Virtus Opportunites Trust

Total Value at

December 31,
2011

Level 1

Quoted Prices

Equity Securities:

Common Stocks

Short-Term Investments

Total Investments

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

($ reported in thousands)


	SHARES		VALUE

EXCHANGE-TRADED FUNDS—98.7%

Consumer Discretionary Select Sector SPDR Fund		297,210	$	11,597
Consumer Staples Select Sector SPDR Fund		366,400		11,904
iShares Barclays 7-10 Year Treasury Bond Fund		95,005		10,030
iShares Barclays MBS Bond Fund		91,010		9,835
iShares Barclays Short Treasury Bond Fund		139,791		15,409
iShares Dow Jones U.S. Real Estate Index Fund		116,990		6,644
iShares iBoxx Investment Grade Corporate Bond Fund		86,720		9,865
iShares MSCI EAFE^® Index Fund		154,140		7,635
iShares MSCI Emerging Markets Index Fund		198,970		7,549
iShares S&P National Municipal Bond Fund		91,490		9,904
SPDR S&P 500 ETF Trust Series 1		53,290		6,688
Technology Select Sector SPDR Fund		452,020		11,504
Utilities Select Sector SPDR Fund		331,810		11,938

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $129,248)				130,502

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $129,248)				130,502

SHORT-TERM INVESTMENTS—0.7%

Money Market Mutual Funds—0.7%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		872,863		873


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $873)				873


TOTAL INVESTMENTS—99.4% (Identified Cost $130,121)				131,375	⁽¹⁾

Other assets and liabilities, net—0.6%				832

NET ASSETS—100.0%			$	132,207

Abbreviations:

ETF	Exchange-Traded Fund

SPDR	S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

($ reported in thousands)


	SHARES		VALUE

EXCHANGE-TRADED FUNDS—96.9%

Consumer Staples Select Sector SPDR Fund		3,354,800	$	108,998
Health Care Select Sector SPDR Fund		3,195,010		110,835
iShares Barclays Short Treasury Bond Fund		372,542		41,065
SPDR Barclays Capital 1-3 Month T-Bill ETF		1,380,080		63,249
Utilities Select Sector SPDR Fund		3,003,770		108,076

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $402,950)				432,223

TOTAL LONG TERM INVESTMENTS—96.9% (Identified cost $402,950)				432,223

SHORT-TERM INVESTMENTS—1.7%

Money Market Mutual Funds—1.7%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		7,614,473		7,614


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $7,614)				7,614


TOTAL INVESTMENTS—98.6% (Identified Cost $410,564)				439,837	⁽¹⁾

Other assets and liabilities, net—1.4%				6,306

NET ASSETS—100.0%			$	446,143


Abbreviations:
ETF Exchange-Traded Fund
SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

($ reported in thousands)


	SHARES		VALUE

MUTUAL FUNDS⁽³⁾—69.5%

Equity Funds—60.6%
Virtus Global Commodities Stock Fund Class I		2,137,634	$	19,196
Virtus Global Infrastructure Fund Class I		2,541,556		30,346
Virtus International Real Estate Securities Fund Class I		2,313,078		12,098
Virtus Market Neutral Fund Class I⁽²⁾		2,096,875		19,103
Virtus Real Estate Securities Class I		875,466		26,465

				107,208


Fixed Income Funds—8.9%
Virtus Senior Floating Rate Fund Class I		1,668,569		15,801


TOTAL MUTUAL FUNDS (Identified Cost $115,291)				123,009

EXCHANGE-TRADED FUNDS—31.0%

PowerShares DB Commodity Index Tracking Fund⁽²⁾		1,256,100		33,714
PowerShares DB G10 Currency Harvest Fund⁽²⁾		892,400		21,203

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $51,416)				54,917

TOTAL LONG TERM INVESTMENTS—100.5% (Identified cost $166,707)				177,926

SHORT-TERM INVESTMENTS— 0.2%

Money Market Mutual Funds—0.2%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		391,886		392


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $392)				392


TOTAL INVESTMENTS—100.7% (Identified Cost $167,099)				178,318	⁽¹⁾

Other assets and liabilities, net—(0.7)%				(1,247	)

NET ASSETS—100.0%			$	177,071

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Affiliated Fund.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE		VALUE

U.S. GOVERNMENT SECURITIES—21.9%
U.S. Treasury Bond 3.500%, 2/15/39	$	7,475	$	8,392
U.S. Treasury Note
0.250%, 11/30/13		11,955		11,958
1.000%, 8/31/16		2,460		2,487
1.375%, 11/30/18		4,565		4,581
2.000%, 11/15/21		7,070		7,147

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $32,201)				34,565


MUNICIPAL BONDS—1.3%

Michigan—0.1%
City of Flat Rock Finance Authority, Taxable Series A, 6.750%, 10/1/16		75		79


New York—0.3%
New York City Municipal Water Finance Authority 5.000%, 6/15/44		500		537


Rhode Island—0.7%
City of Woonsocket Pension Funding Taxable (AGM Insured) 5.660%, 7/15/13		1,000		1,046


Texas—0.2%
Dallas Area Rapid Transit 5.250%, 12/1/48		330		351


TOTAL MUNICIPAL BONDS (Identified Cost $1,983)				2,013


MORTGAGE-BACKED SECURITIES—29.5%

Agency—21.7%
FHLMC
7.500%, 4/1/14		6		7
7.000%, 4/1/16		12		13
7.000%, 1/1/33		136		156
6.500%, 2/1/35		2,721		3,118
5.000%, 7/1/35		2,794		3,034
FNMA
7.000%, 5/1/14		6		7
6.000%, 10/1/14		108		117
6.500%, 6/1/16		73		79
6.000%, 7/1/17		42		45
5.500%, 9/1/17		98		106
0.000%, 10/9/19		900		692
5.000%, 4/1/20		220		238


	PAR VALUE			VALUE

Agency—(continued)
4.000%, 6/1/20	$	147		$	156
5.000%, 8/1/21		62			67
6.000%, 5/1/29		102			114
6.500%, 5/1/30		4			5
7.500%, 3/1/31		75			89
7.000%, 7/1/31		52			61
7.000%, 9/1/31		87			101
6.500%, 3/1/32		83			94
5.000%, 5/1/33		1,290			1,419
6.000%, 11/1/34		630			700
5.500%, 4/1/36		310			340
5.500%, 9/1/36		1,351			1,476
6.500%, 5/1/37		927			1,041
6.000%, 9/1/37		43			48
6.000%, 1/1/38		104			116
6.000%, 2/1/38		103			115
6.000%, 3/1/38		541			606
6.500%, 3/1/38		3,532			4,002
5.500%, 4/1/38		404			446
5.500%, 6/1/38		248			273
6.000%, 7/1/38		2,788			3,093
6.000%, 8/1/38		442			494
6.000%, 8/1/38		253			284
6.000%, 8/1/38		1,247			1,383
6.000%, 8/1/38		108			119
5.000%, 6/1/39		1,497			1,633
6.000%, 8/1/39		2,269			2,547
5.000%, 9/1/39		463			506
5.500%, 9/1/39		2,480			2,747
4.500%, 9/1/40		1,020			1,109
FNMA 98-M7, Z 6.390%, 5/25/36		14			14
FNMA 99-M2, B 6.479%, 3/25/29⁽²⁾		1,078			1,241
GNMA
8.500%, 11/15/22		—	⁽⁸⁾		1
6.500%, 9/15/28		61			71
7.500%, 9/15/29		132			158

					34,281


Non-Agency—7.8%
American Tower Trust 07-1A, AFX 144A 5.420%, 4/15/37⁽³⁾		190			201
Banc of America Merrill Lynch Commercial Mortgage, Inc. 07-3, A4 5.840%, 6/10/49⁽²⁾		810			869


	PAR VALUE		VALUE

Non-Agency—(continued)
Bear Stearns Commercial Mortgage Securities
05-PWR9, A4B 4.943%, 9/11/42	$	1,090	$	1,094
07-T28, A3 5.793%, 9/11/42		1,250		1,326
Commercial Mortgage Pass-Through Certificates 07-C9, A4 6.010%, 12/10/49⁽²⁾		175		195
Credit Suisse Mortgage Capital Certificates
06-C1, A3 5.594%, 2/15/39⁽²⁾		70		74
06-C1, AM 5.594%, 2/15/39⁽²⁾		260		264
06-C5, A3 5.311%, 12/15/39		785		838
Greenwich Capital Commercial Funding Corp. 06-GG7, A4 5.882%, 7/10/38⁽²⁾		720		800
JP Morgan Chase Commercial Mortgage Securities Corp. 07-CB18, A3 5.447%, 6/12/47		1,478		1,553
Morgan Stanley Capital I
07-T27, A4 5.790%, 6/11/42⁽²)		1,150		1,310
05-IQ10, A4B 5.284%, 9/15/42⁽²⁾		820		890
06-IQ11, A4 5.895%, 10/15/42⁽²⁾		875		966
Wachovia Bank Commercial Mortgage Trust 06-C23, A5 5.416%, 1/15/45⁽²⁾		1,810		1,983

				12,363

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $44,104)				46,644


CORPORATE BONDS AND NOTES—42.3%

Consumer Discretionary—4.2%
AMC Entertainment, Inc. 9.750%, 12/1/20		365		349
Ameristar Casinos, Inc. 7.500%, 4/15/21		135		140
Brown Shoe Co., Inc. 7.125%, 5/15/19		755		719
CCO Holdings LLC / CCO Holdings Capital Corp. 6.500%, 4/30/21		440		448
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽³⁾		280		298
Discovery Communications LLC 3.700%, 6/1/15		265		279
Landry’s Holdings, Inc. 144A 11.500%, 6/1/14⁽³⁾		545		537
NBC Universal Media LLC
2.100%, 4/1/14		470		478
4.375%, 4/1/21		415		438
Peninsula Gaming LLC / Peninsula Gaming Corp. 10.750%, 8/15/17		390		410
Rent-A-Center, Inc. 6.625%, 11/15/20		365		369
Scientific Games International, Inc. 9.250%, 6/15/19		340		362


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
Spencer Spirit Holdings, Inc. / Spencer Gifts LLC / Spirit Halloween Superstores 144A 11.000%, 5/1/17⁽³⁾	$	155	$	152
Time Warner Cable, Inc.
5.000%, 2/1/20		500		548
4.000%, 9/1/21		315		318
5.500%, 9/1/41		160		168
United Artists Theatre Circuit, Inc. Series BD-1 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		18		18
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 144A 8.125%, 12/1/17⁽³⁾		420		446
Visteon Corp. 144A 6.750%, 4/15/19⁽³⁾		135		135

				6,612


Consumer Staples—1.1%
Altria Group, Inc. 9.250%, 8/6/19		170		228
Beverages & More, Inc. 144A 9.625%, 10/1/14⁽³⁾		690		704
Kraft Foods, Inc.
2.625%, 5/8/13		190		194
6.125%, 2/1/18		315		369
Philip Morris International, Inc. 6.875%, 3/17/14		185		208
Rite Aid Corp. 6.875%, 8/15/13		90		89

				1,792


Energy—4.0%
Copano Energy LLC / Copano Energy Finance Corp. 7.125%, 4/1/21		30		30
El Paso Pipeline Partners Operating Co. LLC 4.100%, 11/15/15		605		623
Enterprise Products Operating LLC
4.050%, 2/15/22		455		463
5.700%, 2/15/42		455		495
Ferrellgas LP / Ferrellgas Finance Corp. 6.500%, 5/1/21		840		743
Kinder Morgan Energy Partners LP
5.850%, 9/15/12		305		315
9.000%, 2/1/19		225		284
Linn Energy LLC / Linn Energy Finance Corp. 7.750%, 2/1/21		190		199
OGX Petroleo e Gas Participacoes SA 144A 8.500%, 6/1/18⁽³⁾		560		554
Petrobras International Finance Co. 5.375%, 1/27/21		540		567


	PAR VALUE		VALUE

Energy—(continued)
Petrohawk Energy Corp. 7.250%, 8/15/18	$	330	$	373
Petroleos Mexicanos 6.500%, 6/2/41		770		866
Petropower I Funding Trust 144A 7.360%, 2/15/14^(3) (5)		52		52
Specta Energy Partners LP 4.600%, 6/15/21		145		151
TransCanada Pipelines Ltd. 6.350%, 5/15/67⁽²⁾		215		216
Woodside Finance Ltd. 144A 4.600%, 5/10/21⁽³⁾		315		322

				6,253


Financials—20.5%
Abbey National Treasury Services plc 4.000%, 4/27/16		555		498
Ally Financial, Inc. 0.000%, 6/15/15		760		564
American Express Co. 7.250%, 5/20/14		540		603
Bank of America Corp.
5.750%, 8/15/16		705		655
5.625%, 7/1/20		590		545
5.000%, 5/13/21		345		314
Barclays Bank plc
5.200%, 7/10/14		415		428
Series 1, 5.000%, 9/22/16		670		694
Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18		390		457
Capital One Capital IV 8.875%, 5/15/40		320		332
Capital One Financial Corp.
7.375%, 5/23/14		250		275
6.150%, 9/1/16		420		437
Chubb Corp. 6.375%, 3/29/67⁽²⁾		300		296
Citigroup, Inc.
5.000%, 9/15/14		1,185		1,173
4.875%, 5/7/15		190		188
CNA Financial Corp. 5.875%, 8/15/20		785		806
CNL Lifestyles Properties 7.250%, 4/15/19		455		423
Credit Suisse
6.000%, 2/15/18		425		419
5.860%, 11/15/49^(2)(6)(7)		385		313
CVS Pass-Through Trust 144A 7.507%, 1/10/32⁽³⁾		255		295
Developers Diversified Realty Corp. 7.875%, 9/1/20		640		715
Digital Realty Trust LP 5.250%, 3/15/21		745		746
Duke Realty LP 5.950%, 2/15/17		645		694
E*Trade Financial Corp. 7.875%, 12/1/15		215		217
Felcor Lodging LP 6.750%, 6/1/19		560		540
Ford Motor Credit Co. LLC 5.000%, 5/15/18		580		583


	PAR VALUE		VALUE

Financials—(continued)
General Electric Capital Corp.
2.800%, 1/8/13	$	810	$	825
4.650%, 10/17/21		695		725
GFI Group, Inc. 8.375%, 7/19/18		260		231
Goldman Sachs Group, Inc. (The)
3.700%, 8/1/15		205		201
6.000%, 6/15/20		425		435
5.250%, 7/27/21		570		556
HSBC Holdings plc 5.100%, 4/5/21		480		510
Icahn Enterprises LP / Icahn Enterprises Finance Corp. 8.000%, 1/15/18		575		601
JPMorgan Chase & Co.
5.125%, 9/15/14		585		617
3.450%, 3/1/16		435		442
KeyCorp 5.100%, 3/24/21		480		498
Lincoln National Corp. 7.000%, 6/15/40		600		678
Lloyds TSB Bank plc
4.875%, 1/21/16		320		312
6.375%, 1/21/21		245		245
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		310		286
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽³⁾		740		708
MetLife, Inc. 5.000%, 6/15/15		520		567
Metropolitan Life Global Funding I 144A 2.875%, 9/17/12⁽³⁾		455		461
Morgan Stanley
6.000%, 4/28/15		415		416
6.625%, 4/1/18		400		395
Nomura Holdings, Inc. 4.125%, 1/19/16		645		630
Oppenheimer Holdings, Inc. 8.750%, 4/15/18		130		121
Prudential Financial, Inc.
3.625%, 9/17/12		555		564
6.200%, 1/15/15		345		377
7.375%, 6/15/19		355		419
8.875%, 6/15/38⁽²⁾⁽⁷⁾		430		492
QBE Capital Funding II LP 144A 7.250%, 5/24/41⁽²⁾⁽³⁾		300		264
Rabobank NV
5.250%, 5/24/41		595		582
144A 11.000% ^(2)(3)(6)(7)		395		462
Regions Financial Corp.
0.744%, 6/26/12⁽²⁾		835		815
4.875%, 4/26/13		520		508
RegS 5.750%, 6/15/15⁽⁹⁾		520		497


	PAR VALUE		VALUE

Financials—(continued)
Resona Bank Ltd. 144A 5.850% ^(2)(3)(6)(7)	$	985	$	979
Royal Bank of Scotland plc (The)
4.375%, 3/16/16		305		291
5.625%, 8/24/20		300		288
Santander Issuances S.A Unipersonal 144A 5.911%, 6/20/16⁽³⁾		1,085		927
SunTrust Banks, Inc. 5.250%, 11/5/12		210		215
Toronto-Dominion Bank 2.500%, 7/14/16		290		296
Wells Fargo & Co.
3.676%, 6/15/16		370		387
4.600%, 4/1/21		320		351

				32,384


Health Care—1.6%
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. 7.750%, 2/15/19		340		335
Boston Scientific Corp. 6.000%, 1/15/20		365		408
Express Scripts, Inc. 5.250%, 6/15/12		375		382
Gilead Sciences, Inc. 4.400%, 12/1/21		385		408
Kinetic Concepts, Inc./ KCI USA, Inc. 144A 10.500%, 11/1/18⁽³⁾		335		329
Tenet Healthcare Corp. 144A 6.250%, 11/1/18⁽³⁾		170		173
Valeant Pharmaceuticals International, Inc. 144A 7.250%, 7/15/22⁽³⁾		600		585

				2,620


Industrials—1.8%
Allison Transmission, Inc. 144A 7.125%, 5/15/19⁽³⁾		555		547
B-Corp Merger Sub, Inc. 144A 8.250%, 6/1/19⁽³⁾		300		283
Cenveo Corp. 7.875%, 12/1/13		845		668
DynCorp International, Inc. 10.375%, 7/1/17		660		577
Hutchison Whampoa International Ltd. 144A 5.750%, 9/11/19⁽³⁾		315		353
Valmont Industries, Inc. 6.625%, 4/20/20		415		481

				2,909


Information Technology—2.1%
CommScope, Inc. 144A 8.250%, 1/15/19⁽³⁾		730		734
Earthlink, Inc. 8.875%, 5/15/19		570		527
Fiserv, Inc.
3.125%, 6/15/16		380		387
4.750%, 6/15/21		305		319
Intuit, Inc. 5.750%, 3/15/17		235		264
Lender Processing Services, Inc. 8.125%, 7/1/16		550		543


	PAR VALUE		VALUE

Information Technology—(continued)
Sensata Technologies, Inc. 144A 6.500%, 5/15/19⁽³⁾	$	130	$	129
Xerox Corp. 4.250%, 2/15/15		370		390

				3,293


Materials—2.1%
AEP Industries, Inc. 8.250%, 4/15/19		130		133
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽³⁾		650		627
Ball Corp. 6.750%, 9/15/20		190		208
Corp Nacional del Cobre de Chile 144A 3.750%, 11/4/20⁽³⁾		135		137
Dow Chemical Co. (The)
6.000%, 10/1/12		555		576
5.900%, 2/15/15		540		601
4.250%, 11/15/20		235		244
Reynolds Group Holdings, Inc. / Reynolds Group Issuer LLC 144A 8.250%, 2/15/21⁽³⁾		650		578
Solutia, Inc. 7.875%, 3/15/20		215		235

				3,339


Telecommunication Services—2.5%
AT&T, Inc.
4.450%, 5/15/21		300		329
3.875%, 8/15/21		505		534
CenturyLink, Inc. 6.450%, 6/15/21		495		497
Cincinnati Bell, Inc. 8.375%, 10/15/20		400		400
GCI, Inc. 8.625%, 11/15/19		200		213
Goodman Networks, Inc. 144A 12.125%, 7/1/18⁽³⁾		545		522
NII Capital Corp. 7.625%, 4/1/21		735		733
West Corp. 7.875%, 1/15/19		150		150
Windstream Corp.
8.125%, 9/1/18		185		199
7.000%, 3/15/19		335		340

				3,917


Utilities—2.4%
Atmos Energy Corp. 6.350%, 6/15/17		360		427
Calpine Corp.
144A 7.875%, 7/31/20⁽³⁾		145		157
144A 7.500%, 2/15/21⁽³⁾		375		403
CMS Energy Corp.
2.750%, 5/15/14		155		154
6.250%, 2/1/20		645		680


	PAR VALUE		VALUE

Utilities—(continued)
Dominion Resources, Inc. 8.875%, 1/15/19	$	120	$	159
El Paso Pipeline Partners Operating Co. LLC 5.000%, 10/1/21		365		377
Georgia Power Co. 6.000%, 11/1/13		225		246
Nevada Power Co. Series O 6.500%, 5/15/18		345		414
Virginia Electric & Power Co. Series A 5.400%, 1/15/16		645		744

				3,761

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $65,286)				66,880

LOAN AGREEMENTS⁽²⁾—1.4%

Consumer Discretionary—0.4%
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		473		449
Transtar Industries, Inc. Tranche 2, 10.250%, 12/21/17		250		250

				699


Consumer Staples—0.7%
Roundy’s Supermarkets, Inc. Tranche 2, 10.000%, 4/16/16		1,050		1,053


Financials—0.3%
Springleaf Financial Funding Co. (American General Finance Corp.) 5.510%, 5/10/17		450		393


TOTAL LOAN AGREEMENTS (Identified Cost $2,224)				2,145

	SHARES		VALUE

PREFERRED STOCK—1.1%

Financials—1.1%
Abbey National Capital Trust I, 8.963%⁽²⁾		470		423
Citigroup Capital XIII 7.875%,		16,200		422
GMAC Capital Trust I 8.125%		32,800		635
JPMorgan Chase & Co. Series 1, 7.90%⁽²⁾		280		298

TOTAL PREFERRED STOCK (Identified Cost $2,013)				1,778

TOTAL LONG TERM INVESTMENTS—97.5% (Identified cost $147,811)				154,025


	SHARES			VALUE

SHORT-TERM INVESTMENTS—1.7%

Money Market Mutual Funds—1.7%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		2,665,633	$		2,666


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $2,666)					2,666


TOTAL INVESTMENTS—99.2% (Identified Cost $150,477)					156,691	⁽¹⁾

Other assets and liabilities, net—0.8%					1,206

NET ASSETS—100.0%			$		157,897

Abbreviations:


AGM		Assured Guaranty Municipal Corp.
FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
plc		Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2011.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to a value of $13,340 or 8.4% of net assets.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁵⁾	Illiquid security.

⁽⁶⁾	No contractual maturity date

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	Amounts are less than $500 (not reported in 000s).

⁽⁹⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

^(a) “Transfers in and/or out” represent the ending value as of December 31, 2011, for any investment security where a change in the pricing level occurred from the beginning to the end of the period.


	PAR VALUE		VALUE

MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—98.1%

Development Revenue—5.8%
Hercules Redevelopment Agency, Tax-Allocation (AMBAC Insured) 5.000%, 8/1/29	$	500	$	317
Ontario Redevelopment Financing Authority, (NATL Insured) 5.250%, 8/1/13		500		506
San Diego Redevelopment Agency,
Tax Allocation Series B (AMBAC Insured) 5.350%, 9/1/24		1,000		1,003
Tax Allocation Series A (AMBAC Insured) 4.750%, 9/1/30		500		479
Santa Clara Redevelopment Agency, (NATL Insured) 5.000%, 6/1/22		1,000		1,008

				3,313


Education Revenue—2.0%
North City West School Facilities Financing Authority, Series B (AMBAC Insured) 5.250%, 9/1/19		1,000		1,127


General Obligation—18.2%
Antelope Valley Union High School District, Series A (NATL Insured) 5.000%, 2/1/27		1,000		1,022
Brea Olinda Unified School District, Series A (NATL, FGIC Insured) 6.000%, 8/1/15		150		173
Butte-Glenn Community College District, Series A (NATL Insured) 5.500%, 8/1/19		1,000		1,035
Gilroy Unified School District, (NATL, FGIC Insured) 5.000%, 8/1/27		500		516
Los Angeles Unified School District,
2002 Election Series C (AGM Insured) 5.000%, 7/1/24		500		553
Series A-1 (NATL Insured) 4.500%, 1/1/28		500		526
New Haven Unified School District, (AGC Insured) 0.000%, 8/1/33		1,500		407
Norwalk - La Mirada Unified School District, 2002 Election Series D (AGM Insured) 0.000%, 8/1/33		1,475		401
Placer Union High School District, (AGM Insured) 0.000%, 8/1/32		1,500		444
Rancho Santiago Community College District, 2002 Election Series C (AGM Insured) 0.000%, 9/1/27		1,200		502


	PAR VALUE		VALUE

General Obligation—(continued)
San Rafael City High School District, 2002 Election Series B (NATL, FGIC Insured) 0.000%, 8/1/26	$	1,000	$	471
State of California,
5.500%, 3/1/26		500		557
5.000%, 6/1/32		675		699
5.000%, 9/1/32		500		530
5.000%, 11/1/32		250		260
5.000%, 12/1/37		250		255
6.000%, 4/1/38		250		282
Walnut Valley Unified School District, Series A (NATL Insured) 0.000%, 8/1/19		3,095		1,851

				10,484


General Revenue—14.2%
Anaheim Public Financing Authority, Series C (AGM Insured) 6.000%, 9/1/16		1,600		1,833
City of Pomona, Certificates of Participation (AMBAC Insured) 5.500%, 6/1/28		1,365		1,415
Golden State Tobacco Securitization Corp., Series A-1
5.125%, 6/1/47		1,250		813
5.750%, 6/1/47		1,000		723
Los Angeles County Public Works Financing Authority, Series A (AGM Insured) 5.500%, 10/1/18		320		360
Sacramento Area Flood Control Agency, (BHAC Insured) 5.500%, 10/1/28		350		396
South Bay Regional Public Communications Authority, Series B (ACA Insured) 4.750%, 1/1/31		635		501
State of California Public Works Board,
Department of Health Services, Series B (XLCA Insured) 5.000%, 11/1/17		460		507
Department of General Services, Series A 6.125%, 4/1/29		500		566
Various Capital Projects, Series G-1 5.750%, 10/1/30		500		542
Department of Forestry & Fire Protection, Series E 5.000%, 11/1/32		500		505

				8,161


	PAR VALUE		VALUE

Higher Education Revenue—6.4%
California Educational Facilities Authority,
Stanford University, 5.250%, 4/1/40	$	500	$	670
Pomona Colllege, Series A 5.000%, 7/1/45		500		510
California State University,
Series A (NATL, FGIC Insured) 5.000%, 11/1/26		250		259
Series A (NATL, FGIC Insured) 5.250%, 11/1/38		635		671
University of California,
Series D (NATL, FGIC Insured) 5.000%, 5/15/28		500		536
Series G (NATL, FGIC Insured) 4.750%, 5/15/35		525		531
Series B 4.750%, 5/15/38		500		504

				3,681


Medical Revenue—8.2%
California Health Facilities Financing Authority,
Stanford Hospital and Clinics, Series A 5.000%, 11/15/14		125		133
Cedars-Sinai Medical Center, 5.000%, 11/15/34		500		504
Providence Health & Services, Series C 6.500%, 10/1/38		295		338
Kaiser Permanente, Series A 5.250%, 4/1/39		500		507
California Statewide Communities Development Authority,
Kaiser Permanente, Series B 5.000%, 3/1/41		500		501
Sutter Health, Series B 5.625%, 8/15/42		1,000		1,007
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		500		524
San Joaquin General Hospital Project, Certificates of Participation (NATL Insured) 5.250%, 9/1/12		100		100
State of California Public Works Board, Department of Mental Health, Series A 5.500%, 6/1/16		1,000		1,092

				4,706

Municipal Utility District Revenue— 2.8%
East Bay Municipal Utility District, (NATL Insured) 5.000%, 6/1/35		500		524
Sacramento Municipal Utilities District
Financing Authority, (NATL Insured) 4.750%, 7/1/26		500		504


	PAR VALUE		VALUE

Municipal Utility District Revenue—(continued)
5.000%, 8/15/26	$	500	$	559

				1,587


Natural Gas Revenue—1.2%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		750		724


Power Revenue—2.1%
Imperial Irrigation District, Series B 5.000%, 11/1/36		300		314
Northern California Power Agency, Series A (NATL Insured) 5.200%, 7/1/32		330		330
Southern California Public Power Authority, Series 1, 5.000%, 7/1/28		500		555

				1,199


Pre-Refunded—24.1%
California Health Facilities Financing Authority, Providence Health & Services, Series C, Pre- refunded 10/1/18 @100 6.500%, 10/1/18		5		7
California Infrastructure & Economic Development Bank, Pre-refunded 7/1/26 @100 (AMBAC Insured) 5.125%, 7/1/37		500		647
Contra Costa County Home Mortgage, (GNMA Collateralized) 7.500%, 5/1/14⁽³⁾		500		582
Cypress Single Family Residential Mortgage, Series B (Private Mortgage Insurance) 7.250%, 1/1/12⁽³⁾		200		200
Grossmont-Cuyamaca Community College District, Election of 2002 Series A Pre-refunded 8/1/13 @100 (NATL Insured) 5.000%, 8/1/13		210		225
Huntington Park Redevelopment Agency Single Family Residential Mortgage, Series A (FHA/VA/PRIV MTGS Insured) 8.000%, 12/1/19⁽³⁾		2,400		3,545
Los Angeles Harbor Department, 7.600%, 10/1/18⁽³⁾		660		804
Metropolitan Water District of Southern California, Series B-1 Pre-refunded 10/1/13 @100 (NATL, FGIC Insured) 5.000%, 10/1/36		140		151
Northern California Power Agency, Series A Pre-refunded 7/1/21 @ 100 (AMBAC Insured) 7.500%, 7/1/23		195		276
Riverside County Single Family,


	PAR VALUE		VALUE

Pre-Refunded—(continued)
Series B (GNMA Collateralized) 8.625%, 5/1/16⁽³⁾	$	1,000	$	1,296
Series A (GNMA Collateralized) 7.800%, 5/1/21⁽³⁾		4,000		5,904
Stockton Housing Facility, Series A Pre-refunded 9/20/17 @ 100 (GNMA Collateralized) 5.600%, 3/20/28		185		186

				13,823

Transportation Revenue—4.7%
Alameda Corridor Transportation Authority, Series A (NATL Insured) 5.125%, 10/1/17		125		125
Bay Area Toll Authority, San Fransisco Bay Area,
Series F-1 5.000%, 4/1/34		500		531
Series F-1 5.125%, 4/1/39		500		533
City of Long Beach Airport, Series A 5.000%, 6/1/30		200		210
Los Angeles International Airport, Series A 5.000%, 5/15/40		500		533
San Diego County Regional Airport Authority,
Series B 5.000%, 7/1/40		500		506
Series A 5.000%, 7/1/40		250		253

				2,691

Water & Sewer Revenue—8.4%
California Statewide Communities Development Authority, 4.800%, 9/1/46		1,000		936
Delta Diablo Sanitation District, Certificates of Participation (NATL Insured) 0.000%, 12/1/16		1,070		930
El Dorado Irrigation District, Certificates of Participation, Series A (NATL, FGIC Insured) 5.250%, 3/1/16		365		380
Irvine Ranch Water District, Certificates of Participation, 5.000%, 3/1/24		500		580
Metropolitan Water District of Southern California, Series B-1 (NATL, FGIC Insured) 5.000%, 10/1/36		860		883
Santa Margarita-Dana Point Authority, 5.125%, 8/1/38		600		633


	PAR VALUE			VALUE

Water & Sewer Revenue—(continued)
Westlands Water District, Certificates of Participation (NATL Insured) 5.250%, 9/1/14	$	500	$		517

					4,859

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $53,054)					56,355

TOTAL LONG TERM INVESTMENTS—98.1% (Identified cost $53,054)					56,355

	SHARES			VALUE
SHORT-TERM INVESTMENTS—1.0%

Money Market Mutual Funds—1.0%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		552,913			553


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $553)					553

TOTAL INVESTMENTS—99.1% (Identified Cost $53,607)					56,908	⁽¹⁾
Other assets and liabilities, net—0.9%					529

NET ASSETS—100.0%			$		57,437


Abbrevations
ACA		American Capital Access Financial Guarantee Corp.
AGC		Assured Guaranty Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BHAC		Berkshire Hathaway Assurance Corp.
FGIC		Financial Guaranty Insurance Company
FHA		Federal Housing Authority
GNMA		Government National Mortgage Association (“Ginnie Mae”)
NATL		National Public Finance Guarantee Corp.
VA		Department of Veterans Affairs
XLCA		XL Capital Assurance

Footnote Legend
⁽¹⁾		Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
⁽²⁾		At December 31, 2011, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 97%. At December 31, 2011, 62% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. Insurers with a concentration greater than 10% of net assets are as follows: NATL 23.0%, and GNMA 13.8%.
⁽³⁾		Escrowed to maturity.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE

PREFERRED STOCK—3.7%

Consumer Staples—1.8%
Companhia de Bebidas das Americas ADR (Brazil)		516,710	$	18,648


Financials—0.7%
Itau Unibanco Holding S.A. ADR 0.40% (Brazil)		379,024		7,035


Utilities—1.2%
AES Tiete S.A. (Brazil)		839,315		12,095


TOTAL PREFERRED STOCK (Identified Cost $17,345)				37,778


COMMON STOCKS—93.3%

Consumer Discretionary—5.8%
Bureau Veritas SA (France)		168,563		12,283
Domino’s Pizza plc (United Kingdom)		1,826,527		11,417
Hermes International (France)		26,987		8,046
L’Occitane International SA (Luxembourg)		1,179,896		2,370
Nitori Co., Ltd. (Japan)		220,050		20,641
Wynn Macau Ltd. (Hong Kong)		1,717,400		4,312

				59,069


Consumer Staples—46.3%
Anheuser-InBev N.V. (Belgium)		381,002		23,327
British American Tobacco plc (United Kingdom)		1,524,145		72,323
Coca-Cola Amatil Ltd. (Australia)		1,322,399		15,568
Diageo plc (United Kingdom)		1,075,338		23,488
Imperial Tobacco Group plc (United Kingdom)		1,230,458		46,530
ITC Ltd. (India)		6,165,778		23,372
Lindt & Spruengli AG (Switzerland)		1,866		5,550
Nestle India Ltd. (India)		125,498		9,677
Nestle S.A. Registered Shares (Switzerland)		741,335		42,619
Pernod-Ricard S.A. (France)		153,199		14,209
Philip Morris International, Inc. (United States)		880,772		69,123
Reckitt Benckiser Group plc (United Kingdom)		195,302		9,645
SABMiller plc (United Kingdom)		559,804		19,704
Souza Cruz S.A. (Brazil)		1,732,925		21,285
Tesco plc (United Kingdom)		3,250,512		20,366
Unilever N.V. (Netherlands)		932,715		32,074
Wal-Mart de Mexico S.A.B. de C.V. (Mexico)		1,836,960		5,042
Woolworths Ltd. (Australia)		578,957		14,863

				468,765


	SHARES		VALUE

Energy—6.6%
Canadian Natural Resources Ltd. (Canada)		433,862	$	16,247
Core Laboratories N.V. (Netherlands)		226,362		25,794
Ecopetrol SA (Colombia)		206,628		9,199
Royal Dutch Shell plc A Shares (United Kingdom)		435,025		15,850

				67,090


Financials—12.2%
Admiral Group plc (United Kingdom)		340,363		4,504
CETIP SA - Balcao Organizado de Ativos e Derivativos (Brazil)		854,761		12,350
Daito Trust Construction Co., Ltd. (Japan)		114,700		9,835
Housing Development Finance Corp. (India)		2,893,164		35,524
Housing Development Finance Corp. Bank Ltd. (India)		3,730,875		29,988
Housing Development Finance Corp. Bank Ltd. ADR (India)		44,223		1,162
Oversea-Chinese Banking Corp., Ltd. (Singapore)		1,444,100		8,718
QBE Insurance Group Ltd. (Australia)		327,245		4,334
Redecard S.A. (Brazil)		1,086,063		16,996

				123,411


Health Care—11.4%
BioMerieux (France)		87,771		6,275
Cie Generale D’optique Essilor International SA (France)		236,970		16,730
Covidien plc (Ireland)		515,509		23,203
GlaxoSmithKline plc (United Kingdom)		234,233		5,353
Novartis AG Registered Shares (Switzerland)		365,592		20,901
Novo Nordisk A/S Class B (Denmark)		286,000		32,866
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		221,100		10,344

				115,672


Industrials—3.8%
Bunzl plc (United Kingdom)		591,759		8,124
Canadian National Railway Co. (Canada)		187,281		14,734
Indutrade AB (Sweden)		132,269		3,517
Kuehne & Nagel International AG (Switzerland)		52,787		5,929
Rolls-Royce Holdings plc (United Kingdom)		570,524		6,614
Rolls-Royce Holdings plc Class C (United Kingdom)⁽²⁾⁽³⁾		40,414,956		63

				38,981

($ reported in thousands)


	SHARES			VALUE

Information Technology—1.6%
Baidu.com, Inc. Sponsored ADR (China)⁽²⁾		99,491	$		11,588
Tata Consultancy Services Ltd. (India)		193,500			4,229

					15,817

Materials—3.1%
Fresnillo plc (United Kingdom)		434,458			10,303
Goldcorp, Inc. (Canada)		281,758			12,504
Newcrest Mining Ltd. (Australia)		274,687			8,316

					31,123

Utilities—2.5%
Cia Energetica de Minas Gerais (Brazil)		592,359			10,538
CPFL Energia S.A. (Brazil)		686,400			9,575
CPFL Energia S.A. ADR (Brazil)		195,500			5,515

					25,628

TOTAL COMMON STOCKS (Identified Cost $707,491)					945,556

TOTAL LONG TERM INVESTMENTS—97.0% (Identified cost $724,836)					983,334

SHORT-TERM INVESTMENTS—2.8%

Money Market Mutual Funds—2.8%
Dreyfus Cash Management Fund - Institutional
Shares (seven-day effective yield 0.050%)		28,258,716			28,259


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $28,259)					28,259


TOTAL INVESTMENTS—99.8% (Identified Cost $753,095)					1,011,593⁽¹⁾

Other assets and liabilities, net—0.2%					1,857

NET ASSETS—100.0%			$		1,013,450

Abbreviations:

ADR	American Depositary Receipt

AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).

plc	Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information : For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

($ reported in thousands)


Country Weightings †

United Kingdom			25%
Brazil			11
India			10
United States			10
Switzerland			7
France			6
Netherlands			6
Other			25

Total			100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—89.8%

Consumer Staples—7.4%
Andersons, Inc. (The) (United States)		13,125	$	573
Archer-Daniels-Midland Co. (United States)		7,100		203
BRF - Brasil Foods SA ADR (Brazil)		9,100		178
Tate & Lyle plc (United Kingdom)		50,495		552

				1,506


Energy—30.2%
Baytex Energy Corp. (Canada)		4,550		254
Cenovus Energy, Inc. (Canada)		20,260		673
Core Laboratories N.V. (Netherlands)		3,200		365
Ensco International plc Sponsored ADR (United Kingdom)		8,850		415
FX Energy, Inc. (United States)⁽²⁾		39,525		190
MEG Energy Corp. (Canada)⁽²⁾		10,500		429
Mission NewEnergy Ltd. (Australia)⁽²⁾		14,725		33
Newfield Exploration Co. (United States)⁽²⁾		5,575		210
Occidental Petroleum Corp. (United States)		3,225		302
OYO Geospace Corp. (United States)⁽²⁾		4,300		333
Penn West Petroleum Ltd. (Canada)		26,950		534
Precision Drilling Corp. (Canada)		38,025		392
Royal Dutch Shell plc ADR (United Kingdom)		8,050		588
SandRidge Energy, Inc. (United States)⁽²⁾		47,650		389
Seadrill Ltd. (Bermuda)		23,250		771
Superior Energy Services, Inc. (United States)⁽²⁾		8,275		235

				6,113


Industrials—9.5%
AGCO Corp. (United States)⁽²⁾		4,475		192
CNH Global N.V. (Netherlands)⁽²⁾		10,225		368
Deere & Co. (United States)		6,500		503
Kubota Corp. ADR (Japan)		6,350		264
Lindsay Corp. (United States)		2,875		158
Raven Industries, Inc. (United States)		5,600		347
Rocky Mountain Dealerships, Inc. (Canada)		9,200		80

				1,912


Materials—42.7%
Agrium, Inc. (Canada)		3,500		235
Alamos Gold, Inc. (Canada)		9,325		161
Allied Nevada Gold Corp. (United States)⁽²⁾		5,175		157
BHP Billiton Ltd. Sponsored ADR (Australia)		17,800		1,257
CF Industries Holdings, Inc. (United States)		2,750		399
Du Pont (E.I.) de Nemours & Co. (United States)		5,175		237


	SHARES			VALUE

Materials—(continued)
Eldorado Gold Corp. (Canada)		11,800		$	162
Franco-Nevada Corp. (Canada)		15,025			572
Goldcorp, Inc. (Canada)		15,345			679
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		127,257			335
Ivanhoe Mines Ltd./CA (Canada)⁽²⁾		10,075			179
Major Drilling Group International (Canada)		51,815			790
Monsanto Co. (United States)		5,325			373
Mosaic Co. (The) (United States)		8,000			403
New Gold, Inc. (Canada)⁽²⁾		27,215			274
Perseus Mining Ltd. (Australia)⁽²⁾		69,822			171
Potash Corp. of Saskatchewan, Inc. (Canada)		9,810			405
Royal Gold, Inc. (United States)		12,770			861
Silver Wheaton Corp. (Canada)		10,450			303
Sociedad Quimica y Minera de Chile SA Sponsored ADR (Chile)		3,350			180
Syngenta AG ADR (Switzerland)		6,550			386
Tahoe Resources, Inc. (Canada)		7,050			122

					8,641


TOTAL COMMON STOCKS (Identified Cost $18,742)					18,172


EXCHANGE-TRADED FUNDS—8.4%

PowerShares DB Gold Fund (United States)⁽²⁾		31,150			1,696


TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,687)					1,696


TOTAL LONG TERM INVESTMENTS—98.2% (Identified cost $20,429)					19,868


SHORT-TERM INVESTMENTS—1.8%

Money Market Mutual Funds—1.8%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		367,964			368



TOTAL SHORT-TERM INVESTMENTS (Identified Cost $368)					368


TOTAL INVESTMENTS—100.0% (Identified Cost $20,797)					20,236	⁽¹⁾

Other assets and liabilities, net—0.0%					8


NET ASSETS—100.0%			$		20,244


Abbreviations:
^ADR		American Depositary Receipt
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
plc		Public Limited Co.

($ reported in thousands)


Country Weightings †

United States			40%
Canada			31
United Kingdom			8
Australia			7
Bermuda			4
Netherlands			3
Switzerland			2
Other			5

Total			100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE
COMMON STOCKS—96.9%

Consumer Discretionary—2.5%
Eutelsat Communications SA (France)		17,550	$	685
SES SA (Luxembourg)		44,620		1,071

				1,756


Energy—23.9%
Enbridge, Inc. (Canada)		133,990		5,012
Spectra Energy Corp. (United States)		126,170		3,880
TransCanada Corp. (Canada)		82,610		3,608
Williams Cos., Inc. (The) (United States)		131,770		4,351

				16,851


Industrials—13.5%
Abertis Infraestructuras S.A. (Spain)		77,240		1,234
Atlantia SpA (Italy)		83,152		1,331
Ferrovial SA (Spain)		64,270		776
Flughafen Zuerich AG (Switzerland)		2,159		749
Fraport AG Frankfurt Airport Services Worldwide (Germany)		18,750		922
Koninklijke Vopak N.V. (Netherlands)		32,300		1,707
Transurban Group (Australia)		374,220		2,151
Vinci SA (France)		15,560		680

				9,550


Telecommunication Services—26.1%
American Tower Corp. Class A (United States)		31,350		1,881
AT&T, Inc. (United States)		109,140		3,300
BCE, Inc. (Canada)		17,200		717
BT Group plc (United Kingdom)		237,000		703
Crown Castle International Corp. (United States)⁽²⁾		33,190		1,487
Nippon Telegraph & Telephone Corp. ADR (Japan)		29,910		757
Singapore Telecommunications Ltd. (Singapore)		491,400		1,171
Telefonica S.A. Sponsored ADR (Spain)		59,440		1,022
TELUS Corp. (Canada)		24,480		1,385
Verizon Communications, Inc. (United States)		41,210		1,653
Vodafone Group plc Sponsored ADR (United Kingdom)		117,830		3,303
Windstream Corp. (United States)		84,490		992

				18,371


Utilities—30.9%
Allete, Inc. (United States)		12,420		521


	SHARES		VALUE

Utilities—(continued)
APA Group (Australia)		143,350	$	658
CenterPoint Energy, Inc. (United States)		45,070		905
Centrica plc (United Kingdom)		125,610		564
CMS Energy Corp. (United States)		42,090		929
Dominion Resources, Inc. (United States)		23,570		1,251
DTE Energy Co. (United States)		12,280		669
E.ON AG (Germany)		21,080		455
Enel SpA (Italy)		184,200		750
FirstEnergy Corp. (United States)		15,780		699
ITC Holdings Corp. (United States)		14,570		1,106
National Grid plc (United Kingdom)		86,590		841
NextEra Energy, Inc. (United States)		19,930		1,213
NiSource, Inc. (United States)		38,950		927
Northeast Utilities (United States)		18,940		683
Northwest Natural Gas Co. (United States)		13,880		665
NV Energy, Inc. (United States)		47,340		774
ONEOK, Inc. (United States)		12,170		1,055
Public Service Enterprise Group, Inc. (United States)		26,830		886
Questar Corp. (United States)		22,810		453
Sempra Energy (United States)		21,740		1,196
SevernTrent plc (United Kingdom)		34,985		813
Southern Co. (The) (United States)		23,240		1,076
United Utilities Group plc (United Kingdom)		70,650		665
Wisconsin Energy Corp. (United States)		33,700		1,178
Xcel Energy, Inc. (United States)		32,240		891

				21,823

TOTAL COMMON STOCKS (Identified Cost $55,110)				68,351

TOTAL LONG TERM INVESTMENTS—96.9% (Identified cost $55,110)				68,351

SHORT-TERM INVESTMENTS—2.5%

Money Market Mutual Funds—2.5%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		1,729,469		1,729

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,729)				1,729

($ reported in thousands)


TOTAL INVESTMENTS—99.4% (Identified Cost $56,839)		70,080⁽¹⁾

Other assets and liabilities, net—0.6%		456

NET ASSETS—100.0%	$	70,536


ADR		American Depositary Receipt
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
plc		Public Limited Co.

Footnote Legend:


⁽¹⁾		Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
⁽²⁾		Non-income producing.

($ reported in thousands)


Country Weightings †

United States			52%
Canada			15
United Kingdom			10
Australia			4
Spain			4
Italy			3
Netherlands			3
Other			9

Total			100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE

PREFERRED STOCK—1.9%

Consumer Staples—1.3%
Companhia de Bebidas das Americas 0.00% (Brazil)		23,520	$	849


Financials—0.6%
Itau Unibanco Holding S.A. ADR 0.40% (Brazil)		23,093		428


TOTAL PREFERRED STOCK (Identified Cost $1,034)				1,277


COMMON STOCKS—97.2%

Consumer Discretionary—9.7%
Bureau Veritas SA (France)		13,350		973
Comcast Corp. Special Class A (United States)		28,675		675
Hermes International (France)		1,810		540
McDonald’s Corp. (United States)		32,032		3,214
Norstar Founders Group Ltd. (Cayman Islands)^(2)(3)(4)		272,000		0
Starbucks Corp. (United States)		15,700		722
Wynn Macau Ltd. (Hong Kong)		211,768		532

				6,656


Consumer Staples—43.6%
Altria Group, Inc. (United States)		38,640		1,146
Anheuser-InBev N.V. (Belgium)		24,875		1,523
Beam, Inc. (United States)⁽²⁾		14,000		717
British American Tobacco plc (United Kingdom)		90,940		4,315
Casey’s General Stores, Inc. (United States)		15,700		809
Coca-Cola Amatil Ltd. (Australia)		87,021		1,025
Coca-Cola Co. (The) (United States)		45,992		3,218
Imperial Tobacco Group plc (United Kingdom)		67,199		2,541
ITC Ltd. (India)		298,672		1,132
Mead Johnson Nutrition Co. (United States)		12,416		853
Nestle India Ltd. (India)		12,475		962
Nestle S.A. Registered Shares (Switzerland)		44,525		2,560
Philip Morris International, Inc. (United States)		54,995		4,316
Tesco plc (United Kingdom)		219,639		1,376
Unilever N.V. (Netherlands)		40,284		1,385
Wal-Mart Stores, Inc. (United States)		23,823		1,424
Woolworths Ltd. (Australia)		28,210		724

				30,026


Energy—4.3%
Canadian Natural Resources Ltd. (Canada)		21,750		814


	SHARES		VALUE

Energy—(continued)
Core Laboratories N.V. (Netherlands)		9,557	$	1,089
Ecopetrol SA (Colombia)		2,955		132
Royal Dutch Shell plc A Shares (United Kingdom)		26,360		960

				2,995


Financials—11.9%
Berkshire Hathaway, Inc. Class B (United States⁾⁽²⁾		17,602		1,343
CME Group, Inc. (United States)		3,681		897
Housing Development Finance Corp. (India)		176,353		2,165
Housing Development Finance Corp. Bank Ltd. (India)		209,870		1,687
Housing Development Finance Corp. Bank Ltd. ADR (India)		25,772		677
IntercontinentalExchange, Inc. (United States)⁽²⁾		8,400		1,013
Redecard S.A. (Brazil)		24,673		386

				8,168


Health Care—4.4%
Covidien plc (Ireland)		24,991		1,125
Novo Nordisk A/S Class B (Denmark)		10,288		1,182
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		15,300		716

				3,023


Industrials—1.4%
Canadian National Railway Co. (Canada)		11,894		936


Information Technology—16.0%
Apple, Inc. (United States)⁽²⁾		5,777		2,340
Baidu.com, Inc. Sponsored ADR (China)⁽²⁾		7,674		894
Cognizant Technology Solutions Corp. Class A (United States)⁽²⁾		19,536		1,256
Google, Inc. Class A (United States)⁽²⁾		2,447		1,581
Intel Corp. (United States)		37,635		913
International Business Machines Corp. (United States)		5,015		922
MasterCard, Inc. Class A (United States)		4,469		1,666
Visa, Inc. Class A (United States)		13,959		1,417

				10,989


Materials—4.9%
Fresnillo plc (United Kingdom)		36,962		877
Goldcorp, Inc. (Canada)		21,718		964

($ reported in thousands)

SHARES

VALUE

Materials—(continued)

Newcrest Mining Ltd. (Australia)

24,357

737

Praxair, Inc. (United States)

7,725

826

3,404

Utilities—1.0%

Cia Energetica de Minas Gerais (Brazil)

40,988

729

TOTAL COMMON STOCKS

(Identified Cost $55,143)

66,926

TOTAL LONG TERM INVESTMENTS—99.1%

(Identified cost $56,177)

68,203

SHORT-TERM INVESTMENTS—0.6%

Money Market Mutual Funds—0.6%

Dreyfus Cash Management Fund - Institutional
Shares (seven-day effective yield 0.050%)

392,238

392

TOTAL SHORT-TERM INVESTMENTS

(Identified Cost $392)

392

TOTAL INVESTMENTS—99.7%

(Identified Cost $56,569)

68,595

⁽¹⁾

Other assets and liabilities, net—0.3%

234

NET ASSETS—100.0%

68,829

Abbreviations:

ADR	American Depositary Receipt

plc	Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

($ reported in thousands)


Country Weightings †

United States			46%
United Kingdom			15
India			10
Canada			5
Australia			4
Switzerland			4
Netherlands			3
Other			13

Total			100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

($ reported in thousands)


	SHARES			VALUE

EXCHANGE-TRADED FUNDS—98.7%

Consumer Discretionary Select Sector SPDR Fund		258,100	$		10,071
Consumer Staples Select Sector SPDR Fund		309,300			10,049
iShares Barclay’s Short Treasury Bond Fund		114,650			12,638
iShares MSCI EAFE^® Index Fund		133,900			6,632
iShares MSCI Emerging Markets Index Fund		172,400			6,541
Technology Select Sector SPDR Fund		390,900			9,948
Utilities Select Sector SPDR Fund		282,200			10,154

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $65,092)					66,033

TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $65,092)					66,033

SHORT-TERM INVESTMENTS—0.4%

Money Market Mutual Funds—0.4%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.100%)		269,662			270


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $270)					270


TOTAL INVESTMENTS—99.1% (Identified Cost $65,362)					66,303	⁽¹⁾

Other assets and liabilities, net—0.9%					577

NET ASSETS—100.0%			$		66,880


Abbreviations:
SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	SHARES		VALUE

COMMON STOCKS—98.7%

Australia—8.7%
BGP Holdings plc^(2)(3)(4)		13,566	$	0
CFS Retail Property Trust		22,200		38
Dexus Property Group		94,140		80
Goodman Group		178,800		104
Westfield Group		31,750		254
Westfield Retail Trust		42,150		107

				583


Canada—5.6%
Allied Properties Real Estate Investment Trust		1,410		35
Brookfield Properties Corp.		7,370		115
Canadian Real Estate Investment Trust		1,400		49
Cominar Real Estate Investment Trust		645		14
First Capital Realty, Inc.		2,845		48
RioCan Real Estate Investment Trust		4,387		114

				375


Finland—0.2%
Citycon Oyj		4,550		14


France—5.3%
Fonciere Des Regions		404		26
Klepierre		2,215		63
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		455		44
Unibail-Rodamco		1,243		224

				357


Germany—0.5%
GSW Immobilien AG⁽²⁾		1,100		32


Hong Kong—3.0%
Hongkong Land Holdings Ltd.		23,900		109
Link (The)		24,504		90

				199


Italy—0.6%
Beni Stabili SpA		95,478		43


Japan—2.9%
AEON Mall Co., Ltd.		3,570		76
Japan Prime Realty Investment Corp.		11		26
Japan Real Estate Investment Corp.		5		39


	SHARES		VALUE

Japan—(continued)
Nippon Building Fund, Inc.		7	$	57

				198


Netherlands—1.7%
Corio N.V.		2,091		91
Eurocommercial Properties N.V.		765		24

				115


Norway—0.7%
Norwegian Property ASA		38,475		47


Singapore—2.6%
CapitaCommercial Trust		26,000		21
CapitaMall Trust		16,450		21
CapitaRetail China Trust		32,275		29
Global Logistic Properties Ltd.⁽²⁾		45,500		62
Mapletree Logistics Trust		61,545		40

				173


Sweden—1.3%
Castellum AB		3,940		49
Fabege AB		4,550		35

				84


Switzerland—0.2%
PSP Swiss Property AG		165		14


United Kingdom—7.0%
Big Yellow Group plc		16,225		62
British Land Co. plc		9,900		71
Derwent London plc		1,610		39
Great Portland Estates plc		2,771		14
Hammerson plc		14,070		79
Land Securities Group plc		11,631		115
Safestore Holdings plc		23,326		36
SEGRO plc		17,490		56

				472


United States—58.4%
Alexandria Real Estate Equities, Inc.		281		19
Apartment Investment & Management Co. Class A		3,400		78
AvalonBay Communities, Inc.		1,145		150
BioMed Realty Trust, Inc.		3,730		67
Boston Properties, Inc.		1,878		187
BRE Properties, Inc.		1,266		64


	SHARES			VALUE

United States—(continued)
Camden Property Trust		1,585		$	99
Campus Crest Communities, Inc.		584			6
CubeSmart, Inc.		3,037			32
DDR Corp		5,874			71
Digital Realty Trust, Inc.		909			61
Duke Realty Corp.		7,205			87
Equity Lifestyle Properties, Inc.		1,223			82
Equity Residential		3,804			217
Essex Property Trust, Inc.		769			108
Extra Space Storage, Inc.		4,799			116
General Growth Properties, Inc.		5,439			82
HCP, Inc.		3,679			152
Health Care REIT, Inc.		2,443			133
Host Hotels & Resorts, Inc.		10,058			149
Kilroy Realty Corp.		3,267			124
Kimco Realty Corp.		5,110			83
LaSalle Hotel Properties		2,615			63
Macerich Co. (The)		1,423			72
Prologis, Inc.		4,881			140
Public Storage		1,760			237
Regency Centers Corp.		720			27
Simon Property Group, Inc.		3,761			485
SL Green Realty Corp.		1,231			82
Starwood Hotels & Resorts Worldwide, Inc.		180			9
Taubman Centers, Inc.		1,905			118
UDR, Inc.		3,273			82
Ventas, Inc.		4,382			242
Vornado Realty Trust		1,875			144
Weingarten Realty Investors		2,570			56

					3,924

TOTAL COMMON STOCKS (Identified Cost $5,760)					6,630


TOTAL LONG TERM INVESTMENTS—98.7% (Identified cost $5,760)					6,630


TOTAL INVESTMENTS—98.7% (Identified Cost $5,760)					6,630	⁽¹⁾

Other assets and liabilities, net—1.3%					89

NET ASSETS—100.0%			$		6,719

Abbreviations:


AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
ASA		Allmennaksjeselskap a public limited company (Norway).
plc		Public Limited Co.

($ reported in thousands)


Country Weightings †
United States	59	%
Australia	9
United Kingdom	7
Canada	6
France	5
Hong Kong	3
Japan	3
Other	8
Total	100	%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):


	SHARES		VALUE

COMMON STOCKS—79.9%

Consumer Discretionary—10.5%
BEC World plc (Thailand)		39,600	$	56
Cox & Kings India Ltd. (India)		12,600		37
Genting Malaysia Bhd (Malaysia)		117,900		142
Hero Honda Motors Ltd. (India)⁽²⁾		2,300		83
Jollibee Foods Corp. (Philippines)		23,900		49
Jubilant Foodworks Ltd. (India)⁽²⁾		6,600		94
Kangwon Land, Inc. (South Korea)⁽²⁾		6,470		153
L’Occitane International SA (Luxembourg)		61,759		124
Parkson Retail Asia Ltd. (Singapore)⁽²⁾		29,800		29
Parkson Retail Group Ltd. (China)		30,200		37
Super Retail Group Ltd. (Australia)		15,170		82
Wynn Macau Ltd. (Hong Kong)		40,598		102

				988


Consumer Staples—33.7%
AmorePacific Corp. (South Korea)⁽²⁾		76		69
British American Tobacco Bangldesh Co., Ltd. (Bangladesh)		25,500		195
British American Tobacco plc Bhd (Malaysia)		3,400		54
Ceylon Tobacco Co., plc (Sri Lanka)		25,400		109
Coca-Cola Amatil Ltd. (Australia)		13,557		160
Colgate Palmolive India Ltd. (India)		3,500		65
Dabur India Ltd. (India)		35,653		67
Dairy Farm International Holdings Ltd. (Hong Kong)⁽²⁾		12,500		117
Emami Ltd. (India)⁽²⁾		14,047		90
GlaxoSmithKline Consumer Healthcare Ltd. (India)		1,500		72
Gudang Garam Tbk PT (Indonesia)		23,926		164
Guinness Anchor Bhd (Malaysia)		28,035		119
Hengan International Group Co., Ltd. (China)		4,491		42
Hindustan Unilever Ltd. (India)		14,000		107
ITC Ltd. (India)		74,775		283
LG Household & Health Care Ltd. (South Korea)⁽²⁾		434		184
Marico Bangladesh Ltd. (Bangladesh)		22,300		106
Nestle India Ltd. (India)		3,309		255
Nestle Malaysia Bhd (Malaysia)		5,400		96
Nestle Pakistan Ltd. (Pakistan)		2,885		115
Orion Corp. (South Korea)⁽²⁾		32		19
Pakistan Tobacco Co., Ltd. (Pakistan) ⁽³⁾		98,316		61
Puregold Price Club, Inc. (Philippines)⁽²⁾		186,400		76


	SHARES		VALUE

Consumer Staples—(continued)
Tsingtao Brewery Co., Ltd. (China)		25,683	$	142
Unilever Indonesia Tbk PT (Indonesia)		56,997		118
Unilever Pakistan Ltd. (Pakistan)		1,557		96
Want Want China Holdings Ltd. (China)		42,665		43
Woolworths Ltd. (Australia)		5,606		144

				3,168


Energy—1.0%
PTT Exploration & Production plc (Thailand)		18,500		96


Financials—11.8%
Bangkok Bank plc (Thailand)		10,400		54
Commercial Bank of Ceylon plc (Sri Lanka)		40,680		36
Delta Brac Housing Finance Corp., Ltd. (Bangladesh)⁽²⁾		92,000		103
Housing Development Finance Corp. (India)		26,445		325
Housing Development Finance Corp. Bank Ltd. (India)		36,255		291
Jammu & Kashmir Bank Ltd. (India)⁽²⁾		3,557		45
Mahindra & Mahindra Financial Services (India)		3,420		39
Oversea-Chinese Banking Corp., Ltd. (Singapore)		10,700		65
Public Bank Bhd (Malaysia)		19,300		82
QBE Insurance Group Ltd. (Australia)		2,973		39
Shriram Transport Finance Co., Ltd. (India)		3,374		27

				1,106


Health Care—2.2%
Glaxosmithkline Pharmaceuticals Ltd (India)		1,300		48
Kalbe Farma Tbk PT (Indonesia)		128,900		48
Lupin Ltd. (India)⁽²⁾		6,500		55
Sun Pharmaceutical Industries Ltd. (India)⁽²⁾		6,100		57

				208


Industrials—7.1%
Bharat Electronics Ltd. (India)⁽²⁾		1,971		50
Jardine Matheson Holdings Ltd. (Hong Kong)		1,818		86
Jardine Strategic Holdings Ltd. (Bermuda)		2,006		55
Jasa Marga Tbk PT (Indonesia)		34,900		16
Keells (John) Holdings plc (Sri Lanka)		157,233		235
S1 Corp. (South Korea)⁽²⁾		510		26
Singapore Airport Terminal Servises Ltd. (Singapore)		20,400		34
Taiwan Secom Co., Ltd. (Taiwan)		46,846		84


	SHARES			VALUE

Industrials—(continued)
UGL Ltd. (Australia)		6,400	$		78

					664


Information Technology—4.4%
Baidu.com, Inc. Sponsored ADR (China)⁽²⁾		2,085			243
NHN Corp. (South Korea)⁽²⁾		601			110
Tata Consultancy Services Ltd. (India)		2,900			63

					416


Materials—3.0%
Asian Paints Ltd. (India)		1,300			63
Newcrest Mining Ltd. (Australia)		4,792			145
Semen Gresik (Persero) Tbk PT (Indonesia)		59,986			76

					284


Telecommunication Services—1.0%
China Mobile Ltd. (China)		10,011			98


Utilities—5.2%
CLP Holdings Ltd. (Hong Kong)		4,300			36
GAIL India Ltd. (India)⁽²⁾		8,400			61
Gujarat Gas Co., Ltd. (India)		3,400			23
Power Assets Holdings Ltd. (Hong Kong)		42,481			314
Power Grid Corp. of India Ltd. (India)⁽²⁾		28,600			54

					488

TOTAL COMMON STOCKS (Identified Cost $6,667)					7,516

TOTAL LONG TERM INVESTMENTS—79.9% (Identified cost $6,667)					7,516

SHORT-TERM INVESTMENTS—6.7%

Money Market Mutual Funds—6.7%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		627,053			627


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $627)					627


TOTAL INVESTMENTS—86.6% (Identified Cost $7,294)					8,143	⁽¹⁾

Other assets and liabilities, net—13.4%					1,259

NET ASSETS—100.0%			$		9,402

Abbreviations:

^ADR American Depositary Receipt

^plc Public Limited Co.


Country Weightings †

India		29%
Australia		8
Hong Kong		8
United States		8
China		7
South Korea		7
Malaysia		6
Other		27

Total		100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

		SHARES		SHARES
	SHARES		VALUE

COMMON STOCKS—96.1%

Consumer Discretionary—14.6%
Bureau Veritas SA (France)		2,610	$	190
Compagnie Financiere Richemont SA (Switzerland)		525		27
Domino’s Pizza plc (United Kingdom)		21,607		135
Luxottica Group S.p.A (Italy)		3,600		101
LVMH Moet Hennessy Louis Vuitton S.A. (France)		400		57
Paddy Power plc (Ireland)		2,067		120
Pearson plc (United Kingdom)		8,002		150

				780


Consumer Staples—39.6%
Anheuser-InBev N.V. (Belgium)		4,216		258
British American Tobacco plc (United Kingdom)		5,318		252
Diageo plc (United Kingdom)		7,127		156
Groupe Danone S.A. (France)		1,148		72
Imperial Tobacco Group plc (United Kingdom)		4,177		158
L’Oreal S.A. (France)		725		76
Lindt & Spruengli AG (Switzerland)		11		33
Nestle S.A. Registered Shares (Switzerland)		4,109		236
Pernod-Ricard S.A. (France)		860		80
Philip Morris International, Inc. (United States)		3,294		258
Reckitt Benckiser Group plc (United Kingdom)		1,006		50
SABMiller plc (United Kingdom)		3,596		126
Tesco plc (United Kingdom)		16,677		104
Unilever N.V. (Netherlands)		7,521		259

				2,118


Energy—5.4%
BG Group plc (United Kingdom)		4,167		89
Core Laboratories N.V. (Netherlands)		918		105
Royal Dutch Shell plc A Shares (United Kingdom)		2,642		96

				290


Financials—4.0%
Admiral Group plc (United Kingdom)		4,602		61
Deutsche Boerse AG (Germany)⁽²⁾		1,306		69
Reinet Investments SCA (Luxembourg)⁽²⁾		4,746		84

				214


Health Care—14.1%
BioMerieux (France)		671		48


	SHARES		VALUE

Health Care—(continued)
Cie Generale D’optique Essilor International SA (France)		1,466	$	104
Covidien plc (Ireland)		3,105		140
Fresenius Medical Care AG & Co. KGaA (Germany)		1,489		101
GlaxoSmithKline plc (United Kingdom)		2,365		54
Novartis AG Registered Shares (Switzerland)		1,679		96
Novo Nordisk A/S Class B (Denmark)		1,839		211

				754


Industrials—11.5%
Andritz AG (Austria)		1,196		99
Bunzl plc (United Kingdom)		5,279		73
Indutrade AB (Sweden)		3,218		86
Kuehne & Nagel International AG (Switzerland)		607		68
Orkla ASA (Norway)		16,225		121
Prosegur Cia de Seguridad SA (Spain)		1,701		74
Rolls-Royce Holdings plc (United Kingdom)		7,875		91
Rolls-Royce Holdings plc Class C (United Kingdom)⁽²⁾⁽³⁾		543,375		1

				613


Information Technology—2.7%
Accenture plc Class A (Ireland)		2,737		146


Materials—4.2%
Air Liquide SA (France)		1,033		128
Fresnillo plc (United Kingdom)		3,986		94

				222

TOTAL COMMON STOCKS (Identified Cost $4,132)				5,137

TOTAL LONG TERM INVESTMENTS—96.1% (Identified cost $4,132)				5,137

SHORT-TERM INVESTMENTS—2.2%

Money Market Mutual Funds—2.2%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		116,218		116


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $116)				116

($ reported in thousands)


TOTAL INVESTMENTS—98.3% (Identified Cost $4,248)		5,253⁽¹⁾

Other assets and liabilities, net—1.7%		91

NET ASSETS—100.0%	$	5,344

Abbreviations:

^AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).

^ASA	Allmennaksjeselskap a public limited company (Norway).

^KGaA

Kommanditgesellschaft Auf Aktien a limited partnership on shares (Germany).

^N.V.

Naamloze Vennootschap a public limited liability company (Netherlands).

^plc	Public Limited Co.

^SA or
S.A^.

Designates corporations in various countries.

^S.C.A.

Société en commandite par actions. Luxembourg partnership limited by shares.

^S.p.A.

Società delle azione unite (Joint Stock Corp. Italy).

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE

FOREIGN GOVERNMENT SECURITIES—1.9%

Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁶⁾	$	610		$	480
Federative Republic of Brazil 10.250%, 1/10/28		1,100	^BRL		672
Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33		760			559
TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,718)					1,711

CORPORATE BONDS AND NOTES—92.9%

Consumer Discretionary—21.2%
Affinion Group, Inc. 11.500%, 10/15/15		1,025			899
AMC Entertainment, Inc. 9.750%, 12/1/20		905			864
Ameristar Casinos, Inc. 7.500%, 4/15/21		1,000			1,035
AutoNation, Inc. 6.750%, 4/15/18		115			121
Brown Shoe Co., Inc. 7.125%, 5/15/19		975			929
Cablevision Systems Corp. 8.000%, 4/15/20		430			463
Caesar’s Entertainment Operating Co., Inc. 10.000%, 12/15/18		645			445
CCO Holdings LLC / CCO Holdings Capital Corp. 6.500%, 4/30/21		295			300
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽²⁾		1,105			1,177
Cinemark USA, Inc. 8.625%, 6/15/19		670			732
CSC Holdings LLC 8.625%, 2/15/19		1,025			1,187
Dana Holding Corp. 6.750%, 2/15/21		730			752
Hanesbrands, Inc. 6.375%, 12/15/20		1,000			1,020
Jarden Corp. 7.500%, 5/1/17		415			442
Lamar Media Corp. Series C 6.625%, 8/15/15		125			128
Landry’s Holdings, Inc. 144A 11.500%, 6/1/14⁽²⁾		980			965
Levi Strauss & Co. 8.875%, 4/1/16		740			773
Peninsula Gaming LLC / Peninsula Gaming Corp. 10.750%, 8/15/17		920			968
Rent-A-Center, Inc. 6.625%, 11/15/20		245			248
Scientific Games International, Inc. 9.250%, 6/15/19		965			1,028
Seminole Indian Tribe of Florida 144A 7.750%, 10/1/17⁽²⁾		250			261
Service Corp. International 8.000%, 11/15/21		305			342
Sirius XM Satellite Radio, Inc. 144A 7.625%, 11/1/18⁽²⁾		920			971


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Spencer Spirit Holdings, Inc. / Spencer Gifts LLC / Spirit Halloween Superstores 144A 11.000%, 5/1/17⁽²⁾	$	375	$	368
UCI International, Inc. 8.625%, 2/15/19		960		936
United Artists Theatre Circuit, Inc.
Series BE-9 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		8		8
Series AW-0 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		1		1
Series BD-1 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		234		232
Series 95-A 9.300%, 7/1/15⁽⁴⁾⁽⁵⁾		217		215
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 144A 8.125%, 12/1/17⁽²⁾		720		764
Valassis Communication 6.625%, 2/1/21		885		828
Visteon Corp. 144A 6.750%, 4/15/19⁽²⁾		250		251

				19,653


Consumer Staples—5.7%
Ingles Markets, Inc. 8.875%, 5/15/17		500		544
B&G Foods, Inc. 7.625%, 1/15/18		300		320
Beverages & More, Inc. 144A 9.625%, 10/1/14⁽²⁾		1,085		1,107
Dole Food Co., Inc. 144A 8.000%, 10/1/16⁽²⁾		335		351
Michael Foods, Inc. 9.750%, 7/15/18		490		518
Pantry, Inc. (The) 7.750%, 2/15/14		900		898
Rite Aid Corp. 6.875%, 8/15/13		480		471
Tops Holding Corp. / Tops Markets LLC 10.125%, 10/15/15		1,000		1,050

				5,259


Energy—6.9%
Antero Resources Finance Corp. 144A 7.250%, 8/1/19⁽²⁾		500		515
Concho Resources, Inc. 6.500%, 1/15/22		500		525
Copano Energy LLC / Copano Energy Finance Corp. 7.125%, 4/1/21		470		477
Crosstex Energy LP / Crosstex Energy Finance Corp. 8.875%, 2/15/18		335		368
Linn Energy LLC / Linn Energy Finance Corp. 7.750%, 2/1/21		490		512
OGX Petroleo e Gas Participacoes SA 144A 8.500%, 6/1/18⁽²⁾		750		743
Petrohawk Energy Corp. 7.250%, 8/15/18		840		949
Petroleos de Venezuela SA 8.500%, 11/2/17		600		454
Precision Drilling Corp. 6.625%, 11/15/20		500		514
Sandridge Energy, Inc. 8.750%, 1/15/20		840		871


	PAR VALUE		VALUE

Energy—(continued)
SESI LLC 6.375%, 5/1/19	$	500	$	511

				6,439


Financials—17.1%
Ally Financial, Inc. 0.000%, 6/15/15		2,000		1,485
Avis Budget Car Rental Llc / Avis Budget Finance Inc 9.750%, 3/15/20		1,000		1,032
CIT Group, Inc. 7.000%, 5/1/17		1,225		1,227
CNL Lifestyles Properties 7.250%, 4/15/19		500		465
Developers Diversified Realty Corp. 7.875%, 9/1/20		195		218
Dycom Investments, Inc. 7.125%, 1/15/21		1,000		1,015
E*Trade Financial Corp.
7.875%, 12/1/15		600		606
6.750%, 6/1/16		430		419
Felcor Lodging LP 6.750%, 6/1/19		1,000		965
Ford Motor Credit Co. LLC 5.000%, 5/15/18		1,380		1,387
GFI Group, Inc. 8.375%, 7/19/18		1,000		890
Icahn Enterprises LP / Icahn Enterprises Finance Corp. 8.000%, 1/15/18		1,200		1,254
Intelsat Jackson Holdings SA 7.250%, 10/15/20		980		995
International Lease Finance Corp.
8.750%, 3/15/17		715		738
6.250%, 5/15/19		455		421
Oppenheimer Holdings, Inc. 8.750%, 4/15/18		1,130		1,054
Regions Financial Corp. RegS 5.750%, 6/15/15⁽⁶⁾		545		520
SLM Corp. 8.450%, 6/15/18		555		572
UPCB Finance V Ltd. 7.250%, 11/15/21⁽²⁾		250		254
Ventas Realty LP / Ventas Capital Corp. Series 1 6.500%, 6/1/16		155		160
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC 144A 7.748%, 2/2/21⁽²⁾		200		172

				15,849


Health Care—5.5%
Aviv Healthcare Properties LP / Aviv Healthcare Capital Corp. 7.750%, 2/15/19		465		458
Biomet, Inc. 11.625%, 10/15/17		790		861
Davita, Inc.
6.375%, 11/1/18		195		200
6.625%, 11/1/20		615		635
Grifols, Inc. 8.250%, 2/1/18		500		527
HCA, Inc.


	PAR VALUE		VALUE

Health Care—(continued)
8.500%, 4/15/19	$	285	$	314
7.500%, 2/15/22		410		420
Health Management Associates, Inc. 144A 7.375%, 1/15/20⁽²⁾		250		261
Kinetic Concepts, Inc./ KCI USA, Inc. 144A 10.500%, 11/1/18⁽²⁾		250		246
Tenet Healthcare Corp. 144A 6.250%, 11/1/18⁽²⁾		250		255
Valeant Pharmaceuticals International, Inc. 144A 7.250%, 7/15/22⁽²⁾		905		882

				5,059

Industrials—9.3%
Allison Transmission, Inc. 144A 7.125%, 5/15/19⁽²⁾		975		960
American Standard Americas 144A 10.750%, 1/15/16⁽²⁾		495		297
ARAMARK Corp.
8.500%, 2/1/15		265		273
144A PIK 8.625%, 5/1/16⁽²⁾		750		776
B-Corp Merger Sub, Inc. 144A 8.250%, 6/1/19⁽²⁾		1,000		945
Briggs & Stratton Corp. 6.875%, 12/15/20		155		160
Cenveo Corp. 7.875%, 12/1/13		1,085		857
CHC Helicopter S,A. 144A 9.250%, 10/15/20⁽²⁾		280		253
Delta Air Lines, Inc. Pass-Through-Trust 02-1, G1 6.718%, 1/2/23		325		320
DynCorp International, Inc. 10.375%, 7/1/17		1,110		971
GeoEye, Inc. 8.625%, 10/1/16		205		212
Gibraltar Industries, Inc. Series B 8.000%, 12/1/15		990		995
Iron Mountain, Inc. 7.750%, 10/1/19		435		462
L-3 Communications Corp. Series B, 6.375%, 10/15/15		80		82
U.S. Airways Pass-Through-Trust 99-1A 8.360%, 1/20/19		355		352
Valmont Industries, Inc. 6.625%, 4/20/20		635		736

				8,651


Information Technology—8.3%
CommScope, Inc. 144A 8.250%, 1/15/19⁽²⁾		950		955
CoreLogic, Inc. 144A 7.250%, 6/1/21⁽²⁾		1,000		963
Digicel Ltd. 144A 8.250%, 9/1/17⁽²⁾		825		837
Earthlink, Inc. 8.875%, 5/15/19		770		712
Equinix, Inc. 7.000%, 7/15/21		750		791
First Data Corp. 11.250%, 3/31/16		1,000		835
Lender Processing Services, Inc. 8.125%, 7/1/16		1,370		1,353


	PAR VALUE		VALUE

Information Technology—(continued)
Seagate HDD Cayman 144A 7.000%, 11/1/21⁽²⁾	$	500	$	515
Sensata Technologies, Inc. 144A 6.500%, 5/15/19⁽²⁾		250		248
SunGard Data Systems, Inc. 10.250%, 8/15/15		475		495

				7,704


Materials—6.3%
AEP Industries, Inc. 8.250%, 4/15/19		250		255
American Rock Salt Co. LLC 144A 8.250%, 5/1/18⁽²⁾		1,000		965
Cascades, Inc. 7.875%, 1/15/20		880		858
Freeport-McMoRan Copper & Gold, Inc. 8.375%, 4/1/17		615		654
Ineos Group Holdings plc 144A 8.500%, 2/15/16⁽²⁾		280		224
Polypore International, Inc. 7.500%, 11/15/17		500		520
Reynolds Group Holdings, Inc. / Reynolds Group Issuer LLC 144A 8.250%, 2/15/21⁽²⁾		825		734
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽²⁾		500		431
Solutia, Inc. 7.875%, 3/15/20		920		1,005
Taseko Mines Ltd. 7.750%, 4/15/19		165		150

				5,796


Telecommunication Services—10.0%
Crown Castle International Corp. 7.125%, 11/1/19		555		602
Echostar Holding Corp. / Echostar Corp. 144A 7.625%, 6/15/21⁽²⁾		250		264
Frontier Communications Corp. 8.125%, 10/1/18		585		592
GCI, Inc. 8.625%, 11/15/19		1,130		1,205
Goodman Networks, Inc. 144A 12.125%, 7/1/18⁽²⁾		900		862
ITC DeltaCom, Inc. 10.500%, 4/1/16		845		868
MetroPCS Wireless, Inc. 6.625%, 11/15/20		570		533
NII Capital Corp. 7.625%, 4/1/21		750		748
PAETEC Holding Corp. 9.875%, 12/1/18		1,020		1,127
Virgin Media Finance plc 8.375%, 10/15/19		250		276
West Corp. 7.875%, 1/15/19		1,030		1,028
Windstream Corp.
8.125%, 9/1/18		95		102
7.000%, 3/15/19		750		761
7.750%, 10/15/20		250		260

				9,228


Utilities—2.6%
Calpine Corp.


	PAR VALUE		VALUE

Utilities—(continued)
144A 7.875%, 7/31/20⁽²⁾	$	245	$	265
144A 7.500%, 2/15/21⁽²⁾		490		527
NRG Energy, Inc. 8.250%, 9/1/20		805		813
Texas Competitive Electric Holdings Co. LLC / Texas Competitive Holdings Finance, Inc. 144A 11.500%, 10/1/20⁽²⁾		990		845

				2,450

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $85,232)				86,088


LOAN AGREEMENTS⁽³⁾—2.7%

Consumer Discretionary—0.5%
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		299		283
Transtar Industries, Inc. Tranche 2, 10.250%, 12/21/17		200		200

				483


Consumer Staples—1.1%
Roundy’s Supermarkets, Inc. Tranche 2, 10.000%, 4/16/16		1,000		1,003


Financials—0.7%
iStar Financial, Inc. Tranche A-2 5.000%, 6/30/14		375		364
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		300		262

				626


Telecommunication Services—0.4%
Level 3 Communications, Inc. Tranche A, 2.650%, 3/13/14		400		384


TOTAL LOAN AGREEMENTS (Identified Cost $2,547)				2,496

	SHARES		VALUE

PREFERRED STOCK—0.4%

Financials—0.4%
GMAC Capital Trust I 8.125%		20,800		402


TOTAL PREFERRED STOCK (Identified Cost $520)				402

TOTAL LONG TERM INVESTMENTS—97.9% (Identified cost $90,017)				90,697

($ reported in thousands)


	SHARES			VALUE

SHORT-TERM INVESTMENTS—2.0%

Money Market Mutual Funds—2.0%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		1,870,580	$		1,871


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,871)					1,871


TOTAL INVESTMENTS—99.9% (Identified Cost $91,888)					92,568	⁽¹⁾

Other assets and liabilities, net—0.1%					77

NET ASSETS—100.0%			$		92,645

Abbreviations:

OJSC Open Joint Stock Company (Russia)

PIK Payment-in-Kind Security

plc Public Limited Co.

Foreign Currencies:

BRL Brazilian Real

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to a value of $21,409 or 23.1% of net assets.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2011.

⁽⁴⁾	Illiquid security.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE

COMMON STOCKS—95.9%

Consumer Discretionary—5.6%
adidas AG (Germany)		2,280	$	148
British Sky Broadcasting Group plc (United Kingdom)		15,700		179
Casio Computer Co., Ltd. (Japan)		30,800		187
Reed Elsevier N.V. (Netherlands)		26,620		310
Sumitomo Rubber Industries Ltd. (Japan)		18,800		226

				1,050


Consumer Staples—11.2%
British American Tobacco plc (United Kingdom)		4,200		199
Colruyt SA (Belgium)		9,310		352
Nestle S.A. Registered Shares (Switzerland)		10,180		585
Swedish Match AB (Sweden)		5,540		197
Tesco plc (United Kingdom)		29,300		184
Unilever N.V. (Netherlands)		6,222		214
Woolworths Ltd. (Australia)		13,420		345

				2,076


Energy—10.3%
BP plc (United Kingdom)		26,800		192
CNOOC Ltd. (Hong Kong)		141,000		246
Royal Dutch Shell plc A Shares (United Kingdom)		10,340		377
Royal Dutch Shell plc B Shares (United Kingdom)		8,000		305
Sakari Resources Ltd. (Singapore)		46,000		65
Total SA (France)		10,000		511
Woodside Petroleum Ltd. (Australia)		6,710		210

				1,906


Financials—9.6%
Hang Seng Bank Ltd. (Hong Kong)		26,000		309
Legal & General Group plc (United Kingdom)		121,900		195
Malayan Banking Bhd (Malaysia)		106,545		288
QBE Insurance Group Ltd. (Australia)		25,780		341
Tokyu REIT, Inc. (Japan)		47		236
United Overseas Bank Ltd. (Singapore)		14,200		167
Zurich Financial Services AG (Switzerland)⁽²⁾		1,090		247

				1,783


Health Care—11.3%
GlaxoSmithKline plc (United Kingdom)		11,800		269
Novartis AG Registered Shares (Switzerland)		8,530		488


	SHARES		VALUE

Health Care—(continued)
Roche Holding AG (Switzerland)		3,350	$	568
Sanofi-Aventis S.A. (France)		5,280		388
Teva Pharmaceutical Industries Ltd. (Israel)		9,437		380

				2,093


Industrials—10.2%
Brambles Ltd. (Australia)		40,000		293
ComfortDelgro Corp., Ltd. (Singapore)		167,000		182
Deutsche Post AG Registered Shares (Germany)		13,955		214
Koninklijke Vopak N.V. (Netherlands)		1,930		102
Legrand SA (France)		6,210		200
Makita Corp. (Japan)		5,900		191
Mitsubishi Electric Corp. (Japan)		24,000		230
Panalpina Welttransport Holding AG Registered Shares (Switzerland)⁽²⁾		1,310		134
Rolls-Royce Holdings plc Class C (United Kingdom)⁽²⁾⁽³⁾		793,500		1
Schindler Holding AG (Switzerland)		1,003		117
Toyota Tsusho Corp. (Japan)		13,000		230

				1,894


Information Technology—9.5%
Advantech Co., Ltd (Taiwan)		61,000		169
ASM Pacific Technology Ltd. (Hong Kong)		18,600		209
Computershare Ltd. (Australia)		30,600		250
Media Tek, Inc. (Taiwan)		11,000		101
Nintendo Co., Ltd. (Japan)		900		124
SAP AG (Germany)		4,800		254
Venture Corp., Ltd. (Singapore)		22,000		105
VTech Holdings Ltd. (Hong Kong)		24,000		240
Wincor Nixdorf AG (Germany)		7,002		313

				1,765


Materials—9.0%
Air Liquide SA (France)		2,600		322
CRH plc (Ireland)⁽²⁾		11,000		219
Fuchs Petrolub AG (Germany)		4,693		205
Givaudan SA Registered Shares (Switzerland)⁽²⁾		116		110
Lafarge Malayan Cement Bhd (Malaysia)		79,800		176
Rio Tinto Ltd. (Australia)		2,330		144
Shin-Etsu Chemical Co., Ltd. (Japan)		3,400		167
Symrise AG (Germany)		7,784		208
Syngenta AG Registered Shares (Switzerland)⁽²⁾		400		117

				1,668


	SHARES		VALUE

Telecommunication Services—13.8%
Belgacom SA (Belgium)		6,940	$	218
Bezeq Israeli Telecommunication Corp., Ltd. (Israel)		77,446		142
Chunghwa Telecom Co., Ltd. (Taiwan)		75,600		250
Koninklijke KPN N.V. (Netherlands)		26,120		312
StarHub Ltd. (Singapore)		86,900		195
Telefonica S.A. (Spain)⁽²⁾		20,710		359
Telekom Malaysia Bhd (Malaysia)		167,800		262
Telenor ASA (Norway)		11,020		181
Telstra Corp., Ltd. (Australia)		82,000		279
Vodafone Group plc (United Kingdom)		133,500		371

				2,569


Utilities—5.4%
National Grid plc (United Kingdom)		22,100		215
Power Assets Holdings Ltd. (Hong Kong)		55,000		407
Scottish & Southern Energy plc (United Kingdom)		9,000		180
United Utilities Group plc (United Kingdom)		20,500		193

				995

TOTAL COMMON STOCKS (Identified Cost $18,367)				17,799

TOTAL LONG TERM INVESTMENTS—95.9% (Identified cost $18,367)				17,799

SHORT-TERM INVESTMENTS—4.3%

Money Market Mutual Funds—4.3%
Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)		804,011		804


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $804)				804



TOTAL INVESTMENTS—100.2% (Identified Cost $19,171)		18,603⁽¹⁾
Other assets and liabilities, net—(0.2)%		(36)

NET ASSETS—100.0%	$	18,567

Abbreviations:

^AG	Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).

^ASA	Allmennaksjeselskap a public limited company (Norway).

^N.V.

Naamloze Vennootschap a public limited liability company (Netherlands).

^plc	Public Limited Co.

^REIT

Real Estate Investment Trust

^SA or
S^.A

Designates corporations in various countries.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

($ reported in thousands)


Country Weightings †
United Kingdom	15	%
Switzerland	13
Australia	10
France	8
Hong Kong	8
Japan	8
Germany	7
Other	31
Total	100	%
† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE

COMMON STOCKS—107.8%

Australia—25.0%
BGP Holdings plc^(2)(3)(4)		588,920	$	0
CFS Retail Property Trust		189,052		326
Dexus Property Group		807,415		686
Goodman Group		1,547,280		902
Westfield Group		276,673		2,210
Westfield Retail Trust		360,173		917

				5,041


Canada—13.2%
Allied Properties Real Estate Investment Trust		9,415		234
Brookfield Properties Corp.		53,750		843
Canadian Real Estate Investment Trust		9,995		347
Cominar Real Estate Investment Trust		4,615		100
First Capital Realty, Inc.		20,535		349
RioCan Real Estate Investment Trust		30,550		792

				2,665


Finland—0.6%
Citycon Oyj		37,800		113


France—12.3%
Fonciere Des Regions		3,085		198
Klepierre		15,824		451
Societe Immobiliere de Location Pour L’industrie Et Le Commerce		3,032		294
Unibail-Rodamco		8,565		1,540

				2,483


Germany—0.9%
GSW Immobilien AG⁽²⁾		6,000		174


Hong Kong—8.2%
Hongkong Land Holdings Ltd.		199,100		904
Link (The)		205,441		756

				1,660


Italy—1.9%
Beni Stabili SpA		838,257		375


Japan—8.4%
AEON Mall Co., Ltd.		29,830		633
Japan Prime Realty Investment Corp.		97		229
Japan Real Estate Investment Corp.		44		343


	SHARES		VALUE

Japan—(continued)
Nippon Building Fund, Inc.		59	$	483

				1,688


Netherlands—4.4%
Corio N.V.		14,940		650
Eurocommercial Properties N.V.		7,597		241

				891


Norway—2.3%
Norwegian Property ASA		378,600		466


Singapore—7.1%
CapitaCommercial Trust		212,400		173
CapitaMall Trust		129,650		170
CapitaRetail China Trust		259,725		230
Global Logistic Properties Ltd.⁽²⁾		379,500		513
Mapletree Logistics Trust		526,544		343

				1,429


Sweden—2.9%
Castellum AB		27,866		345
Fabege AB		31,800		249

				594


Switzerland—0.5%
PSP Swiss Property AG		1,191		100


United Kingdom—20.1%
Big Yellow Group plc		164,361		626
British Land Co. plc		80,105		575
Derwent London plc		11,646		282
Great Portland Estates plc		21,118		106
Hammerson plc		112,809		631
Land Securities Group plc		93,085		919
Safestore Holdings plc		278,876		433
SEGRO plc		153,157		496

				4,068

TOTAL COMMON STOCKS (Identified Cost $20,249)				21,747

TOTAL LONG TERM INVESTMENTS—107.8% (Identified cost $20,249)				21,747

($ reported in thousands)

SHARES

VALUE

SHORT-TERM INVESTMENTS—1.1%

Money Market Mutual Funds—1.1%

Dreyfus Cash Management Fund - Institutional Shares (seven-day effective yield 0.050%)

227,351

227

TOTAL SHORT-TERM INVESTMENTS

(Identified Cost $227)

227

TOTAL INVESTMENTS—108.9%

(Identified Cost $20,476)

21,974

⁽¹⁾

Other assets and liabilities, net—(8.9)%

(1,794

)

NET ASSETS—100.0%

20,180


Abbreviations:
AB		AktieBolag. The Swedish equivalent for “Inc.”, “Corp.”, “Ltd.” etc.
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
ASA		Allmennaksjeselskap a public limited company (Norway).
N.V.		Naamloze Vennootschap a public limited liability company (Netherlands).
plc		Public Limited Co.

Footnote Legend:
⁽¹⁾		Federal Income Tax Information : For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
⁽²⁾		Non-income producing.
⁽³⁾		Illiquid security.
⁽⁴⁾		Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

⁽¹⁾ Level 3 Common Stock valued at zero at the beginning and end of period.


	SHARES		VALUE

COMMON STOCKS—99.3%

Consumer Discretionary—19.6%
Abercrombie & Fitch Co. Class A		2,370	$	116
Amazon.com, Inc.⁽²⁾⁽⁶⁾		1,410		244
Bally Technologies, Inc.⁽²⁾		2,980		118
Daimler AG Registered Shares		2,790		122
Dick’s Sporting Goods, Inc.		4,120		152
Esprit Holdings Ltd.		54,524		70
Focus Media Holding Ltd. ADR⁽²⁾		16,060		313
Inchcape plc		31,410		143
International Game Technology		8,370		144
Jack in the Box, Inc.⁽²⁾⁽⁶⁾		7,660		160
Kingfisher plc		52,670		205
Limited Brands, Inc.⁽⁶⁾		4,410		178
Liz Claiborne, Inc.⁽²⁾⁽⁶⁾		38,540		333
Lowe’s Cos., Inc.		11,760		298
Macy’s, Inc.⁽⁶⁾		6,420		207
Melco PBL Entertainment Ltd. ADR⁽²⁾		49,890		480
Michael Kors Holdings Ltd.		5,960		162
Newell Rubbermaid, Inc.		34,090		551
Omnicom Group, Inc.		3,950		176
Phillips-Van Heusen Corp.		6,520		460
Shuffle Master, Inc.⁽²⁾		13,010		152
Skechers U.S.A., Inc. Class A⁽²⁾⁽⁶⁾		6,240		76
Toyoda Gosei Co., Ltd.		11,900		190
Viacom, Inc. Class B		4,830		219
Warnaco Group, Inc. (The)⁽²⁾⁽⁶⁾		2,250		113
Williams-Sonoma, Inc.⁽⁶⁾		5,970		230

				5,612


Consumer Staples—13.6%
Carrefour S.A.		8,400		191
China Agri-Industries Holdings Ltd.		488,000		371
Coca-Cola Amatil Ltd.		26,330		310
Coca-Cola Enterprises, Inc.⁽⁶⁾		8,560		221
ConAgra Foods, Inc.⁽⁶⁾		8,800		232
CVS Caremark Corp.		2,810		115
Energizer Holdings, Inc.⁽²⁾		3,920		304
Estee Lauder Cos., Inc. (The) Class A⁽⁶⁾		2,020		227
Fomento Economico Mexicano S.A.B. de C.V. Sponsored ADR⁽⁶⁾		5,800		404
Kirin Brewery Co., Ltd.		18,000		219


	SHARES		VALUE

Consumer Staples—(continued)
Kraft Foods, Inc. Class A⁽⁶⁾		9,720	$	363
Ralcorp Holdings, Inc.⁽²⁾		2,090		179
Toyo Suisan Kaisha Ltd.		8,000		194
Unilever N.V.		12,400		426
Unilever plc Sponsored ADR		3,880		130

				3,886


Energy—9.2%
Cabot Oil & Gas Corp.⁽⁶⁾		2,950		224
Cameron International Corp.⁽²⁾		2,470		122
China Coal Energy Co., Ltd.		125,000		135
Ensco International plc Sponsored ADR		3,960		186
EOG Resources, Inc.		1,440		142
EQT Corp.⁽⁶⁾		6,330		347
National Oilwell Varco, Inc.		1,860		126
Occidental Petroleum Corp.⁽⁶⁾		1,870		175
Petroleo Brasileiro S.A. ADR		6,860		170
Pioneer Natural Resources Co.⁽⁶⁾		5,110		457
SandRidge Energy, Inc.⁽²⁾⁽⁶⁾		20,450		167
Schlumberger Ltd.⁽⁶⁾		3,360		230
Tesco Corp.⁽²⁾		3,810		48
TGS Nopec Geophysical Co., ASA		4,830		107

				2,636


Financials—11.7%
Ameriprise Financial, Inc.		3,520		175
Banco Santander Brasil S.A. ADR⁽⁶⁾		12,250		100
CBOE Holdings, Inc.⁽⁶⁾		5,926		153
City National Corp.		4,070		180
Comerica, Inc.		14,700		379
Fidelity National Financial, Inc. Class A⁽⁶⁾		9,990		159
Fifth Third Bancorp⁽⁶⁾		23,610		300
Gallagher (Arthur J.) & Co.		7,730		259
Hartford Financial Services Group, Inc. (The)⁽⁶⁾		11,460		186
Muenchener Rueckversicherungs-Gesellschaft AG Registered Shares		1,570		193
NASDAQ OMX Group, Inc. (The)⁽²⁾⁽⁶⁾		6,510		160
Nelnet, Inc. Class A		7,880		193
Public Storage		1,260		169
SEI Investments Co.		9,650		167
Wells Fargo & Co.⁽⁶⁾		7,920		218
Willis Group Holdings plc		6,340		246


	SHARES		VALUE

Financials—(continued)
Zions Bancorp		6,540	$	106

				3,343


Health Care—15.0%
Alexion Pharmaceuticals, Inc.⁽²⁾⁽⁶⁾		1,200		86
Align Technology, Inc.⁽²⁾⁽⁶⁾		10,910		259
Amarin Corp. plc ADR⁽²⁾⁽⁶⁾		6,630		50
Biogen Idec, Inc.⁽²⁾		1,290		142
CareFusion Corp.⁽²⁾⁽⁶⁾		7,350		187
Celgene Corp.⁽²⁾		1,770		120
CIGNA Corp.		3,450		145
Covidien plc⁽⁶⁾		4,150		187
Cubist Pharmaceuticals, Inc.⁽²⁾		3,880		154
Emergent Biosolutions, Inc.⁽²⁾⁽⁶⁾		11,300		190
Gerresheimer AG		4,860		203
Hanger Orthopedic Group, Inc.⁽²⁾⁽⁶⁾		8,660		162
Idenix Pharmaceuticals, Inc.⁽²⁾⁽⁶⁾		14,460		108
McKesson Corp.⁽⁶⁾		2,630		205
Medicis Pharmaceutical Corp. Class A		3,380		112
Mitsubishi Tanabe Pharma Corp.		13,100		207
Omnicare, Inc.		4,540		156
Pfizer, Inc.⁽⁶⁾		6,770		146
Salix Pharmaceuticals Ltd.⁽²⁾		2,410		115
Sanofi-Aventis S.A.		2,620		192
Sanofi-Aventis S.A. ADR⁽⁶⁾		4,100		150
Smith & Nephew plc		25,290		246
St. Jude Medical, Inc.⁽⁶⁾		4,280		147
SXC Health Solutions Corp.⁽²⁾		1,530		86
Vertex Pharmaceuticals, Inc.⁽²⁾⁽⁶⁾		2,960		98
Watson Pharmaceuticals, Inc.⁽²⁾		3,700		223
WuXi PharmaTech Cayman, Inc. ADR⁽²⁾		20,110		222

				4,298


Industrials—8.1%
BAE Systems plc		54,713		242
Dover Corp.		4,000		232
Eaton Corp.		3,890		169
Finmeccanica S.p.A		8,590		32
IDEX Corp.⁽⁶⁾		5,360		199
Kamigumi Co. Ltd.		18,000		155
Oshkosh Corp.⁽²⁾		10,650		228
Precision Castparts Corp.		1,040		172
Roper Industries, Inc.		3,250		282


	SHARES		VALUE

Industrials—(continued)
Spirit Aerosystems Holdings, Inc. Class A⁽²⁾⁽⁶⁾		12,900	$	268
TrueBlue, Inc.⁽²⁾⁽⁶⁾		15,680		218
United Technologies Corp.⁽⁶⁾		1,440		105

				2,302


Information Technology—15.6%
Alliance Data Systems Corp.⁽²⁾⁽⁶⁾		2,930		304
Apple, Inc.⁽²⁾⁽⁶⁾		190		77
AU Optronics Corp. Sponsored ADR		27,760		120
Cognizant Technology Solutions Corp. Class A⁽²⁾		2,300		148
Cypress Semiconductor Corp.		4,480		76
DealerTrack Holdings, Inc.⁽²⁾⁽⁶⁾		9,210		251
Electronic Arts, Inc.⁽²⁾⁽⁶⁾		22,440		462
Equinix, Inc.⁽²⁾		2,830		287
F5 Networks, Inc.⁽²⁾		550		58
Informatica Corp.⁽²⁾⁽⁶⁾		5,770		213
Mentor Graphics Corp.⁽²⁾		18,540		252
Microsemi Corp.⁽²⁾⁽⁶⁾		12,710		213
Motorola Mobility Holdings, Inc.⁽²⁾		947		37
NetApp, Inc.⁽²⁾		3,480		126
QUALCOMM, Inc.⁽⁶⁾		6,190		339
Ricoh Co. Ltd.		22,000		192
Riverbed Technology, Inc.⁽²⁾⁽⁶⁾		2,210		52
SanDisk Corp.⁽²⁾		1,530		75
Siliconware Precision Industries Co. Sponsored ADR⁽⁶⁾		52,600		229
Teradata Corp.⁽²⁾⁽⁶⁾		3,059		148
Velti plc⁽²⁾		21,800		148
Visa, Inc. Class A⁽⁶⁾		4,180		425
Vishay Intertechnology, Inc.⁽²⁾		9,030		81
VMware, Inc. Class A⁽²⁾		720		60
Western Digital Corp.⁽²⁾		2,950		91

				4,464


Materials—1.8%
Alcoa, Inc.⁽⁶⁾		26,160		226
China Vanadium Titano - Magnetite Mining Co., Ltd.		368,000		72
Monsanto Co.		1,960		138
Yingde Gases Group Co., Ltd.		77,500		79

				515


	SHARES		VALUE

Telecommunication Services—1.9%
Frontier Communications Corp.⁽⁶⁾		36,730	$	189
Telefonica Moviles S.A.⁽³⁾⁽⁴⁾⁽⁶⁾		1,400		0⁽⁵⁾
VimpelCom Ltd. ADR		15,260		145
Vodafone Group plc Sponsored ADR		7,380		207

				541


Utilities—2.8%
Companhinia Paranaense de Energia ADR⁽⁶⁾		14,550		305
E.ON AG		4,570		99
Great Plains Energy, Inc.		5,240		114
Hawaiian Electric Industries, Inc.		6,100		161
Tokyo Gas Co., Ltd.		28,000		129

				808

TOTAL COMMON STOCKS (Identified Cost $28,270)				28,405

TOTAL LONG TERM INVESTMENTS—99.3% (Identified cost $28,270)				28,405

TOTAL INVESTMENTS—99.3% (Identified Cost $28,270)				28,405⁽¹⁾
SECURITIES SOLD SHORT—(97.7)% (Proceeds ($28,892))				(27,953)

Other assets and liabilities, net—98.4%				28,151

NET ASSETS—100.0%			$	28,603


SECURITIES SOLD SHORT—97.7%

COMMON STOCKS SOLD SHORT—(97.7)%

Consumer Discretionary—(16.7)%
Anta Sports Products Ltd.		(187,000)		(222)
Bayerische Motoren Werke AG		(2,420)		(162)
Best Buy Co., Inc.		(9,640)		(225)
Brown Shoe Co., Inc.		(8,880)		(79)
Carpetright plc		(50,410)		(376)
Coach, Inc.		(10,860)		(663)
Gap, Inc. (The)		(11,020)		(204)
Harley-Davidson, Inc.		(7,350)		(286)
Kohl’s Corp.		(4,080)		(201)
Li & Fung Ltd.		(210,000)		(389)
NGK Spark Plug Co., Ltd.		(17,000)		(211)
Penney (J.C.) Co., Inc.		(20,730)		(729)
Red Robin Gourmet Burgers, Inc.		(3,150)		(87)


	SHARES		VALUE

Consumer Discretionary—(continued)
Sonic Corp.		(10,630)	$	(71)
Thomson Reuters Corp.		(12,770)		(341)
Walt Disney Co. (The)		(6,930)		(260)
Wynn Resorts Ltd.		(2,340)		(259)

				(4,765)


Consumer Staples—(15.1)%
Asahi Breweries Ltd.		(11,200)		(246)
Casino Guichard Perrachon S.A.		(2,500)		(211)
Church & Dwight Co., Inc.		(4,980)		(228)
Colgate-Palmolive Co.		(1,670)		(154)
Dr. Pepper Snapple Group, Inc.		(4,090)		(161)
Flowers Foods, Inc.		(14,570)		(277)
Green Mountain Coffee Roasters, Inc.		(3,840)		(172)
Hormel Foods Corp.		(10,868)		(318)
Kellogg Co.		(5,960)		(301)
Kimberly-Clark de Mexico S.A.B. de C.V. ADR		(6,400)		(170)
Lindt & Spruengli AG		(121)		(360)
Metcash Ltd.		(22,730)		(94)
Pernod-Ricard S.A.		(2,717)		(252)
Safeway, Inc.		(6,820)		(143)
SYSCO Corp.		(7,490)		(220)
Tingyi Cayman Islands Holding Corp.		(124,000)		(377)
Wal-Mart de Mexico S.A.B de C.V. Sponsored ADR		(8,800)		(241)
Walgreen Co.		(6,720)		(222)
Woolworths Ltd.		(6,730)		(173)

				(4,320)


Energy—(8.3)%
Arch Coal, Inc.		(6,380)		(93)
Barrett (Bill) Corp.		(8,060)		(275)
Basic Energy Services, Inc.		(3,250)		(64)
Bourbon S.A.		(3,425)		(94)
CNOOC Ltd. ADR		(980)		(171)
Comstock Resources, Inc.		(12,440)		(190)
ConocoPhillips		(3,020)		(220)
EnCana Corp.		(15,100)		(280)
EXCO Resources, Inc.		(11,210)		(117)
Forest Oil Corp.		(25,510)		(346)
Murphy Oil Corp.		(3,000)		(167)
Seadrill Ltd.		(7,330)		(243)


	SHARES		VALUE

Energy—(continued)
Yanzhou Coal Mining Co., Ltd. Class H		(52,000)	$	(111)

				(2,371)


Financials—(12.3)%
Banco Bradesco S.A. Sponsored ADR		(7,280)		(121)
First Republic Bank/San Francisco CA		(5,660)		(173)
Goldman Sachs Group, Inc. (The)		(1,540)		(139)
Hannover Rueckversicherung AG Registered Shares		(5,210)		(258)
Hanover Insurance Group, Inc. (The)		(6,490)		(227)
Huntington Bancshares, Inc.		(86,100)		(473)
Legg Mason, Inc.		(8,190)		(197)
New York Community Bancorp, Inc. Class A		(29,930)		(370)
Progressive Corp. (The)		(6,960)		(136)
Prosperity Bancshares, Inc.		(5,380)		(217)
SunTrust Banks, Inc.		(6,830)		(121)
TFS Financial Corp.		(44,140)		(396)
Trustmark Corp.		(10,540)		(256)
Valley National Bancorp		(19,475)		(241)
Westamerica Bancorp		(4,350)		(191)

				(3,516)


Health Care—(13.9)%
Acorda Therapeutics, Inc.		(5,520)		(132)
AMAG Pharmaceuticals, Inc.		(4,970)		(94)
Ansell Ltd.		(19,150)		(285)
AstraZeneca plc Sponsored ADR		(2,680)		(124)
Bard (C.R.), Inc.		(690)		(59)
Becton, Dickinson & Co.		(1,360)		(102)
CONMED Corp.		(6,840)		(175)
Covance, Inc.		(4,420)		(202)
DENTSPLY International, Inc.		(3,390)		(119)
Edwards Lifesciences Corp.		(3,660)		(259)
Eisai Co., Ltd.		(10,850)		(449)
Genomic Health, Inc.		(9,040)		(229)
H Lundbeck A/S		(5,490)		(103)
Haemonetics Corp.		(3,330)		(204)
Integra LifeSciences Holdings Corp.		(5,700)		(176)
Invacare Corp.		(7,450)		(114)
Lincare Holdings, Inc.		(5,940)		(153)
Mettler-Toledo International, Inc.		(970)		(143)
Novo Nordisk A/S Sponsored ADR		(3,308)		(381)
Regeneron Pharmaceuticals, Inc.		(1,560)		(86)


	SHARES		VALUE

Health Care—(continued)
Seattle Genetics, Inc.		(6,200)	$	(104)
Waters Corp.		(2,940)		(218)
XenoPort, Inc.		(19,430)		(74)

				(3,985)


Industrials—(9.7)%
BE Aerospace, Inc.		(5,950)		(230)
Boeing Co. (The)		(5,360)		(393)
Donaldson Co., Inc.		(2,430)		(165)
Lockheed Martin Corp.		(4,730)		(383)
Rollins, Inc.		(16,990)		(378)
Rolls-Royce Holdings plc		(51,946)		(602)
Rolls-Royce Holdings plc Class C⁽⁴⁾		(4,294,284)		(7)
Terex Corp.		(16,990)		(230)
Toto Ltd.		(18,000)		(139)
UniFirst Corp.		(4,520)		(256)

				(2,783)


Information Technology—(14.2)%
Adobe Systems, Inc.		(5,180)		(146)
Advanced Semiconductor Engineering, Inc. ADR		(80,032)		(347)
Amphenol Corp. Class A		(1,500)		(68)
ANSYS, Inc.		(3,360)		(192)
Aruba Networks, Inc.		(18,370)		(340)
Canon, Inc.		(4,400)		(195)
Finisar Corp.		(4,220)		(71)
Hewlett-Packard Co.		(7,960)		(205)
Hittite Microwave Corp.		(2,330)		(115)
Infosys Technologies Ltd. Sponsored ADR		(4,880)		(251)
Intel Corp.		(10,210)		(248)
KLA-Tencor Corp.		(1,260)		(61)
Microsoft Corp.		(24,560)		(637)
Nokia Oyj Sponsored ADR		(31,280)		(151)
Research In Motion Ltd.		(22,120)		(321)
SAP AG Sponsored ADR		(5,380)		(285)
Tech Data Corp.		(3,450)		(170)
Telefonaktiebolaget LM Ericsson Sponsored ADR		(21,780)		(221)
Xilinx, Inc.		(1,590)		(51)

				(4,075)


Materials—(3.3)%
Arcelormittal South Africa Ltd.		(18,220)		(155)

($ reported in thousands)


	SHARES		VALUE

Materials—(continued)
CF Industries Holdings, Inc.		(960)	$	(139)
Greif, Inc. Class A		(5,852)		(267)
Royal Gold, Inc.		(2,170)		(146)
United States Steel Corp.		(8,610)		(228)

				(935)


Telecommunication Services—(1.7)%
tw telecom, inc.		(14,520)		(281)
Verizon Communications, Inc.		(5,400)		(217)

				(498)


Utilities—(2.5)%
Black Hills Corp.		(4,930)		(166)
Consolidated Edison, Inc.		(1,890)		(117)
Toho Gas Co. Ltd.		(24,000)		(153)
Tractebel Energia S.A. Sponsored ADR		(16,780)		(269)

				(705)

TOTAL COMMON STOCKS SOLD SHORT—(97.7)% (Proceeds ($28,892))				(27,953)

TOTAL SECURITIES SOLD SHORT—(97.7)% (Proceeds ($28,892))				(27,953)	⁽¹⁾


Abbreviations:
ADR		American Depositary Receipt
AG		Aktiengesellschaft a corporation that is limited by shares, i.e., owned by shareholders (Germany).
ASA		Allmennaksjeselskap a public limited company (Norway).
GDR		Global Depositary Receipt
plc		Public Limited Co.
S.p.A.		Società delle azione unite (Joint Stock Corp. Italy).

Footnote Legend:
⁽¹⁾		Federal Income Tax Information : For tax information at December 31, 2011 , see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
⁽²⁾		Non-income producing.
⁽³⁾		Illiquid security.
⁽⁴⁾		Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.
⁽⁵⁾		Amounts are less than $500 (not reported in 000s).
⁽⁶⁾		All or a portion segregated as collateral for securities sold short.

($ reported in thousands)


Country Weightings - Long †
United States	72	%
Japan	5
United Kingdom	5
China	3
Brazil	2
France	2
Germany	2
Other	9
Total	100	%

† % of total investments as of December 31, 2011

($ reported in thousands)


Country Weightings - Short †
United States	66	%
Japan	5
United Kingdom	4
Canada	3
Germany	3
France	2
Hong Kong	2
Other	15
Total	100	%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE

U.S. GOVERNMENT SECURITIES—1.9%

U.S. Treasury Note 2.000%, 11/15/21	$	5,100		$	5,156

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $5,142)					5,156


MUNICIPAL BONDS—0.9%

Kentucky—0.2%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		505			518


Massachusetts—0.3%
Commionwealth School Building Authority, Sr. Series B 5.000%, 10/15/41		700			759


Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series 06-A, 7.309%, 6/1/34		160			117


Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		345			217


Washington—0.3%
King County Sewer Revenue 5.000%, 1/1/45		900			962


TOTAL MUNICIPAL BONDS (Identified Cost $2,682)					2,573


FOREIGN GOVERNMENT SECURITIES—10.7%

Bolivarian Republic of Venezuela
8.500%, 10/8/14		560			524
RegS 5.750%, 2/26/16⁽⁵⁾		1,765			1,390
7.650%, 4/21/25		1,000			625
9.250%, 9/15/27		1,035			753
9.375%, 1/13/34		950			660
Commonwealth of Australia
Series 123, 5.750%, 4/15/12		1,987	^AUD		2,043
Series 118, 6.500%, 5/15/13		785	^AUD		837
Commonwealth of Canada 2.000%, 9/1/12		3,174	^CAD		3,136
Commonwealth of New Zealand
Series 413, 6.500%, 4/15/13		2,104	^NZD		1,721
Series 415, 6.000%, 4/15/15		220	^NZD		189
Federative Republic of Brazil
12.500%, 1/5/22		1,125	^BRL		772
10.250%, 1/10/28		2,530	^BRL		1,546
Kingdom of Norway Series 470 6.500%, 5/15/13		9,013	^NOK		1,611


	PAR VALUE			VALUE

Kingdom of Sweden Series 1046, 5.500%, 10/8/12	$	6,550	^SEK	$	984
Republic of Argentina
Provincia de Bueno Aires Series GDP, 144A 10.875%, 1/26/21⁽⁴⁾		500			376
Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴)		628			631
PIK Interest Capitalization 8.280%, 12/31/33		5,082			3,735
Series GDP 4.383%, 12/15/35⁽³⁾		1,740			226
Republic of Colombia
12.000%, 10/22/15		925,000	^COP		614
6.125%, 1/18/41		1,000			1,240
Republic of Indonesia Series FR-23, 11.000%, 12/15/12		6,200,000	^IDR		726
Republic of Lithuania 144A 7.375%, 2/11/20⁽⁴⁾		500			540
Republic of Poland Series 0414, 5.750%, 4/25/14		4,405	^PLZ		1,300
Republic of South Africa Series R206 7.500%, 1/15/14		4,700	^ZAR		598
Republic of Turkey
0.000%, 4/25/12		880	^TRY		449
6.750%, 5/30/40		500			518
State of Qatar 144A 4.500%, 1/20/22⁽⁴⁾		550			567
United Mexican States Series M, 6.000%, 6/18/15		14,000	^MXN		1,027

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $28,219)					29,338


MORTGAGE-BACKED SECURITIES—12.3%

Non-Agency—12.3%
American Tower Trust 07-1A, C 144A 5.615%, 4/15/37⁽⁴⁾		750			791
Americold LLC Trust 10-ARTA, B 144A 6.031%, 1/14/29⁽⁴⁾		900			895
Banc of America Commercial Mortgage, Inc. 07-1, AMFX 5.482%, 1/15/49⁽³⁾		1,000			933
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.704%, 4/12/38⁽³⁾		900			933
06-PW12, AM 5.941%, 9/11/38⁽³⁾		650			680
06-PW14, A4 5.201%, 12/11/38		350			384
05-PW10, A4 5.405%, 12/11/40⁽³⁾		225			248
05-PW10, AM 5.449%, 12/11/40⁽³⁾		725			688
07-T28, A4 5.742%, 9/11/42⁽³⁾		800			920
07-PW18, A4 5.700%, 6/11/50		750			829
07-PW18, AM 6.084%, 6/11/50⁽³⁾		725			707
Citigroup/Deutsche Bank Commercial Mortgage Trust


	PAR VALUE		VALUE

Non-Agency—(continued)
05-CD1, AM 5.399%, 7/15/44⁽³⁾	$	610	$	640
07-CD4, A4 5.322%, 12/11/49		475		504
Countrywide Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		1,300		1,280
06-13T1, A11 6.000%, 5/25/36		981		638
Countrywide Home Loan Mortgage Pass-Through-Trust 04-R1, 2A, 144A 6.500%, 11/25/34⁽⁴⁾		580		588
Credit Suisse First Boston Mortgage Securities Corp. 04-C5, A3 4.499%, 11/15/37		632		632
Credit Suisse Mortgage Capital Certificates 06-C1, A3 5.594%, 2/15/39⁽³⁾		456		483
Extended Stay America Trust 10-ESHA, D, 144A 5.498%, 11/5/27⁽⁴⁾		355		356
GE Capital Commercial Mortgage Corp. 03-C1, C 4.975%, 1/10/38⁽³⁾		595		598
GMAC Commercial Mortgage Securities, Inc. 04-C2, A3 5.134%, 8/10/38		450		468
Goldman Sachs Mortgage Securities Corp. II 07-GG10, A4 5.984%, 8/10/45⁽³⁾		600		652
JPMorgan Chase Commercial Mortgage Securities Corp.
10-CNTR, A2, 144A 4.311%, 8/5/32⁽⁴⁾		300		313
06-CB17, AM 5.464%, 12/12/43		600		589
06-LDP7, AM 6.065%, 4/15/45⁽³⁾		1,000		1,030
06-LDP9, A3 5.336%, 5/15/47		850		902
07-LD12, A4 5.882%, 2/15/51⁽³⁾		750		815
Lehman Brothers - UBS Commercial Mortgage Trust
07-C2, A3 5.430%, 2/15/40		1,100		1,174
05-C3, AM 4.794%, 7/15/40		350		367
07-C6, A4 5.858%, 7/15/40⁽³⁾		700		767
07-C7, A3 5.866%, 9/15/45⁽³⁾		600		658
Lehman Brothers Commercial Conduit Mortgage Trust 07-C3, A4 6.133%, 7/15/44⁽³⁾		500		544
Merrill Lynch Mortgage Investors, Inc. 98-C1, C 6.750%, 11/15/26⁽³⁾		1,260		1,315
Merrill Lynch Mortgage Trust 06-C1, AM 5.809%, 5/12/39⁽³⁾		715		738
Merrill Lynch-Countrywide Commercial Mortgage Trust 06-4, A3 5.172%, 12/12/49⁽³⁾		650		700
Morgan Stanley Capital I
05-HQ5, A3 5.007%, 1/14/42		41		41
06-IQ12, A4 5.332%, 12/15/43		1,300		1,453


	PAR VALUE		VALUE

Non-Agency—(continued)
07-IQ14, A4 5.692%, 4/15/49⁽³⁾	$	820	$	868
Residential Accredit Loans, Inc. 04-QS16, 1A5 5.500%, 12/25/34		1,321		1,292
Timberstar Trust 06-1A, C 144A 5.884%, 10/15/36⁽⁴⁾		1,000		1,020
Wachovia Bank Commercial Mortgage Trust
04-C12, A4 5.495%, 7/15/41⁽³⁾		450		483
07-C30, A5 5.342%, 12/15/43		410		432
05-C21, D 5.378%, 10/15/44⁽³⁾		600		448
06-C29, A4 5.308%, 11/15/48		1,000		1,096
07-C33, A4 6.096%, 2/15/51⁽³⁾		550		596
Washington Mutual Commercial Mortgage Securities Trust 06-SL, A, 144A 5.430%, 11/23/43⁽³⁾⁽⁴⁾		713		694
Wells Fargo Mortgage Backed Securities Trust 07-16, 1A7 6.000%, 12/28/37		431		399

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $30,609)				33,581


ASSET-BACKED SECURITIES—2.3%
AmeriCredit Automobile Receivables Trust
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		300		299
11-5, E 6.760%, 3/8/19		600		602
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		622		609
Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33⁽³⁾		572		609
Conseco Financial Corp. 01-3, A4 7.600%, 4/15/26⁽³⁾		700		650
Countrywide Asset-Backed Certificates 04-13, AF4 4.583%, 1/25/33⁽³⁾		481		466
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		466		435
Harley-Davidson Motorcycle Trust 07-2, C 5.410%, 8/15/15		565		569
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		429		440
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		969		899
Popular ABS Mortgage Pass-Through-Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		314		306


	PAR VALUE			VALUE

Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾	$	409		$	412

TOTAL ASSET-BACKED SECURITIES (Identified Cost $6,134)					6,296


CORPORATE BONDS AND NOTES—53.2%

Consumer Discretionary—8.2%
American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17⁽⁴⁾		315			343
Arcos Dorados B.V. 144A 7.500%, 10/1/19⁽⁴⁾		175			193
Boyd Gaming Corp. 9.125%, 12/1/18		215			205
Caesar’s Entertainment Operating Co., Inc.
11.250%, 6/1/17		425			453
12.750%, 4/15/18		90			72
Cengage Learning Acquisitions, Inc. 144A 10.500%, 1/15/15⁽⁴⁾		400			289
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽⁴⁾		170			181
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. 144A 8.000%, 6/15/19⁽⁴⁾		500			460
CityCenter Holdings LLC / CityCenter Finance Corp. 144A 7.625%, 1/15/16⁽⁴⁾		189			195
Clear Channel Communications, Inc. 9.000%, 3/1/21		500			424
CSC Holdings LLC 144A 6.750%, 11/15/21⁽⁴⁾		650			687
Dana Holding Corp. 6.500%, 2/15/19		426			432
DISH DBS Corp. 7.125%, 2/1/16		600			649
Gap, Inc. (The) 5.950%, 4/12/21		300			286
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽⁴⁾		200	^CAD		198
HOA Restaurant Group LLC / HOA Finance Corp. 144A 11.250%, 4/1/17⁽⁴⁾		250			234
Host Hotels & Resorts LP 144A 6.000%, 10/1/21⁽⁴⁾		1,100			1,130
Hyatt Hotels Corp.
144A 5.750%, 8/15/15⁽⁴⁾		100			107
5.375%, 8/15/21		500			511
International Game Technology 7.500%, 6/15/19		580			668
inVentiv Health, Inc. 144A 10.000%, 8/15/18⁽⁴⁾		400			368
Isle of Capri Casinos, Inc. 7.000%, 3/1/14		400			376
Landry’s Acquisition Co. 144A 11.625%, 12/1/15⁽⁴⁾		65			69
Landry’s Holdings, Inc. 144A 11.500%, 6/1/14⁽⁴⁾		275			271
Landry’s Restaurants, Inc. 11.625%, 12/1/15		245			259
Limited Brands, Inc. 6.900%, 7/15/17		215			233
Marina District Finance Co., Inc. 9.500%, 10/15/15		325			306


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
Mediacom LLC/Mediacom Capital Corp. 9.125%, 8/15/19	$	750	$	800
MGM Resorts International, Inc.
7.500%, 6/1/16		525		505
7.625%, 1/15/17		400		383
Mobile Mini, Inc. 6.875%, 5/1/15		350		354
NCL Corp. Ltd. 11.750%, 11/15/16		500		577
Needle Merger Sub Corp. 144A 8.125%, 3/15/19⁽⁴⁾		500		479
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		150		134
Penn National Gaming, Inc. 8.750%, 8/15/19		700		765
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		650		629
Polymer Group, Inc. 144A 7.750%, 2/1/19⁽⁴⁾		92		96
Production Resource Group, Inc. 144A 8.875%, 5/1/19⁽⁴⁾		250		230
QVC, Inc. 144A 7.500%, 10/1/19⁽⁴⁾		1,070		1,153
River Rock Entertainment Authority/The 9.000%, 11/1/18		240		192
Royal Caribbean Cruises Ltd.
6.875%, 12/1/13		1,250		1,325
7.250%, 6/15/16		375		405
Scientific Games International, Inc. 9.250%, 6/15/19		170		181
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International LLC 144A 3.046%, 3/15/14⁽³⁾⁽⁴⁾		75		71
Seneca Gaming Corp. 144A 8.250%, 12/1/18⁽⁴⁾		70		69
Starwood Hotels & Resorts Worldwide, Inc. 7.150%, 12/1/19		750		862
Time Warner Cable, Inc. 4.000%, 9/1/21		1,000		1,011
Toys “R” Us Property Co. II LLC 8.500%, 12/1/17		600		624
TRW Automotive, Inc. 144A 8.875%, 12/1/17⁽⁴⁾		140		153
United Rentals North America, Inc. 10.875%, 6/15/16		198		221
Univision Communications, Inc. 144A 7.875%, 11/1/20⁽⁴⁾		125		128
Videotron Ltee
6.375%, 12/15/15		180		184
9.125%, 4/15/18		82		91
Wyndham Worldwide Corp. 7.375%, 3/1/20		590		674


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 7.875%, 11/1/17	$	450	$	496

				22,391


Consumer Staples—0.8%
American Achievement Corp. 144A 10.875%, 4/15/16⁽⁴⁾		365		283
Bumble Bee Acquisition Corp. 144A 9.000%, 12/15/17⁽⁴⁾		71		72
Bunge Ltd. Finance Corp. 8.500%, 6/15/19		250		304
Cencosud SA 144A 5.500%, 1/20/21⁽⁴⁾		400		410
Constellation Brands, Inc. 8.375%, 12/15/14		165		186
Michael Foods, Inc. 9.750%, 7/15/18		275		291
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer 144A 9.000%, 4/15/19⁽⁴⁾		115		110
Rite Aid Corp. 8.000%, 8/15/20		120		133
Yankee Candle Co., Inc. Series B, 8.500%, 2/15/15		250		254

				2,043


Energy—7.5%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		475		470
Antero Resources Finance Corp. 9.375%, 12/1/17		250		271
Bill Barrett Corp. 7.625%, 10/1/19		650		682
Breitburn Energy Partners LP / Breitburn Finance Corp. 8.625%, 10/15/20		240		252
Calumet Specialty Products Partners LP / Calumet Finance Corp. 144A 9.375%, 5/1/19⁽⁴⁾		213		208
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		686		696
Coffeyville Resources Inc. LLC / Coffeyville Finance, Inc., 144A 10.875%, 4/1/17⁽⁴⁾		675		759
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		110		112
Energy Partners Ltd. 8.250%, 2/15/18		500		477
Energy XXI Gulf Coast, Inc. 9.250%, 12/15/17		500		545
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		750		664
Frontier Oil Corp. 6.875%, 11/15/18		210		216
Gazprom International SA 144A 7.201%, 2/1/20⁽⁴⁾		454		480
Gazprom OAO (Gaz Capital SA)
144A 6.212%, 11/22/16⁽⁴⁾		935		968
144A 8.146%, 4/11/18⁽⁴⁾		100		113


	PAR VALUE		VALUE

Energy—(continued)
144A 6.510%, 3/7/22⁽⁴⁾	$	315	$	320
Helix Energy Solutions Group, Inc. 144A 9.500%, 1/15/16⁽⁴⁾		200		209
Hercules Offshore, Inc. 144A 10.500%, 10/15/17⁽⁴⁾		640		626
HollyFrontier Corp. 9.875%, 6/15/17		88		98
Linn Energy LLC / Linn Energy Finance Corp. 144A 6.500%, 5/15/19⁽⁴⁾		512		511
Lukoil International Finance BV
144A 7.250%, 11/5/19⁽⁴⁾		525		542
144A 6.125%, 11/9/20^(4)(11)		500		490
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		550		495
OGX Petroleo e Gas Participacoes SA 144A 8.500%, 6/1/18⁽⁴⁾		800		792
Petrohawk Energy Corp. 10.500%, 8/1/14		475		531
Petroleos de Venezuela SA 5.250%, 4/12/17		1,450		935
Petroleos Mexicanos
6.000%, 3/5/20		270		300
5.500%, 1/21/21		550		597
Petroplus Finance Ltd. 144A 6.750%, 5/1/14⁽⁴⁾		535		326
Petropower I Funding Trust 144A 7.360%, 2/15/14⁽⁴⁾⁽⁶⁾		300		302
Pioneer Drilling Co.
9.875%, 3/15/18		110		116
144A 9.875%, 3/15/18⁽⁴⁾		120		126
Pride International, Inc. 8.500%, 6/15/19		330		409
QEP Resources, Inc. 6.875%, 3/1/21		480		520
SEACOR Holdings, Inc. 7.375%, 10/1/19		600		633
SESI LLC 6.375%, 5/1/19		650		665
Swift Energy Co. 8.875%, 1/15/20		500		527
Tesoro Corp. 6.500%, 6/1/17		680		700
TNK-BP Finance SA
144A 7.500%, 3/13/13⁽⁴⁾		325		340
144A 7.250%, 2/2/20⁽⁴⁾		100		103
Transocean, Inc. 6.375%, 12/15/21		280		297
Venoco, Inc.
11.500%, 10/1/17		600		609
8.875%, 2/15/19		225		204
Weatherford International Ltd. 9.625%, 3/1/19		318		411
Western Refining, Inc. 144A 11.250%, 6/15/17⁽⁴⁾		600		685

				20,332


	PAR VALUE		VALUE

Financials—17.9%
ABH Financial Ltd. (Alfa Markets Ltd.) 144A 8.200%, 6/25/12⁽⁴⁾	$	150	$	152
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		560		583
Agile Property Holdings Ltd. 144A 10.000%, 11/14/16⁽⁴⁾		240		215
Alfa Invest Ltd. 144A 9.250%, 6/24/13⁽⁴⁾		350		367
Allstate Corp. 6.125%, 5/15/37⁽³⁾		680		618
Ally Financial, Inc. 8.000%, 3/15/20		650		668
Alta Mesa Holdings / Alta Mesa Finance Services Corp. 9.625%, 10/15/18		775		756
American General (Springleaf) Finance Corp. 5.400%, 12/1/15		750		549
American International Group, Inc. 8.175%, 5/15/58⁽³⁾		650		579
AmSouth Bank N.A. 4.850%, 4/1/13		825		798
Associated Banc Corp. 5.125%, 3/28/16		355		366
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 6.500%, 3/10/21⁽⁴⁾		425		410
Banco Bradesco SA 144A 5.900%, 1/16/21⁽⁴⁾		750		769
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		600		599
Banco do Brasil SA 144A 5.375%, 1/15/21⁽⁴⁾		600		601
Banco Santander SA Unipersonal 144A 3.781%, 10/7/15⁽⁴⁾		200		181
Banco Votorantim SA 144A 7.375%, 1/21/20⁽⁴⁾		550		586
Bank of America Corp.
5.420%, 3/15/17		700		632
Capital Trust XI 6.625%, 5/23/36⁽⁹⁾		525		464
Barclays Bank plc
144A 6.050%, 12/4/17⁽⁴⁾		435		393
144A 5.926%, 9/29/49^(3)(4)(8)(9)		600		498
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽⁴⁾		385		407
Brandywine Operating Partnership LP 7.500%, 5/15/15		500		548
Capital One Capital IV 8.875%, 5/15/40⁽⁹⁾		1,000		1,036
Chubb Corp. 6.375%, 3/29/67⁽³⁾		680		672
CIT Group, Inc. 144A 7.000%, 5/2/16⁽⁴⁾		1,500		1,502
Citigroup, Inc.
4.875%, 5/7/15		845		835
5.500%, 2/15/17		255		257
City National Corp. 5.250%, 9/15/20		475		471


	PAR VALUE		VALUE

Financials—(continued)
Discover Bank
8.700%, 11/18/19	$	250	$	285
7.000%, 4/15/20		700		732
DuPont Fabros Technology LP 8.500%, 12/15/17		1,325		1,424
Equity One, Inc. 6.250%, 12/15/14		375		394
Fidelity National Financial Sevices, Inc. 6.600%, 5/15/17		750		795
Fifth Third Capital Trust IV 6.500%, 4/15/37⁽³⁾		800		784
First Niagara Financial Group, Inc. 6.750%, 3/19/20		500		526
First Tennessee Bank N.A. 5.050%, 1/15/15		1,325		1,327
Ford Motor Credit Co., LLC
8.000%, 6/1/14		400		436
8.700%, 10/1/14		125		140
6.625%, 8/15/17		255		278
8.125%, 1/15/20		650		767
Genworth Financial, Inc.
5.750%, 6/15/14		500		494
6.515%, 5/22/18		700		642
Glen Meadow Pass-Through-Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾		970		691
Hana Bank 144A 4.500%, 10/30/15⁽⁴⁾		400		410
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		115		92
HSBC Bank plc 144A 3.100%, 5/24/16⁽⁴⁾		325		325
Huntington Bancshares, Inc. 7.000%, 12/15/20		500		566
ICICI Bank Ltd.
144A 5.750%, 11/16/20⁽⁴⁾		450		414
144A 6.375%, 4/30/22⁽³⁾⁽⁴⁾		375		326
ING Bank NV 144A 5.000%, 6/9/21⁽⁴⁾		600		581
International Lease Finance Corp.
6.375%, 3/25/13		625		622
5.650%, 6/1/14		600		576
6.250%, 5/15/19		399		369
Jefferies Group, Inc. 8.500%, 7/15/19		500		508
JPMorgan Chase Capital XXVII Series AA 7.000%, 11/1/39		500		503
JSC Severstal (Steel Capital SA) 144A 6.250%, 7/26/16⁽⁴⁾		445		415
Kazkommerts Bank International BV
RegS 8.500%, 4/16/13⁽⁵⁾		500		493
RegS 8.000%, 11/3/15⁽⁵⁾		250		225
Korea Finance Corp. 4.625%, 11/16/21		700		694
Lincoln National Corp. 6.050%, 4/20/67⁽³⁾		300		250


	PAR VALUE			VALUE
Financials—(continued)
Lloyds Banking Group Capital No.1 plc 144A 7.875%, 11/1/20⁽⁴⁾	$	600		$	455
Lloyds TSB Bank plc 144A 6.500%, 9/14/20⁽⁴⁾		750			627
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽⁴⁾		150			139
Macquarie Group Ltd. 144A 7.625%, 8/13/19⁽⁴⁾		500			513
Morgan Stanley 144A 10.090%, 5/3/17⁽⁴⁾		1,000	^BRL		485
National Retail Properties, Inc. 5.500%, 7/15/21		600			601
ORIX Corp. 5.000%, 1/12/16		343			360
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. 9.250%, 4/1/15		175			180
ProLogis LP 7.625%, 8/15/14		500			548
Prudential Financial, Inc. 8.875%, 6/15/38⁽³⁾⁽⁹⁾		450			515
Realogy Corp. 144A 7.875%, 2/15/19⁽⁴⁾		500			438
Regions Financial Corp.
7.750%, 11/10/14		200			201
RegS 5.750%, 6/15/15⁽⁵⁾		210			201
Resona Bank Ltd. 144A 5.850%, 9/29/49^(3)(4)(8)(9)		750			745
Royal Bank of Scotland Group plc (The)
6.400%, 10/21/19		370			346
7.648%, 8/29/49^(3)(8)(9)		550			377
Royal Bank of Scotland plc (The)
4.875%, 3/16/15		285			273
3.950%, 9/21/15		205			192
5.625%, 8/24/20		750			719
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 9.000%, 6/11/14⁽⁴⁾		100			108
144A 6.299%, 5/15/17⁽⁴⁾		380			380
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽⁴⁾		600			545
SLM Corp.
6.250%, 1/25/16		500			486
8.450%, 6/15/18		1,050			1,082
Societe Generale 144A 5.922%, 4/29/49^{(3)(4)(8)(10)}		650			396
Sovereign Bank 8.750%, 5/30/18		400			446
Spansion LLC 7.875%, 11/15/17		350			320
SunTrust Bank 5.400%, 4/1/20		250			255
Vanguard Health Holding Co. II, LLC / Vanguard Holding Co. II, Inc. 7.750%, 2/1/19		466			450
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC 144A 7.748%, 2/2/21⁽⁴⁾		400			344
Vnesheconombank Via VEB Finance Ltd. 144A 6.800%, 11/22/25⁽⁴⁾		500			485


	PAR VALUE		VALUE
Financials—(continued)
Webster Financial Corp. 5.125%, 4/15/14	$	205	$	202
Willis North America, Inc. 7.000%, 9/29/19		500		556
XLIT Ltd. 5.750%, 10/1/21		500		528
Yankee Candle Co. Holdings LLC / Yankee Finance, Inc. PIK Interest Capitalization 10.250%, 2/15/16		440		387
Zions Bancorp
5.650%, 5/15/14		225		229
7.750%, 9/23/14		225		239

				48,949


Health Care—0.8%
Healthsouth Corp. 7.250%, 10/1/18		410		409
Mylan, Inc. 144A 7.625%, 7/15/17⁽⁴⁾		113		124
Omnicare, Inc. 7.750%, 6/1/20		240		259
Patheon, Inc. 144A 8.625%, 4/15/17⁽⁴⁾		110		88
Rotech Healthcare, Inc.
10.750%, 10/15/15		75		74
10.500%, 3/15/18		550		426
Select Medical Corp. 7.625%, 2/1/15		225		213
Symbion, Inc. 8.000%, 6/15/16		589		547
U.S. Oncology, Inc. 0.000%, 2/16/49⁽⁷⁾		300		0
Universal Health Services, Inc. 7.000%, 10/1/18		140		146

				2,286


Industrials—6.8%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		600		597
America West Airlines 00-1G 8.057%, 7/2/20		485		476
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		695		695
99-1, A1 7.200%, 1/2/19		766		766
AWAS Aviation Capital Ltd.,7% 144A 7.000%, 10/17/16⁽⁴⁾		1,181		1,187
CHC Helicopter S,A. 144A 9.250%, 10/15/20⁽⁴⁾		325		294
Continental Airlines, Inc. Pass-Through-Trust
97-4, A, 6.900%, 1/2/18		503		524
01-1, A1, 6.703%, 6/15/21		241		245
Continental Airlines, Inc. Pass-Through-Trust, 6.65% 98-1, A, 6.648%, 9/15/17		327		334
Delta Air Lines, Inc. Pass-Through-Trust 02-1, G1 6.718%, 1/2/23		980		965
Deluxe Corp. 144A 7.000%, 3/15/19⁽⁴⁾		510		498
Dematic SA 144A 8.750%, 5/1/16⁽⁴⁾		525		521


	PAR VALUE		VALUE

Industrials—(continued)
General Cable Corp. 7.125%, 4/1/17	$	500	$	501
Iron Mountain, Inc. 7.750%, 10/1/19		650		690
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		625		644
Liberty Tire Recycling 144A 11.000%, 10/1/16⁽⁴⁾		170		170
Marquette Transportation Co. / Marquette Transportation Finance Corp. 10.875%, 1/15/17		125		127
McJunkin Red Man Corp. 9.500%, 12/15/16		240		245
Moog, Inc. 7.250%, 6/15/18		100		106
Northwest Airlines Pass Through Trust, 6.26% 02-1, G2 6.264%, 11/20/21		1,040		1,042
Oshkosh Corp. 8.250%, 3/1/17		600		627
Owens Corning, Inc. 6.500%, 12/1/16		595		649
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC 144A 7.750%, 10/15/16⁽⁴⁾		1,410		1,491
Steelcase, Inc. 6.375%, 2/15/21		675		717
Teekay Corp. 8.500%, 1/15/20		300		290
Thermadyne Holdings Corp. 9.000%, 12/15/17		500		520
U.S. Airways Pass-Through-Trust
99-1A 8.360%, 1/20/19		312		308
01-1G 7.076%, 3/20/21		536		503
11-1 A 7.125%, 10/22/23		725		689
UAL Pass-Through-Trust
09-2A 9.750%, 1/15/17		356		384
07-01 6.636%, 7/2/22		1,041		1,041
Voto-Votorantim Ltd. 144A 6.750%, 4/5/21⁽⁴⁾		750		801

				18,647


Information Technology—3.0%
Amkor Technology, Inc. 6.625%, 6/1/21		900		871
Audatex North America, Inc. 144A 6.750%, 6/15/18⁽⁴⁾		325		330
Broadridge Financial Solutions, Inc. 6.125%, 6/1/17		525		550
CDW LLC / CDW Finance Corp. 8.500%, 4/1/19		575		582
CommScope, Inc. 144A 8.250%, 1/15/19⁽⁴⁾		520		523
Crown Castle Holdings GS V LLC / Crown Castle GS III Corp. 144A 7.750%, 5/1/17⁽⁴⁾		400		431
eAccess Ltd. 144A 8.250%, 4/1/18⁽⁴⁾		400		384
Earthlink, Inc. 8.875%, 5/15/19		225		208
Equinix, Inc. 7.000%, 7/15/21		240		253
Freescale Semiconductor, Inc. 10.125%, 12/15/16		350		370
iGate Corp. 144A 9.000%, 5/1/16⁽⁴⁾		600		623


	PAR VALUE		VALUE

Information Technology—(continued)
Jabil Circuit, Inc. 8.250%, 3/15/18	$	1,100	$	1,273
Seagate HDD Cayman 144A 7.750%, 12/15/18⁽⁴⁾		600		641
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽⁴⁾		500		348
SunGard Data Systems, Inc. 7.375%, 11/15/18		850		874

				8,261


Materials—4.1%
AbitibiBowater, Inc. 144A 10.250%, 10/15/18(4)		366		405
APERAM 144A 7.375%, 4/1/16⁽⁴⁾		250		215
Berry Plastics Corp.
8.250%, 11/15/15		400		428
9.500%, 5/15/18		435		439
Braskem Finance Ltd. 144A 5.750%, 4/15/21⁽⁴⁾		500		496
Building Materials Corp. of America 144A 6.750%, 5/1/21⁽⁴⁾		46		49
Carpenter Technology Corp. 5.200%, 7/15/21		600		583
Catalyst Paper Corp. 7.375%, 3/1/14⁽¹²⁾		645		34
Cemex Finance LLC 144A 9.500%, 12/14/16⁽⁴⁾		245		216
Commercial Metals Co. 7.350%, 8/15/18		730		690
Edgen Murray Corp. 12.250%, 1/15/15		650		588
FMG Resources Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		650		665
Fosun International Ltd. 144A 7.500%, 5/12/16⁽⁴⁾		530		466
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		250		264
Huntsman International LLC 8.625%, 3/15/21		125		133
Ineos Group Holdings plc 144A 8.500%, 2/15/16⁽⁴⁾		1,550		1,240
JMC Steel Group, Inc. 144A 8.250%, 3/15/18⁽⁴⁾		195		191
Nortek, Inc. 144A 8.500%, 4/15/21⁽⁴⁾		500		425
Nova Chemicals Corp. 3.784%, 11/15/13⁽³⁾		1,000		990
Owens-Brockway Glass Container, Inc. 7.375%, 5/15/16		475		523
Plastipak Holdings, Inc. 144A 8.500%, 12/15/15⁽⁴⁾		500		513
Sealed Air Corp. 144A 8.375%, 9/15/21⁽⁴⁾		270		300
Severstal OAO Via Steel Capital SA 144A 6.700%, 10/25/17(4)⁽¹¹⁾		425		401
Steel Dynamics, Inc. 7.375%, 11/1/12		225		235
Vedanta Resources plc 144A 9.500%, 7/18/18⁽⁴⁾		375		326
Verso Paper Holdings LLC / Verso Paper, Inc. Series B, 11.375%, 8/1/16		750		311

				11,126


Telecommunication Services—2.8%
Axtel SAB de C.V. 144A 9.000%, 9/22/19⁽⁴⁾		200		154


	PAR VALUE		VALUE

Telecommunication Services—(continued)
Cincinnati Bell, Inc. 8.250%, 10/15/17	$	180	$	182
Clearwire Communications LLC / Clearwire Finance, Inc.
144A 12.000%, 12/1/15⁽⁴⁾		100		96
144A 12.000%, 12/1/15⁽⁴⁾		100		96
Cricket Communications, Inc. 7.750%, 10/15/20		262		230
Crown Castle Towers LLC 144A 4.883%, 8/15/20⁽⁴⁾		500		511
France Telecom S.A. 4.125%, 9/14/21		800		806
Frontier Communications Corp.
7.875%, 4/15/15		325		331
8.250%, 4/15/17		250		257
8.125%, 10/1/18		275		279
ITC DeltaCom, Inc. 10.500%, 4/1/16		400		411
Nextel Communications, Inc.
Series E 6.875%, 10/31/13		175		175
Series D 7.375%, 8/1/15		650		598
OJSC Vimpel Communications (VIP Finance Ireland Ltd.) 144A 6.493%, 2/2/16⁽⁴⁾		200		189
Qwest Corp.
8.375%, 5/1/16		200		229
6.500%, 6/1/17		665		727
Telemar Norte Leste SA 144A 5.500%, 10/23/20⁽⁴⁾		305		300
Virgin Media Finance plc Series 1, 9.500%, 8/15/16		910		1,026
West Corp.
8.625%, 10/1/18		150		152
7.875%, 1/15/19		480		479
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		350		315

				7,543


Utilities—1.3%
AmeriGas Partners LP / AmeriGas Finance Corp. 6.250%, 8/20/19		535		535
Calpine Corp. 144A 7.875%, 1/15/23⁽⁴⁾		1,250		1,350
Centrais Eletricas Brasileiras SA 144A 6.875%, 7/30/19⁽⁴⁾		100		113
Israel Electric Corp., Ltd. 144A 7.250%, 1/15/19⁽⁴⁾		200		206
Mega Advance Investments Ltd. 144A 5.000%, 5/12/21⁽⁴⁾		500		508
Midwest Generation LLC Series B 8.560%, 1/2/16		82		83
NRG Energy, Inc.


	PAR VALUE		VALUE

Utilities—(continued)
7.625%, 1/15/18	$	105	$	106
144A 7.625%, 5/15/19⁽⁴⁾		500		492
Suburban Propane Partners LP / Suburban Energy Finance Corp. 7.375%, 3/15/20		180		188
Texas Competitive Electric Holdings Co. LLC Series A 10.250%, 11/1/15		200		72

				3,653

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $145,269)				145,231


CONVERTIBLE BONDS—0.2%

Transocean, Inc. Series C, 1.500%, 12/15/37		500		491

TOTAL CONVERTIBLE BONDS (Identified Cost $478)				491


LOAN AGREEMENTS⁽³⁾—14.5%

Consumer Discretionary—4.8%
Advantage Sales & Marketing, Inc. Second Lien 9.250%, 6/18/18		385		379
Affinity Gaming LLC (Herbest Gaming LLC) 10.000%, 12/31/15		869		874
AMF Bowling Worldwide, Inc. Tranche B, 2.796%, 6/7/13		464		393
Bourland & Leverich Supply Co. LLC 11.000%, 8/19/15		345		334
Brickman Group Holdings, Inc. Tranche B, 7.250%, 10/14/16		526		528
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-2, 3.356%, 1/28/15		346		302
Tranche B-4, 9.500%, 10/31/16		211		210
Caesars Linq LLC/Caesars Octavius LLC Tranche B, 9.250%, 4/25/17		300		287
Cengage Learning Acquisitions, Inc. 2.550%, 7/3/14		778		665
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		249		236
CityCenter Holdings LLC First Lien 7.500%, 1/21/15		53		52
Clear Channel Communications, Inc. Tranche B, 3.946%, 1/29/16		241		179
Cumulus Media Holdings, Inc.


	PAR VALUE			VALUE

Consumer Discretionary—(continued)
First Lien 0.000%, 9/16/18	$	400		$	393
Second Lien 7.500%, 3/18/19		500			489
Entercom Radio LLC 6.750%, 11/23/18		540			540
Focus Brands, Inc. 5.583%, 11/5/16		106			106
Fram Group Holdings, Inc. /Prestone Holdings, Inc. Second Lien 10.500%, 1/29/18		500			484
Gateway Casinos & Entertainment Ltd. Tranche B, 6.000%, 5/12/16		493	^CAD		469
Getty Images, Inc. 5.250%, 11/7/16		324			325
Guitar Center, Inc. - Extended Term Loan 5.830%, 4/9/17		250			220
HHI Holdings LLC 7.375%, 3/21/17		248			246
Hubbard Radio LLC Second Lien 8.750%, 4/30/18		200			199
Intelsat Jackson Holding SA (Intelsat Jackson Holding Ltd.) 3.391%, 2/1/14		575			549
Kalispel Tribal Economic Authority 7.500%, 2/25/17		487			453
Landry’s Restaurants, Inc.
0.000%, 12/1/14		67			66
6.250%, 12/1/14		172			172
Michaels Stores, Inc. Tranche B-2, 5.031%, 7/31/16		509			502
Nielsen Finance LLC Tranche B, 4.026%, 5/2/16		203			199
Ozburn-Hessey Holding Co., LLC 8.250%, 4/8/16		349			309
Radio One, Inc. 7.500%, 3/31/16		223			208
Revel AC, Inc. Tranche B, 9.000%, 2/17/17		258			237
Sinclair Television Group, Inc. Tranche B 4.000%, 10/28/16		134			134
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		322			311
SRAM LLC Second Lien 8.500%, 12/7/18		229			231
Stackpole Powertrain International ULC 7.500%, 8/2/17		499			491
Transtar Industries, Inc. Tranche 2, 10.250%, 12/21/17		275			275
Visant Corp. (Jostens) Tranche B, 5.750%, 12/22/16		706			664
Vision Solutions, Inc. 6.000%, 7/23/16		448			443

					13,154


Consumer Staples—0.5%
Del Monte Foods Co. 4.500%, 3/8/18		113			108


	PAR VALUE		VALUE

Consumer Staples—(continued)
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17	$	442	$	438
Spectrum Brands Holdings, Inc. 5.417%, 6/17/16		541		541
U.S. Foodservice, Inc. 5.750%, 3/31/17		248		239

				1,326


Energy—0.1%
Hercules Offshore LLC 7.500%, 7/11/13		279		273


Financials—0.6%
Asurion LLC (Asurion Corp.) Second Lien 9.000%, 5/24/19		400		395
iStar Financial, Inc. Tranche A-2 7.000%, 6/30/14		465		451
Ocwen Financial Corp. 7.000%, 9/1/16		238		234
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		420		367
Walter Investments, Inc. 7.750%, 6/30/16		321		321

				1,768


Health Care—1.5%
Alkermes, Inc. 6.750%, 9/16/17		500		498
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) 5.500%, 2/10/17		411		394
Ardent Medical Services, Inc. 6.500%, 9/15/15		491		488
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16		295		283
Kinetic Concepts, Inc. 7.000%, 5/4/18		420		424
Medical Card Systems, Inc. 12.000%, 9/17/15		352		293
National Specialty Hospitals, Inc.
Tranche DD 0.750%, 2/3/17		74		72
8.250%, 2/3/17		423		411
Res-Care, Inc. Tranche B, 7.250%, 12/22/16		495		473
Sheridan Healthcare, Inc. Tranche B, 4.046%, 6/15/14		99		95
Smile Brands, Inc. Tranche B, 7.250%, 12/21/17		371		371
Surgery Center Holdings, Inc. 6.500%, 2/6/17		401		374

				4,176


Industrials—1.6%
Alliance Laundry Holdings LLC 6.250%, 9/30/16		554		554
API Technologies Corp. 7.750%, 6/27/16		414		395
Brock Holdings Ill, Inc. Second Lien 10.000%, 3/16/18		285		263


	PAR VALUE		VALUE

Industrials—(continued)
CHG Healthcare Services, Inc. First Lien 5.500%, 10/7/16	$	414	$	411
Goodman Global, Inc. Second Lien 9.000%, 10/30/17		127		128
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B, 2.843%, 6/30/14		973		827
Holdings Gaming Borrower LP Tranche B-1, 12.000%, 6/30/15		159		166
Husky Injection Molding System (Yukon Acquisition, Inc.) 6.500%, 6/29/18		597		597
Intelligrated, Inc. 7.500%, 2/17/17		475		473
Protection One, Inc. 6.000%, 6/4/16		199		197
Vertrue LLC 5.810%, 8/16/14		169		54
Zuffa LLC 7.500%, 6/19/15		208		207

				4,272


Information Technology—3.1%
Applied Systems, Inc. Second Lien 9.250%, 6/8/17		333		324
Avaya, Inc.
Tranche B-1 3.256%, 10/24/14		243		233
Tranche B-3 5.006%, 10/26/17		488		446
AVG Technologies N.V. 7.500%, 3/15/16		425		399
DataTel, Inc. 0.000%, 12/13/18		540		541
DynCorp International LLC 6.500%, 7/7/16		552		543
Fibertech Networks LLC (Firefox Merger Sub LLC) 6.750%, 11/30/16		164		164
First Data Corp.
Tranche B-1, 3.044%, 9/24/14		352		320
Tranche B-3, 3.044%, 9/24/14		562		511
Freescale Semiconductor, Inc. 4.520%, 12/1/16		389		373
ILC Industries LLC (Data Device Corp.) 7.250%, 12/23/16		329		320
Infor Enterprise Solutions Holdings, Inc. (Magellan Holdings, Inc.)
6.546%, 3/2/14		301		245
Tranche DD, 6.546%, 3/2/14		174		142
Instant Web, Inc.
3.671%, 8/7/14		403		381
Tranche DD, 3.671%, 8/7/14		42		40
Ipreo Holdings LLC 8.000%, 8/5/17		499		487
Lawson Software, Inc. (SoftBrands, Inc.) 6.750%, 7/5/17		399		390
Novell, Inc. (Attachmate Corp.) 6.500%, 4/27/17		543		533


	PAR VALUE		VALUE

Information Technology—(continued)
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17	$	249	$	227
SonicWALL, Inc. 8.375%, 1/23/16		268		269
Sorenson Communications, Inc. Tranche C 6.000%, 8/16/13		221		214
Spansion LLC 4.750%, 2/9/15		298		295
SRA International, Inc. 6.500%, 7/20/18		579		548
Transaction Network Services, Inc. 6.000%, 11/18/15		210		210
Wall Street Systems, Inc. Second Lien 9.000%, 6/20/18		335		322

				8,477


Materials—1.0%
Anchor Glass Container Corp. Second Lien 10.000%, 9/2/16		760		758
AZ Chem US. Inc. 0.000%, 12/22/17		390		389
CPG International, Inc. Tranche B, 6.000%, 2/18/17		263		246
General Chemical Corp. Tranche B, 5.000%, 10/6/15		319		318
New Sunward Holding BV Tranche B, 4.778%, 2/14/14		252		208
NewPage Corp. 8.000%, 3/8/13		350		353
Norit Holding B.V. 6.750%, 7/10/17		339		343

				2,615


Telecommunication Services—1.2%
Level 3 Communications, Inc. Tranche A, 2.648%, 3/13/14		420		403
Presidio, Inc. 7.250%, 3/31/17		231		230
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) 5.250%, 5/31/17		438		431
Sidera Networks, Inc. (RCN Corp.) 5.500%, 8/26/16		532		522
U.S. TelePacific Corp. 5.750%, 2/23/17		915		851
Univision Communications, Inc. 4.546%, 3/31/17		948		847

				3,284

Utilities—0.1%
Texas Competitive Electric Holdings Co., LLC Tranche 2014, 3.776%, 10/10/14		377		265


TOTAL LOAN AGREEMENTS (Identified Cost $40,516)				39,610


	SHARES			VALUE

PREFERRED STOCK—1.5%

Financials—1.3%
Ally Financial, Inc. Series A, 8.50%		20,000		$	368
Ally Financial, Inc. Series G, 144A 7.00%⁽⁴⁾		321			230
Banco Bilbao Vizcaya Argentaria S.A. International Preferred S.A. Unipersonal 5.92%⁽³⁾		675			447
Banco do Brasil S.A. 144A 8.50%⁽³⁾⁽⁴⁾		600			696
Bank of America Corp. Series K, 8.00%⁽³⁾		375			336
Citigroup Capital XIII 7.875%,		10,650			278
FNMA Series S, 8.250%		38,000			50
JPMorgan Chase & Co. Series 1, 7.90%⁽³⁾		247			263
PNC Financial Services Group, Inc. Series K, 8.25%⁽³⁾		350			358
UOB Cayman Ltd. 144A 5.80%⁽³⁾⁽⁴⁾		500			499

					3,525

Industrials—0.2%
Seaspan Corp. Series C, 9.50%		20,000			546


TOTAL PREFERRED STOCK (Identified Cost $4,623)					4,071

COMMON STOCKS—0.0%

Consumer Discretionary—0.0%
Mark IV Industries⁽²⁾		117			5


TOTAL COMMON STOCKS (Identified Cost $1)					5

TOTAL LONG TERM INVESTMENTS—97.5% (Identified cost $263,673)					266,352

SHORT-TERM INVESTMENTS—1.4%

Money Market Mutual Funds—1.4%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		3,794,216			3,794


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $3,794)					3,794


TOTAL INVESTMENTS—98.9% (Identified Cost $267,467)					270,146	⁽¹⁾

Other assets and liabilities, net—1.1%					2,872

NET ASSETS—100.0%			$		273,018

Abbreviations:

ADS	American Depositary Share

FNMA	Federal National Mortgage Association (“Fannie Mae”).

OJSC	Open Joint Stock Company (Russia)

PIK	Payment-in-Kind Security

plc	Public Limited Co.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 11 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2011.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to a value of $62,908 or 23.0% of net assets.

⁽⁵⁾	Regulation S Security. Security is offered ans sold outside of the United States.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁸⁾	No contractual maturity date

⁽⁹⁾	Interest payments may be deferred.

⁽¹⁰⁾	Issuer may elect not to pay interest causing the payment to be forfeited and no longer due. The issuer has not invoked this election since the fund purchased this security.

⁽¹¹⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽¹²⁾	Security in default.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PLZ	Polish Zloty

SEK	Swedish Krona

TRY	Turkish Lira

ZAR	South Africa Rand

($ reported in thousands)


Country Weightings †

United States		74%
Brazil		3
United Kingdom		3
Argentina		2
Russia		2
Venezuela		2
Canada		1
Other		13

Total		100%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE

U.S. GOVERNMENT SECURITIES—0.4%

U.S. Treasury Note 0.875%, 12/31/16	$	19,700		$	19,740

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $19,682)					19,740


MUNICIPAL BONDS—0.6%

Connecticut—0.4%
Mashantucket Western Pequot Tribe Taxable Series A, 144A ( NATL Insured) 6.910%, 9/1/12⁽⁴⁾		915			886
State of Connecticut 5.000%, 5/15/22		13,215			16,367

					17,253

Kentucky—0.1%
Commonwealth of Kentucky Taxable 3.165%, 4/1/18		7,100			7,282


Virginia—0.1%
Tobacco Settlement Financing Corp. Taxable Series 07-A1, 6.706%, 6/1/46		4,850			3,043


TOTAL MUNICIPAL BONDS (Identified Cost $28,454)					27,578


FOREIGN GOVERNMENT SECURITIES—10.1%

Bolivarian Republic of Venezuela
8.500%, 10/8/14		22,580			21,141
RegS 5.750%, 2/26/16⁽⁵⁾		31,605			24,889
RegS 7.000%, 12/1/18⁽⁵⁾		3,230			2,297
Commonwealth of Australia
Series 123, 5.750%, 4/15/12		38,342	^A^UD		39,413
Series 118, 6.500%, 5/15/13		14,390	^A^UD		15,347
Commonwealth of Canada 2.000%, 9/1/12		80,828	^C^AD		79,872
Commonwealth of New Zealand Series 413, 6.500%, 4/15/13		44,229	^NZD		36,180
Federative Republic of Brazil
12.500%, 1/5/16		44,484	^BRL		28,142
10.250%, 1/10/28		4,275	^BRL		2,613
Kingdom of Norway Series 470 6.500%, 5/15/13		235,432	^NOK		42,071
Kingdom of Sweden Series 1046, 5.500%, 10/8/12		176,305	^SEK		26,476
Republic of Argentina
Provincia de Neuquen 144A 7.875%, 4/26/21⁽⁴⁾		6,544			6,577
PIK Interest Capitalization 8.280%, 12/31/33		72,653			53,400
Series GDP 4.383%, 12/15/35⁽³⁾		24,420			3,175
Republic of Colombia 12.000%, 10/22/15		9,935,000	^COP		6,599


	PAR VALUE			VALUE

Republic of Indonesia
Series FR-23, 11.000%, 12/15/12	$	26,600,000	^IDR	$	3,113
Series FR-30, 10.750%, 5/15/16		40,550,000	^IDR		5,408
Republic of Lithuania 144A 6.750%, 1/15/15⁽⁴⁾		10,600			11,050
Republic of Poland
Series 0414, 5.750%, 4/25/14		67,160	^PLZ		19,814
3.875%, 7/16/15		12,250			12,462
Republic of South Africa Series R206 7.500%, 1/15/14		82,500	^ZAR		10,500
Republic of Turkey 0.000%, 4/25/12		13,190	^TRY		6,732
Russian Federation RegS 7.500%, 3/31/30⁽³⁾⁽⁵⁾		1,670			1,941
United Mexican States Series M, 6.000%, 6/18/15		193,725	^MXN		14,216

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $479,696)					473,428

MORTGAGE-BACKED SECURITIES—26.1%

Agency—2.6%
FHLMC 6.000%, 8/1/34		1,096			1,216
FNMA
5.500%, 1/1/17		241			262
6.000%, 5/1/17		76			83
5.500%, 8/1/17		31			33
4.500%, 4/1/18		470			504
5.000%, 10/1/19		1,253			1,357
5.500%, 2/1/20		646			703
5.500%, 3/1/20		249			271
5.500%, 3/1/20		475			517
5.500%, 3/1/20		76			82
5.500%, 3/1/20		859			935
5.500%, 4/1/20		733			798
5.000%, 6/1/20		1,923			2,082
6.000%, 12/1/32		138			153
5.500%, 2/1/33		293			320
5.500%, 5/1/34		1,432			1,565
6.000%, 8/1/34		869			969
6.000%, 10/1/34		901			1,001
6.000%, 10/1/34		501			557
5.500%, 11/1/34		1,498			1,637
5.500%, 11/1/34		1,699			1,856
6.000%, 11/1/34		1,339			1,488
5.500%, 12/1/34		771			843
5.500%, 1/1/35		1,536			1,678
6.000%, 1/1/37		1,626			1,794
6.000%, 1/1/37		1,154			1,273


	PAR VALUE		VALUE

Agency—(continued)
5.500%, 7/1/37	$	11	$	12
6.000%, 7/1/37		448		494
6.000%, 12/1/37		1,933		2,131
6.000%, 4/1/38		1,346		1,484
5.500%, 9/1/38		1,562		1,702
5.500%, 12/1/38		1,315		1,433
5.000%, 7/1/40		8,851		9,572
5.000%, 7/1/40		6,801		7,355
5.000%, 8/1/40		34,582		37,377
4.000%, 3/1/41		14,622		15,378
4.500%, 5/1/41		17,906		19,069
GNMA
6.500%, 7/15/31		25		29
6.500%, 8/15/31		56		65
6.500%, 11/15/31		46		54
6.500%, 2/15/32		26		30
6.500%, 4/15/32		87		101
6.500%, 4/15/32		91		106

				120,369


Non-Agency—23.5%

ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		2,574		2,458
American Tower Trust 07-1A, C 144A 5.615%, 4/15/37⁽⁴⁾		3,685		3,885
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽⁴⁾		13,264		13,742
Banc of America Alternative Loan Trust 03-10, 2A1 6.000%, 12/25/33		6,452		6,730
Banc of America Commercial Mortgage, Inc.
05-2, B 5.287%, 7/10/43⁽³⁾		10,141		9,219
05-6, AM 5.366%, 9/10/47⁽³⁾		1,630		1,738
07-1, AMFX 5.482%, 1/15/49⁽³⁾		12,350		11,527
Banc of America Funding Corp.
04-4, 3A1 4.750%, 10/25/19		12,056		12,271
06-5, 4A4 6.000%, 9/25/36		1,193		1,182
Banc of America Mortgage Securities, Inc.
04-11, 2A1 5.750%, 1/25/35		5,546		5,671
05-1, 1A22 5.250%, 2/25/35		2,727		2,703
05-3, 2A2 5.500%, 3/25/35		3,551		3,514
Bear Stearns Commercial Mortgage Securities, Inc.
06-T22, AM 5.704%, 4/12/38⁽³⁾		11,600		12,024


	PAR VALUE		VALUE

Non-Agency—(continued)
06-PW12, AM 5.759%, 9/11/38⁽³⁾	$	9,250	$	9,673
06-PW14, A4 5.201%, 12/11/38		7,400		8,123
06-PW14, AM 5.243%, 12/11/38		10,000		9,840
05-PW10, A4 5.405%, 12/11/40⁽³⁾		1,720		1,894
05-PW10, AM 5.449%, 12/11/40⁽³⁾		11,550		10,955
04-PWR3, A4 4.715%, 2/11/41		6,500		6,800
05-PWR8, A4 4.674%, 6/11/41		7,100		7,638
04-PWR5, A5 4.978%, 7/11/42⁽³⁾		3,925		4,212
07-T28, A4 5.742%, 9/11/42⁽³⁾		3,360		3,866
07-PW18, A4 5.700%, 6/11/50		6,500		7,189
Chase Mortgage Finance Corp. 05-S1, A10 5.500%, 5/25/35		6,045		6,050
Citicorp Mortgage Securities, Inc.
07-1, A1 5.500%, 1/25/22		2,142		2,109
03-11, 2A10 5.500%, 12/25/33		6,905		6,948
04-4, A6 5.500%, 6/25/34		9,568		9,917
Citigroup/Deutsche Bank Commercial Mortgage Trust
05-CD1, A4 5.225%, 7/15/44⁽³⁾		5,000		5,527
05-CD1, AM 5.399%, 7/15/44⁽³⁾		6,410		6,723
07-CD4, A4 5.322%, 12/11/49		8,205		8,705
Commercial Mortgage Pass-Through-Certificates
11-THL, C ,144A 5.163%, 6/29/28⁽⁴⁾		9,000		9,100
01-J2A, A2, 144A 6.096%, 7/16/34⁽⁴⁾		86		86
Countrywide Alternative Loan Trust 06-13T1, A11 6.000%, 5/25/36		5,112		3,324
Countrywide Home Loan Mortgage Pass-Through-Trust
02-35, 1A2 5.000%, 2/25/18		3,789		3,851
03-28, A8 5.500%, 8/25/33		3,509		3,618
04-9, A6 5.250%, 6/25/34		1,685		1,716
05-17, 1A10 5.250%, 9/25/35		3,174		3,147
Credit Suisse First Boston Mortgage Securities Corp.
04-8, 7A1 6.000%, 12/25/34		12,749		12,738
03-CPN1, C 4.763%, 3/15/35		7,964		7,301
05-11, 8A10 5.500%, 12/25/35		4,625		4,346
02-CKS4, B 5.333%, 11/15/36		5,710		5,710
02-CKS4, C 5.394%, 11/15/36		5,000		4,976
04-C5, A3 4.499%, 11/15/37		2,728		2,726
Credit Suisse Mortgage Capital Certificates
06-C1, A3 5.594%, 2/15/39⁽³⁾		7,182		7,597
06-C1, AM 5.594%, 2/15/39⁽³⁾		4,745		4,817


	PAR VALUE		VALUE

Non-Agency—(continued)
Deutsche Bank/UBS Mortgage Trust
11-LC3A, A2 3.642%, 8/10/44	$	11,500	$	12,117
11-LC1A, A3, 144A 5.002%, 11/10/46⁽⁴⁾		8,500		9,570
Entertainment Properties Trust 03-EPR, A2, 144A 5.244%, 2/15/18⁽⁴⁾		7,854		8,027
Extended Stay America Trust 10-ESHA, D, 144A 5.498%, 11/5/27⁽⁴⁾		9,410		9,446
First Horizon Asset Securities, Inc. 06-1, 1A8 6.000%, 5/25/36		6,554		6,014
GE Capital Commercial Mortgage Corp.
03-C1, C 4.975%, 1/10/38⁽³⁾		4,332		4,353
04-C3, A4 5.189%, 7/10/39⁽³⁾		13,500		14,445
GMAC Commercial Mortgage Securities, Inc.
03-C1, D 4.283%, 5/10/36		10,000		10,111
04-C2, A3 5.134%, 8/10/38		1,200		1,249
04-C2, A4 5.301%, 8/10/38⁽³⁾		8,178		8,709
04-C3, A4 4.547%, 12/10/41		1,268		1,276
Goldman Sachs Mortgage Securities Corp. II
07-EOP, G, 144A 3.018%, 3/6/20⁽³⁾⁽⁴⁾		6,080		5,860
07-EOP, H, 144A 3.585%, 3/6/20⁽³⁾⁽⁴⁾		1,850		1,792
11-ALF, B, 144A 3.215%, 2/10/21⁽⁴⁾		8,000		7,830
04-GG2, A4 4.964%, 8/10/38		5,702		5,752
07-GG10, A4 5.984%, 8/10/45⁽³⁾		10,870		11,807
Greenwich Capital Commercial Funding Corp. 04-GG1, A7 5.317%, 6/10/36⁽³⁾		7,950		8,474
GSR Mortgage Loan Trust
04-6F, 1A1 5.000%, 5/25/34		120		120
05-5F, 2A8 5.500%, 6/25/35		9,820		9,977
05-AR4, 6A1 5.250%, 7/25/35⁽³⁾		13,143		12,063
07-1F, 2A2 5.500%, 1/25/37		2,302		2,161
Heller Financial Commercial Mortgage Asset 00-PH1, G, 144A 6.750%, 1/17/34⁽⁴⁾		2,925		2,738
JPMorgan Chase Commercial Mortgage Securities Corp.
09-IWST, A1, 144A 4.314%, 12/5/27⁽⁴⁾		15,862		17,058
10-CNTR, A1, 144A 3.300%, 8/5/32⁽⁴⁾		11,228		11,381
04-C1, A3 4.719%, 1/15/38		5,565		5,839
06-CB17, AM 5.464%, 12/12/43		11,905		11,679
06-LDP7, A4 6.065%, 4/15/45⁽³⁾		9,997		11,222
06-LDP7, AM 6.065%, 4/15/45⁽³⁾		11,125		11,459
06-LDP9, A3 5.336%, 5/15/47		20,649		21,903
07-LD12, A4 5.882%, 2/15/51⁽³⁾		8,029		8,722


	PAR VALUE		VALUE

Non-Agency—(continued)
JPMorgan Chase Mortgage Finance Corp. 05-S3, A12 5.500%, 11/25/35	$	3,614	$	3,582
JPMorgan Mortgage Trust
03-A2, 3A1 2.053%, 11/25/33⁽³⁾		12,370		11,862
05-A1, 4A1 4.775%, 2/25/35⁽³⁾		2,879		2,748
05-A2, 4A1 5.112%, 4/25/35⁽³⁾		3,008		2,814
05-A4, 3A1 5.096%, 7/25/35⁽³⁾		7,634		6,824
06-A1, B1 5.168%, 2/25/36⁽³⁾		1,984		16
Lehman Brothers - UBS Commercial Mortgage Trust
04-C7, A6 4.786%, 10/15/29⁽³⁾		10,536		11,225
01-C2, C 6.975%, 9/15/34		124		125
06-C3, AM 5.712%, 3/15/39⁽³⁾		960		954
06-C6, A4 5.372%, 9/15/39		11,830		13,116
07-C2, A2 5.303%, 2/15/40		4,590		4,603
07-C2, A3 5.430%, 2/15/40		7,350		7,842
05-C3, AM 4.794%, 7/15/40		7,460		7,820
07-C6, A2 5.845%, 7/15/40		10,672		10,800
07-C6, A4 5.858%, 7/15/40⁽³⁾		4,950		5,423
07-C7, A3 5.866%, 9/15/45⁽³⁾		10,300		11,299
MASTR Alternative Loans Trust
04-7, 4A1 4.500%, 7/25/19		10,479		10,746
04-6, 7A1 6.000%, 7/25/34		8,447		8,384
MASTR Asset Securitization Trust
05-1, 1A1 5.000%, 5/25/20		2,458		2,469
06-1, 1A2 5.750%, 5/25/36		6,957		6,901
Merrill Lynch Floating Trust 08-LAQA, A1 144A 0.814%, 7/9/21⁽³⁾⁽⁴⁾		15,397		14,265
Merrill Lynch Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽³⁾		10,000		10,952
Merrill Lynch Mortgage Trust
06-C1, AM 5.809%, 5/12/39⁽³⁾		7,520		7,765
04-KEY2, A3 4.615%, 8/12/39		12,250		12,910
Merrill Lynch-Countrywide Commercial Mortgage Trust
06-3, A4 5.414%, 7/12/46⁽³⁾		11,700		12,883
06-4, A3 5.172%, 12/12/49⁽³⁾		9,500		10,229
Morgan Stanley Capital I
04-IQ7, C 5.408%, 6/15/38⁽³⁾		6,654		6,030
04-HQ4, A6 4.830%, 4/14/40		4,322		4,427
06-T23, A4 5.814%, 8/12/41⁽³⁾		11,115		12,700
06-T23, AM 5.989%, 8/12/41⁽³⁾		10,000		10,896
06-IQ12, A4 5.332%, 12/15/43		14,500		16,211


	PAR VALUE		VALUE

Non-Agency—(continued)
07-IQ14, A4 5.692%, 4/15/49⁽³⁾	$	9,720	$	10,294
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.237%, 2/25/34⁽³⁾		3,307		2,972
04-2AR, 4A 4.733%, 2/25/34⁽³⁾		6,456		6,301
05-5AR, 4A1 5.277%, 9/25/35⁽³⁾		1,609		1,046
Prudential Commercial Mortgage Trust 03-PWR1, D, 144A 4.775%, 2/11/36⁽⁴⁾		4,950		4,775
RAAC 05-SP1, 2A2 5.250%, 9/25/34		1,182		1,181
Residential Accredit Loans, Inc. 03-QS6, A4 4.250%, 3/25/33		6,916		7,076
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		5,206		5,439
04-SL1, A8 6.500%, 11/25/31		6,071		6,119
04-RS6, AI4 5.457%, 5/25/32⁽³⁾		3,437		3,412
04-SL4, A3 6.500%, 7/25/32		3,130		3,239
Residential Asset Securitization Trust 04-A4, A5 5.500%, 8/25/34		1,015		1,016
Residential Funding Mortgage Securities I, Inc.
06-S12, 1A1 5.500%, 12/25/21		5,150		5,235
06-S4, A2 6.000%, 4/25/36		2,276		2,032
Springleaf Mortgage Loan Trust 11-1A, A1, 144A 4.050%, 1/25/58⁽³⁾⁽⁴⁾		9,089		9,077
Structured Asset Securities Corp.
03-AL1, A, 144A 3.357%, 4/25/31⁽⁴⁾		13,505		12,988
03-21, 2A2 5.250%, 8/25/33		4,260		4,419
04-21XS, 2A4A 4.900%, 12/25/34⁽³⁾		5,014		5,011
Timberstar Trust 06-1A, A, 144A 5.668%, 10/15/36⁽⁴⁾		10,240		11,438
Wachovia Bank Commercial Mortgage Trust
03-C8, 5 5.171%, 11/15/35⁽³⁾		5,500		5,470
04-C12, A4 5.495%, 7/15/41⁽³⁾		10,145		10,900
04-C15, B 4.892%, 10/15/41		14,875		14,809
05-C20, AMFX 5.179%, 7/15/42⁽³⁾		6,000		6,297
07-C30, A5 5.342%, 12/15/43		6,935		7,312
05-C21, D 5.378%, 10/15/44⁽³⁾		12,813		9,576
05-C22, AM 5.319%, 12/15/44⁽³⁾		12,245		12,468
07-C33, A4 6.096%, 2/15/51⁽³⁾		13,695		14,831
Washington Mutual Commercial Mortgage Securities Trust
06-SL, A, 144A 5.430%, 11/23/43⁽³⁾⁽⁴⁾		15,076		14,685
07-SL3, A, 144A 5.939%, 3/23/45⁽³⁾⁽⁴⁾		6,924		6,939
Washington Mutual Mortgage Pass Through Certificates 04-CB1, 5A 5.000%, 6/25/19		4,471		4,589


	PAR VALUE		VALUE

Non-Agency—(continued)
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21	$	759	$	751
04-4, A9 5.500%, 5/25/34		5,573		5,727
04-CC, A1 2.594%, 1/25/35⁽³⁾		4,404		4,046
05-AR10, A23 2.678%, 6/25/35⁽³⁾		8,299		7,547
05-12, 1A1 5.500%, 11/25/35		11,700		11,424
05-14, 2A1 5.500%, 12/25/35		8,420		8,406
06-AR1, 2A3 5.375%, 3/25/36⁽³⁾		7,080		6,954
06-4, 2A2 5.500%, 4/25/36		1,046		993
06-4, 1A1 5.750%, 4/25/36		4,339		4,293
06-6, 1A15 5.750%, 5/25/36		2,226		2,149
06-9, 1A15 6.000%, 8/25/36		1,798		1,775
07-16, 1A7 6.000%, 12/28/37		6,764		6,264
07-16, 1A1 6.000%, 12/28/37		19,240		19,737
07-AR10, 2A1 6.313%, 1/25/38⁽³⁾		10,190		9,821
Wells Fargo Mortgage-Backed Securities Trust 07-11, A88 6.000%, 8/25/37		7,444		7,387
WFDB Commercial Mortgage Trust 11,BXR, B, 144A 4.786%, 7/5/24⁽⁴⁾		15,000		15,270

				1,103,351

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,176,152)				1,223,720


ASSET-BACKED SECURITIES—11.4%
1st Financial Bank USA
10-B, A, 144A 3.000%, 7/17/17⁽⁴⁾		5,000		5,005
10-C, B, 144A 5.190%, 9/17/18⁽⁴⁾		5,000		5,023
10-D, C, 144A 5.920%, 6/17/19⁽⁴⁾		3,000		3,053
Aircraft Certificate Owner Trust 03-1A, D, 144A 6.455%, 9/20/22⁽⁴⁾		1,957		1,927
American General Mortgage Loan Trust
09-1, A6, 144A 5.750%, 9/25/48⁽³⁾⁽⁴⁾		13,850		13,972
10-1A, A1, 144A 5.150%, 3/25/58⁽³⁾⁽⁴⁾		11,185		11,440
AmeriCredit Automobile Receivables Trust
11-3, C 2.860%, 1/9/17		11,000		10,915
11-1, D 4.260%, 2/8/17		11,119		11,250
11-5, D 5.050%, 12/8/17		5,010		5,031
11-4, E, 144A 6.530%, 1/8/19⁽⁴⁾		3,950		3,932
11-5, E 6.760%, 3/8/19		7,400		7,430
Ameriquest Mortgage Securities, Inc. 03-10, AF6 4.710%, 11/25/33⁽³⁾		5,234		5,205
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽³⁾		7,660		7,346


	PAR VALUE		VALUE

Avis Budget Rental Car Funding AESOP LLC 11-3A, A, 144A 3.410%, 11/20/17⁽⁴⁾	$	10,000	$	10,249
Bayview Financial Acquisition Trust
06-B, 1A2 5.800%, 4/28/36⁽³⁾		1,465		1,447
06-A, 1A2 5.483%, 2/28/41⁽³⁾		372		368
Bombardier Capital Mortgage Securitization Corp. 99-A, A3 5.980%, 1/15/18⁽³⁾		2,362		2,310
Bush Truck Leasing LLC 11-44, A, 144A 5.000%, 9/25/18⁽⁴⁾		3,896		3,886
BXG Receivables Note Trust 10-A, A 144A 5.100%, 3/2/26⁽⁴⁾		5,487		5,551
Capital Auto Receivables Asset Trust 07-1, C 5.380%, 11/15/12		6,080		6,139
CIT Group, Inc. 10-VT1A, B 144A 3.880%, 9/16/13⁽⁴⁾		5,900		6,001
Citicorp Residential Mortgage Securities, Inc.
07-1, A3 5.667%, 3/25/37⁽³⁾		1,366		1,344
07-1, A6 5.702%, 3/25/37⁽³⁾		5,449		5,046
07-2, A3 6.080%, 6/25/37⁽³⁾		15,000		15,012
07-2, A4 6.538%, 6/25/37⁽³⁾		7,000		5,886
Conseco Finance Securitizations Corp. 01-3, A4 6.910%, 5/1/33⁽³⁾		17,158		18,273
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		759		802
01-3, A4 7.600%, 4/15/26⁽³⁾		13,715		12,726
Countrywide Asset-Backed Certificates
04-13, AF4 4.583%, 1/25/33⁽³⁾		1,189		1,153
04-10, AF6 4.485%, 12/25/34⁽³⁾		7,902		7,527
04-12, AF6 4.634%, 3/25/35⁽³⁾		3,411		3,336
Credit-Based Asset Servicing & Securitization LLC 05-CB6, A3 5.120%, 7/25/35⁽³⁾		1,361		1,119
Daimler Chrysler Auto Trust 08-B, A4A, 5.320%, 11/10/14		3,333		3,355
Dominos Pizza Master Issuer LLC 07-1, A2 144A 5.261%, 4/25/37⁽⁴⁾		20,000		20,080
DSC Floorplan Master Owner Trust 11-1, A, 144A 3.910%, 3/15/16⁽⁴⁾		8,500		8,610
DT Auto Owner Trust
10-1A, C, 144A 3.460%, 1/15/14⁽⁴⁾		3,500		3,508
09-1, B, 144A 5.920%, 10/15/15⁽⁴⁾		1,400		1,430
11-2A, C 144A 3.050%, 2/16/16⁽⁴⁾		5,825		5,803
Ellington Loan Acquisition Trust 07-2, A2A, 144A 1.194%, 5/25/37⁽³⁾⁽⁴⁾		6,163		5,518


	PAR VALUE		VALUE

GMAC Mortgage Corp. Loan Trust
06-HE2, A3 6.320%, 5/25/36⁽³⁾		$7,967		$5,158
07-HE1, A2 5.621%, 8/25/37⁽³⁾		2,880		2,842
Great America Leasing Receivables 09-1, B 144A 4.520%, 11/15/14⁽⁴⁾		3,000		3,098
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽³⁾		8,661		8,090
Harley-Davidson Motorcycle Trust
09-4, B 3.190%, 9/15/14		9,000		9,064
07-2, C 5.410%, 8/15/15		6,750		6,799
Hertz Vehicle Financing LLC
09-2A, A1, 144A 4.260%, 3/25/14⁽⁴⁾		5,000		5,119
11-1A, A2, 144A 3.290%, 3/25/18⁽⁴⁾		10,000		10,132
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		1,482		1,520
JPMorgan Chase Funding Mortgage Loan Asset-Backed Certificates 04-1,1A4 4.111%, 8/25/30		810		769
Lehman Brothers Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		8,512		8,676
Lehman XS Trust 05-5, 3A2B 5.420%, 11/25/35⁽³⁾		9,444		8,762
Marriott Vacation Club Owner Trust
10-1A, A 144A 3.540%, 10/20/32⁽⁴⁾		1,495		1,511
10-1A, B 144A 4.520%, 10/20/32⁽⁴⁾		2,916		2,977
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽⁴⁾		15,000		15,000
MMCA Automobile Trust 11,—A, B, 144A 2.720%, 10/17/16⁽⁴⁾		3,500		3,606
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35⁽³⁾		16,113		14,307
Popular ABS Mortgage Pass-Through- Trust 05-5, AF3 5.086%, 11/25/35⁽³⁾		14,159		13,804
Renaissance Home Equity Loan Trust 05-3, AF4 5.140%, 11/25/35⁽³⁾		5,405		4,079
Rental Car Finance Corp. 11-1A, B1, 144A 4.380%, 2/25/16⁽⁴⁾		4,000		4,050
Residential Asset Mortgage Products, Inc. 03-RS8, AI7 5.015%, 9/25/33⁽³⁾		4,226		4,196
Residential Funding Mortgage Securities II, Inc.
04-HI3, A5 5.480%, 6/25/34⁽³⁾		4,026		3,184
06-HI2, A3 5.790%, 2/25/36		8,989		8,991
07-HI1, A2 5.640%, 3/25/37		4,051		3,970
Santander Drive Auto Receivables Trust
11-2, B 2.660%, 1/15/16		7,640		7,642


	PAR VALUE		VALUE

11-1, C 3.110%, 5/16/16	$	10,000	$	9,857
10-B, C 144A 3.020%, 10/17/16⁽⁴⁾		20,925		20,715
10-3, C 3.060%, 11/15/17		10,000		9,994
Saxon Asset Securities Trust 06-3 A2 0.404%, 10/25/46⁽³⁾		11,251		10,442
Sierra Receivables Funding Co., LLC
10-3A, B 144A 4.440%, 11/20/25⁽⁴⁾		4,132		4,233
11-1A, B, 144A 4.230%, 4/20/26⁽⁴⁾		5,664		5,688
Structured Asset Securities Corp. 02-AL1, A3 3.450%, 2/25/32		7,977		7,303
SVO MOI Mortgage Corp.
10-AA, A ,144A 3.650%, 7/20/27⁽⁴⁾		6,031		6,119
11-AA, A, 144A 3.670%, 11/20/27⁽⁴⁾		8,169		8,169
TAL Advantage LLC 1-1A, A, 144A 4.600%, 1/20/26⁽⁴⁾		9,992		9,899
Tidewater Auto Receivables Trust 10-A, A 144A 5.920%, 5/15/17⁽⁴⁾		1,365		1,387
Trinity Rail Leasing LP 03-1A, A, 144A 5.640%, 10/12/26⁽⁴⁾		2,720		2,935
Trip Rail Master Funding LLC 11-1A, A1A, 144A 4.370%, 7/15/41⁽⁴⁾		7,094		7,141
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽⁴⁾		24,121		25,012

TOTAL ASSET-BACKED SECURITIES (Identified Cost $536,637)				534,248


CORPORATE BONDS AND NOTES—39.0%

Consumer Discretionary—3.3%
AutoZone, Inc. 5.750%, 1/15/15		4,420		4,894
Boyd Gaming Corp. 9.125%, 12/1/18		2,425		2,316
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽⁴⁾		5,790		6,166
CityCenter Holdings LLC / CityCenter Finance Corp. 144A 7.625%, 1/15/16⁽⁴⁾		4,718		4,860
Daimler Finance North America LLC 144A 2.625%, 9/15/16⁽⁴⁾		11,000		10,938
Dana Holding Corp. 6.500%, 2/15/19		3,973		4,033
DISH DBS Corp. 7.125%, 2/1/16		9,335		10,105
GTP Acquisition Partners I LLC 144A 4.347%, 6/15/16⁽⁴⁾		3,000		2,988
Hyatt Hotels Corp.
144A 5.750%, 8/15/15⁽⁴⁾		900		964
3.875%, 8/15/16		7,000		7,158
Hyundai Capital America 144A 3.750%, 4/6/16⁽⁴⁾		500		499


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
International Game Technology 7.500%, 6/15/19	$	1,115	$	1,284
Isle of Capri Casinos, Inc. 7.000%, 3/1/14		2,750		2,585
Korea Expressway Corp. 144A 4.500%, 3/23/15		2,670		2,768
Landry’s Acquisition Co. 144A 11.625%, 12/1/15⁽⁴⁾		820		867
Landry’s Restaurants, Inc. 11.625%, 12/1/15		2,851		3,015
Limited Brands, Inc. 6.900%, 7/15/17		2,310		2,501
MGM Resorts International, Inc. 7.500%, 6/1/16		3,500		3,369
Mobile Mini, Inc. 6.875%, 5/1/15		540		546
Nissan Motor Acceptance Corp. 144A 4.500%, 1/30/15⁽⁴⁾		8,620		8,957
Ono Finance II plc 144A 10.875%, 7/15/19⁽⁴⁾		1,035		926
Penn National Gaming, Inc. 8.750%, 8/15/19		6,615		7,227
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽⁴⁾		4,135		4,001
QVC, Inc.
144A 7.125%, 4/15/17⁽⁴⁾		4,550		4,846
144A 7.500%, 10/1/19⁽⁴⁾		8,740		9,417
Royal Caribbean Cruises Ltd.
7.000%, 6/15/13		4,550		4,800
7.250%, 6/15/16		2,625		2,835
Scientific Games International, Inc. 9.250%, 6/15/19		1,570		1,672
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International LLC 144A 3.046%, 3/15/14⁽³⁾⁽⁴⁾		767		721
Starwood Hotels & Resorts Worldwide, Inc. 7.150%, 12/1/19		10,165		11,677
TRW Automotive, Inc. 144A 8.875%, 12/1/17⁽⁴⁾		780		850
United Rentals North America, Inc. 10.875%, 6/15/16		1,772		1,976
Videotron Ltee 6.375%, 12/15/15		3,500		3,579
Wyndham Worldwide Corp.
6.000%, 12/1/16		8,845		9,551
5.750%, 2/1/18		1,660		1,759
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 7.875%, 11/1/17		7,000		7,717

				154,367


Consumer Staples—0.7%
Altria Group, Inc. 8.500%, 11/10/13		2,775		3,133
BAT International Finance plc 144A 9.500%, 11/15/18⁽⁴⁾		1,410		1,914


	PAR VALUE		VALUE

Consumer Staples—(continued)
Bumble Bee Acquisition Corp. 144A 9.000%, 12/15/17⁽⁴⁾	$	704	$	718
Bunge Ltd. Finance Corp. 5.100%, 7/15/15		6,000		6,281
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer 144A 7.125%, 4/15/19⁽⁴⁾		4,875		4,985
Sigma Alimentos SA de CV 144A 5.625%, 4/14/18⁽⁴⁾		5,850		5,967
Tyson Foods, Inc. 10.500%, 3/1/14		940		1,090
Yankee Candle Co., Inc. Series B, 8.500%, 2/15/15		6,320		6,415

				30,503


Energy—3.9%
Afren plc 144A 11.500%, 2/1/16⁽⁴⁾		4,790		4,742
Anadarko Petroleum Corp.
6.375%, 9/15/17		12,050		13,971
8.700%, 3/15/19		2,925		3,733
Calumet Specialty Products Partners LP / Calumet Finance Corp. 144A 9.375%, 5/1/19⁽⁴⁾		2,211		2,156
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		3,989		4,049
Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp. 8.250%, 12/15/17		2,920		3,124
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		2,334		2,375
EV Energy Partners LP/EV Energy Finance Corp. 8.000%, 4/15/19		250		256
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽⁴⁾		5,395		4,775
Frontier Oil Corp. 6.875%, 11/15/18		2,550		2,626
Gaz Capital SA 144A 7.343%, 4/11/13⁽⁴⁾		2,000		2,083
Gazprom International SA 144A 7.201%, 2/1/20⁽⁴⁾		1,363		1,440
Gazprom OAO (Gaz Capital SA)
144A 6.212%, 11/22/16⁽⁴⁾		10,405		10,769
144A 6.510%, 3/7/22⁽⁴⁾		3,235		3,284
Helix Energy Solutions Group, Inc. 144A 9.500%, 1/15/16⁽⁴⁾		692		723
HollyFrontier Corp. 9.875%, 6/15/17		3,000		3,330
KazMunaiGaz Finance Sub BV 144A 8.375%, 7/2/13⁽⁴⁾		6,900		7,228
Kinder Morgan Energy Partners LP 6.850%, 2/15/20		2,545		2,992
Korea National Oil Corp.


	PAR VALUE		VALUE

Energy—(continued)
144A 5.375%, 7/30/14⁽⁴⁾	$	4,345	$	4,621
144A 2.875%, 11/9/15⁽⁴⁾		5,000		4,989
Linn Energy LLC / Linn Energy Finance Corp. 144A 6.500%, 5/15/19⁽⁴⁾		1,430		1,426
Lukoil International Finance BV 144A 6.375%, 11/5/14⁽⁴⁾		4,900		5,157
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽⁴⁾		2,985		2,686
NAK Naftogaz Ukraine 9.500%, 9/30/14		2,900		2,733
OGX Petroleo e Gas Participacoes SA 144A 8.500%, 6/1/18⁽⁴⁾		8,000		7,920
Petrobras International Finance Co. 3.875%, 1/27/16		12,430		12,808
Petroleos de Venezuela SA 5.250%, 4/12/17		8,460		5,457
Petroplus Finance Ltd. 144A 6.750%, 5/1/14⁽⁴⁾		5,455		3,328
Pioneer Drilling Co.
9.875%, 3/15/18		1,245		1,307
144A 9.875%, 3/15/18⁽⁴⁾		1,765		1,853
Pride International, Inc. 8.500%, 6/15/19		4,065		5,032
Rowan Cos., Inc. 5.000%, 9/1/17		6,195		6,511
SEACOR Holdings, Inc. 7.375%, 10/1/19		2,200		2,320
SESI LLC 6.375%, 5/1/19		4,694		4,800
Tesoro Corp.
6.250%, 11/1/12		4,340		4,470
6.500%, 6/1/17		4,740		4,882
TNK-BP Finance SA
RegS 6.125%, 3/20/12⁽⁵⁾		4,210		4,268
144A 7.500%, 3/13/13⁽⁴⁾		1,750		1,829
144A 6.250%, 2/2/15⁽⁴⁾		500		516
Transocean, Inc. 4.950%, 11/15/15		3,955		4,039
Venoco, Inc. 8.875%, 2/15/19		5,675		5,136
Weatherford International Ltd. 9.625%, 3/1/19		4,110		5,314
Western Refining, Inc. 144A 11.250%, 6/15/17⁽⁴⁾		2,465		2,816

				179,874


Financials—17.7%
Abbey National Treasury Services plc 4.000%, 4/27/16		5,000		4,487
ABN Amro Bank NV 144A 3.000%, 1/31/14⁽⁴⁾		9,000		8,936
ADCB Finance Cayman Ltd. 144A 4.750%, 10/8/14⁽⁴⁾		5,290		5,508
AFLAC, Inc. 8.500%, 5/15/19		1,059		1,297
Agile Property Holdings Ltd. 144A 10.000%, 11/14/16⁽⁴⁾		1,660		1,486


	PAR VALUE		VALUE

Financials—(continued)
Akbank TAS 144A 5.125%, 7/22/15⁽⁴⁾	$	8,900	$	8,722
Alfa Invest Ltd. 144A 9.250%, 6/24/13⁽⁴⁾		4,940		5,175
Allstate Corp. 6.125%, 5/15/37⁽³⁾		4,730		4,298
Ally Financial, Inc.
4.500%, 2/11/14		2,625		2,540
Series 8, 6.750%, 12/1/14		4,552		4,598
Alta Mesa Holdings / Alta Mesa Finance Services Corp. 9.625%, 10/15/18		8,150		7,946
American Express Credit Corp.
5.875%, 5/2/13		4,805		5,051
Series C, 7.300%, 8/20/13		2,600		2,822
American General (Springleaf) Finance Corp. 5.400%, 12/1/15		3,000		2,198
American Honda Finance Corp. 144A 6.700%, 10/1/13⁽⁴⁾		4,850		5,233
American International Group, Inc. 4.875%, 9/15/16		8,850		8,377
AmSouth Bank N.A. 4.850%, 4/1/13		7,275		7,039
AON Corp. 3.500%, 9/30/15		1,980		2,032
Associated Banc Corp. 5.125%, 3/28/16		4,590		4,732
Assurant, Inc. 5.625%, 2/15/14		4,060		4,246
Avalonbay Communities, Inc. 5.700%, 3/15/17		2,950		3,307
Banco Bilbao Vizcaya Argentaria Bancomer SA 144A 4.500%, 3/10/16⁽⁴⁾		5,000		4,900
Banco Bradesco SA 144A 4.125%, 5/16/16⁽⁴⁾		7,000		7,060
Banco de Credito del Peru 144A 4.750%, 3/16/16⁽⁴⁾		14,800		14,763
Banco Industrial e Comercial SA 144A 5.250%, 10/25/15⁽⁴⁾		6,000		5,750
Banco Santander Brasil SA 144A 4.500%, 4/6/15⁽⁴⁾		7,500		7,275
Banco Santander Chile SA 144A 3.750%, 9/22/15⁽⁴⁾		3,800		3,789
Banco Santander SA Unipersonal 144A 3.781%, 10/7/15⁽⁴⁾		1,800		1,632
Banco Votorantim SA 144A 5.250%, 2/11/16⁽⁴⁾		8,500		8,551
Bank of America Corp. 5.420%, 3/15/17		3,700		3,339
Barclays Bank plc
5.200%, 7/10/14		1,610		1,660
144A 6.050%, 12/4/17⁽⁴⁾		4,130		3,735
144A 5.926%, 9/29/49^(3)(4)(8)(9)		3,773		3,132
Bear Stearns Cos., Inc. LLC (The) 7.250%, 2/1/18		4,365		5,116
BioMed Realty LP 3.850%, 4/15/16		9,375		9,250


	PAR VALUE		VALUE

Financials—(continued)
Brandywine Operating Partnership LP 7.500%, 5/15/15	$	4,305	$	4,721
Capital One Financial Corp.
3.150%, 7/15/16		5,000		5,022
6.150%, 9/1/16		4,300		4,475
Chubb Corp. 6.375%, 3/29/67⁽³⁾		4,730		4,671
CIT Group, Inc.
144A 5.250%, 4/1/14⁽⁴⁾		5,000		5,006
7.000%, 5/1/15		459		461
Series A 7.000%, 5/1/16		3,290		3,294
144A 7.000%, 5/2/16⁽⁴⁾		14,200		14,218
Citigroup, Inc.
5.000%, 9/15/14		3,200		3,167
4.875%, 5/7/15		12,075		11,929
5.500%, 2/15/17		3,635		3,663
CNA Financial Corp. 5.850%, 12/15/14		7,575		7,983
Comerica Bank
5.700%, 6/1/14		1,900		2,048
5.750%, 11/21/16		5,940		6,511
Comerica, Inc. 4.800%, 5/1/15		1,828		1,869
Corporacion Andina de Fomento 5.200%, 5/21/13		1,000		1,046
Countrywide Financial Corp. 6.250%, 5/15/16		12,000		11,308
Credit Suisse 6.000%, 2/15/18		4,875		4,807
Danske Bank A/S 144A 3.875%, 4/14/16⁽⁴⁾		8,000		7,428
Deutsche Bank Financial LLC 5.375%, 3/2/15		2,933		2,878
Discover Bank 8.700%, 11/18/19		1,750		1,995
DuPont Fabros Technology LP 8.500%, 12/15/17		6,400		6,880
Equity One, Inc. 6.250%, 12/15/14		2,485		2,614
Export-Import Bank of Korea
8.125%, 1/21/14		1,480		1,636
5.875%, 1/14/15		4,625		4,961
4.125%, 9/9/15		4,000		4,102
Fidelity National Financial Sevices, Inc. 6.600%, 5/15/17		6,475		6,865
Fifth Third Bancorp
6.250%, 5/1/13		1,770		1,861
4.750%, 2/1/15		750		777
4.500%, 6/1/18		6,745		6,760
First Horizon National Corp. 5.375%, 12/15/15		1,950		1,974
First Tennessee Bank N.A.
5.050%, 1/15/15		7,875		7,890
5.650%, 4/1/16		2,220		2,234
Ford Motor Credit Co., LLC


	PAR VALUE		VALUE

Financials—(continued)
3.148%, 1/13/12⁽³⁾	$	2,000	$	2,004
8.000%, 6/1/14		4,865		5,299
8.700%, 10/1/14		13,235		14,813
6.625%, 8/15/17		2,335		2,545
Fuel Trust 144A 4.207%, 4/15/16⁽⁴⁾		10,000		10,087
Gazprom Oao Via Gaz Capital SA 144A 4.950%, 5/23/16⁽⁴⁾		5,000		5,006
General Electric Capital Corp.
3.750%, 11/14/14		3,940		4,154
0.815%, 5/5/26⁽³⁾		8,000		5,922
Genworth Financial, Inc.
5.750%, 6/15/14		6,890		6,814
6.515%, 5/22/18		3,275		3,005
Glen Meadow Pass-Through-Trust 144A 6.505%, 2/12/67⁽³⁾⁽⁴⁾		10,345		7,371
Goldman Sachs Group, Inc. (The)
5.350%, 1/15/16		3,225		3,307
5.625%, 1/15/17		2,800		2,746
7.500%, 2/15/19		2,451		2,706
Grupo BBVA 3.250%, 5/16/14		4,000		3,789
Hana Bank 144A 4.500%, 10/30/15⁽⁴⁾		11,000		11,278
HBOS plc 144A 6.750%, 5/21/18⁽⁴⁾		685		549
HCP, Inc. 3.750%, 2/1/16		8,000		8,141
Health Care REIT, Inc. 4.700%, 9/15/17		8,565		8,508
Healthcare Realty Trust, Inc. 6.500%, 1/17/17		3,000		3,223
HSBC Bank plc 144A 3.100%, 5/24/16⁽⁴⁾		12,200		12,203
Huntington Bancshares, Inc. 7.000%, 12/15/20		1,025		1,161
Huntington National Bank (The) 4.900%, 1/15/14		1,400		1,413
Hyundai Capital Services, Inc.
144A 6.000%, 5/5/15⁽⁴⁾		4,975		5,339
144A 4.375%, 7/27/16⁽⁴⁾		1,500		1,530
ICICI Bank Ltd.
144A 5.500%, 3/25/15⁽⁴⁾		3,000		3,001
144A 4.750%, 11/25/16⁽⁴⁾		5,000		4,752
ING Bank NV
144A 2.375%, 6/9/14⁽⁴⁾		5,000		4,875
144A 4.000%, 3/15/16⁽⁴⁾		9,000		8,698
International Lease Finance Corp.
6.375%, 3/25/13		5,375		5,348
5.650%, 6/1/14		5,820		5,587
5.750%, 5/15/16		4,545		4,220
IPIC GMTN Ltd.
144A 3.125%, 11/15/15⁽⁴⁾		2,000		1,995


	PAR VALUE			VALUE

Financials—(continued)
144A 3.750%, 3/1/17⁽⁴⁾	$	500		$	498
Jefferies Group, Inc. 5.125%, 4/13/18		6,541			5,756
JPMorgan Chase & Co. 6.125%, 6/27/17		3,550			3,903
JSC Severstal (Steel Capital SA) 144A 6.250%, 7/26/16⁽⁴⁾		6,665			6,215
Kazkommerts Bank International BV RegS 8.000%, 11/3/15⁽⁵⁾		1,000			900
KeyBank NA
5.700%, 8/15/12		1,800			1,842
5.800%, 7/1/14		1,450			1,548
7.413%, 5/6/15		3,000			3,260
4.950%, 9/15/15		1,295			1,363
KeyCorp 6.500%, 5/14/13		2,925			3,095
Kookmin Bank 144A 7.250%, 5/14/14⁽⁴⁾		5,700			6,297
Korea Development Bank
5.300%, 1/17/13		1,113			1,145
4.375%, 8/10/15		2,525			2,600
3.875%, 5/4/17		7,000			6,914
Lincoln National Corp.
8.750%, 7/1/19		2,340			2,845
6.050%, 4/20/67⁽³⁾		2,885			2,402
Lloyds TSB Bank plc
144A 4.375%, 1/12/15⁽⁴⁾		2,900			2,792
4.875%, 1/21/16		9,000			8,773
Manufacturers & Traders Trust Co.
2.081%, 4/1/13⁽³⁾		3,175			3,143
5.629%, 12/1/21⁽³⁾		5,000			4,704
Marshall & Ilsley Bank 5.000%, 1/17/17		3,500			3,692
Mercantile Bankshares Corp. Series B, 4.625%, 4/15/13		4,708			4,907
MetLife, Inc. 6.750%, 6/1/16		910			1,049
Metropolitan Life Global Funding I 144A 5.125%, 6/10/14⁽⁴⁾		1,160			1,249
Morgan Stanley
6.000%, 5/13/14		1,970			1,989
3.800%, 4/29/16		5,850			5,391
5.750%, 10/18/16		3,455			3,366
144A 10.090%, 5/3/17⁽⁴⁾		10,525	^BRL		5,107
Nationwide Health Properties, Inc. 6.250%, 2/1/13		4,825			4,983
Nordea Bank AB 144A 2.125%, 1/14/14⁽⁴⁾		5,000			4,904
OJSC AK Transneft (TransCapitalInvest Ltd.) 144A 5.670%, 3/5/14⁽⁴⁾		5,715			5,929
ORIX Corp. 5.000%, 1/12/16		5,228			5,493


	PAR VALUE		VALUE

Financials—(continued)
PNC Funding Corp. 5.625%, 2/1/17	$	3,130	$	3,409
Principal Financial Group, Inc. 7.875%, 5/15/14		2,595		2,894
ProLogis LP
7.625%, 8/15/14		5,275		5,778
6.625%, 5/15/18		1,110		1,206
Prudential Financial, Inc.
4.750%, 9/17/15		4,770		5,037
8.875%, 6/15/38⁽³⁾⁽⁹⁾		4,200		4,809
Regions Financial Corp.
7.750%, 11/10/14		2,525		2,538
RegS 5.750%, 6/15/15⁽⁵⁾		2,535		2,421
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19		3,130		2,929
Royal Bank of Scotland plc (The)
3.400%, 8/23/13		7,000		6,811
4.875%, 3/16/15		3,230		3,089
3.950%, 9/21/15		3,860		3,620
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 9.000%, 6/11/14⁽⁴⁾		780		842
144A 6.299%, 5/15/17⁽⁴⁾		2,905		2,901
Santander U.S. Debt S.A.U. 144A 3.724%, 1/20/15⁽⁴⁾		6,300		5,721
Senior Housing Properties Trust 4.300%, 1/15/16		6,875		6,777
Simon Property Group LP 4.200%, 2/1/15		700		742
SL Green Realty Corp. / SL Green Operating Partnership/Reckson Operating Partnership LP 5.000%, 8/15/18		8,000		7,725
SLM Corp. 6.250%, 1/25/16		17,900		17,410
Societe Generale
144A 5.922%, 1/1/00^{(3)(4)(8)(10)}		6,800		4,139
144A 3.100%, 9/14/15⁽⁴⁾		2,900		2,539
144A 3.500%, 1/15/16⁽⁴⁾		6,895		6,097
Sovereign Bank 5.125%, 3/15/13		7,000		7,020
Spansion LLC 7.875%, 11/15/17		2,955		2,704
State Street Corp. 4.956%, 3/15/18⁽⁹⁾		5,000		5,196
SunTrust Bank, Inc. 5.450%, 12/1/17		3,750		3,996
SunTrust Banks, Inc. 6.000%, 9/11/17		4,925		5,413
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,060
Unum Group 7.125%, 9/30/16		6,620		7,556
Vanguard Health Holding Co. II, LLC / Vanguard Holding Co. II, Inc. 7.750%, 2/1/19		3,212		3,100
Vnesheconombank Via (VEB Finance Ltd.)


	PAR VALUE		VALUE

Financials—(continued)
144A 5.450%, 11/22/17⁽⁴⁾⁽⁷⁾	$	1,500	$	1,485
144A 6.902%, 7/9/20⁽⁴⁾		7,345		7,529
VTB Capital SA 144A 6.465%, 3/4/15⁽⁴⁾		6,000		6,015
Wachovia Bank NA 5.000%, 8/15/15		2,600		2,709
WEA Finance LLC / WT Finance Australia 144A 5.750%, 9/2/15⁽⁴⁾		5,425		5,767
Webster Financial Corp. 5.125%, 4/15/14		2,500		2,460
Wells Fargo & Co. 5.125%, 9/15/16		5,000		5,377
Westpac Banking Corp. 4.200%, 2/27/15		4,920		5,129
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,095
XL Capital Ltd. 5.250%, 9/15/14		4,335		4,585
Yapi Ve Kredi Bankasi Via Unicredit Luxembourg SA 144A 5.188%, 10/13/15⁽⁴⁾		2,000		1,860
Zions Bancorp
5.650%, 5/15/14		1,775		1,810
7.750%, 9/23/14		6,194		6,568

				828,347


Health Care—0.8%
CareFusion Corp. 5.125%, 8/1/14		2,940		3,173
Grifols, Inc. 8.250%, 2/1/18		250		264
HCA, Inc. 7.250%, 9/15/20		8,000		8,480
Life Technologies Corp. 3.500%, 1/15/16		3,000		3,013
Mylan, Inc. 144A 6.000%, 11/15/18⁽⁴⁾		6,900		7,133
Patheon, Inc. 144A 8.625%, 4/15/17⁽⁴⁾		720		576
Rotech Healthcare, Inc. 10.500%, 3/15/18		5,500		4,262
Select Medical Corp. 7.625%, 2/1/15		2,256		2,132
Symbion, Inc. 8.000%, 6/15/16		3,727		3,461
U.S. Oncology, Inc. 0.000%, 2/16/49⁽¹¹⁾		1,263		0
Valeant Pharmaceuticals International, Inc. 144A 6.500%, 7/15/16⁽⁴⁾		6,900		6,926

				39,420


Industrials—6.1%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽⁴⁾		5,200		5,174
America West Airlines
98-1A, 6.870%, 1/2/17		2,501		2,351
99-1G, 7.930%, 1/2/19		10,183		10,031
00-1G 8.057%, 7/2/20		8,304		8,138
ARAMARK Corp. 8.500%, 2/1/15		3,625		3,734
Aristotle Holding, Inc. 144A 3.500%, 11/15/16⁽⁴⁾		10,000		10,187
Atlas Air Pass-Through-Trust
98-1, A 7.380%, 1/2/18		12,107		12,107


	PAR VALUE		VALUE

Industrials—(continued)
99-1, A1 7.200%, 1/2/19	$	2,471	$	2,471
AWAS Aviation Capital Ltd. 144A 7.000%, 10/17/16⁽⁴⁾		11,711		11,770
Continental Airlines, Inc. Pass-Through-Trust
98-1, A, 6.648%, 9/15/17		6,323		6,457
97-4, A, 6.900%, 1/2/18		5,446		5,670
01-1, A1, 6.703%, 6/15/21		10,796		10,958
Corp Andina de Fomento 3.750%, 1/15/16		10,000		10,156
Delta Air Lines, Inc. Pass-Through-Trust
11-1, A 5.300%, 4/15/19		9,675		9,772
10-2A, 2A 4.950%, 5/23/19		20,971		21,233
02-1, G1 6.718%, 1/2/23		1,470		1,448
Deluxe Corp. 144A 7.000%, 3/15/19⁽⁴⁾		4,970		4,858
Dematic SA 144A 8.750%, 5/1/16⁽⁴⁾		5,250		5,211
GATX Corp. 4.750%, 5/15/15		4,940		5,266
General Cable Corp. 2.956%, 4/1/15⁽³⁾		3,375		3,265
Griffon Corp. 7.125%, 4/1/18		6,900		6,866
Hutchison Whampoa International Ltd. 144A 4.625%, 9/11/15⁽⁴⁾		3,900		4,139
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		8,570		8,827
Marquette Transportation Co. / Marquette Transportation Finance Corp. 10.875%, 1/15/17		750		759
McJunkin Red Man Corp. 9.500%, 12/15/16		1,725		1,760
Northwest Airlines Pass-Through-Trust
01-1, B 7.691%, 4/1/17		6,184		5,999
02-1, G2 6.264%, 11/20/21		14,375		14,410
Oshkosh Corp. 8.250%, 3/1/17		6,200		6,479
Owens Corning, Inc. 6.500%, 12/1/16		11,150		12,171
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽⁴⁾		5,495		5,509
Qatar Government International Bond 144A 3.125%, 1/20/17⁽⁴⁾		12,000		12,104
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC 144A 7.750%, 10/15/16⁽⁴⁾		5,100		5,393
Ryder System, Inc. 3.600%, 3/1/16		3,120		3,219
Smiths Group plc 144A 7.200%, 5/15/19⁽⁴⁾		1,700		2,041
Toledo Edison Co. (The) 7.250%, 5/1/20		1,360		1,694
Transnet Ltd. 144A 4.500%, 2/10/16⁽⁴⁾		9,000		9,116
U.S. Airways Pass-Through-Trust
99-1A 8.360%, 1/20/19		990		980
01-1G 7.076%, 3/20/21		7,499		7,049
11-1 A 7.125%, 10/22/23		9,350		8,883
UAL Pass-Through-Trust


	PAR VALUE		VALUE

Industrials—(continued)
09-2A 9.750%, 1/15/17	$	5,735	$	6,194
07-01 6.636%, 7/2/22		11,426		11,426

				285,275

Information Technology—1.6%
Agilent Technologies, Inc. 5.500%, 9/14/15		2,185		2,409
Audatex North America, Inc. 144A 6.750%, 6/15/18⁽⁴⁾		4,325		4,390
CDW LLC / CDW Finance Corp. PIK Interest Capitalization 11.500%, 10/12/15		139		147
CommScope, Inc. 144A 8.250%, 1/15/19⁽⁴⁾		7,135		7,171
Crown Castle Holdings GS V LLC / Crown Castle GS III Corp. 144A 7.750%, 5/1/17⁽⁴⁾		4,375		4,714
eAccess Ltd. 144A 8.250%, 4/1/18⁽⁴⁾		1,635		1,570
Earthlink, Inc. 8.875%, 5/15/19		6,725		6,221
iGate Corp. 144A 9.000%, 5/1/16⁽⁴⁾		8,200		8,507
Intuit, Inc. 5.750%, 3/15/17		1,334		1,497
Jabil Circuit, Inc. 7.750%, 7/15/16		2,952		3,306
MDC International B.V. 144A 3.750%, 4/20/16⁽⁴⁾		4,000		4,112
National Semiconductor Corp. 6.600%, 6/15/17		3,330		4,091
Seagate HDD Cayman 144A 7.750%, 12/15/18⁽⁴⁾		6,700		7,161
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽⁴⁾		3,400		2,363
STATS ChipPAC Ltd. 144A 7.500%, 8/12/15⁽⁴⁾		875		919
SunGard Data Systems, Inc. 7.375%, 11/15/18		5,760		5,925
Xerox Corp.
5.650%, 5/15/13		4,345		4,562
4.250%, 2/15/15		4,000		4,216

				73,281


Materials—2.6%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		9,250
Anglo American Capital plc 144A 9.375%, 4/8/19⁽⁴⁾		1,950		2,481
ArcelorMittal
5.375%, 6/1/13		4,825		4,940
9.000%, 2/15/15		2,560		2,831
Berry Plastics Corp.
8.250%, 11/15/15		6,600		7,062
9.500%, 5/15/18		1,480		1,495
Catalyst Paper Corp.
7.375%, 3/1/14⁽¹²⁾		1,055		55
144A 11.000%, 12/15/16⁽⁴⁾		3,520		1,883
Cemex Finance LLC 144A 9.500%, 12/14/16⁽⁴⁾		1,430		1,262


	PAR VALUE		VALUE

Materials—(continued)
Cemex SAB de CV 144A 5.579%, 9/30/15⁽³⁾⁽⁴⁾	$	3,100	$	2,337
Commercial Metals Co. 7.350%, 8/15/18		7,760		7,333
CRH America, Inc.
4.125%, 1/15/16		4,000		3,994
8.125%, 7/15/18		4,770		5,441
Dow Chemical Co. (The)
7.600%, 5/15/14		2,950		3,336
5.900%, 2/15/15		3,950		4,396
FMG Resources Ltd. 144A 8.250%, 11/1/19⁽⁴⁾		8,600		8,794
Fosun International Ltd. 144A 7.500%, 5/12/16⁽⁴⁾		4,340		3,819
Georgia-Pacific LLC 7.700%, 6/15/15		4,820		5,605
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽⁴⁾		1,950		2,057
Ineos Finance plc 144A 9.000%, 5/15/15⁽⁴⁾		9,200		9,384
International Paper Co. 9.375%, 5/15/19		5,330		6,924
JMC Steel Group, Inc. 144A 8.250%, 3/15/18⁽⁴⁾		2,610		2,558
Metinvest BV 144A 8.750%, 2/14/18⁽⁴⁾		1,500		1,232
Omnova Solutions, Inc. 7.875%, 11/1/18		250		218
Oxea Finance / Cy SCA 144A 9.500%, 7/15/17⁽⁴⁾		1,562		1,570
Sealed Air Corp. 144A 8.125%, 9/15/19⁽⁴⁾		4,710		5,181
Severstal OAO Via Steel Capital SA 144A 6.700%, 10/25/17⁽⁴⁾		5,975		5,631
Steel Dynamics, Inc. 7.375%, 11/1/12		1,528		1,595
Vedanta Resources plc 144A 8.750%, 1/15/14⁽⁴⁾		3,400		3,332
Verso Paper Holdings LLC / Verso Paper, Inc.
11.500%, 7/1/14		3,285		3,367
Series B, 4.179%, 8/1/14⁽³⁾		2,570		1,632
8.750%, 2/1/19		225		138

				121,133


Telecommunication Services—1.8%
America Movil SAB de C.V. 2.375%, 9/8/16		11,000		10,972
Axtel SAB de C.V. 144A 9.000%, 9/22/19⁽⁴⁾		750		578
Cincinnati Bell, Inc. 8.250%, 10/15/17		3,760		3,798
Clearwire Communications LLC / Clearwire Finance, Inc.
144A 12.000%, 12/1/15⁽⁴⁾		1,395		1,343
144A 12.000%, 12/1/15⁽⁴⁾		2,000		1,925
Crown Castle Towers LLC
144A 4.523%, 1/15/15⁽⁴⁾		4,925		5,137
144A 3.214%, 8/15/15⁽⁴⁾		4,950		5,006
144A 5.495%, 1/15/17⁽⁴⁾		5,915		6,459
Embarq Corp. 6.738%, 6/1/13		2,385		2,482
France Telecom SA 2.750%, 9/14/16		1,000		1,003


	PAR VALUE		VALUE

Telecommunication Services—(continued)
Frontier Communications Corp. 8.250%, 4/15/17	$	4,800	$	4,932
Nextel Communications, Inc.
Series E 6.875%, 10/31/13		5,590		5,590
Series D 7.375%, 8/1/15		2,095		1,927
OJSC Vimpel Communications (VIP Finance Ireland Ltd.)
144A 8.375%, 4/30/13⁽⁴⁾		1,400		1,463
144A 6.493%, 2/2/16⁽⁴⁾		1,300		1,230
Qwest Corp. 6.500%, 6/1/17		4,550		4,971
SBA Tower Trust 144A 4.254%, 4/15/15⁽⁴⁾		11,660		11,989
Telecom Italia Capital SA 6.175%, 6/18/14		4,900		4,714
Telefonica Emisiones SAU 3.992%, 2/16/16		8,000		7,693
Wind Acquisition Finance S.A. 144A 11.750%, 7/15/17⁽⁴⁾		2,450		2,205

				85,417


Utilities—0.5%
Allegheny Energy Supply Co. LLC 144A 8.250%, 4/15/12⁽⁴⁾		1,860		1,894
AmeriGas Partners LP / AmeriGas Finance Corp. 6.250%, 8/20/19		4,375		4,375
Enel Finance International NV 144A 3.875%, 10/7/14⁽⁴⁾		2,000		1,947
Israel Electric Corp., Ltd. 144A 7.250%, 1/15/19⁽⁴⁾		2,285		2,357
Korea Electric Power Corp. 144A 5.500%, 7/21/14⁽⁴⁾		3,420		3,637
Korea Gas Corp. 144A 6.000%, 7/15/14⁽⁴⁾		2,000		2,148
Korea Hydro & Nuclear Power Co., Ltd. 144A 3.125%, 9/16/15⁽⁴⁾		1,000		1,001
Midwest Generation LLC Series B 8.560%, 1/2/16		1,079		1,090
NRG Energy, Inc. 7.625%, 1/15/18		1,485		1,492
ONEOK Partners LP 5.900%, 4/1/12		980		991
Sempra Energy 6.500%, 6/1/16		1,760		2,054
TransAlta Corp. 4.750%, 1/15/15		2,220		2,385

				25,371

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $1,798,948)				1,822,988

LOAN AGREEMENTS⁽³⁾—11.0%

Consumer Discretionary—3.6%
Advantage Sales & Marketing, Inc. First lien 5.250%, 12/18/17		718		709

		PAR VALUE			PAR VALUE
	PAR VALUE			VALUE

Consumer Discretionary—(continued)
AMF Bowling Worldwide, Inc. Tranche B, 2.800%, 6/7/13	$	2,032		$	1,722
Avis Budget Group, Inc. Tranche B 6.250%, 9/22/18		2,531			2,551
Boyd Gaming Corp. 6.000%, 12/17/15		5,000			4,955
Brickman Group Holdings, Inc. Tranche B, 7.250%, 10/14/16		5,970			5,992
Burger King Holdings, Inc. Tranche B 4.500%, 10/19/16		1,580			1,555
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-2, 3.360%, 1/28/15		1,577			1,375
Tranche B-4, 9.500%, 10/31/16		9,109			9,095
Cedar Fair LP Tranche 1, 4.000%, 12/15/17		1,568			1,567
Cengage Learning Acquisitions, Inc. 2.550%, 7/3/14		6,941			5,931
Charter Communications Operating LLC
Tranche B-1, 2.300%, 3/6/14		14			14
Tranche C, 3.830%, 9/6/16		4,225			4,139
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		8,358			7,932
CityCenter Holdings LLC First Lien 7.500%, 1/21/15		495			494
Cumulus Media Holdings, Inc. First Lien 5.750%, 9/16/18		10,000			9,827
DineEquity, Inc. Tranche B-1 4.750%, 10/19/17		3,432			3,392
Dunkin’ Brands, Inc. Tranche B-2, 4.000%, 11/23/17		3,917			3,864
Entercom Radio LLC 6.250%, 11/23/18		5,700			5,700
Focus Brands, Inc. 5.580%, 11/5/16		1,342			1,334
Fram Group Holdings, Inc./Prestone Holdings, Inc. 6.500%, 7/29/17		7,481			7,491
Gateway Casinos & Entertainment Ltd. Tranche B, 6.000%, 5/12/16		3,439	^CAD		3,270
Getty Images, Inc. 5.250%, 11/7/16		6,628			6,650
Gymboree Corp. 5.000%, 2/23/18		2,798			2,498
Hubbard Radio LLC First lien 5.250%, 4/28/17		4,104			4,052
Intelsat Jackson Holding SA (Intelsat Jackson Holding Ltd)
3.390%, 2/1/14		2,335			2,230
Tranche B, 5.250%, 4/2/18		3,980			3,959
Landry’s Restaurants, Inc.
0.000%, 12/1/14		1,002			997

		PAR VALUE		PAR VALUE
	PAR VALUE		VALUE

Consumer Discretionary—(continued)
6.250%, 12/1/14	$	2,591	$	2,580
Leslie’s Poolmart, Inc. Tranche B 4.500%, 11/21/16		3,341		3,287
Mediacom Illinois LLC (Mediacom Communications LLC) Tranche D, 5.500%, 3/31/17		4,670		4,640
MGM Mirage Tranche E, 7.000%, 2/21/14		6,000		5,896
Neiman Marcus Group, Inc. 4.750%, 5/16/18		8,102		7,828
Nielsen Finance LLC
Tranche A, 2.280%, 8/9/13		1,701		1,682
Tranche B, 4.030%, 5/2/16		3,299		3,244
Ozburn-Hessey Holding Co., LLC 8.250%, 4/8/16		1,201		1,062
Penn National Gaming, Inc. Tranche B, 3.750%, 7/16/18		2,985		2,998
Pilot Travel Centers LLC Tranche B, 4.250%, 3/30/18		3,191		3,194
Radio One, Inc. 7.500%, 3/31/16		1,923		1,793
Revel AC, Inc. Tranche B, 9.000%, 2/17/17		2,470		2,264
Sinclair Television Group, Inc. Tranche B 4.000%, 10/28/16		1,025		1,025
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		2,277		2,203
SRAM LLC First lien 5.250%, 6/7/18		2,474		2,486
Toys “R” Us, Inc. 6.000%, 9/1/16		6,360		6,290
UCI International, Inc. 5.500%, 7/26/17		718		721
Visant Corp. (Jostens) Tranche B, 5.750%, 12/22/16		9,055		8,517
VWR Funding, Inc. 2.800%, 6/30/14		3,227		3,069

				168,074


Consumer Staples—0.5%
American Rock Salt Co. LLC 5.500%, 4/25/17		767		760
Del Monte Foods Co. 4.500%, 3/8/18		1,617		1,540
Michael Foods, Inc. Tranche B 4.250%, 2/25/18		3,266		3,239
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		5,394		5,346
Reynolds Group Holdings, Inc.
Tranche B, 6.500%, 2/9/18		6,971		6,943
Tranche C, 6.500%, 8/9/18		4,934		4,914

				22,742


Energy—0.1%
Buffalo Gulf Coast Terminals 7.500%, 10/31/17		3,325		3,341


	PAR VALUE		VALUE

Energy—(continued)
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17	$	2,189	$	2,238

				5,579

Financials—0.9%
Asurion LLC (Asurion Corp.) First lien 5.500%, 5/24/18		4,534		4,458
Fortress Invest Group LLC (FIG) 5.750%, 10/7/15		3,088		3,083
International Lease Finance Corp. (Delos Aircraft, Inc.)
Tranche 1, 6.750%, 3/17/15		332		333
Tranche 2 7.000%, 3/17/16		243		245
iPayment, Inc . 5.750%, 5/8/17		1,442		1,426
iStar Financial, Inc.
Tranche A-1 5.500%, 6/28/13		4,121		4,105
Tranche A-2 7.000%, 6/30/14		3,724		3,612
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		2,833		2,833
MoneyGram International, Inc. 4.500%, 11/17/17		575		568
Nuveen Investments, Inc.
First lien non-extended 3.500%, 11/13/14		1,245		1,193
First lien extended 6.000%, 5/13/17		1,455		1,402
Pinnacle Foods Finance LLC 2.820%, 4/2/14		2,391		2,345
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		9,025		7,889
Tomkins, LLC (Pinafore LLC) Tranche B-1, 0.000%, 9/29/16		724		723
TransUnion LLC 4.750%, 2/10/18		2,867		2,866
Walter Investments, Inc. 7.750%, 6/30/16		3,349		3,348

				40,429

Health Care—1.0%
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) 5.500%, 2/10/17		3,094		2,970
Ardent Medical Services, Inc. 6.500%, 9/15/15		3,990		3,963
Capsugel Holdings, Inc. 0.000%, 8/1/18		3,103		3,113
HCA, Inc. Tranche B-3 3.550%, 5/1/18		537		510
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18		662		609
Houghton International, Inc. Tranche B-1 6.750%, 1/29/16		3,360		3,353
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		4,975		4,820


	PAR VALUE		VALUE

Health Care—(continued)
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16	$	3,119	$	2,994
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		2,778		2,651
NBTY, Inc. Tranche B-1 4.250%, 10/1/17		2,334		2,314
Onex Carestream Finance LP 5.000%, 2/25/17		2,059		1,856
Quintiles Transnational Corp. Tranche B, 5.000%, 6/8/18		4,478		4,407
Rural/Metro Operating Co. LLC 5.750%, 6/30/18		3,151		3,093
Surgery Center Holdings, Inc. 6.500%, 2/6/17		4,115		3,837
Universal Health Services, Inc. Tranche B 3.750%, 11/15/16		3,784		3,781
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		2,054		2,029

				46,300

Industrials—1.1%
Altegrity, Inc. (U.S. Investigations Services, Inc.) 3.040%, 2/21/15		1,163		1,083
API Technologies Corp. 7.750%, 6/27/16		3,726		3,558
Brock Holdings Ill, Inc. 6.000%, 3/16/17		1,583		1,540
Building Materials Holdings Corp. 3.670%, 1/5/15⁽⁶⁾		1,303		1,146
Ceridian Corp. 3.340%, 11/9/14		6,508		5,884
Ducommun, Inc. 5.500%, 6/28/17		1,410		1,389
Goodman Global, Inc. 5.750%, 10/28/16		2,543		2,548
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B, 2.840%, 6/30/14		8,387		7,123
Holdings Gaming Borrower LP Tranche B-1, 12.000%, 6/30/15		1,424		1,485
Husky Injection Molding System (Yukon Acquisition, Inc.) 6.500%, 6/29/18		5,871		5,868
Protection One, Inc. 6.000%, 6/4/16		2,636		2,617
ServiceMaster Co. (The)
Tranche DD, 2.800%, 7/24/14		778		744
2.869%, 7/24/14		7,809		7,474
Swift Transportation Co., Inc. (The) 6.000%, 12/21/16		1,637		1,640
Terex Corp. 5.500%, 4/28/17		6,384		6,432

				50,531

Information Technology—2.1%
Avaya, Inc.
Tranche B-1 3.260%, 10/24/14		5,493		5,266


	PAR VALUE		VALUE

Information Technology—(continued)
Tranche B-3 5.010%, 10/26/17	$	3,084	$	2,818
CCC Information Services 5.500%, 11/11/15		421		421
CDW LLC
Non-Extended 3.780%, 10/10/14		1,704		1,655
Extended 4.000%, 7/15/17		6,105		5,804
CommScope, Inc. 5.000%, 1/14/18		1,707		1,699
DataTel, Inc. 0.000%, 12/13/18		6,825		6,836
DynCorp International LLC 6.500%, 7/7/16		5,968		5,873
Edwards (Cayman Islands II) Ltd. 5.500%, 5/31/16		3,465		3,275
Emdeon, Inc. Tranche B 6.750%, 11/2/18		2,500		2,525
First Data Corp.
Tranche B-1, 3.040%, 9/24/14		1,758		1,600
Tranche B-2, 3.040%, 9/24/14		437		398
Tranche B-3, 3.040%, 9/24/14		6,126		5,574
Freescale Semiconductor, Inc. 4.520%, 12/1/16		7,246		6,951
Infor Enterprise Solutions Holdings, Inc. (Magellan Holdings, Inc.)
First lien delay draw 6.050%, 7/28/15		2,349		2,219
First lien extended 6.050%, 7/28/15		4,502		4,254
Instant Web, Inc.
3.670%, 8/7/14		3,002		2,837
Tranche DD, 3.670%, 8/7/14		313		296
Interactive Data Corp. Tranche B 4.500%, 2/11/18		5,469		5,401
Lawson Software, Inc. (SoftBrands, Inc.) 6.750%, 7/5/17		5,726		5,596
MedAssets, Inc. 5.250%, 11/16/16		1,139		1,137
Mood Media Corp. 7.000%, 5/6/18		4,612		4,293
NDS Finance Ltd. Tranche B 4.000%, 3/12/18		1,265		1,235
Novell, Inc. (Attachmate Corp.) 6.500%, 4/27/17		6,715		6,588
NuSil Technology LLC 5.250%, 4/7/17		1,162		1,141
Scitor Corp. 5.000%, 2/15/17		792		760
Spansion LLC 4.750%, 2/9/15		3,668		3,627
SRA International, Inc. 6.500%, 7/20/18		4,346		4,114
SSI Investments II Ltd. (Skillsoft) 6.500%, 5/26/17		2,994		2,979
Transaction Network Services, Inc. 6.000%, 11/18/15		2,423		2,416
Wall Street Systems, Inc. First lien 5.500%, 6/20/17		1,592		1,564

				101,152


Materials—1.0%
Anchor Glass Container Corp.
First lien 6.000%, 3/2/16		3,088		3,084


	PAR VALUE		VALUE

Materials—(continued)
Second Lien 10.000%, 9/2/16	$	3,975	$	3,963
Avantor Performance Materials, Inc. 5.000%, 6/24/17		2,345		2,287
AZ Chem US. Inc. 0.000%, 12/22/17		3,135		3,130
Berry Plastics Group, Inc. Tranche C, 2.280%, 4/3/15		3,597		3,440
CPG International, Inc. Tranche B, 6.000%, 2/18/17		2,400		2,244
General Chemical Corp. Tranche B, 5.500%, 10/6/15		5,285		5,267
Harko C.V.(OM Group, Inc.) Tranche B 5.750%, 8/2/17		3,810		3,791
Huntsman International LLC
Tranche B, 1.930%, 4/19/14		565		553
Extended Tranche B 2.880%, 4/19/17		1,541		1,480
Ineos Holdings Ltd.
Tranche B-2, 3.750%, 12/16/13		773		787
Tranche C-2, 4.000%, 12/16/14		885		905
JMC Steel Group 4.750%, 4/1/17		635		630
Momentive Performance Materials Tranche B-1B 3.810%, 5/5/15		3,928		3,754
New Sunward Holding BV Tranche B, 4.780%, 2/14/14		2,705		2,234
Norit Holding B.V. 6.750%, 7/10/17		2,763		2,791
Novelis, Inc. Tranche B 3.750%, 3/10/17		2,401		2,368
Solutia, Inc. Tranche 1, 3.500%, 8/1/17		1,575		1,578
Styron S.A.R.L. 6.000%, 8/2/17		2,393		2,079

				46,365


Telecommunication Services—0.4%
Level 3 Communications, Inc. Tranche A, 2.650%, 3/13/14		10,942		10,492
nTelos, Inc. Tranche B 4.000%, 8/7/15		3,224		3,192
U.S. TelePacific Corp. 5.750%, 2/23/17		3,160		2,939
Univision Communications, Inc. 4.550%, 3/31/17		5,359		4,786

				21,409


Utilities—0.3%
Gibson Energy, Inc. 5.750%, 6/15/18		3,980		3,980
NRG Energy, Inc. 4.500%, 7/1/18		4,478		4,472


	PAR VALUE		VALUE

Utilities—(continued)
Texas Competitive Electric Holdings Co., LLC Tranche 2014, 3.780%, 10/10/14	$	5,942	$	4,166

				12,618

TOTAL LOAN AGREEMENTS (Identified Cost $523,635)				515,199

	SHARES		VALUE

PREFERRED STOCK—0.2%

Financials—0.2%
Ally Financial, Inc. Series G, 144A 7.00%⁽⁴⁾		702		503
Banco Bilbao Vizcaya Argentaria S.A. International Preferred S.A. Unipersonal 5.92%⁽³⁾		5,835		3,864
Banco do Brasil S.A. 144A 8.50%⁽³⁾⁽⁴⁾		700		812
JPMorgan Chase & Co. Series 1, 7.90%⁽³⁾		3,360		3,577

TOTAL PREFERRED STOCK (Identified Cost $9,058)				8,756


COMMON STOCKS—0.0%

Financials—0.0%
CIT Group, Inc.⁽²⁾		26,344		918


Industrials—0.0%
Building Materials Holding Corp.⁽²⁾⁽⁶⁾		677,817		678


TOTAL COMMON STOCKS (Identified Cost $1,987)				1,596

TOTAL LONG TERM INVESTMENTS—98.8% (Identified cost $4,574,249)				4,627,253


SHORT-TERM INVESTMENTS—1.0%

Money Market Mutual Funds—1.0%
BlackRock Liquidity Funds TempFund Portfolio – Insitutional Shares (seven-day effective yield 0.110%)		45,750,823		45,751


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $45,751)				45,751


TOTAL INVESTMENTS—99.8% (Identified Cost $4,620,000)		4,673,004	⁽¹⁾

Other assets and liabilities, net—0.2%		8,186

NET ASSETS—100.0%	$	4,681,190

Abbreviations:

ADS	American Depositary Share

FHLM

C	Federal Home Loan Mortgage Corporation (“Freddie Mac”).

FNMA	Federal National Mortgage Association (“Fannie Mae”).

GNMA	Government National Mortgage Association (“Ginnie Mae”)

NATL	National Public Finance Guarantee Corp.

OJSC	Open Joint Stock Company (Russia)

PIK	Payment-in-Kind Security

plc	Public Limited Co.

REIT	Real Estate Investment Trust

SAB

de CV

A variable capital company.

SBA	Small Business Administration

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2011.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to a value of $1,116,237 or 23.8% of net assets.

⁽⁵⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	This note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	No contractual maturity date

⁽⁹⁾	Interest payments may be deferred.

⁽¹⁰⁾	Issuer may elect not to pay interest causing the payment to be forfeited and no longer due. The issuer has not invoked this election since the fund purchased this security.

⁽¹¹⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽¹²⁾	Security in default.

Foreign Currencies:

AUD	Australian Dollar

BRL	Brazilian Real

CAD	Canadian Dollar

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

NOK	Norwegian Krone

NZD	New Zealand Dollar

PLZ	Polish Zloty

SEK	Swedish Krona

TRY	Turkish Lira

ZAR	South Africa Rand


Country Weightings †
United States	78	%
Brazil	2
Canada	2
United Kingdom	2
Argentina	1
Australia	1
Venezuela	1
Other	13
Total	100	%

† % of total investments as of December 31, 2011

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE

PREFERRED STOCK—0.0%

Consumer Discretionary—0.0%
Orchard Supply Hardware		918	$	23


TOTAL PREFERRED STOCK (Identified Cost $23)				23


COMMON STOCKS—25.0%

Consumer Discretionary—25.0%
Abercrombie & Fitch Co. Class A		46,665		2,279
Amazon.com, Inc.⁽²⁾		209,760		36,309
Apollo Group, Inc. Class A⁽²⁾		62,305		3,356
AutoNation, Inc.⁽²⁾		26,156		964
AutoZone, Inc.⁽²⁾		15,710		5,105
Bed Bath & Beyond, Inc.⁽²⁾		138,303		8,017
Best Buy Co., Inc.		165,869		3,876
Big Lots, Inc.⁽²⁾		35,482		1,340
BorgWarner, Inc.⁽²⁾		60,350		3,847
Cablevision Systems Corp. Class A		118,251		1,682
CarMax, Inc.⁽²⁾		128,018		3,902
Carnival Corp.		263,608		8,604
CBS Corp. Class B		350,921		9,524
Chipotle Mexican Grill, Inc. Class A⁽²⁾		16,771		5,664
Coach, Inc.		156,834		9,573
Comcast Corp. Class A		1,512,522		35,862
Darden Restaurants, Inc.		71,726		3,269
DeVry, Inc.		32,549		1,252
DIRECTV Class A⁽²⁾		390,532		16,699
Discovery Communications, Inc. Class A⁽²⁾		147,749		6,053
Dollar Tree, Inc.⁽²⁾		66,900		5,560
Expedia, Inc.		101,912		2,957
Family Dollar Stores, Inc.		66,238		3,819
Ford Motor Co.		2,015,890		21,691
GameStop Corp. Class A⁽²⁾		75,873		1,831
Gannett Co., Inc.		129,086		1,726
Gap, Inc. (The)		189,960		3,524
Genuine Parts Co.		83,774		5,127
Goodyear Tire & Rubber Co. (The)⁽²⁾		133,189		1,887
H&R Block, Inc.		160,298		2,618
Harley-Davidson, Inc.		120,989		4,703
Harman International Industries, Inc.		37,563		1,429
Hasbro, Inc.		70,932		2,262
Home Depot, Inc. (The)		829,879		34,888


	SHARES		VALUE

Consumer Discretionary—(continued)
Horton (DR), Inc.		152,616	$	1,925
International Game Technology		162,212		2,790
Interpublic Group of Cos., Inc. (The)		247,647		2,410
Johnson Controls, Inc.		365,932		11,439
Kohl’s Corp.		139,825		6,900
Leggett & Platt, Inc.		74,498		1,716
Lennar Corp. Class A		89,057		1,750
Limited Brands, Inc.		132,568		5,349
Lowe’s Cos., Inc.		699,036		17,742
Macy’s, Inc.		227,030		7,306
Marriott International, Inc. Class A		147,334		4,298
Mattel, Inc.		192,203		5,336
McDonald’s Corp.		560,283		56,213
McGraw-Hill Cos., Inc. (The)		158,081		7,109
NetFlix, Inc.⁽²⁾		31,424		2,177
Newell Rubbermaid, Inc.		155,180		2,506
News Corp. Class A		1,192,607		21,276
NIKE, Inc. Class B		203,193		19,582
Nordstrom, Inc.		86,746		4,312
O’Reilly Automotive, Inc.⁽²⁾		65,740		5,256
Omnicom Group, Inc.		147,903		6,594
Orchard Supply Hardware Stores Corp. Class A⁽²⁾		918		23
Penney (J.C.) Co., Inc.		76,706		2,696
priceline.com, Inc.⁽²⁾		26,926		12,594
Pulte Group, Inc.⁽²⁾		181,989		1,148
Ralph Lauren Corp		36,578		5,051
Ross Stores, Inc.		126,082		5,993
Scripps Networks Interactive, Inc. Class A		53,464		2,268
Sears Holdings Corp.⁽²⁾		30,337		964
Staples, Inc.		398,432		5,534
Starbucks Corp.		399,678		18,389
Starwood Hotels & Resorts Worldwide, Inc.		103,102		4,946
Target Corp.		382,085		19,570
Tiffany & Co.		68,960		4,569
Time Warner Cable, Inc.		178,246		11,331
Time Warner, Inc.		545,783		19,725
TJX Cos., Inc.		203,317		13,124
Tripadvisor, Inc.⁽²⁾		50,852		1,282
Urban Outfitters, Inc.⁽²⁾		60,641		1,671
VF Corp.		49,042		6,228
Viacom, Inc. Class B		296,186		13,450
Walt Disney Co. (The)		959,918		35,997
Washington Post Co. (The) Class B		2,611		984


	SHARES		VALUE

Consumer Discretionary—(continued)
Whirlpool Corp.		43,030	$	2,042
Wyndham Worldwide Corp.		81,827		3,096
Wynn Resorts Ltd.		42,929		4,743
Yum! Brands, Inc.		252,339		14,891

TOTAL COMMON STOCKS (Identified Cost $663,818)				667,494

EXCHANGE-TRADED FUNDS—74.9%

Consumer Staples Select Sector SPDR Fund		20,453,910		664,547
Technology Select Sector SPDR Fund		26,098,110		664,197
Utilities Select Sector SPDR Fund		18,465,760		664,398

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $1,882,123)				1,993,142

TOTAL LONG TERM INVESTMENTS—99.9% (Identified cost $2,545,964)				2,660,659

SHORT-TERM INVESTMENTS—0.2%

Money Market Mutual Funds—0.2%
BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)		4,373,145		4,373


TOTAL SHORT-TERM INVESTMENTS (Identified Cost $4,373)				4,373



TOTAL INVESTMENTS—100.1% (Identified Cost $2,550,337)				2,665,032	⁽¹⁾

Other assets and liabilities, net—(0.1)%				(3,611	)

NET ASSETS—100.0%			$	2,661,421

Abbreviations:

SPDR S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE

COMMON STOCKS—97.4%

REAL ESTATE INVESTMENT TRUSTS—97.4%

DIVERSIFIED—5.0%
Digital Realty Trust, Inc.		237,269	$	15,819
Vornado Realty Trust		522,067		40,126

				55,945


HEALTH CARE—12.3%
HCP, Inc.		825,471		34,199
Health Care REIT, Inc.		643,433		35,086
Ventas, Inc.		1,220,181		67,269

				136,554


INDUSTRIAL/OFFICE—18.2%

Industrial—3.6%
Prologis, Inc.		1,390,325		39,749


Mixed—2.2%
Duke Realty Corp.		2,062,391		24,852


Office—12.4%
Alexandria Real Estate Equities, Inc.		120,875		8,337
BioMed Realty Trust, Inc.		971,881		17,572
Boston Properties, Inc.		529,783		52,766
Kilroy Realty Corp.		949,737		36,156
SL Green Realty Corp.		351,291		23,410

				138,241

				202,842


LODGING/RESORTS—5.7%
Host Hotels & Resorts, Inc.		2,813,652		41,558
LaSalle Hotel Properties		814,811		19,726
Starwood Hotels & Resorts Worldwide, Inc.		42,860		2,056

				63,340


RESIDENTIAL—22.5%

Apartments—20.2%
Apartment Investment & Management Co. Class A		957,357		21,933
AvalonBay Communities, Inc.		331,856		43,340
BRE Properties, Inc.		336,703		16,997
Camden Property Trust		444,700		27,678
Campus Crest Communities, Inc.		174,966		1,760
Equity Residential		1,051,665		59,977
Essex Property Trust, Inc.		213,482		29,996


	SHARES		VALUE

REAL ESTATE INVESTMENT TRUSTS—(continued)
UDR, Inc.		920,505	$	23,105

				224,786


Manufactured Homes—2.3%
Equity Lifestyle Properties, Inc.		391,964		26,140

				250,926


RETAIL—24.1%

Regional Malls—17.6%
General Growth Properties, Inc.		1,382,475		20,765
Macerich Co. (The)		252,975		12,801
Simon Property Group, Inc.		1,005,206		129,611
Taubman Centers, Inc.		524,880		32,595

				195,772


Shopping Centers—6.5%
DDR Corp.		1,645,417		20,025
Kimco Realty Corp.		1,438,875		23,367
Regency Centers Corp.		371,683		13,983
Weingarten Realty Investors		672,700		14,678

				72,053

				267,825


SELF STORAGE—9.6%
CubeSmart, Inc.		838,455		8,921
Extra Space Storage, Inc.		1,331,102		32,253
Public Storage		489,851		65,865

				107,039

TOTAL COMMON STOCKS (Identified Cost $694,328)				1,084,471

TOTAL LONG TERM INVESTMENTS—97.4% (Identified cost $694,328)				1,084,471

SHORT-TERM INVESTMENTS—1.4%

Money Market Mutual Funds—1.4%
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares(seven-day effective yield 0.110%)		16,032,745		16,033

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $16,033)				16,033

($ reported in thousands)


TOTAL INVESTMENTS—98.8% (Identified Cost $710,361)		1,100,504	⁽¹⁾

Other assets and liabilities, net—1.2%		13,000

NET ASSETS—100.0%	$	1,113,504

Abbreviations:

REIT Real Estate Investment Trust

Footnote Legend

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.


	PAR VALUE			VALUE

FOREIGN GOVERNMENT SECURITIES—1.0%

Bolivarian Republic of Venezuela RegS 5.750%, 2/26/16⁽⁴⁾	$	2,000		$	1,575
Republic of Argentina PIK Interest Capitalization 8.280%, 12/31/33		3,068			2,255

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $4,051)					3,830


ASSET-BACKED SECURITIES—0.8%

AmeriCredit Automobile Receivables Trust 11-5, E 6.760%, 3/8/19		1,000			1,004
Harley-Davidson Motorcycle Trust 07-2, C 5.410%, 8/15/15		170			171
Miramax LLC 11-1A, A, 144A 6.250%, 10/20/21⁽³⁾		1,000			1,000
New Century Home Equity Loan Trust 05-A, A4W 5.035%, 8/25/35⁽²⁾		1,028			913

TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,138)					3,088


CORPORATE BONDS AND NOTES—10.2%

Consumer Discretionary—1.5%
American Axle & Manufacturing Holdings, Inc. 144A 9.250%, 1/15/17⁽³⁾		315			343
Boyd Gaming Corp. 9.125%, 12/1/18		150			143
Caesar’s Entertainment Operating Co., Inc.
11.250%, 6/1/17		140			149
12.750%, 4/15/18		80			64
Cengage Learning Acquisitions, Inc. 144A 10.500%, 1/15/15⁽³⁾		450			325
Cequel Communications Holdings I LLC / Cequel Capital Corp. 144A 8.625%, 11/15/17⁽³⁾		750			799
CityCenter Holdings LLC / CityCenter Finance Corp. 144A 7.625%, 1/15/16⁽³⁾		462			476
Gateway Casinos & Entertainment Ltd. 144A 8.875%, 11/15/17⁽³⁾		140	^CAD		139
HOA Restaurant Group LLC / HOA Finance Corp. 144A 11.250%, 4/1/17⁽³⁾		750			703
inVentiv Health, Inc. 144A 10.000%, 8/15/18⁽³⁾		270			248
Isle of Capri Casinos, Inc. 7.000%, 3/1/14		600			564
Landry’s Acquisition Co. 144A 11.625%, 12/1/15⁽³⁾		50			53
Landry’s Holdings, Inc. 144A 11.500%, 6/1/14⁽³⁾		200			197
Landry’s Restaurants, Inc. 11.625%, 12/1/15		166			176
Marina District Finance Co., Inc. 9.500%, 10/15/15		500			470


	PAR VALUE		VALUE

Consumer Discretionary —(continued)
Ono Finance II plc 144A 10.875%, 7/15/19⁽³⁾	$	315	$	282
Pittsburgh Glass Works LLC 144A 8.500%, 4/15/16⁽³⁾		225		218
Production Resource Group, Inc. 144A 8.875%, 5/1/19⁽³⁾		500		460

				5,809


Consumer Staples—0.3%
American Achievement Corp. 144A 10.875%, 4/15/16⁽³⁾		300		233
Yankee Candle Co., Inc. Series B, 8.500%, 2/15/15		750		761

				994


Energy—2.1%
Afren plc 144A 11.500%, 2/1/16⁽³⁾		760		752
Calumet Specialty Products Partners LP / Calumet Finance Corp. 144A 9.375%, 5/1/19⁽³⁾		333		325
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		450		457
Coffeyville Resources Inc. LLC / Coffeyville Finance, Inc., 144A 10.875%, 4/1/17⁽³⁾		700		787
Compagnie Generale de Geophysique-Veritas 7.750%, 5/15/17		546		556
Energy Partners Ltd. 8.250%, 2/15/18		1,250		1,194
Expro Finance Luxembourg SCA 144A 8.500%, 12/15/16⁽³⁾		1,200		1,062
Hercules Offshore, Inc. 144A 10.500%, 10/15/17(3)		685		670
Linn Energy LLC / Linn Energy Finance Corp. 144A 6.500%, 5/15/19⁽³⁾		186		185
MIE Holdings Corp. 144A 9.750%, 5/12/16⁽³⁾		430		387
Petroleos de Venezuela SA 5.250%, 4/12/17		475		306
Petroplus Finance Ltd. 144A 6.750%, 5/1/14⁽³⁾		1,350		823
Venoco, Inc. 8.875%, 2/15/19		875		792

				8,296


Financials—1.9%
Ally Financial, Inc. 4.500%, 2/11/14		625		605
Alta Mesa Holdings / Alta Mesa Finance Services Corp. 9.625%, 10/15/18		1,300		1,268
Ford Motor Credit Co., LLC
8.700%, 10/1/14		740		828
6.625%, 8/15/17		205		223
International Lease Finance Corp.
5.650%, 6/1/14		850		816


	PAR VALUE		VALUE

Financials—(continued)
5.750%, 5/15/16	$	455	$	423
JSC Severstal (Steel Capital SA) 144A 6.250%, 7/26/16⁽³⁾		890		830
SLM Corp.
6.250%, 1/25/16		750		729
8.450%, 6/15/18		475		489
Spansion LLC 7.875%, 11/15/17		275		252
Springleaf Finance Corp. 5.850%, 6/1/13		500		443
Yankee Candle Co. Holdings LLC / Yankee Finance, Inc. PIK Interest Capitalization 10.250%, 2/15/16		605		532

				7,438


Health Care—0.3%
Rotech Healthcare, Inc.
10.750%, 10/15/15		100		99
10.500%, 3/15/18		600		465
Select Medical Corp. 7.625%, 2/1/15		238		225
Symbion, Inc. 8.000%, 6/15/16		495		460

				1,249


Industrials—1.5%
ADS Tactical, Inc. 144A 11.000%, 4/1/18⁽³⁾		875		871
Atlas Air Pass-Through-Trust 98-1, A 7.380%, 1/2/18		1,007		1,007
AWAS Aviation Capital Ltd.,7% 144A 7.000%, 10/17/16⁽³⁾		1,229		1,235
Dematic SA 144A 8.750%, 5/1/16⁽³⁾		700		695
Kratos Defense & Security Solutions, Inc. 10.000%, 6/1/17		575		592
Liberty Tire Recycling 144A 11.000%, 10/1/16⁽³⁾		165		165
Oshkosh Corp. 8.250%, 3/1/17		1,150		1,202

				5,767


Information Technology—0.7%
CDW LLC / CDW Finance Corp.
PIK Interest Capitalization 11.500%, 10/12/15		17		18
8.500%, 4/1/19		725		734
Freescale Semiconductor, Inc. 10.125%, 12/15/16		450		476
iGate Corp. 144A 9.000%, 5/1/16⁽³⁾		1,025		1,064
Sorenson Communications, Inc. 144A 10.500%, 2/1/15⁽³⁾		750		521
SunGard Data Systems, Inc. 7.375%, 11/15/18		70		72

				2,885


	PAR VALUE		VALUE

Materials—1.5%
AbitibiBowater, Inc. 144A 10.250%, 10/15/18⁽³⁾	$	242	$	268
Appleton Papers, Inc. 144A 10.500%, 6/15/15⁽³⁾		625		620
Ardagh Packaging Finance plc 144A 7.375%, 10/15/17⁽³⁾		250		254
Berry Plastics Corp. 9.500%, 5/15/18		1,265		1,278
Catalyst Paper Corp. 7.375%, 3/1/14⁽⁶⁾		300		16
Cemex SAB de CV 144A 5.579%, 9/30/15⁽²⁾⁽³⁾		750		565
FMG Resources Ltd. 144A 8.250%, 11/1/19⁽³⁾		750		767
Fosun International Ltd. 144A 7.500%, 5/12/16⁽³⁾		600		528
Ineos Group Holdings plc 144A 8.500%, 2/15/16⁽³⁾		750		600
Verso Paper Holdings LLC / Verso Paper, Inc.
11.500%, 7/1/14		328		336
Series B, 4.179%, 8/1/14⁽²⁾		500		317
Series B, 11.375%, 8/1/16		560		232

				5,781


Telecommunication Services—0.4%
Clearwire Communications LLC / Clearwire Finance, Inc.
144A 12.000%, 12/1/15⁽³⁾		100		96
144A 12.000%, 12/1/15⁽³⁾		375		361
ITC DeltaCom, Inc. 10.500%, 4/1/16		700		719
Level 3 Financing, Inc. 4.202%, 2/15/15⁽²⁾		200		179
Nextel Communications, Inc. Series D 7.375%, 8/1/15		300		276

				1,631

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $42,364)				39,850


LOAN AGREEMENTS⁽²⁾—85.7%

Consumer Discretionary—25.2%
24 Hour Fitness Worldwide, Inc. Tranche B, 7.500%, 4/22/16		985		943
99 Cents Only Stores 0.000%, 12/4/18		1,000		996
Academy Sports and Outdoors 6.000%, 8/3/18		1,000		992
Acosta, Inc. Tranche B, 4.750%, 3/1/18		1,990		1,950
Advantage Sales & Marketing, Inc.
First lien 5.250%, 12/18/17		255		252
Second Lien 9.250%, 6/18/18		615		605
Affinity Gaming LLC (Herbest Gaming LLC) 10.000%, 12/31/15		2,078		2,090
Ameristar Casinos, Inc. Tranche B, 4.000%, 4/16/18		997		997


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
AMF Bowling Worldwide, Inc. Tranche B, 2.796%, 6/7/13	$	548	$	465
Atlantic Broadband Finance LLC Tranche B, 4.000%, 3/8/16		875		860
Avis Budget Group, Inc. Tranche B 6.250%, 9/22/18		469		473
Bourland & Leverich Supply Co. LLC 11.000%, 8/19/15		307		298
Boyd Gaming Corp. 3.796%, 12/17/15		2,375		2,272
Bresnan Broadband Holdings LLC Tranche B, 4.500%, 12/14/17		990		981
Brickman Group Holdings, Inc. Tranche B, 7.250%, 10/14/16		1,641		1,647
Burger King Holdings, Inc. Tranche B 4.500%, 10/19/16		1,293		1,272
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Company, Inc.)
Tranche B-2, 3.356%, 1/28/15		500		436
Tranche B-4, 9.500%, 10/31/16		1,568		1,566
Caesars Linq LLC/Caesars Octavius LLC Tranche B, 9.250%, 4/25/17		900		862
Carmike Cinemas, Inc. 5.500%, 1/27/16		756		752
Cedar Fair LP Tranche 1, 4.000%, 12/15/17		882		882
Cengage Learning Acquisitions, Inc. 2.550%, 7/3/14		885		757
Charter Communications Operating LLC Tranche B-1, 2.300%, 3/6/14		4		4
Chrysler Group LLC / Chrysler Group Co-Issuer, Inc. Tranche B, 6.000%, 5/24/17		2,983		2,830
CityCenter Holdings LLC First Lien 7.500%, 1/21/15		150		150
Clear Channel Communications, Inc. Tranche B, 3.946%, 1/29/16		1,683		1,250
Cumulus Media Holdings, Inc.
First Lien 5.750%, 9/16/18		2,000		1,965
Second Lien 7.500%, 3/18/19		1,000		977
Dave & Buster’s, Inc. 5.500%, 6/1/16		1,421		1,414
Delphi Automotive LLP Tranche B 3.500%, 3/31/17		407		406
DineEquity, Inc. Tranche B-1 4.750%, 10/19/17		757		748
Emmis Operating Co. Tranche B, 4.498%, 11/1/13		699		652
Entercom Radio LLC 6.750%, 11/23/18		2,400		2,400
Focus Brands, Inc. 5.583%, 11/5/16		1,010		1,004


	PAR VALUE			VALUE

Consumer Discretionary—(continued)
Fram Group Holdings, Inc./Prestone Holdings, Inc. Second Lien 10.500%, 1/29/18	$	500		$	484
Fram Group Holdings, Inc./Prestone Holdings, Inc. 6.500%, 7/29/17		1,496			1,498
Gateway Casinos & Entertainment Ltd. Tranche B, 6.000%, 5/12/16		982	^CAD		934
General Nutrition Center Tranche B 4.250%, 3/2/18		750			739
Getty Images, Inc. 5.250%, 11/7/16		1,206			1,210
Guitar Center, Inc. - Extended Term Loan 5.830%, 4/9/17		525			463
Gymboree Corp. 5.000%, 2/23/18		1,162			1,038
HHI Holdings LLC 7.375%, 3/21/17		1,489			1,474
Hubbard Radio LLC
First lien 5.250%, 4/28/17		1,020			1,007
Second Lien 8.750%, 4/30/18		600			597
Intelsat Jackson Holding SA (Intelsat Jackson Holding Ltd.)
3.391%, 2/1/14		1,000			955
Tranche B, 5.250%, 4/2/18		1,990			1,980
Isle of Capri Casinos 4.750%, 11/1/13		1,489			1,480
J.Crew Group, Inc. 0.000%, 3/7/18		995			937
Jo-Ann Stores, Inc. 4.750%, 3/16/18		995			951
Kalispel Tribal Economic Authority 7.500%, 2/25/17		973			905
KAR Auction Services, Inc. 5.000%, 5/19/17		995			985
Lamar Media Corp. Tranche B, 4.500%, 12/30/16		830			831
Landry’s Restaurants, Inc.
0.000%, 12/1/14		315			314
6.250%, 12/1/14		815			811
Las Vegas Sands LLC
Tranche DD-I, 1.930%, 5/23/14		76			74
Tranche B, 1.930%, 5/23/14		369			363
Tranche B, 2.930%, 11/23/16		1,233			1,184
Tranche DD-I, 2.930%, 11/23/16		248			239
Leslie’s Poolmart, Inc. Tranche B 4.500%, 11/21/16		1,015			998
Live Nation Entertainment, Inc. Tranche B, 4.500%, 11/7/16		491			489
MCC LLC (Mediacom Broadband Group) Tranche F, 4.500%, 10/23/17		985			960


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
Mediacom Illinois LLC (Mediacom Communications LLC) Tranche D, 5.500%, 3/31/17	$	1,329	$	1,321
Metaldyne LLC 5.250%, 5/18/17		1,040		1,029
MGM Mirage Tranche E, 7.000%, 2/21/14		3,989		3,919
Michaels Stores, Inc. Tranche B-2, 5.031%, 7/31/16		1,317		1,298
Midcontinent Communications Tranche B, 4.000%, 12/31/16		1,155		1,142
Neiman Marcus Group, Inc. 4.750%, 5/16/18		3,000		2,899
Nielsen Finance LLC
Tranche A, 2.276%, 8/9/13		547		542
Tranche B, 4.026%, 5/2/16		1,584		1,558
OSI Restaurant Partners, LLC
Tranche RC, 0.000%, 6/14/13		138		131
3.563%, 6/14/14		1,402		1,329
Ozburn-Hessey Holding Co., LLC 8.250%, 4/8/16		786		695
Pelican Products, Inc. 5.000%, 3/7/17		990		983
PetCo Animal Supplies, Inc. 4.500%, 11/24/17		1,485		1,450
Pilot Travel Centers LLC Tranche B, 4.250%, 3/30/18		695		695
Playboy Enterprises 8.250%, 3/6/17		460		441
Radio One, Inc. 7.500%, 3/31/16		607		566
Remy International, Inc. Tranche B, 6.250%, 12/16/16		495		489
Revel AC, Inc. Tranche B, 9.000%, 2/17/17		1,014		929
San Juan Cable Tranche B 6.000%, 6/9/17		995		968
Savers, Inc. 4.250%, 3/4/17		927		914
Sinclair Television Group, Inc. Tranche B 4.000%, 10/28/16		386		386
Sports Authority, Inc. (The) Tranche B, 7.500%, 11/16/17		1,089		1,054
SRAM LLC
First lien 5.250%, 6/7/18		418		420
Second Lien 8.500%, 12/7/18		571		577
Stackpole Powertrain International ULC 7.500%, 8/2/17		998		983
Tenneco, Inc. Tranche B, 4.796%, 6/3/16		493		493
Toys “R” Us, Inc. 6.000%, 9/1/16		1,852		1,831
Transtar Industries, Inc.
4.500%, 12/21/16		1,980		1,948
Tranche 2, 10.250%, 12/21/17		450		450
U.S. Security Associates Holdings, Inc


	PAR VALUE		VALUE

Consumer Discretionary—(continued)
1.500%, 7/28/17	$	163	$	162
Tranche B 6.000%, 7/28/17		835		827
UCI International, Inc. 5.500%, 7/26/17		1,262		1,267
Visant Corp. (Jostens) Tranche B, 5.750%, 12/22/16		2,698		2,538
Vision Solutions, Inc. 6.000%, 7/23/16		789		781
VWR Funding, Inc. 2.796%, 6/30/14		1,231		1,171

				98,234


Consumer Staples—4.7%
American Rock Salt Co. LLC 5.500%, 4/25/17		1,223		1,211
Amscan Holdings, Inc. 6.750%, 12/2/17		988		984
Dean Foods Co. Tranche B, 3.580%, 4/2/16		1,579		1,530
Del Monte Foods Co. 4.500%, 3/8/18		1,617		1,540
Dole Food Co.
Tranche C-2 5.000%, 7/8/18		1,294		1,290
Tranche B-2 5.143%, 7/8/18		697		695
JBS USA Holdings, Inc. 4.250%, 5/25/18		995		971
Revlon Consumer Products Corp. Tranche B, 4.750%, 11/19/17		1,892		1,876
Reynolds Group Holdings, Inc. Tranche B, 6.500%, 2/9/18		3,731		3,716
Rite Aid Corp. Tranche 5 4.500%, 3/3/18		972		929
Spectrum Brands Holdings, Inc. 5.000%, 6/17/16		1,307		1,308
U.S. Foodservice, Inc.
2.790%, 7/3/14		1,484		1,383
5.750%, 3/31/17		496		479
Yankee Candle Co., Inc. 2.950%, 2/6/14		378		375

				18,287


Energy—1.4%
Buffalo Gulf Coast Terminals 7.500%, 10/31/17		665		669
CITGO Petroleum Corp. Tranche C, 9.000%, 6/24/17		232		237
Frac Tech Services International 6.250%, 5/6/16		1,267		1,252
Helix Energy Solutions Group, Inc. 3.788%, 7/1/16		512		507
Hercules Offshore LLC 7.500%, 7/11/13		767		752
Walter Energy, Inc. Tranche B 4.000%, 4/2/18		1,905		1,891

				5,308


Financials—6.3%
Asurion LLC (Asurion Corp.)
First lien 5.500%, 5/24/18		1,193		1,173
Second Lien 9.000%, 5/24/19		1,250		1,235


	PAR VALUE		VALUE

Financials—(continued)
Capital Automotive LP Tranche B 5.000%, 3/11/17	$	1,420	$	1,395
CB Richard Ellis Services, Inc. Tranche D, 3.776%, 9/4/19		995		976
CNO Financial Group, Inc. Tranche B-1 6.250%, 9/30/16		1,021		1,021
Fifth Third Processing Tranche B-1 0.000%, 11/3/16		1,983		1,981
First American Payment Systems LP 6.750%, 11/1/16		934		932
Fortress Invest Group LLC (FIG) 5.750%, 10/7/15		145		144
International Lease Finance Corp. (Delos Aircraft, Inc.) Tranche 2 7.000%, 3/17/16		727		731
iPayment, Inc . 5.750%, 5/8/17		481		475
iStar Financial, Inc.
Tranche A-1 5.000%, 6/28/13		966		962
Tranche A-2 7.000%, 6/30/14		846		821
MIP Delaware, LLC (MIPL (LUX) S.A.R.L) 5.500%, 7/12/18		895		895
MoneyGram International, Inc. 4.500%, 11/17/17		1,914		1,890
Nuveen Investments, Inc.
First lien non-extended 3.502%, 11/13/14		1,380		1,322
First lien extended 6.013%, 5/13/17		1,045		1,007
Ocwen Financial Corp. 7.000%, 9/1/16		950		937
Pinnacle Foods Finance LLC 2.822%, 4/2/14		1,722		1,689
Re/Max International, Inc. 5.500%, 4/16/16		916		909
Realogy Corp.
4.400%, 10/10/16		89		79
First lien 4.691%, 10/10/16		625		560
Springleaf Financial Funding Co. (American General Finance Corp.) 5.500%, 5/10/17		950		830
Tomkins, LLC (Pinafore LLC) Tranche B-1, 0.000%, 9/29/16		383		383
TransUnion LLC 4.750%, 2/10/18		1,543		1,543
Walter Investments, Inc. 7.750%, 6/30/16		802		802

				24,692


Health Care—12.7%
Alere, Inc.
Tranche B-1 4.500%, 6/30/17		1,000		980
Tranche B 4.500%, 6/30/17		998		978
Alkermes, Inc. 6.750%, 9/16/17		1,500		1,494
Aptalis Pharma, Inc. (Axcan Intermediate Holdings, Inc.) 5.500%, 2/10/17		1,035		993


	PAR VALUE		VALUE

Health Care—(continued)
Ardent Medical Services, Inc. 6.500%, 9/15/15	$	1,883	$	1,870
Biomet, Inc. Tranche B, 3.388%, 3/25/15		977		956
Capsugel Holdings, Inc. 0.000%, 8/1/18		887		890
Catalent Pharma Solutions, Inc. (f/k/a Cardinal Health 409, Inc.) 2.546%, 4/10/14		979		943
Community Health Systems, Inc.
Tranche DD, 2.456%, 7/25/14		70		68
2.660%, 7/25/14		1,372		1,333
3.910%, 1/25/17		886		859
ConvaTec Ltd. 5.750%, 12/22/16		1,487		1,478
CRC Health Corp. Tranche B-2 5.079%, 11/16/15		1,482		1,356
Drumm Investors LLC (Golden Living) 5.000%, 5/4/18		1,741		1,527
Generic Drug Holdings, Inc.
6.500%, 4/8/16		802		788
Tranche DD, 6.500%, 4/8/16		110		108
Green Valley Ranch 0.000%, 6/17/16		960		895
Grifols, Inc. Tranche B, 6.000%, 6/1/17		995		995
HCA, Inc. Tranche B-3 3.546%, 5/1/18		1,326		1,259
HCR ManoCare, Inc. (HCR Healthcare LLC) 5.000%, 4/6/18		827		760
Health Management Associates, Inc. Tranche B 4.500%, 11/16/18		2,000		1,994
Houghton International, Inc. Tranche B-1 6.750%, 1/29/16		1,087		1,085
Iasis Healthcare LLC Tranche B, 5.000%, 5/3/18		1,985		1,923
InVentiv Health, Inc. (Ventive Health, Inc) 6.500%, 8/4/16		1,260		1,210
Kindred Healthcare, Inc. 5.250%, 6/1/18		1,244		1,161
Kinetic Concepts, Inc. 7.000%, 5/4/18		1,050		1,061
Medical Card Systems, Inc. 12.000%, 9/17/15(5)		247		206
MultiPlan, Inc. Tranche B, 4.750%, 8/26/17		925		883
National Mentor Holdings, Inc. Tranche B, 7.000%, 2/9/17		993		916
National Specialty Hospitals, Inc.
Tranche DD 0.750%, 2/3/17		223		217
8.250%, 2/3/17		1,268		1,233
NBTY, Inc. Tranche B-1 4.250%, 10/1/17		831		824
Onex Carestream Finance LP 5.000%, 2/25/17		744		671
Pharmaceutical Product Development, Inc. 6.250%, 12/5/18		2,000		1,991
Quintiles Transnational Corp. Tranche B, 5.000%, 6/8/18		1,493		1,469


	PAR VALUE		VALUE

Health Care—(continued)
Renal Advantage Holdings, Inc. Tranche B, 5.750%, 12/17/16	$	990	$	990
Res-Care, Inc. Tranche B, 7.250%, 12/22/16		1,485		1,418
Rural/Metro Operating Co. LLC 5.750%, 6/30/18		829		814
Select Medical Holdings Tranche B 5.755%, 6/1/18		1,493		1,425
Sheridan Healthcare, Inc. Tranche B, 4.046%, 6/15/14		296		284
Smile Brands, Inc. Tranche B, 7.000%, 12/21/17		743		741
Surgery Center Holdings, Inc. 6.500%, 2/6/17		1,246		1,162
Surgical Care Affiliates LLC Tranche A 5.500%, 6/30/18		1,493		1,343
Universal Health Services, Inc. Tranche B 3.750%, 11/15/16		1,657		1,656
Vanguard Health Holding Co., LLC (Vanguard Health System, Inc.) 5.000%, 1/29/16		1,451		1,434
Warner Chilcott Corp. (WC Luxco S.A.R.L.)
Tranche B-1 4.250%, 3/15/18		454		448
Tranche B-2 4.250%, 3/15/18		227		224
Tranche B-3 4.250%, 3/15/18		312		308

				49,621


Industrials—7.6%
Alliance Laundry Holdings LLC 6.250%, 9/30/16		981		981
Altegrity, Inc. (U.S. Investigations Services, Inc.) 3.037%, 2/21/15		1,260		1,173
API Technologies Corp. 7.750%, 6/27/16		828		791
ARAMARK Corp.
Letter of Credit 2, 0.145%, 7/26/16		33		32
Tranche B, 3.829%, 7/26/16		496		486
Brock Holdings Ill, Inc.
6.000%, 3/16/17		878		855
Second Lien 10.000%, 3/16/18		450		415
Ceridian Corp. 3.340%, 11/9/14		2,025		1,831
CHG Healthcare Services, Inc. First Lien 5.500%, 10/7/16		1,448		1,437
Delta Air Lines 5.500%, 4/20/17		995		945
Douglas Dynamics LLC 5.750%, 4/18/18		993		982
Ducommun, Inc. 5.500%, 6/28/17		580		571
Emergency Medical Services 5.250%, 5/25/18		990		966
Goodman Global, Inc. Second Lien 9.000%, 10/30/17		345		347


	PAR VALUE		VALUE

Industrials—(continued)
Harland Clarke Holdings Corp. (Clarke American Corp.) Tranche B, 2.844%, 6/30/14	$	2,175	$	1,847
Holdings Gaming Borrower LP Tranche B-1, 12.000%, 6/30/15		79		83
Husky Injection Molding System (Yukon Acquisition, Inc.) 6.500%, 6/29/18		1,493		1,492
Intelligrated, Inc. 7.500%, 2/17/17		950		945
Protection One, Inc. 6.000%, 6/4/16		1,190		1,181
Quad/Graphics, Inc. 4.000%, 7/26/18		998		988
ServiceMaster Co. (The)
Tranche DD, 2.800%, 7/24/14		171		164
3.148%, 7/24/14		1,716		1,643
SI Organization, Inc. 4.500%, 11/22/16		990		950
Star West Generation LLC 6.000%, 5/17/18		1,058		1,042
Swift Transportation Co., Inc. (The) 6.000%, 12/21/16		1,419		1,421
TASC, Inc. Tranche B, 4.500%, 12/18/15		497		496
Terex Corp. 5.500%, 4/28/17		1,596		1,608
Transdigm Group, Inc. 4.000%, 2/14/17		1,478		1,469
Vertrue LLC 5.250%, 8/16/14		938		297
Waste Industries USA, Inc. Tranche B 4.750%, 3/17/17		993		978
Zuffa LLC 7.500%, 6/19/15		1,014		1,011

				29,427


Information Technology—14.5%
Applied Systems, Inc.
First lien 5.500%, 12/8/16		990		971
Second Lien 9.250%, 6/8/17		334		324
Aspect Software, Inc. Tranche B, 6.250%, 5/7/16		983		982
Autotrader.com, Inc. Tranche B 0.000%, 12/15/16		1,188		1,190
Avaya, Inc. Tranche B-1 3.256%, 10/24/14		2,022		1,938
AVG Technologies N.V. 7.500%, 3/15/16		1,150		1,081
Ax Acquisition Corp. 0.000%, 5/9/18		995		943
CCC Information Services 0.000%, 11/11/15		668		668
CDW LLC
Non-Extended 3.778%, 10/10/14		1,835		1,783
Extended 4.000%, 7/15/17		1,082		1,029
CommScope, Inc. 5.000%, 1/14/18		1,519		1,511
CPI International Acquisition, Inc. (Catalyst Holdings, Inc.) Tranche B, 5.000%, 2/13/17		1,238		1,219
DataTel, Inc. 0.000%, 12/13/18		1,200		1,202
DynCorp International LLC 6.500%, 7/7/16		961		946


	PAR VALUE		VALUE

Information Technology—(continued)
Eagle Parent, Inc. 5.000%, 5/16/18	$	2,985	$	2,814
Edwards (Cayman Islands II) Ltd. 5.500%, 5/31/16		990		936
Emdeon, Inc. Tranche B 6.750%, 11/2/18		750		757
Fibertech Networks LLC (Firefox Merger Sub LLC) 6.750%, 11/30/16		190		190
Fidelity National Information Services, Inc. Tranche B 5.250%, 7/18/16		2,000		2,002
First Data Corp.
Tranche B-3, 3.440%, 9/24/14		1,729		1,573
4.294%, 3/26/18		2,500		2,101
Freescale Semiconductor, Inc. 4.520%, 12/1/16		2,330		2,235
ILC Industries LLC (Data Device Corp.) 7.250%, 12/23/16		585		568
Infor Enterprise Solutions Holdings, Inc. (Magellan Holdings, Inc.)
Tranche DD, 6.546%, 3/2/14		202		164
6.546%, 3/2/14		348		284
First lien extended 6.050%, 7/28/15		965		912
First lien delay draw 6.050%, 7/28/15		503		476
Instant Web, Inc.
3.671%, 8/7/14		672		635
Tranche DD, 3.671%, 8/7/14		70		66
Interactive Data Corp. Tranche B 4.500%, 2/11/18		2,471		2,441
Ipreo Holdings LLC 8.000%, 8/5/17		998		975
Lawson Software, Inc. (SoftBrands, Inc.) 6.750%, 7/5/17		1,496		1,462
MedAssets, Inc. 5.250%, 11/16/16		911		910
Microsemi Corp. Tranche B 5.750%, 2/2/18		990		990
Mood Media Corp. 7.000%, 5/6/18		1,294		1,204
NDS Finance Ltd. Tranche B 4.000%, 3/12/18		1,216		1,187
Novell, Inc. (Attachmate Corp.) 6.500%, 4/27/17		1,975		1,938
NuSil Technology LLC 5.250%, 4/7/17		675		663
RedPrairie Corp. 6.000%, 3/24/16		1,228		1,225
Scitor Corp. 5.000%, 2/15/17		941		903
Sensata Technologies BV 4.000%, 5/12/18		1,493		1,480
Smart Modular Technologies (Global), Inc. 8.250%, 8/26/17		499		454
SonicWALL, Inc. 8.375%, 1/23/16		666		668
Sorenson Communications, Inc. Tranche C 6.625%, 8/16/13		443		429
Sourcehov LLC (f/k/a Corpsource Finance Holdings, LLC) Tranche B, 6.625%, 4/28/17		1,244		1,050
Spansion LLC 4.750%, 2/9/15		707		699


	PAR VALUE		VALUE

Information Technology—(continued)
SRA International, Inc. 6.500%, 7/20/18	$	1,449	$	1,371
SSI Investments II Ltd. (Skillsoft) 6.500%, 5/26/17		920		915
Sungard Data Systems, Inc. Tranche A, 2.035%, 2/28/14		22		21
SymphonyIRI Group, Inc. (Information Resources, Inc.) Tranche 2011 5.000%, 12/1/17		498		495
Transaction Network Services, Inc. 6.000%, 11/18/15		283		283
Verifone Systems, Inc. 0.000%, 12/28/18		1,000		999
Vertafore, Inc. First lien 5.250%, 7/29/16		1,485		1,457
Wall Street Systems, Inc.
First lien 5.500%, 6/20/17		398		391
Second Lien 9.000%, 6/20/18		330		317

				56,427

Materials—6.7%
Anchor Glass Container Corp.
First lien 6.000%, 3/2/16		478		478
Second Lien 10.000%, 9/2/16		715		713
Armstrong World Industries, Inc. 4.000%, 3/10/18		743		738
Ashland, Inc. 3.750%, 8/23/18		997		1,002
Avantor Performance Materials, Inc. 5.000%, 6/24/17		640		624
AZ Chem US. Inc. 5.500%, 12/22/17		600		599
Berry Plastics Group, Inc. Tranche C, 2.278%, 4/3/15		2,713		2,595
Chemtura Corp. 5.500%, 8/29/16		500		503
CPG International, Inc. Tranche B, 6.000%, 2/18/17		990		926
General Chemical Corp. Tranche B, 5.000%, 10/6/15		1,467		1,462
Harko C.V.(OM Group, Inc.) Tranche B 5.750%, 8/2/17		1,190		1,184
Ineos Holdings Ltd.
Tranche B-2, 7.500%, 12/16/13		242		246
Tranche C-2, 8.000%, 12/16/14		277		283
JMC Steel Group 4.750%, 4/1/17		337		335
Momentive Performance Materials Tranche B-1B 3.813%, 5/5/15		2,964		2,833
Momentive Specialty Chemicals, Inc.
Tranche C-1B, 4.063%, 5/5/15		1,078		1,045
Tranche C-2B, 4.375%, 5/5/15		467		452


	PAR VALUE		VALUE

Materials—(continued)
New Sunward Holding BV Tranche B, 4.778%, 2/14/14	$	540	$	446
NewPage Corp. 8.000%, 3/8/13		1,150		1,160
Noranda Aluminum Acquisition Corp. Tranche B, 2.046%, 5/18/14		238		236
Norit Holding B.V. 6.750%, 7/10/17		858		866
Nortek, Inc. 5.583%, 4/26/17		1,489		1,457
Novelis, Inc. Tranche B 3.750%, 3/10/17		569		562
Omnova Solutions, Inc. 5.750%, 5/31/17		990		975
PQ Corp. 3.615%, 7/30/14		1,542		1,454
Pro Mach, Inc. 6.000%, 7/6/17		995		970
Solutia, Inc. Tranche 1, 3.500%, 8/1/17		488		489
Styron S.A.R.L. 6.000%, 8/2/17		571		496
Univar, Inc. Tranche B 5.000%, 6/30/17		985		952

				26,081


Telecommunication Services—4.1%
Knology, Inc. Tranche B 4.000%, 8/18/17		1,489		1,458
Level 3 Communications, Inc. Tranche A, 2.468%, 3/13/14		2,450		2,349
nTelos, Inc. Tranche B 4.000%, 8/7/15		898		889
Presidio, Inc. 7.250%, 3/31/17		1,388		1,381
Securus Technologies Holdings, Inc. (Securus Technologies, Inc.) 5.250%, 5/31/17		1,194		1,176
Sidera Networks, Inc. (RCN Corp.) 5.500%, 8/26/16		1,139		1,116
Syniverse Holdings, Inc. 5.250%, 12/21/17		1,485		1,487
tw Telecom Holdings, Inc. Tranche B-2, 3.550%, 12/30/16		454		452
U.S. TelePacific Corp. 5.750%, 2/23/17		1,614		1,501
Univision Communications, Inc. 4.546%, 3/31/17		2,266		2,024
West Corp. Tranche B-4 4.664%, 7/15/16		1,979		1,971

				15,804


Utilities—2.5%
AES Corp. 4.250%, 6/1/18		1,985		1,982
Gibson Energy, Inc. 5.750%, 6/15/18		2,985		2,985
New Development Holdings LLC 0.000%, 4/1/18		1,985		1,950
NRG Energy, Inc. 4.000%, 7/1/18		1,493		1,491

PAR VALUE

VALUE

Utilities—(continued)

Texas Competitive Electric Holdings Co., LLC Tranche 2014, 3.776%, 10/10/14

1,945

1,364

9,772

TOTAL LOAN AGREEMENTS

(Identified Cost $339,784)

333,653

TOTAL LONG TERM
INVESTMENTS—97.7%

(Identified cost $389,337)

380,421

SHARES

VALUE

SHORT-TERM
INVESTMENTS—3.4%

Money Market Mutual Funds—3.4%

BlackRock Liquidity Funds TempFund Portfolio - Insitutional Shares (seven-day effective yield 0.110%)

13,241,514

13,242

TOTAL SHORT-TERM INVESTMENTS

(Identified Cost $13,242)

13,242

TOTAL INVESTMENTS—101.1%

(Identified Cost $402,579)

393,663

⁽¹⁾

Other assets and liabilities,
net—(1.1)%

(4,220)

NET ASSETS—100.0%

389,443


Abbreviations:
ADS		American Depositary Share
PIK		Payment-in-Kind Security
plc		Public Limited Co.
SAB de CV		A variable capital company.

Footnote Legend:
⁽¹⁾		Federal Income Tax Information : For tax information at December 31, 2011, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.
⁽²⁾		Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2011.
⁽³⁾		Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, these securities amounted to a value of $19,907 or 5.1% of net assets.
⁽⁴⁾		Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under rules 903 and 904 of the Securities Act of 1933.
⁽⁵⁾		Illiquid security.
⁽⁶⁾		Securityin default.

Foreign Currencies:
CAD		Canadian Dollar

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2011 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of 18 diversified Funds and 4 non-diversified Funds (each a “Fund”), in the preparation of the Schedules of Investments. The preparation of the Schedules of Investments in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedules of Investments. Actual results could differ from those estimates and those differences could be significant.

Security Valuation procedures for the funds have been approved by the Board of Trustees. All internally fair valued securities, referred to below, are approved by a valuation committee appointed under the direction of the Board of Trustees.

The Funds utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.

— Level 2 – prices determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

— Level 3 – prices determined using significant unobservable inputs (including the valuation committee’s own assumptions in determining the fair value of investments)

A description of the valuation techniques applied to the Funds major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded, or if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Certain foreign securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market, or other regional and local developments) may occur between the time that foreign markets close (where the security is principally traded) and the time that the Fund calculates its net asset value (generally, the close of the New York Stock Exchange “NYSE”) that may impact the value of securities traded in these foreign markets. In such cases the Fund fair value foreign securities using an independent pricing service which considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, Financial Futures, Exchange Traded Funds, and certain indexes as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain Foreign Common Stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments such as Mortgage-Backed and Asset-Backed

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the valuation committee are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over the counter (OTC) derivative contracts, which include forward currency contracts and equity linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at their closing net asset value determined as of the close of regular trading on the NYSE (generally 4:00 p.m. Eastern time) each business day and are categorized as Level 1 in the hierarchy.

Short-term notes having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market and are generally categorized as Level 2 in the hierarchy.

A summary of the inputs used to value the Funds’ major categories of assets and liabilities, which primarily include investments of the Fund, by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Disclosures on derivative Instruments and hedging activities are intended to improve financial reporting for derivative instruments by enhanced disclosure that enables investors to understand how and why a fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a fund’s results of operations and financial position. Summarized below are the specific types of derivative instruments used by the Funds.

Forward Currency Contracts: A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers.

The Funds enter into forward foreign currency contracts in conjunction with the planned purchase or sale of foreign denominated securities in order to hedge the U.S. dollar cost of proceeds. This is done to protect the U.S. Dollar value of the portfolio. Forward currency contracts involve, to varying degrees, elements of market risk in excess of the amounts reflected on the Schedules of Investments. Risks arise from the possible movements in foreign exchange rates or if the counterparty does not perform under the contract.

Warrants and Rights: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board of Trustees’ approved fair valuation procedures.

Certain Funds may loan securities to qualified brokers through a securities lending agent agreement with Bank of New York Mellon (“BNY Mellon”). Under the terms of the agreement, the Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government. Cash collateral is invested in short-term money market fund. Dividends earned on the collateral and premiums paid by the borrower are recorded as income by the Fund net of fees and rebates charged by BNY Mellon for their services as securities lending agents and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.

Effective November 7, 2011, securities lending was suspended on all Virtus Funds.

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Fund’s Schedule of Investments where applicable.

Restricted securities are not registered under the Securities Act of 1933. Generally, 144A securities are excluded from this category, except where defined as illiquid.

At December 31, 2011, the Market Neutral Fund held the following illiquid and restricted security ($ reported in thousands):

The Fund will bear any costs, including those involved in registration under the Securities Act of 1933, in connection with the disposition of such securities.

At December 31, 2011, federal tax cost and aggregate gross unrealized appreciation (depreciation) of securities held by the funds were as follows:

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual

reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU No. 2011-04 and its impact on the financial statements has not been determined.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedules of Investments (“N-Q”) were available for filing, and has determined that the following subsequent event that requires recognition or disclosure in the financial statements.

At the Special Meeting of Shareholders held on January 31, 2012, shareholders of the Virtus Market Neutral Fund (the “Fund”) voted to replace the Fund’s current subadviser with Euclid Advisors LLC (“Euclid”) and F-Squared Institutional Advisors LLC (“F-Squared Institutional”). Effective February 6, 2012, the Fund’s name changed to Virtus Dynamic AlphaSectorSM Fund and its principal investment strategies, risks and advisory and subadvisory fee structures were modified.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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.

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.


Investments in Securities	Corporate Bonds And Notes

Balance as of September 30, 2011:	$	18

Accrued Discount/(Premium)		-

Realized Gain (Loss)		-

Change in Unrealized Appreciation (Depreciation)		-	^(c)

Purchases		-

Sales^(b)		-

Transfers Into Level 3^(a)		-

Transfers From Level 3 ^(a)		-


Balance as of December 31, 2011	$	18


Investments in Securities	Common Stocks

Balance as of September 30, 2011:	$	-

Accrued Discount/(Premium)		-

Realized Gain (Loss)		-

Change in Unrealized Appreciation (Depreciation)		(1	)

Purchases		64

Sales^(b)		-

Transfers Into Level 3^(a)		-

Transfers From Level 3 ^(a)		-


Balance as of December 31, 2011	$	63


	Total Value at December 31, 2011		Level 1 Quoted Prices
Equity Securities:
Exchange-Traded Funds	$	54,917	$	54,917
Mutual Funds		123,009		123,009
Short-Term Investments		392		392
Total Investments	$	178,318	$	178,318


	Total Value at December 31, 2011		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Corporate Bonds And Notes	$	66,880	$	—	$	66,862	$	18
Loan Agreements		2,145		—		2,145		—
Mortgage-Backed Securities		46,644		—		46,644		—
Municipal Bonds		2,013		—		2,013		—
U.S. Government Securities		34,565		—		34,565		—
Equity Securities:
Preferred Stock		1,778		—		1,778		—
Short-Term Investments		2,666		2,666		—		—
Total Investments	$	156,691	$	2,666	$	154,007	$	18



	Total Value at December 31, 2011		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs

Equity Securities:
Common Stocks	$	945,556	$	945,493	$	63
Preferred Stock		37,778		37,778		—
Short-Term Investments		28,259		28,259		—

Total Investments	$	1,011,593	$	1,011,530	$	63


	Total Value at December 31, 2011		Level 1 Quoted Prices		Level 3 Significant Unobservable Prices
Equity Securities:
Common Stocks	$	66,926	$	66,926	$	0	*
Preferred Stock		1,277		1,277		-
Short-Term Investments		392		392		-
Total Investments	$	68,595	$	68,595	$	0	*


	Total Value at December 31, 2011		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	5,137	$	5,136	$	1
Short-Term Investments		116		116		—
Total Investments	$	5,253	$	5,252	$	1


At December 31, 2011, the Fund had entered into forward currency contracts as follows (reported in 000’s):
Contracts to Receive		In Exchange for			Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	200		USD	210	BNY Mellon	1/24/12	$204	$		(6)
AUD	260		USD	262	BNY Mellon	1/24/12	$265	$		3

										(3)

Contracts to Sell		In Exchange for			Counterparty	Settlement Date	Value		Unrealized Appreciation (Depreciation)
AUD	2,100		USD	2,171	BNY Mellon	1/24/12	$2,141	$		30
AUD	200		USD	205	BNY Mellon	1/24/12	$204	$		1

										31

AUD Australian Dollar USD United States Dollar										28


Investments in Securities	Common Stocks Sold Short

Balance as of September 30, 2011:		$0

Accrued Discount/(Premium)		-

Realized Gain (Loss)		-

Change in Unrealized Appreciation (Depreciation)		(14)

Purchases		7

Sales^(b)		-

Transfers Into Level 3^(a)		-

Transfers From Level 3 ^(a)		-


Balance as of December 31, 2011	$	(7)


Investments in Securities	Total			Asset-Backed Securities			Corporate Bonds And Notes		Common Stocks

Balance as of September 30, 2011:	$	2,603		$	1,671		$	-	$	932

Accrued Discount/(Premium)		-	^(c)		-	^(c)		-		-

Realized Gain (Loss)		(320	)		(320	)		-		-

Change in Unrealized Appreciation (Depreciation)		83			337			-		(254	)

Purchases		-			-			-		-

Sales^(b)		(1,688	)		(1,688	)		-		-

Transfers Into Level 3^(a)		1,938			-			1,938		-

Transfers From Level 3 ^(a)		-			-			-		-


Balance as of December 31, 2011	$	2,616		$	-		$	1,938	$	678


Investments in Securities	Total		Preferred Stocks		Common Stocks

Balance as of September 30, 2011:	$	-	$	-	$	-

Accrued Discount/(Premium)		-		-		-

Realized Gain (Loss)		-		-		-

Change in Unrealized Appreciation (Depreciation)		-		21		(21	)

Purchases		46		2		44

Sales^(b)		-		-		-

Transfers Into Level 3^(a)		-		-		-

Transfers From Level 3 ^(a)		-		-		-



Balance as of December 31, 2011	$	46	$	23	$	23


Fund	Federal Tax Cost		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)

Allocator Premium AlphaSector^SM Fund	$	131,370	$	1,490	$	(1,485	)	$5

AlphaSector^SM Rotation Fund		413,527		29,332		(3,022	)	26,310
Alternatives Diversifier Fund		191,373		27,324		(40,379	)	(13,055)


Bond Fund	150,477	7,785	(1,571	)	6,214

CA Tax-Exempt Bond	53,607	4,328	(1,027	)	3,301

Foreign Opportunities Fund	753,094	277,013	(18,514	)	258,499

Global Commodities Stock Fund	20,797	607	(1,168	)	(561)

Global Infrastructure Fund	56,839	15,083	(1,842	)	13,241

Global Opportunities Fund	56,717	12,895	(1,017	)	11,878

Global Premium AlphaSector^SM Fund	65,694	1,063	(454	)	609

Global Real Estate Securities Fund	5,759	1,078	(207	)	871

Greater Asia ex Japan Opportunities Fund	7,293	1,452	(602	)	850

Greater European Opportunities Fund	4,248	1,180	(175	)	1,005

High Yield Fund	91,915	2,833	(2,180	)	653

International Equity Fund	19,171	847	(1,415	)	(568)

International Real Estate Securities Fund	20,475	3,222	(1,723	)	1,499

Market Neutral Fund (Long positions)	28,270	2,978	(2,843	)	135

Market Neutral Fund (Short positions)	(29,046)	2,880	(1,787	)	1,093

Multi-Sector Fixed Income Fund	267,466	11,595	(8,915	)	2,680

Multi-Sector Short Term Bond Fund	4,621,124	142,907	(91,027)		518,880

Premium AlphaSector^SM Fund	2,553,085	128,569	(16,622	)	111,947

Real Estate Securities Fund	749,906	392,562	(41,964	)	350,598

Senior Floating Rate Fund	402,660	2,046	(11,043	)	(8,997)


By (Signature and Title)*		/s/ George R. Aylward
		George R. Aylward, President
		(principal executive officer)


By (Signature and Title)*		/s/ W. Patrick Bradley
		W. Patrick Bradley, Vice President, Chief Financial Officer, and Treasurer
		(principal financial officer)