UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07989

Metropolitan West Funds

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Name and address of agent for service)

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

Date of fiscal year end: March 31

Date of reporting period: December 31, 2006

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

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

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 21.78%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	54,509	$	55,416
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32			74,049		74,542
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33			29,930		29,686
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.26%	09/15/33			99,665		98,582
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.43%	12/15/33			102,338		100,104
Amortizing Residential Collateral Trust 2002-BC4 M2
6.50%	07/25/32	2		703,360		712,643
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.85%	02/28/40	2,3,†		4,000,000		4,009,186
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.85%	12/28/40	2,3,†		3,900,000		3,899,207
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP)
8.04%	08/25/30			1,299,458		1,301,922
Conseco Finance 2001-C A4
6.19%	03/15/30			20,340		20,372
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			14,762		14,736
Countrywide Asset-Backed Certificates 2003-BC1 M1
6.27%	12/25/32	2		1,657,412		1,660,344
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			255,360		250,992
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			393,877		396,667
FHLMC Structured Pass Through Securities T-49 AF5 (STEP)
5.45%	12/25/32			582,093		576,145
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			18,286		18,213
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A
6.90%	03/25/24	2		3,500,000		3,506,664
GE Capital Mortgage Services, Inc. 1998-HE1 A7
6.47%	06/25/28			3,957		3,991
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			17,127		17,752
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27			45,711		47,290
Green Tree Financial Corp. 1999-3 A5
6.16%	02/01/31			218,151		218,373
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			403,534		400,730
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			105,538		103,688
GSAMP Trust 2004-FM1 M2
6.75%	11/25/33	2		2,808,662		2,819,966
GSR Mortgage Loan Trust 2005-HEL1 M2
6.08%	11/25/30	2		4,000,000		4,014,972
Home Equity Mortgage Trust 2004-1 M2
6.75%	06/25/34	2		552,543		553,440
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27			436,737		427,392
Irwin Home Equity 2003-1 B1
8.75%	02/25/28	2		3,499,763		3,560,000
Irwin Home Equity 2003-A M2
7.50%	10/25/27	2		2,705,000		2,716,117
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		43,152		43,015
Mid-State Trust 6 A4
7.79%	07/01/35			66,311		70,757
Morgan Stanley ABS Capital I 2004-NC2 M2
6.55%	12/25/33	2		5,000,000		5,050,662
Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)
10.00%	04/25/36	2,3,†		8,816,667		806,865
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			9,941		9,867
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15			14,682		14,600
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			735,056		733,967
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		90,033		12,550
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/35	3,†		204,175		203,474
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)
7.51%	03/25/31			521,660		520,220
Residential Asset Securities Corp. 2002-KS8 A4
4.58%	11/25/30			236,727		235,603
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			388,723		387,481
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			41,532		41,740

1

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SACO I, Inc. 2004-2 IO (IO) (STEP)
3.50%	04/25/07	3,4,†	$	17,518,000	$	200,220
SACO I, Inc. 2004-3A AIO (IO) (STEP)
3.50%	12/25/07	3,4,†		16,327,000		278,529
Saxon Asset Securities Trust 2002-1 M2
6.55%	11/25/31	2		317,443		318,233
Terwin Mortgage Trust 2004-10SL AX (IO)
6.00%	09/25/34	3,4,†		11,733,333		148,897
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		13,387,072		231,329
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/36	3,†		913,590		909,590
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,3,†		4,092,332		4,037,977
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30			1,243		1,251
Vanderbilt Mortgage Finance 2002-C A2
4.23%	02/07/15			240,510		240,100
Total Asset-Backed Securities (Cost $46,196,566)						46,106,059
CORPORATES — 7.33%*
Automotive — 1.41%
Ford Motor Credit Co.
10.61%	06/15/11	2,3		1,025,000		1,095,267
General Motors Acceptance Corp. (MTN)
6.52%	09/23/08	2		1,868,000		1,879,572
						2,974,839
Banking — 1.72%
CS First Boston/London
9.65%	03/24/10	2,3,†		2,286,000		2,068,601
9.65%	03/24/10	2,3		1,136,000		1,027,966
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		557,000		541,293
						3,637,860
Basic Industry — 0.91%
Steel Dynamics, Inc.
9.50%	03/15/09			1,875,000		1,933,594
Electric — 0.73%
Entergy Gulf States, Inc.
5.77%	12/01/09	2		550,000		549,251
6.10%	12/08/08	2,3		1,000,000		1,002,663
						1,551,914
Finance — 1.36%
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	2,†		883,000		795,671
Pemex Finance Ltd.
8.02%	05/15/07			71,667		71,794
Residential Capital LLC
7.20%	04/17/09	2,3		2,000,000		2,011,048
						2,878,513
Insurance — 0.25%
Zurich Capital Trust I
8.38%	06/01/37	3		500,000		524,137
Transportation — 0.95%
Air 2 US A
8.03%	10/01/20	3		540,166		545,906
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08			329,727		327,559
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08			140,261		139,847
Northwest Air Dip
7.85%	08/21/08	5,†		1,000,000		1,006,875
						2,020,187
Total Corporates (Cost $15,668,133)						15,521,044
MORTGAGE-BACKED — 61.04%**
Non-Agency Mortgage-Backed — 21.85%
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			130,273		131,291
Banc of America Mortgage Securities, Inc. 2003-A 2A2
4.57%	02/25/33	2		43,028		42,503
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			1,491,861		1,509,111
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1
5.50%	12/25/18			1,103,794		1,095,515
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1
6.50%	08/25/18	3		987,528		991,641
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%	02/25/34	2		666,204		657,938
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			1,044,090		1,053,807
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	4,†		5,321,074		136,500
Countrywide Alternative Loan Trust 2005-16 A5
5.63%	06/25/35	2		1,621,365		1,623,680
Countrywide Alternative Loan Trust 2005-27 2A1
6.18%	08/25/35	2,†		2,590,851		2,604,633
Countrywide Alternative Loan Trust 2005-51 2A2A
5.64%	11/20/35	2		1,992,543		1,997,209

2

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-59 1A1
5.65%	11/20/35	2	$	2,306,923	$	2,315,999
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	4,†		10,114,952		389,770
Countrywide Alternative Loan Trust 2005-61 2A1
5.63%	12/25/35	2		2,303,902		2,310,700
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	4,†		15,143,921		731,542
CS First Boston Mortgage Securities Corp. 2002-29 2A3
7.00%	10/25/32			110,424		110,260
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
5.33%	11/25/32	2		200,000		200,962
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4
4.03%	10/25/33	2		3,020,000		2,962,996
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34			1,553,952		1,577,996
DSLA Mortgage Loan Trust 2004-AR1 A2A
5.76%	09/19/44	2		750,040		753,088
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1
4.71%	11/19/32	2		166,954		166,425
First Horizon Mortgage Pass-Through Trust, 2002-AR2 2A1
5.27%	12/27/32	2		200,634		199,879
First Horizon Mortgage Pass-Through Trust, 2003-AR2 1A1
5.97%	07/25/33	2		283,952		282,788
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34			116,788		116,841
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	4,†		6,833,369		149,480
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	2,4,†		13,914,845		356,568
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.63%	10/19/35	2,4,†		38,691,238		417,140
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	4,†		4,638,449		100,017
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		1,202,960		1,199,261
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
6.13%	10/25/36	2		2,472,487		2,496,167
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.19%	01/25/34	2		379,862		384,458
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
4.48%	06/25/34	2		671,104		671,156
MASTR Seasoned Securities Trust 2004-1 4A1
5.20%	10/25/32	2		921,179		926,263
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			1,399,264		1,415,377
MASTR Seasoned Securities Trust 2005-1 4A1
5.83%	10/25/32	2		1,133,901		1,146,419
Mellon Residential Funding Corp. 1998-TBC1 A3
6.79%	10/25/28	2		206,499		205,938
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			92,405		92,186
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			981,772		993,963
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			427,758		447,072
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			107,810		109,697
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			718,494		722,241
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			3,868,730		3,913,464
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		1,286,626		1,286,807
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		55,731		55,565
Structured Asset Securities Corp. 2002-8A 6A
6.71%	05/25/32	2		3,680		3,674
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A
5.00%	02/25/18			634,150		618,692
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			458,280		468,315
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			396,368		400,768
Washington Mutual, Inc. 2002-AR10 A6
4.82%	10/25/32	2		165,015		164,276

3

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual, Inc. 2002-AR18 A
4.11%	01/25/33	2	$	1,101,734	$	1,089,783
Washington Mutual, Inc. 2002-AR6 A
6.23%	06/25/42	2,†		652,173		651,970
Washington Mutual, Inc. 2003-AR6 A1
4.34%	06/25/33	2		1,400,240		1,394,806
Washington Mutual, Inc. 2005-AR1 A2A2
5.60%	01/25/45	2		416,793		417,638
						46,262,235
U.S. Agency Mortgage-Backed — 39.19%
Fannie Mae 1988-12 A
10.00%	02/25/18	2		224,242		251,626
Fannie Mae 1992-50 F
5.88%	04/25/07	2		13,452		13,481
Fannie Mae 1992-53 G
7.00%	04/25/07			6,550		6,542
Fannie Mae 1993-210 PL
6.50%	04/25/23			400,651		401,725
Fannie Mae 1993-80 S
4.31%	05/25/23	2		17,158		16,886
Fannie Mae 1994-55 S
12.86%	12/25/23	2		10,810		11,609
Fannie Mae 1997-23 PB
6.62%	01/25/22			86,404		87,507
Fannie Mae 1998-58 PC
6.50%	10/25/28			1,534,794		1,577,138
Fannie Mae 2000-27 AN
6.00%	08/25/30			28,033		28,203
Fannie Mae 2001-31 SA
6.00%	11/25/17	2		175,388		175,695
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		9,532		10,184
Fannie Mae 2001-60 JZ
6.00%	03/25/31			147,979		147,694
Fannie Mae 2001-68 PV
6.00%	11/25/18			250,000		250,701
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			878,957		34,786
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		201,844		221,550
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			493,108		75,306
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			186,894		20,453
Fannie Mae 2004-96 MT
7.00%	12/25/34	2		381,722		380,858
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		563,363		578,532
Fannie Mae Pool 111643
4.43%	09/01/20	2		34,549		34,540
Fannie Mae Pool 190656
6.50%	02/01/14			431,566		443,369
Fannie Mae Pool 254190
5.50%	02/01/09			602,641		606,051
Fannie Mae Pool 303683
6.50%	08/01/25			20,495		21,010
Fannie Mae Pool 523829
8.00%	11/01/19			507,969		538,830
Fannie Mae Pool 545350
6.50%	11/01/16			1,696,880		1,738,863
Fannie Mae Pool 555098
5.14%	11/01/32	2		314,219		313,970
Fannie Mae Pool 555177
4.84%	01/01/33	2		451,452		446,293
Fannie Mae Pool 555207
7.00%	11/01/17			99,177		100,991
Fannie Mae Pool 555312
6.43%	01/01/33	2		1,707,515		1,735,986
Fannie Mae Pool 555705
6.18%	07/01/33	2		1,187,073		1,206,039
Fannie Mae Pool 567002
8.00%	05/01/23			254,950		268,145
Fannie Mae Pool 582521
7.00%	05/01/31			59,898		61,712
Fannie Mae Pool 630599
7.00%	05/01/32			409,832		421,717
Fannie Mae Pool 646884
5.51%	05/01/32	2		40,476		40,611
Fannie Mae Pool 647903
6.78%	04/01/27	2		151,704		154,020
Fannie Mae Pool 648860
6.50%	05/01/17			1,460,244		1,496,259
Fannie Mae Pool 655127
7.00%	07/01/32			66,917		68,583
Fannie Mae Pool 655133
7.00%	08/01/32			76,040		77,925
Fannie Mae Pool 655151
7.00%	08/01/32			208,612		214,257
Fannie Mae Pool 655928
7.00%	08/01/32			54,857		56,750
Fannie Mae Pool 735207
7.00%	04/01/34			1,383,997		1,421,163
Fannie Mae Pool 735686
6.50%	12/01/22			1,895,004		1,922,232
Fannie Mae Pool 745161
5.09%	10/01/33	2		1,999,082		2,011,310
Fannie Mae Pool 753630
5.97%	11/01/33	2		988,169		989,946
Fannie Mae Pool 754001
5.92%	12/01/33	2		2,032,458		2,039,997
Fannie Mae Pool 762525
6.50%	11/01/33			265,203		269,623

4

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 764605
5.46%	01/01/34	2	$	2,452,283	$	2,491,228
Fannie Mae Pool 770869
3.37%	04/01/34	2		3,311,840		3,316,024
Fannie Mae Pool 770900
3.25%	04/01/34	2		2,576,441		2,582,650
Fannie Mae Pool 771153
4.04%	02/01/34	2		2,866,234		2,907,956
Fannie Mae Pool 805268
6.38%	01/01/35	2		1,242,593		1,260,785
Fannie Mae Pool 806513
4.04%	12/01/34	2		2,975,063		2,991,772
Fannie Mae Pool 810557
5.15%	02/01/35	2		3,263,163		3,283,469
Fannie Mae Pool 811267
4.52%	12/01/34	2		695,187		694,349
Fannie Mae Pool 836712
5.38%	09/01/35	2		1,531,920		1,554,223
Fannie Mae Pool 840634
6.50%	06/01/35			1,401,698		1,438,115
Fannie Mae Whole Loan 2003-W14 1A6
5.82%	09/25/43			471,555		469,902
Freddie Mac 1214 KA
6.21%	02/15/22	2		19,545		19,585
Freddie Mac 1526 L
6.50%	06/15/23			53,917		54,916
Freddie Mac 1610 PM
6.25%	04/15/22			8,697		8,689
Freddie Mac 1625 FC
5.26%	12/15/08	2		50,370		50,266
Freddie Mac 1662 L
3.99%	01/15/09	2		5,132		5,080
Freddie Mac 1695 EA
7.00%	12/15/23			14,891		14,928
Freddie Mac 1702 TJ
7.00%	04/15/13			277,645		282,806
Freddie Mac 2043 CJ
6.50%	04/15/28			118,711		120,971
Freddie Mac 2161 PG
6.00%	04/15/28			13,764		13,770
Freddie Mac 2451 SP
5.17%	05/15/09	2		9,564		9,425
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			687,617		81,081
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			51,501		1,492
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			780,571		93,139
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			2,000,000		115,415
Freddie Mac 2594 VK
5.00%	02/15/23			895,088		888,533
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			94,899		17,808
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			478,779		65,006
Freddie Mac 2809 HX (IO)
6.00%	10/15/24			674,038		20,275
Freddie Mac 2835 IB (IO)
5.50%	01/15/19			612,964		9,593
Freddie Mac 2856 ST
7.00%	09/15/23	2		770,600		784,594
Freddie Mac 2905 JG
7.00%	09/15/34			1,036,063		1,039,162
Freddie Mac 2906 NX (IO)
0.15%	12/15/34	2		10,187,511		92,749
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		20,149
Freddie Mac Gold A45796
7.00%	01/01/33			1,790,083		1,848,076
Freddie Mac Gold C90237
6.50%	11/01/18			269,563		277,226
Freddie Mac Gold C90474
7.00%	08/01/21			423,857		437,917
Freddie Mac Gold D93410
6.50%	04/01/19			281,923		289,762
Freddie Mac Gold E90474
6.00%	07/01/17			1,674,336		1,698,735
Freddie Mac Gold G10616
5.50%	07/01/09			214,174		214,069
Freddie Mac Gold G11454
5.50%	07/01/15			934,677		942,542
Freddie Mac Gold G18087
6.50%	09/01/20			1,107,908		1,132,586
Freddie Mac Gold O30092
5.50%	10/01/15			274,573		273,434
Freddie Mac Gold P20295
7.00%	10/01/29			109,220		111,669
Freddie Mac Gold P50019
7.00%	07/01/24	†		18,043		18,456
Freddie Mac Gold P50214
6.50%	02/01/34	†		567,688		569,352
Freddie Mac Gold P50230
6.50%	04/01/34	†		1,537,583		1,542,088
Freddie Mac Gold P60084
6.00%	03/01/16	†		1,535,102		1,548,103
Freddie Mac Pool 1L0113
6.44%	05/01/35	2		2,492,696		2,549,114
Freddie Mac Pool 775554
5.52%	10/01/18	2		13,664		13,686
Freddie Mac Pool 781163
4.82%	01/01/34	2		2,962,989		3,012,617
Freddie Mac Pool 781817
4.08%	08/01/34	2		3,090,615		3,096,773

5

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool 781908
4.18%	09/01/34	2	$	2,401,014	$	2,412,706
Freddie Mac Pool 782824
4.69%	11/01/34	2		3,123,033		3,127,594
Freddie Mac Pool 788498
7.29%	02/01/30	2		1,280,784		1,312,313
Freddie Mac Pool 865369
5.67%	06/01/22	2		7,098		7,107
Freddie Mac Pool 972112
7.22%	01/01/33	2		1,226,606		1,259,349
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			511,757		68,711
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			136,501		6,647
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			100,000		9,337
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21			63,685		664
Ginnie Mae 2003-95 SB
3.96%	09/17/31	2		209,238		206,430
Ginnie Mae 2004-2 FW
6.75%	01/16/34	2		333,284		365,379
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			2,500,000		384,222
Ginnie Mae 2004-42 AB
6.00%	03/20/32			253,805		253,707
Ginnie Mae II Pool 80546
5.00%	10/20/31	2		118,282		119,239
Ginnie Mae II Pool 80610
5.38%	06/20/32	2		1,893,889		1,909,590
Ginnie Mae II Pool 80614
5.50%	07/20/32	2		197,404		197,430
Ginnie Mae II Pool 80687
5.50%	04/20/33	2		974,804		983,896
Ginnie Mae II Pool 81018
6.00%	08/20/34	2		625,826		629,173
Ginnie Mae II Pool 8339
5.13%	12/20/23	2		141,089		142,734
Ginnie Mae II Pool 8684
5.75%	08/20/25	2		199,064		201,579
						82,964,585
Total Mortgage-Backed (Cost $129,869,734)						129,226,820
SHORT TERM INVESTMENTS — 9.00%
Commercial Paper — 5.39%
Ciesco LP
5.26%6	01/10/07			1,765,000		1,763,195
DaimlerChrysler NA Holding Corp.
5.39%6	01/19/07			2,165,000		2,159,813
Kitty Hawk Funding Corp.
5.29%6	01/16/07			1,000,000		998,090
National Rural Utilities Cooperative Finance Corp.
5.27%6	01/22/07			4,390,000		4,377,790
Park Avenue Receivables Corp.
5.29%6	01/25/07			2,115,000		2,108,163
						11,407,051
Money Market Fund — 2.25%
JPMorgan Prime Money Market Fund				4,757,251		4,757,251
U.S. Agency Discount Notes — 1.24%
Fannie Mae
5.20%6	01/24/07			2,635,000		2,627,007
U.S. Treasury Bills — 0.12%
U.S. Treasury Bills
4.92%6	01/18/07	7		10,000		9,980
4.96%6	01/18/07	7		250,000		249,489
						259,469
Total Short Term Investments (Cost $19,050,772)						19,050,778
Total Investments – 99.15% (Cost $210,785,205)1						209,904,701
Cash and Other Assets, Less Liabilities – 0.85%						1,800,024
Net Assets – 100.00%					$	211,704,725

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
23	Euro Ninety Day, September 2007	$	4,025
23	Euro Ninety Day, December 2007		11,480
23	Euro Ninety Day, March 2008		(2,588	)
23	Euro Ninety Day, June 2008		(5,175	)
103	U.S. Treasury Two Year Note, March 2007		67,594
	Net unrealized appreciation	$	75,336

Notes:

¹ Cost for Federal income tax purposes is $210,785,205 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	943,310
Gross unrealized depreciation		(1,823,814	)
Net unrealized (depreciation)	$	(880,504	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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.

6

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

The market value of these securities at December 31, 2006 was $32,046,158 representing 15.14% of total net assets.

⁴ Illiquid security.

⁵ 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, 7.85%, 08/21/08	$	1,000,000	$	1,006,875	0.48	%
		$	1,000,000	$	1,006,875	0.48	%

⁶ Represents annualized yield at date of purchase.

⁷ Securities, or a portion there of, pledged as collateral with a value of $259,469 on 92 short Euro futures contracts and 103 short U.S. Treasury Two Year Note futures contracts.

† Fair valued security. The aggregate value of fair valued securities is $28,365,883 which is 13.40% 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

7

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 14.60%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	607,712	$	602,754
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28			102,561		101,858
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.85%	02/28/40	2,3,†		12,500,000		12,528,708
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.85%	12/28/40	2,3,†		14,000,000		13,997,154
Bear Stearns Asset Backed Securities, Inc. 2000-2 M2 (STEP)
8.28%	08/25/30			5,995,000		6,102,688
Castle Trust 2003-1AW A1
6.10%	05/15/27	2,3		4,148,340		4,149,647
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			1,069,972		1,083,327
Conseco Finance Securitizations Corp. 2001-3 AIO (IO)
2.50%	05/01/33	4,†		16,750,000		198,651
Countrywide Asset-Backed Certificates 2004-13 AV2 (STEP)
5.61%	05/25/34	2		2,618,839		2,621,847
Countrywide Asset-Backed Certificates 2005-13 AF1
5.48%	04/25/36	2		5,032,602		5,036,488
Countrywide Home Equity Loan Trust 2005-M A2
5.47%	02/15/36	2		5,687,704		5,690,452
Credit-Based Asset Servicing and Securitization 2006-CB1 AF2 (STEP)
5.24%	01/25/36			7,685,000		7,645,607
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			5,486		5,464
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2B
5.53%	03/25/35	2		9,877,906		9,889,092
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP)
5.48%	03/25/25			9,245,000		9,082,272
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			99,819		90,897
Genesis Funding Ltd. 2006-1A G1
5.59%	12/19/32	2,3,†		8,650,000		8,649,652
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.57%	06/25/30	2		7,172,024		7,182,072
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			1,010,514		1,047,390
Green Tree Financial Corp. 1995-10 A6
7.05%	01/15/27			992,594		1,002,390
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			9,206,293		9,218,306
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22			663,544		614,861
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.55%	04/15/30	2,†		488,373		488,333
GSAMP Trust 2005-HE4 A2A
5.47%	08/25/35	2		609,068		609,497
GSR Mortgage Loan Trust 2005-HEL1 M2
6.08%	11/25/30	2		7,085,000		7,111,519
Home Equity Mortgage Trust 2006-1 A1B
5.48%	05/25/36	2		6,114,506		6,119,945
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.49%	04/25/26	2		3,980,286		3,983,927
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)
0.05%	05/15/41	2,4,†		377,550,854		6,576,535
Lehman XS Trust 2006-12N A1A1 (STEP)
5.43%	08/25/46	2		5,134,559		5,134,559
Long Beach Asset Holdings Corp. 2006-8 N1
6.05%	10/25/46	3,†		7,751,891		7,720,762
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,†		4,942,381		4,926,486
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B
5.49%	01/25/37	2		5,139,000		5,142,805
Morgan Stanley ABS Capital I 2004-NC2 M2
6.55%	12/25/33	2		1,100,000		1,111,145
Nomura Asset Acceptance Corp. 2006-S1 A1
5.49%	01/25/36	2,3		7,038,579		7,043,794
Oakwood Mortgage Investors, Inc. 2002-B A1
5.58%	05/15/13	2		527,985		486,249
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19			345,909		305,620
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		13,240,132		1,845,554
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/30	3,4,†		8,806,150		87,886
Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)
7.51%	03/25/31			612,516		610,826
Residential Asset Securities Corp. 2005-KS8 A1
5.46%	08/25/35	2		960,342		961,051

1

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Receivables Trust 2003-1
6.29%	01/21/10	2,3,†	$	4,887,359	$	4,862,522
Structured Asset Receivables Trust 2003-2
5.72%	01/21/09	2,3,†		1,650,910		1,642,520
Structured Settlements Fund 1999-A A
7.25%	12/20/15	3,†		484,487		483,995
Terwin Mortgage Trust 2004-7HE A1
5.90%	07/25/34	2,3		304,208		304,402
Terwin Mortgage Trust 2005-13SL A1B
4.75%	12/25/36	2,3,†		12,100,000		11,785,125
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		3,295,834		3,260,989
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,†		8,200,000		7,872,095
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,†		12,500,000		12,152,469
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,3,†		13,898,485		13,713,884
Total Asset-Backed Securities (Cost $230,148,489)						222,886,071
CORPORATES — 23.51%*
Automotive — 3.39%
DaimlerChrysler NA Holding Corp.
5.60%	03/07/07	2		8,000,000		8,001,680
Ford Motor Credit Co.
6.93%	01/15/10	2		4,070,000		3,983,468
8.11%	01/13/12	2		20,160,000		20,001,442
9.81%	04/15/12	2		1,750,000		1,856,848
GMAC LLC
4.38%	12/10/07			4,560,000		4,497,546
7.57%	12/01/14	2		12,798,000		13,408,145
						51,749,129
Banking — 2.95%
BankAmerica Institutional A
8.07%	12/31/26	3		5,250,000		5,466,710
BankBoston Capital Trust II
7.75%	12/15/26			4,246,000		4,415,462
BNP Paribas SA (MTN)
8.25%	11/28/21	2,†		2,019,000		1,959,641
Credit Suisse USA, Inc.
6.50%	01/15/12			3,200,000		3,366,573
CS First Boston/London
9.65%	03/24/10	2,3,†		6,764,000		6,120,744
9.65%	03/24/10	2,3		3,146,000		2,846,815
Deutsche Bank Luxembourg SA
6.83%	12/28/07	3		4,128,000		4,183,150
JPMorgan Chase & Co. (MTN) C
8.55%	07/23/13	2,†		1,500,000		1,355,920
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		2,084,000		2,025,231
North Fork Bancorporation, Inc.
5.00%	08/15/12	2		5,226,000		5,208,147
Roslyn Bancorp, Inc.
5.75%	11/15/07			6,900,000		6,860,270
State Street Institutional Capital B
8.04%	03/15/27	3		1,228,000		1,281,793
						45,090,456
Basic Industry — 0.39%
Steel Dynamics, Inc.
9.50%	03/15/09			5,800,000		5,981,250
Communications — 0.97%
Cebridge 2nd Lien PIK
11.37%	05/05/14	5,†		4,678,854		4,687,626
New England Telephone & Telegraph Co.
7.65%	06/15/07			4,964,000		5,007,638
Viacom, Inc.
5.71%	06/16/09	2		5,150,000		5,162,205
						14,857,469
Consumer Products — 0.26%
SABMILLER PLC
5.66%	07/01/09	2,3		4,000,000		4,006,412
Electric — 3.28%
American Electric Power Co., Inc. (STEP)
4.71%	08/16/07			6,270,000		6,240,174
Cedar Brakes II LLC
9.88%	09/01/13	3		11,020,329		12,220,630
Cogentrix Energy, Inc.
8.75%	10/15/08	3		5,200,000		5,536,742
Dominion Resources, Inc.
5.66%	09/28/07	2		7,000,000		7,004,291
Entergy Gulf States, Inc.
6.10%	12/08/08	2,3		5,230,000		5,243,927
Georgia Power Capital Trust VI
4.88%	11/01/42	2		7,360,000		7,320,506
Power Contract Financing LLC
6.26%	02/01/10	3		4,256,786		4,281,322
Power Receivables Finance LLC
6.29%	01/01/12			2,224,754		2,239,306
						50,086,898
Finance — 3.53%
Countrywide Financial Corp. (MTN) B
5.59%	03/24/09	2		1,900,000		1,905,303
Lehman Brothers Holdings, Inc. (MTN)
5.59%	07/18/11	2		1,730,000		1,735,065
11.00%	11/07/16	2,†		6,776,000		6,736,699
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	2,†		3,293,000		2,967,322
14.50%	06/20/16	2,†		5,886,000		5,971,347
Meridian Funding Co. LLC
5.56%	10/06/08	2,3		2,567,028		2,570,735

2

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Pemex Finance Ltd.
8.88%	11/15/10		$	7,334,000	$	7,869,199
Pemex Finance Ltd. 1992-2 A1
9.69%	08/15/09	†		3,297,250		3,478,840
Residential Capital LLC
5.85%	06/09/08	2		7,300,000		7,287,634
7.20%	04/17/09	2,3		6,668,000		6,704,834
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		6,747,000		6,612,060
						53,839,038
Food — 0.59%
Corn Products International, Inc.
8.25%	07/15/07			8,923,000		9,052,192
Health Care — 0.38%
Cardinal Health, Inc.
5.63%	10/02/09	2,3		1,827,000		1,829,256
HCA, Inc.
8.09%	11/15/14	5,†		4,000,000		4,048,944
						5,878,200
Insurance — 0.67%
Farmers Insurance Exchange Capital
6.00%	08/01/14	3		1,900,000		1,881,262
Zurich Capital Trust I
8.38%	06/01/37	3		7,870,000		8,249,909
						10,131,171
Natural Gas — 0.55%
Panhandle Eastern Pipe Line Co. B
2.75%	03/15/07			4,580,000		4,553,161
Sempra Energy
4.62%	05/17/07			1,250,000		1,245,344
5.85%	05/21/08	2		2,575,000		2,576,123
						8,374,628
Real Estate Investment Trust (REIT) — 3.74%
Camden Property Trust
4.38%	01/15/10			2,068,000		2,014,666
CPG Partners LP
8.25%	02/01/11			4,065,000		4,458,590
Duke Realty LP
5.63%	08/15/11			8,550,000		8,608,396
First Industrial LP
7.60%	05/15/07			2,750,000		2,770,542
Health Care Property Investors, Inc.
6.45%	06/25/12			4,000,000		4,131,012
Health Care Property Investors, Inc. (MTN)
5.81%	09/15/08	2		4,380,000		4,377,516
Health Care Property Investors, Inc. (MTN) B
7.30%	03/19/07			6,450,000		6,472,498
Health Care REIT, Inc.
7.63%	03/15/08			3,435,000		3,504,295
Highwoods Properties, Inc.
7.13%	02/01/08			2,358,000		2,394,153
JDN Realty Corp.
6.95%	08/01/07			5,200,000		5,222,532
Shurgard Storage Centers, Inc.
7.75%	02/22/11			1,500,000		1,612,354
Spieker Properties, Inc.
7.25%	05/01/09			3,235,000		3,391,690
United Dominion Realty Trust, Inc. (MTN)
4.30%	07/01/07			3,025,000		3,007,077
Westfield Capital Corp. Ltd.
5.67%	11/02/07	2,3		5,175,000		5,188,828
						57,154,149
Secured Assets — 0.33%
Ingress I Ltd.
7.38%	03/30/40	3,†		5,490,000		5,040,473
Transportation — 2.34%
Air 2 US A
8.03%	10/01/20	3		4,331,592		4,377,616
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			1,896,437		1,973,479
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19			2,969,253		3,065,568
Continental Airlines, Inc. 1999-1 A
6.55%	08/02/20			3,927,451		4,067,760
Continental Airlines, Inc. 2002-1 G2
6.56%	08/15/13			2,105,000		2,178,066
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/12	6,7		6,754,044		6,792,036
Northwest Air Dip
7.85%	08/21/08	5,†		6,000,000		6,041,250
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23	6,7		1,764,247		1,778,582
United AirLines, Inc. 2001-1 A2
6.20%	03/01/10			4,350,690		4,380,601
United AirLines, Inc. Strip
9.12%	02/01/12	5,†		995,000		1,004,240
						35,659,198
Waste Management — 0.14%
Allied Waste North America, Inc. B
8.50%	12/01/08			2,000,000		2,112,500
Total Corporates (Cost $358,827,622)						359,013,163

3

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED — 21.50%**
Commercial Mortgage-Backed — 0.96%
CS First Boston Mortgage Securities Corp. 2004-C2 A1
3.82%	05/15/36		$	9,505,419	$	9,103,322
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			5,800,000		5,628,518
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.58%	01/25/26	2,3,4,†		238,565		293
						14,732,133
Non-Agency Mortgage-Backed — 10.03%
Banc of America Mortgage Securities, Inc. 2005-2 1A6
5.50%	03/25/35			23,520,001		23,343,702
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4,†		3,461,775		1,019,816
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4,†		3,518,368		1,036,487
BlackRock Capital Finance LP 1997-R2 AP
9.20%	12/25/35	2,3		24,098		24,113
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		11,464,684		11,321,375
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.53%	05/25/36	2,3,†		9,105,903		9,105,767
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			84,180		85,154
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%	02/25/34	2		333,102		328,969
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	4,†		15,360,612		394,042
Countrywide Alternative Loan Trust 2005-27 2A1
6.18%	08/25/35	2,†		3,650,238		3,669,655
Countrywide Alternative Loan Trust 2005-59 1A1
5.65%	11/20/35	2		7,798,051		7,828,731
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	4,†		31,970,700		1,231,959
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
3.22%	07/20/46	4,†		5,546,310		285,696
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	4,†		44,274,616		2,138,730
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		5,717,608		5,697,259
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
5.56%	03/19/45	2		8,457,310		8,472,559
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	4,†		18,939,212		414,295
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	2,4,†		32,179,236		824,593
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
2.07%	03/19/37	2,4,†		7,456,353		350,682
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
2.37%	05/19/47	2,4,†		8,782,938		392,488
Impac CMB Trust 2005-5 A1 (STEP)
5.67%	08/25/35	2		12,319,937		12,340,275
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.74%	12/25/34	2		3,802,498		3,812,538
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	4,†		13,225,205		285,168
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.75%	11/25/34	2		10,228,533		10,284,229
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.19%	01/25/34	2		1,496,022		1,514,125
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
4.48%	06/25/34	2		3,547,262		3,547,538
MASTR Seasoned Securities Trust 2004-1 4A1
5.20%	10/25/32	2		3,684,715		3,705,051
MASTR Seasoned Securities Trust 2005-1 4A1
5.83%	10/25/32	2		4,884,306		4,938,226
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			2,419,149		2,461,484
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			6,233,916		6,340,565
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			11,764,054		11,900,082
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			5,225,523		5,104,683
Washington Mutual, Inc. 2005-AR2 2A21
5.68%	01/25/45	2		3,605,099		3,619,204
Washington Mutual, Inc. 2002-AR18 A
4.11%	01/25/33	2		2,603,483		2,575,241

4

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual, Inc. 2004-AR10 A2A
5.63%	07/25/44	2	$	837,470	$	838,276
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/44	2		861,991		862,862
Washington Mutual, Inc. 2006-AR5 X (IO)
0.43%	06/25/46	4,†		89,606,213		898,392
						152,994,011
U.S. Agency Mortgage-Backed — 10.51%
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		47,599		51,177
Fannie Mae 1997-44 SB (IO)
2.64%	06/25/08	2		512,211		10,665
Fannie Mae 1997-76 FS
5.83%	09/17/27	2		110,696		111,313
Fannie Mae 2001-60 JZ
6.00%	03/25/31			322,402		321,781
Fannie Mae 2003-90 UD (IO)
5.50%	10/25/26			6,731,818		641,054
Fannie Mae 2006-B2 AB
5.50%	05/25/14			20,180,227		20,171,574
Fannie Mae Pool 555177
4.84%	01/01/33	2		192,620		190,419
Fannie Mae Pool 567002
8.00%	05/01/23			267,091		280,915
Fannie Mae Pool 735575
5.50%	12/01/18			6,894,069		6,916,018
Fannie Mae Pool 735686
6.50%	12/01/22			6,852,614		6,951,072
Fannie Mae Pool 745383
4.39%	12/01/35	2		8,617,331		8,611,831
Fannie Mae Pool 770333
3.47%	04/01/34	2		6,899,529		6,931,084
Fannie Mae Pool 770900
3.25%	04/01/34	2		3,840,634		3,849,890
Fannie Mae Pool 785307
4.16%	07/01/34	2		8,470,812		8,482,380
Fannie Mae Pool 805256
4.03%	01/01/35	2		10,144,735		10,061,919
Fannie Mae Pool 817611
5.35%	11/01/35	2		5,376,138		5,349,154
Final Maturity Amortizing Notes 2005-2 1
4.00%	02/25/10	†		13,285,507		12,807,752
Freddie Mac 2174 PN
6.00%	07/15/29			6,632,384		6,686,201
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			1,505,306		179,615
Freddie Mac Gold A24156
6.50%	10/01/31			2,840,391		2,907,903
Freddie Mac Gold C46104
6.50%	09/01/29			83,598		85,794
Freddie Mac Gold G02461
6.50%	11/01/36			20,380,000		20,735,561
Freddie Mac Gold G11707
6.00%	03/01/20			5,607,494		5,689,208
Freddie Mac Gold P50019
7.00%	07/01/24	†		148,816		152,215
Freddie Mac Pool 1B1928
4.26%	08/01/34	2		7,683,652		7,660,424
Freddie Mac Pool 1L0113
6.44%	05/01/35	2		5,718,707		5,848,142
Freddie Mac Pool 781469
3.12%	04/01/34	2		5,252,656		5,253,321
Freddie Mac Pool 786781
7.55%	08/01/29	2		342,718		349,495
Freddie Mac Pool 847288
3.16%	05/01/34	2		9,437,768		9,487,064
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			2,121,919		284,899
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			3,512,602		171,042
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21			528,443		5,512
Ginnie Mae I Pool 422972
6.50%	07/15/29			89,833		92,422
Ginnie Mae II Pool 1849
8.50%	08/20/24			2,927		3,150
Ginnie Mae II Pool 2020
8.50%	06/20/25			8,908		9,593
Ginnie Mae II Pool 2286
8.50%	09/20/26			6,170		6,602
Ginnie Mae II Pool 2487
8.50%	09/20/27			27,365		29,296
Ginnie Mae II Pool 80589
5.63%	03/20/322			420,506		421,169
Ginnie Mae II Pool 80968
6.00%	07/20/342			2,741,132		2,755,830
						160,554,456
Total Mortgage-Backed (Cost $335,321,682)						328,280,600
U.S. AGENCY SECURITIES — 12.84%
U.S. Agency Securities — 12.84%
Fannie Mae
2.63%	01/19/07			3,412,000		3,407,933
3.13%	03/16/09			10,673,000		10,262,943
4.88%	04/15/09			9,930,000		9,907,946
5.30%	02/22/11			9,985,000		9,946,358
Federal Home Loan Bank
4.38%	10/03/08			9,850,000		9,734,666
4.50%	10/12/07			8,185,000		8,140,015
5.00%	09/18/09			5,590,000		5,602,756

5

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
U.S. AGENCY SECURITIES (continued)
U.S. Agency Securities (continued)
5.25%	08/05/09		$	33,325,000	$	33,554,909
5.50%	06/30/08	†		15,170,000		15,173,034
Freddie Mac
4.75%	11/03/09			2,775,000		2,761,672
5.25%	10/06/11			8,050,000		8,024,707
5.35%	11/14/11			22,600,000		22,589,062
5.50%	06/12/08			13,805,000		13,806,450
5.55%	12/11/08			19,825,000		19,821,412
5.75%	03/15/09			9,575,000		9,727,405
6.63%	09/15/09			13,165,000		13,719,786
						196,181,054
Total U.S. Agency Securities (Cost $195,984,049)						196,181,054
U.S. TREASURY SECURITIES — 17.94%
U.S. Treasury Notes — 17.94%
U.S. Treasury Notes
3.50%	11/15/09			183,560,000		177,601,643
4.88%	05/15/09			96,200,000		96,440,596
						274,042,239
Total U.S. Treasury Securities (Cost $274,649,651)						274,042,239
Issues	Maturity Date		Shares		Value
PREFERRED STOCK — 0.20%
Finance — 0.20%
Woodbourne Pass-Through Trust
6.45%	12/31/49	2,3		30		3,012,189
Total Preferred Stock (Cost $3,000,001)						3,012,189
			Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.08%
— 0.08%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.60% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				115,942	$	730,559
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.88% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				14,622		533,392
						1,263,951
Total Purchased Swaptions (Cost $1,261,310)						1,263,951
			Principal Amount
SHORT TERM INVESTMENTS — 7.21%
Commercial Paper — 6.38%
Alcoa, Inc.
5.28%8	01/11/07		$	10,770,000		10,757,363
Ciesco LP
5.26%8	01/10/07			18,610,000		18,590,966
Kitty Hawk Funding Corp.
5.30%8	01/18/07			22,842,000		22,791,557
National Rural Utilities Cooperative Finance Corp.
5.25%8	01/12/07			22,200,000		22,170,862
5.27%8	01/22/07			3,369,000		3,359,630
Park Avenue Receivables Corp.
5.26%8	01/11/07			19,770,000		19,746,891
						97,417,269
Money Market Fund — 0.75%
JPMorgan Prime Money Market Fund				11,522,992		11,522,992
U.S. Treasury Bills — 0.08%
U.S. Treasury Bills
4.91%8	01/18/07	9		818,000		816,330
4.91%8	01/18/07	9		20,000		19,959
4.92%8	01/18/07	9		315,000		314,357
						1,150,646
Total Short Term Investments (Cost $110,090,886)						110,090,907
Total Investments – 97.88% (Cost $1,509,283,690)1						1,494,770,174
Cash and Other Assets, Less Liabilities – 2.12%						32,326,644
Net Assets – 100.00%					$	1,527,096,818

6

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Notional Amount (000’s)	Premiums Received			Value
WRITTEN SWAPTIONS
Option to enter into a 15-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD Libor in exchange for receiving from the Fund a fixed rate of 4.80% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.	56,000	$	(1,260,000	)	$	(1,281,156	)
Total Written Swaptions		$	(1,260,000	)	$	(1,281,156	)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
47	U.S. Treasury Five Year Note, March 2007	$	33,414
	Net unrealized appreciation	$	33,414
FUTURES CONTRACTS: LONG POSITIONS
1,161	U.S. Treasury Two Year Note, March 2007	$	(733,123	)
	Net unrealized (depreciation)	$	(733,123	)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 0.12% and the Fund will receive from the counterparty at par including interest accrued in the event default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CSFB	12/20/11	$	3,000	(568	)
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, 8.35% due 01/25/34. Counterparty: Citigroup Inc.	01/25/34		796	(793	)
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, 7.72% due 04/25/34. Counterparty: Citigroup Inc.	04/25/34		478	31
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, 6.55% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		478	704
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, 7.60% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		478	2,086
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, 7.57% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		478	119
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, 7.50% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		796	(272	)
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, 7.50% due 07/25/34. Counterparty: Citigroup Inc.	07/25/34		478	(51	)
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, 7.30% due 08/25/34. Counterparty: Citigroup Inc.	08/25/34		478	429
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, 7.20% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		478	327
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, 7.30% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		478	34
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, 6.93% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		478	57
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, 8.85% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		478	3,356
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, 7.05% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		478	317

7

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation/ (Depreciation)
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 ACE Securities Corp. 2004-RM2 B1, 7.05% due 01/25/35. Counterparty: Citigroup Inc.	01/25/35	$	478	$	419
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, 8.05% due 02/25/35. Counterparty: Citigroup Inc.	02/25/35		796		1,804
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, 7.40% due 03/25/35. Counterparty: Citigroup Inc.	03/25/35		478		(23	)
Net unrealized appreciation				$	7,976

Notes:

¹ Cost for Federal income tax purposes is $1,509,283,690 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	4,559,712
Gross unrealized depreciation		(19,073,228	)
Net unrealized (depreciation)	$	(14,513,516	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2006 was $222,109,172 representing 14.54% of total net assets.

⁴ Illiquid security.

⁵ 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, 11.37%, 05/05/14	$	4,678,854	$	4,687,626	0.31	%
08/21/06	Northwest Air Dip, 7.85%, 08/21/08		6,000,000		6,041,250	0.39	%
11/14/06	HCA, Inc., 8.09%, 11/15/14		4,000,000		4,048,944	0.26	%
05/17/06	United AirLines, Inc. Strip, 9.12%, 02/01/12		1,008,505		1,004,240	0.07	%
		$	15,687,359	$	15,782,060	1.03	%

⁶ Security is currently in default with regards to scheduled interest or principal payments.

⁷ Non-income producing security.

⁸ Represents annualized yield at date of purchase.

⁹ Securities, or a portion there of, pledged as collateral with a value of $1,150,646 on 47 short U.S. Treasury Five Year Note futures contracts and 1,161 long U.S. Treasury Two Year Note futures contracts.

† Fair valued security. The aggregate value of fair valued securities is $214,764,651 which is 14.06% 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

8

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 13.40%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	39,501	$	39,179
Bayview Financial Acquisition Trust 2005-A A1 (STEP)
5.85%	02/28/40	2,3,†		1,500,000		1,503,445
Bayview Financial Acquisition Trust 2005-B 1A1 (STEP)
4.44%	04/28/39			14,120		14,069
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.85%	12/28/40	2,3,†		1,500,000		1,499,695
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	3,†		650,000		635,192
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			356,657		361,109
Conseco Finance 2002-A A5 (STEP)
7.05%	04/15/32			388,102		394,795
Conseco Finance 2002-C BF2
8.00%	06/15/32	3,†		359,274		358,910
GMAC Mortgage Corp. Loan Trust 2006-HLTV A3
5.59%	10/25/29			935,000		935,218
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			164		163
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			1,465,970		1,467,883
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/11	3,†		52,786		53,603
JPMorgan RV Marine Trust 2004-1A A1
3.12%	04/15/11	3		152,024		150,487
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		80,551		80,295
Mid-State Trust 11 A1
4.86%	07/15/38			1,607,105		1,546,860
Mid-State Trust 2004-1 B
8.90%	08/15/37			324,304		343,888
Mid-State Trust 2005-1 M2
7.08%	01/15/40			409,308		417,172
Oakwood Mortgage Investors, Inc. 1997-A A5
7.13%	05/15/27			84,177		84,499
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19			234,442		185,565
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22			279,330		231,022
Oakwood Mortgage Investors, Inc. 2002-B A1
5.58%	05/15/13	2		58,665		54,028
Residential Asset Mortgage Products, Inc. 2004-RS12 A\2
3.77%	02/25/27			145,549		145,112
Structured Asset Receivables Trust 2003-1
6.29%	01/21/10	2,3,†		370,254		368,373
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/36	3,†		175,690		174,921
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		246,372		243,767
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,†		800,000		768,009
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,3,†		1,351,242		1,333,294
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30			3,657		3,679
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			262,875		262,497
Total Asset-Backed Securities (Cost $13,870,587)						13,656,729
CORPORATES — 22.62%*
Automotive — 2.75%
Ford Motor Credit Co.
6.63%	06/16/08			100,000		99,966
7.00%	10/01/13			240,000		229,496
7.25%	10/25/11			416,000		407,783
7.38%	02/01/11			300,000		297,240
8.11%	01/13/12	2		300,000		297,641
8.63%	11/01/10			319,000		328,629
General Motors Corp.
8.25%	07/15/23			14,000		13,090
GMAC LLC
6.88%	09/15/11			474,000		486,665
7.57%	12/01/14	2		613,000		642,225
						2,802,735
Banking — 3.04%
BankBoston Capital Trust II
7.75%	12/15/26			700,000		727,938
Credit Suisse USA, Inc.
6.50%	01/15/12			291,000		306,148
CS First Boston/London
9.65%	03/24/10	2,3,†		608,000		550,179
9.65%	03/24/10	2,3		334,000		302,237
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		120,000		118,133
Greenpoint Capital Trust I
9.10%	06/01/27			227,000		239,620
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		257,000		249,753
National Capital Trust II
5.49%	12/29/49	2,3		327,000		316,609

1

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Providian Capital I
9.53%	02/01/27	3	$	275,000	$	288,719
						3,099,336
Communications — 0.67%
Qwest Corp.
5.63%	11/15/08			489,000		492,056
7.88%	09/01/11			175,000		187,250
						679,306
Electric — 2.48%
Cedar Brakes II LLC
9.88%	09/01/13	3		608,441		674,711
Entergy Louisiana LLC
5.83%	11/01/10			698,000		697,205
FPL Energy National Wind
5.61%	03/10/24	3		702,590		691,307
Power Receivables Finance LLC
6.29%	01/01/12			458,480		461,479
						2,524,702
Finance — 3.26%
Capital One Financial Corp.
5.70%	09/15/11			1,200,000		1,219,031
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2,†		502,000		499,088
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	2,†		271,000		244,198
14.50%	06/20/16	2,†		452,000		458,554
Pemex Finance Ltd.
8.88%	11/15/10			375,000		402,366
Residential Capital LLC
7.20%	04/17/09	2,3		500,000		502,762
						3,325,999
Health Care — 0.50%
HCA, Inc.
8.09%	11/15/14	4,†		500,000		506,118
Insurance — 2.89%
Allied World Assurance Holdings Ltd.
7.50%	08/01/16			244,000		262,318
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			375,000		371,250
Farmers Exchange Capital
7.05%	07/15/28	3		410,000		429,052
7.20%	07/15/48	3		115,000		118,161
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		440,000		432,030
Stingray Pass-Through Trust
5.90%	01/12/15	3,†		225,000		210,375
Swiss Re Capital I LP
6.85%	05/29/49	2,3		500,000		525,458
Zurich Capital Trust I
8.38%	06/01/37	3		575,000		602,757
						2,951,401
Natural Gas — 1.03%
Sempra Energy
5.85%	05/21/08	2		475,000		475,207
Southern Union Co.
7.20%	11/01/66	2		585,000		579,595
						1,054,802
Real Estate Investment Trust (REIT) — 3.02%
Colonial Realty LP
4.75%	02/01/10			586,000		570,253
CPG Partners LP
8.25%	02/01/11			330,000		361,952
EOP Operating LP
5.96%	10/01/10	2		159,000		161,094
Health Care Property Investors, Inc.
5.95%	09/15/11			800,000		807,954
7.07%	06/08/15	5		160,000		168,246
Highwoods Properties, Inc.
7.13%	02/01/08			790,000		802,112
Prime Property Fund, Inc.
5.60%	06/15/11	3		206,000		206,416
						3,078,027
Transportation — 2.25%
Air 2 US A
8.03%	10/01/20	3		440,235		444,913
American Airlines, Inc. 2005-1 G
5.11%	03/29/14	3,†		478,095		469,923
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			324,330		337,506
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08			28,576		28,388
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19			285,849		295,121
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08			42,393		42,268
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21			204,597		215,399
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23	6,7		130,034		131,091
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14			64,961		65,326
United AirLines, Inc. 2001-1 A2
6.20%	03/01/10			263,678		265,491
						2,295,426

2

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 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	$	739,375
Total Corporates (Cost $22,956,414)						23,057,227
MORTGAGE-BACKED — 29.54%**
Commercial Mortgage-Backed — 2.47%
Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR6 A6
4.83%	11/11/41			1,300,000		1,259,094
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	2		1,300,000		1,254,830
						2,513,924
Non-Agency Mortgage-Backed — 12.18%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	2		1,105,505		1,092,383
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			275,467		269,269
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.63%	01/25/35	2,3,†		1,189,445		1,190,914
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.53%	05/25/36	2,3,†		1,201,952		1,201,934
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	8,†		1,121,856		28,779
Countrywide Alternative Loan Trust 2005-27 2A1
6.18%	08/25/35	2,†		553,855		556,801
Countrywide Alternative Loan Trust 2005-27 3A2
5.93%	08/25/35	2,†		100,735		100,990
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	8,†		2,646,231		101,970
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	8,†		3,517,357		169,909
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		571,761		569,726
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.10%	08/25/34	2		895,092		876,573
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			286,446		284,130
First Horizon Asset Securities, Inc. 2003-10 2A1
4.75%	01/25/19			930,486		901,665
First Union Commercial Mortgage Trust 1999-C1 A2
6.07%	10/15/35			561,988		567,465
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	8,†		1,344,811		29,418
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	2,8,†		3,346,374		85,751
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	8,†		942,693		20,327
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		298,840		297,921
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.75%	11/25/34	2		260,047		261,463
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			317,460		321,115
Morgan Stanley Capital I 2006-HQ8 A4
5.39%	03/12/44	2		1,150,000		1,163,099
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			146,881		152,158
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			177,492		180,598
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		253,426		253,462
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			167,218		169,074
Washington Mutual, Inc. 2002-AR18 A
4.11%	01/25/33	2		148,480		146,869
Washington Mutual, Inc. 2004-AR10 A2A
5.63%	07/25/44	2		65,457		65,520
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/44	2		65,046		65,112
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2
5.50%	04/25/36			1,320,887		1,291,167
						12,415,562
U.S. Agency Mortgage-Backed — 14.89%
Fannie Mae (TBA)
5.50%	01/25/21			1,145,000		1,145,000
Fannie Mae 1993-225 SG
4.77%	12/25/13	2		270,340		274,238
Fannie Mae 1993-80 S
4.31%	05/25/23	2		53,619		52,770
Fannie Mae 1994-55 S
12.86%	12/25/23	2		43,238		46,436

3

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2001-52 YZ
6.50%	10/25/31		$	923,985	$	942,668
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			257,937		25,000
Fannie Mae 2006-B2 AB
5.50%	05/25/14			1,434,475		1,433,859
Fannie Mae Pool 253974
7.00%	08/01/31			81,579		83,678
Fannie Mae Pool 527247
7.00%	09/01/26			270		279
Fannie Mae Pool 545646
7.00%	09/01/26			180		186
Fannie Mae Pool 549740
6.50%	10/01/27			147,506		151,007
Fannie Mae Pool 701297
4.51%	03/01/33	2		1,067,978		1,066,574
Fannie Mae Pool 735575
5.50%	12/01/18			486,032		487,579
Fannie Mae Pool 735686
6.50%	12/01/22			520,170		527,644
Fannie Mae Pool 735861
6.50%	09/01/33			816,490		836,964
Fannie Mae Pool 764388
4.96%	03/01/34	2		586,849		577,166
Fannie Mae Pool 770869
3.37%	04/01/34	2		1,342,167		1,343,863
Fannie Mae Pool 817611
5.35%	11/01/35	2		406,599		404,558
Fannie Mae Pool 895606
5.77%	06/01/36	2		1,122,783		1,126,578
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		15,911
Freddie Mac 2174 PN
6.00%	07/15/29			483,921		487,847
Freddie Mac 2451 SP
5.17%	05/15/09	2		68,862		67,862
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			351,257		41,912
Freddie Mac Gold A33262
5.50%	02/01/35			278,027		276,997
Freddie Mac Gold G01548
7.50%	07/01/32			1,396,625		1,462,583
Freddie Mac Gold G01673
5.50%	04/01/34			106,729		105,876
Freddie Mac Gold G02366
6.50%	10/01/36			1,577,432		1,607,173
Freddie Mac Gold P50019
7.00%	07/01/24	†		30,244		30,935
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			239,652		32,177
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			328,434		15,347
Ginnie Mae 2004-8 SE
3.60%	11/26/23	2		312,940		298,865
Ginnie Mae II Pool 80968
6.00%	07/20/34	2		214,523		215,674
						15,185,206
Total Mortgage-Backed (Cost $30,162,954)						30,114,692
U.S. AGENCY SECURITIES — 1.00%
U.S. Agency Securities — 1.00%
Freddie Mac
5.50%	06/12/08			1,020,000		1,020,107
Total U.S. Agency Securities (Cost $1,020,000)						1,020,107
U.S. TREASURY SECURITIES — 29.07%
U.S Principal Strip — 0.53%
U.S. Principal Strip
0.00%	08/15/09	9		610,000		539,624
U.S. Treasury Bonds — 0.83%
U.S. Treasury Bonds
7.50%	11/15/16			696,000		845,966
U.S. Treasury Notes — 27.71%
U.S. Treasury Notes
3.38%	10/15/09	5		4,176,000		4,030,170
4.25%	11/15/14			10,144,000		9,843,646
4.88%	04/30/11			8,518,000		8,575,897
4.88%	02/15/12			5,751,000		5,805,370
						28,255,083
Total U.S. Treasury Securities (Cost $29,449,793)						29,640,673
			Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.09%
— 0.09%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.60% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				8,282		52,186

4

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

			Notional Amount (000’s)			Value
PURCHASED SWAPTIONS (continued)
(continued)
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.88% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				1,044		$	38,084
							90,270
Total Purchased Swaptions (Cost $90,081)							90,270
SHORT TERM INVESTMENTS — 4.95%
Commercial Paper — 1.80%
DaimlerChrysler NA Holding Corp.
5.39%10	01/19/07			815,000			813,048
National Rural Utilities Cooperative Finance Corp.
5.27%10	01/22/07			1,020,000			1,017,163
							1,830,211
Money Market Fund — 1.96%
JPMorgan Prime Money Market Fund				1,999,295			1,999,295
U.S. Agency Discount Notes — 1.13%
Fannie Mae
5.20%10	01/24/07			1,160,000			1,156,481
U.S. Treasury Bills — 0.06%
U.S. Treasury Bills
4.96%10	01/18/07	5		65,000			64,867
Total Short Term Investments (Cost $5,050,853)							5,050,854
	Issues		Maturity Date			Value
Total Investments – 100.67% (Cost $102,600,682)1						$	102,630,552
Liabilities in Excess of Other Assets – (0.67)%							(679,066	)
Net Assets – 100.00%						$	101,951,486
Issues	Notional Amount (000’s)		Premiums Received			Market Value
WRITTEN SWAPTIONS
Option to enter into a 15-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD Libor in exchange for receiving from the Fund a fixed rate of 4.80% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.	4,000		$	(90,000	)		(91,511	)
Total Written Swaptions			$	(90,000	)	$	(91,511	)

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
67	U.S. Treasury Two Year Note, March 2007	$	(42,457	)
17	U.S. Treasury Five Year Note, March 2007		(11,403	)
	Net unrealized (depreciation)	$	(53,860	)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 0.12% and the Fund will receive from the counterparty at par including interest accrued in the event default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CSFB	12/20/11	$	200	(38	)
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, 8.35% due 01/25/34. Counterparty: Citigroup Inc.	01/25/34		58	(58	)
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, 7.72% due 04/25/34. Counterparty: Citigroup Inc.	04/25/34		35	3

5

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (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 Countrywide Asset-Backed Certificates 2004-6 M8, 6.55% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34	$	35	$	52
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, 7.60% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		35		153
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, 7.57% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		35		9
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, 7.50% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		58		(20	)
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, 7.50% due 07/25/34. Counterparty: Citigroup Inc.	07/25/34		35		(4	)
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, 7.30% due 08/25/34. Counterparty: Citigroup Inc.	08/25/34		35		31
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, 7.20% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		35		24
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, 7.30% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		35		2
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, 6.93% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		35		4
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, 8.85% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		35		246
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, 7.05% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		35		23
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, 7.05% due 01/25/35. Counterparty: Citigroup Inc.	01/25/35		35		31
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, 8.05% due 02/25/35. Counterparty: Citigroup Inc.	02/25/35		58		132
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, 7.40% due 03/25/35. Counterparty: Citigroup Inc.	03/25/35		35		(2	)
Net unrealized appreciation				$	588

Notes:

¹ Cost for Federal income tax purposes is $102,600,682 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	895,026
Gross unrealized depreciation		(865,156	)
Net unrealized appreciation	$	29,870

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2006 was $17,016,307 representing 16.69% 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:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
11/14/06	HCA, Inc., 8.09%, 11/15/14	$	500,000	$	506,118	0.50	%
		$	500,000	$	506,118	0.50	%

⁵ Securities, or a portion there of, pledged as collateral with a value of $98,645 on 67 long U.S. Treasury Two Year Note futures contracts and 17 long U.S. Treasury Five Year Note futures contracts .

⁶ Security is currently in default with regards to scheduled interest or principal payments.

⁷ Non-income producing security.

⁸ Illiquid security.

⁹ Zero coupon bond. The rate shown is the effective yield as of December 31, 2006.

¹⁰ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $13,971,084 which is 13.70% of total net assets, which have not been

6

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

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

7

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 7.01%**
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32		$	7,324,231	$	7,372,917
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28			136,748		135,810
Asset Backed Securities Corp. Home Equity Loan Trust 2003-HE4 M2
7.35%	08/15/33	2		19,398,459		19,491,275
Bayview Financial Acquisition Trust 2005-B 1A1 (STEP)
4.44%	04/28/39			395,375		393,946
Conseco Finance 2001-C A4
6.19%	03/15/30			381,375		381,976
Conseco Finance 2001-C A5 (STEP)
6.79%	08/15/33			7,848,000		7,886,704
Countrywide Home Equity Loan Trust 2005-M A2
5.47%	02/15/36	2		10,156,614		10,161,521
Embarcadero Aircraft Securitization Trust 2000-A A1
5.83%	08/15/25	2,3		1,700,000		1,429,063
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			229,583		209,064
Genesis Funding Ltd. 2006-1A G1
5.59%	12/19/32	2,3,†		12,600,000		12,599,494
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22			861,788		798,560
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.55%	04/15/30	2,†		969,657		969,578
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.49%	04/25/26	2		7,147,525		7,154,064
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/29	3		1,971,710		1,975,398
Nomura Asset Acceptance Corp. 2006-S1 A1
5.49%	01/25/36	2,3		4,650,490		4,653,935
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22			405,029		334,982
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31			2,003,415		1,765,577
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19			1,011,784		893,938
PAMCO CLO 1998-1A B2
6.72%	05/01/10	2,3,†		5,250,000		5,126,516
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			300,000		302,539
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			1,229,052		1,225,124
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			692,202		695,658
Signature 1 CBO
10.00%	10/15/09	†		2,000,000		299,960
Structured Asset Receivables Trust 2003-1
6.29%	01/21/10	2,3,†		10,166,447		10,114,784
Structured Asset Receivables Trust 2003-2
5.72%	01/21/09	2,3,†		4,409,249		4,386,843
Terwin Mortgage Trust 2005-7SL A1
5.62%	07/25/35	2,3		1,380,053		1,381,347
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,†		15,370,000		14,755,379
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,†		23,030,000		22,389,708
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,3,†		4,468,363		4,409,014
Van Kampen CLO II Ltd.
6.57%	07/15/08	2,3,†		333,795		310,402
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27			5,280,000		5,509,221
Total Asset-Backed Securities (Cost $150,606,810)						149,514,297
CORPORATES — 22.55%*
Automotive — 3.46%
Ford Motor Co.
7.70%	05/15/97			150,000		109,875
9.98%	02/15/47			7,289,000		6,414,320
Ford Motor Credit Co.
6.93%	01/15/10	2		1,000,000		978,739
7.00%	10/01/13			6,670,000		6,378,087
8.00%	12/15/16			15,075,000		14,921,521
8.11%	01/13/12	2		3,809,000		3,779,042
9.81%	04/15/12	2		2,925,000		3,103,589
General Motors Corp.
7.38%	05/23/48			9,200,000		7,406,000
8.10%	06/15/24			1,179,000		1,028,678
General Motors Corp. Strip
0.00%	07/20/11			2,133,864		2,020,502
General Motors Corp. Strip II
0.00%	07/20/11	4,†		2,400,000		2,272,500
GMAC LLC
7.57%	12/01/14	2		12,996,000		13,615,584
8.00%	11/01/31			10,186,000		11,728,171
						73,756,608
Banking — 2.31%
Bank One Corp. (STEP)
9.88%	03/01/19			200,000		246,366

1

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
BankAmerica Capital II
8.00%	12/15/26		$	800,000	$	832,895
BankAmerica Institutional A
8.07%	12/31/26	3		350,000		364,447
BNP Paribas SA (MTN)
8.25%	11/28/21	2,†		5,104,000		4,953,942
CS First Boston/London
9.65%	03/24/10	2,3,†		14,159,000		12,812,479
9.65%	03/24/10	2,3		5,463,000		4,943,469
First Chicago NBD Institutional Capital A
7.95%	12/01/26	3		5,229,000		5,442,186
Greenpoint Capital Trust I
9.10%	06/01/27			266,000		280,788
JPMorgan Chase & Co. (MTN) C
8.55%	07/23/13	2,†		2,500,000		2,259,867
National Capital Trust II
5.49%	12/29/49	2,3		2,425,000		2,347,938
Sovereign Capital Trust VI
7.91%	06/13/36			13,230,000		14,906,307
						49,390,684
Communications — 0.77%
Cebridge 2nd Lien PIK
11.37%	05/05/14	4,†		9,357,707		9,375,253
Level 3 Financing, Inc.
9.25%	11/01/14	3		2,500,000		2,562,500
Qwest Communications International, Inc. B
7.50%	02/15/14			4,000,000		4,140,000
Verizon North, Inc.
5.63%	01/01/21	3		250,000		232,984
						16,310,737
Electric — 2.63%
Calpine CCFC I Term Loan
11.35%	08/26/09	4,†		10,505,336		11,148,788
Cedar Brakes I LLC
8.50%	02/15/14	3		7,080,991		7,660,641
FPL Energy American Wind LLC
6.64%	06/20/23	3		413,000		426,236
FPL Energy National Wind
5.61%	03/10/24	3		9,776,164		9,619,178
GWF Energy LLC
6.13%	12/30/11	3		4,299,239		4,251,402
Potomac Electric Power Co.
5.88%	10/15/08			125,000		125,774
Power Contract Financing LLC
6.26%	02/01/10	3		4,614,289		4,640,886
Swepco Capital Trust I
5.25%	10/01/43	2		14,325,000		14,191,376
Windsor Financing LLC
5.88%	07/15/17	3		4,020,831		4,002,577
						56,066,858
Finance — 3.75%
ABX Financing Co.
6.35%	10/15/36	3		9,800,000		9,784,496
Goldman Sachs Group, Inc.
5.35%	01/15/16			4,523,000		4,472,234
Lehman Brothers Holdings, Inc. (MTN)
5.75%	07/18/11			8,500,000		8,674,743
11.00%	11/07/16	2,†		10,912,000		10,848,710
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	2,†		5,951,000		5,362,446
14.50%	06/20/16	2,†		9,679,000		9,819,345
Onbank Capital Trust I
9.25%	02/01/27			10,200,000		10,697,978
Pemex Finance Ltd.
8.88%	11/15/10			375,000		402,366
Residential Capital LLC
5.85%	06/09/08	2		10,171,000		10,153,770
7.20%	04/17/09	2,3		2,500,000		2,513,810
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		7,331,000		7,184,380
						79,914,278
Health Care — 0.41%
HCA, Inc.
9.25%	11/15/16	3		8,175,000		8,777,906
Insurance — 3.58%
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			9,055,000		8,964,450
Farmers Exchange Capital
7.05%	07/15/28	3		3,926,000		4,108,433
7.20%	07/15/48	3		1,392,000		1,430,265
Farmers Insurance Exchange
8.63%	05/01/24	3		12,127,000		14,581,032
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		15,939,000		15,650,297
Swiss Re Capital I LP
6.85%	05/29/49	2,3		7,190,000		7,556,093
ZFS Finance USA Trust II
6.45%	12/15/65	2,3		4,820,000		4,924,623
Zurich Capital Trust I
8.38%	06/01/37	3		18,296,000		19,179,203
						76,394,396
Natural Gas — 0.37%
Southern Union Co.
7.20%	11/01/66	2		7,975,000		7,901,311
Real Estate Investment Trust (REIT) — 1.78%
Colonial Realty LP
4.75%	02/01/10			176,000		171,271
Equity One, Inc.
3.88%	04/15/09			270,000		259,885

2

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
First Industrial LP
7.60%	07/15/28		$	5,000,000	$	5,594,185
Health Care Property Investors, Inc.
6.45%	06/25/12			11,800,000		12,186,484
Highwoods Properties, Inc.
7.50%	04/15/18			8,029,000		8,937,289
Shurgard Storage Centers, Inc.
7.75%	02/22/11			7,200,000		7,739,302
United Dominion Realty Trust, Inc.
6.05%	06/01/13			3,100,000		3,141,428
						38,029,844
Secured Assets — 0.42%
Ingress I Ltd.
7.38%	03/30/40	3,†		9,745,000		8,947,070
Transportation — 2.97%
Air 2 US A
8.03%	10/01/20	3		7,021,617		7,096,222
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12			86,506		88,506
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			2,413,514		2,511,563
Continental Airlines, Inc. 1997-4 A
6.90%	07/02/19			3,362,295		3,471,359
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08			437,255		435,966
Continental Airlines, Inc. 1999-1 A
6.55%	08/02/20			459,842		476,269
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21			10,829,803		11,401,572
Continental Airlines, Inc. 2000-1 A2
7.92%	11/01/11			2,000,000		2,089,530
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/13	5,6		8,228,000		8,356,562
Northwest Air Dip
7.85%	08/21/08	4,†		7,000,000		7,048,125
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23	5,6		154,635		155,892
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12			6,092,939		6,230,031
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14			10,972,432		11,034,152
United AirLines, Inc. Strip
9.12%	02/01/12	4,†		2,985,000		3,012,719
						63,408,468
Waste Management — 0.10%
Allied Waste North America, Inc. B
8.50%	12/01/08			2,000,000		2,112,500
Total Corporates (Cost $469,389,904)						481,010,660
MORTGAGE-BACKED — 31.67%**
Commercial Mortgage-Backed — 3.06%
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%	11/15/36			18,000,000		17,922,485
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.58%	01/25/26	2,3,7,†		207,020		255
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.55%	05/15/35	2,7		226,271,051		3,399,745
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%	10/15/38			27,150,000		27,734,045
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			15,155,000		16,058,587
						65,115,117
Non-Agency Mortgage-Backed — 15.93%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	2		23,588,659		23,308,661
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			198,336		193,874
Banc of America Mortgage Securities, Inc. 2005-I 4A1
5.28%	10/25/35	2		15,037,911		14,772,116
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,7,†		3,956,314		1,165,503
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		25,367,218
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39			1,015,000		1,008,386
BHN I Mortgage Fund 1997-2 A1
6.61%	05/31/17	2,3,6,7,†		2,702,346		783,626
BHN I Mortgage Fund 1997-2 A2
7.54%	05/31/17	3,6,7,†		5,060,858		1,466,620
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,7,†		2,345,579		690,992
BlackRock Capital Finance LP 1997-R2 AP
9.20%	12/25/35	2,3		6,025		6,028
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		17,246,433		17,030,853
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.63%	01/25/35	2,3,†		5,933,909		5,941,240
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.75%	05/25/34	2,3,†		19,094,440		17,989,055

3

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Commercial Mortgage Acceptance Corp. 1998-C2 A3
6.04%	09/15/30		$	13,425,000	$	13,519,916
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	7,†		29,875,188		766,381
Countrywide Alternative Loan Trust 2005-27 2A1
6.18%	08/25/35	2,†		14,660,425		14,738,411
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	7,†		57,675,126		2,222,453
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	7,†		81,156,354		3,920,339
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		3,830,798		3,817,164
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.10%	08/25/34	2		14,348,631		14,051,775
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.15%	09/20/35	2		15,591,468		15,245,650
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.56%	02/15/39	2		10,205,000		10,371,134
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/12	3		3,137,595		3,066,864
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35			34,500,000		34,025,708
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	7,†		41,178,169		900,772
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	2,7,†		49,547,806		1,269,663
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	7,†		26,340,388		567,965
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.75%	08/25/34	2		167,649		168,192
JPMorgan Mortgage Trust 2003-A2 2A3
4.69%	11/25/33	2		305,000		293,467
JPMorgan Mortgage Trust 2004-A5 4A4
4.85%	12/25/34	2		400,000		393,065
JPMorgan Mortgage Trust 2006-A3 3A4
5.75%	05/25/36	2		23,500,000		23,731,929
MASTR Seasoned Securities Trust 2004-1 4A1
5.20%	10/25/32	2		235,453		236,753
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			9,279,586		9,386,446
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36			5,651,600		5,947,109
Ocwen Residential MBS Corp. 1998-R2 AP
8.31%	11/25/34	2,3		56,996		45,632
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36			15,443,776		14,836,681
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			127,732		128,399
Ryland Mortgage Securities Corp. 1994-5 M3
6.21%	10/25/23	2,†		492,373		494,227
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			9,177		9,148
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		5,901		5,883
Structured Asset Securities Corp. 2002-8A 6A
6.71%	05/25/32	2		2,687		2,683
Structured Mortgage Asset Residential Trust 1991-7 I
18.92%	12/25/22	2,7,8,†		6,550		1,310
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4
4.96%	11/15/35			30,000,000		29,413,242
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			232,428		227,053
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.77%	06/25/34	2		445,000		425,839
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1
5.50%	01/25/36			26,551,010		26,011,693
						339,967,118
U.S. Agency Mortgage-Backed — 12.68%
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19			9,480		9,549
Fannie Mae 1989-27 Y
6.90%	06/25/19			2,353		2,390
Fannie Mae 1992-123 Z
7.50%	07/25/22			8,047		8,462
Fannie Mae 1992-83 Z
7.00%	06/25/22			51,151		51,750
Fannie Mae 1993-132 D (PO)
0.00%	10/25/22			465,458		388,009

4

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	2	$	1,565,259	$	38,786
Fannie Mae 1993-29 PK
7.00%	03/25/23			202,000		209,570
Fannie Mae 1994-55 H
7.00%	03/25/24			130,000		135,501
Fannie Mae 1997-34 SA
24.15%	10/25/23	2		45,605		69,275
Fannie Mae 1997-44 SB (IO)
2.64%	06/25/08	2		179,274		3,733
Fannie Mae 2003-52 SV
5.16%	05/25/31	2		6,837,889		6,830,124
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			7,742,100		750,381
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			9,763,264		589,951
Fannie Mae 2006-80 PG
6.00%	06/25/35			23,300,000		23,565,811
Fannie Mae G92-36 Z
7.00%	07/25/22			1,618		1,680
Fannie Mae Pool 233672
7.62%	09/01/23	2		29,280		29,936
Fannie Mae Pool 254232
6.50%	03/01/22			107,450		110,178
Fannie Mae Pool 308798
6.50%	04/01/25	2		11,604		11,773
Fannie Mae Pool 312155
7.05%	03/01/25	2		34,536		34,746
Fannie Mae Pool 545191
7.00%	09/01/31			63,869		65,513
Fannie Mae Pool 633698
7.50%	02/01/31			21,215		22,363
Fannie Mae Pool 655928
7.00%	08/01/32			173,234		179,211
Fannie Mae Pool 725257
5.50%	02/01/34			17,087,060		16,918,220
Fannie Mae Pool 735575
5.50%	12/01/18			13,512,374		13,555,396
Fannie Mae Pool 735883
6.00%	03/01/33			16,169,536		16,402,137
Fannie Mae Pool 765387
6.00%	08/01/34			253,019		256,209
Fannie Mae Pool 817611
5.35%	11/01/35	2		11,373,636		11,316,547
Fannie Mae Pool 896464
5.82%	07/01/36	2		22,440,069		22,480,446
Freddie Mac 1004 H
7.95%	10/15/20			2,039		2,036
Freddie Mac 1073 G
7.00%	05/15/21			5,991		5,985
Freddie Mac 1515 SA
8.61%	05/15/08	2		43,671		44,008
Freddie Mac 165 K
6.50%	09/15/21			1,317		1,313
Freddie Mac 1980 Z
7.00%	07/15/27			779,236		800,998
Freddie Mac 2098 TZ
6.00%	01/15/28			727,620		725,093
Freddie Mac 2209 TC
8.00%	01/15/30			233,334		245,927
Freddie Mac 2627 NI (IO)
5.00%	04/15/29			10,621,185		910,395
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			186,634		35,023
Freddie Mac Gold A24156
6.50%	10/01/31			4,318,039		4,420,672
Freddie Mac Gold C46104
6.50%	09/01/29			180,955		185,709
Freddie Mac Gold C55789
7.50%	10/01/27			64,095		66,957
Freddie Mac Gold C90573
6.50%	08/01/22			810,419		830,628
Freddie Mac Gold G01601
4.00%	09/01/33			245,819		223,970
Freddie Mac Gold G01611
4.00%	09/01/33			88,532		80,663
Freddie Mac Gold G01673
5.50%	04/01/34			3,904,990		3,873,786
Freddie Mac Gold G02366
6.50%	10/01/36			30,286,686		30,857,716
Freddie Mac Gold G02461
6.50%	11/01/36			29,385,290		29,897,962
Freddie Mac Gold G11707
6.00%	03/01/20			10,729,222		10,885,572
Freddie Mac Gold P50019
7.00%	07/01/24	†		1,252,562		1,281,169
Freddie Mac Pool 781415
3.26%	04/01/34	2		13,234,257		13,229,131
Freddie Mac Pool 781469
3.12%	04/01/34	2		9,537,058		9,538,264
Freddie Mac Pool 847288
3.16%	05/01/34	2		17,065,862		17,155,003
Ginnie Mae 2000-22 SG (IO)
5.45%	05/16/30	2		3,996,477		493,825
Ginnie Mae 2002-69 SB (IO)
1.30%	06/20/28	2		87,690		121
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			5,649,752		758,563
Ginnie Mae 2003-86 ZK
5.00%	10/20/33			17,801,804		15,376,282
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			16,535,061		14,467,643

5

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81018
6.00%	08/20/34	2	$	134,106	$	134,823
						270,566,884
Total Mortgage-Backed (Cost $684,096,007)						675,649,119
U.S. AGENCY SECURITIES — 4.71%
Foreign Sovereign — 0.58%
Indonesia Government Aid Bond
9.30%	07/01/20			10,255,000		12,470,706
U.S. Agency Securities — 4.13%
Federal Home Loan Bank
5.50%	06/30/08	†		20,835,000		20,839,167
Freddie Mac
5.50%	06/12/08			20,540,000		20,542,156
5.55%	12/11/08			46,670,000		46,661,553
						88,042,876
Total U.S. Agency Securities (Cost $101,404,962)						100,513,582
U.S. TREASURY SECURITIES — 28.50%
U.S. Treasury Bonds — 1.62%
U.S. Treasury Bonds
4.50%	02/15/36			33,564,000		31,927,789
8.13%	08/15/19			2,134,000		2,788,705
						34,716,494
U.S. Treasury Notes — 26.88%
U.S. Treasury Notes
4.25%	11/15/14	9		138,121,000		134,031,375
4.88%	04/30/11			106,079,000		106,800,019
4.88%	02/15/12			329,567,000		332,682,726
						573,514,120
Total U.S. Treasury Securities (Cost $605,429,771)						608,230,614
			Shares
PREFERRED STOCK — 0.23%
Finance — 0.23%
Woodbourne Pass-Through Trust
6.45%	12/31/49	2,3		50		5,020,315
Total Preferred Stock (Cost $5,000,000)						5,020,315
			Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.11%
— 0.11%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.60% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				206,368	$	1,300,340
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.88% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.				26,112		952,531
						2,252,871
Total Purchased Swaptions (Cost $2,248,146)						2,252,871
Issues	Maturity Date		Principal Amount		Value
SHORT TERM INVESTMENTS — 6.54%
Commercial Paper — 5.16%
Ciesco LP
5.26%10	01/10/07		$	41,395,000	$	41,352,662
CRC Funding LLC
5.27%10	01/03/07			19,335,000		19,335,000
DaimlerChrysler NA Holding Corp.
5.39%10	01/22/07			12,270,000		12,235,095
HSBC Finance Corp.
5.26%10	01/25/07			750,000		747,589
National Rural Utilities Cooperative Finance Corp.
5.25%10	01/12/07			14,440,000		14,421,048
5.27%10	01/22/07			22,000,000		21,938,810
						110,030,204
Money Market Fund — 0.53%
JPMorgan Prime Money Market Fund				11,229,182		11,229,182
U.S. Agency Discount Notes — 0.79%
Fannie Mae
5.14%10	01/22/07			5,225,000		5,210,826
Federal Home Loan Bank
5.15%10	01/02/07			865,000		865,000
Freddie Mac
5.20%10	01/23/07			235,000		234,321
5.21%10	01/23/07			10,650,000		10,619,174
						16,929,321

6

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Treasury Bills — 0.06%
U.S. Treasury Bills
5.03%10	01/18/07	9	$	1,280,000		$	1,277,386
Total Short Term Investments (Cost $139,466,064)							139,466,093
Total Investments – 101.32% (Cost $2,157,641,664)1							2,161,657,551
Liabilities in Excess of Other
Assets – (1.32)%							(28,103,546	)
NET ASSETS – 100.00%						$	2,133,554,005
Issues	Notional Amount (000’s)		Premiums Received			Market Value
WRITTEN SWAPTIONS
Option to enter into a 15-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD Libor in exchange for receiving from the Fund a fixed rate of 4.80% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.	100,000		$	(2,250,000	)		(2,287,778	)
Total Written Swaptions			$	(2,250,000	)	$	(2,287,778	)

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
1,984	U.S. Treasury Two Year Note, March 2007	$	(1,252,457	)
759	U.S. Treasury Five Year Note, March 2007		(505,105	)
	Net unrealized (depreciation)	$	(1,757,562	)

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, 7.88% due 08/01/11 Counterparty: Lehman Brothers Holdings, Inc.	08/01/11	$	6,500	$	(72,943	)
Pay a fixed rate equal to 0.12% and the Fund will receive from the counterparty at par including interest accrued in the event default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CSFB	12/20/11		4,800		(908	)
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, due 12/20/11 Counterparty: Lehman Brothers Holdings, Inc. Expire 12/20/11	12/20/11		35,000		(11,790	)
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 LDS-P PHM, 7.88% due 12/20/11. Counterparty: Barclays Bank	12/20/11		5,000		(25,364	)
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, 8.35% due 01/25/34. Counterparty: Citigroup Inc.	01/25/34		1,676		(1,668	)
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, 7.72% due 04/25/34. Counterparty: Citigroup Inc.	04/25/34		1,006		64
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, 6.55% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		1,006		1,483
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, 7.60% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		1,006		4,391
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, 7.57% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		1,006		250
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, 7.50% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		1,676		(573	)
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, 7.50% due 07/25/34. Counterparty: Citigroup Inc.	07/25/34		1,006		(108	)
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, 7.30% due 08/25/34. Counterparty: Citigroup Inc.	08/25/34		1,006		902

7

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (Depreciation)
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 Residential Asset Securities Corp. 2004-KS10 M5, 7.20% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34	$	1,006	$	689
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, 7.30% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		1,006		71
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, 6.93% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		1,006		121
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, 7.05% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		1,006		666
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, 8.85% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		1,006		7,063
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, 7.05% due 01/25/35. Counterparty: Citigroup Inc.	01/25/35		1,006		883
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, 8.05% due 02/25/35. Counterparty: Citigroup Inc.	02/25/35		1,676		3,796
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, 7.40% due 03/25/35. Counterparty: Citigroup Inc.	03/25/35		1,006		(49	)
Net unrealized (depreciation)				$	(93,024	)

Notes:

¹ Cost for Federal income tax purposes is $2,157,641,664 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	28,750,691
Gross unrealized depreciation		(24,734,804	)
Net unrealized appreciation	$	4,015,887

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2006 was $287,381,550 representing 13.47% 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:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
08/07/03	Calpine CCFC I Term Loan, 11.35%, 08/26/09	$	10,870,470	$	11,148,788	0.52	%
06/30/06	Cebridge 2nd Lien PIK, 11.37%, 05/05/14		9,090,800		9,375,253	0.44	%
06/13/06	General Motors Corp. Strip II, 0.00%, 07/20/11		2,292,000		2,272,500	0.11	%
08/21/06	Northwest Air Dip, 7.85%, 08/21/08		7,000,000		7,048,125	0.33	%
05/17/06	United AirLines, Inc. Strip, 9.12%, 02/01/12		3,027,547		3,012,719	0.14	%
		$	32,280,817	$	32,857,385	1.54	%

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

⁶ Non-income producing security.

⁷ Illiquid security.

⁸ 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.

⁹ Securities, or a portion there of, pledged as collateral with a value of $2,270,038 on 1,984 long U.S. Treasury Two Year Note and 759 long U.S. Treasury Five Year Note futures contracts.

¹⁰ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $249,263,614 which is 11.68% 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

8

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 0.28%**
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/11	2,†	$	211,145	$	214,411
Total Asset-Backed Securities (Cost $208,196)						214,411
CORPORATES — 94.49%*
Automotive — 8.73%
Cooper Standard TLD
7.89%	12/23/11	3,†		744,375		745,492
Ford Motor Credit Co.
7.00%	10/01/13			900,000		860,612
8.00%	12/15/16			775,000		767,110
9.81%	04/15/12	4		550,000		583,581
General Motors Corp.
7.70%	04/15/16			126,000		119,070
8.25%	07/15/23			384,000		359,040
General Motors Corp. Strip II
0.00%	07/20/11	3,†		800,000		757,500
GMAC LLC
7.57%	12/01/14	4		250,000		261,919
8.00%	11/01/31			1,510,000		1,738,616
Metaldyne Corp.
10.00%	11/01/13			350,000		376,250
Tenneco, Inc.
8.62%	11/15/14			225,000		230,625
						6,799,815
Banking — 0.90%
CS First Boston/London
9.65%	03/24/10	2,4,†		584,000		528,462
9.65%	03/24/10	2,4		189,000		171,026
						699,488
Basic Industry — 9.52%
AK Steel Corp.
7.88%	02/15/09			450,000		452,250
Equistar Chemicals LP/Equistar Funding Corp.
10.63%	05/01/11			1,025,000		1,096,750
Freeport-McMoRan Copper & Gold, Inc.
10.13%	02/01/10			700,000		739,375
Georgia Pacific Term Loan C
8.35%	12/23/12	3,†		500,000		501,646
Huntsman LLC
11.50%	07/15/12			325,000		368,062
Massey Energy Co.
6.63%	11/15/10			275,000		276,375
Murray Bank Loan 2nd Lien
13.91%	01/31/11	3,†		1,580,730		1,675,573
Nalco Co. Term Loan
6.46%	11/04/10	3,†		500,000		502,443
PolyOne Corp.
10.63%	05/15/10			550,000		585,750
Steel Dynamics, Inc.
9.50%	03/15/09			100,000		103,125
9.50%	03/15/09			575,000		592,969
UCAR Finance, Inc.
10.25%	02/15/12	5		495,000		524,081
						7,418,399
Capital Goods — 3.57%
Ainsworth Lumber Co. Ltd.
9.11%	10/01/10	4		300,000		255,000
Builders FirstSource, Inc.
9.62%	02/15/12	4		275,000		271,906
Esco Corp.
8.63%	12/15/13	2		150,000		154,875
L-3 Communications Corp.
5.88%	01/15/15			550,000		533,500
6.38%	10/15/15			375,000		373,125
Packaging Dynamics Finance Corp.
10.00%	05/01/16	2		275,000		276,375
United Rentals North America, Inc.
6.50%	02/15/12			675,000		669,938
7.00%	02/15/14			250,000		246,562
						2,781,281
Communications — 17.31%
American Cellular Corp.
10.00%	08/01/11			875,000		929,687
American Cellular Corp. Strip
7.63%	08/08/13	3,†		250,000		251,641
American Cellular Corp. Term Strip
7.63%	08/08/13	3,†		250,000		251,641
CCH I Holdings LLC/CCH I Holdings Capital Corp.
11.00%	10/01/15			825,000		837,375
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%	11/15/13			100,000		103,500
CCO Holdings LLC/CCO Holdings Capital Corp. B
8.75%	11/15/13			600,000		626,250
Cebridge 2nd Lien PIK
11.37%	05/05/14	3,†		1,289,745		1,292,164
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13			760,000		822,700
Dex Media West LLC/Dex Media Finance Co.
9.88%	08/15/13			325,000		355,875
Hawaiian Telcom Communications, Inc. B
10.89%	05/01/13	4		325,000		326,625

1

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Intermediate Holding Co. Ltd. (STEP)
0.00%	02/01/15	4	$	975,000	$	745,875
Intelsat Subsidiary Holding Co. Ltd.
8.63%	01/15/15			400,000		418,000
Level 3 Financing, Inc.
9.25%	11/01/14	2		1,650,000		1,691,250
Level 3 Financing, Inc. Bank Loan
8.37%	12/01/11	3,4,†		250,000		253,125
Qwest Communications International, Inc.
8.87%	02/15/09	4		300,000		305,250
Qwest Communications International, Inc. B
7.50%	02/15/14			1,250,000		1,293,750
Rogers Wireless, Inc.
8.49%	12/15/10	4		620,000		633,950
US LEC Corp.
13.87%	10/01/09	4		775,000		825,375
Wide Open West Loan
10.37%	04/28/13	3,†		750,000		752,478
Windstream Corp.
8.63%	08/01/16	2		700,000		770,000
						13,486,511
Consumer Products — 2.35%
Riddell Bell Holdings, Inc.
8.38%	10/01/12			475,000		466,687
Steinway Musical Instruments
7.00%	03/01/14	2		785,000		771,262
Visant Corp.
7.63%	10/01/12			325,000		330,688
Visant Holding Corp. (STEP)
0.00%	12/01/13			290,000		257,375
						1,826,012
Electric — 5.81%
Aquila, Inc.
8.00%	03/01/23			900,000		919,125
Boston Generating LLC 1st Lien
8.85%	12/19/13	3,†		250,000		252,148
Boston Generating LLC 2nd Lien
9.60%	06/19/14	3,†		500,000		516,188
Calpine CCFC I Term Loan
11.35%	08/26/09	3,†		749,387		795,287
KGEN Partners LLC Term Loan
7.98%	08/15/11	3,†		487,525		489,353
Reliant Energy, Inc.
9.25%	07/15/10			800,000		844,000
TECO Energy, Inc.
7.37%	05/01/10	4		200,000		205,500
TPF Generation Holdings LLC 2nd Lien
9.62%	12/15/14	3,†		500,000		508,125
						4,529,726
Energy — 14.17%
Allis-Chalmers Energy, Inc.
9.00%	01/15/14	2		650,000		656,500
Chaparral Energy, Inc.
8.50%	12/01/15			500,000		500,000
Chesapeake Energy Corp.
7.00%	08/15/14			630,000		643,388
7.50%	06/15/14			225,000		234,844
7.75%	01/15/15			75,000		78,469
Complete Production Services, Inc.
8.00%	12/15/16	2		125,000		128,750
Denbury Resources, Inc.
7.50%	12/15/15			375,000		384,375
Griffin Coal Mining Co.
9.50%	12/01/16	2		650,000		672,750
Hanover Equipment Trust
8.75%	09/01/11			870,000		911,325
Hawkeye Renewables 1st Lien
9.43%	06/30/12	3,†		750,000		733,750
Hilcorp Energy I LP/Hilcorp Finance Co.
10.50%	09/01/10	2		1,287,000		1,383,525
NRG Energy, Inc. Strip
7.36%	02/01/13	3,†		747,500		752,280
OPTI Canada, Inc.
8.25%	12/15/14	2		250,000		258,125
Parker Drilling Co.
9.63%	10/01/13			25,000		27,531
10.12%	09/01/10	4		469,000		481,897
Pogo Producing Co.
7.88%	05/01/13			250,000		255,000
8.25%	04/15/11			250,000		256,562
Pride International, Inc.
7.38%	07/15/14			325,000		337,188
Range Resources Corp.
7.50%	05/15/16			175,000		180,250
Sabine Pass LNG LP
7.50%	11/30/16	2		550,000		549,312
Venoco, Inc. 2nd Lien Term Loan
9.87%	04/26/11	3,†		1,600,000		1,616,000
						11,041,821
Finance — 6.03%
Dow Jones CDX HY 6-TI
8.63%	06/29/11	2		3,020,000		3,146,236
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	4,†		383,000		380,779
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	4,†		294,000		264,923
LSP Gen Finance 2nd Lien Loan
8.86%	04/13/14	3,†		500,000		506,562

2

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Residential Capital LLC
7.20%	04/17/09	2,4	$	400,000	$	402,210
						4,700,710
Food — 0.87%
Del Monte Corp.
6.75%	02/15/15			162,500		161,688
Dole Food Co., Inc.
8.88%	03/15/11			525,000		519,750
						681,438
Gaming — 4.57%
French Lick Resorts & Casino LLC/French Lick Resorts & Casino Corp.
10.75%	04/15/14	2		575,000		540,500
Herbst Gaming, Inc.
8.13%	06/01/12			575,000		589,375
Majestic Star Casino LLC/Majestic Star Casino Capital Corp.
9.50%	10/15/10			325,000		342,875
Penn National Gaming, Inc.
6.75%	03/01/15			340,000		334,900
Pinnacle Entertainment, Inc.
8.25%	03/15/12			525,000		532,875
Tropicana Entertainment
9.63%	12/15/14	2		450,000		447,750
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14			775,000		774,031
						3,562,306
Health Care — 5.01%
HCA, Inc.
8.09%	11/15/14	3,†		1,000,000		1,012,236
9.25%	11/15/16	2		1,300,000		1,395,875
Healthsouth Corp.
10.75%	06/15/16	2		750,000		810,938
Tenet Healthcare Corp.
9.25%	02/01/15			675,000		678,375
						3,897,424
Natural Gas — 3.25%
El Paso Corp.
7.63%	08/16/07			50,000		50,750
7.63%	09/01/08			50,000		51,750
El Paso Production Holding Co.
7.75%	06/01/13			775,000		814,719
Sonat, Inc.
7.63%	07/15/11			225,000		239,625
Stone Energy Corp.
8.25%	12/15/11			375,000		370,312
Targa Resources, Inc. Term Loan
7.60%	10/05/07	3,†		1,000,000		1,001,328
						2,528,484
Retail — 0.58%
Neiman Marcus Term Loan B
7.60%	03/13/13	3,†		449,367		453,045
Services — 4.99%
Corrections Corp. of America
6.25%	03/15/13			350,000		348,687
7.50%	05/01/11			150,000		155,250
Idearc, Inc.
7.35%	11/15/14	3,†		1,500,000		1,509,328
Rental Services Term Loan
8.86%	11/30/13	3,†		1,000,000		1,011,875
Service Corp. International/US
6.50%	03/15/08			500,000		505,000
TDS Investor Corp.
11.88%	09/01/16	2		350,000		360,500
						3,890,640
Technology — 1.25%
Amkor Technology, Inc.
5.00%	03/15/07			250,000		250,312
Amkor Technology, Inc. 2nd Lien
9.87%	10/27/10	3,†		500,000		517,656
SCI Systems, Inc.
3.00%	03/15/07			200,000		199,750
						967,718
Textile — 0.43%
Levi Strauss & Co.
10.11%	04/01/12	4		325,000		335,156
Transportation — 3.66%
Air 2 US A
8.03%	10/01/20	2		202,562		204,715
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			851,464		886,055
Northwest Air Dip
7.85%	08/21/08	3,†		500,000		503,438
United AirLines, Inc. Strip
9.12%	02/01/12	3,†		1,248,750		1,260,346
						2,854,554
Waste Management — 1.49%
Allied Waste North America, Inc. B
8.50%	12/01/08			1,100,000		1,161,875
Total Corporates (Cost $72,571,086)						73,616,403

3

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED — 3.03%**
Non-Agency Mortgage-Backed — 2.85%
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	2,6,†	$	1,129,787	$	332,828
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	6,†		1,238,567		31,773
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
3.22%	07/20/46	6,†		12,200,006		628,434
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	6,†		1,751,559		38,315
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	4,6,†		2,124,799		54,448
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.63%	10/19/35	4,6,†		9,984,339		107,644
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
2.37%	05/19/47	4,6,†		6,822,956		304,901
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	6,†		1,125,230		24,263
Washington Mutual, Inc. 2006-AR5 X (IO)
0.43%	06/25/46	6,†		23,901,181		239,633
Washington Mutual, Inc. 2006-AR9 1XPP (IO)
0.51%	08/25/46	6,†		46,999,771		460,598
						2,222,837
U.S. Agency Mortgage-Backed — 0.18%
Fannie Mae 1993-225 SG
4.77%	12/25/13	4		119,841		121,569
Freddie Mac 2696 NI (IO)
5.50%	03/15/23			234,739		2,137
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			99,855		13,407
						137,113
Total Mortgage-Backed (Cost $3,266,268)						2,359,950
			Contracts
PUT OPTIONS PURCHASED — 0.00%
Automotive — 0.00%
General Motors Corp., Put Strike $20, expires 01/20/07
			$	212		1,060
Total Put Options Purchased (Cost $138,436)
SHORT TERM INVESTMENTS — 4.82%
Commercial Paper — 3.11%
Alcoa, Inc.
5.33%7	01/05/07			1,500,000		1,499,556
DaimlerChrysler NA Holding Corp.
5.39%7	01/19/07			415,000		414,006
5.39%7	01/22/07			510,000		508,549
						2,422,111
Money Market Fund — 1.45%
JPMorgan Prime Money Market Fund				1,128,000		1,128,000
U.S. Agency Discount Notes — 0.25%
Fannie Mae
5.14%7	01/22/07			200,000		199,457
U.S. Treasury Bills — 0.01%
U.S. Treasury Bills
5.03%7	01/18/07	5		6,000		5,988
Total Short Term Investments (Cost $3,755,556)						3,755,556
Total Investments – 102.62% (Cost $79,939,542)1						79,947,380
Liabilities in Excess of Other Assets – (2.62%)						(2,040,777	)
Net Assets – 100.00%						77,906,603

Contracts		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
2	U.S. Treasury Two Year Note, March 2007	$	(1,187	)
	Net unrealized (depreciation)	$	(1,187	)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3-month USD Libor and the Fund receives from the counterparty a fixed rate of 5.17% semi-annually. Counterparty: Barclays Bank PLC	01/02/09	$	6,590	$	(746	)
The Fund pays a floating rate based on 3 month USD Libor and the Fund receives from the counterparty a fixed rate of 5.17% semi-annually. Counterparty: Citigroup	01/02/09		14,030	$	(272	)
Net unrealized (depreciation)				$	(1,018	)

4

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 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, due 06/20/11. Counterparty : Bear Steans & Co., Inc.	06/20/11	$	1,000	$	(15,640	)
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		(11,222	)
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, due 12/20/11. Counterparty : Deutsche Bank	12/20/11		1,000		(23,009	)
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, due 12/20/11. Counterparty : JPMorgan & Co.	12/20/11		1,000		(3,196	)
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 CDS-P PHM, 0.56% due 12/20/11. Counterparty: Lehman Brothers Holdings, Inc.	12/20/11		1,000		(5,073	)
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, 8.35% due 01/25/34. Counterparty: Citigroup Inc.	01/25/34		69		(68	)
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, 7.72% due 04/25/34. Counterparty: Citigroup Inc.	04/25/34		41		3
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, 7.60% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		41		179
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, 6.55% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		41		61
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, 7.57% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		41		10
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, 7.50% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		69		(23	)
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, 7.50% due 07/25/34. Counterparty: Citigroup Inc.	07/25/34		41		(5	)
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, 7.30% due 08/25/34. Counterparty: Citigroup Inc.	08/25/34		41		37
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, 7.30% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		41		3
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, 6.93% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		41		5
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, 7.20% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		41		28
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, 7.05% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		41		27
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, 8.85% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		41		289
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, 7.05% due 01/25/35. Counterparty: Citigroup Inc.	01/25/35		41		36
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, 8.05% due 02/25/35. Counterparty: Citigroup Inc.	02/25/35		69		155
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, 7.40% due 03/25/35. Counterparty: Citigroup Inc.	03/25/35		41		(2	)
Net unrealized (depreciation)				$	(57,405	)

5

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 2.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the CDS-W F 7 13, 7.00% due 12/20/07. Counterparty: JPMorgan & Co.	12/20/07	$	1,000	$	13,262
Net unrealized appreciation				$	13,262

Notes:

¹ Cost for Federal income tax purposes is $79,939,542 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	1,417,385
Gross unrealized depreciation		(1,409,547	)
Net unrealized appreciation	$	7,838

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 December 31, 2006 was $15,868,175 representing 20.37% 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, 7.63%, 08/08/13	$	250,000	$	251,641	0.32	%
08/08/06	American Cellular Corp. Term Strip, 7.63%, 08/08/13		250,000		251,641	0.32	%
02/17/05	Amkor Technology, Inc. 2nd Lien, 9.87%, 10/27/10		514,742		517,656	0.66	%
08/07/03	Calpine CCFC I Term Loan, 11.35%, 08/26/09		777,146		795,287	1.02	%
06/30/06	Cebridge 2nd Lien PIK, 11.37%, 05/05/14		1,287,302		1,292,164	1.66	%
03/14/06	Cooper Standard TLD, 7.89%, 12/23/11		749,750		745,492	0.96	%
05/03/06	General Motors Corp. Strip II, 0.00%, 07/20/11		782,000		757,500	0.97	%
02/13/06	Georgia Pacific Term Loan C, 8.35%, 12/23/12		500,000		501,646	0.64	%
03/14/05	KGEN Partners LLC Term Loan, 7.98%, 08/15/11		487,525		489,353	0.63	%
11/17/04	Level 3 Financing, Inc. Bank Loan, 8.37%, 12/01/11		250,000		253,125	0.33	%
04/26/06	LSP Gen Finance 2nd Lien Loan, 8.86%, 04/13/14		508,688		506,562	0.65	%
02/03/05	Murray Bank Loan 2nd Lien, 13.91%, 01/31/11		1,638,903		1,675,573	2.15	%
10/14/05	Neiman Marcus Term Loan B, 7.60%, 03/13/13		452,209		453,045	0.58	%
08/21/06	Northwest Air Dip, 7.85%, 08/21/08		500,000		503,438	0.65	%
06/29/06	NRG Energy, Inc. Strip, 7.36%, 02/01/13		750,616		752,280	0.96	%
10/31/05	Targa Resources, Inc. Term Loan, 7.60%, 10/05/07		1,000,000		1,001,328	1.29	%
05/17/06	United AirLines, Inc. Strip, 9.12%, 02/01/12		1,267,490		1,260,346	1.62	%
04/26/06	Venoco, Inc. 2nd Lien Term Loan, 9.87%, 04/26/11		1,611,723		1,616,000	2.07	%
10/10/06	Hawkeye Renewables 1st Lien, 9.43%, 06/30/12		724,539		733,750	0.94	%
11/09/06	Idearc, Inc., 7.35%, 11/15/14		1,502,801		1,509,328	1.94	%
11/14/06	HCA, Inc., 8.09%, 11/15/14		1,006,875		1,012,236	1.30	%
11/21/06	Rental Services Term Loan, 8.86%, 11/30/13		1,009,321		1,011,875	1.30	%
12/19/06	Boston Generating LLC 1st Lien, 8.85%, 12/19/13		250,000		252,148	0.32	%
12/19/06	Boston Generating LLC 2nd Lien, 9.60%, 06/19/14		500,000		516,188	0.66	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 9.62%, 12/15/14		500,000		508,125	0.65	%
12/20/06	Nalco Co. Term Loan, 6.46%, 11/04/10		503,125		502,443	0.65	%
04/28/06	Wide Open West Loan, 10.37%, 04/28/13		752,125		752,478	0.97	%
		$	20,326,880	$	20,422,648	26.21	%

⁴ Floating rate security. The rate disclosed is that in effect at December 31, 2006.

⁵ Securities, or a portion there of, pledged as collateral with a value of $5,988 on 2 Long U.S. Treasury Two Year Note futures contracts.

⁶ Illiquid security.

⁷ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $24,034,060 which is 30.85% 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

6

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 29.97%**
ABFS Mortgage Loan Trust 2002-1 A5 (STEP)
6.51%	12/15/32		$	451,702	$	454,704
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33			28,107		27,877
Conseco Finance 2002-C BF1
8.00%	06/15/32			3,763,000		3,786,454
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,†		1,270,131		1,268,842
Conseco Finance Securitizations Corp. 2001-1 AIO (IO)
2.50%	07/01/32	3,†		829,333		1,468
Conseco Finance Securitizations Corp. 2001-4 AIO (IO)
2.50%	09/01/33	3,†		660,000		11,124
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33			277,546		283,943
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/33	3,†		236,589		49,539
Countrywide Asset-Backed Certificates 2006-12N N
7.25%	07/25/37	2,†		684,026		673,404
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			158,933		160,059
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4
5.89%	10/25/34	4		4,000,000		4,006,777
Green Tree Financial Corp. 1996-10 M1
7.24%	11/15/28			2,700,000		2,689,567
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27			101,218		104,714
Green Tree Financial Corp. 1998-2 A6
6.81%	12/01/27	5		1,291,374		1,331,092
Green Tree Financial Corp. 1998-4 A5
6.18%	04/01/30			2,674,495		2,611,562
Green Tree Financial Corp. 1998-4 A7
6.87%	04/01/30			1,125,750		1,131,492
Green Tree Financial Corp. 1998-6 A8
6.66%	06/01/30			1,500,000		1,459,210
Green Tree Financial Corp. 1999-1 A5
6.11%	09/01/23			62,681		63,090
Green Tree Financial Corp. 1999-5 A4
7.33%	03/01/30			11,298		11,320
Green Tree Financial Corp. 1999-5 A5
7.86%	03/01/30			202,000		179,432
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			196,846		195,478
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			367,746		368,232
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			55,813		54,835
Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS
7.65%	10/15/17			50,662		49,103
GSR Mortgage Loan Trust 2005-HEL1 B1
8.35%	11/25/30	4,†		2,491,000		2,157,236
HFC Home Equity Loan Asset Backed Certificates 2004-1 A
5.70%	09/20/33	4		1,173,074		1,177,623
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			1,342,314		1,293,186
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			662,783		641,078
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28	†		329,373		314,592
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	†		1,176,332		1,127,992
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11			329,402		321,268
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27			701,205		686,202
Long Beach Asset Holdings Corp. 2006-11 N1
6.75%	01/25/47	2		1,300,000		1,298,210
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	2,†		1,837,316		1,831,408
MASTR ABS NIM Trust 2006-CI13 N1
7.00%	12/25/35	2,†		1,136,104		1,086,666
MASTR ABS NIM Trust 2006-CI14 N1
6.00%	07/26/35	2		814,562		813,916
MASTR ABS NIM Trust 2006-CI14 N2
8.00%	07/26/35	2,†		1,337,000		1,329,583
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
5.93%	08/25/35	4		4,000,000		4,059,082
Mid-State Trust 11 B
8.22%	07/15/38			23,365		23,546
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,903,495		2,018,440
Mid-State Trust 6 A4
7.79%	07/01/35			76,781		81,929
Morgan Stanley ABS Capital I 2004-HE5 A4
5.88%	06/25/34	4		895,408		896,838
Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)
10.00%	01/25/36	2,4,†		9,650,000		769,282

1

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28		$	7,101	$	7,048
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			400,940		400,346
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			389,774		377,214
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19			234,448		185,570
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22			13,967		11,551
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31			828,618		730,248
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%	02/15/10	3,†		273,946		36,816
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19			324,290		286,519
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	3,†		2,825,444		393,841
PAMCO CLO 1998-1A B2
6.72%	05/01/10	2,4,†		2,500,000		2,441,198
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/35	2,†		204,176		203,474
Soundview NIM Trust 2005-OPT4 N1
5.68%	12/25/35	2,†		176,559		175,345
Specialty Underwriting & Residential Finance 2004-BC4 A2C
5.84%	10/25/35	4		3,000,000		3,025,412
Structured Asset Receivables Trust 2005-1
6.02%	01/21/15	2,†		13,497,043		13,462,203
Terwin Mortgage Trust 2004-7HE A1
5.90%	07/25/34	2,4		260,749		260,916
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/36	2,†		635,297		632,515
Terwin Mortgage Trust 2005-11 1M2 (STEP)
4.50%	11/25/36	2		3,500,000		3,332,077
Terwin Mortgage Trust 2005-13SL P
0.00%	12/25/36	2,3		1,000		1,475,000
Terwin Mortgage Trust 2005-5SL B4
6.00%	05/25/35	2,†		1,000,000		846,953
Terwin Mortgage Trust 2005-P1 A
0.00%	11/25/35	3,6,†		570		142,500
Terwin Mortgage Trust 2006-1 2P
0.00%	01/25/37	2,3		1,000		775,000
Terwin Mortgage Trust 2006-4SL P
0.00%	05/25/37			410		963,500
Terwin Mortgage Trust 2006-6 1AX (IO)
18.00%	07/25/37	4		27,321,429		1,716,906
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,4,†		7,721,381		7,618,824
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30			585		589
Total Asset-Backed Securities (Cost $83,548,171)						82,402,960
CORPORATES — 29.30%*
Automotive — 5.02%
Ford Motor Credit Co.
8.11%	01/13/12	4		4,000,000		3,968,540
General Motors Corp.
7.38%	05/23/48			5,600,000		4,508,000
8.25%	07/15/23			1,270,000		1,187,450
GMAC LLC
7.57%	12/01/14	4		2,200,000		2,304,885
8.00%	11/01/31	5		1,600,000		1,842,242
						13,811,117
Banking — 2.09%
CS First Boston/London
9.65%	03/24/10	2,4,†		1,832,000		1,657,777
9.65%	03/24/10	2,4		1,063,000		961,909
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,4		1,000,000		984,442
JPMorgan Chase Bank NA
8.75%	11/28/21	4,†		2,201,000		2,138,932
						5,743,060
Basic Industry — 0.60%
Barrick Gold Finance Co.
5.80%	11/15/34			667,000		619,798
Murray Bank Loan 3rd Lien
13.87%	07/28/11	6,†		1,000,000		1,025,000
						1,644,798
Communications — 2.05%
CCO Holdings LLC/CCO Holdings Capital Corp.
9.49%	12/15/10	4		2,000,000		2,050,000
Cebridge 2nd Lien PIK
11.37%	05/05/14	6,†		1,039,745		1,041,695
Level 3 Financing, Inc.
9.25%	11/01/14	2		1,500,000		1,537,500
Level 3 Financing, Inc. Bank Loan
8.37%	12/01/11	4,6,†		1,000,000		1,012,500
						5,641,695
Electric — 2.13%
Boston Generating LLC 1st Lien
8.85%	12/19/13	6,†		3,000,000		3,025,782

2

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Progress Energy, Inc.
5.81%	01/15/10	4	$	1,809,000	$	1,816,885
TPF Generation Holdings LLC 2nd Lien
9.62%	12/15/14	6,†		1,000,000		1,016,250
						5,858,917
Energy — 1.44%
Hawkeye Renewables 1st Lien
9.43%	06/30/12	6,†		1,994,987		1,951,762
Sabine Pass LNG LP
7.50%	11/30/16	2		1,000,000		998,750
Venoco, Inc. 2nd Lien Term Loan
9.87%	04/26/11	6,†		1,000,000		1,010,000
						3,960,512
Finance — 1.85%
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	4,†		1,074,000		1,067,771
Lehman Brothers Holdings, Inc. (MTN) H
12.50%	11/30/10	4,†		809,000		728,990
14.50%	06/20/16	4,†		1,099,000		1,114,935
Residential Capital LLC
6.74%	06/29/07	4		2,175,000		2,186,084
						5,097,780
Health Care — 0.78%
HCA, Inc.
9.25%	11/15/16	2		2,000,000		2,147,500
Insurance — 2.26%
Farmers Exchange Capital
7.05%	07/15/28	2		1,000,000		1,046,468
MetLife, Inc.
6.40%	12/15/36	4		1,750,000		1,763,921
Nationwide Mutual Insurance Co.
6.60%	04/15/34	2		1,000,000		981,887
Zurich Capital Trust I
8.38%	06/01/37	2		2,300,000		2,411,028
						6,203,304
Natural Gas — 0.75%
Southern Union Co.
7.20%	11/01/66	4		2,070,000		2,050,873
Real Estate Investment Trust (REIT) — 1.13%
Health Care Property Investors, Inc.
7.07%	06/08/15	5		500,000		525,769
HRPT Properties Trust
5.96%	03/16/11	4		1,500,000		1,502,178
Shurgard Storage Centers, Inc.
7.75%	02/22/11			1,000,000		1,074,903
						3,102,850
Secured Assets — 0.33%
Ingress I Ltd.
7.38%	03/30/40	2,†		1,000,000		918,119
Transportation — 8.18%
Air 2 US A
8.03%	10/01/20	2		3,161,593		3,195,185
American Airlines, Inc. 1999-1 A1
6.86%	10/15/10			31,341		31,517
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12			84,494		86,448
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			7,871,392		8,191,168
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08			1,739,861		1,728,422
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08			326,871		325,907
JetBlue Airways Corp. 2004-2 G1
5.75%	02/15/18	4		1,877,062		1,880,582
Northwest Air Dip
7.85%	08/21/08	6,†		4,000,000		4,027,500
NWA Trust A
9.25%	06/21/14	7		126,354		133,145
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12			853,510		872,714
United AirLines, Inc. 2001-1 A1
6.07%	09/01/14			5,906		5,939
United AirLines, Inc. Strip
9.12%	02/01/12	6,†		1,990,000		2,008,479
						22,487,006
Waste Management — 0.69%
Allied Waste North America, Inc. B
8.50%	12/01/08			1,800,000		1,901,250
Total Corporates (Cost $78,713,618)						80,568,781
MORTGAGE-BACKED — 12.02%**
Commercial Mortgage-Backed — 1.65%
Structured Asset Securities Corp. 1996-CFL H
7.75%	02/25/28	2		1,000,000		1,033,212
Terra LNR 2006-1A D
6.15%	06/15/17	2,4,†		1,000,000		999,930
Terra LNR 2006-1A E
7.02%	06/15/17	2,4,†		2,500,000		2,499,826
						4,532,968
Non-Agency Mortgage-Backed — 5.91%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	2,3,†		2,472,694		728,439
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	2,3,†		43,002		12,668

3

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	3,†	$	4,535,061	$	116,337
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	3,†		9,365,540		360,892
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
3.22%	07/20/46	3,†		35,323,709		1,819,560
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	3,†		55,093,014		2,661,323
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	2,†		2,397,584		2,389,051
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/12	2		67,005		65,495
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	3,†		11,063,551		242,015
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	3,4,†		18,505,004		474,191
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.63%	10/19/35	3,4,†		38,833,542		418,674
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
2.07%	03/19/37	3,4,†		36,349,721		1,709,573
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
2.37%	05/19/47	3,4,†		29,455,200		1,316,279
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	3,†		4,336,751		93,511
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.75%	08/25/34	4		1,719,479		1,725,044
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			269,576		275,480
Washington Mutual, Inc. 2006-AR9 1XPP (IO)
0.51%	08/25/46	3,†		187,999,086		1,842,391
						16,250,923
U.S. Agency Mortgage-Backed — 4.46%
Fannie Mae 1993-80 S
4.31%	05/25/23	4		31,099		30,606
Fannie Mae 1997-44 SB (IO)
2.64%	06/25/08	4		128,053		2,666
Fannie Mae 2000-45 SA (IO)
2.60%	12/18/30	4		4,877,179		363,643
Fannie Mae 2001-31 SA
6.00%	11/25/17	4		134,279		134,514
Fannie Mae 2001-42 SB
8.50%	09/25/31	4		3,512		3,752
Fannie Mae 2003-107 SQ (IO)
2.30%	05/25/33	4		854,944		43,999
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			2,034,475		80,518
Fannie Mae 2003-124 TS
9.80%	01/25/34	4		69,091		75,836
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			3,234,787		494,005
Fannie Mae 2003-67 IH (IO)
5.00%	01/25/25			1,392,545		54,722
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			135,000		17,559
Fannie Mae 2005-47 SL
7.50%	06/25/35	4		1,847,830		1,897,586
Fannie Mae Pool 555312
6.43%	01/01/33	4		1,240,506		1,261,190
Fannie Mae Pool 735575
5.50%	12/01/18			4,136,441		4,149,611
Freddie Mac 1602 SN
10.09%	10/15/23	4		14,590		15,911
Freddie Mac 2451 SP
5.17%	05/15/09	4		12,625		12,441
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			1,065,610		125,653
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			2,439,283		291,058
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			2,058,130		118,769
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			1,018,923		97,448
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			227,757		42,740
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			1,395,907		189,528
Freddie Mac 2692 EI (IO)
5.50%	08/15/33			303,995		31,960
Freddie Mac 2764 CT
7.50%	03/15/34	4		484,279		468,631
Freddie Mac 2764 SH
7.50%	03/15/34	4		354,457		353,669
Freddie Mac 2827 JT
8.50%	12/15/32	4		196,658		201,407
Freddie Mac 2835 IB (IO)
5.50%	01/15/19			1,320,941		20,673
Freddie Mac 2856 ST
7.00%	09/15/23	4		774,452		788,516
Ginnie Mae 2001-31 SJ
9.27%	02/20/31	4		154,256		171,261
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			277,098		37,204

4

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29	$	200,000	$	18,675
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31		812,194		37,952
Ginnie Mae 2004-8 SE
3.60%	11/26/234		660,651		630,936
					12,264,639
Total Mortgage-Backed (Cost $33,936,282)					33,048,530
		Shares
PREFERRED STOCK — 0.56%
Automotive — 0.06%
Corts Trust for Ford Motor Co.
8.00%	07/16/31		700		13,713
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31		8,100		161,514
					175,227
Communications — 0.50%
Corts Trust for US West Communications
7.50%	11/15/43		7,118		175,850
Preferred Plus Trust Citizens Communications Co.
8.38%	10/01/46		12,100		307,219
Preferred Plus Trust Qwest Capital Funding
7.50%	02/15/31		19,500		497,055
8.00%	02/15/31		9,650		241,347
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30		6,100		154,330
					1,375,801
Total Preferred Stock (Cost $1,487,681)					1,551,028
		Contracts
PUT OPTIONS PURCHASED — 0.21%
Automotive — 0.21%
General Motors Corp., Put Strike $30, expires 01/19/08			200		80,000
General Motors Corp., Put Strike $35, expires 01/19/08			450		301,500
General Motors Corp., Put Strike $40, expires 01/19/08			200		203,000
					584,500
Total Put Options Purchased (Cost $1,181,550)					584,500
		Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.17%
— 0.17%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.60% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.			41,408	$	260,915
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD Libor in exchange for receiving a fixed rate of 4.88% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.			5,222		190,492
					451,407
Total Purchased Swaptions (Cost $450,464)					451,407
Issues	Maturity Date	Principal Amount		Value
SHORT TERM INVESTMENTS — 29.68%
Commercial Paper — 25.35%
Alcoa, Inc.
5.29%8	01/04/07	$	3,100,000	$	3,099,544
CAFCO LLC
5.31%8	01/25/07		2,950,000		2,940,427
Chariot Funding LLC
5.31%8	01/22/07		3,710,000		3,699,603
Ciesco LP
5.29%8	01/26/07		7,000,000		6,976,342
Citigroup Funding Corp.
5.26%	01/24/07		1,665,000		1,659,891
CRC Funding LLC
5.29%8	01/23/07		4,000,000		3,988,244
CS First Bank of New York
5.26%8	01/22/07		2,905,000		2,896,935
DaimlerChrysler NA Holding Corp.
5.39%8	01/19/07		5,310,000		5,297,280
General Electric Capital Corp.
5.24%8	01/25/07		7,000,000		6,977,584
HSBC Finance Corp.
5.26%8	01/25/07		7,000,000		6,977,499
Kitty Hawk Funding Corp.
5.29%8	01/17/07		1,155,000		1,152,624
5.31%8	01/19/07		5,845,000		5,831,206
National Rural Utilities Cooperative Finance Corp.
5.25%8	01/12/07		4,245,000		4,239,429
Park Avenue Receivables Corp.
5.29%8	01/25/07		7,000,000		6,977,371

5

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date			Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
Commercial Paper (continued)
Ranger Funding Co. LLC
5.29%8		01/22/07		$	7,000,000		$	6,980,456
								69,694,435
Money Market Fund — 2.39%
JPMorgan Prime Money Market Fund					6,580,362			6,580,362
U.S. Agency Discount Notes — 1.79%
Fannie Mae
5.14%8		01/22/07			550,000			548,508
Federal Home Loan Bank
5.19%8		01/26/07			4,400,000			4,385,410
								4,933,918
U.S. Treasury Bills — 0.15%
U.S. Treasury Bills
4.68%8		01/18/07	5		25,000			24,951
4.77%8		01/18/07			270,000			269,463
4.91%8		01/18/07	5		5,000			4,990
4.92%8		01/18/07	5		10,000			9,980
4.96%8		01/18/07	5		98,000			97,800
								407,184
Total Short Term Investments (Cost $81,615,897)								81,615,899
Total Investments – 101.91% (Cost $280,933,663)1								280,223,105
Liabilities in Excess of Other Assets – (1.91)%								(5,249,695	)
NET ASSETS – 100.00%							$	274,973,410
Issues	Principal Amount			Proceeds			Market Value
SECURITIES SOLD SHORT
AMR Corp.	$	(3,565	)	$	(28,671	)		(107,770	)
Continental Airlines, Inc., Cl. B		(33,041	)		(403,761	)		(1,362,941	)
Total Securities Sold Short				$	(432,432	)	$	(1,470,711	)
Trust/Counterparty	Maturity Date			Principal Amount			Net Closing Amount
REVERSE REPURCHASE AGREEMENT
Barclays Bank PLC, 5.42% (Collateralized by $3,500,000 Terra LNR 2006-1A D/E, 6.15% to 7.02%, maturity 06/15/17, market value $3,499,756)		01/15/07		$	(3,290,000	)		(3,290,000	)
Total Reverse Repurchase Agreement					(3,290,000	)		(3,290,000	)
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	)		(10,100	)
General Motors Corp., Written Strike $7.5, expires 01/20/07		(1,500	)		(129,745	)		(1,500	)
Total Written Put Options				$	(238,976	)	$	(24,100	)
Issues	Notional Amount (000’s)			Premiums Received			Market Value
WRITTEN SWAPTIONS
Option to enter into a 15-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD Libor in exchange for receiving from the Fund a fixed rate of 4.80% semi-annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.		20,000		$	(450,000	)		(457,556	)
Total Written Swaptions				$	(450,000	)	$	(457,556	)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
69	U.S. Treasury Ten Year Note, March 2007	$	79,781
20	U.S. Treasury Thirty Year Note, March 2007		25,000
	Net unrealized appreciation	$	104,781

Issues	Expiration Date	Notional Amount (000’s)		Unrealized (Depreciation)
SWAPS: INTEREST RATE
The Fund pays a floating rate based on 3 month USD Libor and the Fund receives from the counterparty a fixed rate of 8.66% quarterly. Counterparty: Lehman Brothers Holdings, Inc.	01/02/17	$	5,000	$	(3,500	)
The Fund pays a floating rate based on 3 month USD Libor and the Fund receives from the counterparty a fixed rate equal to 7.07% quarterly. Counterparty: Barclays Bank PLC	12/27/21		7,000	$	(71,427	)
Net unrealized (depreciation)				$	(74,927	)

6

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

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	$	(1,186	)
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		(19,577	)
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		(158,067	)
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		(44,616	)
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		(55,285	)
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		(64,148	)
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		3,899
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, due 12/20/11. Counterparty : JPMorgan & Co.	12/20/11		1,000		(3,185	)
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, due 12/20/11 Counterparty: Lehman Brothers Holdings, Inc.	12/20/11		15,500		(5,214	)
Pay a fixed rate equal to 0.12% and the Fund will receive from the counterparty at par including interest accrued in the event default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CSFB	12/20/11		2,000		(378	)
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, due 12/20/11. Counterparty: Bear Stearns Co.	12/20/11		4,000		(89,659	)
Pay a fixed rate equal to 3.70% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HCA, 6.95% due 12/20/11 Counterparty: Bear Stearns Co.	12/20/11		1,000		(24,030	)
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, 8.35% due 01/25/34. Counterparty: Citigroup Inc.	01/25/34		345		(344	)
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, 7.72% due 04/25/34. Counterparty: Citigroup Inc.	04/25/34		207		13
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, 6.55% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		207		306
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, 7.60% due 05/25/34. Counterparty: Citigroup Inc.	05/25/34		207		905
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, 7.57% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		207		52
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, 7.50% due 06/25/34. Counterparty: Citigroup Inc.	06/25/34		345		(118	)
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, 7.50% due 07/25/34. Counterparty: Citigroup Inc.	07/25/34		207		(22	)
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, 5.89% due 07/25/34. Counterparty: Deutsche Bank AG	07/25/34		5,000		(14,750	)
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, 5.84% due 07/25/34. Counterparty: Deutsche Bank AG	07/25/34		5,000		(28,500	)
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, 5.69% due 07/25/34 Counterparty: Deutsche Bank AG	07/25/34		5,000		(8,000	)

7

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation (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 Morgan Stanley ABS Capital I 2004-HE6 B2, 7.30% due 08/25/34. Counterparty: Citigroup Inc.	08/25/34	$	207	$	186
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, 7.30% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		207		15
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, 6.93% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		207		25
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, 7.20% due 11/25/34. Counterparty: Citigroup Inc.	11/25/34		207		142
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, 8.85% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		207		1,455
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, 7.05% due 12/25/34. Counterparty: Citigroup Inc.	12/25/34		207		137
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, 7.22% due 01/25/35 Counterparty: Bear Stearns Co.	01/25/35		725		3,205
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, 7.05% due 01/25/35. Counterparty: Citigroup Inc.	01/25/35		207		182
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, 8.05% due 02/25/35. Counterparty: Citigroup Inc.	02/25/35		345		782
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, 7.40% due 03/25/35. Counterparty: Citigroup Inc.	03/25/35		207		(10	)
Net unrealized (depreciation)				$	(505,785	)
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, 5.82% due 07/25/34 Counterparty: Deutsche Bank AG	07/25/34		10		2,500
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, 5.84% due 08/25/34. Counterparty: Deutsche Bank AG	07/25/34		10		27,000
Net unrealized appreciation					29,500

Notes:

¹ Cost for Federal income tax purposes is $280,933,663 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	3,335,982
Gross unrealized depreciation		(4,046,540	)
Net unrealized (depreciation)	$	(710,558	)

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 December 31, 2006 was $64,864,002 representing 23.59% of total net assets.

³ Illiquid security.

⁴ Floating rate security. The rate disclosed is that in effect at December 31, 2006.

⁵ Securities, or a portion there of, pledged as collateral with a value of $407,184 on 69 short U.S. Treasury Ten Year Note futures contracts and 20 short U.S. Treasury Thirty 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, 11.37%, 05/05/14	$	1,039,745	$	1,041,695	0.38	%
11/17/04	Level 3 Financing, Inc. Bank Loan, 8.37%, 12/01/11		1,000,000		1,012,500	0.37	%
08/09/06	Murray Bank Loan 3rd Lien, 13.87%, 07/28/11		1,000,000		1,025,000	0.37	%
08/21/06	Northwest Air Dip, 7.85%, 08/21/08		4,000,000		4,027,500	1.46	%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		323,022		142,500	0.05	%
02/01/06	United AirLines, Inc. Strip, 9.12%, 02/01/12		1,990,000		2,008,479	0.73	%
04/27/06	Venoco Inc. 2nd Lien Term Loan, 9.87%, 04/26/11		1,006,558		1,010,000	0.37	%
12/19/06	Boston Generating LLC 1st Lien, 8.85%, 12/19/13		3,000,000		3,025,782	1.10	%
12/20/06	Hawkeye Renewables 1st Lien, 9.43%, 06/30/12		1,955,088		1,951,762	0.71	%

8

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
12/21/06	TPF Generation Holdings LLC 2nd Lien, 9.62%, 12/15/14		1,000,000		1,016,250	0.37	%
		$	16,314,413	$	16,261,468	5.91	%

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

⁸ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $76,162,566 which is 27.70% 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

9

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES — 19.75%**
ACE Securities Corp. 2004-FM1 B1A
8.85%	09/25/33	2	$	17,188	$	17,696
ACE Securities Corp. 2006-SL1 A
5.51%	09/25/35	2		1,181,272		1,182,343
Amortizing Residential Collateral Trust 2002-BC4 M2
6.50%	07/25/32	2		319,628		323,847
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)
5.85%	12/28/40	2,3,†		2,400,000		2,399,512
Bear Stearns Asset Backed Securities, Inc. 2000-2 M1 (STEP)
8.04%	08/25/30			987,588		989,461
Carrington Mortgage Loan Trust 2006-NC1 A2
5.51%	01/25/36	2		2,200,000		2,202,316
Castle Trust 2003-1AW A1
6.10%	05/15/27	2,3		793,595		793,845
Conseco Finance 2002-C BF2
8.00%	06/15/32	3,†		615,904		615,279
Countrywide Asset-Backed Certificates 2004-1 M2
5.90%	03/25/34	2		2,250,000		2,260,425
Countrywide Asset-Backed Certificates 2005-13 AF1
5.48%	04/25/36	2		1,006,520		1,007,298
Embarcadero Aircraft Securitization Trust 2000-A A1
5.83%	08/15/25	2,3		835,000		701,922
Genesis Funding Ltd. 2006-1A G1
5.59%	12/19/32	2,3,†		1,750,000		1,749,930
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.57%	06/25/30	2		950,179		951,510
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)
6.05%	04/25/27			190,074		189,497
Green Tree Financial Corp. 1999-3 A5
6.16%	02/01/31			992		993
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			131,002		130,092
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			244,564		240,278
Green Tree Home Improvement Loan Trust 1996-B A
6.45%	10/15/15	†		3,702		3,701
Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS
7.24%	12/15/22			165,886		153,715
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.55%	04/15/30	2,†		212,679		212,661
GSAMP Trust 2004-FM1 M2
6.75%	11/25/33	2		1,999,048		2,007,093
HPSC Equipment Receivables LLC 2003-1A F
13.95%	07/20/11	3,†		73,901		75,044
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
6.10%	05/25/33	2		1,450,991		1,452,762
IndyMac Home Equity Loan Asset-Backed Trust 2004-1 A
5.49%	04/25/26	2		1,262,042		1,263,196
IndyMac Residential Asset Backed Trust 2006-A A2
5.50%	03/25/36	2		2,305,000		2,307,463
MASTR Asset Backed Securities Trust 2006-NC1 A2
5.49%	01/25/36	2		2,265,000		2,267,342
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)
7.50%	09/25/23			125,976		125,519
Oakwood Mortgage Investors, Inc. 2002-B A1
5.58%	05/15/13	2		175,995		162,083
Option One Mortgage Loan Trust 2003-2 A2
5.65%	04/25/33	2		128,493		128,688
Renaissance Home Equity Loan Trust 2005-2 N
5.19%	07/25/35	3,†		114,849		114,454
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1
5.46%	03/25/36	2		1,572,458		1,573,420
Structured Asset Receivables Trust 2003-1
6.29%	01/21/10	2,3,†		973,769		968,821
Structured Asset Receivables Trust 2003-2
5.72%	01/21/09	2,3,†		528,291		525,606
Structured Asset Receivables Trust 2005-1
6.02%	01/21/15	3,†		2,369,461		2,363,345
Structured Settlements Fund 1999-A A
7.25%	12/20/15	3,†		50,720		50,669
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		19,303,293		333,562
Terwin Mortgage Trust 2005-11 1A1A (STEP)
4.50%	11/25/36	3,†		379,491		377,829
Terwin Mortgage Trust 2005-7SL A1
5.62%	07/25/35	2,3		566,175		566,706
Terwin Mortgage Trust 2006-8 2A1
4.50%	08/25/37	2,3,†		1,930,345		1,904,706
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			578,325		577,494
Zermatt CBO Ltd. 1A A
5.95%	09/01/10	2,3,†		60,963		60,926
Total Asset-Backed Securities (Cost $35,596,052)						35,333,049

1

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES — 29.88%*
Automotive — 4.00%
DaimlerChrysler NA Holding Corp.
5.60%	03/07/07	2	$	1,160,000	$	1,160,244
Ford Motor Credit Co.
6.93%	01/15/10	2		2,060,000		2,016,202
8.11%	01/13/12	2		766,000		759,975
GMAC LLC
7.57%	12/01/14	2		3,078,000		3,224,744
						7,161,165
Banking — 2.94%
CS First Boston/London
9.65%	03/24/10	2,3,†		1,322,000		1,196,278
9.65%	03/24/10	2,3		522,000		472,358
Popular North America, Inc.
5.71%	12/12/07	2		915,000		917,193
Roslyn Bancorp, Inc.
5.75%	11/15/07			1,200,000		1,193,090
State Street Institutional Capital B
8.04%	03/15/27	3		1,410,000		1,471,765
						5,250,684
Basic Industry — 0.66%
Steel Dynamics, Inc.
9.50%	03/15/09			1,150,000		1,185,938
Communications — 1.13%
Cebridge 2nd Lien
9.87%	05/05/14	†		1,000,000		1,003,542
Lenfest Communications, Inc.
7.63%	02/15/08			1,000,000		1,023,609
						2,027,151
Consumer Products — 0.56%
SABMILLER PLC
5.66%	07/01/09	2,3		1,000,000		1,001,603
Electric — 3.44%
Dominion Resources, Inc. B
5.55%	11/14/08	2		1,750,000		1,751,164
East Coast Power LLC
6.74%	03/31/08			631,414		636,975
Entergy Gulf States, Inc.
6.10%	12/08/08	2,3		1,500,000		1,503,994
Florida Power Corp.
5.77%	11/14/08	2		1,430,000		1,433,461
TECO Energy, Inc.
7.37%	05/01/10	2		800,000		822,000
						6,147,594
Finance — 3.06%
Countrywide Financial Corp. (MTN) B
5.59%	03/24/09	2		1,400,000		1,403,907
Goldman Sachs Group, Inc.
5.57%	03/02/10	2		812,000		815,152
Lehman Brothers Holdings, Inc. (MTN)
5.59%	07/18/11	2		620,000		621,815
Residential Capital LLC
7.20%	04/17/09	2,3		1,190,000		1,196,574
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		1,458,000		1,428,840
						5,466,288
Food — 0.48%
Corn Products International, Inc.
8.25%	07/15/07			850,000		862,307
Health Care — 1.26%
Cardinal Health, Inc.
5.63%	10/02/09	2,3		1,245,000		1,246,538
HCA, Inc.
8.09%	11/15/14	5,†		1,000,000		1,012,236
						2,258,774
Insurance — 0.77%
Zurich Capital Trust I
8.38%	06/01/37	3		1,314,000		1,377,431
Natural Gas — 0.78%
Sempra Energy
5.85%	05/21/08	2		1,400,000		1,400,610
Real Estate Investment Trust (REIT) — 5.51%
Brandywine Operating Partnership LP
5.82%	04/01/09	2		1,125,000		1,125,000
EOP Operating LP
5.96%	10/01/10	2		1,670,000		1,691,996
First Industrial LP
7.60%	05/15/07			1,750,000		1,763,072
Health Care Property Investors, Inc. (MTN)
5.81%	09/15/08	2		1,800,000		1,798,979
Highwoods Properties, Inc.
7.13%	02/01/08			995,000		1,010,255
HRPT Properties Trust
5.96%	03/16/11	2		1,200,000		1,201,742
Summit Properties Partnership LP
7.20%	08/15/07			1,250,000		1,260,728
						9,851,772
Transportation — 4.40%
Air 2 US A
8.03%	10/01/20	3		724,903		732,605
American Airlines, Inc. 2002-1 G
5.99%	03/23/09	2		632,699		633,274
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			952,866		991,576
Continental Airlines, Inc. 1997-2 A
7.15%	12/30/08			165,963		164,872

2

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines, Inc. 1998-2 A
6.41%	10/15/08		$	442,100	$	440,796
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/12			1,733,028		1,742,776
Northwest Air Dip
7.85%	08/21/08	5,†		1,000,000		1,006,875
United AirLines, Inc. 2000-2 A1
7.03%	04/01/12			641,690		656,128
United AirLines, Inc. Strip
9.12%	02/01/12	5,†		1,492,500		1,506,359
						7,875,261
Waste Management — 0.89%
Allied Waste North America, Inc. B
8.50%	12/01/08			1,500,000		1,584,375
Total Corporates (Cost $53,237,320)						53,450,953
MORTGAGE-BACKED — 23.24%**
Commercial Mortgage-Backed — 3.42%
Bayview Commercial Asset Trust 2004-2 A (STEP)
5.78%	08/25/34	2,3,†		2,727,084		2,740,363
Bayview Commercial Asset Trust 2005-2A A1 (STEP)
5.66%	08/25/35	2,3,†		1,133,305		1,134,534
Terra LNR 2006-1A D
6.15%	06/15/17	2,3,†		1,500,000		1,499,895
Terra LNR 2006-1A E
7.02%	06/15/17	2,3,†		750,000		749,948
						6,124,740
Non-Agency Mortgage-Backed — 10.64%
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.63%	01/25/35	2,3,†		2,006,078		2,008,557
Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)
5.53%	05/25/36	2,3,†		2,070,029		2,069,998
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.14%	02/25/34	2		832,756		822,423
Countrywide Alternative Loan Trust 2005-14 4X (IO)
1.81%	05/25/35	4,†		2,955,888		75,827
Countrywide Alternative Loan Trust 2005-27 2A1
6.18%	08/25/35	2,†		1,501,727		1,509,716
Countrywide Alternative Loan Trust 2005-59 1A1
5.65%	11/20/35	2		1,791,115		1,798,161
Countrywide Alternative Loan Trust 2005-59 2X (IO)
1.96%	11/20/35	4,†		4,682,770		180,446
Countrywide Alternative Loan Trust 2005-61 2A1
5.63%	12/25/35	2		859,418		861,954
Countrywide Alternative Loan Trust 2005-72 A1 (STEP)
5.62%	01/25/36	2		1,596,587		1,599,284
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.14%	05/20/46	4,†		7,953,084		384,182
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		952,935		949,543
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.59%	03/19/35	4,†		4,009,012		87,697
Harborview Mortgage Loan Trust 2005-10 X (IO)
1.74%	11/19/35	2,4,†		5,323,104		136,405
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.74%	12/25/34	2		867,155		869,445
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.74%	12/25/34	4,†		2,745,562		59,201
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
5.78%	09/25/34	2		779,042		782,087
MASTR Seasoned Securities Trust 2004-1 4A1
5.20%	10/25/32	2		829,061		833,636
MASTR Seasoned Securities Trust 2005-1 4A1
5.83%	10/25/32	2		968,332		979,022
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			120,237		119,953
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			636,078		643,976
Structured Asset Securities Corp. 2002-5A 6A
6.29%	04/25/32	2		25,464		25,390
Summit Mortgage Trust 2000-1 B5
6.57%	12/28/12	2,3,†		939		936
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			620,026		633,603
Washington Mutual, Inc. 2002-AR18 A
4.11%	01/25/33	2		528,832		523,096
Washington Mutual, Inc. 2004-AR12 A4A
5.63%	10/25/44	2		200,955		201,158
Washington Mutual, Inc. 2005-AR1 A2A2
5.60%	01/25/45	2		433,543		434,422

3

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual, Inc. 2005-AR2 2A22
5.57%	01/25/45	2	$	448,853	$	450,317
						19,040,435
U.S. Agency Mortgage-Backed — 9.18%
Fannie Mae (TBA)
5.50%	01/25/21			6,342,000		6,342,000
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		1,699		1,827
Fannie Mae 1997-91 SL (IO)
5.35%	11/25/23	2		513,920		82,961
Fannie Mae 2001-60 JZ
6.00%	03/25/31			52,705		52,603
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			788,973		120,489
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		292,280
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			766,951		46,344
Fannie Mae 2006-B2 AB
5.50%	05/25/14			3,630,099		3,628,542
Fannie Mae G-36 ZB
7.00%	11/25/21			5,494		5,716
Fannie Mae Pool 646884
5.51%	05/01/32	2		445,235		446,726
Freddie Mac 2 L
8.00%	11/25/22			49,772		51,437
Freddie Mac 2080 PJ
6.50%	08/15/28			735,726		751,081
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			242,358		7,020
Freddie Mac 2557 IM (IO)
5.50%	03/15/22			92,682		895
Freddie Mac Pool 1L0113
6.44%	05/01/35	2		1,055,730		1,079,625
Freddie Mac Pool 788498
7.29%	02/01/30	2		1,027,481		1,052,774
Freddie Mac Pool 847288
3.16%	05/01/34	2		1,752,728		1,761,883
Ginnie Mae 2003-75 CI (IO)
5.50%	01/20/21			301,666		3,146
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			970,372		45,343
Ginnie Mae II Pool 80968
6.00%	07/20/34	2		635,625		639,033
						16,411,725
Total Mortgage-Backed (Cost $42,047,725)						41,576,900
U.S. AGENCY SECURITIES — 14.39%
U.S. Agency Securities — 14.39%
Fannie Mae
4.88%	08/27/07			7,590,000		7,572,619
5.67%	04/26/11			1,740,000		1,741,404
Federal Home Loan Bank
5.50%	06/30/08	†		1,810,000		1,810,362
Freddie Mac
3.63%	02/15/07			2,090,000		2,086,178
4.50%	08/22/07			5,005,000		4,979,334
5.50%	06/12/08			3,545,000		3,545,372
5.55%	12/11/08			4,015,000		4,014,273
						25,749,542
Total U.S. Agency Securities (Cost $25,750,880)						25,749,542
			Shares
PREFERRED STOCK — 0.34%
Finance — 0.34%
Woodbourne Pass-Through Trust
6.45%	12/31/49	2,3		6		602,438
Total Preferred Stock (Cost $600,000)						602,438
Issues	Maturity Date		Principal Amount		Value
SHORT TERM INVESTMENTS — 16.01%
Commercial Paper — 9.38%
Alcoa, Inc.
5.28%6	01/11/07		$	2,230,000		2,227,383
Ciesco LP
5.26%6	01/04/07			1,900,000		1,899,722
5.26%6	01/10/07			1,545,000		1,543,420
5.28%6	01/05/07			2,100,000		2,099,384
DaimlerChrysler NA Holding Corp.
5.39%6	01/19/07			1,805,000		1,800,676
5.39%6	01/22/07			1,350,000		1,346,160
Kitty Hawk Funding Corp.
5.29%6	01/16/07			2,000,000		1,996,179
5.29%6	01/17/07			880,000		878,190
National Rural Utilities Cooperative Finance Corp.
5.27%6	01/22/07			3,000,000		2,991,656
						16,782,770
Money Market Fund — 2.45%
JPMorgan Prime Money Market Fund				4,385,581		4,385,581
U.S. Agency Discount Notes — 4.15%
Fannie Mae
5.14%6	01/22/07			905,000		902,545
Freddie Mac
5.09%6	01/16/07			6,331,000		6,319,306

4

AlphaTrak^SM 500 Fund

Schedule of Portfolio Investments

December 31, 2006 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
5.15%6	01/17/07		$	150,000	$	149,702
5.16%6	01/09/07			50,000		49,957
						7,421,510
U.S. Treasury Bills — 0.03%
U.S. Treasury Bills
4.96%6	01/18/07	7		61,000		60,876
Total Short Term Investments (Cost $28,650,802)						28,650,737
Total Investments – 103.61% (Cost $185,882,779)1						185,363,619
Liabilities in Excess of Other Assets – (3.61)%						(6,462,816	)
Net Assets – 100.00%					$	178,900,803

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
5	S&P 500 Index E-Mini, March 2007	$	(1,465	)
385	S&P 500 Index, March 2007		1,298,875
	Net unrealized appreciation	$	1,297,410

Issues	Expiration Date	Notional Amount (000’s)		Unrealized Appreciation
SWAPS: TOTAL RETURN
S&P 500 Total Return issued by JPMorgan & Co., 5.37%
	10/03/07	$	41,303	$	3,780,924
Net unrealized appreciation				$	3,780,924

Notes:

¹ Cost for Federal income tax purposes is $185,882,779 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	566,841
Gross unrealized depreciation		(1,086,001	)
Net unrealized (depreciation)	$	(519,160	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2006 was $35,557,514 representing 19.88% of total net assets.

⁴ Illiquid security.

⁵ 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, 7.85%, 08/21/08	$	1,000,000	$	1,006,875	0.56	%
11/14/06	HCA, Inc., 8.09%, 11/15/14		1,000,000		1,012,236	0.57	%
02/01/06	United AirLines, Inc. Strip, 9.12%, 02/01/12		1,492,500		1,506,359	0.84	%
		$	3,492,500	$	3,525,470	1.97	%

⁶ Represents annualized yield at date of purchase.

⁷ Securities, or a portion there of, pledged as collateral with a value of $60,876 on 5 long S&P 500 Index E-Mini and 385 long S&P 500 Index futures contracts.

† Fair valued security. The aggregate value of fair valued securities is 34,307,785 which is 19.18% 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

5

Metropolitan West Funds

Notes to Schedules of Portfolio Investments

December 31, 2006 (Unaudited)

1. SIGNIFICANT ACCOUNTING POLICIES

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

Security Valuation:

The Funds value securities pursuant to policies and procedures approved by the Board of Trustees. Fixed-income securities for which market quotations are readily available are valued 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.

2. FEDERAL TAX INFORMATION:

No provision for Federal income taxes is required since the Funds intend to continue to comply with all requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income and capital gains to shareholders. Federal income tax regulations differ from accounting principles generally accepted in the United States of America; therefore, 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 to tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of December 31, 2006.

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
Alpha Trak 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

For additional information regarding the accounting policies of the Metropolitan West Funds, refer to the most recent financial statements in the N-CSR filing at www.sec.gov

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

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

Date 2/28/07

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 2/28/07

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

Date 2/28/07

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