS INC COM 067511105 1,229 103,393 SOLE * 103,393 0 0 BARRETT BILL CORP COM 06846N104 705 21,500 SOLE * 21,500 0 0 BARRICK GOLD CORP COM 067901108 5,695 150,260 SOLE * 150,260 0 0 BASIC ENERGY SVCS INC NEW COM 06985P100 357 42,097 SOLE * 42,097 0 0 BAXTER INTL INC COM 071813109 12,513 219,488 SOLE * 219,488 0 0 BCE INC COM NEW 05534B760 1,886 76,441 SOLE * 76,441 0 0 BE AEROSPACE INC COM 073302101 205 10,181 SOLE * 10,181 0 0 BEAZER HOMES USA INC COM 07556Q105 99 17,700 SOLE * 17,700 0 0 BELDEN INC COM 077454106 306 13,239 SOLE * 13,239 0 0 BENCHMARK ELECTRS INC COM 08160H101 852 47,303 SOLE * 47,303 0 0 BERKSHIRE HILLS BANCORP INC COM 084680107 302 13,784 SOLE * 13,784 0 0 BGC PARTNERS INC CL A 05541T101 88 20,569 SOLE * 20,569 0 0 BHP BILLITON LTD SPONSORED ADR 088606108 2,534 38,390 SOLE * 38,390 0 0 BIG 5 SPORTING GOODS CORP COM 08915P101 310 20,514 SOLE * 20,514 0 0 BIG LOTS INC COM 089302103 20,751 829,351 SOLE * 829,351 0 0 BIGBAND NETWORKS INC COM 089750509 202 50,200 SOLE * 50,200 0 0 BIO RAD LABS INC CL A 090572207 3,141 34,181 SOLE * 34,181 0 0 BIODEL INC COM 09064M105 112 20,910 SOLE * 20,910 0 0 BIOGEN IDEC INC COM 09062X103 19,058 377,248 SOLE * 377,248 0 0 BIOMARIN PHARMACEUTICAL INC COM 09061G101 217 12,020 SOLE * 12,020 0 0 BIOMIMETIC THERAPEUTICS INC COM 09064X101 138 11,247 SOLE * 11,247 0 0 BIOVAIL CORP COM 09067J109 432 27,997 SOLE * 27,997 0 0 BJ SVCS CO COM 055482103 30,748 1,582,517 SOLE * 1,582,517 0 0 BLACK & DECKER CORP COM 091797100 981 21,196 SOLE * 21,196 0 0 BLACKROCK INC COM 09247X101 5,812 26,807 SOLE * 26,807 0 0 BLACKROCK KELSO CAPITAL CORP COM 092533108 108 14,547 SOLE * 14,547 0 0 BLACKSTONE GROUP L P COM UNIT LTD 09253U108 4,469 314,729 SOLE * 314,729 0 0 BLOCK H & R INC COM 093671105 2,989 162,599 SOLE * 162,599 0 0 BLOCKBUSTER INC CL A 093679108 143 133,600 SOLE * 133,600 0 0 BLUE COAT SYSTEMS INC COM NEW 09534T508 232 10,250 SOLE * 10,250 0 0 BOARDWALK PIPELINE PARTNERS UT LTD PARTNER 096627104 230 9,286 SOLE * 9,286 0 0 BOISE INC COM 09746Y105 165 31,237 SOLE * 31,237 0 0 BOLT TECHNOLOGY CORP COM 097698104 398 31,702 SOLE * 31,702 0 0 BORDERS GROUP INC COM 099709107 226 72,510 SOLE * 72,510 0 0 BOSTON BEER INC CL A 100557107 2,227 60,055 SOLE * 60,055 0 0 BOSTON PRIVATE FINL HLDGS IN COM 101119105 563 86,443 SOLE * 86,443 0 0 BOSTON SCIENTIFIC CORP COM 101137107 2,044 192,988 SOLE * 192,988 0 0 BOTTOMLINE TECH DEL INC COM 101388106 263 20,400 SOLE * 20,400 0 0 BOYD GAMING CORP COM 103304101 811 74,200 SOLE * 74,200 0 0 BP PRUDHOE BAY RTY TR UNIT BEN INT 055630107 447 6,000 SOLE * 6,000 0 0 BRIGHAM EXPLORATION CO COM 109178103 464 51,145 SOLE * 51,145 0 0 BRIGHTPOINT INC COM NEW 109473405 403 46,014 SOLE * 46,014 0 0 BRINKER INTL INC COM 109641100 4,509 286,650 SOLE * 286,650 0 0 BRINKS CO COM 109696104 319 11,839 SOLE * 11,839 0 0 BRINKS HOME SEC HLDGS INC COM 109699108 1,693 54,985 SOLE * 54,985 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 2,752 122,210 SOLE * 122,210 0 0 BRISTOW GROUP INC COM 110394103 423 14,229 SOLE * 14,229 0 0 BRITISH AMERN TOB PLC SPONSORED ADR 110448107 221 3,500 SOLE * 3,500 0 0 BROADCOM CORP CL A 111320107 9,844 320,756 SOLE * 320,756 0 0 BROADRIDGE FINL SOLUTIONS 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36,001 0 0 PAR PHARMACEUTICAL COS INC COM 69888P106 2,446 113,751 SOLE * 113,751 0 0 PARALLEL PETE CORP DEL COM 699157103 33 10,300 SOLE * 10,300 0 0 PARK ELECTROCHEMICAL CORP COM 700416209 503 20,388 SOLE * 20,388 0 0 PARK NATL CORP COM 700658107 531 9,100 SOLE * 9,100 0 0 PARKER HANNIFIN CORP COM 701094104 650 12,546 SOLE * 12,546 0 0 PARTNERRE LTD COM G6852T105 9,768 126,956 SOLE * 126,956 0 0 PC-TEL INC COM 69325Q105 123 19,711 SOLE * 19,711 0 0 PDL BIOPHARMA INC COM 69329Y104 19,004 2,411,687 SOLE * 2,411,687 0 0 PEABODY ENERGY CORP COM 704549104 9,075 243,820 SOLE * 243,820 0 0 PENN NATL GAMING INC COM 707569109 296 10,700 SOLE * 10,700 0 0 PENN VA GP HLDGS L P COM UNIT R LIM 70788P105 817 63,674 SOLE * 63,674 0 0 PENNANTPARK INVT CORP COM 708062104 414 50,974 SOLE * 50,974 0 0 PENSKE AUTOMOTIVE GRP INC COM 70959W103 275 14,353 SOLE * 14,353 0 0 PENSON WORLDWIDE INC COM 709600100 220 22,600 SOLE * 22,600 0 0 PEP BOYS MANNY MOE & JACK COM 713278109 277 28,391 SOLE * 28,391 0 0 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8,696 438,296 SOLE * 438,296 0 0 PHILIP MORRIS INTL INC COM 718172109 22,803 467,850 SOLE * 467,850 0 0 PHILLIPS VAN HEUSEN CORP COM 718592108 12,401 289,817 SOLE * 289,817 0 0 PHOENIX COS INC NEW COM 71902E109 111 34,100 SOLE * 34,100 0 0 PHOENIX TECHNOLOGY LTD COM 719153108 142 38,863 SOLE * 38,863 0 0 PHOTRONICS INC COM 719405102 266 56,100 SOLE * 56,100 0 0 PICO HLDGS INC COM NEW 693366205 220 6,622 SOLE * 6,622 0 0 PIER 1 IMPORTS INC COM 720279108 232 60,000 SOLE * 60,000 0 0 PIKE ELEC CORP COM 721283109 184 15,304 SOLE * 15,304 0 0 PINNACLE ENTMT INC COM 723456109 1,504 147,606 SOLE * 147,606 0 0 PIONEER DRILLING CO COM 723655106 98 13,364 SOLE * 13,364 0 0 PIONEER NAT RES CO COM 723787107 4,843 133,449 SOLE * 133,449 0 0 PIONEER SOUTHWST ENRG PRTNR UNIT LP INT 72388B106 912 43,331 SOLE * 43,331 0 0 PLAINS ALL AMERN PIPELINE L UNIT LTD PARTN 726503105 10,446 225,665 SOLE * 225,665 0 0 PLAINS EXPL& PRODTN CO COM 726505100 6,263 226,427 SOLE * 226,427 0 0 PLANTRONICS INC NEW COM 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SOLE * 11,914 0 0 PRESTIGE BRANDS HLDGS INC COM 74112D101 235 33,391 SOLE * 33,391 0 0 PRG-SCHULTZ INTERNATIONAL IN COM NEW 69357C503 210 37,500 SOLE * 37,500 0 0 PRICE T ROWE GROUP INC COM 74144T108 704 15,400 SOLE * 15,400 0 0 PRICELINE COM INC COM NEW 741503403 901 5,431 SOLE * 5,431 0 0 PRIDE INTL INC DEL COM 74153Q102 210 6,884 SOLE * 6,884 0 0 PROASSURANCE CORP COM 74267C106 673 12,900 SOLE * 12,900 0 0 PROCTER & GAMBLE CO COM 742718109 25,244 435,850 SOLE * 435,850 0 0 PROGENICS PHARMACEUTICALS IN COM 743187106 95 18,173 SOLE * 18,173 0 0 PROGRESS SOFTWARE CORP COM 743312100 419 18,520 SOLE * 18,520 0 0 PROGRESSIVE CORP OHIO COM 743315103 2,132 128,571 SOLE * 128,571 0 0 PROS HOLDINGS INC COM 74346Y103 108 12,825 SOLE * 12,825 0 0 PROSPECT ACQUISITION CORP COM 74347T103 479 48,400 SOLE * 48,400 0 0 PROSPECT CAPITAL CORPORATION COM 74348T102 267 24,895 SOLE * 24,895 0 0 PRUDENTIAL FINL INC COM 744320102 998 20,000 SOLE * 20,000 0 0 PS BUSINESS PKS INC CALIF COM 69360J107 1,586 30,889 SOLE * 30,889 0 0 PUBLIC STORAGE COM 74460D109 10,285 136,690 SOLE * 136,690 0 0 PULTE HOMES INC COM 745867101 6,525 593,736 SOLE * 593,736 0 0 QLOGIC CORP COM 747277101 3,106 180,585 SOLE * 180,585 0 0 QLT INC COM 746927102 562 151,837 SOLE * 151,837 0 0 QUAKER CHEM CORP COM 747316107 368 16,785 SOLE * 16,785 0 0 QUALCOMM INC COM 747525103 77,937 1,732,694 SOLE * 1,732,694 0 0 QUANEX BUILDING PRODUCTS COR COM 747619104 2,202 153,348 SOLE * 153,348 0 0 QUANTA SVCS INC COM 74762E102 876 39,616 SOLE * 39,616 0 0 QUANTUM FUEL SYS TECH WORLDW COM 74765E109 16 11,971 SOLE * 11,971 0 0 QUEST SOFTWARE INC COM 74834T103 2,845 168,852 SOLE * 168,852 0 0 QUESTAR CORP COM 748356102 2,243 59,700 SOLE * 59,700 0 0 QUESTCOR PHARMACEUTICALS INC COM 74835Y101 329 59,606 SOLE * 59,606 0 0 QUIKSILVER INC COM 74838C106 152 55,600 SOLE * 55,600 0 0 QWEST COMMUNICATIONS INTL IN COM 749121109 15,821 4,152,600 SOLE * 4,152,600 0 0 RADIAN GROUP INC COM 750236101 2,844 268,850 SOLE * 268,850 0 0 RADIANT 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47,908 0 0 SIEMENS A G SPONSORED ADR 826197501 2,539 27,313 SOLE * 27,313 0 0 SIERRA WIRELESS INC COM 826516106 307 30,792 SOLE * 30,792 0 0 SIGMA ALDRICH CORP COM 826552101 335 6,210 SOLE * 6,210 0 0 SIGMA DESIGNS INC COM 826565103 164 11,300 SOLE * 11,300 0 0 SIGNET JEWELERS LIMITED SHS G81276100 2,458 93,347 SOLE * 93,347 0 0 SILICON GRAPHICS INTL CORP COM 82706L108 307 45,829 SOLE * 45,829 0 0 SILICON IMAGE INC COM 82705T102 305 125,900 SOLE * 125,900 0 0 SILICON STORAGE TECHNOLOGY I COM 827057100 239 98,500 SOLE * 98,500 0 0 SILICONWARE PRECISION INDS L SPONSD ADR SPL 827084864 201 28,016 SOLE * 28,016 0 0 SILVER WHEATON CORP COM 828336107 3,979 316,026 SOLE * 316,026 0 0 SIMON PPTY GROUP INC NEW PUT COM 828806109 292 4,200 PUT SOLE * 4,200 0 0 SINA CORP ORD G81477104 507 13,366 SOLE * 13,366 0 0 SK TELECOM LTD SPONSORED ADR 78440P108 1,000 57,300 SOLE * 57,300 0 0 SKECHERS U S A INC CL A 830566105 920 53,678 SOLE * 53,678 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 9,266 699,887 SOLE * 699,887 0 0 SMART BALANCE INC COM 83169Y108 76 12,300 SOLE * 12,300 0 0 SMITH & WESSON HLDG CORP COM 831756101 208 39,750 SOLE * 39,750 0 0 SMITH A O COM 831865209 617 16,200 SOLE * 16,200 0 0 SMITHFIELD FOODS INC COM 832248108 985 71,327 SOLE * 71,327 0 0 SOHU COM INC COM 83408W103 2,107 30,627 SOLE * 30,627 0 0 SOLARWINDS INC COM 83416B109 241 10,941 SOLE * 10,941 0 0 SOLUTIA INC COM NEW 834376501 2,736 236,218 SOLE * 236,218 0 0 SOMANETICS CORP COM NEW 834445405 1,087 67,461 SOLE * 67,461 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 185 17,603 SOLE * 17,603 0 0 SONIC CORP COM 835451105 672 60,729 SOLE * 60,729 0 0 SONICWALL INC COM 835470105 553 65,748 SOLE * 65,748 0 0 SONOCO PRODS CO COM 835495102 3,426 124,390 SOLE * 124,390 0 0 SONUS NETWORKS INC COM 835916107 161 76,342 SOLE * 76,342 0 0 SOURCEFIRE INC COM 83616T108 1,044 48,628 SOLE * 48,628 0 0 SOUTH FINL GROUP INC COM 837841105 394 267,900 SOLE * 267,900 0 0 SOUTHWEST AIRLS CO COM 844741108 674 70,194 SOLE * 70,194 0 0 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