UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-07989

Metropolitan West Funds

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Name and address of agent for service)

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

Date of fiscal year end: March 31

Date of reporting period: December 31, 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

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 92.20%
ASSET-BACKED SECURITIES — 25.66%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	40,699	$	40,886
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33			5,922		5,936
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.26%	09/15/33			43,839		43,734
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.43%	12/15/33			28,271		28,078
Asset Backed Securities Corp. Home Equity 2005-HE6 A2D
5.15%	07/25/35	2		4,750,000		4,725,218
Bayview Financial Acquisition Trust 2004-B A1
5.36%	05/28/39	2,3,†		3,500,000		3,324,989
Bayview Financial Acquisition Trust 2005-A A1
5.36%	02/28/40	2,3,†		4,000,000		3,599,939
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
5.36%	12/28/40	2,3,†		3,900,000		3,584,041
Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)
8.04%	08/25/30			302,472		302,450
Bear Stearns Asset Backed Securities Trust 2007-HE1 1A1
4.99%	02/25/37	2		3,992,951		3,823,715
BNC Mortgage Loan Trust 2007-2 A2
4.97%	05/25/37	2		2,089,026		1,960,843
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			2,367,928		2,347,578
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A1
4.93%	01/25/37	2		988,951		971,348
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
5.05%	03/25/37	2		2,500,000		2,090,715
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
6.08%	07/25/37	2,†		1,765,000		1,642,550
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			8,176		8,150
Countrywide Asset-Backed Certificates 2003-BC1 M1
6.25%	12/25/32	2		526,715		488,384
Countrywide Asset-Backed Certificates 2005-BC4 2A2
5.14%	08/25/35	2		3,844,426		3,810,787
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			2,586,800		2,563,359
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
4.93%	04/25/37	2		2,789,229		2,642,360
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			191,952		193,987
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			316,707		319,889
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			7,772		7,738
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A
7.19%	03/25/24	2		3,435,007		3,377,008
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2C
5.18%	03/25/35	2		2,233,376		2,158,456
GE Capital Mortgage Services, Inc. 1998-HE1 A7
6.47%	06/25/28			2,251		2,244
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			13,400		13,596
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		35,804		37,686
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			271,821		210,367
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			73,873		56,901
GSAMP Trust 2004-FM1 M2
6.27%	11/25/33	2		1,173,188		1,062,424
GSAMP Trust 2006-HE7 A2A
4.91%	10/25/46	2		2,005,884		1,953,543
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36	†		2,300,000		1,494,995
GSR Mortgage Loan Trust 2005-HEL1 M2
5.60%	11/25/30	2,†		4,000,000		2,409,988
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		337,417		334,600
Inman Square Funding Ltd. 2005-2A I
5.69%	10/06/40	2,3,†		2,250,000		2,114,997
Irwin Home Equity Corp. 2003-A M2
7.02%	10/25/27	2		1,950,024		1,902,961
Ivy Lane CDO Ltd. 2006-1A A1
5.21%	02/05/46	2,3,†		1,790,098		1,521,607
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		27,553		27,461
MASTR Asset Backed Securities Trust 2007-HE1 A1
4.95%	05/25/37	2		2,641,021		2,526,000
Mid-State Trust 6 A4
7.79%	07/01/35			58,527		62,567

1

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley ABS Capital I 2004-NC2 M2
6.07%	12/25/33	2	$	3,233,977	$	2,902,365
Morgan Stanley ABS Capital I 2007-HE5 A2A
4.98%	03/25/37	2		1,403,505		1,370,899
Morgan Stanley ABS Capital I 2007-NC2 A2A
4.98%	02/25/37	2		1,536,906		1,501,608
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
4.92%	11/25/36	2		1,597,511		1,554,373
Nationstar Home Equity Loan Trust 2007-A AV1
4.93%	03/25/37	2		2,639,776		2,563,059
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3,†		548,659		384,061
New Century Home Equity Loan Trust 2006-2 A2A
4.94%	08/25/36	2		555,477		549,489
Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)
10.00%	04/25/36	2,3,4,†		4,216,667		205,352
Nomura Home Equity Loan, Inc. 2007-3 2A1
5.01%	03/25/37	2		3,306,136		3,178,313
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			7,858		8,076
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15			11,796		12,080
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			590,530		606,917
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		76,891		8,575
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			270,367		269,506
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			27,571		27,483
Saxon Asset Securities Trust 2002-1 M2
6.67%	11/25/31	2		243,654		216,120
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
5.00%	05/25/37	2		4,792,127		4,646,715
Structured Asset Securities Corp. 2007-EQ1 A4
5.12%	03/25/37	2		3,000,000		2,589,400
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		11,240,116		142,743
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		1,243		979
Vanderbilt Mortgage Finance 1997-B 1A6
7.60%	06/07/25			2,085,000		2,132,553
Wells Fargo Home Equity Trust 2007-1 A1
4.97%	03/25/37	2		929,013		910,243
Total Asset-Backed Securities
(Cost $90,449,047)						85,574,984
CORPORATES — 4.86%*
Automotive — 0.92%
Ford Motor Credit Co. LLC
7.99%	01/13/12	2		1,130,000		949,953
GMAC LLC
6.03%	09/23/08	2		1,868,000		1,804,931
7.32%	12/01/14	2		375,000		301,269
						3,056,153
Banking — 1.17%
CS First Boston/London 0.00%	03/24/10	2,3,†		2,286,000		2,242,795
0.00%	03/24/10	2,3,†		1,136,000		1,114,530
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		557,000		550,984
						3,908,309
Electric — 0.76%
Appalachian Power Co.
3.60%	05/15/08			1,000,000		992,983
Entergy Gulf States, Inc.
5.52%	12/01/09	2		550,000		546,546
5.90%	12/08/08	2,3		1,000,000		1,003,400
						2,542,929
Finance — 1.08%
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2		1,370,000		1,055,608
Lehman Brothers Holdings, Inc.
4.91%	11/24/08	2		850,000		840,403
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2,†		883,000		966,973
Residential Capital LLC
5.65%	06/09/08	2		850,000		731,000
						3,593,984
Transportation — 0.93%
Air 2 US A
8.03%	10/01/20	3		469,607		471,955
Continental Airlines, Inc.
6.32%	11/01/08			1,700,000		1,691,500
Northwest Air Dip
6.97%	05/21/12	5,†		990,000		936,993
						3,100,448
Total Corporates
(Cost $16,545,703)						16,201,823

2

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED — 61.68%**
Commercial Mortgage-Backed — 8.28%
Banc of America Mortgage Securities, Inc. 2003-E 2A1
4.03%	06/25/33	2	$	2,695,088	$	2,709,170
Bayview Commercial Asset Trust 2007-3 A1
5.11%	07/25/37	2,3,†		2,295,516		2,134,825
Countrywide Home Loan Mortgage Pass-Through Trust 2004-HYB3 1A
5.43%	06/20/34	2		4,216,679		4,169,149
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
5.34%	07/19/44	2		967,989		939,193
Greenpoint Mortgage Funding Trust 2006-AR3 4A1
5.08%	04/25/36	2		5,219,841		4,938,730
JPMorgan Mortgage Trust 2005-A2 9A1
4.82%	04/25/35	2		1,781,871		1,767,178
Structured Asset Mortgage Investments, Inc. 2005-AR2 2A1
5.10%	05/25/45	2		3,568,142		3,382,842
Structured Asset Mortgage Investments, Inc. 2005-AR6 2A1
5.18%	09/25/45	2		2,712,664		2,592,890
Structured Asset Securities Corp. 2003-15A 2A1
4.30%	04/25/33	2		4,985,710		4,970,736
						27,604,713
Non-Agency Mortgage-Backed — 29.59%
Alliance Bancorp Trust 2007-OA1 A1
5.11%	07/25/37	2		4,667,170		4,416,570
American Home Mortgage Assets 2006-2 2A1
5.06%	09/25/46	2		3,477,892		3,268,272
American Home Mortgage Investment Trust 2004-3 3A
6.44%	10/25/34	2		1,886,907		1,858,023
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			105,143		107,359
Banc of America Mortgage Securities, Inc. 2003-A 2A2
4.59%	02/25/33	2		27,370		27,274
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		3,571,373		3,525,613
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			1,142,990		1,164,276
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1
5.50%	12/25/18			996,036		1,002,318
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1
6.50%	08/25/18	3		428,034		432,589
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		630,846		631,781
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			750,714		756,498
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	4,6,†		3,547,853		76,558
Countrywide Alternative Loan Trust 2005-16 A5
5.15%	06/25/35	2		1,059,758		1,030,756
Countrywide Alternative Loan Trust 2005-27 2A1
6.14%	08/25/35	2,†		2,002,987		1,902,212
Countrywide Alternative Loan Trust 2005-51 2A2A
5.24%	11/20/35	2		4,320,976		4,238,418
Countrywide Alternative Loan Trust 2005-59 1A1
5.12%	11/20/35	2		3,523,546		3,298,590
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	4,6,†		8,229,344		306,354
Countrywide Alternative Loan Trust 2005-61 2A1
5.15%	12/25/35	2		1,669,255		1,620,903
Countrywide Alternative Loan Trust 2006-OA12 A2
5.16%	09/20/46	2		2,772,818		2,644,984
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	4,†		11,765,252		558,849
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
5.29%	11/25/32	2		200,000		199,297
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4
4.03%	10/25/33	2		2,573,804		2,563,836
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34			1,120,779		1,124,402
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A
5.38%	09/19/44	2		385,283		363,241
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.73%	04/19/47	2,†		4,231,790		4,020,606
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1
6.85%	11/19/32	2		73,642		73,483
First Horizon Asset Securities, Inc. 2002-AR2 2A1
7.02%	12/27/32	2		78,253		78,100
First Horizon Asset Securities, Inc. 2003-AR2 1A1
7.50%	07/25/33	2		103,715		104,971

3

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34		$	103,964	$	104,770
Harborview Mortgage Loan Trust 2004-8 2A4A
5.37%	11/19/34	2		2,058,113		2,025,682
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,6,†		4,715,788		84,737
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	2,4,†		10,129,647		278,565
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.64%	10/19/35	2,4,†		29,167,692		287,119
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.26%	12/25/34	2		1,932,079		1,835,581
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	4,6,†		2,229,936		41,463
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		1,073,181		1,074,662
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
5.65%	10/25/36	2		1,761,041		1,687,567
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.79%	01/25/34	2		129,042		127,412
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
6.83%	10/25/34	2		1,638,177		1,634,101
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
7.13%	06/25/34	2		88,601		88,759
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
5.84%	12/25/46	2		4,429,547		4,310,488
MASTR Seasoned Securities Trust 2004-1 4A1
7.16%	10/25/32	2		451,706		456,476
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			1,142,612		1,166,394
MASTR Seasoned Securities Trust 2005-1 4A1
6.04%	10/25/32	2		884,197		902,668
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
6.37%	12/25/32	2		1,242,613		1,229,091
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			68,178		68,097
Residential Accredit Loans, Inc. 2005-QO3 A1
5.27%	10/25/45	2		4,430,407		4,269,451
Residential Accredit Loans, Inc. 2007-QS8 A10
6.00%	06/25/37			2,904,487		2,922,648
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			585,426		595,363
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			325,586		342,274
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			82,529		85,110
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			587,706		601,029
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			3,279,486		3,355,199
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		938,134		939,550
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			3,316,403		3,319,769
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
7.15%	12/27/35	2		4,657,321		4,725,128
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		65,330		65,087
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A3 4A1
5.56%	04/25/47	2,†		3,480,979		3,330,809
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		385,246		381,188
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
6.19%	06/25/42	2		296,140		282,303
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
4.32%	06/25/33	2		1,166,851		1,160,167
Washington Mutual Mortgage Pass-Through Certificates 2003-MS1 1A
5.00%	02/25/18			509,196		506,116
Washington Mutual Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			294,086		304,946
Washington Mutual Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			310,064		316,236

4

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR19 1A
5.53%	01/25/47	2,†	$	4,771,466	$	4,396,103
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A
5.73%	05/25/46	2,†		2,999,111		2,834,160
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
5.88%	07/25/46	2,†		4,250,817		4,184,676
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.86%	02/25/47	4,6,†		73,958,651		901,371
						98,618,448
U.S. Agency Mortgage-Backed — 23.81%
Fannie Mae 1988-12 A
10.00%	02/25/18	2		164,360		184,921
Fannie Mae 1993-210 PL
6.50%	04/25/23			129,760		129,942
Fannie Mae 1993-80 S
4.92%	05/25/23	2		13,845		13,828
Fannie Mae 1994-55 S
13.77%	12/25/23	2		5,919		6,111
Fannie Mae 1997-23 PB
6.63%	01/25/22			58,336		59,471
Fannie Mae 1998-58 PC
6.50%	10/25/28			1,304,858		1,351,192
Fannie Mae 2000-27 AN
6.00%	08/25/30			24,080		24,408
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		7,783		8,369
Fannie Mae 2001-60 JZ
6.00%	03/25/31			47,840		47,824
Fannie Mae 2001-68 PV
6.00%	11/25/18			129,122		129,578
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			221,632		14,330
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		166,953		178,148
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			409,525		53,305
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			145,797		11,267
Fannie Mae 2004-96 MT
7.00%	12/25/34	2		338,309		327,394
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		501,588		499,570
Fannie Mae Pool 111643
6.44%	09/01/20	2		32,207		32,664
Fannie Mae Pool 190656
6.50%	02/01/14			326,745		339,719
Fannie Mae Pool 254190
5.50%	02/01/09			469,214		474,119
Fannie Mae Pool 303683
6.50%	08/01/25			18,021		18,724
Fannie Mae Pool 523829
8.00%	11/01/19			402,464		431,877
Fannie Mae Pool 545350
6.50%	11/01/16			1,329,344		1,376,887
Fannie Mae Pool 555098
5.13%	11/01/32	2		245,149		247,438
Fannie Mae Pool 555177
4.85%	01/01/33	2		350,678		356,155
Fannie Mae Pool 555207
7.00%	11/01/17			69,306		71,528
Fannie Mae Pool 555312
7.02%	01/01/33	2		740,235		749,744
Fannie Mae Pool 555705
6.90%	07/01/33	2		739,083		751,412
Fannie Mae Pool 567002
8.00%	05/01/23			203,530		216,829
Fannie Mae Pool 582521
7.00%	05/01/31			47,775		50,550
Fannie Mae Pool 630599
7.00%	05/01/32			366,659		386,132
Fannie Mae Pool 646884
5.50%	05/01/32	2		36,356		37,081
Fannie Mae Pool 647903
6.78%	04/01/27	2		71,875		72,148
Fannie Mae Pool 648860
6.50%	05/01/17			1,250,281		1,294,571
Fannie Mae Pool 655127
7.00%	07/01/32			54,638		56,820
Fannie Mae Pool 655133
7.00%	08/01/32			71,467		74,314
Fannie Mae Pool 655151
7.00%	08/01/32			104,278		108,399
Fannie Mae Pool 655928
7.00%	08/01/32			46,170		48,960
Fannie Mae Pool 726024
4.00%	08/01/33	2		2,011,527		2,013,571
Fannie Mae Pool 735207
7.00%	04/01/34			973,631		1,011,092
Fannie Mae Pool 735686
6.50%	12/01/22			1,534,186		1,584,273
Fannie Mae Pool 735995
3.88%	04/01/35	2		2,160,944		2,209,349
Fannie Mae Pool 745161
6.91%	10/01/33	2		921,856		938,116
Fannie Mae Pool 753630
6.81%	11/01/33	2		295,372		298,463
Fannie Mae Pool 754001
6.66%	12/01/33	2		865,710		873,114
Fannie Mae Pool 762525
6.50%	11/01/33			239,788		246,187

5

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 764605
5.79%	01/01/34	2	$	1,213,236	$	1,223,080
Fannie Mae Pool 770869
5.30%	04/01/34	2		1,831,630		1,852,431
Fannie Mae Pool 770900
5.19%	04/01/34	2		1,019,248		1,030,792
Fannie Mae Pool 771153
6.12%	02/01/34	2		1,663,404		1,707,101
Fannie Mae Pool 788986
6.66%	10/01/34	2		1,107,213		1,118,064
Fannie Mae Pool 805268
6.10%	01/01/35	2		853,064		865,666
Fannie Mae Pool 806513
5.15%	12/01/34	2		2,229,283		2,290,138
Fannie Mae Pool 810557
6.93%	02/01/35	2		701,711		706,399
Fannie Mae Pool 811267
6.15%	12/01/34	2		311,344		313,185
Fannie Mae Pool 815612
4.49%	05/01/35	2		4,595,626		4,688,493
Fannie Mae Pool 821549
4.76%	06/01/35	2		3,086,009		3,114,292
Fannie Mae Pool 832803
4.51%	09/01/35	2		3,654,603		3,644,560
Fannie Mae Pool 836712
6.99%	09/01/35	2		1,452,370		1,477,438
Fannie Mae Pool 840634
6.50%	06/01/35			1,217,071		1,261,353
Fannie Mae Pool 887714
6.07%	08/01/36	2		2,199,409		2,243,443
Fannie Mae Pool 908412
6.15%	04/01/37	2		2,104,738		2,148,039
Fannie Mae Whole Loan 2003-W14 1A6
5.82%	09/25/43			82,371		82,142
Freddie Mac 1214 KA
5.89%	02/15/22	2		13,022		13,025
Freddie Mac 1526 L
6.50%	06/15/23			43,197		45,041
Freddie Mac 1625 FC
5.13%	12/15/08	2		19,841		19,797
Freddie Mac 1662 L
3.47%	01/15/09	2		1,467		1,457
Freddie Mac 1695 EA
7.00%	12/15/23			7,624		7,639
Freddie Mac 1702 TJ
7.00%	04/15/13			241,505		245,954
Freddie Mac 2043 CJ
6.50%	04/15/28			98,667		102,651
Freddie Mac 2161 PG
6.00%	04/15/28			2,715		2,715
Freddie Mac 2451 SP
5.88%	05/15/09	2		7,246		7,460
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			538,997		69,148
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			19,537		318
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			615,990		66,544
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			1,613,059		28,001
Freddie Mac 2594 VK
5.00%	02/15/23			638,835		638,900
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			83,593		15,381
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			390,829		45,066
Freddie Mac 2809 HX (IO)
6.00%	10/15/24			201,225		2,906
Freddie Mac 2856 ST
7.00%	09/15/23	2		741,753		733,378
Freddie Mac 2905 JG
7.00%	09/15/34			736,033		723,074
Freddie Mac 2906 NX (IO)
0.47%	12/15/34	2		8,031,589		97,781
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		18,999
Freddie Mac 3096 FL
5.43%	01/15/36	2		3,433,781		3,391,811
Freddie Mac 3152 JF
5.48%	08/15/35	2		3,270,265		3,233,565
Freddie Mac 3202 HS
1.62%	08/15/36	2,4		9,733,056		238,670
Freddie Mac Gold A45796
7.00%	01/01/33			1,516,475		1,594,892
Freddie Mac Gold C90237
6.50%	11/01/18			231,429		240,094
Freddie Mac Gold C90474
7.00%	08/01/21			323,470		339,520
Freddie Mac Gold D93410
6.50%	04/01/19			231,297		239,899
Freddie Mac Gold E90474
6.00%	07/01/17			1,455,522		1,490,767
Freddie Mac Gold G10616
5.50%	07/01/09			90,055		90,075
Freddie Mac Gold G11454
5.50%	07/01/15			676,380		687,163
Freddie Mac Gold G18087
6.50%	09/01/20			920,194		949,554
Freddie Mac Gold O30092
5.50%	10/01/15			198,947		200,265
Freddie Mac Gold P20295
7.00%	10/01/29			96,121		99,515
Freddie Mac Gold P50019
7.00%	07/01/24	†		14,529		15,068

6

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold P50214
6.50%	02/01/34	†	$	426,576	$	429,409
Freddie Mac Gold P50230
6.50%	04/01/34	†		1,197,402		1,205,747
Freddie Mac Gold P60084
6.00%	03/01/16	†		1,049,147		1,063,619
Freddie Mac Non Gold Pool 1L0113
7.23%	05/01/35	2		1,566,054		1,608,987
Freddie Mac Non Gold Pool 775554
6.02%	10/01/18	2		7,340		7,402
Freddie Mac Non Gold Pool 781163
5.76%	01/01/34	2		1,440,352		1,462,643
Freddie Mac Non Gold Pool 781817
5.89%	08/01/34	2		1,723,715		1,754,925
Freddie Mac Non Gold Pool 781908
6.08%	09/01/34	2		1,252,515		1,262,317
Freddie Mac Non Gold Pool 782824
6.73%	11/01/34	2		1,205,924		1,210,349
Freddie Mac Non Gold Pool 788498
7.25%	02/01/30	2		744,341		756,516
Freddie Mac Non Gold Pool 865369
5.58%	06/01/22	2		5,997		6,081
Freddie Mac Non Gold Pool 972112
6.80%	01/01/33	2		431,257		434,209
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			395,160		46,969
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			40,796		526
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			100,000		2,573
Ginnie Mae 2003-95 SB
4.73%	09/17/31	2		194,363		195,304
Ginnie Mae 2004-2 FW
6.63%	01/16/34	2		333,194		349,583
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			2,500,000		225,534
Ginnie Mae II Pool 80546
6.00%	10/20/31	2		66,163		67,018
Ginnie Mae II Pool 80610
6.38%	06/20/32	2		1,054,534		1,064,891
Ginnie Mae II Pool 80614
5.63%	07/20/32	2		113,478		114,003
Ginnie Mae II Pool 80687
6.50%	04/20/33	2		577,693		584,338
Ginnie Mae II Pool 81018
5.63%	08/20/34	2		372,418		374,431
Ginnie Mae II Pool 8339
6.13%	12/20/23	2		109,264		110,519
Ginnie Mae II Pool 8684
5.63%	08/20/25	2		153,643		154,481
						79,364,977
Total Mortgage-Backed
(Cost $207,950,122)						205,588,138
Total Bonds – 92.20%
(Cost $314,944,872)						307,364,945
SHORT TERM INVESTMENTS — 3.78%
Commercial Paper — 3.12%
Bear Stearns Cos., Inc. (The)
4.95%	01/18/08			3,520,000		3,512,256
Merrill Lynch & Co., Inc.
5.25%	01/09/08			1,520,000		1,518,448
National Rural Utilities Cooperative Finance Corp.
4.23%	01/29/08			3,410,000		3,399,182
UBS Finance Corp.
4.49%	01/22/08			1,990,000		1,985,042
						10,414,928
Money Market Fund — 0.38%
Goldman Sachs Group, Inc. (The)				1,256,000		1,256,000
U.S. Agency Discount Notes — 0.23%
Fannie Mae
4.21%	01/24/08			455,000		453,824
Freddie Mac
4.22%	01/24/08			300,000		299,226
						753,050
U.S. Treasury Bills — 0.05%
U.S. Treasury Bills
2.91%	01/24/08	7		160,000		159,716
Total Short Term Investments
(Cost $ 12,583,694)						12,583,694
Total Investments – 95.98%
(Cost $ 327,528,566)1						319,948,639
Cash and Other Assets, Less Liabilities – 4.02%						13,388,898
Net Assets – 100.00%					$	333,337,537

7

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
30	Euro Ninety Day, March 2008	$	(42,350	)
76	Euro Ninety Day, June 2008		(121,161	)
7	Euro Ninety Day, September 2008		(11,638	)
7	Euro Ninety Day, December 2008		(13,562	)
25	U.S. Treasury Two Year Note, March 2008		(3,192	)
	Net unrealized depreciation	$	(191,903	)

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	$	150,329
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		70,801
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		680		25,691
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17		670		6,194
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17		680		24,491
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.
	01/31/22		2,000		(9,280	)
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		(80,583	)
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		(10,567	)
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		(7,744	)
				$	169,332
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: CS First Boston.
	12/20/12		650		117,114
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs 6.60%, due 01/15/12. Counterparty: JPMorgan & Co.
	12/20/12		900		(3,286	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		880		2,248
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		850		(5,234	)
				$	110,842
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.85% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CSC H, 7.63% due 07/15/18. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		750		(198	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38		345		(235,319	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		345		(235,319	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		345		(235,319	)

8

Ultra Short Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

SWAPS: CREDIT DEFAULT (WRITTEN)(continued)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	160	$	(109,133	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		265		(145,195	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		265		(145,197	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		265		(145,197	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		265		(145,197	)
				$	(1,396,074	)

Notes:

¹ Cost for financial reporting purposes is $327,528,566 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	1,728,815
Gross unrealized depreciation		(9,308,742	)
Net unrealized (depreciation)	$	(7,579,927	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $22,305,284 representing 6.69% 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, 6.97%, 05/21/12	$	990,000	$	936,993	0.28	%
		$	990,000	$	936,993	0.28	%

⁶ Zero coupon bond. The rate shown is the effective yield as of December 31, 2007.

⁷ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

† Fair valued security. The aggregate value of fair valued securities is $57,823,975 which is 17.35% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

9

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 90.73%
ASSET-BACKED SECURITIES — 20.19%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	120,252	$	120,529
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2		37,603		9,898
Bayview Financial Acquisition Trust 2005-A A1
5.36%	02/28/40	2,3,†		12,500,000		11,249,809
Bayview Financial Acquisition Trust 2006-B 2A2
5.06%	04/28/36	2		10,278,374		10,047,315
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
5.36%	12/28/40	2,3,†		14,000,000		12,865,787
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%	08/25/30			5,995,000		5,670,673
Bear Stearns Asset Backed Securities Trust 2007-2 A1
5.06%	01/25/47	2		3,422,781		3,326,552
Bear Stearns Asset Backed Securities Trust 2007-HE3 1A1
4.99%	04/25/37	2		2,092,730		2,017,486
Bear Stearns Asset Backed Securities Trust 2007-HE5 1A2
5.05%	06/25/47	2		5,200,000		4,485,398
Carrington Mortgage Loan Trust 2004-NC2 M1
5.56%	08/25/34	2		218,633		204,559
Castle Trust 2003-1AW A1
5.78%	05/15/27	2,3		3,910,013		3,909,348
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%	01/25/13	2		7,478,904		7,505,254
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
5.77%	02/25/32	2		815,624		792,724
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			17,038,785		16,892,354
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
5.52%	07/25/37	2,†		8,432,000		7,799,585
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			798,294		798,450
Countrywide Asset-Backed Certificates 2005-13 AF1
5.00%	04/25/36	2		492,165		491,771
Countrywide Home Equity Loan Trust 2005-M A2
5.15%	02/15/36	2		639,642		637,798
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%	01/25/36			7,685,000		7,523,146
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			10,210,603		10,118,074
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
5.51%	02/25/37			20,580,000		19,904,013
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
4.93%	04/25/37	2		9,933,143		9,410,103
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			2,332		2,321
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP)
5.48%	03/25/25	†		9,245,000		7,026,284
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29	†		76,956		11,543
Genesis Funding Ltd. 2006-1A G1
5.21%	12/19/32	2,3,†		8,650,000		8,520,221
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.31%	06/25/30	2		4,780,931		4,633,558
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			790,572		802,160
Green Tree Financial Corp. 1995-10 A6
7.05%	01/15/27			400,393		402,928
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			6,614,325		6,072,425
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			437,870		372,650
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.23%	04/15/30	2		47,137		47,138
GSAMP Trust 2006-NC1 A1
4.94%	02/25/36	2		202,345		201,349
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36	†		2,228,000		1,448,196
GSR Mortgage Loan Trust 2005-HEL1 M2
5.60%	11/25/30	2,†		7,085,000		4,268,691
Home Equity Asset Trust 2007-3 2A2
5.05%	08/25/37	2		5,635,000		4,844,441
Home Equity Mortgage Trust 2006-1 A1B
5.00%	05/25/36	2		2,588,996		2,291,345
Ivy Lane CDO Ltd. 2006-1A A1
5.21%	02/05/46	2,3,†		9,025,078		7,671,436
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%	11/25/36			12,415,000		12,210,025
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%	01/25/37			15,300,000		15,009,471

10

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)
0.55%	05/15/41	2,4,†	$	326,548,990	$	5,712,505
Lehman XS Trust 2006-12N A1A1 (STEP)
4.95%	08/25/46	2		1,753,743		1,741,405
Long Beach Asset Holdings Corp. 2006-8 N1
6.05%	10/25/46	3,†		3,829,304		88,252
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,†		2,612,542		56,944
MASTR Asset Backed Securities Trust 2007-HE1 A1
4.95%	05/25/37	2		8,885,150		8,498,186
MASTR Asset Backed Securities Trust 2007-HE1 A2
5.02%	05/25/37	2		6,260,000		5,389,916
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
4.99%	04/25/37	2		6,109,601		5,944,453
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
5.05%	06/25/37	2		19,057,200		16,761,499
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B
5.01%	01/25/37	2		4,226,560		4,173,052
Morgan Stanley ABS Capital I 2004-NC2 M2
6.07%	12/25/33	2		711,475		638,520
Morgan Stanley ABS Capital I 2007-HE7 M2
6.87%	07/25/37	2,†		3,525,000		3,128,433
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	2		24,105,622		23,823,128
Nationstar Home Equity Loan Trust 2007-A AV1
4.93%	03/25/37	2		9,014,666		8,752,682
Nationstar Home Equity Loan Trust 2007-C 2AV3
5.05%	06/25/37	2		7,057,200		5,810,059
Nomura Asset Acceptance Corp. 2006-S1 A1
5.01%	01/25/36	2,3		2,036,648		1,923,893
Oakwood Mortgage Investors, Inc. 2002-B A1
5.26%	05/15/13	2		430,974		385,709
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		282,352		250,987
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		11,307,566		1,261,049
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/30	3,4,†		8,806,150		2,744
Resmae Mortgage Loan Trust 2006-1 A1B
5.14%	02/25/36	2,3,†		3,861,322		3,760,536
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
5.00%	05/25/37	2		21,942,666		21,276,840
SG Mortgage Securities Trust 2006-FRE1 A1B
5.14%	02/25/36	2		3,505,499		3,199,315
Soundview Home Equity Loan Trust 2006-WF2 M8
7.22%	12/25/36	2		1,500,000		345,313
Structured Asset Receivables Trust 2003-1
5.86%	01/21/10	2,3,†		3,672,422		3,635,675
Structured Asset Receivables Trust 2003-2
5.76%	01/21/09	2,3,†		946,090		936,623
Terwin Mortgage Trust 2004-7HE A1
5.42%	07/25/34	2,3		142,962		138,501
Terwin Mortgage Trust 2005-13SL A1B
4.75%	12/25/36	2,3,†		12,100,000		10,093,669
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		1,292,341		1,273,480
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3		8,200,000		6,572,204
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,†		12,500,000		10,299,958
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	2		15,000,000		14,479,695
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3		3,000,000		2,946,564
Terwin Mortgage Trust 2007-9SL A1
6.07%	06/25/38	2,3,†		13,933,296		13,919,344
Vertical CDO Ltd. 2007-1A A1J
5.99%	04/10/47	2,3,†		5,500,000		55,128
Wells Fargo Home Equity Trust 2007-1 A1
4.97%	03/25/37	2		1,257,113		1,231,715
Wells Fargo Home Equity Trust 2007-2 A1
4.96%	04/25/37	2		2,190,680		2,118,079
Total Asset-Backed Securities
(Cost $446,855,402)						402,242,863
CORPORATES — 16.92%*
Automotive — 1.77%
Delphi Dip 2nd Lien
9.13%	07/01/08	5,†		3,000,000		2,995,938
Ford Motor Credit Co. LLC
6.81%	01/15/10	2		4,070,000		3,708,238
7.99%	01/13/12	2		20,160,000		16,947,827
9.69%	04/15/12	2		1,750,000		1,721,414
GMAC LLC
6.63%	05/15/12			2,000,000		1,664,128
7.32%	12/01/14	2		9,798,000		7,871,566
Metaldyne Corp.
10.00%	11/01/13			175,000		145,250

11

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Automotive (continued)
Tenneco, Inc.
8.13%	11/15/15	3	$	125,000	$	124,375
						35,178,736
Banking — 1.71%
BankAmerica Institutional A
8.07%	12/31/26	3		5,250,000		5,515,902
Banponce Trust I
8.33%	02/01/27			7,400,000		7,728,138
BNP Paribas SA (MTN)
8.25%	11/28/21	2,†		2,019,000		2,014,760
CS First Boston/London
0.00%	03/24/10	2,3,†		8,264,000		8,107,810
0.00%	03/24/10	2,3,†		3,146,000		3,086,541
JPMorgan Chase & Co. C (MTN)
8.55%	07/23/13	2,†		1,500,000		1,283,100
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		2,084,000		2,061,493
MBNA Capital A
8.28%	12/01/26			924,000		960,723
NB Capital Trust II
7.83%	12/15/26			3,200,000		3,325,280
						34,083,747
Basic Industry — 0.07%
Freeport-McMoRan Copper & Gold, Inc.
8.39%	04/01/15	2		150,000		152,625
Massey Energy Co.
6.88%	12/15/13			375,000		355,312
Mosaic Co. (The)
7.63%	12/01/14	3		375,000		403,125
Noranda Aluminium Acquisition Corp. (PIK)
8.74%	05/15/15	3		500,000		422,500
						1,333,562
Communications — 0.87%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14	†		500,000		482,222
Cebridge 2nd Lien (PIK)
10.91%	05/05/14	5,†		7,418,774		6,940,263
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13			225,000		237,375
Charter Communications, Inc. Term Loan 3rd Lien
7.34%	09/06/14	5,†		500,000		456,666
Cincinnati Bell, Inc.
7.25%	07/15/13			225,000		226,688
Comcast Corp.
5.54%	07/14/09	2		1,380,000		1,375,730
Dex Media West LLC/Dex Media Finance Co.
8.50%	08/15/10			500,000		509,375
9.88%	08/15/13			300,000		312,750
Idearc, Inc.
8.00%	11/15/16			300,000		276,750
Level 3 Financing, Inc.
12.25%	03/15/13			500,000		507,500
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			250,000		233,438
Univision Communications, Inc. 1st Lien Strip
7.21%	03/15/14	5,†		375,000		342,656
Viacom, Inc.
5.34%	06/16/09	2		5,150,000		5,090,183
Windstream Corp.
8.13%	08/01/13			250,000		260,000
8.63%	08/01/16			150,000		158,250
						17,409,846
Consumer Products — 0.21%
SABMiller PLC
5.03%	07/01/09	2,3		4,000,000		4,014,332
Visant Holding Corp.
8.75%	12/01/13			200,000		202,000
						4,216,332
Electric — 2.21%
Appalachian Power Co.
3.60%	05/15/08			2,420,000		2,403,019
Cedar Brakes I LLC
8.50%	02/15/14	3		2,742,676		3,049,137
Cedar Brakes II LLC
9.88%	09/01/13	3		9,904,800		11,242,720
Entergy Gulf States, Inc.
5.90%	12/08/08	2,3		5,230,000		5,247,782
Entergy Louisiana LLC
8.09%	01/02/17			5,351,058		5,361,589
Midwest Generation LLC
8.30%	07/02/09			3,005,014		3,050,089
Power Contract Financing LLC
6.26%	02/01/10	3		5,275,576		5,390,230
Power Receivables Finance LLC
6.29%	01/01/12	3		1,767,644		1,847,049
6.29%	01/01/12			1,855,399		1,938,746
Reliant Energy, Inc.
6.75%	12/15/14			500,000		503,750
SWEPCO Capital Trust I
5.25%	10/01/43	2		1,500,000		1,509,534
TECO Energy, Inc.
6.91%	05/01/10	2		1,715,000		1,732,150
TPF Generation Holdings LLC 2nd Lien
9.08%	12/15/14	5,†		250,000		236,875
TXU Energy Term Loan B3
0.00%	10/10/14	†		500,000		491,960
						44,004,630

12

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy — 0.10%
Allis-Chalmers Energy, Inc.
9.00%	01/15/14		$	250,000	$	247,500
Chesapeake Energy Corp.
7.00%	08/15/14			250,000		252,500
Corral Finans AB (PIK)
10.24%	04/15/10	3		254,540		232,904
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	3		250,000		223,750
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	3		200,000		197,500
NRG Energy, Inc.
7.38%	01/15/17			400,000		391,000
OPTI Canada, Inc.
7.88%	12/15/14	3		250,000		245,625
Pride International, Inc.
7.38%	07/15/14			125,000		129,062
						1,919,841
Finance — 3.38%
Cengage Learning Term Loan B
7.60%	07/09/14	5,†		748,125		709,212
Citigroup, Inc.
4.13%	02/22/10			10,530,000		10,390,255
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2		4,400,000		3,390,275
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2,†		6,776,000		7,171,718
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2,†		3,293,000		3,606,164
0.00%	06/20/16	2,†		5,886,000		6,967,847
Lehman Brothers Holdings, Inc. I (MTN)
8.92%	02/16/17	2,†		4,198,000		4,148,883
Meridian Funding Co. LLC
5.44%	10/06/08	2,3		1,022,557		1,019,978
Merrill Lynch & Co., Inc.
9.57%	06/06/17	2,†		5,184,000		5,433,610
Merrill Lynch & Co., Inc., Series C
5.19%	10/23/08	2		975,000		962,043
Pemex Finance Ltd.
8.88%	11/15/10			5,867,200		6,162,394
9.69%	08/15/09	†		2,098,250		2,192,671
Residential Capital LLC
5.65%	06/09/08	2		9,967,000		8,571,620
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		6,747,000		6,663,337
						67,390,007
Gaming — 0.01%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14			250,000		246,875
Health Care — 0.55%
Cardinal Health, Inc.
5.00%	10/02/09	2,3		1,827,000		1,830,703
Carestream Health, Inc. Term Loan
10.30%	10/30/13	5,†		500,000		466,250
Community Health Systems, Inc.
8.88%	07/15/15			250,000		255,938
Community Health Systems, Inc. 1st Lien
7.44%	07/25/14	5,†		246,133		237,275
HCA Term Loan A
0.00%	11/18/12	5,†		8,000,000		7,606,152
Surgical Care Affiliates, Inc. Term Loan
7.08%	12/29/14	5,†		248,750		223,875
Universal Hospital Services, Inc.
8.29%	06/01/15	2		300,000		301,500
						10,921,693
Insurance — 0.11%
Asurion Corp. Term Loan
7.88%	07/13/14	5,†		250,000		241,797
Farmers Insurance Exchange
6.00%	08/01/14	3		1,900,000		1,955,389
						2,197,186
Natural Gas — 0.25%
Sempra Energy Employee Stock Ownership Plan & Trust
5.78%	11/01/14	3,†		5,000,000		5,096,122
Real Estate Investment Trust (REIT) — 3.06%
Camden Property Trust
4.38%	01/15/10			2,068,000		2,017,597
CPG Partners LP
8.25%	02/01/11			4,065,000		4,375,595
Duke Realty LP
5.63%	08/15/11			8,550,000		8,605,190
First Industrial LP
5.25%	06/15/09			4,080,000		4,042,333
HCP, Inc.
5.44%	09/15/08	2		4,380,000		4,375,690
6.45%	06/25/12			4,000,000		4,056,845
Health Care REIT, Inc.
7.63%	03/15/08			3,435,000		3,456,488
Highwoods Properties, Inc.
7.13%	02/01/08			2,358,000		2,355,644
Kimco Realty Corp. (MTN)
3.95%	08/05/08			1,650,000		1,639,737
Reckson Operating Partnership LP
7.75%	03/15/09			4,250,000		4,388,729
Rouse Co. LP (The)
3.63%	03/15/09			6,655,000		6,373,880
Shurgard Storage Centers LLC
7.75%	02/22/11			1,500,000		1,638,678

13

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Simon Property Group LP
7.00%	07/15/09		$	3,032,000	$	3,128,597
UDR, Inc. (MTN)
4.50%	03/03/08			6,375,000		6,370,416
Weingarten Realty Investors
8.25%	01/22/10			3,800,000		4,027,859
						60,853,278
Secured Assets — 0.26%
Ingress I Ltd.
7.38%	03/30/40	3,†		5,490,000		5,205,582
Services — 0.04%
Mobile Mini, Inc.
6.88%	05/01/15			375,000		343,125
United Rentals North America, Inc.
6.50%	02/15/12			425,000		386,750
						729,875
Transportation — 2.32%
Air 2 US A
8.03%	10/01/20	3		2,826,563		2,840,695
American Airlines, Inc. 1999-1 A2
7.02%	10/15/09			1,375,000		1,388,750
Continental Airlines, Inc.
7.06%	09/15/09			8,500,000		8,606,250
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			1,816,487		1,769,804
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/11			4,409,915		4,431,964
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/12			6,577,122		6,549,030
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/13			7,861,000		7,870,497
Delta Air Lines, Inc. Term Loan 1st Lien
6.72%	05/01/12	5,†		1,500,000		1,428,750
Northwest Air Dip
6.97%	05/21/12	5,†		5,940,000		5,621,961
Northwest Airlines, Inc.
6.84%	04/01/11			1,500,000		1,489,228
Saint Acquisition Corp.
12.50%	05/15/17	3		250,000		130,312
Swift Transportation Co. Term Loan
8.98%	05/06/14	5,†		220,930		182,337
United Air Lines, Inc.
6.60%	09/01/13			393,870		391,901
7.13%	02/01/14	5,†		358,611		335,849
United Air Lines, Inc. 2001-1 A2
6.20%	03/01/10			3,272,306		3,255,944
						46,293,272
Total Corporates
(Cost $343,852,843)						337,080,584
MORTGAGE-BACKED — 33.11%**
Commercial Mortgage-Backed — 0.72%
CS First Boston Mortgage Securities Corp. 2004-C2 A1
3.82%	05/15/36			8,861,525		8,677,749
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			5,800,000		5,756,941
						14,434,690
Non-Agency Mortgage-Backed — 18.22%
American Home Mortgage Assets 2007-2 A1
4.99%	03/25/47	2		17,811,568		16,592,821
Banc of America Funding Corp. 2007-5 3A1
6.00%	07/25/37	†		14,087,887		14,012,170
Banc of America Mortgage Securities, Inc. 2005-2 1A6
5.50%	03/25/35			21,081,048		20,801,948
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4,†		3,258,290		879,635
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4,†		3,267,139		882,024
BlackRock Capital Finance LP 1997-R2 AP
9.31%	12/25/35	2,3,†		17,306		17,305
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		10,322,453		10,332,592
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		24,098,558		23,789,783
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%	03/25/37			28,647,000		28,691,197
Chevy Chase Mortgage Funding Corp. 2005-2A A1
5.05%	05/25/36	2,3,†		5,043,369		4,695,126
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			64,495		65,696
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		315,423		315,891
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	4,6,†		10,241,765		221,004
Countrywide Alternative Loan Trust 2005-27 2A1
6.14%	08/25/35	2,†		2,821,999		2,680,017
Countrywide Alternative Loan Trust 2005-59 1A1
5.12%	11/20/35	2		5,568,073		5,212,586
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	4,6,†		26,010,788		968,304
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.91%	07/20/46	4,6,†		4,461,376		219,808

14

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47		$	18,419,311	$	18,475,503
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	4,†		34,396,772		1,633,847
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		2,131		2,105
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.05%	01/25/26	2,3,4,†		199,459		249
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
5.18%	03/19/45	2		5,499,100		5,238,003
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.73%	04/19/47	2,†		20,341,842		19,326,697
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,6,†		13,070,172		234,855
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	2,4,†		23,425,651		644,205
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
2.61%	03/19/37	2,4,†		5,548,832		239,293
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
1.71%	05/19/47	2,4,†		6,498,413		192,902
Impac CMB Trust 2005-5 A1
5.19%	08/25/35	2		8,417,087		8,309,107
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.26%	12/25/34	2		1,718,335		1,632,512
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	4,6,†		6,358,022		118,219
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.27%	11/25/34	2		4,537,547		4,259,014
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.79%	01/25/34	2		508,211		501,792
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
7.13%	06/25/34	2		468,319		469,156
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
5.84%	12/25/46	2		23,819,265		23,179,039
MASTR Seasoned Securities Trust 2004-1 4A1
7.16%	10/25/32	2		1,806,824		1,825,903
MASTR Seasoned Securities Trust 2005-1 4A1
6.04%	10/25/32	2		3,808,698		3,888,261
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			1,851,876		1,909,780
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			5,006,632		4,978,802
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			9,972,279		10,202,506
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			18,240,216		18,258,728
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
7.15%	12/27/35	2		21,882,925		22,201,521
Thornburg Mortgage Securities Trust 2007-1 A2B
4.97%	03/25/37	2		22,186,631		21,945,655
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A3 4A1
5.56%	04/25/47	2,†		18,339,477		17,548,307
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		910,365		900,776
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
5.20%	01/25/45	2		2,064,314		1,956,196
Washington Mutual Mortgage Pass-Through Certificates 2006-AR19 1A
5.53%	01/25/47	2,†		25,148,917		23,170,497
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X (IO)
0.59%	06/25/46	4,6,†		354,148,517		2,434,771
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
5.88%	07/25/46	2,†		12,634,646		12,438,056
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			4,397,305		4,380,423
						362,874,587
U.S. Agency Mortgage-Backed — 14.17%
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		11,682		11,932
Fannie Mae 1997-44 SB (IO)
2.77%	06/25/08	2		176,775		1,358
Fannie Mae 1997-76 FS
5.48%	09/17/27	2		87,832		87,221
Fannie Mae 2001-60 JZ
6.00%	03/25/31			104,229		104,194
Fannie Mae 2003-90 UD (IO)
5.50%	10/25/26			5,798,526		196,643
Fannie Mae 2006-B2 AB
5.50%	05/25/14			15,136,768		15,348,855

15

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Mega HI LTV
6.50%	11/01/37	†	$	21,300,000	$	21,867,445
Fannie Mae Pool 555177
4.85%	01/01/33	2		149,622		151,959
Fannie Mae Pool 567002
8.00%	05/01/23			213,223		227,155
Fannie Mae Pool 691241
5.65%	04/01/37	2		10,662,485		10,663,345
Fannie Mae Pool 735686
6.50%	12/01/22			5,547,843		5,728,963
Fannie Mae Pool 745383
5.17%	12/01/35	2		5,230,309		5,274,357
Fannie Mae Pool 770333
5.38%	04/01/34	2		2,998,696		3,061,497
Fannie Mae Pool 770900
5.19%	04/01/34	2		1,519,366		1,536,575
Fannie Mae Pool 805256
4.38%	01/01/35	2		5,124,718		5,136,419
Fannie Mae Pool 817611
5.35%	11/01/35	2		5,109,136		5,169,137
Fannie Mae Pool 887714
6.07%	08/01/36	2		16,615,580		16,948,238
Fannie Mae Pool 888256
5.86%	02/01/37	2		14,813,226		15,003,701
Fannie Mae Pool 888412
7.00%	04/01/37			17,788,200		18,376,255
Fannie Mae Pool 910333
5.50%	03/01/37			33,595,778		33,563,178
Fannie Mae Pool 942553
5.95%	08/01/37	2		26,794,087		27,126,360
Fannie Mae Prepayment Link Note 2005-2 1
4.00%	02/25/10			6,295,095		6,260,292
Freddie Mac 2174 PN
6.00%	07/15/29			5,655,268		5,777,817
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			1,187,917		128,327
Freddie Mac 3205 PB
6.00%	08/15/29			16,145,000		16,569,342
Freddie Mac Gold A24156
6.50%	10/01/31			2,225,112		2,301,360
Freddie Mac Gold C46104
6.50%	09/01/29			72,200		74,851
Freddie Mac Gold G02461
6.50%	11/01/36			17,523,133		18,018,610
Freddie Mac Gold G11707
6.00%	03/01/20			4,469,119		4,577,337
Freddie Mac Gold P50019
7.00%	07/01/24	†		119,833		124,278
Freddie Mac Non Gold Pool 1B1928
6.20%	08/01/34	2		4,298,104		4,345,856
Freddie Mac Non Gold Pool 1L0113
7.23%	05/01/35	2		3,592,820		3,691,316
Freddie Mac Non Gold Pool 1Q0196
5.92%	02/01/37	2		22,925,062		23,315,382
Freddie Mac Non Gold Pool 781469
5.12%	04/01/34	2		3,232,186		3,266,238
Freddie Mac Non Gold Pool 786781
7.70%	08/01/29	2		257,702		263,052
Freddie Mac Non Gold Pool 847288
5.09%	05/01/34	2		5,448,687		5,529,899
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			1,638,468		194,749
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			1,049,796		13,531
Ginnie Mae I Pool 422972
6.50%	07/15/29			75,311		78,170
Ginnie Mae II Pool 1849
8.50%	08/20/24			2,157		2,348
Ginnie Mae II Pool 2020
8.50%	06/20/25			7,494		8,162
Ginnie Mae II Pool 2286
8.50%	09/20/26			5,345		5,799
Ginnie Mae II Pool 2487
8.50%	09/20/27			26,747		29,020
Ginnie Mae II Pool 80589
6.50%	03/20/32	2		377,728		383,744
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		1,676,834		1,685,732
						282,229,999
Total Mortgage-Backed
(Cost $ 679,807,394)						659,539,276
U.S. AGENCY SECURITIES — 9.59%
Fannie Mae
3.13%	03/16/09			10,673,000		10,584,905
4.63%	12/15/09			16,210,000		16,538,739
4.88%	04/15/09			9,930,000		10,066,776
5.30%	02/22/11			9,985,000		9,989,813
7.13%	06/15/10			2,164,000		2,342,524
Federal Home Loan Bank
4.38%	10/03/08			9,850,000		9,847,754
4.38%	10/22/10			19,130,000		19,525,914
5.00%	09/18/09			5,590,000		5,723,215
5.25%	08/05/09			33,325,000		34,175,687
Freddie Mac
5.25%	10/06/11			8,050,000		8,103,629
5.25%	04/03/12			17,385,000		17,598,314
5.35%	11/14/11			22,600,000		22,812,440
5.75%	03/15/09			9,575,000		9,788,331
6.63%	09/15/09			13,165,000		13,822,829
Total U.S. Agency Securities
(Cost $ 176,687,343)						190,920,870

16

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES — 10.92%
U.S. Treasury Notes — 10.92%
U.S. Treasury Notes
3.13%	11/30/09		$	217,168,000	$	217,371,595
Total U.S. Treasury Securities
(Cost $ 217,168,000)						217,371,595
Total Bonds — 90.73%
(Cost $ 1,864,370,982)						1,807,155,188
			Shares
PREFERRED STOCK — 0.20%
Finance — 0.20%
Woodbourne Pass-Through Trust
5.70%	12/31/49	2,3		40		3,842,500
Total Preferred Stock
(Cost $ 3,992,500)						3,842,500
			Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.70%
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.
				115,942,000		1,612,626
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.
				122,743,000		1,712,510
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.
				56,890,000		901,502
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.
				150,713,000		2,348,365
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.
				128,837,000		2,186,982
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.
				14,622,000		761,065
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.
				7,361,000		466,568
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.
				15,752,000		1,063,305
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.
				19,546,000		1,455,667
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.
				16,998,000		1,403,858
Total Purchased Swaptions
(Cost $6,213,360)						13,912,448
			Principal Amount
SHORT TERM INVESTMENTS — 11.86%
Commercial Paper — 6.95%
Bear Stearns Cos., Inc. (The)
4.95%	01/18/08			21,000,000	$	20,953,800
Citigroup Funding Corp.
4.70%	01/07/08			9,405,000		9,398,442

17

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date			Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
Commercial Paper (continued)
5.00%		01/07/08		$	10,255,000		$	10,247,878
5.05%		01/04/08			8,975,000			8,972,482
Credit Suisse USA, Inc.
4.81%		01/28/08			15,105,000			15,052,527
Merrill Lynch & Co., Inc.
5.25%		01/09/08			34,480,000			34,444,801
Rabobank USA Financial Corp.
4.73%		01/07/08			39,290,000			39,264,188
								138,334,118
Money Market Fund — 0.09%
Goldman Sachs Group, Inc. (The)					1,929,000			1,929,000
U.S. Agency Discount Notes — 4.80%
Fannie Mae
4.21%		01/14/08			1,000,000			998,597
4.21%		01/14/08	7		10,000			9,986
4.21%		01/24/08	7		5,390,000			5,376,067
4.21%		01/28/08	7		100,000			99,696
4.23%		01/25/08	7		5,510,000			5,495,109
4.24%		01/24/08	6		21,360,000			21,304,654
4.29%		01/24/08			16,445,000			16,401,887
4.29%		01/25/08	6		1,560,000			1,555,725
4.30%		01/25/08			33,830,000			33,738,791
Freddie Mac
4.22%		01/24/08	7		200,000			199,482
4.23%		01/02/08	6		2,720,000			2,720,000
4.30%		01/25/08			7,750,000			7,728,709
								95,628,703
U.S. Treasury Bills — 0.02%
U.S. Treasury Bills
2.91%		01/24/08	7		425,000			424,245
Total Short Term Investments
(Cost $236,316,066)								236,316,066
Total Investments — 103.49%
(Cost $2,110,892,908)1							$	2,061,226,202
Liabilities in Excess of Other
Assets — (3.49)%								(69,424,454	)
Net Assets — 100.00%							$	1,991,801,748
	Principal Amount			Proceeds			Value
SECURITIES SOLD SHORT
Fannie Mae (TBA)	$	(33,402,180	)	$	(33,193,416	)	$	(33,365,638	)
Total Securities Sold Short					(33,193,416	)		(33,365,638	)
WRITTEN PUT OPTIONS
90 Day Euro Futures, Written Strike $95.375, expires 06/16/08		(2,450	)	$	(545,125	)	$	(137,813	)
Total Written Put Options				$	(545,125	)	$	(137,813	)
Issues	Notional Amount (000’s)
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.
		(56,000,000)		$	(1,260,000	)	$	(1,883,235	)
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.
		(60,000,000)			(1,392,000	)		(2,431,590	)
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.
		(28,000,000)			(575,556	)		(1,136,696	)
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.
		(74,000,000)			(1,589,806	)		(3,314,749	)
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.
		(64,000,000)			(1,394,624	)		(3,122,663	)
Total Written Swaptions				$	(6,211,986	)	$	(11,888,933	)

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
4	U.S. Treasury Five Year Note, March 2008	$	(658	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
298	U.S. Treasury Two Year Note, March 2008	$	15,531

18

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 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 equal to 3.90% semi-annually. Counterparty: Citigroup, Inc.
	11/15/09	$	15,000	$	(4,515	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.88% semi-annually. Counterparty: Citigroup, Inc.
	11/15/09		8,530		154,145
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.08% semi-annually. Counterparty: Citigroup, Inc.
	11/15/09		15,000		49,472
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.00% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/15/09		15,000		28,528
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.39% semi-annually. Counterparty: JPMorgan Chase & Co.
	11/15/09		14,410		131,042
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.79% semi-annually. Counterparty: CS First Boston
	11/15/09		52,000		868,292
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.81% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/15/09		8,800		151,420
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.09% semi-annually. Counterparty: Barclays Capital, Inc.
	11/15/09		20,000		69,204
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		630,271
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		718,781
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.15% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/23/09		14,460		62,411
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.04% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/30/09		5,800		123,831
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.08% semi-annually. Counterparty: CS First Boston.
	11/30/09		5,850		131,012
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.14% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	11/30/09		5,800		135,899
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.08% semi-annually. Counterparty: Barclays Capital, Inc.
	12/14/09		35,000		122,183
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	04/19/17		5,900		398,977
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.
	05/09/17		6,000		519,341
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		1,035,599
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		519,215
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		1,285,000
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		3,810		143,942
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17		3,800		35,128

19

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17	$	3,810	$	137,222
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.
	01/31/22		7,000		(32,478	)
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		(149,461	)
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		(73,971	)
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		(47,474	)
				$	7,143,016
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 of default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CS First Boston
	12/20/11		3,000		90,963
Pay a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD, 6.13% due 12/01/12. Counterparty: Citigroup, Inc.
	09/20/12		4,500		220,587
Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of HD, 3.75% due 09/15/09. Counterparty: Morgan Stanley
	09/20/12		4,250		68,307
Pay a fix rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of M, 6.63% due 04/01/11. Counterparty: Citigroup, Inc.
	09/20/12		4,500		120,718
Pay a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.
	12/20/12		1,450		(19,263	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		12,870		32,874
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		3,200		25,831
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		1,000		4,395
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		2,275		7,488
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		3,600		17,145
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		2,725		9,197
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 JWN 6.95%, due 03/15/28. Counterparty: Morgan Stanley
	12/20/12		4,150		(4,774	)
Pay a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: UBS AG
	12/20/12		2,725		(5,601	)
Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		1,250		3,478
Pay a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: CS First Boston
	12/20/12		1,375		5,073
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		4,250		4,117
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		2,750		2,664
Pay a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		2,750		(31,631	)

20

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: CS First Boston.
	12/20/12	$	450	$	81,079
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		3,025		545,030
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Barclays Capital, Inc.
	12/20/12		15,000		1,520,585
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: CS First Boston.
	12/20/12		3,700		375,078
Pay a fixed rate equal to 1.75% 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 EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		4,250		5,797
Pay a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		2,800		39,331
Pay a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		1,850		19,829
Pay a fixed rate equal to 1.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		700		117,496
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		3,000		514,295
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		4,100		682,316
Pay a fixed rate equal to 1.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		1,000		167,851
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs 6.60%, due 01/15/12. Counterparty: JPMorgan & Co.
	12/20/12		3,500		(12,776	)
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12		2,350		19,424
Pay a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		2,350		21,521
Pay a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		4,250		60,549
Pay a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		850		9,524
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.
	12/20/12		2,050		(18,750	)
Pay a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		4,700		(33,660	)
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		3,200		(29,269	)
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		850		(237	)
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		51,043
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		6,750		114,004
Pay a fixed rate equal to 0.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GS, 6.60% due 01/15/12. Counterparty: UBS AG
	09/20/14		3,500		(35,417	)
Pay a fixed rate equal to 0.47% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: CS First Boston
	09/20/14		4,000		5,949

21

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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: CS First Boston
	09/20/14	$	4,500	$	50,661
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		19,650		(120,990	)
Pay a fixed rate equal to 0.44% 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: JPMorgan Chase & Co.
	12/20/14		2,000		21,456
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Lehman Brothers Holdings, Inc.
	07/25/45		19,500		2,922,445
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-A 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.
	05/25/46		3,050		1,844,472
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		5,000		3,023,724
				$	12,513,928
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		2,010		(1,094,535	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		2,010		(1,101,307	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		2,020		(1,106,786	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		2,065		(1,124,485	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		2,015		(1,097,258	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		2,010		(1,094,535	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		5,030		(2,739,060	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37		9,000		(4,900,903	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		3,775		(2,068,375	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		3,020		(1,654,700	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		17,210		(9,429,596	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		2,015		(1,104,046	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		6,500		(3,561,440	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		11,630		(2,831,985	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		5,000		(3,410,414	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		5,000		(3,772,638	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		10,000		(7,545,276	)

22

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	3,050	$	(2,080,352	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		5,900		(7,299	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		5,900		(3,768	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		5,900		(18,605	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,875		(1,278,905	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		800		(545,666	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		12,080		(6,618,798	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,440		(788,996	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38		1,875		(1,278,905	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		1,875		(1,278,905	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,440		(788,996	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,440		(788,996	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	1,440	$	(788,996	)
				$	(65,904,526	)

Notes:

¹ Cost for financial reporting purposes is $2,110,892,908 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	19,885,475
Gross unrealized depreciation		(69,552,181	)
Net unrealized (depreciation)	$	(49,666,706	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $177,669,123 representing 8.92% 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
07/03/07	Asurion Corp. Term Loan, 7.88%, 07/13/14	$	247,669	$	241,797	0.01	%
06/01/07	Carestream Health, Inc. Term Loan, 10.30%, 10/30/13		506,274		466,250	0.02	%
06/30/06	Cebridge 2nd Lien (PIK), 10.91%, 05/05/14		7,481,706		6,940,263	0.35	%
06/27/07	Cengage Learning Term Loan B, 7.60%, 07/09/14		741,132		709,212	0.04	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 7.34%, 09/06/14		502,866		456,666	0.03	%
08/09/07	Community Health Systems, Inc. 1st Lien, 7.44%, 07/25/14		239,995		237,275	0.01	%
01/08/07	Delphi Dip 2nd Lien, 9.13%, 07/01/08		3,000,000		2,995,938	0.15	%
04/25/07	Delta Air Lines, Inc. Term Loan 1st Lien, 6.72%, 05/01/12		1,500,000		1,428,750	0.07	%
10/10/07	HCA Term Loan A, 0.00%, 11/18/12		7,768,590		7,606,152	0.38	%
08/21/06	Northwest Air Dip, 6.97%, 05/21/12		5,940,000		5,621,961	0.28	%
06/28/07	Surgical Care Affiliates, Inc. Term Loan, 7.08%, 12/29/14		248,750		223,875	0.01	%
06/14/07	Swift Transportation Co. Term Loan, 8.98%, 05/06/14		220,930		182,337	0.01	%

23

Low Duration Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
11/06/07	TPF Generation Holdings LLC 2nd Lien, 9.08%, 12/15/14		239,568		236,875	0.01	%
02/01/07	United Air Lines, Inc., 7.13%, 02/01/14		358,611		335,849	0.02	%
06/12/07	Univision Communications, Inc. 1st Lien Strip, 7.21%, 03/15/14		365,238		342,656	0.02	%
		$	29,361,329	$	28,025,856	1.41	%

⁶ Zero coupon bond. The rate shown is the effective yield as of December 31, 2007.

⁷ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

† Fair valued security. The aggregate value of fair valued securities is $354,192,990 which is 17.78% 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

24

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS — 93.82%
ASSET-BACKED SECURITIES — 8.66%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	10,823	$	10,847
Bayview Financial Acquisition Trust 2005-A A1
5.36%	02/28/40	2,3,†		1,500,000		1,349,977
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
5.36%	12/28/40	2,3,†		1,500,000		1,378,477
Bear Stearns Asset Backed Securities Trust 2007-2 A1
5.06%	01/25/47	2		332,713		323,359
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	3,†		650,000		606,673
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			266,098		266,150
Conseco Finance 2002-A A5 (STEP)
7.05%	04/15/32			301,477		302,629
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		344,807		320,617
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31	2		240,977		231,824
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
4.93%	04/25/37	2		1,176,706		1,114,745
Green Tree Home Improvement Loan Trust 1995-C B2 7.
60%	07/15/20			110		85
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			1,053,236		966,947
JPMorgan RV Marine Trust 2004-1A A1
3.12%	04/15/11	3		16,650		16,637
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		51,433		51,260
MASTR Asset Backed Securities Trust 2007-HE1 A1
4.95%	05/25/37	2		1,131,866		1,082,571
Mid-State Trust 11 A1
4.86%	07/15/38			1,452,063		1,430,140
Mid-State Trust 2004-1 A
6.01%	08/15/37			383,748		375,282
Mid-State Trust 2004-1 B
8.90%	08/15/37			280,431		270,331
Mid-State Trust 2005-1 M2
7.08%	01/15/40			356,215		331,352
Morgan Stanley ABS Capital I 2006-HE6 A2B
4.97%	09/25/36	2		270,000		250,931
Oakwood Mortgage Investors, Inc. 1997-A A5
7.13%	05/15/27			18,595		18,597
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/192			214,804		172,366
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		255,925		214,752
Oakwood Mortgage Investors, Inc. 2002-B A1
5.26%	05/15/13	2		47,886		42,857
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%	07/25/33			40,000		39,296
Resmae Mortgage Loan Trust 2006-1 A1B
5.14%	02/25/36	2,3,†		218,808		213,097
SG Mortgage Securities Trust 2006-FRE1 A1B
5.14%	02/25/36	2		200,314		182,818
Structured Asset Receivables Trust 2003-1
5.86%	01/21/10	2,3,†		278,214		275,430
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		96,606		95,196
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3		800,000		641,191
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		3,657		2,878
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			165,952		165,575
Total Asset-Backed Securities
(Cost $13,590,388)						12,744,887
CORPORATES — 14.80%*
Automotive — 1.71%
Delphi Dip 2nd Lien
9.13%	07/01/08	4,†		500,000		499,323
Ford Motor Credit Co. LLC
6.63%	06/16/08			100,000		98,554
7.25%	10/25/11			416,000		360,608
7.38%	02/01/11			123,000		110,220
7.99%	01/13/12	2		300,000		252,200
8.63%	11/01/10			319,000		296,195
GMAC LLC
6.63%	05/15/12			600,000		499,238
6.88%	09/15/11			474,000		405,820
						2,522,158
Banking — 1.53%
Banponce Trust I
8.33%	02/01/27			500,000		522,171
CS First Boston/London
0.00%	03/24/10	2,3,†		608,000		596,509
0.00%	03/24/10	2,3,†		334,000		327,687
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		120,000		109,264

25

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase Bank NA
7.59%	03/28/22	2,†	$	460,000	$	435,482
8.75%	11/28/21	2,†		257,000		254,224
						2,245,337
Communications — 0.46%
Qwest Corp.
5.63%	11/15/08			489,000		489,000
7.88%	09/01/11			175,000		182,875
						671,875
Electric — 1.56%
Appalachian Power Co.
3.60%	05/15/08			600,000		595,790
Cedar Brakes II LLC
9.88%	09/01/133			533,026		605,026
Entergy Louisiana LLC 5.
83%	11/01/10			698,000		696,902
Power Receivables Finance LLC
6.29%	01/01/12			382,363		399,539
						2,297,257
Finance — 4.17%
Capital One Financial Corp.
5.70%	09/15/11			780,000		754,144
Citigroup, Inc.
4.13%	02/22/10			940,000		927,525
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2		125,000		96,315
Countrywide Home Loans, Inc. (MTN)
4.00%	03/22/11			175,000		126,448
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2,†		502,000		531,317
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2,†		271,000		296,772
0.00%	06/20/16	2,†		452,000		535,078
Lehman Brothers Holdings, Inc. I (MTN)
8.92%	02/16/17	2,†		260,000		256,958
Merrill Lynch & Co., Inc.
8.95%	05/18/17	2,†		380,000		392,844
9.57%	06/06/17	2,†		272,000		285,097
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	2,†		480,000		490,224
Pemex Finance Ltd.
8.88%	11/15/10			300,000		315,094
Residential Capital LLC
5.65%	06/09/08	2		587,000		504,820
Wachovia Bank NA/Charlotte NC
6.00%	11/15/17			625,000		630,338
						6,142,974
Health Care — 0.48%
HCA Term Loan A
0.00%	11/18/12	4,†		750,000		713,077
Insurance — 1.13%
Allied World Assurance Holdings Ltd.
7.50%	08/01/16			244,000		255,746
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			375,000		376,875
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		440,000		435,340
Stingray Pass-Through Trust
5.90%	01/12/15	3,†		225,000		106,875
ZFS Finance USA Trust I
6.15%	12/15/65	2,3		500,000		484,292
						1,659,128
Natural Gas — 0.29%
Southern Union Co.
7.20%	11/01/66	2		435,000		430,032
Real Estate Investment Trust (REIT) —1.97%
Colonial Realty LP
4.75%	02/01/10			586,000		572,389
CPG Partners LP
8.25%	02/01/11			330,000		355,214
HCP, Inc.
5.95%	09/15/11			800,000		802,410
7.07%	06/08/15			160,000		165,704
Highwoods Properties, Inc.
7.13%	02/01/08			790,000		789,211
Prime Property Fund, Inc.
5.60%	06/15/11	3		206,000		209,494
						2,894,422
Transportation — 1.50%
American Airlines, Inc. 2005-1 G 5.
11%	09/29/123,	†		458,689		441,224
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			310,656		302,673
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21			189,144		195,291
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/11			141,316		142,023
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/13			400,000		400,483
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23			510,839		509,403
United Air Lines, Inc. 2001-1 A1
6.07%	09/01/14			37,776		37,918

26

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
United Air Lines, Inc. 2001-1 A2
6.20%	03/01/10		$	179,641	$	178,743
						2,207,758
Total Corporates
(Cost $22,239,033)						21,784,018
MORTGAGE-BACKED — 36.63%**
Commercial Mortgage-Backed — 4.37%
Banc of America Commercial Mortgage, Inc. 2006-4 AM
5.68%	07/10/46			1,070,000		1,071,705
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			1,305,000		1,368,714
Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR6 A6
4.83%	11/11/41			1,300,000		1,288,635
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.79%	06/10/46	2		1,070,000		1,086,827
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			370,000		369,404
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	2		1,300,000		1,251,082
						6,436,367
Non-Agency Mortgage-Backed — 11.72%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/352			1,023,563		1,026,037
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			232,162		231,208
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.15%	01/25/35	2,3,†		576,758		547,384
Chevy Chase Mortgage Funding Corp. 2005-2A A1
5.05%	05/25/36	2,3,†		665,710		619,743
Countrywide Alternative Loan Trust 2003-3T1 A2
4.50%	05/25/33			1,676,977		1,667,439
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	5,6,†		748,003		16,141
Countrywide Alternative Loan Trust 2005-27 2A1
6.14%	08/25/35	2,†		428,185		406,642
Countrywide Alternative Loan Trust 2005-27 3A2
5.89%	08/25/35	2,†		47,633		45,118
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	5,6,†		2,152,926		80,147
Countrywide Alternative Loan Trust 2005-72 A1
5.14%	01/25/36	2		1,191,576		1,124,267
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	6,†		2,732,621		129,799
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		213		211
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.07%	08/25/34	2		783,139		763,753
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			167,835		167,409
First Horizon Asset Securities, Inc. 2003-10 2A1
4.75%	01/25/19			776,733		767,137
First Union Commercial Mortgage Trust 1999-C1 A2
6.07%	10/15/35			503,211		504,987
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			505,000		508,952
GS Mortgage Securities Corp. II 2006-GG8 A4
5.56%	11/10/39			935,000		943,764
GS Mortgage Securities Corp. II 2007-GG10 A4
5.80%	08/10/45	2		925,000		958,549
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	5,6,†		928,070		16,676
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	2,6,†		2,436,074		66,992
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	5,6,†		453,200		8,427
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		266,600		266,968
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
5.27%	11/25/34	2		115,361		108,280
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.88%	04/15/45	2		340,000		354,381
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	2		930,000		952,959

27

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49		$	290,000	$	290,828
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			259,231		264,627
Morgan Stanley Capital I 2006-HQ8 A4
5.39%	03/12/44	2		1,605,000		1,623,409
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			109,115		115,798
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			135,871		140,120
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		184,784		185,063
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A3 4A1
5.56%	04/25/47	2,†		993,275		950,425
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		51,919		51,372
Washington Mutual Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			130,808		133,412
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2
5.50%	04/25/36			1,214,876		1,201,166
						17,239,590
U.S. Agency Mortgage-Backed — 20.54%
Fannie Mae 1993-225 SG
6.88%	12/25/132			224,192		247,002
Fannie Mae 1993-80 S
4.92%	05/25/232			43,266		43,212
Fannie Mae 1994-55 S
13.77%	12/25/232			23,677		24,445
Fannie Mae 2001-52 YZ
6.50%	10/25/31			822,482		852,153
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			185,777		9,646
Fannie Mae 2006-B2 AB
5.50%	05/25/14			1,075,969		1,091,045
Fannie Mae Pool 253974
7.00%	08/01/31			56,627		58,842
Fannie Mae Pool 527247
7.00%	09/01/26			224		236
Fannie Mae Pool 545646
7.00%	09/01/26			148		156
Fannie Mae Pool 549740
6.50%	10/01/27			131,832		136,285
Fannie Mae Pool 701297
4.73%	03/01/332			312,676		314,861
Fannie Mae Pool 735686
6.50%	12/01/22			421,127		434,876
Fannie Mae Pool 735861
6.50%	09/01/33			586,846		607,982
Fannie Mae Pool 764388
4.96%	03/01/342			503,172		506,661
Fannie Mae Pool 770869
5.30%	04/01/342			906,175		916,466
Fannie Mae Pool 776708
5.00%	05/01/34			1,232,672		1,204,285
Fannie Mae Pool 817611
5.35%	11/01/352			386,405		390,943
Fannie Mae Pool 888430
5.00%	11/01/33			1,644,413		1,607,285
Fannie Mae Pool 895606
5.75%	06/01/362			959,486		959,125
Fannie Mae Pool 939419
5.64%	05/01/372			1,122,782		1,136,379
Freddie Mac 1602 SN
10.09%	10/15/232			14,590		16,321
Freddie Mac 2174 PN
6.00%	07/15/29			412,627		421,569
Freddie Mac 2451 SP
5.88%	05/15/092			52,174		53,714
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			277,195		29,945
Freddie Mac Gold A25162
5.50%	05/01/34			1,821,988		1,820,636
Freddie Mac Gold A33262
5.50%	02/01/35			227,785		227,747
Freddie Mac Gold G01548
7.50%	07/01/32			1,240,890		1,332,630
Freddie Mac Gold G01644
5.50%	02/01/34			1,842,135		1,841,896
Freddie Mac Gold G01673
5.50%	04/01/34			95,948		96,056
Freddie Mac Gold G02366
6.50%	10/01/36			1,360,940		1,403,646
Freddie Mac Gold G03436
6.00%	11/01/37			2,494,545		2,533,035
Freddie Mac Gold G03640
5.50%	12/01/37			1,840,000		1,836,489
Freddie Mac Gold G12393
5.50%	10/01/21			2,468,871		2,497,996
Freddie Mac Gold G12909
6.00%	11/01/22			1,660,293		1,699,465
Freddie Mac Gold J06246
5.50%	10/01/21			1,814,688		1,837,378
Freddie Mac Gold P50019
7.00%	07/01/24	†		24,354		25,257
Freddie Mac Non Gold Pool 1B3413
5.95%	05/01/37	2		1,573,991		1,598,130

28

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32	$	185,051	$	21,995
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31		135,901		3,025
Ginnie Mae 2004-8 SE
4.57%	11/26/232		261,217		257,422
Ginnie Mae II Pool 80968
5.63%	07/20/342		131,230		131,927
					30,228,164
Total Mortgage-Backed
(Cost $53,569,158)					53,904,121
U.S. TREASURY SECURITIES — 33.73%
U.S. Treasury Notes — 33.73%
U.S. Treasury Notes
4.25%	09/30/12		8,016,000		8,299,694
4.25%	11/15/14		7,448,000		7,685,994
4.50%	03/31/12		793,000		829,057
4.75%	05/31/12		14,445,000		15,249,644
4.88%	04/30/11		10,340,000		10,894,162
5.13%	05/15/16		6,166,000		6,675,663
					49,634,214
Total U.S. Treasury Securities
(Cost $48,314,595)					49,634,214
Total Bonds – 93.82%
(Cost $137,713,174)					138,067,240

	Notional Amount (000’s)	Value
PURCHASED SWAPTIONS — 0.60%
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.
	8,282,000		115,194
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.
	8,183,000		114,169
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.
	4,064,000		64,400
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.
	8,147,000	$	126,944
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.
	8,052,000		136,681
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.
	1,044,000		54,339
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.
	526,000		33,340
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.10% annually; Option Expiration Date of 05/11/10. Counterparty: Barclays Capital, Inc.
	1,050,000		70,878
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.	1,057,000		78,719
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.
	1,062,000		87,710
Total Purchased Swaptions
(Cost $397,105)			882,374

29

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount			Value
SHORT TERM INVESTMENTS — 8.22%
Commercial Paper — 4.68%
Citigroup Funding Corp.
4.70%	01/07/08		$	1,920,000		$	1,918,667
Credit Suisse USA, Inc.
4.81%	01/28/08			1,925,000			1,918,313
Merrill Lynch & Co., Inc.
5.25%	01/09/08			1,685,000			1,683,280
National Rural Utilities Cooperative Finance Corp.
4.23%	01/29/08			1,375,000			1,370,638
							6,890,898
Money Market Fund — 0.44%
Goldman Sachs Group, Inc. (The)	646,000			646,000
U.S. Agency Discount Notes — 3.06%
Fannie Mae
4.21%	01/24/08			320,000			319,177
4.21%	01/28/08	7		100,000			99,696
4.22%	01/25/08			590,000			588,409
4.23%	01/24/08			305,000			304,212
4.30%	01/25/08	7		2,670,000			2,662,801
Freddie Mac
4.22%	01/24/08			350,000			349,097
4.30%	01/25/08			175,000			174,519
							4,497,911
U.S. Treasury Bills — 0.04%
U.S. Treasury Bills
2.91%	01/24/087			60,000			59,893
Total Short Term Investments
(Cost $12,094,702)							12,094,702
Total Investments — 102.64%
(Cost $150,204,981)1							151,044,316
Liabilities in Excess of Other Assets — (2.64)%							(3,889,760	)
Net Assets — 100.00%						$	147,154,556
	Contracts		Premiums Received			Value
WRITTEN PUT OPTIONS
90 Day Euro Futures, Written Strike $95.375, expires 06/16/08	(150	)	$	(33,375	)	$	(8,438	)
Total Written Put Options			$	(33,375	)	$	(8,438	)
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.
	(4,000,000	)	$	(90,000	)	$	(134,517	)
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.
	(4,000,000	)		(92,800	)		(162,106	)
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.
	(2,000,000	)		(41,111	)		(81,192	)
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.
	(4,000,000	)		(85,936	)		(179,176	)
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.
	(4,000,000	)		(87,163	)		(195,166	)
Total Written Swaptions			$	(397,010	)	$	(752,157	)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
48	U.S. Treasury Two Year Note, March 2008	$	2,141
17	U.S. Treasury Five Year Note, March 2008		4,995
	Net unrealized appreciation	$	7,136

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 4.88% semi-annually. Counterparty: Citigroup, Inc.
	11/15/09	$	390	$	7,048
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.39% semi-annually. Counterparty: JPMorgan Chase & Co.
	11/15/09		940		8,548

30

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 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 4.81% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/15/09	$	400	$	6,883
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.15% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/23/09		1,090		4,705
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.04% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/30/09		390		8,327
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.08% semi-annually. Counterparty: CS First Boston.
	11/30/09		400		8,958
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.14% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	11/30/09		390		9,138
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.26% semi-annually. Counterparty: Barclays Capital, Inc.
	04/30/11		540		21,846
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.37% semi-annually. Counterparty: Barclays Capital, Inc.
	04/30/11		555		24,441
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.48% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	04/30/11		826		39,219
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		1,600		66,813
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		32,516
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		30		1,133
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17		20		185
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17		30		1,080
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.
	01/31/22		500		(2,320	)
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		(4,227	)
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		(2,943	)
				$	231,350
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 of default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CS First Boston
	12/20/11		200		6,064
Pay a fixed rate equal to 1.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: JPMorgan Chase & Co.
	09/20/12		100		5,812
Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of HD, 3.75% due 09/15/09. Counterparty: Morgan Stanley
	09/20/12		250		4,018
Pay a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD, 6.13% due 12/01/12. Counterparty: Citigroup, Inc.
	09/20/12		250		12,255
Pay a fix rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of M, 6.63% due 04/01/11. Counterparty: Citigroup, Inc.
	09/20/12		250		6,707

31

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
Pay a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.
	12/20/12	$	150	$	(1,993	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		825		2,107
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		135		1,090
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		40		176
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		90		296
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		135		643
Pay a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		325		4,630
Pay a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		50		560
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12		175		1,446
Pay a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		175		1,603
Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		100		278
Pay a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: CS First Boston
	12/20/12		75		277
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		275		266
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		175		170
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		175		591
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 JWN 6.95%, due 03/15/28. Counterparty: Morgan Stanley
	12/20/12		275		(316	)
Pay a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: UBS AG
	12/20/12		175		(360	)
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs 6.60%, due 01/15/12. Counterparty: JPMorgan & Co.
	12/20/12		325		(1,186	)
Pay a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		175		2,458
Pay a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		120		1,286
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		200		33,284
Pay a fixed rate equal to 1.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		125		21,384
Pay a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		150		(1,725	)
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: CS First Boston.
	12/20/12		50		9,009

32

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12	$	160	$	28,828
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG
	12/20/12		305		30,796
Pay a fixed rate equal to 0.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		425		39,493
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		25,373
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.
	12/20/12		135		(1,235	)
Pay a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		300		(2,149	)
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		190		(1,738	)
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		75		(21	)
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		3,190
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		8,445
Pay a fixed rate equal to 0.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GS, 6.60% due 01/15/12. Counterparty: UBS AG
	09/20/14		250		(2,530	)
Pay a fixed rate equal to 0.47% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: CS First Boston
	09/20/14		250		372
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: CS First Boston
	09/20/14		250		2,815
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		1,250		(7,697	)
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Lehman Brothers Holdings, Inc.
	07/25/45		1,170		175,347
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-A 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.
	05/25/46		165		99,783
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		320		193,518
				$	703,420
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		110		(59,900	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		105		(57,531	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		210		(115,062	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		105		(57,177	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		105		(57,177	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		105		(57,177	)

33

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)	Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37	270	(147,027	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37	535	(291,331	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	200	(109,583	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	160	(87,666	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	1,075	(589,007	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38	105	(57,531	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38	375	(205,468	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37	755	(183,848	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	320	(218,266	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	180	(135,815	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	645	(486,670	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	165	(112,544	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08	350	(433	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08	350	(224	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08	350	(1,104	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	120	(81,850	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	50	(34,104	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	550	(426,153	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	275	(213,078	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	100	(77,483	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	110	(60,271	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	95	(52,052	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38	120	(81,850	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38	120	(81,850	)

34

Intermediate Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)	Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	85		(46,573	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	95		(52,052	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	95		(52,052	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	95		(52,052	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	395		(216,426	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 08/25/37. Counterparty: Citigroup, Inc.
	01/25/38	160		(87,666	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	140		(76,708	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG
	01/25/38	50		(38,741	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	25		(19,371	)
			$	(4,780,873	)

Notes:

¹ Cost for financial reporting purposes is $150,204,981 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	2,831,577
Gross unrealized depreciation		(1,992,242	)
Net unrealized appreciation	$	839,335

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $9,431,604 representing 6.41% 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, 9.13%, 07/01/08	$	500,000	$	499,323	0.34	%
10/22/07	HCA Term Loan A, 0.00%, 11/18/12		727,362		713,077	0.48	%
		$	1,227,362	$	1,212,400	0.82	%

⁵ Zero coupon bond. The rate shown is the effective yield as of December 31, 2007.

⁶ Illiquid security.

⁷ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

† Fair valued security. The aggregate value of fair valued securities is $13,219,924 which is 8.98% 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

35

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 95.30%
ASSET-BACKED SECURITIES — 6.10%**
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2	$	50,138	$	13,197
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
7.03%	08/15/33	2		8,864,131		7,965,931
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%	04/28/39			9,784,000		9,360,539
Bear Stearns Asset Backed Securities Trust 2007-2 A1
5.06%	01/25/47	2		3,743,017		3,637,784
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
4.87%	07/25/37	2,†		3,090,000		2,595,594
Conseco Finance 2001-C A5 (STEP)
6.79%	08/15/33			7,051,252		7,056,341
Countrywide Home Equity Loan Trust 2005-M A2
5.15%	02/15/36	2		1,142,218		1,138,925
Embarcadero Aircraft Securitization Trust 2000-A A1
5.51%	08/15/25	2,3,†		1,683,372		1,430,863
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29	†		176,999		26,550
Genesis Funding Ltd. 2006-1A G1
5.21%	12/19/32	2,3,†		12,600,000		12,410,957
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			568,684		483,980
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.23%	04/15/30	2		93,589		93,592
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/29	3		1,324,641		1,320,649
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	2		40,837,595		40,359,019
Nomura Asset Acceptance Corp. 2006-S1 A1
5.01%	01/25/36	2,3		1,345,643		1,271,144
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		371,091		311,390
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	2		1,869,241		1,676,411
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		825,881		734,137
PAMCO CLO 1998-1A B2
6.26%	05/01/10	2,3,†		3,083,731		2,860,287
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%	07/25/35			5,810,000		5,467,108
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,†		5,038,082		3,375,122
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			287,785		287,639
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			854,837		852,113
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			459,518		458,054
Resmae Mortgage Loan Trust 2006-1 A1B
5.14%	02/25/36	2,3,†		8,233,368		8,018,466
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
5.00%	05/25/37	2		34,142,806		33,106,780
SG Mortgage Securities Trust 2006-FRE1 A1B
5.14%	02/25/36	2		6,968,131		6,359,507
Signature 5 CBO
0.00%	10/15/09			2,000,000		199,997
Structured Asset Receivables Trust 2003-1
5.86%	01/21/10	2,3,†		7,639,194		7,562,755
Structured Asset Receivables Trust 2003-2
5.76%	01/21/09	2,3,†		2,526,816		2,501,533
Structured Asset Securities Corp. 2007-EQ1 A4
5.12%	03/25/37	2		26,325,800		22,722,680
Terwin Mortgage Trust 2005-7SL A1
5.14%	07/25/35	2,3		346,783		341,641
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3		15,370,000		12,318,875
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,†		23,030,000		18,976,642
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	2		42,500,000		41,025,802
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3		27,500,000		27,010,170
Van Kampen CLO II Ltd.
6.59%	07/15/08	2,3,†		259,498		241,331
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27	2		5,280,000		5,603,396
Vertical CDO Ltd. 2007-1A A1J
5.99%	04/10/47	2,3,†		8,200,000		82,191
Total Asset-Backed Securities
(Cost $307,775,938)						291,259,092
CORPORATES — 13.82%*
Automotive — 1.41%
Delphi Dip 2nd Lien
9.13%	07/01/08	4,†		7,500,000		7,489,845

36

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Automotive (continued)
Ford Motor Credit Co. LLC
7.38%	10/28/09		$	4,851,000	$	4,567,857
7.80%	06/01/12			7,750,000		6,800,191
7.99%	01/13/12	2		3,809,000		3,202,097
8.00%	12/15/16			2,750,000		2,339,392
9.69%	04/15/12	2		2,925,000		2,877,220
General Motors Corp.
7.38%	05/23/48			5,200,000		3,562,000
General Motors Corp. Strip II
0.50%	07/20/11	4,†		7,350,000		6,628,127
GMAC LLC
6.63%	05/15/12			8,706,000		7,243,949
7.25%	03/02/11			2,700,000		2,368,251
7.32%	12/01/14	2		24,277,000		19,503,778
Metaldyne Corp.
10.00%	11/01/13			425,000		352,750
Tenneco, Inc.
8.13%	11/15/15	3		375,000		373,125
						67,308,582
Banking — 2.01%
Bank of America Corp.
5.75%	12/01/17			8,500,000		8,535,445
Bank One Corp. (STEP)
9.88%	03/01/19			200,000		243,299
BankAmerica Capital II
8.00%	12/15/26			800,000		839,811
BankAmerica Institutional A
8.07%	12/31/26	3		350,000		367,727
Banponce Trust I
8.33%	02/01/27			12,175,000		12,714,876
BNP Paribas SA
9.23%	06/08/17	2,†		14,354,000		15,640,118
BNP Paribas SA (MTN)
8.25%	11/28/21	2,†		5,365,000		5,353,734
CS First Boston/London
0.00%	03/24/10	2,3,†		16,131,000		15,826,124
0.00%	03/24/10	2,3,†		6,017,000		5,903,279
JPMorgan Chase & Co.
6.00%	01/15/18	†		13,200,000		13,326,010
JPMorgan Chase & Co. C (MTN)
8.55%	07/23/13	2,†		2,500,000		2,138,500
National Capital Trust II
5.49%	12/29/49	2,3		2,425,000		2,219,147
Sovereign Capital Trust VI
7.91%	06/13/36			13,375,000		12,964,642
						96,072,712
Basic Industry — 0.05%
Freeport-McMoRan Copper & Gold, Inc.
8.39%	04/01/15	2		350,000		356,125
Massey Energy Co.
6.88%	12/15/13			750,000		710,625
Mosaic Co. (The)
7.63%	12/01/14	3		750,000		806,250
Noranda Aluminium Acquisition Corp. (PIK)
8.74%	05/15/15	3		750,000		633,750
						2,506,750
Communications — 0.54%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14	†		1,500,000		1,446,666
Cebridge 2nd Lien (PIK)
10.91%	05/05/14	4,†		11,255,889		10,529,884
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13			525,000		553,875
Charter Communications, Inc. Term Loan 3rd Lien
7.34%	09/06/14	4,†		1,000,000		913,333
Cincinnati Bell, Inc.
7.25%	07/15/13			525,000		528,938
Dex Media West LLC/Dex Media Finance Co.
8.50%	08/15/10			2,500,000		2,546,875
9.88%	08/15/13			575,000		599,438
Hawaiian Telcom Communications, Inc.
0.00%	06/30/14	†		405,490		382,537
Idearc, Inc.
8.00%	11/15/16			750,000		691,875
Level 3 Financing, Inc.
9.25%	11/01/14			250,000		227,500
12.25%	03/15/13			1,000,000		1,015,000
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			500,000		466,875
Qwest Communications International, Inc.
7.50%	02/15/14			4,000,000		4,010,000
Univision Communications, Inc. 1st Lien Strip
7.21%	03/15/14	4,†		1,125,000		1,027,969
Windstream Corp.
8.13%	08/01/13			500,000		520,000
8.63%	08/01/16			500,000		527,500
						25,988,265
Consumer Discretionary — 0.04%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
0.00%	12/31/08	4,†		2,000,000		1,935,358
Consumer Products — 0.01%
Visant Holding Corp.
8.75%	12/01/13			550,000		555,500

37

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric — 1.43%
Aquila, Inc.
14.88%	07/01/12		$	1,000,000	$	1,260,000
Calpine CCFC I Term Loan
0.00%	08/26/09	4,†		10,397,034		10,656,959
Cedar Brakes I LLC
8.50%	02/15/14	3		7,355,198		8,177,053
Cedar Brakes II LLC
9.88%	09/01/13	3		10,479,744		11,895,327
Entergy Gulf States, Inc.
5.25%	08/01/15			4,600,000		4,360,271
GWF Energy LLC
6.13%	12/30/11	3		3,308,752		3,383,599
Potomac Electric Power Co.
5.88%	10/15/08			125,000		125,921
Power Contract Financing LLC
6.26%	02/01/10	3		7,033,916		7,186,784
Reliant Energy, Inc.
6.75%	12/15/14			3,680,000		3,707,600
SWEPCO Capital Trust I
5.25%	10/01/43	2		14,325,000		14,416,050
TPF Generation Holdings LLC 2nd Lien
9.08%	12/15/14	4,†		1,000,000		947,500
TXU Energy Term Loan B3
0.00%	10/10/14	†		2,000,000		1,967,840
						68,084,904
Energy — 0.39%
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			500,000		495,000
Chesapeake Energy Corp.
7.00%	08/15/14			500,000		505,000
Corral Finans AB (PIK)
10.24%	04/15/10	3		509,082		465,810
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	3		500,000		447,500
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	3		550,000		543,125
NRG Energy, Inc.
7.38%	01/15/17			1,000,000		977,500
OPTI Canada, Inc.
7.88%	12/15/14	3		750,000		736,875
Pride International, Inc.
7.38%	07/15/14			250,000		258,125
Sabine Pass LNG LP
7.25%	11/30/13			5,000,000		4,800,000
Virginia Electric & Power Co.
5.10%	11/30/12			9,295,000		9,344,989
						18,573,924
Finance — 2.79%
ABX Financing Co.
6.35%	10/15/36	3		9,800,000		9,629,892
Cengage Learning Term Loan B
7.60%	07/09/14	4,†		1,995,000		1,891,232
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2		3,035,000		2,338,519
Countrywide Home Loans, Inc. (MTN)
3.25%	05/21/08			7,673,000		6,934,435
4.00%	03/22/11			6,035,000		4,360,650
Kelson 1st Lien
0.00%	03/16/13	4,†		4,000,000		3,720,000
Lehman Brothers Holdings, Inc.
4.91%	11/24/08	2		3,765,000		3,722,491
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2,†		12,686,000		13,426,862
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2,†		6,493,000		7,110,484
0.00%	06/20/16	2,†		12,341,000		14,609,276
Lehman Brothers Holdings, Inc. I (MTN)
8.92%	02/16/17	2,†		7,030,000		6,947,749
Merrill Lynch & Co., Inc.
9.57%	06/06/17	2,†		8,040,000		8,427,126
Onbank Capital Trust I
9.25%	02/01/27			10,200,000		10,661,675
Pemex Finance Ltd.
8.88%	11/15/10			300,000		315,094
Residential Capital LLC
5.65%	06/09/08	2		12,171,000		10,467,060
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		7,331,000		7,240,096
Wachovia Bank NA/Charlotte NC
6.00%	11/15/17			21,022,000		21,201,549
						133,004,190
Gaming — 0.01%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14			500,000		493,750
Health Care — 0.47%
Carestream Health, Inc. Term Loan
10.30%	10/30/13	4,†		1,000,000		932,500
Community Health Systems, Inc.
8.88%	07/15/15			1,250,000		1,279,688
Community Health Systems, Inc. 1st Lien
7.44%	07/25/14	4,†		1,230,665		1,186,373
HCA Term Loan A
0.00%	11/18/12	4,†		19,236,949		18,289,895
Surgical Care Affiliates, Inc. Term Loan
7.08%	12/29/14	4,†		248,750		223,875
Universal Hospital Services, Inc.
8.29%	06/01/15	2		700,000		703,500
						22,615,831

38

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance — 0.97%
Asurion Corp. Term Loan
7.88%	07/13/14	4,†	$	750,000	$	725,391
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			6,590,000		6,622,950
Farmers Exchange Capital
7.05%	07/15/28	3		2,926,000		2,900,529
7.20%	07/15/48	3		1,392,000		1,367,569
Farmers Insurance Exchange
8.63%	05/01/24	3		11,127,000		12,419,201
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		15,939,000		15,770,206
ZFS Finance USA Trust I
6.15%	12/15/65	2,3		1,461,000		1,415,103
6.50%	05/09/37	2,3		4,175,000		3,860,856
ZFS Finance USA Trust II
6.45%	12/15/65	2,3		1,463,000		1,365,555
Natural Gas — 0.23%
Southern Union Co.	11/01/66	2		10,975,000		10,849,666
7.20%
Real Estate Investment Trust (REIT) — 1.48%
BRE Properties, Inc.
7.45%	01/15/11			9,280,000		10,019,106
Colonial Realty LP
4.75%	02/01/10			176,000		171,912
Developers Diversified Realty Corp.
4.63%	08/01/10			620,000		604,196
5.25%	04/15/11			3,430,000		3,387,547
5.38%	10/15/12			315,000		306,563
Equity One, Inc.
3.88%	04/15/09			270,000		261,557
First Industrial LP
5.25%	06/15/09			6,000,000		5,944,607
7.60%	07/15/28			5,000,000		5,053,965
HCP, Inc.
6.45%	06/25/12			11,800,000		11,967,693
Highwoods Properties, Inc.
7.50%	04/15/18			6,730,000		7,070,053
Reckson Operating Partnership LP
7.75%	03/15/09			5,525,000		5,705,347
Shurgard Storage Centers LLC
7.75%	02/22/11			7,200,000		7,865,654
Simon Property Group LP
5.75%	05/01/12			2,025,000		2,039,043
UDR, Inc.
5.00%	01/15/12			2,550,000		2,486,525
5.50%	04/01/14			5,000,000		4,713,200
6.05%	06/01/13			3,100,000		3,130,020
						70,726,988
Secured Assets — 0.20%
Ingress I Ltd.
7.38%	03/30/40	3,†		9,745,000		9,240,146
Services — 0.04%
Mobile Mini, Inc.
6.88%	05/01/15			750,000		686,250
United Rentals North America, Inc.
6.50%	02/15/12			1,000,000		910,000
						1,596,250
Transportation — 1.75%
Air 2 US A
8.03%	10/01/20	3		2,817,171		2,831,257
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12			67,054		67,852
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			2,311,758		2,252,348
Continental Airlines, Inc. 1999-2 A1
7.26%	09/15/21			7,366,838		7,606,260
Continental Airlines, Inc. 2000-1 A2
7.92%	11/01/11			2,000,000		2,040,000
Continental Airlines, Inc. 2007-1
6.90%	04/19/22			2,500,000		2,375,000
Delta Air Lines, Inc.
6.82%	08/10/22	3		4,170,000		4,003,200
Delta Air Lines, Inc. 2000-1 A1
7.38%	11/18/11			5,299,360		5,325,857
Delta Air Lines, Inc. 2001-1 A2 7.
11%	03/18/13			15,778,000		15,797,061
Delta Air Lines, Inc. Term Loan 1st Lien
6.72%	05/01/12	4,†		500,000		476,250
Northwest Air Dip
6.97%	05/21/12	4,†		6,930,000		6,558,954
Northwest Airlines, Inc.
6.84%	04/01/11			23,190,000		23,023,459
Saint Acquisition Corp.
12.50%	05/15/17	3		500,000		260,625
Swift Transportation Co. Term Loan
8.98%	05/06/14	4,†		441,860		364,673
United Air Lines, Inc. 2000-2 A1
7.03%	04/01/12			4,007,290		4,007,290
United Air Lines, Inc. 2001-1 A1
6.07%	09/01/14			6,688,419		6,713,501
						83,703,587
Total Corporates
(Cost $667,892,054)						659,703,763
MORTGAGE-BACKED — 39.32%**
Asset-Backed Securities — 0.16%
Terwin Mortgage Trust 2007-9SL M1
7.37%	06/25/38	2,3,†		12,000,000		7,200,000

39

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed — 6.72%
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35		$	13,515,000	$	14,174,843
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		25,696,160
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	2		35,351,000		35,783,601
Commercial Mortgage Acceptance Corp. 1998-C2 A3
6.04%	09/15/30			10,395,438		10,386,801
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.79%	06/10/46	2		27,668,000		28,103,115
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.55%	02/15/39	2		12,217,000		12,377,173
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			21,035,000		21,001,123
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%	11/15/36			18,000,000		18,239,969
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	2		9,355,000		9,018,950
FMAC Loan Receivables Trust 1998-CA A2
6.66%	09/15/20	3,†		1,808,440		1,771,875
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	2		2,040,000		1,963,236
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.54%	05/15/35	2,5		204,586,349		1,981,726
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%	10/15/38			27,150,000		28,066,209
GMAC Commercial Mortgage Securities, Inc. 2004-C3 A4
4.55%	12/10/41			435,000		431,773
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35			34,500,000		34,624,521
GS Mortgage Securities Corp. II 2005-GG4 A4A
4.75%	07/10/39			435,000		417,658
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CB16 AM
5.59%	05/12/45			16,880,000		16,751,066
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			13,457,729		14,191,561
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36	2		5,748,800		5,998,206
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36			9,865,945		9,687,239
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4
4.96%	11/15/35	2		30,000,000		30,023,625
						320,690,430
Non-Agency Mortgage-Backed — 9.51%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	2		21,840,219		21,893,013
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			167,157		166,470
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.22%	11/20/46	2		32,976,769		33,057,978
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,5,†		3,723,760		1,005,297
BHN I Mortgage Fund 1997-2 A1
6.32%	05/31/17	2,3,5,†		2,693,109		780,997
BHN I Mortgage Fund 1997-2 A2
7.54%	05/31/17	3,5,†		5,060,851		1,467,569
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,5,†		2,178,093		588,016
BlackRock Capital Finance LP 1997-R2 AP
9.31%	12/25/35	2,3,†		4,326		4,326
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		15,528,191		15,543,443
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		34,089,956		33,653,161
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.15%	01/25/35	2,3,†		2,877,336		2,730,793
Citigroup Commercial Mortgage Trust 2007-C6 AM
5.70%	12/10/49	2		2,040,000		2,049,411
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.75%	05/25/34	2,3		19,094,440		19,018,205
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	5,6,†		19,919,431		429,835
Countrywide Alternative Loan Trust 2005-27 2A1
6.14%	08/25/35	2,†		11,333,976		10,763,735
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	5,6,†		46,923,448		1,746,819
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			20,009,819		20,070,863

40

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	5,†	$	63,050,047	$	2,994,877
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		1,428		1,410
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.07%	08/25/34	2		12,553,981		12,243,230
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.10%	09/20/35	2		13,711,736		13,130,011
Credit Suisse Mortgage Capital Certificates 2007-C1 AM
5.42%	02/15/40			2,662,000		2,608,147
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.05%	01/25/26	2,3,5,†		173,084		216
Greenwich Capital Commercial Funding Corp. 2005-GG5 AM
5.28%	04/10/37	2		3,715,000		3,628,987
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			16,885,000		17,017,145
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	5,6,†		28,417,535		510,628
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	2,5,†		36,069,520		991,912
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	5,6,†		12,663,150		235,455
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.27%	08/25/34	2		49,255		47,452
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.88%	04/15/45	2		12,235,000		12,752,490
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	2		32,310,000		33,107,650
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			10,565,000		10,595,178
JPMorgan Mortgage Trust 2003-A2 2A3
4.67%	11/25/33	2		305,000		289,544
JPMorgan Mortgage Trust 2004-A5 4A4
4.83%	12/25/34	2		400,000		390,639
JPMorgan Mortgage Trust 2006-A3 3A4
5.74%	05/25/36	2		23,500,000		23,022,485
MASTR Seasoned Securities Trust 2004-1 4A1
7.16%	10/25/32	2		115,456		116,675
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			7,577,531		7,735,247
Morgan Stanley Capital I 2006-HQ8 A4
5.39%	03/12/44	2		11,825,000		11,960,633
Ocwen Residential MBS Corp. 1998-R2 AP
9.86%	11/25/34	2,3,†		35,751		23,238
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			104,481		106,850
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			28,121,202		28,149,742
Ryland Mortgage Securities Corp. 1994-5 M3
6.17%	10/25/23	2,†		420,164		315,103
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			7,154		7,134
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		4,355		4,339
Structured Mortgage Asset Residential Trust 1991-7 I (IO)
8.50%	12/25/22	2,5,†		4		1
Wachovia Bank Commercial Mortgage Trust 2006-C28 AM
5.60%	10/15/48	2		770,000		759,913
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM
5.59%	04/15/47	2		2,220,000		2,199,373
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A3 4A1
5.56%	04/25/47	2,†		31,152,731		29,808,792
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.86%	02/25/47	5,6,†		185,721,691		2,263,483
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			195,589		194,838
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.77%	06/25/34	2		445,000		413,494
Wells Fargo Mortgage Backed Securities Trust 2005-12 1A1
5.50%	11/25/35			34,469,479		33,384,508
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1
5.50%	01/25/36			25,230,525		24,851,053
Wells Fargo Mortgage Backed Securities Trust 2006-2 3A1
5.75%	03/25/36			13,715,429		13,420,446
						454,252,249

41

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 22.93%
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19		$	7,554	$	7,564
Fannie Mae 1989-27 Y
6.90%	06/25/19			1,845		1,899
Fannie Mae 1992-123 Z
7.50%	07/25/22			6,504		7,016
Fannie Mae 1992-83 Z
7.00%	06/25/22			30,860		31,354
Fannie Mae 1993-132 D (PO)
0.00%	10/25/22	6		375,831		323,427
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	2		1,327,034		22,376
Fannie Mae 1993-29 PK
7.00%	03/25/23			202,000		212,286
Fannie Mae 1994-55 H
7.00%	03/25/24			130,000		138,180
Fannie Mae 1997-34 SA
23.46%	10/25/23	2		38,697		54,093
Fannie Mae 1997-44 SB (IO)
2.77%	06/25/08	2		61,871		475
Fannie Mae 2003-106 WG
4.50%	11/25/23			32,004,000		29,821,254
Fannie Mae 2003-52 SV
6.32%	05/25/31	2		5,314,421		5,405,500
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			5,576,189		289,541
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			5,797,981		166,099
Fannie Mae 2006-80 PG
6.00%	06/25/35			23,300,000		23,764,420
Fannie Mae 2007-34 SB (IO)
1.25%	04/25/37	2,5		45,277,797		2,036,319
Fannie Mae 933033
6.50%	10/01/37			51,257,598		52,248,710
Fannie Mae G92-36 Z
7.00%	07/25/22			1,339		1,420
Fannie Mae Pool 233672
7.50%	09/01/23	2		24,794		25,336
Fannie Mae Pool 254232
6.50%	03/01/22			89,463		92,573
Fannie Mae Pool 308798
7.13%	04/01/25	2		9,478		9,577
Fannie Mae Pool 312155
7.05%	03/01/25	2		31,691		31,976
Fannie Mae Pool 545191
7.00%	09/01/31			43,403		45,100
Fannie Mae Pool 633698
7.50%	02/01/31			18,234		19,685
Fannie Mae Pool 655928
7.00%	08/01/32			145,801		154,611
Fannie Mae Pool 725257
5.50%	02/01/34			15,174,265		15,187,892
Fannie Mae Pool 735883
6.00%	03/01/33			13,857,791		14,174,706
Fannie Mae Pool 765387
6.00%	08/01/34			233,423		238,189
Fannie Mae Pool 817611
5.35%	11/01/35	2		10,808,771		10,935,709
Fannie Mae Pool 888412
7.00%	04/01/37			25,656,058		26,504,214
Fannie Mae Pool 888430
5.00%	11/01/33			57,478,942		56,181,177
Fannie Mae Pool 896464
5.82%	07/01/36	2		20,178,873		20,294,214
Fannie Mae Pool 908408
5.60%	04/01/37	2		36,465,870		36,853,320
Fannie Mae Pool 910333
5.50%	03/01/37			76,790,350		76,715,835
Fannie Mae Pool 928920
6.50%	12/01/37	†		43,883,879		45,124,970
Freddie Mac 1004 H
7.95%	10/15/20			1,546		1,544
Freddie Mac 1073 G
7.00%	05/15/21			5,526		5,509
Freddie Mac 1515 SA
8.61%	05/15/08	2		8,389		8,384
Freddie Mac 165 K
6.50%	09/15/21			988		986
Freddie Mac 1980 Z
7.00%	07/15/27			645,238		676,918
Freddie Mac 2098 TZ
6.00%	01/15/28			772,498		772,498
Freddie Mac 2209 TC
8.00%	01/15/30			192,007		204,916
Freddie Mac 2627 NI (IO)
5.00%	04/15/29			7,939,607		619,937
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			164,400		30,250
Freddie Mac Gold A24156
6.50%	10/01/31			3,382,675		3,498,590
Freddie Mac Gold A25162
5.50%	05/01/34			27,807,357		27,786,719
Freddie Mac Gold A54856
5.00%	01/01/34			35,164,994		34,362,793
Freddie Mac Gold A65805
6.00%	09/01/37			6,114,356		6,208,699
Freddie Mac Gold C01492
5.00%	02/01/33			14,410,868		14,082,120
Freddie Mac Gold C46104
6.50%	09/01/29			156,283		162,022
Freddie Mac Gold C55789
7.50%	10/01/27			56,672		60,708

42

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold C90573
6.50%	08/01/22		$	683,546	$	707,322
Freddie Mac Gold G01515
5.00%	02/01/33			13,436,213		13,129,700
Freddie Mac Gold G01601
4.00%	09/01/33			236,402		218,018
Freddie Mac Gold G01611
4.00%	09/01/33			81,132		74,823
Freddie Mac Gold G01644
5.50%	02/01/34			56,474,316		56,466,992
Freddie Mac Gold G01673
5.50%	04/01/34			3,510,534		3,514,463
Freddie Mac Gold G02366
6.50%	10/01/36			26,130,055		26,949,994
Freddie Mac Gold G02461
6.50%	11/01/36			25,266,062		25,980,475
Freddie Mac Gold G02579
5.00%	12/01/34			26,386,844		25,789,145
Freddie Mac Gold G02955
5.50%	03/01/37			36,319,517		36,254,795
Freddie Mac Gold G03139
6.50%	07/01/37			16,375,180		16,835,194
Freddie Mac Gold G03357
5.50%	08/01/37			14,898,349		14,864,012
Freddie Mac Gold G03436
6.00%	11/01/37			85,445,618		86,764,018
Freddie Mac Gold G03601
6.00%	07/01/37			57,573,554		58,443,905
Freddie Mac Gold G11707
6.00%	03/01/20			8,551,087		8,758,149
Freddie Mac Gold G12393
5.50%	10/01/21			84,007,881		84,998,914
Freddie Mac Gold G12824
6.00%	08/01/22			18,946,207		19,393,220
Freddie Mac Gold G12909
6.00%	11/01/22			50,443,568		51,633,723
Freddie Mac Gold P50019
7.00%	07/01/24	†		1,008,618		1,046,031
Freddie Mac Non Gold Pool 781415
5.23%	04/01/34	2		7,449,865		7,533,410
Freddie Mac Non Gold Pool 781469
5.12%	04/01/34	2		5,868,562		5,930,390
Freddie Mac Non Gold Pool 847288
5.09%	05/01/34	2		9,852,599		9,999,450
Ginnie Mae 2000-22 SG (IO)
5.77%	05/16/30	2		2,989,137		341,706
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			4,362,531		518,533
Ginnie Mae 2003-86 ZK
5.00%	10/20/33			18,712,578		17,542,992
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			17,381,026		15,531,014
Ginnie Mae II Pool 81018
5.63%	08/20/34	2		79,804		80,235
						1,094,904,233
Total Mortgage-Backed
(Cost $1,873,273,883)						1,877,046,912
U.S. AGENCY SECURITIES — 0.25%
Foreign Sovereign — 0.25%
Indonesia Government AID Bond
9.30%	07/01/20			9,522,500		12,039,687
Total U.S. Agency Securities
(Cost $12,262,198)						12,039,687
U.S. TREASURY SECURITIES — 35.81%
U.S. Treasury Bonds — 4.35%
U.S. Treasury Bonds
6.13%	11/15/27			139,234,000		168,658,182
8.13%	08/15/19			2,247,000		3,029,590
8.75%	08/15/20			6,178,000		8,798,343
U.S. Treasury Bonds—Treasury Inflation Indexed Bonds
2.38%	01/15/27			24,858,000		27,244,914
						207,731,029
U.S. Treasury Notes — 31.46%
Financing Corp.—Strip Principal
0.00%	09/26/19	6		14,967,000		8,615,739
U.S. Treasury Notes
4.25%	09/30/12			513,197,000		531,359,555
4.25%	11/15/14			81,970,000		84,589,269
4.50%	03/31/12			279,724,000		292,442,771
4.75%	01/31/12			79,854,000		84,196,141
4.75%	05/31/12			353,593,000		373,289,545
5.13%	05/15/16			111,435,000		120,645,883
U.S. Treasury Notes (Strip Principal)
0.00%	08/15/19	6		11,819,000		7,046,322
						1,502,185,225
Total U.S. Treasury Securities
(Cost $1,656,988,131)						1,709,916,254
Total Bonds – 95.30%
(Cost $4,518,192,204)						4,549,965,708
			Shares
PREFERRED STOCK — 0.11%
Finance — 0.11%
Woodbourne Pass-Through Trust
5.70%	12/31/49	2,3		54		5,187,375
Total Preferred Stock
(Cost $5,380,500)						5,187,375

43

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

			Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.47%
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.
				206,368,000	$	2,870,352
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.
				192,299,000		2,682,956
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.
				101,588,000		1,609,804
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.
				230,146,000		3,586,066
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.
				195,269,000		3,314,652
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.
				26,112,000		1,359,111
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.
				13,144,000		833,117
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.
				24,676,000		1,665,702
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.
				29,845,000		2,222,673
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.
				25,762,000		2,127,673
Total Purchased Swaptions
(Cost $9,998,063)						22,272,106
Issues	Maturity Date		Principal Amount		Value
SHORT TERM INVESTMENTS — 8.85%
Commercial Paper — 2.64%
Bear Stearns Cos., Inc. (The)
4.95%	01/18/08		$	29,335,000	$	29,270,463
Citigroup Funding Corp.
4.70%	01/07/08			77,235,000		77,181,364
5.05%	01/04/08			13,230,000		13,226,288
Merrill Lynch & Co., Inc.
5.25%	01/09/08			6,240,000		6,233,703
						125,911,818
Financials — 1.59%
Merrill Lynch
5.25%	01/09/08			76,000,000		75,922,417
Money Market Fund — 0.74%
Bank of New York Cash Reserves				4,676,990		4,676,990
Goldman Sachs Group, Inc. (The)				30,911,750		30,911,750
						35,588,740
U.S. Agency Discount Notes — 3.83%
Fannie Mae
0.00%	01/25/08			66,845,000		66,664,761
4.21%	01/24/08			16,690,000		16,646,470
4.21%	01/28/08	7		1,400,000		1,395,743
4.22%	01/25/08			10,785,000		10,755,923
4.23%	01/25/08			19,345,000		19,292,720
4.24%	01/25/08			6,250,000		6,233,069
4.30%	01/22/08			13,920,000		13,887,520
4.30%	01/22/08			20,000,000		19,952,222
4.30%	01/25/08			4,025,000		4,013,969
Federal Home Loan Bank
4.24%	01/11/08			3,560,000		3,556,225

44

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date			Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
Freddie Mac
4.22%		01/24/08	7	$	6,250,000		$	6,233,576
4.24%		01/24/08			700,000			698,186
4.30%		01/25/08			13,450,000			13,413,050
								182,743,434
U.S. Treasury Bills — 0.05%
U.S. Treasury Bills
2.91%		01/24/08	7		2,460,000			2,455,630
Total Short Term Investments (Cost $422,622,039)								422,622,039
Total Investments – 104.73% (Cost $4,956,192,806)1								5,000,047,228
Liabilities in Excess of Other Assets – (4.73)%								(225,740,304	)
NET ASSETS – 100.00%							$	4,774,306,924
	Principal Amount			Proceeds			Value
SECURITIES SOLD SHORT
Fannie Mae (TBA)	$	(76,347,820	)	$	(75,870,646	)	$	(76,264,295	)
Total Securities Sold Short					(75,870,646	)		(76,264,295	)
	Contracts			Premiums Received
WRITTEN PUT OPTIONS
90 Day Euro Futures, Written Strike $95.375, expires 06/16/08		(5,500	)	$	(1,223,750	)	$	(309,375	)
Total Written Put Options				$	(1,223,750	)	$	(309,375	)
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.
		(100,000,000	)	$	(2,250,000	)	$	(3,362,920	)
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.
		(94,000,000	)		(2,180,000	)		(3,809,491	)
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.
		(50,000,000	)		(1,027,778	)		(2,029,815	)
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.
		(113,000,000	)		(2,427,677	)		(5,061,711	)
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.
		(97,000,000	)		(2,113,767	)		(4,732,785	)
Total Written Swaptions					(9,999,222	)		(18,996,722	)

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
17	Euro Ninety Day, June 2008	$	(18,275	)
17	Euro Ninety Day, September 2008		(25,075	)
17	Euro Ninety Day, December 2008		(29,963	)
17	Euro Ninety Day, March 2009		(32,512	)
17	Euro Ninety Day, June 2009		(31,662	)
17	Euro Ninety Day, September 2009		(29,325	)
17	Euro Ninety Day, December 2009		(26,775	)
17	Euro Ninety Day, March 2010		(24,013	)
		$	(217,600	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
1,896	U.S. Treasury Two Year Note, March 2008	$	275,669
759	U.S. Treasury Five Year Note, March 2008		210,323
		$	485,992

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 4.39% semi-annually. Counterparty: JPMorgan Chase & Co.
	11/15/09	$	31,950	$	290,549
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.81% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/15/09		15,650		269,286
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.83% semi-annually. Counterparty: CS First Boston
	11/15/09		45,000		796,642

45

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 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 4.86% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/15/09	$	38,000	$	695,340
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.88% semi-annually. Counterparty: Citigroup, Inc.
	11/15/09		15,190		274,497
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.15% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/23/09		33,910		146,361
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.10% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/30/09		22,000		79,568
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.04% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	11/30/09		10,460		223,323
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.08% semi-annually. Counterparty: CS First Boston.
	11/30/09		10,500		235,150
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.14% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	11/30/09		10,470		245,322
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.26% semi-annually. Counterparty: Barclays Capital, Inc.
	04/30/11		16,000		646,205
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.37% semi-annually. Counterparty: Barclays Capital, Inc.
	04/30/11		16,145		707,869
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.48% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	04/30/11		23,674		1,124,061
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	04/19/17		8,900		601,847
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.
	05/09/17		9,000		779,011
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		1,616,036
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		809,765
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		9,810		370,624
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17		10,290		95,123
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17		10,710		385,734
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.
	01/31/22		10,100		(46,861	)
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		(223,291	)
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		(105,673	)
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		(75,974	)
				$	9,940,514

46

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
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 of default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CS First Boston
	12/20/11	$	4,800	$	145,541
Pay a fix rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of M, 6.63% due 04/01/11. Counterparty: Citigroup, Inc.
	09/20/12		8,500		228,023
Pay a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD, 6.13% due 12/01/12. Counterparty: Citigroup, Inc.
	09/20/12		8,500		416,665
Pay a fixed rate equal to 1.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Barclays Capital, Inc.
	09/20/12		2,250		156,821
Pay a fixed rate equal to 1.30% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Bear Stearns Cos., Inc.
	09/20/12		2,750		212,905
Pay a fixed rate equal to 0.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Bear Stearns & Co., Inc.
	09/20/12		2,150		195,506
Pay a fixed rate equal to 1.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: JPMorgan Chase & Co.
	09/20/12		2,570		149,358
Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of HD, 3.75% due 09/15/09. Counterparty: Morgan Stanley
	09/20/12		8,000		128,578
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		6,250		21,094
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 JWN 6.95%, due 03/15/28. Counterparty: Morgan Stanley
	12/20/12		9,300		(10,697	)
Pay a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: UBS AG
	12/20/12		6,250		(12,846	)
Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		3,200		8,904
Pay a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: CS First Boston
	12/20/12		3,100		11,437
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		9,250		8,961
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		6,000		5,813
Pay a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		6,200		(71,314	)
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: CS First Boston.
	12/20/12		4,500		810,789
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: Morgan Stanley.
	12/20/12		2,200		396,386
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs 6.60%, due 01/15/12. Counterparty: JPMorgan & Co.
	12/20/12		8,000		(29,203	)
Pay a fixed rate equal to 1.75% 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 EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		10,250		13,981
Pay a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		6,200		87,089
Pay a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		4,140		44,374
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		2,000		342,864
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		7,525		1,252,299

47

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 1.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12	$	1,900	$	318,917
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG
	12/20/12		6,545		660,850
Pay a fixed rate equal to 0.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		1,350		125,450
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		1,750		176,698
Pay a fixed rate equal to 1.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Bank of America Corp.
	12/20/12		10,000		647,697
Pay a fixed rate equal to 1.70% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Barclays Capital, Inc.
	12/20/12		450		28,241
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 LTD 6.125%, due 12/20/12. Counterparty: Citigroup, Inc.
	12/20/12		1,825		26,794
Pay a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		8,975		127,866
Pay a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		2,700		30,254
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.
	12/20/12		1,175		(10,747	)
Pay a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		2,320		(16,615	)
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		1,425		(13,034	)
Pay a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.
	12/20/12		4,575		(60,780	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		27,500		70,243
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		4,495		36,285
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		2,415		10,613
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		3,365		11,075
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		4,550		21,669
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		685,058
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12		5,900		48,767
Pay a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		6,000		54,947
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		2,725		(761	)
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		63,804
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		185,784

48

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 0.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GS, 6.60% due 01/15/12. Counterparty: UBS AG
	09/20/14	$	6,250	$	(63,244	)
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: CS First Boston
	09/20/14		7,000		78,806
Pay a fixed rate equal to 0.47% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: CS First Boston
	09/20/14		7,750		11,526
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: Goldman Sachs Group, Inc.
	12/20/14		8,500		26,360
Pay a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL, 6.88% due 11/15/12. Counterparty: CS First Boston.
	12/20/14		10,000		(26,205	)
Pay a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL, 6.88% due 11/15/12. Counterparty: UBS AG
	12/20/14		6,500		(17,033	)
Pay a fixed rate equal to 0.74% 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: Bear Stearns Cos., Inc.
	12/20/14		8,500		119,914
Pay a fixed rate equal to 0.44% 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: JPMorgan Chase & Co.
	12/20/14		10,000		107,278
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		44,225		(272,304	)
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Citigroup, Inc.
	07/25/45		750		112,402
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Lehman Brothers Holdings, Inc.
	07/25/45		39,615		5,937,059
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-A 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.
	05/25/46		5,940		3,592,184
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		11,110		6,718,715
				$	24,067,861
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		3,910		(2,129,170	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		3,805		(2,084,812	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		5,830		(3,194,337	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		4,115		(2,240,802	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		3,915		(2,131,893	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		3,930		(2,140,061	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		9,795		(5,333,817	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37		17,835		(9,711,957	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		7,340		(4,021,687	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		5,875		(3,218,994	)

49

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)			Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	$	35,690		$	(19,555,043	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		3,970			(2,175,218	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		12,795			(7,010,557	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		1,385			(337,257	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		25,470			(6,202,121	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		11,110			(7,577,939	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		6,655			(5,021,381	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		23,010			(17,361,680	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		5,940			(4,051,572	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		9,350			(11,567	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		(9,350	)		(5,971	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		(9,350	)		(29,485	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		4,445			(3,031,858	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,900			(1,295,957	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		13,670			(10,591,894	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		6,835			(5,295,947	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,660			(1,286,214	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		3,915			(2,145,083	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		3,145			(1,723,189	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38		4,110			(2,803,360	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		4,110			(2,803,360	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,185			(649,278	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		3,145			(1,723,189	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		3,145			(1,723,189	)

50

Total Return Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	3,145	$	(1,723,189	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		12,520		(6,859,881	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 08/25/37. Counterparty: Citigroup, Inc.
	01/25/38		4,390		(2,405,342	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		5,170		(2,832,714	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG
	01/25/38		7,550		(5,849,948	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		390		(302,183	)
				$	(160,593,096	)

Notes:

¹ Cost for financial reporting purposes is $4,956,192,806 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	102,669,912
Gross unrealized depreciation		(58,815,490	)
Net unrealized appreciation	$	43,854,422

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $263,531,557 representing 5.52% 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
07/03/07	Asurion Corp. Term Loan, 7.88%, 07/13/14	$	743,007	$	725,391	0.02	%
08/07/03	Calpine CCFC I Term Loan, 0.00%, 08/26/09		10,625,174		10,656,959	0.22	%
06/01/07	Carestream Health, Inc. Term Loan, 10.30%, 10/30/13		1,012,547		932,500	0.02	%
06/30/06	Cebridge 2nd Lien (PIK), 10.91%, 05/05/14		11,278,227		10,529,884	0.22	%
06/27/07	Cengage Learning Term Loan B, 7.60%, 07/09/14		1,976,351		1,891,232	0.04	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 7.34%, 09/06/14		1,005,733		913,333	0.02	%
08/09/07	Community Health Systems, Inc. 1st Lien, 7.44%, 07/25/14		1,198,085		1,186,373	0.02	%
11/02/07	Delphi Dip 2nd Lien, 9.13%, 07/01/08		7,508,931		7,489,845	0.16	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 6.72%, 05/01/12		478,777		476,250	0.01	%
06/13/06	General Motors Corp. Strip II, 0.50%, 07/20/11		6,856,750		6,628,127	0.14	%
09/17/07	HCA Term Loan A, 0.00%, 11/18/12		18,687,444		18,289,895	0.38	%
03/07/07	Kelson 1st Lien, 0.00%, 03/16/13		4,000,000		3,720,000	0.08	%
08/21/06	Northwest Air Dip, 6.97%, 05/21/12		6,930,000		6,558,954	0.14	%
06/28/07	Surgical Care Affiliates, Inc. Term Loan, 7.08%, 12/29/14		248,750		223,875	0.00	%
06/14/07	Swift Transportation Co. Term Loan, 8.98%, 05/06/14		441,860		364,673	0.01	%
11/06/07	TPF Generation Holdings, LLC 2nd Lien, 9.08%, 12/15/14		958,272		947,500	0.02	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08		2,000,000		1,935,358	0.04	%
06/12/07	Univision Communications, Inc. 1st Lien Strip, 7.21%, 03/15/14		1,095,781		1,027,969	0.02	%
		$	77,045,689	$	74,498,118	1.56	%

⁵ Illiquid security.

⁶ Zero coupon bond. The rate shown is the effective yield as of December 31, 2007.

⁷ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $409,025,495 which is 8.57% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

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

(IO) : Interest only

(MTN): Medium term note

(PIK): Paid in kind

(PO): Principal only

(STEP): Step coupon bond.

(TBA): To be announced

51

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 94.26%
ASSET-BACKED SECURITIES — 0.35%**
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	2,†	$	415,764	$	278,530
Terwin Mortgage Trust 2007-3SL AX (IO)
0.00%	05/25/38	2,3,4,†		1,593,750		71,694
Terwin Mortgage Trust 2007-3SL CE2 (IO)
0.00%	05/25/38	2,3,†		17,160,000		1,715
Total Asset-Backed Securities
(Cost $602,088)						351,939
CORPORATES — 91.42%*
Automotive — 9.85%
Cooper Standard TLD
7.38%	12/23/11	5,†		735,000		713,869
Delphi Dip 2nd Lien
9.13%	07/01/08	5,†		2,000,000		1,997,292
Ford Motor Credit Co. LLC
5.80%	01/12/09			1,000,000		949,421
6.75%	08/15/08			500,000		492,851
7.80%	06/01/12			1,000,000		877,444
9.69%	04/15/12	4		550,000		541,016
General Motors Corp. Strip II
0.50%	07/20/11	5,†		1,000,000		901,786
GMAC LLC
6.63%	05/15/12			750,000		624,048
7.32%	12/01/14	4		1,340,000		1,076,536
Metaldyne Corp.
10.00%	11/01/13			800,000		664,000
Tenneco, Inc.
8.13%	11/15/15	2		500,000		497,500
8.63%	11/15/14			500,000		491,250
						9,827,013
Banking — 0.92%
CS First Boston/London
0.00%	03/24/10	2,4,†		584,000		572,962
0.00%	03/24/10	2,4,†		189,000		185,428
JPMorgan Chase Bank NA
7.59%	03/28/22	4,†		175,000		165,672
						924,062
Basic Industry — 7.06%
AK Steel Corp.
7.75%	06/15/12			250,000		252,500
Arco Chemical Co.
10.25%	11/01/10			265,000		276,925
Freeport-McMoRan Copper & Gold, Inc.
8.38%	04/01/17			400,000		430,000
GrafTech Finance, Inc.
10.25%	02/15/12			237,000		245,591
Massey Energy Co.
6.88%	12/15/13			2,000,000		1,895,000
Mosaic Co. (The)
7.63%	12/01/14	2		1,375,000		1,478,125
Murray Bank Loan 2nd Lien
13.54%	01/31/11	5,†		1,564,660		1,611,599
Noranda Aluminium Holding Corp. (PIK)
10.49%	11/15/14	2		1,000,000		855,000
						7,044,740
Communications — 21.82%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14	†		1,000,000		964,444
CCH I Holdings LLC/CCH I Holdings Capital Corp.
11.00%	10/01/15			500,000		407,500
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%	11/15/13			500,000		475,000
Cebridge 2nd Lien (PIK)
10.91%	05/05/14	5,†		1,717,792		1,606,995
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13			760,000		801,800
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.
10.25%	09/15/10			500,000		492,500
Charter Communications, Inc. Term Loan 3rd Lien
7.34%	09/06/14	5,†		500,000		456,666
Cincinnati Bell, Inc.
7.25%	07/15/13			1,100,000		1,108,250
Dex Media West LLC/Dex Media Finance Co.
8.50%	08/15/10			1,000,000		1,018,750
9.88%	08/15/13			950,000		990,375
Hawaiian Telcom Communications, Inc.
0.00%	06/30/14	†		500,000		471,696
Idearc, Inc.
8.00%	11/15/16			2,250,000		2,075,625
Intelsat Subsidiary Holding Co. Ltd.
8.63%	01/15/15			1,400,000		1,414,000
Level 3 Financing, Inc.
9.25%	11/01/14			500,000		455,000
12.25%	03/15/13			2,000,000		2,030,000
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			1,250,000		1,167,188
Qwest Communications International, Inc.
7.50%	02/15/14			2,500,000		2,506,250
8.37%	02/15/09	4		100,000		100,500
Univision Communications, Inc. 1st Lien Strip
7.21%	03/15/14	5,†		1,000,000		913,750

52

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Windstream Corp.
8.63%	08/01/16		$	2,200,000	$	2,321,000
						21,777,289
Consumer Discretionary — 2.79%
Quebecor Media, Inc.
7.75%	03/15/16	2		1,000,000		965,000
Tribune - Bridge Unsecured Delayed Drawing Term Loan
0.00%	12/31/08	5,†		1,000,000		967,679
Tribune 1st Lien Term Loan B
7.91%	05/24/14	5,†		995,000		849,606
						2,782,285
Consumer Products — 2.01%
Easton-Bell Sports, Inc.
8.38%	10/01/12			475,000		429,875
Steinway Musical Instruments
7.00%	03/01/14	2		785,000		722,200
Visant Corp.
7.63%	10/01/12			325,000		328,250
Visant Holding Corp.
8.75%	12/01/13			250,000		252,500
Visant Holding Corp. (STEP)
0.00%	12/01/13			290,000		272,600
						2,005,425
Electric — 8.54%
Aquila, Inc.
14.88%	07/01/12			1,700,000		2,142,000
Boston Generating LLC 1st Lien
0.00%	12/19/13	5,†		248,539		240,092
Calpine CCFC I Term Loan
0.00%	08/26/09	5,†		1,491,662		1,528,953
Ipalco Enterprises, Inc.
8.63%	11/14/11			420,000		441,000
Reliant Energy, Inc.
6.75%	12/15/14			1,500,000		1,511,250
TPF Generation Holdings LLC 2nd Lien
9.08%	12/15/14	5,†		1,250,000		1,184,375
TXU Energy Term Loan B2
0.00%	10/10/14	†		1,000,000		982,876
TXU Energy Term Loan B3
0.00%	10/10/14	†		500,000		491,960
						8,522,506
Energy — 9.63%
Allis-Chalmers Energy, Inc.
8.50%	03/01/17			150,000		144,000
9.00%	01/15/14			800,000		792,000
Chesapeake Energy Corp.
7.00%	08/15/14			630,000		636,300
7.50%	06/15/14			225,000		230,063
7.75%	01/15/15			75,000		76,875
Corral Finans AB (PIK)
10.24%	04/15/10	2		1,018,164		931,620
Forest Oil Corp.
8.00%	12/15/11			1,000,000		1,045,000
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	2		925,000		827,875
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	2		625,000		617,188
NRG Energy, Inc.
7.38%	01/15/17			1,975,000		1,930,562
OPTI Canada, Inc.
7.88%	12/15/14	2		1,000,000		982,500
Parker Drilling Co.
9.63%	10/01/13			25,000		26,688
Pride International, Inc.
7.38%	07/15/14			325,000		335,563
Sabine Pass LNG LP
7.25%	11/30/13			1,075,000		1,032,000
						9,608,234
Finance — 9.89%
CDX North America High Yield 9 T1
8.75%	12/29/12	2		3,500,000		3,469,375
Cengage Learning Term Loan B
7.60%	07/09/14	5,†		1,246,875		1,182,020
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	4		575,000		443,047
Countrywide Home Loans, Inc. (MTN)
3.25%	05/21/08			275,000		248,530
First Data Corp. Term Loan B1
8.97%	09/27/14	5,†		498,750		474,093
First Data Corp. Term Loan B2
6.62%	09/27/14	5,†		498,750		474,917
Kelson 1st Lien
0.00%	03/16/13	5,†		1,125,000		1,046,250
Kelson 2nd Lien (PIK)
0.00%	03/01/14	5,†		1,201,728		1,087,563
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	4,†		383,000		405,367
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	4,†		294,000		321,959
Nuveen Investments, Inc.
10.50%	11/15/15	2		500,000		500,625
Residential Capital LLC
5.65%	06/09/08	4		250,000		215,000
						9,868,746
Gaming — 1.14%
Herbst Gaming, Inc.
8.13%	06/01/12			575,000		378,063

53

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Gaming (continued)
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14		$	775,000	$	765,312
						1,143,375
Health Care — 8.20%
Accellent, Inc.
10.50%	12/01/13			250,000		211,250
Carestream Health, Inc. Term Loan
10.30%	10/30/13	5,†		1,500,000		1,398,750
Community Health Systems, Inc.
8.88%	07/15/15			1,500,000		1,535,625
Community Health Systems, Inc. 1st Lien
7.44%	07/25/14	5,†		1,476,798		1,423,648
HCA Term Loan A
0.00%	11/18/12	5,†		2,742,169		2,607,170
Universal Hospital Services, Inc.
8.29%	06/01/15	4		1,000,000		1,005,000
						8,181,443
Insurance — 0.97%
Asurion Corp. Term Loan
7.88%	07/13/14	5,†		1,000,000		967,188
Services — 2.79%
ARAMARK Corp.
8.50%	02/01/15			600,000		610,500
Corrections Corp. of America
6.25%	03/15/13			350,000		346,500
Mobile Mini, Inc.
6.88%	05/01/15			1,500,000		1,372,500
United Rentals North America, Inc.
6.50%	02/15/12			500,000		455,000
						2,784,500
Transportation — 5.81%
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			815,566		794,606
Continental Airlines, Inc. 2007-1
6.90%	04/19/22			1,400,000		1,330,000
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/13			500,000		500,604
Delta Air Lines, Inc. Term Loan 1st Lien
6.72%	05/01/12	5,†		500,000		476,250
Northwest Air Dip
6.97%	05/21/12	5,†		995,000		941,726
Northwest Airlines, Inc.
6.84%	04/01/11			250,000		248,205
Saint Acquisition Corp.
12.50%	05/15/17	2		1,250,000		651,562
Swift Transportation Co. Term Loan
8.98%	05/06/14	5,†		220,930		182,337
United Air Lines, Inc.
7.13%	02/01/14	5,†		717,222		671,699
						5,796,989
Total Corporates
(Cost $94,784,020)						91,233,795
MORTGAGE-BACKED — 2.49%**
Non-Agency Mortgage-Backed — 2.37%
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	2,3,†		1,049,115		283,228
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	3,6,†		825,821		17,820
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.91%	07/20/46	3,6,†		9,813,518		483,502
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	3,6,†		1,208,772		21,720
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	3,4,†		1,546,799		42,537
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.64%	10/19/35	3,4,†		7,526,772		74,092
Harborview Mortgage Loan Trust 2006-4 X1(IO)
1.71%	05/19/47	3,4,†		5,048,241		149,854
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	3,6,†		540,955		10,058
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X (IO)
0.59%	06/25/46	3,6,†		16,849,876		115,843
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.59%	08/25/46	3,6,†		35,681,082		256,458
Washington Mutual Mortgage Pass-Through Certificates 2007-0A3 CXPP (IO)
0.74%	04/25/47	3,6,†		25,212,438		275,761
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.86%	02/25/47	3,6,†		34,289,620		417,905
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
0.85%	03/25/47	3,6,†		17,258,188		210,334
						2,359,112
U.S. Agency Mortgage-Backed — 0.12%
Fannie Mae 1993-225 SG
6.88%	12/25/13	4		99,384		109,496

54

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32		$	77,104	$	9,165
						118,661
Total Mortgage-Backed
(Cost $4,320,824)						2,477,773
Total Bonds – 94.26%
(Cost $99,706,932)						94,063,507
			Shares
PREFERRED STOCK — 0.52%
U.S. Agency Securities — 0.52%
Freddie Mac
5.08%	†			20,000		523,000
Total Preferred Stock
(Cost $500,000)						523,000
SHORT TERM INVESTMENTS — 7.36%
Commercial Paper — 4.41%
Citigroup Funding Corp.
4.70%	01/07/08		$	1,950,000		1,948,646
Credit Suisse USA, Inc.
4.81%	01/28/08			500,000		498,263
Merrill Lynch & Co., Inc.
5.25%	01/09/08			1,955,000		1,953,004
						4,399,913
Money Market Fund — 0.26%
Goldman Sachs Group, Inc. (The)				253,625		253,625
U.S. Agency Discount Notes — 2.69%
Fannie Mae
4.21%	01/24/08			590,000		588,475
4.24%	01/24/08	6		805,000		802,914
4.25%	01/24/08	6		600,000		598,442
4.30%	01/25/08			375,000		373,972
Freddie Mac
4.30%	01/25/08			325,000		324,107
						2,687,910
Total Short Term Investments
(Cost $7,341,448)						7,341,448
Total Investments – 102.14%
(Cost $107,548,380)1						101,927,955
Liabilities in Excess of Other Assets – (2.14%)						(2,131,181	)
Net Assets – 100.00%					$	99,796,774
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 4.825% semi-annually. Counterparty: Barclays Capital, Inc.
	10/15/09		$	10,000	$	154,989
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.84% semi-annually. Counterparty: Citigroup, Inc.
	10/15/09			14,250		223,877
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.66% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	10/19/09			6,000		75,668
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		58,461
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		30,419
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17			120		4,533
The Fund pays a fixed rate equal to 5.05% 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.	10/16/17			120		1,109
					$	549,056
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 2.50% 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			500		22,494
Pay a fixed rate equal to 2.50% 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		44,987

55

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
Pay a fixed rate equal to 2.50% 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: JPMorgan Chase & Co.
	06/20/12	$	500	$	22,494
Pay a fixed rate equal to 1.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Barclays Capital, Inc.
	09/20/12		500		34,849
Pay a fixed rate equal to 1.30% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Bear Stearns Cos., Inc.
	09/20/12		500		38,710
Pay a fix rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of M, 6.63% due 04/01/11. Counterparty: Citigroup, Inc.
	09/20/12		1,000		26,827
Pay a fixed rate equal to 1.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: JPMorgan Chase & Co.
	09/20/12		80		4,649
Pay a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD, 6.13% due 12/01/12. Counterparty: Citigroup, Inc.
	09/20/12		1,000		49,020
Pay a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		450		6,411
Pay a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		100		1,121
Pay a fixed rate equal to 1.75% 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 EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		500		682
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		250		(70	)
Pay a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.
	12/20/12		150		(1,993	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		1,100		2,810
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		120		969
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		50		220
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		120		395
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		190		904
Pay a fixed rate equal to 0.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		325		30,201
Pay a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		150		(1,725	)
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		200		33,284
Pay a fixed rate equal to 1.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		125		21,384
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12		250		2,066
Pay a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		225		2,060
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		150		506

56

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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 JWN 6.95%, due 03/15/28. Counterparty: Morgan Stanley
	12/20/12	$	225	$	(259	)
Pay a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: UBS AG
	12/20/12		150		(308	)
Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		75		209
Pay a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: CS First Boston
	12/20/12		75		276
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		225		218
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		125		121
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		6,381
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		16,889
Pay a fixed rate equal to 0.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GS, 6.60% due 01/15/12. Counterparty: UBS AG
	09/20/14		1,000		(10,119	)
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: CS First Boston
	09/20/14		1,000		11,258
Pay a fixed rate equal to 0.47% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: CS First Boston	09/20/14		1,000		1,487
Pay a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL, 6.88% due 11/15/12. Counterparty: UBS AG
	12/20/14		1,000		(2,620	)
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		1,000		(6,157	)
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		315		190,495
				$	551,126
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		615		(149,757	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		315		(214,856	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/38		105		(57,177	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		210		(115,062	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		105		(57,177	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		105		(57,177	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		105		(57,177	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37		525		(285,886	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		200		(109,583	)

57

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38	$	160	$	(87,666	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		105		(57,531	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		370		(202,728	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		630		(475,352	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,000		(1,237	)
Receive a fixed rate equal to 5.25% and the Fund will pay to the counterparty at par including interest accrued in the event of default of F, 7.25% due 10/25/11. Counterparty: Merrill Lynch & Co., Inc.
	03/20/08		1,000		905
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,000		(639	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,000		(3,153	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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		500		(25,719	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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		(51,437	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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: JPMorgan Chase & Co.
	06/20/12		500		(25,719	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		110		(60,271	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,927	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,927	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,927	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,927	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 08/25/37. Counterparty: Citigroup, Inc.
	01/25/38		95		(52,052	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		110		(60,271	)
				$	(2,546,430	)

Notes:

¹ Cost for financial reporting purposes is $107,548,380 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	435,378
Gross unrealized depreciation		(6,055,803	)
Net unrealized (depreciation)	$	(5,620,425	)

² Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at December 31, 2007 was $13,892,127 representing 13.92% of total net assets.

³ Illiquid security.

⁴ Floating rate security. The rate disclosed is that in effect at December 31, 2007.

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:

58

High Yield Bond Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
07/03/07	Asurion Corp. Term Loan, 7.88%, 07/13/14	$	990,677	$	967,188	0.97	%
12/19/06	Boston Generating 1st Lien, 0.00%, 12/19/13		248,539		240,092	0.24	%
04/12/07	Carestream Health, Inc. Term Loan, 10.30%, 10/30/13		1,506,252		1,398,750	1.40	%
08/07/03	Calpine CCFC I Term Loan, 0.00%, 08/26/09		1,527,664		1,528,953	1.53	%
06/30/06	Cebridge 2nd Lien (PIK), 10.91%, 05/05/14		1,725,123		1,606,995	1.61	%
06/27/07	Cengage Learning Term Loan B, 7.60%, 07/09/14		1,235,219		1,182,020	1.18	%
03/15/07	Charter Communications, Inc. Term Loan 3rd Lien, 7.34%, 09/06/14		500,563		456,666	0.46	%
08/09/07	Community Health Systems, Inc. 1st Lien, 7.44%, 07/25/14		1,437,702		1,423,648	1.43	%
03/14/06	Cooper Standard TLD, 7.38%, 12/23/11		739,241		713,869	0.72	%
01/08/07	Delphi Dip 2nd Lien, 9.13%, 07/01/08		2,001,488		1,997,292	2.00	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 6.72%, 05/01/12		478,777		476,250	0.48	%
09/27/07	First Data Corp. Term Loan B1, 8.97%, 09/27/14		479,504		474,093	0.48	%
09/27/07	First Data Corp. Term Loan B2, 6.62%, 09/27/14		479,504		474,917	0.48	%
05/03/06	General Motors Corp. Strip II, 0.50%, 07/20/11		922,500		901,786	0.90	%
09/17/07	HCA Term Loan A, 0.00%, 11/18/12		2,654,464		2,607,170	2.61	%
03/07/07	Kelson 1st Lien, 0.00%, 03/16/13		1,121,651		1,046,250	1.05	%
03/07/07	Kelson 2nd Lien (PIK), 0.00%, 03/01/14		1,198,092		1,087,563	1.09	%
02/03/05	Murray Bank Loan 2nd Lien, 13.54%, 01/31/11		1,605,223		1,611,599	1.61	%
08/21/06	Northwest Air Dip, 6.97%, 05/21/12		979,629		941,726	0.94	%
06/14/07	Swift Transportation Co. Term Loan, 8.98%, 05/06/14		220,930		182,337	0.18	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 9.08%, 12/15/14		1,218,704		1,184,375	1.19	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08		1,000,000		967,679	0.97	%
05/17/07	Tribune 1st Lien Term Loan B, 7.91%, 05/24/14		988,154		849,606	0.85	%
02/01/07	United Air Lines, Inc., 7.13%, 02/01/14		717,222		671,699	0.67	%
03/16/07	Univision Communications, Inc. 1st Lien Strip, 7.21%, 03/15/14		961,603		913,750	0.92	%
		$	26,938,425	$	25,906,273	25.96	%

⁶ Zero coupon bond. The rate shown is the effective yield as of December 31, 2007.

† Fair valued security. The aggregate value of fair valued securities is $33,702,688 which is 33.77% 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): Paid in kind

(STEP): Step coupon bond

59

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 115.09%
ASSET-BACKED SECURITIES — 45.33%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	5,562	$	5,574
Aerco Ltd. 2A A3
5.35%	07/15/25	2,3,†		8,911,286		7,365,035
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
4.92%	12/25/36	2		238,363		233,646
Aviation Capital Group Trust 2003-2A B1
7.95%	09/20/33	2,3		2,799,733		2,811,540
Bayview Financial Acquisition Trust 2004-B A1
5.36%	05/28/39	2,3,†		5,996,459		5,696,617
Citigroup Mortgage Loan Trust, Inc. 2007-AMC3 A2A
4.98%	03/25/37	2		346,100		330,505
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
5.05%	03/25/37	2		5,000,000		4,181,430
Conseco Finance 2002-C BF1
8.00%	06/15/32	2,†		3,763,000		3,461,998
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		1,218,975		1,133,456
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33	2		215,922		216,740
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/33	2,4,‡		207,676		34,516
Countrywide Asset-Backed Certificates 2006-2 2A2
5.06%	06/25/36	2		4,009,000		3,865,274
Countrywide Asset-Backed NIM Certificates 2006-12N
7.25%	07/25/37	3,†		256,172		44,830
Countrywide Asset-Backed NIM Certificates 2006-26 Note
5.30%	01/25/12	2,3,†		7,749,755		6,509,769
Countrywide Asset-Backed NIM Certificates 2007-1 Note
5.30%	01/25/12	2,3,†		11,192,858		9,401,965
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
5.02%	05/25/36	2		6,900,000		6,424,124
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
4.93%	04/25/37	2		3,573,700		3,385,523
Crystal River 2005-1A A
5.48%	03/02/46	2,3,†		2,000,073		1,965,068
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			127,794		129,078
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4
5.41%	10/25/34	2		236,020		227,126
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF17 A6
5.18%	12/25/36	2		6,900,000		5,503,038
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
5.09%	01/25/38	2		6,900,000		5,551,757
Fremont Home Loan Trust 2006-3 2A1
4.94%	02/25/37	2		114,299		112,048
Green Tree Financial Corp. 1996-10 M1
7.24%	11/15/28	2		2,700,000		2,305,972
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		79,279		83,448
Green Tree Financial Corp. 1998-2 A6
6.81%	12/01/27	2		1,094,690		1,108,324
Green Tree Financial Corp. 1998-4 A5
6.18%	04/01/30			2,332,628		2,295,867
Green Tree Financial Corp. 1998-4 A7
6.87%	04/01/30	2		981,851		993,613
Green Tree Financial Corp. 1998-6 A8
6.66%	06/01/30			1,500,000		1,514,043
Green Tree Financial Corp. 1999-1 A5
6.11%	09/01/23			36,937		37,351
Green Tree Financial Corp. 1999-5 A5
7.86%	03/01/30	2		186,359		164,043
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			132,596		102,618
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			263,955		203,709
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			39,068		30,092
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%	10/15/17			30,262		29,054
HFC Home Equity Loan Asset Backed Certificates 2004-1 A
5.30%	09/20/33	2		889,109		867,388
Home Equity Asset Trust 2006-3 2A2
5.00%	07/25/36	2		2,650,000		2,559,736
HSI Asset Securitization Corp. Trust 2006-HE2 2A1
4.92%	12/25/36	2		291,796		281,127
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			1,143,578		1,148,234
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			564,669		569,019
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28			280,905		274,614
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	2,†		1,003,233		942,569

60

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11		$	254,492	$	249,890
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/272			541,742		537,219
Inman Square Funding Ltd. 2004-1A I
5.78%	10/20/34	2,3,†		2,832,856		2,691,242
Inman Square Funding Ltd. 2005-2A I
5.69%	10/06/40	2,3,†		20,000,000		18,799,978
Ivy Lane CDO Ltd. 2006-1A A1
5.21%	02/05/46	2,3,†		14,917,485		12,680,060
Lehman ABS Mortgage Loan Trust 2007-1 2A1
4.96%	06/25/37	2,3		352,222		345,728
Long Beach Asset Holdings Corp. 2006-11 N1
6.75%	01/25/47	3,†		763,709		15,692
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,†		971,205		21,169
MASTR Asset Backed Securities Trust 2007-HE1 A1
4.95%	05/25/37	2		3,018,310		2,886,857
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
5.45%	08/25/35	2		1,389,210		1,362,343
Mid-State Trust 11 B
8.22%	07/15/38			21,111		17,664
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,645,982		1,586,699
Mid-State Trust 6 A4
7.79%	07/01/35			67,768		72,446
Morgan Stanley ABS Capital I 2007-HE1 A2D
5.10%	11/25/36	2		6,900,000		5,947,388
Nationstar Home Equity Loan Trust 2007-A AV4
5.10%	03/25/37	2		5,000,000		4,219,420
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3,†		2,633,563		1,843,494
Nationstar NIM Trust 2007-C A
8.00%	06/25/37	3,†		1,699,984		1,359,855
Newcastle Mortgage Securities Trust 2006-1 A2
4.99%	03/25/36	2		4,000,000		3,915,624
Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)
10.00%	01/25/36	2,3,4,†		3,850,000		146,300
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			5,613		5,769
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			322,107		331,045
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			304,062		286,731
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19	2		214,804		172,366
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		12,796		10,738
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	2		773,123		693,368
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%	02/15/10	4,†		237,548		23,747
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		264,705		235,300
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		2,413,035		269,108
PAMCO CLO 1998-1A B2
6.26%	05/01/10	2,3,†		1,468,443		1,362,041
RAAC 2007-RP1 M4
6.87%	05/25/46	2,3,†		111,116		77,781
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,†		1,907,623		1,277,959
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
4.94%	02/25/37	2		258,120		250,457
Residential Asset Securities Corp. 2007-KS2 AI1
4.94%	02/25/37	2		312,130		302,404
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
5.34%	04/25/35	2		7,000,000		5,727,189
Soundview NIM Trust 2007-OPT1 N
9.00%	06/25/373	,†		3,482,736		2,612,052
Specialty Underwriting & Residential Finance 2004-BC4 A2C
5.36%	10/25/35	2		2,360,738		2,331,228
Structured Asset Receivables Trust 2003-1
5.86%	01/21/10	3,†		556,428		550,860
Structured Asset Receivables Trust 2003-2
5.76%	01/21/09	3,†		728,489		721,200
Structured Asset Receivables Trust 2005-1
5.87%	01/21/15	3,†		14,322,948		13,964,779
Terwin Mortgage Trust 2004-7HE A1
5.42%	07/25/34	2,3		122,539		118,715
Terwin Mortgage Trust 2005-11 1M2 (STEP)
4.75%	11/25/36	3,†		3,500,000		1,856,769
Terwin Mortgage Trust 2005-13SL P
0.00%	12/25/36	3,4		1,000		19,000
Terwin Mortgage Trust 2005-5SL B4
6.00%	05/25/35	3,†		645,597		64,499

61

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Terwin Mortgage Trust 2005-P1 A
0.00%	11/25/35	5	$	570	$	684
Terwin Mortgage Trust 2006-1SL P
0.00%	01/25/37	3,4		1,000		14,000
Terwin Mortgage Trust 2006-4SL P
0.00%	05/25/37			410		47,150
Terwin Mortgage Trust 2006-6 1AX (IO)
0.00%	07/25/37	2,†		12,750,000		6,375
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3		2,000,000		1,964,376
Terwin Mortgage Trust 2007-3SL AX (IO)
0.00%	05/25/38	2,3,4,†		18,996,000		854,526
Terwin Mortgage Trust 2007-3SL CE2 (IO)
0.00%	05/25/38	3,4,†		111,560,000		11,152
Terwin Mortgage Trust NIM 2007-4 N1
10.00%	05/25/38	3,†		1,157,719		1,082,181
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		585		460
Vertical CDO Ltd. 2007-1A A1J
5.99%	04/10/47	2,3,†		3,300,000		33,077
Wells Fargo Home Equity Trust 2007-2 M1
5.24%	04/25/37	2,†		5,000,000		2,600,082
Total Asset-Backed Securities
(Cost $210,959,976)						182,679,714
CORPORATES — 34.90%*
Automotive — 5.40%
Delphi Dip 2nd Lien
9.13%	07/01/08	5,†		6,000,000		5,991,876
Ford Motor Credit Co. LLC
7.99%	01/13/12	2		4,000,000		3,362,664
General Motors Corp.
7.38%	05/23/48			2,600,000		1,781,000
General Motors Corp. Strip II
0.50%	07/20/11	5,†		2,500,000		2,254,465
GMAC LLC
7.25%	03/02/11			2,000,000		1,754,260
7.32%	12/01/14	2		8,256,000		6,632,747
						21,777,012
Banking — 1.47%
CS First Boston/London
0.00%	03/24/10	2,3,6,†		1,832,000		1,797,375
0.00%	03/24/10	2,3,6,†		1,063,000		1,042,909
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		1,000,000		910,531
JPMorgan Chase Bank NA
8.75%	11/28/21	2,†		2,201,000		2,177,229
						5,928,044
Basic Industry — 0.94%
Barrick Gold Finance Co.
5.80%	11/15/34			667,000		613,227
Murray Bank Loan 3rd Lien
17.10%	07/28/11	5,†		1,054,240		1,041,062
Noranda Aluminium Holding Corp. (PIK)
10.49%	11/15/14	3		2,500,000		2,137,500
						3,791,789
Communications — 3.50%
Cebridge 2nd Lien (PIK)
10.91%	05/05/14	5,†		8,449,335		7,904,353
Charter Communications, Inc. Term Loan 3rd Lien
7.34%	09/06/14	5,†		3,000,000		2,739,999
Dex Media West LLC/Dex Media Finance Co.
8.50%	08/15/10			1,000,000		1,018,750
Level 3 Financing, Inc.
9.25%	11/01/14			250,000		227,500
12.25%	03/15/13			1,500,000		1,522,500
Univision Communications, Inc. 1st Lien Strip
7.21%	03/15/14	5,†		750,000		685,312
						14,098,414
Consumer Discretionary — 1.44%
D.R. Horton, Inc.
5.62%	01/15/16			2,115,000		1,756,979
Tribune—Bridge Unsecured Delayed Drawing Term Loan
0.00%	12/31/08	5,†		2,000,000		1,935,358
Tribune 1st Lien Term Loan B
7.91%	05/24/14	5,†		2,495,000		2,130,418
						5,822,755
Electric — 3.67%
Boston Generating LLC 1st Lien
0.00%	12/19/13	5,†		2,982,466		2,881,109
Calpine CCFC I Term Loan
0.00%	08/26/09	5,†		2,250,000		2,306,250
Power Contract Financing LLC
6.26%	02/01/10	3		2,770,786		2,831,003
Progress Energy, Inc.
5.69%	01/15/10	2		1,809,000		1,811,435
Reliant Energy, Inc.
6.75%	12/15/14			3,000,000		3,022,500
TPF Generation Holdings LLC 2nd Lien
9.08%	12/15/14	5,†		1,000,000		947,500
TXU Energy Term Loan B2
0.00%	10/10/14	†		1,000,000		982,876
						14,782,673
Finance — 4.07%
Capital One Capital III
7.69%	08/15/36			2,000,000		1,630,398

62

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2	$	3,513,000	$	2,706,826
Countrywide Home Loans, Inc. (MTN)
3.25%	05/21/08			700,000		632,622
4.00%	03/22/11			1,300,000		939,328
First Data Corp. Term Loan B1
8.97%	09/27/14	5,†		1,496,250		1,422,280
Kelson 1st Lien
0.00%	03/16/13	5,†		5,000,000		4,650,000
Kelson 2nd Lien (PIK)
0.00%	03/01/14	5,†		3,738,708		3,383,531
Residential Capital LLC
5.65%	06/09/08	2		1,200,000		1,032,000
						16,396,985
Health Care — 1.47%
Carestream Health, Inc. Term Loan
10.30%	10/30/13	5,†		2,250,000		2,098,125
HCA Term Loan A
0.00%	11/18/12	5,†		4,000,000		3,803,076
						5,901,201
Insurance — 1.27%
Asurion Corp. Term Loan
7.88%	07/13/14	5,†		1,000,000		967,188
Fairfax Financial Holdings Ltd.
6.88%	04/15/08			1,250,000		1,245,312
Farmers Exchange Capital
7.05%	07/15/28	3		1,000,000		991,295
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		1,000,000		989,410
Travelers Cos., Inc. (The)
6.25%	03/15/37	2		1,000,000		939,386
						5,132,591
Natural Gas — 0.49%
Southern Union Co.
7.20%	11/01/66	2		2,005,000		1,982,103
Real Estate Investment Trust (REIT) — 0.58%
HCP, Inc.
7.07%	06/08/15			500,000		517,824
HRPT Properties Trust
5.59%	03/16/11	2		750,000		724,621
Shurgard Storage Centers LLC
7.75%	02/22/11			1,000,000		1,092,452
						2,334,897
Secured Assets — 0.24%
Ingress I Ltd.
7.38%	03/30/40	3,†		1,000,000		948,194
Services — 0.42%
United Rentals North America, Inc.
6.50%	02/15/12			1,875,000		1,706,250
Transportation — 9.94%
American Airlines, Inc. 1999-1 A1
6.86%	10/15/10			19,821		19,870
American Airlines, Inc. 2001-2 A1
6.98%	10/01/12			65,495		66,274
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			14,361,362		13,992,287
Continental Airlines, Inc. 2007-1
6.90%	04/19/22			2,650,000		2,517,500
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/12			2,197,718		2,188,331
Delta Air Lines, Inc. 2001-1 A2
7.11%	03/18/13			6,370,000		6,377,696
Northwest Air Dip
6.97%	05/21/12	5,†		4,960,000		4,694,432
Northwest Airlines, Inc.
6.84%	04/01/11			1,200,000		1,191,382
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23			2,554,197		2,547,013
Saint Acquisition Corp.
12.50%	05/15/17	3		4,000,000		2,085,000
Swift Transportation Co. Term Loan
8.98%	05/06/14	5,†		1,767,442		1,458,693
United Air Lines, Inc.
7.13%	02/01/14	5,†		2,510,278		2,350,945
United Air Lines, Inc. 2000-2 A1
7.03%	04/01/12			561,348		561,348
United Air Lines, Inc. 2001-1 A1
6.07%	09/01/14			3,453		3,466
						40,054,237
Total Corporates
(Cost $150,292,863)						140,657,145
MORTGAGE-BACKED — 34.86%**
Asset-Backed Securities — 0.15%
Terwin Mortgage Trust 2007-9SL M1
7.37%	06/25/38	2,3,†		1,000,000		600,000
Commercial Mortgage-Backed — 6.10%
Bayview Commercial Asset Trust 2007-1 A1
5.09%	03/25/37	2,3,†		5,434,741		5,059,400
Bear Stearns Commercial Mortgage
Securities 2006-PW14 AM
5.24%	12/11/38			10,000,000		9,702,104
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	2,6		9,655,000		9,308,173
FMAC Loan Receivables Trust 1998-CA A2
6.66%	09/15/20	3,†		38,620		37,839

63

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Structured Asset Securities Corp. 1996-CFL
H
7.75%	02/25/283		$	491,912	$	495,437
						24,602,953
Non-Agency Mortgage-Backed — 17.46%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4,†		2,327,350		628,311
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4,†		39,932		10,780
Citigroup Commercial Mortgage Trust 2006-C4 AM
5.72%	03/15/49	2,6		11,400,000		11,495,955
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	4,7,†		3,023,774		65,249
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	4,7,†		7,619,635		283,656
Countrywide Alternative Loan Trust 2006-0A9 X1P (IO)
1.91%	07/20/46	4,7,†		81,255,925		4,003,398
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	4,†		42,801,543		2,033,073
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		894		883
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.73%	04/19/47	2,†		1,866,966		1,773,797
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,7,†		7,635,085		137,193
Harborview Mortgage Loan Trust 2005-10 X (IO)
2.28%	11/19/35	2,4,†		13,471,164		370,457
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.64%	10/19/35	2,4,†		29,274,969		288,175
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
2.61%	03/19/37	2,4,†		27,050,555		1,166,555
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
1.71%	05/19/47	2,4,†		54,627,714		1,621,596
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	4,7,†		2,084,894		38,766
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
5.27%	08/25/34	2		505,175		486,689
LB-UBS Commercial Mortgage Trust 2006-C3 AM
5.71%	03/15/39	2,6		13,145,000		13,235,781
Lehman XS Net Interest Margin Notes 2006-2N A1
7.00%	02/27/46	3,†		902,105		900,358
Morgan Stanley Capital I 2006-HQ9 AM
5.77%	07/12/44	2		10,000,000		10,048,562
Morgan Stanley Capital I 2006-IQ12 AM
5.37%	12/15/43			11,000,000		10,718,373
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,†		2,849,942		2,321,909
Washington Mutual Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			172,992		179,380
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.59%	08/25/46	4,7,†		264,109,974		1,898,290
Washington Mutual Mortgage Pass-Through Certificates 2007-0A3 CXPP (IO)
0.74%	04/25/47	4,7,†		111,655,084		1,221,228
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.86%	02/25/47	4,7,†		224,623,414		2,737,598
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
0.85%	03/25/47	4,7,†		223,409,567		2,722,804
						70,388,816
U.S. Agency Mortgage-Backed — 11.15%
Fannie Mae 1993-80 S
4.92%	05/25/23	2		25,094		25,063
Fannie Mae 1997-44 SB (IO)
2.77%	06/25/08	2		44,194		340
Fannie Mae 2000-45 SA (IO)
2.95%	12/18/30	2,6		4,033,279		395,252
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		2,867		3,083
Fannie Mae 2003-107 SQ (IO)
2.79%	05/25/33	2		658,237		29,423
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			513,000		33,169
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		57,148		60,980
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32	6		2,686,483		349,683
Fannie Mae 2003-67 IH (IO)
5.00%	01/25/25			753,856		11,622
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			135,000		8,607
Fannie Mae 2005-47 SL
7.50%	06/25/35	2,6		1,645,209		1,638,590
Fannie Mae 2007-34 SB (IO)
1.25%	04/25/37	2,4,6		60,062,384		2,701,240
Fannie Mae 2007-50 SE (IO)
1.89%	06/25/37	2,6		40,910,472		2,027,478

64

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 555312
7.02%	01/01/33	2,6	$	537,779	$	544,687
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		16,321
Freddie Mac 2451 SP
5.88%	05/15/09	2		9,565		9,848
Freddie Mac 2527 TI (IO)
6.00%	02/15/32	6		835,292		107,160
Freddie Mac 2561 BX (IO)
5.00%	05/15/17	6		1,924,968		207,949
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			1,659,942		28,815
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			755,905		48,843
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			200,624		36,915
Freddie Mac 2657 LX (IO)
6.00%	05/15/18	6		1,139,484		131,394
Freddie Mac 2692 EI (IO)
5.50%	08/15/33			261,436		64,967
Freddie Mac 2764 CT
7.50%	03/15/34	2,6		484,272		464,362
Freddie Mac 2764 SH
7.50%	03/15/34	2,6		305,435		295,901
Freddie Mac 2827 JT
8.50%	12/15/32	2,6		170,681		170,104
Freddie Mac 2856 ST
7.00%	09/15/23	2,6		745,461		737,044
Freddie Mac 3132 FA
5.43%	03/15/36	2,6		8,530,550		8,459,721
Freddie Mac 3145 GF
5.43%	04/15/36	2,6		6,651,654		6,594,814
Freddie Mac 3148 CF
5.43%	02/15/34	2,6		8,055,442		7,991,066
Freddie Mac 3242 SA (IO)
1.32%	11/15/36	2,6		65,468,210		3,577,235
Freddie Mac 3260 AS (IO)
1.35%	01/15/37	2,6		80,953,239		3,735,466
Freddie Mac 3280 SI (IO)
1.41%	02/15/37	2,6		48,388,972		2,373,184
Freddie Mac 3289 SD (IO)
1.09%	03/15/37	2,6		26,653,019		1,311,584
Ginnie Mae 2001-31 SJ
10.68%	02/20/31	2,6		127,191		148,123
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			213,965		25,432
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			200,000		5,146
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			336,073		7,480
Ginnie Mae 2004-8 SE
4.57%	11/26/23	2,6		551,458		543,447
						44,921,538
Total Mortgage-Backed
(Cost $139,013,978)						140,513,307
Total Bonds — 115.09%
(Cost $500,266,817)						463,850,166
PREFERRED STOCK — 0.35%
Automotive — 0.04%
Corts Trust for Ford Motor Co.
0.10%	07/16/31			700		11,417
Preferred Plus Trust Ford Motor Co.
0.10%	07/16/31			8,100		138,348
						149,765
Communications — 0.31%
Corts Trust for US West Communications
0.09%	11/15/43			7,118		175,174
Preferred Plus Trust Citizens Communications Co.
0.10%				12,100		305,041
Preferred Plus Trust Qwest Capital Funding
0.10%	02/15/31			9,650		200,141
0.10%	02/15/31			19,500		419,055
Preferred Plus Trust Verizon Global Funding Corp.
0.10%	12/01/30			6,100		153,842
						1,253,253
Total Preferred Stock
(Cost $1,487,681)						1,403,018

Issues	Contracts	Value
PUT OPTIONS PURCHASED — 0.21%
Automotive — 0.21%
General Motors Corp., Put Strike $30, expires 01/19/08
	200	100,000
General Motors Corp., Put Strike $35, expires 01/19/08
	450	438,750
General Motors Corp., Put Strike $40, expires 01/19/08
	200	298,000
		836,750

65

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Contracts	Value
PUT OPTIONS PURCHASED (continued)
Futures — 0.00%
90 Day Euro Futures, Put Strike $94.625, expires 03/22/08	1,000	$	6,250
Total Put Options Purchased
(Cost $ 1,840,300)			843,000
CALL OPTIONS PURCHASED — 0.15%
Futures — 0.15%
90 Day Euro Futures, Call Strike $95.875, expires 06/16/08	500		612,500
Total Call Options Purchased
(Cost $ 613,750)			612,500
	Notional Amount (000’s)
PURCHASED SWAPTIONS — 1.11%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.60% annually; Option Expiration Date of 12/29/09. Counterparty: Barclays Capital, Inc.
	41,408,000		575,940
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.
	38,868,000		542,286
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.
	20,318,000		321,967
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.
	44,807,000		698,169
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.
	40,261,000		683,422
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.
	5,222,000		271,802
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.
	2,629,000		166,636
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.
	4,988,000		336,705
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.
	5,811,000		432,768
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.
	5,312,000		438,716
Total Purchased Swaptions
(Cost $2,005,306)			4,468,411

Issues	Maturity Date		Principal Amount		Value
SHORT TERM INVESTMENTS — 9.25%
Money Market Fund — 1.48%
Bank of New York Cash Reserves			$	106,223	$	106,223
Goldman Sachs Group, Inc. (The)				5,888,500		5,888,500
						5,994,723
U.S. Agency Discount Notes — 7.54%
Fannie Mae
4.21%	01/14/08	6		1,780,000		1,777,502
4.21%	01/24/08	6		2,300,000		2,294,097
4.21%	01/24/08			100,000		99,743
4.22%	01/24/08	7		5,500,000		5,485,816
4.22%	01/25/08			13,085,000		13,049,721
4.23%	01/24/08			505,000		503,695
4.29%	01/25/08	7		350,000		349,041

66

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
4.30%	01/25/08		$	760,000		$	757,945
4.34%	01/24/08	7		5,285,000			5,270,983
Freddie Mac
4.30%	01/25/08	6		785,000			782,844
							30,371,387
U.S. Treasury Bills — 0.23%
U.S. Treasury Bills
2.91%	01/24/08	6		930,000			928,348
Total Short Term Investments
(Cost $ 37,294,458)							37,294,458
Total Investments – 126.16%
(Cost $ 543,508,312)1						$	508,471,553
Liabilities in Excess of Other Assets – (26.16)%							(105,441,589	)
NET ASSETS – 100.00%						$	403,029,964
	Shares		Proceeds			Value
SECURITIES SOLD SHORT
AMR Corp.	(3,565	)	$	(28,671	)	$	(50,017	)
Continental Airlines, Inc., Cl. B	(33,041	)		(403,761	)		(735,162	)
Total Securities Sold Short			$	(432,432	)	$	(785,179	)
Counterparty	Maturity Date		Principal Amount			Net Closing Amount
REVERSE REPURCHASE AGREEMENTS — 0.00%
Barclays Capital, Inc.	01/18/08		$	(8,000,000	)	$	(8,000,000	)
Barclays Capital, Inc.	01/29/08			(21,991,000	)		(21,991,000	)
Barclays Capital, Inc.	01/29/08			(10,542,000	)		(10,542,000	)
CS First Boston Corp.	01/29/08			(8,345,000	)		(8,345,000	)
CS First Boston Corp.	01/07/08			(2,631,000	)		(2,631,000	)
JP Morgan Chase & Co.	01/29/08			(21,829,000	)		(21,829,000	)
Total Reverse Repurchase Agreements			$	(73,338,000	)	$	(73,338,000	)
Issues	Contracts		Premiums Received			Value
CALL OPTIONS WRITTEN
90 Day Euro Futures, Call Strike $96.125, expires 03/17/08	(500	)	$	(142,500	)	$	(68,750	)
90 Day Euro Futures, Call Strike $96.625, expires 06/16/08	(1,000	)		(385,000	)		(368,750	)
Total Call Options Written			$	(527,500	)	$	(437,500	)
WRITTEN PUT OPTIONS
90 Day Euro Futures, Written Strike $94.125, expires 03/22/08	(1,000	)	$	(216,250	)	$	(6,250	)
90 Day Euro Futures, Written Strike $94.375, expires 03/22/08	(1,000	)		(385,000	)		(6,250	)
90 Day Euro Futures, Written Strike $95.375, expires 06/16/08	(1,100	)		(182,250	)		(61,875	)
General Motors Corp., Written Strike $7.50, expires 01/19/08	(505	)		(74,232	)		(758	)
Total Written Put Options			$	(857,732	)	$	(75,133	)
Issues	Notional Amount (000’s)
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.
	(20,000,000	)	$	(450,000	)	$	(672,584	)
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.
	(19,000,000	)		(440,800	)		(770,003	)
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.
	(10,000,000	)		(205,556	)		(405,963	)
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.
	(22,000,000	)		(472,645	)		(985,466	)
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.
	(20,000,000	)		(435,815	)		(975,832	)
Total Written Swaptions			$	(2,004,816	)	$	(3,809,848	)

67

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
84	Euro Ninety Day, March 2008	$	(151,250	)
115	Euro Ninety Day, June 2008		(295,875	)
115	Euro Ninety Day, September 2008		(356,425	)
115	Euro Ninety Day, December 2008		(390,113	)
115	Euro Ninety Day, March 2009		(393,138	)
115	Euro Ninety Day, June 2009		(370,013	)
115	Euro Ninety Day, September 2009		(335,375	)
115	Euro Ninety Day, December 2009		(301,700	)
31	Euro Ninety Day, March 2010		(53,662	)
197	U.S. Treasury Two Year Note, March 2008		(25,149	)
231	U.S. Treasury Five Year Note, March 2008		(20,819	)
89	U.S. Treasury Ten Year Note, March 2008		(6,203	)
25	U.S. Treasury Thirty Year Note, March 2008		34,961
	Net unrealized depreciation	$	(2,664,761	)

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 8.66% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	01/02/17	$	5,000	$	573,830
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.40% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	02/06/17		7,000		868,305
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.75% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	03/09/17		8,000		1,076,890
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.34% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.
	04/10/17		6,000		460,124
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc.
	04/19/17		7,000		473,363
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.
	05/09/17		2,000		173,114
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.68% annually. Counterparty: Lehman Brothers Holdings, Inc.
	05/16/17		8,000		897,542
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		668,128
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		174,645
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 9.15% annually. Counterparty: Merrill Lynch & Co., Inc.
	05/25/17		5,000		719,194
The Fund pays a fixed rate equal to 5.42% semi-annually and the Fund receives a floating rate based on 3-month USD LIBOR. Counterparty: CS First Boston
	05/25/17		59,940		(3,607,310	)
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		738,506
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		1,670		63,093
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17		1,660		15,345
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17		1,670		60,147
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.
	01/31/22		3,000		(13,919	)

68

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 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 7.75% quarterly. Counterparty: JPMorgan Chase & Co.
	03/26/22	$	5,930	$	(266,958	)
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		(52,836	)
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		(15,489	)
				$	3,005,714
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		(46,197	)
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		(1,555	)
Pay a fixed rate equal to 0.12% and the Fund will receive from the counterparty at par including interest accrued in the event of default of FSA Monocline Supp, 6.95% due 12/20/11. Counterparty: CS First Boston
	12/20/11		2,000		60,642
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 Cos., Inc.
	12/20/11		1,000		1,672
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: CS First Boston
	06/20/12		7,500		454,181
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: Barclays Capital, Inc.
	06/20/12		1,000		60,555
Pay a fixed rate equal to 2.50% 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		2,500		112,467
Pay a fixed rate equal to 2.50% 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		9,000		404,882
Pay a fixed rate equal to 2.50% 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: JPMorgan Chase & Co.
	06/20/12		2,500		112,467
Pay a fixed rate equal to 1.25% 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, due 06/20/12. Counterparty: JPMorgan Chase & Co.
	06/20/12		2,000		31,889
Pay a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of HD, 3.75% due 09/15/09. Counterparty: Morgan Stanley
	09/20/12		2,500		40,181
Pay a fixed rate equal to 1.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Barclays Capital, Inc.
	09/20/12		2,250		156,821
Pay a fixed rate equal to 1.30% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: Bear Stearns Cos., Inc.
	09/20/12		2,750		212,905
Pay a fixed rate equal to 1.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: JPMorgan Chase & Co.
	09/20/12		750		43,587
Pay a fixed rate equal to 3.17% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CFC, 4.00% due 03/22/11. Counterparty: CS First Boston
	09/20/12		1,500		274,428
Pay a fix rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of M, 6.63% due 04/01/11. Counterparty: Citigroup, Inc.
	09/20/12		2,500		67,066
Pay a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD, 6.13% due 12/01/12. Counterparty: Citigroup, Inc.
	09/20/12		2,500		122,549
Pay a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12		1,000		14,247

69

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
Pay a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LTD 6.125%, due 12/01/12. Counterparty: UBS AG
	12/20/12	$	1,300	$	14,567
Pay a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		1,100		(307	)
Pay a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		300		835
Pay a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: CS First Boston
	12/20/12		375		1,384
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		1,000		969
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the LOW 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12		750		727
Pay a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.
	12/20/12		500		(6,643	)
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		5,000		12,771
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		400		3,229
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		45		198
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		100		329
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		155		738
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		202,980
Pay a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		700		9,833
Pay a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		475		5,091
Pay a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the M 6.625%, due 04/01/11. Counterparty: Morgan Stanley
	12/20/12		750		(8,627	)
Pay a fixed rate equal to 1.75% 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 EM, 8.175%, due 12/20/12. Counterparty: Barclays Capital, Inc.
	12/20/12		2,500		2,439
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG
	12/20/12		2,050		206,989
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		950		158,098
Pay a fixed rate equal to 1.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		550		94,091
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.
	12/20/12		700		2,363
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 JWN 6.95%, due 03/15/28. Counterparty: Morgan Stanley
	12/20/12		1,050		(1,208	)
Pay a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the JWN 6.95%, due 03/15/28. Counterparty: UBS AG
	12/20/12		700		(1,439	)

70

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
Pay a fixed rate equal to 1.75% 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 EM 8.175%, due 12/20/12. Counterparty: Barclays Capital, Inc.
	12/20/12	$	3,000	$	4,092
Pay a fixed rate equal to 3.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Dow Jones CDX Series 9, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		4,000		171,592
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.
	12/20/12		1,025		8,472
Pay a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the HD 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		1,250		11,447
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		38,282
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: CS First Boston
	06/20/14		5,000		74,693
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: CS First Boston
	06/20/14		4,000		337,824
Pay a fixed rate equal to 0.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the GS, 6.60% due 01/15/12. Counterparty: UBS AG
	09/20/14		5,000		(50,595	)
Pay a fixed rate equal to 0.47% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: CS First Boston
	09/20/14		5,000		7,526
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: CS First Boston
	09/20/14		2,500		28,145
Pay a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: Goldman Sachs Group, Inc.
	12/20/14		1,250		3,877
Pay a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL, 6.88% due 11/15/12. Counterparty: UBS AG
	12/20/14		2,500		(6,551	)
Pay a fixed rate equal to 0.74% 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: Bear Stearns Cos., Inc.
	12/20/14		2,500		35,269
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		5,000		(30,786	)
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 AG4
	07/25/34		5,000		107,459
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 AG2,4
	07/25/34		5,000		101,759
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 AG4
	08/25/34		5,000		143,805
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: Bear Stearns Cos., Inc.2
	01/25/35		223		42,352
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Citigroup, Inc.
	07/25/45		4,000		599,476
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-A 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.
	05/25/46		750		453,559
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		3,000		1,814,234
				$	6,718,125
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.	08/25/37		505		(274,995	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.	01/25/38		130		(71,229	)

71

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN)(continued)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37	$	595	$	(324,004	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		495		(269,550	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		495		(269,550	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		2,395		(1,304,185	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37		5,000		(2,722,724	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		1,860		(1,019,120	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		745		(408,196	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		495		(271,217	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		3,400		(1,862,907	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		5,890		(1,434,256	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		3,000		(2,046,248	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,685		(1,271,379	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		5,200		(3,923,543	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		750		(511,562	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,800		(2,227	)
Receive a fixed rate equal to 5.25% and the Fund will pay to the counterparty at par including interest accrued in the event of default of F, 7.25% due 10/25/11. Counterparty: Merrill Lynch & Co., Inc.
	03/20/08		4,000		3,618
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,800		(1,150	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,800		(5,676	)
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		(93,775	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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		2,500		(128,593	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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		9,000		(462,935	)
Receive a fixed rate equal to 1.75% and the Fund will pay to 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: JPMorgan Chase & Co.
	06/20/12		2,500		(128,593	)
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		1,666		5,560

72

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN)(continued)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	3,015	$	(2,056,480	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,250		(852,603	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		4,810		(3,726,926	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		2,405		(1,863,460	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		720		(557,876	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		1,065		(583,528	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38		3,350		(2,284,977	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		3,350		(2,284,977	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 08/25/37. Counterparty: Citigroup, Inc.
	01/25/38		1,285		(704,069	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		2,165		(1,186,233	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG
	01/25/38		2,250		(1,743,362	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		180		(139,469	)
				$	(36,782,396	)

Notes:

¹ Cost for financial reporting purposes is $543,508,312 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	6,118,408
Gross unrealized depreciation		(41,155,167	)
Net unrealized (depreciation)	$	(35,036,759	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $123,204,899 representing 30.57% 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
07/03/07	Asurion Corp. Term Loan, 7.88%, 07/13/14	$	990,677	$	967,188	0.24	%
12/16/06	Boston Generating LLC 1st Lien, 0.00%, 12/19/13		2,982,466		2,881,109	0.71	%
04/12/07	Carestream Health, Inc. Term Loan, 10.30%, 10/30/13		2,268,756		2,098,125	0.52	%
03/02/04	Calpine CCFC I Term Loan, 0.00%, 08/26/09		2,306,600		2,306,250	0.57	%
06/30/06	Cebridge 2nd Lien (PIK), 10.91%, 05/05/14		8,639,174		7,904,353	1.96	%
03/05/07	Charter Communications, Inc. Term Loan 3rd Lien, 7.34%, 09/06/14		3,001,140		2,739,999	0.68	%
01/08/07	Delphi Dip 2nd Lien, 9.13%, 07/01/08		6,001,191		5,991,876	1.49	%
09/27/07	First Data Corp. Term Loan B1, 8.97%, 09/27/14		1,438,512		1,422,280	0.35	%
09/26/07	General Motors Corp. Strip II, 0.50%, 07/20/11		2,306,250		2,254,465	0.56	%
10/10/07	HCA Term Loan A, 0.00%, 11/18/12		3,884,012		3,803,076	0.94	%
03/07/07	Kelson 1st Lien, 0.00%, 03/16/13		4,988,418		4,650,000	1.15	%

73

Strategic Income Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
03/07/07	Kelson 2nd Lien (PIK), 0.00%, 03/01/14		3,710,706		3,383,531	0.85	%
08/09/06	Murray Bank Loan 2nd Lien, 17.10%, 01/31/11		1,054,240		1,041,062	0.26	%
08/21/06	Northwest Air Dip, 6.97%, 05/21/12		4,929,259		4,694,432	1.16	%
05/14/07	Swift Transportation Co. Term Loan, 8.98%, 05/06/14		1,767,442		1,458,693	0.37	%
12/07/05	Terwin Mortgage Trust 2005-P1 A, 0.00%, 11/25/35		66,233		684	0.00	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 9.08%, 12/15/14		1,000,000		947,500	0.24	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 0.00%, 12/31/08		2,000,000		1,935,358	0.48	%
05/17/07	Tribune 1st Lien Term Loan B, 7.91%, 05/24/14		2,409,306		2,130,418	0.53	%
02/01/07	United Air Lines, Inc., 7.13%, 02/01/14		2,510,278		2,350,945	0.58	%
03/16/07	Univision Communications, Inc. 1st Lien Strip, 7.21%, 03/15/14		750,000		685,312	0.17	%
		$	59,004,660	$	55,646,656	13.81	%

⁶ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

⁷ Zero coupon bond. The rate shown is the effective yield as of Decem-ber 31, 2007.

† Fair valued security. The aggregate value of fair valued securities is $193,997,671 which is 48.13% 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): Paid in kind

74

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 90.97%
ASSET-BACKED SECURITIES — 28.89%**
ACE Securities Corp. 2004-FM1 B1A
10.12%	09/25/33	2	$	17,188	$	2,625
ACE Securities Corp. 2006-SL1 A
5.03%	09/25/35	2		449,715		334,316
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
5.36%	12/28/40	2,3,†		2,400,000		2,205,563
Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)
8.04%	08/25/30			229,802		229,786
Carrington Mortgage Loan Trust 2006-NC1 A2
5.03%	01/25/36	2		2,200,000		2,169,340
Carrington Mortgage Loan Trust 2007-FRE1 A1
4.99%	02/25/37	2		609,641		585,088
Castle Trust 2003-1AW A1
5.78%	05/15/27	2,3		705,084		704,965
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A
5.02%	08/25/36	2		2,483,000		2,186,205
Citigroup Mortgage Loan Trust, Inc. 2006-WFH4 A1
4.92%	11/25/36	2		1,058,320		1,050,371
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		591,098		549,628
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			1,331,568		1,327,327
Countrywide Asset-Backed Certificates 2004-1 M2
5.42%	03/25/34	2		2,250,000		1,953,606
Countrywide Asset-Backed Certificates 2005-13 AF1
5.00%	04/25/36	2		98,433		98,354
Countrywide Asset-Backed Certificates 2005-BC4 2A2
5.14%	08/25/35	2		1,687,796		1,673,028
Countrywide Asset-Backed Certificates 2006-25 2A1
4.94%	06/25/37	2		1,891,450		1,845,068
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			1,319,796		1,307,836
Embarcadero Aircraft Securitization Trust 2000-A A1
5.51%	08/15/25	2,3,†		826,833		702,806
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF2 A2A
4.92%	03/25/37	2		1,195,690		1,154,793
Genesis Funding Ltd. 2006-1A G1
5.21%	12/19/32	2,3,†		1,750,000		1,723,744
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
5.31%	06/25/30	2		633,397		613,873
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)
6.05%	04/25/27			110,152		109,802
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			88,243		68,293
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			171,187		131,857
Green Tree Home Improvement Loan Trust 1996-B A
6.45%	10/15/15	†		3,671		3,668
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			99,691		84,842
Greenpoint Mortgage Funding Trust 2005-HE2 A1
5.23%	04/15/30	2		20,527		20,528
GSAMP Trust 2004-FM1 M2
6.27%	11/25/33	2		835,009		756,174
GSAMP Trust 2006-HE8 A2A
4.94%	01/25/37	2		659,426		640,467
GSAMP Trust 2007-FM1 A2A
4.94%	12/25/36	2		1,359,150		1,322,709
GSAMP Trust 2007-HE2 A2A
4.99%	03/25/47	2		977,453		935,993
Home Equity Asset Trust 2005-6 1A2
5.15%	12/25/35	2		1,859,745		1,797,999
Home Equity Asset Trust 2007-3 2A2
5.05%	08/25/37	2		2,400,000		2,063,293
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
5.99%	05/25/33	2		857,770		832,138
IndyMac Residential Asset Backed Trust 2006-A A2
5.02%	03/25/36	2		2,305,000		2,253,762
Inman Square Funding Ltd. 2005-2A I
5.69%	10/06/40	2,3,†		2,500,000		2,349,997
MASTR Asset Backed Securities Trust 2006-NC1 A2
5.01%	01/25/36	2		1,952,240		1,929,076
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)
8.00%	09/25/23			50,507		50,297
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
4.99%	04/25/37	2		1,607,790		1,564,330
Morgan Stanley ABS Capital I 2007-NC3 A2A
4.93%	05/25/37	2		2,088,308		2,015,217
Oakwood Mortgage Investors, Inc. 2002-B A1
5.26%	05/15/13	2		143,658		128,570
Option One Mortgage Loan Trust 2003-2 A2
5.17%	04/25/33	2		128,493		126,152

75

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Renaissance Home Equity Loan Trust 2006-4 A V1
4.94%	01/25/37	2	$	2,671,396	$	2,606,281
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,†		454,895		304,744
Residential Asset Mortgage Products, Inc. 2006-RZ5 A1B
4.97%	08/25/46	2		1,937,667		1,903,735
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1
4.98%	03/25/36	2		695,475		670,571
Resmae Mortgage Loan Trust 2006-1 A1B
5.14%	02/25/36	2,3,†		463,359		451,264
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
5.00%	05/25/37	2		2,409,253		2,336,147
SG Mortgage Securities Trust 2006-FRE1 A1B
5.14%	02/25/36	2		400,628		365,636
Structured Asset Receivables Trust 2003-1
5.86%	01/21/10	2,3,†		731,702		724,381
Structured Asset Receivables Trust 2003-2
5.76%	01/21/09	2,3,†		302,749		299,719
Structured Asset Receivables Trust 2005-1
5.87%	01/21/15	2,3,†		2,347,864		2,289,152
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		16,207,521		205,827
Terwin Mortgage Trust 2005-7SL A1
5.14%	07/25/35	2,3		142,270		140,161
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			365,095		364,264
Total Asset-Backed Securities
(Cost $56,786,928)						54,265,368
CORPORATES — 22.61%*
Automotive — 2.74%
Delphi Dip 2nd Lien
9.13%	07/01/08	5,†		1,000,000		998,646
Ford Motor Credit Co. LLC
6.81%	01/15/10	2		2,060,000		1,876,897
7.99%	01/13/12	2		766,000		643,950
GMAC LLC
7.32%	12/01/14	2		2,028,000		1,629,265
						5,148,758
Banking — 2.13%
Banponce Trust I
8.33%	02/01/27			900,000		939,909
CS First Boston/London
0.00%	03/24/10	2,3,†		1,322,000		1,297,014
0.00%	03/24/10	2,3,†		522,000		512,134
JPMorgan Chase Bank NA
7.59%	03/28/22	2,†		445,000		421,282
MBNA Capital A
8.28%	12/01/26			800,000		831,795
						4,002,134
Communications — 1.03%
Cebridge 2nd Lien
0.00%	05/05/	14†		1,000,000		931,094
Comcast LCI Holdings
7.63%	02/15/08			1,000,000		1,002,467
						1,933,561
Consumer Discretionary — 0.45%
Tribune 1st Lien Term Loan B
7.91%	05/24/14	5,†		997,500		851,740
Consumer Products — 0.54%
SABMiller PLC
5.03%	07/01/09	2,3		1,000,000		1,003,583
Electric — 4.43%
Dominion Resources, Inc./Virginia
5.05%	11/14/08	2		1,750,000		1,746,974
East Coast Power LLC
6.74%	03/31/08			231,313		232,171
Entergy Gulf States, Inc.
5.90%	12/08/08	2,3		1,500,000		1,505,100
Florida Power Corp.
5.28%	11/14/08	2		1,430,000		1,428,367
Midwest Generation LLC
8.30%	07/02/09			1,375,292		1,395,922
Power Contract Financing LLC
6.26%	02/01/10	3		493,200		503,919
Reliant Energy, Inc.
6.75%	12/15/14			700,000		705,250
TECO Energy, Inc.
6.91%	05/01/10	2		800,000		808,000
						8,325,703
Finance — 3.25%
Countrywide Financial Corp. B (MTN)
5.10%	03/24/09	2		1,400,000		1,078,724
Kelson 1st Lien
0.00%	03/16/13	5,†		1,000,000		930,000
Lehman Brothers Holdings, Inc.
4.98%	11/16/09	2		1,200,000		1,169,539
Lehman Brothers Holdings, Inc. (MTN)
5.43%	07/18/11	2		620,000		588,387
Residential Capital LLC
5.65%	06/09/08	2		1,048,000		901,280
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2,†		1,458,000		1,439,921
						6,107,851

76

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care — 1.68%
Cardinal Health, Inc.
5.00%	10/02/09	2,3	$	1,245,000	$	1,247,524
Community Health Systems, Inc. 1st Lien
7.44%	07/25/14	5,†		984,532		949,099
HCA Term Loan A
0.00%	11/18/12	5,†		1,000,000		950,769
						3,147,392
Real Estate Investment Trust (REIT) — 3.29%
Developers Diversified Realty Corp.
3.88%	01/30/09			1,300,000		1,270,580
First Industrial LP
5.25%	06/15/09			405,000		401,261
HCP, Inc.
5.44%	09/15/08	2		1,800,000		1,798,229
Highwoods Properties, Inc.
7.13%	02/01/08			1,135,000		1,133,866
HRPT Properties Trust
5.59%	03/16/11	2		604,000		583,561
Simon Property Group LP
4.88%	08/15/10			1,000,000		991,614
						6,179,111
Transportation — 3.07%
Air 2 US A
8.03%	10/01/20	3		242,317		243,529
Continental Airlines, Inc.
6.32%	11/01/08			454,000		451,730
Continental Airlines, Inc. 1997-1 A
7.46%	10/01/16			912,692		889,236
Delta Air Lines, Inc. 2001-1 A1
6.62%	09/18/12			1,687,632		1,680,423
Northwest Air Dip
6.97%	05/21/12	5,†		990,000		936,993
United Air Lines, Inc.
7.13%	02/01/14	5,†		717,222		671,699
United Air Lines, Inc. 2000-2 A1
7.03%	04/01/12			422,036		422,036
United Air Lines, Inc. 2001-1 A2
6.20%	03/01/10			479,810		477,411
						5,773,057
Total Corporates
(Cost $44,039,916)						42,472,890
MORTGAGE-BACKED — 30.65%**
Commercial Mortgage-Backed — 5.29%
Bayview Commercial Asset Trust 2004-1 A
5.23%	04/25/34	2,3,†		1,829,151		1,780,271
Bayview Commercial Asset Trust 2004-2 A
5.30%	08/25/34	2,3,†		1,708,859		1,664,273
Bayview Commercial Asset Trust 2005-2A A1
5.18%	08/25/35	2,3		887,696		830,798
Bayview Commercial Asset Trust 2007-1 A1
5.09%	03/25/37	2,3,†		2,898,529		2,698,347
Bayview Commercial Asset Trust 2007-3 A1
5.11%	07/25/37	2,3,†		3,190,767		2,967,407
						9,941,096
Non-Agency Mortgage-Backed — 16.96%
Alliance Bancorp Trust 2007-OA1 A1
5.11%	07/25/37	2		3,048,756		2,885,055
American Home Mortgage Assets 2006-2 2A1
5.06%	09/25/46	2		2,006,476		1,885,542
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		2,506,062		2,473,952
Chevy Chase Mortgage Funding Corp. 2004-1A A1
5.15%	01/25/35	2,3,†		972,742		923,200
Chevy Chase Mortgage Funding Corp. 2005-2A A1
5.05%	05/25/36	2,3,†		1,146,500		1,067,335
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		788,557		789,726
Countrywide Alternative Loan Trust 2005-14 4X (IO)
2.30%	05/25/35	4,6,†		1,970,853		42,528
Countrywide Alternative Loan Trust 2005-27 2A1
6.14%	08/25/35	2,†		1,160,985		1,102,573
Countrywide Alternative Loan Trust 2005-59 1A1
5.12%	11/20/35	2		1,278,917		1,197,266
Countrywide Alternative Loan Trust 2005-59 2X (IO)
2.43%	11/20/35	4,6,†		3,809,817		141,828
Countrywide Alternative Loan Trust 2005-61 2A1
5.15%	12/25/35	2		622,677		604,641
Countrywide Alternative Loan Trust 2005-72 A1
5.14%	01/25/36	2		1,033,159		974,798
Countrywide Alternative Loan Trust 2006-OA12 A2
5.16%	09/20/46	2		2,300,709		2,194,641
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
1.77%	05/20/46	4,†		6,178,719		293,489
Countrywide Alternative Loan Trust NIM 2006-OA11 N1
6.00%	09/25/46	3,†		355		351

77

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.73%	04/19/47	2,†	$	2,489,288	$	2,365,062
Harborview Mortgage Loan Trust 2005-1 X
(IO)
1.45%	03/19/35	4,6,†		2,766,666		49,714
Harborview Mortgage Loan Trust 2005-10 X
(IO)
2.28%	11/19/35	2,4,†		3,875,082		106,565
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
5.26%	12/25/34	2		391,864		372,292
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
1.24%	12/25/34	4,6,†		1,319,930		24,542
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
5.30%	09/25/34	2		251,818		244,495
MASTR Seasoned Securities Trust 2004-1 4A1
7.16%	10/25/32	2		406,535		410,828
MASTR Seasoned Securities Trust 2005-1 4A1
6.04%	10/25/32	2		755,089		770,862
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			88,713		88,608
Residential Accredit Loans, Inc. 2005-QO3 A1
5.27%	10/25/45	2		2,505,290		2,414,273
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			379,290		385,728
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
7.15%	12/27/35	2		2,362,633		2,397,031
Structured Asset Securities Corp. 2002-5A 6A
6.29%	04/25/32	2		25,452		25,320
Summit Mortgage Trust 2000-1 B5
6.62%	12/28/12	2,3,†		205		209
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,†		1,481,970		1,207,393
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-0A3 4A1
5.56%	04/25/47	2,†		1,805,955		1,728,046
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		184,918		182,970
Washington Mutual Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			397,882		412,573
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A
5.73%	05/25/46	2,†		2,216,734		2,094,814
						31,858,250
U.S. Agency Mortgage-Backed — 8.40%
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		417		426
Fannie Mae 1997-91 SL (IO)
5.55%	11/25/23	2		432,776		45,294
Fannie Mae 2001-60 JZ
6.00%	03/25/31			17,039		17,033
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			655,240		85,288
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		262,780
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			455,459		13,048
Fannie Mae 2006-B2 AB
5.50%	05/25/14			2,722,862		2,761,013
Fannie Mae G-36 ZB
7.00%	11/25/21			4,663		4,966
Fannie Mae Pool 646884
5.50%	05/01/32	2		399,920		407,889
Fannie Mae Pool 887714
6.07%	08/01/36	2		2,199,409		2,243,443
Freddie Mac 2 L
8.00%	11/25/22			40,137		41,916
Freddie Mac 2080 PJ
6.50%	08/15/28			601,506		627,553
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			91,938		1,498
Freddie Mac Gold G12393
5.50%	10/01/21			2,928,677		2,963,226
Freddie Mac Gold H01798
6.50%	10/01/37			3,519,628		3,588,233
Freddie Mac Non Gold Pool 1L0113
7.23%	05/01/35	2		663,270		681,453
Freddie Mac Non Gold Pool 788498
7.25%	02/01/30	2		597,131		606,898
Freddie Mac Non Gold Pool 847288
5.09%	05/01/34	2		1,011,899		1,026,981
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			401,525		8,937
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		388,831		390,894
						15,778,769
Total Mortgage-Backed
(Cost $59,490,137)						57,578,115

78

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

,Issues	Maturity Date		Principal Amount		Value
U.S. AGENCY SECURITIES — 8.82%
Fannie Mae
5.00%	09/15/08		$	2,170,000	$	2,186,047
5.20%	11/20/09			2,760,000		2,772,494
5.38%	02/01/10			2,990,000		2,993,477
6.63%	11/15/10			3,401,000		3,672,315
Federal Home Loan Bank
4.38%	10/22/10			3,740,000		3,817,403
Freddie Mac
5.13%	08/14/08			1,115,000		1,120,246
Total U.S. Agency Securities
(Cost $16,324,382)						16,561,982
Total Bonds – 90.97%
(Cost $176,641,363)						170,878,355
			Shares
PREFERRED STOCK — 0.31%
Finance — 0.31%
Woodbourne Pass-Through Trust
5.70%	12/31/49	2,3		6		576,375
Total Preferred Stock
(Cost $600,000)						576,375
SHORT TERM INVESTMENTS — 17.30%
Commercial Paper — 5.79%
Citigroup Funding Corp.
4.70%	01/07/08		$	1,595,000	$	1,593,888
Credit Suisse USA, Inc.
4.81%	01/28/08			2,120,000		2,112,636
Merrill Lynch & Co., Inc.
5.25%	01/09/08			2,475,000		2,472,474
5.33%	01/09/08			1,335,000		1,333,617
National Rural Utilities Cooperative Finance
Corp.
4.23%	01/29/08			3,380,000		3,369,277
						10,881,892
Money Market Fund — 0.85%
Goldman Sachs Group, Inc. (The)				1,601,000		1,601,000
U.S. Agency Discount Notes — 10.18%
Fannie Mae
4.21%	01/14/08			575,000		574,193
4.21%	01/24/08			1,810,000		1,805,244
4.22%	01/25/08	7		6,635,000		6,617,111
4.22%	01/25/08	7		300,000		299,191
4.23%	01/25/08	7		1,275,000		1,271,555
4.26%	01/25/08	6,7		615,000		613,326
4.29%	01/24/08			950,000		947,509
4.30%	01/14/08			555,000		554,204
4.30%	01/22/08			525,000		523,746
4.30%	01/25/08			5,720,000		5,704,550
Freddie Mac
4.22%	01/24/08			215,000		214,435
						19,125,064
U.S. Treasury Bills — 0.48%
U.S. Treasury Bills
2.91%	01/24/08			900,000		898,740
Total Short Term Investments
(Cost $ 32,506,696)						32,506,696
Total Investments – 108.58%
(Cost $ 209,748,059)1						203,961,426
Liabilities in Excess of Other Assets – (8.58)%						(16,111,867	)
Net Assets – 100.00%					$	187,849,559
Contracts					Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
3   S&P 500 Index E-Mini, March 2008					$	(3,413	)
391 S&P 500 Index, March 2008						78,876
Net unrealized appreciation					$	75,463

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	$	2,000	$	83,613
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		59,264
The Fund pays a fixed rate equal to 5.03% 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: Merrill Lynch & Co., Inc.
	10/16/17		310		11,712

79

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a fixed rate equal to 5.05% 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.
	10/16/17	$	310	$	2,866
The Fund pays a fixed rate equal to 5.00% 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: Merrill Lynch & Co., Inc.
	10/18/17		310		11,165
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.
	01/31/22		900		(4,176	)
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		(21,134	)
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		(5,344	)
				$	137,966
SWAPS: CREDIT DEFAULT (PURCHASED)
Pay a fixed rate equal to 1.80% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 09/20/12. Counterparty: JPMorgan Chase & Co.
	09/20/12		200		11,623
Pay a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		300		4,214
Pay a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the CTX 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		200		2,143
Pay a fixed rate equal to 1.59% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG.
	12/20/12		500		83,209
Pay a fixed rate equal to 1.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the FGIC Monoline AAA, due 12/20/12. Counterparty: Lehman Brothers Holdings, Inc.
	12/20/12		275		47,045
Pay a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Financial AA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		365		65,764
Pay a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: Deutsche Bank AG
	12/20/12		500		50,486
Pay a fixed rate equal to 0.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 12/20/12. Counterparty: JPMorgan Chase & Co.
	12/20/12		875		81,310
Pay a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan & Co.
	12/20/12		550		1,405
Pay a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: CS First Boston
	12/20/12		325		2,623
Pay a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		100		440
Pay a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.
	12/20/12		240		790
Pay a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the PHM 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG
	12/20/12		390		1,857
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.
	12/20/12		220		(2,012	)
Pay a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		500		(3,581	)
Pay a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the TOL 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.
	12/20/12		310		(2,836	)
Pay a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs 6.60%, due 01/15/12. Counterparty: JPMorgan & Co.
	12/20/12		550		(2,008	)

80

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED)(continued)
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	$	5,743
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		12,668
Pay a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SHW, 7.38% due 02/01/27. Counterparty: Goldman Sachs & Co., Inc.
	09/20/14		500		1,036
Pay a fixed rate equal to 1.16% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lehman Brothers 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.
	12/20/14		525		(3,233	)
Pay a fixed rate equal to 0.32% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-1, due 07/25/45. Counterparty: Lehman Brothers Holdings, Inc.
	07/25/45		2,015		301,986
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-A 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.
	05/25/46		340		205,613
Pay a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		675		408,203
				$	1,274,488
SWAPS: CREDIT DEFAULT (WRITTEN)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		225		(122,522	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		225		(123,281	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		450		(246,561	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.
	08/25/37		250		(136,136	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		225		(122,522	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		225		(122,522	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc.
	08/25/37		385		(209,649	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		175		(95,296	)
Receive a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.
	08/25/37		1,125		(612,613	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		420		(230,124	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		335		(183,552	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		965		(528,737	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		225		(123,281	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		785		(430,113	)
Receive a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston
	08/25/37		1,245		(303,166	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		675		(460,406	)

81

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN)(continued)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38	$	380	$	(286,721	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		1,350		(1,018,612	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		340		(231,909	)
Receive a fixed rate equal to 1.05% and the Fund will pay to the counterparty at par including interest accrued in the event of default of CVC, 8.00% due 04/15/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,600		(1,979	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of HCA, 6.95% due 05/01/12. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,600		(1,022	)
Receive a fixed rate equal to 0.90% and the Fund will pay to the counterparty at par including interest accrued in the event of default of RHD, 8.88% due 2016. Counterparty: Lehman Brothers Holdings, Inc.
	03/20/08		1,600		(5,045	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		200		(136,417	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		90		(61,387	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		970		(751,584	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		485		(375,791	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		220		(170,462	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		230		(126,020	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,926	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: CS First Boston
	01/25/38		200		(136,417	)
Receive a fixed rate equal to 3.69% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-A 07-2, due 01/25/38. Counterparty: JPMorgan & Co.
	01/25/38		200		(136,417	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,926	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,926	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.
	01/25/38		155		(84,926	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		770		(421,894	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 08/25/37. Counterparty: Citigroup, Inc.
	01/25/38		290		(158,895	)
Receive a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		290		(158,895	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG
	01/25/38		150		(116,224	)
Receive a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		55		(42,616	)
				$	(8,728,492	)

82

AlphaTrak 500 Fund

Schedule of Portfolio Investments

December 31, 2007(Unaudited)

Notes:

¹ Cost for financial reporting purposes is $209,748,059 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	489,854
Gross unrealized depreciation		(6,276,487	)
Net unrealized (depreciation)	$	(5,786,633	)

² Floating rate security. The rate disclosed is that in effect at December 31, 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 December 31, 2007 was $33,101,995 representing 17.62% 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,
	7.44%, 07/25/14	$	984,532	$	949,099	0.50	%
01/08/07	Delphi Dip 2nd Lien,
	9.13%, 07/01/08		1,000,000		998,646	0.53	%
10/22/07	HCA Term Loan A,
	0.00%, 11/18/12		969,255		950,769	0.51	%
03/07/07	Kelson 1st Lien,
	0.00%, 03/16/13		1,000,000		930,000	0.50	%
08/21/06	Northwest Air Dip,
	6.97%, 05/21/12		990,000		936,993	0.50	%
05/17/07	Tribune 1st Lien Term
	Loan B, 7.91%,
	05/24/14		990,636		851,740	0.45	%
02/01/07	United Air Lines, Inc.,
	7.13%, 02/01/14		717,222		671,699	0.36	%
		$	6,651,645	$	6,288,946	3.35	%

⁶ Zero coupon bond. The rate shown is the effective yield as of Decem ber 31, 2007.

⁷ Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements.

† Fair valued security. The aggregate value of fair valued securities is $45,432,783 which is 24.19% 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

83

Notes to Schedules of Portfolio Investments

December 31, 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 61^st day prior to maturity (unless the Board of Trustees determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. 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 December 31, 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 December 31, 2007.

84

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 AlphaTrak 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

85

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 February 28, 2008

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 February 28, 2008

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

Date February 28, 2008

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