UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-07989

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: March 31, 2006

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

METROPOLITAN WEST FUNDS

ULTRA SHORT BOND FUND

LOW DURATION BOND FUND

INTERMEDIATE BOND FUND

TOTAL RETURN BOND FUND

HIGH YIELD BOND FUND

STRATEGIC INCOME FUND

ALPHATRAK^SM 500 FUND

ANNUAL REPORT

March 31, 2006

Metropolitan West Funds

Dear Fellow Shareholder,

Thank you for your continued participation in the Metropolitan West Funds. We are pleased to present the enclosed Annual Report for the Funds, including the following:

Metropolitan West Ultra Short Bond Fund – M-Class (MWUSX), I-Class (MWUIX)

Metropolitan West Low Duration Bond Fund – M-Class (MWLDX), I-Class (MWLIX)

Metropolitan West Intermediate Bond Fund – M-Class (MWIMX), I-Class (MWIIX)

Metropolitan West Total Return Bond Fund – M-Class (MWTRX), I-Class (MWTIX)

Metropolitan West High Yield Bond Fund – M-Class (MWHYX), I-Class (MWHIX)

Metropolitan West Strategic Income Fund – M-Class (MWSTX), I-Class (MWSIX)

Metropolitan West AlphaTrak^SM 500 Fund (MWATX)

Market Environment and Review

In a testament to the persistent unpredictability of the financial markets, Treasury yields rose sharply through the first quarter of 2006, ironically, just as a consensus was emerging that the Fed was near-complete in dispensing its dosage of monetary tightening. While it has been very clear that the Fed has been embarking on what has been a two-year campaign to remove monetary accommodation and take some ebullience out of the U.S. real estate market, the longer end of the yield curve had remained stubbornly unyielding to the Fed’s efforts. Thus, as the Fed Funds rate stepped up meeting after meeting of the Fed from 1% in June 2004 to 4.25% in December 2005, yields on 10-Year U.S. Treasury issues actually fell by a few basis points over the same period. And now in 2006, expectations for more of the same have finally been dented. To be sure, the Fed has maintained their commitment by adding a further half percent (to 4.75%) onto the Fed Funds rate, with indications for at least one and possibly more hikes to come. Breaking from its tendency to rally rather than sell off over the first 18 months of Fed rate hikes, the market finally started to move in direction with the Fed during the first quarter, punctuated by the 10-Year U.S. Treasury yield jumping to 5% from 4.4% at December month-end.

The economic underpinnings of the year-to-date rise in Treasury yields were – and are – continuing consumer (jobs-fueled) and accelerating business confidence, nagging inflation concerns, and ongoing and massive deficits in foreign trade and the Federal budget. On the other hand, the froth in residential housing, targeted for moderation, has receded somewhat, with cash-out refinance activity down and sale inventories up. Given expectations for first quarter GDP growth in excess of 4% (on the heels of the fourth quarter’s upwardly revised 1.7%), it would seem that the Fed is meeting with some success at engineering a “soft landing” to the excesses in the real estate market, without choking the broader economy…yet. With at least one more Fed hike all but assured, the possibility of a “policy error” that arrests economic growth cannot be discounted completely but, at the very least, the Fed has a lot more flexibility in dealing with such potentialities at a 5% or a 5.25% Funds rate than it did at 1%.

Higher rates on a year-to-date basis produced generally negative fixed income returns in the first quarter. However, diverging from the broader bond market thus far in 2006, high yield issues gained nearly 3%, as yield spreads narrowed and auto industry bonds, which since last year have comprised more than 10% of the high yield market, performed well. In shrugging off the rising Treasury rate environment, the high yield market looked more like the stock markets where the S&P 500 posted a 4% return and the NASDAQ jumped more than 6%. Though short-term returns have lagged yields as the Fed has adjusted rates higher, the outcome will produce expectations for better compensation on shorter duration investments. Naturally, the yardstick for all fixed income investments will continue to be, likely increasingly, inflation-sensitive going forward.

Overall, the environment has been characterized by low volatility, a circumstance that has produced muted rates of return across all of the capital markets over the past year. It has also meant that performance contributions from the non-Treasury sectors of the fixed income market have been additive given a sanguine outlook for risk in the near term. On a relative basis, the Metropolitan West Funds profited from defensively positioned portfolios with respect to interest rate risk and strategies that have delivered modest return benefits as the yield curve flattened during the Fed’s tightening phase. Themes that have added value in the corporate, mortgage- and asset-backed sectors an include (1) airline enhanced equipment trust certificates, which have enjoyed a strengthening in the global market for aircraft and (2) interest only (IO) structures on home loans and second liens.

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Finally, we are pleased to report that Metropolitan West received Morningstar’s Fixed Income Manager of the Year Award for the Total Return Fund for 2005. Naturally, we are honored and humbled by the accolade, as the criteria in determining the winners consider not only short- and long-term performance profiles, but a Stewardship Grade as well. Morningstar, a leading provider of independent investment research in the United States and in major international markets, cites the Stewardship Grade, which evaluates managers on fees, communication, and participation in their own funds, as an important prerequisite for Manager of the Year consideration. To us, we consider all of these criteria fundamental building blocks of our business, and intend to deliver to meet these demanding standards – and yours – in 2006 and beyond.

Data sources for the discussion above include Bloomberg, Lehman Brothers, and Merrill Lynch.

Fund Results

Metropolitan West Ultra Short Bond Fund – M-Class (MWUSX), I-Class (MWUIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)	1.55	%	3.62	%	4.50	%
Merrill Lynch 1-Year U.S. Treasury Index	1.59	%	2.90	%	1.55	%
MWUIX (Inception: July 31, 2004)	1.82	%	3.79	%	3.19	%
Merrill Lynch 1-Year U.S. Treasury Index	1.59	%	2.90	%	1.99	%

Metropolitan West Low Duration Bond Fund – M-Class (MWLDX), I-Class (MWLIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)	1.72	%	3.38	%	4.04	%	3.38	%	5.23	%
Merrill Lynch 1-3 Year U.S. Treasury Index	1.08	%	2.33	%	1.42	%	3.18	%	4.74	%
MWLIX (Inception: March 31, 2000)	1.80	%	3.57	%	4.24	%	3.58	%	4.48	%
Merrill Lynch 1-3 Year U.S. Treasury Index	1.08	%	2.33	%	1.42	%	3.18	%	4.23	%

Metropolitan West Intermediate Bond Fund – M-Class (MWIMX), I-Class (MWIIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	0.48	%	2.08	%	—		3.25	%
Lehman Bros. Intermediate Gov’t. Credit Index	0.13	%	2.07	%	—		1.54	%
MWIIX (Inception: June 28, 2002)	0.58	%	2.39	%	4.97	%	6.65	%
Lehman Bros. Intermediate Gov’t. Credit Index	0.13	%	2.07	%	2.32	%	3.94	%

Metropolitan West Total Return Bond Fund – M-Class (MWTRX), I-Class (MWTIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	0.31	%	3.04	%	6.71	%	5.06	%	7.02	%
Lehman Bros. Aggregate Index	-0.04	%	2.26	%	2.92	%	5.11	%	6.44	%
MWTIX (Inception: March 31, 2000)	0.42	%	3.25	%	6.97	%	5.28	%	6.48	%
Lehman Bros. Aggregate Index	-0.04	%	2.26	%	2.92	%	5.11	%	6.31	%

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Unlike a mutual fund, the performance of an unmanaged index assumes no transaction costs, taxes, management fees or other expenses. A direct investment in an index is not possible.

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Metropolitan West High Yield Bond Fund – M-Class (MWHYX), I-Class (MWHIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	2.91	%	5.59	%	11.57	%	15.40	%
Lehman Bros. High Yield Index	3.55	%	7.44	%	12.07	%	14.72	%
MWHIX (Inception: March 31, 2003)	3.12	%	5.86	%	11.88	%	11.88	%
Lehman Bros. High Yield Index	3.55	%	7.44	%	12.07	%	12.07	%

Metropolitan West Strategic Income Fund – M-Class (MWSTX), I-Class (MWSIX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)	2.01	%	4.04	%	8.61	%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	2.92	%	5.59	%	4.20	%
MWSIX (Inception: March 31, 2004)	2.13	%	4.30	%	4.18	%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	2.92	%	5.59	%	4.65	%

Metropolitan West AlphaTrak^SM 500 Fund (MWATX)

	Performance Through March 31, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	6.64	%	12.33	%	18.46	%	4.11	%	3.93	%
Standard & Poor’s 500® Equity Index	6.34	%	11.75	%	17.22	%	3.98	%	3.26	%

The Market Ahead

Economically, MWAM’s outlook is guided by a recognition that risks have balanced out with regard to growth. On the one hand, Fed tightening is likely to slow the pace of expansion while, on the other hand, commodity price pressure and the twin U.S. deficits (budget and trade) may warrant maintenance of a higher rate regime than prevailed earlier this decade. Risks in the fixed income market reflect rich valuations, and the economic and credit cycles that have matured well beyond the early stages. Consumers have likely exhausted the benefits of cash-out refinancing and booming home prices, while corporations are likely to undergo profit pressure from rising cost factors, including commodities and labor as productivity slows. Portfolio yield has been held down by wariness of an expensive market. Expectations are that MWAM will look to capture yield opportunistically across all its Funds as spreads widen and compensation increases. A pickup in volatility should begin to dot (and increasingly litter) the landscape with better risk-adjusted yields in the corporate and asset-backed sectors, in particular, as the year progresses.

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Unlike a mutual fund, the performance of an unmanaged index assumes no transaction costs, taxes, management fees or other expenses. A direct investment in an index is not possible.

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A Consistent Long-Term Value Orientation

In closing, MWAM remains committed to a philosophy rooted in a value with a long-term perspective. As such, the investment team continues to target consistent outperformance of the Funds’ benchmarks over a market cycle by diversifying the sources of value-added in the portfolios. Those value-added strategies include: (1) duration management, (2) yield curve positioning, (3) sector allocation, (4) security selection, and (5) opportunistic execution.

Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment needs.

Sincerely,

Scott Dubchansky

President and Trustee

U.S. Treasury bonds, unlike mutual funds, are insured direct obligations of the U.S. Government that offer a fixed rate of return when held to maturity. A quality rating, such as “BB,” refers to the credit risk of individual securities, and not to the Fund. Investment by a Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.

Bond Funds have similar interest rates, issues and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher-rated bonds. The Strategic Income Fund engages in sophisticated investment strategies. All Metropolitan West Funds trade futures, swaps and other derivative contracts. Certain of these Funds may not be suitable for all investors. Please carefully review the prospectus to assess the risks of investing in any of the Funds before investing or sending money.

The views and forecasts expressed here are as of April 2006, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors.

Funds are distributed by PFPC Distributors, Inc.

760 Moore Rd., King of Prussia, PA 19406.

To be preceded or accompanied by a prospectus.

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Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.

Metropolitian West Ultra Short Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the Merrill Lynch 1-Year U.S. Treasury Index. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class M were 3.62% and 4.50%, respectively. The inception date for the Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Ultra Short Bond Fund Class I was July 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class I were 3.79% and 3.19%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $10,537.

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Metropolitian West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the Merrill Lynch 1-3 Year U.S. Treasury Index. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Class M were 3.38% and 5.23%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Low Duration Bond Fund Class I was March 31, 2000. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Class I were 3.57% and 4.48%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $13,007.

Metropolitian West Intermediate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Lehman Brothers Intermediate U.S. Gov’t Credit Index. The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class M were 2.08% and 3.25%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Intermediate Bond Fund Class I was June 28, 2002. The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class I were 2.39% and 6.65%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $12,739.

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Metropolitian West Total Return Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Lehman Brothers Aggregate Index. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class M were 3.04% and 7.02%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Total Return Bond Fund Class I was March 31, 2000. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I were 3.25% and 6.48%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $14,578.

Metropolitian West High Yield Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Lehman Brothers High Yield Index. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class M were 5.59% and 15.40%, respectively. The inception date for Class M was September 30, 2002. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West High Yield Bond Fund Class I was March 31, 2003. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class I were 5.86% and 11.88%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $14,007.

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Metropolitian West Strategic Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the Merrill Lynch 3-month U.S. Treasury Index plus 200 basis points. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class M were 4.04% and 8.61%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Strategic Income Fund Class I was March 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class I were 4.30% and 4.18%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $10,854.

Metropolitian West AlphaTrak^SM 500 Fund

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak^SM 500 Fund with the performance of the S&P 500 Index. The one year and average annual since inception total returns for the Metropolitan West AlphaTrak^SM 500 Fund were 12.33% and 3.93%, respectively. The graph assumes that distributions were reinvested.

The performance data quoted in the various graphs on this and the preceding pages represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.

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Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended March 31, 2006

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

This table illustrates your fund’s costs in two ways:

Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return for the past six month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund at the beginning of the period.

You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund in the first line under the heading entitled “Expenses Paid During Period.”

Hypothetical 5% Return: This section is intended to help you compare your fund’s costs with those of other mutual funds. It assumes that the fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Beginning Account Value 10/01/05		Ending Account Value 03/31/06		Expense Ratio1		Expenses Paid During Period2
Ultra Short Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,015.50	0.50	%	$	2.51
Class I	$	1,000.00	$	1,018.30	0.34	%	$	1.71
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.44	0.50	%	$	2.52
Class I	$	1,000.00	$	1,023.23	0.34	%	$	1.72
Low Duration Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,017.30	0.58	%	$	2.92
Class I	$	1,000.00	$	1,018.30	0.39	%	$	1.97
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.04	0.58	%	$	2.93
Class I	$	1,000.00	$	1,022.98	0.39	%	$	1.97

¹ Annualized, based on the Fund’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

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	Beginning Account Value 10/01/05		Ending Account Value 03/31/06		Expense Ratio1		Expenses Paid During Period2
Intermediate Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,004.70	0.65	%	$	3.26
Class I	$	1,000.00	$	1,005.80	0.44	%	$	2.20
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.68	0.65	%	$	3.29
Class I	$	1,000.00	$	1,022.74	0.44	%	$	2.22
Total Return Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,003.00	0.65	%	$	3.25
Class I	$	1,000.00	$	1,004.10	0.44	%	$	2.20
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.69	0.65	%	$	3.28
Class I	$	1,000.00	$	1,022.74	0.44	%	$	2.22
High Yield Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,029.40	0.80	%	$	4.07
Class I	$	1,000.00	$	1,031.60	0.55	%	$	2.77
Hypothetical 5% Return
Class M	$	1,000.00	$	1,020.92	0.80	%	$	4.06
Class I	$	1,000.00	$	1,022.20	0.55	%	$	2.76
Strategic Income Fund
Actual Fund Return
Class M	$	1,000.00	$	1,020.10	1.51	%	$	7.63
Class I	$	1,000.00	$	1,021.40	1.26	%	$	6.35
Hypothetical 5% Return
Class M	$	1,000.00	$	1,017.38	1.51	%	$	7.62
Class I	$	1,000.00	$	1,018.65	1.26	%	$	6.34
AlphaTrakSM 500 Fund
Actual Fund Return	$	1,000.00	$	1,067.40	0.20	%	$	1.04
Hypothetical 5% Return	$	1,000.00	$	1,023.92	0.20	%	$	1.02

¹ Annualized, based on the Fund’s most recent fiscal half-year expenses.

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

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Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2006 (Unaudited)

These tables are provided to give you a quick reference to the composition of each Funds’ portfolio holdings. We hope that this information enhances your understanding of the different kinds of investments in the Funds.

Ultra Short Bond Fund

Sector Diversification:
U.S. Agency Mortgage-Backed	35.91	%
Non-Agency Mortgage-Backed	28.08	%
Asset-Backed Securities	21.14	%
Corporate Bonds	7.88	%
U.S. Agency Discount Notes	4.69	%
Other	1.14	%
U.S. Agency Securities	0.65	%
Money Market RIC	0.51	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	3.23	%
Agency	36.56	%
AAA	31.69	%
AA	10.96	%
A	11.17	%
BBB	2.84	%
BB or below	3.55	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	26.47	%
1 year to 3 years	51.51	%
3 years to 5 years	20.44	%
5 years to 10 years	1.38	%
10 years to 20 years	0.20	%
20 years +	0.00	%
Total	100.00	%

Low Duration Bond Fund

Sector Diversification:
Corporate Bonds	28.12	%
Asset-Backed Securities	22.68	%
Non-Agency Mortgage-Backed	15.07	%
U.S. Agency Mortgage-Backed	13.40	%
U.S. Agency Securities	9.99	%
U.S. Treasury Securities	7.88	%
Commercial Mortgage-Backed	1.90	%
Other	0.56	%
Preferred Stock	0.37	%
Money Market RIC	0.03	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	8.59	%
Agency	22.74	%
AAA	36.88	%
AA	4.35	%
A	11.68	%
BBB	9.06	%
BB or below	6.70	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	24.08	%
1 year to 3 years	47.76	%
3 years to 5 years	19.22	%
5 years to 10 years	5.24	%
10 years to 20 years	2.67	%
20 years +	1.03	%
Total	100.00	%

Intermediate Bond Fund

Sector Diversification:
U.S. Treasury Securities	42.18	%
Corporate Bonds	24.60	%
Asset-Backed Securities	10.89	%
U.S. Agency Mortgage-Backed	10.75	%
Non-Agency Mortgage-Backed	9.88	%
Other	1.32	%
Money Market RIC	0.38	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	43.50	%
Agency	9.66	%
AAA	18.11	%
AA	4.16	%
A	8.88	%
BBB	7.21	%
BB or below	8.48	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	9.09	%
1 year to 3 years	15.32	%
3 years to 5 years	37.41	%
5 years to 10 years	35.08	%
10 years to 20 years	0.36	%
20 years +	2.74	%
Total	100.00	%

11

Total Return Bond Fund

Sector Diversification:
U.S. Treasury Securities	31.51	%
Corporate Bonds	23.94	%
U.S. Agency Mortgage-Backed	13.42	%
Asset-Backed Securities	13.33	%
Non-Agency Mortgage-Backed	11.06	%
Commercial Mortgage-Backed	3.26	%
Money Market RIC	2.20	%
U.S. Agency Securities	0.84	%
Preferred Stock	0.33	%
Other	0.11	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	31.73	%
Agency	17.52	%
AAA	15.11	%
AA	7.66	%
A	8.94	%
BBB	7.46	%
BB or below	11.58	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	6.43	%
1 year to 3 years	15.57	%
3 years to 5 years	29.36	%
5 years to 10 years	17.60	%
10 years to 20 years	17.85	%
20 years +	13.19	%
Total	100.00	%

High Yield Bond Fund

Sector Diversification:
Corporate Bonds	91.26	%
Money Market RIC	3.51	%
Other	2.05	%
Non-Agency Mortgage-Backed	1.03	%
U.S. Agency Discount Notes	0.86	%
U.S. Agency Mortgage-Backed	0.69	%
Asset-Backed Securities	0.47	%
Put Options Purchased	0.13	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	0.03	%
Agency	1.53	%
AAA	1.57	%
AA	6.74	%
A	4.32	%
BBB	3.93	%
BB	31.09	%
B	46.09	%
CCC	3.18	%
CC or below	1.52	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	11.63	%
1 year to 3 years	12.17	%
3 years to 5 years	17.19	%
5 years to 10 years	53.09	%
10 years to 20 years	3.17	%
20 years +	2.75	%
Total	100.00	%

Strategic Income Fund

Sector Diversification:
Asset-Backed Securities	39.13	%
Corporate Bonds	28.75	%
U.S. Agency Mortgage-Backed	9.53	%
Other	7.45	%
Non-Agency Mortgage-Backed	5.47	%
U.S. Agency Discount Notes	4.83	%
Commercial Mortgage-Backed	2.26	%
Money Market RIC	1.05	%
Put Options	0.82	%
Preferred Stock	0.71	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	0.59	%
Agency	13.79	%
AAA	19.53	%
AA	10.62	%
A	11.36	%
BBB	20.08	%
BB or below	24.03	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	31.33	%
1 year to 3 years	22.43	%
3 years to 5 years	24.06	%
5 years to 10 years	15.40	%
10 years to 20 years	1.77	%
20 years +	5.01	%
Total	100.00	%

12

AlphaTrak^SM 500 Fund

Sector Diversification:
Corporate Bonds	29.68	%
Asset-Backed Securities	26.80	%
Non-Agency Mortgage-Backed	13.18	%
U.S. Agency Securities	9.83	%
U.S. Agency Mortgage-Backed	7.16	%
Other	6.46	%
U.S. Agency Discount Notes	4.22	%
Commercial Mortgage-Backed	1.47	%
Money Market RIC	0.81	%
Preferred Stock	0.39	%
Total	100.00	%

Distribution by Quality Rating:
US Treasury	0.74	%
Agency	20.58	%
AAA	37.69	%
AA	6.13	%
A	11.91	%
BBB	10.20	%
BB or below	12.75	%
Total	100.00	%

Distribution by Maturity:
0 to 1 years	33.13	%
1 year to 3 years	39.68	%
3 years to 5 years	16.58	%
5 years to 10 years	9.70	%
10 years to 20 years	0.00	%
20 years +	0.91	%
Total	100.00	%

All figures presented as percentages of total net assets. Credit rating distributions for each fund were determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality rated securities.

The Summary of Portfolio Holdings does not reflect investments in derivatives. Interested investors should consult the Schedule of Portfolio Investments for each fund for details on derivative investments.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s most recent Form N-Q was filed for the quarter ended December 31, 2005. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

13

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 93.66%
ASSET-BACKED SECURITIES—21.14%³
	Aames Mortgage Trust 2002-1 A3 (STEP), 6.90%, 06/25/32	$	70,842	$	71,889
	ABFS Mortgage Loan Trust 2002-1 A5 (STEP), 6.51%, 12/15/32		96,053		97,187
	ABFS Mortgage Loan Trust 2002-2
	A5 (STEP), 6.41%, 07/15/33		20		20
	A7 (STEP), 5.22%, 07/15/33		72,984		72,144
	ABFS Mortgage Loan Trust 2002-3 A (STEP), 4.26%, 09/15/33		335,192		329,958
	ABFS Mortgage Loan Trust 2002-4 A (STEP), 4.43%, 12/15/33		234,807		228,570
	Amortizing Residential Collateral Trust 2002-BC4 M2, 5.97%, 07/25/327		2,853,230		2,878,170
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP), 8.04%, 08/25/30		2,453,698		2,473,334
	Centex Home Equity 2001-B A6, 6.36%, 07/25/32		2,675,633		2,673,671
	CIT Group Home Equity Loan Trust 2002-1 MV2, 6.07%, 08/25/307		1,200,000		1,208,971
	Conseco Finance 2000-C B2, 6.80%, 07/15/297†		18,473		18,004
	Conseco Finance 2001-C A4, 6.19%, 03/15/30		70,769		71,023
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		81,607		81,739
	Contimortgage Home Equity Trust 1999-3 A6 (STEP), 8.18%, 12/25/29		19,095		19,108
	Countrywide Asset-Backed Certificates 2003-BC1 M1, 5.74%, 12/25/327		2,250,000		2,260,104
	CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP), 5.60%, 09/25/31		309,920		294,054
	Deutsche Financial Capital Securitization LLC 1997-I A3, 6.75%, 09/15/27		458,829		460,129
	EQCC Home Equity Loan Trust 1999-1 A4F, 6.13%, 07/20/28		38,423		38,335
	EQCC Home Equity Loan Trust 1999-2 A4F, 6.75%, 08/25/27		637,297		635,739
	Equity One ABS, Inc. 2003-4 AF3, 3.53%, 10/25/34		31,525		31,431
	Fannie Mae Whole Loan 2003-W14 1A6, 5.82%, 09/25/43		1,000,000		998,611
	FHLMC Structured Pass Through Securities T-49 AF5 (STEP), 4.95%, 12/25/32		1,974,395		1,958,942
	First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		24,352		24,250
	First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A, 6.37%, 03/25/247		3,500,000		3,522,917
	GE Capital Mortgage Services, Inc. 1998-HE1 A7, 6.47%, 06/25/28		6,889		6,869

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19	$	20,410	$	21,141
	Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		55,059		56,889
	Green Tree Financial Corp. 1998-6 A6, 6.27%, 06/01/30		58,295		58,384
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		597,184		598,641
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		540,419		535,719
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		147,113		144,140
	Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		39,034		39,072
	GSAMP Trust 2004-FM1 M2, 6.22%, 11/25/337		2,810,000		2,852,062
	Home Equity Mortgage Trust 2004-1 M2, 6.22%, 06/25/347		5,100,000		5,123,504
	IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1, 5.57%, 05/25/337		2,400,000		2,405,925
	IndyMac Manufactured Housing Contract 1998-2 A4, 6.64%, 12/25/27		540,139		522,420
	Irwin Home Equity 2001-2 M2, 6.07%, 07/25/267		4,428		4,432
	Irwin Home Equity 2003-1 B1, 8.22%, 02/25/287		3,530,000		3,667,721
	Irwin Home Equity 2003-A M2, 6.97%, 10/25/277		2,705,000		2,744,919
	Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		59,998		59,793
	Mellon Residential Funding Corp. 2001-HEIL A4, 6.62%, 02/25/21		101,489		101,405
	Mid-State Trust 6 A4, 7.79%, 07/01/35		72,131		74,017
	Morgan Stanley ABS Capital I 2004-NC2 M2, 6.02%, 12/25/337		5,000,000		5,082,410
	Morgan Stanley Dean Witter Capital I 2002-HE1 M2, 6.12%, 07/25/327		1,174,621		1,186,929
	New South Home Equity Trust 1999-1 A4 (STEP), 6.75%, 03/25/26		19,312		19,250
	Oakwood Mortgage Investors, Inc. 1998-A A4, 6.20%, 05/15/28		11,848		11,695
	Oakwood Mortgage Investors, Inc. 1998-B
	A3, 6.20%, 01/15/15		17,218		17,025
	A4, 6.35%, 03/15/17		861,992		856,177
	Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18		23,313		23,272
	Oakwood Mortgage Investors, Inc. 2002-B AIO (IO), 6.00%, 05/15/106†		101,217		16,468
	Option One Mortgage Loan Trust 1999-2 A5, 7.26%, 05/25/29		135,397		134,968

See accompanying notes to financial statements.

14

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Renaissance Home Equity Loan Trust 2005-2 N, 5.19%, 07/25/354	$	996,502	$	991,208
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP), 7.51%, 03/25/31		622,973		621,108
	Residential Asset Securities Corp. 2002-KS8 A4, 4.58%, 11/25/30		647,127		642,792
	Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP), 8.60%, 09/25/29		534,871		533,014
	Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP), 8.29%, 02/25/25		57,868		58,136
	SACO I, Inc. 2004-1 AIO (IO) (STEP), 4.50%, 12/25/064,6†		20,637,000		290,982
	SACO I, Inc. 2004-2 IO (IO) (STEP), 6.00%, 04/25/074,6†		17,518,000		590,882
	SACO I, Inc. 2004-3A AIO (IO) (STEP), 6.00%, 12/25/074,6†		16,327,000		706,792
	Saxon Asset Securities Trust 2002-1 M2, 6.02%, 11/25/317		429,947		433,075
	Terwin Mortgage Trust 2003-5SL
	AX (IO), 10.00%, 10/25/346,7†		210,000		253
	M2, 6.87%, 10/25/347		205,194		205,542
	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6†		632,501		15,247
	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/344,6†		3,208,336		103,350
	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6,7†		4,225,000		198,643
	Terwin Mortgage Trust 2004-10SL AX (IO), 6.00%, 09/25/344,6†		15,033,333		643,306
	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/344,6†		15,683,359		295,976
	Terwin Mortgage Trust 2005-11 1A1A (STEP), 4.50%, 11/25/364†		2,458,117		2,442,591
	UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30		1,243		1,269
	Vanderbilt Acquisition Loan Trust 2002-1 A2, 4.77%, 10/07/18		11,982		11,977
	Vanderbilt Mortgage Finance 1999-B 1A4, 6.55%, 04/07/18		3,291		3,290
	Vanderbilt Mortgage Finance 1999-D IA3, 7.06%, 10/07/17		3,559		3,559
	Vanderbilt Mortgage Finance 2002-C A2, 4.23%, 02/07/15		862,241		856,028
	Total Asset-Backed Securities (Cost $57,239,102)				56,462,567
CORPORATES—7.88%²
Automotive —1.84%	DaimlerChrysler NA Holding Corp., 5.10%, 03/07/077		1,140,000		1,140,714
	Ford Motor Credit Co. (MTN), 5.79%, 09/28/077		1,600,000		1,536,307

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Automotive (continued)	General Motors Acceptance Corp.,
	6.13%, 09/15/06	$	460,000	$	457,928
	6.09%, 09/23/087 (MTN)		1,868,000		1,764,337
					4,899,286
Banking—2.16%	Chase Capital I, 7.67%, 12/01/26		2,600,000		2,727,702
	CS First Boston London,
	9.65%, 03/24/104,7		2,286,000		2,032,688
	9.65%, 03/24/104,7		1,136,000		1,010,120
					5,770,510
Basic Industry —1.37%	Oregon Steel Mills, Inc., 10.00%, 07/15/09		1,600,000		1,704,000
	Steel Dynamics, Inc., 9.50%, 03/15/09		1,875,000		1,966,406
					3,670,406
Communications — 0.17%	Sprint Capital Corp. (STEP), 4.78%, 08/17/06		450,000		449,113
Electric—0.95%	Dominion Resources, Inc., 5.26%, 09/28/077		1,000,000		1,001,282
	Entergy Gulf States, Inc.,
	5.61%, 12/08/084,7		1,000,000		1,001,178
	5.22%, 12/01/097		550,000		544,191
					2,546,651
Finance—0.30%	Lehman Brothers Holdings, Inc. (MTN), 12.50%, 11/30/107		883,000		808,916
Foreign Agencies —0.07%	Pemex Finance Ltd., 8.02%, 05/15/07		179,167		182,369
Transportation —1.02%	Air 2 US A, 8.03%, 10/01/204		630,074		627,317
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		893,165		884,961
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		408,916		408,026
	Delta Air Lines Inc. 2003-1 G, 5.37%, 07/25/097,8		794,626		796,132
					2,716,436
	Total Corporates (Cost $21,445,424)				21,043,687
MORTGAGE-BACKED—63.99%³
Non-Agency Mortgage-Backed —28.08%	Banc of America Funding Corp. 2003-2 1A1, 6.50%, 06/25/32		156,866		158,337
	Banc of America Mortgage Securities 2003-A 2A2, 4.57%, 02/25/337		52,757		52,410
	Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33		1,927,199		1,949,387
	Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1, 5.50%, 12/25/18		1,223,078		1,206,643
	Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1, 6.50%, 08/25/184		1,592,286		1,599,664

See accompanying notes to financial statements.

15

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.12%, 02/25/347	$	787,069	$	773,286
	Countrywide Alternative Loan Trust 2004-J6 2A1, 6.50%, 11/25/31		1,306,332		1,316,538
	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/356,7†		8,963,838		238,188
	Countrywide Alternative Loan Trust 2005-16 A5, 5.10%, 06/25/357		2,616,567		2,642,885
	Countrywide Alternative Loan Trust 2005-27 2A1, 5.10%, 08/25/357†		3,200,042		3,218,341
	Countrywide Alternative Loan Trust 2005-43 1A1, 5.37%, 10/25/357		2,203,178		2,170,189
	Countrywide Alternative Loan Trust 2005-51 2A2A, 5.07%, 11/20/357		3,068,356		3,077,947
	Countrywide Alternative Loan Trust 2005-59
	1A1, 5.11%, 11/20/357		2,803,558		2,819,686
	2X (IO), 1.91%, 11/20/356,7		11,754,024		470,161
	Countrywide Alternative Loan Trust 2005-61 2A1, 5.10%, 12/25/357†		3,219,439		3,224,069
	Countrywide Alternative Loan Trust 2006-OA2 XIP (IO), 1.03%, 05/20/466		16,490,000		850,266
	CS First Boston Mortgage Securities Corp. 2002-29 2A3, 7.00%, 10/25/32		218,146		218,092
	CS First Boston Mortgage Securities Corp. 2002-AR27 1A2, 5.97%, 10/25/327		3,170,274		3,192,084
	CS First Boston Mortgage Securities Corp. 2003-AR24 2A4, 4.03%, 10/25/337		3,020,000		2,938,883
	CS First Boston Mortgage Securities Corp. 2002-AR31 4A2, 5.35%, 11/25/327		200,000		191,872
	CS First Boston Mortgage Securities Corp. 2004-1 2A1, 6.50%, 02/25/34		1,948,981		1,958,348
	DSLA Mortgage Loan Trust 2004-AR1 A2A, 5.19%, 09/19/447		1,108,853		1,114,154
	DSLA Mortgage Loan Trust 2005-AR2 2A1A, 4.99%, 03/19/457		2,726,580		2,752,338
	Fifth Third Mortgage Loan Trust 2002-FTB1 5A1, 4.74%, 11/19/327		192,752		190,774
	First Horizon Asset Securities, Inc. 2002-AR2 2A1, 5.27%, 12/27/327		257,871		256,885
	First Horizon Asset Securities, Inc. 2003-AR2 1A1, 4.44%, 07/25/337		593,822		583,733
	GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP), 5.60%, 07/25/34		116,846		115,541

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Harborview Mortgage Loan Trust 2004-8 2A4A, 5.18%, 11/19/347	$	3,293,059	$	3,302,729
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/356,7		9,690,730		227,127
	Harborview Mortgage Loan Trust 2005-10 X (IO), 1.68%, 11/19/356,7		18,245,419		558,766
	Harborview Mortgage Loan Trust 2005-11 2A1A, 5.09%, 08/19/457		2,629,320		2,642,029
	Harborview Mortgage Loan Trust 2005-12 X2A (IO), 0.63%, 10/19/356,7		47,424,762		652,090
	IndyMac Index Mortgage Loan Trust 2004-AR6 6A1, 5.48%, 10/25/347		1,071,436		1,060,357
	IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A, 5.22%, 11/25/347		726,252		730,086
	IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.93%, 12/25/346,7		6,800,361		174,259
	IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B, 5.60%, 10/25/367		3,375,756		3,436,264
	JPMorgan Mortgage Trust 2005-A5 2A1, 5.16%, 08/25/357		2,518,504		2,488,536
	MASTR Adjustable Rate Mortgages Trust 2004-1 2A1, 3.60%, 01/25/347		683,705		685,628
	MASTR Adjustable Rate Mortgages Trust 2004-5 3A1, 4.48%, 06/25/347		876,256		873,098
	MASTR Adjustable Rate Mortgages Trust 2004-13 3A2, 3.79%, 12/21/347		679,984		675,830
	MASTR Seasoned Securities Trust 2004-1 4A1, 5.19%, 10/25/327		1,117,826		1,129,687
	MASTR Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32		1,674,413		1,686,488
	MASTR Seasoned Securities Trust 2005-1 4A1, 5.80%, 10/25/327†		1,469,022		1,478,663
	Mellon Residential Funding Corp. 1998-TBC1 A3 (STEP), 5.51%, 10/25/287		491,921		495,768
	Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32		152,384		152,212
	Residential Asset Mortgage Products, Inc. 2003-SL1 A11, 7.13%, 03/25/16		1,393,034		1,410,484
	Residential Asset Mortgage Products, Inc. 2004-SL1
	A2, 8.50%, 11/25/31		586,836		612,619
	A7, 7.00%, 11/25/31		142,776		146,300
	A8, 6.50%, 11/25/31		893,532		903,287
	Residential Asset Securitization Trust 2004-IP2 2A1, 5.24%, 12/25/347		1,748,022		1,736,703

See accompanying notes to financial statements.

16

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/317	$	60,428	$	60,232
	Structured Asset Securities Corp. 2002-8A 6A, 6.67%, 05/25/327		8,813		8,854
	Washington Mutual, Inc. 2002-AR6:
	A, 5.15%, 06/25/427†		954,193		957,395
	A1, 4.34%, 06/25/337		1,565,974		1,543,354
	Washington Mutual, Inc. 2002-AR10 A6, 4.82%, 10/25/327		204,383		202,779
	Washington Mutual, Inc. 2002-AR17 2A, 4.54%, 11/25/427		1,354,830		1,335,893
	Washington Mutual, Inc. 2002-AR18 A, 4.12%, 01/25/337		1,303,030		1,297,157
	Washington Mutual, Inc. 2005-AR1 A2A2, 5.07%, 01/25/457		1,179,299		1,181,002
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A, 5.00%, 02/25/18		765,243		740,372
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 04/25/33		605,941		620,387
	Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34		502,206		508,055
					74,995,191
U.S. Agency Mortgage-Backed —35.91%	Fannie Mae 1988-12 A, 10.00%, 02/25/187		271,506		306,465
	Fannie Mae 1992-50 F, 5.34%, 04/25/077		69,521		69,623
	Fannie Mae 1992-53 G, 7.00%, 04/25/07		36,952		37,099
	Fannie Mae 1993-80 S, 4.96%, 05/25/237		20,558		19,282
	Fannie Mae 1993-210 PL, 6.50%, 04/25/23		621,231		624,898
	Fannie Mae 1994-55 S, 12.54%, 12/25/237		17,459		19,057
	Fannie Mae 1997-23 PB, 6.63%, 01/25/22		111,554		112,947
	Fannie Mae 1998-58 PC, 6.50%, 10/25/28		1,775,907		1,817,400
	Fannie Mae 2000-27 AN, 6.00%, 08/25/30		31,961		32,166
	Fannie Mae 2001-31 SA, 7.28%, 11/25/177		827,215		832,161
	Fannie Mae 2001-42 SB, 8.50%, 09/25/317		12,115		12,856
	Fannie Mae 2001-60 JZ, 6.00%, 03/25/31		234,062		234,040
	Fannie Mae 2001-68 PV, 6.00%, 11/25/18		250,000		252,158

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32	$	591,048	$	91,219
	Fannie Mae 2003-85 IE (IO), 5.50%, 06/25/29		228,011		28,501
	Fannie Mae 2003-124
	IO (IO) 5.25%, 03/25/31		1,468,154		79,740
	TS, 9.80%, 01/25/347		259,977		294,410
	Fannie Mae 2004-96 MT, 7.00%, 12/25/347		444,399		455,305
	Fannie Mae 2005-47 SL, 7.50%, 06/25/357		702,465		691,737
	Fannie Mae Pool 111643, 4.43%, 09/01/207		36,066		35,807
	Fannie Mae Pool 190656, 6.50%, 02/01/14		535,808		551,017
	Fannie Mae Pool 254190, 5.50%, 02/01/09		782,471		780,132
	Fannie Mae Pool 303683, 6.50%, 08/01/25		23,257		23,857
	Fannie Mae Pool 523829, 8.00%, 11/01/19		610,023		650,974
	Fannie Mae Pool 545350, 6.50%, 11/01/16		2,054,634		2,104,431
	Fannie Mae Pool 555098, 5.17%, 11/01/327		433,960		430,345
	Fannie Mae Pool 555177, 4.86%, 01/01/337		539,575		532,209
	Fannie Mae Pool 555207, 7.00%, 11/01/17		124,981		127,153
	Fannie Mae Pool 555312, 5.70%, 01/01/337		3,177,040		3,223,247
	Fannie Mae Pool 555705, 4.58%, 07/01/337		2,253,486		2,276,466
	Fannie Mae Pool 567002, 8.00%, 05/01/23		280,347		296,632
	Fannie Mae Pool 582521, 7.00%, 05/01/31		74,865		77,206
	Fannie Mae Pool 630599, 7.00%, 05/01/32		487,482		502,334
	Fannie Mae Pool 646884, 5.54%, 05/01/327		46,597		46,792
	Fannie Mae Pool 647903, 5.39%, 04/01/277		284,526		292,565
	Fannie Mae Pool 648860, 6.50%, 05/01/17		1,696,266		1,737,434
	Fannie Mae Pool 655127, 7.00%, 07/01/32		100,957		103,818
	Fannie Mae Pool 655133, 7.00%, 08/01/32		102,819		105,753
	Fannie Mae Pool 655151, 7.00%, 08/01/32		258,961		266,956
	Fannie Mae Pool 655928, 7.00%, 08/01/32		64,483		66,448
	Fannie Mae Pool 735207, 7.00%, 04/01/34		1,672,354		1,723,709
	Fannie Mae Pool 735575, 5.50%, 12/01/18		2,101,115		2,091,976
	Fannie Mae Pool 735686, 6.50%, 12/01/22		2,233,374		2,296,712
	Fannie Mae Pool 735883, 6.00%, 03/01/33		2,739,426		2,742,852
	Fannie Mae Pool 745161, 3.12%, 10/01/337		3,195,885		3,184,321

See accompanying notes to financial statements.

17

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae Pool 762525, 6.50%, 11/01/33	$	268,653	$	274,026
	Fannie Mae Pool 771153, 4.00%, 02/01/347		4,029,463		4,056,654
	Fannie Mae Pool 805268, 4.65%, 01/01/357		1,581,660		1,609,409
	Fannie Mae Pool 806513, 4.08%, 12/01/347		3,451,705		3,413,659
	Fannie Mae Pool 811267, 4.46%, 12/01/347		1,007,364		997,360
	Fannie Mae Pool 840634, 6.50%, 06/01/35		1,468,916		1,506,394
	Fannie Mae Strip 342 2 (IO), 6.00%, 10/01/33		365,911		90,245
	Freddie Mac 1214 KA, 5.58%, 02/15/227		28,174		28,229
	Freddie Mac 1526 L, 6.50%, 06/15/23		64,503		65,735
	Freddie Mac 1610 PM, 6.25%, 04/15/22		39,057		39,081
	Freddie Mac 1625 FC, 4.25%, 12/15/087		50,688		49,886
	Freddie Mac 1662 L, 4.11%, 01/15/197		9,877		9,762
	Freddie Mac 1695 EA, 7.00%, 12/15/23		21,945		22,040
	Freddie Mac 1702 TJ, 7.00%, 04/15/13		303,142		310,676
	Freddie Mac 2043 CJ, 6.50%, 04/15/28		138,790		142,847
	Freddie Mac 2161 PG, 6.00%, 04/15/28		26,326		26,411
	Freddie Mac 2419 VG, 6.50%, 12/15/12		12,704		12,696
	Freddie Mac 2451 SP, 6.49%, 05/15/097		12,264		12,292
	Freddie Mac 2459 GE, 6.50%, 04/15/31		91,615		91,570
	Freddie Mac 2469 AK, 6.00%, 04/15/30		831,519		831,157
	Freddie Mac 2500 PE, 6.00%, 06/15/31		814,633		820,688
	Freddie Mac 2527 TI (IO), 6.00%, 02/15/32		836,327		143,209
	Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		82,821		4,557
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		917,694		117,128
	Freddie Mac 2587 IH (IO), 5.00%, 08/15/25		2,000,000		188,017
	Freddie Mac 2594 VK, 5.00%, 02/15/23		1,077,460		1,066,861
	Freddie Mac 2625 IO (IO), 5.00%, 12/15/31		104,336		13,637
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		104,983		18,832
	Freddie Mac 2657 LX (IO), 6.00%, 05/15/18		586,528		98,137
	Freddie Mac 2809 HX (IO), 6.00%, 10/15/24		1,113,285		82,585
	Freddie Mac 2835 IB (IO), 5.50%, 01/15/19		928,072		43,301
	Freddie Mac 2856 ST, 7.00%, 09/15/237		791,220		770,573

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Freddie Mac 2905 JG, 7.00%, 09/15/34	$	1,265,468	$	1,271,901
	Freddie Mac 2906 NX (IO), 0.75%, 12/15/347		11,991,643		116,582
	Freddie Mac 2971 AB, 5.00%, 05/15/20		450,073		427,391
	Freddie Mac 3022 KZ, 5.00%, 10/15/32		1,389,872		1,384,717
	Freddie Mac Gold A45796, 7.00%, 01/01/33		2,141,694		2,210,912
	Freddie Mac Gold C90237, 6.50%, 11/01/18		324,338		333,222
	Freddie Mac Gold C90474, 7.00%, 08/01/21		479,986		495,536
	Freddie Mac Gold D93410, 6.50%, 04/01/19		360,334		370,220
	Freddie Mac Gold E90474, 6.00%, 07/01/17		1,974,539		1,999,276
	Freddie Mac Gold G10616, 5.50%, 07/01/09		325,069		321,919
	Freddie Mac Gold G11454, 5.50%, 07/01/15		1,168,960		1,164,908
	Freddie Mac Gold G18087, 6.50%, 09/01/20		1,267,536		1,294,208
	Freddie Mac Gold O30092, 5.50%, 10/01/15		373,851		369,383
	Freddie Mac Gold P20295, 7.00%, 10/01/29		116,028		118,998
	Freddie Mac Gold P50019, 7.00%, 07/01/24†		21,298		21,747
	Freddie Mac Gold P50214, 6.50%, 02/01/34†		574,020		583,276
	Freddie Mac Gold P50230, 6.50%, 04/01/34†		1,729,222		1,757,106
	Freddie Mac Gold P60084, 6.00%, 03/01/16†		1,977,137		2,009,442
	Freddie Mac Pool 1B0202, 5.44%, 01/01/327		3,366,435		3,374,005
	Freddie Mac Pool 1L0113, 5.72%, 05/01/357		3,330,660		3,388,589
	Freddie Mac Pool 390381, 4.32%, 02/01/377		569,918		568,920
	Freddie Mac Pool 775554, 4.52%, 10/01/187		14,265		14,224
	Freddie Mac Pool 781163, 3.82%, 01/01/347		3,421,100		3,410,374
	Freddie Mac Pool 781817, 4.12%, 08/01/347		4,325,270		4,288,663
	Freddie Mac Pool 781908, 4.21%, 09/01/347		2,890,135		2,862,608
	Freddie Mac Pool 788498, 5.79%, 02/01/307		1,748,070		1,781,085
	Freddie Mac Pool 865369, 5.65%, 06/01/227		8,499		8,532
	Freddie Mac Pool 972112, 6.09%, 01/01/337		2,678,099		2,700,475
	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32		658,153		100,510
	Ginnie Mae 2003-40 IW (IO), 5.50%, 07/20/29		235,000		17,016
	Ginnie Mae 2003-58 IG (IO), 5.50%, 05/17/29		100,000		14,922
	Ginnie Mae 2003-75 CI (IO), 5.50%, 01/20/21		254,982		8,145

See accompanying notes to financial statements.

18

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Ginnie Mae 2003-95 SB, 5.39%, 09/17/317	$	339,638	$	332,476
	Ginnie Mae 2004-2 FW, 6.03%, 01/16/347		333,348		362,702
	Ginnie Mae 2004-41 IE (IO), 5.50%, 05/20/30		2,500,000		483,765
	Ginnie Mae 2004-42 AB, 6.00%, 03/20/32		553,477		554,879
	Ginnie Mae Pool 80546, 5.00%, 10/20/317		168,680		168,874
	Ginnie Mae Pool 80610, 4.38%, 06/20/327		2,863,117		2,846,151
	Ginnie Mae Pool 80614, 4.50%, 07/20/327		287,811		287,977
	Ginnie Mae Pool 80687, 4.50%, 04/20/337		1,501,963		1,495,482
	Ginnie Mae Pool 8339, 5.13%, 12/20/237		169,571		170,568
	Ginnie Mae Pool 8684, 4.75%, 08/20/257		259,901		261,865
	Ginnie Mae Pool 81018, 5.00%, 08/20/347		900,699		908,430
					95,901,845
	Total Mortgage-Backed (Cost $172,313,861)				170,897,036
U.S. AGENCY SECURITIES—0.65%
U.S. Agency Securities—0.65%	Federal Home Loan Bank, 4.50%, 10/12/07		1,740,000		1,724,965
	Total U.S. Agency Securities (Cost $1,734,684)				1,724,965
	Total Bonds (Cost $252,733,071)				250,128,255
SHORT TERM INVESTMENTS 13.57%
Commercial Paper —8.37%	Alcoa, Inc., 4.66%5, 04/18/06		2,800,000		2,794,563
	Ciesco LP 4.62%5, 04/17/06		2,800,000		2,794,969
	CRC Funding LLC, 4.63%5, 04/19/06		2,800,000		2,794,238
	Kitty Hawk Funding Corp., 4.66%5, 04/12/06		2,800,000		2,796,738
	National Rural Utilities Cooperative Finance Corp., 4.57%5, 04/18/06		2,800,000		2,794,668
	Preferred Receivables Funding Corp., 4.67%5, 04/17/06		2,800,000		2,794,915
	Ranger Funding Co. LLC, 4.63%5, 04/20/06		2,800,000		2,793,878
	Yorktown Capital LLC, 4.68%5, 04/17/06		2,800,000		2,794,904
					22,358,873
Money Market Fund—0.51%	JPMorgan Prime Money Market Fund		1,362,954		1,362,954

	Issues	Principal Amount		Value
Short Term Investments (continued) U.S. Agency Discount Notes —4.69%	Fannie Mae,
	4.60%5, 05/31/069	$	25,000	$	24,811
	4.68%5, 05/31/069		8,000		7,939
	Federal Home Loan Bank,
	4.60%5, 05/31/06		3,335,000		3,309,774
	Freddie Mac,
	4.60%5, 05/22/069		23,000		22,854
	4.68%5, 06/13/06		9,230,000		9,143,986
					12,509,364
	Total Short Term Investments (Cost $36,232,513)				36,231,191
	Total Investments—107.23% (Cost $288,965,584)¹				286,359,446
	Liabilities in excess of Other Assets—(7.23)%				(19,302,821	)
	Net Assets—100.00%			$	267,056,625

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized Appreciation
33	Euro Dollars Ninety Day, March 2007	$	65,158
99	U.S. Treasury Two Year Note, June 2006		34,858
	Net unrealized appreciation	$	100,016

Notes:

¹ Cost for Federal income tax purposes is $288,970,013 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	1,109,361
Gross unrealized depreciation		(3,719,928	)
Net unrealized (depreciation)	$	(2,610,567	)

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 March 31, 2006 was $12,609,737 representing 4.72% 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 March 31, 2006.

⁸ Security in default with regards to scheduled interest or principal payments.

⁹ Securities, or a portion there of, pledged as collateral with a value of $55,604 on 33 short Euro futures contracts and 99 short U.S. Treasury Note futures contracts.

^† Fair valued security. The aggregate value of fair valued securities is $18,810,721, which is 7.04% 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

(STEP): Step coupon bond

See accompanying notes to financial statements.

19

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 99.04%
ASSET-BACKED SECURITIES—22.68%³
	ABFS Mortgage Loan Trust 2002-2 A7 (STEP), 5.22%, 07/15/33	$	1,481,912	$	1,464,855
	Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		153,802		152,360
	Bayview Financial Acquisition Trust 2005-A A1, 5.32%, 02/28/404,7†		3,000,000		3,003,188
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M2 (STEP), 8.28%, 08/25/30		5,995,000		6,174,059
	Castle Trust 2003-1AW A1, 5.50%, 05/15/274,7		4,399,350		4,401,308
	Credit-Based Asset Servicing and Securitization 2006-CB1 AF2 (STEP), 5.24%, 01/25/36		7,685,000		7,629,796
	Conseco Finance 2001-D A5 (STEP), 6.19%, 11/15/32		1,392,027		1,408,580
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		233,906		234,283
	Conseco Finance Securitizations Corp. 2001-3 AIO (IO), 2.50%, 05/01/336†		18,375,000		478,895
	Countrywide Asset-Backed Certificates 2004-13 AV2, 5.08%, 05/25/347		8,077,717		8,090,741
	Countrywide Asset-Backed Certificates 2005-13 AF1, 4.71%, 04/25/367		10,898,764		10,906,013
	Countrywide Home Equity Loan Trust 2005-M A2, 4.87%, 02/15/367		13,063,444		13,067,527
	Equity One ABS, Inc. 2002-2 AF3, 5.77%, 10/25/32		504,589		503,674
	First Alliance Mortgage Loan Trust 1994-3 A1, 7.83%, 10/25/25		7,305		7,275
	First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2B, 5.00%, 03/25/357		11,038,000		11,048,338
	First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		125,846		114,582
	Green Tree Financial Corp. 1994-1 A5, 7.65%, 04/15/19		1,204,198		1,247,312
	Green Tree Financial Corp. 1995-10 A6, 7.05%, 01/15/27		1,433,013		1,453,256
	Green Tree Home Improvement Loan Trust 1997-E HEM2, 7.48%, 01/15/29		1,040,915		1,041,909
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		914,080		840,597

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Greenpoint Mortgage Funding Trust 2005-HE2 A1, 4.95%, 04/15/307†	$	1,567,542	$	1,565,673
	GSAMP Trust 2005-HE4 A2A, 4.94%, 08/25/357		4,014,112		4,017,463
	Home Equity Mortgage Trust 2006-1 A1B, 4.95%, 05/25/367†		11,750,000		11,763,321
	IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A, 4.94%, 04/25/267†		7,777,454		7,778,167
	Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO), 0.05%, 05/15/416,7†		424,346,026		7,197,174
	Mellon Residential Funding Corp. 2001-HEIL A4 (STEP), 6.62%, 02/25/21		1,826,805		1,825,298
	Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B, 4.96%, 01/25/377†		5,139,000		5,141,805
	Morgan Stanley ABS Capital I 2004-NC2 M2, 6.02%, 12/25/337		1,100,000		1,118,130
	Nomura Asset Acceptance Corp. 2006-S1 A1, 4.96%, 01/25/364,7†		13,686,278		13,686,278
	North Street Referenced Linked Notes 2000-1, 6.41%, 04/28/114,6,7†		1,800,000		1,062,000
	Oakwood Mortgage Investors, Inc. 2000-D A2, 6.74%, 07/15/18		20,758		20,722
	Oakwood Mortgage Investors, Inc. 2002-B
	AIO (IO), 6.00%, 05/15/106†		14,884,868		2,421,705
	A1, 4.98%, 05/15/137		667,458		573,548
	A2, 5.19%, 09/15/19		437,285		367,414
	Pegasus Aviation Lease Securitization 2000-1 B1, 8.08%, 03/25/304,6†		8,806,150		103,032
	Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP), 7.51%, 03/25/31		731,475		729,285
	Residential Asset Securities Corp. 2005-KS8 A1, 4.93%, 08/25/357		4,212,416		4,215,652
	Structured Asset Receivables Trust 2003-1, 3.65%, 01/21/104,7†		5,710,655		5,679,246
	Structured Asset Receivables Trust 2003-2, 4.91%, 01/21/094,7†		2,112,420		2,100,802
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154†		1,023,886		1,045,163
	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346,7†		6,530,000		7,856
	Terwin Mortgage Trust 2004-1HE A1, 5.33%, 02/25/344.7		389,972		390,467

See accompanying notes to financial statements.

20

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Terwin Mortgage Trust 2004-7HE A1, 5.37%, 07/25/344,7	$	825,950	$	826,459
	Terwin Mortgage Trust 2005-13SL A1B, 4.75%, 12/25/364†		12,100,000		11,889,708
	Terwin Mortgage Trust 2005-9HGS A1, 4.00%, 08/25/354,7†		7,109,519		6,953,288
	Terwin Mortgage Trust 2006-2HGS A2, 4.50%, 02/25/374,7†		8,200,000		7,989,004
	Terwin Mortgage Trust 2006-4SL A2, 4.50%, 03/25/374†		12,500,000		12,159,787
	Total Asset-Backed Securities (Cost $194,675,202)				185,896,995
CORPORATES—28.12%²
Automotive —5.07%	DaimlerChrysler NA Holding Corp., 5.10%, 03/07/077		8,000,000		8,005,008
	Ford Motor Credit Co.,
	6.50%, 01/25/07		1,000,000		996,364
	5.88%, 03/21/077		7,213,000		7,108,274
	6.63%, 06/16/08		6,420,000		6,079,477
	6.17%, 01/15/107		4,070,000		3,686,199
	General Motors Acceptance Corp.,
	5.65%, 05/18/067		1,000,000		997,180
	6.13%, 09/15/06		1,500,000		1,493,243
	4.38%, 12/10/07 (MTN)		4,560,000		4,230,754
	7.02%, 12/01/147		9,823,000		8,961,768
					41,558,267
Banking—3.50%	BankAmerica Institutional A, 8.07%, 12/31/264		2,250,000		2,376,059
	BankBoston Capital Trust II, 7.75%, 12/15/26		3,500,000		3,681,010
	CS First Boston London,
	9.65%, 03/24/104,7		3,146,000		2,797,392
	9.65%, 03/24/104,7		6,764,000		6,014,481
	Deutsche Bank Luxembourg SA, 6.83%, 12/28/074		4,128,000		4,202,341
	JPMorgan Chase & Co. (MTN), 8.55%, 07/23/137†		1,500,000		1,395,158
	Roslyn Bancorp, Inc., 5.75%, 11/15/07		6,900,000		6,890,630
	State Street Institution CAP-B., 8.04%, 03/15/274		1,228,000		1,299,423
					28,656,494
Basic Industry —0.74%	Steel Dynamics, Inc., 9.50%, 03/15/09		5,800,000		6,082,750
Communications —2.28%	AT&T, Inc., 4.39%, 06/05/214		3,400,000		3,395,281
	New England Telephone & Telegraph Co., 7.65%, 06/15/07		4,964,000		5,069,540
	Qwest Capital Funding, Inc., 7.75%, 08/15/06		7,250,000		7,331,563
	Sprint Capital Corp. (STEP), 4.78%, 08/17/06		2,891,000		2,885,302
					18,681,686

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Electric—4.85%	American Electric Power Co., Inc. (STEP), 4.71%, 08/16/07	$	6,270,000	$	6,211,564
	Cedar Brakes II LLC, 9.88%, 09/01/134		7,452,501		8,428,652
	Dominion Resources, Inc., 5.26%, 09/28/077		7,000,000		7,008,974
	Entergy Gulf States, Inc., 5.61%, 12/08/084,7		5,230,000		5,236,161
	Georgia Power Capital Trust VI, 4.88%, 11/01/42		7,360,000		7,264,938
	Power Contract Financing LLC, 6.26%, 02/01/104		3,070,000		3,088,279
	Power Receivables Finance LLC, 6.29%, 01/01/124		2,486,367		2,499,379
					39,737,947
Finance—1.52%	Bear Stearns Cos., Inc. (The), 4.90%, 01/31/117		3,210,000		3,215,425
	Countrywide Financial Corp., 5.17%, 03/24/097		1,900,000		1,901,005
	Lehman Brothers Holdings, Inc.(MTN), 12.50%, 11/30/107		3,293,000		3,016,717
	Meridian Funding Co. LLC, 4.74%, 10/06/094,7		4,330,151		4,335,563
					12,468,710
Foreign Agencies —0.63%	Pemex Finance Ltd., 8.88%, 11/15/10		3,334,000		3,652,814
	Pemex Finance Ltd. 1992-2 A1, 9.69%, 08/15/09		1,400,000		1,503,089
					5,155,903
Insurance—1.41%	Farmers Insurance Exchange Capital, 6.00%, 08/01/144		1,900,000		1,876,769
	Odyssey Re Holdings Corp., 7.65%, 11/01/13		1,226,000		1,231,404
	Zurich Capital Trust I, 8.38%, 06/01/374		7,870,000		8,421,301
					11,529,474
Natural Gas —0.92%	Sempra Energy,
	4.62%, 05/17/07		5,000,000		4,956,845
	5.24%, 05/21/087		2,575,000		2,579,532
					7,536,377
Real Estate Investment Trust (REIT)—3.64%	Brandywine Operating Partnership LP/PA, 5.75%, 04/01/12		3,200,000		3,181,542
	CPG Partners LP, 8.25%, 02/01/11		4,065,000		4,479,248
	Duke Realty LP, 5.20%, 12/22/067		2,917,000		2,920,798
	Highwoods Properties, Inc., 7.00%, 12/01/06		8,985,000		9,047,967
	JDN Realty Corp., 6.95%, 08/01/07		5,000,000		5,032,095
	Westfield Capital Corp. Ltd, 4.98%, 11/02/074,7		5,175,000		5,190,359
					29,852,009

See accompanying notes to financial statements.

21

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Secured Assets —0.61% Technology —0.11% Transportation —2.84%	Ingress I Ltd., 7.38%, 03/30/404†	$	5,490,000	$	5,029,356
	Deluxe Corp., 3.50%, 10/01/07		900,000		862,810
	Air 2 US A, 8.03%, 10/01/204		7,804,721		7,770,575
	American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13		3,069,000		3,268,051
	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		3,242,071		3,304,796
	Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20		3,942,968		3,997,545
	Continental Airlines, Inc. 2002-1 G2, 6.56%, 08/15/13		2,105,000		2,173,955
	Delta Air Lines, Inc. 2001-1
	A1, 6.62%, 09/18/129,10		337,941		342,888
	A2, 7.11%, 03/18/139,10		329,000		328,887
	Northwest Airlines, Inc. 2001-1 A1, 7.04%, 10/01/239,10		2,098,280		2,099,591
					23,286,288
	Total Corporates (Cost $233,380,821)				230,438,071
MORTGAGE-BACKED—30.37%³
Commercial Mortgage-Backed —1.90%	CS First Boston Mortgage Securities Corp. 2004-C2 A1, 3.82%, 05/15/36		9,950,109		9,397,414
	CS First Boston Mortgage Securities Corp. 2004-C5 A2, 4.18%, 11/15/37		5,800,000		5,582,184
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.29%, 01/25/264,6,7†		361,719		459
	DLJ Mortgage Acceptance Corp. 1997-CF1 A1B, 7.60%, 05/15/304		564,746		572,713
					15,552,770
Non-Agency Mortgage-Backed —15.07%	Banco de Credito Y Securitizacion SA 2001-1 AF, 8.00%, 05/31/104,6†		3,648,802		1,028,962
	BHN I Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6†		3,760,878		1,062,918
	Blackrock Capital Finance LP 1997-R2 AP, 6.08%, 12/25/354,7		37,618		37,642
	Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2, 6.50%, 10/25/33		108,745		109,997
	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.13%, 02/25/347		393,535		386,643
	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/356,7†		25,876,362		687,590
	Countrywide Alternative Loan Trust 2005-16 A1, 5.40%, 06/25/357†		8,083,215		8,147,881
	Countrywide Alternative Loan Trust 2005-27 2A1, 5.10%, 08/25/357†		4,508,524		4,534,306

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 2005-59 1A1, 5.11%, 11/20/357	$	9,476,817	$	9,531,332
	Countrywide Alternative Loan Trust 2005-59 2X (IO), 1.91%, 11/20/356,7		37,151,374		1,486,055
	Countrywide Alternative Loan Trust 2006-OA2 X1P (IO), 1.03%, 05/20/466,7		48,210,000		2,485,828
	Countrywide Home Loan Mortgage Pass-Through Trust 2005-22 1A1, 5.37%, 11/25/357		9,796,753		9,662,290
	DSLA Mortgage Loan Trust 2005-AR2 2A1A, 4.99%, 03/19/457		9,348,274		9,436,588
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/356,7		26,858,609		629,499
	Harborview Mortgage Loan Trust 2005-10 X (IO), 1.68%, 11/19/356,7		42,194,048		1,292,193
	IndyMac Index Mortgage Loan Trust 2004-AR12
	A1, 5.21%, 12/25/347		5,855,088		5,875,981
	AX2 (IO), 0.93%, 12/25/346,7		19,389,277		496,850
	IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A, 5.22%, 11/25/347		5,077,446		5,104,256
	JPMorgan Mortgage Trust 2005-A5 2A1, 5.16%, 08/25/357		6,378,784		6,302,881
	MASTR Adjustable Rate Mortgages Trust 2004-1 2A1, 3.60%, 01/25/347		2,692,659		2,700,230
	MASTR Adjustable Rate Mortgages Trust 2004-5 3A1, 4.48%, 06/25/347		4,631,639		4,614,949
	MASTR Seasoned Securities Trust 2004-1 4A1, 5.19%, 10/25/327		4,471,305		4,518,750
	MASTR Seasoned Securities Trust 2005-1 4A1, 5.80%, 10/25/327†		6,327,845		6,369,374
	Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31		3,203,744		3,282,838
	Residential Asset Mortgage Products, Inc. 2004-SL4 A3, 6.50%, 07/25/32		7,352,524		7,463,182
	SLH Mortgage Trust 1990-1 G, 9.60%, 03/25/21		13,874		13,830
	Washington Mutual 2002-AR17 2A, 4.54%, 11/25/427		5,148,355		5,076,393
	Washington Mutual 2002-AR18 A, 4.12%, 01/25/337		3,079,160		3,065,281
	Washington Mutual 2004-AR10 A2A, 4.88%, 07/25/447		3,476,649		3,478,866
	Washington Mutual 2004-AR12 A4A, 4.88%, 10/25/447		3,450,321		3,453,993
	Washington Mutual 2005-AR2 2A21, 5.15%, 01/25/457		5,456,148		5,487,402

See accompanying notes to financial statements.

22

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1, 5.00%, 03/25/18	$	5,880,469	$	5,700,380
					123,525,160
U.S. Agency Mortgage-Backed —13.40%	Fannie Mae 1993-95 SB, 15.05%, 06/25/087		71,236		78,119
	Fannie Mae 1997-44 SB (IO), 3.65%, 06/25/087		862,887		30,099
	Fannie Mae 1997-76 FS, 5.23%, 09/17/277		131,945		133,065
	Fannie Mae 2001-60 JZ, 6.00%, 03/25/31		509,951		509,903
	Fannie Mae 2003-90 UD (IO), 5.50%, 10/25/26		6,731,818		848,507
	Fannie Mae Pool 555177, 4.86%, 01/01/337		230,219		227,076
	Fannie Mae Pool 567002, 8.00%, 05/01/23		293,698		310,759
	Fannie Mae Pool 735575, 5.50%, 12/01/18		8,065,699		8,030,618
	Fannie Mae Pool 735686, 6.50%, 12/01/22		8,076,208		8,305,246
	Fannie Mae Pool 745383, 4.34%, 12/01/357		11,252,872		11,131,175
	Fannie Mae Pool 785307, 4.17%, 07/01/347		11,727,236		11,638,522
	Fannie Mae Pool 817611, 5.37%, 11/01/357		5,782,539		5,690,661
	Fannie Mae Strip 342 2 (IO), 6.00%, 10/01/33		1,140,159		281,197
	Freddie Mac 1164 O, 8.07%, 11/15/067,11		10,306		193
	Freddie Mac 2174 PN, 6.00%, 07/15/29		7,852,972		7,885,922
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		1,769,745		225,877
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		6,315,502		750,036
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		6,538,400		854,607
	Freddie Mac Gold A24156, 6.50%, 10/01/31		3,358,294		3,433,722
	Freddie Mac Gold C46104, 6.50%, 09/01/29		94,312		96,630
	Freddie Mac Gold G11707, 6.00%, 03/01/20		6,690,636		6,774,457
	Freddie Mac Gold P50019, 7.00%, 07/01/24†		175,654		179,360
	Freddie Mac Pool 1B1928, 4.28%, 08/01/347		10,531,643		10,457,423
	Freddie Mac Pool 1L0113, 5.73%, 05/01/357		7,641,154		7,774,052
	Freddie Mac Pool 390381, 4.32%, 02/01/377		244,250		243,822
	Freddie Mac Pool 781469, 3.14%, 04/01/347		6,761,224		6,667,777
	Freddie Mac Pool 786781, 6.33%, 08/01/297		423,942		434,828
	Freddie Mac Pool 847288, 3.15%, 05/01/347		11,384,199		11,256,527

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32	$	2,728,927	$	416,748
	Ginnie Mae 2003-40 IW (IO), 5.50%, 07/20/29		6,047,273		437,879
	Ginnie Mae 2003-75 CI (IO), 5.50%, 01/20/21		2,115,785		67,588
	Ginnie Mae Pool 1849, 8.50%, 08/20/24		4,129		4,466
	Ginnie Mae Pool 2020, 8.50%, 06/20/25		10,765		11,653
	Ginnie Mae Pool 2286, 8.50%, 09/20/26		7,014		7,530
	Ginnie Mae Pool 2487, 8.50%, 09/20/27		46,287		49,723
	Ginnie Mae Pool 422972, 6.50%, 07/15/29		103,634		107,642
	Ginnie Mae Pool 80589, 4.63%, 03/20/327		445,504		444,027
	Ginnie Mae Pool 80968, 5.00%, 07/20/347		4,008,912		4,013,970
					109,811,406
	Total Mortgage-Backed (Cost $257,060,993)				248,889,336
U.S. AGENCY SECURITIES—9.99%
U.S. Agency Securities—9.99%	Fannie Mae,
	2.63%, 01/19/076		3,412,000		3,346,537
	3.25%, 01/15/08		6,518,000		6,319,801
	3.88%, 02/01/086		5,652,000		5,536,366
	5.00%, 04/06/10		4,982,000		4,981,965
	Federal Home Loan Bank,
	4.50%, 10/12/07		8,185,000		8,114,273
	3.38%, 07/21/08		7,875,000		7,597,706
	4.25%, 09/26/08		10,910,000		10,714,907
	Freddie Mac,
	3.00%, 09/29/06		6,965,000		6,892,153
	2.88%, 12/15/066		14,710,000		14,485,584
	3.25%, 11/02/076		7,550,000		7,329,185
	3.25%, 02/25/08		6,790,000		6,562,005
	Total U.S. Agency Securities (Cost $82,432,823)				81,880,482
U.S. TREASURY SECURITIES—7.88%
U.S. Treasury Notes—7.88%	U.S. Treasury Notes,
	3.00%, 12/31/06		54,685,000		53,952,330
	3.00%, 11/15/078		4,537,000		4,408,335
	3.13%, 09/15/08		6,424,000		6,175,577
	Total U.S. Treasury Securities (Cost $65,105,956)				64,536,242
	Total Bonds (Cost $832,655,795)				811,641,126
		Shares
PREFERRED STOCK 0.37%
Finance—0.37%	Woodbourne Pass-Through Trust, 5.79%, 12/31/944		30		3,023,439
	Total Preferred Stock (Cost $3,000,000)				3,023,439

See accompanying notes to financial statements.

23

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
SHORT TERM INVESTMENTS 1.41%
Commercial Paper —1.38%	Alcoa, Inc., 4.64%5, 04/17/06	$	3,120,000	$	3,114,370
	DaimlerChrysler NA Holding Corp., 4.71%5, 04/10/06		8,200,000		8,192,490
					11,306,860
Money Market  Fund—0.03%	JPMorgan Prime Money Market Fund		236,000		236,000
	Total Short Term Investments (Cost $11,542,860)				11,542,860
	Total Investments—100.82% (Cost $847,198,655)¹				826,207,425
	Liabilities in Excess of Other Assets—(0.82)%				(6,726,991	)
	Net Assets—100.00%			$	819,480,434

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized Appreciation
47	U.S. Treasury Five Year Note, June 2006	$	34,457
	Net unrealized appreciation	$	34,457

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized (Depreciation)
981	U.S. Treasury Two Year Note, June 2006	$	(377,899	)
	Net unrealized (depreciation)	$	(377,899	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
478	Pay a fixed rate equal to 1.70% 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, 6.52% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(5,938	)
478	Pay a fixed rate equal to 3.50% 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, 8.32% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34		(9,858	)

Notional Amount (000’s)		Unrealized (Depreciation)
478	Pay a fixed rate equal to 2.15% 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, 6.97% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34	$	(6,244	)
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, 6.77% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(5,642	)
478	Pay a fixed rate equal to 1.80% 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, 6.62% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(6,190	)
478	Pay a fixed rate equal to 2.20% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 7.02% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(6,190	)
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, 7.82% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(10,316	)
796	Pay a fixed rate equal to 2.15% 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, 6.97% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(10,316	)
478	Pay a fixed rate equal to 1.70% 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, 6.52% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(6,393	)

See accompanying notes to financial statements.

24

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
478	Pay a fixed rate equal to 3.10% 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, 7.92% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35	$	(6,685	)
478	Pay a fixed rate equal to 2.25% 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, 7.07% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(6,022	)
478	Pay a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Master Asset Backed Securities Trust 2004-WMC2 M5, 7.22% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(5,906	)
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 Morgan Stanley ABS Capital I 2004-HE6 B2, 6.77% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(6,925	)
478	Pay a fixed rate equal to 2.25% 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, 7.07% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(6,479	)
796	Pay a fixed rate equal to 2.70% 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, 7.52% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(9,067	)
478	Pay a fixed rate equal to 1.85% 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, 6.67% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(6,010	)
	Net unrealized (depreciation)	$	(114,181	)

Notes:

¹ Cost for Federal income tax purposes is $847,318,259 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	4,252,939
Gross unrealized depreciation		(25,363,773	)
Net unrealized (depreciation)	$	(21,110,834	)

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 March 31, 2006 was $148,977,234 representing 18.18% 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 March 31, 2006.

⁸ Securities, or a portion there of, pledged as collateral with a value of $295,379 on 47 short U.S. Treasury Five Year Note and 981 long U.S. Treasury Two Year Note futures contracts.

⁹ Security is currently in default with regards to scheduled interest or principal payments.

¹⁰ Non-income producing security.

¹¹ IOette. This security represents the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, however, a nominal amount of principal is assigned to an IOette. This amount is very small in relation to the interest flow that constitutes almost all of the IOette cash flow. The stated price and coupon are linked to that small principal amount therefore appear unusually large.

^† Fair valued security. The aggregate value of fair valued securities is $130,461,456, which is 15.92% 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

(STEP): Step coupon bond

See accompanying notes to financial statements.

25

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 98.30%
ASSET-BACKED SECURITIES—10.89%³
	ABFS Mortgage Loan Trust 2002-2 A7 (STEP), 5.22%, 07/15/33	$	96,324	$	95,216
	Bayview Financial Acquisition Trust 2005-B 1A1 (STEP), 4.44%, 04/28/39		124,050		123,174
	Birch Real Estate CDO Ltd. 1A A1, 5.16%, 02/10/384†		650,000		634,664
	Centex Home Equity 2005-A AF1 (STEP), 3.70%, 06/25/22		103,232		102,718
	Conseco Finance 2001-D A5 (STEP), 6.19%, 11/15/32		464,009		469,527
	Conseco Finance 2002-A A5 (STEP), 7.05%, 04/15/32		426,847		433,791
	Conseco Finance 2002-C BF2, 8.00%, 06/15/324†		383,917		383,379
	Credit-Based Asset Servicing and Securitization LLC 2004-CB8 AF1, 3.63%, 12/25/35		103,007		102,443
	GMAC Mortgage Corp. Loan Trust 2006-HLTV A3, 5.59%, 10/25/29†		935,000		931,742
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		220		218
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114†		84,784		86,055
	JPMorgan RV Marine Trust 2004-1A A1, 3.12%, 04/15/114		283,260		279,559
	Keystone Owner Trust 1998-P1 M2, 7.93%, 05/25/254		111,996		111,614
	Mid-State Trust 2004-1 B, 8.90%, 08/15/37		355,889		357,185
	Oakwood Mortgage Investors, Inc. 1997-A A5, 7.13%, 05/15/27		147,032		148,267
	Oakwood Mortgage Investors, Inc. 2001-D
	A2, 5.26%, 01/15/19		257,126		163,008
	A3, 5.90%, 09/15/22		306,358		204,237
	Oakwood Mortgage Investors, Inc. 2002-B A1, 4.98%, 05/15/137		74,162		63,728
	Residential Asset Mortgage Products, Inc. 2004-RS12 AI2, 3.77%, 02/25/27		675,000		670,075
	Structured Asset Receivables Trust 2003-1, 3.65%, 01/21/104,7†		432,625		430,246
	Terwin Mortgage Trust 2005-9HGS A1, 4.00%, 08/25/354,7†		509,027		497,841
	Terwin Mortgage Trust 2005-11 1A1A (STEP), 4.50%, 11/25/364†		472,715		469,729
	UCFC Home Equity Loan 1998-D
	BF1, 8.97%, 04/15/30		3,657		3,732
	MF1, 6.91%, 04/15/30		369,846		370,034
	Total Asset-Backed Securities (Cost $7,461,122)				7,132,182
CORPORATES—24.60%²
Automotive —3.70%	Ford Motor Co., 7.45%, 07/16/31		279,000		208,553

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Automotive (continued)	Ford Motor Credit Co.,
	6.63%, 06/16/08	$	100,000	$	94,696
	8.63%, 11/01/10		319,000		305,901
	7.38%, 02/01/11		300,000		276,260
	7.25%, 10/25/11		416,000		379,491
	General Motors Acceptance Corp.,
	5.65%, 05/18/067		190,000		189,464
	7.02%, 12/01/147		105,000		95,794
	6.88%, 09/15/11		474,000		442,293
	General Motors Corp.,
	7.20%, 01/15/11		250,000		196,250
	7.70%, 04/15/16		108,000		79,110
	8.25%, 07/15/23		212,000		153,700
					2,421,512
Banking—3.89%	BankBoston Corp., 7.75%, 12/15/26		700,000		736,202
	CS First Boston London,
	9.65%, 03/24/104,7		608,000		540,628
	9.65%, 03/24/104,7		334,000		296,989
	Danske Bank A/S, 5.91%, 12/29/494,7		120,000		120,684
	Greenpoint Capital Trust I, 9.10%, 06/01/27		227,000		244,960
	National Capital Trust II, 5.49%, 12/29/494,7		327,000		316,645
	Providian Capital I, 9.53%, 02/01/274		275,000		294,846
					2,550,954
Communications —1.44%	Qwest Corp.,
	5.63%, 11/15/08		489,000		487,778
	7.88%, 09/01/11		175,000		187,688
	Sprint Capital Corp. (STEP), 4.78%, 08/17/06		270,000		269,468
					944,934
Electric—2.52%	Cedar Brakes II LLC, 9.88%, 09/01/134		389,326		440,321
	Entergy Louisiana LLC, 5.83%, 11/01/10		698,000		693,985
	Power Receivable Finance LLC, 6.29%, 01/01/124		512,393		515,075
					1,649,381
Finance—1.01%	Lehman Brothers Holdings, Inc. (MTN), 12.50%, 11/30/107		271,000		248,263
	Pemex Finance Ltd., 8.88%, 11/15/10		375,000		410,859
					659,122
Health Care —0.60%	HCA, Inc., 5.25%, 11/06/08		400,000		395,123
Insurance—3.24%	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		375,000		331,875
	Farmers Exchance Capital,
	7.05%, 07/15/284		410,000		417,027
	7.20%, 07/15/484		115,000		114,614
	Nationwide Mutual Insurance Co., 6.60%, 04/15/344		440,000		427,693
	Stingray Pass-Through Trust, 5.90%, 01/12/154		225,000		216,509

See accompanying notes to financial statements.

26

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Insurance (continued)	Zurich Capital Trust I, 8.38%, 6/01/374	$	575,000	$	615,279
					2,122,997
Natural Gas —1.19%	El Paso Corp., 7.00%, 05/15/11		300,000		302,625
	Sempra Energy, 5.24%, 05/21/087		475,000		475,836
					778,461
Real Estate Investment Trust (REIT)—3.91%	Brandywine Operating Partners LP/PA, 5.75%, 04/01/12		291,000		289,322
	Colonial Realty LP, 4.75%, 02/01/10		586,000		565,377
	CPG Partners L.P., 8.25%, 02/01/11		330,000		363,629
	EOP Operating LP, 5.59%, 10/01/107		159,000		160,544
	Health Care Property Investors, Inc., 7.07%, 06/08/15		160,000		171,052
	Highwoods Properties, Inc., 7.13%, 02/01/08		790,000		808,403
	Prime Property Fund, Inc., 5.60%, 06/15/114		206,000		204,953
					2,563,280
Transportation —3.10%	Air 2 US A, 8.03%, 10/01/204		589,119		586,541
	American Airlines, Inc. 2001-2 A2, 7.86%, 04/01/13		20,000		21,297
	American Airlines, Inc. 2005-1 G, 5.11%, 03/29/144†		490,250		480,751
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		15,139		14,712
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		77,408		76,697
	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		234,085		238,613
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		123,593		123,324
	Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21		102,780		104,957
	Continental Airlines, Inc. 2000-2 A1, 7.71%, 10/02/22		78,182		81,346
	Delta Air Lines, Inc. 2000-1 A1, 7.38%, 11/18/119,10		53,006		53,427
	Northwest Airlines, Inc. 2001-1 A1, 7.04%, 10/01/239,10		154,654		154,751
	United AirLines, Inc. 2001-1 A1, 6.07%, 09/01/14		93,442		92,441
					2,028,857
	Total Corporates (Cost $16,364,576)				16,114,621
MORTGAGE-BACKED—20.63%³
Non-Agency Mortgage-Backed —9.88%	Banc of America Mortgage Securities 2003-1 2A4, 5.00%, 02/25/18		311,816		302,266
	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.57%, 05/25/356,7†		1,889,869		50,218

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 2005-27
	2A1, 5.10%, 08/25/357†	$	684,084	$	687,996
	3A2, 4.85%, 08/25/357†		192,910		193,067
	Countrywide Alternative Loan Trust 2005-59 2X (IO), 1.91% 11/20/356,7		3,075,038		123,002
	Countrywide Alternative Loan Trust 2006-OA2 X1P (IO), 1.03%, 05/20/466,7		3,830,000		197,484
	Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1, 5.13% 08/25/347		997,493		960,715
	First Horizon Asset Securities, Inc. 2002-7 2A2, 5.25%, 12/25/17		344,291		341,723
	First Union Commercial Mortgage Trust 1999-C1 A2, 6.07%, 10/15/35		593,474		601,885
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/356,7		1,907,142		44,699
	Harborview Mortgage Loan Trust 2005-10 X (IO), 1.68%, 11/19/356,7		3,358,827		102,864
	IndyMac Index Mortgage Loan Trust 2004-A12 AX2 (IO), 0.93%, 12/25/346,7		1,382,068		35,415
	IndyMac Index Mortgage Loan Trust 2004-AR6 6A1, 5.48%, 10/25/347		357,520		353,823
	IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A, 5.22%, 11/25/347		388,387		390,437
	MASTR Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32		379,884		382,624
	Residential Asset Mortgage Products, Inc. 2003-SL1 A41, 8.00%, 04/25/31		195,261		199,602
	Residential Asset Mortgage Products, Inc. 2004-SL1 A7, 7.00%, 11/25/31		235,057		240,860
	Residential Asset Securitization Trust 2004-IP2 2A1, 5.24%, 12/25/347		344,307		342,078
	Washington Mutual, Inc. 2002-AR18 A, 4.12%, 01/25/337		175,608		174,817
	Washington Mutual, Inc. 2004-AR10 A2A, 4.88%, 07/25/447		271,738		271,911
	Washington Mutual, Inc. 2004-AR12 A4A, 4.88%, 10/25/447		260,362		260,639
	Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A, 7.00%, 03/25/34		211,868		214,336
					6,472,461
U.S. Agency Mortgage-Backed —10.75%	Fannie Mae 1993-225 SG, 7.01%, 12/25/137		301,496		296,402
	Fannie Mae 1993-80 S, 4.96%, 05/25/237		64,245		60,255

See accompanying notes to financial statements.

27

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae 1994-55 S, 12.55%, 12/25/237	$	69,836	$	76,228
	Fannie Mae 2001-52 YZ, 6.50%, 10/25/31		1,062,150		1,083,932
	Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28		331,646		35,467
	Fannie Mae Pool 253974, 7.00%, 08/01/31		126,044		129,872
	Fannie Mae Pool 527247, 7.00%, 09/01/26		326		336
	Fannie Mae Pool 545646, 7.00%, 09/01/26		225		232
	Fannie Mae Pool 549740, 6.50%, 10/01/27		173,367		177,088
	Fannie Mae Pool 727247, 5.00%, 09/01/33		260,839		249,106
	Fannie Mae Pool 735575, 5.50%, 12/01/18		568,632		566,159
	Fannie Mae Pool 735686, 6.50%, 12/01/22		613,051		630,437
	Fannie Mae Pool 764388, 4.97%, 03/01/347		626,494		607,112
	Fannie Mae Pool 817611, 5.37%, 11/01/357		437,335		430,386
	Fannie Mae Strip 342 2 (IO), 6.00%, 10/01/33		220,961		54,495
	Fannie Mae (TBA), 5.00%, 04/25/36		674,000		641,775
	Freddie Mac 1602 SN, 10.09%, 10/15/237		14,590		15,186
	Freddie Mac 2174 PN, 6.00%, 07/15/29		572,979		575,383
	Freddie Mac 2451 SP, 6.49%, 05/15/097		88,301		88,503
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		412,962		52,708
	Freddie Mac 2845 PI (IO), 5.50%, 02/15/32		277,987		41,243
	Freddie Mac Gold A33262, 5.50%, 02/01/35		341,445		333,584
	Freddie Mac Gold G01673, 5.50%, 04/01/34		120,723		118,087
	Freddie Mac Gold P50019, 7.00%, 07/01/24†		35,699		36,452
	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32		308,208		47,068
	Ginnie Mae 2004-34 IA (IO), 5.50%, 12/20/31		440,000		35,988
	Ginnie Mae 2004-8 SE, 4.66%, 11/26/237		369,068		343,731
	Ginnie Mae II Pool 80968, 5.00%, 07/20/347		313,741		314,137
					7,041,352
	Total Mortgage-Backed (Cost $13,885,763)				13,513,813
U.S. TREASURY SECURITIES—42.18%
U.S. Principal Strip—5.06%	U.S. Principal Strip, 4.32%5, 08/15/09		3,891,000		3,315,626

	Issues	Principal Amount		Value
Bonds (continued) U.S. Treasury Securities (continued) U.S. Treasury Notes—37.12%	U.S. Treasury Notes,
	3.00%, 12/31/06	$	1,867,000	$	1,841,986
	3.13%, 09/15/08		794,000		763,295
	3.38%, 10/15/09		7,770,000		7,409,122
	5.00%, 08/15/118		1,325,000		1,337,060
	4.88%, 02/15/12		3,428,000		3,434,431
	4.25%, 11/15/14		9,966,000		9,528,433
					24,314,327
	Total U.S. Treasury Securities (Cost $28,227,387)				27,629,953
	Total Bonds (Cost $65,938,848)				64,390,569
SHORT TERM INVESTMENTS 2.00%
Commercial Paper—1.62%	Alcoa, Inc., 4.64%5, 04/17/06		345,000		344,377
	DaimlerChrysler NA Holding Corp., 4.71%5, 04/10/06		715,000		714,345
					1,058,722
Money Market Fund—0.38%	JPMorgan Prime Money Market Fund		250,900		250,900
	Total Short Term Investments (Cost $1,309,622)				1,309,622
	Total Investments—100.30% (Cost $67,248,470)¹				65,700,191
	Liabilities in Excess of Other Assets—(0.30)%				(199,285	)
	Net Assets—100.00%			$	65,500,906

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized Appreciation
5	U.S. Treasury Five Year Note, June 2006	$	3,582
	Net unrealized appreciation	$	3,582

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized (Depreciation)
7	U.S. Treasury Two Year Note, June 2006	$	(2,693	)
	Net unrealized (depreciation)	$	(2,693	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
35	Pay a fixed rate equal to 1.70% 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, 6.52% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(435	)

See accompanying notes to financial statements.

28

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
35	Pay a fixed rate equal to 3.50% 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, 8.32% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34	$	(722	)
35	Pay a fixed rate equal to 2.15% 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, 6.97% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(457	)
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, 6.77% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(413	)
35	Pay a fixed rate equal to 1.80% 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, 6.62% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(453	)
35	Pay a fixed rate equal to 2.20% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 7.02% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(454	)
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, 7.82% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(756	)
58	Pay a fixed rate equal to 2.15% 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, 6.97% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(756	)
35	Pay a fixed rate equal to 1.70% 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, 6.52% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(468	)
35	Pay a fixed rate equal to 3.10% 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, 7.92% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(490	)

Notional Amount (000’s)		Unrealized (Depreciation)
35	Pay a fixed rate equal to 2.25% 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, 7.07% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34	$	(441	)
35	Pay a fixed rate equal to 2.40% 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, 7.22% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(433	)
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 Morgan Stanley ABS Capital I 2004-HE6 B2, 6.77% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(507	)
35	Pay a fixed rate equal to 2.25% 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, 7.07% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(475	)
58	Pay a fixed rate equal to 2.70% 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, 7.52% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(664	)
35	Pay a fixed rate equal to 1.85% 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, 6.67% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(440	)
	Net unrealized (depreciation)	$	(8,364	)

Notes:

¹ Cost for Federal income tax purposes is $67,356,465 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	270,459
Gross unrealized depreciation		(1,926,733	)
Net unrealized (depreciation)	$	(1,656,274	)

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 March 31, 2006 was $8,481,642 representing 12.95% of total net assets.

See accompanying notes to financial statements.

29

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2006

⁵ Represents annualized yield at date of purchase.

⁶ Illiquid security.

⁷ Floating rate security. The rate disclosed is that in effect at March 31, 2006.

⁸ Securities, or a portion there of, pledged as collateral with a value of $2,018 on 5 short U.S. Treasury Five Year Note and 7 long U.S. Treasury Two Year Note futures contracts.

⁹ Security is currently in default with regards to scheduled interest or principal payments.

¹⁰ Non-income producing security.

^† Fair valued security. The aggregate value of fair valued securities is $4,882,140 which is 7.45% 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

(STEP): Step coupon bond.

(TBA): To be announced

See accompanying notes to financial statements.

30

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 97.36%
ASSET-BACKED SECURITIES—13.33%³
	ABFS Mortgage Loan Trust 2002-1 A5 (STEP), 6.51%, 12/15/32	$	9,500,602	$	9,612,809
	Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F, 7.72%, 06/25/28		205,069		203,147
	Asset Backed Securities Corp Home Equity Loan Trust 2003-HE4 M2, 6.75%, 08/15/337		21,415,000		21,675,169
	Bayview Financial Acquisition Trust 2005-B 1A1 (STEP), 4.44%, 04/28/39		3,473,392		3,448,873
	Centex Home Equity 2005-A AF1 (STEP), 3.70%, 06/25/22		491,581		489,133
	Conseco Finance 2001-C
	A4, 6.19%, 03/15/30		1,326,917		1,331,682
	A5 (STEP), 6.79%, 08/15/33		7,848,000		7,939,445
	Countrywide Home Equity Loan Trust 2005-M A2, 4.87%, 02/15/367		23,327,579		23,334,869
	DaimlerChrysler Auto Trust 2005-A A2, 3.17%, 09/08/07		4,048,006		4,040,588
	Duke Funding Ltd. 2000-1A B1, 8.27%, 11/10/354†		17,000,000		15,863,391
	Embarcadero Aircraft Securitization Trust 2000-A A1, 5.23%, 08/15/254,7		1,700,000		1,288,812
	First Union Home Equity Loan Trust 1997-3 B, 7.39%, 03/25/29		289,445		263,538
	FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		3,830,307		3,681,982
	GMAC Mortgage Corp. Loan Trust 2003-HE2 A2, 3.14%, 06/25/25		188,703		187,703
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		1,187,162		1,091,725
	Greenpoint Mortgage Funding Trust 2005-HE2 A1, 4.95%, 04/15/307†		3,112,329		3,108,619
	IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A, 4.94%, 04/25/267†		13,966,221		13,967,501
	Keystone Owner Trust 1998-P2 A5 (STEP), 7.90%, 01/25/294		2,595,511		2,595,140
	Nomura Asset Acceptance Corp., 2006-S1 A1, 4.96%, 01/25/364,7†		9,042,720		9,042,720
	North Street Referenced Linked Notes 2000-1A
	C, 6.41%, 04/28/114,6,7†		3,200,000		1,888,000
	D1, 7.26%, 04/28/114,6,7†		9,000,000		2,088,900

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Oakwood Mortgage Investors, Inc. 2000-A M1, 8.30%, 04/15/30	$	5,440,844	$	285,242
	Oakwood Mortgage Investors, Inc. 2001-D
	A3, 5.90%, 09/15/22		444,219		296,144
	A4, 6.93%, 09/15/31		2,106,299		1,470,304
	Oakwood Mortgage Investors, Inc. 2002-B A2, 5.19%, 09/15/19		1,279,058		1,074,687
	Pamco CLO 1998-1A B2, 6.03%, 05/01/104,7†		5,250,000		4,987,500
	Residential Asset Mortgage Products, Inc. 2000-RZ1 A3 (STEP), 8.77%, 10/25/29		854,943		852,345
	Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP), 5.98%, 12/25/33		300,000		301,634
	Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP), 8.60%, 09/25/29		1,691,135		1,685,266
	Residential Funding Mortgage Securities II, Inc. 2000-HI1 A17 (STEP), 8.29%, 02/25/25		964,467		968,937
	Signature 1 CBO, 0.00%, 10/15/09†		2,000,000		21,000
	Structured Asset Reveivables Trust 2003-1, 3.65%, 01/21/104,7†		11,879,027		11,813,692
	Structured Asset Receivables Trust 2003-2, 4.91%, 01/21/094,7†		5,641,852		5,610,822
	Terwin Mortgage Trust 2005-7SL A1, 5.09%, 07/25/354,7		3,089,940		3,092,447
	Terwin Mortgage Trust 2006-2HGS A2, 4.50%, 03/25/374,7†		15,370,000		14,974,512
	Terwin Mortgage Trust 2006-4SL A2, 4.50%, 03/25/374†		23,030,000		22,403,192
	Van Kampen CLO II Ltd., 5.94%, 07/15/084,7†		494,255		421,429
	Vanderbilt Acquisition Loan Trust 2002-1 A4, 6.57%, 05/07/27		5,280,000		5,355,466
	Total Asset-Backed Securities (Cost $213,893,935)				202,758,365
CORPORATES—23.94%²
Automotive —3.83%	Ford Motor Co.,
	7.13%, 11/15/25		7,245,000		5,125,837
	7.45%, 07/16/31		16,595,000		12,404,762
	9.98%, 02/15/47		7,289,000		6,013,425
	7.70%, 05/15/97		150,000		106,125
	Ford Motor Credit Co.,
	6.17%, 01/15/107		1,000,000		905,700
	7.25%, 10/25/11		436,000		397,736
	General Motors Acceptance Corp.,
	6.88%, 09/15/11		296,000		276,200
	7.02%, 12/01/147		17,886,000		16,317,845
	8.00%, 11/01/31		2,636,000		2,497,810

See accompanying notes to financial statements.

31

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Automotive (continued)	General Motors Corp.,
	7.70%, 04/15/16	$	7,678,000	$	5,624,135
	8.25%, 07/15/23		2,383,000		1,727,675
	8.10%, 06/15/24		1,179,000		825,300
	8.38%, 07/15/33		144,000		106,200
	7.38%, 05/23/48		9,500,000		5,985,000
					58,313,750
Banking—1.98%	Banc One Corp., 9.88%, 03/01/19		200,000		246,487
	BankAmerica Institutional A, 8.07%, 12/31/264		350,000		369,609
	Bankers Trust Institutional Capital Trust B, 7.75%, 12/01/264		500,000		525,638
	CS First Boston London
	9.65%, 03/24/104,7		14,159,000		12,590,041
	9.65%, 03/24/104,7		5,190,000		4,614,896
	Crestar Capital Trust I, 8.16%, 12/15/26		1,500,000		1,581,996
	First Chicago NBD Institution Capital A, 7.95%, 12/01/264		5,229,000		5,491,360
	JPMorgan Chase & Co., 8.55%, 07/23/137†		2,500,000		2,325,263
	National Capital Trust II, 5.49%, 12/29/494,7		2,425,000		2,348,210
					30,093,500
Basic Industry —0.22%	Barrick Gold Finance Co., 5.80%, 11/15/34		3,555,000		3,297,732
Communications —1.99%	Charter Communications Co. Term Loan A, 5.75%, 04/27/109		4,993,791		5,029,407
	Qwest Capital Funding, Inc., 7.75%, 8/15/06		24,670,000		24,947,537
	Verizon North, Inc., 5.63%, 01/01/214		250,000		233,727
					30,210,671
Electric —3.28%	Calpine CCFC I Term Loan, 7.50%, 08/26/099		10,559,487		11,311,851
	Cedar Brakes I LLC, 8.50%, 02/15/144		7,828,164		8,592,107
	GWF Energy LLC, 6.13%, 12/30/114		5,138,212		4,944,183
	Indianapolis Power & Light Co., 8.00%, 10/15/06		964,000		977,207
	Potomac Electric Power Co., 5.88%, 10/15/08		125,000		126,090
	Power Contract Financing LLC, 6.26%, 02/01/104		5,550,000		5,583,045
	Swepco Capital Trust I, 5.25%, 10/01/437		14,325,000		14,141,124
	Windsor Financing LLC, 5.88%, 07/15/174		4,300,000		4,287,057
					49,962,664
Finance —1.12%	Bear Stearns Cos., Inc. (The), 4.90%, 01/31/117		7,210,000		7,222,185
	Goldman Sachs Group, Inc., 5.35%, 01/15/16		4,523,000		4,376,767
	Lehman Brothers Holdings, Inc. (MTN), 12.50%, 11/30/107		5,912,000		5,415,983
					17,014,935
Insurance —4.03%	Arch Capital Group Ltd., 7.35%, 05/01/34		100,000		107,410

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Insurance (continued)	Corporate-Backed Trust Certificates (IO), 1.25%, 10/15/296†	$	60,000,000	$	7,377,000
	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		7,165,000		6,341,025
	Farmers Exchange Capital,
	7.05%, 07/15/284		3,926,000		3,993,284
	7.20%, 07/15/484		1,392,000		1,387,323
	Farmers Insurance Exchange, 8.63%, 05/01/244		7,388,000		8,652,412
	Nationwide Mutual Insurance Co., 6.60%, 04/15/344		14,619,000		14,210,092
	TIG Capital Trust I, 8.60%, 01/15/274		5,440,000		4,107,200
	ZFS Finance USA Trust I, 6.45%, 12/15/654		1,800,000		1,735,182
	Zurich Capital Trust I, 8.38%, 06/01/374		12,516,000		13,392,758
					61,303,686
Natural Gas —0.49%	National Fuel Gas Co., 7.38%, 06/13/25		6,813,000		7,441,915
Real Estate Investment Trust (REIT) —1.34%	Duke Realty Corp., 5.20%, 12/22/067		570,000		570,742
	Equity One, Inc.,
	6.00%, 09/15/16		2,862,000		2,844,828
	3.88%, 04/15/19		270,000		256,116
	First Industrial LP, 5.75%, 01/15/16		2,590,000		2,524,841
	Highwoods Properties, Inc.,
	7.00%, 12/01/06		3,900,000		3,927,331
	7.50%, 04/15/18		9,527,000		10,233,656
	Prime Property Funding, 5.60%, 06/15/114		118,000		117,400
					20,474,914
Secured Assets —0.88%	Ingress I Ltd.
	B-A, 7.38%, 03/30/404†		9,745,000		8,927,336
	C-A, 8.01%, 03/30/404,6†		13,717,049		4,499,192
					13,426,528
Transportation —4.78%	Air 2 US A, 8.03%, 10/01/204		14,810,506		14,745,710
	American Airlines, Inc. 1994 A4, 9.78%, 11/26/11		5,377,116		4,730,921
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		890,783		865,709
	Continental Airlines, Inc. 1997-4 A, 6.90%, 07/02/19		3,456,649		3,523,525
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,274,774		1,271,998
	Continental Airlines, Inc. 1999-1 A, 6.55%, 08/02/20		461,658		468,048
	Continental Airlines, Inc. 1999-2 A1, 7.26%, 09/15/21		11,243,395		11,481,623
	Continental Airlines, Inc. 2000-1 A2, 7.92%, 11/01/11		2,000,000		2,083,930
	Continental Airlines, Inc. 2000-2 A2, 7.49%, 04/02/12		2,000,000		2,076,391
	Delta Air Lines, Inc. 2000-1
	A1, 7.38%, 11/18/118,11		913,329		920,594
	A2, 7.57%, 05/18/128,11		3,385,000		3,387,116

See accompanying notes to financial statements.

32

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Transportation (continued)	Northwest Airlines Corp. Term Loan A, 8.33%, 11/19/099	$	4,000,000	$	4,063,928
	Northwest Airlines, Inc. 2001-1 A1, 7.04%, 10/01/238,11		58,518		58,554
	United AirLines, Inc. 2000-2 A1, 7.03%, 04/01/12		7,281,165		7,399,484
	United AirLines, Inc. 2001-1 A1, 6.07%, 09/01/14		15,783,128		15,614,094
					72,691,625
	Total Corporates (Cost $369,700,303)				364,231,920
MORTGAGE-BACKED—27.74%³
Commercial Mortgage-Backed —3.26%	Commercial Mortgage Acceptance Corp. 1998-C2 A3, 6.04%, 09/15/30		13,425,000		13,608,827
	GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO), 0.55%, 05/15/236,7		234,361,765		4,375,089
	LB-UBS Commercial Mortgage Trust 2000-C4 A2, 7.37%, 08/15/26		15,155,000		16,221,247
	Prudential Commercial Mortgage Trust 3.67%, 02/11/36		16,171,494		15,404,112
					49,609,275
Non-Agency Mortgage-Backed —11.06%	Banco de Credito Y Securitizacion 2001-1 AF, 8.00%, 05/31/104,6†		4,170,060		1,175,957
	Banc of America Mortgage Securities 2003-1 2A4, 5.00%, 02/25/18		224,507		217,632
	BHN I Mortgage Fund 1997-2
	A1, 6.10%, 05/31/174,6,7,8†		3,042,464		846,565
	A2, 7.54%, 05/31/174,6,8†		5,425,036		1,509,516
	BHN I Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,6†		2,507,252		708,612
	Blackrock Capital Finance LP 1997-R2 AP, 6.08%, 12/25/354,7		9,405		9,410
	Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2, 4.76%, 05/25/344,7†		19,094,440		17,654,143
	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/356†		50,327,498		1,337,309
	Countrywide Alternative Loan Trust 2005-16 A1, 5.40%, 06/25/357†		16,337,503		16,468,203
	Countrywide Alternative Loan Trust 2005-27 2A1, 5.10%, 08/25/357†		18,107,554		18,211,102
	Countrywide Alternative Loan Trust 2005-43 1A1, 5.37%, 10/25/357		17,889,055		17,621,195
	Countrywide Alternative Loan Trust 2005-59 2X (IO), 1.91%, 11/20/356		67,021,060		2,680,842

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 2006-OA2 X1P (IO), 1.03%, 05/20/466	$	88,370,000	$	4,556,578
	Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1, 5.13%, 08/25/347		15,990,153		15,400,596
	Countrywide Home Loan Mortgage Pass-Through Trust 2005-22 1A1, 5.37%, 11/25/357		18,151,984		17,902,843
	Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1, 5.19%, 09/20/357		17,478,747		16,987,297
	Credit Suisse Mortgage Capital Certificate 2006-C1 A3, 5.71%, 02/15/39†		10,205,000		10,323,562
	DLJ Mortgage Acceptance Corp. 1996-QA S (IO), 3.27%, 01/25/264,6,7†		313,889		399
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/356,7		58,396,745		1,368,674
	Harborview Mortgage Loan Trust 2005-10 X (IO), 1.68%, 11/19/356,7		64,968,059		1,989,647
	IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B, 5.22%, 08/25/347		248,144		248,394
	IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.93%, 12/25/346,7		38,617,252		989,567
	JPMorgan Mortgage Trust 2003-A2 2A3, 4.70%, 11/25/337		305,000		290,894
	J.P. Morgan Mortgage Trust 2004-A5 4A4, 4.85%, 12/25/347		400,000		382,802
	MASTR Seasoned Securities Trust 2004-1 4A1, 5.19%, 10/25/327		285,716		288,748
	MASTR Seasoned Securities Trust 2004-2 A2, 6.50%, 08/25/32		11,104,307		11,184,386
	Morgan Stanley Dean Witter Capital I 2000-LIFE A2, 7.57%, 11/15/36		5,990,000		6,390,517
	Ocwen Residential MBS Corp. 1998-R2 AP, 6.73%, 11/25/344,7†		85,388		88,847
	Residential Asset Mortgage Products, Inc. 2004-SL1 A8, 6.50%, 11/25/31		158,850		160,584
	Ryland Mortgage Securities Corp. 1994-5 M3, 5.07%, 10/25/237†		534,740		532,641
	Structured Asset Securities Corp. 1997-2 2A4, 7.25%, 03/28/30		32,184		32,068
	Structured Asset Securities Corp. 2001-15A 4A1, 6.00%, 10/25/317		6,398		6,378

See accompanying notes to financial statements.

33

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Structured Asset Securities Corp. 2002-8A 6A, 6.67%, 05/25/327	$	6,436	$	6,466
	Structured Mortgage Asset Residential Trust 1991-7 I, 8.50%, 12/25/226,12†		10,040		2,018
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1, 5.00%, 03/25/18		261,559		253,549
	Wells Fargo Mortgage Backed Securities Trust 2004-G A3, 4.77%, 06/25/347		445,000		421,559
					168,249,500
U.S. Agency Mortgage-Backed —13.42%	Collateralized Mortgage Obligation Trust 57 D, 9.90%, 02/01/19		11,454		11,534
	Fannie Mae 1989-27 Y, 6.90%, 06/25/19		2,878		2,919
	Fannie Mae 1989-69 G, 7.60%, 10/25/19		1,506		1,568
	Fannie Mae 1992-83 Z, 7.00%, 06/25/22		68,269		69,209
	Fannie Mae 1992-123 Z, 7.50%, 07/25/22		10,534		10,969
	Fannie Mae 1993-29 PK, 7.00%, 03/25/23		202,000		207,782
	Fannie Mae 1993-132 D (PO), 6.42%5 10/25/22		585,799		481,907
	Fannie Mae 1993-199 SD (IO), 0.88%, 10/25/237		1,808,065		41,618
	Fannie Mae 1994-55 H, 7.00%, 03/25/24		130,000		134,808
	Fannie Mae 1997-34 SA, 18.55%, 10/25/237		53,948		83,677
	Fannie Mae 1997-44 SB (IO), 3.65%, 06/25/087		302,010		10,535
	Fannie Mae 2003-52 SV, 6.44%, 05/25/317		7,188,235		7,026,558
	Fannie Mae 2003-53 IA (IO), 5.50%, 10/25/28		9,954,522		1,064,562
	Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26		13,917,204		1,180,968
	Fannie Mae G92-36 Z, 7.00%, 07/25/22		1,895		1,951
	Fannie Mae Pool 233672, 5.96%, 09/01/237		35,641		36,802
	Fannie Mae Pool 254232, 6.50%, 03/01/22		126,978		130,217
	Fannie Mae Pool 308798, 5.85%, 04/01/257		20,141		20,369
	Fannie Mae Pool 312155, 6.17%, 03/01/257		36,828		37,168
	Fannie Mae Pool 545191, 7.00%, 09/01/31		100,331		103,378
	Fannie Mae Pool 633698, 7.50%, 02/01/31		23,631		24,726
	Fannie Mae Pool 655928, 7.00%, 08/01/32		203,631		209,835
	Fannie Mae Pool 725257, 5.50%, 02/01/34		18,580,292		18,178,614
	Fannie Mae Pool 727247, 5.00%, 09/01/33		6,870,041		6,561,016

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae Pool 735575, 5.50%, 12/01/18	$	15,808,771	$	15,740,011
	Fannie Mae Pool 735883, 6.00%, 01/01/33		18,144,707		18,167,400
	Fannie Mae Pool 765387, 6.00%, 08/01/34		277,637		277,841
	Fannie Mae Pool 781415, 3.28%, 04/01/34		17,425,368		17,164,802
	Fannie Mae Pool 817611, 5.37%, 11/01/357		12,233,407		12,039,033
	Fannie Mae (TBA), 4.50%, 04/25/36		25,740,000		23,745,150
	Fannie Mae (TBA), 5.00%, 04/25/36		13,885,000		13,221,130
	Freddie Mac 165 K, 6.50%, 09/15/21		1,598		1,593
	Freddie Mac 1004 H, 7.95%, 10/15/20		2,534		2,530
	Freddie Mac 1073 G, 7.00%, 05/15/21		7,063		7,059
	Freddie Mac 1164 O, 8.07%, 11/15/067,12		10,306		193
	Freddie Mac 1515 SA, 8.61%, 05/15/087		53,103		53,857
	Freddie Mac 1980 Z, 7.00%, 07/15/27		922,477		945,716
	Freddie Mac 2098 TZ, 6.00%, 01/15/28		724,000		716,785
	Freddie Mac 2209 TC, 8.00%, 01/15/30		283,952		299,604
	Freddie Mac 2316 PB, 6.50%, 09/15/30		96,596		96,453
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		16,848,129		2,000,902
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		17,806,706		2,327,440
	Freddie Mac 2627 NI (IO), 5.00%, 04/15/29		12,949,122		1,392,110
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		206,466		37,035
	Freddie Mac 2845 PI (IO), 5.50%, 02/15/32		171,950		25,511
	Freddie Mac Gold A24156, 6.50%, 10/01/31		5,105,369		5,220,037
	Freddie Mac Gold C46104, 6.50%, 09/01/29		204,146		209,164
	Freddie Mac Gold C55789, 7.50%, 10/01/27		72,939		76,478
	Freddie Mac Gold C90573, 6.50%, 08/01/22		992,603		1,017,087
	Freddie Mac Gold G01601, 4.00%, 09/01/33		259,818		232,303
	Freddie Mac Gold G01611, 4.00%, 09/01/33		97,578		87,244
	Freddie Mac Gold G01673, 5.50%, 04/25/34		4,416,993		4,320,546
	Freddie Mac Gold G11707, 6.00%, 03/01/20		12,801,677		12,962,057
	Freddie Mac Gold P50019, 7.00%, 07/01/24†		1,478,459		1,509,645
	Freddie Mac Pool 781469, 3.14%, 04/01/347		12,276,109		12,106,440
	Freddie Mac Pool 847288, 3.15%, 05/01/347		20,585,500		20,354,638

See accompanying notes to financial statements.

34

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Ginnie Mae 2000-22 SG (IO), 6.05%, 05/16/307	$	4,825,223	$	743,542
	Ginnie Mae 2001-2 PB, 7.00%, 07/20/30		68,458		68,428
	Ginnie Mae 2002-69 SB (IO), 1.87%, 06/20/287		3,071,826		31,219
	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32		7,265,951		1,109,620
	Ginnie Mae Pool 81018, 5.00%, 08/20/347		193,007		194,663
					204,137,956
	Total Mortgage-Backed (Cost $437,677,555)				421,996,731
U.S. AGENCY SECURITIES—0.84%
Foreign Sovereign —0.84%	Indonesia Government Aid Bond, 9.30%, 07/01/20		10,621,250		12,860,772
	Total U.S. Agency Securities (Cost $13,951,354)				12,860,772
U.S. TREASURY SECURITIES —31.51%
U.S. Treasury Bonds—10.72%	U.S. Principal Strip, 4.32%5, 08/15/09		98,140,000		83,627,744
	U.S. Treasury Bonds,
	8.13%, 08/15/19		11,399,000		14,795,549
	6.13%, 11/15/27		56,792,000		64,671,947
					163,095,240
U.S. Treasury Notes—20.79%	U.S. Treasury Notes,
	3.38%, 10/15/09		33,326,000		31,778,174
	5.00%, 08/15/11		78,695,000		79,411,282
	4.88%, 02/15/12		92,418,000		92,591,376
	4.25% 11/15/1410		117,768,000		112,597,278
					316,378,110
	Total U.S. Treasury Securities (Cost $488,983,290)				479,473,350
	Total Bonds (Cost $1,524,206,437)				1,481,321,138
		Shares
PREFERRED STOCK 0.33%
Finance—0.33%	Woodbourne Pass-Through Trust, 5.79%, 12/31/494		50		5,039,065
	Total Preferred Stock (Cost $5,000,000)				5,039,065

	Issues	Principal Amount		Value
SHORT TERM INVESTMENTS 6.02%
Commercial Paper—3.82%	Alcoa, Inc.,
	4.64%5, 04/17/06	$	5,845,000	$	5,834,453
	4.82%5, 05/16/06		915,000		909,732
	DaimlerChrysler NA Holding Corp.,
	4.82%5, 05/01/06		25,000,000		24,906,278
	4.85%5, 05/10/06		6,000,000		5,970,092
	Kitty Hawk Funding Corp., 4.76%5, 04/04/06		1,500,000		1,499,802
	Preferred Receivables Funding Corp., 4.74%5, 04/24/06		19,000,000		18,947,465
					58,067,822
Money Market Fund—2.20%	JPMorgan Prime Money Market Fund		33,427,000		33,427,000
U.S. Agency Discount Notes—0.00%#	Fannie Mae, 4.64%5, 05/31/0610		5,000		4,962
	Total Short Term Investments (Cost $91,499,785)				91,499,784
	Total Investments—103.71% (Cost $1,620,706,222)¹				1,577,859,987
	Liabilities in Excess of Other Assets—(3.71)%				(56,409,886	)
	Net Assets—100.00%			$	1,521,450,101

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized (Depreciation)
2,305	U.S. Treasury Two Year Note, June 2006	$	(1,027,887	)
155	U.S. Treasury Five Year Note, June 2006		(30,904	)
	Net unrealized (depreciation)	$	(1,058,791	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
1,006	Pay a fixed rate equal to 1.70% 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, 6.52% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$	(12,497	)

See accompanying notes to financial statements.

35

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
1,006	Pay a fixed rate equal to 3.50% 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, 8.32% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34	$	(20,749)
1,006	Pay a fixed rate equal to 2.15% 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, 6.57% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(13,140	)
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, 6.77% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(11,874	)
1,006	Pay a fixed rate equal to 1.80% 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, 6.62% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(13,027	)
1,006	Pay a fixed rate equal to 2.20% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 7.02% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(13,027	)
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, 7.82% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(21,712	)
1,676	Pay a fixed rate equal to 2.15% 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, 6.97% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(21,712	)
1,006	Pay a fixed rate equal to 1.70% 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, 6.52% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(13,454	)

Notional Amount (000’s)		Unrealized (Depreciation)
1,006	Pay a fixed rate equal to 3.10% 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, 7.92% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35	$  (14,070)
1,006	Pay a fixed rate equal to 2.25% 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, 7.07% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34	(12,674)
1,006	Pay a fixed rate equal to 2.40% 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, 7.22% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34	(12,430	)
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 Morgan Stanley ABS Capital I 2004-HE6 B2, 6.77% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34	(14,575	)
1,006	Pay a fixed rate equal to 2.25% 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, 7.07% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34	(13,635	)
1,676	Pay a fixed rate equal to 2.70% 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, 7.52% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35	(19,084	)
1,006	Pay a fixed rate equal to 1.85% 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, 6.67% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34	(12,650	)

See accompanying notes to financial statements.

36

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
30,000	Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 3.95% due 12/20/10. Counterparty: Bear Stearns Co. Expire 12/20/010	$	(145,859	)
	Net unrealized (depreciation)	$	(386,169)

Notes:

¹ Cost for Federal income tax purposes is $1,622,303,778 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	18,233,672
Gross unrealized depreciation		(62,677,463	)
Net unrealized (depreciation)	$	(44,443,791	)

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 144 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 March 31, 2006 was $252,132,815 representing 16.57% 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 March 31, 2006.

⁸ Non-income producing security

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
08/07/03	Calpine CCFC I Term Loan, 7.50%, 08/26/09	$	11,027,956	$	11,311,851	0.74%
02/25/05	Charter Communications Co. Term Loan A, 5.75%, 04/27/10		4,996,262		5,029,407	0.33%
07/05/05	Northwest Airlines Corp. Term Loan A, 8.33%, 11/19/09		3,799,921		4,063,928	0.27%
		$	19,824,139	$	20,405,186	1.34%

¹⁰ Securities, or a portion there of, pledged as collateral with a value of $791,828 on 2,460 long U.S. Treasury Note futures contracts.

¹¹ Security is currently in default with regards to scheduled interest or principal payments.

¹² IOette. This security represents the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s, however, a nominal amount of principal is assigned to an IOette. This amount is very small in relation to the interest flow that constitutes almost all of the IOette cash flow. The stated price and coupon are linked to that small principal amount therefore appear unusually large.

† Fair valued security. The aggregate value of fair valued securities is $199,688,588, which is 13.12% of net assets, which have not been valued utilizing an independent quote and valued pursuant to guidelines established by the Board of Trustees.

# Amount is less than 0.01% of net assets.

(IO) : Interest only

(MTN): Medium term note

(PO): Principal only

(STEP): Step coupon bond.

(TBA): To be announced

See accompanying notes to financial statements.

37

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 93.45%
ASSET-BACKED SECURITIES—0.47%³
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114†	$	339,134	$	344,221
	Total Asset-Backed Securities (Cost $335,547)				344,221
CORPORATES—91.26%²
Automotive —7.60%	Cooper Standard TLD, 7.50%, 12/01/119		748,750		753,898
	Ford Motor Co., 7.13%, 11/15/25		1,000,000		707,500
	Ford Motor Credit Co., 7.38%, 10/28/09		1,275,000		1,199,582
	General Motors Acceptance Corp., 8.00%, 11/01/31		1,510,000		1,430,840
	General Motors Corp.,
	7.70%, 04/15/16		376,000		275,420
	8.25%, 07/15/23		384,000		278,400
	Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15		350,000		357,000
	Metaldyne Corp., 10.00%, 11/01/13		350,000		329,000
	Tenneco, Inc., 8.63%, 11/15/14		225,000		226,125
					5,557,765
Banking—0.94%	CS First Boston London,
	9.65%, 03/24/104,6		584,000		519,287
	9.65%, 03/24/104,6		189,000		168,057
					687,344
Basic Industry —13.90%	Arch Western Finance LLC, 6.75%, 07/01/13		675,000		673,312
	Century Aluminum Co., 7.50%, 08/15/14		525,000		548,625
	Equistar Chemicals LP/Equistar Funding Corp., 10.63%, 05/01/11		825,000		897,188
	Freeport-McMoRan Cooper & Gold, Inc., 10.13%, 02/01/10		700,000		757,750
	Georgia Pacific Term Loan C, 7.75%, 12/23/129		500,000		511,635
	Hexion US Finance Corp./Nova Scotia Finance Ulc, 9.35%, 07/15/106		627,000		637,972
	Huntsman LLC,
	11.85%, 07/15/116		500,000		528,750
	11.50%, 07/15/12		325,000		375,375
	Ispat Inland ULC, 9.75%, 04/01/14		200,000		226,571
	Murray Bank Loan, 12.63%, 01/31/115,9		990,000		1,024,650
	Nalco Co., 7.75%, 11/15/11		700,000		712,250
	NewPage Corp., 10.93%, 05/01/126		350,000		373,625
	Peabody Energy Corp., 5.88%, 04/15/16		300,000		287,250
	PolyOne Corp., 10.63%, 05/15/10		200,000		217,500
	Steel Dynamics, Inc.,
	9.50%, 03/15/09		575,000		603,031
	9.50%, 03/15/09		100,000		104,875

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Basic Industry (continued)	Tronox Worldwide LLC, 9.50%, 12/01/124	$	650,000	$	685,750
	UCAR Finance, Inc., 10.25%, 02/15/128		925,000		992,062
					10,158,171
Capital Goods —6.04%	Ainsworth Lumber Co. Ltd., 8.71%, 10/01/106		450,000		452,250
	Allied Waste North America, Inc., 8.88%, 04/01/08		820,000		865,100
	Columbus McKinnon Corp.,
	10.00%, 08/01/10		332,000		366,860
	8.86%, 11/01/13		100,000		105,500
	Constar International, Inc., 11.00%, 12/01/12		200,000		157,000
	Crown Americas LLC, 7.75%, 11/15/154		225,000		234,563
	Graham Packaging Co., 9.88%, 10/15/14		425,000		432,437
	L-3 Communications Corp.,
	5.88%, 01/15/15		550,000		526,625
	6.38%, 10/15/15		375,000		371,250
	United Rentals North America, Inc., 7.75%, 11/15/13		900,000		904,500
					4,416,085
Communications —12.06%	AirGate PCS, Inc., 8.35%, 10/15/116		350,000		363,563
	American Cellular Corp., 10.00%, 08/01/11		525,000		572,250
	CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13		1,000,000		977,500
	Centennial Communications Corp.,
	10.13%, 06/15/13		250,000		274,375
	8.13%, 02/01/14		500,000		512,500
	Century Communications Corp.,
	9.50%, 03/01/0510		325,000		320,125
	0.00%, 01/15/0810		775,000		445,625
	Citizens Communications Co., 7.63%, 08/15/08		250,000		260,000
	DirecTV Holdings LLC, 6.38%, 06/15/15		375,000		372,188
	Dobson Cellular Systems, Inc., 9.43%, 11/01/116		300,000		312,000
	Echostar DBS Corp, 6.63%, 10/01/14		375,000		364,219
	Intelsat Bermuda Ltd., 8.25%, 01/15/13		200,000		204,500
	Level 3 Financing, Inc. Bank Loan, 11.82%, 12/01/119		500,000		532,125
	Nextel Communications, Inc., 6.88%, 10/31/13		325,000		335,589
	PanAmSat Holding Corp. (STEP), 10.37%, 11/01/14		200,000		145,000
	PRIMEDIA, Inc., 10.12%, 05/15/106		150,000		153,000
	Qwest Capital Funding, Inc., 7.75%, 08/15/06		900,000		910,125
	Qwest Communications International, Inc., 8.25%, 02/15/096		300,000		308,250
	Qwest Corp, 8.88%, 03/15/12		200,000		224,500

See accompanying notes to financial statements.

38

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Communications (continued)	Rogers Wireless, Inc.,
	8.04%, 12/15/106	$	620,000	$	643,250
	8.00%, 12/15/12		550,000		586,437
					8,817,121
Consumer Products —2.28%	Riddell Bell Holdings, Inc., 8.38%, 10/01/12		475,000		480,937
	Steinway Musical Instruments, 7.00%, 03/01/144		635,000		638,175
	Visant Corp., 7.63%, 10/01/12		325,000		322,562
	Visant Holding Corp. (STEP), 3.78%, 12/01/137		290,000		223,300
					1,664,974
Electric —6.92%	Aquila, Inc., 8.00%, 03/01/23		900,000		918,000
	Aquila, Inc. Term Loan, 10.25%, 09/19/099		1,000,000		1,035,000
	Calpine CCFC I Term Loan, 10.83%, 08/26/099		503,250		539,107
	Cedar Brakes I LLC, 8.50%, 02/15/144		345,804		379,551
	Edison Mission Energy, 7.73%, 06/15/09		25,000		25,750
	KGEN Partners LLC Term Loan, 7.60%, 08/15/119		990,000		999,900
	Midwest Generation LLC, 8.75%, 05/01/34		559,000		607,912
	Mission Energy Holding Co., 13.50%, 07/15/08		300,000		345,750
	TECO Energy, Inc., 6.68%, 05/01/106		200,000		207,000
					5,057,970
Energy —11.60%	Allis-Chalmers Energy, Inc., 9.00%, 01/15/144		575,000		569,250
	Belden & Blake Corp., 8.75%, 07/15/12		500,000		517,500
	Charparral Energy, Inc., 8.50%, 12/01/154		500,000		522,500
	Chesapeake Energy Corp.,
	7.50%, 06/15/14		150,000		157,875
	7.00%, 08/15/14		750,000		770,625
	7.75%, 01/15/15		75,000		78,750
	Denbury Resources, Inc., 7.50%, 12/15/15		375,000		391,875
	Hanover Equipment Trust, 8.75%, 09/01/11		645,000		678,056
	Hilcorp Energy I LP,
	10.50%, 09/01/104		487,000		538,744
	7.75%, 11/01/154		750,000		751,875
	Massey Energy Co., 6.88%, 12/15/134		50,000		49,250
	Mirant Term Loan, 6.44%, 01/15/139		1,000,000		1,009,554
	Newfield Exploration Co., 7.63%, 03/01/11		425,000		454,219
	Parker Drilling Co.,
	9.57%, 09/01/106		700,000		724,500
	9.63%, 10/01/13		25,000		27,875
	Pogo Producing Co., 8.25%, 04/15/11		250,000		260,937
	Premcor Refining Group, Inc. (The), 7.50%, 06/15/15		600,000		633,812

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Energy (continued) Entertainment —0.91% Finance—3.45%	Pride International, Inc., 7.38%, 07/15/14	$	325,000	$	342,875
					8,480,072
	Intrawest Corp., 7.50%, 10/15/13		650,000		662,188
	Dow Jones CDX HY 6-T1, 8.63%, 06/29/114†		2,250,000		2,250,703
	Lehman Brothers Holdings, Inc. (MTN), 12.50%, 11/30/106		294,000		269,333
					2,520,036
Food—0.22%	Del Monte Corp., 6.75%, 02/15/15		162,500		159,250
Gaming—4.57%	French Lick Resorts & Casino LLC, 10.75%, 04/15/144		475,000		477,375
	Herbst Gaming, Inc., 8.13%, 06/01/12		575,000		600,156
	Penn National Gaming, Inc., 6.75%, 03/01/15		340,000		341,700
	Pinnacle Entertainment, Inc., 8.25%, 03/15/12		625,000		657,812
	Station Casinos, Inc., 6.88%, 03/01/16		500,000		505,000
	Wynn Las Vegas LLC, 6.63%, 12/01/14		775,000		756,594
					3,338,637
Health Care —2.20%	Accellent, Inc., 10.50%, 12/01/13		275,000		294,937
	Extendicare Health Services, Inc., 9.50%, 07/01/10		100,000		106,125
	Fisher Scientific International, Inc., 6.13%, 07/01/15		275,000		269,844
	HCA, Inc.,
	6.50%, 02/15/16		450,000		440,666
	7.50%, 11/06/33		150,000		147,625
	Tenet Healthcare Corp., 9.50%, 02/01/154		350,000		351,750
					1,610,947
Homebuilding —0.75%	Champion Enterprises, Inc., 7.63%, 05/15/09		550,000		550,000
Natural Gas —4.08%	El Paso Corp.,
	7.63%, 08/16/07		50,000		51,125
	7.63%, 09/01/084		50,000		51,250
	7.75%, 06/15/104		100,000		103,625
	6.70%, 02/15/274		50,000		50,645
	El Paso Corp. Term Loan, 7.75%, 11/22/099		976,000		989,420
	Sonat, Inc., 7.63%, 07/15/11		225,000		232,875
	Targa Resources Term Loan, 6.83%, 10/05/079		1,000,000		1,015,759
	Williams Cos, Inc., 7.13%, 09/01/11		475,000		491,031
					2,985,730
Pharmaceuticals —1.37%	Warner Chilcott Bank Loan, 7.44%, 01/04/129		991,325		1,001,238
Restaurants —0.46%	Denny’s Corp., 10.00%, 10/01/12		325,000		337,188
Retail—0.62%	Neiman Marcus Term Loan B, 7.34%, 03/13/139		449,367		456,449
Services—1.69%	Corrections Corp. of America,
	7.50%, 05/01/11		150,000		155,250
	6.25%, 03/15/13		350,000		346,063

See accompanying notes to financial statements.

39

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Services (continued)	Iron Mountain, Inc., 7.75%, 01/15/15	$	225,000	$	227,812
	Service Corp. International, 6.50%, 03/15/08		500,000		505,000
					1,234,125
Technology —2.29%	Amkor Technology, Inc., 9.27%, 10/27/109		1,000,000		1,045,000
	Sungard Data Systems, Inc., 9.13%, 08/15/134		200,000		212,500
	Xerox Capital Trust I, 8.00%, 02/01/27		400,000		416,000
					1,673,500
Textile—1.10%	Levi Strauss & Co., 9.74%, 04/01/126		775,000		806,000
Tobacco—0.96%	RJ Reynolds Tabacco Holdings, Inc., 6.50%, 07/15/10		690,000		698,625
Transportation —5.25%	Air 2 US A, 8.03%, 10/01/194		630,074		627,317
	Continental Airlines, Inc., 1997-1 A, 7.46%, 10/01/16		876,441		851,771
	Delta Air Lines, Inc., 2000-1 A2,
	7.57%, 05/18/1210		185,000		185,116
	7.11%, 03/18/1310		421,000		420,855
	Horizon Lines LLC, 9.00%, 11/01/12		194,000		206,125
	Northwest Airlines Corp. Term Loan B, 11.53%, 11/23/109		495,000		507,419
	United AirLines, Inc., 2000-2 A1, 7.03%, 04/01/12		833,835		847,385
	United AirLines, Inc., 2001-1 A1, 6.07%, 09/01/14		191,130		189,083
					3,835,071
	Total Corporates (Cost $66,382,167)				66,708,486
MORTGAGE-BACKED—1.72%³
Non-Agency Mortgage-Backed—1.03%	BHN Mortgage Fund 2000-1 AF, 8.00%, 03/31/114,5†		1,207,660		341,315
	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/355†		2,086,480		55,442
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/355,6		2,483,971		58,218
	Harborview Mortgage Loan Trust 2005-10X (IO), 1.68%, 11/19/355,6		2,786,079		85,324
	Harborview Managment Loan Trust 2005-12 X2A (IO), 0.63%, 10/19/355,6		12,238,040		168,273
	IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.93%, 12/25/345		1,649,683		42,273
					750,845

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed—0.69%	Fannie Mae Strip 342 2 (IO), 6.00%, 09/01/33	$	494,953	$	122,070
	Fannie Mae 1993-225 SG, 7.01%, 12/25/136		133,653		131,395
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		1,697,716		201,623
	Freddie Mac 2696 NI (IO), 5.50%, 03/15/23		913,916		27,754
	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32		128,420		19,612
					502,454
	Total Mortgage-Backed (Cost $1,720,095)				1,253,299
	Total Bonds (Cost $68,437,809)				68,306,006
		Contracts
PUT OPTIONS PURCHASED 0.13%
Automotive —0.13%	General Motors Corp., Put Strike $20, expires 01/20/07		212		95,400
	Total Put Options Purchased (Cost $138,436)
		Principal Amount
SHORT TERM INVESTMENTS 9.21%
Commercial Paper—4.84%	Alcoa, Inc.,
	4.68%7, 04/20/06	$	900,000		898,011
	4.85%7, 05/16/06		855,000		850,047
	DaimlerChrysler NA Holding Corp., 4.85%7, 05/10/06		1,800,000		1,791,028
					3,539,086
Money Market Fund—3.51%	JPMorgan Prime Money Market Fund		2,567,000		2,567,000
U.S. Agency Discount Notes —0.86%	Fannie Mae,
	4.60%7, 05/31/068		23,000		22,826
	4.60%7, 05/31/068		16,000		15,879
	4.64%7, 05/31/068		8,000		7,939
	Federal Home Loan Bank, 4.65%7, 04/21/06		582,000		580,646
					627,290
	Total Short Term Investments (Cost $6,733,383)				6,733,376
	Total Investments—102.79% (Cost $75,309,628)¹				75,134,782
	Liabilities in Excess of Other Assets—(2.79)%				(2,039,010	)
	Net Assets—100.00%			$	73,095,772

See accompanying notes to financial statements.

40

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2006

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized Appreciation
13	U.S. Treasury Thirty Year Bond, June 2006	$	47,679
	Net unrealized appreciation	$	47,679

FUTURES CONTRACTS: LONG POSITIONS

Contracts		Unrealized (Depreciation)
96	U.S. Treasury Two Year Note, June 2006	$	(42,625	)
57	U.S. Treasury Five Year Note, June 2006		(23,031	)
	Net unrealized (depreciation)	$	(65,656	)

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
980	Pay a fixed rate equal to 3.95% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 3.95% due 12/20/10. Counterparty: Deutsche Bank AG Expire 12/20/10	$	(21,918	)
1,000	Pay a fixed rate equal to 2.00% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 2.00% due 12/20/10. Counterparty: Deutsche Bank AG Expire 12/20/10		(24,240	)
1,000	Pay a fixed rate equal to 0.85% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 0.85% due 12/20/10. Counterparty: Deutsche Bank AG Expire 12/20/10		(7,742	)
1,000	Pay a fixed rate equal to 3.40% and the Fund will receive from the counterparty at par in the event of default of the CSC Holdings, Inc., 7.63% due 04/01/11. Counterparty: Deutsche Bank AG Expire 12/20/10		(43,343	)
41	Pay a fixed rate equal to 1.70% 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, 6.52% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35		(511	)

Notional Amount (000’s)		Unrealized (Depreciation)
41	Pay a fixed rate equal to 3.50% 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, 8.32% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34	$	(848	)
41	Pay a fixed rate equal to 2.15% 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, 6.97% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34		(537	)
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, 6.77% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(485	)
41	Pay a fixed rate equal to 1.80% 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, 6.62% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(533)
41	Pay a fixed rate equal to 2.20% and the Fund will receive the counterparty at par in the event of default of the Countrywide Asset-Backed Certificates 2004-6 M8, 7.02% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(533	)
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, 7.82% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34		(888	)
69	Pay a fixed rate equal to 2.15% 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, 6.97% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(888	)
41	Pay a fixed rate equal to 1.70% 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, 6.52% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(550	)

See accompanying notes to financial statements.

41

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
41	Pay a fixed rate equal to 3.10% 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, 7.92% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35	$	(575	)
41	Pay a fixed rate equal to 2.35% 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, 7.07% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(518	)
41	Pay a fixed rate equal to 2.40% 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, 7.22% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(508	)
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 Morgan Stanley ABS Capital I 2004-HE6 B2, 6.77% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(596	)
41	Pay a fixed rate equal to 2.25% 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, 7.07% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34		(557	)
69	Pay a fixed rate equal to 2.70% 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, 7.52% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(780	)
41	Pay a fixed rate equal to 1.85% 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, 6.67% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(517	)
	Net unrealized (depreciation)	$	(107,067	)

Notes:

¹ Cost for Federal income tax purposes is $75,314,240 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	1,078,336
Gross unrealized depreciation		(1,257,794	)
Net unrealized (depreciation)	$	(179,458	)

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 March 31, 2006 was $9,867,703 representing 13.50% of total net assets.

⁵ Illiquid Security

⁶ Floating rate security. The rate disclosed is that in effect at March 31, 2006.

⁷ Represents annualized yield at date of purchase.

⁸ Securities, or a portion there of, pledged as collateral with a value of $127,082 on 13 short U.S. Treasury Note, 153 long U.S. Treasury Bond futures, and 212 General Motors Put Option contracts.

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., 9.27%, 10/27/10	$	1,035,305	$	1,045,000	1.43%
02/03/06	Aquila, Inc. Term Loan, 10.25%, 09/19/09		1,034,295		1,035,000	1.42%
08/07/03	Calpine CCFC I Term Loan, 10.83%, 08/26/09		525,230		539,107	0.74%
03/14/06	Cooper Standard TLD, 7.50%, 12/01/11		754,974		753,898	1.03%
11/19/04	El Paso Corp. Term Loan, 7.75%, 11/22/09		976,000		989,420	1.35%
02/13/06	Georgia Pacific Term Loan C, 7.75%, 12/23/12		500,000		511,635	0.70%
03/14/05	KGEN Partners LLC Term Loan, 7.60%, 08/15/11		990,000		999,900	1.37%
11/17/04	Level 3 Financing, Inc. Bank Loan, 11.82%, 12/01/11		500,000		532,125	0.73%
01/05/06	Mirant Term Loan, 6.44%, 01/15/13		1,000,000		1,009,554	1.38%
02/03/05	Murray Bank Loan, 12.63%, 01/31/11		1,031,169		1,024,650	1.40%
10/14/05	Neiman Marcus Term Loan B, 7.34%, 03/13/13		452,555		456,449	0.63%
11/19/04	Northwest Airlines Corp. Term Loan B, 11.53%, 11/23/10		495,000		507,419	0.69%
10/31/05	Targa Resources Term Loan, 6.83%, 10/05/07		1,000,000		1,015,759	1.39%
01/19/05	Warner Chilcott Bank Loan, 7.44%, 01/04/12		991,325		1,001,238	1.37%
		$	11,285,853	$	11,421,154	15.63%

¹⁰ Security in default with regards to scheduled interest or principal payments.

^† Fair valued security. The aggregate value of fair valued securities is $2,991,681 which is 4.09% 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

(STEP): Step coupon bond

See accompanying notes to financial statements.

42

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 85.14%
ASSET-BACKED SECURITIES—39.13%³
	ABFS Mortgage Loan Trust 2002-1 A5 (STEP), 6.51%, 12/15/32	$	585,923	$	592,843
	ABFS Mortgage Loan Trust 2002-2 (STEP)
	A5, 6.41%, 07/15/33		25		25
	A7, 5.22%, 07/15/33		68,538		67,750
	ABFS Mortgage Loan Trust 2003-2 AIO (IO), 3.50%, 04/25/064,6†		211,316		547
	Asset Backed Funding Corp. NIM Trust 2005-WMC1 N1, 5.90%, 07/26/354†		995,505		994,643
	CIT Group Home Equity Loan Trust 2002-1 MV2, 6.07%, 08/25/307		1,500,000		1,511,214
	Conseco Finance 2002-C,
	BF1, 8.00%, 06/15/32		1,763,000		1,783,829
	BF2, 8.00%, 06/15/324†		1,357,237		1,355,337
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		98,760		98,920
	Conseco Finance Securitizations Corp. 2001-1 AIO (IO), 2.50%, 07/01/326†		912,000		14,934
	Conseco Finance Securitizations Corp. 2001-4 AIO (IO), 2.50%, 09/01/336†		807,500		21,000
	Conseco Finance Securitizations Corp. 2002-1 A, 6.68%, 12/01/33		336,427		337,928
	Conseco Finance Securitizations Corp. 2002-2 AIO (IO), 8.50%, 03/01/336†		262,328		61,136
	Deutsche Financial Capital Securitization LLC 1997-I A3, 6.75%, 09/15/27		185,142		185,666
	Finance America Mortgage Loan Trust 2004-1 2A2, 5.31%, 06/25/347		4,000,000		4,002,460
	First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4, 5.36%, 10/25/347		4,000,000		4,046,549
	First Franklin NIM Trust 2005-FFH4 N2, 7.39%, 12/25/354†		1,500,000		1,494,787
	FMAC Loan Receivables Trust 1998-CA A2, 6.66%, 01/15/124		81,799		78,631
	Green Tree Financial Corp. 1996-8 A6, 7.60%, 10/15/27		121,917		125,969
	Green Tree Financial Corp. 1996-10 M1, 7.24%, 11/15/28		2,700,000		2,491,359
	Green Tree Financial Corp. 1998-2 A6, 6.81%, 12/01/2710		1,452,730		1,456,456
	Green Tree Financial Corp. 1998-4
	A5, 6.18%, 04/01/30		2,976,823		2,884,636
	A7, 6.87%, 04/01/30		1,253,006		1,248,973
	Green Tree Financial Corp. 1998-6
	A6, 6.27%, 06/01/30		11,659		11,677
	A8, 6.66%, 06/01/30		1,500,000		1,435,268

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Green Tree Financial Corp. 1999-1 A5, 6.11%, 09/01/23	$	86,234	$	86,147
	Green Tree Financial Corp. 1999-5
	A4, 7.33%, 03/01/30		51,310		51,650
	A5, 7.86%, 03/01/30		202,000		175,713
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		263,619		261,326
	Green Tree Home Improvement Loan Trust 1995-D B2, 7.45%, 09/15/25		493,525		494,072
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		77,800		76,228
	Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS, 7.65%, 10/15/17		71,698		65,622
	GSR Mortgage Loan Trust 2005-HEL1 B1, 7.82%, 11/25/307†		2,491,000		2,081,230
	HFC Home Equity Loan Asset Backed Certificates 2004-1 A, 5.13%, 09/20/337		1,705,964		1,711,866
	IndyMac Manufactured Housing Contract 1997-1
	A3, 6.61%, 02/25/28		1,609,175		1,545,516
	A4, 6.75%, 02/25/28		794,552		765,064
	IndyMac Manufactured Housing Contract 1998-1
	A4, 6.49%, 09/25/28†		392,176		363,131
	A5, 6.96%, 09/25/28†		1,400,629		1,317,904
	IndyMac Manufactured Housing Contract 1998-2
	A2, 6.17%, 12/25/11		407,392		391,981
	A4, 6.64%, 12/25/27		867,223		838,774
	MASTR ABS NIM Trust 2005-CI12 N1, 6.50%, 10/26/354†		1,474,033		1,475,213
	MASTR ABS NIM Trust 2006-CI13 N1, 7.00%, 12/25/354†		3,701,831		3,701,089
	MASTR ABS NIM Trust 2006-CI14
	N1, 6.00%, 07/26/354†		2,573,026		2,569,939
	N2, 8.00%, 07/26/354†		1,337,000		1,341,680
	Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C, 5.40%, 08/25/357		4,000,000		4,035,258
	Mid-State Trust 2004-1 B, 8.90%, 08/15/37		2,088,882		2,096,487
	Mid-State Trust 6 A4, 7.79%, 07/01/35		83,520		85,704
	Mid-State Trust 11 B, 8.22%, 07/15/38		25,557		24,908
	Morgan Stanley ABS Capital I 2004-HE5 A4, 5.35%, 06/25/347		3,000,000		3,011,859
	New South Home Equity Trust 1999-1 A4 (STEP), 6.75%, 03/25/26		9,656		9,625
	Nomura Asset Acceptance Corp. 2006-S1 AIO (IO), 10.00%, 01/25/364,7†		14,500,000		1,653,914

See accompanying notes to financial statements.

43

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Oakwood Mortgage Investors Inc. 1998-A A4, 6.20%, 05/15/28	$	8,463	$	8,353
	Oakwood Mortgage Investors Inc. 1998-B A4, 6.35%, 03/15/17		470,177		467,006
	Oakwood Mortgage Investors Inc. 1999-A A2, 5.89%, 04/15/29		490,189		463,408
	Oakwood Mortgage Investors Inc. 2000-D A2, 6.74%, 07/15/18		23,473		23,431
	Oakwood Mortgage Investors Inc. 2001-D
	A2, 5.26%, 01/15/19		257,133		163,012
	A3, 5.90%, 09/15/22		15,318		10,212
	A4, 6.93%, 09/15/31		871,172		608,122
	Oakwood Mortgage Investors Inc. 2002-A AIO (IO), 6.00%, 02/15/106†		304,598		45,690
	Oakwood Mortgage Investors Inc. 2002-B
	A2, 5.19%, 09/15/19		409,955		344,451
	AIO (IO), 6.00%, 05/15/106†		3,176,431		516,792
	Pamco CLO 1998-1A B2, 6.03%, 05/01/104,7†		2,500,000		2,375,000
	Park Place Securities NIM Trust 2004-WHQ2 A, 4.00%, 02/25/354		284,971		284,162
	Renaissance Home Equity Loan Trust 2005-2 N, 5.19%, 07/25/354		996,502		991,208
	Soundview NIM Trust 2005-OPT4 N1, 5.68%, 12/25/354†		1,895,868		1,892,029
	Specialty Underwriting & Residential Finance 2004-BC4 A2C, 5.31%, 10/25/357		3,000,000		3,028,285
	Terwin Mortgage Trust 2003-5SL AX (IO), 10.00%, 10/25/346,7†		132,500		159
	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6†		2,035,002		49,056
	Terwin Mortgage Trust 2004-1HE A1, 5.33%, 02/25/344,7		78,596		78,696
	Terwin Mortgage Trust 2004-2SL AX (IO), 10.25%, 02/25/344,6†		1,750,001		56,373
	Terwin Mortgage Trust 2004-6SL AX (IO), 8.00%, 06/25/344,6,7†		11,351,080		533,682
	Terwin Mortgage Trust 2004-7HE A1, 5.37%, 07/25/344,7		707,958		708,393
	Terwin Mortgage Trust 2005-11 (STEP)
	1A1A, 4.50%, 11/25/364†		1,709,337		1,698,541
	1M2, 4.50%, 11/25/364†		3,500,000		3,348,239
	Terwin Mortgage Trust 2005-5SL B4, 6.00%, 05/25/354†		1,000,000		957,012
	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/356,11		570		997,500
	Terwin Mortgage Trust 2005-13SL P, 0.00%, 09/25/33 4,6		1,000		3,192,663

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Terwin Mortgage Trust 2006-1 2P, 0.00%, 09/25/33 4,6	$	1,000	$	1,775,000
	UCFC Home Equity Loan 1998-D BF1, 8.97%, 04/15/30		585		597
	Total Asset-Backed Securities (Cost $81,474,037)				81,151,509
CORPORATES—28.75%²
Automotive —5.48%	Ford Motor Credit Co., 4.95%, 01/15/08		5,000,000		4,661,315
	General Motors Acceptance Corp.,
	7.02%, 12/01/147		1,200,000		1,094,790
	8.00%, 11/01/31		1,600,000		1,516,122
	General Motors Corp.,
	7.70%, 04/15/16		1,230,000		900,975
	8.25%, 07/15/23		1,270,000		920,750
	7.38%, 05/23/48		3,600,000		2,268,000
					11,361,952
Banking —1.71%	CS First Boston London,
	9.65%, 03/24/104,7,10		1,063,000		945,209
	9.65%, 03/24/104,7,10		1,832,000		1,628,996
	Deutsche Bank Capital Funding Trust VII, 5.63%, 01/19/494,7		1,000,000		965,818
					3,540,023
Basic Industry —0.78%	Barrick Gold Finance Co., 5.80%, 11/15/34		667,000		618,731
	Georgia Pacific Term Loan B, 6.97%, 12/23/127,11		997,500		1,005,956
					1,624,687
Communications —2.51%	Century Communications, 9.50%, 03/01/0512		1,000,000		985,000
	Century Communications, 0.00%, 01/15/0812		2,000,000		1,150,000
	CCO Holdings LLC/CCO Holdings Capital Corp., 9.04%, 12/15/107		2,000,000		1,997,500
	Level 3 Financing, Inc. Bank Loan, 11.82%, 12/01/117,11		1,000,000		1,064,250
					5,196,750
Electric —0.88%	Progress Energy, Inc., 5.03%, 01/15/107		1,809,000		1,816,176
Finance —1.41%	Lehman Brothers Holdings, Inc. (MTN), 12.50%, 11/30/107		809,000		741,125
	Residential Capital Corp., 6.34%, 06/29/077		2,175,000		2,191,961
					2,933,086
Insurance —2.41%	Fairfax Financial Holdings Ltd., 7.75%, 04/26/12		625,000		553,125
	Farmers Exchange Capital, 7.05%, 07/15/284		1,000,000		1,017,138
	Nationwide Mutual Insurance Co., 6.60%, 04/15/344		1,000,000		972,029
	Zurich Capital Trust I, 8.38%, 06/01/374		2,300,000		2,461,117
					5,003,409

See accompanying notes to financial statements.

44

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Real Estate Investment Trust (REIT)—2.99%	Healthcare Property Investors, Inc., 7.07%, 06/08/1510	$	500,000	$	534,538
	Highwoods Properties, Inc., 7.00%, 12/01/06		3,060,000		3,081,444
	HRPT Properties Trust, 5.52%, 03/16/117		1,500,000		1,502,487
	Shurgard Storage Centers, Inc., 7.75%, 02/22/11		1,000,000		1,081,939
					6,200,408
Secured Assets —0.44%	Ingress I Ltd. B-A, 7.38%, 03/30/404†		1,000,000		916,094
Transportation —10.14%	Air 2 US A, 8.03%, 10/01/204		3,687,821		3,671,687
	American Airlines, Inc. 1999-1 A1, 6.86%, 10/15/10		42,860		43,478
	American Airlines, Inc. 2001-2 A1, 6.98%, 10/01/12		105,143		107,947
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		5,363,017		5,212,057
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		4,712,932		4,669,644
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		952,961		950,886
	Delta Air Lines, Inc. 2000-1
	A1, 7.38%, 11/18/1112		15,290		15,412
	A2, 7.57%, 05/18/1212		100,000		100,062
	Delta Air Lines, Inc. 2001-1
	A1, 6.62%, 09/18/1212		10,831		10,990
	A2, 7.11%, 03/18/1312		50,000		49,983
	JetBlue Airways Corp. 2004-2 G1, 5.12%, 02/15/187		1,975,620		1,969,486
	Northwest Airlines Corp. Term Loan B, 11.06%, 11/23/107,11		990,000		1,014,838
	NWA Trust A, 9.25%, 06/21/1412		136,938		139,677
	United AirLines, Inc. 2000-2 A1, 7.03%, 04/01/12		1,019,959		1,036,533
	United AirLines, Inc. 2001-1 A1, 6.07%, 09/01/14		8,495		8,404
	United AirLines, Inc. Term Loan, 8.44%, 02/01/1211		2,000,000		2,035,750
					21,036,834
	Total Corporates (Cost $59,868,956)				59,629,419
MORTGAGE-BACKED—17.26%³
Commercial Mortgage-Backed —2.26%	GGP Mall Properties Trust 2001-C1A D3, 7.00%, 02/15/144,7		135,397		135,480
	Structured Asset Securities Corp. 1996-CFL H, 7.75%, 02/25/28		1,000,000		1,053,856
	Terra LNR1
	D, 5.63%, 06/15/174†		1,000,000		1,000,300
	E, 6.50%, 06/15/174†		2,500,000		2,500,750
					4,690,386
Non-Agency Mortgage-Backed —5.47%	Banco de Credito Y Securitizacion SA 2001-1 AF, 8.00%, 05/31/104, 6†		2,606,285		734,972
	BHN I Mortgage Fund 2000-1 AF, 8.00%, 03/31/114, 6†		45,966		12,991

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/356, 7†	$	7,639,726	$	203,004
	Countrywide Alternative Loan Trust 2005-59 2X (IO), 1.91%, 11/20/356, 7		10,883,173		435,327
	Countrywide Alternative Loan Trust 2006-OA2 X1P (IO), 1.03%, 05/20/466,7†		59,990,000		3,093,234
	Deutsche Mortgage Securities, Inc. 2004-4 1AIO (IO) (STEP), 3.50%, 05/25/066, 7		10,000,000		24,915
	Harborview Mortgage Loan Trust 2005-1 X, 0.56% (IO), 03/19/356, 7		15,689,754		367,729
	Harborview Mortgage Loan Trust 2005-10 X, 1.68% (IO), 11/19/356, 7		24,264,126		743,089
	Harborview Mortgage Loan Trust 2005-12 X2A (IO), 0.63%, 10/19/356, 7		47,599,187		654,489
	Harborview Mortgage Loan Trust 2006-1 X1 (IO), 1.60%, 03/19/376, 7		38,949,404		2,002,243
	IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B, 5.22%, 08/25/347		2,545,070		2,547,630
	IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO), 0.93%, 12/25/346, 7		6,358,047		162,925
	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 04/25/33		356,436		364,933
					11,347,481
U.S. Agency Mortgage-Backed —9.53%	Fannie Mae 1993-80 S, 4.96%, 05/25/237		37,262		34,948
	Fannie Mae 1997-44 SB (IO), 3.65%, 06/25/087		215,722		7,525
	Fannie Mae 2000-45 SA (IO), 3.17%, 12/18/307		5,687,403		387,669
	Fannie Mae 2001-31 SA, 7.28%, 11/25/177		633,323		637,110
	Fannie Mae 2001-42 SB, 8.50%, 09/25/317		4,464		4,736
	Fannie Mae 2003-26 PI (IO), 5.50%, 11/25/32		2,014,519		317,157
	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		3,877,276		598,398
	Fannie Mae 2003-67 IH (IO), 5.00%, 01/25/25		1,964,508		115,700
	Fannie Mae 2003-85 IP (IO), 5.50%, 12/25/28		135,000		22,223
	Fannie Mae 2003-107 SQ (IO), 2.83%, 05/25/337		1,028,766		57,753
	Fannie Mae 2003-124
	IO (IO), 5.25%, 03/25/31		3,398,258		184,569
	TS, 9.80%, 01/25/347		88,990		100,776
	Fannie Mae 2005-47 SL, 7.50%, 06/25/357		2,304,086		2,268,899

See accompanying notes to financial statements.

45

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) U.S. Agency Mortgage-Backed (continued)	Fannie Mae Pool 555312, 5.70%, 01/01/337	$	2,308,113	$	2,341,682
	Fannie Mae Pool 735575, 5.50%, 12/01/18		4,839,420		4,818,371
	Fannie Mae Strip 342 2 (IO), 6.00%, 10/01/33		786,621		194,004
	Freddie Mac 1602 SN, 10.09%, 10/15/237		14,590		15,186
	Freddie Mac 2451 SP, 6.49%, 05/15/097		16,188		16,226
	Freddie Mac 2527 TI (IO), 6.00%, 02/15/32		1,296,068		221,932
	Freddie Mac 2561 BX (IO), 5.00%, 05/15/17		2,867,795		366,024
	Freddie Mac 2587 IH (IO), 5.00%, 08/15/25		2,058,130		193,482
	Freddie Mac 2595 HY (IO), 5.50%, 03/15/23		230,353		46,713
	Freddie Mac 2596 IJ (IO), 5.00%, 01/15/17		1,234,204		128,609
	Freddie Mac 2603 LI (IO), 5.50%, 09/15/28		2,037,259		241,947
	Freddie Mac 2625 (IO), 5.00%, 12/15/31		295,619		38,639
	Freddie Mac 2642 BW (IO), 5.00%, 06/15/23		251,959		45,196
	Freddie Mac 2657 LX (IO), 6.00%, 05/15/18		1,710,057		286,125
	Freddie Mac 2692 EI (IO), 5.50%, 08/15/33		352,035		65,101
	Freddie Mac 2764
	CT, 7.50%, 03/15/347		484,284		469,417
	SH, 7.50%, 03/15/347		493,485		500,378
	Freddie Mac 2827 JT, 8.50%, 12/15/327		281,320		283,582
	Freddie Mac 2835 IB (IO), 5.50%, 01/15/19		2,000,000		93,314
	Freddie Mac 2856 ST, 7.00%, 09/15/237		795,176		774,425
	Freddie Mac Pool 1B0202, 5.44%, 01/01/327		2,348,089		2,353,369
	Freddie Mac Pool 390381, 4.32%, 02/01/377		293,101		292,587
	Ginnie Mae 2001-31 SJ, 11.28%, 02/20/317		194,221		210,187
	Ginnie Mae 2003-28 LI (IO), 5.50%, 02/20/32		356,366		54,422
	Ginnie Mae 2003-58 IG (IO), 5.50%, 05/17/29		200,000		29,844
	Ginnie Mae 2004-8 SE, 4.66%, 11/26/237		779,145		725,655
	Ginnie Mae 2004-34 IA (IO), 5.50%, 12/20/31		1,088,090		88,997
	Ginnie Mae 2004-69 SG, 7.00%, 08/16/337		116,466		116,235
					19,749,112
	Total Mortgage-Backed (Cost $36,384,369)				35,786,979
	Total Bonds (Cost $177,727,362)				176,567,907

	Issues	Shares		Value
PREFERRED STOCK 0.71%
Automotive —0.07%	Corts Trust for Ford Motor Co., 8.00%, 07/16/31		700	$	12,005
	Preferred Plus Trust Ford Motor Co., 8.25%, 07/16/31		8,100		145,800
					157,805
Communications —0.64%	Corts Trust for US West Communications, 7.50%, 11/15/43		7,118		174,035
	Preferred Plus Trust Citizens Communications Co. , 8.38%, 10/01/46		12,100		303,105
	Preferred Plus Trust Qwest Capital Funding,
	7.75%, 02/15/31		9,650		223,397
	8.00%, 02/15/31		19,500		463,710
	Preferred Plus Trust Verizon Global Funding Corp., 7.63%, 12/01/30		6,100		157,075
					1,321,322
	Total Preferred Stock (Cost $1,487,680)				1,479,127
		Contracts
PUT OPTIONS PURCHASED 0.82%
Automotive —0.82%	General Motors Corp., Put Strike $35, expires 01/20/07		450		657,000
	General Motors Corp., Put Strike $40, expires 01/20/07		400		800,000
	General Motors Corp., Put Strike $30, expires 01/20/08		200		251,000
					1,708,000
	Total Put Options Purchased (Cost $1,520,150)				1,708,000
		Principal Amount
SHORT TERM INVESTMENTS 14.25%
Commercial Paper —8.37%	Alcoa, Inc.,
	4.66%5, 04/18/06	$	2,280,000		2,275,573
	4.82%5, 05/16/06		2,400,000		2,386,183
	CRC Funding LLC, 4.60%5, 04/20/06		2,800,000		2,793,918
	DaimlerChrysler NA Holding Corp., 4.66%5, 04/10/06		4,960,000		4,955,506
	General Electric Capital Corp., 4.54%5, 04/07/06		4,960,000		4,957,498
					17,368,678
Money Market Fund—1.05%	JPMorgan Prime Money Market Fund		2,172,700		2,172,700
U.S. Agency Discount Notes —4.83%	Fannie Mae,
	4.60%5, 05/31/069		90,000		89,319
	4.65%5, 05/31/06		10,000,000		9,924,360
					10,013,679

See accompanying notes to financial statements.

46

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

Issues	Value
Total Short Term Investments (Cost $29,555,794)	$	29,555,057
Total Investments—100.92% (Cost $210,290,986)¹		209,310,091
Liabilities in Excess of Other Assets—(0.92)%		(1,913,849	)
Net Assets—100.00%	$	207,396,242

SECURITIES SOLD SHORT

		Shares	Proceeds		Market Value
Equities— 0.88%	AMR Corp.8	8,065	$	76,504	$	218,158
	Continental Airlines, Inc., Cl. B8	59,890		715,975		1,611,041
	Total Securities Sold Short		$	792,479	$	1,829,199

WRITTEN PUT OPTIONS

Contracts		Exercise Price		Premiums Received			Market Value
2,500	General Motors Corp. Expire January 2007	$	2.50	$	(34,999	)	$	(25,000	)
1,500	General Motors Corp. Expire January 2007		7.50		(129,745	)		(105,000	)
505	General Motors Corp. Expire January 2008		7.50		(74,232	)		(83,325	)
	Total Written Put Options			$	(238,976	)	$	(213,325	)

FUTURES CONTRACTS: SHORT POSITIONS

Contracts		Unrealized Appreciation
14	U.S. Treasury Two Year Note Futures, June 2006	$	6,875
179	U.S. Treasury Five Year Note Futures, June 2006		131,375
14	U.S. Treasury Ten Year Note Futures, June 2006		20,359
	Net unrealized appreciation	$	158,609

SWAPS: CREDIT DEFAULT (PURCHASED)

Notional Amount (000’s)		Unrealized (Depreciation)
1,000	Pay a fixed rate equal to 0.85% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 0.85% due 12/10/20. Counterparty: Deutsche Bank AG Expire 12/20/10	$	(7,520	)

Notional Amount (000’s)		Unrealized (Depreciation)
725	Pay a fixed rate equal to 2.95% and the Fund will receive from the counterparty at par in the event of default of the ABS CDS-P SABR 2005 EC1, 2.95% due 01/25/35. Counterparty: Bear Stearns Co. Expire 01/25/35	$	8,991
15,500	Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 0.45% due 12/10/20. Counterparty: Bear Stearns Co. Expire 12/20/10		(60,538	)
3,920	Pay a fixed rate equal to 3.95% and the Fund will receive from the counterparty at par in the event of default of the Dow Jones CDX Series 5, 3.95% due 12/10/20. Counterparty: Bear Stearns Co. Expire 12/20/10		(85,220	)
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		(15,729	)
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 04/15/12. Counterparty: Bear Stearns Co. Expire 06/20/10		(29,076	)
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		(33,561	)
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		(156,935	)
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		(36,650	)
1,000	Pay a fixed rate equal to 3.40% and the Fund will receive from the counterparty at par in the event of default of the CSC Holdings, Inc., 7.63% due 04/01/11. Counterparty: Deutsche Bank AG Expire 12/20/10		(43,343	)

See accompanying notes to financial statements.

47

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
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, 6.52% due 01/25/35. Counterparty: Citigroup Inc. Expire 01/25/35	$  (2,575	)
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, 8.32% due 12/25/34. Counterparty: Citigroup Inc. Expire 12/25/34	(4,276	)
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, 6.97% due 07/25/34. Counterparty: Citigroup Inc. Expire 07/25/34	(2,708	)
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	(33,250	)
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, 6.77% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34	(2,447	)
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, 6.62% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34	(2,685	)
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, 7.02% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34	(2,685	)
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, 7.82% due 01/25/34. Counterparty: Citigroup Inc. Expire 01/25/34	(4,474	)

Notional Amount (000’s)		Unrealized (Depreciation)
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, 6.97% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34	$	(4,474	)
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		(29,660	)
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, 6.52% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(2,773	)
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, 7.92% due 03/25/35. Counterparty: Citigroup Inc. Expire 03/25/35		(2,899	)
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, 7.07% due 06/25/34. Counterparty: Citigroup Inc. Expire 06/25/34		(2,612	)
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		(19,390	)
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, 7.22% due 04/25/34. Counterparty: Citigroup Inc. Expire 04/25/34		(2,561	)
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, 6.77% due 08/25/34. Counterparty: Citigroup Inc. Expire 08/25/34		(3,004	)

See accompanying notes to financial statements.

48

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2006

Notional Amount (000’s)		Unrealized (Depreciation)
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, 7.07% due 05/25/34. Counterparty: Citigroup Inc. Expire 05/25/34	$	(2,810	)
345	Pay a fixed rate equal to 2.70% 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, 7.52% due 02/25/35. Counterparty: Citigroup Inc. Expire 02/25/35		(3,933	)
207	Pay a fixed rate equal to 1.85% 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, 6.67% due 11/25/34. Counterparty: Citigroup Inc. Expire 11/25/34		(2,607	)
	Net unrealized (depreciation)	$	(591,404	)

SWAPS: CREDIT DEFAULT (WRITTEN)

Notional Amount (000’s)		Unrealized Appreciation
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	$	45,710
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		62,670
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		78,330
	Net unrealized appreciation	$	186,710

Notes:

¹ Cost for Federal income tax purposes is $210,382,570 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	3,023,632
Gross unrealized depreciation		(4,096,111	)
Net unrealized (depreciation)	$	(1,072,479	)

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 March 31, 2006 was $49,568,415 representing 23.90% 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 March 31, 2006.

⁸ Non-income producing.

⁹ Securities, or a portion there of, pledged as collateral with a value of $89,319 on 207 short U.S. Treasury Notes futures contracts expiring June 2006.

¹⁰ Securities, or a portion there of, pledged as collateral with a value of $2,764,921 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
02/13/06	Georgia Pacific TL B, 6.97%, 12/23/12	$	997,500	$	1,005,956	0.49%
11/17/04	Level 3 Financing, Inc. Bank Loan, 1.82%, 12/01/11		1,000,000		1,064,250	0.51%
11/19/04	Northwest Airlines Corp. Term Loan B, 11.06%, 11/23/10		990,000		1,014,838	0.49%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		904,213		997,500	0.48%
02/01/06	United Air Lines, Inc. Term Loan, 8.44%, 02/01/12		2,000,000		2,035,750	0.98%
		$	5,891,713	$	6,118,294	2.95%

¹² Security in default with regards to scheduled interest or principal payments.

^† Fair valued security. The aggregate value of fair valued securities is $38,380,402, which is 18.51% 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

(STEP): Step coupon bond

See accompanying notes to financial statements.

49

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
BONDS 88.12%
ASSET-BACKED SECURITIES—26.80%³
	ACE Securities Corp. 2004-FM1 B1A, 8.32%, 09/25/338	$	380,886	$	381,120
	ACE Securities Corp. 2006-SL1 A, 4.98%, 09/25/358		2,087,166		2,088,643
	Amortizing Residential Collateral Trust 2002-BC4 M2, 5.97%, 07/25/328		1,296,595		1,307,928
	Bayview Financial Acquisition Trust 2005-C A1A, 4.96%, 06/28/448		1,455,976		1,456,995
	Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP), 8.04%, 08/25/30		1,864,810		1,879,734
	Carrington Mortgage Loan Trust 2006-NC1 A2, 4.98%, 01/25/368†		2,200,000		2,200,128
	Castle Trust 2003-1AW A1, 5.50%, 05/15/274,8		841,615		841,989
	CIT Group Home Equity Loan Trust 2002-1 MV2, 6.07%, 08/25/308		1,240,000		1,249,270
	Conseco Finance 2000-C B2, 6.80%, 07/15/298†		66,195		64,514
	Conseco Finance 2002-C BF2, 8.00%, 06/15/324†		658,143		657,222
	Conseco Finance Securitizations Corp. 2000-6 A4, 6.77%, 09/01/32		28,069		28,114
	Countrywide Asset-Backed Certificates 2005-13 AF1, 4.71%, 04/25/368		2,179,753		2,181,203
	Embarcadero Aircraft Securitization Trust 2000-A A1, 5.23%, 08/15/254,8		1,700,000		1,288,813
	First Alliance Mortgage Loan Trust 1994-4 A1, 9.28%, 02/25/26		3,050		3,034
	GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP), 5.55%, 04/25/27		257,475		256,849
	Green Tree Financial Corp. 1999-3 A5, 6.16%, 02/01/31		2,714		2,721
	Green Tree Home Improvement Loan Trust 1995-C B2, 7.60%, 07/15/20		175,440		173,914
	Green Tree Home Improvement Loan Trust 1995-F B2, 7.10%, 01/15/21		340,907		334,016
	Green Tree Home Improvement Loan Trust 1996-B A, 6.45%, 10/15/15†		4,466		4,469
	Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS, 7.24%, 12/15/22		228,520		210,149
	Greenpoint Mortgage Funding Trust 2005-HE2 A1, 4.95%, 04/15/308†		682,639		681,825
	GSAMP Trust 2004-FM1 M2, 6.22%, 11/25/338		2,000,000		2,029,937

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	Home Equity Asset Trust 2002-4 M2, 6.87%, 03/25/338	$	1,650,000	$	1,652,094
	Household Mortgage Loan Trust 2002-HC1 M, 5.43%, 05/20/328		947,445		948,154
	HPSC Equipment Receivables LLC 2003-1A F, 13.95%, 07/20/114†		118,697		120,477
	IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1, 5.57%, 05/25/338		1,500,000		1,503,703
	IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A, 4.94%, 04/25/268†		2,466,022		2,466,248
	IndyMac Residential Asset Backed Trust 2006-A A2, 4.97%, 03/25/368†		2,305,000		2,305,538
	MASTR Asset Backed Securities Trust 2006-NC1 A2, 4.71%, 01/25/368†		2,265,000		2,265,529
	Mego Mortgage Home Loan Trust 1997-4 M1 (STEP), 7.50%, 09/25/23		209,668		208,860
	Mellon Residential Funding Corp. 2001-HEIL A4 (STEP), 6.62%, 02/25/21		1,014,892		1,014,055
	Oakwood Mortgage Investors, Inc. 2002-B A1, 4.98%, 05/15/138		222,486		191,183
	Option One Mortgage Loan Trust 2003-2 A2, 5.12%, 04/25/338		128,493		128,776
	Renaissance Home Equity Loan Trust 2005-2 N, 5.19%, 07/25/354		560,533		557,555
	Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1, 4.92%, 03/25/368†		2,518,054		2,518,971
	Saxon Asset Securities Trust 2005-2 A2A, 4.91%, 10/25/358		1,114,069		1,114,888
	Structured Asset Receivables Trust 2003-1, 3.65%, 01/21/104,8†		1,137,805		1,131,547
	Structured Asset Receivables Trust 2003-2, 4.91%, 01/21/094,8†		675,974		672,257
	Structured Settlements Fund 1999-A A, 7.25%, 12/20/154†		107,188		109,416
	Terwin Mortgage Trust 2003-7SL AX (IO), 14.50%, 12/25/334,6†		1,512,502		36,460
	Terwin Mortgage Trust 2004-13AL 2PX (IO), 0.34%, 08/25/344,6†		22,614,391		426,779
	Terwin Mortgage Trust 2005-7SL A1, 5.09%, 07/25/354,8		1,267,668		1,268,696
	Terwin Mortgage Trust 2005-11 1A1A (STEP), 4.50%, 11/25/364†		1,021,064		1,014,615

See accompanying notes to financial statements.

50

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Asset-Backed Securities (continued)	UCFC Home Equity Loan 1998-D MF1, 6.91%, 04/15/30	$	813,660	$	814,076
	Zermatt CBO Ltd. 1A A, 5.49%, 09/01/104,8†		138,903		138,778
	Total Asset-Backed Securities (Cost $42,447,467)				41,931,242
CORPORATES—29.68%²
Automotive —4.84%	DaimlerChrysler NA Holding Corp.,
	5.72%, 08/08/068		233,000		233,592
	5.10%, 03/07/078		1,160,000		1,160,726
	Ford Motor Credit Co.,
	5.79%, 09/28/078 (MTN)		1,195,000		1,147,429
	6.17%, 01/15/108		2,060,000		1,865,742
	General Motors Acceptance Corp., 7.02%, 12/01/148		3,466,000		3,162,118
					7,569,607
Banking—4.20%	Chase Capital I, 7.67%, 12/01/26		600,000		629,470
	CS First Boston London,
	9.65%, 03/24/104,8		1,322,000		1,175,509
	9.65%, 03/24/104,8		522,000		464,157
	Popular North America, Inc., 5.24%, 12/12/078		915,000		915,640
	Roslyn Bancorp, Inc., 5.75%, 11/15/07		1,200,000		1,198,370
	Societe Generale (EMTN), 5.25%, 10/29/498		700,000		701,691
	State Street Institutional Capital B, 8.04%, 03/15/274		1,410,000		1,492,008
					6,576,845
Basic Industry —1.99%	Oregon Steel Mills, Inc., 10.00%, 07/15/09		1,795,000		1,911,675
	Steel Dynamics Inc., 9.50%, 03/15/09		1,150,000		1,206,063
					3,117,738
Communications —1.51%	Lenfest Communications, Inc., 7.62%, 02/15/08		1,000,000		1,034,664
	Qwest Capital Funding, Inc., 7.75%, 08/15/06		700,000		707,875
	Qwest Corp. Bank Loan, 6.50%, 06/30/0710		600,000		616,313
					2,358,852
Electric—2.94%	East Coast Power LLC, 6.74%, 03/31/08		830,431		834,471
	Entergy Gulf States, Inc., 5.61%, 12/08/084,8		1,500,000		1,501,767
	Florida Power Corp., 5.14%, 11/14/088		1,430,000		1,431,370
	TECO Energy, Inc., 7.00%, 05/01/104,8		800,000		828,000
					4,595,608
Finance—1.81%	Bear Stearns Cos., Inc. (The), 4.90%, 01/31/118		620,000		621,048

	Issues	Principal Amount		Value
Bonds (continued) Corporates (continued) Finance (continued)	Countrywide Financial Corp., 5.17%, 03/24/098	$	1,400,000	$	1,400,741
	Goldman Sachs Group, Inc., 5.02%, 03/02/108		812,000		813,279
					2,835,068
Insurance —0.90%	Zurich Capital Trust I, 8.38%, 06/01/374		1,314,000		1,406,047
Natural Gas —0.90%	Sempra Energy, 5.24%, 05/21/088		1,400,000		1,402,464
Real Estate Investment Trust (REIT)—5.32%	Brandywine Operating Partnership LP, 5.41%, 04/01/098		1,125,000		1,125,528
	Duke Realty LP, 5.20%, 12/22/068		1,180,000		1,181,536
	EOP Operating LP, 5.59%, 10/01/108		1,670,000		1,686,214
	Highwoods Properties, Inc.,
	7.00%, 12/01/06		830,000		835,817
	7.13%, 02/01/08		995,000		1,018,179
	HRPT Properties Trust, 5.52%, 03/16/118		1,200,000		1,201,990
	Summit Properties Partnership LP, 7.20%, 08/15/07		1,250,000		1,271,353
					8,320,617
Transportation —5.27%	Air 2 USA, 8.03%, 10/01/204		1,440,978		1,434,674
	American Airlines, Inc. 2002-1 G, 5.56%, 03/23/098		689,623		692,504
	Continental Airlines, Inc. 1997-1 A, 7.46%, 10/01/16		184,053		178,872
	Continental Airlines, Inc. 1997-2 A, 7.15%, 12/30/08		449,559		445,430
	Continental Airlines, Inc. 1998-2 A, 6.41%, 10/15/08		1,288,899		1,286,092
	Delta Air Lines, Inc. 2003-1 G, 5.37%, 07/25/098,9		874,090		875,746
	Northwest Airlines Corp. Term Loan A, 9.07%, 11/19/098.10		1,000,000		1,015,982
	United AirLines, Inc. 2000-2 A-1, 7.03%, 04/01/129		766,830		779,291
	United AirLines, Inc. Term Loan 8.44%, 02/01/1210		1,500,000		1,526,812
					8,235,403
	Total Corporates (Cost $46,780,776)				46,418,249
MORTGAGE-BACKED—21.81%³
Commercial Mortgage-Backed —1.47%	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.13%, 02/25/348		37,683		37,897
	Terra LNR1
	D, 5.63%, 06/15/174†		1,500,000		1,500,450
	E, 6.50%, 06/15/174†		750,000		750,225
					2,288,572
Non-Agency Mortgage-Backed —13.18%	Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41, 5.12%, 02/25/348		983,836		966,608

See accompanying notes to financial statements.

51

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Countrywide Alternative Loan Trust 2005-14 4X (IO), 1.56%, 05/25/356,8†	$	4,979,464	$	132,315
	Countrywide Alternative Loan Trust 2005-27 2A1, 5.10%, 08/25/358†		1,854,831		1,865,437
	Countrywide Alternative Loan Trust 2005-59
	1A1, 5.11%, 11/20/358		2,176,706		2,189,228
	2X (IO), 1.91%, 11/20/356		5,441,587		217,663
	Countrywide Alternative Loan Trust 2005-61 2A1, 5.10%, 12/25/358†		1,200,939		1,202,665
	Countrywide Alternative Loan Trust 2005-72 A1 (STEP), 5.09%, 1/25/368†		2,153,189		2,154,940
	Countrywide Alternative Loan Trust 2006-OA2 X1P (IO), 1.03%, 05/20/466		8,660,000		446,531
	Harborview Mortgage Loan Trust 2005-1 X (IO), 0.56%, 03/19/356,8		5,685,373		133,251
	Harborview Mortgage Loan Trust 2005-10 X (IO), 1.68%, 11/19/356,8		6,979,759		213,755
	IndyMac Index Mortgage Loan Trust 2004-AR12
	A1, 5.21%, 12/25/348		1,335,246		1,340,010
	AX2(IO), 0.93%, 12/25/346,8		4,025,227		103,146
	IndyMac Index Mortgage Loan Trust 2004-AR7 A2, 5.25%, 09/25/348		1,152,946		1,159,569
	MASTR Adjustable Rate Mortgages Trust 2004-13 3A2, 3.79%, 11/21/348		543,987		540,664
	MASTR Seasoned Securities Trust 2004-1 4A1, 5.19%, 10/25/328		1,006,044		1,016,719
	MASTR Seasoned Securities Trust 2005-1 4A1, 5.80%, 10/25/328†		1,254,519		1,262,752
	Residential Accredit Loans, Inc. 2002-QS17 NB1, 6.00%, 11/25/32		198,283		198,059
	Residential Asset Mortgage Products, Inc. 2003-SL1 A11, 7.13%, 03/25/16		902,529		913,834
	Summit Mortgage Trust 2000-1 B5, 6.26%, 12/28/124,8†		1,176		1,142
	Washington Mutual, Inc. 2002-AR18 A, 4.12%, 01/25/338		625,454		622,635
	Washington Mutual, Inc. 2004-AR12 A4A, 4.88%, 10/25/448		804,369		805,225
	Washington Mutual, Inc. 2005-AR1 A2A2, 5.07%, 01/25/458		1,226,694		1,228,465
	Washington Mutual, Inc. 2005-AR2 2A22, 5.04%, 01/25/458		1,064,314		1,066,330

	Issues	Principal Amount		Value
Bonds (continued) Mortgage-Backed (continued) Non-Agency Mortgage-Backed (continued)	Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A, 7.00%, 12/25/33	$	819,802	$	839,347
					20,620,290
U.S. Agency Mortgage-Backed —7.16%	Fannie Mae 1993-95 SB, 15.05%, 06/25/088		2,543		2,789
	Fannie Mae 1997-91 SL (IO), 6.74%, 11/25/238		604,324		73,841
	Fannie Mae 2001-60 JZ, 6.00% 03/25/31		83,364		83,357
	Fannie Mae 2003-37 IG (IO), 5.50%, 05/25/32		945,677		145,951
	Fannie Mae 2003-62 IG (IO), 5.00%, 10/25/31		1,000,000		312,138
	Fannie Mae 2003-91 IQ (IO), 5.50%, 06/25/26		1,093,264		92,771
	Fannie Mae G-36 ZB, 7.00%, 11/25/21		6,685		6,893
	Fannie Mae Pool 646884, 5.54%, 05/01/328		512,570		514,707
	Fannie Mae Strip 342 2 (IO), 6.00%, 10/01/33		413,639		102,016
	Fannie Mae (TBA), 5.50%, 04/25/21		2,755,000		2,738,641
	Freddie Mac 2 L, 8.00%, 11/25/22		60,592		62,866
	Freddie Mac 2080 PJ, 6.50%, 08/15/28		863,836		879,676
	Freddie Mac 2535 LI (IO), 5.50%, 08/15/26		389,748		21,443
	Freddie Mac 2557 IM (IO), 5.50%, 03/15/22		345,404		8,288
	Freddie Mac 2845 PI (IO), 5.50%, 02/15/32		831,094		123,304
	Freddie Mac Pool 788498, 5.79%, 02/01/308		1,402,350		1,428,836
	Freddie Mac Pool 847288, 3.15%, 05/01/348		2,114,208		2,090,498
	Freddie Mac Pool 1L0113, 5.72%, 05/01/358		1,410,633		1,435,167
	Ginnie Mae 2003-75 CI (IO), 5.50%, 01/20/21		1,207,812		38,583
	Ginnie Mae 2004-34 IA (IO), 5.50%, 12/20/31		1,300,000		106,329
	Ginnie Mae II Pool 80968, 5.00%, 07/20/348		929,603		930,776
					11,198,870
	Total Mortgage-Backed (Cost $34,549,255)				34,107,732
U.S. AGENCY SECURITIES—9.83%
U.S. Agency Securities—9.83%	Fannie Mae,
	2.63%, 11/15/06		4,668,000		4,598,176
	4.50%, 10/15/08		3,810,000		3,762,364
	Freddie Mac,
	3.63%, 02/15/07		2,090,000		2,063,831
	4.50%, 08/22/07		5,005,000		4,958,799
	Total U.S. Agency Securities (Cost $15,436,613)				15,383,170
	Total Bonds (Cost $139,214,111)				137,840,393

See accompanying notes to financial statements.

52

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

March 31, 2006

	Issues	Shares		Value
PREFERRED STOCK 0.39%
Finance—0.39%	Woodbourne Pass-Through Trust, 5.79%, 12/31/494		6	$	604,688
	Total Preferred Stock (Cost $600,000)				604,688
		Principal Amount
SHORT TERM INVESTMENTS 5.03%
Money Market Fund—0.81%	JPMorgan Prime Money Market Fund	$	1,257,497		1,257,497
U.S. Agency Discount Notes—4.22%	Fannie Mae,
	4.75%5, 05/24/06		205,000		203,621
	4.65%5, 05/31/06		6,450,000		6,401,212
					6,604,833
	Total Short Term Investments (Cost $7,863,316)				7,862,330
	Total Investments—93.54% (Cost $147,677,427)¹				146,307,411
	Cash and Other Assets, Less Liabilities—6.46%				10,110,621
	Net Assets—100.00%			$	156,418,032

SWAPS: TOTAL RETURN

Notional Amount (000’s)		Unrealized Appreciation
26,269	S&P 500 Total Return issued by Credit Suisse First Boston, -2.79%8, Expire 10/03/06	$	1,595,704
FUTURES CONTRACTS: LONG POSITIONS
Contracts		Unrealized Appreciation/ (Depreciation)
400	S&P 500 Index, June 2006	$	968,951
4	S&P 500 Mini, June 2006		(1,351	)
	Net unrealized appreciation	$	967,600

Notes:

¹ Cost for Federal income tax purposes is $147,677,427 and net unrealized depreciation consists of:

Gross unrealized appreciation	$	707,666
Gross unrealized depreciation		(2,077,682	)
Net unrealized (depreciation)	$	(1,370,016	)

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 March 31, 2006 was $19,423,270 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 $6,604,833 on 400 long S&P 500 Index futures contracts and 4 S&P 500 Mini futures contracts.

⁸ Floating rate security. The rate disclosed is that in effect at March 31, 2006.

⁹ Securities in default with regards to scheduled interest or principal payments.

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
07/05/05	Northwest AirLines Corp. Term Loan A, 9.07%, 11/19/09	$	950,507	$	1,015,982	0.65%
06/05/03	Qwest Corp. Bank Loan, 6.50%, 06/30/07		598,165		616,313	0.39%
02/01/06	United AirLines, Inc. Term Loan 8.44%, 02/01/12		1,500,000		1,526,812	0.98%
		$	3,048,672	$	3,159,107	2.02%

^† Fair valued security. The aggregate value of fair valued securities is $25,684,699 which is 16.42% 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

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to financial statements.

53

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2006

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Assets:
Investments, at value (Cost $288,965,584, $847,198,655, $67,248,470, and $1,620,706,222, respectively) (Note 2)	$	286,359,446		$	826,207,425		$	65,700,191		$	1,577,859,987
Cash and cash equivalents (Note 2)		20,176			424,961			162,419			835,943
Dividends and interest receivable		1,719,468			6,169,196			709,967			15,618,952
Due from Adviser (Note 5)		26,332			44,526			14,606			35,032
Receivable for securities sold		403,137			670,273			—			2,911,642
Receivable for capital stock sold		150,574			1,969,268			—			3,339,564
Receivable for daily variation margin on futures contracts (Note 3)		—			66,819			293			169,778
Other assets		—			—			773			6,284
Total assets		288,679,133			835,552,468			66,588,249			1,600,777,182
Liabilities:
Swap contracts, at value (Cost $0, $0, $0 and $71,275, respectively) (Note 2)		—			118,033			8,646			327,419
Payable for securities purchased		7,439,669			12,198,100			1,006,193			76,520,675
Payable for capital stock redeemed		13,989,069			3,094,224			1,776			1,132,758
Payable for daily variation margin on futures contracts (Note 3)		5,643			—			—			—
Due to Adviser (Note 5)		75,001			211,001			19,399			446,664
Accrued expenses		67,495			193,836			47,712			301,942
Accrued Trustees fees		5,807			24,300			2,013			88,852
Accrued 12b-1 expenses		27,709			54,304			1,604			97,828
Distributions payable		12,115			178,236			—			410,943
Total liabilities		21,622,508			16,072,034			1,087,343			79,327,081
Net assets	$	267,056,625		$	819,480,434		$	65,500,906		$	1,521,450,101
Class M Shares:
Net assets (Applicable to 39,389,338, 35,839,564, 915,337 and 58,748,380 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	200,563,257		$	334,038,251		$	9,147,467		$	555,873,209
Net asset value, offering and redemption price per Class M share	$	5.09		$	9.32		$	9.99		$	9.46
Class I Shares:
Net assets (Applicable to 13,069,365, 52,066,250, 5,639,107 and 102,076,133 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	66,493,368		$	485,442,183		$	56,353,439		$	965,576,892
Net asset value, offering and redemption price per Class I share	$	5.09		$	9.32		$	9.99		$	9.46
Net Assets Consist of:
Capital paid-in	$	269,672,636		$	879,405,949		$	67,643,529		$	1,673,348,419
Accumulated undistributed net investment income		7,369			722			1,540			40,560
Accumulated undistributed net realized (loss) on investments, futures contracts, swap contracts, and written options		(117,258	)		(38,473,533	)		(588,127	)		(107,635,159	)
Net unrealized (depreciation) on investments		(2,606,138	)		(20,991,230	)		(1,548,279	)		(42,846,235	)
Net unrealized appreciation/(depreciation) on futures contracts, swap contracts and written options		100,016			(461,474	)		(7,757	)		(1,457,484	)
	$	267,056,625		$	819,480,434		$	65,500,906		$	1,521,450,101

See accompanying notes to financial statements.

54

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2006

	High Yield Bond Fund			Strategic Income Fund			AlphaTrakSM 500 Fund
Assets:
Investments, at value (Cost $75,309,628, $210,290,986, and $147,677,427, respectively) (Note 2)	$	75,134,782		$	209,310,091		$	146,307,411
Cash and cash equivalents (Note 2)		89,662			260,625			460,363
Cash on deposit with broker for securities sold short and written option contracts (Note 3)		—			1,531,285			—
Dividends and interest receivable		1,201,590			2,065,838			947,730
Receivable for securities sold		160,500			407,467			89,184
Receivable for capital stock sold		118,282			699,222			14,050,000
Receivable on total return swap (Note 3)		—			—			326,950
Due from Adviser (Note 5)		14,103			—			1,270
Receivable for daily variation margin on futures contracts (Note 3)		9,701			—			—
Other assets		11			—			—
Total assets		76,728,631			214,274,528			162,182,908
Liabilities:
Securities sold short (Proceeds $0, $792,479, and $0, respectively) (Note 3)		—			1,829,199			—
Swap contracts, at value (Cost $1,682, $0, and $0, respectively) (Note 3)		108,873			459,836			102,736
Written option contracts, at value (Premiums received $0, $238,976 and $0, respectively) (Note 3)		—			213,325			—
Payable for securities purchased		3,315,162			3,500,000			5,010,433
Payable for capital stock redeemed		72,294			577,540			91,852
Payable for daily variation margin on futures contracts (Note 3)		—			9,583			369,237
Due to Adviser (Note 5)		50,098			186,215			—
Accrued expenses		54,516			66,723			55,115
Accrued Trustees fees		2,944			3,349			15,276
Accrued 12b-1 expenses		8,619			18,483			—
Distributions payable		20,353			14,033			120,227
Total liabilities		3,632,859			6,878,286			5,764,876
Net assets	$	73,095,772		$	207,396,242		$	156,418,032
Class M Shares:
Net assets (Applicable to 3,767,351, 7,793,703 and 19,223,312 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	41,037,386		$	86,288,113		$	156,418,032
Net asset value, offering and redemption price per Class M share	$	10.89		$	11.07		$	8.14
Class I Shares:
Net assets (Applicable to 2,941,884 and 10,939,240 shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	32,058,386		$	121,108,129			N/A
Net asset value, offering and redemption price per Class I share	$	10.90		$	11.07			N/A
Net Assets Consist of:
Capital paid-in (Note 7)	$	73,699,156		$	210,024,027		$	165,583,554
Accumulated undistributed net investment income		2,031			2,032,285			2,670,762
Accumulated undistributed net realized (loss) on investments, futures contracts, swap contracts, written options, and securities sold short		(302,037	)		(2,406,981	)		(11,331,132	)
Net unrealized (depreciation) on investments		(174,846	)		(980,895	)		(1,370,016	)
Net unrealized (depreciation)/appreciation on futures contracts, swap contracts, written options, and securities sold short		(128,532	)		(1,272,194	)		864,864
	$	73,095,772		$	207,396,242		$	156,418,032

N/A — Not Applicable

See accompanying notes to financial statements.

55

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2006

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Investment Income:
Interest	$	12,316,242		$	33,990,679		$	3,001,182		$	83,967,235
Dividends		—			134,627			—			224,378
Total investment income		12,316,242			34,125,306			3,001,182			84,191,613
Expenses:
Investment advisory fees (Note 5)		694,396			2,220,697			202,111			4,795,432
Administration fees		200,768			458,071			77,514			798,464
Custodian fees		45,074			55,904			16,872			102,134
Distribution (12b-1) fees		330,411			623,923			10,790			1,017,542
Insurance expenses		12,759			35,515			2,510			72,418
Miscellaneous expenses		8,984			42,070			1,800			71,500
Professional fees		18,991			38,400			21,100			60,277
Registration and filing fees		58,513			57,476			23,021			93,461
Reports to shareholders		9,550			24,650			1,976			57,586
Transfer agent fees		89,543			96,979			51,704			165,991
Trustees’ fees and expenses		12,306			35,055			2,633			67,339
Total operating expenses		1,481,295			3,688,740			412,031			7,302,144
Expenses waived and reimbursed (Note 5)		(206,505	)		(177,911	)		(147,159	)		(256,059	)
Net expenses		1,274,790			3,510,829			264,872			7,046,085
Net investment income		11,041,452			30,614,477			2,736,310			77,145,528
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Swap Contracts and Written Options:
Net realized (loss) on investments		(182,025	)		(5,389,650	)		(557,015	)		(29,701,939	)
Net realized gain/(loss) on:
Futures contracts		123,092			(343,891	)		249			(1,828,817	)
Swap contracts		84,363			31,915			2,710			174,973
Written options		—			—			—			74,542
Net change in unrealized (depreciation)/appreciation on investments		(1,128,995	)		1,189,064			(997,664	)		(2,461,240	)
Net change in unrealized appreciation/(depreciation) on futures contracts, swap contracts and written options		33,362			(408,697	)		(4,185	)		(1,472,503	)
Net realized and change in unrealized loss on investments, futures contracts, swap contracts and written options		(1,070,203	)		(4,921,259	)		(1,555,905	)		(35,214,984	)
Net Increase in Net Assets from Operations	$	9,971,249		$	25,693,218		$	1,180,405		$	41,930,544

See accompanying notes to financial statements.

56

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2006

	High Yield Bond Fund			Strategic Income Fund			AlphaTrakSM 500 Fund
Investment Income:
Interest	$	4,959,913		$	13,318,719		$	6,844,012
Dividends		8,502			874,873			46,491
Total investment income		4,968,415			14,193,592			6,890,503
Expenses:
Investment advisory fees (Note 5)		308,988			2,973,021			267,921
Administration fees		80,179			160,601			107,273
Custodian fees		17,993			25,700			22,243
Distribution (12b-1) fees		72,722			254,532			—
Insurance expenses		3,176			10,553			7,359
Miscellaneous expenses		4,485			7,195			6,400
Professional fees		21,096			17,992			21,059
Registration and filing fees		29,451			57,077			17,354
Reports to shareholders		1,326			9,200			11,565
Transfer agent fees		53,699			75,187			36,364
Trustees’ fees and expenses		2,412			10,447			6,681
Repayment of reimbursed expenses		—			39,514			—
Total operating expenses		595,527			3,641,019			504,219
Expenses waived and reimbursed (Note 5)		(182,919	)		—			—
Net expenses		412,608			3,641,019			504,219
Net investment income		4,555,807			10,552,573			6,386,284
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Swap Contracts, Written Options and Securities Sold Short:
Net realized (loss) on investments		(60,132	)		(2,028,970	)		(2,335,169	)
Net realized (loss)/gain on:
Futures contracts		(281,212	)		667,406			5,065,918
Securities sold short		—			(229,231	)		—
Swap contracts		27,647			1,620,769			1,891,678
Written options		—			(368,852	)		—
Net change in unrealized (depreciation)/appreciation on investments		(768,379	)		(58,645	)		1,994,203
Net change in unrealized (depreciation)/appreciation on futures contracts, swap contracts, written options, and securities sold short		(120,627	)		(1,786,279	)		3,466,958
Net realized and change in unrealized (loss)/gain on investments, futures contracts, swap contracts, written options, and securities sold short		(1,202,703	)		(2,183,802	)		10,083,588
Net Increase in Net Assets from Operations	$	3,353,104		$	8,368,771		$	16,469,872

See accompanying notes to financial statements.

57

Metropolitan West Funds

Statements of Changes in Net Assets

	Ultra Short Bond Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	11,041,452		$	5,822,2641
Net realized (loss) on investments		(182,025	)		(21,013	)1
Net realized gain on futures contracts and swap contracts		207,455			4,8271
Net change in unrealized (depreciation) on investments		(1,128,995	)		(2,089,769	)1
Net change in unrealized appreciation on futures contracts, swap contracts and written options		33,362			73,0281
Net increase in net assets resulting from operations		9,971,249			3,789,337
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(8,172,246	)		(4,904,371	)
Class I		(2,946,236	)		(930,071	)
Net realized gains:
Class M		(29,030	)		(7,980	)
Class I		(8,282	)		(3,670	)
Net (decrease) in net assets resulting from dividends and distributions		(11,155,794	)		(5,846,092	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		181,069,740			215,402,406
Shares issued in reinvestment of dividends and distributions		8,040,526			4,744,160
Cost of shares redeemed		(163,692,967	)		(188,082,115	)
Total Class M capital share transactions		25,417,299			32,064,451
Class I:
Proceeds from sale of shares		104,843,719			109,604,252
Shares issued in reinvestment of dividends and distributions		2,860,779			856,159
Cost of shares redeemed		(90,714,870	)		(60,215,171	)
Total Class I capital share transactions		16,989,628			50,245,240
Net increase in net assets resulting from capital share transactions		42,406,927			82,309,691
Net increase in net assets		41,222,382			80,252,936
Net assets at beginning of year		225,834,243			145,581,307
Net assets at end of year (including undistributed net investment income of $7,369 and $36, respectively)	$	267,056,625		$	225,834,243

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $5,833,465, $(21,013) and $(2,023,115), respectively.

See accompanying notes to financial statements.

58

Metropolitan West Funds

Statements of Changes in Net Assets

	Low Duration Bond Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	30,614,477		$	22,434,3341
Net realized (loss) on investments		(5,389,650	)		(22,323,017	)1
Net realized (loss) on futures contracts and swap contracts		(311,976	)		(14,144	)1
Net change in unrealized appreciation on investments		1,189,064			12,024,9511
Net change in unrealized (depreciation) on futures contracts		(408,697	)		(40,636	)1
Net increase in net assets resulting from operations		25,693,218			12,081,488
Dividends to Shareholders from:
Net investment income:
Class M		(13,367,844	)		(11,785,869	)
Class I		(17,651,879	)		(10,235,653	)
Net (decrease) in net assets resulting from dividends		(31,019,723	)		(22,021,522	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		140,086,756			135,319,163
Shares issued in reinvestment of dividends		12,980,052			11,524,420
Cost of shares redeemed		(141,874,318	)		(151,340,847	)
Total Class M capital share transactions		11,192,490			(4,497,264	)
Class I:
Proceeds from sale of shares		265,428,024			172,364,051
Shares issued in reinvestment of dividends		15,617,275			8,489,110
Cost of shares redeemed		(112,760,473	)		(79,580,131	)
Total Class I capital share transactions		168,284,826			101,273,030
Net increase in net assets resulting from capital share transactions		179,477,316			96,775,766
Net increase in net assets		174,150,811			86,835,732
Net assets at beginning of year		645,329,623			558,493,891
Net assets at end of year (including undistributed net investment income of $722 and $377,906, respectively)	$	819,480,434		$	645,329,623

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $22,432,331, $(22,323,017) and $11,972,174, respectively.

See accompanying notes to financial statements.

59

Metropolitan West Funds

Statements of Changes in Net Assets

	Intermediate Bond Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	2,736,310		$	2,154,9681
Net realized (loss)/gain on investments		(557,015	)		518,1321
Net realized gain futures contracts and swap contracts		2,959			(969	)1
Net change in unrealized (depreciation) on investments		(997,664	)		(1,785,987	)1
Net change in unrealized (depreciation) on swap contracts and written options		(4,185	)		(2,654	)1
Net increase in net assets resulting from operations		1,180,405			883,490
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(229,370	)		(5,898	)
Class I		(2,508,601	)		(2,148,990	)
Net realized gains:
Class M		(27,051	)		(1,850	)
Class I		(190,252	)		(553,357	)
Net (decrease) in net assets resulting from dividends and distributions		(2,955,274	)		(2,710,095	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		9,310,765			97,634
Shares issued in reinvestment of dividends and distributions		254,034			6,966
Cost of shares redeemed		(352,014	)		(20,381	)
Total Class M capital share transactions		9,212,785			84,219
Class I:
Proceeds from sale of shares		11,205,492			11,327,750
Shares issued in reinvestment of dividends and distributions		2,656,896			2,703,016
Cost of shares redeemed		(1,774,951	)		(6,115,585	)
Total Class I capital share transactions		12,087,437			7,915,181
Net increase in net assets resulting from capital share transactions		21,300,222			7,999,400
Net increase in net assets		19,525,353			6,172,795
Net assets at beginning of year		45,975,553			39,802,758
Net assets at end of year (including undistributed net investment income of $1,540 and $776, respectively)	$	65,500,906		$	45,975,553

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $2,154,917, $518,132 and $(1,789,559), respectively.

See accompanying notes to financial statements.

60

Metropolitan West Funds

Statements of Changes in Net Assets

	Total Return Bond Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	77,145,528		$	80,245,4121
Net realized (loss) on investments		(29,701,939	)		(55,277,061	)1
Net realized (loss) on futures contracts, swap contracts, and written options		(1,579,302	)		(20,543	)1
Net change in unrealized (depreciation)/appreciation on investments		(2,461,240	)		4,389,0011
Net change in unrealized (depreciation)/appreciation on futures contracts, swap contracts and written options		(1,472,503	)		52,6301
Net increase in net assets resulting from operations		41,930,544			29,389,439
Dividends to Shareholders from:
Net investment income:
Class M		(27,080,390	)		(27,731,441	)
Class I		(51,420,128	)		(51,297,927	)
Net (decrease) in net assets resulting from dividends		(78,500,518	)		(79,029,368	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		223,599,198			125,197,781
Shares issued in reinvestment of dividends		25,732,417			26,270,945
Cost of shares redeemed		(144,046,578	)		(168,215,382	)
Total Class M capital share transactions		105,285,037			(16,746,656	)
Class I:
Proceeds from sale of shares		202,541,980			117,038,531
Shares issued in reinvestment of dividends		48,283,325			48,547,884
Cost of shares redeemed		(101,813,414	)		(193,039,371	)
Total Class I capital share transactions		149,011,891			(27,452,956	)
Net increase/(decrease) in net assets resulting from capital share transactions		254,296,928			(44,199,612	)
Net increase/(decrease) in net assets		217,726,954			(93,839,541	)
Net assets at beginning of year		1,303,723,147			1,397,562,688
Net assets at end of year (including undistributed net investment income of $40,560 and $1,233,112, respectively)	$	1,521,450,101		$	1,303,723,147

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $80,262,480, $(55,277,061) and $4,404,020, respectively.

See accompanying notes to financial statements.

61

Metropolitan West Funds

Statements of Changes in Net Assets

	High Yield Bond Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	4,555,807		$	4,434,8411
Net realized (loss)/gain on investments		(60,132	)		2,014,6941
Net realized (loss)/gain on futures contracts, swap contracts and securities sold short		(253,565	)		48,2721
Net change in unrealized (depreciation) on investments		(768,379	)		(2,590,785	)1
Net change in unrealized (depreciation) on futures contracts, swap contracts, written options, and securities sold short		(120,627	)		(8,589	)1
Net increase in net assets resulting from operations		3,353,104			3,898,433
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(2,109,770	)		(2,608,730	)
Class I		(2,462,767	)		(1,775,433	)
Net realized gains:
Class M		(1,040,382	)		(2,504,514	)
Class I		(1,014,684	)		(1,679,725	)
Net (decrease) in net assets resulting from dividends and distributions		(6,627,603	)		(8,568,402	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		25,294,794			26,432,001
Shares issued in reinvestment of dividends and distributions		2,973,227			4,811,585
Cost of shares redeemed		(10,876,880	)		(53,408,532	)
Total Class M capital share transactions		17,391,141			(22,164,946	)
Class I:
Proceeds from sale of shares		22,111,486			10,005,246
Shares issued in reinvestment of dividends and distributions		3,299,063			3,221,745
Cost of shares redeemed		(21,271,168	)		(646,500	)
Total Class I capital share transactions		4,139,381			12,580,491
Net increase/(decrease) in net assets resulting from capital share transactions		21,530,522			(9,584,455	)
Net increase/(decrease) in net assets		18,256,023			(14,254,424	)
Redemption fees (Note 7)		10,065			38,401
Net assets at beginning of year		54,829,684			69,045,707
Net assets at end of year (including undistributed net investment income of $2,031 and $89,718, respectively)	$	73,095,772		$	54,829,684

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $4,426,764, $2,070,359 and $(2,598,690), respectively.

See accompanying notes to financial statements.

62

Metropolitan West Funds

Statements of Changes in Net Assets

	Strategic Income Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	10,552,573		$	5,872,8261
Net realized (loss)/gain on investments		(2,028,970	)		1,054,7091
Net realized gain on futures contracts, swap contracts, written options and securities sold short		1,690,092			808,5891
Net change in unrealized appreciation/(depreciation) on investments		(58,645	)		(1,603,322	)1
Net change in unrealized (depreciation)/appreciation on futures contracts, swap contracts, written options and securities sold short		(1,786,279	)		629,3511
Net increase in net assets resulting from operations		8,368,771			6,762,153
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(5,202,750	)		(3,512,551	)
Class I		(5,699,147	)		(2,073,822	)
Net realized gains:
Class M		(166,041	)		(1,135,559	)
Class I		(154,656	)		(654,347	)
Net (decrease) in net assets resulting from dividends and distributions		(11,222,594	)		(7,376,279	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		39,548,468			115,514,088
Shares issued in reinvestment of dividends and distributions		5,296,957			4,602,000
Cost of shares redeemed		(59,382,498	)		(114,384,594	)
Total Class M capital share transactions		(14,537,073	)		5,731,494
Class I:
Proceeds from sale of shares		93,265,677			98,384,610
Shares issued in reinvestment of dividends and distributions		5,323,164			2,299,840
Cost of shares redeemed		(68,700,660	)		(7,704,703	)
Total Class I capital share transactions		29,888,181			92,979,747
Net increase in net assets resulting from capital share transactions		15,351,108			98,711,241
Net increase in net assets		12,497,285			98,097,115
Net assets at beginning of year		194,898,957			96,801,842
Net assets at end of year (including undistributed net investment income of $2,032,285 and $775,872, respectively)	$	207,396,242		$	194,898,957

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $5,655,385, $2,068,990 and $(962,222), respectively.

See accompanying notes to financial statements.

63

Metropolitan West Funds

Statements of Changes in Net Assets

	AlphaTrakSM 500 Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005
Operations:
Net investment income	$	6,386,284		$	4,571,6191
Net realized (loss) on investments		(2,335,169	)		(4,160,268	)1
Net realized gain on futures contracts, swap contracts and securities sold short		6,957,596			5,976,8341
Net change in unrealized appreciation on investments		1,994,203			2,757,6851
Net change in unrealized appreciation on futures contracts, swap contracts and securities sold short		3,466,958			877,5421
Net increase in net assets resulting from operations		16,469,872			10,023,412
Dividends to Shareholders from:
Net investment income		(6,998,842	)		(4,211,637	)
Net (decrease) in net assets resulting from dividends		(6,998,842	)		(4,211,637	)
Capital Share Transactions:
Proceeds from sale of shares		42,580,940			32,730,705
Shares issued in reinvestment of dividends		6,264,750			3,779,226
Cost of shares redeemed		(35,223,393	)		(34,045,060	)
Net increase in net assets resulting from capital share transactions		13,622,297			2,464,871
Net increase in net assets		23,093,327			8,276,646
Net assets at beginning of year		133,324,705			125,048,059
Net assets at end of year (including undistributed net investment income of $2,670,762 and $1,494,378, respectively)	$	156,418,032		$	133,324,705

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The amounts for net investment income/(loss), net realized gain/(loss) and net unrealized gain/(loss) prior to this reclassification were $4,329,318, $2,012,104 and $3,681,990, respectively.

See accompanying notes to financial statements.

64

Metropolitan West Funds

Financial Highlights

	Ultra Short Bond Fund*
	Class M			Class M			Class M
	Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	5.11		$	5.16		$	5.00
Income from Investment Operations:
Net investment income		0.20	#		0.17	#		0.16	#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts and written options		(0.02	)		(0.05	)		0.16
Total from Investment Operations		0.18			0.12			0.32
Less Distributions:
Dividends from net investment income		(0.20	)		(0.17	)		(0.16	)
Distributions from net capital gains		(0.00	)3		(0.00	)3		(0.00	)3
Total Distributions		(0.20	)		(0.17	)		(0.16	)
Net Asset Value, End of Period	$	5.09		$	5.11		$	5.16
Total Return		3.62	%		2.31	%		6.48	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	200,563		$	175,983		$	145,581
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.57	%		0.62	%		0.76	%1
After expense waivers and reimbursements		0.50	%		0.50	%		0.50	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		3.86	%		3.13	%4		3.36	%1
After expense waivers and reimbursements		3.93	%		3.25	%4		3.62	%1
Portfolio Turnover Rate		20	%		25	%		6	%2

* The Ultra Short Bond Fund Class M Shares commenced operations on June 30, 2003.

¹ Annualized

² Non-annualized

³ Distributions were less than $.005

⁴ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.14%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.26%.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

65

Metropolitan West Funds

Financial Highlights

	Ultra Short Bond Fund*
	Class I			Class I
	Year Ended March 31, 2006			Period Ended March 31, 2005
Net Asset Value, Beginning of Period	$	5.11		$	5.15
Income from Investment Operations:
Net investment income		0.21	#		0.12	#
Net realized and unrealized (loss) on investments, futures contracts, swap contracts and written options		(0.02	)		(0.04	)
Total from Investment Operations		0.19			0.08
Less Distributions:
Dividends from net investment income		(0.21	)		(0.12	)
Distributions from net capital gains		(0.00	)3		(0.00	)3
Total Distributions		(0.21	)		(0.12	)
Net Asset Value, End of Period	$	5.09		$	5.11
Total Return		3.79	%		1.52	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	66,493		$	49,851
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.41	%		0.49	%1
After expense waivers and reimbursements		0.34	%		0.34	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.03	%		3.28	%1,4
After expense waivers and reimbursements		4.10	%		3.43	%1,4
Portfolio Turnover Rate		20	%		25	%2

* The Ultra Short Bond Fund Class I Shares commenced operations on July 31, 2004.

¹ Annualized

² Non-annualized

³ Distributions were less than $0.005.

⁴ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.29%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.44%.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

66

Metropolitan West Funds

Financial Highlights

	Low Duration Bond Fund
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Year Ended March 31, 2003			Year Ended March 31, 2002
Net Asset Value, Beginning of Year	$	9.39		$	9.55		$	9.36		$	9.87		$	10.03
Income from Investment Operations:
Net investment income		0.38	#		0.35	#		0.42	#		0.51	†#		0.65	†#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, and written options		(0.07	)		(0.16	)		0.20			(0.51	)†		(0.18	)†
Total from Investment Operations		0.31			0.19			0.62			0.00			0.47
Less Distributions:
Dividends from net investment income		(0.38	)		(0.35	)		(0.43	)		(0.51	)		(0.63	)
Total Distributions		(0.38	)		(0.35	)		(0.43	)		(0.51	)		(0.63	)
Net Asset Value, End of Year	$	9.32		$	9.39		$	9.55		$	9.36		$	9.87
Total Return		3.38	%		2.02	%		6.81	%		0.10	%		4.74	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	334,038		$	325,137		$	335,686		$	305,726		$	424,441
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.60	%		0.62	%		0.64	%		0.62	%		0.64	%
After expense waivers and reimbursements		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		3.99	%		3.71	%		4.41	%		5.35	%†		6.24	%†
After expense waivers and reimbursements		4.01	%		3.75	%		4.47	%		5.39	%†		6.30	%†
Portfolio Turnover Rate		96	%		108	%		94	%		65	%		26	%

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.02 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

67

Metropolitan West Funds

Financial Highlights

	Low Duration Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Year Ended March 31, 2003			Year Ended March 31, 2002
Net Asset Value, Beginning of Year	$	9.39		$	9.55		$	9.36		$	9.87		$	10.03
Income from Investment Operations:
Net investment income		0.40#			0.37#			0.43#			0.53	†#		0.67	†#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, and written options		(0.07	)		(0.17	)		0.21			(0.51	)†		(0.18	)†
Total from Investment Operations		0.33			0.20			0.64			0.02			0.49
Less Distributions:
Dividends from net investment income		(0.40	)		(0.36	)		(0.45	)		(0.53	)		(0.65	)
Total Distributions		(0.40	)		(0.36	)		(0.45	)		(0.53	)		(0.65	)
Net Asset Value, End of Year	$	9.32		$	9.39		$	9.55		$	9.36		$	9.87
Total Return		3.57	%		2.22	%		7.01	%		0.29	%		4.94	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	485,442		$	320,192		$	222,808		$	206,006		$	327,473
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.41	%		0.43	%		0.45	%		0.43	%		0.45	%
After expense waivers and reimbursements		0.39	%		0.39	%		0.39	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.21	%		3.89	%		4.52	%		5.54	%†		6.43	%†
After expense waivers and reimbursements		4.23	%		3.93	%		4.58	%		5.58	%†		6.49	%†
Portfolio Turnover Rate		96	%		108	%		94	%		65	%		26	%

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.02 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

68

Metropolitan West Funds

Financial Highlights

	Intermediate Bond Fund*
	Class M			Class M			Class M
	Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	10.28		$	10.72		$	10.88
Income from Investment Operations:
Net investment income		0.45	#		0.49	#		0.32	#
Net realized and unrealized (loss)/gain on investments, swap contracts, and written options		(0.24	)		(0.31	)		0.22
Total from Investment Operations		0.21			0.18			0.54
Less Distributions:
Dividends from net investment income		(0.47	)		(0.49	)		(0.40	)
Distributions from net capital gains		(0.03	)		(0.13	)		(0.30	)
Total Distributions		(0.50	)		(0.62	)		(0.70	)
Net Asset Value, End of Period	$	9.99		$	10.28		$	10.72
Total Return		2.08	%		1.74	%		5.12	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	9,147		$	154		$	75
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.89	%		0.98	%		1.05	%1
After expense waivers and reimbursements		0.65	%		0.65	%		0.65	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.22	%		4.32	%		3.53	%1
After expense waivers and reimbursements		4.46	%		4.65	%		3.93	%1
Portfolio Turnover Rate		113	%		183	%		165	%2

* The Intermediate Bond Fund Class M shares commenced operations on June 30, 2003.

¹ Annualized

² Non-annualized

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

69

Metropolitan West Funds

Financial Highlights

	Intermediate Bond Fund*
	Class I			Class I			Class I			Class I
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Period Ended March 31, 2003
Net Asset Value, Beginning of Period	$	10.27		$	10.71		$	10.49		$	10.00
Income from Investment Operations:
Net investment income		0.49	#		0.51	#		0.56	#		0.35	†#
Net realized and unrealized (loss)/gain on investments, swap contracts, and written options		(0.25	)		(0.31	)		0.54			0.64	†
Total from Investment Operations		0.24			0.20			1.10			0.99
Less Distributions:
Dividends from net investment income		(0.49	)		(0.51	)		(0.59	)		(0.40	)
Distributions from net capital gains		(0.03	)		(0.13	)		(0.29	)		(0.10	)
Total Distributions		(0.52	)		(0.64	)		(0.88	)		(0.50	)
Net Asset Value, End of Period	$	9.99		$	10.27		$	10.71		$	10.49
Total Return		2.39	%		1.95	%		10.86	%		10.07	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	56,353		$	45,821		$	39,727		$	28,159
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70	%		0.77	%		0.79	%		0.64	%1
After expense waivers and reimbursements		0.44	%		0.44	%		0.44	%		0.44	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.51	%		4.53	%		4.88	%		4.25	%1†
After expense waivers and reimbursements		4.77	%		4.86	%		5.23	%		4.45	%1†
Portfolio Turnover Rate		113	%		183	%		165	%		139	%2

* The Intermediate Bond Fund Class I Shares commenced operations on June 28, 2002.

¹ Annualized

² Non-annualized

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income decreased and net realized and unrealized gain increased by $0.05 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

70

Metropolitan West Funds

Financial Highlights

	Total Return Bond Fund
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Year Ended March 31, 2003			Year Ended March 31, 2002
Net Asset Value, Beginning of Year	$	9.71		$	10.06		$	9.28		$	9.95		$	10.34
Income from Investment Operations:
Net investment income		0.53	#		0.59	#		0.55	#		0.70	†#		0.74	†#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, and written options		(0.24	)		(0.36	)		0.82			(0.63	)†		(0.30	)†
Total from Investment Operations		0.29			0.23			1.37			0.07			0.44
Less Distributions:
Dividends from net investment income		(0.54	)		(0.58	)		(0.59	)		(0.70	)		(0.73	)
Distributions from net capital gains		—			—			—			(0.04	)		(0.10	)
Total Distributions		(0.54	)		(0.58	)		(0.59	)		(0.74	)		(0.83	)
Net Asset Value, End of Year	$	9.46		$	9.71		$	10.06		$	9.28		$	9.95
Total Return		3.04	%		2.42	%		15.15	%		0.91	%		4.39	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	555,873		$	463,895		$	498,299		$	550,891		$	692,279
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.67	%		0.67	%		0.67	%		0.67	%		0.68	%
After expense waivers and reimbursements		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.47	%		6.00	%		5.60	%		7.42	%		7.16	%†
After expense waivers and reimbursements		5.49	%		6.02	%		5.62	%		7.44	%		7.19	%†
Portfolio Turnover Rate		174	%		180	%		165	%		90	%		78	%

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.01 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

71

Metropolitan West Funds

Financial Highlights

	Total Return Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Year Ended March 31, 2003			Year Ended March 31, 2002
Net Asset Value, Beginning of Year	$	9.71		$	10.06		$	9.27		$	9.94		$	10.34
Income from Investment Operations:
Net investment income		0.55	#		0.61	#		0.57	#		0.72	†#		0.76	†#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, and written options		(0.24	)		(0.36	)		0.83			(0.63	)†		(0.31	)†
Total from Investment Operations		0.31			0.25			1.40			0.09			0.45
Less Distributions:
Dividends from net investment income		(0.56	)		(0.60	)		(0.61	)		(0.72	)		(0.75	)
Distributions from net capital gains		—			—			—			(0.04	)		(0.10	)
Total Distributions		(0.56	)		(0.60	)		(0.61	)		(0.76	)		(0.85	)
Net Asset Value, End of Year	$	9.46		$	9.71		$	10.06		$	9.27		$	9.94
Total Return		3.25	%		2.64	%		15.51	%		1.11	%		4.51	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	965,577		$	839,828		$	899,263		$	944,471		$	1,106,907
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.46	%		0.46	%		0.46	%		0.46	%		0.47	%
After expense waivers and reimbursements		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.69	%		6.22	%		5.81	%		7.63	%		7.37	%†
After expense waivers and reimbursements		5.71	%		6.24	%		5.83	%		7.65	%		7.40	%†
Portfolio Turnover Rate		174	%		180	%		165	%		90	%		78	%

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income increased and net realized and unrealized loss increased by $0.01 per share for the fiscal year ended March 31, 2002. The impact due to this reclassification was less than $.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

72

Metropolitan West Funds

Financial Highlights

	High Yield Bond Fund*
	Class M			Class M			Class M			Class M
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Period Ended March 31, 2003
Net Asset Value, Beginning of Period	$	11.42		$	12.50		$	11.38		$	10.00
Income from Investment Operations:
Net investment income		0.81	#		0.99	#		0.93	#		0.47	†#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options, and securities sold short		(0.20	)		(0.06	)		1.50			1.38	†
Total from Investment Operations		0.61			0.93			2.43			1.85
Less Distributions:
Dividends from net investment income		(0.82	)		(0.98	)		(0.92	)		(0.47	)
Distributions from net capital gains		(0.32	)		(1.04	)		(0.39	)		—
Total Distributions		(1.14	)		(2.02	)		(1.31	)		(0.47	)
Redemption fees added to paid in capital (Note 7)		0.003			0.01			0.003			0.003
Net Asset Value, End of Period	$	10.89		$	11.42		$	12.50		$	11.38
Total Return		5.59	%		7.84	%		21.99	%		18.79	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	41,037		$	25,094		$	49,917		$	48,996
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.10	%		1.15	%		1.09	%		1.20	%1
After expense waivers and reimbursements		0.80	%		0.80	%		0.80	%		0.80	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		6.95	%		7.79	%4		7.22	%4		8.90	%1†
After expense waivers and reimbursements		7.25	%		8.14	%4		7.51	%4		9.30	%1†
Portfolio Turnover Rate		111	%		167	%		268	%		200	%2

* The High Yield Bond Fund Class M shares commenced operations on September 30, 2002.

¹ Annualized

² Non-annualized

³ Amount is less than 0.01.

⁴ Prior years’ data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.19% and 7.78%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.48% and 8.13%, respectively.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2003.

See accompanying notes to financial statements.

73

Metropolitan West Funds

Financial Highlights

	High Yield Bond Fund*
	Class I			Class I			Class I
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	11.43		$	12.51		$	11.38
Income from Investment Operations:
Net investment income		0.84	#		1.02	#		0.98	#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options, and securities sold short		(0.21	)		(0.06	)		1.49
Total from Investment Operations		0.63			0.96			2.47
Less Distributions:
Dividends from net investment income		(0.84	)		(1.01	)		(0.95	)
Distributions from net capital gains		(0.32	)		(1.04	)		(0.39	)
Total Distributions		(1.16	)		(2.05	)		(1.34	)
Redemption fees added to paid in capital (Note 7)		0.001			0.01			0.001
Net Asset Value, End of Year	$	10.90		$	11.43		$	12.51
Total Return		5.86	%		8.12	%		22.35	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	32,058		$	29,735		$	19,129
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.85	%		0.90	%		0.84	%
After expense waivers and reimbursements		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		7.19	%		8.09	%2		7.58	%2
After expense waivers and reimbursements		7.49	%		8.44	%2		7.87	%2
Portfolio Turnover Rate		111	%		167	%		268	%

* The High Yield Bond Fund Class I shares commenced operations on March 31, 2003.

¹ Amount is less than 0.01.

² Prior years’ data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.57% and 8.08%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.86% and 8.43%, respectively.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

74

Metropolitan West Funds

Financial Highlights

	Strategic Income Fund*
	Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
	Class M			Class M			Class M
Net Asset Value, Beginning of Period	$	11.22		$	11.27		$	10.00
Income from Investment Operations:
Net investment income		0.55	#		0.38	#3		0.29	#3
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options, and securities sold short		(0.11	)		0.07			1.32
Total from Investment Operations		0.44			0.45			1.61
Less Distributions:
Dividends from net investment income		(0.57	)		(0.39	)		(0.33	)
Distributions from net capital gains		(0.02	)		(0.11	)		(0.01	)
Total Distributions		(0.59	)		(0.50	)		(0.34	)
Net Asset Value, End of Period	$	11.07		$	11.22		$	11.27
Total Return		4.04	%		3.81	%		16.27	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	86,288		$	102,232		$	96,802
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.91	%		2.22	%		2.62	%1
After expense waivers and reimbursements		1.91	%		2.22	%		2.35	%1
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.94	%		3.40	%3		3.18	%1,3
After expense waivers and reimbursements		4.94	%		3.40	%3		3.45	%1,3
Portfolio Turnover Rate		44	%		114	%		96	%2

* The Strategic Income Fund Class M Shares commenced operations on June 30, 2003.

¹ Annualized

² Non-annualized

³ Prior years’ data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amounts prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were $0.28 and $0.37, respectively. The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.10% and 3.27%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.37% and 3.27%, respectively.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

75

Metropolitan West Funds

Financial Highlights

	Strategic Income Fund*
	Year Ended March 31, 2006			Year Ended March 31, 2005
	Class I			Class I
Net Asset Value, Beginning of Year	$	11.22		$	11.27
Income from Investment Operations:
Net investment income		0.59	#		0.45	#1
Net realized and unrealized (loss) on investments, futures contracts, swap contracts, written options, and securities sold short		(0.12	)		(0.02	)
Total from Investment Operations		0.47			0.43
Less Distributions:
Dividends from net investment income		(0.60	)		(0.37	)
Distributions from net capital gains		(0.02	)		(0.11	)
Total Distributions		(0.62	)		(0.48	)
Net Asset Value, End of Year	$	11.07		$	11.22
Total Return		4.30	%		4.07	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	121,108		$	92,667
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.62	%		1.98	%
After expense waivers and reimbursements		1.62	%		1.96	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.27	%		3.86	%1
After expense waivers and reimbursements		5.27	%		3.88	%1
Portfolio Turnover Rate		44	%		114	%

* The Strategic Income Fund Class I Shares commenced operations on March 31, 2004.

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amount prior to this reclassification for the fiscal year ended March 31, 2005 was $0.42. The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.71%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.73%.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

See accompanying notes to financial statements.

76

Metropolitan West Funds

Financial Highlights

	AlphaTrakSM 500 Fund
	Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004			Year Ended March 31, 2003			Year Ended March 31, 2002
Net Asset Value, Beginning of Year	$	7.61		$	7.33		$	5.49		$	8.20		$	8.47
Income from Investment Operations:
Net investment income		0.36	#		0.25	#1		0.22	#		0.32	†#		0.48	†#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, and written options		0.56			0.27			1.85			(2.61	)†		(0.27	)†
Total from Investment Operations		0.92			0.52			2.07			(2.29	)		0.21
Less Distributions:
Dividends from net investment income		(0.39	)		(0.24	)		(0.23	)		(0.42	)		(0.48	)
Total Distributions		(0.39	)		(0.24	)		(0.23	)		(0.42	)		(0.48	)
Net Asset Value, End of Year	$	8.14		$	7.61		$	7.33		$	5.49		$	8.20
Total Return		12.33	%		7.15	%		38.16	%		(28.35	)%		2.66	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	156,418		$	133,325		$	107,551		$	88,353		$	86,749
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.36	%		0.52	%		0.88	%		0.55	%		0.89	%
After expense waivers and reimbursements		0.36	%		0.52	%		0.88	%		0.55	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.54	%		3.41	%1		3.25	%		5.10	%†		5.70	%†
After expense waivers and reimbursements		4.54	%		3.41	%1		3.25	%		5.10	%†		5.79	%†
Portfolio Turnover Rate		64	%		72	%		67	%		72	%		23	%

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amount prior to this reclassification for the fiscal year ended March 31, 2005 was $0.24. The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.23%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.23%.

# Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period.

^† Prior years’ data updated due to reclassification of paydown from capital gain/(loss) to net investment income. Due to this reclassification, net investment income decreased and net realized and unrealized loss decreased by $0.01 per share for the fiscal year ended March 31, 2003. The impact due to this reclassification was less than $0.005 per share for the fiscal year ended March 31, 2002.

See accompanying notes to financial statements.

77

Metropolitan West Funds

Notes to Financial Statements

March 31, 2006

1. SUMMARY OF ORGANIZATION

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware business trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended. Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan West AlphaTrak^SM 500 Fund (the “AlphaTrak^SM 500 Fund”). The Total Return Bond Fund and Low Duration Bond Fund commenced investment operations on March 31, 1997. Effective March 31, 2000, the Low Duration Bond Fund and the Total Return Bond Fund offered two classes of shares: Class M (existing shares) and Class I shares. The AlphaTrak^SM 500 Fund commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 30, 2004.

The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.

The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.

The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a portfolio of high yield fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This fund uses strategies intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector and issue-specific dislocations.

The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund.

The AlphaTrak^SM 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (“S&P 500 Index”). The Fund invests in S&P 500 Index futures contracts and swaps backed by a diversified

78

Notes to Financial Statements (continued)

portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

A more complete description of the objectives and strategies of each of the Funds can be found in the prospectus and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.

2. 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 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. 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 no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on 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.

Distributions to Shareholders:

The Funds (except the AlphaTrak^SM 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak^SM 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board of Trustees may determine to declare dividends and make distributions more or less frequently.

79

Notes to Financial Statements (continued)

Federal Income Taxation:

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no Federal income tax provision is required.

Dividends and other distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These differences are due primarily to timing differences and differing characterization of distributions made by a Fund.

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.

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and similar United States Government sponsored entities such as Federal National Mortgage Association (“Fannie Mae”), Government National Mortgage Association (“Ginnie Mae”) and Federal Home Loan Banks (“FHLB”). Freddie Mac, Fannie Mae, Ginnie Mae and FHLB’s, although chartered and sponsored by Congress, are not funded by Congressional appropriations and the debt and mortgaged-backed securities issued by Freddie Mac, Fannie Mae, Ginnie Mae and FHLB’s are neither guaranteed nor insured by the United States Government.

The Funds may also invest in Collateralized Mortgage Obligations (“CMO”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by GNMA, FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2006, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Trustees. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

80

Notes to Financial Statements (continued)

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.)

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires. The statement of operations reflects net realized and net unrealized gains and losses on these contracts.

In addition to the securities listed above, the AlphaTrak^SM 500 Fund may invest in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may invest in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index. A swap contract may not be assigned without the consent of the counter-party (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counter-party.

In addition to, the Funds may enter into credit default swap agreements. The “buyer” in a credit default contract is obligated to pay the “seller” a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the “par value” (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in the transaction. If the fund is a buyer and no event of default occurs, the fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic

81

Notes to Financial Statements (continued)

payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counter-party risk and credit risk.

The Funds may also enter into total return swap agreements. Total Return Swap is the generic name for any non- traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The Total Return Swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The Total Return Swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total Return Swaps can be designed with any underlying asset agreed between two parties. No notional amounts are exchanged with Total Return Swaps.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2006, the Funds had outstanding swap agreements as listed in the Funds’ Portfolio of Investments. Swap transactions present risk of loss in excess of the related amounts in the Statement of Assets and Liabilities.

As a result of a recent FASB Emerging Issues Task Force consensus and subsequent SEC staff guidance, the Fund’s have reclassified periodic payments made under all swap agreements, previously included within interest income, as a component of realized gain/(loss) in the Statement of Operations. For consistency, similar reclassifications have been made to amounts appearing in the previous year’s Statement of Changes in Net Assets and the per share amounts in the Financial Highlights. Prior year net investment income ratios in the Financial Highlights have also been modified accordingly. The reclassification had no effect on the Fund’s net asset value, either in total or per share, or its total increase/(decrease) in net assets from operations during any period.

4. SECURITIES TRANSACTIONS

Investment transactions for the fiscal year ended March 31, 2006, excluding U.S. Government and short-term investments, were as follows:

	Purchases		Sales
Ultra Short Bond Fund	$	216,442,940	$	34,401,473
Low Duration Bond Fund		654,018,478		243,554,142
Intermediate Bond Fund		34,803,100		25,687,956
Total Return Bond Fund		1,211,083,808		998,055,833
High Yield Bond Fund		83,066,943		61,213,094
Strategic Income Fund		139,565,676		67,325,547
AlphaTrakSM 500 Fund		133,916,968		64,083,585

Investment transactions in U.S. Government securities for the fiscal year ended March 31, 2006 were as follows:

	Purchases		Sales
Low Duration Bond Fund	$	402,036,382	$	396,529,179
Intermediate Bond Fund		56,010,821		35,036,094
Total Return Bond Fund		1,489,130,973		1,282,528,000
High Yield Bond Fund		1,591,224		1,589,875
AlphaTrakSM 500 Fund		696,762		1,354,209

82

Notes to Financial Statements (continued)

Transactions in option contracts written for the fiscal year ended March 31, 2006 were as follows:

	Ultra Short Bond Fund				Low Duration Bond Fund				Intermediate Bond Fund
	Contracts		Premium		Contracts		Premium		Contracts		Premium
Outstanding at March 31, 2005	3,703		$	—	10,097		$	—	756		$	—
Options expired during period	(3,703	)		—	(10,097	)		—	(756	)		—
Outstanding at March 31, 2006	—		$	—	—		$	—	—		$	—

	Total Return Bond Fund					Strategic Income Fund					AlphaTrakSM 500 Fund
	Contracts		Premium			Contracts		Premium			Contracts		Premium
Outstanding at March 31, 2005	28,256		$	—		301		$	22,837		2,188		$	—
Option written during period	57			74,542		7,740			633,529		—			—
Option exercised during period	—			—		(301	)		(22,837	)	(2,188	)		—
Options expired during period	(28,313	)		(74,542	)	—			—		—			—
Options closed during period	—			—		(3,235	)		(394,553	)	—			—
Outstanding at March 31, 2006	—		$	—		4,505		$	238,976		—		$	—

5. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak^SM 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak^SM 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index plus a margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 0.16% resulting in $267,921 of total management fees for the fiscal year ended March 31, 2006. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 month U.S. Treasury Bill Index plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.24% resulting in $2,973,021 of total management fees for the fiscal year ended March 31, 2006. The Strategic Income Fund is obliged to repay the Adviser for a period of three fiscal years following the fiscal year in which the Adviser reimbursed the Fund only to the extent that the operating expenses of the Fund fall below the stated expense limitations.

The Adviser has agreed in an Operating Expenses Agreement with the Trust to limit each Fund’s expenses as described in the table below. The Operating Expenses Agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak^SM 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s “other expenses” as described in the Prospectus, are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (“other expenses” with respect to the AlphaTrak^SM 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (“other expenses” with respect to the AlphaTrak^SM 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the Independent Trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the current fiscal year. Investment advisory fees and related voluntary expense limitations for the fiscal year ended March 31, 2006, were as follows:

83

Notes to Financial Statements (continued)

	Investment Advisory Fee Rate		Voluntary Expense Limitation
	Class M	Class I	Class M	Class I
Ultra Short Bond Fund	0.25%	0.25%	0.50%	0.34%
Low Duration Bond Fund	0.30	0.30	0.58	0.39
Intermediate Bond Fund	0.35	0.35	0.65	0.44
Total Return Bond Fund	0.35	0.35	0.65	0.44
High Yield Bond Fund	0.50	0.50	0.80	0.55
Strategic Income Fund	0.50 - 1.90	0.50 - 1.90	0.95 - 2.35	.70 - 2.10
AlphaTrakSM 500 Fund	0.00 - 0.70	0.00 - 0.70	0.20 - 0.90	0.20 - 0.90

For the fiscal year ended March 31, 2006, the Adviser recouped $39,514 of waived or reimbursed expenses for the Strategic Income Fund.

At March 31, 2006, the balance of recoupable expenses with expiration dates for the Fund’s were as follows:

	2007		2008		2009		Total
Ultra Short Bond Fund	$	75,398	$	227,203	$	206,505	$	509,106
Low Duration Bond Fund		290,329		221,508		177,911		689,748
Intermediate Bond Fund		118,477		144,878		147,159		410,514
Total Return Bond Fund		353,975		284,745		256,059		894,779
High Yield Bond Fund		325,272		186,455		182,919		694,646
Strategic Income Fund		2,864		13,363		—		16,227

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the Independent Trustees receives an annual retainer of $6,000 and $3,000 for each meeting of the Board of Trustees attended. The Trust has an unfunded, non-qualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board of Trustees, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments.

6. SHARE MARKETING (12b-1) Plan

The Trust has a Share Marketing Plan (or “the Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to AlphaTrak^SM 500 Fund, and Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, and the Strategic Income Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays PFPC Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the fiscal year ended March 31, 2006. The AlphaTrakSM 500 Fund is currently not incurring Rule 12b-1 fees.

84

Notes to Financial Statements (continued)

7. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:

	Ultra Short Bond Fund
	Class M		Class M		Class I		Class I*
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Period Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	34,434,550		28,214,896		9,762,417		—
Shares sold	35,417,283		41,879,901		20,543,980		21,327,612
Shares issued through reinvestment of dividends	1,573,746		923,424		560,579		166,908
Shares redeemed	(32,036,241	)	(36,583,671	)	(17,797,611	)	(11,732,103	)
Net increase in fund shares	4,954,788		6,219,654		3,306,948		9,762,417
Shares outstanding at end of period	39,389,338		34,434,550		13,069,365		9,762,417
	Low Duration Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	34,642,071		35,154,159		34,106,697		23,327,361
Shares sold	14,969,340		14,380,428		28,347,848		18,316,972
Shares issued through reinvestment of dividends	1,387,558		1,227,216		1,669,664		903,777
Shares redeemed	(15,159,405	)	(16,119,732	)	(12,057,959	)	(8,441,413	)
Net increase/(decrease) in fund shares	1,197,493		(512,088	)	17,959,553		10,779,336
Shares outstanding at end of period	35,839,564		34,642,071		52,066,250		34,106,697
	Intermediate Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	15,008		7,024		4,459,564		3,708,508
Shares sold	909,988		9,273		1,093,572		1,076,698
Shares issued through reinvestment of dividends	25,135		665		261,300		257,886
Shares redeemed	(34,794	)	(1,954	)	(175,329	)	(583,528	)
Net increase in fund shares	900,329		7,984		1,179,543		751,056
Shares outstanding at end of period	915,337		15,008		5,639,107		4,459,564

85

Notes to Financial Statements (continued)

	Total Return Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	47,783,776		49,509,294		86,530,352		89,366,290
Shares sold	23,230,813		12,816,130		21,055,367		11,994,941
Shares issued through reinvestment of dividends	2,668,040		2,696,820		5,005,209		4,984,983
Shares redeemed	(14,934,249	)	(17,238,468	)	(10,514,795	)	(19,815,862	)
Net increase/(decrease) in fund shares	10,964,604		(1,725,518	)	15,545,781		(2,835,938	)
Shares outstanding at end of period	58,748,380		47,783,776		102,076,133		86,530,352
	High Yield Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	2,197,393		3,993,289		2,602,293		1,529,528
Shares sold	2,274,073		2,162,095		1,952,750		854,889
Shares issued through reinvestment of dividends	269,612		404,917		297,976		271,735
Shares redeemed	(973,727	)	(4,362,908	)	(1,911,135	)	(53,859	)
Net increase/(decrease) in fund shares	1,569,958		(1,795,896	)	339,591		1,072,765
Shares outstanding at end of period	3,767,351		2,197,393		2,941,884		2,602,293
	Strategic Income Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2006		Year Ended March 31, 2005		Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period	9,114,676		8,586,557		8,261,804		—
Shares sold	3,542,568		10,277,525		8,386,601		8,741,413
Shares issued through reinvestment of dividends	475,804		408,630		478,411		204,090
Shares redeemed	(5,339,345	)	(10,158,036	)	(6,187,576	)	(683,699	)
Net (decrease)/increase in fund shares	(1,320,973	)	528,119		2,677,436		8,261,804
Shares outstanding at end of period	7,793,703		9,114,676		10,939,240		8,261,804
					AlphaTrakSM 500 Fund
					Year Ended March 31, 2006		Year Ended March 31, 2005
Change in Fund shares:
Shares outstanding at beginning of period					17,523,538		17,058,513
Shares sold					5,351,332		4,420,483
Shares issued through reinvestment of dividends					800,771		503,539
Shares redeemed					(4,452,329	)	(4,458,997	)
Net increase in fund shares					1,699,774		465,025
Shares outstanding at end of period					19,223,312		17,523,538

86

Notes to Financial Statements (continued)

Redemption Fee:

The High Yield Bond Fund will charge a 1.00% redemption fee when shares are redeemed (either by selling or by exchanging into another fund) within 6 months of purchase. The redemption fee will be assessed on the net asset value of the shares redeemed or exchanged, will be withheld from the redemption proceeds and paid directly to the Fund.

8. LINE OF CREDIT

The Funds have access to an unsecured line of credit up to $25,000,000 from the custodian for temporary borrowing purposes. Borrowings under this arrangement bear interest at 0.50% above the Federal Funds rate on outstanding balances. There were no borrowings from the line of credit during the fiscal year ended March 31, 2006.

9. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2006, the following Funds had available for Federal income tax purposes unused capital losses as follows:

Fund	Expiring in 2010		Expiring in 2011		Expiring in 2013		Expiring in 2014
Low Duration Bond Fund	$	6,637,930	$	1,278,315		—	$	27,643,786
Intermediate Bond Fund		—		—		—		215,711
Total Return Bond Fund		—		19,394,108	$	206,379		54,757,733
High Yield Bond Fund		—		—		—		315,402
Strategic Income Fund		—		—		—		1,558,059
AlphaTrakSM 500 Fund		—		10,363,532		—		—

For the year ended March 31, 2006, the Ultra Short Bond Fund and Alpha Trak^SM 500 Fund utilized net federal tax capital loss carryforwards of $16,584 and $6,442,563, 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, 2006, the following Funds had post October losses.

Fund

Ultra Short Bond Fund	$	17,698
Low Duration Bond Fund		3,141,195
Intermediate Bond Fund		263,577
Total Return Bond Fund		32,747,399
Strategic Income Fund		598,728

Tax Basis of Distributable Income:

As of March 31, 2006, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Undistributed ordinary income/(loss) (inclusive of short-term gains)	$	22,958		$	178,958		$	2,313		$	451,503
Undistributed long-term gains		934			—			—			—
Accumulated capital loss carryforwards and
Post-October losses		(17,698	)		(38,701,226	)		(479,288	)		(107,105,619	)
Net unrealized (depreciation)/appreciation		(2,610,090	)		(21,225,011	)		(1,664,875	)		(44,833,259	)
Dividends payable		(12,115	)		(178,236	)		(773	)		(410,943	)
Total accumulated earnings/(losses)	$	(2,616,011	)	$	(59,925,515	)	$	(2,142,623	)	$	(151,898,318	)

87

Notes to Financial Statements (continued)

	High Yield Bond Fund			Strategic Income Fund			AlphaTrakSM 500 Fund
Undistributed ordinary income/(loss) (inclusive of short-term capital gains)	$	22,384		$	2,046,318		$	2,790,989
Accumulated capital loss carryforwards and
Post-October losses		(315,402	)		(2,156,787	)		(10,363,532	)
Net unrealized (depreciation)/appreciation		(290,013	)		(2,503,283	)		(1,472,752	)
Dividends payable		(20,353	)		(14,033	)		(120,227	)
Total accumulated earnings/(losses)	$	(603,384	)	$	(2,627,785	)	$	(9,165,522	)

Tax Basis of Distributions to Shareholders:

As of March 31, 2006, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

	Ultra Short Bond Fund				Low Duration Bond Fund
	March 31, 2006		March 31, 2005		March 31, 2006		March 31, 2005
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	11,136,852	$	5,828,390	$	31,019,723	$	22,061,105
Net long-term capital gains		18,942		—		—		—
Total taxable distributions	$	11,155,794	$	5,828,390	$	31,019,723	$	22,061,105
	Intermediate Bond Fund				Total Return Bond Fund
	March 31, 2006		March 31, 2005		March 31, 2006		March 31, 2005
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	2,839,837	$	2,387,661	$	78,500,518	$	78,976,171
Net long-term capital gains		115,437		323,232		—		—
Total taxable distributions	$	2,955,274	$	2,710,893	$	78,500,518	$	78,976,171
	High Yield Bond Fund				Strategic Income Fund
	March 31, 2006		March 31, 2005		March 31, 2006		March 31, 2005
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	5,862,909	$	7,841,702	$	10,908,144	$	7,304,918
Net long-term capital gains		764,674		733,505		314,450		33,059
Total taxable distributions	$	6,627,603	$	8,575,207	$	11,222,594	$	7,337,977
					AlphaTrakSM 500 Fund
					March 31, 2006		March 31, 2005
Distributions from:
Ordinary income (inclusive of short-term capital gains)					$	6,998,842	$	4,239,295
Net long-term capital gains						—		—
Total taxable distributions					$	6,998,842	$	4,239,295

88

Notes to Financial Statements (continued)

Permanent differences incurred during the fiscal year ended March 31, 2006, resulting from differences in book and tax accounting have been reclassified at year end as follows:

Fund	Increase/(Decrease) Paid-in-Capital			Increase/(Decrease) Accumulated Net Investment Income/(Loss)			Increase/(Decrease) Accumulated Net Realized Gain/(Loss)
Ultra Short Bond Fund	$	—		$	84,363		$	(84,363	)
Low Duration Bond Fund		—			28,062			(28,062	)
Intermediate Bond Fund		—			2,425			(2,425	)
Total Return Bond Fund		(1	)		162,438			(162,437	)
High Yield Bond Fund		6			(70,957	)		70,951
Strategic Income Fund		—			1,605,737			(1,605,737	)
AlphaTrakSM 500 Fund		—			1,788,942			(1,788,942	)

10. INDEMNIFICATIONS

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

89

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of the Metropolitan West Funds:

We have audited the accompanying statements of assets and liabilities of the Metropolitan West Funds (the “Trust”), consisting of the Metropolitan West Ultra Short Bond Fund (“Ultra Short”), the Metropolitan West Low Duration Bond Fund (“Low Duration”), the Metropolitan West Intermediate Bond Fund (“Intermediate”), the Metropolitan West Total Return Bond Fund (“Total Return”), the Metropolitan West High Yield Bond Fund (“High Yield”), and the AlphaTrak 500 Fund (“AlphaTrak”) (collectively, the “Funds”), including the schedules of portfolio investments, as of March 31, 2006 and the related statements of operations for the year then ended, the statements of changes in net assets and financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2006, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of the Funds as of March 31, 2006, the results of their operations, the changes in their net assets, and their financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Philadelphia, Pennsylvania

May 26, 2006

90

Metropolitan West Funds

Tax Information Notice

(Unaudited)

LONG-TERM CAPITAL GAINS

For the fiscal year ended March 31, 2006 the amounts of long-term capital gains paid are as follows:

Metropolitan West Ultra Short Bond Fund	$	0.000312/share
Metropolitan West Intermediate Bond Fund		0.018153/share
Metropolitan West High Yield Bond Fund		0.119495/share
Metropolitan West Strategic Income Fund		0.018658/share

Metropolitan West Funds

Privacy Notice

The Fund collects nonpublic information about you from the following sources:

• Information we receive about you on applications or other forms;

• Information you may give us orally;

• Information about your transactions with us or others;

• Information you submit to us in correspondence, including emails; and

• Information about any bank account you use for transfers between your bank account and any custodial account, including information provided when effecting wire transfers.

We do not disclose any nonpublic personal information about our customers or former customers without the customer’s authorization, except as permitted by law or in response to inquires from governmental authorities. We shall limit access to your personal account information to those agents of the Fund who need to know that information to provide products and services to you. We also may disclose that information to unaffiliated third parties (such as to brokers or custodians) only as permitted by law and only as needed for us to provide agreed services to you. We maintain safeguards to guard your nonpublic personal information.

If, at any time in the future, it is necessary to disclose any of your personal information in a way that is inconsistent with this policy, we will give you advance notice of the proposed change so that you will have the opportunity to opt out of such disclosure.

91

MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. You can find more information about the Trustees in the Statement of Additional Information (SAI) which is available without charge by calling (800) 241-4671.

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Independent Trustees of the Trust*
Ronald J. Consiglio† (1943)	Trustee	Indefinite term served since 2003	Mr. Consiglio has served as the Managing Partner of Synergy Trading, a securities trading partnership, since June 2001. From February 1998 to 2001, Mr. Consiglio was Executive Vice President and Chief Financial Officer of Trading Edge, Inc., a national automated bond-trading firm.	7	Natrol, Inc. (Medicinal and Botanical Products); Mannkind Corp. (Pharmaceutical Preparations).
David H. Edington† (1957)	Trustee	Indefinite term served since 2001	Mr. Edington is the founder and Managing Director of Rimrock Capital Management (previously known as Rimrock Enterprises, Inc.), an investment advisory firm which acts as investment adviser to Rimrock High Income Plus Fund, formerly known as Rimrock Trading, L.P.	7	None
Martin Luther King III† (1957)	Trustee	Indefinite term since 1997	Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. He has been engaged as an independent motivational lecturer since 1980.	7	None
Andrew Tarica† (1959)	Trustee	Indefinite term since 2002	Mr. Tarica has served as the Chief Executive Officer of Meadowbrook Capital Management, a fixed-income asset management company that also manages a fixed income hedge fund, since February of 2001. From 1993 to 1999, Mr. Tarica served as Managing Director of the High Grade Corporate Bond Department at DLJ.	7	None

92

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Daniel D. Villanueva† (1937)	Trustee	Indefinite term since 1997	Mr. Villanueva served as the Chairman and Managing Director of Bastion Capital Corporation (investments) from 1990 to 2005. As of January, 2006 he is a Partner in the firm, RC Fontis Partners. He has served as the Chairman of Integrated Water Resources since 1999.	7	Citibank-Banamex (USA); Fleetwood Enterprises, Inc. (Recreational Vehicles); Integrated Water Resources; and Juanitas Foods Corporation.
Scott Sale, MD† (1950)	Trustee	Indefinite term since 2004	Dr. Sale has had his own private medical practice as a physician since April 2004, and before then as a Locum Tenens physician from May 2002 to February 2003, the Cancer Detection Center from March 2001 to December 2002, and the Los Angeles Free Clinic from November 1999 to March 2002.	7	None
Interested Trustees**
Scott B. Dubchansky (1960)	Chairman of the Board of Trustees, President and Chief Executive Officer	Indefinite term served since 1997	Mr. Dubchansky has served as the Chief Executive Officer (CEO) of the Adviser since August 1996. Since June 2004, he also is the CEO and Chief Compliance Officer of West Gate Advisors, LLC, an investment adviser affiliate of the Adviser. Mr. Dubchansky began serving as CEO of MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser, in June 2004.	7	West Gate Strategic Income Fund I Master Fund, Ltd. West Gate Long-Short Credit Fund I Master Fund, Ltd. West Gate Multi-Strategy Fund, Ltd. West Gate Leveraged Loan Master Fund, LP
Keith T. Holmes, JD (1952)	Trustee	Indefinite term served since 1997	Mr. Holmes has been a partner of the law firm King, Holmes, Paterno & Berliner since 1992. Mr. Holmes practices corporate finance and real estate law. Mr. Holmes’ firm has performed legal services for the Adviser and its affiliates.	7	None

93

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Officers of the Trust who are not Trustees
Joseph D. Hattesohl (1963)	Treasurer since 2000 and Chief Financial Officer since 2003	Indefinite term served since 2000	Mr. Hattesohl has served as the Chief Financial Officer (CFO) of the Adviser since November 2000. From February 1995 through November 2000, Mr. Hattesohl was a Vice President of (PIMCO). Since June 2004, he also serves as CFO of West Gate Advisors, LLC, an investment adviser affiliate of the Adviser, and President of MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser.	N/A	N/A
Keith T. Kirk (1963)	Chief Compliance Officer and Secretary	Indefinite Term served since 2004 and 2006, respectively	Presently, Mr. Kirk is the Chief Compliance Officer for the Adviser and MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser. He has worked for the Adviser since 2003. From 1998 through 2002, Mr. Kirk served as Vice President of Compliance for Montgomery Asset Management, LLC. As a Naval Reservist, Mr. Kirk was recalled to active duty in 2002 and 2003.	N/A	N/A

*     Denotes a Trustee who is not an “interested” person of the Fund as defined in the 1940 Act.

**   Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser.

*** For purposes of trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 11766 Wilshire Boulevard, Suite     1580, Los Angeles, CA 90025.

^† Denotes the Trustee is a member of the Audit committee.

94

Board of Trustees

Scott B. Dubchansky

David H. Edington

Keith T. Holmes

Martin Luther King III

Daniel D. Villanueva

Andrew Tarica

Ronald J. Consiglio

Scott Sale

Officers

Scott B. Dubchansky

Chairman of the Board, President, and

Chief Executive Officer

Joseph D. Hattesohl

Treasurer and Chief Financial Officer

Keith T. Kirk

Chief Compliance Officer and Secretary

Adviser:	Independent Registered Public Accounting Firm:
Metropolitan West Asset Management, LLC	Deloitte & Touche LLP
11766 Wilshire Boulevard, Suite 1580	1700 Market Street
Los Angeles, CA 90025	Philadelphia, PA 19103
Custodian:	Distributor:
The Bank of New York	PFPC Distributors, Inc.
One Wall Street	760 Moore Road
New York, NY 10286	King of Prussia, PA 19406
Transfer Agent:	Legal Counsel:
PFPC Inc.	Paul, Hastings, Janofsky & Walker LLP
760 Moore Road	55 Second Street, 24th Floor
King of Prussia, PA 19406	San Francisco, CA 94105-3441

For Additional Information about the

Metropolitan West Funds call:

(310) 966-8900 or

(800) 241-4671 (toll-free)

A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30, 2005 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

METAR2006

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(b) N/A

(c) The code of ethics previously required that reports of violations of the code of ethics be made to the principal executive officer, a functional equivalent to the principal executive officer or the Trust’s legal counsel. At its regularly scheduled meeting on May 16, 2005, the Board retained that reporting provision and approved amendments to the code of ethics to require the Principal Executive Officer (or equivalent) to summarize any such reports for the Board of Trustees each quarter, including indicating that no such reports were made during the quarter.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $141,000 in 2006 and $141,000 in 2005.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the

registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2006 and $0 in 2005.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $22,225 for 2006 and $21,500 for 2005.

Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns (Form 1120-RIC and Form 100 CA) and year end Excise Tax review.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2006 and $0 in 2005.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was None in 2006.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $538,250 in 2006 and $186,750 in 2005.

Fees represent audit and other related audit services provided to the Adviser, its Affiliates and its Subsidiaries.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Schedule of Investments.

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

Item 11. Controls and Procedures.

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

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a	)(1)	Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a	)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a	)(3)	Not applicable.
(b	)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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

(registrant)	Metropolitan West Funds
By (Signature and Title)*	/s/ Scott B. Dubchansky
	Scott B. Dubchansky, Chairman and President
	(principal executive officer)

Date June 8, 2006

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 June 8, 2006

By (Signature and Title)*	/s/ Joseph D. Hattesohl
	Joseph D. Hattesohl, Treasurer
	(principal financial officer)

Date June 8, 2006

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