N-Q 1 dnq.htm METROPOLITAN WEST FUNDS Metropolitan West Funds

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07989

 

Metropolitan West Funds

(Exact name of registrant as specified in charter)

 

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Name and address of agent for service)

 

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

Date of fiscal year end: March 31

Date of reporting period: June 30, 2007

 

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

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

ASSET-BACKED SECURITIES — 16.87%**

        

Aames Mortgage Trust 2002-1 A3 (STEP)

        

6.90%

    06/25/32     $ 44,107    $ 44,951

ABFS Mortgage Loan Trust 2002-1 A5 (STEP)

        

6.51%

    12/15/32       64,932      65,085

ABFS Mortgage Loan Trust 2002-2 A7 (STEP)

        

5.22%

    07/15/33       5,922      5,907

ABFS Mortgage Loan Trust 2002-3 A (STEP)

        

4.26%

    09/15/33       72,940      71,000

ABFS Mortgage Loan Trust 2002-4 A (STEP)

        

4.43%

    12/15/33       34,637      34,321

Bayview Financial Acquisition Trust 2004-B A1

        

5.82%

    05/28/39 2,3,†     3,500,000      3,500,018

Bayview Financial Acquisition Trust 2005-A A1 (STEP)

        

5.82%

    02/28/40 2,3,†     4,000,000      4,004,652

Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)

        

5.82%

    12/28/40 2,3,†     3,900,000      3,900,090

Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)

        

8.04%

    08/25/30       754,685      757,923

Contimortgage Home Equity Trust 1999-3 A6 (STEP)

        

8.18%

    12/25/29       11,388      11,359

Countrywide Asset-Backed Certificates 2003-BC1 M1

        

6.24%

    12/25/32 2     659,113      660,003

Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)

        

5.89%

    02/25/37       2,447,631      2,444,737

CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)

        

5.60%

    09/25/31       220,664      217,272

Deutsche Financial Capital Securitization LLC 1997-I A3

        

6.75%

    09/15/27       353,323      353,467

FHLMC Structured Pass Through Securities T-49 AF5 (STEP)

        

5.45%

    12/25/32       32,869      31,868

First Alliance Mortgage Loan Trust 1994-3 A1

        

7.83%

    10/25/25       8,395      8,363

First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A

        

7.65%

    03/25/24 2     3,435,007      3,441,936

GE Capital Mortgage Services, Inc. 1998-HE1 A7

        

6.47%

    06/25/28       2,886      2,906

Green Tree Financial Corp. 1994-1 A5

        

7.65%

    04/15/19       15,176      15,685

Green Tree Financial Corp. 1996-8 A6

        

7.60%

    10/15/27       40,278      41,383

Green Tree Financial Corp. 1999-3 A5

        

6.16%

    02/01/31       7,646      7,651

Green Tree Home Improvement Loan Trust 1995-C B2

        

7.60%

    07/15/20       336,254      322,398

Green Tree Home Improvement Loan Trust 1995-F B2

        

7.10%

    01/15/21       90,733      86,137

GSAMP Trust 2004-FM1 M2

        

6.72%

    11/25/33 2     1,709,726      1,713,256

GSAMP Trust 2006-S6 A2 (STEP)

        

5.55%

    10/25/36       2,300,000      2,297,045

GSR Mortgage Loan Trust 2005-HEL1 M2

        

6.05%

    11/25/30 2     4,000,000      3,989,833

IndyMac Manufactured Housing Contract 1998-2 A4

        

6.64%

    12/25/27       385,127      369,613

Inman Square Funding Ltd. 2005-2A I

        

5.80%

    10/06/40 2,3,†     2,250,000      2,250,001

Irwin Home Equity 2003-A M2

        

7.47%

    10/25/27 2     2,438,823      2,443,867

Ivy Lane CDO Ltd. 2006-1A A1

        

5.69%

    02/05/46 2,3,†     1,800,000      1,775,803

Keystone Owner Trust 1998-P1 M2

        

7.93%

    05/25/25 3     38,159      38,044

Mid-State Trust 6 A4

        

7.79%

    07/01/35       62,548      65,999

Morgan Stanley ABS Capital I 2004-NC2 M2

        

6.52%

    12/25/33 2     4,713,604      4,727,317

Nationstar NIM Trust 2007-B A

        

8.75%

    05/25/37 3,†     1,108,594      1,102,358

Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)

        

10.00%

    04/25/36 2,3,†     6,516,667      439,659

Oakwood Mortgage Investors, Inc. 1998-A A4

        

6.20%

    05/15/28       8,863      8,827

Oakwood Mortgage Investors, Inc. 1998-B A3

        

6.20%

    01/15/15       13,123      12,954

Oakwood Mortgage Investors, Inc. 1998-B A4

        

6.35%

    03/15/17       656,990      651,026

Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)

        

6.00%

    05/15/10 4,†     83,043      10,378

Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)

        

7.51%

    03/25/31       465,562      464,357

Residential Asset Securities Corp. 2002-KS8 A4

        

4.58%

    11/25/30       55,085      54,916

Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)

        

8.60%

    09/25/29       321,149      320,335

 

1

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

ASSET-BACKED SECURITIES (continued)

        

Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)

        

8.29%

    02/25/25     $ 33,478    $ 33,393

SACO I, Inc. 2004-3A AIO (IO) (STEP)

        

3.50%

    12/25/07 4,†     16,327,000      65

Saxon Asset Securities Trust 2002-1 M2

        

7.12%

    11/25/31 2     267,564      268,077

Terwin Mortgage Trust 2004-13AL 2PX (IO)

        

0.34%

    08/25/34 3,4,†     12,126,558      168,906

Terwin Mortgage Trust 2005-11 1A1A (STEP)

        

4.50%

    11/25/36 3     357,610      356,025

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     3,287,686      3,239,856

UCFC Home Equity Loan 1998-D BF1

        

8.97%

    04/15/30       1,243      1,242

Vanderbilt Mortgage Finance 1997-B 1A6

        

7.60%

    06/07/25       2,085,000      2,130,505

Vertical CDO Ltd. 2007-1A A1J

        

6.07%

    04/10/47 2,3,†     1,200,000      1,121,355
           

Total Asset-Backed Securities

        

(Cost $50,459,647)

           50,084,124
           

CORPORATES — 4.57%*

        

Automotive — 1.01%

        

Ford Motor Credit Co. LLC

        

8.11%

    01/13/12 2     1,130,000      1,128,192

General Motors Acceptance Corp. (MTN)

        

6.51%

    09/23/08 2     1,868,000      1,868,560
           
          2,996,752
           

Banking — 1.25%

        

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     2,286,000      2,112,264

0.00%

    03/24/10 2,3     1,136,000      1,049,664

JPMorgan Chase Bank NA

        

8.75%

    11/28/21 2,†     557,000      536,837
           
          3,698,765
           

Electric — 0.85%

        

Appalachian Power Co.

        

3.60%

    05/15/08       1,000,000      984,305

Entergy Gulf States, Inc.

        

5.76%

    12/01/09 2     550,000      550,035

6.11%

    12/08/08 2,3     1,000,000      1,003,019
           
          2,537,359
           

Finance — 0.95%

        

Lehman Brothers Holdings, Inc. H (MTN)

        

12.50%

    11/30/10 2,†     883,000      819,424

Residential Capital LLC

        

7.19%

    04/17/09 2,3     2,000,000      1,991,890
           
          2,811,314
           

Transportation — 0.51%

        

Air 2 US A

        

8.03%

    10/01/20 3     505,730      523,746

Northwest Air Dip

        

7.34%

    05/21/12 5,†     1,000,000      1,001,635
           
          1,525,381
           

Total Corporates

        

(Cost $13,750,586)

           13,569,571
           

MORTGAGE-BACKED — 59.10%**

        

Commercial Mortgage-Backed — 1.89%

        

Bayview Commercial Asset Trust 2007-3 A1

        

5.56%

    07/25/37 2,3,†     2,484,206      2,484,221

Structured Asset Mortgage Investments, Inc. 2005-AR6 2A1

        

5.63%

    09/25/45 2     3,115,893      3,124,697
           
          5,608,918
           

Non-Agency Mortgage-Backed — 28.48%

        

Alliance Bancorp Trust 2007-OA1 A1

        

5.56%

    07/25/37 2,†     4,696,157      4,695,511

American Home Mortgage Investment Trust 2004-3 3A

        

3.71%

    10/25/34 2     2,571,181      2,588,734

Banc of America Funding Corp. 2003-2 1A1

        

6.50%

    06/25/32       115,105      115,411

Banc of America Mortgage Securities, Inc. 2003-A 2A2

        

4.57%

    02/25/33 2     36,704      36,573

Chase Mortgage Finance Corp. 2007-A2 2A3

        

4.24%

    07/25/37 2,†     3,805,000      3,765,761

Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2

        

6.50%

    06/25/31       1,264,200      1,267,558

Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1

        

5.50%

    12/25/18       1,037,667      1,014,968

Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1

        

6.50%

    08/25/18 3     690,754      693,025

Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41

        

5.14%

    02/25/34 2     646,265      634,015

Countrywide Alternative Loan Trust 2004-J6 2A1

        

6.50%

    11/25/31       809,180      810,824

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 4,6,†     4,102,465      81,153

Countrywide Alternative Loan Trust 2005-16 A5

        

5.60%

    06/25/35 2     1,211,212      1,214,034

Countrywide Alternative Loan Trust 2005-27 2A1

        

6.38%

    08/25/35 2,†     2,113,007      2,120,747

 

2

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

Countrywide Alternative Loan Trust 2005-51 2A2A

        

5.61%

    11/20/35 2   $ 1,009,415    $ 1,010,806

Countrywide Alternative Loan Trust 2005-59 1A1

        

5.65%

    11/20/35 2     3,879,288      3,895,398

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 4,6,†     8,724,391      282,278

Countrywide Alternative Loan Trust 2005-61 2A1

        

5.60%

    12/25/35 2     1,826,577      1,829,422

Countrywide Alternative Loan Trust 2006-OA12 A2

        

5.53%

    09/20/46 2     3,115,719      3,126,827

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 4,†     12,761,161      538,092

CS First Boston Mortgage Securities Corp. 2002-29 2A3

        

7.00%

    10/25/32       53,121      53,023

CS First Boston Mortgage Securities Corp. 2002-AR31 4A2

        

5.31%

    11/25/32 2     200,000      199,047

CS First Boston Mortgage Securities Corp. 2003-AR24 2A4

        

4.02%

    10/25/33 2     2,792,576      2,742,545

CS First Boston Mortgage Securities Corp. 2004-1 2A1

        

6.50%

    02/25/34       1,242,916      1,246,448

Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A

        

5.73%

    09/19/44 2     636,424      639,749

Fannie Mae Pool 788986

        

4.48%

    10/01/34 2     2,178,258      2,192,232

Fifth Third Mortgage Loan Trust 2002-FTB1 5A1

        

5.21%

    11/19/32 2     123,977      123,957

First Horizon Mortgage Pass-Through Trust, 2002-AR2 2A1

        

5.27%

    12/27/32 2     177,437      177,734

First Horizon Mortgage Pass-Through Trust, 2003-AR2 1A1

        

6.21%

    07/25/33 2     162,654      160,801

GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)

        

5.60%

    07/25/34       112,870      112,136

Harborview Mortgage Loan Trust 2004-8 2A4A

        

5.72%

    11/19/34 2     2,997,520      3,008,052

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 4,6,†     5,311,283      102,076

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,4,†     11,168,391      279,210

Harborview Mortgage Loan Trust 2005-12 X2A (IO)

        

0.61%

    10/19/35 2,4,†     31,209,144      287,709

IndyMac Index Mortgage Loan Trust 2004-AR12 A1

        

5.71%

    12/25/34 2     3,364,669      3,382,955

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 4,6,†     3,736,646      74,733

IndyMac Index Mortgage Loan Trust 2004-AR6 6A1

        

5.47%

    10/25/34 2     1,119,337      1,110,182

IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B

        

6.10%

    10/25/36 2     1,966,223      1,987,644

MASTR Adjustable Rate Mortgages Trust 2004-1 2A1

        

7.77%

    01/25/34 2     160,963      163,182

MASTR Adjustable Rate Mortgages Trust 2004-12 5A1

        

4.75%

    10/25/34 2,†     2,996,818      3,019,458

MASTR Adjustable Rate Mortgages Trust 2004-5 3A1

        

7.25%

    06/25/34 2     267,943      268,615

MASTR Seasoned Securities Trust 2004-1 4A1

        

5.34%

    10/25/32 2     774,646      785,154

MASTR Seasoned Securities Trust 2004-2 A2

        

6.50%

    08/25/32       1,239,017      1,250,218

MASTR Seasoned Securities Trust 2005-1 4A1

        

5.81%

    10/25/32 2     983,915      993,376

Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A

        

4.53%

    12/25/32 2     3,028,021      3,067,003

Residential Accredit Loans, Inc. 2002-QS17 NB1

        

6.00%

    11/25/32       81,929      81,805

Residential Accredit Loans, Inc. 2007 QS8 A10

        

6.00%

    06/25/37 †     3,145,000      3,146,721

Residential Asset Mortgage Products, Inc. 2003-SL1 A11

        

7.13%

    03/25/16       765,476      774,132

Residential Asset Mortgage Products, Inc. 2004-SL1 A2

        

8.50%

    11/25/31       373,843      389,414

Residential Asset Mortgage Products, Inc. 2004-SL1 A7

        

7.00%

    11/25/31       91,376      93,004

Residential Asset Mortgage Products, Inc. 2004-SL1 A8

        

6.50%

    11/25/31       628,276      631,123

 

3

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

Residential Asset Mortgage Products, Inc. 2005-SL1 A5

        

6.50%

    05/25/32     $ 3,586,267    $ 3,602,517

Residential Asset Securitization Trust 2004-IP2 2A1

        

5.25%

    12/25/34 2     1,113,406      1,107,698

Residential Asset Securitization Trust 2007-A7 A4

        

6.00%

    07/25/37 †     3,479,506      3,484,290

Structured Asset Securities Corp. 2001-15A 4A1

        

6.00%

    10/25/31 2     74,578      74,368

Washington Mutual Mortgage Pass Through Certificates 2006-AR19 1A

        

5.77%

    01/25/47 2,†     5,131,164      5,118,496

Washington Mutual Mortgage Pass Through Certificates 2007-OA1 XPPP (IO)

        

0.64%

    02/25/47 4,6,†     84,713,302      1,194,458

Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A

        

5.97%

    05/25/46 2,†     3,715,329      3,717,071

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A

        

5.00%

    02/25/18       552,054      529,627

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A

        

7.00%

    04/25/33       345,341      350,396

Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A

        

7.00%

    03/25/34       347,310      351,112

Washington Mutual, Inc. 2002-AR10 A6

        

4.82%

    10/25/32 2     136,552      136,230

Washington Mutual, Inc. 2002-AR18 A

        

4.11%

    01/25/33 2     948,754      942,454

Washington Mutual, Inc. 2002-AR6 A

        

6.43%

    06/25/42 2     389,405      389,188

Washington Mutual, Inc. 2003-AR6 A1

        

4.33%

    06/25/33 2     1,276,290      1,278,145
           
          84,540,625
           

U.S. Agency Mortgage-Backed — 28.73%

        

Fannie Mae 1988-12 A

        

10.00%

    02/25/18 2     197,372      219,003

Fannie Mae 1993-210 PL

        

6.50%

    04/25/23       257,147      257,553

Fannie Mae 1993-80 S

        

4.35%

    05/25/23 2     15,349      14,511

Fannie Mae 1994-55 S

        

11.53%

    12/25/23 2     7,721      8,069

Fannie Mae 1997-23 PB

        

6.63%

    01/25/22       70,942      71,509

Fannie Mae 1998-58 PC

        

6.50%

    10/25/28       1,402,734      1,429,972

Fannie Mae 2000-27 AN

        

6.00%

    08/25/30       26,323      26,493

Fannie Mae 2001-42 SB

        

8.50%

    09/25/31 2     8,255      8,764

Fannie Mae 2001-60 JZ

        

6.00%

    03/25/31       92,691      92,526

Fannie Mae 2001-68 PV

        

6.00%

    11/25/18       200,276      200,685

Fannie Mae 2003-124 IO (IO)

        

5.25%

    03/25/31       519,373      21,685

Fannie Mae 2003-124 TS

        

9.80%

    01/25/34 2     182,891      200,108

Fannie Mae 2003-37 IG (IO)

        

5.50%

    05/25/32       443,107      79,524

Fannie Mae 2003-85 IE (IO)

        

5.50%

    06/25/29       162,754      17,915

Fannie Mae 2004-96 MT

        

7.00%

    12/25/34 2     353,409      338,628

Fannie Mae 2005-47 SL

        

7.50%

    06/25/35 2     518,834      509,619

Fannie Mae Pool 111643

        

5.76%

    09/01/20 2     33,594      33,456

Fannie Mae Pool 190656

        

6.50%

    02/01/14       370,222      378,126

Fannie Mae Pool 254190

        

5.50%

    02/01/09       534,218      536,036

Fannie Mae Pool 303683

        

6.50%

    08/01/25       19,182      19,511

Fannie Mae Pool 523829

        

8.00%

    11/01/19       451,918      478,585

Fannie Mae Pool 545350

        

6.50%

    11/01/16       1,472,981      1,505,742

Fannie Mae Pool 555098

        

5.13%

    11/01/32 2     271,532      270,797

Fannie Mae Pool 555177

        

4.83%

    01/01/33 2     392,551      390,729

Fannie Mae Pool 555207

        

7.00%

    11/01/17       86,565      88,437

Fannie Mae Pool 555312

        

7.15%

    01/01/33 2     1,073,142      1,091,800

Fannie Mae Pool 555705

        

6.35%

    07/01/33 2     898,892      914,924

Fannie Mae Pool 567002

        

8.00%

    05/01/23       223,315      234,515

Fannie Mae Pool 582521

        

7.00%

    05/01/31       51,200      53,113

Fannie Mae Pool 630599

        

7.00%

    05/01/32       385,603      399,540

Fannie Mae Pool 646884

        

5.50%

    05/01/32 2     36,479      36,646

Fannie Mae Pool 647903

        

6.71%

    04/01/27 2     103,520      104,553

 

4

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

     Maturity     Principal     

Issues

    Date     Amount    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Fannie Mae Pool 648860

        

6.50%

    05/01/17     $ 1,325,686    $ 1,354,762

Fannie Mae Pool 655127

        

7.00%

    07/01/32       66,528      68,248

Fannie Mae Pool 655133

        

7.00%

    08/01/32       75,572      77,518

Fannie Mae Pool 655151

        

7.00%

    08/01/32       152,736      156,882

Fannie Mae Pool 655928

        

7.00%

    08/01/32       49,676      51,946

Fannie Mae Pool 726024

        

3.97%

    08/01/33 2     2,215,206      2,196,625

Fannie Mae Pool 735207

        

7.00%

    04/01/34       1,148,243      1,178,409

Fannie Mae Pool 735686

        

6.50%

    12/01/22       1,707,844      1,728,329

Fannie Mae Pool 735995

        

3.88%

    04/01/35       2,627,230      2,624,123

Fannie Mae Pool 745161

        

5.12%

    10/01/33 2     1,468,860      1,477,157

Fannie Mae Pool 753630

        

5.92%

    11/01/33 2     683,764      691,815

Fannie Mae Pool 754001

        

5.74%

    12/01/33 2     1,323,936      1,334,033

Fannie Mae Pool 762525

        

6.50%

    11/01/33       248,635      250,567

Fannie Mae Pool 764605

        

5.61%

    01/01/34 2     1,838,512      1,855,576

Fannie Mae Pool 770869

        

5.27%

    04/01/34 2     2,432,608      2,430,768

Fannie Mae Pool 770900

        

5.16%

    04/01/34 2     1,515,258      1,521,145

Fannie Mae Pool 771153

        

6.03%

    02/01/34 2     1,896,197      1,939,592

Fannie Mae Pool 805268

        

6.43%

    01/01/35 2     942,986      956,242

Fannie Mae Pool 806513

        

4.03%

    12/01/34 2     2,855,286      2,899,069

Fannie Mae Pool 810557

        

6.97%

    02/01/35 2     1,254,423      1,260,708

Fannie Mae Pool 811267

        

4.32%

    12/01/34 2     511,692      512,600

Fannie Mae Pool 821549

        

4.76%

    06/01/35 2     3,427,684      3,420,239

Fannie Mae Pool 836712

        

5.55%

    09/01/35 2     1,460,327      1,485,857

Fannie Mae Pool 840634

        

6.50%

    06/01/35       1,280,499      1,307,041

Fannie Mae Pool 887714

        

6.14%

    08/01/36 2     2,598,694      2,621,621

Fannie Mae Pool 908412

        

6.19%

    04/01/37 2     2,246,530      2,268,486

Fannie Mae Whole Loan 2003-W14 1A6

        

5.82%

    09/25/43       242,557      241,745

Freddie Mac 1214 KA

        

6.21%

    02/15/22 2     16,471      16,488

Freddie Mac 1526 L

        

6.50%

    06/15/23       47,488      48,397

Freddie Mac 1625 FC

        

5.12%

    12/15/08 2     34,064      33,970

Freddie Mac 1662 L

        

4.40%

    01/15/09 2     3,086      3,073

Freddie Mac 1695 EA

        

7.00%

    12/15/23       10,739      10,761

Freddie Mac 1702 TJ

        

7.00%

    04/15/13       259,890      263,848

Freddie Mac 2043 CJ

        

6.50%

    04/15/28       107,163      109,088

Freddie Mac 2161 PG

        

6.00%

    04/15/28       7,001      7,005

Freddie Mac 2451 SP

        

5.24%

    05/15/09 2     8,344      8,200

Freddie Mac 2527 TI (IO)

        

6.00%

    02/15/32       600,613      90,307

Freddie Mac 2535 LI (IO)

        

5.50%

    08/15/26       34,060      834

Freddie Mac 2561 BX (IO)

        

5.00%

    05/15/17       686,256      72,363

Freddie Mac 2587 IH (IO)

        

5.00%

    08/15/25       2,000,000      67,417

Freddie Mac 2594 VK

        

5.00%

    02/15/23       768,878      762,189

Freddie Mac 2642 BW (IO)

        

5.00%

    06/15/23       89,047      18,282

Freddie Mac 2657 LX (IO)

        

6.00%

    05/15/18       440,011      65,441

Freddie Mac 2809 HX (IO)

        

6.00%

    10/15/24       423,362      10,598

Freddie Mac 2835 IB (IO)

        

5.50%

    01/15/19       134,535      389

Freddie Mac 2856 ST

        

7.00%

    09/15/23 2     756,374      734,286

Freddie Mac 2905 JG

        

7.00%

    09/15/34       860,182      875,530

Freddie Mac 2906 NX (IO)

        

0.18%

    12/15/34 2     8,964,021      65,320

Freddie Mac 2971 AB

        

5.00%

    05/15/20       21,211      19,488

Freddie Mac 3096 FL

        

5.72%

    01/15/36 2     3,640,800      3,646,195

Freddie Mac 3152 JF

        

5.77%

    08/15/35 2     3,462,918      3,475,814

Freddie Mac Gold A45796

        

7.00%

    01/01/33       1,659,541      1,715,870

 

5

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Freddie Mac Gold C90237

        

6.50%

    11/01/18     $ 248,392    $ 254,872

Freddie Mac Gold C90474

        

7.00%

    08/01/21       379,489      393,298

Freddie Mac Gold D93410

        

6.50%

    04/01/19       239,863      246,117

Freddie Mac Gold E90474

        

6.00%

    07/01/17       1,581,680      1,590,682

Freddie Mac Gold G10616

        

5.50%

    07/01/09       147,612      146,655

Freddie Mac Gold G11454

        

5.50%

    07/01/15       803,449      800,632

Freddie Mac Gold G18087

        

6.50%

    09/01/20       1,009,774      1,029,156

Freddie Mac Gold O30092

        

5.50%

    10/01/15       212,043      208,885

Freddie Mac Gold P20295

        

7.00%

    10/01/29       97,189      99,541

Freddie Mac Gold P50019

        

7.00%

    07/01/24 †     16,181      16,677

Freddie Mac Gold P50214

        

6.50%

    02/01/34 †     430,184      431,193

Freddie Mac Gold P50230

        

6.50%

    04/01/34 †     1,374,291      1,377,687

Freddie Mac Gold P60084

        

6.00%

    03/01/16 †     1,283,269      1,282,787

Freddie Mac Pool 1L0113

        

6.64%

    05/01/35 2     2,063,213      2,128,241

Freddie Mac Pool 775554

        

5.52%

    10/01/18 2     7,599      7,651

Freddie Mac Pool 781163

        

5.79%

    01/01/34 2     2,178,788      2,218,881

Freddie Mac Pool 781817

        

4.18%

    08/01/34 2     2,578,870      2,587,978

Freddie Mac Pool 781908

        

4.17%

    09/01/34 2     2,022,701      2,029,825

Freddie Mac Pool 782824

        

4.67%

    11/01/34 2     2,303,065      2,323,035

Freddie Mac Pool 788498

        

7.47%

    02/01/30 2     958,590      981,065

Freddie Mac Pool 865369

        

5.67%

    06/01/22 2     6,847      6,853

Freddie Mac Pool 972112

        

7.26%

    01/01/33 2     554,849      561,790

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       450,073      63,436

Ginnie Mae 2003-40 IW (IO)

        

5.50%

    07/20/29       85,686      2,589

Ginnie Mae 2003-58 IG (IO)

        

5.50%

    05/17/29       100,000      5,890

Ginnie Mae 2003-95 SB

        

4.03%

    09/17/31 2     258,808      253,858

Ginnie Mae 2004-2 FW

        

6.72%

    01/16/34 2     333,239      345,935

Ginnie Mae 2004-41 IE (IO)

        

5.50%

    05/20/30       2,500,000      385,539

Ginnie Mae 2004-42 AB

        

6.00%

    03/20/32       108,370      108,340

Ginnie Mae II Pool 80546

        

6.00%

    10/20/31 2     86,347      87,205

Ginnie Mae II Pool 80610

        

5.38%

    06/20/32 2     1,486,066      1,503,199

Ginnie Mae II Pool 80614

        

5.50%

    07/20/32 2     148,368      149,631

Ginnie Mae II Pool 80687

        

5.50%

    04/20/33 2     819,189      829,211

Ginnie Mae II Pool 81018

        

6.00%

    08/20/34 2     475,986      479,269

Ginnie Mae II Pool 8339

        

6.13%

    12/20/23 2     123,195      124,520

Ginnie Mae II Pool 8684

        

5.75%

    08/20/25 2     178,350      180,033
           
          85,307,486
           

Total Mortgage-Backed

        

(Cost $176,022,936)

           175,457,029
           
           Contracts     

CALL OPTIONS PURCHASED — 0.03%

        

Futures — 0.03%

        

90 Day Euro Futures, Call Strike $94.875, expires 12/22/07

        450      75,938
           

Total Call Options Purchased

        

(Cost $83,000)

           75,938
           
           Principal
Amount		     

SHORT TERM INVESTMENTS — 19.78%

        

Commercial Paper — 13.24%

        

AIG Funding Co.

        

5.25%7

    07/16/07     $ 2,875,000      2,869,130

Ciesco LP

        

5.27%7

    07/30/07       2,800,000      2,788,523

CIT Group, Inc.

        

5.30%7

    07/17/07       2,875,000      2,868,651

Citigroup Funding Corp.

        

5.25%7

    07/16/07       2,875,000      2,869,130

CRC Funding LLC

        

5.28%7

    07/23/07       2,960,000      2,950,883

DaimlerChrysler NA Holding Corp.

        

5.35%7

    07/12/07       2,490,000      2,486,300

 

6

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		     Value  

SHORT TERM INVESTMENTS (continued)

       

Commercial Paper (continued)

       

General Electric Capital Corp.

       

5.24%7

    07/16/07     $ 2,875,000     $ 2,869,141  

HSBC Finance Corp.

       

5.25%7

    07/26/07       2,960,000       2,949,640  

Kitty Hawk Funding Corp.

       

5.28%7

    07/20/07       2,820,000       2,812,555  

National Rural Utilities Cooperative Finance Corp.

       

5.26%7

    07/25/07       2,720,000       2,710,859  

Park Avenue Receivables Corp.

       

5.28%7

    07/24/07       2,960,000       2,950,449  

Ranger Funding Co. LLC

       

5.28%7

    07/17/07       2,820,000       2,813,796  

Windmill Funding Corp.

       

5.28%7

    07/18/07       2,875,000       2,868,260  

Yorktown Capital LLC

       

5.27%7

    07/09/07       2,490,000       2,487,449  
            
         39,294,766  
            

Money Market Fund — 0.94%

       

Dreyfus Cash Management

        2,813,251       2,813,251  
            

U.S. Agency Discount Notes — 5.60%

       

Fannie Mae

       

5.14%7

    09/19/07 8     2,000       1,977  

5.15%7

    09/19/07 8     27,000       26,684  

Federal Home Loan Bank

       

5.15%7

    07/11/07       9,724,000       9,711,480  

5.16%7

    07/20/07       6,890,000       6,872,224  
            
         16,612,365  
            

Total Short Term Investments

       

(Cost $58,720,394)

          58,720,382  
            

Total Investments – 100.35%

       

(Cost $299,036,563)1

          297,907,044  
            

Liabilities in Excess of Other Assets – (0.35)%

          (1,026,795 )
            

Net Assets – 100.00%

        $ 296,880,249  
            

Issues

    Contracts     Premiums
Received		     Value  

CALL OPTIONS WRITTEN

       

90 Day Euro Futures, Written Strike $95.125, expires 12/22/07

    (500 )   $ (40,625 )   $ (37,500 )

90 Day Euro Futures, Written Strike $95.75, expires 12/22/07

    (250 )     (68,125 )     (17,188 )
                  

Total Call Options Written

      $ (108,750 )   $ (54,688 )
                  

 

Contracts

   

Unrealized

Appreciation/

(Depreciation)

  

FUTURES CONTRACTS: SHORT POSITIONS

 

23

    Euro Ninety Day, September 2007    $ 18,113  

23

    Euro Ninety Day, December 2007      30,742  

23

    Euro Ninety Day, March 2008      15,812  

23

    Euro Ninety Day, June 2008      12,650  

36

    U.S. Treasury Two Year Note, September 2007      (2,250 )
           
  

Net unrealized appreciation

    $ 75,067  
           

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE

         

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17    $  3,600    $ (11,453 )

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      1,350      8,290  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22      2,000      (79,597 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.

         
   03/26/22      1,790      (129,010 )

The Fund pays a floating rate based on 3 month USD Libor and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      1,000      (40,706 )

The Fund pays a floating rate based on 3 month USD Libor and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/04/22      1,000      (43,806 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22      2,000      (33,695 )
              
         $ (329,977 )
              

 

7

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Notes:

1

Cost for financial reporting purposes is $299,036,563 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 891,774  

Gross unrealized depreciation

      (2,021,293 )
        

Net unrealized (depreciation)

    $ (1,129,519 )
        

 

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $31,754,596 representing 10.70% 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, 7.34%, 05/21/12    $ 1,000,000    $ 1,001,635    0.34 %
                       
      $ 1,000,000    $ 1,001,635    0.34 %
                       

 

6

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

7

Represents annualized yield at date of purchase.

8

Securities, or a portion there of, pledged as collateral with a value of $28,675 on 92 Short Euro Ninety Day futures contracts and 36 Short U.S. Treasury Two Year Note futures contracts.

† Fair valued security. The aggregate value of fair valued securities is $60,243,774 which is 20.29% 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

 

8

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

ASSET-BACKED SECURITIES — 16.23%**

        

ABFS Mortgage Loan Trust 2002-2 A7 (STEP)

        

5.22%

    07/15/33     $ 120,252    $ 119,936

Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F

        

7.72%

    06/25/28       60,501      39,179

Bayview Financial Acquisition Trust 2005-A A1 (STEP)

        

5.82%

    02/28/40 2,3,†     12,500,000      12,514,537

Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)

        

5.82%

    12/28/40 2,3,†     14,000,000      14,000,322

Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)

        

8.28%

    08/25/30       5,995,000      6,165,061

Bear Stearns Asset Backed Securities Trust 2007-HE5 1A2

        

5.50%

    06/25/47 2     5,200,000      5,206,104

Castle Trust 2003-1AW A1

        

6.07%

    05/15/27 2,3     4,013,634      4,014,899

Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6

        

6.24%

    01/25/13       8,041,078      8,080,760

Conseco Finance 2001-D A5 (STEP)

        

6.19%

    11/15/32       933,474      935,426

Countrywide Asset-Backed Certificates 2004-13 AV2 (STEP)

        

5.58%

    05/25/34 2     624,242      624,756

Countrywide Asset-Backed Certificates 2005-13 AF1

        

5.45%

    04/25/36 2     1,883,545      1,884,867

Countrywide Home Equity Loan Trust 2005-M A2

        

5.44%

    02/15/36 2     2,235,977      2,237,228

Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)

        

5.24%

    01/25/36       7,685,000      7,637,683

Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)

        

5.51%

    02/25/37       20,580,000      20,487,867

First Alliance Mortgage Loan Trust 1994-3 A1

        

7.83%

    10/25/25       2,519      2,509

First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP)

        

5.48%

    03/25/25       9,245,000      8,789,470

First Union Home Equity Loan Trust 1997-3 B

        

7.39%

    03/25/29       87,480      74,413

Genesis Funding Ltd. 2006-1A G1

        

5.56%

    12/19/32 2,3,†     8,650,000      8,631,125

GMAC Mortgage Corp. Loan Trust 2000-HE2 A1

        

5.76%

    06/25/30 2     5,728,852      5,734,115

Green Tree Financial Corp. 1994-1 A5

        

7.65%

    04/15/19       895,396      925,393

Green Tree Financial Corp. 1995-10 A6

        

7.05%

    01/15/27       682,953      687,707

Green Tree Home Improvement Loan Trust 1997-E HEB1

        

7.53%

    01/15/29       7,826,010      7,836,533

Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS

        

7.24%

    12/15/22       501,191      436,193

Greenpoint Mortgage Funding Trust 2005-HE2 A1

        

5.52%

    04/15/30 2     191,495      191,644

GSAMP Trust 2006-S6 A2 (STEP)

        

5.55%

    10/25/36       2,228,000      2,225,138

GSR Mortgage Loan Trust 2005-HEL1 M2

        

6.05%

    11/25/30 2     7,085,000      7,066,991

Home Equity Asset Trust 2007-3 2A2

        

5.50%

    08/25/37 2     5,635,000      5,641,471

Home Equity Mortgage Trust 2006-1 A1B

        

5.45%

    05/25/36 2     3,934,580      3,937,028

Ivy Lane CDO Ltd. 2006-1A A1

        

5.69%

    02/05/46 2,3,†     9,075,000      8,953,005

JP Morgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)

        

5.45%

    11/25/36       12,415,000      12,343,173

JP Morgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)

        

5.48%

    01/25/37       15,300,000      15,206,131

Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)

        

0.05%

    05/15/41 2,4,†     351,690,994      6,157,779

Lehman XS Trust 2006-12N A1A1 (STEP)

        

5.40%

    08/25/46 2     3,157,109      3,156,617

Long Beach Asset Holdings Corp. 2006-8 N1

        

6.05%

    10/25/46 3,†     3,858,970      3,487,995

Long Beach Asset Holdings Corp. 2006-9 N1

        

6.25%

    10/25/46 3,†     2,612,542      2,374,454

MASTR Asset Backed Securities Trust 2007-HE1 A2

        

5.47%

    05/25/37 2     6,260,000      6,267,352

Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C

        

5.50%

    06/25/37 2,†     19,057,200      19,057,320

Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B

        

5.46%

    01/25/37 2     5,139,000      5,142,767

Morgan Stanley ABS Capital I 2004-NC2 M2

        

6.52%

    12/25/33 2     1,036,993      1,040,010

Nationstar Home Equity Loan Trust 2007-C 2AV3

        

5.50%

    06/25/37 2,†     7,057,200      7,057,167

Nomura Asset Acceptance Corp. 2006-S1 A1

        

5.46%

    01/25/36 2,3     3,684,049      3,686,634

 

9

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

ASSET-BACKED SECURITIES (continued)

        

Oakwood Mortgage Investors, Inc. 2002-B A1

        

5.55%

    05/15/13 2   $ 469,406    $ 419,239

Oakwood Mortgage Investors, Inc. 2002-B A2

        

5.19%

    09/15/19       307,531      270,215

Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)

        

6.00%

    05/15/10 4,†     12,212,171      1,526,230

Pegasus Aviation Lease Securitization 2000-1 B1

        

8.08%

    03/25/30 3,4,†     8,806,150      88,006

Residential Asset Mortgage Products, Inc. 2001-RS1 AI4 (STEP)

        

7.51%

    03/25/31       546,649      545,233

Structured Asset Receivables Trust 2003-1

        

5.86%

    01/21/10 2,3,†     4,285,814      4,264,425

Structured Asset Receivables Trust 2003-2

        

5.76%

    01/21/09 2,3,†     1,313,203      1,306,649

Structured Settlements Fund 1999-A A

        

7.25%

    12/20/15 3,†     256,366      256,396

Terwin Mortgage Trust 2004-7HE A1

        

5.87%

    07/25/34 2,3     142,962      143,654

Terwin Mortgage Trust 2005-13SL A1B

        

4.75%

    12/25/36 2,3,†     12,100,000      11,580,021

Terwin Mortgage Trust 2005-9HGS A1

        

4.00%

    08/25/35 2,3     2,095,984      2,072,959

Terwin Mortgage Trust 2006-2HGS A2

        

4.50%

    03/25/37 2,3     8,200,000      7,783,454

Terwin Mortgage Trust 2006-4SL A2

        

4.50%

    05/25/37 2,3     12,500,000      11,852,968

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     11,133,565      10,971,592

Vertical CDO Ltd. 2007-1A A1J

        

6.07%

    04/10/47 2,3,†     5,500,000      5,139,542
           

Total Asset-Backed Securities

        

(Cost $297,773,382)

           288,279,342
           

CORPORATES — 23.14%*

        

Automotive — 2.81%

        

Delphi Dip 2nd Lien

        

8.13%

    12/31/07 5,†     2,500,000      2,507,562

Ford Motor Credit Co. LLC

        

6.93%

    01/15/10 2     4,070,000      4,018,669

8.11%

    01/13/12 2     20,160,000      20,127,744

9.81%

    04/15/12 2     1,750,000      1,877,292

GMAC LLC

        

4.38%

    12/10/07       4,560,000      4,527,597

6.63%

    05/15/12       9,000,000      8,699,985

7.56%

    12/01/14 2     7,798,000      7,887,810

Metaldyne Corp.

        

10.00%

    11/01/13       175,000      186,375
           
          49,833,034
           

Banking — 3.05%

        

BankAmerica Institutional A

        

8.07%

    12/31/26 3     5,250,000      5,461,838

Banponce Trust I

        

8.33%

    02/01/27       7,400,000      7,708,062

BNP Paribas SA (MTN)

        

8.25%

    11/28/21 2,6,†     2,019,000      1,953,786

Credit Suisse USA, Inc.

        

6.50%

    01/15/12       3,200,000      3,317,712

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     8,264,000      7,635,936

0.00%

    03/24/10 2,3     3,146,000      2,906,904

Deutsche Bank Luxembourg SA

        

6.83%

    12/28/07 3     4,128,000      4,153,507

JPMorgan Chase & Co. C (MTN)

        

8.55%

    07/23/13 2,†     1,500,000      1,426,950

JPMorgan Chase Bank NA

        

8.75%

    11/28/21 2,†     2,084,000      2,008,559

MBNA Capital A

        

8.28%

    12/01/26       924,000      962,016

NB Capital Trust II

        

7.83%

    12/15/26       3,200,000      3,325,280

North Fork Bancorporation, Inc.

        

5.00%

    08/15/12 2     5,226,000      5,223,736

Roslyn Bancorp, Inc.

        

5.75%

    11/15/07       6,900,000      6,881,198

State Street Institutional Capital B

        

8.04%

    03/15/27 3     1,228,000      1,278,843
           
          54,244,327
           

Basic Industry — 0.08%

        

Freeport-McMoRan Copper & Gold, Inc.

        

8.56%

    04/01/15 2     150,000      157,500

Massey Energy Co.

        

6.88%

    12/15/13       375,000      345,469

Mosaic Co. (The)

        

7.38%

    12/01/14 3     375,000      380,625

Noranda Aluminium Acquisition Corp. (PIK)

        

9.36%

    05/15/15 3     500,000      485,000
           
          1,368,594
           

Communications — 0.96%

        

Cebridge 2nd Lien PIK

        

11.36%

    05/05/14 5,†     6,814,820      7,076,462

Centennial Cellular Operating Co./Centennial Communications Corp.

        

10.13%

    06/15/13       225,000      242,438

Charter Communications, Inc. Term Loan 3rd Lien

        

7.86%

    03/01/14 5,†     500,000      499,648

Cincinnati Bell, Inc.

        

7.25%

    07/15/13       225,000      231,750

Comcast Corp.

        

5.66%

    07/14/09 2     1,380,000      1,380,786

 

10

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

CORPORATES (continued)

        

Communications (continued)

        

Dex Media East LLC/Dex Media East Finance Co.

        

12.13%

    11/15/12     $ 300,000    $ 323,625

Dex Media West LLC/Dex Media Finance Co.

        

9.88%

    08/15/13       300,000      322,500

Idearc, Inc.

        

8.00%

    11/15/16       300,000      304,500

Intelsat Bermuda Ltd.

        

11.25%

    06/15/16       250,000      281,250

Level 3 Financing, Inc.

        

9.25%

    11/01/14       375,000      380,625

Univision Communications, Inc. 1st Lien Strip

        

7.61%

    03/15/14 5,†     250,000      246,911

Univision Communications, Inc. PIK

        

9.75%

    03/15/15 3     125,000      124,062

Viacom, Inc.

        

5.71%

    06/16/09 2     5,150,000      5,167,937

Windstream Corp.

        

8.13%

    08/01/13       250,000      262,500

8.63%

    08/01/16       150,000      159,375
           
          17,004,369
           

Consumer Products — 0.24%

        

SABMiller PLC

        

5.66%

    07/01/09 2,3     4,000,000      4,009,292

Visant Holding Corp.

        

8.75%

    12/01/13       200,000      209,000
           
          4,218,292
           

Electric — 4.17%

        

American Electric Power Co., Inc. (STEP)

        

4.71%

    08/16/07       6,270,000      6,263,674

Appalachian Power Co.

        

3.60%

    05/15/08       2,420,000      2,382,018

Cedar Brakes I LLC

        

8.50%

    02/15/14 3     2,742,676      2,995,990

Cedar Brakes II LLC

        

9.88%

    09/01/13 3     10,615,465      11,883,875

Cogentrix Energy, Inc.

        

8.75%

    10/15/08 3     5,200,000      5,420,714

Dominion Resources, Inc.

        

5.66%

    09/28/07 2     7,000,000      7,002,016

Entergy Gulf States, Inc.

        

6.11%

    12/08/08 2,3     5,230,000      5,245,789

Georgia Power Capital Trust VI

        

4.88%

    11/01/42 2     9,010,000      8,995,088

Midwest Generation LLC

        

8.30%

    07/02/09       1,513,600      1,549,548

Power Contract Financing LLC

        

6.26%

    02/01/10 3     3,344,034      3,366,944

Power Receivables Finance LLC

        

6.29%

    01/01/12 3     3,993,824      4,039,525

Reliant Energy, Inc.

        

6.75%

    12/15/14       500,000      512,500

SWEPCO Capital Trust I

        

5.25%

    10/01/43 2     1,500,000      1,486,824

TECO Energy, Inc.

        

7.36%

    05/01/10 2     1,415,000      1,443,344

TXU Energy Co. LLC

        

5.86%

    09/16/08 2,3     11,500,000      11,507,762
           
          74,095,611
           

Energy — 0.14%

        

Allis-Chalmers Energy, Inc.

        

9.00%

    01/15/14       250,000      255,625

Chesapeake Energy Corp.

        

7.00%

    08/15/14       250,000      249,375

Corral Finans AB (PIK)

        

6.86%

    04/15/10 3,6     250,000      250,000

Energy Partners Ltd.

        

9.75%

    04/15/14 3     375,000      374,062

Griffin Coal Mining Co. Pty. Ltd. (The)

        

9.50%

    12/01/16 3     250,000      258,438

Hilcorp Energy I LP/Hilcorp Finance Co.

        

7.75%

    11/01/15 3     200,000      195,000

NRG Energy, Inc.

        

7.38%

    01/15/17       400,000      402,500

OPTI Canada, Inc.

        

7.88%

    12/15/14 3,6,†     250,000      250,625

Pogo Producing Co.

        

7.88%

    05/01/13       125,000      128,125

Pride International, Inc.

        

7.38%

    07/15/14       125,000      125,938
           
          2,489,688
           

Finance — 3.86%

        

Countrywide Financial Corp. B (MTN)

        

5.58%

    03/24/09 2     1,900,000      1,896,719

Lehman Brothers Holdings, Inc. (MTN)

        

11.00%

    11/07/16 2,†     6,776,000      6,591,015

Lehman Brothers Holdings, Inc. H (MTN)

        

0.00%

    06/20/16 2,†     5,886,000      5,881,880

12.50%

    11/30/10 2,†     3,293,000      3,055,904

Lehman Brothers Holdings, Inc. I (MTN)

        

5.59%

    01/12/12 2     6,140,000      6,139,656

8.92%

    02/16/17 2,†     4,198,000      4,018,745

Meridian Funding Co. LLC

        

5.55%

    10/06/08 2,3     1,691,046      1,693,424

Merrill Lynch & Co., Inc.

        

9.57%

    06/06/17 2,†     5,184,000      5,035,219

Pemex Finance Ltd.

        

8.88%

    11/15/10       6,845,067      7,148,543

9.69%

    08/15/09       2,697,750      2,830,951

Residential Capital LLC

        

 

11

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

CORPORATES (continued)

        

Finance (continued)

        

5.86%

    06/09/08 2   $ 7,300,000    $ 7,227,635

6.46%

    05/22/09 2     1,700,000      1,692,972

7.19%

    04/17/09 2,3     8,168,000      8,134,879

TL Acquisitions (Thompson) Term Loan

        

8.38%

    07/09/14 5,†     750,000      741,250

Toyota Motor Credit Corp. (MTN)

        

8.00%

    10/24/13 2,†     6,747,000      6,467,000
           
          68,555,792
           

Food — 0.50%

        

Corn Products International, Inc.

        

8.25%

    07/15/07       8,923,000      8,935,117
           

Gaming — 0.03%

        

Majestic Star Casino LLC/Majestic Star Casino Capital Corp.

        

9.50%

    10/15/10       125,000      130,625

Pinnacle Entertainment, Inc.

        

8.25%

    03/15/12       100,000      103,500

Wimar Opco LLC/Wimar Opco Finance Corp.

        

9.63%

    12/15/14 3     125,000      120,938

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

6.63%

    12/01/14       250,000      242,188
           
          597,251
           

Health Care — 0.31%

        

Cardinal Health, Inc.

        

5.63%

    10/02/09 2,3     1,827,000      1,829,050

Carestream Health, Inc. Term Loan

        

10.59%

    10/30/13 5,†     500,000      506,875

Community Health Systems, Inc.

        

8.88%

    07/15/15 3,†     500,000      508,125

HCA Term Loan B

        

7.61%

    11/17/13 5,†     2,101,215      2,112,910

Surgical Care Affiliates, Inc. Term Loan

        

0.00%

    12/29/14 5,†     250,000      250,312

Universal Hospital Services, Inc.

        

8.76%

    06/01/15 2,3     300,000      301,500
           
          5,508,772
           

Insurance — 0.11%

        

Farmers Insurance Exchange

        

6.00%

    08/01/14 3     1,900,000      1,879,611
           

Natural Gas — 0.43%

        

Sempra Energy

        

5.83%

    05/21/08 2     2,575,000      2,576,288

Sempra Energy Employee Stock Ownership Plan & Trust

        

5.78%

    11/01/14 3,†     5,000,000      5,002,812
           
          7,579,100
           

Real Estate Investment Trust (REIT) — 3.56%

        

Camden Property Trust

        

4.38%

    01/15/10       2,068,000      2,008,508

CPG Partners LP

        

8.25%

    02/01/11       4,065,000      4,402,432

Duke Realty LP

        

5.63%

    08/15/11       8,550,000      8,538,748

First Industrial LP

        

5.25%

    06/15/09       4,080,000      4,052,269

Health Care Property Investors, Inc.

        

6.45%

    06/25/12       4,000,000      4,073,085

Health Care Property Investors, Inc. (MTN)

        

5.81%

    09/15/08 2     4,380,000      4,381,962

Health Care REIT, Inc.

        

7.63%

    03/15/08       3,435,000      3,479,911

Highwoods Properties, Inc.

        

7.13%

    02/01/08       2,358,000      2,377,600

JDN Realty Corp.

        

6.95%

    08/01/07       5,200,000      5,200,348

Reckson Operating Partnership LP

        

7.75%

    03/15/09       4,250,000      4,397,080

Rouse Co. (The)

        

3.63%

    03/15/09       6,655,000      6,411,760

Shurgard Storage Centers, Inc.

        

7.75%

    02/22/11       1,500,000      1,602,948

UDR, Inc. (MTN)

        

4.30%

    07/01/07       3,025,000      3,025,000

Weingarten Realty Investors

        

8.25%

    01/22/10       3,800,000      4,046,270

Westfield Capital Corp. Ltd.

        

5.66%

    11/02/07 2,3     5,175,000      5,181,013
           
          63,178,934
           

Retail — 0.02%

        

Mobile Mini, Inc.

        

6.88%

    05/01/15 3     375,000      365,625
           

Secured Assets — 0.28%

        

Ingress I Ltd.

        

7.38%

    03/30/40 3,†     5,490,000      4,985,519
           

Services — 0.04%

        

Rental Services Corp.

        

9.50%

    12/01/14 3     250,000      256,250

Rental Services Term Loan 2nd Lien

        

6.21%

    11/30/13 5,†     500,000      508,625
           
          764,875
           

Transportation — 2.55%

        

Air 2 US A

        

8.03%

    10/01/20 3     3,043,985      3,152,427

Continental Airlines, Inc.

        

7.06%

    09/15/09       6,000,000      6,078,750

 

12

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

CORPORATES (continued)

        

Transportation (continued)

        

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15     $ 1,841,083    $ 1,883,659

Continental Airlines, Inc. 1999-1 A

        

6.55%

    08/02/20       3,827,162      3,896,529

Continental Airlines, Inc. 2002-1 G2

        

6.56%

    08/15/13       2,105,000      2,172,097

Delta Air Lines, Inc. 2000-1 A1

        

7.38%

    11/18/11 7     5,495,839      5,574,842

Delta Air Lines, Inc. 2001-1 A1

        

6.62%

    09/18/12 7     6,754,044      6,783,593

Delta Air Lines, Inc. 2001-1 A2

        

7.11%

    03/18/13 7     2,000,000      2,053,250

Delta Air Lines, Inc. Term Loan 1st Lien

        

7.36%

    05/01/12 5,†     1,500,000      1,500,562

Northwest Air Dip

        

7.34%

    05/21/12 5,†     6,000,000      6,009,810

Northwest Airlines, Inc.

        

6.84%

    04/01/11       1,500,000      1,521,562

Saint Acquisition Corp.

        

12.50%

    05/15/17 3     250,000      237,500

Swift Transportation Co. Term Loan

        

8.38%

    05/06/14 5,†     250,000      247,366

United Air Lines, Inc.

        

6.60%

    09/01/13       492,395      494,396

7.38%

    02/01/14 5,†     500,000      499,180

United Air Lines, Inc. 2001-1 A2

        

6.20%

    03/01/10       3,172,357      3,206,063
           
          45,311,586
           

Total Corporates

        

(Cost $412,483,861)

           410,916,097
           

MORTGAGE-BACKED — 29.97%**

       

Commercial Mortgage-Backed — 0.81%

        

CS First Boston Mortgage Securities Corp. 2004-C2 A1

        

3.82%

    05/15/36       9,184,272      8,755,558

CS First Boston Mortgage Securities Corp. 2004-C5 A2

        

4.18%

    11/15/37       5,800,000      5,641,717

DLJ Mortgage Acceptance Corp. 1996-QA S (IO)

        

2.57%

    01/25/26 2,3,4,†     236,947      295
           
          14,397,570
           

Non-Agency Mortgage-Backed — 14.55%

        

Banc of America Funding Corp. 2007-5 3A1

        

6.00%

    07/25/37       14,500,000      14,546,898

Banc of America Mortgage Securities, Inc. 2005-2 1A6

        

5.50%

    03/25/35       22,013,059      21,802,414

Banco de Credito Y Securitizacion SA 2001-1 AF

        

8.00%

    05/31/10 3,4,6,†     3,372,201      843,208

BHN I Mortgage Fund 2000-1 AF

        

8.00%

    03/31/11 3,4,†     3,415,695      854,084

BlackRock Capital Finance LP 1997-R2 AP

        

1.27%

    12/25/35 2,3     23,634      23,567

Chase Mortgage Finance Corp. 2005-A1 1A1

        

5.41%

    12/25/35 2     10,838,390      10,547,108

Chase Mortgage Finance Corp. 2007-A2 2A3

        

4.24%

    07/25/37 2,†     25,675,000      25,410,227

Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)

        

5.50%

    05/25/36 2,3,†     6,467,632      6,467,633

Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2

        

6.50%

    06/25/31       71,334      71,524

Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41

        

5.14%

    02/25/34 2     323,133      317,007

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 4,8,†     11,842,791      234,267

Countrywide Alternative Loan Trust 2005-27 2A1

        

6.38%

    08/25/35 2,†     2,977,006      2,987,910

Countrywide Alternative Loan Trust 2005-59 1A1

        

5.65%

    11/20/35 2     6,130,233      6,155,690

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 4,8,†     27,575,503      892,205

Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)

        

2.75%

    07/20/46 4,8     4,909,234      213,581

Countrywide Alternative Loan Trust 2006-46 A4

        

6.00%

    02/25/47       19,460,715      19,486,738

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 4,†     37,308,404      1,573,160

Countrywide Alternative Loan Trust NIM 2006-OA11 N1

        

6.00%

    09/25/46 3,†     2,616,319      2,608,583

Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A

        

5.53%

    03/19/45 2     6,415,253      6,425,270

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 4,8,†     14,720,631      282,912

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,4,†     25,827,833      645,696

Harborview Mortgage Loan Trust 2006-1 X1 (IO)

        

2.32%

    03/19/37 2,4,†     6,067,026      239,837

 

13

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

Harborview Mortgage Loan Trust 2006-4 X1 (IO)

        

2.64%

    05/19/47 2,4,†   $ 7,305,608    $ 295,649

Impac CMB Trust 2005-5 A1 (STEP)

        

5.64%

    08/25/35 2     10,157,040      10,171,586

IndyMac Index Mortgage Loan Trust 2004-AR12 A1

        

5.71%

    12/25/34 2     2,992,439      3,008,702

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 4,8,†     10,653,972      213,079

IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A

        

5.72%

    11/25/34 2     8,657,330      8,732,199

MASTR Adjustable Rate Mortgages Trust 2004-1 2A1

        

7.77%

    01/25/34 2     633,925      642,666

MASTR Adjustable Rate Mortgages Trust 2004-5 3A1

        

7.25%

    06/25/34 2     1,416,269      1,419,824

MASTR Seasoned Securities Trust 2004-1 4A1

        

5.34%

    10/25/32 2     3,098,584      3,140,617

MASTR Seasoned Securities Trust 2005-1 4A1

        

5.81%

    10/25/32 2     4,238,236      4,278,988

Morgan Stanley Mortgage Loan Trust 2007-10XS A18

        

6.00%

    07/25/17 †     25,810,000      25,814,033

Residential Asset Mortgage Products, Inc. 2004-SL1 A7

        

7.00%

    11/25/31       2,050,386      2,086,909

Residential Asset Mortgage Products, Inc. 2004-SL4 A3

        

6.50%

    07/25/32       5,505,127      5,578,766

Residential Asset Mortgage Products, Inc. 2005-SL1 A5

        

6.50%

    05/25/32       10,905,141      10,954,552

Residential Asset Securitization Trust 2007-A7 A4

        

6.00%

    07/25/37 †     19,137,281      19,163,593

Washington Mutual Mortgage Pass Through Certificates 2006-AR19 1A

        

5.77%

    01/25/47 2,†     27,044,771      26,978,004

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1

        

5.00%

    03/25/18       4,787,253      4,601,000

Washington Mutual, Inc. 2005-AR2 2A21

        

5.65%

    01/25/45 2     2,657,415      2,668,800

Washington Mutual, Inc. 2002-AR18 A

        

4.11%

    01/25/33 2     2,241,978      2,227,090

Washington Mutual, Inc. 2006-AR5 X (IO)

        

0.40%

    06/25/46 4,8,†     478,695,891      3,829,567
           
          258,435,143
           

U.S. Agency Mortgage-Backed — 14.61%

        

Fannie Mae 1993-95 SB

        

15.05%

    06/25/08 2     32,751      34,060

Fannie Mae 1997-44 SB (IO)

        

2.78%

    06/25/08 2     326,694      4,788

Fannie Mae 1997-76 FS

        

5.79%

    09/17/27 2     97,893      98,288

Fannie Mae 2001-60 JZ

        

6.00%

    03/25/31       201,946      201,586

Fannie Mae 2003-90 UD (IO)

        

5.50%

    10/25/26       6,731,818      418,535

Fannie Mae 2006-B2 AB

        

5.50%

    05/25/14       17,278,698      17,178,698

Fannie Mae Pool 555177

        

4.83%

    01/01/33 2     167,489      166,711

Fannie Mae Pool 567002

        

8.00%

    05/01/23       233,950      245,684

Fannie Mae Pool 691241

        

5.65%

    04/01/37 2     10,708,837      10,569,309

Fannie Mae Pool 735686

        

6.50%

    12/01/22       6,175,814      6,249,893

Fannie Mae Pool 745383

        

4.37%

    12/01/35 2     7,260,429      7,263,937

Fannie Mae Pool 770333

        

5.43%

    04/01/34 2     4,313,527      4,373,124

Fannie Mae Pool 770900

        

5.16%

    04/01/34 2     2,258,755      2,267,532

Fannie Mae Pool 785307

        

4.14%

    07/01/34 2     7,090,130      7,092,567

Fannie Mae Pool 805256

        

4.04%

    01/01/35 2     8,391,658      8,394,293

Fannie Mae Pool 817611

        

5.35%

    11/01/35 2     5,296,112      5,264,056

Fannie Mae Pool 887714

        

6.14%

    08/01/36 2     19,632,006      19,805,210

Fannie Mae Pool 888256

        

5.86%

    02/01/37 2     15,259,659      15,156,660

Fannie Mae Pool 888412

        

7.00%

    04/01/37 †     20,538,670      20,962,280

Fannie Mae TBA

        

5.95%

    06/25/37       26,800,000      26,826,800

Final Maturity Amortizing Notes 2005-2 1

        

4.00%

    02/25/10 †     7,872,962      7,585,985

Freddie Mac 2174 PN

        

6.00%

    07/15/29       6,118,721      6,103,316

Freddie Mac 2561 BX (IO)

        

5.00%

    05/15/17       1,323,423      139,549

Freddie Mac 3205 PB

        

6.00%

    08/15/29       16,145,000      16,212,725

Freddie Mac Gold A24156

        

6.50%

    10/01/31       2,446,459      2,496,458

Freddie Mac Gold C46104

        

6.50%

    09/01/29       78,711      80,422

 

14

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

     Maturity     Principal     

Issues

    Date     Amount    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Freddie Mac Gold G02461

        

6.50%

    11/01/36     $ 19,071,966    $ 19,280,029

Freddie Mac Gold G11707

        

6.00%

    03/01/20       5,060,033      5,088,830

Freddie Mac Gold P50019

        

7.00%

    07/01/24 †     133,459      137,544

Freddie Mac Pool 1B1928

        

4.28%

    08/01/34 2     6,558,432      6,555,233

Freddie Mac Pool 1L0113

        

6.64%

    05/01/35 2     4,733,395      4,882,581

Freddie Mac Pool 1Q0196

        

5.93%

    02/01/37 2     24,010,903      24,164,751

Freddie Mac Pool 781469

        

5.12%

    04/01/34 2     3,933,276      3,946,876

Freddie Mac Pool 786781

        

7.80%

    08/01/29 2     300,696      308,488

Freddie Mac Pool 847288

        

5.09%

    05/01/34 2     6,846,537      6,894,065

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       1,866,158      263,027

Ginnie Mae 2003-40 IW (IO)

        

5.50%

    07/20/29       2,204,958      66,633

Ginnie Mae I Pool 422972

        

6.50%

    07/15/29       88,834      90,772

Ginnie Mae II Pool 1849

        

8.50%

    08/20/24       2,699      2,903

Ginnie Mae II Pool 2020

        

8.50%

    06/20/25       7,610      8,194

Ginnie Mae II Pool 2286

        

8.50%

    09/20/26       5,452      5,848

Ginnie Mae II Pool 2487

        

8.50%

    09/20/27       27,069      29,042

Ginnie Mae II Pool 80589

        

6.50%

    03/20/32 2     381,214      385,550

Ginnie Mae II Pool 80968

        

6.00%

    07/20/34 2     2,091,611      2,106,082
           
          259,408,914
           

Total Mortgage-Backed

        

(Cost $540,981,409)

           532,241,627
           

U.S. AGENCY SECURITIES — 10.28%

        

Fannie Mae

        

3.12%

    03/16/09       10,673,000      10,316,276

4.62%

    12/15/09       16,210,000      16,007,197

4.88%

    04/15/09       9,930,000      9,877,609

5.30%

    02/22/11       9,985,000      9,940,447

7.12%

    06/15/10 4     2,164,000      2,278,103

Federal Home Loan Bank

        

4.38%

    10/03/08       9,850,000      9,747,166

5.00%

    09/18/09       5,590,000      5,574,108

5.25%

    08/05/09       33,325,000      33,389,217

5.51%

    04/30/09       14,470,000      14,470,608

Freddie Mac

        

5.25%

    10/06/11       8,050,000      7,993,674

5.25%

    04/03/12 4     17,385,000      17,240,183

5.35%

    11/14/11       22,600,000      22,480,830

5.75%

    03/15/09       9,575,000      9,658,963

6.62%

    09/15/09       13,165,000      13,557,870
           

Total U.S. Agency Securities

        

(Cost $183,025,185)

           182,532,251
           

U.S. TREASURY SECURITIES — 1.91%

        

U.S. Treasury Notes — 1.91%

        

U.S. Treasury Notes

        

3.50%

    11/15/09       34,071,000      33,022,261

4.00%

    08/31/07       1,048,000      1,046,773
           
          34,069,034
           

Total U.S. Treasury Securities

        

(Cost $34,020,486)

           34,069,034
           
           Shares     

PREFERRED STOCK — 0.17%

        

Finance — 0.17%

        

Woodbourne Pass-Through Trust

        

6.42%

    12/31/49 2,3     30      3,015,000
           

Total Preferred Stock

        

(Cost $3,000,000)

           3,015,000
           
           Contracts     

CALL OPTIONS PURCHASED — 0.03%

        

Futures — 0.03%

        

90 Day Euro Futures, Call Strike $94.875, expires 12/22/07

        3,060      516,375
           

Total Call Options Purchased

        

(Cost $ 564,400)

           516,375
           

PUT OPTIONS PURCHASED — 0.34%

        

Futures — 0.34%

        

90 Day Euro Futures, Put Strike $94.50, expires 12/22/07

        3,500      1,006,250

90 Day Euro Futures, Put Strike $95, expires 03/22/08

        3,500      2,887,500

90 Day Euro Futures, Put Strike $95, expires 09/22/07

        2,700      2,278,125
           

Total Put Options Purchased

        

(Cost $6,080,500)

           6,171,875
           

 

15

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

         

Notional

Amount

(000’s)

    Value

PURCHASED SWAPTIONS — 0.25%

       

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    $ 402,562

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 4.69% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

   

     
    122,743      492,322

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 4.81% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

   

     
    56,890      233,249

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 4.87% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

   

     
    150,713      709,421

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 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

   

     
    128,837      685,954

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 4.87% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

   

     
    14,622      235,955

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 5.06% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

   

     
    7,361      156,789

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 5.10% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

   

     
    15,752      382,878

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 5.20% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

   

     
    19,546      542,138

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 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

   

     
    16,998      541,704
        

Total Purchased Swaptions

 

     
(Cost $6,213,359)          4,382,972
        

Issues

   Maturity
Date		     Principal
Amount		     

SHORT TERM INVESTMENTS — 17.22%

       

Commercial Paper — 16.57%

       

Chariot Funding LLC

       

5.30%9

   07/23/07     $ 42,445,000      42,313,774

CIT Group, Inc.

       

5.28%9

   07/09/07       12,900,000      12,886,756

5.30%9

   07/17/07       7,450,000      7,433,610

Citigroup Funding Corp.

       

5.26%9

   07/26/07       42,445,000      42,296,160

CRC Funding LLC

       

5.28%9

   07/23/07       42,445,000      42,314,269

DaimlerChrysler NA Holding Corp.

       

5.35%9

   07/12/07       14,070,000      14,049,090

Falcon Asset Acquisition Corp.

       

5.26%9

   07/10/07       8,760,000      8,749,761

5.29%9

   07/23/07       25,730,000      25,650,602

HSBC Finance Corp.

       

5.25%9

   07/26/07       11,490,000      11,449,785

Kitty Hawk Funding Corp.

       

5.28%9

   07/20/07       15,510,000      15,469,054

5.31%9

   07/30/07       28,480,000      28,362,378

Park Avenue Receivables Corp.

       

5.30%9

   07/20/07       17,000,000      16,954,950

Windmill Funding Corp.

       

5.28%9

   07/18/07       12,365,000      12,336,011

5.29%9

   07/24/07       14,125,000      14,079,337
          
         294,345,537
          

Money Market Fund — 0.39%

       

JPMorgan Prime Money Market Fund

       6,902,992      6,902,992
          

U.S. Agency Discount Notes — 0.26%

       

Fannie Mae

       

5.14%9

   09/19/07 10     190,000      187,884

 

16

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

 

Issues

    Maturity
Date		    

Principal

Amount

    Value

SHORT TERM INVESTMENTS (continued)

        

U.S. Agency Discount Notes (continued)

        

Freddie Mac

        

5.28%9

    09/17/07 10   $ 4,413,000    $ 4,365,097
           
          4,552,981
           

Total Short Term Investments

        

(Cost $305,800,859)

           305,801,510
           

Total Investments – 99.54%

        

(Cost $1,789,943,441)1

           1,767,926,083
           

Cash and Other Assets, Less Liabilities – 0.46%

           8,111,908
           

Net Assets – 100.00%

         $ 1,776,037,991
           

 

     Contracts    

Premiums

Received

        

CALL OPTIONS WRITTEN

       

90 Day Euro Futures, Written Strike $95.125, expires 12/22/07

    (3,400 )   $ (276,250 )   $ (255,000 )

90 Day Euro Futures, Written Strike $95.75, expires 12/22/07

    (1,700 )     (463,250 )     (116,875 )
                  

Total Call Options Written

      $ (739,500 )   $ (371,875 )
                  

WRITTEN PUT OPTIONS

       

90 Day Euro Futures, Written Strike $94.25, expires 12/22/07

    (7,000 )   $ (1,382,500 )   $ (962,500 )

90 Day Euro Futures, Written Strike $94.75, expires 09/22/07

    (2,700 )     (634,500 )     (691,875 )

90 Day Euro Futures, Written Strike $94.875, expires 09/22/07

    (2,700 )     (1,208,250 )     (1,451,250 )

90 Day Euro Futures, Written Strike $95, expires 03/22/08

    (3,500 )     (2,703,750 )     (3,784,375 )
                  

Total Written Put Options

      $ (5,929,000 )   $ (6,890,000 )
                  

Issues

   

Notional

Amount

(000’s)

     Premiums
Received		     Value  

WRITTEN SWAPTIONS

       

Option to enter into a 10-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% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

       
   56,000     $ (1,260,000 )   $ (600,639 )

Option to enter into a 10-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 5.01% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

       
   60,000       (1,392,000 )     (904,086 )

Option to enter into a 10-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 5.02% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

       
   28,000       (575,556 )     (386,400 )

Option to enter into a 10-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 5.14% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

       
   74,000       (1,589,806 )     (1,275,901 )

Option to enter into a 10-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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

       
   64,000       (1,394,624 )     (1,207,994 )
                  

Total Written Swaptions

      $ (6,211,986 )   $ (4,375,020 )
                  

 

Contracts

             

Unrealized

Depreciation

  

FUTURES CONTRACTS: SHORT POSITIONS

   

44

    U.S. Treasury Five Year Note, September 2007    $ (2,789 )
              

Contracts

             

Unrealized

Depreciation

  

FUTURES CONTRACTS: LONG POSITIONS

   

1,439

    U.S. Treasury Two Year Note, September 2007    $ (274,710 )
              

 

Issues

    Expiration
Date		    Notional
Amount
(000’s)		    Value  

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 equal to 5.47% semi-annually. Counterparty: Credit Suisse Group

         
   11/15/09    $ 21,100    $ 44,216  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.45% semi-annually. Counterparty: Barclays Capital, Inc.

         
   11/16/09      24,400      43,195  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.

         
   04/19/17      5,900      (342,110 )

 

17

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE (continued)

         

The Fund pays a floating rate based on 3-month USD Libor and the Fund receives from the counterparty a fixed rate of 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.

         
   05/09/17    $ 6,000    $ (392,169 )

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17      24,800      (78,896 )

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      9,900      60,790  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 9.28% annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/05/17      8,700      (1,175 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22      7,000      (278,591 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.

         
   03/26/22      3,320      (239,281 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      7,000      (284,942 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/04/22      6,130      (268,531 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22      6,000      (101,084 )
              
         $ (1,838,578 )
              

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: Credit Suisse Group

         
   12/20/11      3,000      2,754  

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14      4,000      29,409  

Pay a fixed rate equal to 0.64% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GCI, 6.38% due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/14      6,750      30,075  

Pay a fixed rate equal to 0.43% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GS, 6.60% due 01/15/12. Counterparty: Credit Suisse Group

         
   09/20/14      4,500      (54 )
              
         $ 62,184  
              

Notes:

1

Cost for financial reporting purposes is $1,789,943,441 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 3,884,197  

Gross unrealized depreciation

      (25,901,555 )
        

Net unrealized (depreciation)

    $ (22,017,358 )
        

 

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $232,808,411 representing 13.11% 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		  
06/01/07    Carestream Health, Inc. Term Loan, 10.59%, 10/30/13    $ 506,816    $ 506,875    0.03 %
06/30/06    Cebridge 2nd Lien PIK, 11.36%, 05/05/14      6,882,754      7,076,462    0.40 %
06/04/07    Charter Communications, Inc. Term Loan 3rd Lien, 7.86%, 03/01/14      503,101      499,648    0.03 %
01/08/07    Delphi Dip 2nd Lien, 8.13%, 12/31/07      2,500,000      2,507,562    0.14 %
04/25/07    Delta Air Lines, Inc. Term Loan 1st Lien, 7.36%, 05/01/12      1,500,000      1,500,562    0.08 %
11/14/06    HCA Term Loan B, 7.61%, 11/17/13      2,101,215      2,112,910    0.12 %
08/21/06    Northwest Air Dip, 7.34%, 05/21/12      6,000,000      6,009,810    0.35 %
06/04/07    Rental Services Term Loan 2nd Lien, 6.21%, 11/30/13      510,540      508,625    0.03 %

 

18

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

 

Date of

Purchase

   

Security

    Amortized
Cost		    Value    % of
TNA		  
06/28/07    Surgical Care Affiliates, Inc. Term Loan, 0.00%, 12/29/14    $ 250,000    $ 250,312    0.01 %
06/14/07    Swift Transportation Co. Term Loan, 8.38%, 05/06/14      250,000      247,366    0.01 %
06/27/07    TL Acquisition Corp. Term Loan B, 8.38%, 07/09/14      742,500      741,250    0.04 %
02/01/07    United Air Lines, Inc., 7.38%, 02/01/14      500,000      499,180    0.03 %
06/12/07    Univision Communications, Inc. 1st Lien Strip, 7.61%, 03/15/14      249,844      246,911    0.01 %
                       
      $ 22,496,770    $ 22,707,473    1.28 %
                       

 

6

Foreign domiciled securities.

7

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

8

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

9

Represents annualized yield at date of purchase.

10

Securities, or a portion there of, pledged as collateral with a value of $3,761,490 on 44 Short U.S. Treasury Five Year Note futures contracts, and 1,439 Long U.S. Treasury Two Year Note futures contracts.

†

Fair valued security. The aggregate value of fair valued securities is $332,188,589 which is 18.70% 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

(PIK): Payment in kind

(STEP): Step coupon bond

 

19

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

ASSET-BACKED SECURITIES — 11.69%**

        

ABFS Mortgage Loan Trust 2002-2 A7 (STEP)

        

5.22%

    07/15/33     $ 7,816    $ 7,796

Bayview Financial Acquisition Trust 2005-A A1 (STEP)

        

5.82%

    02/28/40 2,3,†     1,500,000      1,501,744

Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)

        

5.82%

    12/28/40 2,3,†     1,500,000      1,500,034

Birch Real Estate CDO Ltd. 1A A1

        

5.16%

    02/10/38 3,†     650,000      629,089

Conseco Finance 2001-D A5 (STEP)

        

6.19%

    11/15/32       311,158      311,809

Conseco Finance 2002-A A5 (STEP)

        

7.05%

    04/15/32       330,223      332,380

Conseco Finance 2002-C BF2

        

8.00%

    06/15/32 3,†     352,878      335,441

GMAC Mortgage Corp. Loan Trust 2006-HLTV A3

        

5.59%

    10/25/29       935,000      931,305

Green Tree Home Improvement Loan Trust 1995-C B2

        

7.60%

    07/15/20       137      131

Green Tree Home Improvement Loan Trust 1997-E HEB1

        

7.53%

    01/15/29       1,246,180      1,247,856

HPSC Equipment Receivables LLC 2003-1A F

        

13.95%

    07/20/11 3,†     46,867      47,130

JPMorgan RV Marine Trust 2004-1A A1

        

3.12%

    04/15/11 3     81,510      81,028

Keystone Owner Trust 1998-P1 M2

        

7.93%

    05/25/25 3     71,230      71,016

Mid-State Trust 11 A1

        

4.86%

    07/15/38       1,522,919      1,423,735

Mid-State Trust 2004-1 B

        

8.90%

    08/15/37       298,633      302,354

Mid-State Trust 2005-1 M2

        

7.08%

    01/15/40       378,033      379,990

Oakwood Mortgage Investors, Inc. 1997-A A5

        

7.13%

    05/15/27       50,782      50,861

Oakwood Mortgage Investors, Inc. 2001-D A2

        

5.26%

    01/15/19       223,587      171,615

Oakwood Mortgage Investors, Inc. 2001-D A3

        

5.90%

    09/15/22       266,390      213,744

Oakwood Mortgage Investors, Inc. 2002-B A1

        

5.55%

    05/15/13 2     52,156      46,582

Structured Asset Receivables Trust 2003-1

        

5.86%

    01/21/10 2,3,†     324,683      323,063

Terwin Mortgage Trust 2005-11 1A1A (STEP)

        

4.50%

    11/25/36 3     68,771      68,466

Terwin Mortgage Trust 2005-9HGS A1

        

4.00%

    08/25/35 2,3     156,680      154,959

Terwin Mortgage Trust 2006-2HGS A2

        

4.50%

    03/25/37 2,3     800,000      759,361

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     1,082,430      1,066,683

UCFC Home Equity Loan 1998-D BF1

        

8.97%

    04/15/30       3,657      3,652

UCFC Home Equity Loan 1998-D MF1

        

6.91%

    04/15/30       207,949      207,590
           

Total Asset-Backed Securities

        

(Cost $12,529,722)

           12,169,414
           

CORPORATES — 21.41%*

        

Automotive — 2.68%

        

Delphi Dip 2nd Lien

        

8.13%

    12/31/07 4,†     500,000      501,512

Ford Motor Credit Co. LLC

        

6.63%

    06/16/08       100,000      99,955

7.25%

    10/25/11       416,000      400,734

7.38%

    02/01/11       123,000      120,258

8.11%

    01/13/12 2     300,000      299,520

8.63%

    11/01/10       319,000      324,235

GMAC LLC

        

6.63%

    05/15/12       600,000      579,999

6.88%

    09/15/11       474,000      466,670
           
          2,792,883
           

Banking — 1.93%

        

Banponce Trust I

        

8.33%

    02/01/27       500,000      520,815

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     608,000      561,792

0.00%

    03/24/10 2,3     334,000      308,616

Deutsche Bank Capital Funding Trust VII

        

5.63%

    01/19/49 2,3     120,000      114,440

JPMorgan Chase Bank NA

        

7.59%

    03/28/22 2,†     280,000      259,196

8.75%

    11/28/21 2,†     257,000      247,697
           
          2,012,556
           

Communications — 0.65%

        

Qwest Corp.

        

5.63%

    11/15/08       489,000      489,611

7.88%

    09/01/11       175,000      183,312
           
          672,923
           

Electric — 2.89%

        

Appalachian Power Co.

        

3.60%

    05/15/08       600,000      590,583

Cedar Brakes II LLC

        

9.88%

    09/01/13 3     571,271      639,530

 

20

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

CORPORATES (continued)

        

Electric (continued)

        

Entergy Louisiana LLC

        

5.83%

    11/01/10     $ 698,000    $ 696,139

FPL Energy National Wind

        

5.61%

    03/10/24 3     679,508      660,804

Power Receivables Finance LLC

        

6.29%

    01/01/12 3     421,493      426,317
           
          3,013,373
           

Finance — 4.59%

        

Capital One Financial Corp.

        

5.70%

    09/15/11       1,200,000      1,195,163

Lehman Brothers Holdings, Inc. (MTN)

        

11.00%

    11/07/16 2,†     502,000      488,295

Lehman Brothers Holdings, Inc. H (MTN)

        

0.00%

    06/20/16 2,†     452,000      451,684

12.50%

    11/30/10 2,†     271,000      251,488

Lehman Brothers Holdings, Inc. I (MTN)

        

8.92%

    02/16/17 2,†     260,000      248,898

Merrill Lynch & Co., Inc.

        

8.95%

    05/18/17 2,†     380,000      353,647

9.57%

    06/06/17 2,†     272,000      264,194

Merrill Lynch & Co., Inc. (MTN)

        

8.68%

    05/02/17 2,†     380,000      357,447

Pemex Finance Ltd.

        

8.88%

    11/15/10       350,000      365,517

Residential Capital LLC

        

7.19%

    04/17/09 2,3     800,000      796,756
           
          4,773,089
           

Health Care — 0.48%

        

HCA Term Loan B

        

7.61%

    11/17/13 4,†     498,750      501,526
           

Insurance — 1.66%

        

Allied World Assurance Holdings Ltd.

        

7.50%

    08/01/16       244,000      256,898

Fairfax Financial Holdings Ltd.

        

7.75%

    06/15/17       375,000      367,500

Nationwide Mutual Insurance Co.

        

6.60%

    04/15/34 3     440,000      421,080

Stingray Pass-Through Trust

        

5.90%

    01/12/15 3,†     225,000      202,500

ZFS Finance USA Trust I

        

6.50%

    05/09/37 2,3     500,000      484,436
           
          1,732,414
           

Natural Gas — 1.02%

        

Sempra Energy

        

5.83%

    05/21/08 2     475,000      475,238

Southern Union Co.

        

7.20%

    11/01/66 2     585,000      588,697
           
          1,063,935
           

Real Estate Investment Trust (REIT) — 2.79%

        

Colonial Realty LP

        

4.75%

    02/01/10       586,000      573,775

CPG Partners LP

        

8.25%

    02/01/11       330,000      357,393

Health Care Property Investors, Inc.

        

5.95%

    09/15/11       800,000      801,869

7.07%

    06/08/15       160,000      166,551

Highwoods Properties, Inc.

        

7.13%

    02/01/08       790,000      796,566

Prime Property Fund, Inc.

        

5.60%

    06/15/11 3     206,000      205,006
           
          2,901,160
           

Transportation — 2.72%

        

Air 2 US A

        

8.03%

    10/01/20 3     412,170      426,853

American Airlines, Inc. 2005-1 G

        

5.11%

    03/29/14 3,†     468,392      457,648

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15       314,864      322,145

Continental Airlines, Inc. 1999-2 A1

        

7.26%

    09/15/21       196,588      204,575

Delta Air Lines, Inc. 2000-1 A1

        

7.38%

    11/18/11 5     176,115      178,646

Delta Air Lines, Inc. 2001-1 A2

        

7.11%

    03/18/13 5     400,000      410,650

Northwest Airlines, Inc. 2001-1 A1

        

7.04%

    10/01/23 5,6     535,346      553,079

United Air Lines, Inc. 2001-1 A1

        

6.07%

    09/01/14       47,329      47,595

United Air Lines, Inc. 2001-1 A2

        

6.20%

    03/01/10       224,949      227,339
           
          2,828,530
           

Total Corporates

        

(Cost $22,542,672)

           22,292,389
           

MORTGAGE-BACKED — 31.98%**

        

Commercial Mortgage-Backed — 3.37%

        

Banc of America Commercial Mortgage, Inc. 2006-4 AM

        

5.68%

    07/10/46       1,070,000      1,052,147

Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR6 A6

        

4.83%

    11/11/41       1,300,000      1,230,935

GE Capital Commercial Mortgage Corp. 2005-C1 A5

        

4.77%

    06/10/48 2     1,300,000      1,220,991
           
          3,504,073
           

 

21

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed — 13.35%

        

Adjustable Rate Mortgage Trust 2005-8 4A11

        

5.44%

    11/25/35 2   $ 1,054,766    $ 1,027,084

Banc of America Mortgage Securities, Inc. 2003-1 2A4

        

5.00%

    02/25/18       251,855      242,095

Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2

        

6.48%

    02/15/35       1,305,000      1,341,550

Chevy Chase Mortgage Funding Corp. 2004-1A A1

        

5.60%

    01/25/35 2,3,†     722,731      722,955

Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)

        

5.50%

    05/25/36 2,3,†     853,708      853,709

Commercial Mortgage Pass Through Certificates 2006-C7 AM

        

5.99%

    06/10/46 2     1,070,000      1,070,228

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 7,8,†     864,933      17,110

Countrywide Alternative Loan Trust 2005-27 2A1

        

6.38%

    08/25/35 2,†     451,705      453,359

Countrywide Alternative Loan Trust 2005-27 3A2

        

6.13%

    08/25/35 2,†     62,699      62,743

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 7,8,†     2,282,438      73,848

Countrywide Alternative Loan Trust 2005-72 A1 (STEP)

        

5.59%

    01/25/36 2     1,341,391      1,342,145

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 8,†     2,963,933      124,978

Countrywide Alternative Loan Trust NIM 2006-OA11 N1

        

6.00%

    09/25/46 3,†     261,632      260,858

Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1

        

5.09%

    08/25/34 2     803,648      780,565

First Horizon Asset Securities, Inc. 2002-7 2A2

        

5.25%

    12/25/17       212,412      211,291

First Horizon Asset Securities, Inc. 2003-10 2A1

        

4.75%

    01/25/19       837,324      797,781

First Union Commercial Mortgage Trust 1999-C1 A2

        

6.07%

    10/15/35       546,909      549,492

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 7,8,†     1,045,264      20,089

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,8,†     2,685,881      67,147

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 7,8,†     759,415      15,188

IndyMac Index Mortgage Loan Trust 2004-AR6 6A1

        

5.47%

    10/25/34 2     278,067      275,792

IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A

        

5.72%

    11/25/34 2     220,102      222,005

MASTR Seasoned Securities Trust 2004-2 A2

        

6.50%

    08/25/32       281,103      283,645

Morgan Stanley Capital I 2006-HQ8 A4

        

5.56%

    03/12/44 2     1,150,000      1,123,875

Residential Asset Mortgage Products, Inc. 2003-SL1 A41

        

8.00%

    04/25/31       126,271      130,553

Residential Asset Mortgage Products, Inc. 2004-SL1 A7

        

7.00%

    11/25/31       150,436      153,116

Residential Asset Securitization Trust 2004-IP2 2A1

        

5.25%

    12/25/34 2     219,307      218,183

Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A

        

7.00%

    03/25/34       146,521      148,126

Washington Mutual, Inc. 2002-AR18 A

        

4.11%

    01/25/33 2     127,863      127,014

Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2

        

5.50%

    04/25/36       1,235,142      1,177,824
           
          13,894,348
           

U.S. Agency Mortgage-Backed — 15.26%

        

Fannie Mae 1993-225 SG

        

4.90%

    12/25/13 2     250,736      243,686

Fannie Mae 1993-80 S

        

4.35%

    05/25/23 2     47,966      45,350

Fannie Mae 1994-55 S

        

11.53%

    12/25/23 2     30,884      32,278

Fannie Mae 2001-52 YZ

        

6.50%

    10/25/31       864,967      870,621

Fannie Mae 2003-53 IA (IO)

        

5.50%

    10/25/28       218,034      18,375

Fannie Mae 2006-B2 AB

        

5.50%

    05/25/14       1,228,225      1,221,116

Fannie Mae Pool 253974

        

7.00%

    08/01/31       64,357      65,954

Fannie Mae Pool 527247

        

7.00%

    09/01/26       244      253

 

22

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Fannie Mae Pool 545646

        

7.00%

    09/01/26     $ 166    $ 172

Fannie Mae Pool 549740

        

6.50%

    10/01/27       137,111      139,025

Fannie Mae Pool 701297

        

4.51%

    03/01/33 2     688,099      689,846

Fannie Mae Pool 735686

        

6.50%

    12/01/22       468,795      474,418

Fannie Mae Pool 735861

        

6.50%

    09/01/33       711,384      725,555

Fannie Mae Pool 764388

        

4.96%

    03/01/34 2     508,095      503,689

Fannie Mae Pool 770869

        

5.27%

    04/01/34 2     1,203,501      1,202,591

Fannie Mae Pool 776708

        

5.00%

    05/01/34       1,299,836      1,223,261

Fannie Mae Pool 817611

        

5.35%

    11/01/35 2     400,546      398,122

Fannie Mae Pool 895606

        

5.76%

    06/01/36 2     1,045,544      1,035,047

Fannie Mae Pool 939419

        

5.63%

    05/01/37 2,†     1,150,000      1,145,957

Freddie Mac 1602 SN

        

10.09%

    10/15/23 2     14,590      15,551

Freddie Mac 2174 PN

        

6.00%

    07/15/29       440,542      439,433

Freddie Mac 2451 SP

        

5.24%

    05/15/09 2     60,075      59,041

Freddie Mac 2561 BX (IO)

        

5.00%

    05/15/17       308,815      32,563

Freddie Mac Gold A33262

        

5.50%

    02/01/35       248,937      241,345

Freddie Mac Gold G01548

        

7.50%

    07/01/32       1,328,339      1,394,630

Freddie Mac Gold G01673

        

5.50%

    04/01/34       101,437      98,409

Freddie Mac Gold G02366

        

6.50%

    10/01/36       1,463,091      1,483,538

Freddie Mac Gold P50019

        

7.00%

    07/01/24 †     27,123      27,953

Freddie Mac Non Gold Pool 1B3413

        

5.95%

    05/01/37 2     1,614,558      1,613,490

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       210,766      29,707

Ginnie Mae 2004-34 IA (IO)

        

5.50%

    12/20/31       223,537      6,879

Ginnie Mae 2004-8 SE

        

3.66%

    11/26/23 2     284,197      254,405

Ginnie Mae II Pool 80968

        

6.00%

    07/20/34 2     163,691      164,824
           
          15,897,084
           

Total Mortgage-Backed

        

(Cost $33,702,047)

           33,295,505
           

U.S. TREASURY SECURITIES — 31.05%

        

U.S. Treasury Notes — 31.05%

        

U.S. Treasury Notes

        

3.38%

    10/15/09       2,562,000      2,479,537

4.25%

    11/15/14       10,276,000      9,807,970

4.50%

    03/31/12       4,507,000      4,426,018

4.75%

    01/31/12       3,571,000      3,545,335

4.88%

    04/30/11       7,678,000      7,669,009

4.88%

    02/15/12       3,762,000      3,758,475

5.12%

    05/15/16       632,000      635,753
           
          32,322,097
           

Total U.S. Treasury Securities

        

(Cost $32,504,928)

           32,322,097
           
           Contracts     

CALL OPTIONS PURCHASED — 0.03%

        

Futures — 0.03%

        

90 Day Euro Futures, Call Strike $94.875, expires 12/22/07

 

     180      30,375
           

Total Call Options Purchased

        

(Cost $33,200)

           30,375
           

PUT OPTIONS PURCHASED — 0.34%

        

Futures — 0.34%

        

90 Day Euro Futures, Put Strike $94.50, expires 12/22/07

 

     200      57,500

90 Day Euro Futures, Put Strike $95, expires 03/22/08

 

     200      165,000

90 Day Euro Futures, Put Strike $95, expires 09/22/07

 

     150      126,563
           

Total Put Options Purchased

        

(Cost $344,500)

           349,063
           

 

23

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

         

Notional

Amount

(000’s)

    Value  

PURCHASED SWAPTIONS — 0.27%

       

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    $ 28,756  

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 4.69% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

       
      8,183      32,822  

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 4.81% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

       
      4,064      16,662  

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 4.87% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

       
      8,147      38,349  

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 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

       
      8,052      42,870  

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 4.87% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

       
      1,044      16,847  

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 5.06% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

       
      526      11,204  

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 5.10% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

       
      1,050      25,522  

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 5.20% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

       
      1,057      29,317  

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 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

       
      1,062      33,845  
            

Total Purchased Swaptions

       

(Cost $397,105)

          276,194  
            

Issues

  

Maturity

Date

    

Principal

Amount

       

SHORT TERM INVESTMENTS — 3.34%

       

Commercial Paper — 2.20%

       

National Rural Utilities Cooperative Finance Corp.

       

5.25%9

   07/06/07     $ 2,290,000      2,288,664  
            

Money Market Fund — 0.93%

       

JPMorgan Prime Money Market Fund

       971,295      971,295  
            

U.S. Agency Discount Notes — 0.21%

       

Fannie Mae

       

5.14%9

   09/19/07 10     6,000      5,934  

Freddie Mac

       

5.28%9

   09/17/07 10     215,000      212,666  
            
         218,600  
            

Total Short Term Investments

       

(Cost $3,478,527)

          3,478,559  
            

Total Investments – 100.11%

       

(Cost $105,532,701)1

          104,213,596  
            

Liabilities in Excess of Other Assets – (0.11)%

          (110,384 )
            

Net Assets – 100.00%

        $ 104,103,212  
            

 

24

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

     Contracts    

Premiums

Received

     Value  

CALL OPTIONS WRITTEN

       

90 Day Euro Futures, Written Strike $95.125, expires 12/22/07

    (200 )   $ (16,250 )   $ (15,000 )

90 Day Euro Futures, Written Strike $95.75, expires 12/22/07

    (100 )     (27,250 )     (6,875 )
                  

Total Call Options Written

      $ (43,500 )   $ (21,875 )
                  

WRITTEN PUT OPTIONS

       

90 Day Euro Futures, Written Strike $94.25, expires 12/22/07

    (400 )   $ (79,000 )     (55,000 )

90 Day Euro Futures, Written Strike $94.75, expires 09/22/07

    (150 )     (129,375 )     (192,188 )

90 Day Euro Futures, Written Strike $94.875, expires 09/22/07

    (150 )     (67,125 )     (80,625 )

90 Day Euro Futures, Written Strike $95, expires 03/22/08

    (200 )     (154,500 )     (216,250 )
                  

Total Written Put Options

      $ (430,000 )   $ (544,063 )
                  

Issues

   

Notional

Amount

(000’s)

    

Premiums

Received

        

WRITTEN SWAPTIONS

       

Option to enter into a 10-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% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

       
   (4,000 )   $ (90,000 )   $ (42,903 )

Option to enter into a 10-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 5.01% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

       
   (4,000 )     (92,800 )     (60,272 )

Option to enter into a 10-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 5.02% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

       
   (2,000 )     (41,111 )     (27,600 )

Option to enter into a 10-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 5.14% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

       
   (4,000 )     (85,935 )     (68,968 )

Option to enter into a 10-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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

       
   (4,000 )     (87,163 )     (75,500 )
                  

Total Written Swaptions

      $ (397,009 )   $ (275,243 )
                  
Contracts             

Unrealized

Depreciation

  
FUTURES CONTRACTS: LONG POSITIONS      
67    U.S. Treasury Two Year Note, October 2007       $ (22,057 )
17    U.S. Treasury Five Year Note, October 2007         (10,761 )
              
  

Net unrealized depreciation

       $ (32,818 )
              

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE

         

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counter partysemi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17    $ 1,600    $ 4,944  
              

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      620      3,807  
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22      500      (19,899 )
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      400      (16,282 )
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/04/22      380      (16,646 )
              

 

25

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE (continued)

         

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22    $ 400    $ (6,739 )
              
         $ (50,815 )
              

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: Credit Suisse Group

         
   12/20/11    $ 200    $ 184  

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 PHM, 7.88% due 08/01/11. Counterparty: UBS AG

         
   12/20/12      250      5,163  

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14      250      1,838  

Pay a fixed rate equal to 0.64% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GCI, 6.38% due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/14      500      2,228  

Pay a fixed rate equal to 0.43% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GS, 6.60% due 01/15/12. Counterparty: Credit Suisse Group

         
   09/20/14      250      (3 )

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      702      209,796  

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      161      48,116  
              
         $ 267,322  
              

SWAPS: CREDIT DEFAULT (WRITTEN)

         

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Citigroup Inc.

         
   08/25/37    $ 450    $ (203,063 )

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.

         
   08/25/37      504      (227,430 )
              
         $ (430,493 )
              

Notes:

1

Cost for financial reporting purposes is $105,532,701 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 297,490  

Gross unrealized depreciation

      (1,616,595 )
        

Net unrealized (depreciation)

    $ (1,319,105 )
        

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $14,081,314 representing 13.53% 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		  

01/08/07

    Delphi Dip 2nd Lien, 8.13%, 12/31/07    $ 500,000    $ 501,512    0.48 %

11/14/06

    HCA Term Loan B, 7.61%, 11/17/13      498,750      501,526    0.48 %
                       
      $ 998,750    $ 1,003,038    0.96 %
                       

 

5

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

6

Non-income producing security.

7

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

8

Illiquid security.

9

Represents annualized yield at date of purchase.

10

Securities, or a portion there of, pledged as collateral with a value of $218,589 on 67 Long U.S. Treasury Two Year Note futures contracts and 17 U.S. Treasury Five Year Note futures contracts.

† Fair valued security. The aggregate value of fair valued securities is $13,329,919 which is 12.80% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.
* Securities with a call or reset feature will have an effective maturity date less than the stated maturity.
** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective date less than the stated maturity date.

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced

 

26

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

ASSET-BACKED SECURITIES — 5.00%**

        

ABFS Mortgage Loan Trust 2002-1 A5 (STEP)

        

6.51%

    12/15/32     $ 6,422,460    $ 6,437,550

Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F

        

7.72%

    06/25/28       80,669      52,239

Asset Backed Securities Corp. Home Equity Loan Trust 2003-HE4 M2

        

7.32%

    08/15/33 2     12,545,206      12,590,165

Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)

        

4.89%

    04/28/39       9,784,000      9,597,498

Conseco Finance 2001-C A5 (STEP)

        

6.79%

    08/15/33       7,842,843      7,860,720

Countrywide Home Equity Loan Trust 2005-M A2

        

5.44%

    02/15/36 2     3,992,816      3,995,051

Embarcadero Aircraft Securitization Trust 2000-A A1

        

5.80%

    08/15/25 2,3     1,700,000      1,412,062

First Union Home Equity Loan Trust 1997-3 B

        

7.39%

    03/25/29       201,204      171,149

Genesis Funding Ltd. 2006-1A G1

        

5.56%

    12/19/32 2,3,†     12,600,000      12,572,505

Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS

        

7.24%

    12/15/22       693,140      603,248

Greenpoint Mortgage Funding Trust 2005-HE2 A1

        

5.52%

    04/15/30 2     380,211      380,507

Keystone Owner Trust 1998-P2 A5 (STEP)

        

7.90%

    01/25/29 3     1,635,264      1,631,063

Nomura Asset Acceptance Corp. 2006-S1 A1

        

5.46%

    01/25/36 2,3     2,434,104      2,435,812

Oakwood Mortgage Investors, Inc. 2001-D A3

        

5.90%

    09/15/22       386,266      309,929

Oakwood Mortgage Investors, Inc. 2001-D A4

        

6.93%

    09/15/31       1,934,950      1,657,156

Oakwood Mortgage Investors, Inc. 2002-B A2

        

5.19%

    09/15/19       899,529      790,380

PAMCO CLO 1998-1A B2

        

6.71%

    05/01/10 2,3,†     4,946,015      4,813,904

Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)

        

4.76%

    07/25/35       5,810,000      5,583,327

Renaissance Home Equity Loan Trust 2007-1 N

        

9.79%

    04/25/37 3,†     8,473,169      8,463,571

Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)

        

5.98%

    12/25/33       300,000      296,814

Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)

        

8.60%

    09/25/29       1,015,396      1,012,825

Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)

        

8.29%

    02/25/25       557,928      556,521

Signature 5 CBO

        

0.00%

    10/15/09 †     2,000,000      300,004

Structured Asset Receivables Trust 2003-1

        

5.86%

    01/21/10 2,3,†     8,915,143      8,870,651

Structured Asset Receivables Trust 2003-2

        

5.76%

    01/21/09 2,3,†     3,507,302      3,489,798

Terwin Mortgage Trust 2005-7SL A1

        

5.59%

    07/25/35 2,3     606,993      607,566

Terwin Mortgage Trust 2006-2HGS A2

        

4.50%

    03/25/37 2,3     15,370,000      14,589,230

Terwin Mortgage Trust 2006-4SL A2

        

4.50%

    05/25/37 2,3     23,030,000      21,837,907

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     3,589,780      3,537,556

Van Kampen CLO II Ltd.

        

6.81%

    07/15/08 2,3,†     259,629      241,457

Vanderbilt Acquisition Loan Trust 2002-1 A4

        

6.57%

    05/07/27       5,280,000      5,427,158

Vertical CDO Ltd. 2007-1A A1J

        

6.07%

    04/10/47 2,3,†     8,200,000      7,662,590
           

Total Asset-Backed Securities

        

(Cost $152,466,820)

           149,787,913
           

CORPORATES — 18.33%*

        

Automotive — 2.11%

        

Ford Motor Credit Co. LLC

        

7.00%

    10/01/13       6,670,000      6,187,312

7.80%

    06/01/12       7,750,000      7,567,883

8.00%

    12/15/16       2,750,000      2,638,342

8.11%

    01/13/12 2     3,809,000      3,802,906

9.81%

    04/15/12 2     2,925,000      3,137,759

General Motors Corp.

        

7.38%

    05/23/48       9,200,000      7,452,000

General Motors Corp. Strip

        

0.00%

    07/20/11       2,133,864      2,044,064

General Motors Corp. Strip II

        

0.50%

    07/20/11 4,†     900,000      862,125

GMAC LLC

        

6.63%

    05/15/12       12,577,000      12,157,746

7.56%

    12/01/14 2     16,636,000      16,827,597

Metaldyne Corp.

        

10.00%

    11/01/13       425,000      452,625
           
          63,130,359
           

Banking — 2.44%

        

Bank One Corp. (STEP)

        

9.88%

    03/01/19       200,000      237,651

 

27

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Banking (continued)

        

BankAmerica Capital II

        

8.00%

    12/15/26     $ 800,000    $ 831,752

BankAmerica Institutional A

        

8.07%

    12/31/26 3     350,000      364,122

Banponce Trust I

        

8.33%

    02/01/27       12,175,000      12,681,845

BNP Paribas SA

        

9.23%

    06/08/17 2,5,†     14,354,000      14,226,249

BNP Paribas SA (MTN)

        

8.25%

    11/28/21 2,5,†     5,276,000      5,105,585

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     16,131,000      14,905,044

0.00%

    03/24/10 2,3     6,017,000      5,559,708

JPMorgan Chase & Co. C (MTN)

        

8.55%

    07/23/13 2,†     2,500,000      2,378,250

National Capital Trust II

        

5.49%

    12/29/49 2,3     2,425,000      2,301,960

Sovereign Capital Trust VI

        

7.91%

    06/13/36       13,375,000      14,334,522
           
          72,926,688
           

Basic Industry — 0.09%

        

Freeport-McMoRan Copper & Gold, Inc.

        

8.56%

    04/01/15 2     350,000      367,500

Massey Energy Co.

        

6.88%

    12/15/13       750,000      690,938

Mosaic Co. (The)

        

7.38%

    12/01/14 3     750,000      761,250

Noranda Aluminium Acquisition Corp. (PIK)

        

9.36%

    05/15/15 3     1,000,000      970,000
           
          2,789,688
           

Communications — 0.75%

        

Cebridge 2nd Lien PIK

        

11.36%

    05/05/14 4,†     10,067,627      10,454,153

Centennial Cellular Operating Co./Centennial Communications Corp.

        

10.13%

    06/15/13       525,000      565,688

Charter Communications, Inc. Term Loan 3rd Lien

        

7.86%

    03/01/14 4,†     1,000,000      999,297

Cincinnati Bell, Inc.

        

7.25%

    07/15/13       525,000      540,750

Dex Media East LLC/Dex Media East Finance Co.

        

12.13%

    11/15/12       650,000      701,187

Dex Media West LLC/Dex Media Finance Co.

        

9.88%

    08/15/13       575,000      618,125

Idearc, Inc.

        

8.00%

    11/15/16       750,000      761,250

Intelsat Bermuda Ltd.

        

11.25%

    06/15/16       500,000      562,500

Level 3 Financing, Inc.

        

9.25%

    11/01/14       1,000,000      1,015,000

Qwest Communications International, Inc. B

        

7.50%

    02/15/14       4,000,000      4,070,000

Univision Communications, Inc. 1st Lien Strip

        

7.61%

    03/15/14 4,†     750,000      740,733

Univision Communications, Inc. PIK

        

9.75%

    03/15/15 3     500,000      496,250

Windstream Corp.

        

8.13%

    08/01/13       500,000      525,000

8.63%

    08/01/16       500,000      531,250
           
          22,581,183
           

Consumer Discretionary — 0.07%

        

Tribune - Bridge Unsecured Delayed Drawing Term Loan

        

0.00%

    12/31/08 4,†     2,000,000      2,005,000
           

Consumer Products — 0.02%

        

Visant Holding Corp.

        

8.75%

    12/01/13       550,000      574,750
           

Electric — 2.64%

        

Calpine CCFC I Term Loan

        

11.32%

    08/26/09 4,†     10,451,185      10,980,276

Cedar Brakes I LLC

        

8.50%

    02/15/14 3     7,355,198      8,034,524

Cedar Brakes II LLC

        

9.88%

    09/01/13 3     11,231,662      12,573,699

FPL Energy American Wind LLC

        

6.64%

    06/20/23 3     413,000      420,634

FPL Energy National Wind

        

5.61%

    03/10/24 3     8,100,455      7,877,482

GWF Energy LLC

        

6.13%

    12/30/11 3     3,806,623      3,759,306

Potomac Electric Power Co.

        

5.88%

    10/15/08       125,000      125,536

Power Contract Financing LLC

        

6.26%

    02/01/10 3     8,290,201      8,346,997

Reliant Energy, Inc.

        

6.75%

    12/15/14       3,680,000      3,772,000

SWEPCO Capital Trust I

        

5.25%

    10/01/43 2     14,325,000      14,199,169

TXU Electric Delivery Co.

        

5.74%

    09/16/08 2,3     5,140,000      5,143,177

Windsor Financing LLC

        

5.88%

    07/15/17 3     3,820,165      3,726,113
           
          78,958,913
           

Energy — 0.36%

        

Allis-Chalmers Energy, Inc.

        

9.00%

    01/15/14       500,000      511,250

 

28

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Energy (continued)

        

Chesapeake Energy Corp.

        

7.00%

    08/15/14     $ 500,000    $ 498,750

Corral Finans AB (PIK)

        

6.86%

    04/15/10 3,5     500,000      500,000

Energy Partners Ltd.

        

9.75%

    04/15/14 3     1,000,000      997,500

Griffin Coal Mining Co. Pty. Ltd. (The)

        

9.50%

    12/01/16 3     500,000      516,875

Hilcorp Energy I LP/Hilcorp Finance Co.

        

7.75%

    11/01/15 3     550,000      536,250

NRG Energy, Inc.

        

7.38%

    01/15/17       1,000,000      1,006,250

OPTI Canada, Inc.

        

7.88%

    12/15/14 3,5,†     750,000      751,875

Pogo Producing Co.

        

7.88%

    05/01/13       250,000      256,250

Pride International, Inc.

        

7.38%

    07/15/14       250,000      251,875

Sabine Pass LNG LP

        

7.25%

    11/30/13 3     5,000,000      4,975,000
           
          10,801,875
           

Finance — 3.13%

        

ABX Financing Co.

        

6.35%

    10/15/36 3     9,800,000      9,457,255

Kelson 1st Lien

        

0.00%

    03/16/13 4,†     4,000,000      3,967,000

Lehman Brothers Holdings, Inc. (MTN)

        

11.00%

    11/07/16 2,†     11,249,000      10,941,902

Lehman Brothers Holdings, Inc. H (MTN)

        

0.00%

    06/20/16 2,†     9,906,000      9,899,066

12.50%

    11/30/10 2,†     6,352,000      5,894,656

Lehman Brothers Holdings, Inc. I (MTN)

        

8.92%

    02/16/17 2,†     6,941,000      6,644,619

Merrill Lynch & Co., Inc.

        

9.57%

    06/06/17 2,†     8,040,000      7,809,252

Onbank Capital Trust I

        

9.25%

    02/01/27       10,200,000      10,700,225

Pemex Finance Ltd.

        

8.88%

    11/15/10       350,000      365,517

Residential Capital LLC

        

5.86%

    06/09/08 2     10,171,000      10,070,175

6.46%

    05/22/09 2     3,547,000      3,532,337

7.19%

    04/17/09 2,3     5,500,000      5,477,698

TL Acquisitions (Thompson) Term Loan

        

8.38%

    07/09/14 4,†     2,000,000      1,976,666

Toyota Motor Credit Corp. (MTN)

        

8.00%

    10/24/13 2,†     7,331,000      7,026,764
           
          93,763,132
           

Gaming — 0.04%

        

Majestic Star Casino LLC/Majestic Star Casino Capital Corp.

        

9.50%

    10/15/10       250,000      261,250

Pinnacle Entertainment, Inc.

        

8.25%

    03/15/12       275,000      284,625

Wimar Opco LLC/Wimar Opco Finance Corp.

        

9.63%

    12/15/14 3     250,000      241,875

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

6.63%

    12/01/14       500,000      484,375
           
          1,272,125
           

Health Care — 0.35%

        

Carestream Health, Inc. Term Loan

        

10.59%

    10/30/13 4,†     1,000,000      1,013,750

Community Health Systems, Inc.

        

8.88%

    07/15/15 3,†     2,500,000      2,540,625

HCA, Inc.

        

9.25%

    11/15/16 3     5,450,000      5,817,875

Surgical Care Affiliates, Inc. Term Loan

        

0.00%

    12/29/14 4,†     250,000      250,312

Universal Hospital Services, Inc.

        

8.76%

    06/01/15 2,3     700,000      703,500
           
          10,326,062
           

Insurance — 1.52%

        

Fairfax Financial Holdings Ltd.

        

7.75%

    06/15/17       6,590,000      6,458,200

Farmers Exchange Capital

        

7.05%

    07/15/28 3     2,926,000      2,972,251

7.20%

    07/15/48 3     1,392,000      1,369,292

Farmers Insurance Exchange

        

8.63%

    05/01/24 3     11,127,000      12,886,635

Nationwide Mutual Insurance Co.

        

6.60%

    04/15/34 3     15,939,000      15,253,623

ZFS Finance USA Trust I

        

6.50%

    05/09/37 2,3     4,175,000      4,045,036

ZFS Finance USA Trust II

        

6.45%

    12/15/65 2,3     2,570,000      2,496,948
           
          45,481,985
           

Natural Gas — 0.37%

        

Southern Union Co.

        

7.20%

    11/01/66 2     10,975,000      11,044,362
           

Real Estate Investment Trust (REIT) — 1.95%

        

Colonial Realty LP

        

4.75%

    02/01/10       176,000      172,328

Developers Diversified Realty Corp.

        

5.25%

    04/15/11       3,430,000      3,374,770

Equity One, Inc.

        

3.88%

    04/15/09       270,000      261,653

 

29

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Real Estate Investment Trust (REIT) (continued)

        

First Industrial LP

        

5.25%

    06/15/09     $ 6,000,000    $ 5,959,220

7.60%

    07/15/28       5,000,000      5,410,715

Health Care Property Investors, Inc.

        

6.45%

    06/25/12       11,800,000      12,015,600

Highwoods Properties, Inc.

        

7.50%

    04/15/18       6,730,000      7,300,859

Reckson Operating Partnership LP

        

7.75%

    03/15/09       5,525,000      5,716,204

Shurgard Storage Centers, Inc.

        

7.75%

    02/22/11       7,200,000      7,694,150

UDR, Inc.

        

5.00%

    01/15/12       2,550,000      2,482,894

5.50%

    04/01/14       5,000,000      4,883,340

6.05%

    06/01/13       3,100,000      3,109,167
           
          58,380,900
           

Retail — 0.02%

        

Mobile Mini, Inc.

        

6.88%

    05/01/15 3     750,000      731,250
           

Secured Assets — 0.30%

        

Ingress I Ltd.

        

7.38%

    03/30/40 3,†     9,745,000      8,849,523
           

Services — 0.05%

        

Rental Services Corp.

        

9.50%

    12/01/14 3     500,000      512,500

Rental Services Term Loan 2nd Lien

        

6.21%

    11/30/13 4,†     1,000,000      1,017,250
           
          1,529,750
           

Transportation — 2.12%

        

Air 2 US A

        

8.03%

    10/01/20 3     3,033,868      3,141,949

American Airlines, Inc. 2001-2 A1

        

6.98%

    10/01/12       85,914      86,934

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15       2,343,068      2,397,252

Continental Airlines, Inc. 1999-1 A

        

6.55%

    08/02/20       448,099      456,221

Continental Airlines, Inc. 1999-2 A1

        

7.26%

    09/15/21       7,656,800      7,967,858

Continental Airlines, Inc. 2000-1 A2

        

7.92%

    11/01/11       2,000,000      2,078,750

Continental Airlines, Inc. 2007-1

        

6.90%

    04/19/22       2,500,000      2,523,438

Delta Air Lines, Inc. 2000-1 A1

        

7.38%

    11/18/11 6     6,604,306      6,699,243

Delta Air Lines, Inc. 2001-1 A2

        

7.11%

    03/18/13 6     14,048,000      14,422,028

Northwest Air Dip

        

7.34%

    05/21/12 4,†     7,000,000      7,011,445

Northwest Airlines, Inc.

        

6.84%

    04/01/11       2,122,000      2,152,504

Saint Acquisition Corp.

        

12.50%

    05/15/17 3     500,000      475,000

Swift Transportation Co. Term Loan

        

0.00%

    05/06/14       500,000      494,732

8.38%

    05/06/14 4,†     500,000      494,732

United Air Lines, Inc. 2000-2 A1

        

7.03%

    04/01/12       4,687,826      4,752,284

United Air Lines, Inc. 2001-1 A1

        

6.07%

    09/01/14       8,335,056      8,381,941
           
          63,536,311
           

Total Corporates

        

(Cost $546,630,161)

           548,683,856
           

MORTGAGE-BACKED — 34.59%**

        

Commercial Mortgage-Backed — 2.16%

        

CS First Boston Mortgage Securities Corp. 2002-CKS4 A2

        

5.18%

    11/15/36       18,000,000      17,617,153

DLJ Mortgage Acceptance Corp. 1996-QA S (IO)

        

2.57%

    01/25/26 2,3,7,†     206,616      257

GE Capital Commercial Mortgage Corp. 2005-C1 A5

        

4.77%

    06/10/48 2     2,040,000      1,916,017

GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)

        

0.74%

    05/15/35 2,7     220,925,804      2,809,624

GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3

        

5.71%

    10/15/38       27,150,000      27,255,388

LB-UBS Commercial Mortgage Trust 2000-C4 A2

        

7.37%

    08/15/26       14,182,180      14,815,465
           
          64,413,904
           

Non-Agency Mortgage-Backed — 19.42%

        

Adjustable Rate Mortgage Trust 2005-8 4A11

        

5.44%

    11/25/35 2     22,506,024      21,915,353

Banc of America Mortgage Securities, Inc. 2003-1 2A4

        

5.00%

    02/25/18       181,335      174,309

Banco de Credito Y Securitizacion SA 2001-1 AF

        

8.00%

    05/31/10 3,5,7,†     3,853,947      963,667

Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2

        

6.48%

    02/15/35       12,695,000      13,050,553

Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3

        

5.61%

    11/15/33       25,000,000      24,986,600

 

30

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4

        

5.19%

    05/11/39     $ 35,351,000    $ 34,387,456

BHN I Mortgage Fund 1997-2 A1

        

6.60%

    05/31/17 2,3,7,†     2,702,346      756,662

BHN I Mortgage Fund 1997-2 A2

        

7.54%

    05/31/17 3,7,†     5,060,858      1,417,156

BHN I Mortgage Fund 2000-1 AF

        

8.00%

    03/31/11 3,7,†     2,260,737      565,290

BlackRock Capital Finance LP 1997-R2 AP

        

1.27%

    12/25/35 2,3     5,909      5,892

Chase Mortgage Finance Corp. 2005-A1 1A1

        

5.41%

    12/25/35 2     16,304,321      15,866,142

Chase Mortgage Finance Corp. 2007-A2 2A3

        

4.24%

    07/25/37 2,†     36,320,000      35,945,450

Chevy Chase Mortgage Funding Corp. 2004-1A A1

        

5.60%

    01/25/35 2,3,†     3,605,565      3,606,684

Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2

        

4.75%

    05/25/34 2,3     19,094,440      17,824,190

Commercial Mortgage Acceptance Corp. 1998-C2 A3

        

6.04%

    09/15/30       13,425,000      13,458,016

Commercial Mortgage Pass Through Certificates 2006-C7 AM

        

5.99%

    06/10/46 2     27,668,000      27,673,907

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 7,8,†     23,033,302      455,632

Countrywide Alternative Loan Trust 2005-27 2A1

        

6.38%

    08/25/35 2,†     11,956,529      12,000,323

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 7,8,†     49,746,193      1,609,538

Countrywide Alternative Loan Trust 2006-46 A4

        

6.00%

    02/25/47       21,141,148      21,169,418

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 7,†     68,387,133      2,883,636

Countrywide Alternative Loan Trust NIM 2006-OA11 N1

        

6.00%

    09/25/46 3,†     1,752,934      1,747,751

Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1

        

5.09%

    08/25/34 2     12,882,753      12,512,728

Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1

        

5.13%

    09/20/35 2     14,687,986      14,322,118

Credit Suisse Mortgage Capital Certificates 2006-C1 A3

        

5.71%

    02/15/39 2     10,205,000      10,164,918

CS First Boston Mortgage Securities Corp. 2005-C5 AM

        

5.10%

    08/15/38 2     9,355,000      8,897,976

FMAC Loan Receivables Trust 1998-CA A2

        

6.66%

    01/15/12 3     2,819,087      2,749,593

GMAC Commercial Mortgage Securities, Inc. 2004-C3 A4

        

4.55%

    12/10/41       435,000      417,273

Greenwich Capital Commercial Funding Corp. 2002-C1 A4

        

4.95%

    01/11/35       34,500,000      33,386,061

GS Mortgage Securities Corp. II 2005-GG4 A4A

        

4.75%

    07/10/39       435,000      406,870

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 7,8,†     32,006,010      615,116

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,7,†     39,768,268      994,207

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 7,8,†     21,219,312      424,386

IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B

        

5.72%

    08/25/34 2     112,837      113,142

JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CB16 AM

        

5.59%

    05/12/45       16,880,000      16,484,129

JPMorgan Mortgage Trust 2003-A2 2A3

        

4.67%

    11/25/33 2     305,000      286,172

JPMorgan Mortgage Trust 2004-A5 4A4

        

4.83%

    12/25/34 2     400,000      387,206

JPMorgan Mortgage Trust 2006-A3 3A4

        

5.75%

    05/25/36 2     23,500,000      23,060,235

MASTR Seasoned Securities Trust 2004-1 4A1

        

5.34%

    10/25/32 2     198,000      200,685

MASTR Seasoned Securities Trust 2004-2 A2

        

6.50%

    08/25/32       8,216,865      8,291,148

Morgan Stanley Dean Witter Capital I 2000-LIFE A2

        

7.57%

    11/15/36       5,240,688      5,447,148

Morgan Stanley Mortgage Loan Trust 2007-10XS A18

        

6.00%

    07/25/17 †     43,725,000      43,731,832

Ocwen Residential MBS Corp. 1998-R2 AP

        

9.11%

    11/25/34 2,3     40,077      32,087

Prudential Commercial Mortgage Trust 2003-PWR1 A1

        

3.67%

    02/11/36       11,616,716      11,186,443

Residential Asset Mortgage Products, Inc. 2004-SL1 A8

        

6.50%

    11/25/31       111,694      112,200

 

31

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

Residential Asset Securitization Trust 2007-A7 A4

        

6.00%

    07/25/37 †   $ 29,504,219    $ 29,544,785

Ryland Mortgage Securities Corp. 1994-5 M3

        

6.29%

    10/25/23 2,†     462,348      462,774

Structured Asset Securities Corp. 1997-2 2A4

        

7.25%

    03/28/30       7,864      7,841

Structured Asset Securities Corp. 2001-15A 4A1

        

6.00%

    10/25/31 2     4,972      4,958

Structured Mortgage Asset Residential Trust 1991-7 I (IO)

        

8.50%

    12/25/22 2,7,9,†     11      2

Wachovia Bank Commercial Mortgage Trust 2003-C8 A4

        

4.96%

    11/15/35       30,000,000      28,777,047

Washington Mutual Mortgage Pass Through Certificates 2007-OA1 XPPP (IO)

        

0.64%

    02/25/47 7,8,†     212,728,295      2,999,469

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1

        

5.00%

    03/25/18       212,934      204,650

Wells Fargo Mortgage Backed Securities Trust 2004-G A3

        

4.77%

    06/25/34 2     445,000      416,707

Wells Fargo Mortgage Backed Securities Trust 2005-12 1A1

        

5.50%

    11/25/35       35,135,691      33,675,958

Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1

        

5.50%

    01/25/36       25,822,320      24,680,495

Wells Fargo Mortgage Backed Securities Trust 2006-2 3A1

        

5.75%

    03/25/36       14,333,536      13,921,020
           
          581,383,004
           

U.S. Agency Mortgage-Backed — 13.01%

        

Collateralized Mortgage Obligation Trust 57 D

        

9.90%

    02/01/19       8,294      8,302

Fannie Mae 1989-27 Y

        

6.90%

    06/25/19       2,045      2,073

Fannie Mae 1992-123 Z

        

7.50%

    07/25/22       7,180      7,508

Fannie Mae 1992-83 Z

        

7.00%

    06/25/22       40,122      40,536

Fannie Mae 1993-132 D (PO)

        

0.00%

    10/25/22       403,736      337,797

Fannie Mae 1993-199 SD (IO)

        

0.88%

    10/25/23 2     1,416,006      35,208

Fannie Mae 1993-29 PK

        

7.00%

    03/25/23       202,000      206,729

Fannie Mae 1994-55 H

        

7.00%

    03/25/24       130,000      133,568

Fannie Mae 1997-34 SA

        

23.41%

    10/25/23 2     42,009      65,331

Fannie Mae 1997-44 SB (IO)

        

2.78%

    06/25/08 2     114,343      1,676

Fannie Mae 2003-106 WG

        

4.50%

    11/25/23       32,004,000      28,268,496

Fannie Mae 2003-52 SV

        

5.23%

    05/25/31 2     6,011,160      5,806,862

Fannie Mae 2003-53 IA (IO)

        

5.50%

    10/25/28       6,544,395      551,549

Fannie Mae 2003-91 IQ (IO)

        

5.50%

    06/25/26       7,577,693      401,315

Fannie Mae 2006-80 PG

        

6.00%

    06/25/35       23,300,000      23,054,795

Fannie Mae G92-36 Z

        

7.00%

    07/25/22       1,465      1,513

Fannie Mae Pool 233672

        

7.62%

    09/01/23 2     28,700      29,221

Fannie Mae Pool 254232

        

6.50%

    03/01/22       97,904      100,085

Fannie Mae Pool 308798

        

7.13%

    04/01/25 2     10,470      10,528

Fannie Mae Pool 312155

        

7.05%

    03/01/25 2     33,016      33,255

Fannie Mae Pool 545191

        

7.00%

    09/01/31       55,760      57,144

Fannie Mae Pool 633698

        

7.50%

    02/01/31       19,422      20,522

Fannie Mae Pool 655928

        

7.00%

    08/01/32       156,872      164,039

Fannie Mae Pool 725257

        

5.50%

    02/01/34       15,869,445      15,378,260

Fannie Mae Pool 735883

        

6.00%

    03/01/33       15,020,767      15,010,960

Fannie Mae Pool 765387

        

6.00%

    08/01/34       245,562      244,867

Fannie Mae Pool 817611

        

5.35%

    11/01/35 2     11,204,334      11,136,516

Fannie Mae Pool 888412

        

7.00%

    04/01/37 †     29,623,082      30,234,058

Fannie Mae Pool 896464

        

5.82%

    07/01/36 2     21,071,646      20,934,985

Fannie Mae Pool 908408

        

5.61%

    04/01/37 2     37,761,445      37,474,579

Freddie Mac 1004 H

        

7.95%

    10/15/20       1,741      1,739

Freddie Mac 1073 G

        

7.00%

    05/15/21       5,822      5,814

Freddie Mac 1515 SA

        

8.61%

    05/15/08 2     23,547      23,435

 

32

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Freddie Mac 165 K

        

6.50%

    09/15/21     $ 1,086    $ 1,084

Freddie Mac 1980 Z

        

7.00%

    07/15/27       709,496      726,326

Freddie Mac 2098 TZ

        

6.00%

    01/15/28       749,723      724,873

Freddie Mac 2209 TC

        

8.00%

    01/15/30       207,189      218,042

Freddie Mac 2627 NI (IO)

        

5.00%

    04/15/29       9,095,702      749,165

Freddie Mac 2642 BW (IO)

        

5.00%

    06/15/23       175,127      35,955

Freddie Mac Gold A24156

        

6.50%

    10/01/31       3,719,174      3,795,183

Freddie Mac Gold C46104

        

6.50%

    09/01/29       170,376      174,080

Freddie Mac Gold C55789

        

7.50%

    10/01/27       61,093      63,960

Freddie Mac Gold C90573

        

6.50%

    08/01/22       749,358      766,608

Freddie Mac Gold G01601

        

4.00%

    09/01/33       241,938      214,182

Freddie Mac Gold G01611

        

4.00%

    09/01/33       84,749      75,026

Freddie Mac Gold G01673

        

5.50%

    04/01/34       3,711,351      3,600,578

Freddie Mac Gold G02366

        

6.50%

    10/01/36       28,091,339      28,483,925

Freddie Mac Gold G02461

        

6.50%

    11/01/36       27,499,276      27,799,276

Freddie Mac Gold G02579

        

5.00%

    12/01/34       27,660,664      26,067,910

Freddie Mac Gold G02955

        

5.50%

    03/01/37       38,169,401      36,838,278

Freddie Mac Gold G11707

        

6.00%

    03/01/20       9,681,726      9,736,826

Freddie Mac Gold P50019

        

7.00%

    07/01/24 †     1,123,302      1,157,686

Freddie Mac Pool 781415

        

5.24%

    04/01/34 2     9,779,559      9,852,802

Freddie Mac Pool 781469

        

5.12%

    04/01/34 2     7,141,508      7,166,199

Freddie Mac Pool 847288

        

5.09%

    05/01/34 2     12,380,264      12,466,208

Ginnie Mae 2000-22 SG (IO)

        

5.48%

    05/16/30 2     3,504,323      399,530

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       4,968,769      700,327

Ginnie Mae 2003-86 ZK

        

5.00%

    10/20/33       18,251,511      15,066,779

Ginnie Mae 2005-78 ZA

        

5.00%

    10/16/35       16,882,716      12,756,285

Ginnie Mae II Pool 81018

        

6.00%

    08/20/34 2     101,997      102,700
           
          389,523,058
           

Total Mortgage-Backed

        

(Cost $ 1,060,207,254)

           1,035,319,966
           

U.S. AGENCY SECURITIES — 0.39%

        

Foreign Sovereign — 0.39%

        

Indonesia Government Aid Bond

        

9.30%

    07/01/20       9,888,750      11,738,035
           

Total U.S. Agency Securities

        

(Cost $ 12,809,633)

           11,738,035
           

U.S. TREASURY SECURITIES — 35.82%

        

U.S. Treasury Bonds — 3.29%

        

U.S. Treasury Bonds

        

6.12%

    11/15/27       61,627,000      68,704,491

8.12%

    08/15/19       2,247,000      2,842,104

U.S. Treasury Notes (Strip Principal)

        

0.00%

    08/15/19       50,521,000      27,022,976
           
          98,569,571
           

U.S. Treasury Notes — 32.53%

        

Financing Corp.—Strip Principal

        

0.00%

    09/26/19 8     14,967,000      7,720,951

U.S. Treasury Notes

        

4.00%

    08/31/07       1,686,000      1,684,026

4.25%

    11/15/14       153,863,000      146,855,156

4.50%

    03/31/12       314,740,000      309,084,752

4.75%

    01/31/12       210,913,000      209,397,168

4.88%

    04/30/11       44,345,000      44,293,072

4.88%

    02/15/12       171,421,000      171,260,379

5.12%

    05/15/16       82,732,000      83,223,263
           
          973,518,767
           

Total U.S. Treasury Securities

        

(Cost $ 1,084,943,164)

           1,072,088,338
           
           Shares     

PREFERRED STOCK — 0.17%

        

Finance — 0.17%

        

Woodbourne Pass-Through Trust

        

6.42%

    12/31/49 2,3     50      5,025,000
           

Total Preferred Stock

        

(Cost $ 5,000,000)

           5,025,000
           

 

33

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Contracts    Value

CALL OPTIONS PURCHASED — 0.03%

      

Futures — 0.03%

      

90 Day Euro Futures, Call Strike $94.875, expires 12/22/07

      
   4,590    $ 774,562
         

Total Call Options Purchased

      

(Cost $ 846,600)

         774,562
         

PUT OPTIONS PURCHASED — 0.32%

      

Futures — 0.32%

      

90 Day Euro Futures, Put Strike $94.50, expires 12/22/07

      
   5,500      1,581,250

90 Day Euro Futures, Put Strike $95, expires 03/22/08

      
   5,500      4,537,500

90 Day Euro Futures, Put Strike $95, expires 09/22/07

      
   4,000      3,375,000
         

Total Put Options Purchased

      

(Cost $ 9,387,500)

         9,493,750
         

 

    

Notional

Amount

(000’s)

    Value

PURCHASED SWAPTIONS — 0.24%

      

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      716,530

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 4.69% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

      
   192,299      771,311

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 4.81% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

      
   101,588      416,511

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 4.87% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

      
   230,146      1,083,320

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 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

      
   195,269    $ 1,039,651

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 4.87% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

      
   26,112      421,369

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 5.06% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

      
   13,144      279,967

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 5.10% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

      
   24,676      599,790

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 5.20% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

      
   29,845      827,796

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 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

      
   25,762      821,002
         

Total Purchased Swaptions

      

(Cost $9,998,063)

         6,977,247
         

 

34

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

   

Principal

Amount

    Value

SHORT TERM INVESTMENTS — 5.04%

         

Commercial Paper — 4.64%

         

Chariot Funding LLC

         

5.30%10

    07/23/07    $ 46,161,000    $ 46,018,285

Ciesco LP

         

5.27%10

    07/30/07      18,055,000      17,980,994

DaimlerChrysler NA Holding Corp.

         

5.35%10

    07/12/07      36,505,000      36,201,852

Falcon Asset Acquisition Corp.

         

5.29%10

    07/23/07      23,101,000      23,029,714

Kitty Hawk Funding Corp.

         

5.30%10

    07/26/07      15,625,000      15,569,792
            
           138,800,637
            

Money Market Fund — 0.18%

         

JPMorgan Prime Money Market Fund

         5,590,182      5,590,182
            

U.S. Agency Discount Notes — 0.22%

         

Fannie Mae

         

5.14%10

    09/19/0711      316,000      312,481

Freddie Mac

         

5.28%10

    09/17/0711      6,020,000      5,954,653

5.28%10

    09/17/07      289,000      285,863
            
           6,552,997
            

Total Short Term Investments

         

(Cost $ 150,942,889)

            150,943,816
            

Total Investments – 99.93%

         

(Cost $ 3,033,232,084)1

            2,990,832,483
            

Cash and Other Assets, Less Liabilities – 0.07%

            2,165,757
            

NET ASSETS – 100.00%

          $ 2,992,998,240
            

 

Issues

    Contracts     Premiums
Received		     Value  

CALL OPTIONS WRITTEN

       

90 Day Euro Futures, Written Strike $95.125, expires 12/22/07

    (5,100 )   $ (414,375 )   $ (382,500 )

90 Day Euro Futures, Written Strike $95.75, expires 12/22/07

    (2,550 )     (694,875 )     (175,313 )
                  

Total Call Options Written

      $ (1,109,250 )   $ (557,813 )
                  

WRITTEN PUT OPTIONS

       

90 Day Euro Futures, Written Strike $94.25, expires 12/22/07

    (11,000 )   $ (592,500 )   $ (412,500 )

90 Day Euro Futures, Written Strike $94.75, expires 09/22/07

    (4,000 )     (129,375 )     (192,188 )

90 Day Euro Futures, Written Strike $94.875, expires 09/22/07

    (4,000 )     (260,625 )     (403,125 )

90 Day Euro Futures, Written Strike $95, expires 03/22/08

    (5,500 )   $ (772,500 )   $ (1,081,250 )
                  

Total Written Put Options

      $ (1,755,000 )   $ (2,089,063 )
                  

 

Issues

   

Notional

Amount

(000’s)

    

Premiums

Received

     Value  

WRITTEN SWAPTIONS

       

Option to enter into a 10-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% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

       
   (100,000 )   $ (2,250,000 )   $ (1,072,570 )

Option to enter into a 10-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 5.01% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

       
   (94,000 )     (2,180,000 )     (1,416,401 )

Option to enter into a 10-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 5.02% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

       
   (50,000 )     (1,027,778 )     (690,000 )

Option to enter into a 10-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 5.14% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

       
   (113,000 )     (2,427,677 )     (1,948,335 )

Option to enter into a 10-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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

       
   (97,000 )     (2,113,767 )     (1,830,865 )
                  

Total Written Swaptions

      $ (9,999,222 )   $ (6,958,171 )
                  

 

Contracts         Unrealized
Depreciation		  
FUTURES CONTRACTS: LONG POSITIONS  
2,443    U.S. Treasury Two Year Note, September 2007    $ (474,977 )
759    U.S. Treasury Five Year Note, September 2007      (482,059 )
           
  

Net unrealized depreciation

    $ (957,036 )
           

 

35

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

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 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.

         
   04/19/17    $ 8,900    $ (516,064 )

The Fund pays a floating rate based on 3-month USD Libor and the Fund receives from the counterparty a fixed rate of 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.

         
   05/09/17      9,000      (588,253 )

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17      38,700      (123,115 )

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      15,440      94,808  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22      10,100      (401,967 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.

         
   03/26/22      4,960      (357,480 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      10,000      (407,060 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/04/22      9,810      (429,737 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22      10,000      (168,474 )
              
         $ (2,897,342 )
              

SWAPS: CREDIT DEFAULT (PURCHASED)

         

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 08/01/11. Counterparty: Barclays Capital, Inc.

         
   12/20/11    $ 5,000    $ 169,213  

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: Credit Suisse Group

         
   12/20/11      4,800      4,406  

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 any issue in the Dow Jones CDX Series 7 IG, due 12/20/11. Counterparty: Lehman Brothers Holdings, Inc.

         
   12/20/11      35,000      (12,495 )

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.

         
   12/20/11      6,500      184,490  

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 PHM, 7.88% due 08/01/11. Counterparty: UBS AG

         
   12/20/12      6,750      139,398  

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14      5,000      36,761  

Pay a fixed rate equal to 0.64% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GCI, 6.38% due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/14      11,000      49,012  

Pay a fixed rate equal to 0.43% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GS, 6.60% due 01/15/12. Counterparty: Credit Suisse Group

         
   09/20/14      7,000      (84 )

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      17,492      5,227,417  

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      3,961      1,183,689  
              
         $ 6,981,807  
              

SWAPS: CREDIT DEFAULT (WRITTEN)

         

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Citigroup Inc.

         
   08/25/37    $ 11,212    $ (5,059,644 )

 

36

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: CREDIT DEFAULT (WRITTEN) (continued)

         

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.

         
   08/25/37    $ 12,558    $ (5,666,801 )
              
         $ (10,726,445 )
              

Notes:

1

Cost for financial reporting purposes is $3,033,232,084 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 13,688,862  

Gross unrealized depreciation

      (56,088,463 )
        

Net unrealized (depreciation)

    $ (42,399,601 )
        

 

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $287,350,502 representing 9.60% 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, 11.32%, 08/26/09    $ 10,748,668    $ 10,980,276    0.37 %
06/01/07    Carestream Health, Inc. Term Loan, 10.59%, 10/30/13      1,013,632      1,013,750    0.03 %
06/30/06    Cebridge 2nd Lien PIK, 11.36%, 05/05/14      10,091,741      10,454,153    0.35 %
06/04/07    Charter Communications, Inc. Term Loan 3rd Lien, 7.86%, 03/01/14      1,006,202      999,297    0.03 %
06/13/06    General Motors Corp. Strip II, 0.50%, 07/20/11      866,005      862,125    0.03 %
03/07/07    Kelson 1st Lien, 0.00%, 03/16/13      4,000,000      3,967,000    0.13 %
08/21/06    Northwest Air Dip, 7.34%, 05/21/12      7,000,000      7,011,445    0.23 %
06/04/07    Rental Services Term Loan 2nd Lien, 6.21%, 11/30/13      1,021,079      1,017,250    0.03 %
06/28/07    Surgical Care Affiliates, Inc. Term Loan, 0.00%, 12/29/14      250,000      250,312    0.01 %
06/14/07    Swift Transportation Co. Term Loan, 8.38%, 05/06/14      500,000      494,732    0.02 %
06/27/07    TL Acquisitions (Thompson) Term Loan, 8.38%, 07/09/14      1,980,000      1,976,666    0.07 %
05/24/07    Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08      2,000,000      2,005,000    0.07 %
06/12/07    Univision Communications, Inc. 1st Lien Strip, 7.61%, 03/15/14      749,533      740,733    0.03 %
                       
      $ 41,226,860    $ 41,772,739    1.40 %
                       

 

5

Foreign domiciled securities.

6

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

7

Illiquid security.

8

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

9

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

10

Represents annualized yield at date of purchase.

11

Securities, or a portion there of, pledged as collateral with a value of $6,266,843 on 2,443 Long U.S. Treasury Two Year Note futures contracts and 759 Long U.S. Treasury Five Year Note futures contracts.

†

Fair valued security. The aggregate value of fair valued securities is $357,276,990 which is 11.94% 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.

 

37

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

ASSET-BACKED SECURITIES — 1.18%**

        

HPSC Equipment Receivables LLC 2003-1A F

        

13.95%

    07/20/11 2,†   $ 187,468    $ 188,522

Renaissance Home Equity Loan Trust 2007-1 N

        

9.79%

    04/25/37 2,†     699,242      698,450

Terwin Mortgage Trust 2007-3SL AX (IO)

        

23.50%

    05/25/38 2,†     1,700,000      309,847

Terwin Mortgage Trust 2007-3SL CE2

        

0.00%

    05/25/38 2,3,†     17,160,000      1,712
           

Total Asset-Backed Securities

        

(Cost $ 1,180,388)

           1,198,531
           

CORPORATES — 92.82%*

        

Automotive — 6.54%

        

Cooper Standard TLD

        

7.91%

    12/23/11 4,†     740,625      744,328

Delphi Dip 2nd Lien

        

8.13%

    12/31/07 4,†     750,000      752,269

Ford Motor Credit Co. LLC

        

7.00%

    10/01/13       900,000      834,870

7.80%

    06/01/12       1,000,000      976,501

9.81%

    04/15/12 5     550,000      590,006

General Motors Corp.

        

7.70%

    04/15/16       126,000      117,495

General Motors Corp. Strip II

        

0.50%

    07/20/11 4,†     550,000      526,854

GMAC LLC

        

6.63%

    05/15/12       750,000      724,999

Metaldyne Corp.

        

10.00%

    11/01/13       800,000      852,000

Tenneco, Inc.

        

8.63%

    11/15/14       500,000      512,650
           
          6,631,972
           

Banking — 0.86%

        

CS First Boston/London

        

0.00%

    03/24/10 2,5,†     584,000      539,616

0.00%

    03/24/10 2,5     189,000      174,636

JPMorgan Chase Bank NA

        

7.59%

    03/28/22 5,†     175,000      161,998
           
          876,250
           

Basic Industry — 11.77%

        

AK Steel Corp.

        

7.75%

    06/15/12       250,000      251,250

7.88%

    02/15/09       150,000      150,375

Arco Chemical Co.

        

10.25%

    11/01/10       265,000      287,525

Dresser, Inc. Term Loan

        

7.86%

    05/14/14 4,†     500,000      502,760

Equistar Chemicals LP/Equistar Funding Corp.

        

10.63%

    05/01/11       977,000      1,033,177

Freeport-McMoRan Copper & Gold, Inc.

        

8.38%

    04/01/17       400,000      428,000

8.56%

    04/01/15 5     750,000      787,500

GrafTech Finance, Inc.

        

10.25%

    02/15/12       292,000      307,330

Massey Energy Co.

        

6.88%

    12/15/13       1,500,000      1,381,875

Mosaic Co. (The)

        

7.38%

    12/01/14 2     1,375,000      1,395,625

Mueller Water Products, Inc.

        

7.38%

    06/01/17 2     1,000,000      996,610

Murray Bank Loan 2nd Lien

        

13.91%

    01/31/11 4,†     1,572,695      1,678,852

Noranda Aluminium Acquisition Corp. (PIK)

        

9.36%

    05/15/15 2     1,500,000      1,455,000

Noranda Aluminium Holding Corp. (PIK)

        

11.15%

    11/15/14 2     1,000,000      980,000

PolyOne Corp.

        

10.63%

    05/15/10       296,000      311,540
           
          11,947,419
           

Capital Goods — 1.28%

        

L-3 Communications Corp.

        

5.88%

    01/15/15       550,000      512,875

6.38%

    10/15/15       125,000      118,750

United Rentals North America, Inc.

        

6.50%

    02/15/12       675,000      666,562
           
          1,298,187
           

Communications — 21.05%

        

CCH I Holdings LLC/CCH I Holdings Capital Corp.

        

11.00%

    10/01/15       1,100,000      1,152,250

CCO Holdings LLC/CCO Holdings Capital Corp.

        

8.75%

    11/15/13       500,000      508,750

Cebridge 2nd Lien PIK

        

11.36%

    05/05/14 4,†     1,539,745      1,598,861

Centennial Cellular Operating Co./Centennial Communications Corp.

        

10.13%

    06/15/13       760,000      818,900

Charter Communications, Inc. Term Loan 3rd Lien

        

7.86%

    03/01/14 4,†     500,000      499,648

Cincinnati Bell, Inc.

        

7.25%

    07/15/13       1,100,000      1,133,000

Dex Media East LLC/Dex Media East Finance Co.

        

12.13%

    11/15/12       350,000      377,562

 

38

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Communications (continued)

        

Dex Media West LLC/Dex Media Finance Co.

        

9.88%

    08/15/13     $ 950,000    $ 1,021,250

Hawaiian Telcom Communications, Inc.

        

12.50%

    05/01/15       1,000,000      1,140,000

Hawaiian Telcom Communications, Inc. B

        

10.86%

    05/01/13 5     500,000      512,500

Idearc, Inc.

        

8.00%

    11/15/16       2,000,000      2,030,000

Intelsat Bermuda Ltd.

        

11.25%

    06/15/16       1,000,000      1,125,000

Intelsat Bermuda, Ltd.

        

8.87%

    01/15/15 5     500,000      513,125

Intelsat Subsidiary Holding Co. Ltd.

        

8.63%

    01/15/15       400,000      412,000

Level 3 Financing, Inc.

        

9.25%

    11/01/14       1,775,000      1,801,625

Primedia, Inc.

        

10.75%

    05/15/10 5     475,000      491,031

Qwest Communications International, Inc.

        

8.86%

    02/15/09 5     200,000      203,000

Qwest Communications International, Inc. B

        

7.50%

    02/15/14       2,250,000      2,289,375

Univision Communications, Inc. 1st Lien Strip

        

7.61%

    03/15/14 4,†     500,000      493,822

Univision Communications, Inc. PIK

        

9.75%

    03/15/15 2     400,000      397,000

Wide Open West Term Loan

        

0.00%

    04/28/13 †     500,000      508,250

Windstream Corp.

        

8.63%

    08/01/16       2,200,000      2,337,500
           
          21,364,449
           

Consumer Discretionary — 1.95%

        

Tribune - Bridge Unsecured Delayed Drawing Term Loan

        

0.00%

    12/31/08 4,†     1,000,000      1,002,500

Tribune 1st Lien Term Loan B

        

8.38%

    05/24/14 4,†     1,000,000      978,750
           
          1,981,250
           

Consumer Products — 2.06%

        

Riddell Bell Holdings, Inc.

        

8.38%

    10/01/12       475,000      470,250

Steinway Musical Instruments

        

7.00%

    03/01/14 2     785,000      769,300

Visant Corp.

        

7.62%

    10/01/12       325,000      325,000

Visant Holding Corp.

        

8.75%

    12/01/13       250,000      261,250

Visant Holding Corp. (STEP)

        

0.00%

    12/01/13       290,000      267,525
           
          2,093,325
           

Electric — 5.66%

        

Aquila, Inc.

        

14.88%

    07/01/12       700,000      896,000

Boston Generating LLC 1st Lien

        

5.92%

    12/19/13 4,†     249,513      250,830

Boston Generating LLC 2nd Lien

        

9.61%

    06/19/14 4,†     750,000      765,603

Calpine CCFC I Term Loan

        

11.32%

    08/26/09 4,†     745,524      783,267

Calpine Corp. Term Loan

        

7.61%

    03/29/09 4,†     1,000,000      1,002,396

Reliant Energy, Inc.

        

6.75%

    12/15/14       1,500,000      1,537,500

TPF Generation Holdings LLC 2nd Lien

        

9.61%

    12/15/14 4,†     500,000      508,660
           
          5,744,256
           

Energy — 13.77%

        

Allis-Chalmers Energy, Inc.

        

8.50%

    03/01/17       150,000      150,562

9.00%

    01/15/14       800,000      818,000

Chesapeake Energy Corp.

        

7.00%

    08/15/14       630,000      628,425

7.50%

    06/15/14       225,000      228,938

7.75%

    01/15/15       75,000      76,688

Corral Finans AB (PIK)

        

6.86%

    04/15/10 2,6     1,000,000      1,000,000

Energy Partners Ltd.

        

9.75%

    04/15/14 2     1,625,000      1,620,938

Forest Oil Corp.

        

8.00%

    12/15/11       1,000,000      1,035,000

Griffin Coal Mining Co. Pty. Ltd. (The)

        

9.50%

    12/01/16 2     925,000      956,219

Hanover Equipment Trust

        

8.75%

    09/01/11       870,000      898,275

Hilcorp Energy I LP/Hilcorp Finance Co.

        

7.75%

    11/01/15 2     625,000      609,375

James River Coal Co.

        

9.38%

    06/01/12       575,000      566,375

NRG Energy, Inc.

        

7.38%

    01/15/17       975,000      981,094

OPTI Canada, Inc.

        

7.88%

    12/15/14 2,6,†     1,000,000      1,002,500

Parker Drilling Co.

        

9.63%

    10/01/13       25,000      26,812

10.11%

    09/01/10 5     469,000      476,621

Pogo Producing Co.

        

7.88%

    05/01/13       250,000      256,250

 

39

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Energy (continued)

        

8.25%

    04/15/11     $ 250,000    $ 255,312

Pride International, Inc.

        

7.38%

    07/15/14       325,000      327,438

Sabine Pass LNG LP

        

7.25%

    11/30/13 2     500,000      497,500

7.50%

    11/30/16 2     550,000      548,625

Venoco, Inc. 2nd Lien Term Loan

        

9.36%

    05/08/14 4     1,000,000      1,010,000
           
          13,970,947
           

Finance — 7.75%

        

Dow Jones CDX HY 6-TI

        

8.63%

    06/29/11       50,000      51,313

Dow Jones CDX HY 7-T1

        

8.38%

    12/29/11 2     2,750,000      2,736,250

Kelson 1st Lien

        

0.00%

    03/16/13 4,†     1,125,000      1,115,719

Kelson 2nd Lien PIK

        

0.00%

    03/01/14 4,†     1,125,000      1,113,047

Lehman Brothers Holdings, Inc. (MTN)

        

11.00%

    11/07/16 5,†     383,000      372,544

Lehman Brothers Holdings, Inc. H (MTN)

        

12.50%

    11/30/10 5,†     294,000      272,832

Residential Capital LLC

        

7.19%

    04/17/09 2,5     975,000      971,046

TL Acquisitions (Thompson) Term Loan

        

8.38%

    07/09/14 4,†     1,250,000      1,235,416
           
          7,868,167
           

Gaming — 3.96%

        

French Lick Resorts & Casino LLC/French Lick Resorts & Casino Corp.

        

10.75%

    04/15/14 2     325,000      279,500

Herbst Gaming, Inc.

        

8.13%

    06/01/12       575,000      583,625

Majestic Star Casino LLC/Majestic Star Casino Capital Corp.

        

9.50%

    10/15/10       450,000      470,250

Penn National Gaming, Inc.

        

6.75%

    03/01/15       340,000      350,200

Pinnacle Entertainment, Inc.

        

8.25%

    03/15/12       625,000      646,875

Tropicana Entertainment

        

7.61%

    12/31/11 4,†     495,106      499,376

Wimar Opco LLC/Wimar Opco Finance Corp.

        

9.63%

    12/15/14 2     450,000      435,375

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

6.63%

    12/01/14       775,000      750,781
           
          4,015,982
           

Health Care — 5.76%

        

Accellent, Inc.

        

10.50%

    12/01/13       250,000      249,375

Carestream Health, Inc. Term Loan

        

10.59%

    10/30/13 4,†     1,500,000      1,520,625

Community Health Systems, Inc.

        

8.88%

    07/15/15 2,†     2,500,000      2,540,625

HCA, Inc.

        

9.25%

    11/15/16 2     500,000      533,750

Universal Hospital Services, Inc.

        

8.76%

    06/01/15 2,5     1,000,000      1,005,000
           
          5,849,375
           

Retail — 1.44%

        

Mobile Mini, Inc.

        

6.88%

    05/01/15 2     1,500,000      1,462,500
           

Services — 2.87%

        

Aramark Corp.

        

8.50%

    02/01/15 2     600,000      613,500

Corrections Corp. of America

        

6.25%

    03/15/13       350,000      337,750

Rental Services Corp.

        

9.50%

    12/01/14 2     725,000      743,125

Rental Services Term Loan 2nd Lien

        

6.21%

    11/30/13 4,†     1,193,761      1,214,353
           
          2,908,728
           

Transportation — 6.10%

        

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15       826,612      845,727

Continental Airlines, Inc. 2007-1

        

6.90%

    04/19/22       500,000      504,688

Delta Air Lines 2nd Lien

        

8.61%

    05/01/14 4,†     500,000      504,250

Northwest Air Dip

        

7.34%

    05/21/12 4,†     500,000      500,818

Saint Acquisition Corp.

        

12.50%

    05/15/17 2     1,250,000      1,187,500

Swift Transportation Co. Term Loan

        

8.38%

    05/06/14 4,†     250,000      247,366

United Air Lines, Inc.

        

7.34%

    07/02/19 2,†     900,000      903,656

7.38%

    02/01/14 4,†     1,000,000      998,360

US Airways Group

        

7.86%

    03/15/14 4,†     500,000      501,979
           
          6,194,344
           

Total Corporates

        

(Cost $94,442,589)

           94,207,151
           

 

40

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value  

MORTGAGE-BACKED — 3.14%**

       

Non-Agency Mortgage-Backed — 3.02%

        

BHN I Mortgage Fund 2000-1 AF

        

8.00%

    03/31/11 2,3,†   $ 1,088,958    $ 272,291  

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 3,7,†     954,916      18,890  

Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)

        

2.75%

    07/20/46 3,7     10,798,652      469,806  

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 3,7,†     1,361,411      26,165  

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 3,5,†     1,705,415      42,635  

Harborview Mortgage Loan Trust 2005-12 X2A (IO)

        

0.61%

    10/19/35 3,5,†     8,053,572      74,244  

Harborview Mortgage Loan Trust 2006-4 X1 (IO)

        

2.64%

    05/19/47 3,5,†     5,675,304      229,672  

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 3,7,†     906,464      18,129  

Washington Mutual Mortgage Pass Through Certificates 2007-OA1 XPPP (IO)

        

0.64%

    02/25/47 3,7,†     37,523,451      529,081  

Washington Mutual, Inc. 2006-AR5 X (IO)

        

0.40%

    06/25/46 3,7,†     22,775,660      182,205  

Washington Mutual, Inc. 2006-AR9 1XPP (IO)

        

0.53%

    08/25/46 3,7,†     45,057,851      468,602  

Washington Mutual, Inc. 2007-0A3 CXPP (IO)

        

0.42%

    04/25/47 3,7,†     35,000,000      451,500  

Washington Mutual, Inc. 2007-OA2 1XPPP (IO)

        

0.66%

    03/25/47 3,7,†     18,366,901      278,810  
             
          3,062,030  
             

U.S. Agency Mortgage-Backed — 0.12%

        

Fannie Mae 1993-225 SG

        

4.90%

    12/25/13 5     111,151      108,026  

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       87,819      12,377  
             
          120,403  
             

Total Mortgage-Backed

        

(Cost $ 4,371,118)

           3,182,433  
             

SHORT TERM INVESTMENTS — 4.75%

        

Commercial Paper — 3.60%

        

DaimlerChrysler NA Holding Corp.

        

5.35%8

    07/27/07       1,200,000      1,195,542  

National Rural Utilities Cooperative Finance Corp.

        

5.25%8

    07/06/07       2,455,000      2,453,568  
             
          3,649,110  
             

Money Market Fund — 1.11%

        

JPMorgan Prime Money Market Fund

        1,132,000      1,132,000  
             

U.S. Agency Discount Notes — 0.04%

        

Freddie Mac

        

5.28%8

    09/17/07 9     39,000      38,576  
             

Total Short Term Investments

        

(Cost $ 4,819,681)

           4,819,686  
             

Total Investments – 101.89%

        

(Cost $ 104,813,776)1

           103,407,801  
             

Liabilities in Excess of Other Assets – (1.89%)

           (1,916,891 )
             

Net Assets – 100.00%

         $ 101,490,910  
             

 

Contracts         Unrealized
Depreciation		  
FUTURES CONTRACTS: LONG POSITIONS  
77    U.S. Treasury Two Year Note, September 2007    $ (16,296 )
           
  

Net unrealized depreciation

    $ (16,296 )
           

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

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 5.16% semi-annually. Counterparty: Barclays Capital, Inc.

         
   01/02/09    $ 6,590    $ 59,777  

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 Inc.

         
   01/02/09      14,030      127,610  

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17      1,400      (4,454 )

 

41

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE (continued)

         

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17    $ 580    $ 3,561  
              
         $ 186,494  
              

SWAPS: CREDIT DEFAULT (PURCHASED)

         

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 any issue in the Dow Jones CDX Series 8, due 06/20/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/12    $ 1,000    $ 15,989  

Pay a fixed rate equal to 2.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series 8, due 06/20/12. Counterparty: Deutsche Bank AG

         
   06/20/12      1,000      22,056  

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 PHM, 7.88% due 08/01/11. Counterparty: UBS AG

         
   12/20/12      1,000      20,652  

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14      500      3,676  

Pay a fixed rate equal to 0.64% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GCI, 6.38% due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/14      1,000      4,456  

Pay a fixed rate equal to 0.43% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GS, 6.60% due 01/15/12. Counterparty: Credit Suisse Group

         
   09/20/14      1,000      (12 )
              
         $ 66,817  
              

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 Chase & Co.

         
   12/20/07    $ 2,500    $ 11,000  
              

Notes:

1

Cost for financial reporting purposes is $104,813,776 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 824,026  

Gross unrealized depreciation

      (2,230,001 )
        

Net unrealized (depreciation)

    $ (1,405,975 )
        

 

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 June 30, 2007 was $27,825,593 representing 27.42% of total net assets.

3

Illiquid security.

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

  
12/19/06    Boston Generating LLC 1st Lien, 5.92%, 12/19/13    $ 249,513    $ 250,830    0.25 %
12/19/06    Boston Generating LLC 2nd Lien, 9.61%, 06/19/14      756,770      765,603    0.75 %
08/07/03    Calpine CCFC I Term Loan, 11.32%, 08/26/09      768,004      783,267    0.77 %
04/04/07    Calpine Corp. Term Loan, 7.61%, 03/29/09      1,000,000      1,002,396    0.99 %
04/12/07    Carestream Health, Inc. Term Loan 10.59%, 10/30/13      1,506,793      1,520,625    1.50 %
06/30/06    Cebridge 2nd Lien PIK, 11.36%, 05/05/14      1,550,451      1,598,861    1.58 %
03/15/07    Charter Communications, Inc. Term Loan 3rd Lien, 7.86%, 03/01/14      500,625      499,648    0.49 %
03/14/06    Cooper Standard TLD, 7.91%, 12/23/11      745,442      744,328    0.73 %
01/08/07    Delphi Dip 2nd Lien, 8.13%, 12/31/07      750,000      752,269    0.74 %
04/25/07    Delta Airlines 2nd Lien, 8.61%, 05/01/14      500,000      504,250    0.50 %
05/04/07    Dresser, Inc. Term Loan, 7.86%, 05/14/14      500,000      502,760    0.50 %
05/03/06    General Motors Corp. Strip II, 0.50%, 07/20/11      539,613      526,854    0.52 %
05/15/07    Kelson 1st Lien, 0.00%, 03/16/13      1,121,327      1,115,719    1.10 %
03/07/07    Kelson 2nd Lien PIK, 0.00%, 03/01/14      1,121,067      1,113,047    1.10 %
02/03/05    Murray Bank Loan 2nd Lien, 13.91%, 01/31/11      1,620,141      1,678,852    1.65 %
08/21/06    Northwest Air Dip, 7.34%, 05/21/12      500,000      500,818    0.49 %
11/21/06    Rental Services Term Loan 2nd Lien, 6.21%, 11/30/13      1,210,291      1,214,353    1.20 %
06/14/07    Swift Transportation Co. Term Loan, 8.38%, 05/06/14      250,000      247,366    0.24 %
06/27/07    TL Acquisitions Corp. (Thompson) Term Loan, 8.38%, 07/09/14      1,237,500      1,235,416    1.22 %
12/21/06    TPF Generation Holdings LLC 2nd Lien, 9.61%, 12/15/14      500,000      508,660    0.50 %
05/17/07    Tribune 1st Lien Term Loan B, 8.38%, 05/24/14      992,500      978,750    0.96 %

 

42

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Date of

Purchase

   

Security

   

Amortized

Cost

    Value   

% of

TNA

  
05/24/07    Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08      1,000,000      1,002,500    0.99 %
01/04/07    Tropicana Entertainment, 7.61%, 12/31/11      495,106      499,376    0.49 %
02/01/07    United Air Lines, Inc., 7.38%, 02/01/14      1,000,000      998,360    0.98 %
03/16/07    Univision Communications, Inc. 1st Lien Strip, 7.61%, 03/15/14      500,000      493,822    0.49 %
03/23/07    US Airways Group, 7.86%, 03/15/14      500,000      501,979    0.49 %
05/08/07    Venoco, Inc. 2nd Lien Term Loan, 9.36%, 05/08/14      1,000,000      1,010,000    1.00 %
                       
      $ 22,415,143    $ 22,550,709    22.22 %
                       

 

5

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

6

Foreign domiciled securities.

7

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

8

Represents annualized yield at date of purchase.

9

Securities, or a portion there of, pledged as collateral with a value of $38,575 on 77 Long U.S. Treasury Two Year Note futures contracts.

†

Fair valued security. The aggregate value of fair valued securities is $31,633,485 which is 31.17% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

*

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

**

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

 

43

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

ASSET-BACKED SECURITIES — 44.83%**

        

ABFS Mortgage Loan Trust 2002-1 A5 (STEP)

        

6.51%

    12/15/32     $ 396,087    $ 397,018

ABFS Mortgage Loan Trust 2002-2 A7 (STEP)

        

5.22%

    07/15/33       5,562      5,547

ACE Securities Corp. 2005-WF1 A2C

        

5.66%

    05/25/35 2     7,000,000      7,008,750

Aerco Ltd. 2A A3

        

5.78%

    07/15/25 2,3     9,422,215      8,050,105

Aviation Capital Group Trust 2003-2A B1

        

8.32%

    09/20/33 2,3,†     2,799,733      2,855,734

Bayview Financial Acquisition Trust 2004-B A1

        

5.82%

    05/28/39 2,3,†     5,996,459      5,996,489

Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A3

        

5.47%

    01/25/37 2     7,000,000      7,001,376

Conseco Finance 2002-C BF1

        

8.00%

    06/15/32       3,763,000      3,772,947

Conseco Finance 2002-C BF2

        

8.00%

    06/15/32 3,†     1,247,519      1,185,874

Conseco Finance Securitizations Corp. 2001-4 AIO (IO)

        

2.50%

    09/01/33 4,†     577,500      3,313

Conseco Finance Securitizations Corp. 2002-1 A

        

6.68%

    12/01/33       245,528      247,841

Conseco Finance Securitizations Corp. 2002-2 AIO (IO)

        

8.50%

    03/01/33 4,†     221,780      42,708

Countrywide Asset-Backed Certificates 2006-12N N

        

7.25%

    07/25/37 3     368,230      257,761

Countrywide Asset-Backed Certificates 2006-2 2A2

        

5.51%

    06/25/36 2     4,009,000      4,014,856

Countrywide Asset-Backed NIM Certificates 2006-26 Note

        

5.75%

    01/25/12 2,3,†     10,150,925      10,139,308

Countrywide Asset-Backed NIM Certificates 2007-1 Note

        

5.75%

    01/25/12 2,3,†     14,857,368      14,840,732

Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3

        

5.47%

    05/25/36 2     6,900,000      6,882,915

Crystal River 2005-1A A

        

5.71%

    03/02/46 2,3,†     3,157,431      3,102,183

Deutsche Financial Capital Securitization LLC 1997-I A3

        

6.75%

    09/15/27       142,569      142,627

First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4

        

5.86%

    10/25/34 2     2,368,988      2,381,504

First Franklin Mortgage Loan Asset Backed Certificates 2006-FF17 A6

        

5.63%

    12/25/36 2     6,900,000      6,890,299

First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D

        

5.54%

    01/25/38 2     6,900,000      6,922,267

Green Tree Financial Corp. 1996-10 M1

        

7.24%

    11/15/28       2,700,000      2,616,336

Green Tree Financial Corp. 1996-8 A6

        

7.60%

    10/15/27       89,185      91,633

Green Tree Financial Corp. 1998-2 A6

        

6.81%

    12/01/27       1,189,900      1,211,275

Green Tree Financial Corp. 1998-4 A5

        

6.18%

    04/01/30       2,501,295      2,468,705

Green Tree Financial Corp. 1998-4 A7

        

6.87%

    04/01/30       1,052,847      1,068,690

Green Tree Financial Corp. 1998-6 A8

        

6.66%

    06/01/30       1,500,000      1,430,203

Green Tree Financial Corp. 1999-1 A5

        

6.11%

    09/01/23       48,767      48,988

Green Tree Financial Corp. 1999-5 A5

        

7.86%

    03/01/30       196,689      182,893

Green Tree Home Improvement Loan Trust 1995-C B2

        

7.60%

    07/15/20       164,026      157,268

Green Tree Home Improvement Loan Trust 1995-D B2

        

7.45%

    09/15/25       309,183      298,826

Green Tree Home Improvement Loan Trust 1995-F B2

        

7.10%

    01/15/21       47,984      45,554

Green Tree Recreational, Equipment & Consumer Trust 1996-C CTFS

        

7.65%

    10/15/17       41,074      39,218

GSR Mortgage Loan Trust 2005-HEL1 B1

        

8.32%

    11/25/30 2,†     2,491,000      2,011,505

HFC Home Equity Loan Asset Backed Certificates 2004-1 A

        

5.67%

    09/20/33 2     937,524      940,844

Home Equity Asset Trust 2006-3 2A2

        

5.45%

    07/25/36 2     2,650,000      2,651,656

IndyMac Manufactured Housing Contract 1997-1 A3

        

6.61%

    02/25/28       1,215,554      1,175,064

IndyMac Manufactured Housing Contract 1997-1 A4

        

6.75%

    02/25/28       600,209      578,550

IndyMac Manufactured Housing Contract 1998-1 A4

        

6.49%

    09/25/28 †     302,791      296,333

IndyMac Manufactured Housing Contract 1998-1 A5

        

6.96%

    09/25/28 †     1,081,397      1,036,958

IndyMac Manufactured Housing Contract 1998-2 A2

        

6.17%

    12/25/11       290,476      275,934

 

44

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

ASSET-BACKED SECURITIES (continued)

        

IndyMac Manufactured Housing Contract 1998-2 A4

        

6.64%

    12/25/27     $ 618,343    $ 593,435

Inman Square Funding Ltd. 2004-1A I

        

5.96%

    10/20/34 2,3,†     7,194,426      7,187,609

Inman Square Funding Ltd. 2005-2A I

        

5.80%

    10/06/40 2,3,†     20,000,000      20,000,010

Ivy Lane CDO Ltd. 2006-1A A1

        

5.69%

    02/05/46 2,3,†     15,000,000      14,798,355

Long Beach Asset Holdings Corp. 2006-11 N1

        

6.75%

    01/25/47 3,†     776,594      705,820

Long Beach Asset Holdings Corp. 2006-9 N1

        

6.25%

    10/25/46 3,†     971,205      882,697

MASTR ABS NIM Trust 2006-CI13 N1

        

7.00%

    12/25/35 3,†     20,375      17,317

MASTR ABS NIM Trust 2006-CI14 N2

        

8.00%

    07/26/35 3,†     976,318      878,572

Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C

        

5.90%

    08/25/35 2     3,262,519      3,285,375

Mid-State Trust 11 B

        

8.22%

    07/15/38       22,141      20,129

Mid-State Trust 2004-1 B

        

8.90%

    08/15/37       1,752,818      1,774,658

Mid-State Trust 6 A4

        

7.79%

    07/01/35       72,424      76,420

Morgan Stanley ABS Capital I 2007-HE1 A2D

        

5.55%

    11/25/36 2     6,900,000      6,869,336

Nationstar Home Equity Loan Trust 2007-A AV4

        

5.55%

    03/25/37 2     5,000,000      5,014,352

Nationstar NIM Trust 2007-B A

        

8.75%

    05/25/37 3,†     5,321,249      5,291,317

Nationstar NIM Trust 2007-C A

        

8.00%

    06/25/37 3,†     3,000,000      2,994,706

Newcastle Mortgage Securities Trust 2006-1 A2

        

5.44%

    03/25/36 2     4,000,000      3,999,376

Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)

        

10.00%

    01/25/36 2,3,†     6,750,000      377,105

Oakwood Mortgage Investors, Inc. 1998-A A4

        

6.20%

    05/15/28       6,331      6,305

Oakwood Mortgage Investors, Inc. 1998-B A4

        

6.35%

    03/15/17       358,358      355,105

Oakwood Mortgage Investors, Inc. 1999-A A2

        

5.89%

    04/15/29       342,193      326,538

Oakwood Mortgage Investors, Inc. 2001-D A2

        

5.26%

    01/15/19       223,587      171,615

Oakwood Mortgage Investors, Inc. 2001-D A3

        

5.90%

    09/15/22       13,320      10,687

Oakwood Mortgage Investors, Inc. 2001-D A4

        

6.93%

    09/15/31       800,301      685,405

Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)

        

6.00%

    02/15/10 4,†     254,789      30,887

Oakwood Mortgage Investors, Inc. 2002-B A2

        

5.19%

    09/15/19       288,311      253,327

Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)

        

6.00%

    05/15/10 4,†     2,606,077      325,697

PAMCO CLO 1998-1A B2

        

6.71%

    05/01/10 2,3,†     2,355,245      2,292,335

RAAC Series 2007-RP1 M4

        

7.32%

    05/25/46 2,3,†     397,002      396,010

Renaissance Home Equity Loan Trust 2007-1 N

        

9.79%

    04/25/37 3,†     3,208,287      3,204,653

Soundview NIM Trust 2007-OPT1 N

        

9.00%

    06/25/37 3,†     6,526,036      6,538,272

Specialty Underwriting & Residential Finance 2004-BC4 A2C

        

5.81%

    10/25/35 2     3,000,000      3,019,400

Structured Asset Receivables Trust 2005-1

        

5.87%

    01/21/15 3,†     14,389,603      14,353,771

Terwin Mortgage Trust 2004-7HE A1

        

5.87%

    07/25/34 2,3     122,539      123,132

Terwin Mortgage Trust 2005-11 1A1A (STEP)

        

4.50%

    11/25/36 3     248,676      247,574

Terwin Mortgage Trust 2005-11 1M2 (STEP)

        

4.50%

    11/25/36 3     3,500,000      3,285,568

Terwin Mortgage Trust 2005-13SL P

        

0.00%

    12/25/36 3,4,†     1,000      325,000

Terwin Mortgage Trust 2005-5SL B4

        

6.00%

    05/25/35 3,†     1,000,000      376,789

Terwin Mortgage Trust 2005-P1 A

        

0.00%

    11/25/35       570      34,200

Terwin Mortgage Trust 2006-1SL P

        

0.00%

    01/25/37 3,4,†     1,000      230,000

Terwin Mortgage Trust 2006-4SL P

        

0.00%

    05/25/37 †     410      348,500

Terwin Mortgage Trust 2006-6 1AX (IO)

        

0.00%

    07/25/37 2,†     12,750,000      153,000

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     6,185,314      6,095,329

Terwin Mortgage Trust 2007-3SL AX (IO)

        

23.50%

    05/25/38 3,†     20,262,400      3,693,081

Terwin Mortgage Trust 2007-3SL CE2

        

0.00%

    05/25/38 3,4,†     111,560,000      11,131

 

45

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

ASSET-BACKED SECURITIES (continued)

        

Terwin Mortgage Trust NIM 2007-4 N1

        

10.00%

    05/25/38 3,†   $ 1,963,162    $ 1,919,556

UCFC Home Equity Loan 1998-D BF1

        

8.97%

    04/15/30       585      584

Vertical CDO Ltd. 2007-1A A1J

        

6.07%

    04/10/47 2,3,†     6,000,000      5,606,773
           

Total Asset-Backed Securities

        

(Cost $242,980,952)

           239,955,400
           

CORPORATES — 34.04%*

        

Automotive — 3.66%

        

Delphi Dip 2nd Lien

        

8.13%

    12/31/07 5,†     5,000,000      5,015,125

Ford Motor Credit Co. LLC

        

8.11%

    01/13/12 2     4,000,000      3,993,600

General Motors Corp.

        

7.38%

    05/23/48       7,600,000      6,156,000

GMAC LLC

        

6.63%

    05/15/12       3,500,000      3,383,328

7.56%

    12/01/14 2     815,000      824,387

8.00%

    11/01/31 6     181,000      185,588
           
          19,558,028
           

Banking — 1.07%

        

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     1,832,000      1,692,768

0.00%

    03/24/10 2,3     1,063,000      982,212

Deutsche Bank Capital Funding Trust VII

        

5.63%

    01/19/49 2,3     1,000,000      953,670

JPMorgan Chase Bank NA

        

8.75%

    11/28/21 2,†     2,201,000      2,121,324
           
          5,749,974
           

Basic Industry — 2.04%

        

Barrick Gold Finance Co.

        

5.80%

    11/15/34       667,000      597,544

C8 Capital SPV Ltd.

        

6.64%

    12/31/49 2,3     3,000,000      2,999,886

Freeport-McMoRan Copper & Gold, Inc.

        

8.56%

    04/01/15 2     1,750,000      1,837,500

Murray Bank Loan 3rd Lien

        

17.68%

    07/28/11 5,†     1,022,672      1,068,692

Noranda Aluminium Acquisition Corp. (PIK)

        

9.36%

    05/15/15 3     2,000,000      1,940,000

Noranda Aluminium Holding Corp. (PIK)

        

11.15%

    11/15/14 3     2,500,000      2,450,000
           
          10,893,622
           

Communications — 3.68%

        

Cebridge 2nd Lien PIK

        

11.36%

    05/05/14 5,†     7,806,145      8,105,847

Charter Communications, Inc. Term Loan 3rd Lien

        

7.86%

    03/01/14 5,†     3,000,000      2,997,891

Idearc, Inc.

        

8.00%

    11/15/16       2,200,000      2,233,000

Level 3 Financing, Inc.

        

9.25%

    11/01/14       1,500,000      1,522,500

Qwest Communications International, Inc. B

        

7.50%

    02/15/14       4,000,000      4,070,000

Univision Communications, Inc. 1st Lien Strip

        

7.61%

    03/15/14 5,†     750,000      740,733
           
          19,669,971
           

Consumer Discretionary — 1.44%

        

D.R. Horton, Inc.

        

5.62%

    01/15/16       4,115,000      3,737,671

Tribune - Bridge Unsecured Delayed Drawing Term Loan

        

0.00%

    12/31/08 5,†     2,000,000      2,005,000

Tribune 1st Lien Term Loan B

        

8.38%

    05/24/14 5,†     2,000,000      1,957,500
           
          7,700,171
           

Electric — 3.40%

        

Boston Generating LLC 1st Lien

        

5.92%

    12/19/13 5,†     2,994,155      3,009,958

Calpine Corp. Term Loan

        

7.61%

    03/29/09 5,†     1,000,000      1,002,396

Mackinaw Power LLC

        

6.30%

    10/31/23 3,†     1,500,000      1,515,469

Power Contract Financing LLC

        

6.26%

    02/01/10 3     3,265,659      3,288,032

Progress Energy, Inc.

        

5.81%

    01/15/10 2     1,809,000      1,814,872

Reliant Energy, Inc.

        

6.75%

    12/15/14       3,000,000      3,075,000

TPF Generation Holdings LLC 2nd Lien

        

9.61%

    12/15/14 5,†     1,000,000      1,017,321

TXU Energy Co. LLC

        

5.86%

    09/16/08 2,3     3,500,000      3,502,362
           
          18,225,410
           

Energy — 1.47%

        

Energy Partners Ltd.

        

9.75%

    04/15/14 3     1,000,000      997,500

James River Coal Co.

        

9.38%

    06/01/12       1,400,000      1,379,000

Sabine Pass LNG LP

        

7.25%

    11/30/13 3     2,000,000      1,990,000

7.50%

    11/30/16 3     1,000,000      997,500

Venoco, Inc. 2nd Lien Term Loan

        

9.36%

    05/08/14 5     2,500,000      2,525,000
           
          7,889,000
           

 

46

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Finance — 3.87%

        

AMBAC Financial Group, Inc.

        

6.15%

    02/15/37 2   $ 1,500,000    $ 1,348,686

Capital One Capital III

        

7.69%

    08/15/36       2,000,000      2,065,864

Kelson 1st Lien

        

0.00%

    03/16/13 5,†     5,000,000      4,958,750

Kelson 2nd Lien PIK

        

0.00%

    03/01/14 5,†     3,500,000      3,462,812

Lehman Brothers Holdings, Inc. (MTN)

        

11.00%

    11/07/16 2,†     2,339,000      2,275,145

Lehman Brothers Holdings, Inc. H (MTN)

        

0.00%

    06/20/16 2,†     1,099,000      1,098,231

12.50%

    11/30/10 2,†     809,000      750,752

Residential Capital LLC

        

6.46%

    05/22/09 2     300,000      298,760

7.19%

    04/17/09 2,3     4,490,000      4,471,793
           
          20,730,793
           

Gaming — 0.37%

        

Tropicana Entertainment

        

7.61%

    12/31/11 5,†     1,980,424      1,997,505
           

Health Care — 1.00%

        

Carestream Health, Inc. Term Loan

        

10.59%

    10/30/13 5,†     2,250,000      2,280,938

Community Health Systems, Inc. 1st Lien

        

7.61%

    07/25/14 5,†     1,000,000      1,002,344

HCA, Inc.

        

9.25%

    11/15/16 3     1,000,000      1,067,500

Universal Hospital Services, Inc.

        

8.76%

    06/01/15 2,3     1,000,000      1,005,000
           
          5,355,782
           

Insurance — 0.78%

        

Fairfax Financial Holdings Ltd.

        

6.88%

    04/15/08       1,250,000      1,256,250

Farmers Exchange Capital

        

7.05%

    07/15/28 3     1,000,000      1,015,807

Nationwide Mutual Insurance Co.

        

6.60%

    04/15/34 3     1,000,000      957,000

Travelers Cos., Inc. (The)

        

6.25%

    03/15/37 2     1,000,000      962,662
           
          4,191,719
           

Natural Gas — 0.83%

        

Southern Union Co.

        

7.20%

    11/01/66 2     4,425,000      4,452,966
           

Real Estate Investment Trust (REIT) — 0.44%

        

Health Care Property Investors, Inc.

        

7.07%

    06/08/15       500,000      520,472

HRPT Properties Trust

        

5.96%

    03/16/11 2     750,000      750,962

Shurgard Storage Centers, Inc.

        

7.75%

    02/22/11       1,000,000      1,068,632
           
          2,340,066
           

Retail — 0.18%

        

Mobile Mini, Inc.

        

6.88%

    05/01/15 3     1,000,000      975,000
           

Secured Assets — 0.17%

        

Ingress I Ltd.

        

7.38%

    03/30/40 3,†     1,000,000      908,109
           

Services — 0.40%

        

Rental Services Term Loan 2nd Lien

        

6.21%

    11/30/13 5,†     2,069,186      2,104,879
           

Transportation — 9.24%

        

Air 2 US A

        

8.03%

    10/01/20 3     2,960,035      3,065,486

American Airlines, Inc. 1999-1 A1

        

6.86%

    10/15/10       23,040      23,169

American Airlines, Inc. 2001-2 A1

        

6.98%

    10/01/12       83,916      84,912

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15       15,917,527      16,285,620

Continental Airlines, Inc. 2007-1

        

6.90%

    04/19/22       1,750,000      1,766,406

Delta Air Lines 2nd Lien

        

8.61%

    05/01/14 5,†     250,000      252,125

Delta Air Lines, Inc. 2001-1 A1

        

6.62%

    09/18/12 7     2,256,836      2,266,710

Delta Air Lines, Inc. 2001-1 A2

        

7.11%

    03/18/13 7     5,000,000      5,133,125

JetBlue Airways Corp. 2004-2 G1

        

5.74%

    08/15/16 2     1,828,169      1,829,933

Northwest Air Dip

        

7.34%

    05/21/12 5,†     4,000,000      4,006,540

Northwest Airlines, Inc. 2001-1 A1

        

7.04%

    10/01/23 7,8     2,667,916      2,756,290

NWA Trust A

        

9.25%

    06/21/14 7     126,354      130,460

Saint Acquisition Corp.

        

12.50%

    05/15/17 3     4,000,000      3,800,000

Swift Transportation Co. Term Loan

        

8.38%

    05/06/14 5,†     2,000,000      1,978,928

United Air Lines, Inc.

        

7.34%

    07/02/19 3,†     900,000      903,656

7.38%

    02/01/14 5,†     3,500,000      3,494,260

United Air Lines, Inc. 2000-2 A1

        

7.03%

    04/01/12       656,679      665,708

United Air Lines, Inc. 2001-1 A1

        

6.07%

    09/01/14       4,303      4,327

 

47

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

CORPORATES (continued)

        

Transportation (continued)

        

US Airways Group

        

7.86%

    03/15/14 5,†   $ 1,000,000    $ 1,003,958
           
          49,451,613
           

Total Corporates

        

(Cost $ 182,054,354)

           182,194,608
           

MORTGAGE-BACKED — 27.50%**

       

Commercial Mortgage-Backed — 3.66%

        

Bayview Commerical Asset Trust 2007-1 A1 (STEP)

        

5.54%

    03/25/37 2,3,†     5,794,481      5,786,362

Bear Stearns Commercial Mortgage Securities 2006-PW14 AM

        

5.24%

    12/11/38       10,000,000      9,529,001

Structured Asset Securities Corp. 1996-CFL H

        

7.75%

    02/25/28 3     787,914      804,170

Terra LNR 2006-1A D

        

6.12%

    06/15/17 2,3,†     1,000,000      999,990

Terra LNR 2006-1A E

        

6.99%

    06/15/17 2,3,†     2,500,000      2,499,976
           
          19,619,499
           

Non-Agency Mortgage-Backed — 16.16%

        

Banco de Credito Y Securitizacion SA 2001-1 AF

        

8.00%

    05/31/10 3,4,9,†     2,420,996      605,363

BHN I Mortgage Fund 2000-1 AF

        

8.00%

    03/31/11 3,4,†     41,747      10,439

Citigroup Commercial Mortgage Trust 2006-C4 AM

        

5.91%

    03/15/49 2     11,400,000      11,330,621

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 4,10,†     3,496,461      69,165

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 4,10,†     8,078,005      261,364

Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)

        

2.75%

    07/20/46 4,10     93,371,655      4,062,227

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 4,†     46,424,625      1,957,557

Countrywide Alternative Loan Trust NIM 2006-OA11 N1

        

6.00%

    09/25/46 3,†     1,097,110      1,093,866

CS First Boston Mortgage Securities Corp. 2005-C5 AM

        

5.10%

    08/15/38 2     9,655,000      9,183,320

FMAC Loan Receivables Trust 1998-CA A2

        

6.66%

    01/15/12 3     60,203      58,719

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 4,10,†     8,599,219      165,266

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,4,†     14,852,564      371,314

Harborview Mortgage Loan Trust 2005-12 X2A (IO)

        

0.61%

    10/19/35 2,4,†     31,323,929      288,767

Harborview Mortgage Loan Trust 2006-1 X1 (IO)

        

2.32%

    03/19/37 2,4,†     29,576,752      1,169,206

Harborview Mortgage Loan Trust 2006-4 X1 (IO)

        

2.64%

    05/19/47 2,4,†     61,413,248      2,485,317

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 4,10,†     3,493,604      69,872

IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B

        

5.72%

    08/25/34 2     1,157,302      1,160,434

LB-UBS Commercial Mortgage Trust 2006-C3 AM

        

5.71%

    03/15/39 2     13,145,000      13,011,318

Lehman XS Net Interest Margin Notes 2006-2N A1

        

7.00%

    02/27/46 3,†     2,423,214      2,423,441

Morgan Stanley Capital I 2006-HQ9 AM

        

5.77%

    07/12/44 2     10,000,000      9,900,320

Morgan Stanley Capital I 2006-IQ12 AM

        

5.37%

    12/15/43       11,000,000      10,537,934

Terwin Mortgage Trust NIM 2007-2 N1

        

7.50%

    04/25/38 3,†     3,811,581      3,697,240

Washington Mutual Mortgage Pass Through Certificates 2007-OA1 XPPP (IO)

        

0.64%

    02/25/47 4,10,†     245,807,497      3,465,886

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A

        

7.00%

    04/25/33       203,142      206,116

Washington Mutual, Inc. 2006-AR9 1XPP (IO)

        

0.53%

    08/25/46 4,10,†     326,605,740      3,396,700

Washington Mutual, Inc. 2007-0A3 CXPP (IO)

        

0.42%

    04/25/47 4,10,†     147,540,099      1,903,267

Washington Mutual, Inc. 2007-OA2 1XPPP (IO)

        

0.66%

    03/25/47 4,10,†     237,762,006      3,609,227
           
          86,494,266
           

U.S. Agency Mortgage-Backed — 7.68%

        

Fannie Mae 1993-80 S

        

4.35%

    05/25/23 2     27,820      26,303

Fannie Mae 1997-44 SB (IO)

        

2.78%

    06/25/08 2     81,674      1,197

Fannie Mae 2000-45 SA (IO)

        

2.63%

    12/18/30 2     4,519,961      311,318

 

48

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    

Principal

Amount

    Value

MORTGAGE-BACKED (continued)

        

U.S. Agency Mortgage-Backed (continued)

        

Fannie Mae 2001-42 SB

        

8.50%

    09/25/31 2   $ 3,041    $ 3,229

Fannie Mae 2003-107 SQ (IO)

        

2.33%

    05/25/33 2     741,092      34,663

Fannie Mae 2003-124 IO (IO)

        

5.25%

    03/25/31       1,202,164      50,193

Fannie Mae 2003-124 TS

        

9.80%

    01/25/34 2     62,603      68,497

Fannie Mae 2003-37 IG (IO)

        

5.50%

    05/25/32       2,906,782      521,679

Fannie Mae 2003-67 IH (IO)

        

5.00%

    01/25/25       1,042,640      30,341

Fannie Mae 2003-85 IP (IO)

        

5.50%

    12/25/28       135,000      15,273

Fannie Mae 2005-47 SL

        

7.50%

    06/25/35 2     1,701,775      1,671,551

Fannie Mae 2007-50 SE

        

1.43%

    06/25/37 2,†     49,165,312      2,051,189

Fannie Mae Pool 555312

        

7.15%

    01/01/33 2     779,635      793,190

Freddie Mac 1602 SN

        

10.09%

    10/15/23 2     14,590      15,551

Freddie Mac 2451 SP

        

5.24%

    05/15/09 2     11,014      10,824

Freddie Mac 2527 TI (IO)

        

6.00%

    02/15/32       930,779      139,950

Freddie Mac 2561 BX (IO)

        

5.00%

    05/15/17       2,144,550      226,134

Freddie Mac 2587 IH (IO)

        

5.00%

    08/15/25       2,058,130      69,376

Freddie Mac 2596 IJ (IO)

        

5.00%

    01/15/17       889,056      79,923

Freddie Mac 2642 BW (IO)

        

5.00%

    06/15/23       213,714      43,877

Freddie Mac 2657 LX (IO)

        

6.00%

    05/15/18       1,282,876      190,798

Freddie Mac 2692 EI (IO)

        

5.50%

    08/15/33       275,376      79,472

Freddie Mac 2764 CT

        

7.50%

    03/15/34 2     484,276      465,978

Freddie Mac 2764 SH

        

7.50%

    03/15/34 2     323,516      307,585

Freddie Mac 2827 JT

        

8.50%

    12/15/32 2     179,162      183,590

Freddie Mac 2835 IB (IO)

        

5.50%

    01/15/19       289,923      839

Freddie Mac 2856 ST

        

7.00%

    09/15/23 2     760,155      737,957

Freddie Mac 3132 FA

        

5.72%

    03/15/36 2     8,951,403      8,947,127

Freddie Mac 3145 GF

        

5.72%

    04/15/36 2     7,053,188      7,053,004

Freddie Mac 3148 CF

        

5.72%

    02/15/34 2     8,537,178      8,542,652

Freddie Mac 3242 SA (IO)

        

1.03%

    11/15/36 2     69,858,201      2,333,138

Freddie Mac 3260 AS (IO)

        

1.06%

    01/15/37 2     85,064,333      2,877,361

Freddie Mac 3280 SI (IO)

        

1.12%

    02/15/37 2     50,956,606      1,758,711

Freddie Mac 3289 SD (IO)

        

0.80%

    03/15/37 2,†     29,059,341      702,263

Ginnie Mae 2001-31 SJ

        

9.38%

    02/20/31 2     138,010      144,533

Ginnie Mae 2003-28 LI (IO)

        

5.50%

    02/20/32       243,698      34,348

Ginnie Mae 2003-58 IG (IO)

        

5.50%

    05/17/29       200,000      11,779

Ginnie Mae 2004-34 IA (IO)

        

5.50%

    12/20/31       552,792      17,012

Ginnie Mae 2004-8 SE

        

3.66%

    11/26/23 2     599,971      537,078
           
          41,089,483
           

Total Mortgage-Backed

        

(Cost $ 148,941,749)

           147,203,248
           

U.S. TREASURY SECURITIES — 0.30%

        

U.S. Treasury Notes — 0.30%

        

U.S. Treasury Notes

        

4.00%

    08/31/07       1,664,000      1,662,052
           

Total U.S. Treasury Securities

        

(Cost $ 1,662,023)

           1,662,052
           
           Shares     

PREFERRED STOCK — 0.29%

        

Automotive — 0.03%

        

Corts Trust for Ford Motor Co.

        

0.10%

    07/16/31       700      14,259

Preferred Plus Trust Ford Motor Co.

        

0.10%

    07/16/31       8,100      172,449
           
          186,708
           

Communications — 0.26%

        

Corts Trust for US West Communications

        

0.09%

    11/15/43       7,118      179,089

Preferred Plus Trust Citizens Communications Co.

        

0.10%

    10/01/46       12,100      308,490

Preferred Plus Trust Qwest Capital Funding

        

0.10%

    02/15/31       9,650      246,172

0.10%

    02/15/31       19,500      502,905

 

49

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

    Shares    Value

PREFERRED STOCK (continued)

         

Communications (continued)

         

Preferred Plus Trust Verizon Global Funding Corp.

         

0.10%

    12/01/30    6,100    $ 153,628
            
           1,390,284
            

Total Preferred Stock

         

(Cost $ 1,487,680)

            1,576,992
            
          Contracts     

PUT OPTIONS PURCHASED — 0.73%

         

Automotive — 0.05%

         

General Motors Corp., Put Strike $30, expires 01/19/08

         
      200      27,500

General Motors Corp., Put Strike $35, expires 01/19/08

         
      450      128,250

General Motors Corp., Put Strike $40, expires 01/19/08

         
      200      102,000
            
           257,750
            

Futures — 0.68%

         

90 Day Euro Future, Put Strike $94.75, Expires 12/22/07

         
      500      118,750

90 Day Euro Future, Put Strike $95, expires 12/22/07

         
      750      614,062

90 Day Euro Future, Put Strike Price $95, expires 12/22/07

         
      500      450,000

90 Day Euro Futures, Put Strike $94.50, expires 12/22/07

         
      1,500      431,250

90 Day Euro Futures, Put Strike $94.625, expires 03/22/08

         
      1,000      562,500

90 Day Euro Futures, Put Strike $95, expires 03/22/08

         
      1,000      825,000

90 Day Euro Futures, Put Strike $95, expires 09/22/07

         
      750      632,813
            
           3,634,375
            

Total Put Options Purchased

         

(Cost $ 4,338,425)

            3,892,125
            

 

    

National

Amount

(000’s)

    Value

PURCHASED SWAPTIONS — 0.26%

      

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    $ 143,773

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 4.69% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

      
   38,868      155,899

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 4.81% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

      
   20,318      83,304

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 4.87% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

      
   44,807      210,911

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 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

      
   40,261      214,358

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 4.87% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

      
   5,222      84,267

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 5.06% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

      
   2,629      55,998

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 5.10% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

      
   4,988      121,241

 

50

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

         

Notional

Amount

(000’s)

     Value  

PURCHASED SWAPTIONS (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 5.20% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

   

    
      5,811     $ 161,177  

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 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

   

    
      5,312       169,286  
           

Total Purchased Swaptions

      

(Cost $2,005,306)

         1,400,214  
           

Issues

  

Maturity

Date

    

Principal

Amount

        

SHORT TERM INVESTMENTS — 4.39%

      

Commercial Paper — 1.66%

      

Chariot Funding LLC

      

5.30%11

     07/23/07     $ 2,955,000       2,945,881  

Falcon Asset Acquisition Corp.

      

5.31%11

     07/26/07       5,980,000       5,958,831  
           
        8,904,712  
           

Money Market Fund — 2.30%

      

Bank of NY Cash Reserves Fund

       1,566,217       1,566,217  

JPMorgan Prime Money Market Fund

       10,715,362       10,715,362  
           
        12,281,579  
           

U.S. Agency Discount Notes — 0.43%

      

Fannie Mae

      

5.14%11

     09/19/07 6     153,000       151,296  

Freddie Mac

      

5.28%11

     09/17/07 6     2,161,000       2,137,543  
           
        2,288,839  
           

Total Short Term Investments

      

(Cost $ 23,474,794)

         23,475,130  
           

Total Investments — 112.34%

      

(Cost $ 606,945,283)1

         601,359,769  
           

Liabilities in Excess of Other

      

Assets — (12.34)%

         (66,047,744 )
           

NET ASSETS — 100.00%

       $ 535,312,025  
           
    Shares     Proceeds     Value  

SECURITIES SOLD SHORT

      

AMR Corp.

   $ (3,565 )   $ (28,671 )   $ (93,938 )

Continental Airlines, Inc., Cl. B

     (33,041 )     (403,761 )     (1,119,098 )
                 

Total Securities Sold Short

     $ (432,432 )   $ (1,213,036 )
                 

Counterparty

   Maturity
Date		    

Principal

Amount

    

Net Closing

Amount

  

REVERSE REPURCHASE AGREEMENTS

      

Barclays Bank PLC, 5.28% (Collateralized by $24,541,769 Freddie Mac 3132 FA, 3145 GF and 3148 CF, 5.72%, maturity 02/15/34-04/15/36, market value $24,542,783)

     07/18/07     $ (24,164,000 )   $ (24,164,000 )

Goldman Sachs Group, Inc., 5.39% (Collateralized by $11,400,000 (Market Value $11,330,621) Citigroup Commercial Mortgage Trust 2006-C4 AM, $13,145,000 (Market Value 13,011,318) LB-UBS Commercial Mortgage Trust 2006-C3 AM, $10,000,000 (Market Value $9,900,320) Morgan Stanley Capital I 2006-HQ9 AM and $9,173,000 (Market Value $8,704,288) Morgan Stanley Capital I 2006-IQ12 AM, 5.37%-5.91% due 03/15/39-03/15/49

     07/27/07       (40,200,000 )     (40,200,000 )
                 

Total Reverse Repurchase Agreements

     $ (64,364,000 )   $ (64,364,000 )
                 

Issues

   Contracts    

Premiums

Received

     Value  

WRITTEN PUT OPTIONS

      

90 Day Euro Future, Written Strike $95, expires 12/22/07

     (750 )   $ (290,000 )   $ (675,000 )

90 Day Euro Futures, Written Strike $94.125, expires 03/22/08

     (1,000 )     (216,250 )     (175,000 )

90 Day Euro Futures, Written Strike $94.25, expires 12/22/07

     (3,000 )     (592,500 )     (412,500 )

90 Day Euro Futures, Written Strike $94.375, expires 03/22/08

     (1,000 )     (385,000 )     (325,000 )

90 Day Euro Futures, Written Strike $94.75, expires 09/22/07

     (750 )     (129,375 )     (192,188 )

 

51

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Contracts    

Premiums

Received

     Value  

WRITTEN PUT OPTIONS (continued)

 

90 Day Euro Futures, Written Strike $94.875, expires 09/22/07

    (750 )   $ (260,625 )   $ (403,125 )

90 Day Euro Futures, Written Strike $95, expires 03/22/08

    (1,000 )     (772,500 )     (1,081,250 )

90 Day Euro Futures, Written Strike $95, expires 12/22/07

    (750 )     (54,375 )     (89,062 )

90 Day Euro Futures, Written Strike $95, expires 12/22/07

    (500 )     (320,625 )     (409,375 )

General Motors Corp., Written Strike $7.50, expires 01/19/08

    (505 )     (74,232 )     (2,525 )
                  

Total Written Put Options

      $ (3,095,482 )   $ (3,765,025 )
                  

 

Issues

   

Notional

Amount

(000’s)

   

Premiums

Received

     Value  

WRITTEN SWAPTIONS

        

Option to enter into a 10-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% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.

        
   20,000    $ (450,000 )   $ (214,514 )

Option to enter into a 10-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 5.01% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.

        
   19,000      (440,800 )     (286,294 )

Option to enter into a 10-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 5.02% annually; Option Expiration Date of 01/26/10. Counterparty: Citigroup Inc.

        
   10,000      (205,556 )     (138,000 )

Option to enter into a 10-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 5.14% annually; Option Expiration Date of 05/24/10. Counterparty: Barclays Capital, Inc.

        
   22,000      (472,645 )     (379,322 )

Option to enter into a 10-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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.

        
   20,000      (435,815 )     (377,498 )
                   

Total Written Swaptions

      $ (2,004,816 )   $ (1,395,628 )
                   

 

Contracts

        

Unrealized

Appreciation/

(Depreciation)

  

FUTURES CONTRACTS: SHORT POSITIONS

 

84

    Euro Ninety Day, March 2008    $ 53,500  

94

    Euro Ninety Day, June 2008      62,750  

94

    Euro Ninety Day, September 2008      72,875  

94

    Euro Ninety Day, December 2008      81,650  

94

    Euro Ninety Day, March 2009      91,175  

94

    Euro Ninety Day, June 2009      96,800  

94

    Euro Ninety Day, September 2009      101,525  

94

    Euro Ninety Day, December 2009      103,850  

10

    Euro Ninety Day, September 2010      12,500  

14

    U.S. Treasury Ten Year Note, September 2007      (6,344 )

25

    U.S. Treasury Thirty Year Note, September 2007      17,188  
           
  

Net unrealized appreciation

    $ 687,469  
           

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

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% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   01/02/17    $ 5,000    $ (183,955 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.40% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   02/06/17      7,000      (74,570 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.75% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   03/09/17      8,000      (116,444 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.34% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   04/10/17      6,000      (315,288 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.

         
   04/19/17      7,000      (405,893 )

The Fund pays a floating rate based on 3-month USD Libor and the Fund receives from the counterparty a fixed rate of 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.

         
   05/09/17      2,000      (130,723 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 8.68% annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/16/17      8,000      202,382  

 

52

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE (continued)

         

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17    $ 16,000    $ (50,900 )

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      3,330      20,448  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 9.15% annually. Counterparty: Merrill Lynch & Co., Inc.

         
   05/25/17      5,000      (132,609 )

The Fund pays a fixed rate of 5.42% semi-annually and the Fund receives a floating rate based on 3-month USD LIBOR. Counterparty: Credit Suisse Group

         
   05/25/17      59,940      1,160,004  

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 9.28% annually. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/05/17      5,000      (675 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate of 7.07% semi-annually. Counterparty: Barclays Capital,

         
        
   12/27/21      7,000      (342,565 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22      3,000      (119,396 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.

         
   03/26/22      5,930      (427,390 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      5,000      (203,530 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
        
   06/04/22      2,000      (87,612 )

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22      1,100      (18,532 )
              
         $ (1,227,248 )
              

SWAPS: CREDIT DEFAULT (PURCHASED)

         

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    $ (132,933 )

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, 7.70% due 07/30/10. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/11      3,000      (21,829 )

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 any issue in the Dow Jones CDX Series 7 IG, due 12/20/11. Counterparty: Lehman Brothers Holdings, Inc.

         
   12/20/11      15,500      (5,534 )

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: Credit Suisse Group

         
   12/20/11      2,000      1,836  

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      (32,068 )

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 any issue in the Dow Jones CDX Series 8, due 06/20/12. Counterparty: Credit Suisse Group

         
   06/20/12      11,500      133,742  

Pay a fixed rate equal to 2.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series 8, due 06/20/12. Counterparty: Deutsche Bank AG

         
   06/20/12      4,000      88,223  

Pay a fixed rate equal to 0.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX Series 8, due 06/20/12. Counterparty: Credit Suisse Group

         
   06/20/12      22,500      63,607  

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 PHM, 7.88% due 08/01/11. Counterparty: UBS AG

         
   12/20/12      2,000      41,303  

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14      3,000      22,057  

Pay a fixed rate equal to 1.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the DHI, 5.38% due 06/15/12. Counterparty: Credit Suisse Group

         
   06/20/14      4,000      48,816  

 

53

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: CREDIT DEFAULT (PURCHASED) (continued)

         

Pay a fixed rate equal to 0.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GCI, 6.38% due 04/01/12. Counterparty: Credit Suisse Group

         
   06/20/14    $ 5,000    $ 12,220  

Pay a fixed rate equal to 0.43% and the Fund will receive from the counterparty at par including interest accrued in the event of default of GS, 6.60% due 01/15/12. Counterparty: Credit Suisse Group

         
   09/20/14      2,500      (30 )

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, 5.90% due 05/25/34. Counterparty: Deutsche Bank AG

         
   07/25/34      5,000      (5,256 )

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      (10,656 )

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 M1, 5.84% due 08/25/34. Counterparty: Deutsche Bank AG

         
   08/25/34      5,000      (13,783 )

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 B3, 7.22% due 01/25/35. Counterparty: Deutsche Bank AG

         
   01/25/35      233      (1,262 )

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      6,162      1,841,543  

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      1,396      417,201  
              
         $ 2,447,197  
              

SWAPS: CREDIT DEFAULT (WRITTEN)

         

Receive a fixed rate equal to 1.70% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the F 7, 13.00% due 06/20/08. Counterparty: UBS AG

         
   06/20/08    $ 5,000    $ 16,695  

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      2,146      (11,162 )

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Citigroup Inc.

         
   08/25/37      3,950      (1,782,439 )

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.

         
   08/25/37      4,424      (1,996,331 )
              
         $ (3,773,237 )
              

Notes:

1

Cost for financial reporting purposes is $606,945,283 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 3,394,614  

Gross unrealized depreciation

      (8,980,128 )
        

Net unrealized (depreciation)

    $ (5,585,514 )
        

 

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $207,718,984 representing 38.80% 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		  
12/19/06    Boston Generating LLC 1st Lien, 5.92%, 12/19/13    $ 2,994,155    $ 3,009,958    0.56 %
04/14/07    Calpine Corp. Term Loan, 7.61%, 03/29/09      1,000,000      1,002,396    0.19 %
04/12/07    Caresteam Health, Inc. Term Loan, 10.59%, 10/30/13      2,270,378      2,280,938    0.43 %
06/30/06    Cebridge 2nd Lien PIK, 11.36%, 05/05/14      8,011,073      8,105,847    1.51 %
03/15/07    Charter Communications, Inc. Term Loan 3rd Lien, 7.86%, 03/01/14      3,001,222      2,997,891    0.56 %
06/28/07    Community Health Systems, Inc. 1st Lien, 7.61%, 07/25/14      1,000,000      1,002,344    0.19 %
01/08/07    Delphi Dip 2nd Lien, 8.13%, 12/31/07      5,000,000      5,015,125    0.94 %
04/25/07    Delta Air Lines 2nd Lien, 8.61%, 05/01/14      250,000      252,125    0.05 %
03/07/07    Kelson 1st Lien, 0.00%, 03/16/13      4,987,296      4,958,750    0.93 %
03/07/07    Kelson 2nd Lien PIK, 0.00%, 03/01/14      3,469,708      3,462,812    0.64 %
08/09/06    Murray Bank Loan 3rd Lien, 17.68%, 07/28/11      1,022,672      1,068,692    0.20 %
08/21/06    Northwest Air Dip, 7.34%, 05/21/12      4,000,000      4,006,540    0.75 %
05/29/06    Rental Services Term Loan 2nd Lien, 6.21%, 11/30/13      2,110,133      2,104,879    0.39 %

 

54

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Date of
Purchase		   

Security

    Amortized
Cost		    Value    % of
TNA		  
05/14/07    Swift Transportation Co. Term Loan, 8.38%, 05/06/14      2,000,000      1,978,928    0.37 %
12/21/06    TPF Generation Holdings LLC 2nd Lien, 9.61%, 12/15/14      1,000,000      1,017,321    0.19 %
05/24/07    Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08      2,000,000      2,005,000    0.37 %
05/07/07    Tribune 1st Lien Term Loan B, 8.38%, 05/24/14      1,985,000      1,957,500    0.37 %
01/04/07    Tropicana Entertainment, 7.61%, 12/31/11      1,980,424      1,997,505    0.37 %
02/01/07    United Air Lines, Inc., 7.38%, 02/01/14      3,500,000      3,494,260    0.65 %
03/16/07    Univision Communications, Inc. 1st Lien Strip, 7.61%, 03/15/14      750,000      740,733    0.14 %
03/23/07    US Airways Group, 0.00%, 03/15/14      1,000,000      1,003,958    0.19 %
05/08/07    Venoco, Inc. 2nd Lien Term Loan, 9.36%, 05/08/14      2,500,000      2,525,000    0.47 %
                       
      $ 55,832,061    $ 55,988,502    10.46 %
                       

 

6

Securities, or a portion there of, pledged as collateral with a value of $1,103,790 on 752 Short Euro Ninety Day futures contracts, 14 Short U.S. Treasury Ten Year Note futures contracts and 25 Short U.S. Treasury 30 Year Note futures contracts.

7

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

8

Non-income producing security.

9

Foreign domiciled securities.

10

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

11

Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $237,965,763 which is 44.45% 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

 

55

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

   

Maturity

Date

     Principal
Amount		    Value

ASSET-BACKED SECURITIES — 17.58%**

        

ACE Securities Corp. 2004-FM1 B1A

        

8.82%

    09/25/33 2   $ 17,188    $ 3,660

ACE Securities Corp. 2006-SL1 A

        

5.48%

    09/25/35 2     819,709      820,300

Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 (STEP)

        

5.82%

    12/28/40 2,3,†     2,400,000      2,400,055

Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)

        

8.04%

    08/25/30       573,561      576,022

Carrington Mortgage Loan Trust 2006-NC1 A2

        

5.48%

    01/25/36 2     2,200,000      2,201,776

Castle Trust 2003-1AW A1

        

6.07%

    05/15/27 2,3     767,826      768,068

Conseco Finance 2002-C BF2

        

8.00%

    06/15/32 3,†     604,939      575,047

Countrywide Asset-Backed Certificates 2004-1 M2

        

5.87%

    03/25/34 2     2,250,000      2,252,108

Countrywide Asset-Backed Certificates 2005-13 AF1

        

5.45%

    04/25/36 2     376,709      376,973

Embarcadero Aircraft Securitization Trust 2000-A A1

        

5.80%

    08/15/25 2,3     835,000      693,572

Genesis Funding Ltd. 2006-1A G1

        

5.56%

    12/19/32 2,3,†     1,750,000      1,746,181

GMAC Mortgage Corp. Loan Trust 2000-HE2 A1

        

5.76%

    06/25/30 2     758,982      759,679

GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)

        

6.05%

    04/25/27       144,675      144,290

Green Tree Financial Corp. 1999-3 A5

        

6.16%

    02/01/31       35      35

Green Tree Home Improvement Loan Trust 1995-C B2

        

7.60%

    07/15/20       109,161      104,662

Green Tree Home Improvement Loan Trust 1995-F B2

        

7.10%

    01/15/21       210,256      199,607

Green Tree Home Improvement Loan Trust 1996-B A

        

6.45%

    10/15/15 †     3,671      3,671

Green Tree Recreational, Equipment & Consumer Trust 1996-D CTFS

        

7.24%

    12/15/22       133,363      116,067

Greenpoint Mortgage Funding Trust 2005-HE2 A1

        

5.52%

    04/15/30 2     83,393      83,458

GSAMP Trust 2004-FM1 M2

        

6.72%

    11/25/33 2     1,216,887      1,219,399

Home Equity Asset Trust 2007-3 2A2

        

5.50%

    08/25/37 2     2,400,000      2,402,756

HPSC Equipment Receivables LLC 2003-1A F

        

13.95%

    07/20/11 3,†     65,614      65,983

IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1

        

6.45%

    05/25/33 2     1,064,843      1,066,231

IndyMac Residential Asset Backed Trust 2006-A A2

        

5.47%

    03/25/36 2     2,305,000      2,307,055

Inman Square Funding Ltd. 2005-2A I

        

5.80%

    10/06/40 2,3,†     2,500,000      2,500,001

MASTR Asset Backed Securities Trust 2006-NC1 A2

        

5.46%

    01/25/36 2     2,265,000      2,266,917

Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)

        

7.50%

    09/25/23       88,019      87,714

Oakwood Mortgage Investors, Inc. 2002-B A1

        

5.55%

    05/15/13 2     156,469      139,746

Option One Mortgage Loan Trust 2003-2 A2

        

5.62%

    04/25/33 2     128,493      128,667

Renaissance Home Equity Loan Trust 2007-1 N

        

9.79%

    04/25/37 3,†     765,053      764,187

Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1

        

5.43%

    03/25/36 2     1,039,330      1,039,977

Structured Asset Receivables Trust 2003-1

        

5.86%

    01/21/10 2,3,†     851,802      847,551

Structured Asset Receivables Trust 2003-2

        

5.76%

    01/21/09 2,3,†     420,101      418,004

Structured Asset Receivables Trust 2005-1

        

5.87%

    01/21/15 3,†     2,358,790      2,352,917

Structured Settlements Fund 1999-A A

        

7.25%

    12/20/15 3,†     26,839      26,842

Terwin Mortgage Trust 2004-13AL 2PX (IO)

        

0.34%

    08/25/34 3,4,†     17,312,856      241,144

Terwin Mortgage Trust 2005-11 1A1A (STEP)

        

4.50%

    11/25/36 3     148,546      147,887

Terwin Mortgage Trust 2005-7SL A1

        

5.59%

    07/25/35 2,3     249,023      249,258

Terwin Mortgage Trust 2006-8 2A1

        

4.50%

    08/25/37 2,3     1,546,328      1,523,832

UCFC Home Equity Loan 1998-D MF1

        

6.91%

    04/15/30       457,487      456,698

Zermatt CBO Ltd. 1A A

        

5.87%

    09/01/10 2,3,†     24,794      24,795
           

Total Asset-Backed Securities

        

(Cost $34,492,135)

           34,102,792
           

 

56

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

CORPORATES — 27.55%*

        

Automotive — 3.02%

        

Delphi Dip 2nd Lien

        

8.13%

    12/31/07 5,†   $ 1,000,000    $ 1,003,025

Ford Motor Credit Co. LLC

        

6.93%

    01/15/10 2     2,060,000      2,034,019

8.11%

    01/13/12 2     766,000      764,774

GMAC LLC

        

7.56%

    12/01/14 2     2,028,000      2,051,357
           
          5,853,175
           

Banking — 3.81%

        

Banponce Trust I

        

8.33%

    02/01/27       900,000      937,467

CS First Boston/London

        

0.00%

    03/24/10 2,3,†     1,322,000      1,221,528

0.00%

    03/24/10 2,3     522,000      482,328

JPMorgan Chase Bank NA

        

7.59%

    03/28/22 2,†     370,000      342,509

MBNA Capital A

        

8.28%

    12/01/26       800,000      832,915

Popular North America, Inc.

        

5.71%

    12/12/07 2     915,000      916,477

Roslyn Bancorp, Inc.

        

5.75%

    11/15/07       1,200,000      1,196,730

State Street Institutional Capital B

        

8.04%

    03/15/27 3     1,410,000      1,468,378
           
          7,398,332
           

Communications — 1.33%

        

Cebridge 2nd Lien

        

9.86%

    05/05/14 †     1,000,000      1,027,569

Comcast LCI Holdings

        

7.63%

    02/15/08       1,000,000      1,011,700

Dex Media East LLC/Dex Media East Finance Co.

        

12.13%

    11/15/12       500,000      539,375
           
          2,578,644
           

Consumer Discretionary — 0.50%

        

Tribune 1st Lien Term Loan B

        

8.38%

    05/24/14 5,†     1,000,000      978,750
           

Consumer Products — 0.52%

        

SABMiller PLC

        

5.66%

    07/01/09 2,3     1,000,000      1,002,323
           

Electric — 4.66%

        

Dominion Resources, Inc. B

        

5.54%

    11/14/08 2     1,750,000      1,752,424

East Coast Power LLC

        

6.74%

    03/31/08       431,662      434,278

Entergy Gulf States, Inc.

        

6.11%

    12/08/08 2,3     1,500,000      1,504,529

Florida Power Corp.

        

5.76%

    11/14/08 2     1,430,000      1,432,534

Power Contract Financing LLC

        

6.26%

    02/01/10 3     581,287      585,270

Reliant Energy, Inc.

        

6.75%

    12/15/14       700,000      717,500

TECO Energy, Inc.

        

7.36%

    05/01/10 2     800,000      816,025

TXU Electric Delivery Co.

        

5.74%

    09/16/08 2,3     1,800,000      1,801,113
           
          9,043,673
           

Finance — 4.31%

        

Countrywide Financial Corp. B (MTN)

        

5.58%

    03/24/09 2     1,400,000      1,397,582

Goldman Sachs Group, Inc. (The)

        

5.56%

    03/02/10 2     812,000      815,203

Kelson 1st Lien

        

0.00%

    03/16/13 5,†     1,000,000      991,750

Lehman Brothers Holdings, Inc. (MTN)

        

5.58%

    07/18/11 2     620,000      621,407

Lehman Brothers Holdings, Inc. I (MTN)

        

5.59%

    01/12/12 2     1,160,000      1,159,935

Residential Capital LLC

        

6.46%

    05/22/09 2     795,000      791,714

7.19%

    04/17/09 2,3     1,190,000      1,185,175

Toyota Motor Credit Corp. (MTN)

        

8.00%

    10/24/13 2,†     1,458,000      1,397,493
           
          8,360,259
           

Food — 0.44%

        

Corn Products International, Inc.

        

8.25%

    07/15/07       850,000      851,154
           

Health Care — 1.68%

        

Cardinal Health, Inc.

        

5.63%

    10/02/09 2,3     1,245,000      1,246,397

Community Health Systems, Inc. 1st Lien

        

7.61%

    07/25/14 5,†     1,000,000      1,002,344

HCA Term Loan B

        

7.61%

    11/17/13 5,†     997,500      1,003,052
           
          3,251,793
           

Natural Gas — 0.72%

        

Sempra Energy

        

5.83%

    05/21/08 2     1,400,000      1,400,700
           

Real Estate Investment Trust (REIT) — 3.34%

        

Developers Diversified Realty Corp.

        

3.88%

    01/30/09       1,300,000      1,266,890

First Industrial LP

        

5.25%

    06/15/09       405,000      402,247

Health Care Property Investors, Inc. (MTN)

        

5.81%

    09/15/08 2     1,800,000      1,800,807

Highwoods Properties, Inc.

        

7.13%

    02/01/08       1,135,000      1,144,434

 

57

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

CORPORATES (continued)

        

Real Estate Investment Trust (REIT) (continued)

        

HRPT Properties Trust

        

5.96%

    03/16/11 2   $ 604,000    $ 604,774

Summit Properties Partnership LP

        

7.20%

    08/15/07       1,250,000      1,252,596
           
          6,471,748
           

Transportation — 3.22%

        

Air 2 US A

        

8.03%

    10/01/20 3     476,397      493,369

American Airlines, Inc. 2002-1 G

        

5.98%

    03/23/09 2     567,259      568,447

Continental Airlines, Inc. 1997-1 A

        

7.46%

    04/01/15       925,053      946,445

Delta Air Lines, Inc. 2001-1 A1

        

6.62%

    09/18/12 6     1,733,028      1,740,610

Northwest Air Dip

        

7.34%

    05/21/12 5,†     1,000,000      1,001,635

United Air Lines, Inc.

        

7.38%

    02/01/14 5,†     1,000,000      998,360

United Air Lines, Inc. 2000-2 A1

        

7.03%

    04/01/12       493,708      500,496
           
          6,249,362
           

Total Corporates

        

(Cost $ 53,466,450)

           53,439,913
           

MORTGAGE-BACKED — 29.97%**

        

Commercial Mortgage-Backed — 7.40%

        

Bayview Commercial Asset Trust 2004-1 A

        

5.68%

    04/25/34 2,3,†     2,282,155      2,283,591

Bayview Commercial Asset Trust 2004-2 A (STEP)

        

5.75%

    08/25/34 2,3,†     2,233,456      2,237,650

Bayview Commercial Asset Trust 2005-2A A1 (STEP)

        

5.63%

    08/25/35 2,3     1,030,946      1,035,100

Bayview Commercial Asset Trust 2007-3 A1

        

5.56%

    07/25/37 2,3,†     3,453,046      3,453,068

Bayview Commerical Asset Trust 2007-1 A1 (STEP)

        

5.54%

    03/25/37 2,3,†     3,090,390      3,086,060

Terra LNR 2006-1A D

        

6.12%

    06/15/17 2,3,†     1,500,000      1,499,986

Terra LNR 2006-1A E

        

6.99%

    06/15/17 2,3,†     750,000      749,993
           
          14,345,448
           

Non-Agency Mortgage-Backed — 13.73%

        

Alliance Bancorp Trust 2007-OA1 A1

        

5.56%

    07/25/37 2,†     3,067,691      3,067,269

Chase Mortgage Finance Corp. 2007-A2 2A3

        

4.24%

    07/25/37 2,†     2,670,000      2,642,466

Chevy Chase Mortgage Funding Corp. 2004-1A A1

        

5.60%

    01/25/35 2,3,†     1,218,934      1,219,313

Chevy Chase Mortgage Funding Corp. 2005-2A A1 (STEP)

        

5.50%

    05/25/36 2,3,†     1,470,276      1,470,276

Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41

        

5.14%

    02/25/34 2     807,832      792,518

Countrywide Alternative Loan Trust 2005-14 4X (IO)

        

1.72%

    05/25/35 4,7,†     2,278,943      45,081

Countrywide Alternative Loan Trust 2005-27 2A1

        

6.38%

    08/25/35 2,†     1,224,756      1,229,242

Countrywide Alternative Loan Trust 2005-59 1A1

        

5.65%

    11/20/35 2     1,408,038      1,413,885

Countrywide Alternative Loan Trust 2005-59 2X (IO)

        

2.18%

    11/20/35 4,7,†     4,039,002      130,682

Countrywide Alternative Loan Trust 2005-61 2A1

        

5.60%

    12/25/35 2     681,363      682,424

Countrywide Alternative Loan Trust 2005-72 A1 (STEP)

        

5.59%

    01/25/36 2     1,163,056      1,163,709

Countrywide Alternative Loan Trust 2006-OA12 A2

        

5.53%

    09/20/46 2     2,585,226      2,594,443

Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)

        

2.64%

    05/20/46 4,†     6,701,738      282,588

Countrywide Alternative Loan Trust NIM 2006-OA11 N1

        

6.00%

    09/25/46 3,†     436,053      434,764

Harborview Mortgage Loan Trust 2005-1 X (IO)

        

1.86%

    03/19/35 4,7,†     3,116,032      59,886

Harborview Mortgage Loan Trust 2005-10 X (IO)

        

1.98%

    11/19/35 2,4,†     4,272,452      106,811

IndyMac Index Mortgage Loan Trust 2004-AR12 A1

        

5.71%

    12/25/34 2     682,422      686,131

IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)

        

0.48%

    12/25/34 4,7,†     2,211,772      44,235

IndyMac Index Mortgage Loan Trust 2004-AR7 A2

        

5.75%

    09/25/34 2     651,213      653,977

MASTR Seasoned Securities Trust 2004-1 4A1

        

5.34%

    10/25/32 2     697,181      706,639

 

58

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Maturity
Date		     Principal
Amount		    Value

MORTGAGE-BACKED (continued)

        

Non-Agency Mortgage-Backed (continued)

        

MASTR Seasoned Securities Trust 2005-1 4A1

        

5.81%

    10/25/32 2   $ 840,246    $ 848,325

Residential Accredit Loans, Inc. 2002-QS17 NB1

        

6.00%

    11/25/32       106,607      106,445

Residential Asset Mortgage Products, Inc. 2003-SL1 A11

        

7.13%

    03/25/16       495,942      501,550

Structured Asset Securities Corp. 2002-5A 6A

        

6.29%

    04/25/32 2     25,452      25,386

Summit Mortgage Trust 2000-1 B5

        

6.60%

    12/28/12 2,3,†     328      328

Terwin Mortgage Trust NIM 2007-2 N1

        

7.50%

    04/25/38 3,†     1,982,022      1,922,565

Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A

        

5.97%

    05/25/46 2,†     2,746,113      2,747,400

Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A

        

7.00%

    04/25/33       467,226      474,066

Washington Mutual, Inc. 2002-AR18 A

        

4.11%

    01/25/33 2     455,402      452,378

Washington Mutual, Inc. 2005-AR2 2A22

        

5.54%

    01/25/45 2     133,755      133,854
           
          26,638,636
           

U.S. Agency Mortgage-Backed — 8.84%

        

Fannie Mae

        

5.50%

    07/25/22       6,342,000      6,247,859

Fannie Mae 1993-95 SB

        

15.05%

    06/25/08 2     1,169      1,216

Fannie Mae 1997-91 SL (IO)

        

5.36%

    11/25/23 2     466,772      70,212

Fannie Mae 2001-60 JZ

        

6.00%

    03/25/31       33,013      32,954

Fannie Mae 2003-37 IG (IO)

        

5.50%

    05/25/32       708,971      127,239

Fannie Mae 2003-62 IG (IO)

        

5.00%

    10/25/31       1,000,000      318,566

Fannie Mae 2003-91 IQ (IO)

        

5.50%

    06/25/26       595,264      31,525

Fannie Mae 2006-B2 AB

        

5.50%

    05/25/14       3,108,160      3,090,172

Fannie Mae G-36 ZB

        

7.00%

    11/25/21       4,921      5,093

Fannie Mae Pool 646884

        

5.50%

    05/01/32 2     401,274      403,102

Fannie Mae Pool 887714

        

6.14%

    08/01/36 2     2,598,694      2,621,620

Freddie Mac 2 L

        

8.00%

    11/25/22       44,573      45,923

Freddie Mac 2080 PJ

        

6.50%

    08/15/28       669,272      680,295

Freddie Mac 2535 LI (IO)

        

5.50%

    08/15/26       160,283      3,923

Freddie Mac Pool 1L0113

        

6.64%

    05/01/35 2     873,831      901,373

Freddie Mac Pool 788498

        

7.47%

    02/01/30 2     769,008      787,038

Freddie Mac Pool 847288

        

5.09%

    05/01/34 2     1,271,500      1,280,326

Ginnie Mae 2004-34 IA (IO)

        

5.50%

    12/20/31       660,451      20,325

Ginnie Mae II Pool 80968

        

6.00%

    07/20/34 2     485,011      488,367
           
          17,157,128
           

Total Mortgage-Backed

        

(Cost $ 58,516,848)

           58,141,212
           

U.S. AGENCY SECURITIES — 15.80%

        

Fannie Mae

        

4.88%

    08/27/07       7,590,000      7,583,670

5.00%

    09/15/08       2,170,000      2,163,642

5.20%

    11/20/09       2,760,000      2,748,879

5.25%

    01/11/10       1,790,000      1,786,413

5.38%

    02/01/10       2,990,000      2,987,841

Federal Home Loan Bank

        

5.51%

    04/30/09       1,640,000      1,640,069

5.55%

    06/01/09       1,785,000      1,785,302

Freddie Mac

        

4.50%

    08/22/07       5,005,000      4,998,008

5.13%

    08/14/08       1,115,000      1,112,629

5.25%

    01/11/10       3,849,000      3,840,655
           

Total U.S. Agency Securities

        

(Cost $ 30,668,439)

           30,647,108
           

U.S. TREASURY SECURITIES — 0.28%

        

U.S. Treasury Notes

        

4.00%

    08/31/07       552,000      551,354
           

Total U.S. Treasury Securities

        

(Cost $ 551,403)

           551,354
           
           Shares     

PREFERRED STOCK — 0.31%

        

Finance — 0.31%

        

Woodbourne Pass-Through Trust

        

6.42%

    12/31/49 2,3     6      603,000
           

Total Preferred Stock

        

(Cost $ 600,000)

           603,000
           

 

59

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

Issues

    Contracts    Value

CALL OPTIONS PURCHASED — 0.03%

      

Futures — 0.03%

      

90 Day Euro Futures, Call Strike $94.875, expires 12/22/07

      
   360    $ 60,750
         

Total Call Options Purchased

      

(Cost $ 66,400)

         60,750
         

PUT OPTIONS PURCHASED — 0.13%

      

Futures — 0.13%

      

90 Day Euro Futures, Put Strike $95, expires 09/22/07

      
   300      253,125
         

Total Put Options Purchased

      

(Cost $ 207,000)

         253,125
         

 

    

Maturity

Date

   

Principal

Amount

       

SHORT TERM INVESTMENTS — 11.87%

         

Commercial Paper — 5.58%

         

Chariot Funding LLC

         

5.30%8

    07/23/07    $ 1,505,000      1,500,347  

CIT Group

         

5.28%8

    07/20/07      2,500,000      2,493,400  

DaimlerChrysler NA Holding Corp.

         

5.35%8

    07/12/07      4,740,000      4,732,956  

National Rural Utilities Cooperative Finance Corp.

         

5.24%8

    07/09/07      2,100,000      2,097,860  
              
           10,824,563  
              

Money Market Fund — 2.90%

         

JPMorgan Prime Money Market Fund

         5,626,081      5,626,081  
              

U.S. Agency Discount Notes — 3.39%

         

Federal Home Loan Bank

         

5.13%8

    07/13/07      5,945,000      5,935,763  

Freddie Mac

         

5.28%8

    09/17/079      167,000      165,187  

5.28%8

    09/17/07      495,000      489,627  
              
           6,590,577  
              

Total Short Term Investments

         

(Cost $ 23,041,051)

            23,041,221  
              

Total Investments – 103.52%

         

(Cost $ 201,609,726)1

            200,840,475  
              

Liabilities in Excess of Other Assets – (3.52)%

            (6,832,790 )
              

Net Assets – 100.00%

          $ 194,007,685  
              

 

Contracts         Unrealized
Depreciation		  
FUTURES CONTRACTS: LONG POSITIONS   
2    S&P 500 Index E-Mini, September 2007    $ 1,355  
394    S&P 500 Index, September 2007      (2,337,600 )
           
  

Net unrealized depreciation

    $ (2,336,245 )
           

 

Issues

    Contracts    

Premiums

Received

     Value  

CALL OPTIONS WRITTEN

       

90 Day Euro Futures, Written Strike $95.125, expires 12/22/07

    (400 )   $ (32,500 )   $ (30,000 )

90 Day Euro Futures, Written Strike $95.75, expires 12/22/07

    (200 )     (54,500 )     (13,750 )
                  

Total Call Options Written

      $ (87,000 )   $ (43,750 )
                  

WRITTEN PUT OPTIONS

       

90 Day Euro Futures, Written Strike $94.75, expires 09/22/07

    (300 )     (70,500 )     (76,875 )

90 Day Euro Futures, Written Strike $94.875, expires 09/22/07

    (300 )     (134,250 )     (161,250 )
                  

Total Written Put Options

      $ (204,750 )   $ (238,125 )
                  

 

    

Expiration

Date

   

Notional

Amount

(000’s)

       

SWAPS: TOTAL RETURN

         

1 Year S&P 500/US0001M + 2 basis points (CS First Boston)

         
   10/03/07    $ 10    $ (468,163 )
              

1 Year S&P 500/US0001M + 2 basis points (JPMorgan & Co.)

         
   10/03/07      10      (468,163 )
              
         $ (936,326 )
              

SWAPS: INTEREST RATE

         

The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/18/17      2,000      (6,363 )
              

The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/24/17      1,130      6,939  
              

 

60

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2007 (Unaudited)

 

    

Expiration

Date

   

Notional

Amount

(000’s)

    Value  

SWAPS: INTEREST RATE (continued)

         

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.

         
   01/30/22    $ 900    $ (35,819 )
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.16% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/22      2,000      (81,412 )
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.88% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/04/22      690      (30,226 )
              

The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.91% quarterly. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/12/22      600      (10,108 )
              
         $ (156,989 )
              

SWAPS: CREDIT DEFAULT (PURCHASED)

         

Pay a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest LUV, 6.50% due 03/01/12. Counterparty: UBS AG

         
   03/20/14    $ 450    $ 3,308  

Pay a fixed rate equal to 0.64% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GCI, 6.38% due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.

         
   06/20/14      750      3,342  

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      1,242      371,028  

Pay a fixed rate equal to 1.33% and the Fund will receive from the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.

         
   05/25/46      281      83,903  
              
         $ 461,581  
              

SWAPS: CREDIT DEFAULT (WRITTEN)

         

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Citigroup Inc.

         
   08/25/37    $ 796    $ (359,120 )

Receive a fixed rate equal to 3.89% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.

         
   08/25/37      891      (402,215 )
              
         $ (761,335 )
              

Notes:

1

Cost for financial reporting purposes is $201,609,726 and net unrealized appreciation/(depreciation) consists of:

 

Gross unrealized appreciation

    $ 483,365  

Gross unrealized depreciation

      (1,252,616 )
        

Net unrealized (depreciation)

    $ (769,251 )
        

 

2

Floating rate security. The rate disclosed is that in effect at June 30, 2007.

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 June 30, 2007 was $46,331,428 representing 23.88% 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		  

06/28/07

    Community Health Systems, Inc. 1st Lien, 7.61%, 07/25/14    $ 1,000,000    $ 1,002,344    0.52 %

01/08/07

    Delphi Dip 2nd Lien, 8.13%, 12/31/07      1,000,000      1,003,025    0.52 %

11/14/06

    HCA Term Loan B, 7.61%, 11/17/13      997,500      1,003,052    0.52 %

03/07/07

    Kelson 1st Lien, 0.00%, 03/16/13      1,000,000      991,750    0.51 %

08/21/06

    Northwest Air Dip, 7.34%, 05/21/12      1,000,000      1,001,635    0.52 %

05/17/07

    Tribune 1st Lien Term Loan B, 8.38%, 05/24/14      992,500      978,750    0.50 %

02/01/07

    United Air Lines, Inc., 7.38%, 02/01/14      1,000,000      998,360    0.51 %
                       
      $ 6,990,000    $ 6,978,916    3.60 %
                       

 

6

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

7

Zero coupon bond. The rate shown is the effective yield as of June 30, 2007.

8

Represents annualized yield at date of purchase.

9

Securities, or a portion there of, pledged as collateral with a value of $165,180 on 2 Long S&P 500 Index E-Mini futures contracts and 394 Long S&P 500 Index futures contracts.

†

Fair valued security. The aggregate value of fair valued securities is $51,647,647 which is 26.62% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

*

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

**

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced

 

61

Notes to Schedules of Portfolio Investments

June 30, 2007

Security Valuation:

The Funds value securities pursuant to policies and procedures approved by the Board of Trustees. Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors (approved by the Board of Trustees) which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser, in consultation with a market maker, initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (i.e. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board of Trustees. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st 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. ET 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. The fair valued securities at June 30, 2007 are referenced on each Fund’s schedule of portfolio investments by a footnote.

Federal Income Taxation:

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

Dividends and other distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The amount and character 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 June30, 2007.

 

62

Notes to Schedules of Portfolio Investments (continued)

 

Capital Loss Carryforwards:

At March 31, 2007, the following Funds had available for Federal income tax purposes unused capital losses as follows:

 

Fund

    Expiring in 2011    Expiring in 2013    Expiring in 2014    Expiring in 2015

Ultra Short Bond Fund

      —        —        —      $ 171,312

Low Duration Bond Fund

      —        —      $ 24,704,597      —  

Intermediate Bond Fund

      —        —        215,711      171,054

Total Return Bond Fund

    $ 19,394,108    $ 206,379      54,757,733      16,266,140

High Yield Bond Fund

      —        —        112,035      —  

Strategic Income Fund

      —        —        61,791      1,235,093

AlphaTrak 500 Fund

      1,056,073      —        —        —  

For the year ended March 31, 2007, the Low Duration Bond Fund, High Yield Bond Fund and Alpha Trak 500 Fund utilized net federal tax capital loss carryforwards of $10,855,434, $203,367 and $9,307,459, respectively.

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

 

63

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 8/27/07

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 8/27/07   
By (Signature and Title)*   

/s/ Joseph D. Hattesohl

  

Joseph D. Hattesohl, Treasurer

(principal financial officer)

Date 8/27/07   

 

*

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