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: September 30, 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

SEMI-ANNUAL REPORT

(UNAUDITED)

September 30, 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 Semi-Annual Report for the Funds, including the following:

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

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

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

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

Metropolitan West Alpha Trak^SM 500 Fund (MWATX)

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

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

Market Environment and Review

Scanning the third quarter capital market returns it was hard not to notice that while the Treasury market was building in expectations for a substantial easing by the Fed over the next twelve months due to an apparently faltering housing sector, the S&P 500 was posting its best quarterly return – 5.6% – since 2004. Among corporate bonds and mortgages, index spreads held up well even as the 10-Year US Treasury rallied to 4.54% on September 25 (from 5.25% on June 25). Early in the third quarter, we attributed the sentiment in the bond market to a precipitous fall in home sales and a corresponding spike in unsold inventory, and little occurred in September to recast that perspective. On the contrary, a final and downward revision to second quarter GDP growth to 2.6% from 2.9% offered a foreshadowing (“Buy!!”) signal to many in the fixed income markets. Not surprisingly, the economic punditry largely tripped over one another to reduce growth forecasts in the quarters ahead. The Fed, meanwhile, continues to acknowledge the slowing pace, but has jawboned sufficiently about ongoing inflationary risks to keep market guessing as to whether it next eases, hikes or just spends a stretch on the sidelines. A respite from soaring oil prices – down 25% from July and August highs – provides some optimism that the general price pressures can be contained without additional tightening (at least in the short-term).

Bond market returns were aided by the Treasury rally, with the Lehman Brothers Aggregate Index returning 3.8% during the third quarter. With yield spreads holding, the LB U.S. Corporate Index gained 4.5%, the distribution of which was fairly uniform across the quality sectors, including high yield. Only the deepest down-quality cohort (C-D) betrayed some measure of concern about valuations, with consequential spread widening and a loss of 1.1% for the quarter. (Before too much sympathy gets wasted there, however, bear in mind that down-quality returns have paced the market this year with CCC quality bonds up 11% and C or D quality bonds advancing more than 18%, against a broad high yield market return of around 7%.) All told, the corporate, especially high yield, market remains largely undiscriminating and blissfully/naively ignorant of risks.

Following a surprising increase to volatility in June, placidity returned to the markets in the third quarter, as various risk measures decreased steadily from mid-July to quarter-end. This sentiment, aided no doubt by falling energy prices, propelled the stock market rally, while encouraging steadiness to relatively narrow spreads across the fixed income markets. At the short end of the curve, the 3-Month US Treasury Bill Index returned 1.3%, the first time since early 2001 that the risk-free bellwether has seen 5% annual pace to its return over an entire quarter.

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

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Fund Results

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	4.01	%	4.32	%	5.26	%	4.89	%	7.08	%
Lehman Bros. Aggregate Index	3.72	%	3.67	%	3.38	%	4.81	%	6.50	%
MWTIX (Inception: March 31, 2000)	4.12	%	4.53	%	5.48	%	5.13	%	6.63	%
Lehman Bros. Aggregate Index	3.72	%	3.67	%	3.38	%	4.81	%	6.40	%

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	3.41	%	3.90	%	3.76	%	3.81	%
Lehman Bros. Intermediate Gov’t. Credit Index	3.41	%	3.54	%	2.55	%	2.35	%
MWIIX (Inception: June 28, 2002)	3.41	%	4.01	%	3.94	%	6.69	%
Lehman Bros. Intermediate Gov’t. Credit Index	3.41	%	3.54	%	2.55	%	4.29	%

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)	2.89	%	4.67	%	3.79	%	3.17	%	5.26	%
Merrill Lynch 1-3 Year U.S. Treasury Index	2.62	%	3.73	%	1.91	%	2.79	%	4.76	%
MWLIX (Inception: March 31, 2000)	2.99	%	4.86	%	3.99	%	3.34	%	4.60	%
Merrill Lynch 1-3 Year U.S. Treasury Index	2.62	%	3.73	%	1.91	%	2.79	%	4.31	%

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	3.25	%	6.28	%	7.98	%	14.26	%
Lehman Bros. High Yield Index	4.34	%	8.09	%	9.08	%	13.96	%
MWHIX (Inception: March 31, 2003)	3.38	%	6.54	%	8.21	%	11.12	%
Lehman Bros. High Yield Index	4.34	%	8.09	%	9.08	%	11.60	%

Metropolitan West AlphaTrak^SM 500 Fund (MWATX)

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	4.41	%	11.46	%	13.06	%	6.91	%	4.23	%
Standard & Poor’s 500® Equity Index	3.95	%	10.61	%	12.23	%	6.94	%	3.54	%

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.

2

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)	2.74	%	4.81	%	6.11	%	8.14	%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	3.52	%	6.58	%	4.78	%	4.65	%
MWSIX (Inception: March 31, 2004)	2.87	%	5.07	%	—		4.51	%
Merrill Lynch 3-Month U.S. Treasury Index + 2%	3.52	%	6.58	%	—		5.14	%

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

	Performance Through September 30, 2006
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)	2.77	%	4.36	%	4.26	%	4.67	%
Merrill Lynch 1-Year U.S. Treasury Index	2.39	%	4.03	%	2.12	%	2.05	%
MWUIX (Inception: July 31, 2004)	3.26	%	4.94	%	—		3.87	%
Merrill Lynch 1-Year U.S. Treasury Index	2.39	%	4.03	%	—		2.64	%

The Market Ahead

Looking ahead, MWAM is certainly not a late arrival to the slowing growth camp – 17 straight hikes by the Fed, we surmised, might have some effect on the economic pace – as we have expected GDP growth to ease into a 2% to 2.5% range for a while. Inflationary pressures, while still at the high end of the Fed’s comfort zone, should subside, as the effects of a housing slowdown integrate throughout the economy. Signs of strength persist, for instance, employment continues to be buoyant and thus we discount the prospect of a slowdown turning recessionary.

Specific to the strategy across the Funds, not much has changed over the past six months and thematic emphasis remains consistent over the past several quarters. The summertime rally at the short end of the US Treasury yield curve has been overdone in our view and has warranted a tactical duration shortening in the Funds to mitigate interest rate risk. With the yield curve maintaining its flat to inverted shape – the Funds are positioned to capitalize on a normalization to historical steepness. The likely reemergence of volatility (a matter of when, not if) across the capital markets should serve to increase opportunities for the Funds, as risk is repriced.

Expectations are that consumer debt, mortgages primarily, will experience heightened pressures as resets come about on adjustable rate loans made over the past several years. Looking to capitalize on such prospects, the Funds have maintained a highly defensive posture for its long exposure – predicated on strong credit enhancement and short payment windows –while increasingly building short exposure, in modest amounts where possible, to take advantage of prospective price declines. In particular, we hold a view that subordinated tranches of sub-prime mortgage- and asset-backed securities will face challenges – based on a view that valuations are rich and underwriting standards have been increasingly permissive as the economic cycle has aged and real estate, fueled by massive liquidity, has boomed in many areas. Commercial mortgage-backed security (CMBS) exposure has been lifted.

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.

3

Selection in corporate issues remains to be predicated on yield capture, with typical focus on good credit fundamentals, strong covenant protection as well as issues that are precluded from excessive leverage due to greater regulatory constraints and have higher seniority in the capital structure. Given the aging of the economic and credit cycles, we firmly believe that the distress-free conditions in the corporate and, especially, high yield markets cannot persist as they have, and that risk premiums will rise in accordance with a likely higher level of defaults (highly correlated in the past). Research (and intuition, of course) supports our viewpoint, as default rates climb to more than 8% in low growth environments and soar past 10% in recessionary ones (and compared to 1.9% per Moody’s as of September 30, 2006).

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,

/s/ Scott Dubchansky

Scott Dubchansky

President and Trustee

One-year returns are due in part to market conditions that might be repeated in the future. 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, including the use of derivatives. The AlphaTrak^sm 500 Fund trades futures and other derivative contracts. These Funds may not be suitable for all investors.

The views and forecasts expressed here are as of September 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 Road, King of Prussia, PA 19406.

To be preceded or accompanied by a prospectus.

4

Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended September 30, 2006 (Unaudited)

We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a 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 04/01/06		Ending Account Value 09/30/06		Expense Ratio1		Expenses Paid During Period2
Ultra Short Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,027.70	0.50	%	$	2.56
Class I	$	1,000.00	$	1,032.60	0.34	%	$	1.74
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.68	0.50	%	$	2.55
Class I	$	1,000.00	$	1,023.49	0.34	%	$	1.73
Low Duration Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,028.90	0.58	%	$	2.97
Class I	$	1,000.00	$	1,029.90	0.39	%	$	2.00
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.28	0.58	%	$	2.96
Class I	$	1,000.00	$	1,023.24	0.39	%	$	1.99

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.

5

	Beginning Account Value 04/01/06		Ending Account Value 09/30/06		Expense Ratio1		Expenses Paid During Period2
Intermediate Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,034.10	0.65	%	$	3.33
Class I	$	1,000.00	$	1,034.10	0.44	%	$	2.26
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.93	0.65	%	$	3.31
Class I	$	1,000.00	$	1,022.99	0.44	%	$	2.24
Total Return Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,040.10	0.65	%	$	3.34
Class I	$	1,000.00	$	1,041.20	0.44	%	$	2.26
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.93	0.65	%	$	3.31
Class I	$	1,000.00	$	1,022.99	0.44	%	$	2.24
High Yield Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,032.50	0.80	%	$	4.10
Class I	$	1,000.00	$	1,033.80	0.55	%	$	2.82
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.17	0.80	%	$	4.07
Class I	$	1,000.00	$	1,022.43	0.55	%	$	2.80
Strategic Income Fund
Actual Fund Return
Class M	$	1,000.00	$	1,027.40	1.55	%	$	7.90
Class I	$	1,000.00	$	1,028.70	1.30	%	$	6.67
Hypothetical 5% Return
Class M	$	1,000.00	$	1,017.41	1.55	%	$	7.86
Class I	$	1,000.00	$	1,018.63	1.30	%	$	6.64
AlphaTrakSM 500 Fund
Actual Fund Return	$	1,000.00	$	1,044.10	0.56	%	$	2.89
Hypothetical 5% Return	$	1,000.00	$	1,022.37	0.56	%	$	2.86

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.

6

Metropolitan West Funds

Summary of Portfolio Holdings

September 30, 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	39.58	%
Non-Agency Mortgage-Backed	24.92	%
Asset-Backed Securities	21.88	%
Corporate Bonds	7.34	%
Other	4.35	%
Money Market Fund	1.81	%
U.S. Treasury Securities	0.09	%
U.S. Agency Discount Notes	0.03	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	0.09	%
Agency	39.84	%
AAA	35.44	%
AA	8.19	%
A	9.92	%
BBB	3.18	%
BB or below	3.34	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	18.79	%
1 year to 3 years	54.78	%
3 years to 5 years	24.21	%
5 years to 10 years	1.81	%
10 years to 20 years	0.21	%
20 years +	0.20	%
Total	100.00	%
Low Duration Bond Fund
Sector Diversification:
Corporate Bonds	21.56	%
U.S. Treasury Securities	20.73	%
Asset-Backed Securities	17.08	%
Non-Agency Mortgage-Backed	10.78	%
U.S. Agency Securities	10.67	%
U.S. Agency Mortgage-Backed	9.71	%
Other	5.67	%
Money Market Fund	2.36	%
Commercial Mortgage-Backed	1.13	%
Preferred Stock	0.23	%
U.S. Agency Discount Notes	0.08	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	20.73	%
Agency	20.46	%
AAA	24.41	%
AA	10.43	%
A	10.64	%
BBB	8.84	%
BB or below	4.49	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	23.29	%
1 year to 3 years	53.35	%
3 years to 5 years	16.37	%
5 years to 10 years	6.37	%
10 years to 20 years	0.00	%
20 years +	0.62	%
Total	100.00	%

Intermediate Bond Fund
Sector Diversification:
U.S. Treasury Securities	24.62	%
Corporate Bonds	22.58	%
U.S. Agency Mortgage-Backed	14.49	%
Asset-Backed Securities	13.07	%
Non-Agency Mortgage-Backed	12.08	%
Other	9.72	%
Commercial Mortgage-Backed	2.50	%
Money Market Fund	0.94	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	24.62	%
Agency	14.49	%
AAA	20.30	%
AA	14.05	%
A	11.17	%
BBB	8.82	%
BB or below	6.55	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	16.16	%
1 year to 3 years	18.36	%
3 years to 5 years	37.51	%
5 years to 10 years	24.08	%
10 years to 20 years	2.33	%
20 years +	1.56	%
Total	100.00	%

7

Total Return Bond Fund
Sector Diversification:
U.S. Treasury Securities	24.19	%
Corporate Bonds	21.31	%
Non-Agency Mortgage-Backed	17.89	%
U.S. Agency Mortgage-Backed	13.02	%
Asset-Backed Securities	8.89	%
Other	7.96	%
Commercial Mortgage-Backed	3.45	%
Money Market Fund	2.37	%
U.S. Agency Securities	0.65	%
Preferred Stock	0.27	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	24.19	%
Agency	13.67	%
AAA	25.30	%
AA	13.10	%
A	8.50	%
BBB	8.04	%
BB or below	7.20	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	14.91	%
1 year to 3 years	15.47	%
3 years to 5 years	25.78	%
5 years to 10 years	33.24	%
10 years to 20 years	5.74	%
20 years +	4.86	%
Total	100.00	%
High Yield Bond Fund
Sector Diversification:
Corporate Bonds	87.60	%
Other	6.22	%
Non-Agency Mortgage-Backed	3.68	%
Money Market Fund	1.87	%
Asset-Backed Securities	0.39	%
U.S. Agency Mortgage-Backed	0.22	%
Put Options Purchased	0.01	%
U.S. Treasury Securities	0.01	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	0.01	%
Agency	0.23	%
AAA	3.16	%
AA	8.27	%
A	1.30	%
BBB	3.89	%
BB	33.60	%
B	43.84	%
CCC	5.17	%
CC or below	0.53	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	15.79	%
1 year to 3 years	13.49	%
3 years to 5 years	20.38	%
5 years to 10 years	47.45	%
10 years to 20 years	0.51	%
20 years +	2.38	%
Total	100.00	%
Strategic Income Fund
Sector Diversification:
Asset-Backed Securities	42.46	%
Corporate Bonds	29.87	%
Non Agency Mortgage-Backed	8.46	%
Other	7.47	%
U.S. Agency Mortgage-Backed	6.22	%
Money Market Fund	2.32	%
Commercial Mortgage-Backed	2.12	%
Preferred Stock	0.71	%
Put Options Purchased	0.29	%
U.S. Treasury Securities	0.04	%
U.S. Agency Discount Notes	0.04	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	0.04	%
Agency	6.26	%
AAA	23.31	%
AA	22.69	%
A	9.94	%
BBB	19.82	%
BB or below	17.94	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	27.58	%
1 year to 3 years	22.72	%
3 years to 5 years	21.78	%
5 years to 10 years	21.51	%
10 years to 20 years	1.34	%
20 years +	5.07	%
Total	100.00	%

8

AlphaTrak^SM 500 Fund

Sector Diversification:
Corporate Bonds	27.72	%
Asset-Backed Securities	21.42	%
U.S. Agency Securities	14.06	%
Non Agency Mortgage-Backed	11.13	%
Other	9.30	%
U.S. Agency Mortgage-Backed	7.42	%
U.S. Agency Discount Notes	4.17	%
Money Market Fund	3.14	%
Commercial Mortgage-Backed	1.26	%
Preferred Stock	0.34	%
U.S. Treasury Securities	0.04	%
Total	100.00	%
Distribution by Quality Rating:
U.S. Treasury	0.04	%
Agency	25.65	%
AAA	20.15	%
AA	22.13	%
A	9.83	%
BBB	12.35	%
BB or below	9.85	%
Total	100.00	%
Distribution by Maturity:
0 to 1 years	42.15	%
1 year to 3 years	30.38	%
3 years to 5 years	16.28	%
5 years to 10 years	10.43	%
10 years to 20 years	0.00	%
20 years +	0.76	%
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 June 30, 2006. 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.

9

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 21.88%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32	$	58,000	$	59,111
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32		81,432		82,207
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		41,780		41,377
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.26%	09/15/33		168,282		166,257
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.43%	12/15/33		138,707		135,406
Amortizing Residential Collateral Trust 2002-BC4 M2
6.48%	07/25/322		1,056,901		1,068,717
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.90%	02/28/402,3,†		4,000,000		4,010,080
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.82%	12/28/402,3,†		3,900,000		3,923,339
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP)
8.04%	08/25/30		1,641,941		1,648,834
Conseco Finance 2001-C A4
6.19%	03/15/30		37,072		37,139
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29		16,044		16,030
Countrywide Asset-Backed Certificates 2003-BC1 M1
6.25%	12/25/322		2,215,646		2,220,735
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31		268,675		264,248
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27		411,812		414,492
Fannie Mae Whole Loan 2003-W14 1A6
5.82%	09/25/43		627,750		625,529
FHLMC Structured Pass Through Securities T-49 AF5 (STEP)
5.45%	12/25/32		904,263		896,778
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25		18,603		18,529
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A
6.88%	03/25/242		3,500,000		3,514,248
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFB M2
5.82%	06/25/242		145,369		144,956
GE Capital Mortgage Services, Inc. 1998-HE1 A7
6.47%	06/25/28		4,879		4,915
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19		18,159		18,849
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27		48,400		50,308
Green Tree Financial Corp. 1998-6 A6
6.27%	06/01/30		10,931		10,937
Green Tree Financial Corp. 1999-3 A5
6.16%	02/01/31		336,196		336,530
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20		472,546		470,616
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21		117,271		115,536
Green Tree Home Improvement Loan Trust 1997-E HEM2
7.48%	01/15/29		6,525		6,532
GSAMP Trust 2004-FM1 M2
6.73%	11/25/332		2,810,000		2,838,163
GSR Mortgage Loan Trust 2005-HEL1 M2
6.06%	11/25/302		4,000,000		4,014,590
Home Equity Mortgage Trust 2004-1 M2
6.73%	06/25/342		2,287,872		2,293,784
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
6.08%	05/25/332		2,400,000		2,402,563
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27		469,226		457,401
Irwin Home Equity 2003-1 B1
8.73%	02/25/282		3,530,000		3,616,027
Irwin Home Equity 2003-A M2
7.48%	10/25/272		2,705,000		2,728,803
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/253		47,336		47,186
Mellon Residential Funding Corp. 2001-HEIL A4 (STEP)
7.12%	02/25/21		84,348		84,114
Mid-State Trust 6 A4
7.79%	07/01/35		68,484		70,965
Morgan Stanley ABS Capital I 2004-NC2 M2
6.53%	12/25/332		5,000,000		5,064,076
Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)
10.00%	04/25/362,3,†		10,350,000		1,036,051
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28		10,492		10,424
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15		15,366		15,296
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17		769,289		769,036

10

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/104,†	$	93,668	$	14,073
Option One Mortgage Loan Trust 1999-2 A5 (STEP)
7.26%	05/25/29		128,494		128,116
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/353		427,300		424,829
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)
7.51%	03/25/31		567,926		566,360
Residential Asset Securities Corp. 2002-KS8 A4
4.58%	11/25/30		322,927		321,148
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29		432,289		430,908
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25		45,706		46,008
SACO I, Inc. 2004-1 AIO (IO) (STEP)
3.50%	12/25/063,4,†		20,637,000		378,408
SACO I, Inc. 2004-2 IO (IO) (STEP)
4.50%	04/25/073,4,†		17,518,000		362,629
SACO I, Inc. 2004-3A AIO (IO) (STEP)
4.50%	12/25/073,4,†		16,327,000		454,876
Saxon Asset Securities Trust 2002-1 M2
6.53%	11/25/312		354,704		356,439
Terwin Mortgage Trust 2004-10SL AX (IO)
6.00%	09/25/343,4,†		12,833,333		349,157
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/343,4,†		14,328,441		262,440
Terwin Mortgage Trust 2004-6SL AX (IO)
0.09%	06/25/342,3,4,†		3,575,000		90,158
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/363,†		1,358,925		1,351,055
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/372,3,†		5,111,964		5,043,102
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30		1,243		1,257
Vanderbilt Mortgage Finance 2002-C A2
4.23%	02/07/15		437,204		435,643
Total Asset-Backed Securities
(Cost $56,504,451)					56,767,320
CORPORATES — 7.34%*
Automotive — 1.13%
Ford Motor Credit Co.
10.64%	06/15/112,3,5		1,025,000		1,072,213
General Motors Acceptance Corp. (MTN)
6.54%	09/23/082		1,868,000		1,857,123
					2,929,336
Banking — 2.24%
Chase Capital I
7.67%	12/01/26		2,600,000		2,705,885
CS First Boston/London
9.65%	03/24/102,3		2,286,000		2,076,831
9.65%	03/24/102,3		1,136,000		1,032,056
					5,814,772
Basic Industry — 0.75%
Steel Dynamics, Inc.
9.50%	03/15/09		1,875,000		1,938,281
Electric — 0.98%
Dominion Resources, Inc.
5.66%	09/28/072		1,000,000		1,000,556
Entergy Gulf States, Inc.
5.80%	12/01/092		550,000		548,927
6.14%	12/08/082,3		1,000,000		1,002,378
					2,551,861
Finance — 1.14%
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/102		883,000		825,340
Pemex Finance Ltd.
8.02%	05/15/07		107,500		108,325
Residential Capital Corp.
7.34%	04/17/092,3		2,000,000		2,010,388
					2,944,053
Insurance — 0.20%
Zurich Capital Trust I
8.38%	06/01/373		500,000		526,239
Transportation — 0.90%
Air 2 US A
8.03%	10/01/203		579,768		583,029
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08		479,196		474,742
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		276,525		275,835
Northwest Air Dip
7.90%	08/21/086		1,000,000		1,002,500
					2,336,106
Total Corporates
(Cost $19,187,698)					19,040,648
MORTGAGE-BACKED — 64.50%**
Non-Agency Mortgage-Backed — 24.92%
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32		135,650		136,667
Banc of America Mortgage Securities 2003-A 2A2
4.57%	02/25/332		46,495		45,892

11

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Securities 2004-F 1A1
3.68%	07/25/342	$	4,458,219	$	4,440,328
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31		1,584,373		1,601,702
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1
5.50%	12/25/18		1,140,442		1,131,888
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1
6.50%	08/25/183		1,171,599		1,177,450
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.15%	02/25/342		680,955		676,223
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31		1,161,116		1,183,916
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/354,7,†		6,431,563		162,430
Countrywide Alternative Loan Trust 2005-16 A5
5.61%	06/25/352		1,885,226		1,888,032
Countrywide Alternative Loan Trust 2005-27 2A1
5.91%	08/25/352,†		2,832,581		2,844,723
Countrywide Alternative Loan Trust 2005-51 2A2A
5.62%	11/20/352		2,743,306		2,758,197
Countrywide Alternative Loan Trust 2005-59 1A1
5.66%	11/20/352		2,599,293		2,609,555
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/354,7		10,819,446		408,207
Countrywide Alternative Loan Trust 2005-61 2A1
5.61%	12/25/352		2,638,321		2,644,189
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/464		15,590,018		787,826
CS First Boston Mortgage Securities Corp. 2002-29 2A3
7.00%	10/25/32		157,456		157,279
CS First Boston Mortgage Securities Corp. 2002-AR27 1A2
7.09%	10/25/322		2,108,357		2,101,901
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
5.34%	11/25/322		200,000		199,230
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4
4.02%	10/25/332		3,020,000		2,980,776
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34		1,641,788		1,659,982
DSLA Mortgage Loan Trust 2004-AR1 A2A
5.74%	09/19/442		834,485		837,352
DSLA Mortgage Loan Trust 2005-AR2 2A1A
5.54%	03/19/452		2,094,381		2,098,121
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1
4.71%	11/19/322		167,741		166,933
First Horizon Mortgage Pass-Through Trust, 2002-AR2 2A1
5.25%	12/27/322		223,417		222,340
First Horizon Mortgage Pass-Through Trust, 2003-AR2 1A1
5.97%	07/25/332		285,018		282,533
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34		116,846		117,195
Harborview Mortgage Loan Trust 2004-8 2A4A
5.73%	11/19/342		2,524,460		2,534,856
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/354,7		7,674,821		169,086
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/352,4		15,653,752		430,478
Harborview Mortgage Loan Trust 2005-11 2A1A
5.64%	08/19/452		2,057,683		2,064,088
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/352,4		42,017,978		498,963
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/344,7		5,452,465		133,756
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/342		1,247,529		1,244,917
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
6.11%	10/25/362		2,788,487		2,815,556
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
3.61%	01/25/342		518,341		521,151
MASTR Adjustable Rate Mortgages Trust 2004-13 3A2
3.79%	11/21/342		137,550		137,221
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
4.49%	06/25/342		777,121		772,060
MASTR Seasoned Securities Trust 2004-1 4A1
5.17%	10/25/322		979,327		983,068

12

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32	$	1,471,082	$	1,491,647
MASTR Seasoned Securities Trust 2005-1 4A1
5.81%	10/25/322		1,222,319		1,235,479
Mellon Residential Funding Corp. 1998-TBC1 A3
6.99%	10/25/282		284,074		283,686
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32		104,430		104,216
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16		1,102,460		1,116,012
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31		470,677		492,762
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31		119,552		121,606
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31		791,824		800,896
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32		4,141,195		4,186,491
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/342		1,416,769		1,416,257
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/312		55,731		55,549
Structured Asset Securities Corp. 2002-8A 6A
6.71%	05/25/322		3,738		3,731
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A
5.00%	02/25/18		667,695		651,420
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33		508,460		519,297
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34		424,576		430,090
Washington Mutual, Inc. 2002-AR10 A6
4.82%	10/25/322		176,378		175,346
Washington Mutual, Inc. 2002-AR18 A
4.12%	01/25/332		1,148,051		1,143,034
Washington Mutual, Inc. 2002-AR6 A
5.96%	06/25/422,†		729,132		731,809
Washington Mutual, Inc. 2003-AR6 A1
4.34%	06/25/332		1,433,991		1,428,508
Washington Mutual, Inc. 2005-AR1 A2A2
5.58%	01/25/452		640,259		641,646
					64,655,549
U.S. Agency Mortgage-Backed — 39.58%
Fannie Mae 1988-12 A
10.00%	02/25/182		248,051		279,344
Fannie Mae 1992-50 F
5.84%	04/25/072		29,889		29,976
Fannie Mae 1992-53 G
7.00%	04/25/07		15,762		15,767
Fannie Mae 1993-210 PL
6.50%	04/25/23		472,325		474,316
Fannie Mae 1993-80 S
4.35%	05/25/232		18,141		17,962
Fannie Mae 1994-55 S
12.38%	12/25/232		12,569		13,597
Fannie Mae 1997-23 PB
6.63%	01/25/22		95,007		96,387
Fannie Mae 1998-58 PC
6.50%	10/25/28		1,585,389		1,636,888
Fannie Mae 2000-27 AN
6.00%	08/25/30		28,850		29,037
Fannie Mae 2001-31 SA
6.05%	11/25/172		301,857		302,054
Fannie Mae 2001-42 SB
8.50%	09/25/312		10,152		10,576
Fannie Mae 2001-60 JZ
6.00%	03/25/31		172,286		172,071
Fannie Mae 2001-68 PV
6.00%	11/25/18		250,000		251,362
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31		1,060,052		47,327
Fannie Mae 2003-124 TS
9.80%	01/25/342		215,307		229,354
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32		517,726		78,845
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29		199,189		22,419
Fannie Mae 2004-96 MT
7.00%	12/25/342		389,510		398,983
Fannie Mae 2005-47 SL
7.50%	06/25/352		583,716		587,827
Fannie Mae Pool 111643
4.43%	09/01/202		35,069		34,955
Fannie Mae Pool 190656
6.50%	02/01/14		461,784		475,078
Fannie Mae Pool 254190
5.50%	02/01/09		642,102		641,331
Fannie Mae Pool 303683
6.50%	08/01/25		21,298		21,824

13

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 523829
8.00%	11/01/19	$	527,841	$	560,023
Fannie Mae Pool 545350
6.50%	11/01/16		1,820,475		1,861,715
Fannie Mae Pool 555098
5.14%	11/01/322		325,482		323,395
Fannie Mae Pool 555177
4.86%	01/01/332		487,088		480,824
Fannie Mae Pool 555207
7.00%	11/01/17		101,134		102,810
Fannie Mae Pool 555312
6.15%	01/01/332		2,226,698		2,263,158
Fannie Mae Pool 555705
5.98%	07/01/332		1,357,830		1,377,928
Fannie Mae Pool 567002
8.00%	05/01/23		256,873		270,190
Fannie Mae Pool 582521
7.00%	05/01/31		67,796		70,130
Fannie Mae Pool 630599
7.00%	05/01/32		433,965		446,786
Fannie Mae Pool 646884
5.53%	05/01/322		43,821		44,002
Fannie Mae Pool 647903
6.32%	04/01/272		179,778		180,110
Fannie Mae Pool 648860
6.50%	05/01/17		1,530,529		1,565,207
Fannie Mae Pool 655127
7.00%	07/01/32		67,128		68,830
Fannie Mae Pool 655133
7.00%	08/01/32		80,453		82,485
Fannie Mae Pool 655151
7.00%	08/01/32		209,499		215,356
Fannie Mae Pool 655928
7.00%	08/01/32		58,153		60,163
Fannie Mae Pool 735207
7.00%	04/01/34		1,461,519		1,502,078
Fannie Mae Pool 735686
6.50%	12/01/22		1,999,398		2,033,184
Fannie Mae Pool 745161
4.52%	10/01/332		2,280,601		2,287,918
Fannie Mae Pool 753630
3.95%	11/01/332		1,954,034		1,948,450
Fannie Mae Pool 754001
3.88%	12/01/332		3,359,071		3,346,482
Fannie Mae Pool 762525
6.50%	11/01/33		266,438		270,914
Fannie Mae Pool 764605
3.59%	01/01/342		2,657,376		2,675,227
Fannie Mae Pool 770869
3.37%	04/01/342		3,567,629		3,538,367
Fannie Mae Pool 770900
3.32%	04/01/342		3,124,261		3,104,914
Fannie Mae Pool 771153
3.98%	02/01/342		3,114,466		3,125,421
Fannie Mae Pool 805268
4.67%	01/01/352		1,392,491		1,410,185
Fannie Mae Pool 806513
4.04%	12/01/342		3,117,596		3,135,572
Fannie Mae Pool 810557
4.91%	02/01/352		3,705,520		3,737,140
Fannie Mae Pool 811267
4.46%	12/01/342		766,413		765,585
Fannie Mae Pool 836712
4.81%	09/01/352		2,057,563		2,073,832
Fannie Mae Pool 840634
6.50%	06/01/35		1,410,716		1,445,915
Freddie Mac 1214 KA
6.21%	02/15/222		21,435		21,468
Freddie Mac 1526 L
6.50%	06/15/23		56,448		57,749
Freddie Mac 1610 PM
6.25%	04/15/22		17,950		17,945
Freddie Mac 1625 FC
5.08%	12/15/082		50,688		50,516
Freddie Mac 1662 L
4.26%	01/15/092		6,342		6,275
Freddie Mac 1695 EA
7.00%	12/15/23		16,904		16,957
Freddie Mac 1702 TJ
7.00%	04/15/13		286,293		292,833
Freddie Mac 2043 CJ
6.50%	04/15/28		124,624		127,770
Freddie Mac 2161 PG
6.00%	04/15/28		16,799		16,819
Freddie Mac 2451 SP
5.21%	05/15/092		10,221		10,233
Freddie Mac 2527 TI (IO)
6.00%	02/15/32		739,315		105,132
Freddie Mac 2535 LI (IO)
5.50%	08/15/26		61,287		2,871
Freddie Mac 2561 BX (IO)
5.00%	05/15/17		824,808		104,363
Freddie Mac 2587 IH (IO)
5.00%	08/15/25		2,000,000		128,243
Freddie Mac 2594 VK
5.00%	02/15/23		956,791		949,478
Freddie Mac 2642 BW (IO)
5.00%	06/15/23		97,999		19,250
Freddie Mac 2657 LX (IO)
6.00%	05/15/18		499,833		79,048
Freddie Mac 2809 HX (IO)
6.00%	10/15/24		806,738		42,924
Freddie Mac 2835 IB (IO)
5.50%	01/15/19		857,841		19,293

14

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2856 ST
7.00%	09/15/232	$	777,568	$	774,548
Freddie Mac 2905 JG
7.00%	09/15/34		1,120,005		1,136,490
Freddie Mac 2906 NX (IO)
0.17%	12/15/342		10,819,295		106,699
Freddie Mac 2971 AB
5.00%	05/15/20		21,211		20,282
Freddie Mac Gold A45796
7.00%	01/01/33		1,882,643		1,943,678
Freddie Mac Gold C90237
6.50%	11/01/18		285,433		293,766
Freddie Mac Gold C90474
7.00%	08/01/21		447,355		462,333
Freddie Mac Gold D93410
6.50%	04/01/19		332,839		342,504
Freddie Mac Gold E90474
6.00%	07/01/17		1,739,633		1,765,259
Freddie Mac Gold G01548
7.50%	07/01/32		6,004,707		6,262,345
Freddie Mac Gold G10616
5.50%	07/01/09		252,932		253,068
Freddie Mac Gold G11454
5.50%	07/01/15		1,001,050		1,010,305
Freddie Mac Gold G18087
6.50%	09/01/20		1,166,342		1,191,123
Freddie Mac Gold O30092
5.50%	10/01/15		285,991		284,654
Freddie Mac Gold P20295
7.00%	10/01/29		111,212		113,839
Freddie Mac Gold P50019
7.00%	07/01/24†		18,574		18,985
Freddie Mac Gold P50214
6.50%	02/01/34†		569,867		573,073
Freddie Mac Gold P50230
6.50%	04/01/34†		1,542,761		1,551,439
Freddie Mac Gold P60084
6.00%	03/01/16†		1,661,770		1,660,809
Freddie Mac Pool 1B1698
3.24%	05/01/342		3,944,701		3,897,808
Freddie Mac Pool 1L0113
6.19%	05/01/352		2,759,965		2,801,608
Freddie Mac Pool 775554
5.02%	10/01/182		13,878		13,859
Freddie Mac Pool 781163
4.08%	01/01/342		3,174,096		3,217,945
Freddie Mac Pool 781817
4.11%	08/01/342		3,388,036		3,388,856
Freddie Mac Pool 781908
4.18%	09/01/342		2,547,863		2,542,895
Freddie Mac Pool 782824
4.68%	11/01/342		3,388,669		3,370,909
Freddie Mac Pool 788498
6.57%	02/01/302		1,305,100		1,315,906
Freddie Mac Pool 865369
5.81%	06/01/222		8,226		8,190
Freddie Mac Pool 972112
6.09%	01/01/332		1,792,523		1,806,096
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		552,867		77,136
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29		169,045		8,597
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29		100,000		10,767
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21		118,568		1,736
Ginnie Mae 2003-95 SB
4.01%	09/17/312		241,300		236,800
Ginnie Mae 2004-2 FW
6.73%	01/16/342		333,305		342,579
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30		2,500,000		409,200
Ginnie Mae 2004-42 AB
6.00%	03/20/32		337,597		337,816
Ginnie Mae II Pool 80546
5.00%	10/20/312		130,634		131,155
Ginnie Mae II Pool 80610
5.38%	06/20/322		2,163,959		2,185,412
Ginnie Mae II Pool 80614
4.50%	07/20/322		228,632		229,105
Ginnie Mae II Pool 80687
5.50%	04/20/332		1,138,349		1,144,568
Ginnie Mae II Pool 81018
5.00%	08/20/342		723,171		729,026
Ginnie Mae II Pool 8339
5.13%	12/20/232		151,770		152,609
Ginnie Mae II Pool 8684
4.75%	08/20/252		215,436		217,158
					102,653,678
Total Mortgage-Backed
(Cost $168,097,514)					167,309,227
SHORT TERM INVESTMENTS — 5.45%
Commercial Paper — 3.52%
Alcoa, Inc.
5.28%8	10/27/06		2,600,000		2,590,467
Kitty Hawk Funding Corp.
5.26%8	10/25/06		1,350,000		1,345,463
National Rural Utilities Cooperative Finance
Corp.
5.26%8	10/25/06		2,600,000		2,591,263

15

Ultra Short Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
Commercial Paper (continued)
Preferred Receivables Funding Corp.
5.25%8	10/25/06	$	2,600,000	$	2,591,279
					9,118,472
Money Market Fund — 1.81%
JPMorgan Prime Money Market Fund			4,706,252		4,706,252
U.S. Agency Discount Notes — 0.03%
Fannie Mae
5.12%8	10/18/06		71,000		70,838
5.13%8	10/18/06		15,000		14,966
					85,804
U.S. Treasury Bills — 0.09%
U.S. Treasury Bills
4.40%8	10/19/065		20,000		19,956
4.50%8	10/19/065		10,000		9,979
4.62%8	10/19/065		68,000		67,851
4.65%8	10/19/065		65,000		64,857
4.65%8	10/19/065		5,000		4,990
4.79%8	10/19/065		54,000		53,878
					221,511
Total Short Term Investments
(Cost $14,132,039)					14,132,039
Total Investments – 99.17%
(Cost $257,921,702)1					257,249,234
Cash and Other Assets, Less
Liabilities – 0.83%					2,157,962
Net Assets – 100.00%				$	259,407,196

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
463	Euro Ninety Day, December 2007	$	(155,433	)
23	Euro Ninety Day, September 2007		(7,992	)
23	Euro Ninety Day, March 2008		(9,717	)
23	Euro Ninety Day, June 2008		(10,005	)
178	U.S. Treasury Two Year Note, December 2006		(96,396	)
	Net unrealized (depreciation)	$	(279,543	)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
440	Euro Ninety Day, December 2006	$	56,350
	Net unrealized appreciation	$	56,350

Notes:

¹ Cost for Federal income tax purposes is $257,926,131 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	821,707
Gross unrealized depreciation		(1,498,604	)
Net unrealized (depreciation)	$	(676,897	)

² Floating rate security. The rate disclosed is that in effect at September 30, 2006.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $27,213,894 representing 10.49% of total net assets.

⁴ Illiquid security.

⁵ Securities, or a portion there of, pledged as collateral with a value of $221,511 on 463 short Euro futures contracts, 69 short Euro futures contracts, 178 short U.S. Treasury Note futures contracts, and 440 long Euro futures contracts.

⁶ 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
08/21/06	Northwest Air Dip, 7.90%, 08/21/08	$	1,000,000	$	1,002,500	0.39	%
		$	1,000,000	$	1,002,500	0.39	%

⁷ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

⁸ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $24,818,636 which is 9.57% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

16

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 17.08%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33	$	848,319	$	840,149
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28		109,062		108,326
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.90%	02/28/402,3,†		12,500,000		12,531,501
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.82%	12/28/402,3,†		14,000,000		14,083,781
Bear Stearns Asset Backed Securities, Inc. 2000-2 M2 (STEP)
8.28%	08/25/30		5,995,000		6,144,615
Castle Trust 2003-1AW A1
6.08%	05/15/272,3		4,210,879		4,212,205
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32		1,147,276		1,163,168
Conseco Finance Securitizations Corp. 2001-3 AIO (IO)
2.50%	05/01/334,†		17,275,000		188,275
Countrywide Asset-Backed Certificates 2004-13 AV2
5.59%	05/25/342		4,167,994		4,173,383
Countrywide Asset-Backed Certificates 2005-13 AF1
5.46%	04/25/362		7,181,278		7,186,898
Countrywide Home Equity Loan Trust 2005-M A2
5.45%	02/15/362		8,001,378		8,004,064
Credit-Based Asset Servicing and Securitization 2006-CB1 AF2 (STEP)
5.24%	01/25/36		7,685,000		7,654,525
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25		5,581		5,559
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2B
5.51%	03/25/352		11,038,000		11,052,581
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29		105,287		95,877
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.55%	06/25/302		8,103,939		8,119,202
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19		1,071,386		1,112,068
Green Tree Financial Corp. 1995-10 A6
7.05%	01/15/27		1,117,421		1,129,973
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29		9,420,000		9,432,307
Green Tree Home Improvement Loan Trust 1997-E HEM2
7.48%	01/15/29		173,991		174,195
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22		732,521		714,603
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.53%	04/15/302,†		740,672		741,983
GSAMP Trust 2005-HE4 A2A
5.45%	08/25/352		1,462,126		1,463,198
GSR Mortgage Loan Trust 2005-HEL1 M2
6.06%	11/25/302		7,085,000		7,110,842
Home Equity Mortgage Trust 2006-1 A1B
5.46%	05/25/362		7,834,120		7,841,324
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.47%	04/25/262		5,063,216		5,068,349
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)
0.05%	05/15/412,4,†		392,530,053		6,840,547
Lehman XS Trust 2006-12N A1A1 (STEP)
5.41%	08/25/462,†		5,863,417		5,864,331
Long Beach Asset Holdings Corp. 2006-8 N1
6.05%	10/25/463		9,425,000		9,424,264
Mellon Residential Funding Corp. 2001-HEIL A4 (STEP)
7.12%	02/25/21		1,518,273		1,514,055
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B
5.47%	01/25/372		5,139,000		5,142,867
Morgan Stanley ABS Capital I 2004-NC2 M2
6.53%	12/25/332		1,100,000		1,114,097
Nomura Asset Acceptance Corp. 2006-S1 A1
5.47%	01/25/362,3		9,387,013		9,394,037
Oakwood Mortgage Investors, Inc. 2002-B A1
5.56%	05/15/132		558,891		512,481
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19		366,157		321,168
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/104,†		13,774,671		2,069,631
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/303,4,†		8,806,150		90,545
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)
7.51%	03/25/31		666,841		665,002
Residential Asset Securities Corp. 2005-KS8 A1
5.44%	08/25/352		1,942,803		1,944,333
Structured Asset Receivables Trust 2003-1
6.02%	01/21/102,3,†		5,183,760		5,162,393
Structured Asset Receivables Trust 2003-2
5.47%	01/21/092,3,†		1,806,081		1,798,637

17

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Settlements Fund 1999-A A
7.25%	12/20/153,†	$	601,592	$	599,360
Terwin Mortgage Trust 2004-1HE A1
5.84%	02/25/342,3		67,380		67,437
Terwin Mortgage Trust 2004-7HE A1
5.88%	07/25/342,3		391,714		391,959
Terwin Mortgage Trust 2005-13SL A1B
4.75%	12/25/362,3,†		12,100,000		11,722,746
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/352,3		4,213,730		4,163,470
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/372,3,†		8,200,000		7,864,584
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/372,3,†		12,500,000		12,093,166
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/372,3,†		17,361,386		17,127,523
Total Asset-Backed Securities (Cost $233,796,152)					226,241,584
CORPORATES — 21.56%*
Automotive — 3.17%
DaimlerChrysler NA Holding Corp.
5.64%	03/07/072		8,000,000		8,002,656
Ford Motor Credit Co.
7.08%	01/15/102		4,070,000		3,841,384
9.96%	04/15/122		1,750,000		1,833,552
10.64%	06/15/112,3,5		10,541,000		11,026,529
GMAC LLC
4.38%	12/10/07		4,560,000		4,453,063
7.60%	12/01/142		12,798,000		12,853,364
					42,010,548
Banking — 3.43%
BankAmerica Institutional A
8.07%	12/31/263		5,250,000		5,481,504
BankBoston Capital Trust II
7.75%	12/15/26		4,246,000		4,422,341
Credit Suisse USA, Inc.
6.50%	01/15/12		3,200,000		3,375,018
CS First Boston/London
9.65%	03/24/102,3		6,764,000		6,145,094
9.65%	03/24/102,3		3,146,000		2,858,141
Deutsche Bank Luxembourg SA
6.83%	12/28/073		4,128,000		4,191,303
JPMorgan Chase & Co. (MTN) C
8.55%	07/23/132,†		1,500,000		1,382,493
Keycorp Institution Capital B
8.25%	12/15/26		9,000,000		9,405,567
Roslyn Bancorp, Inc.
5.75%	11/15/07		6,900,000		6,863,513
State Street Institutional Cap-B
8.04%	03/15/273		1,228,000		1,287,964
					45,412,938
Basic Industry — 0.46%
Steel Dynamics, Inc.
9.50%	03/15/09		5,800,000		6,010,250
Communications — 1.85%
Cebridge 2nd Lien PIK
11.49%	05/05/146		4,545,400		4,337,071
New England Telephone & Telegraph Co.
7.65%	06/15/07		4,964,000		5,037,328
Sprint Capital Corp.
6.00%	01/15/07		10,000,000		10,011,420
Viacom, Inc.
5.74%	06/16/092,3		5,150,000		5,157,081
					24,542,900
Consumer Products — 0.30%
SABMILLER PLC
5.78%	07/01/092,3		4,000,000		4,003,972
Electric — 2.92%
American Electric Power Co., Inc. (STEP)
4.71%	08/16/07		6,270,000		6,228,493
Cedar Brakes II LLC
9.88%	09/01/133		7,073,202		7,930,644
Dominion Resources, Inc.
5.66%	09/28/072		7,000,000		7,003,892
Entergy Gulf States, Inc.
6.14%	12/08/082,3		5,230,000		5,242,437
Georgia Power Capital Trust VI
4.88%	11/01/422		7,360,000		7,289,852
Power Contract Financing LLC
6.26%	02/01/103		2,552,409		2,573,512
Power Receivables Finance LLC
6.29%	01/01/12		2,314,741		2,337,867
					38,606,697
Finance — 2.58%
Countrywide Financial Corp. (MTN) B
5.61%	03/24/092		1,900,000		1,903,331
Lehman Brothers Holdings, Inc. (MTN)
5.72%	07/18/112		1,730,000		1,734,109
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/102		3,293,000		3,077,967
14.50%	06/20/162		5,886,000		5,915,430
Meridian Funding Co. LLC
5.69%	10/06/082,3		3,080,535		3,084,753

18

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Pemex Finance Ltd.
8.88%	11/15/10	$	7,334,000	$	7,897,068
Pemex Finance Ltd. 1992-2 A1
9.69%	08/15/09†		3,597,000		3,815,883
Residential Capital Corp.
7.34%	04/17/092,3		6,668,000		6,702,634
					34,131,175
Health Care — 0.14%
Cardinal Health, Inc.
5.64%	10/02/092,3		1,827,000		1,827,000
Insurance — 0.86%
Farmers Insurance Exchange Capital
6.00%	08/01/143		1,900,000		1,893,109
Odyssey Re Holdings Corp.
7.65%	11/01/13		1,226,000		1,241,959
Zurich Capital Trust I
8.38%	06/01/373		7,870,000		8,283,002
					11,418,070
Natural Gas — 0.29%
Sempra Energy
4.62%	05/17/07		1,250,000		1,244,127
5.86%	05/21/082		2,575,000		2,579,692
					3,823,819
Real Estate Investment Trust (REIT) — 2.81%
CPG Partners LP
8.25%	02/01/11		4,065,000		4,486,362
Duke Realty LP
5.65%	12/22/062		2,917,000		2,917,685
Health Care Properties
5.84%	09/15/082		4,380,000		4,382,159
Highwoods Properties, Inc.
7.00%	12/01/06		8,985,000		9,001,452
7.13%	02/01/08		1,584,000		1,613,671
JDN Realty Corp.
6.95%	08/01/07		5,000,000		5,042,320
Shurgard Storage Centers, Inc.
7.75%	02/22/11		1,500,000		1,624,107
United Dominion Realty Trust, Inc. (MTN)
4.30%	07/01/07		3,025,000		2,995,824
Westfield Capital Corp. Ltd
5.77%	11/02/072,3		5,175,000		5,190,240
					37,253,820
Secured Assets — 0.38%
Ingress I Ltd.
7.38%	03/30/403,†		5,490,000		5,048,828
Transportation — 2.29%
Air 2 US A
8.03%	10/01/203		7,181,583		7,221,980
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19		2,969,253		3,058,349
Continental Airlines, Inc. 1999-1 A
6.55%	08/02/20		3,927,451		3,997,823
Continental Airlines, Inc. 2002-1 G2
6.56%	08/15/13		2,105,000		2,191,845
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/127,8		337,941		337,746
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/137,8		329,000		329,600
Northwest Air Dip
7.90%	08/21/086		6,000,000		6,015,000
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/237,8		1,878,291		1,867,726
United AirLines, Inc. 2001-1 A2
6.20%	03/01/10		4,350,690		4,353,409
United AirLines, Inc. Strip
9.08%	02/01/126		995,000		1,010,650
					30,384,128
Waste Management — 0.08%
Allied Waste North America, Inc. B
8.50%	12/01/08		1,000,000		1,052,500
Total Corporates (Cost $285,548,759)					285,526,645
MORTGAGE-BACKED — 21.62%**
Commercial Mortgage-Backed — 1.13%
CS First Boston Mortgage Securities Corp. 2004-C2 A1
3.82%	05/15/36		9,662,707		9,255,154
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37		5,800,000		5,636,632
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.59%	01/25/262,3,4,†		239,511		302
DLJ Mortgage Acceptance Corp. 1997-CF1 A1B
7.60%	05/15/303		52,902		53,002
					14,945,090
Non-Agency Mortgage-Backed — 10.78%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/103,4,†		3,519,500		1,038,758
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/113,4,†		3,588,737		1,089,180
BlackRock Capital Finance LP 1997-R2 AP
7.43%	12/25/352,3		26,138		26,155
Chase Mortgage Finance Corp. 2005-A1 1A1
5.42%	12/25/352		11,614,074		11,476,215

19

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.51%	05/25/362,3,†	$	10,679,844	$	10,679,930
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31		89,400		90,378
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.15%	02/25/342		340,477		338,111
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/354,9,†		18,566,317		468,893
Countrywide Alternative Loan Trust 2005-27 2A1
5.91%	08/25/352,†		3,990,810		4,007,917
Countrywide Alternative Loan Trust 2005-59 1A1
5.66%	11/20/352		8,786,342		8,821,032
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/354,9		34,197,420		1,290,234
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.79%	07/20/464,9		5,785,285		312,353
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/464		45,578,821		2,303,280
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/463,†		7,056,366		6,966,902
DSLA Mortgage Loan Trust 2005-AR2 2A1A
5.54%	03/19/452		7,180,733		7,193,558
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/354,9		21,271,362		468,635
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/352,4		36,200,602		995,517
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
1.70%	03/19/372,4		7,701,439		379,055
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
1.99%	05/19/472,4		9,154,125		437,682
Impac CMB Trust 2005-5 A1 (STEP)
5.65%	08/25/352		13,606,780		13,628,472
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.72%	12/25/342		4,576,328		4,591,348
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/344,9		15,546,140		381,366
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.73%	11/25/342		11,865,373		11,928,872
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
3.61%	01/25/342		2,041,401		2,052,465
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
4.49%	06/25/342		4,107,639		4,080,886
MASTR Seasoned Securities Trust 2004-1 4A1
5.17%	10/25/322		3,917,310		3,932,270
MASTR Seasoned Securities Trust 2005-1 4A1
5.81%	10/25/322		5,265,166		5,321,855
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31		2,682,620		2,728,729
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32		6,456,687		6,573,064
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32		12,592,567		12,730,305
SLH Mortgage Trust 1990-1 G
9.60%	03/25/21		9,233		9,208
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18		5,422,559		5,297,162
Washington Mutual, Inc. 2005-AR2 2A21
5.66%	01/25/452		4,233,779		4,250,114
Washington Mutual, Inc. 2002-AR18 A
4.12%	01/25/332		2,712,932		2,701,076
Washington Mutual, Inc. 2004-AR10 A2A
5.63%	07/25/442		1,617,167		1,618,908
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/442		1,623,252		1,625,775
Washington Mutual, Inc. 2006-AR5 X (IO)
0.31%	06/25/464		93,399,516		936,424
					142,772,084
U.S. Agency Mortgage-Backed — 9.71%
Fannie Mae 1993-95 SB
15.05%	06/25/082		53,660		57,772
Fannie Mae 1997-44 SB (IO)
2.82%	06/25/082		619,554		13,952
Fannie Mae 1997-76 FS
5.79%	09/17/272		117,848		119,055
Fannie Mae 2001-60 JZ
6.00%	03/25/31		375,361		374,892
Fannie Mae 2003-90 UD (IO)
5.50%	10/25/26		6,731,818		606,447
Fannie Mae Pool 555177
4.86%	01/01/332		207,824		205,151
Fannie Mae Pool 567002
8.00%	05/01/23		269,106		283,057

20

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735575
5.50%	12/01/18	$	7,246,082	$	7,269,011
Fannie Mae Pool 735686
6.50%	12/01/22		7,230,116		7,352,293
Fannie Mae Pool 745383
4.31%	12/01/352		9,215,613		9,171,566
Fannie Mae Pool 770333
3.47%	04/01/342		7,241,237		7,246,025
Fannie Mae Pool 770900
3.32%	04/01/342		4,657,256		4,628,416
Fannie Mae Pool 785307
4.17%	07/01/342		9,370,002		9,307,714
Fannie Mae Pool 805256
4.05%	01/01/352		10,602,236		10,458,127
Fannie Mae Pool 817611
5.36%	11/01/352		5,487,578		5,414,986
Final Maturity Amortizing Notes 2005-2 1
4.00%	02/25/10†		14,764,451		14,154,837
Freddie Mac 1164 O
7.16%	11/15/062,10		1,675		27
Freddie Mac 2174 PN
6.00%	07/15/29		6,969,303		7,059,041
Freddie Mac 2561 BX (IO)
5.00%	05/15/17		1,590,617		201,261
Freddie Mac Gold A24156
6.50%	10/01/31		3,026,494		3,096,256
Freddie Mac Gold C46104
6.50%	09/01/29		85,734		87,904
Freddie Mac Gold G11707
6.00%	03/01/20		5,885,520		5,972,218
Freddie Mac Gold P50019
7.00%	07/01/24†		153,190		156,580
Freddie Mac Pool 1B1928
4.28%	08/01/342		8,447,438		8,420,340
Freddie Mac Pool 1L0113
6.19%	05/01/352		6,331,873		6,427,410
Freddie Mac Pool 781469
3.13%	04/01/342		5,774,350		5,720,976
Freddie Mac Pool 786781
7.20%	08/01/292		377,978		386,385
Freddie Mac Pool 847288
3.14%	05/01/342		10,098,459		10,006,983
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		2,292,376		319,832
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29		4,350,040		221,217
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21		983,846		14,409
Ginnie Mae I Pool 422972
6.50%	07/15/29		102,586		105,556
Ginnie Mae II Pool 1849
8.50%	08/20/24		2,957		3,183
Ginnie Mae II Pool 2020
8.50%	06/20/25		8,976		9,669
Ginnie Mae II Pool 2286
8.50%	09/20/26		6,408		6,857
Ginnie Mae II Pool 2487
8.50%	09/20/27		38,514		41,234
Ginnie Mae II Pool 80589
5.63%	03/20/322		422,281		423,225
Ginnie Mae II Pool 80968
5.00%	07/20/342		3,219,880		3,246,009
					128,589,873
Total Mortgage-Backed (Cost $293,996,404)					286,307,047
U.S. AGENCY SECURITIES — 10.67%
U.S. Agency Securities — 10.67%
Fannie Mae
2.63%	01/19/07		3,412,000		3,385,260
3.13%	03/16/09		10,673,000		10,237,403
3.25%	01/15/08		6,518,000		6,375,517
3.88%	02/01/08		5,652,000		5,569,441
4.88%	04/15/09		9,930,000		9,923,188
5.30%	02/22/11		9,985,000		9,959,289
Federal Home Loan Bank
3.38%	07/21/08		7,875,000		7,659,390
4.25%	09/26/08		10,910,000		10,762,235
4.38%	10/03/08		9,850,000		9,727,801
4.50%	10/12/07		8,185,000		8,136,021
4.50%	10/14/08		18,780,000		18,610,079
Freddie Mac
2.88%	12/15/06		14,710,000		14,637,833
3.25%	02/25/08		6,790,000		6,622,334
4.90%	11/03/08		9,965,000		9,923,356
5.75%	03/15/09		9,575,000		9,754,589
					141,283,736
Total U.S. Agency Securities (Cost $141,101,750)					141,283,736
U.S. TREASURY SECURITIES — 20.67%
U.S. Treasury Notes — 20.67%
U.S. Treasury Notes
3.13%	09/15/085		281,809,000		273,751,235
Total U.S. Treasury Securities (Cost $272,731,627)					273,751,235

21

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Shares		Value
PREFERRED STOCK — 0.23%
Finance — 0.23%
Woodbourne Pass-Through Trust
6.45%	12/31/492,3		30	$	3,019,689
Total Preferred Stock (Cost $3,000,000)					3,019,689
		Principal Amount
SHORT TERM INVESTMENTS — 9.26%
Commercial Paper — 6.76%
Alcoa, Inc.
5.28%11	10/16/06	$	10,000,000		9,979,467
DaimlerChrysler NA Holding Corp.
5.36%11	10/27/06		21,190,000		21,111,126
Kitty Hawk Funding Corp.
5.26%11	10/20/06		6,785,000		6,767,156
National Rural Utilities Cooperative Finance Corp.
5.26%11	10/25/06		3,700,000		3,687,566
Park Avenue Receivables Corp.
5.26%11	10/27/06		26,400,000		26,303,567
Preferred Receivables Funding Corp.
5.26%11	10/27/06		21,660,000		21,580,881
					89,429,763
Money Market Fund — 2.36%
JPMorgan Prime Money Market Fund			31,269,908		31,269,908
U.S. Agency Discount Notes — 0.08%
Freddie Mac
5.13%11	10/19/06		1,090,000		1,087,359
U.S. Treasury Bills — 0.06%
U.S. Treasury Bills
4.65%11	10/19/065		732,000		730,403
4.86%11	10/19/065		50,000		49,885
4.89%11	10/19/065		25,000		24,942
					805,230
Total Short Term Investments (Cost $122,592,260)					122,592,260
Total Investments – 101.09% (Cost $1,352,766,952)1					1,338,722,196
Liabilities in Excess of Other Assets – (1.09)%					(14,382,092	)
Net Assets – 100.00%				$	1,324,340,104

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
1,947	Euro Ninety Day, December 2007	$	(568,296	)
47	U.S Treasury Five Year Note, December 2006		(35,504	)
	Net unrealized (depreciation)	$	(603,800	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
1,947	Euro Ninety Day, December 2006	$	215,655
1,161	U.S. Treasury Two Year Note, December 2006		639,416
	Net unrealized appreciation	$	855,071

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
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, 8.33% due 01/25/34. Counterparty: Citigroup Inc.
	01/25/34	$	796	$	(9,111	)
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, 7.73% due 04/25/34. Counterparty: Citigroup Inc.
	04/25/34		478		(5,281	)
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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.33% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		478		(7,157	)
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, 7.58% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		478		(6,501	)
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, 7.28% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		478		(6,111	)
Pay a fixed rate equal to 2.00% 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-ECC2 M8, 7.48% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		796		(11,182	)

22

Low Duration Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
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, 7.48% due 07/25/34. Counterparty: Citigroup Inc.
	07/25/34	$	478	$	(6,431	)
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, 7.28% due 08/25/34. Counterparty: Citigroup Inc.
	08/25/34		478		(7,291	)
Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 7.18% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		478		(6,822	)
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, 7.28% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		478		(5,462	)
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 Countrywide Asset-Backed Certificates 2004-12 MV8, 6.61% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		478		(6,950	)
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, 7.03% due 12/25/34. Counterparty: Citigroup Inc.
	11/25/34		478		(7,274	)
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, 8.83% due 12/25/34. Counterparty: Citigroup Inc.
	12/25/34		478		(10,890	)
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, 7.03% due 01/25/35. Counterparty: Citigroup Inc.
	01/25/35		478		(6,866	)
Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 8.03% due 02/25/35. Counterparty: Citigroup Inc.
	02/25/35		796		(11,703	)
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, 7.66% due 03/25/35. Counterparty: Citigroup Inc.
	03/25/35		478		(8,072	)
Net unrealized (depreciation)				$	(123,104	)

Notes:

¹ Cost for Federal income tax purposes is $1,352,914,283 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	5,147,328
Gross unrealized depreciation		(19,339,415	)
Net unrealized (depreciation)	$	(14,192,087	)

² Floating rate security. The rate disclosed is that in effect at September 30, 2006.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $228,751,253 representing 17.27% of total net assets.

⁴ Illiquid security.

⁵ Securities, or a portion there of, pledged as collateral with a value of $1,197,679 on 1,947 long Euro futures contracts, 1,161 long U.S. Treasury Note futures contracts, 1,947 short Euro futures contracts and 47 short U.S. Treasury Note futures contracts.

⁶ 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
06/30/06	Cebridge 2nd Lien PIK, 11.49%, 05/05/14	$	4,545,400	$	4,337,071	0.33	%
08/21/06	Northwest Air Dip, 7.90%, 08/21/08		6,000,000		6,015,000	0.45	%
05/17/06	United AirLines, Inc. Strip, 9.08%, 02/01/12		1,009,182		1,010,650	0.08	%
		$	11,554,582	$	11,362,721	0.86	%

⁷ Security is currently in default with regards to scheduled interest or principal payments.

⁸ Non-income producing security.

⁹ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

¹⁰ 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.

¹¹ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $147,589,506 which is 11.14% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(EMTN): Euro medium term note

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

23

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 13.07%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33	$	55,141	$	54,610
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.90%	02/28/402,3,†		1,500,000		1,503,780
Bayview Financial Acquisition Trust 2005-B 1A1 (STEP)
4.44%	04/28/39		50,975		50,713
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.82%	12/28/402,3,†		1,500,000		1,508,977
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/383,†		650,000		644,079
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32		382,425		387,723
Conseco Finance 2002-A A5 (STEP)
7.05%	04/15/32		420,933		429,552
Conseco Finance 2002-C BF2
8.00%	06/15/323,†		373,181		373,589
GMAC Mortgage Corp. Loan Trust 2006-HLTV A3
5.59%	10/25/29		935,000		937,654
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20		192		191
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29		1,500,000		1,501,960
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/113,†		61,890		63,098
JPMorgan RV Marine Trust 2004-1A A1
3.12%	04/15/113		190,645		188,335
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/253		88,361		88,082
Mid-State Trust 2004-1 B
8.90%	08/15/37		333,319		337,249
Mid-State Trust 2005-1 M2
7.08%	01/15/40		428,483		439,120
Oakwood Mortgage Investors, Inc. 1997-A A5
7.13%	05/15/27		102,435		102,962
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19		240,563		174,220
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22		286,624		217,348
Oakwood Mortgage Investors, Inc. 2002-B A1
5.56%	05/15/132		62,099		56,942
Residential Asset Mortgage Products, Inc. 2004-RS12 AI2
3.77%	02/25/27		375,560		374,006
Structured Asset Receivables Trust 2003-1
6.02%	01/21/102,3,†		392,709		391,090
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/363,†		261,332		259,818
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/352,3		314,987		311,230
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/372,3,†		800,000		767,276
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/372,3,†		1,687,913		1,665,176
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30		3,657		3,697
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30		294,661		294,281
Total Asset-Backed Securities (Cost $13,380,579)					13,126,758
CORPORATES — 22.58%*
Automotive — 2.40%
Ford Motor Credit Co.
6.63%	06/16/08		100,000		98,527
7.00%	10/01/13		240,000		222,980
7.25%	10/25/11		416,000		392,724
7.38%	02/01/11		300,000		288,209
8.63%	11/01/10		319,000		318,053
General Motors Corp.
8.25%	07/15/23		14,000		12,198
GMAC LLC
6.75%	12/01/14		400,000		391,104
6.88%	09/15/11		474,000		471,976
7.60%	12/01/142		213,000		213,921
					2,409,692
Banking — 2.84%
BankBoston Capital Trust II
7.75%	12/15/26		700,000		729,072
Credit Suisse USA, Inc.
6.50%	01/15/12		291,000		306,916
CS First Boston/London
9.65%	03/24/102,3		608,000		552,368
9.65%	03/24/102,3		334,000		303,439
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/492,3		120,000		117,207
Greenpoint Capital Trust I
9.10%	06/01/27		227,000		241,415
National Capital Trust II
5.49%	12/29/492,3		327,000		312,680
Providian Capital I
9.53%	02/01/273		275,000		290,616
					2,853,713

24

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications — 0.67%
Qwest Corp.
5.63%	11/15/08	$	489,000	$	487,778
7.88%	09/01/11		175,000		184,625
					672,403
Electric — 3.05%
Cedar Brakes II LLC
9.88%	09/01/133		369,511		414,305
Entergy Louisiana LLC
5.83%	11/01/10		698,000		699,479
FPL Energy National Wind
5.61%	03/10/243		702,590		690,569
Nevada Power Co.
6.50%	05/15/183		750,000		783,267
Power Receivables Finance LLC
6.29%	01/01/12		477,024		481,790
					3,069,410
Finance — 2.81%
Capital One Financial Corp.
5.70%	09/15/11		1,200,000		1,209,743
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/102		271,000		253,304
14.50%	06/20/162		452,000		454,260
Pemex Finance Ltd.
8.88%	11/15/10		375,000		403,791
Residential Capital Corp.
7.34%	04/17/092,3		500,000		502,597
					2,823,695
Health Care — 0.39%
HCA, Inc.
5.25%	11/06/08		400,000		396,001
Insurance — 3.41%
Allied World Assurance Holdings Ltd.
7.50%	08/01/16		244,000		258,861
Fairfax Financial Holdings Ltd.
7.75%	04/26/12		375,000		350,625
Farmers Exchange Capital
7.05%	07/15/283		410,000		421,404
7.20%	07/15/483		115,000		117,382
Nationwide Mutual Insurance Co.
6.60%	04/15/343		440,000		434,761
Stingray Pass-Through Trust
5.90%	01/12/153		225,000		209,250
Swiss Re Capital I LP
6.85%	05/29/492,3		1,000,000		1,030,174
Zurich Capital Trust I
8.38%	06/01/373		575,000		605,175
					3,427,632
Natural Gas — 0.78%
El Paso Corp.
7.00%	05/15/11		300,000		303,375
Sempra Energy
5.86%	05/21/082		475,000		475,865
					779,240
Real Estate Investment Trust (REIT) — 3.07%
Colonial Realty LP
4.75%	02/01/10		586,000		571,304
CPG Partners LP
8.25%	02/01/11		330,000		364,206
EOP Operating LP
5.97%	10/01/102		159,000		160,634
Health Care Property Investors, Inc.
5.95%	09/15/11		800,000		803,939
7.07%	06/08/154		160,000		168,523
Highwoods Properties, Inc.
7.13%	02/01/08		790,000		804,798
Prime Property Fund, Inc.
5.60%	06/15/113		206,000		207,123
					3,080,527
Transportation — 2.43%
Air 2 US A
8.03%	10/01/203		472,511		475,169
American Airlines, Inc. 2005-1 G
5.11%	03/29/143,†		490,250		480,502
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16		330,081		330,287
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08		41,530		41,144
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19		285,849		294,426
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		83,578		83,370
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21		204,597		217,043
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/115,6		48,819		48,908
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/235,6		138,440		137,661
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14		64,961		64,923
United AirLines, Inc. 2001-1 A2
6.20%	03/01/10		263,678		263,843
					2,437,276

25

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Waste Management — 0.73%
Allied Waste North America, Inc. B
8.50%	12/01/08	$	700,000	$	736,750
Total Corporates (Cost $22,631,317)					22,686,339
MORTGAGE-BACKED — 29.07%**
Commercial Mortgage-Backed — 2.50%
Bear Stearns Commercial Mortgage Securities, Inc.
4.83%	11/11/41		1,300,000		1,256,881
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/482		1,300,000		1,252,686
					2,509,567
Non-Agency Mortgage-Backed — 12.08%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/352		1,120,652		1,107,350
Banc of America Mortgage Securities 2003-1 2A4
5.00%	02/25/18		285,515		279,091
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.51%	05/25/362,3,†		1,409,708		1,409,719
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/357,8,†		1,355,983		34,245
Countrywide Alternative Loan Trust 2005-27 2A1
5.91%	08/25/352,†		605,530		608,126
Countrywide Alternative Loan Trust 2005-27 3A2
5.66%	08/25/352,†		133,457		133,535
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/357,8		2,830,537		106,793
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/468		3,620,968		182,982
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/463,†		705,637		696,690
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.11%	08/25/342		939,926		921,846
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17		314,127		312,129
First Horizon Asset Securities, Inc. 2003-10 2A1
4.75%	01/25/19		981,232		950,839
First Union Commercial Mortgage Trust 1999-C1 A2
6.07%	10/15/35		577,676		585,542
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/357,8		1,510,409		33,276
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/352,8		3,764,563		103,525
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/347,8		1,108,129		27,184
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/342		309,912		309,263
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.73%	11/25/342		301,662		303,276
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32		333,753		338,419
Morgan Stanley Capital I 2006-HQ8 A4
5.56%	03/12/442		1,150,000		1,162,137
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31		157,286		160,890
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31		196,823		200,206
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/342		279,060		278,960
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34		179,118		181,444
Washington Mutual, Inc. 2002-AR18 A
4.12%	01/25/332		154,722		154,046
Washington Mutual, Inc. 2004-AR10 A2A
5.63%	07/25/442		126,399		126,535
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/442		122,491		122,681
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2
5.50%	04/25/36		1,340,086		1,305,329
					12,136,058
U.S. Agency Mortgage-Backed — 14.49%
Fannie Mae (TBA)
5.50%	10/25/21		1,145,000		1,144,643
Fannie Mae 1993-225 SG
4.90%	12/25/132		279,460		289,589
Fannie Mae 1993-80 S
4.35%	05/25/232		56,689		56,131
Fannie Mae 1994-55 S
12.38%	12/25/232		50,275		54,388
Fannie Mae 2001-52 YZ
6.50%	10/25/31		957,766		981,809

26

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28	$	277,652	$	25,325
Fannie Mae Pool 253974
7.00%	08/01/31		93,965		96,513
Fannie Mae Pool 527247
7.00%	09/01/26		306		315
Fannie Mae Pool 545646
7.00%	09/01/26		188		194
Fannie Mae Pool 549740
6.50%	10/01/27		163,854		167,418
Fannie Mae Pool 701297
4.53%	03/01/332		1,254,477		1,253,837
Fannie Mae Pool 735575
5.50%	12/01/18		510,849		512,465
Fannie Mae Pool 735686
6.50%	12/01/22		548,825		558,100
Fannie Mae Pool 735861
6.50%	09/01/33		977,432		1,000,237
Fannie Mae Pool 764388
4.96%	03/01/342		594,011		575,984
Fannie Mae Pool 770869
3.37%	04/01/342		1,445,829		1,433,970
Fannie Mae Pool 817611
5.36%	11/01/352		415,027		409,537
Fannie Mae Pool 895606
5.78%	06/01/362		1,138,310		1,133,237
Freddie Mac 1602 SN
10.09%	10/15/232		14,590		16,603
Freddie Mac 2174 PN
6.00%	07/15/29		508,503		515,051
Freddie Mac 2451 SP
5.21%	05/15/092		73,594		73,677
Freddie Mac 2561 BX (IO)
5.00%	05/15/17		371,164		46,963
Freddie Mac Gold A33262
5.50%	02/01/35		295,085		291,531
Freddie Mac Gold G01548
7.50%	07/01/32		1,458,286		1,520,855
Freddie Mac Gold G01673
5.50%	04/01/34		110,352		109,316
Freddie Mac Gold G02366
6.50%	10/01/36		1,600,000		1,630,379
Freddie Mac Gold P50019
7.00%	07/01/24†		31,133		31,822
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		258,904		36,122
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31		390,979		19,113
Ginnie Mae 2004-8 SE
3.65%	11/26/232		328,670		316,079
Ginnie Mae II Pool 80968
5.00%	07/20/342		251,991		254,038
					14,555,241
Total Mortgage-Backed (Cost $29,278,819)					29,200,866
U.S. TREASURY SECURITIES — 24.56%
U.S Principal Strip — 3.40%
U.S. Principal Strip
4.37%9	08/15/09		3,891,000		3,414,006
U.S. Treasury Bonds — 0.85%
U.S. Treasury Bonds
7.50%	11/15/16		696,000		852,818
U.S. Treasury Notes — 20.31%
U.S. Treasury Notes
3.38%	10/15/094		5,252,000		5,070,644
4.25%	11/15/14		8,244,000		8,042,409
4.88%	04/30/11		5,253,000		5,313,126
4.88%	02/15/12		1,951,000		1,978,817
					20,404,996
Total U.S. Treasury Securities (Cost $24,337,165)					24,671,820
SHORT TERM INVESTMENTS — 14.23%
Commercial Paper — 13.23%
Alcoa, Inc.
5.28%9	11/01/06		830,000		826,348
5.28%9	11/02/06		980,000		975,536
Credit Suisse
5.26%9	10/19/06		1,610,000		1,606,001
DaimlerChrysler NA Holding Corp.
5.36%9	10/27/06		2,390,000		2,381,104
Kitty Hawk Funding Corp.
5.25%9	10/10/06		1,140,000		1,138,670
Preferred Receivables Funding Corp.
5.26%9	10/16/06		2,200,000		2,195,500
Ranger Funding Co. LLC
5.26%9	10/10/06		1,970,000		1,967,697
Yorktown Capital LLC
5.26%9	10/20/06		2,200,000		2,194,214
					13,285,070
Money Market Fund — 0.94%
JPMorgan Prime Money Market Fund			940,295		940,295
U.S. Treasury Bills — 0.06%
U.S. Treasury Bills
4.65%9	10/19/064		64,000		63,860
Total Short Term Investments (Cost $14,289,225)					14,289,225

27

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Value
Total Investments – 103.51% (Cost $103,917,105)1		$	103,975,008
Liabilities in Excess of Other Assets – (3.51)%			(3,524,593	)
Net Assets – 100.00%		$	100,450,415

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
160	Euro Ninety Day, December 2007	$	(45,559	)
	Net unrealized (depreciation)	$	(45,559	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
160	Euro Ninety Day, December 2006	$	17,300
67	U.S. Treasury Two Year Note, December 2006		37,173
17	U.S. Treasury Five Year Note, December 2006		13,197
	Net unrealized appreciation	$	67,670

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
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, 8.33% due 01/25/34. Counterparty: Citigroup Inc.
	01/25/34	$	58	$	(668	)
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, 7.73% due 04/25/34. Counterparty: Citigroup Inc.
	04/25/34		35		(387	)
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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.33% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		35		(524	)
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, 7.58% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		35		(476	)
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, 7.28% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		35		(448	)
Pay a fixed rate equal to 2.00% 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-ECC2 M8, 7.48% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		58		(819	)
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, 7.48% due 07/25/34. Counterparty: Citigroup Inc.
	07/25/34		35		(471	)
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, 7.28% due 08/25/34. Counterparty: Citigroup Inc.
	08/25/34		35		(534	)
Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 7.18% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		35		(500	)
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, 7.28% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		35		(400	)
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 Countrywide Asset-Backed Certificates 2004-12 MV8, 6.61% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		35		(509	)
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, 7.03% due 12/25/34. Counterparty: Citigroup Inc.
	11/25/34		35		(533	)
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, 8.83% due 12/25/34. Counterparty: Citigroup Inc.
	12/25/34		35		(798	)
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, 7.03% due 01/25/35. Counterparty: Citigroup Inc.
	01/25/35		35		(503	)
Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 8.03% due 02/25/35. Counterparty: Citigroup Inc.
	02/25/35		58		(857	)

28

Intermediate Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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, 7.66% due 03/25/35. Counterparty: Citigroup Inc.
	03/25/35	$	35	$	(591	)
Net unrealized (depreciation)				$	(9,018	)

Notes:

¹ Cost for Federal income tax purposes is $104,404,968 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	993,326
Gross unrealized depreciation		(1,423,286	)
Net unrealized (depreciation)	$	(429,960	)

² Floating rate security. The rate disclosed is that in effect at September 30, 2006.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $17,818,927 representing 17.74% of total net assets.

⁴ Securities, or a portion there of, pledged as collateral with a value of $97,652 on 160 short Euro futures contracts, 160 long Euro futures contracts, 67 long U.S. Treasury Two Year Note futures contracts, and 17 long U.S. Treasury Five Year Note futures contracts .

⁵ Security is currently in default with regards to scheduled interest or principal payments.

⁶ Non-income producing security.

⁷ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

⁸ Illiquid security.

⁹ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $10,571,522 which is 10.52% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond.

(TBA): To be announced

29

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 8.89%**
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32	$	8,054,397	$	8,131,095
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28		145,417		144,435
Asset Backed Securities Corp. Home Equity Loan Trust 2003-HE4 M2
7.33%	08/15/334		21,415,000		21,560,967
Bayview Financial Acquisition Trust 2005-B 1A1 (STEP)
4.44%	04/28/39		1,427,292		1,419,968
Conseco Finance 2001-C A4
6.19%	03/15/30		695,099		696,354
Conseco Finance 2001-C A5 (STEP)
6.79%	08/15/33		7,848,000		7,900,314
Countrywide Home Equity Loan Trust 2005-M A2
5.45%	02/15/364		14,288,174		14,292,971
Duke Funding Ltd. 2000-1A B1
8.27%	11/10/35†,5		17,000,000		16,606,477
Embarcadero Aircraft Securitization Trust 2000-A A1
5.81%	08/15/254,5		1,700,000		1,339,812
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29		242,161		220,518
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22		951,371		928,100
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.53%	04/15/30†,4		1,470,593		1,473,195
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.47%	04/25/264		9,092,177		9,101,394
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/295		2,130,732		2,136,950
Nomura Asset Acceptance Corp. 2006-S1 A1
5.47%	01/25/364,5		6,202,134		6,206,775
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22		415,605		315,155
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31		2,036,205		1,636,296
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19		1,071,009		939,417
PAMCO CLO 1998-1A B2
6.84%	05/01/10†,4,5		5,250,000		5,098,454
Residential Asset Mortgage Products, Inc. 2000-RZ1 A3 (STEP)
8.77%	10/25/29		751,959		749,965
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33		300,000		303,581
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29		1,366,795		1,362,431
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25		761,764		766,793
Signature 1 CBO
10.00%	10/15/09†		2,000,000		300,030
Structured Asset Receivables Trust 2003-1
6.02%	01/21/10†,4,5		10,783,006		10,738,560
Structured Asset Receivables Trust 2003-2
5.47%	01/21/09†,4,5		4,823,681		4,803,798
Terwin Mortgage Trust 2005-7SL A1
5.60%	07/25/354,5		1,767,638		1,769,377
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37†,4,5		15,370,000		14,741,300
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37†,4,5		23,030,000		22,280,448
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37†,4,5		5,581,686		5,506,499
Van Kampen CLO II Ltd.
6.81%	07/15/08†,4,5		333,795		310,230
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27		5,280,000		5,515,479
Total Asset-Backed Securities (Cost $171,069,105)					169,297,138
CORPORATES — 21.31%*
Automotive — 3.51%
Ford Motor Co.
7.70%	05/15/97		150,000		108,750
9.98%	02/15/47		7,289,000		6,377,875
Ford Motor Credit Co.
7.00%	10/01/13		22,370,000		20,783,587
7.08%	01/15/104		1,000,000		943,829
9.96%	04/15/124		2,925,000		3,064,651
General Motors Corp.
7.38%	05/23/48		9,200,000		6,946,000
8.10%	06/15/24		1,179,000		984,465
General Motors Corp. Strip
0.40%	07/20/116		2,133,864		1,998,274
General Motors Corp. Strip II
0.50%	07/20/116		2,400,000		2,247,499
GMAC LLC
7.60%	12/01/144		22,996,000		23,095,481
8.00%	11/01/31		186,000		195,016
					66,745,427
Banking — 2.56%
Bank One Corp. (STEP)
9.88%	03/01/19		200,000		249,017

30

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
BankAmerica Capital II
8.00%	12/15/26	$	800,000	$	834,367
BankAmerica Institutional A
8.07%	12/31/265		350,000		365,434
Bankers Trust Institutional Capital Trust B
7.75%	12/01/265		500,000		520,740
Chase Capital I
7.67%	12/01/26		13,000,000		13,529,425
Crestar Capital Trust I
8.16%	12/15/26		1,500,000		1,566,732
CS First Boston/London
9.65%	03/24/104,5		14,159,000		12,863,452
9.65%	03/24/104,5		5,190,000		4,715,115
First Chicago NBD Institution Capital A
7.95%	12/01/265		5,229,000		5,443,619
Greenpoint Capital Trust I
9.10%	06/01/27		266,000		282,892
JPMorgan Chase & Co. (MTN) C
8.55%	07/23/13†,4		2,500,000		2,304,155
Keycorp Institution Capital B
8.25%	12/15/26		3,500,000		3,657,720
National Capital Trust II
5.49%	12/29/494,5		2,425,000		2,318,804
					48,651,472
Communications — 0.68%
Cebridge 2nd Lien PIK
11.49%	05/05/146		9,090,800		8,674,141
Qwest Corp.
7.50%	10/01/145		4,000,000		4,150,000
Verizon North, Inc.
5.63%	01/01/215		250,000		238,432
					13,062,573
Electric — 3.06%
Calpine CCFC I Term Loan
11.40%	08/26/096		10,505,336		11,129,090
Cedar Brakes I LLC
8.50%	02/15/145		7,828,164		8,552,786
FPL Energy American Wind LLC
6.64%	06/20/235		413,000		427,297
FPL Energy National Wind
5.61%	03/10/245		9,776,164		9,608,904
GWF Energy LLC
6.13%	12/30/115		4,561,884		4,425,319
Indianapolis Power & Light Co.
8.00%	10/15/06		964,000		964,675
Potomac Electric Power Co.
5.88%	10/15/08		125,000		126,216
Power Contract Financing LLC
6.26%	02/01/105		4,614,289		4,652,440
Swepco Capital Trust I
5.25%	10/01/434		14,325,000		14,238,549
Windsor Financing LLC
5.88%	07/15/175		4,126,835		4,100,052
					58,225,328
Finance — 1.65%
Goldman Sachs Group, Inc.
5.35%	01/15/16		4,523,000		4,447,523
Lehman Brothers Holdings, Inc. (MTN)
5.75%	07/18/11		8,500,000		8,667,476
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/104		5,951,000		5,562,400
14.50%	06/20/164		9,679,000		9,727,395
Pemex Finance Ltd.
8.88%	11/15/10		375,000		403,791
Residential Capital Corp.
7.34%	04/17/094,5		2,500,000		2,512,985
					31,321,570
Insurance — 4.38%
Arch Capital Group Ltd.
7.35%	05/01/34		100,000		110,953
Fairfax Financial Holdings Ltd.
7.75%	04/26/12		9,055,000		8,466,425
Farmers Exchange Capital
7.05%	07/15/285		3,926,000		4,035,202
7.20%	07/15/485		1,392,000		1,420,830
Farmers Insurance Exchange
8.63%	05/01/245		12,127,000		14,402,146
Nationwide Mutual Insurance Co.
6.60%	04/15/345		14,619,000		14,444,946
Swiss Re Capital I LP
6.85%	05/29/494,5		15,745,000		16,220,090
TIG Capital Trust I
8.60%	01/15/275		1,840,000		1,416,800
ZFS Finance USA Trust II
6.45%	12/15/654,5		9,715,000		9,625,671
Zurich Capital Trust I
8.38%	06/01/375		12,516,000		13,172,815
					83,315,878
Real Estate Investment Trust (REIT) — 1.59%
Colonial Realty LP
4.75%	02/01/10		176,000		171,586
Duke Realty LP
5.65%	12/22/064		570,000		570,134
Equity One, Inc.
3.88%	04/15/09		270,000		259,536
First Industrial LP
7.60%	07/15/28		5,000,000		5,487,350

31

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Highwoods Properties, Inc.
7.00%	12/01/06	$	3,900,000	$	3,907,141
7.50%	04/15/18		8,029,000		8,874,911
Shurgard Storage Centers, Inc.
7.75%	02/22/11		7,200,000		7,795,714
United Dominion Realty Trust, Inc.
6.05%	06/01/13		3,100,000		3,153,103
					30,219,475
Secured Assets — 0.46%
Ingress I Ltd.
7.38%	03/30/40†,5		9,745,000		8,961,900
Transportation — 3.42%
Air 2 US A
8.03%	10/01/205		11,328,080		11,391,800
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12		107,054		110,077
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16		2,456,305		2,457,840
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19		3,362,295		3,463,185
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		862,052		859,901
Continental Airlines, Inc. 1999-1 A
6.55%	08/02/20		459,842		468,081
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21		10,829,803		11,488,564
Continental Airlines, Inc. 2000-1 A2
7.92%	11/01/11		2,000,000		2,103,690
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/117,8		841,189		842,724
Delta Air Lines, Inc. 2000-1 A2
7.57%	05/18/127,8		3,385,000		3,391,347
Northwest Air Dip
7.90%	08/21/086		7,000,000		7,017,500
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/237,8		164,631		163,705
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12		7,276,805		7,385,957
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14		10,972,432		10,966,123
United AirLines, Inc. Strip
9.08%	02/01/126		2,985,000		3,031,951
					65,142,445
Total Corporates (Cost $394,209,727)					405,646,068
MORTGAGE-BACKED — 34.36%**
Commercial Mortgage-Backed — 3.45%
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%	11/15/36		18,000,000		17,990,622
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.59%	01/25/26†,4,5,9		207,841		262
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.75%	05/15/354,9		227,779,621		3,712,443
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%	10/15/38		27,150,000		27,796,129
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26		15,155,000		16,177,226
					65,676,682
Non-Agency Mortgage-Backed — 17.89%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/354		23,911,862		23,628,028
Banc of America Mortgage Securities 2003-1 2A4
5.00%	02/25/18		205,571		200,945
Banc of America Mortgage Securities 2005-I 4A1
5.28%	10/25/354		15,271,311		15,001,391
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10†,5,9		4,022,285		1,187,152
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33		25,000,000		25,404,735
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39		1,015,000		1,008,881
BHN I Mortgage Fund 1997-2 A1
6.61%	05/31/17†,4,5,8,9		2,822,081		705,549
BHN I Mortgage Fund 1997-2 A2
7.54%	05/31/17†,5,8,9		5,097,524		1,274,755
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11†,5,9		2,392,491		726,120
BlackRock Capital Finance LP 1997-R2 AP
7.43%	12/25/354,5		6,535		6,539
Chase Mortgage Finance Corp. 2005-A1 1A1
5.42%	12/25/354		17,471,163		17,263,780
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.75%	05/25/34†,4,5		19,094,440		17,844,491
Commercial Mortgage Acceptance Corp. 1998-C2 A3
6.04%	09/15/30		13,425,000		13,575,630
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/35†,9,10		36,110,033		911,961

32

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-27 2A1
5.91%	08/25/35†,4	$	16,028,264	$	16,096,971
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/359,10		61,692,127		2,327,582
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/469		83,546,991		4,221,964
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46†,5		4,727,765		4,667,824
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.11%	08/25/344		15,067,330		14,777,516
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.17%	09/20/354		16,354,530		15,991,786
Credit Suisse Mortgage Capital Certificate 2006-C1 A3
5.71%	02/15/394		10,205,000		10,368,872
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/125		3,299,642		3,229,910
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35		34,500,000		33,881,943
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/359,10		46,248,794		1,018,919
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/354,9		55,739,683		1,532,841
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/349,10		30,962,948		759,560
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.73%	08/25/344		191,862		192,483
JPMorgan Mortgage Trust 2003-A2 2A3
4.69%	11/25/334		305,000		293,372
JPMorgan Mortgage Trust 2004-A5 4A4
4.84%	12/25/344		400,000		391,892
JPMorgan Mortgage Trust 2006-A3 3A4
5.76%	05/25/36†,4		23,500,000		23,763,473
MASTR Seasoned Securities Trust 2004-1 4A1
5.17%	10/25/324		250,316		251,272
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32		9,755,865		9,892,251
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36		5,749,127		6,097,365
Ocwen Residential MBS Corp. 1998-R2 AP
8.36%	11/25/34†,4,5		64,083		51,334
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36		15,696,149		15,097,257
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31		140,769		142,381
Ryland Mortgage Securities Corp. 1994-5 M3
5.72%	10/25/23†,4		499,884		497,080
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30		17,849		17,791
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/314		5,901		5,882
Structured Asset Securities Corp. 2002-8A 6A
6.71%	05/25/324		2,730		2,725
Structured Mortgage Asset Residential Trust 1991-7 I
18.92%	12/25/22 †,4,9,11		6,670		1,346
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4
4.96%	11/15/35		30,000,000		29,415,750
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18		241,192		235,614
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.77%	06/25/344		445,000		424,859
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1
5.50%	01/25/36		26,902,530		26,229,980
					340,619,752
U.S. Agency Mortgage-Backed — 13.02%
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19		9,970		10,043
Fannie Mae 1989-27 Y
6.90%	06/25/19		2,448		2,488
Fannie Mae 1992-123 Z
7.50%	07/25/22		8,698		9,163
Fannie Mae 1992-83 Z
7.00%	06/25/22		56,462		57,196
Fannie Mae 1993-132 D (PO)
0.00%	10/25/2210		495,452		410,008
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/234		1,642,399		34,773
Fannie Mae 1993-29 PK
7.00%	03/25/23		202,000		209,977
Fannie Mae 1994-55 H
7.00%	03/25/24		130,000		136,390
Fannie Mae 1997-34 SA
23.15%	10/25/234		48,190		73,722

33

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 1997-44 SB (IO)
2.82%	06/25/084	$	216,844	$	4,883
Fannie Mae 2003-52 SV
5.21%	05/25/314		7,188,235		7,081,641
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28		8,333,854		760,128
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26		11,039,057		649,706
Fannie Mae 2006-80 PG
6.00%	06/25/35		23,300,000		23,493,767
Fannie Mae G92-36 Z
7.00%	07/25/22		1,718		1,785
Fannie Mae Pool 233672
6.74%	09/01/234		34,961		35,679
Fannie Mae Pool 254232
6.50%	03/01/22		112,720		115,690
Fannie Mae Pool 308798
6.50%	04/01/254		15,818		16,012
Fannie Mae Pool 312155
6.17%	03/01/254		35,053		35,568
Fannie Mae Pool 545191
7.00%	09/01/31		78,863		81,002
Fannie Mae Pool 633698
7.50%	02/01/31		21,912		22,972
Fannie Mae Pool 655928
7.00%	08/01/32		183,642		189,988
Fannie Mae Pool 725257
5.50%	02/01/34		17,630,550		17,424,119
Fannie Mae Pool 735575
5.50%	12/01/18		14,202,321		14,247,261
Fannie Mae Pool 735883
6.00%	03/01/33		16,670,551		16,887,403
Fannie Mae Pool 765387
6.00%	08/01/34		261,605		264,069
Fannie Mae Pool 817611
5.36%	11/01/354		11,609,394		11,455,820
Fannie Mae Pool 896464
5.83%	07/01/364		22,940,534		22,966,299
Freddie Mac 1004 H
7.95%	10/15/20		2,202		2,199
Freddie Mac 1073 G
7.00%	05/15/21		6,453		6,446
Freddie Mac 1164 O
7.16%	11/15/064,11		1,675		27
Freddie Mac 1515 SA
8.61%	05/15/084		53,103		53,533
Freddie Mac 165 K
6.50%	09/15/21		1,373		1,369
Freddie Mac 1980 Z
7.00%	07/15/27		820,242		847,311
Freddie Mac 2098 TZ
6.00%	01/15/28		724,000		726,880
Freddie Mac 2209 TC
8.00%	01/15/30		250,706		266,257
Freddie Mac 2627 NI (IO)
5.00%	04/15/29		11,378,724		1,060,900
Freddie Mac 2642 BW (IO)
5.00%	06/15/23		192,731		37,858
Freddie Mac Gold A24156
6.50%	10/01/31		4,600,959		4,707,012
Freddie Mac Gold C46104
6.50%	09/01/29		185,578		190,276
Freddie Mac Gold C55789
7.50%	10/01/27		68,738		71,520
Freddie Mac Gold C90573
6.50%	08/01/22		863,596		886,652
Freddie Mac Gold G01601
4.00%	09/01/33		249,381		226,740
Freddie Mac Gold G01611
4.00%	09/01/33		91,751		83,420
Freddie Mac Gold G01673
5.50%	04/01/34		4,037,549		3,999,631
Freddie Mac Gold G02366
6.50%	10/01/36		30,720,000		31,303,283
Freddie Mac Gold G11707
6.00%	03/01/20		11,261,191		11,427,075
Freddie Mac Gold P50019
7.00%	07/01/24†		1,289,376		1,317,916
Freddie Mac Pool 781415
3.26%	04/01/344		13,979,639		13,885,134
Freddie Mac Pool 781469
3.13%	04/01/344		10,484,277		10,387,368
Freddie Mac Pool 847288
3.14%	05/01/344		18,260,559		18,095,147
Ginnie Mae 2000-22 SG (IO)
5.47%	05/16/304		4,219,639		448,808
Ginnie Mae 2002-69 SB (IO)
1.32%	06/20/284		917,982		3,884
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		6,103,604		851,574
Ginnie Mae 2003-86 ZK
5.00%	10/20/33		17,581,123		15,704,866
Ginnie Mae 2005-78 ZA
5.00%	10/16/35		16,330,084		14,494,386
Ginnie Mae II Pool 81018
5.00%	08/20/344		154,965		156,220
					247,921,244
Total Mortgage-Backed (Cost $663,176,216)					654,217,678

34

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
U.S. AGENCY SECURITIES — 0.65%
Foreign Sovereign — 0.65%
Indonesia Government Aid Bond
9.30%	07/01/20	$	10,255,000	$	12,456,174
Total U.S. Agency Securities (Cost $13,397,451)					12,456,174
U.S. TREASURY SECURITIES — 24.12%
U.S Principal Strip — 4.51%
U.S. Principal Strip
4.37%12	08/15/09		97,985,000		85,973,117
U.S. Treasury Bonds — 3.00%
U.S. Treasury Bonds
4.50%	02/15/36		42,093,000		40,346,814
8.13%	08/15/19		12,685,000		16,732,314
					57,079,128
U.S. Treasury Notes — 16.61%
U.S. Treasury Notes
4.25%	11/15/14		123,180,000		120,167,880
4.88%	04/30/11		80,597,000		81,519,513
4.88%	02/15/12		112,928,000		114,538,127
					316,225,520
Total U.S. Treasury Securities (Cost $453,683,939)					459,277,765
		Shares
PREFERRED STOCK — 0.27%
Finance — 0.27%
Woodbourne Pass-Through Trust
6.45%	12/31/494,5		50		5,032,815
Total Preferred Stock (Cost $5,000,000)					5,032,815
		Principal Amount
SHORT TERM INVESTMENTS — 11.29%
Commercial Paper — 8.85%
Alcoa, Inc.
5.28%12	11/01/06	$	17,665,000		17,587,274
5.28%12	11/02/06		17,000,000		16,922,707
Chariot Funding LLC
5.25%12	10/05/06		36,000,000		35,984,251
DaimlerChrysler NA Holding Corp.
5.36%12	10/27/06		19,110,000		19,038,868
National Rural Utilities Cooperative Finance Corp.
5.25%12	10/05/06		18,850,000		18,841,753
5.26%12	10/25/06		17,115,000		17,057,593
Park Avenue Receivables Corp.
5.25%12	10/04/06		5,375,000		5,373,432
Preferred Receivables Funding Corp.
5.26%12	10/27/06		37,835,000		37,696,797
					168,502,675
Money Market Fund — 2.37%
JPMorgan Prime Money Market Fund			45,114,183		45,114,183
U.S. Treasury Bills — 0.07%
U.S. Treasury Bills
4.65%12	10/19/0613		1,119,000		1,116,559
4.86%12	10/19/0613		95,000		94,782
4.89%12	10/19/0613		50,000		49,885
					1,261,226
Total Short Term Investments (Cost $ 214,878,084)					214,878,084
Total Investments – 100.89% (Cost $ 1,915,414,522)1					1,920,805,722
Liabilities in Excess of Other Assets – (0.89)%					(17,026,961	)
NET ASSETS – 100.00%				$	1,903,778,761

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
2,965	Euro Ninety Day, December 2007	$	(864,163	)
	Net unrealized (depreciation)	$	(864,163	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
2,965	Euro Ninety Day, December 2006	$	328,062
1,984	U.S. Treasury Two Year Note, December 2006		1,092,299
759	U.S. Treasury Five Year Note, December 2006		573,104
	Net unrealized appreciation	$	1,993,465

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 0.70% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM, 7.875% due 08/01/11 Counterparty: Lehman Brothers Holdings, Inc.
	12/20/11	$	6,500	$	5,284

35

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 0.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7 IG, 0.40% due 12/20/11 Counterparty: Lehman Brothers Holdings, Inc.
	12/20/11	$	35,000	$	(12,371	)
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, 8.33% due 01/25/34. Counterparty: Citigroup Inc.
	01/25/34		1,676		(19,176	)
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, 7.73% due 04/25/34. Counterparty: Citigroup Inc.
	04/25/34		1,006		(11,114	)
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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.33% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		1,006		(15,063	)
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, 7.58% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		1,006		(13,683	)
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, 7.28% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		1,006		(12,861	)
Pay a fixed rate equal to 2.00% 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-ECC2 M8, 7.48% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		1,676		(23,535	)
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, 7.48% due 07/25/34. Counterparty: Citigroup Inc.
	07/25/34		1,006		(13,536	)
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, 7.28% due 08/25/34. Counterparty: Citigroup Inc.
	08/25/34		1,006		(15,346	)
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, 7.28% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		1,006		(11,495	)
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 Countrywide Asset-Backed Certificates 2004-12 MV8, 6.61% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		1,006		(14,627	)
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, 7.03% due 12/25/34. Counterparty: Citigroup Inc.
	11/25/34		1,006		(15,309	)
Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 7.18% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		1,006		(14,357	)
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, 8.83% due 12/25/34. Counterparty: Citigroup Inc.
	12/25/34		1,006		(22,919	)
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, 7.03% due 01/25/35. Counterparty: Citigroup Inc.
	01/25/35		1,006		(14,450	)
Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 8.03% due 02/25/35. Counterparty: Citigroup Inc.
	02/25/35		1,676		(24,631	)
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, 7.66% due 03/25/35. Counterparty: Citigroup Inc.
	03/25/35		1,006		(16,989	)
Net unrealized (depreciation)				$	(266,178	)

Notes:

¹ Cost for Federal income tax purposes is $1,918,101,947 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	31,769,724
Gross unrealized depreciation		(29,065,949	)
Net unrealized appreciation	$	2,703,775

² Floating rate security. The rate disclosed is that in effect at September 30, 2006.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $ 286,253,010 representing 15.04% of total net assets.

⁴ 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:

36

Total Return Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
08/07/03	Calpine CCFC I Term Loan, 11.40%, 08/26/09	$	10,905,623	$	11,129,090	0.58	%
06/30/06	Cebridge 2nd Lien PIK, 11.49%, 05/05/14		9,090,800		8,674,141	0.46	%
05/16/06	General Motors Corp. Strip, 0.40%, 07/20/11		2,073,864		1,998,274	0.10	%
06/13/06	General Motors Corp. Strip II, 0.50%, 07/20/11		2,292,000		2,247,499	0.12	%
08/21/06	Northwest Air Dip, 7.90%, 08/21/08		7,000,000		7,017,500	0.37	%
05/17/06	United AirLines, Inc. Strip, 9.08%, 02/01/12		3,027,547		3,031,951	0.16	%
		$	34,389,834	$	34,098,455	1.79	%

⁵ Security is currently in default with regards to scheduled interest or principal payments.

⁶ Non-income producing security.

⁷ Illiquid security.

⁸ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

⁹ 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.

¹⁰ Represents annualized yield at date of purchase.

¹¹ Securities, or a portion there of, pledged as collateral with a value of $2,259,152 on 2,965 short Euro futures contracts, 2,965 long Euro futures contracts, 1,984 long U.S. Treasury Two Year Note, and 759 long U.S. Treasury Five Year Note futures contracts.

^† Fair valued security. The aggregate value of fair valued securities is $162,171,280 which is 8.52% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO) : Interest only

(MTN): Medium term note

(PO): Principal only

(STEP): Step coupon bond.

(TBA): To be announced

37

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 0.39%**
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/11†,4	$	247,560	$	252,394
Total Asset-Backed Securities (Cost $ 244,396)					252,394
CORPORATES — 87.60%*
Automotive — 9.77%
Cooper Standard TLD
8.00%	12/23/115		744,375		747,259
Ford Motor Credit Co.
7.00%	10/01/13		900,000		836,175
7.38%	10/28/09		725,000		705,031
9.96%	04/15/126		550,000		576,259
General Motors Corp.
7.70%	04/15/16		126,000		110,408
8.25%	07/15/23		384,000		334,560
General Motors Corp. Strip II
0.50%	07/20/115		800,000		749,166
GMAC LLC
7.60%	12/01/146		250,000		251,082
8.00%	11/01/31		1,510,000		1,583,193
Metaldyne Corp.
10.00%	11/01/13		350,000		355,250
Tenneco, Inc.
8.63%	11/15/14		225,000		223,312
					6,471,695
Banking — 1.06%
CS First Boston/London
9.65%	03/24/104,6		584,000		530,564
9.65%	03/24/104,6		189,000		171,706
					702,270
Basic Industry — 12.21%
AK Steel Corp.
7.88%	02/15/09		450,000		450,562
Arch Western Finance LLC
6.75%	07/01/13		375,000		361,875
Equistar Chemicals LP/Equistar Funding Corp.
10.63%	05/01/11		1,025,000		1,104,438
Freeport-McMoRan Copper & Gold, Inc.
10.13%	02/01/10		700,000		745,500
Georgia Pacific Term Loan C
8.39%	12/23/125		500,000		505,208
Hexion US Finance Corp./Nova Scotia Finance ULC
10.26%	07/15/106		627,000		642,675
Huntsman LLC
11.50%	07/15/12		325,000		371,312
Ispat Inland ULC
9.75%	04/01/14		325,000		366,527
Murray Bank Loan 2nd Lien
13.90%	01/31/115,7		1,209,747		1,282,332
Nalco Co.
7.75%	11/15/11		430,000		440,750
PolyOne Corp.
10.63%	05/15/10		550,000		594,000
Steel Dynamics, Inc.
9.50%	03/15/09		100,000		103,625
9.50%	03/15/09		575,000		594,406
UCAR Finance, Inc.
10.25%	02/15/128		495,000		522,225
					8,085,435
Capital Goods — 3.30%
Ainsworth Lumber Co. Ltd.
9.12%	10/01/106		300,000		249,000
L-3 Communications Corp.
5.88%	01/15/15		550,000		525,250
6.38%	10/15/15		375,000		366,562
Packaging Dynamics Finance Corp.
10.00%	05/01/164		275,000		279,125
United Rentals North America, Inc.
6.50%	02/15/12		200,000		194,000
7.75%	11/15/13		575,000		569,250
					2,183,187
Communications — 14.13%
AirGate PCS, Inc.
9.26%	10/15/116		350,000		359,625
American Cellular Corp.
10.00%	08/01/11		525,000		552,562
American Cellular Corp. Strip
0.75%	08/08/135		250,000		251,562
American Cellular Corp. Term Strip
7.58%	08/08/135		250,000		251,562
CCO Holdings LLC/CCO Holdings Capital Corp.
9.52%	12/15/106		250,000		256,875
Cebridge 2nd Lien PIK
11.49%	05/05/145		1,010,089		963,793
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13		610,000		651,175
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.
10.25%	09/15/10		700,000		717,500
Dex Media West LLC/Dex Media Finance Co.
9.88%	08/15/13		325,000		352,625
Intelsat Subsidiary Holding Co. Ltd.
8.63%	01/15/15		150,000		154,125
Level 3 Financing, Inc.
10.75%	10/15/11		450,000		473,062

38

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Level 3 Financing, Inc. Bank Loan
8.39%	12/01/115,6	$	500,000	$	504,896
Nextel Communications, Inc.
6.88%	10/31/13		260,000		264,946
Qwest Communications International, Inc.
8.91%	02/15/096		300,000		307,125
Qwest Corp.
7.50%	10/01/144		800,000		830,000
8.88%	03/15/12		200,000		219,250
Rogers Wireless, Inc.
8.52%	12/15/106		620,000		632,400
US LEC Corp.
13.62%	10/01/096		225,000		240,188
Wide Open West Loan
10.40%	04/28/135		500,000		500,491
Windstream Corp.
8.63%	08/01/164		150,000		161,250
Zeus Special Subsidiary Ltd. (STEP)
0.00%	02/01/154		975,000		711,750
					9,356,762
Consumer Products — 2.51%
Riddell Bell Holdings, Inc.
8.38%	10/01/12		475,000		467,875
Steinway Musical Instruments
7.00%	03/01/144		635,000		625,475
Visant Corp.
7.63%	10/01/12		325,000		328,250
Visant Holding Corp. (STEP)
0.00%	12/01/13		290,000		240,700
					1,662,300
Electric — 5.09%
Aquila, Inc.
8.00%	03/01/23		900,000		919,125
Calpine CCFC I Term Loan
11.40%	08/26/095		749,387		793,882
Edison Mission Energy
7.73%	06/15/09		25,000		25,812
KGEN Partners LLC Term Loan
8.12%	08/15/115		487,525		489,963
Midwest Generation LLC
8.75%	05/01/34		559,000		599,528
Mission Energy Holding Co.
13.50%	07/15/08		300,000		336,375
TECO Energy, Inc.
7.49%	05/01/106		200,000		206,000
					3,370,685
Energy — 12.07%
Allis-Chalmers Energy, Inc.
9.00%	01/15/144		650,000		654,875
Charparral Energy, Inc.
8.50%	12/01/15		500,000		498,750
Chesapeake Energy Corp.
7.00%	08/15/14		630,000		626,062
7.50%	06/15/14		150,000		152,438
7.75%	01/15/15		75,000		76,875
Denbury Resources, Inc.
7.50%	12/15/15		375,000		376,875
Hanover Equipment Trust
8.75%	09/01/11		870,000		909,150
Hilcorp Energy I LP/Hilcorp Finance Co.
10.50%	09/01/104		1,287,000		1,391,569
Mariner Energy, Inc.
7.50%	04/15/134		275,000		264,000
NRG Energy, Inc. Strip
7.33%	02/01/135		498,750		501,332
Parker Drilling Co.
9.63%	10/01/13		25,000		27,375
10.15%	09/01/106		469,000		481,311
Pogo Producing Co.
7.88%	05/01/134		250,000		255,938
8.25%	04/15/11		250,000		257,188
Pride International, Inc.
7.38%	07/15/14		325,000		336,375
Range Resources Corp.
7.50%	05/15/16		175,000		176,750
Venoco, Inc. 2nd Lien Term Loan
10.00%	04/26/115		1,000,000		1,006,875
					7,993,738
Entertainment — 1.38%
Intrawest Corp.
7.50%	10/15/13		850,000		916,938
Finance — 1.79%
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/106		294,000		274,802
LSP Gen Finance 2nd Lien Loan
8.87%	04/13/145		500,000		506,042
Residential Capital Corp.
7.34%	04/17/094,6		400,000		402,078
					1,182,922
Food — 0.85%
Del Monte Corp.
6.75%	02/15/15		162,500		157,625
Dole Food Co., Inc.
8.88%	03/15/11		425,000		409,062
					566,687

39

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Gaming — 4.85%
French Lick Resorts & Casino LLC/French Lick Resorts & Casino Corp.
10.75%	04/15/144	$	475,000	$	433,438
Herbst Gaming, Inc.
8.13%	06/01/12		575,000		590,094
Majestic Star Casino LLC/Majestic Star Casino Capital Corp.
9.50%	10/15/10		325,000		333,938
Penn National Gaming, Inc.
6.75%	03/01/15		340,000		332,775
Pinnacle Entertainment, Inc.
8.25%	03/15/12		625,000		635,938
Station Casinos, Inc.
7.75%	08/15/16		125,000		130,312
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14		775,000		755,625
					3,212,120
Health Care — 2.85%
Accellent, Inc.
10.50%	12/01/13		375,000		391,875
Extendicare Health Services, Inc.
9.50%	07/01/10		100,000		105,375
Fisher Scientific International, Inc.
6.13%	07/01/15		275,000		274,312
HCA, Inc.
6.50%	02/15/16		200,000		161,000
6.95%	05/01/12		175,000		153,781
Healthsouth Corp.
10.75%	06/15/164		450,000		461,812
Tenet Healthcare Corp.
9.25%	02/01/15		350,000		338,625
					1,886,780
Natural Gas — 3.99%
El Paso Corp.
7.63%	08/16/07		50,000		50,875
7.63%	09/01/084		50,000		51,438
El Paso Production Holding Co.
7.75%	06/01/13		900,000		924,750
Sonat, Inc.
7.63%	07/15/11		225,000		231,750
Stone Energy Corp.
8.25%	12/15/11		375,000		381,562
Targa Resources, Inc. Term Loan
7.62%	10/05/075		1,000,000		1,005,179
					2,645,554
Retail — 0.68%
Neiman Marcus Term Loan B
7.77%	03/13/135		449,367		452,907
Services — 2.02%
Corrections Corp. of America
6.25%	03/15/13		350,000		344,750
7.50%	05/01/11		150,000		154,125
Service Corp. International/US
6.50%	03/15/08		500,000		502,500
TDS Investor Corp.
11.88%	09/01/164		350,000		337,750
					1,339,125
Technology — 1.56%
Amkor Technology, Inc. 2nd Lien
9.90%	10/27/105		1,000,000		1,033,125
Textile — 0.51%
Levi Strauss & Co.
10.26%	04/01/126		325,000		336,375
Transportation — 5.23%
Air 2 US A
8.03%	10/01/204		217,413		218,636
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16		866,560		867,102
Delta Air Lines, Inc. 2000-1 A2
7.57%	05/18/129,10		185,000		185,347
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/139,10		421,000		421,769
Northwest Air Dip
7.90%	08/21/085		500,000		501,250
United AirLines, Inc. Strip
9.08%	02/01/125		1,248,750		1,268,392
					3,462,496
Waste Management — 1.75%
Allied Waste North America, Inc. B
8.50%	12/01/08		1,100,000		1,157,750
Total Corporates (Cost $57,838,632)					58,018,851
MORTGAGE-BACKED — 3.90%**
Non-Agency Mortgage-Backed — 3.68%
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11†,4,7		1,152,383		349,748
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/35†,7,11		1,497,051		37,808
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.79%	07/20/467,11		12,725,668		687,071

40

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/357,11	$	1,967,244	$	43,341
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/356,7		2,390,331		65,734
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/356,7		10,842,810		128,758
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
1.99%	05/19/476,7		7,111,310		340,009
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/347,11		1,322,700		32,448
Washington Mutual, Inc. 2006-AR5 X (IO)
0.31%	06/25/467		24,912,990		249,778
Washington Mutual, Inc. 2006-AR9 1XPP (IO)
0.24%	08/25/467,11		51,000,000		499,800
					2,434,495
U.S. Agency Mortgage-Backed — 0.22%
Fannie Mae 1993-225 SG
4.90%	12/25/136		123,884		128,374
Freddie Mac 2696 NI (IO)
5.50%	03/15/23		419,071		4,267
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		107,877		15,051
					147,692
Total Mortgage-Backed (Cost $3,319,236)					2,582,187
		Contracts
PUT OPTIONS PURCHASED — 0.01%
Automotive — 0.01%
General Motors Corp., Put Strike $20, expires 01/20/07
		$	212		6,360
Total Put Options Purchased
(Cost $138,436)
		Principal Amount
SHORT TERM INVESTMENTS — 8.00%
Commercial Paper — 6.12%
Alcoa, Inc.
5.28%12	10/16/06	$	670,000		668,624
DaimlerChrysler NA Holding Corp.
5.36%12	10/06/06		585,000		584,652
Park Avenue Receivables Corp.
5.26%12	10/27/06		985,000		981,402
Preferred Receivables Funding Corp.
5.26%12	10/27/06		510,000		508,137
Ranger Funding Co. LLC
5.26%12	10/10/06		1,315,000		1,313,463
					4,056,278
Money Market Fund — 1.87%
JPMorgan Prime Money Market Fund			1,236,000		1,236,000
U.S. Agency Discount Notes — 0.00%
Fannie Mae
5.13%12	10/18/06		4,000		3,991
U.S. Treasury Bills — 0.01%
U.S. Treasury Bills
4.65%12	10/19/068		5,000		4,989
Total Short Term Investments (Cost $5,301,258)					5,301,258
Total Investments – 99.90% (Cost $66,841,958)1					66,161,050
Cash and Other Assets, Less
Liabilities – 0.10%					66,833
Net Assets – 100.00%				$	66,227,883

Contracts		Unrealized Appreciation
	FUTURES CONTRACTS: LONG POSITIONS
2	U.S. Treasury Two Year Note, December 2006	$	1,383
	Net unrealized appreciation	$	1,383

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation
SWAPS: INTEREST RATE
Pay 3 month LIBOR and the Fund will receive a fixed rate equal to 5.415% from the counterparty. Counterparty: Citigroup Inc.
	05/17/08	$	19,715	$	344,479
Net unrealized appreciation				$	344,479

41

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
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 Dow Jones CDX Series 6, 1.90% due 06/20/11. Counterparty : Bear Stearns & Co., Inc.
	06/20/11	$	1,000	$	(884	)
Pay a fixed rate equal to 0.70% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM, 7.88% due 08/01/11 Counterparty: Lehman Brothers Holdings, Inc.
	08/01/11		1,000		671
Pay a fixed rate equal to 0.66% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the VZ, 7.25% due 09/20/11. Counterparty: Lehman Brothers Holdings, Inc.
	09/20/11		1,000		(784	)
Pay a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7, 3.25% due 12/20/11. Counterparty : Deutsche Bank
	12/20/11		1,000		(1,073	)
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7 IG HVOL, 0.75% due 12/20/11. Counterparty : JPMorgan & Co.
	12/20/11		1,000		(1,585	)
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, 8.33% due 01/25/34. Counterparty: Citigroup Inc.
	01/25/34		69		(784	)
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, 7.73% due 04/25/34. Counterparty: Citigroup Inc.
	04/25/34		41		(455	)
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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.33% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		41		(616	)
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, 7.58% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		41		(560	)
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, 7.28% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		41		(526	)
Pay a fixed rate equal to 2.00% 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-ECC2 M8, 7.48% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		69		(962	)
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, 7.48% due 07/25/34. Counterparty: Citigroup Inc.
	07/25/34		41		(553	)
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, 7.28% due 08/25/34. Counterparty: Citigroup Inc.
	08/25/34		41		(627	)
Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 7.18% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		41		(587	)
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, 7.28% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		41		(470	)
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 Countrywide Asset-Backed Certificates 2004-12 MV8, 6.61% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		41		(598	)
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, 7.03% due 12/25/34. Counterparty: Citigroup Inc.
	11/25/34		41		(626	)
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, 8.83% due 12/25/34. Counterparty: Citigroup Inc.
	12/25/34		41		(937	)
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, 7.03% due 01/25/35. Counterparty: Citigroup Inc.
	01/25/35		41		(591	)
Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 8.03% due 02/25/35. Counterparty: Citigroup Inc.
	02/25/35		69		(1,007	)

42

High Yield Bond Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
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, 7.66% due 03/25/35. Counterparty: Citigroup Inc.
	03/25/35	$	41	$	(695	)
Net unrealized depreciation				$	(14,249	)

Notes:

¹ Cost for Federal income tax purposes is $66,846,705 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	846,433
Gross unrealized depreciation		(1,532,088	)
Net unrealized (depreciation)	$	(685,655	)

² Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $ 8,383,546 representing 12.66% of total net assets.

³ 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
08/08/06	American Cellular Corp. Strip, 0.75%, 08/08/13	$	250,000	$	251,562	0.38	%
08/08/06	American Cellular Corp. Term Strip, 7.58%, 08/08/13		250,000		251,562	0.38	%
02/17/05	Amkor Technology, Inc. 2nd Lien, 9.90%, 10/27/10		1,031,453		1,033,125	1.55	%
08/07/03	Calpine CCFC I Term Loan, 11.40%, 08/26/09		779,819		793,882	1.20	%
06/30/06	Cebridge 2nd Lien PIK, 11.49%, 05/05/14		1,010,089		963,793	1.46	%
03/14/06	Cooper Standard TLD, 8.00%, 12/23/11		750,026		747,259	1.13	%
05/03/06	General Motors Corp. Strip II, 0.50%, 07/20/11		782,000		749,166	1.13	%
02/13/06	Georgia Pacific Term Loan C, 8.39%, 12/23/12		500,000		505,208	0.76	%
03/14/05	KGEN Partners LLC Term Loan, 8.12%, 08/15/11		487,525		489,963	0.74	%
11/17/04	Level 3 Financing, Inc. Bank Loan, 8.39%, 12/01/11		500,000		504,896	0.76	%
04/26/06	LSP Gen Finance 2nd Lien Loan, 8.87%, 04/13/14		508,992		506,042	0.76	%
02/03/05	Murray Bank Loan 2nd Lien, 13.90%, 01/31/11		1,246,461		1,282,332	1.94	%
10/14/05	Neiman Marcus Term Loan B, 7.77%, 03/13/13		452,326		452,907	0.68	%
08/21/06	Northwest Air Dip, 7.90%, 08/21/08		500,000		501,250	0.76	%
06/29/06	NRG Energy, Inc. Strip, 7.33%, 02/01/13		500,558		501,332	0.76	%
10/31/05	Targa Resources, Inc. Term Loan, 7.62%, 10/05/07		1,000,000		1,005,179	1.52	%
05/17/06	United AirLines, Inc. Strip, 9.08%, 02/01/12		1,268,430		1,268,392	1.92	%
04/26/06	Venoco, Inc. 2nd Lien Term Loan, 10.00%, 04/26/11		1,006,946		1,006,875	1.52	%
04/28/06	Wide Open West Loan, 10.40%, 04/28/13		500,000		500,491	0.76	%
		$	13,324,625	$	13,315,216	20.11	%

⁴ Floating rate security. The rate disclosed is that in effect at September 30, 2006.

⁵ Illiquid security.

⁶ Securities, or a portion there of, pledged as collateral with a value of $84,114 on 2 Long U.S. Treasury Bond Futures and 212 General Motors Corp. Put Option Contracts.

⁷ Security is currently in default with regards to scheduled interest or principal payments.

⁸ Non-income producing security.

⁹ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

¹⁰ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $639,950 which is 0.97% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

43

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 42.46%**
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32	$	496,733	$	501,463
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		39,235		38,857
Asset Backed Funding Corp. NIM Trust 2005-WMC1 N1
5.90%	07/26/352		453,681		453,400
Conseco Finance 2002-C BF1
8.00%	06/15/32		3,763,000		3,793,942
Conseco Finance 2002-C BF2
8.00%	06/15/322,†		1,319,284		1,320,728
Conseco Finance Securitizations Corp. 2001-1 AIO (IO)
2.50%	07/01/323,†		856,000		5,328
Conseco Finance Securitizations Corp. 2001-4 AIO (IO)
2.50%	09/01/333,†		707,500		14,256
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33		294,646		301,745
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/333,†		245,051		48,621
Countrywide Asset-Backed Certificates 2006-12N N
7.25%	07/25/372,†		874,006		875,395
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27		166,170		167,251
Finance America Mortgage Loan Trust 2004-1 2A2
5.82%	06/25/344		521,109		521,436
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4
5.87%	10/25/344		4,000,000		4,055,685
First Franklin NIM Trust 2005-FFH4 N2
7.39%	12/25/352,†		1,500,000		1,488,984
Green Tree Financial Corp. 1996-10 M1
7.24%	11/15/28		2,700,000		2,557,370
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27		107,172		111,395
Green Tree Financial Corp. 1998-2 A6
6.81%	12/01/275		1,341,707		1,385,010
Green Tree Financial Corp. 1998-4 A5
6.18%	04/01/30		2,766,764		2,707,009
Green Tree Financial Corp. 1998-4 A7
6.87%	04/01/30		1,164,588		1,171,473
Green Tree Financial Corp. 1998-6 A6
6.27%	06/01/30		2,186		2,187
Green Tree Financial Corp. 1998-6 A8
6.66%	06/01/30		1,500,000		1,457,838
Green Tree Financial Corp. 1999-1 A5
6.11%	09/01/23		70,431		70,985
Green Tree Financial Corp. 1999-5 A4
7.33%	03/01/30		23,996		24,079
Green Tree Financial Corp. 1999-5 A5
7.86%	03/01/30		202,000		179,235
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20		230,510		229,569
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25		408,192		408,759
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21		62,018		61,101
Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS
7.65%	10/15/17		55,733		54,036
GSR Mortgage Loan Trust 2005-HEL1 B1
8.33%	11/25/304,†		2,491,000		2,080,063
HFC Home Equity Loan Asset Backed Certificates 2004-1 A
5.68%	09/20/334		1,314,955		1,320,046
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28		1,411,817		1,359,396
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28		697,102		676,031
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28†		347,661		322,280
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28†		1,241,648		1,173,543
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11		353,907		343,352
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27		753,368		734,383
MASTR ABS NIM Trust 2005-CI12 N1
6.50%	10/26/352,†		673,993		672,608
MASTR ABS NIM Trust 2006-CI13 N1
7.00%	12/25/352,†		1,931,680		1,931,846
MASTR ABS NIM Trust 2006-CI14 N1
6.00%	07/26/352		1,187,975		1,185,605
MASTR ABS NIM Trust 2006-CI14 N2
8.00%	07/26/352,†		1,337,000		1,333,910
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
5.91%	08/25/354		4,000,000		4,059,218
Mid-State Trust 11 B
8.22%	07/15/38		24,025		24,485
Mid-State Trust 2004-1 B
8.90%	08/15/37		1,956,405		1,979,476
Mid-State Trust 6 A4
7.79%	07/01/35		79,297		82,170

44

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley ABS Capital I 2004-HE5 A4
5.86%	06/25/344	$	1,319,267	$	1,322,304
Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)
10.00%	01/25/362,4,†		11,600,000		1,066,018
Oakwood Mortgage Investors Inc. 1999-A A2
5.89%	04/15/29		426,035		405,176
Oakwood Mortgage Investors Inc. 2002-A AIO (IO)
6.00%	02/15/103,†		283,525		41,124
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28		7,495		7,446
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17		419,612		419,474
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19		240,570		174,225
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22		14,331		10,867
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31		842,180		676,777
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19		343,272		301,095
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/103,†		2,939,515		441,659
PAMCO CLO 1998-1A B2
6.84%	05/01/102,4,†		2,500,000		2,427,835
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/352		427,300		424,829
Soundview NIM Trust 2005-OPT4 N1
5.68%	12/25/352,†		650,844		647,845
Specialty Underwriting & Residential Finance 2004-BC4 A2C
5.82%	10/25/354		3,000,000		3,031,871
Structured Asset Receivables Trust 2005-1
5.57%	01/21/15†		13,526,900		13,493,280
Terwin Mortgage Trust 2004-1HE A1
5.84%	02/25/342,4		13,580		13,591
Terwin Mortgage Trust 2004-6SL AX (IO)
0.09%	06/25/342,3,4,†		9,604,760		242,223
Terwin Mortgage Trust 2004-7HE A1
5.88%	07/25/342,4		335,755		335,965
Terwin Mortgage Trust 2005-11 (STEP) 1M2
4.50%	11/25/362,†		3,500,000		3,349,338
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/362,†		944,975		939,503
Terwin Mortgage Trust 2005-13SL P
0.00%	12/25/362,3		1,000		2,100,000
Terwin Mortgage Trust 2005-5SL B4
6.00%	05/25/352,†		1,000,000		935,601
Terwin Mortgage Trust 2005-P1 A
0.00%	11/25/353,6		570		313,500
Terwin Mortgage Trust 2006-1 2P
0.00%	01/25/372,3		1,000		1,100,000
Terwin Mortgage Trust 2006-4SL P
0.00%	05/25/37		410		1,190,312
Terwin Mortgage Trust 2006-6 1AX (IO)
18.00%	07/25/374		12,750,000		3,013,054
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/372,4,†		9,645,214		9,515,287
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30		585		592
Total Asset-Backed Securities (Cost $91,850,191)					91,226,340
CORPORATES — 29.87%*
Automotive — 5.53%
Ford Motor Credit Co.
10.64%	06/15/112,4,5		3,995,000		4,179,014
General Motors Corp.
7.38%	05/23/48		3,600,000		2,718,000
8.25%	07/15/23		1,270,000		1,106,488
GMAC LLC
7.60%	12/01/144		2,200,000		2,209,517
8.00%	11/01/315		1,600,000		1,677,555
					11,890,574
Banking — 1.68%
CS First Boston/London
9.65%	03/24/102,4		1,832,000		1,664,372
9.65%	03/24/102,4		1,063,000		965,736
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/492,4		1,000,000		976,728
					3,606,836
Basic Industry — 0.78%
Barrick Gold Finance Co.
5.80%	11/15/34		667,000		622,745
Murray Bank Loan 3rd Lien
13.90%	07/28/116		1,000,000		1,060,000
					1,682,745
Communications — 1.88%
CCO Holdings LLC/CCO Holdings Capital Corp.
9.52%	12/15/104		2,000,000		2,055,000
Cebridge 2nd Lien PIK
11.49%	05/05/146		1,010,089		963,793

45

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Level 3 Financing, Inc. Bank Loan
8.39%	12/01/114,6	$	1,000,000	$	1,009,792
					4,028,585
Electric — 0.85%
Progress Energy, Inc.
5.96%	01/15/104		1,809,000		1,816,851
Energy — 0.47%
Venoco, Inc. 2nd Lien Term Loan
10.00%	04/26/116		1,000,000		1,006,875
Finance — 1.88%
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/104		809,000		756,172
14.50%	06/20/164		1,099,000		1,104,495
Residential Capital Corp.
6.74%	06/29/074		2,175,000		2,187,356
					4,048,023
Insurance — 2.06%
Farmers Exchange Capital
7.05%	07/15/282		1,000,000		1,027,815
Nationwide Mutual Insurance Co.
6.60%	04/15/342		1,000,000		988,094
Zurich Capital Trust I
8.38%	06/01/372		2,300,000		2,420,699
					4,436,608
Real Estate Investment Trust (REIT) — 2.88%
Health Care Property Investors, Inc.
7.07%	06/08/155		500,000		526,634
Highwoods Properties, Inc.
7.00%	12/01/06		3,060,000		3,065,603
HRPT Properties Trust
5.99%	03/16/114		1,500,000		1,503,938
Shurgard Storage Centers, Inc.
7.75%	02/22/11		1,000,000		1,082,738
					6,178,913
Secured Assets — 0.43%
Ingress I Ltd.
7.38%	03/30/402,†		1,000,000		919,641
Transportation — 10.55%
Air 2 US A
8.03%	10/01/202		3,393,381		3,412,469
American Airlines, Inc. 1999-1 A1
6.86%	10/15/10		34,559		35,050
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12		104,564		107,517
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16		6,671,721		6,675,890
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08		2,528,556		2,505,053
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		644,430		642,822
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/117,8		14,082		14,108
Delta Air Lines, Inc. 2000-1 A2
7.57%	05/18/125,7,8		100,000		100,188
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/127,8		10,831		10,825
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/137,8		50,000		50,091
JetBlue Airways Corp. 2004-2 G1
5.78%	02/15/184		1,901,861		1,905,426
Northwest Air Dip
7.90%	08/21/086		4,000,000		4,010,000
NWA Trust A
9.25%	06/21/147		131,646		135,596
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12		1,019,348		1,034,638
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14		5,906		5,902
United AirLines, Inc. Strip
9.08%	02/01/126		1,990,000		2,021,301
					22,666,876
Waste Management — 0.88%
Allied Waste North America, Inc. B
8.50%	12/01/08		1,800,000		1,894,500
Total Corporates
(Cost $62,937,764)					64,177,027
MORTGAGE-BACKED — 16.80%**
Commercial Mortgage-Backed — 2.12%
Structured Asset Securities Corp. 1996-CFL H
7.75%	02/25/282		1,000,000		1,041,740
Terra LNR 2006-1A D
6.13%	06/15/172,4,†		1,000,000		1,000,025
Terra LNR 2006-1A E
7.00%	06/15/172,4,†		2,500,000		2,500,063
					4,541,828
Non-Agency Mortgage-Backed — 8.46%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/102,3,†		2,513,926		741,969
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/112,3,†		43,862		13,312
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/353,9,†		5,481,512		138,436

46

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/353,9	$	10,017,838	$	377,963
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.79%	07/20/463,9		36,845,705		1,989,336
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/463		56,715,899		2,866,081
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/462,†		2,958,970		2,921,454
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/122		70,466		68,977
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/353,9		12,425,901		273,758
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/353,4		20,817,533		572,482
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/353,4		42,172,517		500,799
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
1.70%	03/19/373,4		37,544,517		1,847,894
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
1.99%	05/19/473,4		30,700,044		1,467,846
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/343,9		5,097,822		125,056
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.73%	08/25/344		1,967,813		1,974,181
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33		299,094		305,469
Washington Mutual, Inc. 2006-AR9 1XPP (IO)
0.24%	08/25/463,9		204,000,000		1,999,200
					18,184,213
U.S. Agency Mortgage-Backed — 6.22%
Fannie Mae 1993-80 S
4.35%	05/25/234		32,880		32,556
Fannie Mae 1997-44 SB (IO)
2.82%	06/25/084		154,889		3,488
Fannie Mae 2000-45 SA (IO)
2.62%	12/18/304		5,087,607		351,695
Fannie Mae 2001-31 SA
6.05%	11/25/174		231,105		231,255
Fannie Mae 2001-42 SB
8.50%	09/25/314		3,740		3,896
Fannie Mae 2003-107 SQ (IO)
2.32%	05/25/334		918,457		49,384
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31		2,453,646		109,546
Fannie Mae 2003-124 TS
9.80%	01/25/344		73,699		78,507
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32		3,396,282		517,223
Fannie Mae 2003-67 IH (IO)
5.00%	01/25/25		1,564,319		72,468
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28		135,000		18,711
Fannie Mae 2005-47 SL
7.50%	06/25/354		1,914,588		1,928,075
Fannie Mae Pool 555312
6.15%	01/01/334		1,617,692		1,644,180
Fannie Mae Pool 735575
5.50%	12/01/18		4,347,649		4,361,406
Freddie Mac 1602 SN
10.09%	10/15/234		14,590		16,603
Freddie Mac 2451 SP
5.21%	05/15/094		13,492		13,507
Freddie Mac 2527 TI (IO)
6.00%	02/15/32		1,145,727		162,924
Freddie Mac 2561 BX (IO)
5.00%	05/15/17		2,577,526		326,134
Freddie Mac 2587 IH (IO)
5.00%	08/15/25		2,058,130		131,970
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17		1,083,681		106,740
Freddie Mac 2642 BW (IO)
5.00%	06/15/23		235,198		46,200
Freddie Mac 2657 LX (IO)
6.00%	05/15/18		1,457,291		230,469
Freddie Mac 2692 EI (IO)
5.50%	08/15/33		319,309		78,914
Freddie Mac 2764 CT
7.50%	03/15/344		484,281		469,155
Freddie Mac 2764 SH
7.50%	03/15/344		378,880		384,743
Freddie Mac 2827 JT
8.50%	12/15/324		219,412		222,522
Freddie Mac 2835 IB (IO)
5.50%	01/15/19		1,848,652		41,577
Freddie Mac 2856 ST
7.00%	09/15/234		781,455		778,419
Ginnie Mae 2001-31 SJ
9.35%	02/20/314		164,177		178,201
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		299,357		41,766
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29		200,000		21,535

47

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31	$	966,864	$	47,264
Ginnie Mae 2004-8 SE
3.65%	11/26/234		693,859		667,279
					13,368,312
Total Mortgage-Backed
(Cost $36,883,705)					36,094,353
		Shares
PREFERRED STOCK — 0.71%
Automotive — 0.08%
Corts Trust for Ford Motor Co.
8.00%	07/16/31		700		13,195
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31		8,100		158,679
					171,874
Communications — 0.63%
Corts Trust for US West Communications
7.50%	11/15/43		7,118		171,544
Preferred Plus Trust Citizens Communications Co.
8.38%	10/01/46		12,100		302,621
Preferred Plus Trust Qwest Capital Funding
7.75%	02/15/31		9,650		231,600
8.00%	02/15/31		19,500		480,480
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30		6,100		156,343
					1,342,588
Total Preferred Stock
(Cost $1,487,680)					1,514,462
		Contracts
PUT OPTIONS PURCHASED — 0.29%
Automotive — 0.29%
General Motors Corp., Put Strike $30, expires 01/19/08
			200		100,000
General Motors Corp., Put Strike $35, expires 01/19/08
			450		315,000
General Motors Corp., Put Strike $40, expires 01/19/08
			200		200,000
					615,000
Total Put Options Purchased
(Cost $1,181,550)					615,000
SHORT TERM INVESTMENTS — 15.51%
Commercial Paper — 13.11%
Alcoa, Inc.
5.28%10	11/01/06		3,815,000		3,798,214
Chariot Funding LLC
5.27%10	10/24/06		2,745,000		2,736,160
DaimlerChrysler NA Holding Corp.
5.36%10	10/27/06		5,000,000		4,981,389
Kitty Hawk Funding Corp.
5.26%10	10/20/06		1,690,000		1,685,555
National Rural Utilities Cooperative Finance Corp.
5.26%10	10/25/06		1,440,000		1,435,170
Park Avenue Receivables Corp.
5.26%10	10/27/06		4,280,000		4,264,366
Preferred Receivables Funding Corp.
5.26%10	10/27/06		4,285,000		4,269,348
Yorktown Capital LLC
5.26%10	10/20/06		5,000,000		4,986,850
					28,157,052
Money Market Fund — 2.32%
JPMorgan Prime Money Market Fund			4,981,362		4,981,362
U.S. Agency Discount Notes — 0.04%
Fannie Mae
5.13%10	10/18/06		92,000		91,791
U.S. Treasury Bills — 0.04%
U.S. Treasury Bills
4.65%10	10/19/065		96,000		95,789
Total Short Term Investments
(Cost $33,325,994)					33,325,994
Total Investments – 105.64%
(Cost $227,666,884)1					226,953,176
Liabilities in Excess of Other
Assets – (5.64)%					(12,113,556	)
NET ASSETS – 100.00%				$	214,839,620

Issues	Principal Amount			Proceeds			Market Value
SECURITIES SOLD SHORT
AMR Corp.	$	(3,565	)	$	(28,671	)	$	(82,494	)
Continental Airlines, Inc., Cl. B		(39,740	)		(481,660	)		(1,125,039	)
Total Securities Sold Short				$	(510,331	)	$	(1,207,533	)

48

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Trust/Counterparty	Maturity Date		Principal Amount			Net Closing Amount
REVERSE REPURCHASE AGREEMENTS
Barclays Bank PLC, 5.38%
(Collateralized by $3,500,000 Terra LNR 2006-1A D/E, 6.13% to 7.00%, maturity 6/15/17, market value $3,500,088)	10/30/06		$	(9,088,000	)	$	(9,088,000	)
Barclays Bank PLC, 5.46%
(Collateralized by $9,645,215 Terwin Mortgage Trust 2006-8 2A1, 4.50%, maturity 8/25/37, market value $9,515,287)	11/15/06			(3,290,000	)		(3,290,000	)
Total Reverse Repurchase Agreements			$	(12,378,000	)	$	(12,378,000	)
Issues	Contracts		Premiums Received			Market Value
WRITTEN PUT OPTIONS
General Motors Corp.,
Written Strike $2.5, expires 01/20/07	(2,500	)	$	(34,999	)	$	(12,500	)
General Motors Corp.,
Written Strike $7.5, expires 01/19/08	(505	)		(74,232	)		(12,625	)
General Motors Corp.,
Written Strike $7.5, expires 01/20/07	(1,500	)		(129,745	)		(7,500	)
Total Written Put Options			$	(238,976	)	$	(32,625	)

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
14	U.S. Treasury Two Year Note, December 2006	$	(7,463	)
143	U.S. Treasury Ten Year Note, December 2006		(168,128	)
	Net unrealized (depreciation)	$	(175,591	)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 0.06% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AIG, 0.00% due 11/09/31 Counterparty: Lehman Brothers Holdings, Inc.
	06/20/07	$	5,000	$	(1,349	)
Pay a fixed rate equal to 1.17% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Sears, Roebuck and Co., 7. 00% due 02/01/11 Counterparty: Deutsche Bank AG
	12/20/09		1,000		(18,125	)
Pay a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LUV, 6.50% due 03/01/12 Counterparty: Deutsche Bank AG
	12/20/09		13,000		(180,905	)
Pay a fixed rate equal to 1.24% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Sears, Roebuck and Co., 7.00% due 02/01/11 Counterparty: Bear Stearns Co.
	03/20/10		2,000		(39,359	)
Pay a fixed rate equal to 1.05% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Sears, Roebuck and Co., 6.70% due 04/15/12 Counterparty: Bear Stearns Co.
	06/20/10		3,500		(44,701	)
Pay a fixed rate equal to 3.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CVC, 7.00% due 04/01/11 Counterparty: Deutsche Bank AG
	12/20/10		1,000		(72,172	)
Pay a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CBS, 7.00% due 07/30/10 Counterparty: Lehman Brothers Holdings, Inc.
	06/20/11		3,000		(7,636	)
Pay a fixed rate equal to 0.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7 IG, 0.40% due 12/20/11 Counterparty: Lehman Brothers Holdings, Inc.
	12/20/11		15,500		(5,479	)
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7 IG HVOL, 0.75% due 12/20/11. Counterparty : JPMorgan & Co.
	12/20/11		1,000		(1,585	)
Pay a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 7 HY, 3.25% due 12/20/11 Counterparty: Bear Stearns Co.
	12/20/11		4,000		(1,797	)
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, 8.33% due 01/25/34. Counterparty: Citigroup Inc.
	01/25/34		345		(3,952	)
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, 7.73% due 04/25/34. Counterparty: Citigroup Inc.
	04/25/34		207		(2,290	)
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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.33% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		207		(3,104	)

49

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FHLT 2004-B M1, 0.55% due 05/25/34 Counterparty: Deutsche Bank AG
	05/25/34	$	5,000	$	(23,031	)
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, 7.58% due 05/25/34. Counterparty: Citigroup Inc.
	05/25/34		207		(2,820	)
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, 7.28% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		207		(2,650	)
Pay a fixed rate equal to 2.00% 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-ECC2 M8, 7.48% due 06/25/34. Counterparty: Citigroup Inc.
	06/25/34		345		(4,850	)
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, 7.48% due 07/25/34. Counterparty: Citigroup Inc.
	07/25/34		207		(2,789	)
Pay a fixed rate equal to 0.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LBMLT 2004-3 M1, 0.55% due 07/25/34 Counterparty: Deutsche Bank AG
	07/25/34		5,000		(21,477	)
Pay a fixed rate equal to 0.60% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMSI 2004-R7, 0.60% due 08/25/34 Counterparty: Deutsche Bank AG
	08/25/34		5,000		(33,043	)
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, 7.28% due 08/25/34. Counterparty: Citigroup Inc.
	08/25/34		207		(3,162	)
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, 7.03% due 12/25/34. Counterparty: Citigroup Inc.
	11/25/34		207		(3,155	)
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, 7.28% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		207		(2,369	)
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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 Countrywide Asset-Backed Certificates 2004-12 MV8, 6.61% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		207		(3,014	)
Pay a fixed rate equal to 1.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Residential Asset Securities Corp. 2004-KS10 M5, 7.18% due 11/25/34. Counterparty: Citigroup Inc.
	11/25/34		207		(2,959	)
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, 8.83% due 12/25/34. Counterparty: Citigroup Inc.
	12/25/34		207		(4,723	)
Pay a fixed rate equal to 2.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SABR 2005 EC1, 2.95% due 01/25/35 Counterparty: Bear Stearns Co.
	01/25/35		725		4,373
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, 7.03% due 01/25/35. Counterparty: Citigroup Inc.
	01/25/35		207		(2,978	)
Pay a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the New Century Home Equity Loan Trust 2004-4 M9, 8.03% due 02/25/35. Counterparty: Citigroup Inc.
	02/25/35		345		(5,077	)
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, 7.66% due 03/25/35. Counterparty: Citigroup Inc.
	03/25/35		207		(3,501	)
Net unrealized (depreciation)				$	(499,679	)
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the FHLT 2004-B, 0.45% due 05/25/34 Counterparty: Deutsche Bank AG
	05/25/34	$	10,000	$	17,190
Receive a fixed rate equal to 0.45% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the LBMLT 2004-3 A4, 0.45% due 07/25/34 Counterparty: Deutsche Bank AG
	07/25/34		10,000		78,388

50

Strategic Income Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 0.50% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the AMSI 2004-R7 A4, 0.50% due 08/25/34 Counterparty: Deutsche Bank AG	08/25/34	$	10,000	$	45,847
Net unrealized appreciation				$	141,425
Notes:
1 Cost for Federal income tax purposes is $227,758,468 and net unrealized appreciation/(depreciation) consists of:
Gross unrealized appreciation				$	4,769,310
Gross unrealized depreciation					(5,574,602	)
Net unrealized (depreciation)				$	(805,292	)

² Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $57,202,619 representing 26.63% of total net assets.

³ Illiquid security.

⁴ Floating rate security. The rate disclosed is that in effect at September 30, 2006.

⁵ Securities, or a portion there of, pledged as collateral with a value of $3,766,371 on 14 short U.S. Treasury Two Year Note futures contracts, 179 short U.S. Treasury Five Year Note futures contracts, and 14 short U.S. Treasury Ten Year Note futures contracts.

⁶ 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
06/30/06	Cebridge 2nd Lien PIK, 11.49%, 05/05/14	$	1,010,089	$	963,793	0.45	%
11/17/04	Level 3 Financing, Inc. Bank Loan, 8.39%, 12/01/11		1,000,000		1,009,792	0.47	%
08/09/06	Murray Bank Loan 3rd Lien, 13.90%, 07/28/11		1,000,000		1,060,000	0.49	%
08/21/06	Northwest Air Dip, 7.90%, 08/21/08		4,000,000		4,010,000	1.87	%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		431,215		313,500	0.14	%
02/01/06	United AirLines, Inc. Strip, 9.08%, 02/01/12		1,990,000		2,021,301	0.94	%
04/27/06	Venoco Inc. 2nd Lien Term Loan, 10.00%, 04/26/11		1,006,946		1,006,875	0.47	%
		$	10,438,250	$	10,385,261	4.83	%

⁷ Security is currently in default with regards to scheduled interest or principal payments.

⁸ Non-income producing security.

⁹ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

¹⁰ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $52,602,175 which is 24.48% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

51

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES — 21.42%**
ACE Securities Corp. 2004-FM1 B1A
8.83%	09/25/334	$	128,571	$	128,951
ACE Securities Corp. 2006-SL1 A
5.49%	09/25/354		1,424,917		1,426,130
Amortizing Residential Collateral Trust 2002-BC4 M2
6.48%	07/25/324		480,288		485,658
Bayview Financial Acquisition Trust 2005-C A1A
5.47%	06/28/444		106,063		106,134
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.82%	12/28/40†,4,5		2,400,000		2,414,362
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP)
8.04%	08/25/30		1,247,875		1,253,114
Carrington Mortgage Loan Trust 2006-NC1 A2
5.49%	01/25/364		2,200,000		2,202,504
Castle Trust 2003-1AW A1
6.08%	05/15/274,5		805,559		805,813
Conseco Finance 2002-C BF2
8.00%	06/15/32†,5		639,739		640,439
Countrywide Asset-Backed Certificates 2004-1 M2
5.88%	03/25/344		2,250,000		2,262,284
Countrywide Asset-Backed Certificates 2005-13 AF1
5.46%	04/25/364		1,436,256		1,437,379
Embarcadero Aircraft Securitization Trust 2000-A A1
5.81%	08/15/254,5		835,000		658,084
First Alliance Mortgage Loan Trust 1994-4 A1
9.28%	02/25/26		1,582		1,574
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.55%	06/25/304		1,073,643		1,075,665
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)
5.55%	04/25/27		228,615		227,840
Green Tree Financial Corp. 1999-3 A5
6.16%	02/01/31		1,528		1,530
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20		153,406		152,779
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21		271,753		267,732
Green Tree Home Improvement Loan Trust 1996-B A
6.45%	10/15/15†		3,721		3,719
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22		183,130		178,651
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.53%	04/15/30†,4		322,551		323,122
GSAMP Trust 2004-FM1 M2
6.73%	11/25/334		2,000,000		2,020,045
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/11†,5		86,646		88,338
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
6.08%	05/25/334		1,500,000		1,501,602
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.47%	04/25/264		1,605,410		1,607,037
IndyMac Residential Asset Backed Trust 2006-A A2
5.48%	03/25/364		2,305,000		2,307,644
MASTR Asset Backed Securities Trust 2006-NC1 A2
5.47%	01/25/364		2,265,000		2,267,565
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)
7.50%	09/25/23		140,830		140,320
Mellon Residential Funding Corp. 2001-HEIL A4 (STEP)
7.12%	02/25/21		843,485		841,142
Oakwood Mortgage Investors, Inc. 2002-B A1
5.56%	05/15/134		186,297		170,827
Option One Mortgage Loan Trust 2003-2 A2
5.63%	04/25/334		128,493		128,705
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/355		240,356		238,966
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1
5.44%	03/25/364		1,890,478		1,891,565
Saxon Asset Securities Trust 2005-2 A2A
5.42%	10/25/354		166,049		166,162
Structured Asset Receivables Trust 2003-1
6.02%	01/21/10†,4,5		1,032,825		1,028,568
Structured Asset Receivables Trust 2003-2
5.47%	01/21/09†,4,5		577,946		575,564
Structured Asset Receivables Trust 2005-1
5.57%	01/21/15†		2,374,703		2,368,800
Structured Settlements Fund 1999-A A
7.25%	12/20/15†,5		62,979		62,746
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34†,5,6		20,031,789		366,903
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/36†,5		564,476		561,208
Terwin Mortgage Trust 2005-7SL A1
5.60%	07/25/354,5		725,185		725,898
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37†,4,5		2,411,304		2,378,823

52

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30	$	648,254	$	647,419
Zermatt CBO Ltd. 1A A
5.95%	09/01/10†,4,5		60,963		60,894
Total Asset-Backed Securities
(Cost $38,492,167)					38,200,205
CORPORATES — 27.72%*
Automotive — 4.08%
DaimlerChrysler NA Holding Corp.
5.64%	03/07/074		1,160,000		1,160,385
Ford Motor Credit Co.
7.08%	01/15/104		2,060,000		1,944,288
10.64%	06/15/114,5,7		766,000		801,283
GMAC LLC
7.60%	12/01/144		3,366,000		3,380,561
					7,286,517
Banking — 3.70%
Chase Capital I
7.67%	12/01/26		600,000		624,435
CS First Boston/London
9.65%	03/24/104,5		1,322,000		1,201,037
9.65%	03/24/104,5		522,000		474,237
Popular North America, Inc.
5.74%	12/12/074		915,000		917,419
Roslyn Bancorp, Inc.
5.75%	11/15/07		1,200,000		1,193,655
Societe Generale (EMTN)
6.14%	10/29/494		700,000		700,076
State Street Institutional Cap-B
8.04%	03/15/275		1,410,000		1,478,852
					6,589,711
Basic Industry — 0.67%
Steel Dynamics, Inc.
9.50%	03/15/09		1,150,000		1,188,812
Communications — 1.12%
Cebridge 2nd Lien
9.85%	05/05/14		1,000,000		970,313
Lenfest Communications, Inc.
7.63%	02/15/08		1,000,000		1,028,198
					1,998,511
Consumer Products — 0.56%
SABMILLER PLC
5.78%	07/01/094,5		1,000,000		1,000,993
Electric — 2.52%
East Coast Power LLC
6.74%	03/31/08		731,795		736,731
Entergy Gulf States, Inc.
6.14%	12/08/084,5		1,500,000		1,503,567
Florida Power Corp.
5.80%	11/14/084		1,430,000		1,433,013
TECO Energy, Inc.
7.49%	05/01/104		800,000		824,000
					4,497,311
Finance — 2.26%
Countrywide Financial Corp. (MTN) B
5.61%	03/24/094		1,400,000		1,402,454
Goldman Sachs Group, Inc.
5.59%	03/02/104		812,000		814,200
Lehman Brothers Holdings, Inc. (MTN)
5.72%	07/18/114		620,000		621,472
Residential Capital Corp.
7.34%	04/17/094,5		1,190,000		1,196,181
					4,034,307
Health Care — 0.70%
Cardinal Health, Inc.
5.64%	10/02/094,5		1,245,000		1,245,000
Insurance — 0.77%
Zurich Capital Trust I
8.38%	06/01/375		1,314,000		1,382,956
Natural Gas — 0.79%
Sempra Energy
5.86%	05/21/084		1,400,000		1,402,551
Real Estate Investment Trust (REIT) — 5.67%
Brandywine Operating Partnership LP
5.82%	04/01/094		1,125,000		1,127,055
Duke Realty LP
5.65%	12/22/064		1,180,000		1,180,277
EOP Operating LP
5.97%	10/01/104		1,670,000		1,687,166
Health Care Properties
5.84%	09/15/084		1,800,000		1,800,887
Highwoods Properties, Inc.
7.00%	12/01/06		830,000		831,520
7.13%	02/01/08		995,000		1,013,638
HRPT Properties Trust
5.99%	03/16/114		1,200,000		1,203,150
Summit Properties Partnership LP
7.20%	08/15/07		1,250,000		1,262,461
					10,106,154
Transportation — 4.00%
Air 2 US A
8.03%	10/01/205		1,079,527		1,085,600
American Airlines, Inc. 2002-1 G
6.01%	03/23/094		663,722		664,676
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16		969,760		970,366

53

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08	$	241,195	$	238,953
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		871,604		869,429
Northwest Air Dip
7.90%	08/21/088		1,000,000		1,002,500
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12		766,371		777,867
United AirLines, Inc. Strip
9.08%	02/01/128		1,492,500		1,515,976
					7,125,367
Waste Management — 0.88%
Allied Waste North America, Inc. B
8.50%	12/01/08		1,500,000		1,578,750
Total Corporates (Cost $49,409,045)					49,436,940
MORTGAGE-BACKED — 19.81%**
Commercial Mortgage-Backed — 1.26%
Terra LNR 2006-1A D
6.13%	06/15/17†,4,5		1,500,000		1,500,038
Terra LNR 2006-1A E
7.00%	06/15/17†,4,5		750,000		750,019
					2,250,057
Non-Agency Mortgage-Backed — 11.13%
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.51%	05/25/36†,4,5		2,427,831		2,427,850
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.15%	02/25/344		851,193		845,279
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.45%	05/25/35†,6,9		3,572,771		90,231
Countrywide Alternative Loan Trust 2005-27 2A1
5.91%	08/25/35†,4		1,641,840		1,648,878
Countrywide Alternative Loan Trust 2005-59 1A1
5.66%	11/20/354		2,018,113		2,026,081
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.60%	11/20/356,9		5,008,919		188,982
Countrywide Alternative Loan Trust 2005-61 2A1
5.61%	12/25/354		984,166		986,355
Countrywide Alternative Loan Trust 2005-72 A1 (STEP)
5.60%	01/25/364		1,871,433		1,874,006
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.99%	05/20/466		8,187,359		413,740
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46†,5		1,176,061		1,161,150
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.26%	03/19/356,9		4,502,676		99,200
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.37%	11/19/354,6		5,988,320		164,679
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.72%	12/25/344		1,043,626		1,047,051
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.82%	12/25/346,9		3,227,389		79,172
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
5.76%	09/25/344		900,346		904,537
MASTR Adjustable Rate Mortgages Trust 2004-13 3A2
3.79%	11/21/344		110,040		109,776
MASTR Seasoned Securities Trust 2004-1 4A1
5.17%	10/25/324		881,395		884,761
MASTR Seasoned Securities Trust 2005-1 4A1
5.81%	10/25/324		1,043,839		1,055,078
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32		135,885		135,607
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16		714,270		723,050
Structured Asset Securities Corp. 2002-5A 6A
6.29%	04/25/324		25,477		25,390
Summit Mortgage Trust 2000-1 B5
6.57%	12/28/12†,4,5		987		963
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33		687,916		702,579
Washington Mutual, Inc. 2002-AR18 A
4.12%	01/25/334		551,064		548,656
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/444		378,427		379,015
Washington Mutual, Inc. 2005-AR1 A2A2
5.58%	01/25/454		665,991		667,433
Washington Mutual, Inc. 2005-AR2 2A22
5.55%	01/25/454		657,885		660,377
					19,849,876
U.S. Agency Mortgage-Backed — 7.42%
Fannie Mae (TBA)
5.50%	10/25/21		6,342,000		6,340,021

54

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 1993-95 SB
15.05%	06/25/084	$	1,916	$	2,062
Fannie Mae 1997-91 SL (IO)
5.34%	11/25/234		538,664		77,921
Fannie Mae 2001-60 JZ
6.00%	03/25/31		61,362		61,285
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32		828,362		126,152
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31		1,000,000		299,773
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26		867,171		51,038
Fannie Mae G-36 ZB
7.00%	11/25/21		5,916		6,166
Fannie Mae Pool 646884
5.53%	05/01/324		482,032		484,024
Freddie Mac 2 L
8.00%	11/25/22		52,811		54,628
Freddie Mac 2080 PJ
6.50%	08/15/28		771,356		792,537
Freddie Mac 2535 LI (IO)
5.50%	08/15/26		288,408		13,509
Freddie Mac 2557 IM (IO)
5.50%	03/15/22		183,520		1,830
Freddie Mac Pool 1L0113
6.19%	05/01/354		1,168,926		1,186,563
Freddie Mac Pool 788498
6.57%	02/01/304		1,046,987		1,055,657
Freddie Mac Pool 847288
3.14%	05/01/344		1,875,428		1,858,440
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21		561,636		8,225
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31		1,155,165		56,469
Ginnie Mae II Pool 80968
5.00%	07/20/344		746,639		752,698
					13,228,998
Total Mortgage-Backed (Cost $35,814,376)					35,328,931
U.S. AGENCY SECURITIES — 14.06%
U.S. Agency Securities — 14.06%
Fannie Mae
2.63%	11/15/06		4,668,000		4,653,025
4.75%	08/25/08		1,170,000		1,165,573
4.88%	08/27/07		7,590,000		7,571,594
5.67%	04/26/11		1,740,000		1,743,301
Freddie Mac
3.63%	02/15/07		2,090,000		2,077,313
4.50%	08/22/07		5,005,000		4,972,873
4.75%	10/17/08		2,910,000		2,889,665
					25,073,344
Total U.S. Agency Securities (Cost $25,058,520)					25,073,344
		Shares
PREFERRED STOCK — 0.34%
Finance — 0.34%
Woodbourne Pass-Through Trust
6.45%	12/31/494,5		6		603,938
Total Preferred Stock (Cost $600,000)					603,938
		Principal Amount
SHORT TERM INVESTMENTS — 21.54%
Commercial Paper — 14.19%
Alcoa, Inc.
5.28%10	11/01/06	$	2,015,000		2,006,134
Chariot Funding
5.26%10	10/13/06		3,485,000		3,479,399
Credit Suisse
5.26%10	10/19/06		3,900,000		3,890,313
DaimlerChrysler NA Holding Corp.
5.36%10	10/06/06		960,000		959,427
5.36%10	10/27/06		2,090,000		2,082,221
General Electric Capital Corp.
5.25%10	10/12/06		1,285,000		1,283,126
Kitty Hawk Funding Corp.
5.25%10	10/12/06		2,074,000		2,070,976
National Rural Utilities Cooperative Finance Corp.
5.25%10	10/27/06		4,270,000		4,254,432
Preferred Receivables Funding Corp.
5.26%10	10/27/06		1,815,000		1,808,370
Yorktown Capital LLC
5.25%10	10/18/06		3,485,000		3,476,868
					25,311,266
Money Market Fund — 3.14%
JPMorgan Prime Money Market Fund			5,604,581		5,604,581
U.S. Agency Discount Notes — 4.17%
Fannie Mae
5.12%10	10/18/067		130,000		129,704
5.13%10	10/18/06		6,725,000		6,709,727
Freddie Mac
5.14%10	10/17/067		596,000		594,723
					7,434,154

55

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

September 30, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
U.S. Treasury Bills — 0.04%
U.S. Treasury Bills
4.65%10	10/19/067	$	60,000	$	59,869
Total Short Term Investments (Cost $38,409,870)					38,409,870
Total Investments – 104.89% (Cost $187,783,978)1					187,053,228
Liabilities in Excess of Other Assets – (4.89)%					(8,723,857	)
Net Assets – 100.00%				$	178,329,371

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
141	Euro Ninety Day, December 2007	$	(36,324	)
	Net unrealized (depreciation)	$	(36,324	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
141	Euro Ninety Day, December 2006	$	18,427
416	S&P 500 Index, December 2006		2,961,701
	Net unrealized appreciation	$	2,980,128

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation
SWAPS: TOTAL RETURN
S&P 500 Total Return issued by Credit Suisse First Boston,
5.39%
	10/03/06	$	13,518	$	593,183
Net unrealized appreciation				$	593,183

Notes:

¹ Cost for Federal income tax purposes is 187,783,978 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	510,844
Gross unrealized depreciation		(1,241,594	)
Net unrealized (depreciation)	$	(730,750	)

² Floating rate security. The rate disclosed is that in effect at September 30, 2006.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2006 was $28,420,270 representing 15.94% of total net assets.

⁴ Illiquid security.

⁵ Securities, or a portion there of, pledged as collateral with a value of $7,494,023 on 141 short Euro futures contracts, 141 long Euro futures contracts, and 416 S&P 500 Index futures contracts.

⁶ 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
08/21/06	Northwest Air Dip, 7.90%, 08/21/08	$	1,000,000	$	1,002,500	0.56	%
02/01/06	United AirLines, Inc. Strip, 9.08%, 02/01/12		1,492,500		1,515,976	0.85	%
		$	2,492,500	$	2,518,476	1.41	%

⁷ Zero coupon bond. The rate shown is the effective yield as of September 30, 2006.

⁸ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is 18,452,615 which is 10.35% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(EMTN): Euro Medium term note

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced

56

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2006 (Unaudited)

	Ultra Short Bond Fund			Low Duration Bond Fund
Assets:
Investments, at value (Cost $257,921,702, and $1,352,766,952, respectively) (Note 2)	$	257,249,234		$	1,338,722,196
Swap contracts, at value (Cost $0, and $0, respectively) (Note 3)		—			—
Cash and cash equivalents (Note 2)		45,811			137,934
Cash on deposit with brokers for securities sold short and written option contracts (Note 3)		—			—
Dividends and interest receivable		1,684,227			8,072,171
Due from Adviser (Note 5)		17,224			—
Receivable for securities sold		1,962,912			7,886,287
Receivable for capital stock sold		1,020,520			6,471,544
Receivable for daily variation margin on futures contracts (Note 3)		50,238			121,582
Other assets		7,222			21,175
Total Assets		262,037,388			1,361,432,889
Liabilities:
Securities sold short (Proceeds $0, and $0, respectively) (Note 3)		—			—
Swap contracts, at value (Cost $0, and $0, respectively) (Note 3)		—			123,104
Written option contracts, at value (Premiums received $0, and $0, respectively) (Note 3)		—			—
Reverse repurchase agreement		—			—
Payable for securities purchased		1,259,048			33,036,289
Payable for capital stock redeemed		890,257			2,268,554
Payable for daily variation margin on futures contracts (Note 3)		13,144			159,866
Line of credit payable		—			—
Due to Adviser (Note 5)		73,144			342,897
Accrued Expenses		101,328			201,276
Accrued Trustees fees		8,852			32,468
Accrued 12b-1 expenses		23,625			99,978
Distributions payable		260,794			828,353
Total liabilities		2,630,192			37,092,785
Net assets	$	259,407,196		$	1,324,340,104
Class M Shares:
Net assets (Applicable to 33,345,202, and 73,245,961, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	170,533,730		$	686,166,418
Net assets value, offering and redemption price per Class M share	$	5.11		$	9.37
Class I Shares:
Net assets (Applicable to 17,374,038, and 68,098,921, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	88,873,466		$	638,173,686
Net assets value, offering and redemption price per Class I share	$	5.12		$	9.37
Net Assets Consist of:
Capital paid-in (Note 7)	$	260,571,014		$	1,378,501,270
Accumulated undistributed net investment income		34,570			79,043
Accumulated undistributed net realized (loss) on investments, futures contracts, securities sold short, swap contracts and written options		(302,727	)		(40,323,620	)
Net unrealized appreciation/(depreciation) on investments		(672,468	)		(14,044,756	)
Net unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		(223,193	)		128,167
	$	259,407,196		$	1,324,340,104

See accompanying notes to financial statements.

57

Metropolitan West Funds

Statements of Assets and Liabilities

September 30, 2006 (Unaudited)

	Intermediate Bond Fund			Total Return Bond Fund			High Yield Bond Fund			Strategic Income Fund			AlphaTrakSM 500 Fund
Assets:
Investments, at value (Cost $103,917,105, $1,915,414,522, $66,841,958, $227,666,884, and $187,783,978, respectively) (Note 2)	$	103,975,008		$	1,920,805,722		$	66,161,050		$	226,953,176		$	187,053,228
Swap contracts, at value (Cost $0, $0, $3,020, $0, and $0, respectively) (Note 3)		—			—			333,250			—			593,183
Cash and cash equivalents (Note 2)		20,773			1,876,732			189,140			25,675			16,730
Cash on deposit with brokers for securities sold short and written option contracts (Note 3)		—			—			—			1,614,565			—
Dividends and interest receivable		941,527			17,196,409			1,169,558			2,504,035			1,156,484
Due from Adviser (Note 5)		9,117			—			15,310			—			—
Receivable for securities sold		2,857,962			155,155,979			253,854			—			2,784,119
Receivable for capital stock sold		61,800			13,272,044			111,765			965,499			1,022,618
Receivable for daily variation margin on futures contracts (Note 3)		9,463			195,469			8			42,927			67,412
Other assets		1,669			43,107			1,799			4,626			3,770
Total Assets		107,877,319			2,108,545,462			68,235,734			232,110,503			192,697,544
Liabilities:
Securities sold short (Proceeds $0, $0, $0, $510,331 and $ 0, respectively) (Note 3)		—			—			—			1,207,533			—
Swap contracts, at value (Cost $0, $7,925, $0, $8,871, and $0, respectively) (Note 3)		9,018			258,253			—			349,383			—
Written option contracts, at value (Premiums received $0, $0, $0, $238,976, and $0, respectively) (Note 3)		—			—			—			32,625			—
Reverse repurchase agreement		—			—			—			12,378,000			—
Payable for securities purchased		7,235,526			198,732,332			1,794,701			2,445,130			13,672,975
Payable for capital stock redeemed		1,858			3,341,057			71,584			497,866			14,947
Payable for daily variation margin on futures contracts (Note 3)		13,259			396,869			211			—			313,025
Line of credit payable		—			75,000			—			—			—
Due to Adviser (Note 5)		29,575			560,985			48,108			196,962			60,312
Accrued Expenses		39,639			313,005			54,063			103,609			73,136
Accrued Trustees fees		2,602			105,696			3,517			6,541			18,570
Accrued 12b-1 expenses		1,808			129,354			7,288			19,579			—
Distributions payable		93,619			854,150			28,379			33,655			215,208
Total liabilities		7,426,904			204,766,701			2,007,851			17,270,883			14,368,173
Net assets	$	100,450,415		$	1,903,778,761		$	66,227,883		$	214,839,620		$	178,329,371
Class M Shares:
Net assets (Applicable to 1,032,750, 79,450,575, 3,200,383, 8,482,538, and 21,419,819, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $ 0.01 par value)	$	10,415,946		$	762,123,627		$	34,583,505		$	93,789,876		$	178,329,371
Net assets value, offering and redemption price per Class M share	$	10.09		$	9.59		$	10.81		$	11.06		$	8.33
Class I Shares:
Net assets (Applicable to 8,927,769, 119,048,100, 2,927,258, 10,948,394, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	90,034,469		$	1,141,655,134		$	31,644,378		$	121,049,744			N/A
Net assets value, offering and redemption price per Class I share	$	10.08		$	9.59		$	10.81		$	11.06			N/A
Net Assets Consist of:
Capital paid-in (Note 7)	$	101,451,921		$	2,029,430,345		$	67,486,031		$	217,776,991		$	183,727,994
Accumulated undistributed net investment income		5,787			239,211			33,853			2,202,962			3,495,730
Accumulated undistributed net realized (loss) on investments, futures contracts, securities sold short, swap contracts and written options		(1,078,289	)		(132,145,119	)		(942,706	)		(3,401,929	)		(11,700,590	)
Net unrealized appreciation/(depreciation) on investments		57,903			5,391,200			(680,908	)		(713,708	)		(730,750	)
Net unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		13,093			863,124			331,613			(1,024,696	)		3,536,987
	$	100,450,415		$	1,903,778,761		$	66,227,883		$	214,839,620		$	178,329,371

See accompanying notes to financial statements.

58

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2006 (Unaudited)

	Ultra Short Bond Fund			Low Duration Bond Fund
Investment Income:
Interest	$	8,157,854		$	25,713,153
Dividends		—			94,765
Total investment income		8,157,854			25,807,918
Expenses:
Investment advisory fees (Note 5)		391,820			1,478,728
Administration Fees		101,886			234,707
Custodian fees		22,787			28,342
Distribution (12b-1) fees		169,601			378,436
Interest expense		—			—
Insurance expenses		5,555			16,270
Miscellaneous expenses		4,526			21,208
Professional fees		9,583			19,375
Registration and filing fees		33,425			28,390
Reports to shareholders		4,809			12,426
Transfer agent fees		45,015			48,800
Trustees’ fees and expenses		6,213			17,682
Repayment of reimbursed expenses		—			16,419
Total operating expenses		795,220			2,300,783
Expenses waived and reimbursed (Note 5)		(92,743	)		—
Net expenses		702,477			2,300,783
Net investment income		7,455,377			23,507,135
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Securities Sold Short, Swap Contracts and Written Options:
Net realized gain/(loss) on:
Investments		(284,440	)		(1,289,185	)
Futures contracts		133,541			(481,859	)
Swap contracts		(34,570	)		(79,043	)
Written options		—			—
Net change in unrealized appreciation/(depreciation) on:
Investments		1,933,670			6,946,474
Futures contracts		(323,209	)		594,713
Securities sold short		—			—
Swap contracts		—			(5,072	)
Written options		—			—
Net change in realized and unrealized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		1,424,992			5,686,028
Net Increase in Net Assets from Operations	$	8,880,369		$	29,193,163

See accompanying notes to financial statements.

59

Metropolitan West Funds

Statements of Operations

For the Period Ended September 30, 2006 (Unaudited)

	Intermediate Bond Fund			Total Return Bond Fund			High Yield Bond Fund			Strategic Income Fund			AlphaTrakSM 500 Fund
Investment Income:
Interest	$	2,320,179		$	48,957,167		$	3,049,375		$	7,248,690		$	4,753,897
Dividends		—			157,942			—			468,514			18,953
Total investment income		2,320,179			49,115,109			3,049,375			7,717,204			4,772,850
Expenses:
Investment advisory fees (Note 5)		151,237			2,962,712			174,253			1,147,247			355,773
Administration Fees		39,148			402,647			40,265			86,898			53,812
Custodian fees		8,643			51,538			9,117			16,135			11,175
Distribution (12b-1) fees		9,874			663,450			48,291			111,476			—
Interest expense		—			—			—			124,715			—
Insurance expenses		1,282			29,542			1,382			4,712			2,903
Miscellaneous expenses		910			36,044			2,261			3,920			3,221
Professional fees		10,637			30,456			10,637			9,246			10,624
Registration and filing fees		12,268			47,099			15,615			28,907			10,031
Reports to shareholders		999			29,030			669			4,691			5,872
Transfer agent fees		26,166			83,756			27,202			40,332			18,277
Trustees’ fees and expenses		1,327			33,931			1,214			5,587			3,356
Repayment of reimbursed expenses		—			17,799			—			8,025			—
Total operating expenses		262,491			4,388,004			330,906			1,591,891			475,044
Expenses waived and reimbursed (Note 5)		(62,491	)		—			(90,935	)		—			—
Net expenses		200,000			4,388,004			239,971			1,591,891			475,044
Net investment income		2,120,179			44,727,105			2,809,404			6,125,313			4,297,806
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Securities Sold Short, Swap Contracts and Written Options:
Net realized gain/(loss) on:
Investments		(545,565	)		(23,221,261	)		(12,351	)		(364,895	)		(72,870	)
Futures contracts		61,193			(872,082	)		(66,094	)		44,161			(568	)
Swap contracts		(5,790	)		(416,617	)		(562,224	)		(403,572	)		(296,020	)
Written options		—			—			—			(270,642	)		—
Net change in unrealized appreciation/(depreciation) on:
Investments		1,606,182			48,237,435			(506,062	)		267,187			639,266
Futures contracts		21,223			2,188,093			19,360			(334,200	)		1,976,204
Securities sold short		—			—			—			339,518			—
Swap contracts		(373	)		132,515			440,785			249,330			695,919
Written options		—			—			—			(7,150	)		—
Net change in realized and unrealized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		1,136,870			26,048,083			(686,586	)		(480,263	)		2,941,931
Net Increase in Net Assets from Operations	$	3,257,049		$	70,775,188		$	2,122,818		$	5,645,050		$	7,239,737

See accompanying notes to financial statements.

60

Metropolitan West Funds

Statements of Changes in Net Assets

	Ultra Short Bond Fund
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006
Operations:
Net investment income	$	7,455,377		$	11,041,452
Net realized (loss) on investments		(284,440	)		(182,025	)
Net realized gain on futures contracts, securities sold short, swap contracts and written options		98,971			207,455
Net change in unrealized appreciation/(depreciation) on investments		1,933,670			(1,128,995	)
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		(323,209	)		33,362
Net increase in net assets resulting from operations		8,880,369			9,971,249
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(4,961,828	)		(8,172,246	)
Class I		(2,466,348	)		(2,946,236	)
Net realized gains:
Class M		—			(29,030	)
Class I		—			(8,282	)
Net (decrease) in net assets resulting from dividends and distributions		(7,428,176	)		(11,155,794	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		101,782,174			181,069,740
Shares issued in reinvestment of dividends and distributions		4,860,364			8,040,526
Cost of shares redeemed		(137,690,089	)		(163,692,967	)
Total Class M capital share transactions		(31,047,551	)		25,417,299
Class I:
Proceeds from sale of shares		162,816,997			104,843,719
Shares issued in reinvestment of dividends and distributions		1,295,714			2,860,779
Cost of shares redeemed		(142,166,932	)		(90,714,870	)
Total Class I capital share transactions		21,945,779			16,989,628
Net increase/(decrease) in net assets resulting from capital share transactions		(9,101,772	)		42,406,927
Net increase/(decrease) in net assets		(7,649,579	)		41,222,382
Redemption fees (Note 7)		150			—
Net assets at beginning of period		267,056,625			225,834,243
Net assets at end of period (including undistributed net investment income of $34,570 and $7,369, respectively)	$	259,407,196		$	267,056,625

See accompanying notes to financial statements.

61

Metropolitan West Funds

Statements of Changes in Net Assets

	Low Duration Bond Fund					Intermediate Bond Fund						Total Return Bond Fund
	Six Months Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006			Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006
Operations:
Net investment income	$	23,507,135	$	30,614,477		$	2,120,179		$	2,736,310		$	44,727,105		$	77,145,528
Net realized (loss) on investments		(1,289,185)		(5,389,650	)		(545,565	)		(557,015	)		(23,221,261	)		(29,701,939	)
Net realized gain on futures contracts, securities sold short, swap contracts and written options		(560,902)		(311,976	)		55,403			2,959			(1,288,699	)		(1,579,302	)
Net change in unrealized appreciation/(depreciation) on investments		6,946,474		1,189,064			1,606,182			(997,664	)		48,237,435			(2,461,240	)
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		589,641		(408,697	)		20,850			(4,185	)		2,320,608			(1,472,503	)
Net increase in net assets resulting from operations		29,193,163		25,693,218			3,257,049			1,180,405			70,775,188			41,930,544
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(9,242,948)		(13,367,844	)		(221,708	)		(229,370	)		(16,196,020	)		(27,080,390	)
Class I		(14,185,866)		(17,651,879	)		(1,894,224	)		(2,508,601	)		(28,332,434	)		(51,420,128	)
Net realized gains:
Class M		—		—			—			(27,051	)		—			—
Class I		—		—			—			(190,252	)		—			—
Net (decrease) in net assets resulting from dividends and distributions		(23,428,814)		(31,019,723	)		(2,115,932	)		(2,955,274	)		(44,528,454	)		(78,500,518	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		398,747,345		140,086,756			1,468,338			9,310,765			253,358,724			223,599,198
Shares issued in reinvestment of dividends and distributions		8,899,884		12,980,052			218,388			254,034			14,995,637			25,732,417
Cost of shares redeemed		(57,994,089)		(141,874,318	)		(511,699	)		(352,014	)		(72,624,447	)		(144,046,578	)
Total Class M capital share transactions		349,653,140		11,192,490			1,175,027			9,212,785			195,729,914			105,285,037
Class I:
Proceeds from sale of shares		216,946,883		265,428,024			36,732,407			11,205,492			181,141,010			202,541,980
Shares issued in reinvestment of dividends and distributions		11,231,107		15,617,275			1,681,620			2,656,896			26,243,840			48,283,325
Cost of shares redeemed		(78,735,809)		(112,760,473	)		(5,780,662	)		(1,774,951	)		(47,032,838	)		(101,813,414	)
Total Class I capital share transactions		149,442,181		168,284,826			32,633,365			12,087,437			160,352,012			149,011,891
Net increase/(decrease) in net assets resulting from capital share transactions		499,095,321		179,477,316			33,808,392			21,300,222			356,081,926			254,296,928
Net increase/(decrease) in net assets		504,859,670		174,150,811			34,949,509			19,525,353			382,328,660			217,726,954
Redemption fees (Note 7)		—		—			—			—			—			—
Net assets at beginning of period		819,480,434		645,329,623			65,500,906			45,975,553			1,521,450,101			1,303,723,147
Net assets at end of period (including undistributed net investment income of $79,043, $722, $5,787, $1,540, $239,211 and $40,560, respectively)	$	1,324,340,104	$	819,480,434		$	100,450,415		$	65,500,906		$	1,903,778,761		$	1,521,450,101

See accompanying notes to financial statements.

62

Metropolitan West Funds

Statements of Changes in Net Assets

	High Yield Bond Fund
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006
Operations:
Net investment income	$	2,809,404		$	4,555,807
Net realized (loss) on investments		(12,351	)		(60,132	)
Net realized (loss) on futures contracts, securities sold short, swap contracts and written options		(628,318	)		(253,565	)
Net change in unrealized (depreciation) on investments		(506,062	)		(768,379	)
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		460,145			(120,627	)
Net increase in net assets resulting from operations		2,122,818			3,353,104
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(1,515,177	)		(2,109,770	)
Class I		(1,262,405	)		(2,462,767	)
Net realized gains:
Class M		—			(1,040,382	)
Class I		—			(1,014,684	)
Net (decrease) in net assets resulting from dividends and distributions		(2,777,582	)		(6,627,603	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		5,170,172			25,294,794
Shares issued in reinvestment of dividends and distributions		1,421,568			2,973,227
Cost of shares redeemed		(12,645,236	)		(10,876,880	)
Total Class M capital share transactions		(6,053,496	)		17,391,141
Class I:
Proceeds from sale of shares		46,287			22,111,486
Shares issued in reinvestment of dividends and distributions		1,251,781			3,299,063
Cost of shares redeemed		(1,474,486	)		(21,271,168	)
Total Class I capital share transactions		(176,418	)		4,139,381
Net increase/(decrease) in net assets resulting from capital share transactions		(6,229,914	)		21,530,522
Net increase/(decrease) in net assets		(6,884,678	)		18,256,023
Redemption fees (Note 7)		16,789			10,065
Net assets at beginning of period		73,095,772			54,829,684
Net assets at end of period (including undistributed net investment income of $33,853, and $2,031, respectively)	$	66,227,883		$	73,095,772

See accompanying notes to financial statements.

63

Metropolitan West Funds

Statements of Changes in Net Assets

	Strategic Income Fund						AlphaTrakSM 500 Fund
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006
Operations:
Net investment income	$	6,125,313		$	10,552,573		$	4,297,806		$	6,386,284
Net realized (loss) on investments		(364,895	)		(2,028,970	)		(72,870	)		(2,335,169	)
Net realized (loss) on futures contracts, securities sold short, swap contracts and written options		(630,053	)		1,690,092			(296,588	)		6,957,596
Net change in unrealized (depreciation) on investments		267,187			(58,645	)		639,266			1,994,203
Net change in unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options		247,498			(1,786,279	)		2,672,123			3,466,958
Net increase in net assets resulting from operations		5,645,050			8,368,771			7,239,737			16,469,872
Dividends and Distributions to Shareholders from:
Net investment income:
Class M		(2,488,574	)		(5,202,750	)		(3,472,838	)		(6,998,842	)
Class I		(3,466,062	)		(5,699,147	)		—			—
Net realized gains:
Class M		—			(166,041	)		—			—
Class I		—			(154,656	)		—			—
Net (decrease) in net assets resulting from dividends and distributions		(5,954,636	)		(11,222,594	)		(3,472,838	)		(6,998,842	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		15,170,281			39,548,468			26,059,909			42,580,940
Shares issued in reinvestment of dividends and distributions		2,435,258			5,296,957			3,102,747			6,264,750
Cost of shares redeemed		(9,980,271	)		(59,382,498	)		(11,018,216	)		(35,223,393	)
Total Class M capital share transactions		7,625,268			(14,537,073	)		18,144,440			13,622,297
Class I:
Proceeds from sale of shares		21,489,748			93,265,677			—			—
Shares issued in reinvestment of dividends and distributions		3,425,100			5,323,164			—			—
Cost of shares redeemed		(24,787,152	)		(68,700,660	)		—			—
Total Class I capital share transactions		127,696			29,888,181			—			—
Net increase/(decrease) in net assets resulting from capital share transactions		7,752,964			15,351,108			18,144,440			13,622,297
Net increase/(decrease) in net assets		7,443,378			12,497,285			21,911,339			23,093,327
Redemption fees (Note 7)		—			—			—			—
Net assets at beginning of period		207,396,242			194,898,957			156,418,032			133,324,705
Net assets at end of period (including undistributed net investment income of $2,202,962, $2,032,285, $3,495,730 and $2,670,762, respectively)	$	214,839,620		$	207,396,242		$	178,329,371		$	156,418,032

See accompanying notes to financial statements.

64

Metropolitan West Funds

Financial Highlights

	Ultra Short Bond Fund*
	Class M			Class M			Class M			Class M
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	5.09		$	5.11		$	5.16		$	5.00
Income from Investment Operations:
Net investment income		0.12	#		0.20	#		0.17	#		0.16	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.02			(0.02	)		(0.05	)		0.16
Total from Investment Operations		0.14			0.18			0.12			0.32
Less Distributions:
Dividends from net investment income		(0.12	)		(0.20	)		(0.17	)		(0.16	)
Distributions from net capital gains		—			(0.00	)1		(0.00	)1		(0.00	)1
Total Distributions		(0.12	)		(0.20	)		(0.17	)		(0.16	)
Net Asset Value, End of Period	$	5.11		$	5.09		$	5.11		$	5.16
Total Return		2.77	%2		3.62	%		2.31	%		6.48	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	170,534		$	200,563		$	175,983		$	145,581
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.56	%3		0.57	%		0.62	%		0.76	%3
After expense waivers and reimbursements		0.50	%3		0.50	%		0.50	%		0.50	%3
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.64	%3		3.86	%		3.13	%4		3.36	%3
After expense waivers and reimbursements		4.70	%3		3.93	%		3.25	%4		3.62	%3
Portfolio Turnover Rate		60	%2		20	%		25	%		6	%2

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

¹ Distributions were less than $0.005.

² Non-Annualized.

³ Annualized.

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			Class I
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Period Ended March 31, 2005
Net Asset Value, Beginning of Period	$	5.09		$	5.11		$	5.15
Income from Investment Operations:
Net investment income		0.13	#		0.21	#		0.12	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.02			(0.02	)		(0.04	)
Total from Investment Operations		0.15			0.19			0.08
Less Distributions:
Dividends from net investment income		(0.12	)		(0.21	)		(0.12	)
Distributions from net capital gains		—			(0.00	)1		(0.00	)1
Total Distributions		(0.12	)		(0.21	)		(0.12	)
Net Asset Value, End of Period	$	5.12		$	5.09		$	5.11
Total Return		3.26	%2		3.79	%		1.52	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	88,873		$	66,493		$	49,851
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.39	%3		0.41	%		0.49	%3
After expense waivers and reimbursements		0.34	%3		0.34	%		0.34	%3
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.83	%3		4.03	%		3.28	%3,4
After expense waivers and reimbursements		4.88	%3		4.10	%		3.43	%3,4
Portfolio Turnover Rate		60	%2		20	%		25	%2

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

¹ Distributions were less than $0.005.

² Non-Annualized.

³ Annualized.

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			Class M
	Six Months Ended September 30, 2006 (Unaudited)			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 Period	$	9.32		$	9.39		$	9.55		$	9.36		$	9.87		$	10.03
Income from Investment Operations:
Net investment income		0.22	#		0.38	#		0.35	#		0.42	#		0.51	†#		0.65	†#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.05			(0.07	)		(0.16	)		0.20			(0.51	)†		(0.18	)†
Total from Investment Operations		0.27			0.31			0.19			0.62			0.00			0.47
Less Distributions:
Dividends from net investment income		(0.22	)		(0.38	)		(0.35	)		(0.43	)		(0.51	)		(0.63	)
Total Distributions		(0.22	)		(0.38	)		(0.35	)		(0.43	)		(0.51	)		(0.63	)
Net Asset Value, End of Period	$	9.37		$	9.32		$	9.39		$	9.55		$	9.36		$	9.87
Total Return		2.89	%1		3.38	%		2.02	%		6.81	%		0.10	%		4.74	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	686,166		$	334,038		$	325,137		$	335,686		$	305,726		$	424,441
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.58	%2		0.60	%		0.62	%		0.64	%		0.62	%		0.64	%
After expense waivers and reimbursements		0.58	%2		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net
Assets
Before expense waivers and reimbursements		4.66	%2		3.99	%		3.71	%		4.41	%		5.35	%†		6.24	%†
After expense waivers and reimbursements		4.66	%2		4.01	%		3.75	%		4.47	%		5.39	%†		6.30	%†
Portfolio Turnover Rate		28	%1		96	%		108	%		94	%		65	%		26	%

¹ Non-Annualized.

² Annualized.

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

^† Prior year’s 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 $0.005 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			Class I
	Six Months Ended September 30, 2006 (Unaudited)			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 Period	$	9.32		$	9.39		$	9.55		$	9.36		$	9.87		$	10.03
Income from Investment Operations:
Net investment income		0.23	#		0.40	#		0.37	#		0.43	#		0.53	†#		0.67	†#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.04			(0.07	)		(0.17	)		0.21			(0.51	)†		(0.18	)†
Total from Investment Operations		0.27			0.33			0.20			0.64			0.02			0.49
Less Distributions:
Dividends from net investment income		(0.22	)		(0.40	)		(0.36	)		(0.45	)		(0.53	)		(0.65	)
Total Distributions		(0.22	)		(0.40	)		(0.36	)		(0.45	)		(0.53	)		(0.65	)
Net Asset Value, End of Period	$	9.37		$	9.32		$	9.39		$	9.55		$	9.36		$	9.87
Total Return		2.99	%1		3.57	%		2.22	%		7.01	%		0.29	%		4.94	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	638,174		$	485,442		$	320,192		$	222,808		$	206,006		$	327,473
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.39	%2		0.41	%		0.43	%		0.45	%		0.43	%		0.45	%
After expense waivers and reimbursements		0.39	%2		0.39	%		0.39	%		0.39	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net
Assets
Before expense waivers and reimbursements		4.84	%2		4.21	%		3.89	%		4.52	%		5.54	%†		6.43	%†
After expense waivers and reimbursements		4.84	%2		4.23	%		3.93	%		4.58	%		5.58	%†		6.49	%†
Portfolio Turnover Rate		28	%1		96	%		108	%		94	%		65	%		26	%

¹ Non-Annualized.

² Annualized.

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

^† Prior year’s 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 $0.005 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			Class M
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	9.99		$	10.28		$	10.72		$	10.88
Income from Investment Operations:
Net investment income		0.24	#		0.45	#		0.49	#		0.32	#
Net realized and unrealized gain/(loss) on investments, swap contracts and written options		0.10			(0.24	)		(0.31	)		0.22
Total from Investment Operations		0.34			0.21			0.18			0.54
Less Distributions:
Dividends from net investment income		(0.24	)		(0.47	)		(0.49	)		(0.40	)
Distributions from net capital gains		—			(0.03	)		(0.13	)		(0.30	)
Total Distributions		(0.24	)		(0.50	)		(0.62	)		(0.70	)
Net Asset Value, End of Period	$	10.09		$	9.99		$	10.28		$	10.72
Total Return		3.41	%1		2.08	%		1.74	%		5.12	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	10,416		$	9,147		$	154		$	75
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.80	%2		0.89	%		0.98	%		1.05	%2
After expense waivers and reimbursements		0.65	%2		0.65	%		0.65	%		0.65	%2
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.57	%2		4.22	%		4.32	%		3.53	%2
After expense waivers and reimbursement		4.72	%2		4.46	%		4.65	%		3.93	%2
Portfolio Turnover Rate		58	%1		113	%		183	%		165	%1

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

¹ Non-Annualized.

² 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			Class I
	Six Months Ended September 30, 2006 (Unaudited)			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	$	9.99		$	10.27		$	10.71		$	10.49		$	10.00
Income from Investment Operations:
Net investment income		0.25	#		0.49	#		0.51	#		0.56	#		0.35	†#
Net realized and unrealized gain/(loss) on investments, swap contracts and written options		0.09			(0.25	)		(0.31	)		0.54			0.64	†
Total from Investment Operations		0.34			0.24			0.20			1.10			0.99
Less Distributions:
Dividends from net investment income		(0.25	)		(0.49	)		(0.51	)		(0.59	)		(0.40	)
Distributions from net capital gains		—			(0.03	)		(0.13	)		(0.29	)		(0.10	)
Total Distributions		(0.25	)		(0.52	)		(0.64	)		(0.88	)		(0.50	)
Net Asset Value, End of Period	$	10.08		$	9.99		$	10.27		$	10.71		$	10.49
Total Return		3.41	%1		2.39	%		1.95	%		10.86	%		10.07	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	90,034		$	56,353		$	45,821		$	39,727		$	28,159
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.58	%2		0.70	%		0.77	%		0.79	%		0.64	%2
After expense waivers reimbursements		0.44	%2		0.44	%		0.44	%		0.44	%		0.44	%2
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		4.79	%2		4.51	%		4.53	%		4.88	%		4.25	%2†
After expense waivers and reimbursements		4.93	%2		4.77	%		4.86	%		5.23	%		4.45	%2†
Portfolio Turnover Rate		58	%1		113	%		183	%		165	%		139	%1

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

¹ Non-Annualized.

² Annualized.

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

^† Prior year’s 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 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			Class M
	Six Months Ended September 30, 2006 (Unaudited)			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 Period	$	9.46		$	9.71		$	10.06		$	9.28		$	9.95		$	10.34
Income from Investment Operations:
Net investment income		0.25	#		0.53	#		0.59	#		0.55	#		0.70	†#		0.74	†#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.12			(0.24	)		(0.36	)		0.82			(0.63	)†		(0.30	)†
Total from Investment Operations		0.37			0.29			0.23			1.37			0.07			0.44
Less Distributions:
Dividends from net investment income		(0.24	)		(0.54	)		(0.58	)		(0.59	)		(0.70	)		(0.73	)
Distributions from net capital gains		—			—			—			—			(0.04	)		(0.10	)
Total Distributions		(0.24	)		(0.54	)		(0.58	)		(0.59	)		(0.74	)		(0.83	)
Net Asset Value, End of Period	$	9.59		$	9.46		$	9.71		$	10.06		$	9.28		$	9.95
Total Return		4.01	%1		3.04	%		2.42	%		15.15	%		0.91	%		4.39	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	762,124		$	555,873		$	463,895		$	498,299		$	550,891		$	692,279
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.65	%2		0.67	%		0.67	%		0.67	%		0.67	%		0.68	%
After expense waivers reimbursements		0.65	%2		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.15	%2		5.47	%		6.00	%		5.60	%		7.42	%		7.16	%†
After expense waivers and reimbursements		5.15	%2		5.49	%		6.02	%		5.62	%		7.44	%		7.19	%†
Portfolio Turnover Rate		74	%1		174	%		180	%		165	%		90	%		78	%

¹ Non-Annualized.

² Annualized.

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

^† Prior year’s 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 $0.005 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			Class I
	Six Months Ended September 30, 2006 (Unaudited)			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 Period	$	9.46		$	9.71		$	10.06		$	9.27		$	9.94		$	10.34
Income from Investment Operations:
Net investment income		0.26	#		0.55	#		0.61	#		0.57	#		0.72	†#		0.76	†#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.12			(0.24	)		(0.36	)		0.83			(0.63	)†		(0.31	)†
Total from Investment Operations		0.38			0.31			0.25			1.40			0.09			0.45
Less Distributions:
Dividends from net investment income		(0.25	)		(0.56	)		(0.60	)		(0.61	)		(0.72	)		(0.75	)
Distributions from net capital gains		—			—			—			—			(0.04	)		(0.10	)
Total Distributions		(0.25	)		(0.56	)		(0.60	)		(0.61	)		(0.76	)		(0.85	)
Net Asset Value, End of Period	$	9.59		$	9.46		$	9.71		$	10.06		$	9.27		$	9.94
Total Return		4.12	%1		3.25	%		2.64	%		15.51	%		1.11	%		4.51	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	1,141,655		$	965,577		$	839,828		$	899,263		$	944,471		$	1,106,907
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.44	%2		0.46	%		0.46	%		0.46	%		0.46	%		0.47	%
After expense waivers and reimbursements		0.44	%2		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.36	%2		5.69	%		6.22	%		5.81	%		7.63	%		7.37	%†
After expense waivers and reimbursements		5.36	%2		5.71	%		6.24	%		5.83	%		7.65	%		7.40	%†
Portfolio Turnover Rate		74	%1		174	%		180	%		165	%		90	%		78	%

¹ Non-Annualized.

² Annualized.

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

^† Prior year’s 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 $0.005 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			Class M
	Six Months Ended September 30, 2006 (Unaudited)			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	$	10.89		$	11.42		$	12.50		$	11.38		$	10.00
Income from Investment Operations:
Net investment income		0.43	#		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		(0.08	)		(0.20	)		(0.06	)		1.50			1.38	†
Total from Investment Operations		0.35			0.61			0.93			2.43			1.85
Less Distributions:
Dividends from net investment income		(0.43	)		(0.82	)		(0.98	)		(0.92	)		(0.47	)
Distributions from net capital gains		—			(0.32	)		(1.04	)		(0.39	)		—
Total Distributions		(0.43	)		(1.14	)		(2.02	)		(1.31	)		(0.47	)
Redemption fees added to paid in capital (Note 7)		0.001			0.001			0.01			0.001			0.001
Net Asset Value, End of Period	$	10.81		$	10.89		$	11.42		$	12.50		$	11.38
Total Return		3.25	%2		5.59	%		7.84	%		21.99	%		18.79	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	34,584		$	41,037		$	25,094		$	49,917		$	48,996
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.06	%3		1.10	%		1.15	%		1.09	%		1.20	%3
After expense waivers reimbursements		0.80	%3		0.80	%		0.80	%		0.80	%		0.80	%3
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		7.67	%3		6.95	%		7.79	%4		7.22	%4		8.90	%3†
After expense waivers and reimbursements		7.93	%3		7.25	%		8.14	%4		7.51	%4		9.30	%3†
Portfolio Turnover Rate		46	%2		111	%		167	%		268	%		200	%2

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

¹ Amount is less than $0.01.

² Non-Annualized.

³ Annualized.

⁴ Prior year’s 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 year’s 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			Class I
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Period	$	10.90		$	11.43		$	12.51		$	11.38
Income from Investment Operations:
Net investment income		0.45	#		0.84	#		1.02	#		0.98	#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options and securities sold short		(0.10	)		(0.21	)		(0.06	)		1.49
Total from Investment Operations		0.35			0.63			0.96			2.47
Less Distributions:
Dividends from net investment income		(0.44	)		(0.84	)		(1.01	)		(0.95	)
Distributions from net capital gains		—			(0.32	)		(1.04	)		(0.39	)
Total Distributions		(0.44	)		(1.16	)		(2.05	)		(1.34	)
Redemption fees added to paid in capital (Note 7)		0.001			0.001			0.01			0.001
Net Asset Value, End of Period	$	10.81		$	10.90		$	11.43		$	12.51
Total Return		3.38	%2		5.86	%		8.12	%		22.35	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	31,644		$	32,058		$	29,735		$	19,129
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.81	%3		0.85	%		0.90	%		0.84	%
After expense waivers and reimbursements		0.55	%3		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		7.96	%3		7.19	%		8.09	%4		7.58	%4
After expense waivers and reimbursements		8.22	%3		7.49	%		8.44	%4		7.87	%4
Portfolio Turnover Rate		46	%2		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 Non-Annualized.

³ Annualized.

⁴ Prior year’s 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*
	Class M			Class M			Class M			Class M
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	11.07		$	11.22		$	11.27		$	10.00
Income from Investment Operations:
Net investment income		0.32	#		0.55	#		0.38	#1		0.29	#1
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(0.02	)		(0.11	)		0.07			1.32
Total from Investment Operations		0.30			0.44			0.45			1.61
Less Distributions:
Dividends from net investment income		(0.31	)		(0.57	)		(0.39	)		(0.33	)
Distributions from net capital gains		—			(0.02	)		(0.11	)		(0.01	)
Total Distributions		(0.31	)		(0.59	)		(0.50	)		(0.34	)
Net Asset Value, End of Period	$	11.06		$	11.07		$	11.22		$	11.27
Total Return		2.74	%2		4.04	%		3.81	%		16.27	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	93,790		$	86,288		$	102,232		$	96,802
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.55	%3		1.91	%		2.22	%		2.62	%3
After expense waivers and reimbursements		1.55	%3		1.91	%		2.22	%		2.35	%3
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.75	%3		4.94	%		3.40	%1		3.18	%1,3
After expense waivers and reimbursements		5.75	%3		4.94	%		3.40	%1		3.45	%1,3
Portfolio Turnover Rate		8	%2		44	%		114	%		96	%2

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

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 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.

² Non-Annualized.

³ 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.

75

Metropolitan West Funds

Financial Highlights

	Strategic Income Fund*
	Class I			Class I			Class I
	Six Months Ended September 30, 2006 (Unaudited)			Year Ended March 31, 2006			Year Ended March 31, 2005
Net Asset Value, Beginning of Year	$	11.07		$	11.22		$	11.27
Income from Investment Operations:
Net investment income		0.33	#		0.59	#		0.45	#1
Net realized and unrealized (loss) on investments, futures contracts, swap contracts, written options and securities sold short		(0.02	)		(0.12	)		(0.02	)
Total from Investment Operations		0.31			0.47			0.43
Less Distributions:
Dividends from net investment income		(0.32	)		(0.60	)		(0.37	)
Distributions from net capital gains		—			(0.02	)		(0.11	)
Total Distributions		(0.32	)		(0.62	)		(0.48	)
Net Asset Value, End of Year	$	11.06		$	11.07		$	11.22
Total Return		2.87	%2		4.30	%		4.07	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	121,050		$	121,108		$	92,667
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.30	%3		1.62	%		1.98	%
After expense waivers and reimbursements		1.30	%3		1.62	%		1.96	%
Ratio of Net Investment Income to Average Net Assets
Before expense waivers and reimbursements		5.98	%3		5.27	%		3.86	%1
After expense waivers and reimbursements		5.98	%3		5.27	%		3.88	%1
Portfolio Turnover Rate		8	%2		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 amounts 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%.

² Non-Annualized.

³ 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.

76

Metropolitan West Funds

Financial Highlights

	AlphaTrakSM 500 Fund
	Six Months Ended September 30, 2006 (Unaudited)			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 Period	$	8.14		$	7.61		$	7.33		$	5.49		$	8.20		$	8.47
Income from Investment Operations:
Net investment income		0.21	#		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		0.15			0.56			0.27			1.85			(2.61	)†		(0.27	)†
Total from Investment Operations		0.36			0.92			0.52			2.07			(2.29	)		0.21
Less Distributions:
Dividends from net investment income		(0.17	)		(0.39	)		(0.24	)		(0.23	)		(0.42	)		(0.48	)
Total Distributions		(0.17	)		(0.39	)		(0.24	)		(0.23	)		(0.42	)		(0.48	)
Net Asset Value, End of Period	$	8.33		$	8.14		$	7.61		$	7.33		$	5.49		$	8.20
Total Return		4.41	%2		12.33	%		7.15	%		38.16	%		(28.35	)%		2.66	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	178,329		$	156,418		$	133,325		$	107,551		$	88,353		$	86,749
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.56	%3		0.36	%		0.52	%		0.88	%		0.55	%		0.89	%
After expense waivers and reimbursements		0.56	%3		0.36	%		0.52	%		0.88	%		0.55	%		0.80	%
Ratio of Net Investment Income to Average Net
Assets
Before expense waivers and reimbursements		5.08	%3		4.54	%		3.41	%1		3.25	%		5.10	%†		5.70	%†
After expense waivers and reimbursements		5.08	%3		4.54	%		3.41	%1		3.25	%		5.10	%†		5.79	%†
Portfolio Turnover Rate		52	%2		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 amounts 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 average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.23%.

² Non-Annualized.

³ Annualized.

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

^† Prior year’s 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

September 30, 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 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.

78

Notes to Financial Statements (continued)

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 at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors (approved by the Board of Trustees) which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser, in consultation with a market maker, initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (i.e. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board of Trustees. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (unless the Board of Trustees determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. EST on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. 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. Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The amount and character of tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of September 30, 2006.

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.

New accounting pronouncements:

In July 2006, the Financial Accounting Standards Board issued Interpretation No. 48, “Accounting for Uncertainty in Income Taxes an Interpretation of FASB Statement No. 109” (the “Interpretation”). The Interpretation establishes for all entities, including pass-through entities such as the Funds, a minimum threshold for financial statement recognition of the benefit of positions taken in filing tax returns (including whether an entity is taxable in a particular jurisdiction), and requires certain expanded tax disclosures. The Interpretation is effective for fiscal years beginning after December 15, 2006, and is to be applied to all open tax years as of the date of effectiveness. Management has recently begun to evaluate the application of the Interpretation to the Funds, and is not in a position at this time to estimate the significance of its impact, if any, on the Funds’ financial statements.

In addition, in September 2006, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“SFAS 157”). This standard establishes a single authoritative definition of fair value, sets out framework for measuring fair value and requires additional disclosure about fair value measurements. SFAS 157 applies to fair value measurements already required or permitted by existing standards. SFAS 157 is effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods use to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Funds do not believe the adoption of SFAS 157 will impact the amounts reported in the financial statements, however, additional disclosures may be required about the inputs used to develop the measurements reported on the statement of changes in net assets for a fiscal period.

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

80

Notes to Financial Statements (continued)

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 six months September 30, 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.

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,

81

Notes to Financial Statements (continued)

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.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. The average dollar amount and average interest rate of Reverse Repurchase Agreements in the Strategic Income Fund for the period ended September 30, 2006 was $4,131,129 and 5.23%, respectively.

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 such transactions. 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 of a credit default swap, 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 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 also may 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

82

Notes to Financial Statements (continued)

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 September 30, 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 period ended September 30, 2006 excluding U.S. Government and short-term investments, were as follows:

	Purchases		Sales
Ultra Short Bond Fund	$	201,343,249	$	150,676,909
Low Duration Bond Fund		369,951,907		95,541,988
Intermediate Bond Fund		47,574,760		15,857,500
Total Return Bond Fund		781,351,773		481,817,389
High Yield Bond Fund		30,568,681		35,580,729
Strategic Income Fund		56,911,049		14,699,880
AlphaTrakSM 500 Fund		104,786,819		75,264,868

Investment transactions in U.S. Government securities for the period ended September 30, 2006 were as follows:

	Purchases		Sales
Low Duration Bond Fund	$	367,890,645	$	160,536,957
Intermediate Bond Fund		25,335,309		28,772,373
Total Return Bond Fund		677,366,416		707,245,879

Transactions in option contracts written for the period ended September 30, 2006 were as follows:

	Strategic Income Fund
	Contracts	Premium
Outstanding at March 31, 2006	4,505	$	238,976
Option written during period	—		—
Option exercised during period	—		—
Options expired during period	—		—
Options closed during period	—		—
Outstanding at September 30, 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 increased by 0.07% resulting in $355,773

83

Notes to Financial Statements (continued)

of total management fees for the period ended September 30, 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 decreased by 0.10% resulting in $1,147,247 of total management fees for the period ended September 30, 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 period. Investment advisory fees and related voluntary expense limitations for the period ended September 30, 2006, were as follows:

	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		0.70 - 2.10
AlphaTrakSM 500 Fund	0.00 - 0.70		0.00 - 0.70		0.20 - 0.90		0.20 - 0.90

For the period ended September 30, 2006, the Adviser recouped $16,419, $17,799 and $8,025 of waived or reimbursed expenses for the Low Duration Bond Fund, Total Return Bond Fund and Strategic Income Fund, respectively.

At September 30, 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		273,910		221,508		177,911		673,329
Intermediate Bond Fund		118,477		144,878		147,159		410,514
Total Return Bond Fund		336,176		284,745		256,059		876,980
High Yield Bond Fund		325,272		186,455		182,919		694,646
Strategic Income Fund		—		8,202		—		8,202

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

84

Notes to Financial Statements (continued)

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 period ended September 30, 2006. The AlphaTrak^SM 500 Fund is currently not incurring Rule 12b-1 fees.

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
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	39,389,338		34,434,550		13,069,365		9,762,417
Shares sold	19,960,477		35,417,283		31,889,953		20,543,980
Shares issued through reinvestment of dividends	952,065		1,573,746		253,916		560,579
Shares redeemed	(26,956,678	)	(32,036,241	)	(27,839,196	)	(17,797,611	)
Net increase/(decrease) in fund shares	(6,044,136	)	4,954,788		4,304,673		3,306,948
Shares outstanding at end of period	33,345,202		39,389,338		17,374,038		13,069,365

85

Notes to Financial Statements (continued)

	Low Duration Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	35,839,564		34,642,071		52,066,250		34,106,697
Shares sold	42,671,180		14,969,340		23,272,273		28,347,848
Shares issued through reinvestment of dividends	953,671		1,387,558		1,203,472		1,669,664
Shares redeemed	(6,218,454	)	(15,159,405	)	(8,443,074	)	(12,057,959	)
Net increase in fund shares	37,406,397		1,197,493		16,032,671		17,959,553
Shares outstanding at end of period	73,245,961		35,839,564		68,098,921		52,066,250
	Intermediate Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	915,337		15,008		5,639,107		4,459,564
Shares sold	146,917		909,988		3,697,819		1,093,572
Shares issued through reinvestment of dividends	21,877		25,135		168,515		261,300
Shares redeemed	(51,381	)	(34,794	)	(577,672	)	(175,329	)
Net increase in fund shares	117,413		900,329		3,288,662		1,179,543
Shares outstanding at end of period	1,032,750		915,337		8,927,769		5,639,107
	Total Return Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	58,748,380		47,783,776		102,076,133		86,530,352
Shares sold	26,801,652		23,230,813		19,198,257		21,055,367
Shares issued through reinvestment of dividends	1,584,140		2,668,040		2,774,721		5,005,209
Shares redeemed	(7,683,597	)	(14,934,249	)	(5,001,011	)	(10,514,795	)
Net increase in fund shares	20,702,195		10,964,604		16,971,967		15,545,781
Shares outstanding at end of period	79,450,575		58,748,380		119,048,100		102,076,133

86

Notes to Financial Statements (continued)

	High Yield Bond Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	3,767,351		2,197,393		2,941,884		2,602,293
Shares sold	478,563		2,274,073		4,303		1,952,750
Shares issued through reinvestment of dividends	132,019		269,612		116,227		297,976
Shares redeemed	(1,177,550	)	(973,727	)	(135,156	)	(1,911,135	)
Net increase/(decrease) in fund shares	(566,968	)	1,569,958		(14,626	)	339,591
Shares outstanding at end of period	3,200,383		3,767,351		2,927,258		2,941,884
	Strategic Income Fund
	Class M		Class M		Class I		Class I
	Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006		Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period	7,793,703		9,114,676		10,939,240		8,261,804
Shares sold	1,371,509		3,542,568		1,942,106		8,386,601
Shares issued through reinvestment of dividends	220,444		475,804		310,058		478,411
Shares redeemed	(903,118	)	(5,339,345	)	(2,243,010	)	(6,187,576	)
Net increase/(decrease) in fund shares	688,835		(1,320,973	)	9,154		2,677,436
Shares outstanding at end of period	8,482,538		7,793,703		10,948,394		10,939,240
					AlphaTrakSM 500 Fund
					Period Ended September 30, 2006 (Unaudited)		Year Ended March 31, 2006
Change in Fund shares:
Shares outstanding at beginning of period					19,223,312		17,523,538
Shares sold					3,182,170		5,351,332
Shares issued through reinvestment of dividends					380,311		800,771
Shares redeemed					(1,365,974	)	(4,452,329	)
Net increase in fund shares					2,196,507		1,699,774
Shares outstanding at end of period					21,419,819		19,223,312

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:

Certain of 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

87

Notes to Financial Statements (continued)

outstanding balances. There was $75,000 borrowed from the line of credit on the Total Return Bond Fund during the period ended September 30, 2006. The Total Return Bond Fund does not have access to the unsecured line of credit.

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		—		—

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

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.

88

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.

89

Approval of Renewal of Investment Management Agreement

(Unaudited)

The Trust’s Board has approved the renewal of the Trust’s Investment Management Agreement (the “Agreement”) with the Adviser for an additional one-year term through the next annual meeting of the Board expected in May 2007. The renewal of the Agreement was approved by the Board (including a majority of the independent Board members) upon the recommendation of the independent Board members. The independent Board members met separately in executive session to discuss and review the information that had been presented for their consideration prior to the Board’s vote to renew the Agreement. The information, material facts and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.

1. Information received

Materials reviewed – During the course of each year, the independent Board members receive a wide variety of materials relating to the services provided by the Adviser, including reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information that included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to the Fund.

Review process – The independent Board members reviewed advice regarding legal and industry standards provided by legal counsel to the Trust, which is not independent legal counsel. The independent Board members discussed the renewal of the Agreement with the Adviser’s representatives and in a private session at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the independent Board members did not identify any single or particular piece of information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.

2. Nature, extent and quality of services

The Board considered the depth and quality of the Adviser’s investment management process, including its research and intellectual capabilities; the experience, capability and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results and portfolio accounting. They considered the Adviser’s commitment to investing in information technology supporting investment management and compliance. They further noted the high level of communication between the Adviser and the Board. Among other favorable public press concerning the Adviser and the Funds, the Board recognized the Adviser’s selection by Morningstar, Inc. as the 2005 fixed-income manager of the year for The Total Return Bond Fund. (Morningstar designates a “Fund Manager of the Year” in three categories each year based on its own research and an in-depth evaluation by its editorial staff. Morningstar analysts base this designation on a number of criteria, including calendar year returns, long-term results, durable strategies, and stewardship.)

The Board and the independent Board members concluded that the nature, extent and quality of the services provided by the Adviser are of a high quality and have benefited and will continue to benefit the Funds and their shareholders.

3. Investment results

The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various periods. In reviewing each Fund’s relative performance, the Board took into account any unique characteristics and its asset size, diversification and range of investments.

The Board noted that each Fund’s performance was acceptable over the relevant periods, and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Adviser explained that the performance comparison benchmark for the Strategic Income Fund does not exemplify the Fund’s investment style and, therefore, the

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Approval of Renewal of Investment Management Agreement (continued)

Fund’s relative underperformance does not provide a useful comparison. The Adviser further explained that the Strategic Income Fund is somewhat unique and why it is difficult to find a fully adequate comparison group for it. (See further discussion in paragraph 4 below.) The Board ultimately concluded that the Adviser was implementing each Fund’s investment objective and the Adviser’s record in managing the Funds indicates that its continued management should benefit the Fund and its shareholders.

4. Advisory fees and total expenses

The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of all other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below the median of the peer group funds on a current basis with the exception of the Strategic Income Fund. The Board discussed why the Lipper peer group was not a suitable comparison for that Fund because the Strategic Income Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board further noted that the AlphaTrak 500 Fund and the Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.

The Board also reviewed information regarding the advisory fees paid by institutional clients of the Adviser with similar investment mandates. They concluded that, although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.

5. The Adviser’s costs, level of profits and economies of scale

The independent Board members reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. They accepted the Adviser’s assertion that its profit margins have declined over time with respect to the Funds as a result of increased regulatory and other costs involved with the mutual fund business. The independent Board members recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the independent Board members concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The independent Board members considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They realized that the advisory fees for the Funds do not have breakpoints, which would result in lower advisory fee rates as the Fund grow larger. And, they accepted the Adviser’s assertion that the advisory fees compare favorably to peer group fees and expenses. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller), and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.

6. Ancillary benefits

The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that directly benefit from the Adviser’s relationship to the Funds.

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Approval of Renewal of Investment Management Agreement (continued)

7. Conclusions

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the independent Board members concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.

92

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

Erik L. Cuellar

Assistant Treasurer & Principal Accounting Officer

Shang Ni

Assistant Treasurer

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 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.

METSAR2006

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Schedule of Investments.

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) Not applicable.

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

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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

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

Date November 28, 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 November 28, 2006
By (Signature and Title)*	/s/ Joseph D. Hattesohl
	Joseph D. Hattesohl, Treasurer
	(principal financial officer)
Date November 28, 2006

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