UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07989

Metropolitan West Funds

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Name and address of agent for service)

Registrant’s telephone number, including area code: (310) 966-8900

Date of fiscal year end: March 31

Date of reporting period: June 30, 2005

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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments.

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 82.58%
ASSET-BACKED SECURITIES — 22.82%3
Aames Mortgage Trust 2002-1 A3, 6.90%, 06/25/32	$	70,842	$	74,570
ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32		100,000		103,191
ABFS Mortgage Loan Trust 2002-2
A5, 6.41%, 07/15/33		58,859		60,838
A7, 5.22%, 07/15/33		144,494		145,065
ABFS Mortgage Loan Trust 2002-3 A, 4.26%, 09/15/33		692,757		693,183
ABFS Mortgage Loan Trust 2002-4 A, 4.43%, 12/15/33		419,567		417,902
Ameriquest Mortgage Securities, Inc. 2003-10 AF3, 3.23%, 12/25/33		477,354		476,102
Amortizing Residential Collateral Trust 2002-BC4 M2, 4.46%, 07/25/327		3,950,000		4,003,648
ARG Funding Corp. 2003-1A A1, 3.71%, 03/20/074,7		1,410,000		1,411,144
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1, 8.04%, 08/25/30		2,500,000		2,590,075
Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/056		1,327,000		27,785
Centex Home Equity 2001-B A6, 6.36%, 07/25/32		2,994,935		3,046,306
Centex Home Equity 2002-C M2, 4.46%, 09/25/327		2,250,000		2,263,043
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-1 2M2, 4.24%, 12/25/307		495,830		496,520
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 2M2, 4.71%, 11/25/317		779,104		784,902
CIT Group Home Equity Loan Trust 1998-1 A7, 6.30%, 01/15/13		116,324		116,531
CIT Group Home Equity Loan Trust 2002-1 MV2, 4.56%, 08/25/307		1,200,000		1,209,270
Conseco Finance 2000-C B2, 5.27%, 07/15/297		68,200		64,749
Conseco Finance 2001-A
IA5, 7.06%, 03/15/32		523,689		529,171
IIB1, 10.30%, 03/15/32		1,100,000		1,154,783
IM2, 8.02%, 03/15/32		312,438		327,078
Conseco Finance 2001-C A4, 6.19%, 03/15/30		125,788		128,015
Conseco Finance 2002-C AF4, 5.97%, 06/15/32		397,377		400,065
Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		318,322		322,181
Conseco Finance Securitizations Corp. 2001-3 A2, 5.16%, 05/01/33		65,282		65,325
Conseco Finance Securitizations Corp. 2001-4 A2, 5.15%, 09/01/33		249,112		249,636
Contimortgage Home Equity Loan Trust 1999-3 A6, 7.68%, 12/25/29		29,413		29,855
Countrywide Asset-Backed Certificates 2003-BC1 M1, 4.23%, 12/25/327		2,250,000		2,251,766
CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 5.01%, 03/25/327		1,316,019		1,317,866
CS First Boston Mortgage Securities Corp. 2001-MH29 A, 5.60%, 09/25/31		367,269		364,925
Deutsche Financial Capital Securitization LLC 1997-I A3, 6.75%, 09/15/27		539,556		550,850
EQCC Home Equity Loan Trust 1998-1 A5F, 6.85%, 01/15/28		101,339		101,427
EQCC Home Equity Loan Trust 1999-1 A4F, 6.13%, 07/20/28		62,504		62,852
EQCC Home Equity Loan Trust 1999-2 A4F, 6.75%, 08/25/27		1,710,964		1,727,380
Equity One ABS, Inc. 2003-4 AF3, 3.53%, 11/25/33		500,000		498,245
Fannie Mae Whole Loan 2003-W14 1A6, 5.82%, 09/25/43		1,000,000		1,021,435
First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		59,933		59,765
GE Capital Mortgage Services, Inc. 1998-HE1 A7, 6.47%, 06/25/28		23,592		23,553
GMAC Mortgage Corporation Loan Trust 1999-2 A4, 8.02%, 11/25/29		37,510		37,444
GMAC Mortgage Corporation Loan Trust 2000-CL1 B, 9.00%, 06/25/26		29,961		29,908
GMAC Mortgage Corporation Loan Trust 2003-GH1 A5, 5.60%, 07/25/34		125,000		126,722
Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		24,057		25,274
Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		65,560		69,928
Green Tree Financial Corp. 1998-6 A6, 6.27%, 06/01/30		132,747		134,608
Green Tree Financial Corp. 1999-1 A4, 5.76%, 11/01/18		164,225		165,003
Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		409,363		415,644
Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		793,169		794,530
Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		209,309		207,850
Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		105,034		105,100
Green Tree Home Improvement Loan Trust 1999-B M2, 10.54%, 07/15/26		124,919		125,676
Greenpoint Manufactured Housing 1999-3 1A4, 6.53%, 12/15/19		17,970		18,097
IMPAC Secured Assets Corp. 2001-2 A4, 7.87%, 04/25/327		1,614		1,611
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M2, 4.56%, 05/25/337		2,275,000		2,296,612
IndyMac Manufactured Housing Contract 1998-2 A4, 6.64%, 12/25/27		649,304		649,502
Irwin Acquisition Trust 2000-A1A M1, 8.85%, 07/25/104		111,471		112,546
Irwin Home Equity 2001-2 M2, 4.56%, 07/25/267		13,396		13,426
Irwin Home Equity 2003-A M2, 5.46%, 10/25/277		2,705,000		2,768,816
Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		106,144		107,843
Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		132,071		134,015
Mid-State Trust 6 A4, 7.79%, 07/01/35		80,280		85,637

Morgan Stanley Dean Witter Capital I Inc. 2002-HE1 M2, 4.61%, 07/25/327	1,600,000	1,629,141
Morgan Stanley Dean Witter Capital I Inc. 2002-HE2 M2, 4.56%, 08/25/327	1,650,000	1,661,662
New South Home Equity Trust 1999-1 A4, 6.75%, 03/25/26	240,815	241,879
Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28	13,863	14,174
Oakwood Mortgage Investors, Inc. 1998-B
A3, 6.20%, 01/15/15	19,672	20,149
A4, 6.35%, 03/15/17	984,868	1,013,152
Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18	148,355	149,601
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/106	117,714	21,613
Option One Mortgage Loan Trust 1999-2 A5, 7.26%, 05/25/297	163,638	163,344
Renaissance NIM Trust 2005-2 N, 5.19%, 07/25/354	2,000,000	2,000,000
Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30	105,096	105,222
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31	890,961	894,179
Residential Asset Mortgage Products, Inc. 2002-RS6 AI4, 4.66%, 02/25/31	338,436	338,275
Residential Asset Mortgage Products, Inc. 2002-RZ3
A4, 4.73%, 12/25/31	25,985	25,941
A5, 5.59%, 08/25/32	700,000	707,379
Residential Asset Mortgage Products, Inc. 2003-RS1 AI4, 4.50%, 03/25/31	479,290	478,892
Residential Asset Securities Corp. 1999-KS2 AI9, 7.15%, 07/25/30	141,725	142,314
Residential Asset Securities Corp. 2002-KS1 AI4, 5.86%, 11/25/29	260,968	261,531
Residential Asset Securities Corp. 2002-KS8 A4, 4.58%, 11/25/30	1,486,161	1,488,662
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7, 8.10%, 09/25/29	780,929	783,608
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7, 8.29%, 02/25/25	85,239	86,111
Saxon Asset Securities Trust 1999-3 AF6, 7.53%, 06/25/14	3,056	3,052
Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334,6	107,250	7,145
Terwin Mortgage Trust 2003-5SL
AX (IO), 10.00%, 10/25/346	282,414	19,006
M2, 5.36%, 10/25/347	1,100,000	1,115,812
Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6	824,167	98,136
Terwin Mortgage Trust 2004-10SL AX (IO), 6.00%, 09/25/344,6	18,700,000	1,399,003
Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/344,6	4,125,001	393,042
Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6	5,308,333	504,000
UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30	1,243	1,303
Vanderbilt Acquisition Loan Trust 2002-1 A2, 4.77%, 10/07/18	240,005	240,626
Vanderbilt Mortgage Finance 1999-B 1A4, 6.55%, 04/07/18	32,892	33,279
Vanderbilt Mortgage Finance 1999-D IA3, 7.06%, 10/07/17	26,557	26,901
Vanderbilt Mortgage Finance 2002-C A2, 4.23%, 02/07/15	1,566,413	1,562,442
Total Asset-Backed Securities (Cost $55,452,469)		55,227,365
CORPORATES — 11.36%2
Automotive — 2.09%
DaimlerChrysler NA Holding Corp., 3.61%, 03/07/077	1,140,000	1,136,927
Ford Motor Credit Co.,
7.60%, 08/01/05	175,000	175,395
4.31%, 09/28/077 (MTN)	1,600,000	1,547,131
General Motors Acceptance Corp.,
6.75%, 01/15/06	460,000	463,689
4.60%, 09/23/087 (MTN)	1,868,000	1,728,470
		5,051,612
Communications — 0.62%
Continental Cablevision Inc., 9.50%, 08/01/13	1,000,000	1,051,546
Sprint Capital Corp., 4.78%, 08/17/06	450,000	453,407
		1,504,953
Electric — 2.87%
CenterPoint Energy Resources Corp., 8.13%, 07/15/05	1,215,000	1,216,278
CenterPoint Energy Term Loan, 12.75%, 11/11/057,10	1,000,000	1,039,167
Entergy Gulf States, Inc., 3.73%, 12/01/097	550,000	551,827
NRG Energy Inc., Term Loan, 4.52%, 12/24/117,10	997,188	1,006,848
Pinnacle West Energy Corp., 4.00%, 04/01/074,7	1,200,000	1,200,793
Power Contract Financing LLC, 5.20%, 02/01/064	656,179	660,693
Texas Genco First Lien Term Loan B, 4.45%, 12/08/117,10	995,731	1,011,186
Virginia Electric & Power Co., 8.25%, 03/01/25	250,000	259,326
		6,946,118
Energy — 0.93%
Kerr McGee Corp. Bank Loan, 5.52%, 05/19/077,10	1,000,000	1,007,625
Tesoro Petroleum Corp., 9.63%, 11/01/08	1,154,000	1,231,895
		2,239,520

Entertainment — 0.89%
News America, Inc., 3.26%5, 02/28/218	3,703,000	2,156,998
Foreign Agencies — 0.12%
Pemex Finance Ltd., 8.02%, 05/15/07	286,667	297,126
Homebuilding — 1.08%
Ryland Group, Inc., 9.75%, 09/01/10	1,250,000	1,344,249
Schuler Homes, Inc., 9.38%, 07/15/09	1,200,000	1,258,302
		2,602,551
Lodging — 0.41%
La Quinta Inns, Inc., 7.40%, 09/15/05	1,000,000	1,006,250
Securities Brokerage — 0.89%
Credit Suisse First Boston London, 9.65%, 03/24/104,7	2,286,000	2,151,880
Technology — 0.33%
Ingram Micro Inc., 9.88%, 08/15/08	750,000	793,125
Transportation — 1.13%
Air 2 US A, 8.03%, 10/01/204	672,233	601,739
Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08	893,165	790,451
Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	537,553	496,180
Delta Air Lines Inc. 2003-1 G, 3.91%, 07/25/097	849,042	850,710
		2,739,080
Total Corporates (Cost $27,848,931)		27,489,213
MORTGAGE-BACKED — 46.92%3
Commercial Mortgage-Backed — 0.02%
Structured Asset Securities Corp. 1995-C4 G, 8.95%, 06/25/267	53,390	52,409
Non-Agency Mortgage-Backed — 22.91%
ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32	85,205	85,208
Banc of America Funding Corp. 2003-2 1A1, 6.50%, 06/25/32	196,959	201,760
Bank of America Mortgage Securities 2002-9 3A1, 6.00%, 10/25/17	36,825	36,748
Bank of America Mortgage Securities 2003-A 2A2, 4.57%, 02/25/33	68,752	69,049
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1, 6.50%, 08/25/334	2,366,187	2,414,396
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33	2,583,557	2,642,495
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1, 5.50%, 12/25/18	1,362,675	1,389,077
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.14%, 02/25/347	976,390	985,247
Countrywide Alternative Loan Trust 2004-J6 2A1, 6.50%, 11/25/31	2,021,820	2,067,944
CS First Boston Mortgage Securities Corp. 2002-29 2A3, 7.00%, 10/25/32	635,200	641,199
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2, 5.36%, 11/25/327	200,000	198,220
CS First Boston Mortgage Securities Corp. 2004-1 2A1, 6.50%, 02/25/34	2,821,777	2,881,502
Countrywide Alternative Loan Trust 2005-27 2A1, 2.42%, 08/25/357	3,485,000	3,518,979
DSLA Mortgage Loan Trust 2004-AR1 A2A, 3.67%, 09/19/447	1,775,164	1,772,419
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1, 4.85%, 11/19/327	312,702	312,957
First Horizon Mortgage Pass-Through Trust 2002-AR2 2A1, 5.28%, 12/27/327	407,965	410,653
First Horizon Mortgage Pass-Through Trust 2003-AR2 1A1, 4.39%, 07/25/337	801,076	796,694
Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/356,7	12,718,765	419,325
IndyMac INDX Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.62%, 12/25/346,7	8,900,972	322,660
IndyMac INDX Mortgage Loan Trust 2004-AR6 6A1, 5.53%, 10/25/347	1,504,528	1,535,831
IndyMac INDX Mortgage Loan Trust 2004-AR8 2A2A, 3.71%, 11/25/347	1,044,448	1,045,101
Mastr Adjustable Rate Mortgages Trust 2004-1 2A1, 3.49%, 01/25/347	990,592	989,543
Mastr Adjustable Rate Mortgages Trust 2004-13 3A2, 3.79%, 12/21/347	1,771,380	1,766,889
Mastr Adjustable Rate Mortgages Trust 2004-5 3A1, 4.50%, 06/25/347	1,163,021	1,170,354
Mastr Asset Securitization Trust 2002-6 B1, 6.13%, 10/25/32	1,427,018	1,424,410
Mastr Seasoned Securities Trust 2004-1 4A1, 5.23%, 10/25/327	1,647,568	1,690,446
Mastr Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32	2,258,324	2,323,515
Mastr Seasoned Securities Trust 2005-1 4A1, 5.92%, 10/25/327	1,999,471	2,030,557
Mellon Residential Funding Corp. 1998-TBC1 A3, 4.47%, 10/25/287	694,502	704,785
Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32	265,047	266,854
Residential Asset Mortgage Products, Inc. 2003-SL1 A11, 7.13%, 03/25/16	2,301,228	2,367,970
Residential Asset Mortgage Products, Inc. 2004-SL1
A2, 8.50%, 11/25/31	805,683	865,050
A7, 7.00%, 11/25/31	192,242	198,346
A8, 6.50%, 11/25/31	1,214,862	1,251,434

Residential Asset Securitization Trust 2004-IP2 2A1, 5.26%, 12/25/347	2,578,858	2,612,366
Residential Funding Mortgage Securities I, Inc. 2002-S19 A2, 6.00%, 12/25/32	6,663	6,652
Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/31	61,938	62,499
Structured Asset Securities Corp. 2002-8A 6A, 6.63%, 05/25/327	10,958	11,059
Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/344,6	19,307,683	366,846
Washington Mutual 2002-AR10 A6, 4.82%, 10/25/32	334,358	336,817
Washington Mutual 2002-AR17 2A, 3.65%, 11/25/427	2,041,571	2,053,565
Washington Mutual 2002-AR18 A, 4.14%, 01/25/337	1,689,194	1,690,167
Washington Mutual 2002-AR6 A, 3.90%, 06/25/427	677,748	684,957
Washington Mutual 2003-AR6 A1, 4.36%, 06/25/337	1,902,838	1,902,743
Washington Mutual 2005-AR1 A2A2, 3.38%, 01/25/457	2,019,609	2,020,518
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A, 5.00%, 02/25/18	874,119	877,671
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33	820,184	851,045
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34	681,634	703,420
Wells Fargo Mortgage Backed Securities Trust 2002-18 1A8, 6.00%, 12/25/32	462,243	465,724
		55,443,666
U.S. Agency Mortgage-Backed — 23.99%
Fannie Mae 1988-12 A, 8.25%, 02/25/187	331,749	382,778
Fannie Mae 1992-50 F, 3.84%, 04/25/077	144,961	145,461
Fannie Mae 1992-53 G, 7.00%, 04/25/07	80,888	82,392
Fannie Mae 1993-210 PL, 6.50%, 04/25/23	950,000	969,478
Fannie Mae 1993-80 S, 6.79%, 05/25/237	26,156	26,588
Fannie Mae 1994-55 S, 13.81%, 12/25/237	27,902	30,460
Fannie Mae 1997-23 PB, 6.63%, 01/25/22	165,334	170,171
Fannie Mae 1999-19 TD, 6.50%, 04/25/13	56,377	56,489
Fannie Mae 1999-41 PD, 6.50%, 08/25/13	20,006	20,043
Fannie Mae 2000-27 AN, 6.00%, 08/25/30	40,019	40,855
Fannie Mae 2001-31 SA, 10.89%, 11/25/177	2,113,008	2,194,773
Fannie Mae 2001-42 SB, 8.50%, 09/25/317	15,864	17,281
Fannie Mae 2001-60 JZ, 6.00%, 03/25/31	413,666	418,555
Fannie Mae 2001-68 PV, 6.00%, 11/25/18	250,000	257,262
Fannie Mae 2002-97 PD, 5.00%, 03/25/22	633,568	633,358
Fannie Mae 2003-124
IO (IO), 5.25%, 03/25/31	1,698,359	118,006
TS, 9.80%, 01/25/347	356,378	391,333
Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32	312,439	8,825
Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32	854,685	101,445
Fannie Mae 2003-6 UH (IO), 5.50%, 07/25/22	740,617	113,443
Fannie Mae 2003-7 PA, 4.50%, 03/25/20	1,815,619	1,814,543
Fannie Mae 2003-85 IE (IO), 5.50%, 06/25/29	294,690	29,640
Fannie Mae 2004-96 MT, 7.00%, 12/25/347	613,376	604,444
Fannie Mae 2005-47 SL, 7.50%, 06/25/357	1,201,332	1,209,404
Fannie Mae Pool 254190, 5.50%, 02/01/09	1,092,514	1,108,445
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	466,282	77,564
Fannie Mae Pool 545350, 6.50%, 11/01/16	2,590,665	2,698,727
Fannie Mae Pool 111643, 4.35%, 09/01/207	37,474	37,377
Fannie Mae Pool 190656, 6.50%, 02/01/14	690,601	720,334
Fannie Mae Pool 303683, 6.50%, 08/01/25	28,935	30,127
Fannie Mae Pool 523829, 8.00%, 11/01/19	854,607	919,771
Fannie Mae Pool 555098, 5.14%, 11/01/327	615,702	624,969
Fannie Mae Pool 555177, 4.88%, 01/01/337	673,792	679,184
Fannie Mae Pool 555207, 7.00%, 11/01/17	189,034	195,129
Fannie Mae Pool 567002, 8.00%, 05/01/23	329,499	354,261
Fannie Mae Pool 582521, 7.00%, 05/01/31	101,772	107,379
Fannie Mae Pool 630599, 7.00%, 05/01/32	604,270	637,601
Fannie Mae Pool 646884, 5.55%, 05/01/327	49,190	49,668
Fannie Mae Pool 647903, 4.33%, 04/01/277	452,865	460,802
Fannie Mae Pool 648860, 6.50%, 05/01/17	2,012,021	2,096,063
Fannie Mae Pool 655127, 7.00%, 07/01/32	209,605	221,120
Fannie Mae Pool 655133, 7.00%, 08/01/32	204,848	216,124
Fannie Mae Pool 655151, 7.00%, 08/01/32	311,842	328,803
Fannie Mae Pool 655928, 7.00%, 08/01/32	79,822	84,225
Fannie Mae Pool 735207, 7.00%, 04/01/34	2,128,417	2,243,517
Fannie Mae Pool 735575, 5.50%, 12/01/18	2,548,938	2,614,652
Fannie Mae Pool 762525, 6.50%, 11/01/33	282,721	292,864
Fannie Mae Pool 735686, 6.50%, 12/01/22	2,660,000	2,781,405
Freddie Mac 1214 KA, 4.08%, 02/15/227	38,301	38,569

Freddie Mac 1526 L, 6.50%, 06/15/23	80,413	83,212
Freddie Mac 1610 PM, 6.25%, 04/15/22	98,219	98,898
Freddie Mac 1625 FC, 3.42%, 12/15/087	52,153	51,672
Freddie Mac 1662 L, 3.45%, 01/15/197	19,443	19,297
Freddie Mac 1695 EA, 7.00%, 12/15/23	35,051	35,511
Freddie Mac 1702 TJ, 7.00%, 04/15/13	327,339	342,746
Freddie Mac 2043 CJ, 6.50%, 04/15/28	173,058	181,297
Freddie Mac 2161 PG, 6.00%, 04/15/28	49,971	50,652
Freddie Mac 2419 VG, 6.50%, 12/15/12	97,181	97,941
Freddie Mac 2451 SP, 9.86%, 05/15/097	17,453	18,624
Freddie Mac 2469 AK, 6.00%, 04/15/30	2,395,000	2,436,162
Freddie Mac 2500 PE, 6.00%, 06/15/31	1,206,403	1,227,919
Freddie Mac 2527 TI (IO), 6.00%, 02/15/32	1,139,081	151,230
Freddie Mac 2535 LI (IO), 5.50%, 08/15/26	139,395	10,298
Freddie Mac 2561 BX (IO), 5.00%, 05/15/17	1,103,665	149,060
Freddie Mac 2587 IH (IO), 5.00%, 08/15/25	2,000,000	214,174
Freddie Mac 2588 IG (IO), 5.50%, 03/15/32	1,493,942	165,309
Freddie Mac 2594 VK, 5.00%, 02/15/23	1,251,827	1,260,560
Freddie Mac 2625 IO (IO), 5.00%, 12/15/31	125,585	15,740
Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26	515,000	75,539
Freddie Mac 2642 BW (IO), 5.00%, 06/15/23	121,094	20,847
Freddie Mac 2657 LX (IO), 6.00%, 05/15/18	741,256	105,478
Freddie Mac 2809 HX (IO), 6.00%, 10/15/24	1,325,286	101,284
Freddie Mac 2835 IB (IO), 5.50%, 01/15/19	928,072	75,038
Freddie Mac 2856 ST, 7.00%, 09/15/23	811,009	821,780
Freddie Mac 2905 JG, 7.00%, 09/15/34	1,417,886	1,464,112
Freddie Mac 2911 Z, 5.00%, 06/15/32	1,670,023	1,654,593
Freddie Mac 2971 AB, 5.00%, 05/15/20	2,123,796	2,109,329
Freddie Mac Gold C90237, 6.50%, 11/01/18	396,316	412,769
Freddie Mac Gold C90474, 7.00%, 08/01/21	619,745	654,165
Freddie Mac Gold D93410, 6.50%, 04/01/19	482,679	502,730
Freddie Mac Gold G10616, 5.50%, 07/01/09	499,050	507,784
Freddie Mac Gold G11454, 5.50%, 07/01/15	1,476,308	1,513,892
Freddie Mac Gold P20295, 7.00%, 10/01/29	312,935	329,532
Freddie Mac Gold P50019, 7.00%, 07/01/24	30,028	31,341
Freddie Mac Pool 390381, 3.65%, 02/01/377	672,939	676,733
Freddie Mac Pool 775554, 3.73%, 10/01/187	14,943	15,087
Freddie Mac Pool 788498, 4.76%, 02/01/307	2,347,436	2,414,720
Freddie Mac Pool 865369, 5.51%, 06/01/227	9,423	9,632
Freddie Mac Pool E90474, 6.00%, 07/01/17	2,439,932	2,523,762
Government National Mortgage Association 2003-18 PI (IO), 5.50%, 10/20/26	231,197	3,559
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32	1,076,448	108,558
Government National Mortgage Association 2003-40 IW (IO), 5.50%, 07/20/29	235,000	25,670
Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29	100,000	14,974
Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21	479,345	24,445
Government National Mortgage Association 2003-95 SB, 9.02%, 09/17/317	575,809	589,454
Government National Mortgage Association 2004-2 FW, 4.51%, 01/16/347	944,441	954,986
Government National Mortgage Association 2004-41 IE (IO), 5.50%, 05/20/30	2,500,000	429,418
Government National Mortgage Association 2004-42 AB, 6.00%, 03/20/32	902,000	917,278
Government National Mortgage Association Pool 80546, 4.00%, 10/20/317	266,181	270,165
Government National Mortgage Association Pool 80614, 3.50%, 07/20/327	417,442	420,263
Government National Mortgage Association Pool 8339, 4.13%, 12/20/237	210,435	213,835
Government National Mortgage Association Pool 8684, 3.75%, 08/20/257	330,212	335,826
Government National Mortgage Association Pool 030092, 5.50%, 10/01/15	399,110	406,744
Government National Mortgage Association Pool 81018, 4.00%, 08/20/347	1,249,823	1,269,817
		58,071,148
Total Mortgage-Backed (Cost $114,071,620)		113,567,223
U.S. AGENCY SECURITIES — 1.48%
U.S. Agency Securities — 1.48%
Fannie Mae, 2.99%, 11/29/06	1,530,000	1,524,951
Freddie Mac, 3.84%, 06/02/097	2,060,000	2,059,920
Total U.S. Agency Securities (Cost $3,591,758)		3,584,871
Total Bonds (Cost $200,964,778)		199,868,672
SHORT TERM INVESTMENTS — 18.04%
Commercial Paper — 9.31%
Alcoa, Inc., 3.26%5, 07/18/05	2,400,000	2,396,317
Chariot Funding LLC, 3.28%5, 07/07/05	2,400,000	2,398,688
Ciesco LLC, 3.19%5, 07/22/05	2,365,000	2,360,613

Citigroup Funding Inc., 3.17%5, 07/22/05	2,100,000		2,096,129
General Electric Capital Corp., 3.25%5, 07/25/05	2,400,000		2,394,816
Kitty Hawk Funding Corp., 3.14%5, 07/12/05	2,355,000		2,352,748
National Rural Utilities, 3.19%5, 07/20/05	2,365,000		2,361,031
Park Avenue Receivables Corp., 3.09%5, 07/05/05	2,325,000		2,324,204
Preferred Receivables Funding Corp., 3.08%5, 07/08/05	1,500,000		1,499,104
Yorktown Capital LLC, 3.20%5, 07/18/05	2,365,000		2,361,426
			22,545,076
Money Market RIC — 0.72%
Dreyfus Cash Management	747,000		747,000
J.P. Morgan Prime Money Market Fund	997,000		997,000
			1,744,000
U.S. Agency Discount Notes — 8.01%
Fannie Mae,
2.96%5, 07/13/05	2,000,000		1,998,017
2.97%5, 07/13/05	3,300,000		3,296,727
2.99%5, 07/18/059	66,000		65,906
3.03%5, 08/05/059	33,000		32,902
Federal Home Loan Bank, 3.22%5, 07/27/05	6,400,000		6,385,163
Freddie Mac,
2.97%5, 07/01/05	4,500,000		4,500,000
3.22%5, 07/19/05	700,000		698,876
3.21%5, 07/26/05	2,413,000		2,407,638
3.21%5, 08/09/059	6,000		5,979
			19,391,208
Total Short Term Investments (Cost $43,680,339)			43,680,284
Total Investments — 100.62% (Cost $244,645,117)1			243,548,956
Liabilities Less Cash and Other Assets — (0.62)%			(1,507,649	)
Net Assets — 100.00%		$	242,041,307

WRITTEN CALL OPTIONS

Contracts (000’s)		Exercise Price		Proceeds		Market Value
3,703	News America, Inc. Expire July 2005	$	59.525	$	—	$	(963	)
	Total Written Call Options			$	—	$	(963	)

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized (Depreciation)
33	Euro Dollars Ninety Day, March 2007		(29,838	)
33	Euro Dollars Ninety Day, June 2006		(16,225	)
33	Euro Dollars Ninety Day, September 2006		(22,413	)
33	Euro Dollars Ninety Day, December 2006		(27,225	)
15	U.S. Treasury Two Year Note, September 2005		938
	Net unrealized (depreciation)	$	(94,763	)

SWAPS: INTEREST RATE

Notional Amount (000’s)		Unrealized Appreciation
2,201	Pay a fixed rate of 0.00% and the Fund will receive 3 month LIBOR plus 45 basis points from the counterparty. Counterparty: Morgan Stanley Dean Witter & Co. Expire 02/08/06	$	67,617

Notes:

¹ Cost for Federal income tax purposes is $244,645,117 and net unrealized appreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	3,579,706
Gross unrealized depreciation		(4,675,867	)
Net unrealized (depreciation)	$	(1,096,161	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $13,429,206 representing 5.55% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid Security.

⁷ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁸ Securities, or a portion there of, pledged as collateral with a value of $2,156,998 for options.

⁹ Securities, or a portion there of, pledged as collateral with a value of $104,787 on 132 short Euro futures contracts and 15 short U.S. Treasury Note futures contracts.

¹⁰ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
11/30/04	CenterPoint Energy Term Loan, 12.75%, 11/11/05	$	1,031,079	$	1,039,167	0.43	%
05/17/05	Kerr McGee Corp. Bank Loan, 5.52%, 05/19/07		1,000,000		1,007,625	0.42	%
12/20/04	NRG Energy Inc., Term Loan, 4.52%, 12/24/11		997,188		1,006,848	0.42	%
12/08/04	Texas Genco First Lien Term Loan B, 4.45%, 12/08/11		995,731		1,011,186	0.42	%
		$	4,023,998	$	4,064,826	1.69	%

* The aggregate value of fair valued securities is $16,033,189 which is 6.65% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(IO): Interest only

(MTN): Medium term note

See accompanying notes to portfolio of investments

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 95.18%
ASSET-BACKED SECURITIES — 19.21%3
ABFS Mortgage Loan Trust 2002-2 A7, 5.22%, 07/15/33	$	2,933,885	$	2,945,474
Aircraft Lease Portfolio Securitization Ltd. 1996-1 CX, 4.66%, 06/15/066		948,593		11,668
AMRESCO Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		316,951		313,979
ARG Funding Corp. 2003-1A B, 5.01%, 03/20/074,7		7,000,000		7,008,336
Bayview Financial Acquisition Trust 2005-A A1, 3.82%, 02/28/404,7		3,000,000		2,991,900
Bear Stearns Asset Backed Securities, Inc. 2000-2 M2, 8.28%, 08/25/30		5,995,000		6,393,085
Castle Trust 2003-1AW A1, 3.97%, 05/15/274,7		4,741,157		4,743,456
Conseco Finance 2001-A IM2, 8.02%, 03/15/32		1,874,628		1,962,467
Conseco Finance 2001-D A5, 6.19%, 11/15/32		1,500,000		1,542,182
Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		912,389		923,448
Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/336		20,125,000		805,000
Credit-Based Asset Servicing And Securitization LLC 2004-CB4 A2, 4.10%, 05/25/35		6,000,000		5,984,626
Credit-Based Asset Servicing And Securitization LLC 2004-CB7 AV2A, 3.49%, 10/25/347		5,209,151		5,213,344
Equity One ABS, Inc. 2002-2 AF3, 5.77%, 10/25/32		2,450,503		2,472,754
Equity One ABS, Inc. 2004-3 AF1, 3.47%, 07/25/347		4,254,109		4,257,604
First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		17,980		17,930
First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		163,709		153,493
Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		1,419,336		1,491,153
Green Tree Financial Corp. 1995-10
A6, 7.05%, 01/15/27		2,023,258		2,079,449
B1, 7.05%, 01/15/27		3,526,781		3,024,855
Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		2,800,906		2,802,657
Green Tree Home Improvement Loan Trust 1998-B HEM2, 7.33%, 11/15/29		1,225,012		1,227,255
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		1,356,772		1,359,069
Greenpoint Mortgage Funding Trust 2005-HE2 A1, 3.42%, 04/15/307		2,969,914		2,961,896
Irwin Acquisition Trust 2000-A1A M1, 8.85%, 07/25/104		3,479,074		3,512,629
Lehman ABS Manufactured Housing Contract 2001-B
AIO2 (IO), 1.10%, 10/15/056		275,500,000		1,200,078
AIOC (IO), 0.21%, 05/15/416,7		475,213,160		7,362,478
Mastr Asset Backed Securities Trust 2004-WMC3 A3, 3.46%, 10/25/347		3,913,987		3,917,189
Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		2,377,283		2,412,274
Metris Master Trust 2000-3 A, 3.52%, 09/21/097		8,970,000		8,979,632
New Century Home Equity Loan Trust 2004-4 A3, 3.45%, 02/25/357		7,002,310		7,007,252
North Street Referenced Linked Notes 2000-1A C, 4.94%, 04/28/114,6,7		3,500,000		1,397,900
Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18		132,097		133,206
Oakwood Mortgage Investors, Inc. 2002-B
A1, 3.45%, 05/15/137		894,111		795,265
A2, 5.19%, 09/15/19		579,454		503,581
AIO (IO), 6.00%, 05/15/106		16,694,079		3,065,166
Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/304,6		8,806,150		272,991
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4, 7.01%, 03/25/31		1,080,921		1,084,825
Residential Asset Mortgage Products, Inc. 2004-RS11 A1, 3.45%, 02/25/267		4,251,383		4,254,974
Structured Asset Investment Loan Trust 2004-1 A2, 3.51%, 02/25/347		2,704,490		2,707,060
Structured Asset Receivables Trust 2003-1, 3.65%, 01/21/104,7		5,427,982		5,401,385
Structured Asset Receivables Trust 2003-2, 3.55%, 01/21/094,7		2,256,590		2,241,809
Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		1,646,989		1,676,841
Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/334,6		4,674,800		311,459
Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346		8,556,552		575,856
Terwin Mortgage Trust 2004-1HE A1, 3.82%, 02/25/344,7		1,435,993		1,438,238
Terwin Mortgage Trust 2004-7HE A1, 3.86%, 07/25/344,7		1,685,951		1,686,971
Terwin Mortgage Trust 2005-9HGS A1, 4.00%, 07/25/354		10,545,000		10,484,039
Total Asset-Backed Securities (Cost $145,099,406)				135,110,178
CORPORATES — 29.99%2
Automotive — 5.79%
DaimlerChrysler NA Holding Corp., 3.61%, 03/07/077		8,000,000		7,978,432
Ford Motor Credit Co.,
6.50%, 01/25/07		1,000,000		1,007,546
4.39%, 03/21/077		7,213,000		7,064,217
6.63%, 06/16/08		6,420,000		6,344,867
4.71%, 01/15/107		3,200,000		2,936,291

General Motors Acceptance Corp.,
6.75%, 01/15/06	2,600,000	2,620,849
4.38%, 12/10/07 (MTN)	4,560,000	4,274,749
5.53%, 12/01/147	8,848,000	7,553,316
General Motors Corp., 7.20%, 01/15/11	1,018,000	946,740
		40,727,007
Banking — 1.16%
Bankamerica Institutional A, 8.07%, 12/31/264	2,250,000	2,439,747
Deutsche Bank Luxembourg SA, 6.83%, 12/28/074	4,128,000	4,345,360
J.P. Morgan Chase & Co. (MTN), 8.55%, 07/23/137	1,500,000	1,337,369
		8,122,476
Communications — 3.56%
CSC Holdings Inc., 7.25%, 07/15/08	2,805,000	2,826,038
New England Telephone & Telegraph Co., 7.65%, 06/15/07	4,964,000	5,235,347
Qwest Capital Funding Inc.,
6.25%, 07/15/05	3,125,000	3,125,000
7.75%, 08/15/06	7,250,000	7,449,375
SBC Communications Inc., 4.39%, 06/05/214	3,400,000	3,409,088
Sprint Capital Corp., 4.78%, 08/17/06	3,000,000	3,022,710
		25,067,558
Electric — 3.63%
American Electric Power Co., Inc., 4.71%, 08/16/07	6,270,000	6,322,655
Georgia Power Capital Trust VI, 4.88%, 11/01/427	7,360,000	7,415,016
Pinnacle West Energy Corp., 3.63%, 04/01/074,7	6,400,000	6,404,230
Power Contract Financing LLC, 5.20%, 02/01/064	2,549,214	2,566,752
Power Receivables Finance LLC, 6.29%, 01/01/12	2,729,053	2,839,048
		25,547,701
Entertainment — 0.84%
News America, Inc., 3.26%5, 02/28/218	10,097,000	5,881,503
Finance — 1.76%
MBNA Corp., 3.64%, 05/05/087	5,770,000	5,808,561
Meridian Funding Co. LLC, 3.32%, 10/06/084,7	6,547,865	6,553,424
		12,361,985
Foreign Agencies — 0.80%
Pemex Finance Ltd.,
9.69%, 08/15/09	1,700,000	1,870,043
8.88%, 11/15/10	3,334,000	3,773,405
		5,643,448
Insurance — 0.67%
Farmers Insurance Exchange Capital, 6.00%, 08/01/144	1,900,000	1,983,311
Odyssey Re Holdings Corp., 7.65%, 11/01/13	2,500,000	2,703,015
		4,686,326
Natural Gas — 1.08%
Sempra Energy,
4.62%, 05/17/07	5,000,000	5,025,845
3.75%, 05/21/087	2,575,000	2,581,466
		7,607,311
Real Estate Investment Trust (REIT) — 4.23%
CPG Partners LP, 8.25%, 02/01/11	3,330,000	3,883,063
Duke Realty LP, 3.70%, 12/22/067	2,917,000	2,920,110
EOP Operating LP, 3.70%, 10/01/107	3,204,000	3,224,326
Highwoods Properties Inc., 7.00%, 12/01/06	7,345,000	7,567,032
JDN Realty Corp., 6.95%, 08/01/07	5,000,000	5,216,415
Simon Property Group LP,
7.38%, 01/20/06	1,025,000	1,042,684
4.60%, 06/15/10	735,000	733,258
Westfield Capital Corp., 3.51%, 11/02/074,7	5,175,000	5,185,981
		29,772,869
Secured Assets — 0.80%
Ingress I Ltd. B-A, 7.38%, 03/30/404	6,000,000	5,613,750
Securities Brokerage — 0.91%
Credit Suisse First Boston London, 9.65%, 03/24/104,7	6,764,000	6,367,156
Technology — 0.26%
Deluxe Corp., 3.50%, 10/01/07	1,900,000	1,857,945

Transportation — 4.50%
Air 2 US A, 8.03%, 10/01/204	8,326,953	7,453,747
American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13	1,296,000	1,369,672
Continental Airlines Inc. 2001-1 A1, 6.70%, 12/15/22	1,430,057	1,397,038
Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19	3,369,955	3,353,339
Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20	4,045,472	4,052,376
Continental Airlines, Inc. 2002-1 G2, 6.56%, 08/15/13	2,105,000	2,238,502
Delta Air Lines, Inc. 2001-1
A1, 6.62%, 09/18/12	435,750	416,757
A2, 7.11%, 03/18/13	1,430,000	1,353,872
Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23	2,098,280	2,004,314
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/14	8,329,391	8,017,039
		31,656,656
Total Corporates (Cost $213,229,084)		210,913,691
MORTGAGE-BACKED SECURITIES — 30.54%3
Commercial Mortgage-Backed — 0.70%
Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184	3,000,000	3,184,218
Structured Asset Securities Corp. 1995-C4 G, 8.95%, 06/25/267	1,726,100	1,694,373
		4,878,591
Non-Agency Mortgage-Backed — 19.36%
Banco De Credito y Securitizacion SA 2001-1 AF, 8.00%, 05/31/104,6	3,842,471	1,332,569
BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6	4,031,439	1,398,103
Blackrock Capital Finance LP 1997-R2 AP, 7.31%, 12/25/354,7	42,750	45,276
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33	145,781	149,106
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.14%, 02/25/347	488,195	492,624
Commercial Mortgage Asset Trust 1999-C1 A1, 6.25%, 01/17/32	4,682,819	4,707,940
Countrywide Alternative Loan Trust 2005-16 A1, 4.15%, 06/25/357	9,251,883	9,402,226
Countrywide Alternative Loan Trust 2005-27 2A1, 2.42%, 08/25/357	4,910,000	4,957,872
CS First Boston Mortgage Securities Corp 2004-C5 A2, 4.18%, 11/15/37	5,800,000	5,770,519
DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 2.02%, 05/25/246,7	1,326,393	3,125
DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.14%, 01/25/264,6,7	1,417,433	1,800
DLJ Mortgage Acceptance Corp. 1997-CF1 A1B, 7.60%, 05/15/304	1,332,279	1,394,260
Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/356,7	35,251,040	1,162,192
IndyMac INDX Mortgage Loan Trust 2004-AR12 A1, 3.70%, 12/25/347	7,756,007	7,767,246
IndyMac INDX Mortgage Loan Trust 2004-AR8 2A2A, 3.71%, 11/25/347	7,302,055	7,306,619
IndyMac Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.62%, 12/25/346,7	25,105,685	910,081
Mastr Adjustable Rate Mortgages Trust 2004-1 2A1, 3.49%, 01/25/347	3,901,283	3,897,150
Mastr Adjustable Rate Mortgages Trust 2004-5 3A1, 4.50%, 06/25/34	6,147,399	6,186,158
Mastr Asset Securitization Trust 2002-6 B1, 6.13%, 10/25/32	8,172,058	8,157,124
Mastr Seasoned Securities Trust 2004-1 4A1, 5.23%, 10/25/327	6,590,271	6,761,785
Mastr Seasoned Securities Trust 2005-1 4A1, 5.92%, 10/25/327	8,612,766	8,746,668
Prudential Home Mortgage Securities 1995-A 2B, 8.73%, 03/28/25	41,045	41,045
Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31	4,313,719	4,450,687
Residential Asset Mortgage Products, Inc., 6.50%, 07/25/32	9,579,086	9,888,649
Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16	111,484	113,978
SLH Mortgage Trust 1990-1 G, 9.60%, 03/25/21	14,176	14,151
Washington Mutual 2002-AR17 2A, 3.65%, 11/25/427	7,757,970	7,803,549
Washington Mutual 2002-AR18 A, 4.14%, 01/25/337	3,991,696	3,993,994
Washington Mutual 2004-AR10 A2A, 3.38%, 07/25/447	7,216,966	7,208,796
Washington Mutual 2004-AR12 A4A, 3.38%, 10/25/447	7,409,399	7,402,325
Washington Mutual 2005-AR2 2A21, 3.46%, 01/25/457	7,793,468	7,807,402
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1, 5.00%, 03/25/18	6,859,730	6,898,316
		136,173,335
U.S. Agency Mortgage-Backed — 10.48%
Fannie Mae 1993-95 SB, 15.05%, 06/25/087	104,745	118,868
Fannie Mae 1997-44 SB (IO), 4.38%, 06/25/087	1,321,905	58,293
Fannie Mae 1997-76 FS, 3.70%, 09/17/277	172,595	173,931
Fannie Mae 2001-60 JZ, 6.00%, 03/25/31	901,255	911,907
Fannie Mae 2003-90 UD (IO), 5.50%, 10/25/26	6,731,818	848,824
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	1,452,907	241,685
Fannie Mae Pool 555177, 4.87%, 01/01/337	287,485	289,785
Fannie Mae Pool 567002, 8.00%, 05/01/23	345,191	371,132
Fannie Mae Pool 735575, 5.50%, 12/01/18	9,784,791	10,037,052
Fannie Mae Pool 735686, 6.50%, 12/01/22	9,620,000	10,059,066
Fannie Mae TBA, 5.00%, 07/15/20	5,952,000	6,018,960

Freddie Mac 1164 O (IO), 8.98%, 11/15/067		30,501	626
Freddie Mac 2174 PN, 6.00%, 07/15/29		10,097,456	10,413,200
Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		2,128,383	287,457
Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		7,398,898	783,917
Freddie Mac 2625 (IO), 5.00%, 12/15/31		7,869,989	986,388
Freddie Mac 2962 CJ, 5.50%, 11/15/23		8,986,796	9,183,100
Freddie Mac Gold A24156, 6.50%, 10/01/31		4,498,804	4,668,431
Freddie Mac Gold C46104, 6.50%, 09/01/29		117,946	122,591
Freddie Mac Gold E96701, 5.00%, 05/01/18		345,112	349,371
Freddie Mac Gold G11707, 6.00%, 03/01/20		8,400,194	8,691,579
Freddie Mac Gold P50019, 7.00%, 07/01/24		247,658	258,493
Freddie Mac Pool 390381, 3.77%, 02/01/377		288,402	290,028
Freddie Mac Pool 786781, 4.99%, 08/01/297		508,320	524,142
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		4,463,320	450,120
Government National Mortgage Association 2003-40 IW (IO), 5.50%, 07/20/29		6,047,273	660,563
Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21		3,977,496	202,840
Government National Mortgage Association Pool 1849, 8.50%, 08/20/24		5,229	5,753
Government National Mortgage Association Pool 2020, 8.50%, 06/20/25		16,957	18,660
Government National Mortgage Association Pool 2286, 8.50%, 09/20/26		8,730	9,509
Government National Mortgage Association Pool 2487, 8.50%, 09/20/27		51,327	55,877
Government National Mortgage Association Pool 422972, 6.50%, 07/15/29		105,188	110,066
Government National Mortgage Association Pool 80589, 4.63%, 03/20/327		612,901	625,539
Government National Mortgage Association Pool 80968, 4.00%, 07/20/347		5,831,886	5,892,041
			73,719,794
Total Mortgage-Backed (Cost $220,628,038)			214,771,720
U.S. AGENCY SECURITIES — 5.15%
U.S. Agency Securities — 5.15%
Fannie Mae,
2.63%, 01/19/076		3,412,000	3,352,863
3.25%, 01/15/08		6,518,000	6,432,177
5.00%, 04/06/10		4,982,000	5,026,429
Freddie Mac,
3.00%, 09/29/06		6,965,000	6,884,965
2.88%, 12/15/066		14,710,000	14,524,375
			36,220,809
Total U.S. Agency Securities (Cost $36,159,388)			36,220,809
U.S. TREASURY SECURITIES — 10.29%
U.S. Treasury Notes — 10.29%
U.S. Treasury Notes,
3.00%, 12/31/06		65,068,000	64,491,042
3.00%, 11/15/07		7,996,000	7,882,313
			72,373,355
Total U.S. Treasury Securities (Cost $72,457,817)			72,373,355
Total Bonds (Cost $687,573,733)			669,389,753
	Shares
PREFERRED STOCK — 0.43%
Finance — 0.43%
Woodbourne Pass-Through Trust, 4.27%, 12/31/494		30	3,003,750
Total Preferred Stock (Cost $3,000,000)			3,003,750
	Principal Amount
SHORT TERM INVESTMENTS — 6.25%
Commercial Paper — 4.47%
DaimlerChrysler NA Holding Corp., 3.11%5, 07/07/05	$	7,345,000	7,340,924
General Electric Capital Corp.,
3.11%5, 07/15/05		6,950,000	6,941,621
3.27%5, 07/28/05		9,645,000	9,621,418
National Rural Utilities, 3.29%5, 07/27/05		6,000,000	5,985,787
Preferred Receivables Funding Corp., 3.15%5, 07/18/05		1,547,000	1,544,706
			31,434,456
Money Market RIC — 0.96%
J.P. Morgan Prime Money Market Fund		6,768,000	6,768,000
U.S. Agency Discount Notes — 0.82%
Freddie Mac, 3.21%5, 07/26/05		5,770,000	5,757,178
Total Short Term Investments (Cost $43,959,940)			43,959,634
Total Investments — 101.86% (Cost $734,533,673)1			716,353,137

Liabilities Less Cash and Other Assets — (1.86)%		(13,060,996	)
Net Assets — 100.00%	$	703,292,141

WRITTEN CALL OPTIONS :

Contracts (000’s)			Exercise Price		Proceeds		Market Value
10,097	News America, Inc. Expire July 2005	$	59.525	$	—	$	(2,625	)
	Total Written Call Options			$	—	$	(2,625	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)			Unrealized   (Depreciation	)
478	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Ace Securities Corp. 2004-RM2 B1, 5.01% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(8,790	)
478	Pay a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Aegis Asset Backed Securities Trust 2004-5 B3, 6.81% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(21,220	)
478	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R6 M3, 5.46% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(6,998	)
478	Pay a fixed rate equal to 1.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CDC Mortgage Capital Trust 2004-HE3 B2, 5.26% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(6,215	)
478	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-12 MV8, 4.65% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(7,969	)
478	Pay a fixed rate equal to 2.05% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 5.46% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(7,969	)
796	Pay a fixed rate equal to 3.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC1 B, 4.81% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(13,283	)
796	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC2 M8, 5.46% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(13,283	)
478	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GSAMP Trust 2005-HE1 B2, 5.01% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(7,353	)
478	Pay a fixed rate equal to 3.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Equity Asset Trust 2004-8 B3, 6.41% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(16,685	)
478	Pay a fixed rate equal to 2.03% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Long Beach Mortgage Loan Trust 2004-2 M6, 5.56% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(6,159	)
478	Pay a fixed rate equal to 2.10% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Mastr Asset Backed Securities Trust 2004-WMC2 M5, 5.71% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(4,553	)
478	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-HE6 B2, 5.26% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(7,558	)

796	Pay a fixed rate equal to 2.07% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-NC5 B2, 5.56% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(6,234	)
478	Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 6.01% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(26,316	)
478	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 5.16% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(7,260	)
	Net unrealized (depreciation)	$	(167,845	)

SWAPS: INTEREST RATE

Notional Amount (000’s)			Unrealized   Appreciation
6,000	Pay a fixed rate of 0.00% and the Fund will receive 3 month LIBOR plus 45 basis points from the counterparty. Counterparty: Morgan Stanley Dean Witter & Co. Expire 02/08/06	$	184,371

Notes:

¹ Cost for Federal income tax purposes is $734,533,673 and net unrealized depreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	26,716,201
Gross unrealized depreciation		(44,896,737	)
Net unrealized (depreciation)	$	(18,180,536	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $270,047,656 representing 20.36% of total assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid Security.

⁷ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁸ Securities, or a portion there of, pledged as collateral with a value of $5,881,503 for options.

* The aggregate value of fair valued securities is $78,766,514, which is 11.46% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(EMTN): Euro medium term note

(IO): Interest only

(MTN): Medium term note

(TBA): To be announced

See accompanying notes to portfolio of investments

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 94.00%
ASSET-BACKED SECURITIES — 16.28%3
ABFS Mortgage Loan Trust 2002-2 A7, 5.22%, 07/15/33	$	190,703	$	191,456
Bayview Financial Acquisition Trust 2005-B 1A1, 4.44%, 04/28/39		263,456		263,456
Bear Stearns Asset Backed Securities, Inc. 2001-A AI4, 6.82%, 02/15/31		153,746		155,089
Centex Home Equity 2002-D AIO (IO), 4.44%, 11/25/056,7		511,791		5,394
Centex Home Equity 2005-A AF1, 3.70%, 06/25/22		484,311		482,355
Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		300,000		310,668
Conseco Finance 2001-D A5, 6.19%, 11/15/32		500,000		514,061
Conseco Finance 2002-A A5, 7.05%, 04/15/32		426,847		446,009
Conseco Finance 2002-C BF2, 8.00%, 06/15/324		383,917		385,990
Credit-Based Asset Servicing And Securitization LLC 2004-CB8 AF1, 3.63%, 12/25/35		478,174		474,141
GMAC Mortgage Corporation Loan Trust 2000-CL1 B, 9.00%, 06/25/26		105,419		105,233
Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		800,000		126,106
Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		322		323
HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114		123,741		126,253
JP Morgan RV Marine Trust 2004-A A1, 3.12%, 04/15/114		462,295		457,528
Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		198,135		201,307
Metris Master Trust 2000-3 A, 3.52%, 09/21/097		300,000		300,322
Metris Master Trust 2001-2 A, 3.58%, 11/20/097		100,000		100,165
Mid-State Trust 2004-1 B, 8.90%, 08/15/37		405,066		439,549
Oakwood Mortgage Investors, Inc. 1997-A A5, 7.13%, 05/15/27		212,066		218,362
Oakwood Mortgage Investors, Inc. 2001-D
A2, 5.26%, 01/15/19		298,109		230,142
A3, 5.90%, 09/15/22		355,187		285,917
Oakwood Mortgage Investors, Inc. 2002-B A1, 3.45%, 05/15/137		99,346		88,363
Residential Asset Mortgage Products, Inc. 2004-RS12 AI2, 3.77%, 02/25/27		675,000		668,739
Structured Asset Receivables Trust 2003-1, 3.65%, 01/21/104,7		484,641		482,266
Terwin Mortgage Trust 2004-1HE A1, 3.82%, 02/25/344,7		113,867		114,045
Terwin Mortgage Trust 2005-9HGS A1, 4.00%, 07/25/354		755,000		750,635
UCFC Home Equity Loan 1998-D
BF1, 8.97%, 04/15/30		3,657		3,832
MF1, 6.91%, 04/15/30		494,826		503,645
Total Asset-Backed Securities (Cost $8,689,827)				8,431,351
CORPORATE BONDS — 25.94%2
Automotive — 4.11%
Ford Motor Co., 7.45%, 07/16/31		279,000		233,509
Ford Motor Credit Co.,
6.63%, 06/16/08		100,000		98,830
7.25%, 10/25/11		416,000		400,799
7.38%, 02/01/11		300,000		292,558
General Motors Acceptance Corp., 6.88%, 09/15/11		474,000		438,079
General Motors Corp.,
7.20%, 01/15/11		100,000		93,000
8.25%, 07/15/23		612,000		509,490
8.38%, 07/15/33		76,000		63,840
				2,130,105
Banking — 1.39%
Danske Bank A/S, 5.91%, 12/29/494,7		120,000		129,396
Greenpoint Capital Trust I, 9.10%, 06/01/27		227,000		251,735
National Capital Trust II, 5.49%, 12/29/494,7		327,000		337,353
				718,484
Communications — 2.05%
CSC Holdings Inc., 7.25%, 07/15/08		125,000		125,937
Qwest Corp.,
5.63%, 11/15/08		489,000		482,887
7.88%, 09/01/114		175,000		183,313
Sprint Capital Corp., 4.78%, 08/17/06		270,000		272,044
				1,064,181

Electric — 2.41%
Pinnacle West Energy Corp., 4.00%, 04/01/074,7	500,000	500,330
Power Contract Financing LLC, 5.20%, 02/01/064	164,047	165,176
Power Receivables Finance LLC, 6.29%, 01/01/124	562,406	585,074
		1,250,580
Entertainment — 0.85%
News America, Inc., 3.26%5, 02/28/218	756,000	440,370
Finance — 1.31%
Goldman Sachs Group, Inc., 5.00%, 10/01/14	250,000	253,158
Pemex Finance Ltd., 8.88%, 11/15/10	375,000	424,423
		677,581
Health Care — 0.77%
HCA, Inc., 5.25%, 11/06/08	400,000	400,510
Insurance — 3.55%
Fairfax Financial Holdings Ltd., 7.75%, 04/26/12	375,000	358,125
Farmers Exchange Capital,
7.05%, 07/15/284	410,000	444,682
7.20%, 07/15/484	115,000	125,418
Nationwide Mutual Insurance, Co., 6.60%, 04/15/344	440,000	460,695
Odyssey Re Holdings Corp., 7.65%, 11/01/13	200,000	216,241
Stingray Pass-Through Trust, 5.90%, 01/12/154	225,000	232,157
		1,837,318
Natural Gas — 1.50%
El Paso Corp., 7.00%, 05/15/11	300,000	300,750
Sempra Energy, 3.75%, 05/21/087	475,000	476,193
		776,943
Real Estate Investment Trust (REIT) — 3.51%
Colonial Realty LP, 4.75%, 02/01/10	586,000	581,989
CPG Partners LP, 8.25%, 02/01/11	330,000	384,808
EOP Operating LP, 4.10%, 10/01/107	450,000	452,855
Health Care Property Investors, Inc., 7.07%, 06/08/15	160,000	182,061
Prime Property Funding, 5.60%, 06/15/114	206,000	215,225
		1,816,938
Securities Brokerage — 0.81%
Credit Suisse First Boston London, 9.65%, 03/24/104,7	448,000	421,716
Transportation — 3.68%
Air 2 US A, 8.03%, 10/01/194	628,538	562,626
American Airlines, Inc. 1999-1 A2, 7.02%, 04/15/11	110,000	113,685
American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13	20,000	21,137
Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16	15,216	14,419
Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08	77,408	68,506
Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	162,473	149,968
Continental Airlines, Inc. 2000-1 A1, 8.05%, 05/01/22	248,402	249,894
Continental Airlines, Inc. 2000-2 A1, 7.71%, 10/02/22	80,140	80,264
Delta Air Lines, Inc. 2000-1 A1, 7.38%, 11/18/11	125,302	120,024
Delta Air Lines, Inc. 2001-1 A2, 7.11%, 03/18/13	10,000	9,468
Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23	154,654	147,728
Northwest Airlines, Corp. 1999-2 A, 7.58%, 09/01/20	83,939	84,760
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/147	242,941	233,830
United Air Lines, Inc. 2000-2
A1, 7.03%, 04/01/12	31,202	29,720
A2, 7.19%, 10/01/12	19,546	18,716
		1,904,745
Total Corporates (Cost $13,395,224)		13,439,471
MORTGAGE-BACKED — 27.76%3
Non-Agency Mortgage-Backed — 13.39%
ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32	45,109	45,110
Banc of America Mortgage Securities 2003-1 2A4, 5.00%, 02/25/18	378,359	380,605
Countrywide Alternative Loan Trust 2005-27 2A1, 2.42%, 08/25/357	745,000	752,264
First Horizon Mortgage Pass-Through Trust 2002-7 2A2, 5.25%, 12/25/17	566,347	567,388
First Union Commercial Mortgage Trust 1999-C1 A2, 6.07%, 10/15/35	625,000	658,965

Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/356,7	2,503,060	82,523
IndyMac INDX Mortgage Loan Trust 2004-AR6 6A1, 5.53%, 10/25/347	502,035	512,481
IndyMac INDX Mortgage Loan Trust 2004-AR8 2A2A, 3.71%, 11/25/347	558,553	558,902
IndyMac INDX Mortgage Loan Trust 2004-AR12 AX2, 0.62%, 12/25/346,7	1,789,534	64,871
Mastr Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32	512,360	527,150
Residential Asset Mortgage Products, Inc. 2003-SL1 A41, 8.00%, 04/25/31	285,919	297,964
Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31	316,496	326,545
Residential Asset Securitization Trust 2004-IP2 2A1, 5.26%, 12/25/347	507,957	514,557
Washington Mutual 2002-AR18 A, 4.14%, 01/25/337	227,651	227,782
Washington Mutual 2004-AR10 A2A, 3.38%, 07/25/447	564,085	563,446
Washington Mutual 2004-AR12 A4A, 3.38%, 10/25/447	559,114	558,580
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34	287,564	296,756
		6,935,889
U.S. Agency Mortgage-Backed — 14.37%
Fannie Mae 1993-80 S, 6.79%, 05/25/237	81,739	83,087
Fannie Mae 1993-225 SG, 13.37%, 12/25/137	332,395	374,966
Fannie Mae 1994-55 S, 13.81%, 12/25/237	111,607	121,841
Fannie Mae 2002-85 MI (IO), 5.50%, 01/25/22	39,197	254
Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32	294,061	8,306
Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28	475,753	45,342
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	281,571	46,838
Fannie Mae Pool 253974, 7.00%, 08/01/31	151,512	159,610
Fannie Mae Pool 527247, 7.00%, 09/01/26	438	464
Fannie Mae Pool 545646, 7.00%, 09/01/26	278	295
Fannie Mae Pool 549740, 6.50%, 10/01/27	193,262	201,220
Fannie Mae Pool 735575, 5.50%, 12/01/18	689,828	707,612
Fannie Mae Pool 764388, 4.98%, 03/01/347	681,301	675,550
Fannie Mae TBA,
5.00%, 07/15/20	447,000	452,029
5.00%, 07/15/35	984,000	984,307
6.50%, 07/15/35	188,000	194,580
Fannie Mae Mega, 6.50%, 04/01/22	730,000	763,318
Freddie Mac 1602 SN, 10.09%, 10/15/237	14,590	17,489
Freddie Mac 2174 PN, 6.00%, 07/15/29	736,744	759,781
Freddie Mac 2451 SP, 9.86%, 05/15/097	125,661	134,091
Freddie Mac 2561 BX (IO), 5.00%, 05/15/17	496,649	67,077
Freddie Mac 2571 MI (IO), 5.50%, 10/15/23	188,449	6,047
Freddie Mac 2845 PI (IO), 5.50%, 02/15/32	372,269	39,733
Freddie Mac Gold A33262, 5.50%, 02/01/35	379,803	385,466
Freddie Mac Gold G01673, 5.50%, 04/01/34	134,936	136,951
Freddie Mac Gold P50019, 7.00%, 07/01/24	50,332	52,534
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32	504,093	50,837
Government National Mortgage Association 2004-8 SE, 7.67%, 11/26/237	450,000	460,634
Government National Mortgage Association 2004-34 IA, 5.50%, 12/20/31	440,000	50,003
Government National Mortgage Association Pool 80968, 4.00%, 07/20/34	456,409	461,116
		7,441,378
Total Mortgage-Backed (Cost $14,454,756)		14,377,267
U.S. TREASURY SECURITIES — 24.02%
U.S. Inflation Index Notes — 3.63%
U.S. Treasury Notes,
2.00%, 07/15/14	875,000	930,896
1.63%, 01/15/15	933,000	947,487
		1,878,383
U.S. Treasury Bonds — 8.41%
U.S. Treasury Bonds, 4.25%, 11/15/14	4,254,000	4,355,203
U.S. Treasury Notes — 11.98%
U.S. Treasury Notes,
3.00%, 12/31/06	2,034,000	2,015,965
3.00%, 11/15/07	2,748,000	2,708,929
3.50%, 11/15/09	1,493,000	1,480,345
		6,205,239
Total U.S. Treasury Securities (Cost $12,409,172)		12,438,825
Total Bonds (Cost $48,948,979)		48,686,914

SHORT TERM INVESTMENTS — 10.31%
Commercial Paper — 5.79%
Credit Suisse First Boston NY, 3.08%5, 07/05/05	500,000		499,829
DaimlerChrysler NA Holding Corp., 3.21%5, 07/20/05	530,000		529,061
Kitty Hawk Funding Corp., 3.11%5, 07/19/05	475,000		474,264
National Rural Utilities, 3.30%5, 08/03/05	500,000		498,492
Park Avenue Receivables Corp., 3.06%5, 07/05/05	500,000		499,831
Preferred Receivables Funding Corp., 3.08%5, 07/08/05	500,000		499,701
			3,001,178
Money Market RIC — 2.18%
J.P. Morgan Institutional Prime Money Market	1,132,000		1,132,000
U.S. Agency Discount Notes — 2.34%
Freddie Mac,
2.97%5, 07/05/05	210,000		209,932
2.98%5, 07/05/05	500,000		499,835
2.99%5, 07/06/05	500,000		499,796
			1,209,563
Total Short Term Investments (Cost $5,342,788)			5,342,741
Total Investments — 104.31% (Cost $54,291,767)1			54,029,655
Liabilities Less Cash and Other Assets — (4.31)%			(2,233,581	)
Net Assets — 100.00%		$	51,796,074

WRITTEN CALL OPTIONS

Contracts (000’s)			Exercise Price		Proceeds		Market Value
756	News America, Inc. Expire July 2005	$	59.525	$	—	$	(197	)
	Total Written Call Options			$	—	$	(197	)

SWAPS: INTEREST RATE

Notional Amount (000’s)			Unrealized   Appreciation
449	Pay a fixed rate of 0.00% and the Fund will receive 3 month LIBOR plus 45 basis points from the counterparty. Counterparty: Morgan Stanley Dean Witter & Co. Expire 02/08/06	$	13,805

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)			Unrealized   (Depreciation	)
35	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Ace Securities Corp. 2004-RM2 B1, 5.01% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(643	)
35	Pay a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Aegis Asset Backed Securities Trust 2004-5 B3, 6.81% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(1,554	)
35	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R6 M3, 5.46% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(513	)
35	Pay a fixed rate equal to 1.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CDC Mortgage Capital Trust 2004-HE3 B2, 5.26% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(455	)

35	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-12 MV8, 5.11% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(584	)
35	Pay a fixed rate equal to 2.05% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 5.51% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(584	)
58	Pay a fixed rate equal to 3.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC1 B, 4.81% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(973	)
58	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC2 M8, 5.46% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(973	)
35	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GSAMP Trust 2005-HE1 B2, 5.01% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(539	)
35	Pay a fixed rate equal to 3.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Equity Asset Trust 2004-8 B3, 6.41% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(1,222	)
35	Pay a fixed rate equal to 2.03% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Long Beach Mortgage Loan Trust 2004-2 M6, 5.56% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(451	)
35	Pay a fixed rate equal to 2.10% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Mastr Asset Backed Securities Trust 2004-WMC2 M5, 5.71% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(334	)
35	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-HE6 B2, 5.26% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(554	)
35	Pay a fixed rate equal to 2.07% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-NC5 B2, 5.56% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(457	)
58	Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 6.01% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(1,928	)
35	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 5.16% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(532	)
	Net unrealized (depreciation)	$	(12,296	)

Notes:

¹ Cost for Federal income tax purposes is $54,291,767 and net unrealized appreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	857,220
Gross unrealized depreciation		(1,119,332	)
Net unrealized (depreciation)	$	(262,112	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $7,281,672 representing 14.09% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid security.

⁷ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁸ Securities, or a portion there of, pledged as collateral with a value of $440,370 for options.

* The aggregate value of fair valued securities is $2,562,625, which is 4.97% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(IO): Interest only

(MTN): Medium term note

(TBA): To be announced

See accompanying notes to portfolio of investments

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 95.97%
ASSET-BACKED SECURITIES — 19.05%3
ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32	$	9,891,000	$	10,206,663
AMRESCO Residential Securities Mortgage 1998-2 B1F, 7.72%, 06/25/28		422,601		418,639
Bayview Financial Acquisition Trust 2005-B 1A1, 4.44%, 04/28/39		7,376,775		7,376,775
Centex Home Equity 2002-D AIO (IO), 4.47%, 11/25/056		12,444,359		131,164
Centex Home Equity 2005-A AF1, 3.70%, 06/25/22		2,306,241		2,296,927
Centex Home Equity 2005-B AF1, 3.66%, 03/25/35		4,634,956		4,626,329
Conseco Finance 2001-A
IA5, 7.06%, 03/15/32		1,591,081		1,607,737
IM2, 8.02%, 03/15/32		2,499,503		2,616,623
Conseco Finance 2001-C
A4, 6.19%, 03/15/30		2,358,530		2,400,274
A5, 6.79%, 08/15/33		7,848,000		8,165,435
Conseco Finance 2002-C AF4, 5.97%, 06/15/32		1,496,008		1,506,127
Conseco Finance Securitizations Corp. 2000-4 A5, 7.97%, 05/01/32		6,500,000		5,396,370
Countrywide Asset-Backed Certificates 2004-12 2AV1, 3.46%, 07/25/237		9,928,490		9,936,129
Credit-Based Asset Servicing and Securitization LLC 2004-CB4, 4.10%, 05/25/35		3,325,000		3,316,480
DaimlerChrysler Auto Trust 2005-A A2, 3.17%, 09/08/07		13,000,000		12,966,957
Duke Funding I, Ltd. 1A B1, 8.27%, 11/10/354		17,000,000		17,201,875
Embarcadero Aircraft Securitization Trust 2000-A A1, 3.70%, 08/15/254,7		1,700,000		1,055,655
First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		376,531		353,034
FMAC Loan Receivables Trust 1998-A A3, 6.69%, 09/15/204		7,530,424		4,464,721
FMAC Loan Receivables Trust 1998-BA A2, 6.74%, 11/15/204		15,971,690		10,896,208
FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		4,544,253		4,359,577
GMAC Mortgage Corporation Loan Trust 2003-HE2 A2, 3.14%, 06/25/25		913,935		909,465
Green Tree Financial Corp. 1995-10 B1, 7.05%, 01/15/27		806,780		691,960
Green Tree Home Improvement Loan Trust 1998-B HEM2, 7.33%, 11/15/29		907,416		909,078
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		1,762,108		1,765,091
Greenpoint Mortgage Trust 2005-HE2 A1, 3.42%, 04/15/307		5,896,717		5,880,796
Home Equity Mortgage Trust 2004-3 A1, 3.57%, 10/25/347		6,069,325		6,077,685
IMPAC Secured Assets Corp. 2001-2 A4, 7.87%, 04/25/32		504		503
Keystone Owner Trust 1998-P2 A5, 7.90%, 01/25/294		3,729,585		3,822,113
Mastr Asset Backed Securities Trust 2004-WMC3 A3, 3.46%, 10/25/347		9,634,430		9,642,312
Metris Master Trust 2000-3 A, 3.52%, 09/21/097		15,135,000		15,151,252
Nissan Auto Receivables Owner Trust 2005-A A2, 3.22%, 07/16/07		3,270,000		3,260,422
North Street Referenced Linked Notes 2000-1A
C, 4.94%, 04/28/114,6,7		5,500,000		2,196,700
D1, 5.79%, 04/28/114,6,7		9,000,000		2,574,000
Oakwood Mortgage Investors, Inc. 2000-A M1, 8.30%, 04/15/30		7,500,000		520,313
Oakwood Mortgage Investors, Inc. 2001-D
A3, 5.90%, 09/15/22		515,020		414,580
A4, 6.93%, 09/15/31		2,174,801		1,765,315
Oakwood Mortgage Investors, Inc. 2002-B A2, 5.19%, 09/15/19		1,694,931		1,473,000
Pamco CLO 1998-1A B2, 4.56%, 05/01/104,7		5,250,000		4,891,950
Provident Bank Home Equity Loan Trust 1997-4 A3, 6.91%, 01/25/29		380,667		383,816
Prudential Structured Finance CBO 1A B2, 13.13%, 11/15/354		2,500,000		1,275,775
Prudential Structured Finance CBO 2000-1 EQ, 22.88%5, 10/15/35		2,903,461		1,298,390
Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30		122,204		122,351
Residential Asset Mortgage Products, Inc. 2000-RZ1 A3, 8.27%, 10/25/29		1,265,705		1,283,042
Residential Asset Mortgage Products, Inc. 2002-RZ1 A5, 6.60%, 03/25/32		2,658,572		2,692,263
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A 5.98%, 12/25/33		300,000		310,012
Residential Asset Mortgage Products, Inc. 2004-RS11 A1, 3.45%, 02/25/267		8,871,219		8,878,713
Residential Funding Mortgage Securities I 1999-HI6 AI7, 8.10%, 09/25/29		2,469,113		2,477,584
Residential Funding Mortgage Securities I 2000-HI1 A17, 8.29%, 02/25/25		1,420,643		1,435,177
Signature 1 CBO, 0.00%, 10/15/09		2,000,000		1,920,600
Signature 5 Ltd. 5A B2, 8.41%, 10/27/124		3,000,000		2,772,657
Structured Asset Receivables Trust 2003-1, 2.64%, 01/21/104,7		13,307,279		13,242,073
Structured Asset Receivables Trust 2003-2, 3.40%, 01/21/094,7		6,026,900		5,987,424
Terwin Mortgage Trust 2004-1HE A1, 3.82%, 02/25/344,7		3,162,981		3,167,924
Terwin Mortgage Trust 2004-7HE A1, 3.86%, 07/25/344,7		3,949,943		3,952,331
Terwin Mortgage Trust 2004-9HE A2, 3.47%, 09/25/344,7		7,481,141		7,481,141
Terwin Mortgage Trust 2005-7SL A1, 3.64%, 06/25/357		4,875,000		4,863,788
Van Kampen CLO II Ltd. 2A A2, 3.06%, 07/15/084,6,7		11,394,503		10,335,167
Vanderbilt Acquisition Loan Trust 2002-1 A4, 6.57%, 05/07/27		5,280,000		5,627,070
Total Asset-Backed Securities (Cost $268,946,147)				252,753,532

CORPORATES — 29.90%2
Automotive — 4.92%
Ford Motor Co.,
7.45%, 07/16/31	21,202,000	17,745,056
9.98%, 02/15/47	7,289,000	7,081,409
7.70%, 05/15/97	150,000	118,743
Ford Motor Credit Co.,
7.38%, 02/01/11	298,000	290,608
7.25%, 10/25/11	5,568,000	5,364,540
General Motors Acceptance Corp.,
6.75%, 01/15/06	2,858,000	2,880,918
6.88%, 09/15/11	296,000	273,568
General Motors Corp.,
8.25%, 07/15/23	29,719,000	24,741,068
8.38%, 07/15/33	4,544,000	3,816,960
2.92%5, 03/15/36	10,430,000	2,972,550
		65,285,420
Banking — 1.05%
Banc One Corp., 9.88%, 03/01/19	200,000	266,254
Bankamerica Institutional A, 8.07%, 12/31/264	350,000	379,516
BT Institutional Capital Trust Bank, 7.75%, 12/01/264	500,000	537,345
Crestar Capital Trust I, 8.16%, 12/15/26	1,500,000	1,631,138
First Chicago NBD Institution Capital A, 7.95%, 12/01/264	5,229,000	5,651,817
J.P. Morgan Chase & Co., 8.55%, 07/23/137	2,500,000	2,228,948
National Capital Trust II, 5.49%, 12/29/494,7	2,425,000	2,501,778
NationsBank Capital Trust III, 3.69%, 01/15/277	260,000	245,622
Wachovia Bank NA, 7.70%, 08/10/107	500,000	501,142
		13,943,560
Communications — 2.33%
Charter Communications Co. Term Loan A, 5.75%, 04/27/1010	5,000,000	4,941,825
Qwest Capital Funding, Inc., 7.75%, 8/15/06	24,670,000	25,348,425
Sprint Capital Corp., 4.78%, 08/17/06	325,000	327,460
Verizon North Inc., 5.63%, 01/01/214	250,000	252,743
		30,870,453
Electric — 3.23%
Calpine CCFC I Term Loan, 7.50%, 08/26/0910	7,688,049	8,011,585
Calpine Generating Co., 9.09%, 04/01/107	15,800,000	15,563,000
CenterPoint Energy Term Loan, 12.75%, 11/11/0510	10,500,000	10,911,254
East Coast Power LLC, 7.07%, 03/31/12	1,304,424	1,337,294
GWF Energy LLC, 6.13%, 12/30/114	5,684,450	5,626,707
Indianapolis Power & Light Co., 8.00%, 10/15/06	964,000	1,006,628
Potomac Electric Power Co., 5.88%, 10/15/08	125,000	130,584
Public Service Electric & Gas Co., 6.75%, 03/01/26	250,000	254,758
		42,841,810
Energy — 0.38%
Kerr McGee Corp. Bank Loan, 5.52%, 05/19/0710	5,000,000	5,038,125
Entertainment — 1.24%
News America Inc. 3.26%5, 02/28/219	28,256,000	16,459,120
Finance — 1.00%
Credit Suisse First Boston London, 9.65%, 03/24/104,7	14,058,000	13,233,217
Insurance — 4.32%
Arch Capital Group Ltd., 7.35%, 05/01/34	3,779,000	4,278,690
Corp-Backed Trust Certificates (IO), 1.25%, 10/15/296	60,000,000	7,826,880
Fairfax Financial Holdings Ltd., 7.75%, 04/26/12	7,165,000	6,842,575
Farmers Insurance Exchange Capital,
7.05%, 07/15/284	3,926,000	4,258,100
7.20%, 07/15/484	1,392,000	1,518,108
Farmers Insurance Exchange, 8.63%, 05/01/244	7,388,000	9,194,891
Nationwide Mutual Insurance Co., 6.60%, 04/15/344	13,706,000	14,350,634
Odyssey Re Holdings Corp., 7.65%, 11/01/13	4,200,000	4,541,065
TIG Holdings, Inc., 8.60%, 01/15/274	5,440,000	4,433,600
		57,244,543
Real Estate Investment Trust (REIT) — 0.95%
Equity One, Inc., 3.88%, 04/15/19	270,000	261,673
Highwoods Realty LP, 7.50%, 04/15/18	10,934,000	12,270,364
Prime Property Funding, 5.60%, 06/15/114	118,000	123,284
		12,655,321

Secured Assets — 1.66%
Ingress I Ltd.
B-A, 7.38%, 03/30/404	16,595,000	15,526,697
C-A, 8.01%, 03/30/404	12,671,190	6,473,711
		22,000,408
Securities Brokerage — 0.19%
Goldman Sachs Group, Inc. 5.125%, 01/15/15	2,425,000	2,474,616
Transportation — 8.63%
Air 2 US,
8.03%, 10/01/204	22,881,472	20,482,006
8.63%, 10/01/204,6	11,736,637	7,268,675
American Airlines, Inc. 1994 A4, 9.78%, 11/26/11	5,827,336	4,851,403
American Airlines, Inc. 1999-1 A2, 7.02%, 04/15/11	7,720,000	7,978,620
American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13	12,075,000	12,761,409
Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16	1,483,959	1,406,187
Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19	1,861,383	1,852,205
Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	765,944	706,992
Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20	473,660	474,468
Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21	10,721,825	10,814,029
Continental Airlines, Inc. 2000-1
A2, 7.92%, 11/01/11	2,000,000	2,044,970
A1, 8.05%, 05/01/22	3,146,425	3,165,319
Continental Airlines, Inc. 2000-2 A2, 7.49%, 04/02/12	2,000,000	2,022,696
Continental Airlines, Inc. 2001-1 A1, 6.70%, 12/15/22	1,613,149	1,575,903
Delta Air Lines, Inc. 2000-1
A1, 7.38%, 11/18/11	5,251,846	5,030,643
A2, 7.57%, 05/18/12	4,575,000	4,306,867
Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23	58,518	55,897
Northwest Airlines, Corp. 1999-2 A, 7.58%, 09/01/20	58,758	59,332
United Air Lines, Inc. 2.63%, 12/02/144,7	3,331,757	3,206,816
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/147	12,841,144	12,359,601
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/147	3,227,639	3,106,603
United Air Lines, Inc. 2000-2 A1, 7.03%, 04/01/12	7,800	7,430
United Air Lines, Inc. 2001-1 A1, 6.07%, 09/01/14	9,434,132	8,878,780
		114,416,851
Total Corporates (Cost $411,472,558)		396,463,444
MORTGAGE-BACKED — 21.45%3
Commercial Mortgage Backed — 3.48%
Beckman Coulter, Inc. 2000-A A, 7.50%, 12/15/184	22,250,000	23,616,284
GMAC Commercial Mortgage Securities Inc. 1998-C2 X (IO), 0.75%, 05/15/236,7	241,886,099	5,447,831
LB-UBS Commercial Mortgage Trust 2000-C4 A2, 7.37%, 08/15/26	15,155,000	17,095,061
		46,159,176
Non-Agency Mortgage Backed Securities — 7.39%
ABN Amro Mortgage Corp. 2002-1A 1A1, 5.85%, 06/25/32	80,193	80,196
Banco De Credito y Securitizacion 2001-1 AF, 8.00%, 05/31/104,6	4,391,395	1,522,936
Bank of America Mortgage Securities 2003-1 2A4, 5.00%, 02/25/18	272,418	274,036
BHN Mortgage Fund 1997-2
A1, 4.61%, 05/31/174,6,7,8	3,299,173	1,020,434
A2, 7.54%, 05/31/174,6,8	6,002,959	1,856,715
BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6	2,664,623	924,091
Blackrock Capital Finance LP 1997-R2 AP, 7.31%, 12/25/354,7	10,691	11,323
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2, 4.76%, 03/25/344	19,094,440	19,206,467
Countrywide Alternative Loan Trust 1999-2 B2, 7.50%, 01/25/29	3,273,694	3,283,631
Countrywide Alternative Loan Trust 2005-16 1A1, 3.99%, 06/25/357	18,699,573	19,003,441
Countrywide Alternative Loan Trust 2005-27 2A1, 2.41%, 06/25/35	19,720,000	19,912,270
DLJ Mortgage Acceptance Corp. 1992-Q7 A2, 5.60%, 09/25/227	20,999	20,976
DLJ Mortgage Acceptance Corp. 1994-Q8 IIS (IO), 2.02%, 05/25/246,7	213,477	503
DLJ Mortgage Acceptance Corp. 1994-QE1 S (IO), 3.96%, 04/25/244,6,7	695,827	884
DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.81%, 06/25/244,6	174,495	222
DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.09%, 11/25/256,7	1,211,822	1,539
DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.14%, 01/25/264,6,7	1,230,007	1,562
Harborview Mortgage Loan Trust 2005-1 X, 1.07%, 03/19/356,7	76,643,806	2,526,870
IndyMac INDX Mortgage Loan Trust 2004-AR5 2AIB, 3.71%, 08/25/347	347,259	346,059
IndyMac Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.62%, 12/25/346,7	50,002,512	1,812,591
J.P. Morgan Mortgage Trust 2003-A2 2A3, 4.71%, 11/25/33	305,000	302,999
J.P. Morgan Mortgage Trust 2004-A5 4A4, 4.90%, 12/25/34	400,000	401,753

Magnus Funding Ltd.
1A B, 4.52%, 06/15/114,6,7	4,554,295	400,095
1A C, 10.28%, 06/15/114,6	7,655,957	808,660
Mastr Seasoned Securities Trust 2004-1 4A1, 5.23%, 10/25/32	421,118	432,078
Mastr Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32	14,976,669	15,408,998
Morgan Stanley Dean Witter Capital I 2000-LIFE A2, 7.57%, 11/15/36	5,840,000	6,552,228
Ocwen Residential MBS Corp. 1998-R2 AP, 5.70%, 11/25/344,7	117,599	117,552
Residential Accredit Loans, Inc. 1998-QS16 B1, 6.50%, 11/25/13	193,171	192,820
Residential Asset Mortgage Products, Inc. 2004-SL1 A8, 6.50%, 11/25/31	215,976	222,477
Ryland Mortgage Securities Corp. 1994-5 M3, 4.16%, 10/25/237	570,830	518,325
Structured Asset Securities Corp. 1997-2 2A4, 7.25%, 03/28/30	87,803	87,617
Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/31	6,558	6,618
Structured Asset Securities Corp. 2002-8A 6A, 6.63%, 05/25/327	8,003	8,077
Structured Mortgage Asset Residential Trust 1991-7 I (IO), 8.50%, 12/25/226	10,800	2,244
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1, 5.00%, 03/25/18	305,116	306,832
Wells Fargo Mortgage Backed Securities Trust 2004-G A3, 4.77%, 06/25/34	445,000	447,020
		98,023,139
U.S. Agency Mortgage Backed Securities — 10.58%
Collateralized Mortgage Obligation Trust 57 D, 9.90%, 02/01/19	13,783	13,921
Fannie Mae 1989-27 Y, 6.90%, 06/25/19	3,616	3,739
Fannie Mae 1989-69 G, 7.60%, 10/25/19	1,978	2,109
Fannie Mae 1992-123 Z, 7.50%, 07/25/22	13,333	14,223
Fannie Mae 1992-83 Z, 7.00%, 06/25/22	98,372	101,256
Fannie Mae 1993-132 D (PO), 6.42%5, 10/25/22	756,758	671,590
Fannie Mae 1997-34 SA, 14.53%, 10/25/237	66,608	92,635
Fannie Mae 1993-199 SD (IO), 0.88%, 10/25/23	2,209,480	50,834
Fannie Mae 1993-29 PK 7.00%, 03/25/23	202,000	218,896
Fannie Mae 1994-55 H, 7.00%, 03/25/24	130,000	140,893
Fannie Mae 1997-44 SB (IO),4.49%, 06/25/087	462,667	20,403
Fannie Mae 2003-52 SV, 10.05%, 05/25/317	7,188,235	7,678,023
Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28	14,279,912	1,360,956
Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26	18,295,811	1,466,987
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	3,611,487	600,757
Fannie Mae G92-36 Z, 7.00%, 07/25/22	2,469	2,610
Fannie Mae Pool 233672, 4.56%, 09/01/237	36,558	38,133
Fannie Mae Pool 254232, 6.50%, 03/01/22	158,573	164,854
Fannie Mae Pool 308798, 4.89%, 04/01/257	21,164	21,729
Fannie Mae Pool 312155, 4.30%, 03/01/257	38,873	39,600
Fannie Mae Pool 545191, 7.00%, 09/01/31	123,187	129,762
Fannie Mae Pool 633698, 7.50%, 02/01/31	27,810	29,750
Fannie Mae Pool 655928, 7.00%, 08/01/32	252,070	265,973
Fannie Mae Pool 725257, 5.50%, 02/01/34	20,861,736	21,172,776
Fannie Mae Pool 735575, 5.50%, 12/01/18	19,178,190	19,672,623
Fannie Mae Pool 765387, 6.00%, 08/01/34	312,412	320,499
Fannie Mae TBA,
5.00%, 07/25/20	12,651,000	12,793,324
5.00%, 07/25/35	26,975,000	26,983,416
Freddie Mac 1004 H, 7.95%, 10/15/20	3,134	3,132
Freddie Mac 1073 G, 7.00%, 05/15/21	8,136	8,146
Freddie Mac 1164 O (IO), 8.98%, 11/15/067	30,501	626
Freddie Mac 1311 K, 7.00%, 07/15/22	19,247	19,235
Freddie Mac 1515 SA 8.61%, 05/15/08	53,103	55,728
Freddie Mac 1611 I, 6.00%, 02/15/23	3,211	3,211
Freddie Mac 165 K, 6.50%, 09/15/21	1,880	1,878
Freddie Mac 1980 Z, 7.00%, 07/15/27	1,113,237	1,166,477
Freddie Mac 2098 TZ, 6.00%, 01/15/28	724,000	754,016
Freddie Mac 2209 TC, 8.00%, 01/15/30	366,157	394,591
Freddie Mac 2312 JA, 6.50%, 02/15/30	65,733	65,837
Freddie Mac 2316 PB, 6.50%, 09/15/30	884,739	888,336
Freddie Mac 2430 GD, 6.50%, 11/15/30	3,314	3,312
Freddie Mac 2543 IE (IO), 5.50%, 08/15/21	1,321,755	17,661
Freddie Mac 2571 MI (IO), 5.50%, 10/15/23	129,965	4,170
Freddie Mac 2588 IQ (IO), 5.50%, 03/15/32	287,584	31,822
Freddie Mac 2603 LI (IO), 5.50%, 09/15/28	19,738,351	2,091,288
Freddie Mac 2625 (IO), 5.00%, 12/15/31	21,433,163	2,686,334
Freddie Mac 2627 NI (IO), 5.00%, 04/15/29	15,334,410	1,646,722
Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26	265,000	38,869
Freddie Mac 2642 BW (IO), 5.00%, 06/15/23	238,152	40,999
Freddie Mac 2845 PI (IO), 5.50%, 02/15/32	230,270	24,577
Freddie Mac Gold A24156, 6.50%, 10/01/31	6,839,204	7,097,075
Freddie Mac Gold C46104, 6.50%, 09/01/29	255,304	265,358
Freddie Mac Gold C55789, 7.50%, 10/01/27	90,319	96,997
Freddie Mac Gold C90573, 6.50%, 08/01/22	1,222,169	1,270,666

Freddie Mac Gold G01601, 4.00%, 09/01/33		273,922	259,918
Freddie Mac Gold G01611, 4.00%, 09/01/33		110,887	105,218
Freddie Mac Gold G01673, 5.50%, 04/01/34		4,937,005	5,010,751
Freddie Mac Gold G11707, 6.00%, 03/01/20		16,072,696	16,630,226
Freddie Mac Gold P50019, 7.00%, 07/01/24		2,084,502	2,175,699
Freddie Mac Pool 390381, 3.65%, 02/01/377		288,402	290,028
Government National Mortgage Association 2000-22 SG (IO), 7.56%, 05/16/307		6,241,265	954,216
Government National Mortgage Association 2001-2 PB, 7.00%, 07/20/30		528,471	533,945
Government National Mortgage Association 2002-69 SB (IO), 3.39%, 06/20/287		7,836,416	213,867
Government National Mortgage Association 2003-18 PI (IO), 5.50%, 10/20/26		172,168	2,651
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32		11,883,887	1,198,473
Government National Mortgage Association Pool 81018, 4.00%, 08/20/34		267,819	272,104
			140,396,430
Total Mortgage-Backed (Cost $285,767,786)			284,578,745
U.S. AGENCY SECURITIES — 3.56%
Foreign Sovereign — 1.11%
Indonesia Aid, 9.30%, 07/01/20		11,353,750	14,666,888
U.S. Agency Securities — 2.45%
Fannie Mae
7.13%, 03/15/07		18,547,000	19,564,396
3.25%, 01/01/08		13,054,000	12,882,118
			32,446,514
Total U.S. Agency Securities (Cost $47,587,759)			47,113,402
U.S. TREASURY SECURITIES — 22.02%
U.S. Inflation Index Notes — 3.46%
U.S. Treasury Notes,
2.00%, 07/15/14		25,434,000	27,058,759
1.63%, 01/15/15		18,606,000	18,894,899
			45,953,658
U.S. Treasury Bonds — 5.50%
U.S. Treasury Bonds, 6.13%, 11/15/27		57,787,000	72,996,770
U.S. Treasury Notes — 13.06%
U.S. Treasury Notes,
3.00%, 12/31/069		9,653,000	9,567,407
3.00%, 11/15/07		156,268,000	154,046,182
4.25% 11/15/14		9,482,000	9,707,577
			173,321,166
Total U.S. Treasury Securities (Cost $286,769,983)			292,271,594
Total Bonds (Cost $1,300,544,233)			1,273,180,717
	Shares
PREFERRED STOCK — 0.38%
Finance — 0.38%
Woodbourne Pass-Through Trust, 4.27%, 12/31/494		50	5,006,250
Total Preferred Stock (Cost $5,000,000)			5,006,250
	Principal Amount
SHORT TERM INVESTMENTS — 8.20%
Commercial Paper — 6.79%
Alcoa, Inc.,
3.11%5, 07/15/05	$	9,000,000	8,989,150
3.16%5, 07/15/06		4,850,000	4,844,059
Credit Suisse First Boston NY, 3.08%5, 07/07/05		13,435,000	13,430,417
DaimlerChrysler NA Holding Corp., 3.11%5, 07/07/05		23,000,000	22,987,235
Kitty Hawk Funding Corp., 3.11%5, 07/19/05		13,561,000	13,539,980
Park Avenue Receivables Corp., 3.06%5, 07/05/05		13,235,000	13,230,515
Preferred Receivable Funding Corp., 3.06%5, 07/05/05		13,000,000	12,995,594
			90,016,950
Money Market RIC — 0.33%
J.P. Morgan Institutional Prime Money Market		4,519,000	4,519,000
U.S. Agency Discount Notes — 1.08%
Fannie Mae,
2.98%5, 07/13/05		9,900,000	9,890,183
3.05%5, 07/18/05		4,500,000	4,493,540
			14,383,723
Total Short Term Investments (Cost $108,920,697)			108,919,673
Total Investments — 104.56% (Cost $1,414,464,930)1			1,387,106,640
Liabilities Less cash and Other Assets — (4.56)%			60,468,226
Net Assets — 100.00%			1,326,638,414

WRITTEN CALL OPTIONS

Contracts (000’s)		Exercise Price		Proceeds			Market Value
28,256	News America, Inc. Expire July 2005	$	59.525	$	—		$	(7,347	)
57	U.S. Treasury Bond, Expire September 2005		117.000		(74,542	)	$	(144,281	)
	Total Written Call Options			$	(74,542	)	$	(151,628	)

SWAPS: INTEREST RATE

Notional Amount (000’s)		Unrealized           Appreciation
16,791	Pay a fixed rate of 0.00% and the Fund will receive 3 month LIBOR plus 45 basis points from the counterparty. Counterparty: MorganStanley Dean Witter & Co. Expire 02/08/06	$	515,955

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized         (Depreciation)
1,006	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Ace Securities Corp. 2004-RM2 B1, 5.01% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(18,500	)
1,006	Pay a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Aegis Asset Backed Securities Trust 2004-5 B3, 6.81% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(44,660	)
1,006	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R6 M3, 5.46% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(14,730	)
1,006	Pay a fixed rate equal to 1.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CDC Mortgage Capital Trust 2004-HE3 B2, 5.26% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(13,080	)
1,006	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-12 MV8, 4.65% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(16,772	)
1,006	Pay a fixed rate equal to 2.05% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 5.46% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(16,772	)
1,676	Pay a fixed rate equal to 3.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC1 B, 4.81% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(27,955	)
1,676	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC2 M8, 5.46% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(27,955	)
1,006	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GSAMP Trust 2005-HE1 B2, 5.01% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(15,476	)
1,006	Pay a fixed rate equal to 3.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Equity Asset Trust 2004-8 B3, 6.41% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(35,116	)

1,006	Pay a fixed rate equal to 2.03% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Long Beach Mortgage Loan Trust 2004-2 M6, 5.56% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(12,962	)
1,006	Pay a fixed rate equal to 2.10% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Mastr Asset Backed Securities Trust 2004-WMC2 M5, 5.71% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(9,585	)
1,006	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-HE6 B2, 5.26% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(15,907	)
1,006	Pay a fixed rate equal to 2.07% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-NC5 B2, 5.56% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(13,120	)
1,676	Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 6.01% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(55,385	)
1,006	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 5.16% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(15,280	)
	Net unrealized (depreciation)	$	(353,255	)

Notes:

¹ Cost for Federal income tax purposes is $1,414,464,930 and net unrealized depreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	57,874,466
Gross unrealized depreciation		(85,232,756	)
Net unrealized (depreciation)	$	(27,358,290	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities Backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $270,047,656 representing 20.36% of total assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid Security.

⁷ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁸ Non-income producing security

⁹ Securities, or a portion there of, pledged as collateral with a value of $16,708,886 for options.

¹⁰ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees.

Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
08/07/03	Calpine CCFC I Term Loan, 7.50%, 08/26/09	$	7,917,921	$	8,011,585	0.61	%
05/09/03	CenterPoint Energy Term Loan, 12.75%, 11/11/05		10,706,157		10,911,254	0.82	%
02/25/05	Charter Communications Co. Term Loan A, 5.75%, 04/27/10		5,002,933		4,941,825	0.37	%
05/17/05	KERR McGee Corp. Bank Loan, 5.52%, 05/19/07		5,000,000		5,038,125	0.38	%
		$	28,627,011	$	28,902,789	2.18	%

* The aggregate value of fair valued securities is $193,189,404, which is 14.63%% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(IO) : Interest only

(MTN): Medium term note

(PO): Principal only

(TBA): To be announced

See accompanying notes to portfolio of investments

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 98.40%
ASSET-BACKED SECURITIES — 1.06%3
HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114	$	494,963	$	505,011
Total Asset-Backed Securities (Cost $491,255)				505,011
CORPORATES — 94.73%2
Automotive — 5.05%
Cooper-Standard Automotive, Inc.,
7.00%, 12/15/12		175,000		159,250
8.38%, 12/15/14		210,000		166,950
General Motors Acceptance Corp., 5.53%, 12/01/146		510,000		435,374
General Motors Corp., 8.38%, 07/15/33		760,000		638,400
Navistar International Corp., 7.50%, 06/15/11		750,000		768,750
Tenneco Automotive Inc., 8.63%, 11/15/14		225,000		227,250
				2,395,974
Banking — 1.24%
Aon Corp., 8.21%, 01/01/275		500,000		587,342
Basic Industry — 13.52%
Arch Western Finance, 6.75%, 07/01/13		500,000		518,750
Borden US Finance Corp./Nova Scotia Finance ULC, 7.89%, 07/15/104,6		627,000		628,567
Equistar Chemicals LP/Equistar Funding Corp., 10.63%, 05/01/11		750,000		831,562
Freeport - McMoRan Copper & Gold, Inc., 10.13%, 02/01/10		500,000		558,750
Huntsman Advanced Materials LLC, 11.00%, 07/15/10		500,000		567,500
Huntsman LLC, 10.64%, 07/15/116		500,000		535,000
Murray Bank Loan, 10.48%, 01/31/119		997,500		1,032,413
Nalco Co., 8.88%, 11/15/13		650,000		700,375
NewPage Corp., 9.42%, 05/01/124,6		350,000		352,625
Novelis, Inc., 7.25%, 02/15/154		150,000		151,313
Oregon Steel Mills, Inc., 10.00%, 07/15/09		500,000		541,250
				6,418,105
Capital Goods — 11.12%
Ainsworth Lumber Co. Ltd., 7.24%, 10/01/106		450,000		451,125
BE Aerospace, Inc., 8.50%, 10/01/10		250,000		277,500
Blount Inc., 8.88%, 08/01/12		250,000		268,750
Columbus McKinnon Corporation, 10.00%, 08/01/10		500,000		545,000
Crown Euro Holdings SA, 10.88%, 03/01/13		500,000		590,000
Euramax International Inc. Bank Loan, 10.49%, 06/29/139		500,000		507,735
Graham Packaging Co. Inc., 9.88%, 10/15/144		625,000		629,687
L-3 Communications Corp.,
6.13%, 07/15/13		250,000		252,500
5.88%, 01/15/15		500,000		487,500
Mueller Group Inc., 7.96%, 11/01/116		560,000		576,800
United Rentals North America Inc., 7.75%, 11/15/13		700,000		691,250
				5,277,847
Communications — 14.80%
Adelphia Communications Corp.,
19.09%7, 01/15/08		500,000		307,500
10.25%, 06/15/11		225,000		203,062
Cablevision Systems Corp., 7.89%, 04/01/096		215,000		216,613
CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13		1,000,000		990,000

Centennial Communications Corp., 8.13%, 02/01/14	500,000	535,000
Citizens Communications Co., 7.63%, 08/15/08	250,000	265,625
Dex Media East LLC/Dex Media East Financial Corp., 9.88%, 11/15/09	250,000	276,875
Level 3 Financing Inc. Bank Loan, 9.92%, 12/01/119	1,000,000	1,044,063
MCI Inc.,
5.91%, 05/01/07	250,000	254,062
8.74%, 05/01/14	500,000	561,875
PanAmSat Corp., 9.00%, 08/15/14	162,000	177,593
PanAmSat Holding Corp., 4.15%7, 11/01/14	200,000	138,500
Qwest Capital Funding, Inc., 7.75%, 08/15/06	500,000	513,750
Qwest Communications International Inc., 7.27%, 02/15/096	300,000	296,250
Qwest Corp., 5.63%, 11/15/08	125,000	123,437
RH Donnelly Financial Corp. I, 10.88%, 12/15/124	250,000	291,875
Rogers Wireless Communications Inc., 5.47%, 12/15/106	620,000	649,450
Rural Cellular Corp., 7.91%, 03/15/106	175,000	181,125
		7,026,655
Consumer Products — 0.58%
Jostens Holdings Corp., 3.78%7, 12/01/13	390,000	276,900
Electric — 10.44%
Aquila Inc., 8.00%, 3/01/2023	250,000	257,500
Calpine CCFC I Term Loan, 9.11%, 08/26/099	659,950	687,723
Calpine Generating Co.,
11.50%, 04/01/11	100,000	90,000
12.39%, 04/01/11	100,000	91,500
Cedar Brakes I LLC, 8.50%, 02/15/144	370,253	422,574
CenterPoint Energy Term Loan, 12.75%, 11/15/059	1,000,000	1,039,167
KGen Partners LLC Term Loan, 6.12%, 08/15/119	997,500	982,538
Midwest Generation LLC, 8.75%, 05/01/34	559,000	628,875
Mission Energy Holding Co., 13.50%, 07/15/08	250,000	298,125
Teco Energy, Inc., 5.37%, 05/01/104,6	450,000	457,312
		4,955,314
Energy — 10.28%
Chesapeake Energy Corp.,
7.50%, 06/15/14	150,000	163,500
7.00%, 08/15/14	750,000	798,750
Hilcorp Energy I LP/Hilcorp Finance Co., 10.50%, 09/01/104	1,000,000	1,110,000
Kerr McGee Corp. Bank Loan, 5.50%, 05/19/079	1,000,000	1,007,625
Parker Drilling Co., 8.08%, 09/01/106	350,000	365,750
Pogo Producing Co., 8.25%, 04/15/11	250,000	266,875
Pride International, Inc., 7.38%, 07/15/14	700,000	771,750
Range Resources Corp., 6.38%, 03/15/15	150,000	150,000
Tesoro Corp., 9.63%, 11/01/08	230,000	245,525
		4,879,775
Entertainment — 1.68%
Intrawest Corp., 7.50%, 10/15/13	300,000	309,375
LCE Acquisition Corp., 9.00%, 08/01/144	500,000	486,250
		795,625
Food — 0.77%
Del Monte Corp., 6.75%, 02/15/154	162,500	166,562
RJ Reynolds Tobacco Holdings, 6.50%, 07/15/104	200,000	200,500
		367,062
Gaming — 4.45%
Penn National Gaming, Inc., 6.75%, 03/01/154	250,000	249,375
Pinnacle Entertainment, Inc., 8.25%, 03/15/12	400,000	418,000
Station Casinos, Inc., 6.88%, 03/01/16	500,000	516,250
Wynn Las Vegas LLC/Wynn Las Vegas Corp., 6.63%, 12/01/14	950,000	928,625
		2,112,250

Health Care — 3.81%
Fisher Scientific International Inc., 6.13%, 07/01/154	150,000	150,938
Healthsouth Corp., 7.63%, 06/01/12	675,000	658,125
Warner Chilcott Bank Loan, 5.34%, 01/04/129	997,831	1,001,484
		1,810,547
Insurance — 1.08%
Crum & Forster Holdings Corp., 10.38%, 06/15/13	250,000	272,500
Fairfax Financial Holdings Ltd., 7.75%, 04/26/12	250,000	238,750
		511,250
Natural Gas — 2.31%
EL Paso CGP Co., 7.63%, 09/01/08	50,000	51,375
El Paso Corp., 7.65%, 08/16/074	50,000	51,500
El Paso Term Loan, 6.13%, 11/22/099	988,000	996,027
		1,098,902
Retail — 0.53%
Buhrmann US, Inc., 8.25%, 07/01/14	250,000	251,250
Securities Brokerage — 1.16%
Credit Suisse First Boston London, 9.65%, 03/24/104,6	584,000	549,737
Services — 1.50%
Corrections Corp. of America, 6.25%, 03/15/13	200,000	199,500
Service Corp. International, 6.50%, 03/15/08	500,000	513,750
		713,250
Technology — 2.79%
Amkor Technology Inc.Bank Loan, 7.35%, 10/27/109	1,000,000	1,012,500
Xerox Capital Trust I, 8.00%, 02/01/27	300,000	312,000
		1,324,500
Transportation — 7.62%
Air 2 US, 8.03%, 10/01/204	672,233	601,740
Continental Airlines, Inc., 8.00%, 12/15/05	625,000	623,437
Delta Air Lines, Inc. 2000-1 A2, 7.57%, 05/18/12	250,000	235,348
Delta Air Lines, Inc. 2001-1 A2, 7.11%, 03/18/13	750,000	710,072
Horizon Lines LLC, 9.00%, 11/01/124	250,000	263,125
Northwest Airlines, Corp. Term Loan B, 9.83%, 11/23/109	990,000	968,138
Northwest Airlines, Corp., 7.63%, 11/15/23	125,000	49,531
United Air Lines, Inc., 1997-A, 2.63%, 12/02/146	173,529	167,022
		3,618,413
Total Corporates (Cost $44,493,676)		44,970,698
MORTGAGE-BACKED — 2.61%3
Non Agency Mortgage-Backed — 1.34%
BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,5	1,294,540	448,946
Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/355	3,260,130	107,483
IndyMac INDX Mortgage Loan Trust (IO), 0.62%, 12/25/345	2,159,265	78,274
		634,703
U.S. Agency Mortgage-Backed — 1.27%
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	630,719	104,918
Fannie Mae 1993-225 SG, 13.37%, 12/25/136	147,351	166,222
Freddie Mac 2603 LI (IO), 5.50%, 09/15/28	1,988,951	210,730
Freddie Mac 2696 NI (IO), 5.50%, 03/15/23	1,990,739	95,968
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32	223,982	22,588
		600,426
Total Mortgage-Backed (Cost $1,374,620)		1,235,129
Total Bonds (Cost $46,359,551)		46,710,838

SHORT TERM INVESTMENTS — 1.68%
Money Market RIC — 1.65%
J.P. Morgan Prime Money Market Fund	782,000		782,000
U.S. Agency Discount Notes — 0.03%
Fannie Mae, 3.24%7, 08/24/058	5,000		4,976
Freddie Mac. 3.21%7, 08/09/058	11,000		10,962
			15,938
Total Short Term Investments (Cost $797,938)			797,938
Total Investments — 100.08% (Cost $47,157,489)1			47,508,776
Cash and Other Assets, Less Liabilities — (0.08)%			(37,397	)
Net Assets — 100.00%		$	47,471,379

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized           (Depreciation)
13	U.S. Treasury 30 Year Bond, September 2005	$	(29,546	)
	Net unrealized (depreciation)	$	(29,546	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized         (Depreciation)
1,000	Pay a fixed rate equal to 1.05% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck Acceptance Co. Ltd., 7.00% due 02/01/11. Counterparty: Bear Stearns Co. Expire 06/20/10	$	2,201
1,000	Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par in the event of default of the AOC Corp., 7.38% due 12/14/12. Counterparty: J.P.Morgan Chase & Co. Expire 06/20/10	$	672
41	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Ace Securities Corp. 2004-RM2 B1, 5.01% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35		(756	)
41	Pay a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Aegis Asset Backed Securities Trust 2004-5 B3, 6.81% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(1,826	)
41	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R6 M3, 5.46% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(602	)
41	Pay a fixed rate equal to 1.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CDC Mortgage Capital Trust 2004-HE3 B2, 5.26% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(535	)
41	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-12 MV8, 4.65% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(686	)

41	Pay a fixed rate equal to 2.05% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 5.46% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(686	)
69	Pay a fixed rate equal to 3.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC1 B, 4.81% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(1,143	)
69	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC2 M8, 5.46% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(1,143	)
41	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GSAMP Trust 2005-HE1 B2, 5.01% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(633	)
41	Pay a fixed rate equal to 3.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Equity Asset Trust 2004-8 B3, 6.41% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(1,435	)
41	Pay a fixed rate equal to 2.03% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Long Beach Mortgage Loan Trust 2004-2 M6, 5.56% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(530	)
41	Pay a fixed rate equal to 2.10% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Mastr Asset Backed Securities Trust 2004-WMC2 M5, 5.71% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(392	)
41	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-HE6 B2, 5.26% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(650	)
69	Pay a fixed rate equal to 2.07% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-NC5 B2, 5.56% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(536	)
41	Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 6.01% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(2,264	)
41	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 5.16% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(625	)
	Net unrealized (depreciation)	$	(11,569	)

Notes:

¹ Cost for Federal income tax purposes is $47,157,489. and net unrealized appreciation consists of:

	Unrealized             Appreciation
Gross unrealized appreciation	$	1,456,858
Gross unrealized depreciation		(1,105,571	)
Net unrealized appreciation	$	351,287

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $7,115,897 representing 14.99% of total net assets.

⁵ Illiquid Security

⁶ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁷ Represents annualized yield at date of purchase.

⁸ Securities, or a portion there of, pledged as collateral with a value of $15,938 on 13 short U.S. Treasury Bond futures contracts expiring September 2005.

⁹ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
02/17/05	Amkor Technology Inc.Bank Loan, 7.35%, 10/27/10	$	1,041,147	$	1,012,500	2.13	%
08/07/03	Calpine CCFC I Term Loan, 8.67%, 08/26/09		695,184		687,723	1.45	%
05/12/03	CenterPoint Energy Term Loan, 12.75%, 11/15/05		1,031,080		1,039,167	2.19	%
11/19/04	El Paso Term Loan, 5.44%, 11/22/09		988,000		996,027	2.10	%
06/28/05	Euramax Bank Loan, 10.49%, 06/29/139		500,000		507,735	1.07	%
05/17/05	Kerr McGee Corp. Bank Loan, 5.50%, 05/19/079		1,000,000		1,007,625	2.12	%
03/14/05	KGen Partners LLC Term Loan, 5.65%, 08/15/11		997,500		982,538	2.07	%
11/17/04	Level 3 Financing Inc. Bank Loan, 9.92%, 12/01/11		1,000,000		1,044,063	2.20	%
02/03/05	Murray Bank Loan, 10.64%, 01/31/11		1,045,471		1,032,413	2.17	%
11/19/04	Northwest Airlines Corp. Term Loan B, 9.83%, 11/23/10		990,000		968,138	2.04	%
01/19/05	Warner Chilcott Bank Loan, 5.34%, 01/04/12		997,831		1,001,484	2.11	%
		$	10,286,213	$	10,279,413	21.65	%

* The aggregate value of fair valued securities is $953,957, which is 2.02% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(IO): Interest only

See accompanying notes to portfolio of investments

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 83.51%
Asset-Backed Securities — 35.15%3
ABFS Mortgage Loan Trust 2002-1 A5, 6.51%, 12/15/32	$	610,000	$	629,468
ABFS Mortgage Loan Trust 2002-2
A5, 6.41%, 07/15/33		74,213		76,709
A7, 5.22%, 07/15/33		135,692		136,228
ABFS Mortgage Loan Trust 2003-2 AIO (IO), 3.50%, 04/25/064		342,956		7,988
Bear Stearns Asset Backed Securities, Inc. 2003-2 AIO (IO), 5.00%, 12/25/056		500,000		10,469
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 2M2, 4.71%, 11/25/317		264,911		266,882
CIT Group Home Equity Loan Trust 2002-1 MV2, 4.56%, 08/25/307		1,500,000		1,511,587
Conseco Finance 2001-A IIB1, 10.30%, 03/15/32		530,000		556,395
Conseco Finance 2002-C BF2, 8.00%, 06/15/324		1,357,237		1,364,567
Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		385,231		389,900
Conseco Finance Securitizations Corp. 2001-1 AIO (IO), 2.50%, 07/01/326		1,000,000		30,737
Conseco Finance Securitizations Corp. 2001-3
A2, 5.16%, 05/01/33		46,717		46,748
A3, 5.79%, 05/01/33		654,000		659,868
Conseco Finance Securitizations Corp. 2001-4
A2, 5.15%, 09/01/33		220,568		221,032
AIO (IO), 2.50%, 09/01/336		985,000		34,278
Conseco Finance Securitizations Corp. 2002-1 A, 6.68%, 12/01/33		407,897		423,717
Conseco Finance Securitizations Corp. 2002-2 AIO (IO), 8.50%, 03/01/336		290,183		74,417
CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 5.01%, 03/25/327		1,465,817		1,467,874
Deutsche Financial Capital Securitization 1997-I A3, 6.75%, 09/15/27		217,715		222,273
Finance America Mortgage Loan Trust 2004-1 2A2, 3.80%, 06/25/347		4,000,000		4,002,414
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4, 3.85%, 10/25/347		4,000,000		4,044,398
FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		97,045		93,101
GGP Mall Properties Trust 2001-C1A D3, 5.47%, 02/15/144,7		158,866		162,358
Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		145,169		154,840
Green Tree Financial Corp. 1996-10 M1, 7.24%, 11/15/28		2,700,000		2,653,917
Green Tree Financial Corp. 1998-2 A6, 6.81%, 12/01/2710		1,642,675		1,723,884
Green Tree Financial Corp. 1998-4
A5, 6.18%, 04/01/30		3,343,300		3,392,888
A7, 6.87%, 04/01/30		1,407,264		1,472,637
Green Tree Financial Corp. 1998-6
A6, 6.27%, 06/01/30		26,549		26,922
A8, 6.66%, 06/01/30		1,500,000		1,552,032
Green Tree Financial Corp. 1999-1 A5, 6.11%, 09/01/23		95,000		97,394
Green Tree Financial Corp. 1999-5
A4, 7.33%, 03/01/30		98,083		100,325
A5, 7.86%, 03/01/30		202,000		188,795
Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		386,912		387,575
Green Tree Home Improvement Loan Trust 1995-D B2, 7.45%, 09/15/25		698,199		699,597
Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		110,692		109,921
Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS, 7.65%, 10/15/17		104,249		96,741
Home Equity Asset Trust 2003-6N A, 6.50%, 03/27/344		61,329		61,272
Household Home Equity Loan Trust 2004-1 A, 3.61%, 09/20/337		2,766,168		2,776,935
IndyMac Manufactured Housing Contract 1997-1
A3, 6.61%, 02/25/28		2,763,559		2,690,656
A4, 6.75%, 02/25/28		957,508		967,773
IndyMac Manufactured Housing Contract 1998-1
A4, 6.49%, 09/25/28		451,026		419,173
A5, 6.96%, 09/25/28		1,610,808		1,529,261
IndyMac Manufactured Housing Contract 1998-2
A2, 6.17%, 12/25/11		489,728		487,255
A4, 6.64%, 12/25/27		1,042,493		1,042,811
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C, 3.89%, 08/25/357		4,000,000		4,019,824
Metris Master Trust 2000-3 A, 3.52%, 09/21/097		535,000		535,575
Mid-State Trust 11 B, 8.22%, 07/15/38		28,228		29,423
Mid-State Trust 2004-1 B, 8.90%, 08/15/37		2,377,524		2,579,921
Mid-State Trust 6 A4, 7.79%, 07/01/35		92,955		99,159
Morgan Stanley ABS Capital I 2004-HE5 A4, 3.84%, 06/25/347		3,000,000		3,021,207
New Century Home Equity Loan Trust 2004-4 A3, 3.45%, 02/25/357		2,703,595		2,705,503

New South Home Equity Trust 1999-1 A4, 6.75%, 03/25/26	120,407	120,939
Oakwood Mortgage Investors Inc. 1998-A A4, 6.20%, 05/15/28	9,902	10,124
Oakwood Mortgage Investors Inc. 1998-B A4, 6.35%, 03/15/17	537,201	552,628
Oakwood Mortgage Investors Inc. 1999-A A2, 5.89%, 04/15/29	645,306	631,371
Oakwood Mortgage Investors Inc. 2000-D A2, 6.74%, 07/15/18	149,371	150,626
Oakwood Mortgage Investors Inc. 2001-D
A2, 5.26%, 01/15/19	298,116	230,147
A3, 5.90%, 09/15/22	17,759	14,296
A4, 6.93%, 09/15/31	899,504	730,139
Oakwood Mortgage Investors Inc. 2002-A AIO (IO), 6.00%, 02/15/106	348,659	64,393
Oakwood Mortgage Investors Inc. 2002-B
A2, 5.19%, 09/15/19	543,247	472,115
AIO (IO), 6.00%, 05/15/106	3,694,137	678,273
Pamco CLO 1998-1A B2, 4.56%, 05/01/104,7	2,500,000	2,329,500
Park Place Securities NIM Trust 2004-WHQ2 A, 4.00%, 02/25/354	2,888,173	2,883,701
Renaissance NIM Trust 2005-2 N, 5.19%, 07/25/357	2,000,000	2,000,000
Residential Asset Mortgage Products, Inc. 2000-RS1 A1, 8.00%, 03/25/30	66,805	66,885
Specialty Underwriting & Residential Finance 2004-BC4 A2C, 3.80%, 10/25/357	3,000,000	3,023,541
Terwin Mortgage Trust 2003-3SL AX (IO), 12.00%, 10/25/234,6,7	412,750	27,500
Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346	173,621	11,685
Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/344,6	2,590,002	308,399
Terwin Mortgage Trust 2004-1HE A1, 3.82%, 02/25/344,7	289,413	289,865
Terwin Mortgage Trust 2004-2Sl AX (IO), 10.25%, 02/25/344,6	2,200,001	209,623
Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6	13,970,560	1,326,435
Terwin Mortgage Trust 2004-7HE A1, 3.86%, 07/25/344,7	1,445,101	1,445,975
Terwin Trust 2005-P1 A, 0.00%, 11/25/356,11	2,890,182	3,022,147
UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30	585	613
Total Asset-Backed Securities (Cost $71,671,509)		72,657,544
CORPORATES — 31.95%2
Automotive — 4.73%
Delphi Term Loan, 9.91%, 06/14/11	1,000,000	1,026,250
Ford Motor Credit Co., 4.95%, 01/15/08	5,000,000	4,772,370
General Motors Corp.,
8.25%, 07/15/23	4,500,000	3,746,250
7.76%5, 03/15/36	820,000	233,700
		9,778,570
Banking — 0.41%
Danske Bank A/S, 5.91%, 12/29/494,7	790,000	851,855
Basic Industry — 0.05%
Nalco Co., 8.88%, 11/15/13	100,000	107,750
Communications — 6.60%
CCO Holdings LLC/CCO Holdings Capital Corp.,
7.54%, 12/15/104,7	2,000,000	1,955,000
8.75%, 11/15/1310	2,300,000	2,277,000
Centennial Communications Corp., 8.13%, 02/01/14	650,000	695,500
Comcast MO of Delaware Inc., 9.50%, 08/01/13	2,000,000	2,103,092
Level 3 Financing Inc. Bank Loan, 9.37%, 12/01/1111	1,000,000	1,044,063
Qwest Capital Funding, Inc., 7.75%, 08/15/06	1,375,000	1,412,813
Qwest Communications International Inc., 7.27%, 02/15/097	2,000,000	1,975,000
Rogers Wireless Communications Inc., 6.54%, 12/15/107,10	440,000	460,900
Rural Cellular Corp., 7.91%, 03/15/107	750,000	776,250
XM Satellite Radio Inc., 8.71%, 05/01/097	920,000	932,650
		13,632,268
Electric — 2.72%
Calpine Generating Co.,
11.50%, 04/01/11	2,000,000	1,800,000
12.39%, 04/01/117	2,000,000	1,830,000
CenterPoint Energy Term Loan Note, 12.75%, 11/11/0511	1,000,000	1,039,167
Power Contract Financing LLC, 5.20%, 02/01/064	952,100	958,650
		5,627,817

Energy — 0.49%
Kerr McGee Corp. Bank Loan, 5.52%, 05/19/0711	1,000,000	1,007,625
Finance — 1.89%
360 Furman Associates, 5.69%, 01/09/096,11	1,739,179	1,734,483
Residential Capital Corp., 4.84%, 06/29/074,7	2,175,000	2,177,046
		3,911,529
Insurance — 2.52%
Fairfax Financial Holdings Ltd., 7.75%, 04/26/12	1,250,000	1,193,750
Farmers Exchange Capital, 7.05%, 07/15/284	1,000,000	1,084,590
Nationwide Mutual Insurance Co., 6.60%, 04/15/344	1,000,000	1,047,033
Zurich Capital Trust I, 8.38%, 06/01/374	1,700,000	1,880,849
		5,206,222
Real Estate Investment Trust (REIT) — 0.28%
Healthcare Property Investors, Inc., 7.07%, 06/08/1510	500,000	568,941
Secured Assets — 0.45%
Ingress I Ltd. B-A, 7.38%, 03/30/404	1,000,000	935,625
Securities Brokerage — 0.83%
Credit Suisse First Boston London, 9.65%, 03/24/104,7,10	1,832,000	1,724,517
Transportation — 10.98%
Air 2 US
A, 8.03%, 10/01/204,7	7,312,553	6,545,722
C, 10.13%, 10/01/204,6,7	1,949,412	200,682
American Airlines, Inc. 1999-1
A1, 6.86%, 10/15/10	46,079	47,202
A2, 7.02%, 04/15/1110	10,000	10,335
American Airlines, Inc. 2001-2 A1, 6.98%, 10/01/12	125,767	130,008
Continental Airlines, Inc. 1997-1 A, 7.46%, 04/01/15	1,161,220	1,100,362
Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08	4,712,932	4,170,945
Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	1,252,744	1,156,325
Delta Air Lines, Inc. 2000-1
A1, 7.38%, 11/18/11	17,087	16,367
A2, 7.11%, 03/18/13	50,000	47,338
A2, 7.57%, 05/18/12	100,000	94,139
Delta Air Lines, Inc. 2001-1 A1, 6.62%, 09/18/12	13,966	13,358
JetBlue Airways Corp. 2004-2 G1, 3.64%, 02/15/187	2,000,000	1,972,450
Northwest Airlines, Corp. 1999-2 A, 7.58%, 09/01/20	1,687,182	1,703,669
Northwest Airlines Inc. 2001-1 A1, 7.04%, 10/01/23	2,424,307	2,315,741
Northwest Airlines, Corp. Term Loan B, 9.09%, 11/23/1011	990,000	968,138
NWA Trust A,
8.26%, 03/10/06	42,640	42,853
9.25%, 06/21/14	142,231	145,075
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/14	2,082,348	2,004,260
		22,684,969
Total Corporates (Cost $67,218,986)		66,037,688
MORTGAGE-BACKED — 16.41%3
Commercial Mortgage-Backed — 0.93%
Structured Asset Securities Corp. 1995-C4 G, 8.95%, 06/25/267	829,324	814,080
Structured Asset Securities Corp. 1996-CFL H, 7.75%, 02/25/28	1,000,000	1,104,385
		1,918,465
Non-Agency Mortgage-Backed — 3.48%
Banco De Credito y Securitizacion 2001-1 AF, 2.67%, 05/31/104,6	2,164,213	750,549
BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6	48,851	16,942
Deutsche Mortgage Securities, Inc. 2004-4 1AIO (IO), 3.50%, 05/25/066,7	22,500,000	450,470
DLJ Mortgage Acceptance Corp. 1995-Q7 SA (IO), 3.09%, 11/25/256,7	412,263	523
Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/356,7	20,592,286	678,907
IndyMac INDX Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.62%, 12/25/346,7	8,232,546	298,430
IndyMac INDX Mortgage Loan Trust 2004-AR5 2A1B, 3.71%, 08/25/347	3,561,634	3,549,323
Terwin Mortgage Trust 2005-5SL B4, 6.00%, 05/25/354	1,000,000	940,735
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33	482,461	500,615
		7,186,494

U.S. Agency Mortgage-Backed — 12.00%
Fannie Mae 1993-80 S, 6.50%, 05/25/237	47,409	48,191
Fannie Mae 1997-44 SB (IO), 4.38%, 06/25/087	330,476	14,573
Fannie Mae 2000-45 SA (IO), 4.69%, 12/18/307	7,043,798	661,077
Fannie Mae 2001-31 SA, 10.89%, 11/25/177	1,617,738	1,680,339
Fannie Mae 2001-42 SB, 8.50%, 09/25/317	5,845	6,367
Fannie Mae 2003-107 SQ (IO), 4.34%, 05/25/337	1,449,295	103,885
Fannie Mae 2003-124 IO (IO), 5.25%, 03/25/31	3,931,101	273,143
Fannie Mae 2003-124 TS, 9.80%, 01/25/347	121,988	133,952
Fannie Mae 2003-13 GI (IO), 5.50%, 06/25/32	220,545	6,229
Fannie Mae 2003-26 PI (IO), 5.50%, 11/25/32	2,680,827	324,085
Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32	5,606,732	665,479
Fannie Mae 2003-67 IH (IO), 5.00%, 01/25/25	2,000,000	186,061
Fannie Mae 2003-85 IP (IO), 5.50%, 12/25/28	135,000	21,365
Fannie Mae 342 2 (IO), 6.00%, 09/01/33	1,002,393	166,744
Fannie Mae Pool 735575, 5.50%, 12/01/18	5,870,874	6,022,231
Fannie Mae 2005-47 SL, 7.50%, 06/25/357	3,940,368	3,966,844
Freddie Mac 1602 SN, 10.09%, 10/15/237	14,590	17,489
Freddie Mac 2451 SP, 9.86%, 05/15/097	23,038	24,583
Freddie Mac 2527 TI (IO), 6.00%, 02/15/32	1,765,250	234,363
Freddie Mac 2561 BX (IO), 5.00%, 05/15/17	3,448,953	465,811
Freddie Mac 2587 IH (IO), 5.00%, 08/15/25	2,058,130	220,399
Freddie Mac 2595 HY (IO), 5.50%, 03/15/23	268,332	46,731
Freddie Mac 2596 IJ (IO), 5.00%, 01/15/17	1,519,832	149,895
Freddie Mac 2603 LI (IO), 5.50%, 09/15/28	2,386,741	252,876
Freddie Mac 2621 IJ (IO), 5.50%, 12/15/26	1,832,907	153,077
Freddie Mac 2625 IO (IO), 5.00%, 12/15/31	355,824	44,597
Freddie Mac 2631 IJ (IO), 5.00%, 10/15/26	570,000	83,606
Freddie Mac 2642 BW (IO), 5.00%, 06/15/23	290,626	50,032
Freddie Mac 2657 LX (IO), 6.00%, 05/15/18	2,161,174	307,528
Freddie Mac 2692 EI (IO), 5.50%, 08/15/33	400,256	54,947
Freddie Mac 2764 CT, 7.50%, 03/15/347	1,034,325	1,006,270
Freddie Mac 2764 SH, 7.50%, 03/15/347	847,592	863,460
Freddie Mac 2807 ST, 8.50%, 07/15/307	371,833	382,364
Freddie Mac 2825 HS, 8.50%, 10/15/327	478,237	480,807
Freddie Mac 2827 JT, 8.50%, 12/15/327	571,437	615,758
Freddie Mac 2835 IB (IO), 5.50%, 01/15/19	2,000,000	161,708
Freddie Mac 2856 ST, 7.00%, 09/15/237	815,063	825,888
Freddie Mac 2911 Z, 5.00%, 06/15/32	1,571,786	1,557,264
Freddie Mac Pool 390381, 3.65%, 02/01/377	346,083	348,034
Government National Mortgage Association 2001-31 SJ, 16.59%, 02/20/317	270,782	313,366
Government National Mortgage Association 2003-28 LI (IO), 5.50%, 02/20/32	582,857	58,780
Government National Mortgage Association 2003-58 IG (IO), 5.50%, 05/17/29	200,000	29,948
Government National Mortgage Association 2004-34 IA (IO), 5.50%, 12/20/31	1,088,090	123,653
Government National Mortgage Association 2004-69 SG, 7.00%, 08/16/337	688,660	686,236
Government National Mortgage Association 2004-8 SE, 7.67%, 11/26/237	950,000	972,451
		24,812,486
Total Mortgage-Backed (Cost $33,858,492)		33,917,445
Total Bonds (Cost $172,748,987)		172,612,677
	Shares
EQUITIES — 0.84%
Automotive — 0.11%
Corts Trust For Ford Motor Co. (PFD), 8.00%, 07/16/31	700	15,925
Preferred Plus Trust Ford Motor Co. (PFD), 8.25%, 07/16/31	8,100	194,400
Saturns-Hertz Corp. 2003-10 (PFD), 7.75%, 01/15/28	1,000	26,500
		236,825
Banking — 0.05%
Corp-Backed Trust Certificates Keycorp Institutional Capital B (PFD), 8.25%, 12/15/26	3,647	93,144
Communications — 0.60%
Corts Trust US West Communications (PFD), 7.50%, 11/15/43	7,118	171,757
Preferred Plus Trust Citizens Communications Co. (PFD), 8.38%, 10/01/46	12,100	304,315
Preferred Plus Trust Qwest Capital Funding (PFD),
7.75%, 02/15/31	9,650	204,870
8.00%, 02/15/31	19,500	402,675

Preferred Plus Trust Verizon Global Funding Corp. (PFD), 7.63%, 12/01/30		6,100		160,247
				1,243,864
Insurance — 0.08%
Corp-Backed Trust Certificates MBNA Capital A (PFD), 8.80%, 12/01/26		6,425		165,444
Total Equities (Cost $1,784,944)				1,739,277
	Principal Amount
SHORT TERM INVESTMENTS — 13.16%
Commercial Paper — 6.91%
Alcoa, Inc., 3.11%5, 07/15/05	$	1,800,000		1,797,830
Credit Suisse First Boston NY, 3.08%5, 07/05/05		1,200,000		1,199,591
DaimlerChrysler NA Holding Corp., 3.21%5, 07/05/05		4,000,000		3,998,523
General Electric Capital Corp.,
3.25%5, 07/25/05		2,700,000		2,694,168
3.27%5, 07/28/05		2,235,000		2,229,535
National Rural Utilities, 3.29%5, 07/27/05		2,365,000		2,359,398
				14,279,045
Money Market RIC — 1.09%
J.P. Morgan Institutional Prime Money Market		2,269,000		2,269,000
U.S. Agency Discount Notes — 5.14%
Fannie Mae,
2.98%5, 07/06/05		4,000,000		3,998,369
2.95%5, 07/13/05		2,000,000		1,998,017
Freddie Mac,
2.98%5, 07/05/05		2,200,000		2,199,285
2.96%5, 07/12/05		2,200,000		2,198,007
3.21%5, 08/09/059		237,000		236,178
				10,629,856
U.S. Treasury Bills — 0.02%
U.S. Treasury Bills, 2.99%5, 09/08/059		35,000		34,800
Total Short Term Investments (Cost $27,212,764)				27,212,701
Total Investments — 97.51% (Cost $201,746,695)1				201,564,655
Cash and Other Assets, Less Liabilities — 2.49%				5,140,353
Net Assets — 100.00%			$	206,705,008

SECURITIES SOLD SHORT		Shares		Proceeds			Market Value
Equities — (0.93)%
AMR Corp.8			16,100	$	171,769		$	194,971
Continental Airlines, Inc., Cl. B8			104,890		1,239,258			1,392,939
Qwest Communications International, Inc.8			91,800		338,481			340,578
Total Securities Sold Short				$	1,749,508		$	1,928,488
WRITTEN CALL OPTIONS
Contracts		Exercise Price		Proceeds			Market Value
450	General Motors Corp. Expire January 2007	$	35.00	$	496,350		$	301,500
	Total Written Call Options			$	496,350		$	301,500
WRITTEN PUT OPTIONS
Contracts		Exercise Price		Proceeds			Market Value
2,250	General Motors Corp. Expire January 2007	$	7.50	$	(194,617	)	$	(67,500	)
	Total Written Put Options			$	(194,617	)	$	(67,500	)
PURCHASED PUT OPTIONS :
Contracts		Exercise Price		Proceeds			Market Value
2,500	General Motors Corp. Expire January 2007	$	2.50	$	(34,999	)	$	(18,750	)
	Total Purchased Put Options			$	(34,999	)	$	(18,750	)

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized         (Depreciation)
199	U.S. Treasury Two Year Note, September 2005	$	17,141
190	U.S. Treasury Five Year Note, September 2005		(80,266	)
75	U.S. Treasury Ten Year Note, September 2005		(102,367	)
	Net unrealized (depreciation)	$	(165,492	)

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized         Appreciation
1	U.S. Treasury Thirty Year Bond, September 2005	$	500
	Net unrealized appreciation	$	500

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized         Appreciation
2,000	Pay a fixed rate equal to 5.00% and the Fund will receive from the counterparty at par in the event of default of the Calpine Corp., 7.75% due 04/15/09. Counterparty: J.P. Morgan Chase & Co. Expire 09/20/08	$	260,000
1,000	Pay a fixed rate equal to 5.00% and the Fund will receive from the counterparty at par in the event of default of the Calpine Corp., 8.50% due 02/15/11. Counterparty: Morgan Stanley Dean Witter & Co. Expire 09/20/08		85,000
1,500	Pay a fixed rate equal to 3.60% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX. Series 4, 3.75% due 06/20/10. Counterparty: Credit Suisse First Boston Expire 06/20/10		(24,375	)
1,000	Pay a fixed rate equal to 0.90% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX.NA.IG, 0.90% due 06/20/10. Counterparty: Bear Stearns Co. Expire 6/20/10		(13,697	)
5,000	Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par in the event of default of the Ford Motor Credit Co., 7.38% due 10/28/09. Counterparty: Merrill Lynch & Co., Inc. Expire 03/20/06		—
1,000	Pay a fixed rate equal to 1.17% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11. Counterparty: Deutsche Bank AG Expire 12/20/09		(2,825	)
3,500	Pay a fixed rate equal to 1.05% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11. Counterparty: Bear Stearns Co. Expire 06/20/10		7,703
2,000	Pay a fixed rate equal to 1.24% and the Fund will receive from the counterparty at par in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11. Counterparty: Bear Stearns Co. Expire 03/20/10		(11,860	)
13,000	Pay a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par in the event of default of the Southwest Airlines, Co., 6.50% due 03/01/12. Counterparty: Deutsche Bank AG. Expire 12/20/09		(113,032	)
5,000	Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par in the event of default of the Viacom Inc., 5.63% due 08/15/12. Counterparty: Merrill Lynch & Co., Inc. Expire 09/20/09		18,638
207	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Ace Securities Corp. 2004-RM2 B1, 5.01% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35		(3,813	)
207	Pay a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Aegis Asset Backed Securities Trust 2004-5 B3, 6.81% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(9,204	)
207	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R6 M3, 5.46% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(3,035	)

5,000	Pay a fixed rate equal to 0.60% and the Fund will receive from the counterparty at par in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R7 M1 3.37% due 08/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34	(11,250	)
207	Pay a fixed rate equal to 1.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CDC Mortgage Capital Trust 2004-HE3 B2, 5.26% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34	(2,695	)
207	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-12 MV8, 5.11% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34	(3,456	)
207	Pay a fixed rate equal to 2.05% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 5.51% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34	(3,456	)
345	Pay a fixed rate equal to 3.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC1 B, 4.81% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34	(5,761	)
345	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par including interest in the event of default of the Countrywide Asset-Backed Certificates 2004-ECC2 M8, 5.46% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34	(5,761	)
5,000	Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par in the event of default of the Fremont Home Loan Trust 2004-B M1, 3.43% due 05/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34	—
207	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GSAMP Trust 2005-HE1 B2, 5.01% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34	(3,190	)
207	Pay a fixed rate equal to 3.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Equity Asset Trust 2004-8 B3, 6.41% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35	(7,237	)
207	Pay a fixed rate equal to 2.03% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Long Beach Mortgage Loan Trust 2004-2 M6, 5.56% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34	(2,671	)
5,000	Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par in the event of default of the Long Beach Mortgage Loan Trust 2004-3 M1, 3.42% due 09/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34	—
207	Pay a fixed rate equal to 2.10% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Mastr Asset Backed Securities Trust 2004-WMC2 M5, 5.71% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34	(1,975	)
207	Pay a fixed rate equal to 2.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-HE6 B2, 4.80% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34	(3,278	)
207	Pay a fixed rate equal to 2.07% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley ABS Capital I 2004-NC5 B2, 5.56% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34	(2,704	)
345	Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 6.01% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35	(11,413	)

207	Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 5.16% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(3,149	)
	Net unrealized appreciation	$	121,504
SWAPS: CREDIT DEFAULT (WRITTEN)
Notional Amount (000’s)		Unrealized         Appreciation
5,000	Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par in the event of default of the Ford Motor Credit Co., 6.50% due 07/15/13. Counterparty: Merrill Lynch & Co., Inc. Expire 03/20/06	$	5,905
4,000	Receive a fixed rate equal to 1.25% and the Fund will pay to the counterparty at par in the event of default of the General Motors Corp., 7.13% due 07/15/13. Counterparty: Deutsche Bank AG Expire 12/20/05		—
10,000	Receive a fixed rate equal to 0.50% and the Fund will pay to the counterparty at par in the event of default of the AmeriQuest Mortgage Securities, Inc. 2004-R7 A4, 3.37% due 08/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		99,000
10,000	Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par in the event of default of the Fremont Home Loan Trust 2004-B 2A3, 3.43% due 05/25/24. Counterparty: Deutsche Bank AG Expire 07/25/34		90,000
10,000	Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par in the event of default of the Long Beach Mortgage Loan Trust 2004-3 A4, 3.42% due 09/25/34. Counterparty: Deutsche Bank AG Expire 07/25/34		76,500
	Net unrealized appreciation	$	271,405

Notes:

¹ Cost for Federal income tax purposes is $201,746,695 and net unrealized appreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	7,373,247
Gross unrealized depreciation		(7,555,287	)
Net unrealized (depreciation)	$	(182,040	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $27,359,793 representing 13.24% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid Security.

⁷ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁸ Non-income producing.

⁹ Securities, or a portion there of, pledged as collateral with a value of $270,978 on 464 short U.S. Treasury Note and 1 long U.S. Treasury Bond futures contracts expiring September 2005.

¹⁰ Securities, or a portion there of, pledged as collateral with a value of $2,352,072 for securities sold short and options.

¹¹ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
04/12/05	360 Furman Associates, 5.69%, 01/09/09	$	1,725,045	$	1,734,483	0.84	%
06/17/05	CenterPoint Energy Term Loan Note, 12.75%, 11/11/05		1,033,006		1,039,167	0.50	%
05/17/05	KERR McGee Corp. Bank Loan, 5.52%, 05/19/07		1,000,000		1,007,625	0.48	%
11/17/04	Level 3 Financing Inc. Bank Loan, 9.37%, 12/01/11		1,000,000		1,044,063	0.51	%
11/19/04	Northwest Airlines Corp. Term Loan B, 9.09%, 11/23/10		990,000		968,138	0.47	%
04/19/05	Terwin Trust 2005-P1 A, 0.00%, 11/25/35		2,890,182		3,022,147	1.46	%
		$	8,638,233	$	8,815,623	4.26	%

* The aggregate value of fair valued securities is $20,361,649, which is 9.94% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(IO): Interest Only

(MTN): Medium Term Note

(PFD): Preferred Stock

See accompanying notes to portfolio of investments

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

Issues	Principal Amount		Value
BONDS — 8.84%
ASSET-BACKED SECURITIES — 26.98%3
Amortizing Residential Collateral Trust 2002-BC4 M2, 4.46%, 07/25/328	$	1,795,000	$	1,819,379
ARG Funding Corp. 2003-1A B, 5.01%, 03/20/074,8		1,800,000		1,802,144
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1, 8.04%, 08/25/30		1,900,000		1,968,457
Castle Trust 2003-1AW A1, 3.97%, 05/15/274,8		907,004		907,444
CDC Mortgage Capital Trust 2002-HE2 M2, 4.81%, 01/25/338		999,998		1,009,385
Centex Home Equity 1999-1 A4, 6.39%, 10/25/27		59,550		59,456
CIT Group Home Equity Loan Trust 2002-1 MV2, 4.56%, 08/25/308		1,240,000		1,249,579
Conseco Finance 2000-C B2, 5.27%, 07/15/298		244,383		232,017
Conseco Finance 2001-A IIM2, 8.81%, 03/15/32		700,000		724,891
Conseco Finance 2002-C BF2, 8.00%, 06/15/324		658,143		661,697
Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		109,487		110,814
Conseco Finance Securitizations Corp. 2001-3 A2, 5.16%, 05/01/33		27,047		27,065
CS First Boston Mortgage Securities Corp. 2001-HE25 M2, 5.01%, 03/25/328		1,193,791		1,195,466
Embarcadero Aircraft Securitization Trust 2000-A A1, 3.70%, 08/15/254,8		1,700,000		1,055,655
First Alliance Mortgage Loan Trust 1994-4 A1, 9.28%, 02/25/26		6,214		6,191
GMAC Mortgage Corporation Loan Trust 2001-HLT2 AII, 5.55%, 04/25/27		420,765		425,308
Green Tree Financial Corp. 1997-6 B1, 7.17%, 01/15/29		1,700,000		267,974
Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		4,548		4,618
Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		257,492		257,934
Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		485,034		481,653
Green Tree Home Improvement Loan Trust 1996-B A, 6.45%, 10/15/15		8,913		8,918
Green Tree Home Improvement Loan Trust 1998-B HEM2, 7.33%, 11/15/29		45,371		45,454
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		339,193		339,767
Greenpoint Mortgage Funding Trust 2005-HE2 A1, 3.42%, 04/15/308		1,293,350		1,289,858
Household Mortgage Loan Trust 2002-HC1 M, 3.91%, 05/20/328		1,277,797		1,280,151
HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114		173,237		176,754
IndyMac Home Equity Loan Asset-Backed Trust 2002-A
A M1, 4.06%, 05/25/338		1,500,000		1,498,717
A M2, 4.56%, 05/25/338		2,000,000		2,018,999
Keystone Home Improvement Loan Trust 1997-P2 IB, 7.94%, 04/25/184		124,060		123,825
Mego Mortgage Home Loan Trust 1997-4 M1, 7.50%, 09/25/23		341,897		341,052
Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		1,320,713		1,340,152
Morgan Stanley Dean Witter Capital I Inc. 2002-HE2 M2, 4.56%, 08/25/328		1,650,000		1,661,662
Oakwood Mortgage Investors, Inc. 2002-B A1, 3.45%, 05/15/138		298,037		265,088
Home Equity Asset Trust 2002-4 M2, 5.36%, 03/25/338		1,650,000		1,672,840
Option One Mortgage Loan Trust 2003-2 A2, 3.61%, 04/25/338		329,112		329,843
Renaissance NIM Trust 2005-2 N, 5.19%, 07/25/354		1,125,000		1,125,000
Residential Asset Mortgage Products, Inc. 2002-RZ3 A4, 4.73%, 12/25/31		155,996		155,734
Structured Asset Investment Loan Trust 2004-BNC2 A3, 3.49%, 12/25/138		1,187,462		1,188,524
Structured Asset Receivables Trust 2003-1, 2.64%, 01/21/104,8		1,274,606		1,268,361
Structured Asset Receivables Trust 2003-2, 3.40%, 01/21/094,8		722,109		717,379
Structured Settlements Fund 1999-A A, 7.25%, 12/20/154		172,419		175,545
Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6		1,925,001		229,216
Terwin Mortgage Trust 2004-5HE A1A, 3.44%, 06/25/358		341,444		341,664
Terwin Mortgage Trust 2004-9HE A2, 3.47%, 09/25/344,8		731,281		731,281
Terwin Mortgage Trust 2005-7SL A1, 3.64%, 06/25/35		2,000,000		1,995,400
UCFC Home Equity Loan 1998-D MF1, 6.91%, 04/15/30		1,088,617		1,108,019
Total Asset-Backed Securities (Cost $36,576,038)				35,696,330
CORPORATES — 32.09%2
Automotive — 5.74%
DaimlerChrysler NA Holding Corp.,
4.23%, 08/08/068 (MTN)		233,000		234,660
3.61%, 03/07/078		1,160,000		1,156,873
Ford Motor Credit Co.,
4.31%, 09/28/078 (MTN)		1,195,000		1,155,514
4.71%, 01/15/108		2,060,000		1,890,237
General Motors Acceptance Corp.,
6.75%, 01/15/06		200,000		201,604
5.53%, 12/01/148		3,466,000		2,958,838
				7,597,726

Banking — 0.53%
Societe Generale (EMTN), 3.78%, 10/29/498	700,000	697,901
Communications — 2.33%
Comcast Corp., 7.63%, 02/15/08	1,000,000	1,074,682
CSC Holdings Inc.,
7.88%, 12/15/07	400,000	415,000
7.25%, 07/15/08	250,000	251,875
Qwest Capital Funding, Inc., 7.75%, 08/15/06	700,000	719,250
Qwest Corp. Bank Loan, 6.50%, 06/30/0710	600,000	618,844
		3,079,651
Electric — 7.19%
Allegheny Energy, Inc., 7.75%, 08/01/05	1,255,000	1,259,392
CenterPoint Energy Resources Corp., 8.13%, 07/15/05	1,300,000	1,301,368
CenterPoint Energy Term Loan, 12.75%, 11/11/0510	2,500,000	2,597,918
East Coast Power LLC, 6.74%, 03/31/08	1,216,527	1,232,388
Pinnacle West Energy Corp., 4.00%, 04/01/074,8	1,300,000	1,300,859
Power Contract Financing LLC, 5.20%, 02/01/064	994,564	1,001,407
Teco Energy, Inc., 5.37%, 05/01/104,8	800,000	813,000
		9,506,332
Energy — 1.81%
Kerr McGee Corp. Bank Loan, 5.52%, 05/19/077,10	1,000,000	1,007,625
Tesoro Petroleum Corp., 9.63%, 11/01/08	1,300,000	1,387,750
		2,395,375
Entertainment — 0.96%
News America, Inc., 3.26%5, 02/28/219	2,188,000	1,274,510
Finance — 1.85%
CIT Group Inc., 3.52%, 11/23/078	1,630,000	1,632,491
Goldman Sachs Group, Inc. (MTN), 3.54%, 03/02/108	812,000	811,445
		2,443,936
Lodging — 0.47%
La Quinta Inns, Inc., 7.40%, 09/15/05	625,000	628,906
Natural Gas — 1.06%
Sempra Energy, 3.75%, 05/21/088	1,400,000	1,403,515
Real Estate Investment Trust (REIT) — 4.07%
Duke Realty LP, 3.70%, 12/22/068	1,180,000	1,181,258
EOP Operating LP, 4.10%, 10/01/108	1,670,000	1,680,594
Simon Property Group LP, 7.38%, 01/20/06	1,200,000	1,220,704
Summit Properties Partnership LP, 7.20%, 08/15/07	1,250,000	1,297,514
		5,380,070
Secured Assets — 0.24%
Zermatt CBO Ltd. 1A A, 3.65%, 09/01/104,8	328,809	315,361
Securities Brokerage — 0.94%
Credit Suisse First Boston London, 9.65%, 03/24/104,8	1,322,000	1,244,438
Transportation — 4.90%
Air 2 US A, 8.03%, 10/01/204	1,732,345	1,550,682
American Airlines, Inc. 2002-1 G, 4.07%, 03/23/098	760,185	763,125
Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16	184,994	175,299
Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08	419,787	371,512
Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08	818,554	755,553
Delta Air Lines, Inc. 2003-1 G, 3.91%, 07/25/098	933,947	935,782
United Air Lines, Inc. 1997-1 1A, 2.63%, 12/02/148	971,761	935,320
United Air Lines, Inc. Term Loan, 8.00%, 09/30/058,10	990,438	997,866
		6,485,139
Total Corporates (Cost $43,180,030)		42,452,860

MORTGAGE-BACKED — 23.29%3
Non-Agency Mortgage Backed Securities — 17.64%
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.14%, 02/25/348		1,220,488	1,231,559
Commercial Mortgage Asset Trust 1999-C1 A1, 6.25%, 01/17/32		1,290,033	1,296,953
Countrywide Alternative Loan Trust, 2.42%, 08/25/358		2,020,000	2,039,695
DLJ Mortgage Acceptance Corp. 1994-QE2 S (IO), 3.81%, 06/25/244,6,8		268,453	341
Harborview Mortgage Loan Trust 2005-1 X (IO), 1.07%, 03/19/356,7		7,461,865	246,010
IndyMac INDX Mortgage Loan Trust 2004-AR12
A1, 3.70%, 12/25/348		1,768,748	1,771,311
AX2 (IO), 0.62%, 12/25/346,8		5,211,957	188,933
IndyMac INDX Mortgage Loan Trust 2004-AR7 A2, 3.74%, 09/25/348		1,624,945	1,621,486
Magnus Funding Ltd. 1A B, 4.52%, 06/15/114,6,8		1,142,233	100,345
Mastr Adjustable Rate Mortgages Trust 2004-13 3A2, 3.79%, 11/21/348		1,417,104	1,413,511
Mastr Seasoned Securities Trust 2004-1 4A1, 5.23%, 10/25/328		1,482,811	1,521,402
Mastr Seasoned Securities Trust 2005-1 4A1, 5.92%, 10/25/328		1,707,513	1,734,060
Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32		344,880	347,231
Residential Asset Mortgage Products, Inc. 2003-SL1 A11, 7.13%, 03/25/16		1,490,936	1,534,178
Residential Funding Mortgage Securities I 2002-S19 A2, 6.00%, 12/25/32		74,704	74,578
Ryland Acceptance Corp. IV 28 1, 11.50%, 12/25/16		5,309	5,428
Structured Asset Securities Corp. 2002-5A 6A, 6.56%, 04/25/328		47,860	49,208
Summit Mortgage Trust 2000-1 B5, 6.06%, 12/28/124,8		1,999	1,957
Terwin Mortgage Trust 2004-13AL 2PX, 0.34%, 08/25/344,6		27,840,432	528,968
Washington Mutual 2002-AR18 A, 4.14%, 01/25/338		810,813	811,280
Washington Mutual 2004-AR12 A4A, 3.38%, 10/25/448		1,727,345	1,725,695
Washington Mutual 2005-AR1 A2A2, 3.38%, 01/25/458		2,100,776	2,101,721
Washington Mutual 2005-AR2 2A22, 3.45%, 01/25/458		1,841,456	1,841,010
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33		1,109,661	1,151,414
			23,338,274
U.S. Agency Mortgage Backed Securities — 5.65%
Fannie Mae 1993-95 SB, 15.05%, 06/25/088		3,740	4,244
Fannie Mae 1997-91 SL (IO), 7.50%, 11/25/238		762,192	142,179
Fannie Mae 2001-60 JZ, 6.00% 03/25/31		147,333	149,074
Fannie Mae 2002-97 PD, 5.00%, 03/25/22		990,764	990,436
Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		1,367,496	162,312
Fannie Mae 2003-62 IG (IO), 5.00%, 10/25/31		1,000,000	270,855
Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26		1,437,224	115,239
Fannie Mae 342 2 (IO), 6.00%, 09/01/33		527,101	87,681
Fannie Mae G-36 ZB, 7.00%, 11/25/21		7,937	8,409
Fannie Mae Pool 646884, 5.55%, 05/01/328		541,089	546,349
Freddie Mac 2 L, 8.00%, 11/25/22		68,184	72,558
Freddie Mac 2080 PJ, 6.50%, 08/15/28		1,112,312	1,156,411
Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		655,979	48,462
Freddie Mac 2557 IM (IO), 5.50%, 03/15/22		805,908	37,846
Freddie Mac 2845 PI (IO), 5.50%, 02/15/32		1,112,970	118,790
Freddie Mac Pool 788498, 4.76%, 02/01/308		1,883,179	1,937,156
Government National Mortgage Association 2003-75 CI (IO), 5.50%, 01/20/21		2,270,584	115,793
Government National Mortgage Association 2004-34 IA (IO), 5.50%, 12/20/31		1,300,000	147,735
Government National Mortgage Association Pool 80968, 4.00%, 07/20/348		1,352,322	1,366,270
			7,477,799
Total Mortgage-Backed (Cost $32,189,580)			30,816,073
U.S. AGENCY SECURITIES — 3.48%
U.S. Agency Securities — 3.48%
Fannie Mae, 2.63%, 11/15/06		4,668,000	4,600,272
Total U.S. Agency Securities (Cost $4,601,618)			4,600,272
Total Bonds (Cost $116,547,267)			113,565,535
	Shares
PREFERRED STOCK — 0.46%
Finance — 0.46%
Woodbourne Pass-Through Trust, 4.27%, 12/31/494		6	600,750
Total Preferred Stock (Cost $600,000)			600,750
	Principal Amount
SHORT TERM INVESTMENTS — 18.81%
Commercial Paper — 6.12%
Alcoa, Inc., 3.26%5, 07/18/05	$	3,000,000	2,995,396

Ciesco LLC, 3.19%5, 07/22/05	800,000		798,516
Kitty Hawk Funding Corp., 3.10%5, 07/19/05	1,010,000		1,008,440
National Rural Utilities, 3.19%5, 07/20/05	3,300,000		3,294,461
			8,096,813
Money Market RIC — 0.65%
J.P. Morgan Prime Money Market Fund	856,530		856,530
U.S. Agency Discount Notes — 12.04%
Fannie Mae, 2.98%5, 07/13/05	2,500,000		2,497,521
Freddie Mac,
2.99%5, 07/05/05	7,000,000		6,997,682
3.11%5, 09/20/057	6,345,000		6,297,387
3.18%5, 09/20/057	140,000		138,949
			15,931,539
Total Short Term Investments (Cost $24,888,963)			24,884,882
Total Investments — 105.11% (Cost $142,036,230)1			139,051,167
Cash and Other Assets, Less Liabilities — (5.11)%			(6,757,338	)
Net Assets — 100.00%		$	132,293,829

WRITTEN CALL OPTIONS

Contracts (000’s)		Exercise Price		Proceeds		Market Value
2,188	News America, Inc. Expire July 2005	$	59.525	$	—	$	(569	)
	Total Written Call Options			$	—	$	(569	)

SWAPS: INTEREST RATE

Notional Amount (000’s)		Unrealized Appreciation
1,300	Pay a fixed rate of 0.00% and the Fund will receive 3 month LIBOR plus 45 basis points from the counterparty. Counterparty: Morgan Stanley Dean Witter & C	$	39,953
SWAPS: TOTAL RETURN
Notional Amount (000’s)		Unrealized Appreciation
20,000	S&P 500 Total Return issued by CS First Boston, - 2.79%8, Expire 10/04/05	$	1,669,300
FUTURES CONTRACTS: LONG POSITIONS
Contracts		Unrealized Appreciation
372	S&P 500 Index, September 2005	$	413,301
1	S&P 500 Mini, September 2005		(1,428	)
	Net unrealized appreciation	$	411,873

Notes:

¹ Cost for Federal income tax purposes is $142,036,230 and net unrealized depreciation consists of:

	Unrealized             (Depreciation)
Gross unrealized appreciation	$	2,365,162
Gross unrealized depreciation		(5,350,225	)
Net unrealized (depreciation)	$	(2,985,063	)

² Securities with a call or reset feature will have an effective maturity date less than the stated maturity.

³ Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at June 30, 2005 was $16,432,409 representing 12.42% of total net assets.

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid Security.

⁷ Securities, or a portion there of, pledged as collateral with a value of $6,436,336 on 372 long S&P Index futures contracts and 1 S&P Mini futures contact expiring September 2005.

⁸ Floating rate security. The rate disclosed is that in effect at June 30, 2005.

⁹ Securities, or a portion there of, pledged as collateral with a value of $1,274,510 for options.

¹⁰ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
05/09/03	CenterPoint Energy Term Loan, 12.75%, 11/11/05	$	2,560,320	$	2,597,918	1.97	%
05/17/05	Kerr McGee Corp. Bank Loan, 5.52%, 05/19/07		1,000,000		1,007,625	0.76	%
06/05/03	Qwest Corp. Bank Loan, 6.50%, 06/30/07		597,047		618,844	0.47	%
08/31/04	United Air Lines, Inc. Term Loan, 8.00%, 09/30/05		990,438		997,866	0.75	%
		$	5,147,805	$	5,222,253	3.95	%

* The aggregate value of fair valued securities is $12,965,671 which is 9.90% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

(EMTN): Euro Medium term note

(IO): Interest only

(MTN): Medium term note

See accompanying notes to portfolio of investments

Metropolitan West Funds

Notes to Schedule of Portfolio Investments

June 30, 2005 (Unaudited)

1. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds:

Security Valuation:

The Funds value securities pursuant to policies and procedures approved by the Board of Trustees. Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors (approved by the Board of Trustees) which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser, in consultation with a market maker, initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (i.e. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board of Trustees. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (unless the Board of Trustees determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. EST on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Changes to market closure times may alter when futures contracts are valued. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board of Trustees.

Securities Transactions and Investment Income:

Security transactions are accounted for on the date the securities are purchased or sold (trade date). Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and Federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.

Cash and cash equivalents:

The Funds have defined cash and cash equivalents as cash in interest bearing and non-interest bearing accounts.

Use of estimates:

In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

2. FEDERAL TAX INFORMATION:

Capital Loss Carryforwards:

At March 31, 2005 the following Funds had available for Federal income tax purposes unused capital losses as follows:

Fund	Expiring in 2010		Expiring in 2011		Expiring in 2012		Expiring in 2013
Ultra Short Bond Fund	$	—	$	—	$	—	$	16,584
Low Duration Bond Fund		6,637,930		1,278,315		—		—
Total Return Bond Fund		—		19,394,109		—		206,379
AlphaTrak 500 Fund		—		16,806,095		—		—

For the year ended March 31, 2005, the Low Duration Bond Fund and AlphaTrak 500 Fund utilized net federal tax capital loss carryforwards of $2,504,583 and $1,505,308, respectively.

Post-October Loss:

Under the current tax law, capital losses realized after October 31 and prior to the Funds’ fiscal year end may be deferred and treated as occurring on the first day of the following fiscal year. For the period ended March 31, 2005, the following funds had post October losses.

Fund
Low Duration Bond Fund	$	24,545,273
Total Return Bond Fund	$	55,656,289

Item 2. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Metropolitan West Funds
By (Signature and Title)*	/s/    SCOTT B. DUBCHANSKY
	Scott B. Dubchansky, Chairman and President
	Principal Executive Officer
Date    August 23, 2005

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/    SCOTT B. DUBCHANSKY
	Scott B. Dubchansky, Chairman and President
	Principal Executive Officer
Date    August 23, 2005
By (Signature and Title)*	/s/    JOSEPH D. HATTESOHL
	Joseph D. Hattesohl, Treasurer
	Principal Financial Officer
Date    August 23, 2005

* Print the name and title of each signing officer under his or her signature.