UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07989

Metropolitan West Funds

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580 Los Angeles, CA	90025
(Address of principal executive offices)	(Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

Los Angeles, CA 90025

(Name and address of agent for service)

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

Date of fiscal year end: March 31

Date of reporting period: March 31, 2008

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

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

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

METROPOLITAN WEST FUNDS

ULTRA SHORT BOND FUND

LOW DURATION BOND FUND

INTERMEDIATE BOND FUND

TOTAL RETURN BOND FUND

HIGH YIELD BOND FUND

STRATEGIC INCOME FUND

ALPHATRAK 500 FUND

ANNUAL REPORT

March 31, 2008

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

Thank you for your continued investment with the Metropolitan West Funds. We are pleased to provide the following March 31, 2008 Annual Report for the Metropolitan West Funds, which include:

Metropolitan West Ultra Short Bond Fund Metropolitan West Low Duration Bond Fund Metropolitan West Intermediate Bond Fund Metropolitan West Total Return Bond Fund Metropolitan West High Yield Bond Fund Metropolitan West Strategic Income Fund Metropolitan West AlphaTrak 500 Fund M-Class (MWUSX), I-Class (MWUIX) M-Class (MWLDX), I-Class (MWLIX) M-Class (MWIMX), I-Class (MWIIX) M-Class (MWTRX), I-Class (MWTIX) M-Class (MWHYX), I-Class (MWHIX) M-Class (MWSTX), I-Class (MWSIX) (MWATX)

As of March 31, 2008, the total assets managed in the seven Fund strategies exceeded $8.5 billion, demonstrating year-over-year growth from $5 billion in assets at March 31, 2007. This growth came as a result of increased sponsorship of the funds by both institutional and individual investors, to whom we are grateful and committed to delivering upon the expectations vested in us.

Economic Review and Market Environment

Not surprisingly, the pace of economic growth slowed sharply in the last two quarters, as troubles afflicting the primary drivers of economic expansion over the past several years - finance, housing and construction - manifest themselves in the broader economy. Whether it was the lagged effect of Federal Reserve tightening between 2004 and 2006 or simply a collapse under the weight of unsustainable levels of home price appreciation (with attendant measures of speculation and initial appearances of fraud in certain sectors), it was clear as we worked through the first quarter of 2008 that a period of adjustment was afoot in the residential housing market as accumulated excesses were worked off from the latest financial bubble.

For the past several months, across readings of economic activity, the evidence of slowdown has been clear: unemployment jumped over 5% from 4.4% a year earlier, both Institute for Supply Management Manufacturing and Non-Manufacturing Indexes persistently flirted with recessionary levels, and consumer confidence plummeted. To confound matters (and Fed policy considerations), inflation remained stubbornly elevated, with oil pushing well over $100 per barrel, gold jumping to $1,000 per ounce, and grain price hikes becoming epidemic.

Despite the inflationary pressure, the Fed accelerated its pace of easing in the first quarter of 2008, punctuated by a reduction of 125 basis points over a period of eight days in late January, as word came of a massive trading catastrophe unfolding in Europe, after what had already been seven months of growing skittishness in the global capital markets. Certainly the Fed had considerable cover for its action in the weakening economic data, but it is unlikely to have acted with the same alacrity based on the economy alone, especially given the faltering U.S. Dollar and steep commodities pricing.

So what about those capital markets? With risk aversion in full swing and investors pulling back - voluntarily or otherwise - the domestic markets set about a massive and painful deleveraging process. In the midst of this environment, leveraged investors -financial intermediaries and certain hedge funds, in particular - find themselves in the crosshairs, most notably those with direct and derivative exposure in the residential mortgage markets, especially those collateralized by loans to sub-prime borrowers. As a result, the need to shrink balance sheets full of assets acquired with leverage has led to imbalances in the markets, as even very solid investments have re-priced downward due to a shortage of available buyers. In such times, prices must adjust so that the assets may move from weak hands into strong hands, and in the current environments, we are seeing such an episode. While it is likely that we saw the peak of fear in March as venerable Bear Stearns stood at the doorstep of collapse (only to be rescued in a New York Fed-engineered “buyout” by JP Morgan), it will no doubt be a bump road ahead, as ongoing adjustments are effected. In addition to its reduction of the Fed Funds rate (and matchmaking of last resort noted above), this Fed has been especially active in unprecedented fashion by attempting to target liquidity to banks and broker-dealers, all in the name of preserving system integrity and to facilitate the deleveraging process.

Illustrating the conditions, broad-based US Treasury issues earned 8.6% in the past six months and Treasury Inflation-Protected Securities (TIPS) gained 10.4%. Though still a solid return, Agency mortgages lagged Treasury issues, gaining 5.7%, the underperformance associated with spread widening across the spread sectors. Investment grade corporate bonds edged up by 1.8%, though their high yield counterparts lost 4.3%. However, the most shocking performance came in the asset-backed sector, where investments in home equity collateral (the address for subprime) fell by more than 20% in the six months ended March 31,

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2008. This occurred despite largely AAA ratings at issuance and levels of collateral protection that suggest even Depression-like conditions in the mortgage markets would see these structures largely repaid. No doubt, as we will discuss below in attributing some of the challenged performance across the Funds, this had a significant impact on recent returns, but represents a potentially valuable opportunity in assessing go-forward conditions and expectations that pricing will revert to a fundamental basis rather than continue on a technical basis, i.e., supply-demand driven.

The Economy and Market Ahead

As the aforementioned deleveraging process unfolds, lower consumer spending, tightening credit for both consumers and corporations, falling home values, rising unemployment, and higher energy prices augur for a slowing economy for the next two to three quarters. The intermediate-term outlook suggests two to three years of below-trend growth as excess inventory is worked off in the housing market, restoring equilibrium. Unemployment will likely continue to increase and despite upward pressure from a weak dollar, high commodity prices, and Fed easing, inflation should remain contained due to slackening demand. The current capital market experience is not altogether different than the 1990, 1994, 1998, and 2002 episodes, but perhaps broader and deeper. Despite the challenges, the deleveraging process will set the stage for an improved outlook and ultimate recovery. This purging process often leads to assets (both good and bad) trading below their long-term fundamental value. As a value investor, Metropolitan West will look to take advantage of the conditions to capture premium risk-adjusted returns across the Funds.

Overall, portfolio durations remain near-neutral to benchmark levels, while structures are still designed to profit from a steep yield curve. We remain wary of corporate bonds, as we expect profit margins to be subject to the pressure of a tepid economy. Therefore, portfolio holdings will be focused on shorter maturities of higher quality issuers, with strong covenants and solid asset protection, in addition to cheaply priced debt of major financial franchises. Among mortgage-and asset-backed markets, opportunities are becoming legion across Agency and non-Agency (including subprime and Alt-A) issues as indiscriminate investors shed holdings notwithstanding the integrity of the underlying collateral.

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

Fund Results

General Performance Commentary

Without a doubt, the past six to twelve months have seen the most challenging market conditions in years. At the beginning of 2007, the portfolio management team at Metropolitan West Asset Management was noting a relatively low volatility environment as lacking much in the way of return opportunity appropriately compensating for prospective risk. With large imbalances in the housing sector, macro risks in the US economy were increasing. In addition, security valuations appeared rich across most sectors. As such, MWAM attempted to position the Funds defensively (albeit with an eye toward identifying areas of attractive relative value). Fast forwarding to the middle of 2007, when subterranean cracks broke through the surface in the form of mortgage hedge fund failures at Bear Stearns, capital markets - save government debt, per usual - became incredibly constricted as liquidity evaporated. The upshot was significant deterioration across the risk markets - no real surprise there. However, what was surprising was the degree of weakness in higher quality, better protected assets that have typically weathered the storms of market corrections with only modest increases in yields or declines in price.

As depicted below and in the pages ahead, the investment performance across the Metropolitan West Funds has reflected the market challenges and has disappointed in the short-term. Nonetheless, MWAM remains confident in the construction of the portfolios and optimistic about the prospects of recovering the performance deficit of the past several months, as liquidity conditions improve and the demand for attractive assets increases. About markets, it is often said that participants lose their heads in frothy markets, and that they lose their nerve when the market tumbles. Regarding lost nerve, March 2008 was such a month. By maintaining our vigilance through this period, and similar times in the past, MWAM will look to take advantage of the considerable risk-adjusted value that presents itself as less committed and less knowledgeable investors head for the exits.

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

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The net expense ratio reflects a contractual agreement by the Adviser to reduce its fees and/or absorb expenses to limit the Fund’s total annual operating expenses for the current fiscal year. The Adviser voluntarily extended the agreement for the current fiscal year and expects to renew contractual expense limitation each year in May. Without fee waivers, returns would have been lower. For additional expense ratio information, please refer to the Financial Highlights section of the report.

Metropolitan West Ultra Short Bond Fund

M-Class (MWUSX), I-Class (MWUIX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)	(5.43	)%	(4.48	)%	1.46	%	—	—	2.75	%
Merrill Lynch 1-Year US Treasury Index	3.69	%	6.82	%	4.85	%	—	—	3.38	%
MWUIX (Inception: July 31, 2004)	(5.35	)%	(4.32	)%	1.62	%	—	—	1.74	%
Merrill Lynch 1-Year US Treasury Index	3.69	%	6.82	%	4.85	%	—	—	4.14	%

For MWUSX the total expense ratio is 0.57% and the net expense ratio is 0.50%. For MWUIX the total expense ratio is 0.40% and the net expense ratio is 0.34%.

Management Discussion of Ultra Short Bond Fund Performance

Notwithstanding an orientation toward defensive (as measured by average security quality rating) positioning in the Ultra Short Bond Fund, performance lagged the benchmark over the past six months due to sector allocation to (and significant mark-to-market repricing across) non-Treasury holdings in the portfolio. The repricing to the downside, which Fund managers do not expect to be permanent, was the result of broad-based investor deleveraging and the associated withdrawal of market liquidity, much of it owing to concerns over the ultimate value of the underlying collateral against which residential loans were made. A relatively neutral positioning of portfolio duration versus that of the benchmark produced little performance distinction from the Index. With portfolio structure emphasizing expectations for a steeper Treasury yield curve, that particular strategy was additive as the Fed eased, steepening the curve.

Metropolitan West Low Duration Bond Fund

M-Class (MWLDX), I-Class (MWLIX)

	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)	(3.31	)%	(2.11	)%	2.60	%	3.31	%	4.28	%	4.68	%
Merrill Lynch 1-3 Year US Treasury Index	5.41	%	8.99	%	5.40	%	3.61	%	4.90	%	5.14	%
MWLIX (Inception: March 31, 2000)	(3.21	)%	(1.82	)%	2.84	%	3.53	%	—		3.97	%
Merrill Lynch 1-3 Year US Treasury Index	5.41	%	8.99	%	5.40	%	3.61	%	—		4.91	%

For MWLDX the total expense ratio is 0.60% and the net expense ratio is 0.58%. For MWLIX the total expense ratio is 0.41% and the net expense ratio is 0.39%.

Management Discussion of Low Duration Bond Fund Performance

As with the broad positioning of MWAM portfolios, the Low Duration Bond Fund has maintained an orientation toward high quality (as measured by average security quality rating) over the past several quarters. Despite this defensiveness, Fund performance lagged the benchmark over the past six months due to sector allocation to (and significant mark-to-market repricing across) non- Treasury holdings in the portfolio. The repricing to the downside, which Fund managers do not expect to be permanent, was the result of broad-based investor deleveraging and the associated withdrawal of market liquidity, much of it owing to concerns over the ultimate value of the underlying collateral against which residential loans were made. A relatively neutral positioning of portfolio duration versus that of the benchmark produced little performance distinction from the Index. With portfolio structure emphasizing expectations for a steeper Treasury yield curve, that particular strategy was additive as the Fed eased, steepening the curve.

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Metropolitan West Intermediate Bond Fund

M-Class (MWIMX), I-Class (MWIIX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)	3.46	%	5.48	%	4.66	%	—		—	4.39	%
Lehman Bros. Intermediate Gov’t. Credit Index	5.99	%	8.88	%	5.66	%	—		—	4.01	%
MWIIX (Inception: June 28, 2002)	3.56	%	5.70	%	4.91	%	5.46	%	—	6.50	%
Lehman Bros. Intermediate Gov’t. Credit Index	5.99	%	8.88	%	5.66	%	4.36	%	—	5.16	%

For MWIMX the total expense ratio is 0.82% and the net expense ratio is 0.65%. For MWIIX the total expense ratio is 0.61% and the net expense ratio is 0.44%.

Management Discussion of Intermediate Bond Fund Performance

Despite an orientation toward defensive (as measured by average security quality rating) positioning in the Intermediate Bond Fund, performance lagged the benchmark over the past six months due to sector allocation to and significant mark-to-market repricing across non-Index mortgage- and asset-backed Fund holdings. The repricing to the downside, which Fund managers do not expect to be permanent, was the result of broad-based investor deleveraging and the associated withdrawal of market liquidity, much of it owing to concerns over the ultimate value of the underlying collateral against which residential loans were made. A relatively neutral positioning of portfolio duration versus that of the benchmark produced little performance distinction from the Index. With portfolio structure emphasizing expectations for a steeper Treasury yield curve, that particular strategy was additive as the Fed eased, steepening the curve. Though a cautious outlook toward corporates guided an underweight position to the sector, the result being a net positive to performance, it was more than negated by the aforementioned allocations in mortgage- and asset-backed securities, which underperformed the benchmark by a wide margin in the recent environment.

Metropolitan West Total Return Bond Fund

M-Class (MWTRX), I-Class (MWTIX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)	3.00	%	5.44	%	5.73	%	6.87	%	6.39	%	7.04	%
Lehman Brothers Aggregate Index	5.23	%	7.67	%	5.47	%	4.58	%	6.03	%	6.56	%
MWTIX (Inception: March 31, 2000)	3.11	%	5.65	%	5.95	%	7.11	%	—		6.69	%
Lehman Brothers Aggregate Index	5.23	%	7.67	%	5.47	%	4.58	%	—		6.51	%

For MWTRX the total expense ratio is 0.66% and the net expense ratio is 0.65%. For MWTIX the total expense ratio is 0.45% and the net expense ratio is 0.44%.

Management Discussion of Total Return Bond Fund Performance

Notwithstanding an orientation toward defensive (as measured by average security quality rating) positioning in the Total Return Bond Fund, performance lagged the benchmark over the past six months due to significant mark-to-market repricing across non-Index mortgage- and asset-backed Fund holdings. The repricing to the downside, which Fund managers do not expect to be permanent, was the result of broad-based investor deleveraging and the associated withdrawal of market liquidity, much of it owing to concerns over the ultimate value of the underlying collateral against which residential loans were made. A relatively neutral positioning of portfolio duration versus that of the benchmark produced little performance distinction from the Index. With portfolio structure emphasizing expectations for a steeper Treasury yield curve, that particular strategy was additive as the Fed eased, steepening the curve. From a sector standpoint, a modest overweight to Government securities produced incremental return as the Treasury market outperformed the broad index. Also, a cautious outlook toward corporates guided an underweight position, the result being a net positive to performance.

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Metropolitan West High Yield Bond Fund

M-Class (MWHYX), I-Class (MWHIX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)	(4.16	)%	(3.13	)%	3.73	%	7.98	%	—	10.65	%
Lehman HY 2% Issuer Cap Index	(4.01	)%	(3.48	)%	4.69	%	8.49	%	—	10.35	%
Lehman High Yield Index	(4.27	)%	(3.74	)%	4.89	%	8.62	%	—	10.56	%
MWHIX (Inception: March 31, 2003)	(4.04	)%	(2.88	)%	3.96	%	8.25	%	—	8.25	%
Lehman HY 2% Issuer Cap Index	(4.01	)%	(3.48	)%	4.69	%	8.49	%	—	8.49	%
Lehman High Yield Index	(4.27	)%	(3.74	)%	4.89	%	8.62	%	—	8.62	%

For MWHYX the total expense ratio is 1.05% and the net expense ratio is 0.80%. For MWHIX the total expense ratio is 0.81% and the net expense ratio is 0.55%.

Management Discussion of High Yield Bond Fund Performance

With an emphasis toward higher quality and the better security afforded by bank loans, the positioning of the High Yield Bond Fund was established to outperform handily in a challenging market environment across sub-investment grade corporate issues. Due to the conditions of deleveraging, bank loans, too, became widespread sale candidates over the past several months as investors looked to shed holdings, thus putting pressure on pricing similar to the broader high yield market at a time when such holdings would have been expected to outperform. In addition, the Fund also began in late 2007 to put on securitized positions from the severely dislocated residential mortgage-backed securities. As pricing remained weak through the first quarter of 2008, the allocation added little to Fund return.

Metropolitan West Strategic Income Fund

M-Class (MWSTX), I-Class (MWSIX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)	(12.96	)%	(13.44	)%	(1.70	)%	—	—	2.91	%
Merrill Lynch 3-Month US Treasury	2.97	%	6.73	%	6.51	%	—	—	5.36	%
Index + 2%
MWSIX (Inception: March 31, 2004)	(12.85	)%	(13.22	)%	(1.45	)%	—	—	(0.10	)%
Merrill Lynch 3-Month US Treasury	2.97	%	6.73	%	6.51	%	—	—	5.80	%
Index + 2%

For MWSTX the total expense ratio is 1.70%. For MWSIX the total expense ratio is 1.63%.

Management Discussion of Strategic Income Fund Performance

The deleveraging of the capital markets found substantial disappointment in the returns of the Strategic Income Fund over the past six months. With investments across securitized markets such as bank loans, aircraft enhanced equipment trust certificates, and higher quality areas of the mortgage-backed markets, Fund holdings faced mark-to-market repricing that dragged down returns. Though the diversification of the portfolio produced benefits through strategies designed to gain modestly from yield curve steepening, it certainly was not significant enough to overcome the price adjustment inspired by the intensified risk aversion characterizing the market in late March. With the managers holding the view that considerable value lays trapped within the Fund awaiting improved market sentiment, or simply, security maturities, the yield (and, thus, prospective return) on the Fund has increased sharply and MWAM’s expectations remain that the recent performance deficit is subject to reversal in the months and quarters ahead.

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Metropolitan West AlphaTrak 500 Fund

(MWATX)

	Performance Through March 31, 2008
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)	(19.79	)%	(14.03	)%	2.91	%	10.04	%	—	2.79	%
Standard & Poor’s 500 Equity Index	(12.46	)%	(5.08	)%	5.85	%	11.31	%	—	3.21	%

For MWATX the total expense ratio is 0.73%.

Management Discussion of AlphaTrak 500 Fund Performance

Notwithstanding an orientation toward defensive (as measured by average security quality rating) positioning in the AlphaTrak 500 Fund, performance lagged the benchmark over the past six months due to sector allocation to and (significant mark-to-market repricing across) non-Treasury holdings in the portfolio. The repricing to the downside, which Fund managers do not expect to be permanent, was the result of broad-based investor deleveraging and the associated withdrawal of market liquidity, much of it owing to concerns over the ultimate value of the underlying collateral against which residential loans were made. A relatively neutral positioning of portfolio duration versus that of the benchmark produced little performance distinction from the Index. With portfolio structure emphasizing expectations for a steeper Treasury yield curve, that particular strategy was modestly additive as the Fed eased, steepening the curve.

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A Consistent Long-Term Value Orientation

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

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

Sincerely,

Scott Dubchansky

President and Trustee

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

Bond Funds have similar interest rates, issues and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher-rated bonds. The Strategic Income Fund engages in sophisticated investment strategies. The AlphaTrak 500 Fund trades futures and derivative contracts. These Funds may not be suitable for all investors.

The views and forecasts expressed here are as of March 31, 2008, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors.

Funds are distributed by PFPC Distributors, Inc. 760 Moore Rd., King of Prussia, PA 19406. To be preceded or accompanied by a prospectus.

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Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

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

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

Metropolitan West Ultra Short Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the Merrill Lynch 1-Year U.S. Treasury Index. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class M were (4.48)% and 2.75%, respectively. The inception date for the Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Ultra Short Bond Fund Class I was July 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class I were (4.32)% and 1.74%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $10,654.

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Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the Merrill Lynch 1-3 Year U.S. Treasury Index. The one year and average annual ten year total returns for the Metropolitan West Low Duration Bond Fund Class M were (2.11)% and 4.28%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Low Duration Bond Fund Class I was March 31, 2000. The one year and average annual since inception total returns for the Metropolitan West Low Duration Bond Fund Class I were (1.82)% and 3.97%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $13,658.

Metropolitan West Intermediate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Lehman Brothers Intermediate U.S. Gov’t Credit Index. The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class M were 5.48% and 4.39%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Intermediate Bond Fund Class I was June 28, 2002. The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class I were 5.70% and 6.50%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $14,367.

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Metropolitan West Total Return Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Lehman Brothers Aggregate Index. The one year and average annual ten year total returns for the Metropolitan West Total Return Bond Fund Class M were 5.44% and 6.39%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Total Return Bond Fund Class I was March 31, 2000. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I were 5.65% and 6.69%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $16,793.

Metropolitan West High Yield Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Lehman Brothers High Yield Index and the Lehman Brothers High Yield - 2% Issuer Cap Index. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class M were (3.13)% and 10.65%, respectively. The inception date for Class M was September 30, 2002. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West High Yield Bond Fund Class I was March 31, 2003. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class I were (2.88)% and 8.25%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $14,864.

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Metropolitan West Strategic Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the Merrill Lynch 3-month U.S. Treasury Index plus 200 basis points. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class M were (13.44)% and 2.91%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Strategic Income Fund Class I was March 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class I were (13.22)% and (0.10)%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $9,959.

Metropolitan West AlphaTrak 500 Fund

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual since inception total returns for the Metropolitan West AlphaTrak 500 Fund were (14.03)% and 2.79%, respectively. The graph assumes that distributions were reinvested.

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

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

11

Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended March 31, 2008 (Unaudited)

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

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

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

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

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

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

	Beginning Account Value 10/01/07		Ending Account Value 03/31/08		Expense Ratio1		Expenses Paid During Period2
Ultra Short Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	945.70	0.50	%	$	2.43
Class I	$	1,000.00	$	946.50	0.34	%	$	1.66
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.50	0.50	%	$	2.53
Class I	$	1,000.00	$	1,023.30	0.34	%	$	1.72
Low Duration Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	966.90	0.58	%	$	2.85
Class I	$	1,000.00	$	967.90	0.39	%	$	1.92
Hypothetical 5% Return
Class M	$	1,000.00	$	1,022.10	0.58	%	$	2.93
Class I	$	1,000.00	$	1,023.05	0.39	%	$	1.97

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

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

12

	Beginning Account Value 10/01/07		Ending Account Value 03/31/08		Expense Ratio1,2		Expenses Paid During Period3
Intermediate Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,034.60	0.65	%	$	3.31
Class I	$	1,000.00	$	1,035.60	0.44	%	$	2.25
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.75	0.65	%	$	3.29
Class I	$	1,000.00	$	1,022.79	0.44	%	$	2.23
Total Return Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	1,030.00	0.65	%	$	3.31
Class I	$	1,000.00	$	1,031.10	0.44	%	$	2.24
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.74	0.65	%	$	3.30
Class I	$	1,000.00	$	1,022.79	0.44	%	$	2.23
High Yield Bond Fund
Actual Fund Return
Class M	$	1,000.00	$	958.40	0.80	%	$	3.91
Class I	$	1,000.00	$	959.60	0.55	%	$	2.70
Hypothetical 5% Return
Class M	$	1,000.00	$	1,021.00	0.80	%	$	4.04
Class I	$	1,000.00	$	1,022.24	0.55	%	$	2.79
Strategic Income Fund
Actual Fund Return
Class M	$	1,000.00	$	870.40	1.48	%	$	6.94
Class I	$	1,000.00	$	871.50	1.35	%	$	6.32
Hypothetical 5% Return
Class M	$	1,000.00	$	1,017.58	1.48	%	$	7.48
Class I	$	1,000.00	$	1,018.24	1.35	%	$	6.82
AlphaTrak 500 Fund
Actual Fund Return	$	1,000.00	$	802.10	0.11	%	$	0.49
Hypothetical 5% Return	$	1,000.00	$	1,024.46	0.11	%	$	0.55

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

² The “Expense Ratio” represents the actual expenses for the last six months and may be different from the expense ratios in the Financial Highlights, which is for the fiscal year. The significant differences for the Strategic Income Fund is attributable to performance based fee adjustments and interest expense and the significant differences for the AlphaTrak 500 Fund is attributable to the performance based fee adjustments.

³ Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 366.

13

Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2008 (Unaudited)

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

Ultra Short Bond Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
Non-Agency Mortgage-Backed	26.14	%	U.S. Treasury	0.12	%	0 to 1 years	28.89	%
Asset-Backed Securities	23.95	%	Agency	33.55	%	1 year to 3 years	43.50	%
U.S. Agency Mortgage-Backed	21.08	%	AAA	57.68	%	3 years to 5 years	24.33	%
U.S. Agency Discount Notes	12.38	%	AA	0.71	%	5 years to 10 years	4.84	%
Commercial Mortgage-Backed	8.06	%	A	4.32	%	10 years to 20 years	0.41	%
Corporate Bonds	5.25	%	BBB	1.84	%	20 years +	(1.97	)%
Money Market RIC	4.58	%	BB or below	1.78	%	Total	100.00	%
Bank Loans	0.31	%	Total	100.00	%
U.S. Treasury Securities	0.12	%
Other	(1.87	)%
Total	100.00	%

Low Duration Bond Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
Asset-Backed Securities	22.26	%	U.S. Treasury	0.30	%	0 to 1 years	23.20	%
Corporate Bonds	19.64	%	Agency	34.06	%	1 year to 3 years	40.87	%
U.S. Agency Mortgage-Backed	18.51	%	AAA	41.18	%	3 years to 5 years	25.89	%
Non Agency Mortgage-Backed	17.86	%	AA	5.81	%	5 years to 10 years	13.21	%
U.S. Agency Discount Notes	9.19	%	A	5.60	%	10 years to 20 years	1.38	%
U.S. Agency Securities	6.27	%	BBB	8.74	%	20 years +	(4.55	)%
Commercial Mortgage-Backed	3.43	%	BB or below	4.31	%	Total	100.00	%
Municipal Bonds	1.67	%	Total	100.00	%
Bank Loans	1.43	%
U.S. Treasury Securities	0.30	%
Preferred Stock	0.15	%
Money Market RIC	0.10	%
Other	(0.81	)%
Total	100.00	%

14

Intermediate Bond Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
U.S. Agency Mortgage-Backed	32.24	%	U.S. Treasury	18.49	%	0 to 1 years	13.93	%
U.S. Treasury Securities	18.49	%	Agency	41.64	%	1 year to 3 years	11.02	%
Corporate Bonds	14.44	%	AAA	22.03	%	3 years to 5 years	34.75	%
Non-Agency Mortgage-Backed	9.38	%	AA	4.85	%	5 years to 10 years	40.82	%
U.S. Agency Discount Notes	9.22	%	A	4.31	%	10 years to 20 years	3.02	%
Asset-Backed Securities	8.17	%	BBB	6.06	%	20 years +	(3.54	)%
Commercial Mortgage-Backed	7.51	%	BB or below	2.62	%	Total	100.00	%
Municipal Bonds	1.95	%	Total	100.00	%
Bank Loans	1.12	%
Money Market RIC	0.63	%
Other	(3.15	)%
Total	100.00	%

Total Return Bond Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
U.S. Agency Mortgage-Backed	36.04	%	U.S. Treasury	11.59	%	0 to 1 years	21.91	%
U.S. Agency Discount Notes	19.33	%	Agency	55.82	%	1 year to 3 years	6.45	%
Corporate Bonds	13.94	%	AAA	15.61	%	3 years to 5 years	28.57	%
U.S. Treasury Securities	11.59	%	AA	6.32	%	5 years to 10 years	38.90	%
Commercial Mortgage-Backed	7.72	%	A	2.67	%	10 years to 20 years	6.67	%
Non-Agency Mortgaged-Backed	5.60	%	BBB	4.43	%	20 years +	(2.50	)%
Asset-Backed Securities	5.53	%	BB or below	3.56	%	Total	100.00	%
Municipal Bonds	1.89	%	Total	100.00	%
Bank Loans	1.89	%
Money Market RIC	0.45	%
U.S. Agency Securities	0.21	%
Preferred Stock	0.07	%
Other	(4.26	)%
Total	100.00	%

High Yield Bond Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
Corporate Bonds	64.64	%	Agency	3.93	%	0 to 1 years	15.27	%
Bank Loans	25.84	%	AAA	4.22	%	1 year to 3 years	10.40	%
U.S. Agency Discount Notes	3.74	%	AA	2.18	%	3 years to 5 years	19.93	%
Non-Agency Mortgage-Backed	2.07	%	A	0.57	%	5 years to 10 years	54.64	%
Asset-Backed Securities	1.59	%	BBB	8.19	%	10 years to 20 years	2.75	%
Preferred Stock	1.41	%	BB	43.09	%	20 years +	(2.99	)%
Other	0.40	%	B	34.40	%	Total	100.00	%
Money Market RIC	0.19	%	CCC	3.34	%
U.S. Agency Mortgage-Backed	0.12	%	CC or below	0.08	%
Total	100.00	%	Total	100.00	%

15

Strategic Income Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
Asset-Backed Securities	39.61	%	U.S. Treasury	3.07	%	0 to 1 years	15.27	%
Corporate Bonds	19.60	%	Agency	25.13	%	1 year to 3 years	10.40	%
Non-Agency Mortgage-Backed	17.79	%	AAA	45.14	%	3 years to 5 years	19.94	%
U.S. Agency Discount Notes	16.02	%	AA	0.77	%	5 years to 10 years	54.63	%
Bank Loans	9.88	%	A	6.85	%	10 years to 20 years	2.75	%
U.S. Agency Mortgage-Backed	8.81	%	BBB	14.80	%	20 years +	(2.99	)%
Commercial Mortgage-Backed	7.29	%	BB or below	4.24	%	Total	100.00	%
U.S. Treasury Securities	3.07	%	Total	100.00	%
Preferred Stock	1.75	%
Money Market RIC	0.36	%
Other	(24.18	)%
Total	100.00	%

AlphaTrak 500 Fund

Sector Diversification:			Distribution by Quality Rating:			Distribution by Maturity:
Asset-Backed Securities	28.47	%	U.S. Treasury	0.64	%	0 to 1 years	87.95	%
Corporate Bonds	23.91	%	Agency	22.07	%	1 year to 3 years	11.46	%
Non-Agency Mortgage-Backed	17.21	%	AAA	48.61	%	3 years to 5 years	0.59	%
U.S. Agency Discount Notes	15.34	%	AA	3.40	%	5 years to 10 years	0.00	%
Commercial Mortgage-Backed	7.44	%	A	5.42	%	10 years to 20 years	0.00	%
U.S. Agency Mortgage-Backed	6.71	%	BBB	12.15	%	20 years +	0.00	%
Bank Loans	4.11	%	BB or below	7.71	%	Total	100.00	%
U.S. Treasury Securities	0.64	%	Total	100.00	%
Preferred Stock	0.27	%
Money Market RIC	0.07	%
Other	(4.17	)%
Total	100.00	%

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

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

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended December 31, 2007. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

16

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 84.79%
ASSET-BACKED SECURITIES — 23.95%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	38,314	$	38,019
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33			5,922		5,952
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.26%	09/15/33			19,292		19,262
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.43%	12/15/33			21,387		20,719
Asset Backed Securities Corp. Home Equity 2005-HE6 A2D
2.88%	07/25/35	2		4,750,000		4,519,063
Bayview Financial Acquisition Trust 2004-B A1
3.18%	05/28/39	2,3		3,500,000		3,254,998
Bayview Financial Acquisition Trust 2005-A A1
3.18%	02/28/40	2,3,†		4,000,000		3,599,969
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
3.18%	12/28/40	2,3		3,900,000		3,431,998
Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)
8.04%	08/25/30			132,530		132,431
BNC Mortgage Loan Trust 2007-2 A2
2.70%	05/25/37	2		1,968,328		1,832,715
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			1,801,218		1,816,698
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
2.78%	03/25/37	2		2,500,000		1,985,460
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
3.90%	07/25/37	2		1,765,000		1,030,319
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			6,528		6,508
Countrywide Asset-Backed Certificates 2003-BC1 M1
3.98%	12/25/32	2		526,715		450,172
Countrywide Asset-Backed Certificates 2005-BC4 2A2
2.87%	08/25/35	2		1,055,809		1,051,354
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
2.66%	04/25/37	2		2,629,251		2,454,242
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			182,565		184,925
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			298,700		309,529
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			7,510		7,478
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A
4.92%	03/25/24	2		3,435,007		2,946,637
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2C
2.91%	03/25/35	2		1,043,748		1,028,887
GE Capital Mortgage Services, Inc. 1998-HE1 A7
6.47%	06/25/28			1,820		1,815
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			12,598		13,023
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		33,564		35,564
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			228,237		158,061
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			68,334		53,460
GSAMP Trust 2004-FM1 M2
4.70%	11/25/33	2		1,050,962		862,621
GSAMP Trust 2006-HE7 A2A
2.64%	10/25/46	2		1,777,015		1,733,978
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36			2,300,000		1,106,551
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		320,633		326,048
Inman Square Funding Ltd. 2005-2A I
5.10%	10/06/40	2,3		2,155,964		1,336,697
Irwin Home Equity Corp. 2003-A M2
5.25%	10/25/27	2		1,759,799		1,714,290
Ivy Lane CDO Ltd. 2006-1A A1
3.43%	02/05/46	2,3		1,778,895		1,049,548
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		25,960		25,901
MASTR Asset Backed Securities Trust 2006-HE4 A1
2.65%	11/25/36	2		1,463,470		1,358,921
MASTR Asset Backed Securities Trust 2007-HE1 A1
2.68%	05/25/37	2		2,414,737		2,255,970
Mid-State Trust 6 A4
7.79%	07/01/35			56,819		57,290
Morgan Stanley ABS Capital I 2004-NC2 M2
3.80%	12/25/33	2,†		2,946,936		2,386,998
Morgan Stanley ABS Capital I 2007-HE5 A2A
2.71%	03/25/37	2		1,311,645		1,247,391
Morgan Stanley ABS Capital I 2007-NC2 A2A
2.71%	02/25/37	2		1,426,990		1,367,605

17

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
2.65%	11/25/36	2	$	1,365,041	$	1,293,239
Nationstar Home Equity Loan Trust 2007-A AV1
2.66%	03/25/37	2		2,243,519		2,176,213
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3		295,203		147,601
New Century Home Equity Loan Trust 2006-2 A2A
2.67%	08/25/36	2		464,115		458,822
Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)
10.00%	04/25/36	2,3,4		3,066,667		86,480
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			7,317		7,416
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15			11,148		11,464
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			558,113		575,845
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4		74,375		7,162
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			249,496		248,721
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			25,736		25,656
Saxon Asset Securities Trust 2002-1 M2
4.40%	11/25/31	2		228,074		195,095
Structured Asset Securities Corp. 2007-BC2 A2
2.69%	03/25/37	2		3,130,647		2,955,528
Structured Asset Securities Corp. 2007-EQ1 A4
2.85%	03/25/37	2		3,000,000		2,259,025
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		10,674,665		117,414
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		1,243		833
Vanderbilt Mortgage Finance 1997-B 1A6
7.60%	06/07/25			2,085,000		2,147,139
Wells Fargo Home Equity Trust 2007-1 A1
2.70%	03/25/37	2		770,603		751,710
Total Asset-Backed Securities (Cost $67,578,718)						60,684,430
CORPORATES — 5.25%*
Banking — 0.22%
JPMorgan Chase Bank NA
8.75%	11/28/21	2		557,000		554,104
Electric — 1.00%
Appalachian Power Co. G
3.60%	05/15/08			1,000,000		999,411
Entergy Gulf States, Inc.
3.48%	12/01/09	2		550,000		538,523
3.74%	12/08/08	2,3		1,000,000		1,002,753
						2,540,687
Finance — 2.61%
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		1,370,000		1,258,808
Countrywide Financial Corp. A (MTN)
2.85%	12/19/08	2		400,000		373,560
Ford Motor Credit Co. LLC
7.13%	01/13/12	2		1,130,000		836,588
GMAC LLC
5.28%	12/01/14	2		375,000		239,885
GMAC LLC (MTN)
3.75%	09/23/08	2		1,868,000		1,762,551
Lehman Brothers Holdings, Inc. (MTN)
2.73%	11/24/08	2		850,000		833,952
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		883,000		952,051
Residential Capital LLC
3.49%	06/09/08	2		450,000		357,750
						6,615,145
Transportation — 1.42%
Air 2 US A
8.03%	10/01/19	3,5		469,607		427,342
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			1,547,481		1,480,016
Continental Airlines, Inc. 1998-3
6.32%	11/01/08			1,700,000		1,683,000
						3,590,358
Total Corporates (Cost $13,713,957)						13,300,294
BANK LOANS — 0.31%*
Transportation — 0.31%
Northwest Air Dip
4.87%	05/21/12	6		990,000		797,940
Total Bank Loans (Cost $990,000)
MORTGAGE-BACKED — 55.28%**
Commercial Mortgage-Backed — 8.06%
Banc of America Mortgage Securities, Inc. 2003-E 2A1
4.03%	06/25/33	2		2,438,299		2,466,155

18

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Bayview Commercial Asset Trust 2007-3 A1
2.84%	07/25/37	2,3,†	$	2,218,887	$	2,037,825
Countrywide Home Loan Mortgage Pass-Through Trust 2004-HYB3 1A
5.52%	06/20/34	2		2,967,407		2,854,967
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
2.93%	07/19/44	2		907,378		853,476
JPMorgan Mortgage Trust 2005-A2 9A1
6.13%	04/25/35	2		1,208,085		1,014,305
Structured Asset Mortgage Investments, Inc. 2005-AR2 2A1
2.83%	05/25/45	2		3,500,750		2,703,747
Structured Asset Mortgage Investments, Inc. 2005-AR6 2A1
2.91%	09/25/45	2		2,636,322		2,145,974
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
2.79%	09/25/47	2		3,225,490		2,450,614
Structured Asset Securities Corp. 2003-15A 2A1
5.63%	04/25/33	2		4,149,422		3,907,933
						20,434,996
Non-Agency Mortgage-Backed — 26.14%
Adjustable Rate Mortgage Trust 2005-1 1A1
6.44%	05/25/35	2		2,258,506		1,897,649
Alliance Bancorp Trust 2007-OA1 A1
2.84%	07/25/37	2		4,636,064		3,544,918
American Home Mortgage Assets 2006-2 2A1
2.79%	09/25/46	2		3,416,678		2,684,853
American Home Mortgage Investment Trust 2004-3 3A
4.48%	10/25/34	2		1,586,557		1,520,227
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			104,474		107,516
Banc of America Mortgage Securities, Inc. 2003-A 2A2
6.89%	02/25/33	2		15,186		15,150
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		3,402,676		3,388,050
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			1,080,960		1,077,844
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1
5.50%	12/25/18			968,280		982,161
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1
6.50%	08/25/18	3		315,384		320,057
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		619,579		564,875
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			719,707		730,990
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	4,7,†		3,420,775		76,994
Countrywide Alternative Loan Trust 2005-16 A5
2.88%	06/25/35	2		1,032,835		767,477
Countrywide Alternative Loan Trust 2005-27 2A1
5.59%	08/25/35	2		1,989,188		1,392,431
Countrywide Alternative Loan Trust 2005-61 2A1
2.88%	12/25/35	2		1,618,008		1,328,339
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	4		11,553,006		547,947
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
5.30%	11/25/32	2		200,000		189,581
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4
4.03%	10/25/33	2		2,381,937		2,392,715
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34			1,101,795		1,071,359
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A
2.97%	09/19/44	2		351,132		283,813
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1
6.79%	11/19/32	2		73,343		73,242
First Horizon Asset Securities, Inc. 2002-AR2 2A1
7.00%	12/27/32	2		65,740		65,722
First Horizon Asset Securities, Inc. 2003-AR2 1A1
7.50%	07/25/33	2		103,388		101,715
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34			100,220		100,822
Harborview Mortgage Loan Trust 2004-8 2A4A
2.96%	11/19/34	2		1,812,739		1,552,988
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,7		4,141,662		86,716
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.58%	10/19/35	2,4		28,673,503		277,775
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.99%	12/25/34	2		1,540,326		1,391,448

19

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	4,7	$	1,803,577	$	25,363
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		1,017,678		956,129
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
3.38%	10/25/36	2		1,738,131		1,350,441
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.53%	01/25/34	2		82,814		79,327
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
6.69%	10/25/34	2		1,418,758		1,218,598
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
7.11%	06/25/34	2		88,286		88,367
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
5.37%	12/25/46	2		4,321,261		3,024,881
MASTR Seasoned Securities Trust 2004-1 4A1
7.03%	10/25/32	2		362,940		342,058
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			1,092,753		1,078,110
MASTR Seasoned Securities Trust 2005-1 4A1
5.97%	10/25/32	2		866,232		826,551
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
4.25%	12/25/32	2		1,190,487		1,063,967
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			57,409		57,429
Residential Accredit Loans, Inc. 2007-QS8 A10
6.00%	06/25/37			2,784,230		2,728,042
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			547,771		559,444
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			301,224		318,301
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			78,550		81,532
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			556,225		573,245
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			3,079,148		3,174,731
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		870,487		846,816
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			3,206,017		3,110,409
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.89%	12/27/35	2		4,370,669		3,618,449
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		65,330		62,677
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
5.10%	04/25/47	2		3,475,966		2,346,116
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.57%	01/25/33	2		241,680		235,257
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
5.73%	06/25/42	2		247,584		215,486
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
4.33%	06/25/33	2		1,023,997		1,022,752
Washington Mutual Mortgage Pass-Through Certificates 2006-AR19 1A
5.07%	01/25/47	2		4,552,422		3,047,650
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
5.57%	07/25/46	2		4,155,726		3,740,154
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.00%	02/25/47	4,7		71,156,084		867,215
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A
5.00%	02/25/18			498,052		483,603
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			273,917		284,176
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			292,202		292,519
						66,255,169
U.S. Agency Mortgage-Backed — 21.08%
Fannie Mae 1988-12 A
10.00%	02/25/18	2		160,902		178,000
Fannie Mae 1993-210 PL
6.50%	04/25/23			69,073		69,122
Fannie Mae 1993-80 S
7.67%	05/25/23	2		13,189		13,804
Fannie Mae 1994-55 S
15.04%	12/25/23	2		5,134		5,357

20

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 1997-23 PB
6.63%	01/25/22		$	53,368	$	54,468
Fannie Mae 1998-58 PC
6.50%	10/25/28			1,253,772		1,309,952
Fannie Mae 2000-27 AN
6.00%	08/25/30			23,905		24,432
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		7,542		8,007
Fannie Mae 2001-60 JZ
6.00%	03/25/31			24,040		24,038
Fannie Mae 2001-68 PV
6.00%	11/25/18			101,962		102,572
Fannie Mae 2003-124 (IO)
5.25%	03/25/31			117,235		12,941
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		160,026		172,408
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			384,840		47,615
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			137,648		8,987
Fannie Mae 2004-96 MT
7.00%	12/25/34	2		338,309		335,174
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		498,658		485,659
Fannie Mae Pool 111643
6.44%	09/01/20	2		31,731		33,001
Fannie Mae Pool 190656
6.50%	02/01/14			300,531		314,757
Fannie Mae Pool 254190
5.50%	02/01/09			413,224		420,361
Fannie Mae Pool 303683
6.50%	08/01/25			17,408		18,238
Fannie Mae Pool 523829
8.00%	11/01/19			375,684		409,328
Fannie Mae Pool 545350
6.50%	11/01/16			1,242,742		1,304,595
Fannie Mae Pool 555098
5.13%	11/01/32	2		228,517		230,575
Fannie Mae Pool 555177
4.83%	01/01/33	2		315,568		328,823
Fannie Mae Pool 555207
7.00%	11/01/17			53,925		56,101
Fannie Mae Pool 555312
6.61%	01/01/33	2		626,155		635,583
Fannie Mae Pool 555705
6.79%	07/01/33	2		666,987		679,620
Fannie Mae Pool 567002
8.00%	05/01/23			187,347		202,957
Fannie Mae Pool 582521
7.00%	05/01/31			46,294		49,710
Fannie Mae Pool 630599
7.00%	05/01/32			364,904		387,891
Fannie Mae Pool 646884
5.50%	05/01/32	2		34,233		35,074
Fannie Mae Pool 647903
6.70%	04/01/27	2		70,042		70,712
Fannie Mae Pool 648860
6.50%	05/01/17			1,194,706		1,253,678
Fannie Mae Pool 655127
7.00%	07/01/32			54,476		57,223
Fannie Mae Pool 655133
7.00%	08/01/32			71,169		74,751
Fannie Mae Pool 655151
7.00%	08/01/32			85,631		89,834
Fannie Mae Pool 655928
7.00%	08/01/32			44,545		47,789
Fannie Mae Pool 735207
7.00%	04/01/34			942,709		988,390
Fannie Mae Pool 735686
6.50%	12/01/22			1,451,295		1,510,905
Fannie Mae Pool 735995
4.91%	04/01/35	2		1,710,356		1,748,774
Fannie Mae Pool 753630
6.80%	11/01/33	2		294,414		299,980
Fannie Mae Pool 754001
7.03%	12/01/33	2		862,985		872,623
Fannie Mae Pool 762525
6.50%	11/01/33			238,491		246,967
Fannie Mae Pool 764605
6.19%	01/01/34	2		994,721		1,012,671
Fannie Mae Pool 770869
5.30%	04/01/34	2		1,394,685		1,409,159
Fannie Mae Pool 770900
5.20%	04/01/34	2		892,683		897,782
Fannie Mae Pool 771153
5.74%	02/01/34	2		1,471,086		1,503,059
Fannie Mae Pool 788986
6.66%	10/01/34	2		878,248		884,269
Fannie Mae Pool 805268
6.02%	01/01/35	2		722,726		741,168
Fannie Mae Pool 810557
6.40%	02/01/35	2		627,675		635,256
Fannie Mae Pool 811267
6.62%	12/01/34	2		310,286		312,535
Fannie Mae Pool 815612
4.53%	05/01/35	2		3,973,601		4,028,160
Fannie Mae Pool 821549
4.78%	06/01/35	2		2,921,009		2,917,396
Fannie Mae Pool 832803
4.52%	09/01/35	2		3,570,258		3,606,145

21

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 840634
6.50%	06/01/35		$	1,195,630	$	1,250,100
Fannie Mae Pool 908412
6.13%	04/01/37	2		2,029,458		2,090,126
Fannie Mae Whole Loan 2003-W14 1A6
5.82%	09/25/43			30,600		30,536
Freddie Mac 1214 KA
3.71%	02/15/22	2		11,931		12,012
Freddie Mac 1526 L
6.50%	06/15/23			41,294		43,690
Freddie Mac 1625 FC
4.87%	12/15/08	2		13,480		13,551
Freddie Mac 1662 L
3.11%	01/15/09	2		741		739
Freddie Mac 1695 EA
7.00%	12/15/23			6,206		6,224
Freddie Mac 1702 TJ
7.00%	04/15/13			232,069		236,764
Freddie Mac 2043 CJ
6.50%	04/15/28			94,659		99,183
Freddie Mac 2161 PG
6.00%	04/15/28			109		109
Freddie Mac 2451 SP
10.74%	05/15/09	2		6,859		7,241
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			516,174		58,246
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			11,355		74
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			583,211		49,660
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			1,210,718		17,326
Freddie Mac 2594 VK
5.00%	02/15/23			572,339		579,319
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			80,990		14,183
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			368,519		32,802
Freddie Mac 2809 HX (IO)
6.00%	10/15/24			117,840		760
Freddie Mac 2856 ST
7.00%	09/15/23	2		734,290		746,553
Freddie Mac 2905 JG
7.00%	09/15/34			665,909		683,190
Freddie Mac 2906 NX (IO)
2.68%	12/15/34	2		7,815,477		289,246
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		20,187
Freddie Mac 3202 HS
3.83%	08/15/36	2,4		8,780,933		415,449
Freddie Mac Gold A45796
7.00%	01/01/33			1,462,520		1,554,525
Freddie Mac Gold C90237
6.50%	11/01/18			225,941		236,708
Freddie Mac Gold C90474
7.00%	08/01/21			307,855		326,519
Freddie Mac Gold D93410
6.50%	04/01/19			222,233		233,038
Freddie Mac Gold E90474
6.00%	07/01/17			1,413,715		1,458,259
Freddie Mac Gold G10616
5.50%	07/01/09			67,219		67,479
Freddie Mac Gold G11454
5.50%	07/01/15			622,405		640,256
Freddie Mac Gold G18087
6.50%	09/01/20			884,029		921,945
Freddie Mac Gold O30092
5.50%	10/01/15			191,964		195,557
Freddie Mac Gold P20295
7.00%	10/01/29			95,572		99,838
Freddie Mac Gold P50019
7.00%	07/01/24	†		13,791		14,371
Freddie Mac Gold P50214
6.50%	02/01/34			424,685		429,063
Freddie Mac Gold P50230
6.50%	04/01/34			1,192,940		1,205,240
Freddie Mac Gold P60084
6.00%	03/01/16			972,161		973,989
Freddie Mac Non Gold Pool 775554
6.02%	10/01/18	2		7,215		7,273
Freddie Mac Non Gold Pool 782824
6.72%	11/01/34	2		1,070,152		1,088,508
Freddie Mac Non Gold Pool 788498
6.65%	02/01/30	2		676,037		689,882
Freddie Mac Non Gold Pool 865369
5.80%	06/01/22	2		5,762		5,931
Freddie Mac Non Gold Pool 972112
6.45%	01/01/33	2		373,306		379,960
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			372,671		40,736
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			20,934		105
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			87,077		1,807
Ginnie Mae 2003-95 SB
10.04%	09/17/31	2		162,094		166,051
Ginnie Mae 2004-2 FW
4.52%	01/16/34	2		333,170		341,487
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			2,500,000		208,482

22

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80546
5.00%		10/20/31	2	$	61,963	$	62,114
Ginnie Mae II Pool 80610
6.38%		06/20/32	2		922,040		940,666
Ginnie Mae II Pool 80614
5.63%		07/20/32	2		104,029		104,544
Ginnie Mae II Pool 80687
6.50%		04/20/33	2		538,130		550,450
Ginnie Mae II Pool 81018
5.63%		08/20/34	2		340,925		342,743
Ginnie Mae II Pool 8339
5.13%		12/20/23	2		105,557		105,380
Ginnie Mae II Pool 8684
5.63%		08/20/25	2		149,716		150,882
							53,409,434
Total Mortgage-Backed (Cost $150,937,847)							140,099,599
Total Bonds – 84.79% (Cost $233,220,522)							214,882,263
				Shares/ Principal Amount
SHORT TERM INVESTMENTS — 17.08%
Money Market Fund — 4.58%
Goldman Sachs Group, Inc. (The), 2.77%					11,601,000		11,601,000
U.S. Agency Discount Notes — 12.38%
Fannie Mae
2.81%8		04/23/08		$	770,000		768,756
2.90%8		04/23/08			290,000		289,531
Federal Home Loan Bank
2.00%8		04/18/08			17,200,000		17,183,756
2.13%8		04/25/08			12,735,000		12,716,916
2.38%8		04/25/08			288,000		287,545
Freddie Mac
2.08%8		06/23/08	9		126,000		125,420
							31,371,924
U.S. Treasury Bills — 0.12%
1.21%8		05/22/08			305,000		304,477
Total Short Term Investments (Cost $43,277,269)							43,277,401
Total Investments — 101.87% (Cost $276,497,791)1							258,159,664
Liabilities in Excess of Other Assets — (1.87)%							(4,728,614	)
Net Assets — 100.00%						$	253,431,050
Issues	Notional Amount (000’s)			Premium Received		Value
WRITTEN SWAPTIONS
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.	$	(3,200,000	)	$	—	$	(12,320	)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
76	Euro Dollar Ninety Day, June 2008	$	(401,221	)
7	Euro Dollar Ninety Day, September 2008		(36,032	)
7	Euro Dollar Ninety Day, December 2008		(34,720	)
10	Euro Dollar Ninety Day, June 2009		6,911
10	Euro Dollar Ninety Day, September 2009		6,900
10	Euro Dollar Ninety Day, December 2009		7,775
25	U.S. Treasury Two Year Note, June 2008		(35,041	)
	Net unrealized depreciation	$	(485,428	)

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	$	83,813
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		1,350		45,078

23

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
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	$	(8,433	)
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		(5,585	)
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		(6,750	)
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		8,686
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		(35,200	)
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		4,763
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		(11,299	)
				$	75,073
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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 Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/12		900		26,587
The Fund pays 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 Chase & Co.	12/20/12		880		35,037
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		850		72,126
				$	133,750
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston	03/20/09		1,000		6
The Fund receives 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		(290,838	)
The Fund receives 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 Chase & Co.	01/25/38		345		(290,839	)
The Fund receives 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		(290,838	)
The Fund receives 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		(134,882	)
The Fund receives 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		(210,219	)
The Fund receives 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		(210,219	)
The Fund receives 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		(210,219	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.	01/25/38		4,550		(2,192,827	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		1,930		(931,367	)

24

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(210,219	)
				$	(4,972,461	)

Notes:

¹ Cost for Federal income tax purposes is $276,508,075 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	7,064,684
Gross unrealized depreciation		(25,413,095	)
Net unrealized (depreciation)	$	(18,348,411	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

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 March 31, 2008 was $16,838,583 representing 6.64% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
08/21/06	Northwest Air Dip, 4.87%, 05/21/12	$	990,000	$	797,940	0.31	%
		$	990,000	$	797,940	0.31	%

⁷ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁸ Represents annualized yield at date of purchase.

⁹ 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 $11,621,621 which is 4.59% 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 maturity date less than the stated maturity date.

(IO): Interest only

(DIP): Defaulted interest payment

(MTN): Medium term note

(STEP): Step coupon bond

25

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 91.07%
ASSET-BACKED SECURITIES — 22.26%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	120,252	$	120,858
Accredited Mortgage Loan Trust 2007-1 A1
2.65%	02/25/37	2		5,963,569		5,679,518
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2,3		37,603		9,887
Bayview Financial Acquisition Trust 2005-A A1
3.18%	02/28/40	2,4,†		12,500,000		11,249,902
Bayview Financial Acquisition Trust 2006-B 2A2
2.88%	04/28/36	2		8,506,122		8,112,466
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
3.18%	12/28/40	2,4		14,000,000		12,319,993
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%	08/25/30			5,995,000		5,804,672
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.79%	01/25/47	2		3,193,023		2,979,668
Bear Stearns Asset Backed Securities Trust 2007-HE1 1A1
2.72%	02/25/37	2		3,489,204		3,301,200
Bear Stearns Asset Backed Securities Trust 2007-HE1 21A1
2.66%	01/25/37	2		4,725,071		4,436,704
Bear Stearns Asset Backed Securities Trust 2007-HE3 1A1
2.72%	04/25/37	2		1,957,059		1,843,021
Bear Stearns Asset Backed Securities Trust 2007-HE5 1A2
2.78%	06/25/47	2		5,200,000		4,505,034
Carrington Mortgage Loan Trust 2004-NC2 M1
3.29%	08/25/34	2		218,633		193,221
Castle Trust 2003-1AW A1
3.57%	05/15/27	2,4		3,771,747		3,771,294
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%	01/25/13	2		6,998,603		7,096,937
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
3.50%	02/25/32	2		815,624		788,922
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			12,960,940		13,072,326
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
4.25%	07/25/37	2		8,432,000		3,583,596
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			745,452		739,893
Countrywide Asset-Backed Certificates 2005-13 AF1
2.73%	04/25/36	2		50,282		50,207
Countrywide Asset-Backed Certificates 2007-1 2A1
2.65%	07/25/37	2		5,886,623		5,621,657
Countrywide Home Equity Loan Trust 2005-M A2
2.94%	02/15/36	2		258,537		257,632
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%	01/25/36			7,685,000		7,482,255
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			9,346,014		9,264,236
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
5.51%	02/25/37			20,580,000		17,857,645
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
2.66%	04/25/37	2		9,363,418		8,740,171
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			2,253		2,243
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP)
5.48%	03/25/25			9,245,000		5,699,187
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			73,480		11,023
Genesis Funding Ltd. 2006-1A G1
2.80%	12/19/32	2,4		8,650,000		6,920,000
GMAC Commercial Mortgage Securities, Inc. 1999-C1 A2
6.18%	05/15/33	2		12,112,032		12,154,047
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
3.04%	06/25/30	2		4,492,112		3,964,438
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			743,275		768,367
Green Tree Financial Corp. 1995-10 A6
7.05%	01/15/27			278,199		280,690
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			6,208,028		5,966,357
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			359,013		302,198
Greenpoint Mortgage Funding Trust 2005-HE2 A1
3.02%	04/15/30	2		18,066		18,060
GSAA Trust 2006-9 A4A
2.84%	06/25/36	2		13,500,000		8,266,176
GSAMP Trust 2006-NC1 A1
2.67%	02/25/36	2		39,985		39,864

26

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36		$	2,228,000	$	1,071,912
GSR Mortgage Loan Trust 2005-HEL1 M2
3.33%	11/25/30	2		7,085,000		307,662
Home Equity Asset Trust 2007-3 2A2
2.78%	08/25/37	2		5,635,000		4,965,255
Home Equity Mortgage Trust 2006-1 A1B
2.73%	05/25/36	2		2,251,422		1,741,087
Ivy Lane CDO Ltd. 2006-1A A1
3.43%	02/05/46	2,4		8,968,595		5,291,469
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%	11/25/36			12,415,000		12,390,456
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%	01/25/37			15,300,000		14,701,634
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV1
2.66%	04/01/37	2		14,072,428		12,990,398
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)
0.55%	05/15/41	2,3		481,143,981		8,420,049
Lehman XS Trust 2006-12N A1A1
2.68%	08/25/46	2		1,460,325		1,432,923
Lehman XS Trust 2006-GP1 A4A
2.93%	05/25/46	2,3		12,221,317		6,330,552
Long Beach Asset Holdings Corp. 2006-8 N1
6.05%	10/25/46	4		3,829,304		206,018
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,4		2,612,542		140,817
MASTR Asset Backed Securities Trust 2007-HE1 A1
2.68%	05/25/37	2		8,123,866		7,589,729
MASTR Asset Backed Securities Trust 2007-HE1 A2
2.75%	05/25/37	2		6,260,000		5,245,431
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
2.72%	04/25/37	2		5,702,975		5,530,106
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
2.78%	06/25/37	2		19,057,200		15,608,554
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B
2.74%	01/25/37	2		2,726,679		2,693,634
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,099,685		1,096,180
Morgan Stanley ABS Capital I 2004-NC2 M2
3.80%	12/25/33	2,†		648,326		525,139
Morgan Stanley ABS Capital I 2007-HE7 M2
4.60%	07/25/37	2		3,525,000		1,762,500
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	2		23,189,309		22,156,666
Nationstar Home Equity Loan Trust 2007-A AV1
2.66%	03/25/37	2		7,661,473		7,431,629
Nationstar Home Equity Loan Trust 2007-C 2AV3
2.78%	06/25/37	2		7,057,200		5,011,713
Nomura Asset Acceptance Corp. 2006-S1 A1
2.74%	01/25/36	2,4		1,608,442		1,510,337
Oakwood Mortgage Investors, Inc. 2002-B A1
3.05%	05/15/13	2		416,917		352,392
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		273,143		251,800
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	3		10,937,500		1,053,175
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/30	3,4,5		8,806,150		2,748
Resmae Mortgage Loan Trust 2006-1 A1B
2.87%	02/25/36	2,4		3,525,496		3,112,439
Saxon Asset Securities Trust 2007-2 A2A
2.70%	05/25/47	2		14,496,813		13,745,337
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.73%	05/25/37	2,†		20,721,262		19,421,627
SG Mortgage Securities Trust 2006-FRE1 A1B
2.87%	02/25/36	2		2,872,009		2,579,656
Soundview Home Equity Loan Trust 2006-OPT1 2A4
2.87%	03/25/36	2		7,300,000		4,694,025
Soundview Home Equity Loan Trust 2006-WF2 M8
4.95%	12/25/36	2		1,500,000		231,028
Structured Asset Investment Loan Trust 2005-HE1 B1
5.10%	07/25/35	2		2,000,000		380,000
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	4		3,361,210		3,310,793
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	4		760,134		748,732
Terwin Mortgage Trust 2004-7HE A1
3.15%	07/25/34	2,4		142,962		125,639
Terwin Mortgage Trust 2005-13SL A1B
4.75%	12/25/36	2,4		12,100,000		5,448,554
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,4		1,206,060		1,137,606
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,4		8,200,000		2,897,495

27

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,4	$	12,500,000	$	7,412,617
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	2		15,000,000		12,751,647
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		3,000,000		637,117
Terwin Mortgage Trust 2007-9SL A1
3.80%	06/25/38	2,4,†		13,556,866		12,133,381
Vertical CDO Ltd. 2007-1A A1J
3.81%	04/10/47	2,3,4		5,500,000		54,999
Wells Fargo Home Equity Trust 2007-1 A1
2.70%	03/25/37	2		1,082,878		1,056,329
Wells Fargo Home Equity Trust 2007-2 A1
2.69%	04/25/37	2		2,003,860		1,921,323
Total Asset-Backed Securities (Cost $505,310,918)						424,887,874
CORPORATES — 19.64%*
Automotive — 0.01%
Metaldyne Corp.
10.00%	11/01/13			175,000		105,875
Tenneco, Inc.
8.13%	11/15/15	4		125,000		124,687
						230,562
Banking — 1.65%
BankAmerica Institutional A
8.07%	12/31/26	4		5,250,000		5,424,710
Banponce Trust I A
8.33%	02/01/27			7,400,000		7,259,659
Chase Capital II B
3.74%	02/01/27	2		6,455,000		5,150,115
JPMorgan Chase & Co. C (MTN)
8.55%	07/23/13	2		1,500,000		1,312,050
JPMorgan Chase Bank NA
8.75%	11/28/21	2		2,084,000		2,073,163
JPMorgan Chase Capital XIII M
3.65%	09/30/34	2		1,541,000		1,150,594
Nationsbank Capital Trust III
4.81%	01/15/27	2		7,650,000		5,898,341
NB Capital Trust II
7.83%	12/15/26			3,200,000		3,191,648
						31,460,280
Basic Industry — 0.07%
Freeport-McMoRan Copper & Gold, Inc.
5.88%	04/01/15	2		150,000		147,750
Massey Energy Co.
6.88%	12/15/13			375,000		364,688
Mosaic Co. (The)
7.38%	12/01/14	4		375,000		403,125
Noranda Aluminium Acquisition Corp. (PIK)
8.74%	05/15/15	4		500,000		395,000
						1,310,563
Communications — 1.06%
Cincinnati Bell, Inc.
7.25%	07/15/13			225,000		222,188
Citizens Communications Co.
6.63%	03/15/15			125,000		112,500
Comcast Corp.
4.68%	07/14/09	2		1,380,000		1,348,561
CSC Holdings, Inc. B
7.63%	04/01/11			375,000		370,312
Dex Media West LLC/Dex Media Finance Co. B
8.50%	08/15/10			500,000		488,750
9.88%	08/15/13			300,000		261,750
Hawaiian Telcom Communications, Inc. B
9.75%	05/01/13			250,000		187,500
Idearc, Inc.
8.00%	11/15/16			300,000		195,750
Level 3 Financing, Inc.
8.75%	02/15/17			275,000		210,375
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			250,000		231,250
Qwest Corp.
5.63%	11/15/08			500,000		500,000
Sprint Capital Corp.
6.13%	11/15/08			10,000,000		9,926,470
Sprint Nextel Corp.
6.00%	12/01/16			350,000		272,553
Viacom, Inc.
3.15%	06/16/09	2		5,150,000		5,048,494
Windstream Corp.
8.13%	08/01/13			650,000		641,875
8.63%	08/01/16			150,000		148,125
						20,166,453
Consumer Products — 0.22%
SABMiller PLC
3.00%	07/01/09	2,4		4,000,000		4,012,800
Visant Holding Corp.
8.75%	12/01/13			200,000		188,000
						4,200,800
Electric — 2.76%
Appalachian Power Co. G
3.60%	05/15/08			2,420,000		2,418,575
Cedar Brakes I LLC
8.50%	02/15/14	4		2,458,748		2,702,648
Cedar Brakes II LLC
9.88%	09/01/13	4		9,100,505		10,227,975

28

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Centerpoint Energy, Inc. B
5.88%	06/01/08		$	6,850,000	$	6,824,313
Entergy Gulf States, Inc.
3.60%	06/01/08			2,500,000		2,501,657
3.74%	12/08/08	2,4		7,230,000		7,249,904
Entergy Louisiana LLC
5.83%	11/01/10			1,440,000		1,439,885
8.09%	01/02/17			5,180,013		5,228,363
Midwest Generation LLC
8.30%	07/02/09			2,299,000		2,344,980
Power Contract Financing LLC
6.26%	02/01/10	4		4,274,660		4,386,917
Power Receivables Finance LLC
6.29%	01/01/12	4		1,676,586		1,755,860
6.29%	01/01/12			1,759,820		1,843,030
Reliant Energy, Inc.
6.75%	12/15/14			500,000		511,250
SWEPCO Capital Trust I
5.25%	10/01/43	2		1,500,000		1,515,174
TECO Energy, Inc.
5.24%	05/01/10	2		1,715,000		1,732,150
						52,682,681
Energy — 0.38%
AES Corp. (The)
8.75%	05/15/13	4		219,000		228,855
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			250,000		228,750
Chesapeake Energy Corp.
7.00%	08/15/14			250,000		251,875
Corral Finans AB (PIK)
5.76%	04/15/10	4		256,816		196,464
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		250,000		181,250
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		200,000		188,500
Mirant Americas Generation LLC
8.30%	05/01/11			300,000		307,500
NRG Energy, Inc.
7.38%	01/15/17			400,000		390,000
OPTI Canada, Inc.
7.88%	12/15/14			250,000		245,625
Pride International, Inc.
7.38%	07/15/14			125,000		130,625
Sempra Energy Employee Stock Ownership Plan & Trust
5.78%	11/01/14	4		5,000,000		4,989,502
						7,338,946
Finance — 7.26%
Bear Stearns Cos., Inc. (The) (MTN)
3.16%	08/21/09	2		4,027,000		3,692,823
3.18%	02/23/10	2		2,725,000		2,593,677
4.33%	07/16/09	2		7,900,000		7,350,998
Citigroup, Inc.
4.13%	02/22/10			10,530,000		10,515,740
5.30%	10/17/12			6,881,000		6,905,056
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		8,572,000		7,876,279
4.79%	01/05/09	2		6,245,000		5,803,543
Countrywide Financial Corp. A (MTN)
2.85%	12/19/08	2		268,000		250,286
3.35%	05/05/08	2		3,000,000		2,980,602
Countrywide Home Loans, Inc. (MTN)
4.13%	09/15/09			2,000,000		1,824,462
Ford Motor Credit Co. LLC
5.83%	01/15/10	2		4,070,000		3,405,503
7.13%	01/13/12	2		20,160,000		14,925,315
8.71%	04/15/12	2		1,750,000		1,644,794
GMAC LLC
5.28%	12/01/14	2		11,798,000		7,547,090
6.63%	05/15/12			2,000,000		1,514,230
GMAC LLC (MTN)
3.75%	09/23/08	2		5,000,000		4,717,750
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	2		4,835,000		5,296,743
2.65%	12/23/08	2		1,500,000		1,458,539
8.92%	02/16/17	2		4,198,000		3,775,261
11.00%	11/07/16	2		6,776,000		6,546,971
MBNA Capital A
8.28%	12/01/26			924,000		961,610
MBNA Capital B
4.04%	02/01/27	2		2,721,000		2,277,395
Meridian Funding Co. LLC
4.85%	10/06/08	2,4		733,571		732,169
Merrill Lynch & Co., Inc. (MTN)
3.89%	10/23/08	2		975,000		971,749
9.57%	06/06/17	2		5,184,000		5,475,600
Merrill Lynch & Co., Inc. C (MTN)
3.40%	02/06/09	2		5,670,000		5,531,665
Pemex Finance Ltd.
8.88%	11/15/10			5,378,267		5,761,754
9.69%	08/15/09			1,798,500		1,872,059
Residential Capital LLC
3.49%	06/09/08	2		2,722,000		2,163,990
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2		6,747,000		6,694,373
Westfield Capital Corp. Ltd.
4.38%	11/15/10	4		5,690,000		5,518,271
						138,586,297

29

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care — 0.49%
Cardinal Health, Inc.
2.96%	10/02/09	2	$	1,827,000	$	1,779,341
Community Health Systems, Inc.
8.88%	07/15/15			250,000		252,187
UnitedHealth Group, Inc.
4.88%	02/15/13			7,348,000		7,266,055
						9,297,583
Insurance — 0.10%
Farmers Insurance Exchange
6.00%	08/01/14	4		1,900,000		1,996,682
Real Estate Investment Trust (REIT) — 3.11%
Camden Property Trust
4.38%	01/15/10			2,068,000		2,019,733
CPG Partners LP
8.25%	02/01/11			4,640,000		5,096,316
Duke Realty LP
5.63%	08/15/11			8,550,000		8,233,667
First Industrial LP
5.25%	06/15/09			4,080,000		4,069,260
HCP, Inc.
6.45%	06/25/12			4,000,000		3,786,312
HCP, Inc. (MTN)
3.25%	09/15/08	2		8,620,000		8,450,962
Kimco Realty Corp. (MTN)
3.95%	08/05/08			1,650,000		1,646,893
Reckson Operating Partnership LP
7.75%	03/15/09			4,250,000		4,214,011
Rouse Co. LP (The)
3.63%	03/15/09			6,655,000		6,299,962
Shurgard Storage Centers LLC
7.75%	02/22/11			1,500,000		1,649,846
Simon Property Group LP
3.75%	01/30/09			2,360,000		2,342,800
7.00%	07/15/09			3,032,000		3,112,433
7.13%	02/09/09			4,280,000		4,364,600
Weingarten Realty Investors A (MTN)
8.25%	01/22/10			3,800,000		4,091,608
						59,378,403
Secured Assets — 0.25%
Ingress I Ltd. B-A
7.38%	03/30/40	4		5,490,000		4,803,773
Services — 0.04%
Mobile Mini, Inc.
6.88%	05/01/15			375,000		313,125
United Rentals North America, Inc.
6.50%	02/15/12			425,000		383,563
7.00%	02/15/14			125,000		98,750
						795,438
Transportation — 2.24%
Air 2 US A
8.03%	10/01/19	4,6		2,826,563		2,572,172
American Airlines, Inc. 1999-1 A2
7.02%	10/15/09			1,375,000		1,376,719
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			6,189,923		5,920,063
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		1,816,487		1,689,332
Continental Airlines, Inc. 1999-2
7.06%	09/15/09			8,500,000		8,468,125
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	6		4,409,915		4,343,766
Delta Air Lines, Inc. 2001-1 A1
6.62%	03/18/11	6		6,549,511		6,424,980
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	6		7,861,000		7,755,463
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,500,000		1,470,000
Saint Acquisition Co., Inc.
12.50%	05/15/17	4		125,000		51,563
United Air Lines, Inc. 2001-1
6.20%	09/01/08	6		2,320,290		2,314,489
6.60%	09/01/13			279,824		277,026
						42,663,698
Total Corporates (Cost $387,856,798)						374,912,159
BANK LOANS — 1.43%*
Automotive — 0.16%
Delphi Dip 2nd Lien
6.75%	07/01/08	7		3,000,000		2,952,858
Communications — 0.36%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14			497,500		450,030
Cebridge 2nd Lien (PIK)
9.24%	05/05/14	7		7,625,641		5,764,985
Charter Communications, Inc. Term Loan 3rd Lien
5.17%	09/06/14	7		500,000		384,166
Univision Communications, Inc. 1st Lien Strip
5.48%	03/15/14	7		375,000		296,719
						6,895,900
Electric — 0.03%
TPF Generation Holdings LLC 2nd Lien
6.95%	12/15/14	7		250,000		202,500

30

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Electric (continued)
TXU Energy Term Loan B3
6.59%	10/10/14		$	497,500	$	452,974
						655,474
Health Care — 0.50%
Carestream Health, Inc. Term Loan
9.40%	10/30/13	7		500,000		360,000
Community Health Systems, Inc. 1st Lien
5.34%	07/25/14	7		238,357		220,228
HCA Term Loan A
4.70%	11/18/12	7		9,809,857		8,937,819
						9,518,047
Insurance — 0.01%
Asurion Corp. Term Loan
6.10%	07/13/14	7		250,000		212,917
Services — 0.03%
Cengage Learning Term Loan B
5.21%	07/09/14	7		746,250		643,640
Transportation — 0.34%
Delta Air Lines, Inc. Term Loan 1st Lien
6.46%	05/01/12	7		1,485,000		1,211,760
Northwest Air Dip
4.87%	05/21/12	7		5,940,000		4,787,640
Swift Transportation Co., Inc. Term Loan
3.71%	05/06/14	7		220,930		166,645
United Air Lines, Inc.
4.67%	02/01/14	7		356,111		279,102
						6,445,147
Total Bank Loans (Cost $31,903,084)						27,323,983
MORTGAGE-BACKED — 39.80%**
Commercial Mortgage-Backed — 3.43%
Banc of America Commercial Mortgage, Inc. 2004-5 A2
4.18%	11/10/41			14,765,410		14,585,861
Bayview Commercial Asset Trust 2006-3A A1
2.85%	10/25/36	2,4		6,201,769		5,178,476
CS First Boston Mortgage Securities Corp. 2004-C2 A1
3.82%	05/15/36			8,693,704		8,373,962
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			5,800,000		5,718,876
CS First Boston Mortgage Securities Corp. 2005-C4 A2
5.02%	08/15/38			16,265,000		16,154,094
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36	2		15,095,953		15,555,383
						65,566,652
Non-Agency Mortgage-Backed — 17.86%
Adjustable Rate Mortgage Trust 2005-1 1A1
6.44%	05/25/35	2		19,169,067		16,106,293
American Home Mortgage Assets 2007-2 A1
2.72%	03/25/47	2		17,511,503		12,659,713
American Home Mortgage Investment Trust 2004-2 2A
3.84%	02/25/44	2		20,949,257		17,996,122
Banc of America Funding Corp. 2007-5 3A1
6.00%	07/25/37			13,665,572		13,574,844
Banc of America Mortgage Securities, Inc. 2005-2 1A6
5.50%	03/25/35			19,970,744		19,499,644
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4		1,462,953		394,997
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		938,689		253,446
BlackRock Capital Finance LP 1997-R2 AP
10.81%	12/25/35	2,4		17,114		17,124
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		10,029,122		10,119,308
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		22,960,239		22,861,544
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%	03/25/37			28,093,349		28,400,786
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.78%	05/25/36	2,4		4,388,573		3,524,684
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			60,995		60,819
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		309,789		282,437
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	3,8,†		9,874,924		222,263
Countrywide Alternative Loan Trust 2005-27 2A1
5.59%	08/25/35	2		2,802,557		1,961,790
Countrywide Alternative Loan Trust 2005-59 1A1
3.45%	11/20/35	2		5,478,997		4,344,979
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			17,714,032		17,557,213

31

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	3	$	33,776,253	$	1,601,974
Countrywide Alternative Loan Trust 2006-OA9 X1P (IO)
2.89%	07/20/46	3,8		4,406,543		215,088
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.12%	01/25/26	2,3,4,†		198,008		248
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
2.77%	03/19/45	2		5,301,582		3,956,361
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.27%	04/19/47	2		20,004,930		15,003,698
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	3,8		11,478,937		240,340
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
3.88%	03/19/37	2,3		5,459,979		226,930
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
4.24%	05/19/47	2,3		6,405,532		256,221
Impac CMB Trust 2005-5 A1
2.92%	08/25/35	2		7,864,989		5,895,835
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.99%	12/25/34	2		1,369,921		1,237,513
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	3,8		5,142,381		72,315
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
3.00%	11/25/34	2		3,859,852		3,486,657
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.53%	01/25/34	2		326,150		312,417
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
7.11%	06/25/34	2		466,655		467,082
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
5.37%	12/25/46	2		23,236,970		16,265,872
MASTR Seasoned Securities Trust 2004-1 4A1
7.03%	10/25/32	2		1,451,761		1,368,231
MASTR Seasoned Securities Trust 2005-1 4A1
5.97%	10/25/32	2		3,731,313		3,560,388
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			1,762,593		1,829,498
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			4,488,925		4,207,817
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			9,363,088		9,653,740
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			17,633,093		17,107,251
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.89%	12/27/35	2		20,536,057		17,001,672
Thornburg Mortgage Securities Trust 2007-1 A2B
2.70%	03/25/37	2		20,960,940		18,992,263
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
5.10%	04/25/47	2		18,313,065		12,360,473
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.57%	01/25/33	2		571,108		555,929
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
2.93%	01/25/45	2		1,960,553		1,515,273
Washington Mutual Mortgage Pass-Through Certificates 2006-AR19 1A
5.07%	01/25/47	2		23,994,401		16,063,217
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X
0.00%	06/25/46	3,8		346,468,490		2,381,971
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
5.57%	07/25/46	2		12,352,010		11,116,810
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			4,142,595		4,114,471
						340,905,561
U.S. Agency Mortgage-Backed — 18.51%
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		4,461		4,525
Fannie Mae 1997-44 SB (IO)
3.03%	06/25/08	2		111,431		251
Fannie Mae 1997-76 FS
3.29%	09/17/27	2		81,379		78,977
Fannie Mae 2001-60 JZ
6.00%	03/25/31			52,377		52,372
Fannie Mae 2003-90 UD (IO)
5.50%	10/25/26			5,179,136		205,961
Fannie Mae 2006-77 PD
6.50%	10/25/30			24,616,286		25,559,900
Fannie Mae 2006-B2 AB
5.50%	05/25/14			14,016,681		14,277,566

32

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2007-54 FA
3.00%	06/25/37	2	$	27,297,653	$	26,445,319
Fannie Mae 2007-64 FA
3.07%	07/25/37	2,†		27,319,132		25,359,838
Fannie Mae 2007-83 PA
6.00%	03/25/29			11,571,660		11,802,964
Fannie Mae Pool 555177
4.83%	01/01/33	2		134,643		140,298
Fannie Mae Pool 567002
8.00%	05/01/23			196,269		212,623
Fannie Mae Pool 691241
5.66%	04/01/37	2		9,828,126		9,911,496
Fannie Mae Pool 735686
6.50%	12/01/22			5,248,097		5,463,654
Fannie Mae Pool 745383
5.55%	12/01/35	2		4,879,826		4,909,055
Fannie Mae Pool 770333
5.37%	04/01/34	2		2,724,652		2,762,297
Fannie Mae Pool 770900
5.20%	04/01/34	2		1,330,699		1,338,301
Fannie Mae Pool 805256
5.98%	01/01/35	2		3,426,387		3,443,996
Fannie Mae Pool 817611
5.35%	11/01/35	2		5,069,726		5,122,403
Fannie Mae Pool 887714
6.07%	08/01/36	2		16,023,632		16,408,267
Fannie Mae Pool 888256
5.86%	02/01/37	2		14,522,678		14,685,843
Fannie Mae Pool 888412
7.00%	04/01/37			17,101,537		17,755,639
Fannie Mae Pool 889063
6.50%	11/01/37			20,623,388		21,386,293
Fannie Mae Pool 942553
5.95%	08/01/37	2		26,791,768		27,347,316
Fannie Mae Prepayment Link Note 2005-2 1
4.00%	02/25/10			5,104,766		5,097,459
Freddie Mac 2174 PN
6.00%	07/15/29			5,424,604		5,631,646
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			1,124,705		95,767
Freddie Mac 3205 PB
6.00%	08/15/29			16,145,000		16,712,837
Freddie Mac Gold A24156
6.50%	10/01/31			2,141,367		2,239,709
Freddie Mac Gold C46104
6.50%	09/01/29			67,220		70,389
Freddie Mac Gold G02461
6.50%	11/01/36			16,669,829		17,309,677
Freddie Mac Gold G11707
6.00%	03/01/20			4,280,722		4,415,601
Freddie Mac Gold G13032
6.00%	09/01/22			25,641,688		26,426,964
Freddie Mac Gold P50019
7.00%	07/01/24	†		113,744		118,523
Freddie Mac Non Gold Pool 1B1928
6.22%	08/01/34	2		4,198,159		4,278,068
Freddie Mac Non Gold Pool 1L0113
7.24%	05/01/35	2		3,289,338		3,373,646
Freddie Mac Non Gold Pool 1Q0196
5.91%	02/01/37	2		22,408,185		22,834,460
Freddie Mac Non Gold Pool 781469
5.13%	04/01/34	2		2,719,596		2,763,211
Freddie Mac Non Gold Pool 786781
7.35%	08/01/29	2		248,357		255,823
Freddie Mac Non Gold Pool 847288
5.08%	05/01/34	2		4,694,843		4,797,619
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			1,545,219		168,903
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			538,684		2,706
Ginnie Mae I Pool 422972
6.50%	07/15/29			74,906		78,344
Ginnie Mae II Pool 1849
8.50%	08/20/24			2,128		2,347
Ginnie Mae II Pool 2020
8.50%	06/20/25			7,164		7,904
Ginnie Mae II Pool 2286
8.50%	09/20/26			5,172		5,685
Ginnie Mae II Pool 2487
8.50%	09/20/27			24,028		26,405
Ginnie Mae II Pool 80589
6.50%	03/20/32	2		294,065		301,666
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		1,550,399		1,558,547
						353,249,060
Total Mortgage-Backed (Cost $807,374,992)						759,721,273
MUNICIPAL BONDS — 1.67%*
California — 0.11%
Sacramento County Sanitation District, Sewer Improvements Revenue Bonds, Series A, Pre-Refunded 12/01/14 @ 100 (AMBAC)
5.00%	12/01/35			1,955,000		2,181,917
Michigan — 0.36%
State of Michigan, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 11/01/11 @ 100 OID (FSA)
5.00%	11/01/25			6,265,000		6,775,409

33

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New Jersey — 0.13%
New Jersey Economic Development Authority, School Improvements Revenue Bonds, Series C, Pre-Refunded 06/15/12 @ 100 (MBIA)
5.25%	06/15/17		$	2,345,000	$	2,572,043
New York — 0.47%
City of New York, Public Improvements G.O. Unlimited, Series B, Pre-Refunded 12/01/11 @ 100 OID
5.38%	12/01/26			2,415,000		2,651,936
New York State Thruway Authority, Highway Improvements Revenue Bonds, Pre-Refunded 04/01/11 @ 100
5.25%	04/01/20			5,795,000		6,260,744
						8,912,680
Ohio — 0.15%
Ohio State Water Development Authority, Refunding Notes Revenue Bonds, Pre-Refunded 06/01/12 @ 100
5.25%	12/01/17			2,545,000		2,784,026
Tennessee — 0.45%
County of Shelby, Refunding Notes G.O. Unlimited, Series A, Pre-Refunded 04/01/11 @ 100 OID
5.00%	04/01/22			8,040,000		8,616,468
Total Municipal Bonds (Cost $31,962,830)						31,842,543
U.S. AGENCY SECURITIES — 6.27%
Fannie Mae
5.50%	03/15/11			16,660,000		17,998,203
6.00%	05/15/11			5,310,000		5,808,212
7.13%	06/15/10			2,164,000		2,385,451
Freddie Mac
5.25%	10/06/11			8,050,000		8,156,711
5.25%	04/03/12			17,385,000		17,853,109
5.35%	11/14/11			22,600,000		22,992,539
5.50%	09/15/11			14,245,000		15,516,281
5.63%	03/15/11			3,390,000		3,663,139
6.00%	06/15/11			14,665,000		16,110,881
6.88%	09/15/10			8,250,000		9,110,549
Total U.S. Agency Securities (Cost $117,663,436)						119,595,075
Total Bonds – 91.07% (Cost $1,882,072,058)						1,738,282,907
PREFERRED STOCK — 0.15%
Finance — 0.15%
Woodbourne Pass-Through Trust
4.16%	12/31/49	2,4		40	$	2,825,000
Total Preferred Stock (Cost $3,992,500)						2,825,000
			Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.28%
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		3,431,071
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		1,939,977
Total Purchased Swaptions (Cost $1,394,654)						5,371,048
	Maturity Date		Shares/ Principal Amount
SHORT TERM INVESTMENTS — 14.05%
Commercial Paper — 4.46%
Bank of America Corp.
2.76%9	04/23/08		$	1,445,000		1,442,572
BNP Paribas Finance, Inc.
2.69%9	04/15/08			19,215,000		19,194,944
General Electric Capital Corp.
2.57%9	04/25/08			5,725,000		5,715,229
2.64%9	04/08/08			13,365,000		13,358,165
National Rural Utilities Co.
2.66%9	04/11/08			17,035,000		17,022,460
Rabobank USA Financial Corp.
2.71%9	04/17/08			9,390,000		9,378,732
UBS Finance Corp.
2.86%9	04/07/08			19,035,000		19,025,943
						85,138,045
Money Market Fund — 0.10%
Goldman Sachs Group, Inc. (The), 2.77%				1,925,000		1,925,000
U.S. Agency Discount Notes — 9.19%
Fannie Mae
2.69%9	04/23/08			900,000		898,545

34

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date			Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
2.70%9		04/23/08		$	1,720,000		$	1,717,220
2.76%9		04/23/08			2,115,000			2,111,582
2.83%9		04/23/08			805,000			803,699
2.85%9		04/23/08			7,145,000			7,133,452
2.85%9		04/23/08			1,230,000			1,228,012
2.92%9		04/23/08			13,650,000			13,627,938
2.92%9		04/23/08			29,520,000			29,472,289
2.92%9		04/23/08	10		115,000			114,814
2.94%9		04/23/08	10		125,000			124,798
Federal Home Loan Bank
1.78%9		04/22/08			54,180,000			54,123,743
1.90%9		04/21/08			17,695,000			17,676,322
2.08%9		04/18/08			9,705,000			9,695,468
2.18%9		04/28/08			5,963,000			5,953,295
2.29%9		04/28/08			929,000			927,412
2.30%9		04/02/08			955,000			954,939
2.38%9		04/23/08			2,272,000			2,268,709
2.38%9		04/25/08			1,458,000			1,455,694
2.46%9		04/25/08			2,294,000			2,290,253
2.65%9		04/23/08			1,385,000			1,382,766
2.69%9		04/02/08			11,515,000			11,514,143
2.75%9		04/23/08			3,005,000			2,999,968
2.75%9		04/23/08			6,570,000			6,561,468
2.77%9		04/23/08			295,000			294,523
Freddie Mac
2.08%9		06/23/08	10		31,000			30,857
								175,361,909
U.S. Treasury Bills — 0.30%
0.50%9		05/22/08			5,825,000			5,822,427
Total Short Term Investments (Cost $268,237,748)								268,247,381
Total Investments – 105.55% (Cost $2,155,696,960)1								2,014,726,336
Liabilities in Excess of Other Assets – (5.55)%								(105,870,727	)
Net Assets – 100.00%							$	1,908,855,609
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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.	$	(64,000,000	)	$	(1,394,624	)	$	(4,512,275	)
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.		(19,960,000	)		—			(76,846	)
Total Written Swaptions				$	(1,394,624	)	$	(4,589,121	)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
77	U.S. Treasury Two Year Note, June 2008	$	121,679
165	U.S. Treasury Five Year Note, June 2008		(48,735	)
	Net unrealized appreciation	$	72,944

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	$	489,997
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		458,507
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		528,861
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.00% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	11/15/09		15,000		507,447
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		715,360

35

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

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 4.39% semi-annually. Counterparty: JPMorgan Chase & Co.	11/15/09	$	14,410	$	642,307
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		2,722,122
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		465,245
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: CS First Boston	11/15/09		21,100		1,388,739
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		1,595,640
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		574,674
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		332,292
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.08% semi-annually. Counterparty: CS First Boston	11/30/09		5,850		339,940
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		343,180
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		1,358,167
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.96% semi-annually. Counterparty: Citigroup, Inc.	02/22/10		21,000		196,638
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		1,131,147
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.	05/09/17		6,000		1,280,531
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		577,379
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		330,576
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		2,227,831
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		(47,248	)
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		(31,677	)
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		(37,819	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/31/22		7,000		30,399
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		(65,288	)
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		33,337

36

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
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	$	(69,260	)
				$	18,019,024
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley	09/20/12		4,250		210,234
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc.	09/20/12		4,500		339,039
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.	12/20/12		1,450		66,566
The Fund pays 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 Chase & Co.	12/20/12		12,870		512,422
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston	12/20/12		3,200		(610	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		1,000		(3,915	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		2,275		(11,448	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12		3,600		(12,752	)
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.	12/20/12		2,725		79,047
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley	12/20/12		4,150		102,257
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG	12/20/12		2,725		64,764
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.	12/20/12		2,350		104,046
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		2,350		106,052
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		2,750		130,837
The Fund pays 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		3,066,118
The Fund pays 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		113,966
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		2,800		117,939
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		1,850		71,985
The Fund pays 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 Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/12		3,500		103,393
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		1,250		29,469
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston	12/20/12		1,375		33,622

37

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.	12/20/12	$	4,250	$	92,743
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		2,750		60,010
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		4,250		328,784
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		850		63,368
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.	12/20/12		2,050		15,501
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		4,700		44,645
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		3,200		24,196
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		850		44,144
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13		900		(19,815	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		900		(19,815	)
The Fund pays a fixed rate equal to 2.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: Citigroup, Inc.	03/20/13		350		49,721
The Fund pays a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: Deutsche Bank AG	03/20/13		175		21,398
The Fund pays a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: UBS AG	03/20/13		175		23,995
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		4,950		(247,399	)
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		1,900		(66,322	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc.	06/20/13		1,600		(3,460	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		4,000		270,946
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.	06/20/14		6,750		575,533
The Fund pays 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: UBS AG	09/20/14		3,500		129,910
The Fund pays 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 the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	09/20/14		4,500		259,784
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		18,550		1,574,053

38

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/14	$	2,000	$	118,438
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		1,800		(63,493	)
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		1,900		(59,053	)
The Fund pays 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		4,143,800
The Fund pays 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		2,527,718
				$	15,112,361
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston	03/20/09		6,750		39
The Fund receives 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		(1,594,231	)
The Fund receives 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		(5,077,774	)
The Fund receives 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: Lehman Brothers Holdings, Inc.	08/25/37		700		(305,627	)
The Fund receives 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		(1,637,855	)
The Fund receives 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		(1,598,197	)
The Fund receives 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		(1,594,232	)
The Fund receives 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		(3,989,544	)
The Fund receives 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		(7,138,350	)
The Fund receives 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		(2,994,632	)
The Fund receives 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		(2,395,706	)
The Fund receives 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		(13,652,349	)
The Fund receives 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 Chase & Co.	01/25/38		2,015		(1,598,459	)
The Fund receives 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 Chase & Co.	01/25/38		6,500		(5,156,320	)
The Fund receives 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		(1,142,323	)
The Fund receives 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		(1,142,323	)
The Fund receives 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		(1,142,323	)

39

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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: Lehman Brothers Holdings, Inc.	01/25/38	$	2,000	$	(1,586,560	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		11,165		(5,387,931	)
The Fund receives 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		(4,363,500	)
The Fund receives 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		(8,727,000	)
The Fund receives 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		(9,582,822	)
The Fund receives 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		(1,142,323	)
The Fund receives 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		(4,215,050	)
The Fund receives 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		(1,580,644	)
The Fund receives 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 Chase & Co.	01/25/38		1,875		(1,580,644	)
The Fund receives 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		(2,571,180	)
The Fund receives 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		(1,580,644	)
The Fund receives 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		(674,408	)
The Fund receives 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		2,500		(2,107,525	)
The Fund receives 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		(1,594,493	)
The Fund receives 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 Chase & Co.	01/25/38		2,020		(1,602,426	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		10,270		(5,954,854	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		5,135		(2,977,427	)
				$	(109,389,637	)

Notes:

¹ Cost for Federal income tax purposes is $2,155,828,672 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	24,753,275
Gross unrealized depreciation		(165,855,611	)
Net unrealized (depreciation)	$	(141,102,336	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

³ Illiquid security.

⁴ 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 March 31, 2008 was $148,768,751 representing 7.79% of total net assets.

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

⁶ Expected maturity date.

40

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2008

⁷ 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, 6.10%, 07/13/14	$	247,757	$	212,917	0.01	%
06/01/07	Carestream Health, Inc. Term Loan, 9.40%, 10/30/13		506,008		360,000	0.02	%
06/30/06	Cebridge 2nd Lien (PIK), 9.24%, 05/05/14		7,686,127		5,764,985	0.30	%
06/27/07	Cengage Learning Term Loan B, 5.21%, 07/09/14		739,538		643,641	0.04	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 5.17%, 09/06/14		502,752		384,166	0.02	%
08/09/07	Community Health Systems, Inc. 1st Lien, 5.34%, 07/25/14		232,629		220,228	0.01	%
01/08/07	Delphi Dip 2nd Lien, 6.75%, 07/01/08		3,000,000		2,952,858	0.15	%
04/25/07	Delta Air Lines, Inc. Term Loan 1st Lien, 6.46%, 05/01/12		1,485,000		1,211,760	0.06	%
10/10/07	HCA Term Loan A, 4.70%, 11/18/12		9,404,909		8,937,820	0.47	%
08/21/06	Northwest Air Dip, 4.87%, 05/21/12		5,940,000		4,787,640	0.25	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 3.71%, 05/06/14		220,930		166,645	0.01	%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 0.00%, 12/15/14		239,938		202,500	0.01	%
02/01/07	United Air Lines, Inc., 4.69%, 02/01/14		356,111		279,102	0.01	%
06/12/07	Univision Communications, Inc. 1st Lien Strip, 5.48%, 03/15/14		365,613		296,719	0.02	%
		$	30,927,312	$	26,420,981	1.38	%

⁸ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ 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 $91,892,465 which is 4.81% 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 maturity date less than the stated maturity date.

(AMBAC): American Municipal Bond Insurance

(FSA): Financial Security Assurance

(DIP): Defaulted interest payment

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MBIA): Municipal Bond Insurance Association

(MTN): Medium term note

(OID): Original Issue Discount

(PIK): Payment in kind

(STEP): Step coupon bond

41

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 93.30%
ASSET-BACKED SECURITIES — 8.17%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	10,823	$	10,877
Bayview Financial Acquisition Trust 2005-A A1
3.18%	02/28/40	2,3,†		1,500,000		1,349,988
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
3.18%	12/28/40	2,3		1,500,000		1,319,999
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.79%	01/25/47	2		310,379		289,640
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	3		650,000		572,660
Conseco Finance 2001-D A5 (STEP)
6.19%	11/15/32			248,484		246,631
Conseco Finance 2002-A A5 (STEP)
7.05%	04/15/32			283,533		284,539
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3		339,448		308,898
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31	2		222,577		217,965
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
2.66%	04/25/37	2		1,109,215		1,035,384
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
2.83%	12/25/37	2		2,500,000		692,442
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			93		64
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			988,539		950,057
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		48,458		48,349
MASTR Asset Backed Securities Trust 2007-HE1 A1
2.68%	05/25/37	2		1,034,887		966,844
Mid-State Trust 11 A1
4.86%	07/15/38			1,425,398		1,396,390
Mid-State Trust 2004-1 A
6.01%	08/15/37			376,208		382,470
Mid-State Trust 2004-1 B
8.90%	08/15/37			274,921		274,045
Mid-State Trust 2005-1 M2
7.08%	01/15/40			347,944		333,873
Morgan Stanley ABS Capital I 2006-HE6 A2B
2.70%	09/25/36	2		270,000		229,955
Oakwood Mortgage Investors, Inc. 1997-A A5
7.13%	05/15/27			6,215		6,207
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19	2		211,082		173,126
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		251,491		216,321
Oakwood Mortgage Investors, Inc. 2002-B A1
3.05%	05/15/13	2		46,324		39,155
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%	07/25/33			40,000		39,464
Resmae Mortgage Loan Trust 2006-1 A1B
2.87%	02/25/36	2,3		199,778		176,372
SG Mortgage Securities Trust 2006-FRE1 A1B
2.87%	02/25/36	2		164,115		147,409
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3		254,637		250,818
SVO VOI Mortgage Corp. 2003-AA A
3.95%	02/20/19	3		113,638		112,291
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		85,300		80,458
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,4		800,000		282,682
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		3,657		2,451
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			145,341		140,848
Total Asset-Backed Securities (Cost $13,551,067)						12,578,672
CORPORATES — 14.44%*
Banking — 1.53%
Bank of America Corp.
8.00%	12/29/49	2		600,000		601,734
Banponce Trust I A
8.33%	02/01/27			500,000		490,517
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		120,000		104,010
JPMorgan Chase Bank NA
7.59%	03/28/22	2		460,000		447,718
8.75%	11/28/21	2		257,000		255,664
Nationsbank Capital Trust III
4.81%	01/15/27	2		600,000		462,615
						2,362,258
Communications — 0.92%
Qwest Corp.
5.63%	11/15/08			489,000		489,000
7.88%	09/01/11			175,000		175,438

42

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Capital Corp.
6.13%	11/15/08		$	750,000	$	744,485
						1,408,923
Electric — 1.45%
Appalachian Power Co. G
3.60%	05/15/08			600,000		599,647
Cedar Brakes II LLC
9.88%	09/01/13	3		489,743		550,418
Entergy Louisiana LLC
5.83%	11/01/10			698,000		697,944
Power Receivables Finance LLC
6.29%	01/01/12			362,666		379,813
						2,227,822
Energy — 0.24%
Southern Union Co.
7.20%	11/01/66	2		435,000		367,575
Finance — 5.80%
Capital One Financial Corp. (MTN)
5.70%	09/15/11			780,000		736,321
Citigroup, Inc.
4.13%	02/22/10			940,000		938,727
5.30%	10/17/12			300,000		301,049
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		525,000		482,390
2.87%	06/18/08	2		150,000		146,456
4.79%	01/05/09	2		200,000		185,862
Countrywide Financial Corp. A (MTN)
3.35%	05/05/08	2		250,000		248,383
Countrywide Home Loans, Inc. L (MTN)
4.00%	03/22/11			175,000		156,179
Ford Motor Credit Co. LLC
6.63%	06/16/08			100,000		98,875
7.13%	01/13/12	2		300,000		222,103
7.25%	10/25/11			416,000		341,965
7.38%	02/01/11			123,000		102,627
8.63%	11/01/10			319,000		278,096
GMAC LLC
6.63%	05/15/12			600,000		454,269
6.88%	09/15/11			474,000		363,041
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	2		452,000		495,166
8.92%	02/16/17	2		260,000		233,818
11.00%	11/07/16	2		502,000		485,032
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		271,000		292,192
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	2		480,000		480,000
8.95%	05/18/17	2		380,000		384,750
9.57%	06/06/17	2		272,000		287,300
Pemex Finance Ltd.
8.88%	11/15/10			275,000		294,608
Residential Capital LLC
3.49%	06/09/08	2		387,000		307,665
Wachovia Bank NA
6.00%	11/15/17			625,000		611,526
						8,928,400
Health Care — 0.49%
UnitedHealth Group, Inc.
4.88%	02/15/13			760,000		751,524
Insurance — 0.97%
Allied World Assurance Co. Holdings Ltd.
7.50%	08/01/16			244,000		250,712
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			375,000		373,125
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		440,000		383,053
Stingray Pass-Through Trust
5.90%	01/12/15	3		225,000		46,125
ZFS Finance USA Trust I
6.15%	12/15/65	2,3		500,000		442,106
						1,495,121
Real Estate Investment Trust (REIT) — 1.56%
Colonial Realty LP
4.75%	02/01/10			586,000		577,291
CPG Partners LP
8.25%	02/01/11			630,000		691,957
HCP, Inc.
7.07%	06/08/15			160,000		153,451
HCP, Inc. (MTN)
5.95%	09/15/11			800,000		776,214
Prime Property Fund, Inc.
5.60%	06/15/11	3		206,000		206,132
						2,405,045
Transportation — 1.48%
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		310,656		288,910
Continental Airlines, Inc. 1999-2 A1
7.26%	03/15/20	5		416,833		411,171
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	5		141,316		139,197
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	5		650,000		641,274
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			400,000		392,000
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23			255,420		249,688

43

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
United Air Lines, Inc. 2001-1
6.20%	09/01/08	5	$	127,378	$	127,059
United Air Lines, Inc. 2001-1 A1
6.07%	03/01/13	5		26,769		26,869
						2,276,168
Total Corporates (Cost $23,267,277)						22,222,836
BANK LOANS — 1.12%*
Automotive — 0.32%
Delphi Dip 2nd Lien
6.75%	07/01/08	6		500,000		492,143
Banking — 0.36%
HBOS PLC
5.92%	09/29/49	2,3		775,000		554,125
Health Care — 0.44%
HCA Term Loan A
4.70%	11/18/12	6		734,174		668,910
Total Bank Loans (Cost $1,833,297)						1,715,178
MORTGAGE-BACKED — 49.13%**
Commercial Mortgage-Backed — 7.51%
Banc of America Commercial Mortgage, Inc. 2006-4 AM
5.68%	07/10/46			1,070,000		990,753
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			1,305,000		1,337,906
Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR6 A6
4.83%	11/11/41			1,300,000		1,282,047
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.99%	06/10/46	2		1,070,000		1,007,323
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			370,000		360,158
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	2		1,300,000		1,269,240
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			505,000		492,413
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.88%	04/15/45	2		340,000		346,242
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	2		930,000		916,873
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			290,000		281,231
Morgan Stanley Capital I 2006-HQ8 A4
5.39%	03/12/44	2		1,605,000		1,597,544
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
2.87%	08/25/35	2		2,155,861		1,670,746
						11,552,476
Non-Agency Mortgage-Backed — 9.38%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	2		1,013,382		946,660
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			220,094		219,656
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.88%	01/25/35	2,3		528,034		468,317
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.78%	05/25/36	2,3		579,279		465,248
Countrywide Alternative Loan Trust 2003-3T1 A2
4.50%	05/25/33			1,350,454		1,348,028
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	4,7,†		721,211		16,233
Countrywide Alternative Loan Trust 2005-27 2A1
5.59%	08/25/35	2		425,235		297,665
Countrywide Alternative Loan Trust 2005-27 3A2
5.34%	08/25/35	2		45,660		31,962
Countrywide Alternative Loan Trust 2005-72 A1
2.87%	01/25/36	2		1,142,841		891,246
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	4		2,683,324		127,267
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.08%	08/25/34	2		762,896		690,250
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			163,609		162,997
First Horizon Asset Securities, Inc. 2003-10 2A1
4.75%	01/25/19			734,188		731,683
First Union Commercial Mortgage Trust 1999-C1 A2
6.07%	10/15/35			463,655		463,855

44

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GS Mortgage Securities Corp. II 2006-GG8 A4
5.56%	11/10/39		$	935,000	$	912,117
GS Mortgage Securities Corp. II 2007-GG10 A4
5.80%	08/10/45	2		925,000		925,572
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,7		815,082		17,066
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	4,7		366,549		5,155
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.46%	10/25/34	2		252,812		237,522
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
3.00%	11/25/34	2		98,132		88,644
Lehman XS Trust 2007-12N 1A3A
2.80%	07/25/47	2		4,500,000		2,731,731
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			247,920		244,597
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			101,114		105,556
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			129,321		134,229
Residential Asset Securitization Trust 2004-IP2 2A1
5.25%	12/25/34	2		171,460		166,797
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
5.10%	04/25/47	2		991,845		669,450
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.57%	01/25/33	2		32,571		31,705
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			123,273		123,407
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2
5.50%	04/25/36			1,192,051		1,181,462
						14,436,077
U.S. Agency Mortgage-Backed — 32.24%
Fannie Mae 1993-225 SG
16.41%	12/25/13	2		214,669		257,399
Fannie Mae 1993-80 S
7.67%	05/25/23	2		41,216		43,139
Fannie Mae 1994-55 S
15.04%	12/25/23	2		20,534		21,428
Fannie Mae 2001-52 YZ
6.50%	10/25/31			794,784		832,918
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			171,179		9,905
Fannie Mae 2006-B2 AB
5.50%	05/25/14			996,350		1,014,895
Fannie Mae 2007-64 FA
3.07%	07/25/37	2,†		2,195,287		2,037,844
Fannie Mae Pool 253974
7.00%	08/01/31			52,781		55,415
Fannie Mae Pool 254868
5.00%	09/01/33			2,092,600		2,077,286
Fannie Mae Pool 527247
7.00%	09/01/26			219		233
Fannie Mae Pool 545646
7.00%	09/01/26			141		151
Fannie Mae Pool 549740
6.50%	10/01/27			124,133		129,329
Fannie Mae Pool 701297
6.43%	03/01/33	2		245,041		249,244
Fannie Mae Pool 725027
5.00%	11/01/33			2,017,887		2,008,113
Fannie Mae Pool 725425
5.50%	04/01/34			2,060,572		2,090,998
Fannie Mae Pool 735686
6.50%	12/01/22			398,374		414,736
Fannie Mae Pool 735861
6.50%	09/01/33			542,705		566,858
Fannie Mae Pool 764388
4.96%	03/01/34	2		501,243		498,233
Fannie Mae Pool 770284
5.00%	04/01/34			2,187,812		2,175,163
Fannie Mae Pool 770869
5.30%	04/01/34	2		690,002		697,163
Fannie Mae Pool 776708
5.00%	05/01/34			1,214,336		1,204,740
Fannie Mae Pool 817611
5.35%	11/01/35	2		383,425		387,409
Fannie Mae Pool 888430
5.00%	11/01/33			1,611,282		1,603,478
Fannie Mae Pool 889125
5.00%	12/01/21			2,042,266		2,072,022
Fannie Mae Pool 889184
5.50%	09/01/36			1,970,726		1,999,825
Fannie Mae Pool 895606
5.75%	06/01/36	2		847,249		866,103
Fannie Mae Pool 939419
5.63%	05/01/37	2		1,089,876		1,106,528
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		18,513

45

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2174 PN
6.00%	07/15/29		$	395,797	$	410,903
Freddie Mac 2451 SP
10.74%	05/15/09	2		49,383		52,136
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			262,445		22,347
Freddie Mac Gold A25162
5.50%	05/01/34			1,774,168		1,800,711
Freddie Mac Gold A33262
5.50%	02/01/35			225,388		228,911
Freddie Mac Gold A72702
5.50%	02/01/38			1,833,141		1,855,124
Freddie Mac Gold G01548
7.50%	07/01/32			1,212,769		1,333,230
Freddie Mac Gold G01644
5.50%	02/01/34			1,792,340		1,816,131
Freddie Mac Gold G01673
5.50%	04/01/34			93,138		94,707
Freddie Mac Gold G02366
6.50%	10/01/36			1,295,606		1,349,383
Freddie Mac Gold G03436
6.00%	11/01/37			2,438,590		2,505,365
Freddie Mac Gold G03640
5.50%	12/01/37			1,814,904		1,834,703
Freddie Mac Gold G04079
5.50%	03/01/38			2,040,000		2,062,255
Freddie Mac Gold G12393
5.50%	10/01/21			2,333,398		2,385,626
Freddie Mac Gold G12909
6.00%	11/01/22			1,610,596		1,661,934
Freddie Mac Gold G13032
6.00%	09/01/22			2,004,389		2,065,773
Freddie Mac Gold J06246
5.50%	10/01/21			1,699,944		1,738,606
Freddie Mac Gold P50019
7.00%	07/01/24	†		23,117		24,088
Freddie Mac Non Gold Pool 1B3413
5.94%	05/01/37	2		1,514,501		1,542,386
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			174,519		19,076
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			97,850		1,342
Ginnie Mae 2004-8 SE
9.09%	11/26/23	2		249,476		257,243
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		121,336		121,973
						49,623,021
Total Mortgage-Backed (Cost $74,866,476)						75,611,574
MUNICIPAL BONDS — 1.95%
California — 0.21%
Sacramento County Sanitation District, Sewer Improvements Revenue Bonds, Series A, Pre-Refunded 12/01/14 @ 100 (AMBAC)
5.00%	12/01/35			290,000		323,660
Georgia — 0.05%
Metropolitan Atlanta Rapid Transit Authority, Transit Improvements Revenue Bonds, Pre-Refunded 01/01/13 @ 100 (MBIA)
5.00%	07/01/28			75,000		81,792
Massachusetts — 0.54%
Commonwealth of Massachusetts, Fuel Sales Tax Revenue Bonds, Series A, Pre-Refunded 06/01/12 @ 100 (FGIC)
5.38%	06/01/19			140,000		152,110
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA)
5.25%	01/01/18			215,000		235,337
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA)
5.50%	03/01/19			260,000		284,414
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC)
5.00%	08/01/22			140,000		153,821
						825,682
Nevada — 0.12%
Clark County School District, School Improvements G.O., Series C, Pre-Refunded 06/15/12 @ 100 OID (MBIA)
5.00%	06/15/22			170,000		184,787
New Jersey — 0.05%
New Jersey Economic Development Authority, School Improvements Revenue Bonds, Series C, Pre-Refunded 06/15/12 @ 100 (MBIA)
5.25%	06/15/17			75,000		82,261
South Carolina — 0.11%
Greenville County School District, School Improvements Revenue Bonds, Pre-Refunded 12/01/12 @ 101 OID
5.50%	12/01/28			150,000		168,614
Texas — 0.87%
City of Houston, Water & Sewer System Revenue Bonds, Series A, Pre-Refunded 12/01/12 @ 100 OID (FSA)
5.00%	12/01/30			230,000		250,488
County of Galveston, Public Improvements G.O., Series C, Pre-Refunded 02/01/13 @ 100 OID (AMBAC)
5.00%	02/01/28			240,000		261,528

46

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
Texas (continued)
County of Harris, Flood Control District Contract G.O., Refunded 10/01/13 @ 100
5.25%	10/01/20	$	338,000	$	373,733
North Texas Tollway Authority, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 01/01/15 @ 100 (FSA)
5.00%	01/01/30		215,000		233,944
University of Texas, Financing Systems Revenue Bonds, Series D, Pre-Refunded 08/15/14 @ 100
5.00%	08/15/24		200,000		219,252
					1,338,945
Total Municipal Bonds (Cost $2,999,530)					3,005,741
U.S. TREASURY SECURITIES — 18.49%
U.S. Treasury Notes — 18.49%
3.63%	12/31/12		1,633,000		1,721,667
4.25%	09/30/12		7,041,000		7,611,433
4.25%	11/15/14		3,085,000		3,374,222
4.75%	05/31/12		8,967,000		9,838,485
5.13%	05/15/16		5,182,000		5,905,055
					28,450,862
Total U.S. Treasury Securities (Cost $26,831,163)					28,450,862
Total Bonds – 93.30% (Cost $143,348,810)					143,584,863
		Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.22%
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		214,433
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		121,206
Total Purchased Swaptions (Cost $87,151)					335,639

Issues	Maturity Date			Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS — 12.88%
Commercial Paper — 3.03%
BNP Paribas Finance, Inc.
2.59%8		04/25/08		$	1,445,000		$	1,442,510
General Electric Capital Corp.
2.89%8		04/08/08			915,000			914,487
National Rural Utilities Co.
2.66%8		04/11/08			1,000,000			999,264
Rabobank USA Finance Corp.
2.63%8		04/28/08			1,310,000			1,307,426
								4,663,687
Money Market Fund — 0.63%
Goldman Sachs Group, Inc. (The), 2.77%					974,000			974,000
U.S. Agency Discount Notes — 9.22%
Fannie Mae
2.86%8		04/23/08			670,000			668,917
2.92%8		04/23/08			3,425,000			3,419,464
2.94%8		04/23/08	9		75,000			74,879
Federal Home Loan Bank
1.78%8		04/22/08			1,255,000			1,253,697
1.88%8		04/16/08			1,480,000			1,478,841
2.02%8		04/23/08			1,030,000			1,028,728
2.12%8		04/18/08			2,180,000			2,177,818
2.13%8		04/23/08			2,235,000			2,232,098
2.18%8		04/28/08			642,000			640,955
2.75%8		04/23/08			315,000			314,473
Freddie Mac
2.25%8		04/07/08			900,000			899,662
								14,189,532
Total Short Term Investments (Cost $19,826,589)								19,827,219
Total Investments – 106.40% (Cost $163,262,550)1								163,747,721
Liabilities in Excess of Other Assets – (6.40)%								(9,848,065	)
Net Assets – 100.00%							$	153,899,656
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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.	$	(4,000,000	)	$	(87,163	)	$	(282,017	)

47

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Notional Amount (000’s)		Premiums Received			Value
WRITTEN SWAPTIONS (continued)
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.	(1,480,000	)	$	—		$	(5,698	)
Total Written Swaptions			$	(87,163	)	$	(287,715	)

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
14	U.S. Treasury Two Year Note, June 2008	$	22,124
46	U.S. Treasury Five Year Note, June 2008		25,900
	Net unrealized appreciation	$	48,024

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	$	20,963
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		41,899
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.81% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	11/15/09		400		21,147
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.15% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	11/23/09		1,090		43,319
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		22,344
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		23,244
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		23,076
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		48,236
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		51,547
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		79,759
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.40% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	02/26/13		767		3,740
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.54% semi-annually. Counterparty: Barclays Capital, Inc.	02/26/13		763		8,457
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.58% semi-annually. Counterparty: Barclays Capital, Inc.	02/26/13		760		9,795
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.70% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	02/26/13		1,523		28,633
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		37,250
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		20,703
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		(372	)

48

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
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	$	(167	)
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		(298	)
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		2,171
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		1,905
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		(4,293	)
				$	483,058
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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		16,767
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley	09/20/12		250		12,367
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc.	09/20/12		250		18,835
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.	12/20/12		150		6,886
The Fund pays 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 Chase & Co.	12/20/12		825		32,848
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston	12/20/12		135		(26	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		40		(157	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		90		(453	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12		135		(478	)
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.	12/20/12		175		5,076
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley	12/20/12		275		6,776
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG	12/20/12		175		4,159
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		100		2,358
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston	12/20/12		75		1,834
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.	12/20/12		275		6,001
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		175		3,819

49

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12	$	325	$	25,142
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		50		3,728
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		175		7,371
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		120		4,669
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		150		7,137
The Fund pays 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		84,026
The Fund pays 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 Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/12		325		9,601
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.	12/20/12		175		7,748
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		175		7,898
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		300		2,850
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		190		1,437
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		75		3,895
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.	12/20/12		135		1,021
The Fund pays 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 Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG	12/20/12		250		23,603
The Fund pays a fixed rate equal to 3.52% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Deutsche Bank AG	03/20/13		125		(2,630	)
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		375		(18,742	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		75		(1,651	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13		75		(1,651	)
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		225		(7,854	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc.	06/20/13		80		(173	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		250		16,934

50

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.	06/20/14	$	500	$	42,632
The Fund pays 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: UBS AG	09/20/14		250		9,279
The Fund pays 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 the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	09/20/14		250		14,432
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		1,210		102,674
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		150		(5,291	)
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		225		(6,993	)
The Fund pays 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		265,203
The Fund pays 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		136,745
				$	849,652
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston	03/20/09		500		3
The Fund receives 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		(87,246	)
The Fund receives 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		(329,641	)
The Fund receives 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: Lehman Brothers Holdings, Inc.	08/25/37		130		(56,759	)
The Fund receives 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		(83,281	)
The Fund receives 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		(83,281	)
The Fund receives 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		(83,281	)
The Fund receives 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		(214,150	)
The Fund receives 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		(424,335	)
The Fund receives 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		(158,656	)
The Fund receives 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		(126,925	)
The Fund receives 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		(852,776	)
The Fund receives 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 Chase & Co.	01/25/38		105		(83,294	)

51

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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 Chase & Co.	01/25/38	$	375	$	(297,480	)
The Fund receives 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		(67,429	)
The Fund receives 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		(75,362	)
The Fund receives 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		(75,362	)
The Fund receives 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		(75,362	)
The Fund receives 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		(313,346	)
The Fund receives 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		(126,925	)
The Fund receives 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		(111,059	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.	01/25/38		1,000		(481,940	)
The Fund receives 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		(157,086	)
The Fund receives 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		(562,891	)
The Fund receives 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		(87,261	)
The Fund receives 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		(75,362	)
The Fund receives 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		(269,763	)
The Fund receives 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		(101,161	)
The Fund receives 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 Chase & Co.	01/25/38		120		(101,161	)
The Fund receives 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		(139,097	)
The Fund receives 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		(101,161	)
The Fund receives 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		(42,150	)
The Fund receives 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		(83,294	)
The Fund receives 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 Chase & Co.	01/25/38		210		(166,589	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		795		(460,965	)

52

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46	$	400	$	(231,932	)
				$	(6,787,760	)

Notes:

¹ Cost for Federal income tax purposes is $163,541,738 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	4,396,958
Gross unrealized depreciation		(4,190,975	)
Net unrealized appreciation	$	205,983

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

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 March 31, 2008 was $7,722,049 representing 5.02% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
01/08/07	Delphi Dip 2nd Lien, 6.75%, 07/01/08	$	500,000	$	492,143	0.32	%
10/22/07	HCA Term Loan A, 4.70%, 11/18/12		713,141		668,910	0.43	%
		$	1,213,141	$	1,161,053	0.75	%

⁷ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁸ Represents annualized yield at date of purchase.

⁹ 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 $3,428,153 which is 2.23% 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 maturity date less than the stated maturity date.

(AMBAC): Americian Municipal Bond Insurance

(FGIC): Financial Guaranty Insurance Corp.

(FSA): Financial Security Assurance

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MBIA): Municipal Bond Insurance Association

(MTN): Medium term note

(OID): Original Issue Discount

(STEP): Step coupon bond

53

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 84.41%
ASSET-BACKED SECURITIES — 5.53%**
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2,3	$	50,138	$	13,183
Asset Backed Funding Certificates 2006-OPT2 A3D
2.82%	10/25/36	3		8,375,000		4,138,330
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
5.82%	08/15/33	3		8,092,408		6,546,732
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%	04/28/39			9,784,000		9,498,121
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.79%	01/25/47	3		3,491,763		3,258,446
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	4		2,205,000		1,942,638
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
3.60%	07/25/37	3		3,090,000		926,999
Conseco Finance 2001-C A5 (STEP)
6.79%	08/15/33			6,807,763		6,740,149
Countrywide Home Equity Loan Trust 2005-M A2
2.94%	02/15/36	3		461,673		460,057
Embarcadero Aircraft Securitization Trust 2000-A A1
3.30%	08/15/25	3,4		1,660,501		1,394,820
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			169,004		25,352
Genesis Funding Ltd. 2006-1A G1
2.80%	12/19/32	3,4		12,600,000		10,080,000
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.54%	05/15/35	2,3		194,612,653		1,654,558
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%	10/15/38			28,350,000		28,440,581
GMAC Commercial Mortgage Securities, Inc. 2004-C3 A4
4.55%	12/10/41			435,000		420,699
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			466,268		392,479
Greenpoint Mortgage Funding Trust 2005-HE2 A1
3.02%	04/15/30	3		35,871		35,858
Indymac Residential Asset Backed Trust 2007-A 2A4A
2.92%	04/25/37	3		6,256,000		3,794,872
Inman Square Funding Ltd. 2005-2A I
5.10%	10/06/40	3,4		3,832,825		2,376,350
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/29	4		1,196,298		1,192,992
Lehman XS Trust 2006-GP1 A4A
2.93%	05/25/46	2,3		33,763,639		17,489,315
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	3		39,285,259		37,535,847
Nomura Asset Acceptance Corp. 2006-S1 A1
2.74%	01/25/36	3,4		1,062,720		997,901
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	3		364,663		313,665
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	3		1,838,209		1,611,152
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	3		798,943		736,516
PAMCO CLO 1998-1A B2
4.59%	05/01/10	3,4		2,726,950		2,454,269
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%	07/25/35			5,810,000		5,269,002
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	2,4,†		3,715,240		1,559,298
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			271,028		257,773
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			788,847		786,399
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			428,937		427,605
Resmae Mortgage Loan Trust 2006-1 A1B
2.87%	02/25/36	3,4		7,517,297		6,636,551
Saxon Asset Securities Trust 2007-1 A2C
2.75%	01/25/47	3		8,135,000		6,777,472
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.73%	05/25/37	3,†		32,242,301		30,220,067
SG Mortgage Securities Trust 2006-FRE1 A1B
2.87%	02/25/36	3		5,708,897		5,127,766
Signature 5 CBO
0.00%	10/15/09	†		2,000,000		199,998
Soundview Home Equity Loan Trust 2006-EQ1 A3
2.76%	10/25/36	3		19,051,000		14,788,339
Structured Asset Investment Loan Trust 2005-11 M8
5.10%	01/25/36	3		4,000,000		739,999
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	4		6,991,826		6,886,951
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	4		2,030,166		1,999,714

54

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Corp. 2007-EQ1 A4
2.85%	03/25/37	3	$	26,325,800	$	19,823,543
Terwin Mortgage Trust 2005-7SL A1
2.87%	07/25/35	3,4		288,746		279,499
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3,4		15,370,000		5,431,036
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	3,4		23,030,000		13,657,006
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	3		42,500,000		36,129,667
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		27,500,000		5,840,236
Terwin Mortgage Trust 2007-9SL M1
5.10%	06/25/38	2,3,4		12,000,000		5,413,200
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27	3		5,280,000		5,540,942
Vertical CDO Ltd. 2007-1A A1J
3.81%	04/10/47	2,3,4		8,200,000		81,998
Total Asset-Backed Securities (Cost $383,180,407)						318,345,942
CORPORATES — 13.94%*
Automotive — 0.07%
General Motors Corp.
7.38%	05/23/48			5,200,000		3,198,000
Metaldyne Corp.
10.00%	11/01/13			425,000		257,125
Tenneco, Inc.
8.13%	11/15/15	4		375,000		374,063
						3,829,188
Banking — 2.58%
Bank of America Corp.
5.75%	12/01/17			8,500,000		8,812,443
8.00%	12/29/49	3		35,778,000		35,881,398
Bank One Corp. (STEP)
9.88%	03/01/19			865,000		1,009,503
BankAmerica Capital II
8.00%	12/15/26			800,000		825,125
BankAmerica Institutional A
8.07%	12/31/26	4		350,000		361,647
Banponce Trust I A
8.33%	02/01/27			12,675,000		12,434,619
BNP Paribas SA (MTN)
9.23%	06/08/17	3		14,354,000		16,557,339
Credit Suisse New York
6.00%	02/15/18			28,802,200		28,786,388
HBOS Capital Funding LP
6.07%	06/24/49	3,4		7,853,000		6,007,545
JPMorgan Chase & Co.
6.00%	01/15/18			13,200,000		13,780,780
JPMorgan Chase & Co. C (MTN)
8.55%	07/23/13	3		2,500,000		2,186,750
JPMorgan Chase Capital XIII M
3.65%	09/30/34	3		3,250,000		2,426,626
National Capital Trust II
5.49%	12/29/49	3,4		2,425,000		2,057,889
Nationsbank Capital Trust III
4.81%	01/15/27	3		8,514,000		6,564,507
Sovereign Capital Trust VI
7.91%	06/13/36			13,375,000		10,901,775
						148,594,334
Basic Industry — 0.04%
Freeport-McMoRan Copper & Gold, Inc.
5.88%	04/01/15	3		350,000		344,750
Massey Energy Co.
6.88%	12/15/13			750,000		729,375
Mosaic Co. (The)
7.38%	12/01/14	4		750,000		806,250
Noranda Aluminium Acquisition Corp. (PIK)
8.74%	05/15/15	4		750,000		592,500
						2,472,875
Communications — 0.35%
Cincinnati Bell, Inc.
7.25%	07/15/13			525,000		518,438
Citizens Communications Co.
6.63%	03/15/15			700,000		630,000
CSC Holdings, Inc. B
7.63%	04/01/11			1,575,000		1,555,312
Dex Media West LLC/Dex Media Finance Co. B
8.50%	08/15/10			2,500,000		2,443,750
9.88%	08/15/13			575,000		501,688
Hawaiian Telcom Communications, Inc. B
9.75%	05/01/13			775,000		581,250
Idearc, Inc.
8.00%	11/15/16			900,000		587,250
Level 3 Financing, Inc.
8.75%	02/15/17			575,000		439,875
9.25%	11/01/14			250,000		205,625
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			750,000		693,750
Qwest Communications International, Inc.
7.25%	02/15/11			200,000		193,000
Qwest Communications International, Inc. B
7.50%	02/15/14			4,000,000		3,780,000
Qwest Corp.
5.63%	11/15/08			1,750,000		1,750,000
Sprint Capital Corp.
6.13%	11/15/08			3,700,000		3,672,794

55

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Nextel Corp.
6.00%	12/01/16		$	800,000	$	622,979
Windstream Corp.
8.13%	08/01/13			1,600,000		1,580,000
8.63%	08/01/16			500,000		493,750
						20,249,461
Consumer Products — 0.01%
Visant Holding Corp.
8.75%	12/01/13			550,000		517,000
Electric — 1.01%
Aquila, Inc.
14.88%	07/01/12			1,000,000		1,237,500
Cedar Brakes I LLC
8.50%	02/15/14	4		6,593,772		7,247,854
Cedar Brakes II LLC
9.88%	09/01/13	4		9,628,762		10,821,679
Entergy Gulf States, Inc.
5.25%	08/01/15			4,600,000		4,352,768
GWF Energy LLC
6.13%	12/30/11	4		2,843,367		2,988,573
Kansas City Power & Light Co.
6.38%	03/01/18			7,025,000		7,111,934
Potomac Electric Power Co.
5.88%	10/15/08			125,000		126,420
Power Contract Financing LLC
6.26%	02/01/10	4		5,699,397		5,849,069
Reliant Energy, Inc.
6.75%	12/15/14			3,680,000		3,762,800
SWEPCO Capital Trust I
5.25%	10/01/43	3		14,325,000		14,469,912
						57,968,509
Energy — 0.53%
AES Corp. (The)
8.75%	05/15/13	4		800,000		836,000
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			500,000		457,500
Chesapeake Energy Corp.
7.00%	08/15/14			500,000		503,750
Corral Finans AB (PIK)
5.76%	04/15/10	4		513,635		392,931
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		500,000		362,500
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		550,000		518,375
Mirant Americas Generation LLC
8.30%	05/01/11			1,500,000		1,537,500
NRG Energy, Inc.
7.38%	01/15/17			1,000,000		975,000
OPTI Canada, Inc.
7.88%	12/15/14			750,000		736,875
Pride International, Inc.
7.38%	07/15/14			250,000		261,250
Sabine Pass LNG LP
7.25%	11/30/13			5,000,000		4,850,000
Southern Union Co.
7.20%	11/01/66	3		10,975,000		9,273,875
Virginia Electric & Power Co.
5.10%	11/30/12			9,295,000		9,667,822
						30,373,378
Finance — 5.06%
ABX Financing Co.
6.35%	10/15/36	4		9,800,000		9,486,165
Bear Stearns Cos., Inc. (The)
3.46%	04/29/08	3		26,585,000		26,490,833
Citigroup Capital XXI
8.30%	12/21/57	3		11,637,000		11,498,008
Citigroup, Inc.
6.88%	03/05/38			31,057,000		31,133,214
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	3		15,905,000		14,614,118
4.79%	01/05/09	3		9,745,000		9,056,129
Countrywide Financial Corp. A (MTN)
3.35%	05/05/08	3		6,731,000		6,687,477
Countrywide Home Loans, Inc. L (MTN)
3.25%	05/21/08			12,673,000		12,428,817
4.00%	03/22/11			6,035,000		5,385,948
Ford Motor Credit Co. LLC
7.13%	01/13/12	3		3,809,000		2,819,966
7.38%	10/28/09			4,851,000		4,421,468
7.80%	06/01/12			7,750,000		6,398,121
8.00%	12/15/16			2,750,000		2,155,810
8.71%	04/15/12	3		2,925,000		2,749,155
GMAC LLC
5.28%	12/01/14	3		36,145,000		23,121,678
6.63%	05/15/12			8,706,000		6,591,443
7.25%	03/02/11			2,700,000		2,127,182
GMAC LLC (MTN)
3.75%	09/23/08	3		9,000,000		8,491,950
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	3		12,341,000		13,519,566
2.65%	12/23/08	3		2,850,000		2,771,223
2.73%	11/24/08	3		3,765,000		3,693,918
8.92%	02/16/17	3		7,030,000		6,322,079
11.00%	11/07/16	3		12,686,000		12,257,213
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	3		6,493,000		7,000,753
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	3		685,000		685,000
8.95%	05/18/17	3		925,000		936,562
9.57%	06/06/17	3		8,874,000		9,373,163

56

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Onbank Capital Trust I
9.25%	02/01/27		$	10,200,000	$	10,665,459
Pemex Finance Ltd.
8.88%	11/15/10			275,000		294,608
Residential Capital LLC
3.49%	06/09/08	3		6,147,000		4,886,865
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	3		7,992,000		7,929,662
Wachovia Bank NA
6.00%	11/15/17			21,022,000		20,568,787
Wachovia Corp.
7.98%	09/29/49	3		5,000,000		4,927,665
						291,490,005
Health Care — 0.02%
Community Health Systems, Inc.
8.88%	07/15/15			1,250,000		1,260,937
Industrials — 0.29%
General Electric Co.
5.25%	12/06/17			16,828,000		16,836,364
Insurance — 0.74%
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			6,590,000		6,557,050
Farmers Exchange Capital
7.05%	07/15/28	4		2,926,000		2,693,544
7.20%	07/15/48	4		1,392,000		1,268,555
Farmers Insurance Exchange
8.63%	05/01/24	4		11,127,000		11,771,598
Nationwide Mutual Insurance Co.
6.60%	04/15/34	4		15,939,000		13,876,111
ZFS Finance USA Trust I
6.15%	12/15/65	3,4		2,411,000		2,131,835
6.50%	05/09/37	3,4		3,675,000		3,321,943
ZFS Finance USA Trust II
6.45%	12/15/65	3,4		1,463,000		1,331,988
						42,952,624
Real Estate Investment Trust (REIT) — 1.59%
BRE Properties, Inc.
7.45%	01/15/11			9,280,000		9,613,356
Colonial Realty LP
4.75%	02/01/10			176,000		173,384
Developers Diversified Realty Corp.
4.63%	08/01/10			620,000		595,487
5.25%	04/15/11			3,430,000		3,287,909
5.38%	10/15/12			315,000		294,460
Equity One, Inc.
3.88%	04/15/09			270,000		264,403
First Industrial LP
5.25%	06/15/09			6,000,000		5,984,206
7.60%	07/15/28			5,000,000		4,070,860
HCP, Inc.
6.45%	06/25/12			11,800,000		11,169,622
Highwoods Properties, Inc.
7.50%	04/15/18			6,730,000		6,274,258
Reckson Operating Partnership LP
7.75%	03/15/09			5,525,000		5,478,214
Shurgard Storage Centers LLC
7.75%	02/22/11			7,200,000		7,919,259
Simon Property Group LP
4.88%	08/15/10			24,080,000		24,046,697
5.75%	05/01/12			2,025,000		2,025,982
UDR, Inc.
5.50%	04/01/14			5,000,000		4,820,815
6.05%	06/01/13			3,100,000		3,117,524
UDR, Inc. (MTN)
5.00%	01/15/12			2,550,000		2,491,327
						91,627,763
Secured Assets — 0.15%
Ingress I Ltd. B-A
7.38%	03/30/40	4		9,745,000		8,526,916
Services — 0.03%
Mobile Mini, Inc.
6.88%	05/01/15			750,000		626,250
United Rentals North America, Inc.
6.50%	02/15/12			1,000,000		902,500
7.00%	02/15/14			375,000		296,250
						1,825,000
Transportation — 1.47%
Air 2 US A
8.03%	10/01/19	4,5		2,817,171		2,563,626
American Airlines, Inc. 2001-2 A1
6.98%	04/01/11	5		67,054		66,300
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			3,144,481		3,007,392
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		2,311,758		2,149,935
Continental Airlines, Inc. 1999-2 A1
7.26%	03/15/20	5		7,088,509		6,992,223
Continental Airlines, Inc. 2000-1 A2
7.92%	05/01/10	5		2,000,000		1,980,000
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,500,000		2,150,000
Delta Air Lines, Inc.
6.82%	08/10/22	4		4,056,739		3,894,469
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	5		5,299,360		5,219,870
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	5		26,843,000		26,482,622

57

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11		$	23,190,000	$	22,726,200
Saint Acquisition Co., Inc.
12.50%	05/15/17	4		375,000		154,687
United Air Lines, Inc. 2000-2 A1
7.03%	10/01/10	5		2,519,922		2,494,723
United Air Lines, Inc. 2001-1 A1
6.07%	03/01/13	5		4,714,236		4,731,914
						84,613,961
Total Corporates (Cost $827,687,458)						803,138,315
BANK LOANS — 1.89%*
Automotive — 0.24%
Delphi Dip 2nd Lien
6.75%	07/01/08	6		7,500,000		7,382,145
General Motors Corp. Strip II
7.75%	07/20/11	6		7,350,000		6,236,475
						13,618,620
Banking — 0.47%
HBOS PLC
5.92%	09/29/49	3,4		37,572,000		26,863,980
Communications — 0.26%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14			1,492,500		1,350,090
Cebridge 2nd Lien (PIK)
9.24%	05/05/14	6		16,092,442		12,165,887
Charter Communications, Inc. Term Loan 3rd Lien
5.17%	09/06/14	6		1,000,000		768,333
Univision Communications, Inc. 1st Lien Strip
5.48%	03/15/14	6		1,125,000		890,156
						15,174,466
Consumer Discretionary — 0.02%
Tribune—Bridge Unsecured Delayed Drawing Term Loan
7.04%	12/31/08	6		1,523,810		1,370,612
Electric — 0.23%
Calpine CCFC I Term Loan
0.00%	08/26/09	6		10,342,882		10,446,311
TPF Generation Holdings LLC 2nd Lien
6.95%	12/15/14	6		1,000,000		810,000
TXU Energy Term Loan B3
6.59%	10/10/14			2,488,747		2,266,004
						13,522,315
Finance — 0.07%
Kelson 1st Lien
5.95%	03/16/13	6		4,000,000		3,768,332
Health Care — 0.45%
Carestream Health, Inc. Term Loan
9.40%	10/30/13	6		1,000,000		720,000
Community Health Systems, Inc. 1st Lien
5.34%	07/25/14	6		1,191,784		1,101,140
HCA Term Loan A
4.70%	11/18/12	6		26,251,035		23,917,475
						25,738,615
Insurance — 0.01%
Asurion Corp. Term Loan
6.10%	07/13/14	6		750,000		638,750
Services — 0.03%
Cengage Learning Term Loan B
5.21%	07/09/14	6		1,990,000		1,716,375
Transportation — 0.11%
Delta Air Lines, Inc. Term Loan 1st Lien
6.46%	05/01/12	6		495,000		403,920
Northwest Air Dip
4.87%	05/21/12	6		6,930,000		5,585,580
Swift Transportation Co., Inc. Term Loan
3.71%	05/06/14	6		441,860		333,289
						6,322,789
Total Bank Loans (Cost $120,277,299)						108,734,854
MORTGAGE-BACKED — 49.36%**
Commercial Mortgage-Backed — 7.72%
Bayview Commercial Asset Trust 2006-3A A1
2.85%	10/25/36	3,4		8,768,018		7,321,293
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			13,515,000		13,855,782
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		25,047,133
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	3		37,951,000		37,046,597
Citigroup Commercial Mortgage Trust 2007-C6 AM
5.89%	12/10/49	3		2,040,000		1,867,047
Commercial Mortgage Acceptance Corp. 1998-C2 A3
6.04%	09/15/30			3,261,170		3,256,739
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.99%	06/10/46	3		27,668,000		26,047,294

58

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.55%	02/15/39	3	$	14,017,000	$	13,764,188
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			21,035,000		20,475,501
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%	11/15/36			20,530,000		20,531,560
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	3		9,355,000		8,907,028
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/12	4,5		1,680,868		1,595,775
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	3		2,040,000		1,991,730
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35			34,500,000		33,492,562
Greenwich Capital Commercial Funding Corp. 2005-GG5 AM
5.28%	04/10/37	3		3,715,000		3,573,778
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			16,885,000		16,464,162
GS Mortgage Securities Corp. II 2005-GG4 A4A
4.75%	07/10/39			435,000		422,896
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CB16 AM
5.59%	05/12/45			16,880,000		15,485,393
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.88%	04/15/45	3		29,145,000		29,680,108
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	3		32,310,000		31,853,928
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	07/15/17	3		25,000,000		24,700,092
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			10,565,000		10,245,523
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			13,388,749		13,904,416
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB
5.13%	12/12/49	3		25,000,000		24,410,353
Morgan Stanley Capital I 2006-HQ8 A4
5.39%	03/12/44	3		11,825,000		11,770,071
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36	3		5,711,130		5,884,943
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36			9,290,071		9,027,337
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4
4.96%	11/15/35	3		30,000,000		29,195,103
Wachovia Bank Commercial Mortgage Trust 2006-C28 AM
5.60%	10/15/48	3		770,000		674,416
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM
5.59%	04/15/47	3		2,220,000		2,006,102
						444,498,850
Non-Agency Mortgage-Backed — 5.60%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	3		21,622,989		20,199,314
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			158,468		158,153
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.22%	11/20/46	3		31,524,219		31,176,205
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	2,4		1,671,947		451,425
BHN I Mortgage Fund 1997-2 A1
4.05%	05/31/17	2,3,4,7		13,760		3,715
BHN I Mortgage Fund 1997-2 A2
7.54%	05/31/17	2,4,7		2,500		675
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	2,4		625,792		168,964
BlackRock Capital Finance LP 1997-R2 AP
10.81%	12/25/35	3,4		4,279		4,281
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	3		15,086,930		15,222,598
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	3,†		32,479,684		32,340,070
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.88%	01/25/35	3,4		2,634,257		2,336,341
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.75%	05/25/34	3,4		19,094,440		18,487,571
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	2,8,†		19,205,955		432,284
Countrywide Alternative Loan Trust 2005-27 2A1
5.59%	08/25/35	3		11,255,891		7,879,124
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			19,243,639		19,073,278

59

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	2	$	61,912,622	$	2,936,454
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.08%	08/25/34	3		12,229,485		11,064,944
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.10%	09/20/35	3		13,554,784		9,795,699
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.12%	01/25/26	2,3,4,†		171,826		215
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	2,8		24,957,827		522,554
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	2,8		10,241,982		144,028
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
3.00%	08/25/34	3		42,361		37,514
JPMorgan Mortgage Trust 2003-A2 2A3
4.67%	11/25/33	3		305,000		249,524
JPMorgan Mortgage Trust 2004-A5 4A4
4.83%	12/25/34	3		400,000		361,793
JPMorgan Mortgage Trust 2006-A3 3A4
5.74%	05/25/36	3		23,500,000		20,404,054
MASTR Seasoned Securities Trust 2004-1 4A1
7.03%	10/25/32	3		92,768		87,430
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			7,246,881		7,149,772
Ocwen Residential MBS Corp. 1998-R2 AP
9.32%	11/25/34	3,4,†		35,287		22,934
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			98,884		101,910
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			27,185,192		26,374,494
Ryland Mortgage Securities Corp. 1994-5 M3
6.12%	10/25/23	3,†		396,611		267,796
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			6,887		7,218
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	3		4,355		4,178
Structured Mortgage Asset Residential Trust 1991-7 I (IO)
8.50%	12/25/22	2,3		4		1
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
5.10%	04/25/47	3		31,107,866		20,996,372
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.00%	02/25/47	2,8		178,684,008		2,177,711
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			184,260		183,009
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.77%	06/25/34	3		445,000		352,042
Wells Fargo Mortgage Backed Securities Trust 2005-12 1A1
5.50%	11/25/35			34,045,198		33,335,036
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1
5.50%	01/25/36			25,065,620		24,968,087
Wells Fargo Mortgage Backed Securities Trust 2006-2 3A1
5.75%	03/25/36			13,531,267		13,342,306
						322,821,073
U.S. Agency Mortgage-Backed — 36.04%
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19			7,339		7,337
Fannie Mae 1989-27 Y
6.90%	06/25/19			1,770		1,851
Fannie Mae 1992-123 Z
7.50%	07/25/22			6,218		6,761
Fannie Mae 1992-83 Z
7.00%	06/25/22			26,551		27,065
Fannie Mae 1993-132 D (PO)
0.00%	10/25/22	8		364,651		320,544
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	3		1,271,698		28,136
Fannie Mae 1993-29 PK
7.00%	03/25/23			202,000		215,717
Fannie Mae 1994-55 H
7.00%	03/25/24			130,000		139,651
Fannie Mae 1997-34 SA
22.00%	10/25/23	3		36,592		49,914
Fannie Mae 1997-44 SB (IO)
3.03%	06/25/08	3		39,001		88
Fannie Mae 2003-106 WG
4.50%	11/25/23			32,004,000		30,800,659
Fannie Mae 2003-52 SV
11.80%	05/25/31	3		4,941,201		5,301,781
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			5,138,031		297,299
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			4,937,957		165,066

60

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2006-80 PG
6.00%	06/25/35		$	23,300,000	$	24,024,679
Fannie Mae 2007-34 SB (IO)
3.51%	04/25/37	2,3,†		42,735,406		3,050,907
Fannie Mae 2007-54 FA
3.00%	06/25/37	3		30,657,580		29,700,337
Fannie Mae 2008-24 NA
6.75%	06/25/37	†		44,924,445		46,026,498
Fannie Mae FNCI (TBA)
5.00%	04/25/23			73,715,000		74,406,078
5.50%	04/25/23			42,455,000		43,337,257
Fannie Mae G92-36 Z
7.00%	07/25/22			1,284		1,373
Fannie Mae Pool 233672
7.50%	09/01/23	3		24,540		25,292
Fannie Mae Pool 254232
6.50%	03/01/22			85,154		88,848
Fannie Mae Pool 254868
5.00%	09/01/33			62,966,405		62,505,591
Fannie Mae Pool 308798
5.85%	04/01/25	3		9,173		9,273
Fannie Mae Pool 312155
6.30%	03/01/25	3		30,750		31,358
Fannie Mae Pool 545191
7.00%	09/01/31			41,369		43,434
Fannie Mae Pool 633698
7.50%	02/01/31			17,758		19,505
Fannie Mae Pool 655928
7.00%	08/01/32			140,667		150,914
Fannie Mae Pool 725027
5.00%	11/01/33			72,215,638		71,865,847
Fannie Mae Pool 725257
5.50%	02/01/34			14,764,439		14,955,032
Fannie Mae Pool 725425
5.50%	04/01/34			59,586,163		60,465,988
Fannie Mae Pool 730957
5.00%	08/01/33			23,817,992		23,702,625
Fannie Mae Pool 735646
4.50%	07/01/20			25,216,001		25,181,027
Fannie Mae Pool 735651
4.50%	06/01/35			76,799,479		74,140,859
Fannie Mae Pool 735883
6.00%	03/01/33			13,450,871		13,963,486
Fannie Mae Pool 765387
6.00%	08/01/34			223,871		231,916
Fannie Mae Pool 770284
5.00%	04/01/34			10,464,121		10,403,626
Fannie Mae Pool 770332
5.00%	04/01/34			39,891,549		39,660,928
Fannie Mae Pool 817611
5.35%	11/01/35	3		10,725,397		10,836,839
Fannie Mae Pool 888412
7.00%	04/01/37			24,665,679		25,609,095
Fannie Mae Pool 888430
5.00%	11/01/33			56,320,885		56,048,083
Fannie Mae Pool 889125
5.00%	12/01/21			73,609,090		74,681,597
Fannie Mae Pool 889184
5.50%	09/01/36			71,109,124		72,159,093
Fannie Mae Pool 896464
5.82%	07/01/36	3		19,271,323		19,522,597
Fannie Mae Pool 908408
5.60%	04/01/37	3		35,944,017		36,677,699
Fannie Mae Pool 928920
6.50%	12/01/37			42,580,077		44,142,781
Fannie Mae Pool 933033
6.50%	10/01/37			48,367,252		49,839,053
Freddie Mac 1004 H
7.95%	10/15/20			1,401		1,399
Freddie Mac 1073 G
7.00%	05/15/21			5,434		5,778
Freddie Mac 1515 SA
8.61%	05/15/08	3		2,493		2,490
Freddie Mac 165 K
6.50%	09/15/21			936		935
Freddie Mac 1980 Z
7.00%	07/15/27			630,965		665,943
Freddie Mac 2098 TZ
6.00%	01/15/28			784,144		783,225
Freddie Mac 2209 TC
8.00%	01/15/30			184,551		193,521
Freddie Mac 2627 NI (IO)
5.00%	04/15/29			7,357,360		485,718
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			159,280		27,893
Freddie Mac Gold A24156
6.50%	10/01/31			3,255,365		3,404,866
Freddie Mac Gold A25162
5.50%	05/01/34			27,077,525		27,482,629
Freddie Mac Gold A54856
5.00%	01/01/34			34,510,364		34,351,292
Freddie Mac Gold A65805
6.00%	09/01/37			5,780,922		5,935,607
Freddie Mac Gold C01492
5.00%	02/01/33			14,066,937		14,010,889
Freddie Mac Gold C46104
6.50%	09/01/29			145,504		152,364
Freddie Mac Gold C55789
7.50%	10/01/27			52,606		57,104
Freddie Mac Gold C90573
6.50%	08/01/22			667,179		697,101
Freddie Mac Gold G01515
5.00%	02/01/33			13,134,548		13,082,215

61

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G01601
4.00%	09/01/33		$	233,395	$	220,248
Freddie Mac Gold G01611
4.00%	09/01/33			79,715		75,225
Freddie Mac Gold G01644
5.50%	02/01/34			54,947,754		55,677,099
Freddie Mac Gold G01673
5.50%	04/01/34			3,407,719		3,465,125
Freddie Mac Gold G02366
6.50%	10/01/36			24,875,640		25,908,146
Freddie Mac Gold G02461
6.50%	11/01/36			24,035,710		24,958,287
Freddie Mac Gold G02579
5.00%	12/01/34			25,815,442		25,640,331
Freddie Mac Gold G02884
6.00%	04/01/37			52,732,787		54,147,586
Freddie Mac Gold G02955
5.50%	03/01/37			35,449,986		35,845,824
Freddie Mac Gold G03139
6.50%	07/01/37			15,214,898		15,799,149
Freddie Mac Gold G03357
5.50%	08/01/37			14,758,498		14,933,178
Freddie Mac Gold G03436
6.00%	11/01/37			83,528,993		85,816,251
Freddie Mac Gold G03601
6.00%	07/01/37			56,231,110		57,718,158
Freddie Mac Gold G03676
5.50%	12/01/37			39,440,402		39,913,375
Freddie Mac Gold G03739
6.00%	11/01/37			46,691,115		47,969,648
Freddie Mac Gold G03783
5.50%	01/01/38			17,233,150		17,439,811
Freddie Mac Gold G04048
6.00%	03/01/38			72,255,000		74,072,900
Freddie Mac Gold G04079
5.50%	03/01/38			71,225,896		72,002,921
Freddie Mac Gold G11707
6.00%	03/01/20			8,190,614		8,448,687
Freddie Mac Gold G12393
5.50%	10/01/21			79,398,159		81,175,312
Freddie Mac Gold G12824
6.00%	08/01/22			18,291,247		18,874,281
Freddie Mac Gold G12909
6.00%	11/01/22			48,933,664		50,493,425
Freddie Mac Gold G13032
6.00%	09/01/22			19,724,270		20,328,326
Freddie Mac Gold G13058
4.50%	10/01/20			44,178,109		44,133,899
Freddie Mac Gold P50019
7.00%	07/01/24	†		957,366		997,591
Freddie Mac Non Gold Pool 781415
5.23%	04/01/34	3		6,578,245		6,684,988
Freddie Mac Non Gold Pool 781469
5.13%	04/01/34	3		4,937,872		5,017,061
Freddie Mac Non Gold Pool 847288
5.08%	05/01/34	3		8,489,459		8,675,304
Ginnie Mae 2000-22 SG (IO)
7.98%	05/16/30	3		2,778,747		390,974
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			4,114,250		449,717
Ginnie Mae 2003-86 ZK
5.00%	10/20/33			18,947,462		17,411,592
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			17,599,196		15,208,248
Ginnie Mae II Pool 81018
5.63%	08/20/34	3		73,055		73,445
						2,076,178,465
Total Mortgage-Backed (Cost $2,842,285,211)						2,843,498,388
MUNICIPAL BONDS — 1.89%*
California — 0.22%
Sacramento County Sanitation District, Sewer Improvements Revenue Bonds, Series A, Pre-Refunded 12/01/14 @ 100 (AMBAC)
5.00%	12/01/35			11,145,000		12,438,600
Georgia — 0.22%
Metropolitan Atlanta Rapid Transit Authority, Transit Improvements Revenue Bonds, Pre-Refunded 01/01/13 @ 100 (MBIA)
5.00%	07/01/28			11,390,000		12,421,478
Massachusetts — 0.50%
Commonwealth of Massachusetts, Fuel Sales Tax Revenue Bonds, Series A, Pre-Refunded 06/01/12 @ 100 (FGIC)
5.38%	06/01/19			4,440,000		4,824,060
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA)
5.25%	01/01/18			7,260,000		7,946,723
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA)
5.50%	03/01/17			5,135,000		5,617,177
5.50%	03/01/18			4,870,000		5,327,293
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC)
5.00%	08/01/22			4,790,000		5,262,869
						28,978,122

62

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Nevada — 0.07%
Clark County School District, School Improvements G.O., Series C, Pre-Refunded 06/15/12 @ 100 OID (MBIA)
5.00%	06/15/22		$	3,530,000	$	3,837,040
New Jersey — 0.09%
New Jersey Economic Development Authority, School Improvements Revenue Bonds, Series C, Pre-Refunded 06/15/12 @ 100 (MBIA)
5.25%	06/15/17			4,900,000		5,374,418
Ohio — 0.07%
Ohio State Water Development Authority, Refunding Notes Revenue Bonds, Pre-Refunded 06/01/12 @ 100
5.25%	12/01/17			3,870,000		4,233,470
South Carolina — 0.08%
Greenville County School District, School Improvements Revenue Bonds, Pre-Refunded 12/01/12 @ 101 OID
5.50%	12/01/28			4,095,000		4,603,149
Texas — 0.64%
City of Houston, Water & Sewer System Revenue Bonds, Series A, Pre-Refunded 12/01/12 @ 100 OID (FSA)
5.00%	12/01/30			6,475,000		7,051,793
County of Galveston, Public Improvements G.O., Series C, Pre-Refunded 02/01/13 @ 100 OID (AMBAC)
5.00%	02/01/28			8,280,000		9,022,716
County of Harris, Flood Control District Contract G.O., Refunded 10/01/13 @ 100
5.25%	10/01/20			11,477,000		12,690,348
North Texas Tollway Authority, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 01/01/15 @ 100 (FSA)
5.00%	01/01/30			7,580,000		8,247,874
						37,012,731
Total Municipal Bonds (Cost $108,833,816)						108,899,008
U.S. AGENCY SECURITIES — 0.21%
Foreign Sovereign — 0.21%
Indonesia Government AID Bond
9.30%	07/01/20			9,156,250		12,202,186
Total U.S. Agency Securities (Cost $11,754,829)						12,202,186
U.S. TREASURY SECURITIES — 11.59%
U.S. Treasury Bonds — 3.69%
6.13%	11/15/27			131,508,000		163,295,982
8.13%	08/15/19			1,885,000		2,626,484
8.75%	08/15/20			5,118,000		7,517,062
2.38%	01/15/27			34,341,000		39,132,581
						212,572,109
U.S. Treasury Notes — 7.90%
3.63%	12/31/12			226,834,000		239,150,383
4.25%	09/30/12			161,491,000		174,574,355
4.25%	11/15/14			19,419,000		21,239,551
5.13%	05/15/16			9,813,000		11,182,227
0.00%	09/26/19	8		14,967,000		9,027,346
						455,173,862
Total U.S. Treasury Securities (Cost $652,241,740)						667,745,971
Total Bonds – 84.41% (Cost $4,946,260,760)						4,862,564,664
			Shares
PREFERRED STOCK — 0.07%
Finance — 0.07%
Woodbourne Pass-Through Trust
4.16%	12/31/49	3,4		54		3,813,750
Total Preferred Stock (Cost $5,380,500)						3,813,750
			Contracts
PUT OPTIONS PURCHASED — 0.12%
U.S. Government — 0.12%
U.S. Long Bond (CBT), Put Strike $117, expires 05/23/08				2,000		3,156,250
U.S. Long Bond (CBT), Put Strike $118, expires 05/23/08				690		1,369,219
U.S. Long Bond (CBT), Put Strike $120, expires 05/23/08				690		2,102,343
						6,627,812
Total Put Options Purchased (Cost $10,358,897)						6,627,812
			Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.14%
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		5,200,228

63

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues			Notional Amount (000’s)			Value
PURCHASED SWAPTIONS (continued)
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.			$	25,762,000		$	2,940,210
Total Purchased Swaptions (Cost $2,113,754)							8,140,438
	Maturity Date		Shares/ Principal Amount
SHORT TERM INVESTMENTS — 23.39%
Commercial Paper — 3.61%
BNP Paribas Finance, Inc.
2.81%9	04/08/08		$	37,355,000			37,334,662
General Electric Capital Corp.
2.56%9	04/25/08			3,410,000			3,404,203
2.89%9	04/08/08			51,385,000			51,356,225
Merrill Lynch & Co., Inc.
2.86%9	04/25/08			10,000,000			9,981,000
National Rural Utilities Co.
2.32%9	04/23/08			31,515,000			31,470,319
2.32%9	04/28/08			21,500,000			21,462,590
Rabobank USA Finance Corp.
2.63%9	04/28/08			52,810,000			52,706,228
							207,715,227
Money Market Fund — 0.45%
Goldman Sachs Group, Inc. (The), 2.77%				25,831,750			25,831,750
U.S. Agency Discount Notes — 19.33%
Fannie Mae
2.69%9	04/23/08	10		4,800,000			4,792,242
2.76%9	04/23/08			1,010,000			1,008,368
2.86%9	04/23/08			18,275,000			18,245,463
2.92%9	04/23/08			1,780,000			1,777,123
2.92%9	04/23/08			119,230,000			119,037,296
2.94%9	04/23/08			1,500,000			1,497,576
Federal Home Loan Bank
1.30%9	04/23/08			53,975,000			53,904,907
1.30%9	04/23/08			2,943,000			2,938,738
1.76%9	04/25/08	10		1,475,000			1,473,269
1.78%9	04/22/08			41,400,000			41,357,013
1.80%9	04/25/08			1,325,000			1,323,410
1.88%9	04/16/08			237,870,000			237,683,669
1.90%9	04/21/08			36,485,000			36,446,488
2.02%9	04/23/08			77,710,000			77,614,071
2.08%9	04/18/08			53,860,000			53,807,098
2.11%9	04/25/08			28,950,000			28,909,277
2.12%9	04/18/08			95,530,000			95,434,364
2.13%9	04/23/08			5,080,000			5,073,403
2.13%9	04/25/08			75,890,000			75,782,236
2.16%9	04/25/08			71,715,000			71,611,730
2.35%9	04/02/08			46,445,000			46,441,968
2.42%9	04/25/08			6,681,000			6,670,240
2.69%9	04/02/08			20,060,000			20,058,507
2.74%9	04/23/08			16,870,000			16,841,938
2.78%9	04/23/08	10		250,000			249,596
Freddie Mac
1.96%9	04/04/08			92,385,000			92,369,910
2.08%9	06/23/08	10		1,408,000			1,401,523
							1,113,751,423
Total Short Term Investments (Cost $1,347,278,135)							1,347,298,400
Total Investments — 108.13% (Cost $6,311,392,046)1							6,228,445,064
Liabilities in Excess of Other Assets — (8.13)%							(468,076,071	)
NET ASSETS — 100.00%						$	5,760,368,993
Issues	Contracts		Premiums Received			Value
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $123, expires 05/23/08	(2,000	)	$	(2,006,754	)	$	(1,812,500	)
U.S. Long Bond (CBT), Call Strike $125, expires 05/23/08	(1,380	)		(1,364,505	)		(754,688	)
U.S. Long Bond (CBT), Call Strike $126, expires 05/23/08	(690	)		(688,503	)		(280,312	)
Total Call Options Written			$	(4,059,762	)	$	(2,847,500	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Put Opt Strike $115, expires 05/23/08	(2,000	)	$	(4,243,004	)	$	(1,875,000	)
U.S. Long Bond (CBT), Put Opt Strike $116, expires 05/23/08	(1,380	)		(2,939,818	)		(1,703,438	)
Total Written Put Options			$	(7,182,822	)	$	(3,578,438	)

64

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.	$	(97,000,000	)	$	(2,113,766	)	$	(6,838,917	)
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.		(47,280,000	)		—			(182,028	)
Total Written Swaptions				$	(2,113,766	)	$	(7,020,945	)

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
17	Euro Dollar Ninety Day, June 2008	$	(80,920	)
17	Euro Dollar Ninety Day, September 2008		(84,320	)
17	Euro Dollar Ninety Day, December 2008		(81,345	)
17	Euro Dollar Ninety Day, March 2009		(82,833	)
17	Euro Dollar Ninety Day, June 2009		(79,220	)
17	Euro Dollar Ninety Day, September 2009		(74,970	)
17	Euro Dollar Ninety Day, December 2009		(67,745	)
17	Euro Dollar Ninety Day, March 2010		(63,070	)
	Net unrealized depreciation	$	(614,423	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
573	U.S. Treasury Two Year Note, June 2008	$	905,480
3571	U.S. Treasury Five Year Note, June 2008		1,758,994
	Net unrealized appreciation	$	2,664,474

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	$	15,190	$	816,497
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.39% semi-annually. Counterparty: JPMorgan Chase & Co.	11/15/09		31,950		1,424,129
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		827,396
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.83% semi-annually. Counterparty: CS First Boston	11/15/09		45,000		2,395,440
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		2,045,944
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		1,347,663
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		824,288
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		599,271
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.08% semi-annually. Counterparty: CS First Boston	11/30/09		10,500		610,149
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		619,498
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.96% semi-annually. Counterparty: Citigroup, Inc.	02/22/10		39,000		365,185
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		1,428,083
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		1,498,499
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		2,285,961

65

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

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 3.86% semi-annually. Counterparty: Barclays Capital, Inc.	02/22/13	$	51,500	$	1,339,960
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.40% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	02/26/13		28,555		139,251
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.54% semi-annually. Counterparty: Barclays Capital, Inc.	02/26/13		27,245		301,971
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.58% semi-annually. Counterparty: Barclays Capital, Inc.	02/26/13		27,145		349,854
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.70% semi-annually. Counterparty: Merrill Lynch & Co., Inc.	02/26/13		54,529		1,025,172
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		1,706,306
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		1,920,796
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		900,990
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		515,564
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		(121,654	)
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		(85,779	)
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		(106,310	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/31/22		10,100		43,862
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		(97,539	)
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		47,625
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		(110,838	)
				$	24,857,234
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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		430,911
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley	09/20/12		8,000		395,734
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc.	09/20/12		8,500		640,407
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.	12/20/12		4,575		210,029

66

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Chase & Co.	12/20/12	$	27,500	$	1,094,919
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston	12/20/12		4,495		(857	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		2,415		(9,454	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		3,365		(16,932	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12		4,550		(16,117	)
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.	12/20/12		6,250		181,300
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley	12/20/12		9,300		229,154
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG	12/20/12		6,250		148,542
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.	12/20/12		5,900		261,221
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		6,000		270,771
The Fund pays 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		274,859
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		6,200		261,150
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		4,140		161,090
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		6,200		294,977
The Fund pays 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		266,906
The Fund pays 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		357,156
The Fund pays 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		1,753,767
The Fund pays 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 Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/12		8,000		236,326
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		3,200		75,442
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston	12/20/12		3,100		75,802
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.	12/20/12		9,250		201,853
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		6,000		130,932

67

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/20/12. Counterparty: Citigroup, Inc.	12/20/12	$	1,825	$	141,916
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		8,975		694,314
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		2,700		201,287
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		2,320		22,037
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		1,425		10,775
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.	12/20/12		1,175		8,884
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		2,725		141,522
The Fund pays 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 Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG	12/20/12		6,750		637,273
The Fund pays a fixed rate equal to 3.52% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Deutsche Bank AG	03/20/13		4,875		(102,580	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13		2,550		(56,144	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		2,500		(55,043	)
The Fund pays a fixed rate equal to 2.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: Citigroup, Inc.	03/20/13		8,600		1,221,714
The Fund pays a fixed rate equal to 3.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: Deutsche Bank AG	03/20/13		4,300		525,782
The Fund pays a fixed rate equal to 2.90% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the AMBAC Monoline AAA, due 03/20/13. Counterparty: UBS AG	03/20/13		4,300		589,588
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		14,175		(708,461	)
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		7,885		(275,248	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc.	06/20/13		5,220		(11,289	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		5,000		338,683
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.	06/20/14		11,000		937,907
The Fund pays 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: UBS AG	09/20/14		6,250		231,982
The Fund pays 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 the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	09/20/14		7,000		404,108

68

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: CS First Boston	12/20/14	$	10,000	$	184,614
The Fund pays 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 Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG	12/20/14		6,500		119,999
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Bear Stearns Cos., Inc.	12/20/14		8,500		697,934
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		42,725		3,625,413
The Fund pays 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 Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/14		10,000		592,191
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		5,050		(178,134	)
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		7,885		(245,068	)
The Fund pays 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		9,207,524
The Fund pays 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		4,922,834
				$	31,736,202
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives 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		(3,263,812	)
The Fund receives 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		(3,105,182	)
The Fund receives 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		(3,117,080	)
The Fund receives 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		(7,768,904	)
The Fund receives 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		(14,145,830	)
The Fund receives 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		(604,705	)
The Fund receives 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		(11,120,457	)
The Fund receives 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: Lehman Brothers Holdings, Inc.	08/25/37		3,500		(1,528,135	)
The Fund receives 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		(3,101,216	)
The Fund receives 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		(3,018,430	)
The Fund receives 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 Chase & Co.	01/25/38		5,830		(4,624,822	)
The Fund receives 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		(9,365,841	)

69

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(3,464,771	)
The Fund receives 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 Chase & Co.	01/25/38		4,110		(3,464,771	)
The Fund receives 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		(5,007,479	)
The Fund receives 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		(3,747,179	)
The Fund receives 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		(1,601,719	)
The Fund receives 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		7,500		(6,322,575	)
The Fund receives 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		(5,822,675	)
The Fund receives 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		(4,660,520	)
The Fund receives 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		(28,312,163	)
The Fund receives 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 Chase & Co.	01/25/38		3,970		(3,149,322	)
The Fund receives 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 Chase & Co.	01/25/38		12,795		(10,150,018	)
The Fund receives 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		(940,037	)
The Fund receives 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		(2,494,866	)
The Fund receives 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		(2,494,866	)
The Fund receives 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		(2,494,866	)
The Fund receives 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: Lehman Brothers Holdings, Inc.	01/25/38		7,500		(5,949,600	)
The Fund receives 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		(9,931,866	)
The Fund receives 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		(3,482,499	)
The Fund receives 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		(4,101,258	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.	01/25/38		5,270		(2,539,824	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.	01/25/38		4,330		(2,089,543	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		5,180		(2,499,730	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		12,000		(5,783,280	)

70

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(6,637,960	)
The Fund receives 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		(342,888	)
The Fund receives 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		(5,807,818	)
The Fund receives 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		14,020		(12,235,254	)
The Fund receives 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		8,565		(7,530,348	)
The Fund receives 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		(6,009,332	)
The Fund receives 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		(1,459,472	)
The Fund receives 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		(3,105,691	)
The Fund receives 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		(2,494,866	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		28,310		(16,414,987	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		13,140		(7,618,966	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46	$	10,500	$	(6,088,215	)
				$	(261,015,638	)

Notes:

¹ Cost for Federal income tax purposes is $6,313,648,202 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	85,302,555
Gross unrealized depreciation		(170,505,693	)
Net unrealized depreciation	$	(85,203,138	)

² Illiquid security.

³ Floating rate security. The rate disclosed is that in effect at March 31, 2008.

⁴ 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 March 31, 2008 was $229,533,691 representing 3.98% of total net assets.

⁵ Expected maturity date.

⁶ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
07/03/07	Asurion Corp. Term Loan, 6.10%, 07/13/14	$	743,271	$	638,750	0.01	%
08/07/03	Calpine CCFC I Term Loan, 0.00%, 08/26/09		10,537,167		10,446,311	0.18	%
06/01/07	Carestream Health, Inc. Term Loan, 9.40%, 10/30/13		1,012,017		720,000	0.01	%
06/30/06	Cebridge 2nd Lien (PIK), 9.24%, 05/05/14		15,292,353		12,165,886	0.21	%
06/27/07	Cengage Learning Term Loan B, 5.21%, 07/09/14		1,972,101		1,716,375	0.03	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 5.17%, 09/06/14		1,005,503		768,333	0.01	%
08/09/07	Community Health Systems, Inc. 1st Lien, 5.34%, 07/25/14		1,161,358		1,101,140	0.02	%
11/02/07	Delphi Dip 2nd Lien, 6.75%, 07/01/08		7,504,490		7,382,145	0.12	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 6.46%, 05/01/12		475,185		403,920	0.01	%
06/13/06	General Motors Corp. Strip II, 0.50%, 07/20/11		6,856,750		6,236,475	0.11	%
09/17/07	HCA Term Loan A, 4.70%, 11/18/12		25,033,690		23,917,475	0.42	%
03/07/07	Kelson 1st Lien, 5.95%, 03/16/13		4,000,000		3,768,332	0.07	%

71

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Date of Purchase	Security	Amortized Cost		Value		% of TNA
08/21/06	Northwest Air Dip, 4.87%, 05/21/12		6,930,000		5,585,580	0.10	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 3.71%, 05/06/14		441,860		333,289	0.01	%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 0.00%, 12/15/14		959,752		810,000	0.01	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.04%, 12/31/08		1,523,810		1,370,612	0.02	%
06/12/07	Univision Communications, Inc. 1st Lien Strip, 5.48%, 03/15/14		1,096,904		890,156	0.02	%
		$	86,546,211	$	78,254,779	1.36	%

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

⁸ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ 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 $115,117,658 which is 2.00% 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 maturity date less than the stated maturity date.

(AMBAC): American Municipal Bond Insurance

(CBT): Chicago Board of Trade

(DIP): Defaulted interest payment

(FGIC): Financial Guaranty Insurance Corp.

(FSA): Financial Security Assuance

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MBIA): Municipal Bond Insurance Association

(MTN): Medium term note

(OID): Original Issue Discount

(PIK): Paid in kind

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

72

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS — 94.26%
ASSET-BACKED SECURITIES — 1.59%**
Home Equity Asset Trust 2007-1 2A1
2.66%	05/25/37	2	$	532,788	$	509,635
Morgan Stanley Home Equity Loans 2007-2 A1
2.70%	04/25/37	2		1,070,293		1,021,660
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		306,597		128,680
Terwin Mortgage Trust 2007-3SL AX (IO)
0.00%	05/25/38	2,3,4,5,†		1,593,750		7,171
Terwin Mortgage Trust 2007-3SL CE2
0.00%	05/25/38	3,4,†		17,160,000		1,710
Total Asset-Backed Securities (Cost $2,002,309)						1,668,856
CORPORATES — 64.64%*
Automotive — 1.41%
Metaldyne Corp.
10.00%	11/01/13			800,000		484,000
Tenneco, Inc.
8.13%	11/15/15	4		500,000		498,750
8.63%	11/15/14			500,000		495,625
						1,478,375
Banking — 0.86%
Bank of America Corp.
8.00%	12/29/49	2		500,000		501,445
HBOS Capital Funding LP
6.07%	06/24/49	2,4		300,000		229,500
JPMorgan Chase Bank NA
7.59%	03/28/22	2		175,000		170,327
						901,272
Basic Industry — 3.71%
Arco Chemical Co.
10.25%	11/01/10			265,000		270,300
Freeport-McMoRan Copper & Gold, Inc.
8.38%	04/01/17			400,000		425,500
Massey Energy Co.
6.88%	12/15/13			1,000,000		972,500
Mosaic Co. (The)
7.38%	12/01/14	4		1,375,000		1,478,125
Noranda Aluminium Holding Corp. (PIK)
10.49%	11/15/14	4		1,000,000		740,000
						3,886,425
Communications — 18.70%
CCH I Holdings LLC/CCH I Holdings Capital Corp.
11.00%	10/01/15			750,000		528,750
Cincinnati Bell, Inc.
7.25%	07/15/13			1,100,000		1,086,250
Citizens Communications Co.
6.63%	03/15/15			1,175,000		1,057,500
CSC Holdings, Inc. B
7.63%	04/01/11			2,050,000		2,024,375
Dex Media West LLC/Dex Media Finance Co. B
8.50%	08/15/10			1,000,000		977,500
9.88%	08/15/13			1,450,000		1,265,125
Hawaiian Telcom Communications, Inc. B
9.75%	05/01/13			700,000		525,000
Idearc, Inc.
8.00%	11/15/16			3,100,000		2,022,750
Intelsat Subsidiary Holding Co. Ltd.
8.63%	01/15/15			1,400,000		1,417,500
Level 3 Financing, Inc.
8.75%	02/15/17			900,000		688,500
9.25%	11/01/14			500,000		411,250
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			1,750,000		1,618,750
Qwest Communications International, Inc.
6.57%	02/15/09	2		100,000		99,500
Qwest Communications International, Inc. B
7.50%	02/15/14			2,500,000		2,362,500
Sprint Capital Corp.
6.13%	11/15/08			500,000		496,324
Sprint Nextel Corp.
6.00%	12/01/16			1,100,000		856,596
Windstream Corp.
8.63%	08/01/16			2,200,000		2,172,500
						19,610,670
Consumer Products — 1.43%
Steinway Musical Instruments
7.00%	03/01/14	4		785,000		675,100
Visant Corp.
7.63%	10/01/12			325,000		317,688
Visant Holding Corp.
8.75%	12/01/13			250,000		235,000
Visant Holding Corp. (STEP)
0.00%	12/01/13			290,000		272,600
						1,500,388
Electric — 4.67%
Aquila, Inc.
14.88%	07/01/12			1,700,000		2,103,750
Edison Mission Energy
7.50%	06/15/13			1,000,000		1,015,000
Ipalco Enterprises, Inc.
8.63%	11/14/11			420,000		444,150
Reliant Energy, Inc.
6.75%	12/15/14			1,300,000		1,329,250
						4,892,150

73

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy — 12.23%
AES Corp. (The)
8.75%	05/15/13	4	$	775,000	$	809,875
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			800,000		732,000
Chesapeake Energy Corp.
7.00%	08/15/14			630,000		634,725
7.50%	06/15/14			225,000		231,750
7.75%	01/15/15			75,000		77,625
Corral Finans AB (PIK)
5.76%	04/15/10	4		1,027,270		785,862
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		925,000		670,625
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		625,000		589,062
Mirant Americas Generation LLC
8.30%	05/01/11			2,200,000		2,255,000
NRG Energy, Inc.
7.25%	02/01/14			1,000,000		990,000
7.38%	01/15/17			1,975,000		1,925,625
OPTI Canada, Inc.
7.88%	12/15/14			1,000,000		982,500
Parker Drilling Co.
9.63%	10/01/13			25,000		26,438
Pride International, Inc.
7.38%	07/15/14			325,000		339,625
Sabine Pass LNG LP
7.25%	11/30/13			1,825,000		1,770,250
						12,820,962
Finance — 14.05%
Bear Stearns Cos., Inc. (The)
3.46%	04/29/08	2		500,000		498,229
CDX North America High Yield 9 T1
8.75%	12/29/12	4		6,980,000		6,674,625
Citigroup Capital XXI
8.30%	12/21/57	2		275,000		271,715
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		575,000		528,332
4.79%	01/05/09	2		350,000		325,259
Countrywide Financial Corp. A (MTN)
3.35%	05/05/08	2		500,000		496,767
Countrywide Home Loans, Inc. L (MTN)
3.25%	05/21/08			275,000		269,701
Ford Motor Credit Co. LLC
5.80%	01/12/09			1,000,000		952,859
6.75%	08/15/08			500,000		492,993
8.71%	04/15/12	2		550,000		516,935
GMAC LLC
5.28%	12/01/14	2		1,840,000		1,177,034
6.63%	05/15/12			750,000		567,836
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2		383,000		370,055
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		294,000		316,991
Nuveen Investments, Inc.
10.50%	11/15/15	4		1,250,000		1,078,125
Residential Capital LLC
3.49%	06/09/08	2		250,000		198,750
						14,736,206
Gaming — 0.10%
Herbst Gaming, Inc.
8.13%	06/01/12			575,000		107,812
Health Care — 1.45%
Community Health Systems, Inc.
8.88%	07/15/15			1,250,000		1,260,938
HCA, Inc.
9.13%	11/15/14			250,000		258,125
						1,519,063
Services — 2.91%
ARAMARK Corp.
8.50%	02/01/15			600,000		604,500
Corrections Corp. of America
6.25%	03/15/13			350,000		344,750
Mobile Mini, Inc.
6.88%	05/01/15			1,500,000		1,252,500
United Rentals North America, Inc.
6.50%	02/15/12			500,000		451,250
7.00%	02/15/14			500,000		395,000
						3,048,000
Transportation — 3.12%
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		815,566		758,476
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,400,000		2,064,000
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			250,000		245,000
Saint Acquisition Co., Inc.
12.50%	05/15/17	4		500,000		206,250
						3,273,726
Total Corporates (Cost $72,626,891)						67,775,049
BANK LOANS — 25.84%*
Automotive — 3.32%
Cooper Standard Term Loan D
5.25%	12/23/11	7		733,125		667,144
Delphi Dip 2nd Lien
6.75%	07/01/08	7		2,000,000		1,968,572

74

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Automotive (continued)
General Motors Corp. Strip II
7.75%	07/20/11	7	$	1,000,000	$	848,500
						3,484,216
Banking — 0.44%
HBOS PLC
5.92%	09/29/49	2,4		640,000		457,600
Communications — 5.74%
Alltell Corp. 1st Lien Senior Security Term Loan B3
0.00%	11/27/14			995,000		900,060
Cebridge 2nd Lien (PIK)
9.24%	05/05/14	7		2,382,422		1,801,111
Charter Communications, Inc. Term Loan 3rd Lien
5.17%	09/06/14	7		1,500,000		1,152,500
Quebecor Media, Inc.
7.75%	03/15/16	4		1,500,000		1,376,250
Univision Communications, Inc. 1st Lien Strip
5.48%	03/15/14	7		1,000,000		791,250
						6,021,171
Consumer Discretionary — 1.93%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
7.04%	12/31/08	7		761,905		685,306
Tribune 1st Lien Term Loan B
5.54%	05/24/14	7		1,989,987		1,338,623
						2,023,929
Electric — 3.38%
Boston Generating LLC 1st Lien
4.89%	12/19/13	7		247,565		217,503
Calpine CCFC I Term Loan
0.00%	08/26/09	7		489,101		493,992
TPF Generation Holdings LLC 2nd Lien
6.95%	12/15/14	7		1,250,000		1,012,500
TXU Energy Term Loan B2
6.59%	10/10/14			995,000		908,502
TXU Energy Term Loan B3
6.59%	10/10/14			996,247		907,083
						3,539,580
Finance — 2.91%
First Data Corp. Term Loan B1
4.98%	09/27/14	7		497,500		449,270
First Data Corp. Term Loan B2
5.36%	09/27/14	7		497,500		448,881
Kelson 1st Lien
5.95%	03/16/13	7		1,125,000		1,059,843
Kelson 2nd Lien (PIK)
9.20%	03/01/14	7		1,238,440		1,089,828
						3,047,822
Health Care — 4.62%
Carestream Health, Inc. Term Loan
9.40%	10/30/13	7		1,500,000		1,080,000
Community Health Systems, Inc. 1st Lien
5.34%	07/25/14	7		1,430,141		1,321,368
HCA Term Loan A
4.70%	11/18/12	7		2,684,304		2,445,685
						4,847,053
Insurance — 0.81%
Asurion Corp. Term Loan
6.10%	07/13/14	7		1,000,000		851,667
Services — 1.02%
Cengage Learning Term Loan B
5.21%	07/09/14	7		1,243,750		1,072,734
Transportation — 1.67%
Delta Air Lines, Inc. Term Loan 1st Lien
6.46%	05/01/12	7		495,000		403,920
Northwest Air Dip
4.87%	05/21/12	7		995,000		801,970
Swift Transportation Co., Inc. Term Loan
3.71%	05/06/14	7		720,930		543,788
						1,749,678
Total Bank Loans (Cost $30,740,558)						27,095,450
MORTGAGE-BACKED — 2.19%**
Non-Agency Mortgage-Backed — 2.07%
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		301,423		81,384
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	3,8,†		796,241		17,922
Countrywide Alternative Loan Trust 2006-OA9 X1P (IO)
2.89%	07/20/46	3,8		9,692,904		473,120
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	3,8		1,061,609		22,227
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.58%	10/19/35	2,3		7,399,246		71,680
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
4.24%	05/19/47	2,3		4,976,087		199,044
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	3,8		437,525		6,153

75

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X
0.00%	06/25/46	3,8	$	16,484,471	$	113,331
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.00%	08/25/46	3,8		34,661,345		249,128
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.00%	02/25/47	3,8		32,990,259		402,069
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
0.00%	03/25/47	3,8		16,687,742		203,382
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO)
0.00%	04/25/47	3,8		30,585,965		334,534
						2,173,974
U.S. Agency Mortgage-Backed — 0.12%
Fannie Mae 1993-225 SG
16.41%	12/25/13	2		95,162		114,105
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			72,716		7,948
						122,053
Total Mortgage-Backed (Cost $2,301,847)						2,296,027
Total Bonds – 94.26% (Cost $107,671,605)						98,835,382
			Shares
PREFERRED STOCK — 1.41%
Banking — 0.69%
Bank of America Corp.
7.25%				7,000		722,617
Finance — 0.72%
Citigroup, Inc.
6.50%				16,000		759,680
Total Preferred Stock (Cost $1,500,000)						1,482,297
			Contracts
PUT OPTIONS PURCHASED — 0.27%
Banking — 0.05%
Bank of America Corp., Put Strike $30, expires 01/16/10				105		48,300
Finance — 0.08%
Citigroup, Inc., Put Strike $15, expires 01/16/10				320		86,080
U.S. Government — 0.14%
U.S. Long Bond (CBT), Put Strike $117, expires 05/23/08				45		71,016
U.S. Long Bond (CBT), Put Strike $118, expires 05/23/08				15		29,766
U.S. Long Bond (CBT), Put Strike $120, expires 05/23/08				15		45,703
						146,485
Total Put Options Purchased (Cost $335,257)						280,865

	Maturity Date		Shares/ Principal Amount
SHORT TERM INVESTMENTS — 4.47%
Commercial Paper — 0.54%
General Electric Capital Corp.
2.32%9	04/25/08		$	565,000		564,126
Money Market Fund — 0.19%
Goldman Sachs Group, Inc. (The), 2.77%				194,625		194,625
U.S. Agency Discount Notes — 3.74%
Fannie Mae
2.65%9	04/23/08			350,000		349,434
2.86%9	04/23/08			980,000		978,416
2.92%9	04/23/08			330,000		329,467
Federal Home Loan Bank
2.14%9	04/23/08			575,000		574,248
2.30%9	04/02/08			275,000		274,982
2.38%9	04/23/08			291,000		290,579
2.41%9	04/09/08			790,000		789,577
Freddie Mac
1.80%9	04/18/08	10		55,000		54,953
1.90%9	04/25/08	10		15,000		14,981
2.08%9	06/23/08	10		272,000		270,749
						3,927,386
Total Short Term Investments (Cost $4,685,924)						4,686,137
Total Investments – 100.41% (Cost $114,192,786)1						105,284,681
Liabilities in Excess of Other Assets – (0.41%)						(430,311	)
Net Assets – 100.00%					$	104,854,370

76

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Notional Amount (000’s)			Premiums Received			Value
WRITTEN SWAPTIONS
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.	$	(1,000,000	)	$	—		$	(3,850	)
	Contracts
CALL OPTIONS WRITTEN
U.S. Long Bond (CBT), Call Strike $123, expires 05/23/08		(45	)	$	(45,137	)	$	(40,781	)
U.S. Long Bond (CBT), Call Strike $125, expires 05/23/08		(30	)		(29,701	)		(16,406	)
U.S. Long Bond (CBT), Call Strike $126, expires 05/23/08		(15	)		(14,967	)		(6,094	)
Total Call Options Written				$	(89,805	)	$	(63,281	)
WRITTEN PUT OPTIONS
U.S. Long Bond (CBT), Put Opt Strike $115, expires 05/23/08		(45	)	$	(95,528	)	$	(42,188	)
U.S. Long Bond (CBT), Put Opt Strike $116, expires 05/23/08		(30	)		(63,919	)		(37,031	)
Total Written Put Options				$	(159,447	)	$	(79,219	)
	Expiration Date			Notional Amount (000’s)
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		$	1,400		$	32,594
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			19,367
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			(1,488	)
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			(1,000	)
							$	49,473
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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			490			48,802
The Fund pays 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			980			97,603
The Fund pays 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			490			48,802
The Fund pays 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			13,414
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc.		09/20/12			1,000			75,342
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.		12/20/12			150			6,886
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston		12/20/12			120			(23	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.		12/20/12			50			(196	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.		12/20/12			120			(604	)

77

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12	$	190	$	(673	)
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		75		1,768
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston	12/20/12		75		1,834
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.	12/20/12		225		4,910
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		125		2,728
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		450		34,812
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		100		7,455
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		250		12,984
The Fund pays 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		13,408
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		150		7,137
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.	12/20/12		250		11,069
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		225		10,154
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.	12/20/12		150		4,351
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley	12/20/12		225		5,544
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG	12/20/12		150		3,565
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		100		(2,202	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13		100		(2,202	)
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		250		(12,495	)
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		300		(10,472	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		500		33,868
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.	06/20/14		1,000		85,264
The Fund pays 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: UBS AG	09/20/14		1,000		37,117

78

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	09/20/14	$	1,000	$	57,730
The Fund pays 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 Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG	12/20/14		1,000		18,461
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		925		78,491
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		200		(7,055	)
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		300		(9,324	)
The Fund pays 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		261,060
				$	939,313
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives 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		(60,598	)
The Fund receives 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		(121,197	)
The Fund receives 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		(60,598	)
The Fund receives 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		(83,281	)
The Fund receives 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		(268,515	)
The Fund receives 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: Lehman Brothers Holdings, Inc.	08/25/37		750		(327,458	)
The Fund receives 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		(83,281	)
The Fund receives 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		(83,281	)
The Fund receives 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		(83,281	)
The Fund receives 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		(416,404	)
The Fund receives 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		(158,656	)
The Fund receives 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		(126,925	)
The Fund receives 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 Chase & Co.	01/25/38		105		(83,294	)
The Fund receives 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 Chase & Co.	01/25/38		370		(293,514	)
The Fund receives 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		(122,958	)

79

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(122,958	)
The Fund receives 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		(122,958	)
The Fund receives 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		(75,362	)
The Fund receives 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		(87,261	)
The Fund receives 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		(87,261	)
The Fund receives 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		(122,958	)
The Fund receives 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		(265,548	)
The Fund receives 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 Chase & Co.	01/25/38		210		(166,589	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		750		(434,873	)
				$	(3,859,009	)

Notes:

¹ Cost for Federal income tax purposes is $114,456,381 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	707,550
Gross unrealized depreciation		(9,879,250	)
Net unrealized (depreciation)	$	(9,171,700	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

³ Illiquid security.

⁴ 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 March 31, 2008 was $16,488,694 representing 15.73% of total net assets.

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

⁶ Expected maturity date.

⁷ 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, 6.10%, 07/13/14	$	991,029	$	851,667	0.81	%
12/19/06	Boston Generating LLC 1st Lien, 0.00%, 12/19/13		247,565		217,503	0.21	%
09/17/07	Calpine CCFC I Term Loan, 0.00%, 08/26/09		499,565		493,992	0.47	%
04/12/07	Carestream Health, Inc. Term Loan, 9.40%, 10/30/13		1,505,988		1,080,000	1.03	%
06/30/06	Cebridge 2nd Lien (PIK), 9.24%, 05/05/14		2,277,437		1,801,111	1.72	%
06/27/07	Cengage Learning Term Loan B, 5.21%, 07/09/14		1,232,563		1,072,734	1.02	%
03/15/07	Charter Communications, Inc.Term Loan 3rd Lien, 5.17%, 09/06/14		1,275,643		1,152,500	1.10	%
08/09/07	Community Health Systems, Inc. 1st Lien, 5.34%, 07/25/14		1,393,629		1,321,368	1.26	%
03/14/06	Cooper Standard Term Loan D, 0.00%, 12/23/11		737,092		667,144	0.64	%
01/08/07	Delphi Dip 2nd Lien, 6.75%, 07/01/08		2,000,748		1,968,572	1.88	%
09/11/07	Delta Airlines, Inc. Term Loan 1st Lien, 6.46%, 05/01/12		475,185		403,920	0.38	%
09/27/07	First Data Corp. Term Loan B1, 4.98%, 09/27/14		479,005		449,270	0.43	%
09/27/07	First Data Corp. Term Loan B2, 5.36%, 09/27/14		479,005		448,881	0.43	%
09/26/07	General Motors Corp. Strip II, 0.50%, 07/20/11		922,500		848,500	0.81	%
09/17/07	HCA Term Loan A, 4.70%, 11/18/12		2,603,111		2,445,686	2.33	%
03/07/07	Kelson 1st Lien, 5.95%, 03/16/13		1,121,810		1,059,843	1.01	%
03/07/07	Kelson 2nd Lien (PIK), 9.20%, 03/01/14		1,234,950		1,089,828	1.04	%
08/21/06	Northwest Air Dip, 4.87%, 05/21/12		985,592		801,970	0.76	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 3.71%, 05/06/14		611,171		543,788	0.52	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 0.00%, 12/15/14		1,219,814		1,012,500	0.97	%

80

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2008

Date of Purchase	Security	Amortized Cost		Value		% of TNA
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.04%, 12/31/08		761,905		685,306	0.65	%
05/17/07	Tribune 1st Lien Term Loan B, 5.54%, 05/24/14		1,838,477		1,338,623	1.28	%
03/16/07	Univision Communications, Inc. 1st Lien Strip, 5.48%, 03/15/14		963,079		791,250	0.75	%
		$	25,856,863	$	22,545,956	21.50	%

⁸ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ 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 $155,483 which is 0.15% 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 maturity date less than the stated maturity date.

(CBT): Chicago Board of Trade

(DIP): Defaulted interest payment

(IO): Interest only

(MTN): Medium term note

(PIK): Paid in kind

(STEP): Step coupon bond

81

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 102.98%
ASSET-BACKED SECURITIES — 39.61%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	5,562	$	5,590
Aerco Ltd. 2A A3
3.28%	07/15/25	2,3		8,603,289		7,054,694
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
2.65%	12/25/36	2		210,961		202,938
Aviation Capital Group Trust 2003-2A B1
5.54%	09/20/33	2,3		2,795,534		2,348,248
Bayview Financial Acquisition Trust 2004-B A1
3.18%	05/28/39	2,3		5,996,459		5,576,704
Citigroup Mortgage Loan Trust, Inc. 2007-AMC3 A2A
2.71%	03/25/37	2		319,614		299,206
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
2.78%	03/25/37	2		5,000,000		3,970,920
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1
3.00%	03/25/37	2		6,500,000		2,417,700
Conseco Finance 2002-C BF1
8.00%	06/15/32	2		3,763,000		3,360,144
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3		1,200,030		1,092,028
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33	2		204,067		210,770
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/33	2,4,†		200,977		29,053
Countrywide Asset-Backed NIM Certificates 2006-12N
7.25%	07/25/37	3,4		253,658		15,219
Countrywide Asset-Backed NIM Certificates 2006-26 Note
3.03%	01/25/12	2,3		6,886,252		4,493,276
Countrywide Asset-Backed NIM Certificates 2007-1 Note
3.03%	01/25/12	2,3		9,874,458		6,467,765
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
2.75%	05/25/36	2		6,900,000		6,281,970
Crystal River 2005-1A A
3.44%	03/02/46	2,3		1,890,301		1,857,220
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			120,528		124,898
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4
3.14%	10/25/34	2		236,020		205,972
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF17 A6
2.91%	12/25/36	2		6,900,000		3,885,536
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
2.82%	01/25/38	2,4		6,900,000		3,355,125
Fremont Home Loan Trust 2006-3 2A1
2.67%	02/25/37	2		103,057		100,769
Green Tree Financial Corp. 1996-10 M1
7.24%	11/15/28	2		2,700,000		2,293,678
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		74,320		78,748
Green Tree Financial Corp. 1998-4 A7
6.87%	04/01/30	2		952,660		939,561
Green Tree Financial Corp. 1999-1 A5
6.11%	09/01/23			31,664		32,338
Green Tree Financial Corp. 1999-5 A5
7.86%	03/01/30	2		182,209		158,959
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			111,335		77,103
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			247,103		194,167
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			36,138		28,272
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%	10/15/17			25,408		24,384
HFC Home Equity Loan Asset Backed Certificates 2004-1 A
2.89%	09/20/33	2		881,888		788,019
HSI Asset Securitization Corp. Trust 2006-HE2 2A1
2.65%	12/25/36	2		267,552		248,747
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			1,092,441		1,134,901
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			539,417		562,342
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28			271,344		274,494
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	2		969,087		833,415
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11			241,833		244,053
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		514,794		523,488
Inman Square Funding Ltd. 2004-1A I
4.49%	10/20/34	2,3		1,900,536		1,748,493
Inman Square Funding Ltd. 2005-2A I
5.10%	10/06/40	2,3		15,331,298		9,505,402

82

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Ivy Lane CDO Ltd. 2006-1A A1
3.43%	02/05/46	2,3	$	14,824,124	$	8,746,230
Lehman ABS Mortgage Loan Trust 2007-1 2A1
2.69%	06/25/37	2,3		339,776		326,662
Long Beach Asset Holdings Corp. 2006-11 N1
6.75%	01/25/47	3,4		763,709		29,479
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,4		971,205		52,348
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
3.18%	08/25/35	2		1,389,210		1,203,128
Mid-State Trust 11 B
8.22%	07/15/38			20,724		18,486
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,613,643		1,608,500
Mid-State Trust 6 A4
7.79%	07/01/35			65,791		66,336
Morgan Stanley ABS Capital I 2007-HE1 A2D
2.83%	11/25/36	2		6,900,000		4,312,500
Nationstar Home Equity Loan Trust 2007-A AV4
2.83%	03/25/37	2,†		5,000,000		3,075,070
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3		1,416,974		708,487
Nationstar NIM Trust 2007-C A
8.00%	06/25/37	3,4		933,110		559,866
Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)
10.00%	01/25/36	2,3,4		2,400,000		51,120
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			5,226		5,297
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			304,425		314,097
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			286,626		278,861
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19	2		211,082		173,126
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		12,575		10,816
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	2		760,288		666,377
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%	02/15/10	4		227,969		20,517
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		256,072		236,063
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4		2,334,062		224,748
PAMCO CLO 1998-1A B2
4.59%	05/01/10	2,3		1,298,547		1,168,700
RAAC 2007-RP1 M4
4.60%	05/25/46	2,3,4		25,761		7,728
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		1,406,741		590,414
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
2.67%	02/25/37	2		237,603		229,658
Residential Asset Securities Corp. 2007-KS2 AI1
2.67%	02/25/37	2		279,289		261,264
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
3.07%	04/25/35	2		7,000,000		4,969,779
Soundview NIM Trust 2007-OPT1 N
9.00%	06/25/37	3		2,917,886		1,167,155
Specialty Underwriting & Residential Finance 2004-BC4 A2C
3.09%	10/25/35	2		2,360,738		2,068,738
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3		509,274		501,635
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	3		585,303		576,524
Structured Asset Receivables Trust 2005-1
4.43%	01/21/15	3		14,289,024		13,717,461
Terwin Mortgage Trust 2004-7HE A1
3.15%	07/25/34	2,3		122,539		107,691
Terwin Mortgage Trust 2005-11 1M2 (STEP)
4.50%	11/25/36	3,4,†		3,500,000		1,154,316
Terwin Mortgage Trust 2005-5SL B4
6.00%	05/25/35	3,4,†		273,458		2,598
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		2,000,000		424,744
Terwin Mortgage Trust 2007-3SL AX (IO)
0.00%	05/25/38	2,3,4,5,†		18,996,000		85,474
Terwin Mortgage Trust 2007-3SL CE2
0.00%	05/25/38	3,4,†		111,560,000		11,118
Terwin Mortgage Trust 2007-9SL M1
5.10%	06/25/38	2,3,4		1,000,000		451,100
Terwin Mortgage Trust NIM 2007-4 N1
10.00%	05/25/38	3,4		1,157,719		174,907
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		585		392
Vertical CDO Ltd. 2007-1A A1J
3.81%	04/10/47	2,3,4		3,300,000		32,999

83

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Trust 2007-2 M1
2.97%	04/25/37	2	$	5,000,000	$	1,501,562
Total Asset-Backed Securities (Cost $180,149,077)						124,940,380
CORPORATES — 19.60%*
Automotive — 0.50%
General Motors Corp.
7.38%	05/23/48			2,600,000		1,599,000
Banking — 1.69%
Bank of America Corp.
8.00%	12/29/49	2		1,000,000		1,002,890
Chase Capital II B
3.74%	02/01/27	2		1,605,000		1,280,547
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		1,000,000		866,747
JPMorgan Chase Bank NA
8.75%	11/28/21	2		2,201,000		2,189,555
						5,339,739
Basic Industry — 0.78%
Barrick Gold Finance Co.
5.80%	11/15/34			667,000		608,104
Noranda Aluminium Holding Corp. (PIK)
10.49%	11/15/14	3		2,500,000		1,850,000
						2,458,104
Communications — 0.56%
Dex Media West LLC/Dex Media Finance Co. B
8.50%	08/15/10			1,000,000		977,500
Level 3 Financing, Inc.
8.75%	02/15/17			750,000		573,750
9.25%	11/01/14			250,000		205,625
						1,756,875
Electric — 0.73%
Power Contract Financing LLC
6.26%	02/01/10	3		2,245,095		2,304,053
Energy — 0.54%
Southern Union Co.
7.20%	11/01/66	2		2,005,000		1,694,225
Finance — 6.35%
Bear Stearns Cos., Inc. (The) (MTN)
3.18%	02/23/10	2		3,575,000		3,402,714
Capital One Capital III
7.69%	08/15/36			800,000		627,816
Citigroup Capital XXI
8.30%	12/21/57	2		930,000		918,892
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		4,823,000		4,431,556
4.79%	01/05/09	2		575,000		534,353
Countrywide Home Loans, Inc. L (MTN)
3.25%	05/21/08			700,000		686,512
4.00%	03/22/11			1,300,000		1,160,187
Ford Motor Credit Co. LLC
7.13%	01/13/12	2		4,000,000		2,961,372
GMAC LLC
5.28%	12/01/14	2		4,356,000		2,786,500
7.25%	03/02/11			2,000,000		1,575,690
Residential Capital LLC
3.49%	06/09/08	2		1,200,000		954,000
						20,039,592
Insurance — 0.69%
Fairfax Financial Holdings Ltd.
6.88%	04/15/08			1,250,000		1,246,875
Farmers Exchange Capital
7.05%	07/15/28	3		1,000,000		920,555
						2,167,430
Real Estate Investment Trust (REIT) — 0.73%
HCP, Inc.
7.07%	06/08/15			500,000		479,534
HRPT Properties Trust
3.40%	03/16/11	2		750,000		725,729
Shurgard Storage Centers LLC
7.75%	02/22/11			1,000,000		1,099,897
						2,305,160
Secured Assets — 0.28%
Ingress I Ltd. B-A
7.38%	03/30/40	3		1,000,000		875,004
Transportation — 6.75%
American Airlines, Inc. 1999-1 A1
6.86%	10/15/10	2		19,821		19,796
American Airlines, Inc. 2001-2 A1
6.98%	04/01/11	2,6		65,495		64,758
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		7,354,914		6,840,070
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,650,000		2,279,000
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	6,7		11,070,000		10,921,381
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,200,000		1,176,000
United Air Lines, Inc. 2001-1 A1
6.07%	03/01/13	6		2,434		2,443
						21,303,448
Total Corporates (Cost $66,131,520)						61,842,630

84

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BANK LOANS — 9.88%*
Automotive — 0.67%
General Motors Corp. Strip II
7.75%	07/20/11	8	$	2,500,000	$	2,121,250
Basic Industry — 0.31%
Murray Bank Loan 3rd Lien
17.40%	07/28/11	4,8		1,064,794		984,935
Communications — 1.89%
Cebridge 2nd Lien (PIK)
9.24%	05/05/14	8		4,849,723		3,666,390
Charter Communications, Inc. Term Loan 3rd Lien
5.17%	09/06/14	8		3,000,000		2,304,999
						5,971,389
Consumer Discretionary — 0.96%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
7.04%	12/31/08	8		1,523,810		1,370,612
Tribune 1st Lien Term Loan B
5.54%	05/24/14	8		2,482,494		1,669,921
						3,040,533
Electric — 1.09%
Boston Generating LLC 1st Lien
4.89%	12/19/13	8		2,970,776		2,610,037
TPF Generation Holdings LLC 2nd Lien
6.95%	12/15/14	8		1,000,000		810,000
						3,420,037
Finance — 0.69%
Kelson 2nd Lien (PIK)
9.20%	03/01/14	8		2,455,229		2,160,602
Health Care — 1.65%
Carestream Health, Inc. Term Loan
9.40%	10/30/13	8		2,250,000		1,620,000
HCA Term Loan A
4.70%	11/18/12	8		3,915,592		3,567,519
						5,187,519
Insurance — 0.27%
Asurion Corp. Term Loan
6.10%	07/13/14	8		1,000,000		851,667
Transportation — 2.35%
Northwest Air Dip
4.87%	05/21/12	8		4,960,000		3,997,760
Swift Transportation Co., Inc. Term Loan
3.71%	05/06/14	8		3,267,442		2,464,586
United Air Lines, Inc.
4.67%	02/01/14	8		1,218,943		955,346
						7,417,692
Total Bank Loans (Cost $37,860,059)						31,155,624
MORTGAGE-BACKED — 33.89%**
Commercial Mortgage-Backed — 7.29%
Bayview Commercial Asset Trust 2007-1 A1
2.82%	03/25/37	2,3		5,266,883		4,397,849
Bear Stearns Commercial Mortgage Securities 2006-PW14 AM
5.24%	12/11/38	7		10,000,000		8,941,202
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	2,7		9,655,000		9,192,663
FMAC Loan Receivables Trust 1998-CA A2
6.66%	01/15/12	3,6		35,896		34,079
Structured Asset Securities Corp. 1996-CFL H
7.75%	02/25/28	3		421,062		421,742
						22,987,535
Non-Agency Mortgage-Backed — 17.79%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4		1,044,967		282,141
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		11,473		3,098
Citigroup Commercial Mortgage Trust 2006-C4 AM
5.72%	03/15/49	2,7		5,400,000		5,048,624
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	4,9,†		2,915,468		65,621
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	4		42,029,401		1,993,412
Countrywide Alternative Loan Trust 2006-OA9 X1P (IO)
2.89%	07/20/46	4		80,257,247		3,917,436
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.27%	04/19/47	2		1,836,045		1,377,033
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,9		6,705,548		140,397
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.58%	10/19/35	2,4		28,778,962		278,796
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
3.88%	03/19/37	2,4		26,617,395		1,106,285
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
4.24%	05/19/47	2,4		53,846,921		2,153,877
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	4,9		1,686,267		23,713
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
3.00%	08/25/34	2		434,473		384,764

85

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust 2006-C3 AM
5.71%	03/15/39	2,7	$	5,145,000	$	4,813,853
Lehman XS Net Interest Margin Notes 2006-2N A1
7.00%	02/27/46	3		82,122		81,712
Lehman XS Trust 2007-12N 1A3A
2.80%	07/25/47	2		10,120,000		6,143,359
Morgan Stanley Capital I 2006-HQ9 AM
5.77%	07/12/44	2		10,000,000		9,297,440
Morgan Stanley Capital I 2006-IQ12 AM
5.37%	12/15/43			11,000,000		9,870,127
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,4		2,849,942		357,272
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.00%	08/25/46	4		256,561,919		1,844,039
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
0.00%	02/25/47	4		216,111,600		2,633,860
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
0.00%	03/25/47	4		216,025,065		2,632,806
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO)
0.00%	04/25/47	4		135,452,131		1,481,508
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			161,128		167,162
						56,098,335
U.S. Agency Mortgage-Backed — 8.81%
Fannie Mae 1993-80 S
7.67%	05/25/23	2		23,905		25,021
Fannie Mae 1997-44 SB (IO)
3.03%	06/25/08	2		27,858		63
Fannie Mae 2000-45 SA (IO)
5.18%	12/18/30	2,7		3,850,713		374,170
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		2,779		2,950
Fannie Mae 2003-107 SQ (IO)
5.05%	05/25/33	2		598,099		35,527
Fannie Mae 2003-124 (IO)
5.25%	03/25/31			271,358		29,953
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		54,776		59,014
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32	7		2,524,549		312,354
Fannie Mae 2003-67 IH (IO)
5.00%	01/25/25			614,012		8,717
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			131,573		8,402
Fannie Mae 2005-47 SL
7.50%	06/25/35	2,7		1,635,597		1,592,962
Fannie Mae 2007-34 SB (IO)
3.51%	04/25/37	2,4,7,†		56,689,824		4,047,122
Fannie Mae Pool 555312
6.61%	01/01/33	2,7		454,901		461,750
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		18,513
Freddie Mac 2451 SP
10.74%	05/15/09	2		9,054		9,558
Freddie Mac 2527 TI (IO)
6.00%	02/15/32	7		799,922		90,264
Freddie Mac 2561 BX (IO)
5.00%	05/15/17	7		1,822,536		155,187
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			1,245,907		17,830
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			704,892		45,077
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			194,376		34,039
Freddie Mac 2657 LX (IO)
6.00%	05/15/18	7		1,074,436		95,635
Freddie Mac 2692 EI (IO)
5.50%	08/15/33			261,436		30,553
Freddie Mac 2764 CT
7.50%	03/15/34	2,7		484,270		462,986
Freddie Mac 2764 SH
7.50%	03/15/34	2,7		300,955		296,533
Freddie Mac 2827 JT
8.50%	12/15/32	2,7		169,585		172,622
Freddie Mac 2856 ST
7.00%	09/15/23	2,7		737,961		750,285
Freddie Mac 3242 SA (IO)
3.53%	11/15/36	2,7,†		62,416,844		4,787,411
Freddie Mac 3260 AS (IO)
3.56%	01/15/37	2,7		74,675,774		5,361,407
Freddie Mac 3280 SI (IO)
3.62%	02/15/37	2,7		46,720,231		4,211,310
Freddie Mac 3289 SD (IO)
3.30%	03/15/37	2,7		25,414,775		1,629,911
Freddie Mac 3430 IA
0.82%	07/15/12	†		111,094,932		1,959,437
Ginnie Mae 2001-31 SJ
19.13%	02/20/31	2,7		121,031		145,878
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			201,787		22,057
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			174,155		3,613
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			241,977		3,320

86

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2004-8 SE
9.09%	11/26/23	2,7	$	526,672	$	543,069
						27,804,500
Total Mortgage-Backed (Cost $100,222,067)						106,890,370
Total Bonds – 102.98% (Cost $384,362,723)						324,829,004
			Shares
PREFERRED STOCK — 1.75%
Automotive — 0.04%
Corts Trust for Ford Motor Co.
8.00%	07/16/31			700		10,024
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31			8,100		127,494
						137,518
Banking — 0.54%
Bank of America Corp.
7.25%				16,500		1,703,312
Communications — 0.37%
Corts Trust for US West Communications
7.50%	11/15/43			7,118		154,816
Preferred Plus Trust Citizens Communications Co.
8.38%				12,100		286,891
Preferred Plus Trust Qwest Capital Funding
7.75%	02/15/31			9,650		189,430
8.00%	02/15/31			19,500		381,030
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30			6,100		153,537
						1,165,704
Finance — 0.80%
Citigroup, Inc.
6.50%				52,000		2,468,960
Terwin Mortgage Trust 2005-13SL P
0.00%3,4,10				1,000		13,500
Terwin Mortgage Trust 2005-P1 A
0.00%4,8				570		256
Terwin Mortgage Trust 2006-1 2P
0.00%3,4,10				1,000		8,000
Terwin Mortgage Trust 2006-4SL P
0.00%				410		13,120
						2,503,836
Total Preferred Stock (Cost $9,248,050)						5,510,370
			Contracts
PUT OPTIONS PURCHASED — 0.26%
Banking — 0.04%
Bank of America Corp., Put Strike $30, expires 01/16/10				248	$	114,080
Finance — 0.09%
Citigroup, Inc., Put Strike $15, expires 01/16/10				1,040		279,760
U.S. Government — 0.13%
U.S. Long Bond (CBT), Put Strike $117, expires 05/23/08				135		213,047
U.S. Long Bond (CBT), Put Strike $118, expires 05/23/08				45		89,297
U.S. Long Bond (CBT), Put Strike $120, expires 05/23/08				40		121,875
						424,219
Total Put Options Purchased (Cost $972,525)						818,059
CALL OPTIONS PURCHASED — 0.06%
Futures — 0.06%
90 Day Euro Futures, Call Strike $97.375, expires 09/15/08				130		190,125
Total Call Options Purchased (Cost $118,950)						190,125
			Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.53%
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		1,072,195
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		606,257
Total Purchased Swaptions (Cost $435,830)						1,678,452

87

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS — 21.85%
Commercial Paper — 2.40%
BNP Paribas Finance, Inc.
2.59%11	04/25/08		$	3,055,000		$	3,049,735
General Electric Capital Corp.
2.32%11	04/25/08			1,520,000			1,517,649
Rabobank USA Finance Corp.
2.63%11	04/28/08			3,020,000			3,014,066
							7,581,450
Money Market Fund — 0.36%
Goldman Sachs Group, Inc. (The), 2.77%				1,147,500			1,147,500
U.S. Agency Discount Notes — 16.02%
Fannie Mae
2.65%11	04/23/08			560,000			559,095
2.69%11	04/23/08	7		1,900,000			1,896,929
2.70%11	04/21/08			625,000			624,078
2.70%11	04/23/08			535,000			534,135
2.76%11	04/23/08			445,000			444,281
2.81%11	04/23/08			2,625,000			2,620,757
2.86%11	04/23/08			4,205,000			4,198,204
2.86%11	04/23/08			520,000			519,160
2.90%11	04/23/08			1,800,000			1,797,091
2.92%11	04/23/08	7		95,000			94,846
2.95%11	04/23/08			9,090,000			9,075,308
Federal Home Loan Bank
2.08%11	04/18/08			1,795,000			1,793,237
2.12%11	04/18/08			380,000			379,620
2.13%11	04/23/08			9,085,000			9,073,202
2.14%11	04/23/08			2,003,000			2,000,380
2.16%11	04/25/08			9,805,000			9,790,881
2.18%11	04/28/08			348,000			347,434
2.65%11	04/23/08			305,000			304,508
2.71%11	04/25/08			550,000			549,010
2.75%11	04/23/08			940,000			938,426
2.77%11	04/23/08			345,000			344,442
2.77%11	04/23/08			450,000			449,241
2.78%11	04/23/08			870,000			868,594
Freddie Mac
1.80%11	04/25/08	7		12,000			11,986
1.83%11	04/25/08	7		57,000			56,930
2.08%11	06/23/08	7		1,212,000			1,206,425
2.09%11	06/23/08	7		44,000			43,798
							50,521,998
U.S. Treasury Bills — 3.07%
0.69%11	05/22/08			1,300,000			1,298,723
0.91%11	05/22/08			700,000			699,691
1.21%11	05/22/08			7,690,000			7,676,818
							9,675,232
Total Short Term Investments (Cost $68,922,551)							68,926,180
Total Investments – 127.43% (Cost $464,060,629)1						$	401,952,190
Liabilities in Excess of Other Assets – (27.43)%							(86,528,728	)
NET ASSETS – 100.00%						$	315,423,462
Issues	Shares		Proceeds			Value
SECURITIES SOLD SHORT
AMR Corp.	(3,565	)	$	(28,671	)	$	(32,156	)
Continental Airlines, Inc., Cl. B	(33,041	)		(403,761	)		(635,379	)
Total Securities Sold Short			$	(432,432	)	$	(667,535	)
Counterparty	Maturity Date		Principal Amount			Net Closing Amount
REVERSE REPURCHASE AGREEMENTS — 0.00%
Barclays Bank PLC, 2.55%	04/23/08		$	(9,469,000	)	$	(9,469,000	)
Barclays Bank PLC, 2.80%	04/17/08			(6,490,000	)		(6,490,000	)
Credit Suisse (USA), Inc., 3.75%	04/17/08			(6,488,000	)		(6,488,000	)
JPMorgan & Co., 2.95%	04/29/08			(15,294,000	)		(15,294,000	)
Morgan Stanley & Co., Inc., 3.04%	04/23/08			(5,000,000	)		(5,000,000	)
Total Reverse Repurchase Agreements			$	(42,741,000	)	$	(42,741,000	)
Issues	Contracts		Premiums Received			Value
CALL OPTIONS WRITTEN
1 Year Euro Dollar Futures, Call Strike $98.375, expires 09/12/08	(130	)	$	(59,800	)	$	(35,750	)
90 Day Euro Dollar Futures, Call Strike $97.875, expires 09/15/08	(130	)		(54,925	)		(83,688	)
U.S. Long Bond (CBT), Call Strike $123, expires 05/23/08	(135	)		(135,410	)		(122,344	)
U.S. Long Bond (CBT), Call Strike $125, expires 05/23/08	(85	)		(83,722	)		(46,484	)
U.S. Long Bond (CBT), Call Strike $126, expires 05/23/08	(40	)		(39,913	)		(16,250	)
Total Call Options Written			$	(373,770	)	$	(304,516	)
WRITTEN PUT OPTIONS
90 Day Euro Dollar Futures, Written Strike $96.75, expires 09/15/08	(130	)	$	(41,925	)	$	(2,438	)
U.S. Long Bond (CBT), Put Opt Strike $115, expires 05/23/08	(135	)		(286,582	)		(126,562	)

88

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Contracts			Premiums Received			Value
WRITTEN PUT OPTIONS (continued)
U.S. Long Bond (CBT), Put Opt Strike $116, expires 05/23/08		(85	)	$	(180,988	)	$	(104,922	)
Total Written Put Options				$	(509,495	)	$	(233,922	)
	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 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.	$	(20,000,000	)	$	(435,815	)	$	(1,410,086	)
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.		(4,040,000	)		—			(15,554	)
Total Written Swaptions				$	(435,815	)	$	(1,425,640	)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
105	Euro Dollar Ninety Day, June 2008	$	(652,800	)
105	Euro Dollar Ninety Day, September 2008		(686,475	)
105	Euro Dollar Ninety Day, December 2008		(668,600	)
105	Euro Dollar Ninety Day, March 2009		(665,313	)
129	Euro Dollar Ninety Day, June 2009		(611,039	)
130	Euro Dollar Ninety Day, September 2009		(567,300	)
130	Euro Dollar Ninety Day, December 2009		(505,813	)
31	Euro Dollar Ninety Day, March 2010		(124,885	)
62	U.S. Treasury Two Year Note, June 2008		14,335
95	U.S. Treasury Five Year Note, June 2008		(188,057	)
118	U.S. Treasury Ten Year Note, June 2008		(514,133	)
41	U.S. Treasury Thirty Year Note, June 2008		(147,694	)
	Net unrealized depreciation	$	(5,317,774	)

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 8.75% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.	03/09/17	$	8,000	$	1,453,132
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		1,342,039
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		426,844
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		372,502
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		111,194
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		1,067,697
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		49,440		(6,246,416	)
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		1,280,363
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		(20,710	)
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		(13,838	)

89

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

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	$	1,670	$	(16,577	)
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		13,028
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		(116,614	)
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		23,812
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		(22,597	)
				$	(346,141	)
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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		736,172
The Fund pays 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: Bank of America Corp.	06/20/12		1,000		98,151
The Fund pays 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		2,449		244,008
The Fund pays 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		8,816		878,430
The Fund pays 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		2,449		244,008
The Fund pays 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		69,468
The Fund pays 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		125,752
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley	09/20/12		2,500		123,667
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc.	09/20/12		2,500		188,355
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc.	12/20/12		500		22,954
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston	12/20/12		400		(76	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		45		(176	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		100		(503	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12		155		(549	)
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc.	12/20/12		700		20,305
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley	12/20/12		1,050		25,872

90

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG	12/20/12	$	700	$	16,637
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc.	12/20/12		1,025		45,382
The Fund pays 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 Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		1,250		56,410
The Fund pays 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		66,278
The Fund pays 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		80,447
The Fund pays 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		3,960		421,915
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		700		29,485
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		475		18,483
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		300		7,073
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston	12/20/12		375		9,170
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc.	12/20/12		1,000		21,822
The Fund pays 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 Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.	12/20/12		750		16,366
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		1,000		77,361
The Fund pays 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 Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG	12/20/12		1,300		96,916
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		1,100		57,128
The Fund pays 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 Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley	12/20/12		750		35,683
The Fund pays 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 Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG	12/20/12		2,000		188,821
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		300		(6,603	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13		300		(6,605	)
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		825		(41,233	)
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		800		(27,925	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		3,000		203,209

91

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: CS First Boston	06/20/14	$	5,000	$	417,239
The Fund pays 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 D.R. Horton, Inc. 5.38%, due 06/15/12. Counterparty: CS First Boston	06/20/14		4,000		335,898
The Fund pays 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 Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: UBS AG	09/20/14		5,000		185,586
The Fund pays 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 the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	09/20/14		2,500		144,324
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		4,560		386,937
The Fund pays 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 Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG	12/20/14		2,500		46,153
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Bear Stearns Cos., Inc.	12/20/14		2,500		205,275
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		600		(21,164	)
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		800		(24,864	)
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.	01/25/35		223		77,291
The Fund pays 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		2,486,280
The Fund pays 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		621,570
				$	9,002,583
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives 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 Ford Motor Credit Co. LLC 7.00%, due 10/01/13. Counterparty: UBS AG	06/20/08		5,000		(58,769	)
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston	03/20/09		1,200		7
The Fund receives 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		(302,992	)
The Fund receives 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		(1,090,772	)
The Fund receives 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		(302,992	)
The Fund receives 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		79,266
The Fund receives 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		(400,541	)
The Fund receives 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		(2,571,633	)
The Fund receives 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		(471,924	)

92

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(392,609	)
The Fund receives 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		(392,609	)
The Fund receives 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		(1,899,594	)
The Fund receives 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		(3,965,750	)
The Fund receives 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		(1,475,501	)
The Fund receives 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		(590,994	)
The Fund receives 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 Chase & Co.	01/25/38		495		(392,674	)
The Fund receives 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 Chase & Co.	01/25/38		3,400		(2,697,152	)
The Fund receives 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		(1,019,365	)
The Fund receives 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		(1,717,451	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		3,070		(1,481,500	)
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		13,000		(6,265,220	)
The Fund receives 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		1,320		(1,160,544	)
The Fund receives 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		(158,256	)
The Fund receives 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		(1,470,500	)
The Fund receives 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		165		(143,996	)
The Fund receives 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		(844,843	)
The Fund receives 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		(2,529,030	)
The Fund receives 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		(2,824,084	)
The Fund receives 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 Chase & Co.	01/25/38		3,350		(2,824,083	)
The Fund receives 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		(632,258	)
The Fund receives 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		(2,541,675	)

93

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(1,053,762	)
The Fund receives 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 Chase & Co.	01/25/38		130		(103,126	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		1,740		(1,008,904	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		870		(504,452	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		12,500		(7,247,875	)
The Fund receives a fixed rate equal to 1.47% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the CMBX-NA-AJ-3, due 12/13/39. Counterparty: Lehman Brothers Holdings, Inc.	12/13/49		2,650		(481,915	)
				$	(52,940,072	)

Notes:

¹ Cost for Federal income tax purposes is $464,526,723 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	12,864,757
Gross unrealized depreciation		(75,439,290	)
Net unrealized (depreciation)	$	(62,574,533	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

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 March 31, 2008 was $83,223,557 representing 26.38% of total net assets.

⁴ Illiquid security.

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

⁶ Expected maturity date.

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

⁸ 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, 6.10%, 07/13/14	$	991,029	$	851,667	0.27	%
12/19/06	Boston Generating LLC 1st Lien, 0.00%, 12/19/13		2,970,776		2,610,038	0.83	%
04/12/07	Carestream Health, Inc. Term Loan, 9.40%, 10/30/13		2,267,963		1,620,000	0.51	%
06/30/06	Cebridge 2nd Lien (PIK), 9.24%, 05/05/14		4,999,873		3,666,390	1.16	%
03/05/07	Charter Communications, Inc. Term Loan 3rd Lien, 5.17%, 09/06/14		3,001,100		2,304,999	0.73	%
09/26/07	General Motors Corp. Strip II, 0.50%, 07/20/11		2,306,250		2,121,250	0.67	%
10/10/07	HCA Term Loan A, 4.70%, 11/18/12		3,807,641		3,567,519	1.13	%
03/07/07	Kelson - 2nd Lien (PIK), 9.20%, 03/01/14		2,428,347		2,160,601	0.69	%
08/09/06	Murray Bank Loan 3rd Lien, 24.24%, 07/28/11		1,064,794		984,935	0.31	%
08/21/06	Northwest Air Dip, 4.87%, 05/21/12		4,941,184		3,997,760	1.27	%
05/14/07	Swift Transportation Co., Inc. Term Loan, 3.71%, 05/06/14		2,938,163		2,464,586	0.78	%
12/21/06	TPF Generation Holdings LLC - 2nd Lien, 0.00%, 12/15/14		1,000,000		810,000	0.26	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.04%, 12/31/08		1,523,810		1,370,612	0.44	%
05/17/07	Tribune 1st Lien Term Loan B, 5.54%, 05/24/14		2,400,187		1,669,921	0.53	%
02/01/07	United Air Lines, Inc., 4.69%, 02/01/14		1,218,943		955,346	0.30	%
		$	37,860,060	$	31,155,624	9.88	%

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

¹⁰ Non-income producing security.

¹¹ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $15,778,581 which is 5.00% 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 maturity date less than the stated maturity date.

(CBT): Chicago Board of Trade

(DIP): Defaulted interest payment

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium term note

(PIK): Paid in kind

(STEP): Step coupon bond

94

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Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
BONDS – 87.85%
ASSET-BACKED SECURITIES — 28.47%**
ACE Securities Corp. 2004-FM1 B1A
7.85%	09/25/33	2	$	17,188	$	3,709
ACE Securities Corp. 2006-SL1 A
2.76%	09/25/35	2		409,110		271,252
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
3.18%	12/28/40	2,3		2,400,000		2,111,999
Bear Stearns Asset Backed Securities Trust 2000-2 M1 (STEP)
8.04%	08/25/30			100,723		100,648
Carrington Mortgage Loan Trust 2006-NC1 A2
2.76%	01/25/36	2		2,200,000		2,160,822
Carrington Mortgage Loan Trust 2007-FRE1 A1
2.72%	02/25/37	2		557,753		525,881
Castle Trust 2003-1AW A1
3.57%	05/15/27	2,3		680,151		680,070
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A
2.75%	08/25/36	2		2,483,000		2,077,186
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3		581,911		529,539
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			1,063,199		1,059,900
Countrywide Asset-Backed Certificates 2004-1 M2
3.15%	03/25/34	2		2,250,000		1,740,086
Countrywide Asset-Backed Certificates 2005-13 AF1
2.73%	04/25/36	2		10,056		10,041
Countrywide Asset-Backed Certificates 2006-25 2A1
2.67%	06/25/37	2		1,704,355		1,652,517
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			1,208,042		1,197,471
Embarcadero Aircraft Securitization Trust 2000-A A1
3.30%	08/15/25	2,3		815,599		685,103
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 M1
3.00%	03/25/35	2		1,450,000		1,354,813
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF2 A2A
2.65%	03/25/37	2		1,084,027		1,040,154
Genesis Funding Ltd. 2006-1A G1
2.80%	12/19/32	2,3		1,750,000		1,400,000
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
3.04%	06/25/30	2		595,134		525,225
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)
6.05%	04/25/27			102,113		101,797
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			74,094		51,312
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			158,351		123,883
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			89,753		75,549
Greenpoint Mortgage Funding Trust 2005-HE2 A1
3.02%	04/15/30	2		7,868		7,865
GSAMP Trust 2004-FM1 M2
4.70%	11/25/33	2		748,016		613,965
GSAMP Trust 2006-HE8 A2A
2.67%	01/25/37	2		572,428		549,889
GSAMP Trust 2007-FM1 A2A
2.67%	12/25/36	2		1,261,779		1,211,323
GSAMP Trust 2007-HE2 A2A
3.26%	03/25/47	2		918,367		854,473
Home Equity Asset Trust 2005-6 1A2
2.88%	12/25/35	2		1,631,675		1,481,517
Home Equity Asset Trust 2007-3 2A2
2.78%	08/25/37	2		2,400,000		2,114,749
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
3.72%	05/25/33	2		750,433		653,954
IndyMac Residential Asset Backed Trust 2006-A A2
2.75%	03/25/36	2		1,687,753		1,647,963
Inman Square Funding Ltd. 2005-2A I
5.10%	10/06/40	2,3		2,395,515		1,485,219
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)
8.00%	09/25/23			46,408		46,261
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
2.72%	04/25/37	2		1,500,783		1,455,291
Morgan Stanley ABS Capital I 2007-NC3 A2A
2.66%	05/25/37	2		1,929,007		1,865,409
Oakwood Mortgage Investors, Inc. 2002-B A1
3.05%	05/15/13	2		138,972		117,464
Option One Mortgage Loan Trust 2003-2 A2
2.90%	04/25/33	2		126,593		115,708
Renaissance Home Equity Loan Trust 2006-4 AV1
2.67%	01/25/37	2		2,343,346		2,260,230
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		335,454		140,791

95

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Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Residential Asset Mortgage Products, Inc. 2006-RZ5 A1B
2.70%	08/25/46	2	$	1,776,445	$	1,693,379
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1
2.71%	03/25/36	2		573,097		532,026
Resmae Mortgage Loan Trust 2006-1 A1B
2.87%	02/25/36	2,3		423,059		373,493
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.73%	05/25/37	2,†		2,275,146		2,132,449
SG Mortgage Securities Trust 2006-FRE1 A1B
2.87%	02/25/36	2		328,230		294,818
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3		669,696		659,650
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	3		243,243		239,594
Structured Asset Receivables Trust 2005-1
4.43%	01/21/15	3		2,342,303		2,248,611
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		15,392,178		169,304
Terwin Mortgage Trust 2005-7SL A1
2.87%	07/25/35	2,3		118,460		114,666
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			319,749		309,866
Total Asset-Backed Securities (Cost $49,254,654)						44,872,552
CORPORATES — 23.91%*
Banking — 1.34%
BAC Capital Trust XV
3.88%	06/01/56	2		275,000		205,155
Banponce Trust I A
8.33%	02/01/27			900,000		882,932
Chase Capital II B
3.74%	02/01/27	2		750,000		598,387
JPMorgan Chase Bank NA
7.59%	03/28/22	2		445,000		433,118
						2,119,592
Communications — 0.50%
Sprint Capital Corp.
6.13%	11/15/08			800,000		794,117
Consumer Products — 0.64%
SABMiller PLC
3.00%	07/01/09	2,3		1,000,000		1,003,200
Electric — 5.41%
Centerpoint Energy, Inc. B
5.88%	06/01/08			850,000		846,813
Dominion Resources, Inc./Virginia
3.25%	11/14/08	2		1,750,000		1,741,226
Entergy Gulf States, Inc.
3.74%	12/08/08	2,3		1,500,000		1,504,130
Florida Power Corp.
3.47%	11/14/08	2		1,430,000		1,429,133
Midwest Generation LLC
8.30%	07/02/09			1,052,174		1,073,217
Power Contract Financing LLC
6.26%	02/01/10	3		399,627		410,121
Reliant Energy, Inc.
6.75%	12/15/14			700,000		715,750
TECO Energy, Inc.
5.24%	05/01/10	2		800,000		808,000
						8,528,390
Finance — 8.30%
Bear Stearns Cos., Inc. (The)
3.46%	04/29/08	2		850,000		846,989
Bear Stearns Cos., Inc. (The) (MTN)
3.16%	08/21/09	2		800,000		733,613
3.18%	02/23/10	2		275,000		261,747
Countrywide Financial Corp. (MTN)
2.82%	03/24/09	2		1,400,000		1,286,373
4.79%	01/05/09	2		600,000		557,586
Ford Motor Credit Co. LLC
5.83%	01/15/10	2		2,060,000		1,723,670
7.13%	01/13/12	2		766,000		567,103
GMAC LLC
5.28%	12/01/14	2		2,228,000		1,425,234
Lehman Brothers Holdings, Inc. (MTN)
3.17%	11/16/09	2		1,200,000		1,145,596
4.17%	07/18/11	2		620,000		551,351
MBNA Capital A
8.28%	12/01/26			800,000		832,563
MBNA Capital B
4.04%	02/01/27	2		761,000		636,934
Merrill Lynch & Co., Inc. C (MTN)
3.40%	02/06/09	2		900,000		878,042
Residential Capital LLC
3.49%	06/09/08	2		248,000		197,160
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2		1,458,000		1,446,628
						13,090,589
Health Care — 0.77%
Cardinal Health, Inc.
2.96%	10/02/09	2		1,245,000		1,212,523
Real Estate Investment Trust (REIT) — 4.46%
BRE Properties, Inc.
5.75%	09/01/09			325,000		325,873
Developers Diversified Realty Corp.
3.88%	01/30/09			1,300,000		1,280,802

96

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
First Industrial LP
5.25%	06/15/09		$	405,000	$	403,934
HCP, Inc. (MTN)
3.25%	09/15/08	2		2,650,000		2,598,034
HRPT Properties Trust
3.40%	03/16/11	2		604,000		584,453
Mack-Cali Realty LP
7.25%	03/15/09			500,000		506,236
Simon Property Group LP
4.88%	08/15/10			1,000,000		998,617
7.13%	02/09/09			320,000		326,325
						7,024,274
Transportation — 2.49%
Air 2 US A
8.03%	10/01/19	3,5		242,317		220,509
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		912,692		848,803
Continental Airlines, Inc. 1998-3
6.32%	11/01/08			454,000		449,460
Delta Air Lines, Inc. 2001-1 A1
6.62%	03/18/11	5		1,680,547		1,648,593
United Air Lines, Inc. 2000-2 A1
7.03%	10/01/10	5		422,036		417,815
United Air Lines, Inc. 2001-1
6.20%	09/01/08	5		340,218		339,368
						3,924,548
Total Corporates (Cost $39,359,775)						37,697,233
BANK LOANS — 4.11%*
Automotive — 0.62%
Delphi Dip 2nd Lien
6.75%	07/01/08	6		1,000,000		984,286
Communications — 0.48%
Cebridge 2nd Lien
7.74%	05/05/14			1,000,000		763,125
Consumer Discretionary — 0.42%
Tribune 1st Lien Term Loan B
5.54%	05/24/14	6		992,500		667,634
Finance — 0.60%
Kelson 1st Lien
5.95%	03/16/13	6		1,000,000		942,083
Health Care — 1.13%
Community Health Systems, Inc. 1st Lien
5.34%	07/25/14	6		953,428		880,912
HCA Term Loan A
4.70%	11/18/12	6		978,898		891,880
						1,772,792
Transportation — 0.86%
Northwest Air Dip
4.87%	05/21/12	6		990,000		797,940
United Air Lines, Inc.
4.67%	02/01/14	6		712,222		558,204
						1,356,144
Total Bank Loans
(Cost $7,591,905)						6,486,064
MORTGAGE-BACKED — 31.36%**
Commercial Mortgage-Backed — 7.44%
Bayview Commercial Asset Trust 2004-1 A
2.96%	04/25/34	2,3		1,673,469		1,422,448
Bayview Commercial Asset Trust 2004-2 A
3.03%	08/25/34	2,3		1,543,666		1,385,805
Bayview Commercial Asset Trust 2005-2A A1
2.91%	08/25/35	2,3		828,427		772,780
Bayview Commercial Asset Trust 2007-1 A1
2.82%	03/25/37	2,3		2,809,004		2,345,520
Bayview Commercial Asset Trust 2007-3 A1
2.84%	07/25/37	2,3,†		3,084,253		2,832,576
Commercial Mortgage Asset Trust 1999-C1 A3
6.64%	01/17/32			1,783,112		1,802,392
CS First Boston Mortgage Securities Corp. 2000-C1 A2
7.55%	04/15/62			1,137,641		1,173,243
						11,734,764
Non-Agency Mortgage-Backed — 17.21%
Alliance Bancorp Trust 2007-OA1 A1
2.84%	07/25/37	2		3,028,436		2,315,662
American Home Mortgage Assets 2006-2 2A1
2.79%	09/25/46	2		1,971,160		1,548,954
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2,†		2,387,686		2,377,423
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.88%	01/25/35	2,3		890,564		789,847
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.78%	05/25/36	2,3		997,647		801,260
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		774,473		706,093
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.85%	05/25/35	4,7,†		1,900,261		42,771
Countrywide Alternative Loan Trust 2005-27 2A1
5.59%	08/25/35	2		1,152,987		807,091

97

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2005-59 1A1
3.45%	11/20/35	2	$	1,258,457	$	997,987
Countrywide Alternative Loan Trust 2005-61 2A1
2.88%	12/25/35	2		603,561		495,507
Countrywide Alternative Loan Trust 2005-72 A1
2.87%	01/25/36	2		990,903		772,757
Countrywide Alternative Loan Trust 2006-OA12 A2
2.75%	09/20/46	2		2,276,099		1,638,373
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
2.79%	05/20/46	4		6,067,255		287,764
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
5.27%	04/19/47	2		2,448,060		1,836,045
Harborview Mortgage Loan Trust 2005-1 X (IO)
1.45%	03/19/35	4,7		2,429,837		50,875
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.99%	12/25/34	2		312,409		282,213
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
0.68%	12/25/34	4,7		1,067,562		15,013
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
3.03%	09/25/34	2		220,926		203,381
Lehman XS Trust 2007-12N 1A3A
2.80%	07/25/47	2		4,000,000		2,428,205
MASTR Seasoned Securities Trust 2004-1 4A1
7.03%	10/25/32	2		326,646		307,852
MASTR Seasoned Securities Trust 2005-1 4A1
5.97%	10/25/32	2		739,747		705,860
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			74,700		74,727
Residential Accredit Loans, Inc. 2005-QO3 A1
3.00%	10/25/45	2		2,470,627		1,929,443
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			354,894		362,457
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.89%	12/27/35	2		2,217,216		1,835,619
Structured Asset Securities Corp. 2002-5A 6A
6.29%	04/25/32	2		25,452		25,298
Summit Mortgage Trust 2000-1 B5
6.67%	12/28/12	2,3		164		167
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,4		1,481,970		185,781
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
5.10%	04/25/47	2		1,803,355		1,217,181
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.57%	01/25/33	2		116,006		112,923
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A
5.27%	05/25/46	2		2,126,238		1,594,679
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			370,594		384,473
						27,133,681
U.S. Agency Mortgage-Backed — 6.71%
Fannie Mae 1993-95 SB
15.05%	06/25/08	2		159		162
Fannie Mae 1997-91 SL (IO)
7.50%	11/25/23	2		415,057		76,652
Fannie Mae 2001-60 JZ
6.00%	03/25/31			8,562		8,561
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			615,744		76,184
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		238,827
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			387,900		12,967
Fannie Mae 2006-B2 AB
5.50%	05/25/14			2,521,376		2,568,305
Fannie Mae 2007-83 PA
6.00%	03/25/29			1,909,515		1,947,684
Fannie Mae G-36 ZB
7.00%	11/25/21			4,477		4,800
Fannie Mae Pool 646884
5.50%	05/01/32	2		376,564		385,815
Fannie Mae Pool 887714
6.07%	08/01/36	2		2,121,052		2,171,967
Freddie Mac 2 L
8.00%	11/25/22			37,892		40,297
Freddie Mac 2080 PJ
6.50%	08/15/28			577,252		606,020
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			53,437		346
Freddie Mac Non Gold Pool 1L0113
7.24%	05/01/35	2		607,244		622,808
Freddie Mac Non Gold Pool 788498
6.65%	02/01/30	2		542,336		553,443
Freddie Mac Non Gold Pool 847288
5.08%	05/01/34	2		871,899		890,986
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			289,103		3,966

98

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Maturity Date			Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 80968
5.63%		07/20/34	2	$	359,513	$	361,402
							10,571,192
Total Mortgage-Backed (Cost $56,897,768)
							49,439,637
Total Bonds – 87.85% (Cost $153,104,102)
							138,495,486
				Shares
PREFERRED STOCK — 0.27%
Finance — 0.27%
Woodbourne Pass-Through Trust
4.16%		12/31/49	2,3		6		423,750
Total Preferred Stock (Cost $600,000)
							423,750
				Shares/ Principal Amount
SHORT TERM INVESTMENTS — 17.36%
Commercial Paper — 1.31%
BNP Paribas Finance, Inc.
2.59%8		04/25/08		$	1,545,000		1,542,337
National Rural Utilities Co.
2.32%8		04/23/08			530,000		529,249
							2,071,586
Money Market Fund — 0.07%
Goldman Sachs Group, Inc. (The), 2.77%					106,000		106,000
U.S. Agency Discount Notes — 15.34%
Fannie Mae
2.76%8		04/23/08			65,000		64,895
2.83%8		04/23/08			2,140,000		2,136,541
2.86%8		04/23/08			3,870,000		3,863,745
2.92%8		04/23/08			45,000		44,927
2.92%8		04/23/08			12,505,000		12,484,789
Federal Home Loan Bank
1.88%8		04/16/08			995,000		994,221
2.08%8		04/18/08			1,970,000		1,968,065
2.13%8		04/23/08			1,980,000		1,977,429
2.41%8		04/09/08			645,000		644,655
							24,179,267
U.S. Treasury Bills — 0.64%
1.21%8		05/22/08			1,005,000		1,003,277
Total Short Term Investments (Cost $27,357,486)
							27,360,130
Total Investments – 105.48% (Cost $181,061,588)1
							166,279,366
Liabilities in Excess of Other Assets – (5.48)%							(8,635,855	)
Net Assets – 100.00%						$	157,643,511
Issues	Notional Amount (000’s)			Premiums Received		Value
WRITTEN SWAPTIONS
Option to enter into a 5-year Swaption Straddle for a 5 year Interest Rate Swap at the then-current at-the-money fixed rate for a fixed-for-floating Interest Rate Swap with an effective date of July 10, 2013; Option Expiration Date of July 7, 2008. Counterparty: Merrill Lynch & Co., Inc.	$	(1,960,000	)	$	—	$	(7,546	)

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
3	S&P 500 Index E-Mini, June 2008	$	2,694
358	S&P 500 Index, June 2008		(1,349,773	)
	Net unrealized depreciation	$	(1,347,079	)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: TOTAL RETURN
The Fund pays a floating rate based on 1-month USD LIBOR minus 4 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: JPMorgan Chase & Co.	10/03/08	$	46,576	$	(270,373	)
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		46,563
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		37,732

99

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
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	$	(3,844	)
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		(2,584	)
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		(3,077	)
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		3,908
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		9,525
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		(7,796	)
				$	80,427
SWAPS: CREDIT DEFAULT (PURCHASED)
The Fund pays 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		33,534
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		300		12,636
The Fund pays 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 Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		200		7,782
The Fund pays 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		172,995
The Fund pays 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 Chase & Co.	12/20/12		550		21,898
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston	12/20/12		325		(62	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		100		(391	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc.	12/20/12		240		(1,208	)
The Fund pays 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 Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	12/20/12		390		(1,381	)
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc.	12/20/12		220		1,663
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		500		4,749
The Fund pays 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 Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc.	12/20/12		310		2,344
The Fund pays 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 Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co.	12/20/12		550		16,247
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/13		80		(2,792	)
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston	03/20/13		425		(21,241	)

100

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley	03/20/13	$	75	$	(1,651	)
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG	03/20/13		75		(1,651	)
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc.	06/20/13		100		(216	)
The Fund pays 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 Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG	03/20/14		450		30,481
The Fund pays 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 Gannett Co., Inc. 6.38%, due 04/01/12. Counterparty: Lehman Brothers Holdings, Inc.	06/20/14		750		63,948
The Fund pays 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 Holdings 6.625%, due 01/18/12. Counterparty: Barclays Capital, Inc.	12/20/14		525		44,549
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG	03/20/15		80		(2,486	)
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc.	03/20/15		150		(5,291	)
The Fund pays 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		559,413
The Fund pays 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		281,778
				$	1,215,647
SWAPS: CREDIT DEFAULT (WRITTEN)
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston	03/20/09	$	550	$	3
The Fund receives 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		(178,459	)
The Fund receives 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		(543,579	)
The Fund receives 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		(198,288	)
The Fund receives 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		(178,459	)
The Fund receives 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		(178,459	)
The Fund receives 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		(305,363	)
The Fund receives 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		(138,801	)
The Fund receives 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		(892,294	)
The Fund receives 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		(333,178	)
The Fund receives 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		(265,749	)
The Fund receives 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		(765,515	)

101

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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 Chase & Co.	01/25/38	$	225	$	(178,488	)
The Fund receives 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 Chase & Co.	01/25/38		785		(622,725	)
The Fund receives 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		(122,958	)
The Fund receives 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		(122,958	)
The Fund receives 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		(122,958	)
The Fund receives 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		(610,826	)
The Fund receives 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		(230,051	)
The Fund receives 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		(230,051	)
The Fund receives 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		(131,880	)
The Fund receives 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		(48,356	)
The Fund receives 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		(331,626	)
The Fund receives 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		120		(104,724	)
The Fund receives 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		90		(79,128	)
The Fund receives 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		(426,412	)
The Fund receives 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		(193,424	)
The Fund receives 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		(182,454	)
The Fund receives 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		(122,958	)
The Fund receives 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		(569,032	)
The Fund receives 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		(168,602	)
The Fund receives 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 Chase & Co.	01/25/38		200		(168,602	)
The Fund receives 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		(286,623	)
The Fund receives 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		(168,602	)
The Fund receives 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		(75,871	)

102

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2008

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
The Fund receives 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	$	(178,488	)
The Fund receives 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 Chase & Co.	01/25/38		450		(356,976	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06- 2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		865		(501,553	)
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06- 2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		435		(252,226	)
				$	(10,566,693	)

Notes:

¹ Cost for Federal income tax purposes is $181,063,520 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	1,166,994
Gross unrealized depreciation		(15,951,148	)
Net unrealized (depreciation)	$	(14,784,154	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2008.

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 March 31, 2008 was $24,935,933 representing 15.82% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows:

Date of Purchase	Security	Amortized Cost		Value		% of TNA
06/28/07	Community Health Systems, Inc. 1st Lien, 5.34%, 07/25/14	$	953,428	$	880,911	0.56	%
01/08/07	Delphi Dip 2nd Lien, 6.75%, 07/01/08		1,000,000		984,286	0.62	%
10/22/07	HCA Term Loan A, 4.70%, 11/18/12		950,321		891,880	0.57	%
03/07/07	Kelson 1st Lien, 5.95%, 03/16/13		1,000,000		942,083	0.60	%
08/21/06	Northwest Air Dip, 4.87%, 05/21/12		990,000		797,940	0.51	%
05/17/07	Tribune 1st Lien Term Loan B, 5.54%, 05/24/14		985,934		667,634	0.42	%
02/01/07	United Air Lines, Inc., 4.69%, 02/01/14		712,222		558,204	0.35	%
		$	6,591,905	$	5,722,938	3.63	%

⁷ Zero coupon bond. The rate shown is the effective yield as of March 31, 2008.

⁸ Represents annualized yield at date of purchase.

† Fair valued security. The aggregate value of fair valued securities is $7,695,314 which is 4.88% 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 maturity date less than the stated maturity date.

(DIP): Defaulted interest payment

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

103

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2008

	Ultra Short Bond Fund			Low Duration Bond Fund
Assets:
Investments, at value (Cost $276,497,791, $2,155,696,960, $163,262,550, $6,311,392,046, $114,192,786, $464,060,629, and $181,061,588, respectively) (Note 2)	$	258,159,664		$	2,014,726,336
Cash and cash equivalents (Note 2)		26,152			349,131
Cash on deposit with brokers for securities sold short and written option contracts (Note 3)		—			—
Dividends and interest receivable		1,163,609			13,025,740
Due from Adviser (Note 6)		10,991			131,158
Receivable for securities sold		1,309,949			2,407,256
Receivable for capital stock sold		105,671			8,989,815
Receivable for daily variation margin on futures contracts (Note 3)		—			48,120
Other assets		29,207			43,953
Total Assets		260,805,243			2,039,721,509
Liabilities:
Securities sold short (Proceeds $0, $0, $0, $0, $0, $432,432, and $0, respectively) (Note 3)		—			—
Swap contracts, at value (Premiums received $4,600,760, $53,837,692, $3,384,670, $136,907,914, $1,657,506, $33,394,473, and $4,416,806, respectively) (Note 3)		4,763,638			76,258,252
Written option contracts, at value (Premiums received $0, $1,394,624, $87,163, $13,356,350, $249,252, $1,319,080, and $0, respectively) (Note 3)		12,320			4,589,121
Reverse repurchase agreements (Proceeds $0, $0, $0, $0, $0, $42,741,000, and $0, respectively) (Note 3)		—			—
Payable for securities purchased		—			36,590,503
Payable for capital stock redeemed		2,362,499			11,837,984
Payable for daily variation margin on futures contracts (Note 3)		13,865			—
Distributions payable		21,978			355,436
Interest payable (Note 3)		—			—
Due to Adviser (Note 6)		74,923			494,732
Accrued trustees fees		14,679			80,915
Accrued 12b-1 expenses		21,301			215,363
Accrued other expenses		88,990			443,594
Total liabilities		7,374,193			130,865,900
Net assets	$	253,431,050		$	1,908,855,609
Class M Shares:
Net assets (Applicable to 28,656,966, 148,991,161, 1,498,025, 359,790,611, 4,249,866, 4,948,984, and 23,491,720, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	133,050,650		$	1,313,260,773
Net asset value, offering and redemption price per Class M share	$	4.64		$	8.81
Class I Shares:
Net assets (Applicable to 25,920,710, 67,542,055, 13,639,813, 226,886,418, 6,547,588, 30,705,222, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	120,380,400		$	595,594,836
Net asset value, offering and redemption price per Class I share	$	4.64		$	8.82
Net Assets Consist of:
Capital paid-in (Note 8)	$	283,987,942		$	2,085,511,859
Accumulated undistributed net investment income/(loss)		(1,262	)		1
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		(11,556,877	)		(10,143,514	)
Net unrealized appreciation/(depreciation) on investments		(18,338,127	)		(140,970,624	)
Net unrealized depreciation on futures contracts, securities sold short, swap contracts and written options		(660,626	)		(25,542,113	)
	$	253,431,050		$	1,908,855,609

See accompanying notes to financial statements.

104

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2008

Intermediate Bond Fund			Total Return Bond Fund			High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
$	163,747,721		$	6,228,445,064		$	105,284,681		$	401,952,190		$	166,279,366
	32,968			1,571,635			1,307,088			500,366			83,800
	—			—			3,767			1,465,859			—
	1,116,129			37,719,688			2,282,827			4,202,402			772,374
	7,891			434,511			8,900			—			2,262
	2,033			3,062,201			678,437			3,629,505			53,021
	6,500			31,872,392			831,253			49,769			172,621
	12,567			890,888			—			—			280,675
	20,827			92,177			21,799			21,909			15,988
	164,946,636			6,304,088,556			110,418,752			411,822,000			167,660,107
	—			—			—			667,535			—
	5,455,050			204,422,202			2,870,223			44,283,630			9,540,992
	287,715			13,446,883			146,350			1,964,078			7,546
	—			—			—			42,741,000			—
	5,067,813			303,011,260			2,338,438			5,954,530			374,322
	15,926			16,145,102			42,138			294,355			46,073
	—			—			—			231,198			—
	99,348			3,290,348			23,878			16,796			—
	—			—			—			34,140			—
	45,226			1,630,785			63,921			85,257			—
	6,172			185,888			1,903			15,014			—
	2,642			589,155			8,453			9,555			—
	67,088			997,940			69,078			101,450			47,663
	11,046,980			543,719,563			5,564,382			96,398,538			10,016,596
$	153,899,656		$	5,760,368,993		$	104,854,370		$	315,423,462		$	157,643,511
$	15,231,298		$	3,533,010,149		$	41,265,720		$	43,784,685		$	157,643,511
$	10.17		$	9.82		$	9.71		$	8.85		$	6.71
$	138,668,358		$	2,227,358,844		$	63,588,650		$	271,638,777			N/A
$	10.17		$	9.82		$	9.71		$	8.85			N/A
$	153,692,053		$	5,820,919,413		$	117,006,434		$	408,746,172		$	200,666,866
	(99,348	)		99			(23,878	)		2,738,619			(1,836	)
	2,044,688			87,951,233			(2,110,266	)		(16,865,858	)		(21,760,485	)
	485,171			(82,946,982	)		(8,908,105	)		(62,108,439	)		(14,782,222	)
	(2,222,908	)		(65,554,770	)		(1,109,815	)		(17,087,032	)		(6,478,812	)
$	153,899,656		$	5,760,368,993		$	104,854,370		$	315,423,462		$	157,643,511

See accompanying notes to financial statements.

105

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2008

	Ultra Short Bond Fund			Low Duration Bond Fund
Investment Income:
Interest	$	17,297,582		$	106,605,069
Dividends		193,623			1,371,007
Total investment income		17,491,205			107,976,076
Expenses:
Investment advisory fees (Note 6)		762,668			5,599,975
Administration Fees		153,551			697,234
Custodian fees		33,892			81,650
Distribution (12b-1) fees		248,595			2,301,060
Interest expense		345			2,008
Insurance expense		8,542			59,116
Miscellaneous expenses		53,146			315,352
Professional fees		25,491			62,467
Registration and filing fees		44,645			59,421
Reports to shareholders		22,922			157,254
Transfer agent fees		40,460			374,944
Trustees’ fees and expenses		7,341			46,301
Total operating expenses		1,401,598			9,756,782
Expenses waived and reimbursed (Note 6)		(115,430	)		(173,746	)
Net expenses		1,286,168			9,583,036
Net investment income		16,205,037			98,393,040
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Securities Sold Short, Swap Contracts and Written Options:
Net realized gain/(loss) on:
Investments		(10,624,965	)		11,582,131
Futures contracts		(770,680	)		3,946,695
Swap contracts		1,020,084			8,406,625
Written options		(830,532	)		(6,809,527	)
Net change in unrealized appreciation/depreciation on:
Investments		(17,662,091	)		(129,940,260	)
Futures contracts		(477,119	)		(695,391	)
Securities sold short		—			—
Swap contracts		(135,442	)		(22,861,840	)
Written options		(12,320	)		(3,390,909	)
Net change in realized and unrealized gain/(loss) on investments, futures contracts, securities sold short, swap contracts and written options		(29,493,065	)		(139,762,476	)
Net Increase/(Decrease) in Net Assets from Operations	$	(13,288,028	)	$	(41,369,436	)

See accompanying notes to financial statements.

106

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2008

Intermediate Bond Fund			Total Return Bond Fund			High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
$	6,591,022		$	211,692,056		$	8,867,981		$	42,345,443		$	10,978,512
	61,380			2,192,172			187,851			609,513			165,083
	6,652,402			213,884,228			9,055,832			42,954,956			11,143,595
	430,250			13,494,172			506,017			3,116,813			11,259
	88,493			1,368,926			81,562			212,109			96,634
	19,443			141,370			14,513			35,675			21,160
	28,373			4,459,754			100,352			201,751			—
	135			47,680			274			2,547,951			1,206
	3,822			86,490			3,101			14,089			6,547
	28,119			505,825			18,449			45,666			26,518
	29,931			100,065			39,906			40,197			28,184
	23,214			222,486			25,095			27,875			10,909
	8,546			324,538			8,135			43,539			14,805
	36,457			759,379			37,867			39,254			19,553
	3,483			116,368			2,587			9,527			4,507
	700,266			21,627,053			837,858			6,334,446			241,282
	(130,872	)		(155,516	)		(180,613	)		—			—
	569,394			21,471,537			657,245			6,334,446			241,282
	6,083,008			192,412,691			8,398,587			36,620,510			10,902,313
	2,705,433			151,198,687			(3,683,652	)		(12,329,646	)		347,264
	657,662			25,993,678			82,196			(5,857,340	)		(14,023,890	)
	268,458			17,508,462			1,487,945			6,957,869			(3,547,863	)
	(385,419	)		(8,395,901	)		57,604			(2,264,209	)		(663,412	)
	85,956			(92,109,230	)		(8,850,671	)		(62,280,904	)		(14,181,076	)
	(3,123	)		411,546			(910	)		(5,064,342	)		(631,143	)
	—			—			—			643,381			—
	(2,106,303	)		(68,634,429	)		(1,263,815	)		(10,951,269	)		(4,955,941	)
	(214,315	)		(415,632	)		102,902			(808,688	)		(7,546	)
	1,008,349			25,557,181			(12,068,401	)		(91,955,148	)		(37,663,607	)
$	7,091,357		$	217,969,872		$	(3,669,814	)	$	(55,334,638	)	$	(26,761,294	)

See accompanying notes to financial statements.

107

Metropolitan West Funds

Statement of Cash Flows

For the Year Ended March 31, 2008

	Strategic Income Fund
Cash flows from operating activities
Net decrease in net assets resulting from operations	$	(55,334,638	)
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Purchases of securities		(434,867,169	)
Proceeds from securities sold		312,503,599
Proceeds from paydowns		68,157,706
Proceeds from maturities		9,976,871
Net realized loss on investments in securities, swaps, futures, securities sold short and options		13,493,326
Net change in unrealized depreciation on investments in securities, swaps, futures, securities sold short and options		78,461,822
Amortization on investment securities		18,500,422
Decrease in interest and dividends receivable		546,254
Increase in cash on deposit with brokers		(45,767	)
Decrease in variation margin for futures		277,786
Decrease in receivable for securities sold		2,394,695
Decrease in receivable for capital stock sold		72,797,486
Increase in other assets		(21,909	)
Decrease in payable for securities purchased		(16,261,250	)
Increase in payable for capital stock redeemed		104,066
Decrease in due from advisor		(298,177	)
Increase in accrued expenses payble		6,988
Increase in accrued trustees fees payble		3,226
Decrease in accrued 12b-1 expenses payable		(11,196	)
Increase in distributions payable		4,283
Decrease in interest payable		(28,775	)
Net cash provided by operating activities		70,359,649
Cash flows from financing activities
Issuance of shares		139,206,889
Redemptions of shares		(236,748,999	)
Net increase in reverse repurchase agreements		23,637,000
Net cash used by financing activities		(73,905,110	)
Net decrease in cash		(3,545,461	)
Cash at beginning of year		4,045,827
Cash at end of year	$	500,366
Supplemental disclosure of cash flow information:
Cash paid during the year for interest expense	$	2,576,726

See accompanying notes to financial statements.

108

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Metropolitan West Funds

Statements of Changes in Net Assets

	Ultra Short Bond Fund
	Year Ended March 31, 2008			Year Ended March 31, 2007
Operations:
Net investment income	$	16,205,037		$	13,079,601
Net realized gain/(loss) on investments		(10,624,965	)		(255,421	)
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		(581,128	)		211,482
Net change in unrealized appreciation/depreciation on investments		(17,662,091	)		1,930,102
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		(624,881	)		(135,761	)
Net increase/(decrease) in net assets resulting from operations		(13,288,028	)		14,830,003
Distributions to Shareholders from:
Net investment income:
Class M		(8,187,325	)		(8,013,326	)
Class I		(8,144,065	)		(5,133,732	)
Net realized gains:
Class M		—			(2,514	)
Class I		—			(1,894	)
Net decrease in net assets resulting from distributions		(16,331,390	)		(13,151,466	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		168,017,534			139,557,671
Shares issued in reinvestment of distributions		8,046,926			7,836,998
Cost of shares redeemed		(147,129,009	)		(229,131,090	)
Total Class M capital share transactions		28,935,451			(81,736,421	)
Class I:
Proceeds from sale of shares		136,486,559			250,394,394
Shares issued in reinvestment of distributions		6,828,930			2,691,730
Cost of shares redeemed		(134,285,273	)		(195,001,485	)
Total Class I capital share transactions		9,030,216			58,084,639
Net increase/(decrease) in net assets resulting from capital share transactions		37,965,667			(23,651,782	)
Net increase/(decrease) in net assets		8,346,249			(21,973,245	)
Redemption fees (Note 8)		150			1,271
Net assets at beginning of year		245,084,651			267,056,625
Net assets at end of year (including undistributed net investment income of $(1,262), $(52,727), $1, $188,538, $(99,348), $15,129, $99 and $365,598, respectively)	$	253,431,050		$	245,084,651

See accompanying notes to financial statements.

110

Metropolitan West Funds

Statements of Changes in Net Assets

Low Duration Bond Fund						Intermediate Bond Fund						Total Return Bond Fund
Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2008			Year Ended March 31, 2007
$	98,393,040		$	60,169,304		$	6,083,008		$	4,713,025		$	192,412,691		$	98,484,262
	11,582,131			13,761,197			2,705,433			(409,581	)		151,198,687			14,059,156
	5,543,793			(888,042	)		540,701			53,922			35,106,239			(1,738,756	)
	(129,940,260	)		9,960,866			85,956			1,947,494			(92,109,230	)		52,008,483
	(26,948,140	)		1,867,501			(2,323,741	)		108,590			(68,638,515	)		4,541,229
	(41,369,436	)		84,870,826			7,091,357			6,413,450			217,969,872			167,354,374
	(64,286,549	)		(28,572,632	)		(684,080	)		(488,851	)		(105,872,657	)		(38,441,959	)
	(35,942,182	)		(31,430,762	)		(5,769,630	)		(4,212,020	)		(90,097,721	)		(59,564,011	)
	—			—			—			—			—			—
	—			—			—			—			—			—
	(100,228,731	)		(60,003,394	)		(6,453,710	)		(4,700,871	)		(195,970,378	)		(98,005,970	)
	1,032,515,319			730,491,687			3,478,316			3,563,673			2,825,655,165			758,624,178
	62,713,569			27,893,511			676,439			484,612			90,804,858			35,446,156
	(631,930,289	)		(160,335,787	)		(1,477,532	)		(844,840	)		(601,511,509	)		(171,644,135	)
	463,298,599			598,049,411			2,677,223			3,203,445			2,314,948,514			622,426,199
	290,410,058			530,077,633			57,195,447			41,164,393			1,135,607,294			392,824,386
	32,670,111			26,033,747			4,617,661			3,495,245			81,458,888			54,625,411
	(392,389,475	)		(342,044,272	)		(18,521,649	)		(7,782,954	)		(294,396,413	)		(159,923,588	)
	(69,309,306	)		214,067,108			43,291,459			36,876,684			922,669,769			287,526,209
	393,989,293			812,116,519			45,968,682			40,080,129			3,237,618,283			909,952,408
	252,391,126			836,983,951			46,606,329			41,792,708			3,259,617,777			979,300,812
	98			—			(287	)		—			303			—
	1,656,464,385			819,480,434			107,293,614			65,500,906			2,500,750,913			1,521,450,101
$	1,908,855,609		$	1,656,464,385		$	153,899,656		$	107,293,614		$	5,760,368,993		$	2,500,750,913

See accompanying notes to financial statements.

111

Metropolitan West Funds

Statements of Changes in Net Assets

	High Yield Bond Fund
	Year Ended March 31, 2008			Year Ended March 31, 2007
Operations:
Net investment income	$	8,398,587		$	6,067,687
Net realized gain/(loss) on investments		(3,683,652	)		456,338
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		1,627,745			(339,836	)
Net change in unrealized appreciation/depreciation on investments		(8,850,671	)		117,412
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		(1,161,823	)		180,540
Net increase/(decrease) in net assets resulting from operations		(3,669,814	)		6,482,141
Distributions to Shareholders from:
Net investment income:
Class M		(3,256,924	)		(2,957,830	)
Class I		(5,113,040	)		(3,033,213	)
Net realized gains:
Class M		—			—
Class I		—			—
Return of capital:
Class M		(399,476	)		—
Class I		(627,139	)		—
Net decrease in net assets resulting from distributions		(9,396,579	)		(5,991,043	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		21,218,659			10,673,831
Shares issued in reinvestment of distributions		3,426,678			2,765,311
Cost of shares redeemed		(16,374,281	)		(16,597,207	)
Total Class M capital share transactions		8,271,056			(3,158,065	)
Class I:
Proceeds from sale of shares		37,358,010			19,037,818
Shares issued in reinvestment of distributions		5,447,678			3,032,053
Cost of shares redeemed		(21,994,552	)		(3,720,472	)
Total Class I capital share transactions		20,811,136			18,349,399
Net increase in net assets resulting from capital share transactions		29,082,192			15,191,334
Net increase in net assets		16,015,799			15,682,432
Redemption fees (Note 8)		40,370			19,997
Net assets at beginning of year		88,798,201			73,095,772
Net assets at end of year (including undistributed net investment income of $(23,878), $11,872, $2,738,619, $(136,219), $(1,836) and $1,226,124, respectively)	$	104,854,370		$	88,798,201

See accompanying notes to financial statements.

112

Metropolitan West Funds

Statements of Changes in Net Assets

Strategic Income Fund						AlphaTrak 500 Fund
Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2008			Year Ended March 31, 2007
$	36,620,510		$	13,070,399		$	10,902,313		$	8,695,607
	(12,329,646	)		461,893			347,264			1,389,732
	(1,163,680	)		(1,591,433	)		(18,235,165	)		11,896,478
	(62,280,904	)		1,153,360			(14,181,076	)		768,870
	(16,180,918	)		366,080			(5,594,630	)		(1,749,046	)
	(55,334,638	)		13,460,299			(26,761,294	)		21,001,641
	(6,007,595	)		(4,800,234	)		(10,314,613	)		(12,434,156	)
	(29,937,163	)		(8,075,594	)		—			—
	—			—			(5,349,411	)		—
	—			—			—			—
	—			—			(2,180,831	)		—
	—			—			—			—
	(35,944,758	)		(12,875,828	)		(17,844,855	)		(12,434,156	)
	26,935,440			34,961,152			43,103,283			43,700,278
	5,872,231			4,710,230			16,366,233			10,812,966
	(73,246,028	)		(27,105,378	)		(40,915,845	)		(35,802,772	)
	(40,438,357	)		12,566,004			18,553,671			18,710,472
	112,271,449			285,787,217			—			—
	29,886,741			8,016,247			—			—
	(163,502,971	)		(45,864,562	)		—			—
	(21,344,781	)		247,938,902			—			—
	(61,783,138	)		260,504,906			18,553,671			18,710,472
	(153,062,534	)		261,089,377			(26,052,478	)		27,277,957
	188			189			—			—
	468,485,808			207,396,242			183,695,989			156,418,032
$	315,423,462		$	468,485,808		$	157,643,511		$	183,695,989

See accompanying notes to financial statements.

113

Metropolitan West Funds

Financial Highlights

	Ultra Short Bond Fund*
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	5.12		$	5.09		$	5.11		$	5.16		$	5.00
Income from Investment Operations:
Net investment income		0.26	#		0.24	#		0.20	#		0.17	#		0.16	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.48	)		0.03			(0.02	)		(0.05	)		0.16
Total from Investment Operations		(0.22	)		0.27			0.18			0.12			0.32
Less Distributions:
From net investment income		(0.26	)		(0.24	)		(0.20	)		(0.17	)		(0.16	)
From net capital gains		—			(0.00	)1		(0.00	)1		(0.00	)1		(0.00	)1
Total Distributions		(0.26	)		(0.24	)		(0.20	)		(0.17	)		(0.16	)
Net Asset Value, End of Period	$	4.64		$	5.12		$	5.09		$	5.11		$	5.16
Total Return		(4.48	)%		5.52	%		3.62	%		2.31	%		6.48	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	133,051		$	119,957		$	200,563		$	175,983		$	145,581
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.54	%		0.57	%		0.57	%		0.62	%		0.76	%3
After expense waivers and reimbursements		0.50	%		0.50	%		0.50	%		0.50	%		0.50	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.23	%		4.74	%		3.93	%		3.25	%4		3.62	%3
Portfolio Turnover Rate		30	%		81	%		20	%		25	%		6	%2

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

¹ Distributions were less than $0.005.

² Non-Annualized.

³ Annualized.

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

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

See accompanying notes to financial statements.

114

Metropolitan West Funds

Financial Highlights

	Ultra Short Bond Fund*
	Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Period Ended March 31, 2005
Net Asset Value, Beginning of Period	$	5.12		$	5.09		$	5.11		$	5.15
Income from Investment Operations:
Net investment income		0.27	#		0.25	#		0.21	#		0.12	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.48	)		0.03			(0.02	)		(0.04	)
Total from Investment Operations		(0.21	)		0.28			0.19			0.08
Less Distributions:
From net investment income		(0.27	)		(0.25	)		(0.21	)		(0.12	)
From net capital gains		—			(0.00	)1		(0.00	)1		(0.00	)1
Total Distributions		(0.27	)		(0.25	)		(0.21	)		(0.12	)
Net Asset Value, End of Period	$	4.64		$	5.12		$	5.09		$	5.11
Total Return		(4.32	)%		5.69	%		3.79	%		1.52	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	120,380		$	125,128		$	66,493		$	49,851
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.38	%		0.40	%		0.41	%		0.49	%3
After expense waivers and reimbursements		0.34	%		0.34	%		0.34	%		0.34	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.40	%		4.94	%		4.10	%		3.43	%3,4
Portfolio Turnover Rate		30	%		81	%		20	%		25	%2

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

¹ Distributions were less than $0.005.

² Non-Annualized.

³ Annualized.

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

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

See accompanying notes to financial statements.

115

Metropolitan West Funds

Financial Highlights

	Low Duration Bond Fund
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	9.49		$	9.32		$	9.39		$	9.55		$	9.36
Income from Investment Operations:
Net investment income		0.48	#		0.45	#		0.38	#		0.35	#		0.42	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.67	)		0.16			(0.07	)		(0.16	)		0.20
Total from Investment Operations		(0.19	)		0.61			0.31			0.19			0.62
Less Distributions:
From net investment income		(0.49	)		(0.44	)		(0.38	)		(0.35	)		(0.43	)
Total Distributions		(0.49	)		(0.44	)		(0.38	)		(0.35	)		(0.43	)
Net Asset Value, End of Year	$	8.81		$	9.49		$	9.32		$	9.39		$	9.55
Total Return		(2.11	)%		6.74	%		3.38	%		2.02	%		6.81	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,313,261		$	944,867		$	334,038		$	325,137		$	335,686
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.59	%		0.60	%		0.60	%		0.62	%		0.64	%
After expense waivers and reimbursements		0.58	%		0.58	%		0.58	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.21	%		4.78	%		4.01	%		3.75	%		4.47	%
Portfolio Turnover Rate		95	%		80	%		96	%		108	%		94	%

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

See accompanying notes to financial statements.

116

Metropolitan West Funds

Financial Highlights

	Low Duration Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	9.49		$	9.32		$	9.39		$	9.55		$	9.36
Income from Investment Operations:
Net investment income		0.50	#		0.47	#		0.40	#		0.37	#		0.43	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(0.66	)		0.16			(0.07	)		(0.17	)		0.21
Total from Investment Operations		(0.16	)		0.63			0.33			0.20			0.64
Less Distributions:
From net investment income		(0.51	)		(0.46	)		(0.40	)		(0.36	)		(0.45	)
Total Distributions		(0.51	)		(0.46	)		(0.40	)		(0.36	)		(0.45	)
Net Asset Value, End of Year	$	8.82		$	9.49		$	9.32		$	9.39		$	9.55
Total Return		(1.82	)%		6.94	%		3.57	%		2.22	%		7.01	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	595,595		$	711,598		$	485,442		$	320,192		$	222,808
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.40	%		0.41	%		0.41	%		0.43	%		0.45	%
After expense waivers and reimbursements		0.39	%		0.39	%		0.39	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.39	%		4.96	%		4.23	%		3.93	%		4.58	%
Portfolio Turnover Rate		95	%		80	%		96	%		108	%		94	%

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

See accompanying notes to financial statements.

117

Metropolitan West Funds

Financial Highlights

	Intermediate Bond Fund*
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	10.14		$	9.99		$	10.28		$	10.72		$	10.88
Income from Investment Operations:
Net investment income		0.48	#		0.48	#		0.45	#		0.49	#		0.32	#
Net realized and unrealized gain/(loss) on investments, swap contracts and written options		0.06			0.15			(0.24	)		(0.31	)		0.22
Total from Investment Operations		0.54			0.63			0.21			0.18			0.54
Less Distributions:
From net investment income		(0.51	)		(0.48	)		(0.47	)		(0.49	)		(0.40	)
From net capital gains		—			—			(0.03	)		(0.13	)		(0.30	)
Total Distributions		(0.51	)		(0.48	)		(0.50	)		(0.62	)		(0.70	)
Net Asset Value, End of Period	$	10.17		$	10.14		$	9.99		$	10.28		$	10.72
Total Return		5.48	%		6.47	%		2.08	%		1.74	%		5.12	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	15,231		$	12,503		$	9,147		$	154		$	75
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.76	%		0.82	%		0.89	%		0.98	%		1.05	%2
After expense waivers and reimbursements		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%2
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursement		4.79	%		4.82	%		4.46	%		4.65	%		3.93	%2
Portfolio Turnover Rate		94	%		76	%		113	%		183	%		165	%1

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

¹ Non-Annualized.

² Annualized.

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

See accompanying notes to financial statements.

118

Metropolitan West Funds

Financial Highlights

	Intermediate Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	10.14		$	9.99		$	10.27		$	10.71		$	10.49
Income from Investment Operations:
Net investment income		0.50	#		0.51	#		0.49	#		0.51	#		0.56	#
Net realized and unrealized gain/(loss) on investments, swap contracts and written options		0.06			0.14			(0.25	)		(0.31	)		0.54
Total from Investment Operations		0.56			0.65			0.24			0.20			1.10
Less Distributions:
From net investment income		(0.53	)		(0.50	)		(0.49	)		(0.51	)		(0.59	)
From net capital gains		—			—			(0.03	)		(0.13	)		(0.29	)
Total Distributions		(0.53	)		(0.50	)		(0.52	)		(0.64	)		(0.88	)
Net Asset Value, End of Year	$	10.17		$	10.14		$	9.99		$	10.27		$	10.71
Total Return		5.70	%		6.70	%		2.39	%		1.95	%		10.86	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	138,668		$	94,791		$	56,353		$	45,821		$	39,727
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.55	%		0.61	%		0.70	%		0.77	%		0.79	%
After expense waivers reimbursements		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.97	%		5.03	%		4.77	%		4.86	%		5.23	%
Portfolio Turnover Rate		94	%		76	%		113	%		183	%		165	%

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

See accompanying notes to financial statements.

119

Metropolitan West Funds

Financial Highlights

	Total Return Bond Fund
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	9.79		$	9.46		$	9.71		$	10.06		$	9.28
Income from Investment Operations:
Net investment income		0.48	#		0.48	#		0.53	#		0.59	#		0.55	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.04			0.33			(0.24	)		(0.36	)		0.82
Total from Investment Operations		0.52			0.81			0.29			0.23			1.37
Less Distributions:
From net investment income		(0.49	)		(0.48	)		(0.54	)		(0.58	)		(0.59	)
Total Distributions		(0.49	)		(0.48	)		(0.54	)		(0.58	)		(0.59	)
Net Asset Value, End of Year	$	9.82		$	9.79		$	9.46		$	9.71		$	10.06
Total Return		5.44	%		8.80	%		3.04	%		2.42	%		15.15	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	3,533,010		$	1,206,825		$	555,873		$	463,895		$	498,299
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.66	%		0.66	%		0.67	%		0.67	%		0.67	%
After expense waivers reimbursements		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.89	%		5.01	%		5.49	%		6.02	%		5.62	%
Portfolio Turnover Rate		124	%		101	%		174	%		180	%		165	%

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

See accompanying notes to financial statements.

120

Metropolitan West Funds

Financial Highlights

	Total Return Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	9.79		$	9.46		$	9.71		$	10.06		$	9.27
Income from Investment Operations:
Net investment income		0.50	#		0.50	#		0.55	#		0.61	#		0.57	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.04			0.33			(0.24	)		(0.36	)		0.83
Total from Investment Operations		0.54			0.83			0.31			0.25			1.40
Less Distributions:
From net investment income		(0.51	)		(0.50	)		(0.56	)		(0.60	)		(0.61	)
Total Distributions		(0.51	)		(0.50	)		(0.56	)		(0.60	)		(0.61	)
Net Asset Value, End of Year	$	9.82		$	9.79		$	9.46		$	9.71		$	10.06
Total Return		5.65	%		9.03	%		3.25	%		2.64	%		15.51	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	2,227,359		$	1,293,926		$	965,577		$	839,828		$	899,263
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.44	%		0.45	%		0.46	%		0.46	%		0.46	%
After expense waivers and reimbursements		0.44	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.11	%		5.25	%		5.71	%		6.24	%		5.83	%
Portfolio Turnover Rate		124	%		101	%		174	%		180	%		165	%

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

See accompanying notes to financial statements.

121

Metropolitan West Funds

Financial Highlights

	High Yield Bond Fund
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	10.97		$	10.89		$	11.42		$	12.50		$	11.38
Income from Investment Operations:
Net investment income		0.86	#		0.87	#		0.81	#		0.99	#		0.93	#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options and securities sold short		(1.16	)		0.07			(0.20	)		(0.06	)		1.50
Total from Investment Operations		(0.30	)		0.94			0.61			0.93			2.43
Less Distributions:
From net investment income		(0.92	)		(0.86	)		(0.82	)		(0.98	)		(0.92	)
From net capital gains		—			—			(0.32	)		(1.04	)		(0.39	)
From return of capital		(0.04	)		—			—			—			—
Total Distributions		(0.96	)		(0.86	)		(1.14	)		(2.02	)		(1.31	)
Redemption fees added to paid in capital (Note 7)		0.00	1		0.00	1		0.00	1		0.01			0.00	1
Net Asset Value, End of Year	$	9.71		$	10.97		$	10.89		$	11.42		$	12.50
Total Return		(3.13	)%		9.00	%		5.59	%		7.84	%		21.99	%
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	41,266		$	38,022		$	41,037		$	25,094		$	49,917
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.98	%		1.05	%		1.10	%		1.15	%		1.09	%
After expense waivers reimbursements		0.80	%		0.80	%		0.80	%		0.80	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.15	%		8.01	%		7.25	%		8.14	%2		7.51	%2
Portfolio Turnover Rate		120	%		97	%		111	%		167	%		268	%

¹ Amount is less than $0.01.

² Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.19% and 7.78%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.48% and 8.13%, respectively.

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

See accompanying notes to financial statements.

122

Metropolitan West Funds

Financial Highlights

	High Yield Bond Fund
	Class I			Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	10.97		$	10.90		$	11.43		$	12.51		$	11.38
Income from Investment Operations:
Net investment income		0.88	#		0.90	#		0.84	#		1.02	#		0.98	#
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options and securities sold short		(1.16	)		0.06			(0.21	)		(0.06	)		1.49
Total from Investment Operations		(0.28	)		0.96			0.63			0.96			2.47
Less Distributions:
From net investment income		(0.91	)		(0.89	)		(0.84	)		(1.01	)		(0.95	)
From net capital gains		—			—			(0.32	)		(1.04	)		(0.39	)
From return of capital		(0.07	)		—			—			—			—
Total Distributions		(0.98	)		(0.89	)		(1.16	)		(2.05	)		(1.34	)
Redemption fees added to paid in capital (Note 7)		0.00	1		0.00	1		0.00	1		0.01			0.00	1
Net Asset Value, End of Year	$	9.71		$	10.97		$	10.90		$	11.43		$	12.51
Total Return		(2.88	)%		9.18	%		5.86	%		8.12	%		22.35	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	63,589		$	50,776		$	32,058		$	29,735		$	19,129
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.73	%		0.81	%		0.85	%		0.90	%		0.84	%
After expense waivers and reimbursements		0.55	%		0.55	%		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.40	%		8.31	%		7.49	%		8.44	%2		7.87	%2
Portfolio Turnover Rate		120	%		97	%		111	%		167	%		268	%

¹ Amount is less than $0.01.

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

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

See accompanying notes to financial statements.

123

Metropolitan West Funds

Financial Highlights

	Strategic Income Fund*
	Class M			Class M			Class M			Class M			Class M
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Period Ended March 31, 2004
Net Asset Value, Beginning of Period	$	11.09		$	11.07		$	11.22		$	11.27		$	10.00
Income from Investment Operations:
Net investment income		0.79	#		0.59	#		0.55	#		0.38	#1		0.29	#1
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		(2.21	)		0.01			(0.11	)		0.07			1.32
Total from Investment Operations		(1.42	)		0.60			0.44			0.45			1.61
Less Distributions:
From net investment income		(0.82	)		(0.58	)		(0.57	)		(0.39	)		(0.33	)
From net capital gains		—			—			(0.02	)		(0.11	)		(0.01	)
Total Distributions		(0.82	)		(0.58	)		(0.59	)		(0.50	)		(0.34	)
Net Asset Value, End of Period	$	8.85		$	11.09		$	11.07		$	11.22		$	11.27
Total Return		(13.44	)%		5.57	%		4.04	%		3.81	%		16.27	%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	43,785		$	99,001		$	86,288		$	102,232		$	96,802
Ratio of Expenses to Average Net Assets3
Before expense waivers and reimbursements		1.61	%		1.70	%		1.91	%		2.22	%		2.62	%4
After expense waivers and reimbursements		1.61	%		1.70	%		1.91	%		2.22	%		2.35	%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.49	%		5.35	%		4.94	%		3.40	%1		3.45	%1,4
Portfolio Turnover Rate		74	%		27	%		44	%		114	%		96	%2

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

¹ Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amounts prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were $0.28 and $0.37, respectively. The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.10% and 3.27%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.37% and 3.27%, respectively.

² Non-Annualized.

³ The Fund incurred interest expense for the fiscal years ended March 31, 2008 and March 31, 2007. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2008 and March 31, 2007 would have been 1.06% and 1.54%, respectively.

⁴ Annualized.

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

See accompanying notes to financial statements.

124

Metropolitan West Funds

Financial Highlights

	Strategic Income Fund*
	Class I			Class I			Class I			Class I
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005
Net Asset Value, Beginning of Year	$	11.08		$	11.07		$	11.22		$	11.27
Income from Investment Operations:
Net investment income		0.85	#		0.60	#		0.59	#		0.45	#1
Net realized and unrealized (loss) on investments, futures contracts, swap contracts, written options and securities sold short		(2.23	)		0.02			(0.12	)		(0.02	)
Total from Investment Operations		(1.38	)		0.62			0.47			0.43
Less Distributions:
From net investment income		(0.85	)		(0.61	)		(0.60	)		(0.37	)
From net capital gains		—			—			(0.02	)		(0.11	)
Total Distributions		(0.85	)		(0.61	)		(0.62	)		(0.48	)
Net Asset Value, End of Year	$	8.85		$	11.08		$	11.07		$	11.22
Total Return		(13.22	)%		5.73	%		4.30	%		4.07	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	271,639		$	369,484		$	121,108		$	92,667
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		1.34	%		1.63	%		1.62	%		1.98	%
After expense waivers and reimbursements		1.34	%		1.63	%		1.62	%		1.96	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.13	%		5.44	%		5.27	%		3.88	%1
Portfolio Turnover Rate		74	%		27	%		44	%		114	%

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

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

² The Fund incurred interest expense for the fiscal years ended March 31, 2008 and March 31, 2007. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2008 and March 31, 2007 would have been 0.78% and 1.47%, respectively.

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

See accompanying notes to financial statements.

125

Metropolitan West Funds

Financial Highlights

	AlphaTrak 500 Fund
	Year Ended March 31, 2008			Year Ended March 31, 2007			Year Ended March 31, 2006			Year Ended March 31, 2005			Year Ended March 31, 2004
Net Asset Value, Beginning of Year	$	8.56		$	8.14		$	7.61		$	7.33		$	5.49
Income from Investment Operations:
Net investment income		0.48	#		0.42	#		0.36	#		0.25	#1		0.22	#
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		(1.56	)		0.61			0.56			0.27			1.85
Total from Investment Operations		(1.08	)		1.03			0.92			0.52			2.07
Less Distributions:
From net investment income		(0.45	)		(0.61	)		(0.39	)		(0.24	)		(0.23	)
From net capital gains		(0.23	)		—			—			—			—
From return of capital		(0.09	)		—			—			—			—
Total Distributions		(0.77	)		(0.61	)		(0.39	)		(0.24	)		(0.23	)
Net Asset Value, End of Year	$	6.71		$	8.56		$	8.14		$	7.61		$	7.33
Total Return		(14.03	)%		12.85	%		12.33	%		7.15	%		38.16	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	157,644		$	183,696		$	156,418		$	133,325		$	107,551
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.13	%		0.73	%		0.36	%		0.52	%		0.88	%
After expense waivers and reimbursements		0.13	%		0.73	%		0.36	%		0.52	%		0.88	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.74	%		5.01	%		4.54	%		3.41	%1		3.25	%
Portfolio Turnover Rate		89	%		106	%		64	%		72	%		67	%

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

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

See accompanying notes to financial statements.

126

Notes to Financial Statements

March 31, 2008

1. SUMMARY OF ORGANIZATION

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

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

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

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

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

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

The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses strategies intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector and issue-specific dislocations. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund. On March 31, 2007, the Fund closed to purchases by most new shareholders.

The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (“S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.

127

Notes to Financial Statements (continued)

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

2. SIGNIFICANT ACCOUNTING POLICIES

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

Security Valuation:

The Funds value securities pursuant to policies and procedures approved by the Board of Trustees (the “Board’). 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) 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 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. 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 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. The fair valued securities at March 31, 2008 are referenced on each Fund’s schedule of portfolio investments by a footnote.

Securities Transactions and Investment Income:

Security transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.

Distributions to Shareholders:

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

128

Notes to Financial Statements (continued)

Federal Income Taxation:

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

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 Funds adopted the provisions of Financial Accounting Standards Board (“FASB”) Interpretation No. 48 (“FIN48”), Accounting for Uncertainty in Income Taxes, on September 29, 2007. The implementation of FIN48 resulted in no material liability for unrecognized tax benefits and no material change to the beginning net asset value of the Funds.

As of and during the period ended March 31, 2008, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.

The Funds are not subject to examination by U.S. federal tax authorities for tax years before 2004, by state tax authorities for tax years before 2003 and by tax authorities outside the U.S. for tax years before 2000.

Cash and cash equivalents:

The Funds have defined cash and cash equivalents as cash in interest bearing and non-interest bearing accounts.

Use of estimates:

In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Recent accounting pronouncements:

In September 2006, FASB issued Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“SFAS 157”). This standard establishes a single authoritative definition of fair value, sets out framework for measuring fair value and requires additional disclosure about fair value measurements. SFAS 157 applies to fair value measurements already required or permitted by existing standards. SFAS 157 is effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of SFAS 157 relate to the definition of fair value, the methods use to measure fair value, and the expanded disclosures about fair value measurements. As of March 31, 2008, the Funds do not believe the adoption of SFAS 157 will impact the amounts reported in the financial statements, however, additional disclosures will be required about the inputs used to develop the measurements reported on the statement of changes in net assets for a fiscal period.

In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”) and is effective for fiscal years beginning after November 15, 2008. SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management is currently evaluating the implications of SFAS 161. The impact on the Funds’ financial statement disclosures, if any, is currently being assessed.

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing

129

Notes to Financial Statements (continued)

through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

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

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

The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund my be unable to close out a positions.

The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.

130

Notes to Financial Statements (continued)

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year March 31, 2008, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

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

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

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

131

Notes to Financial Statements (continued)

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. The average dollar amount and average interest rate of reverse repurchase agreements in the Strategic Income Fund for the year ended March 31, 2008 was $50,684,333 and 4.82%, respectively. The maximum amount of reverse repurchase agreements opened during the year for the Strategic Income Fund was $81,452,000 which occurred in January 2008.

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

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

In addition, the Funds may enter into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counter-party risk and credit risk.

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.

The Funds also may enter into total return swap agreements. Total Return Swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The Total Return Swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The Total Return Swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total Return Swaps can be designed with any underlying asset agreed between two parties.

132

Notes to Financial Statements (continued)

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2008, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

The WorldCom Victim Trust has been authorized by U.S. District Court to distribute the first $150 million of funds to investor victims of the fraud, payable at an initial rate of 6.25% of eligible fraud loss. For the fiscal year ended March 31, 2008, Low Duration Bond Fund, Total Return Bond Fund, and AlphaTrak 500 Fund have received and recorded as realized gains $3,666,688, $7,864,634 and $377,282, respectively.

4. RISK CONSIDERATIONS

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage and asset backed securities and direct investments in securities backed by commercial and residential mortgage loans and

133

Notes to Financial Statements (continued)

other financial assets. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Though the Funds have not been adversely impacted, continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (MBS) and Asset-backed securities (ABS) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance vs. purchase vs. equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Advisor applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an alt-A pool by Bloomberg were considered to be Alt-A bonds.

134

Notes to Financial Statements (continued)

While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the bond’s ratings per Moody’s and S&P. As of March 31, 2008, the market value exposure of these positions are as follows:

			% of Total Net Assets by Credit Quality (Unaudited)
	Market Value		AAA		AA		A		BBB		BIG**
Ultra Short Bond Fund
Alt A*	$	58,238,980	22.98	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		53,110,719	17.15	%	0.86	%	2.86	%	0.00	%	0.08	%
Low Duration Bond Fund
Alt A*		240,710,224	12.61	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		330,922,118	15.43	%	0.39	%	1.14	%	0.30	%	0.07	%
Intermediate Bond Fund
Alt A*		9,873,695	6.44	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		8,837,058	4.12	%	0.60	%	0.84	%	0.00	%	0.20	%
Total Return Bond Fund
Alt A*		144,917,306	2.51	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		198,672,733	2.98	%	0.02	%	0.34	%	0.09	%	0.02	%
High Yield Bond Fund
Alt A*		864,475	0.82	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		1,699,934	1.49	%	0.01	%	0.13	%	0.00	%	0.00	%
Strategic Income Fund
Alt A*		18,807,478	5.94	%	0.00	%	0.03	%	0.00	%	0.00	%
Sub Prime*		67,913,550	11.74	%	6.77	%	1.29	%	1.23	%	0.49	%
Alpha Trak 500 Fund
Alt A*		20,085,287	12.74	%	0.00	%	0.00	%	0.00	%	0.00	%
Sub Prime*		37,641,685	19.85	%	2.97	%	0.55	%	0.00	%	0.50	%

* Unaudited

** Below Investment Grade

5. SECURITIES TRANSACTIONS

Investment transactions for the year ended March 31, 2008 excluding U.S. Government and short-term investments,

were as follows:

	Purchases		Sales
Ultra Short Bond Fund	$	216,802,626	$	78,895,934
Low Duration Bond Fund		1,401,014,669		526,218,192
Intermediate Bond Fund		78,136,396		15,599,039
Total Return Bond Fund		3,362,718,105		360,975,528
High Yield Bond Fund		149,982,012		113,650,306
Strategic Income Fund		414,470,856		334,478,336
AlphaTrak 500 Fund		168,485,300		141,013,427

Investment transactions in U.S. Government securities for the year ended March 31, 2008 were as follows:

	Purchases		Sales
Low Duration Bond Fund	$	696,647,898	$	970,180,919
Intermediate Bond Fund		80,745,581		90,935,903
Total Return Bond Fund		3,708,316,924		3,960,654,547
Strategic Income Fund		2,168,006		2,169,978
AlphaTrak 500 Fund		814,014		814,439

135

Notes to Financial Statements (continued)

Transactions in option contracts written for the year ended March 31, 2008 were as follows:

	Ultra Short Bond Fund					Low Duration Bond Fund
	Contracts		Premiums			Contracts		Premiums
Outstanding at March 31, 2007	—			—		—			—
Option written during period	4,625		$	1,283,438		57,935		$	16,394,788
Option exercised during period	—			—		—			—
Options expired during period	—			—		(11,700	)		(3,087,000	)
Options closed during period	(4,625	)		(1,283,438	)	(46,235	)		(13,307,788	)
Outstanding at March 31, 2008	—		$	—		—		$	—

	Intermediate Bond Fund					Total Return Bond Fund
	Contracts		Premiums			Contracts		Premiums
Outstanding at March 31, 2007	—			—		—			—
Option written during period	3,235		$	923,663		112,890		$	43,347,263
Option exercised during period	—			—		—			—
Options expired during period	(660	)		(173,475	)	(21,900	)		(5,739,070	)
Options closed during period	(2,575	)		(750,188	)	(83,540	)		(26,365,609	)
Outstanding at March 31, 2008	—		$	—		7,450		$	11,242,584

	High Yield Bond Fund					Strategic Income Fund
	Contracts		Premiums			Contracts		Premiums
Outstanding at March 31, 2007	—			—		1,255		$	364,232
Option written during period	285		$	333,366		23,090			7,398,269
Option exercised during period	—			—		—			—
Options expired during period	—			—		(8,725	)		(1,948,288	)
Options closed during period	(120	)		(84,114	)	(14,750	)		(4,930,948	)
Outstanding at March 31, 2008	165		$	249,252		870		$	883,265

	AlphaTrak 500 Fund
	Contracts		Premiums
Outstanding at March 31, 2007	—			—
Option written during period	4,310		$	1,233,225
Option exercised during period	—			—
Options expired during period	(600	)		(204,750	)
Options closed during period	(3,710	)		(1,028,475	)
Outstanding at March 31, 2008	—		$	—

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three month performance period), depending on whether, and to what

136

Notes to Financial Statements (continued)

extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 0.34% resulting in $11,259 of total management fees for the year ended March 31, 2008. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 Month U.S. Treasury Bill Index plus 2.00% over the same period. Under this agreement, the basic fee was decreased by 0.52% resulting in $3,116,813 of total management fees for the year ended March 31, 2008.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses as described in the Prospectus, are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year. Investment advisory fees and related voluntary expense limitations for the period ended March 31, 2008, were as follows:

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

At March 31, 2008, the balance of recoupable expenses with expiration dates for the Funds were as follows:

	2009		2010		2011		Total
Ultra Short Bond Fund	$	206,505	$	178,062	$	115,430	$	499,997
Low Duration Bond Fund		177,911		224,360		173,746		576,017
Intermediate Bond Fund		147,159		158,391		130,872		436,422
Total Return Bond Fund		256,059		225,766		155,516		637,341
High Yield Bond Fund		182,919		191,390		180,613		554,922

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $12,000 and $3,000 for each meeting of the Board attended. The Trust has an unfunded, non-qualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments.

137

Notes to Financial Statements (continued)

7. SHARE MARKETING (12b-1) Plan

The Trust has a Share Marketing Plan (or “the Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to AlphaTrak 500 Fund, and Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, and the Strategic Income Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays PFPC Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2008. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

8. CAPITAL SHARE TRANSACTIONS

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

	Ultra Short Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	23,436,843		39,389,338		24,434,344		13,069,365
Shares sold	33,240,406		27,338,328		26,819,882		48,994,647
Shares issued through reinvestment of distributions	1,612,220		1,533,441		1,366,444		526,509
Shares redeemed	(29,632,503	)	(44,824,264	)	(26,699,960	)	(38,156,177	)
Net increase/(decrease) in fund shares	5,220,123		(15,952,495	)	1,486,366		11,364,979
Shares outstanding at end of year	28,656,966		23,436,843		25,920,710		24,434,344

	Low Duration Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	99,580,067		35,839,564		74,964,837		52,066,250
Shares sold	110,779,507		77,837,258		31,144,327		56,485,764
Shares issued through reinvestment of distributions	6,768,452		2,964,493		3,517,600		2,770,103
Shares redeemed	(68,136,865	)	(17,061,248	)	(42,084,709	)	(36,357,280	)
Net increase in fund shares	49,411,094		63,740,503		(7,422,782	)	22,898,587
Shares outstanding at end of year	148,991,161		99,580,067		67,542,055		74,964,837

138

Notes to Financial Statements (continued)

	Intermediate Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	1,232,679		915,337		9,346,203		5,639,107
Shares sold	344,713		353,423		5,685,279		4,135,014
Shares issued through reinvestment of distributions	67,013		48,175		457,023		347,667
Shares redeemed	(146,380	)	(84,256	)	(1,848,692	)	(775,585	)
Net increase in fund shares	265,346		317,342		4,293,610		3,707,096
Shares outstanding at end of year	1,498,025		1,232,679		13,639,813		9,346,203

	Total Return Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	123,292,094		58,748,380		132,222,930		102,076,133
Shares sold	288,640,412		78,743,672		116,343,673		41,036,687
Shares issued through reinvestment of distributions	9,270,142		3,686,907		8,321,343		5,695,087
Shares redeemed	(61,412,037	)	(17,886,865	)	(30,001,528	)	(16,584,977	)
Net increase in fund shares	236,498,517		64,543,714		94,663,488		30,146,797
Shares outstanding at end of year	359,790,611		123,292,094		226,886,418		132,222,930

	High Yield Bond Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	3,466,192		3,767,351		4,627,097		2,941,884
Shares sold	2,034,170		982,764		3,530,901		1,747,656
Shares issued through reinvestment of distributions	328,696		254,774		523,204		278,800
Shares redeemed	(1,579,192	)	(1,538,697	)	(2,133,614	)	(341,243	)
Net increase/(decrease) in fund shares	783,674		(301,159	)	1,920,491		1,685,213
Shares outstanding at end of year	4,249,866		3,466,192		6,547,588		4,627,097

139

Notes to Financial Statements (continued)

	Strategic Income Fund
	Class M		Class M		Class I		Class I
	Year Ended March 31, 2008		Year Ended March 31, 2007		Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year	8,928,918		7,793,703		33,341,918		10,939,240
Shares sold	2,532,688		3,160,897		10,299,709		25,826,388
Shares issued through reinvestment of distributions	569,585		426,174		2,924,258		725,110
Shares redeemed	(7,082,207	)	(2,451,856	)	(15,860,663	)	(4,148,820	)
Net increase/(decrease) in fund shares	(3,979,934	)	1,135,215		(2,636,696	)	22,402,678
Shares outstanding at end of year	4,948,984		8,928,918		30,705,222		33,341,918
					AlphaTrak 500 Fund
					Year Ended March 31, 2008		Year Ended March 31, 2007
Change in Fund shares:
Shares outstanding at beginning of year					21,454,339		19,223,312
Shares sold					5,098,987		5,203,453
Shares issued through reinvestment of distributions					1,974,277		1,277,757
Shares redeemed					(5,035,883	)	(4,250,183	)
Net increase in fund shares					2,037,381		2,231,027
Shares outstanding at end of year					23,491,720		21,454,339

Redemption Fee:

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

9. LINE OF CREDIT:

The High Yield Bond Fund and Strategic Income Fund may borrow money to the extent permitted under the 1940 Act, and as interpreted, modified or otherwise permitted by regulatory authority having jurisdiction, from time to time. This means that, in general, these Funds may borrow money from banks for any purpose on a secured basis in an amount up to  ¹/3 of the Fund’s total assets. These Funds may also borrow for temporary administrative purposes on an unsecured basis in an amount not to exceed 5% of the Fund’s total assets. The Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund each may borrow for temporary, emergency or investment purposes up to 5% of its total assets. This borrowing may be unsecured. The Funds have access to an unsecured line of credit up to $25,000,000 from the custodian for temporary borrowing purposes. There were no borrowings from the line of credit during the fiscal year ended March 31, 2008.

140

Notes to Financial Statements (continued)

10. FEDERAL TAX INFORMATION:

Capital Loss Carryforwards:

At March 31, 2008, the following Funds had available for Federal income tax purposes unused capital losses as follows:

Fund	Expiring in 2014		Expiring in 2015		Expiring in 2016
Ultra Short Bond Fund		—	$	171,312	$	1,489,244
Low Duration Bond Fund	$	5,831,064		—		—
High Yield Bond Fund		112,035		—		161,051
Strategic Income Fund		61,791		1,235,093		9,036,932

For the year ended March 31, 2008, the Low Duration Bond Fund, Intermediate Bond Fund, Total Return Bond Fund and AlphaTrak 500 Fund utilized net federal tax capital loss carryforwards of $18,873,533, $386,765, $90,624,360 and $1,056,073, respectively.

Tax Basis of Distributable Income:

As of March 31, 2008, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Undistributed ordinary income/(loss) (inclusive of short-term gains)	$	20,716		$	364,546		$	1,614,910		$	84,478,934
Undistributed long-term gains		—			—			861,109			17,387,853
Other temporary differences		33,095			(4,116,903	)		(104,119	)		(5,233,339	)
Accumulated capital loss carryforwards and Post-October losses		(12,065,116	)		(5,831,064	)		—			—
Net unrealized (depreciation)/appreciation		(18,523,609	)		(166,717,393	)		(2,064,949	)		(153,893,520	)
Distributions payable		(21,978	)		(355,436	)		(99,348	)		(3,290,348	)
Total accumulated earnings/(losses)	$	(30,556,892	)	$	(176,656,250	)	$	207,603		$	(60,550,420	)

	High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
Undistributed ordinary income/(loss) (inclusive of short-term capital gains)		—		$	2,755,415			—
Other temporary differences	$	(20,476	)		124,331		$	233,212
Accumulated capital loss carryforwards and Post-October losses		(1,826,195	)		(21,674,625	)		(23,340,680	)
Net unrealized (depreciation)/appreciation		(10,281,515	)		(74,511,035	)		(19,915,887	)
Distributions payable		(23,878	)		(16,796	)		—
Total accumulated earnings/(losses)	$	(12,152,064	)	$	(93,322,710	)	$	(43,023,355	)

Permanent differences incurred during the fiscal year ended March 31, 2008 resulting from differences in book and tax accounting have been reclassified at year end as follows:

Fund	Decrease Paid-in-Capital			Increase/(Decrease) Accumulated Net Investment Income/(Loss)			Increase/(Decrease) Accumulated Net Realized Gain/(Loss)
Ultra Short Bond Fund		—		$	177,818		$	(177,818	)
Low Duration Bond Fund		—			1,647,153			(1,647,153	)
Intermediate Bond Fund		—			256,225			(256,225	)
Total Return Bond Fund		—			3,192,188			(3,192,188	)
High Yield Bond Fund	$	(1,026,615	)		962,242			64,373
Strategic Income Fund		—			2,199,087			(2,199,087	)
AlphaTrak 500 Fund		(2,180,831	)		(2,035,044	)		4,215,875

141

Notes to Financial Statements (continued)

Tax Basis of Distributions to Shareholders:

	Ultra Short Bond Fund				Low Duration Bond Fund
	March 31, 2008		March 31, 2007		March 31, 2008		March 31, 2007
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	16,331,390	$	13,150,532	$	100,228,731	$	60,003,394
Net long-term capital gains		—		934		—		—
Total taxable distributions	$	16,331,390	$	13,151,466	$	100,228,731	$	60,003,394
	Intermediate Bond Fund				Total Return Bond Fund
	March 31, 2008		March 31, 2007		March 31, 2008		March 31, 2007
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	6,453,710	$	4,700,871	$	195,970,378	$	98,005,970
Net long-term capital gains		—		—		—		—
Total taxable distributions	$	6,453,710	$	4,700,871	$	195,970,378	$	98,005,970
	High Yield Bond Fund				Strategic Income Fund
	March 31, 2008		March 31, 2007		March 31, 2008		March 31, 2007
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	8,369,964	$	5,991,043	$	35,944,758	$	12,875,828
Return of Capital		1,026,615		—		—		—
Total taxable distributions	$	9,396,579	$	5,991,043	$	35,944,758	$	12,875,828

	AlphaTrak 500 Fund
	March 31, 2008		March 31, 2007
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	10,314,613	$	12,434,156
Net long-term capital gains		5,349,411		—
Return of Capital		2,180,831		—
Total taxable distributions	$	17,844,855	$	12,434,156

11. INDEMNIFICATIONS

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

142

Report of Independent Registered Public Accounting Firm

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

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of the Metropolitan West Funds (the “Trust”) comprising the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Strategic Income Fund, and the AlphaTrak 500 Fund (collectively, the “Funds”) as of March 31, 2008, and the related statements of operations and statement of cash flows for the Strategic Income Fund for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the Metropolitan West Funds as of March 31, 2008, the results of their operations and the cash flows where applicable for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods presented in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

May 29, 2008

143

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have an March 31, 2008 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2008, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2008, each portfolio is designating the following items with regard to distributions paid during the year.

	Ultra Short Bond Fund		Low Duration Bond Fund		Intermediate Bond Fund		Total Return Bond Fund		High Yield Bond Fund		Strategic Income Fund		AlphaTrak 500 Fund
Net Investment Income Distributions	100.00	%	100.00	%	97.43	%	100.00	%	89.06	%	100.00	%	44.53	%
Short Term Capital Gain Distributions	0.00	%	0.00	%	2.57	%	0.00	%	0.00	%	0.00	%	13.87	%
Long Term Capital Gain Distributions	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	29.55	%
Return of Capital	0.00	%	0.00	%	0.00	%	0.00	%	10.94	%	0.00	%	12.05	%
Tax-Exempt Interest	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%
Total Distributions	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%	100.00	%
Qualifying For Corporate Dividends Rec. Deduction (1)	0.00	%	0.21	%	0.00	%	0.00	%	1.58	%	0.00	%	0.05	%
Qualifying Dividend Income (2)	0.00	%	0.00	%	0.00	%	0.00	%	1.57	%	0.43	%	0.03	%
U.S. Government Interest (3)	0.00	%	3.91	%	24.01	%	0.00	%	0.01	%	0.17	%	0.13	%
Foreign Tax Credit (4)	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%
Qualified Interest Income (5)	98.93	%	97.96	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%
Qualified Short Term Capital Gain (6)	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%	0.00	%

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions).

(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions). It is the intention of each of the aforementioned funds to designate the maximum amount permitted by law.

(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. Government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short term capital gain and net investment income distributions). Generally, interest from direct U.S. Government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund.

(4) Foreign Tax Credit represent dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short term capital gain and net investment income).

(5) The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions).

(6) The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of ordinary income distributions (the total of short term capital gain and net investment income distributions).

144

Metropolitan West Funds

Privacy Notice

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

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

• Information you may give us orally;

• Information about your transactions with us or others;

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

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

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

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

145

MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

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

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Independent Trustees of the Trust*
Ronald J. Consiglio (1943)	Trustee	Indefinite term served since 2003	Mr. Consiglio has served as the Managing Partner of Synergy Trading, a securities trading partnership, since June 2001. From February 1998 to 2001, Mr. Consiglio was Executive Vice President and Chief Financial Officer of Trading Edge, Inc., a national automated bond-trading firm.	7	Mannkind Corp. (Pharmaceutical Preparations).
David H. Edington (1957)	Trustee	Indefinite term served since 2001	Mr. Edington is the founder and Managing Director of Rimrock Capital Management (previously known as Rimrock Enterprises, Inc.), an investment advisory firm which acts as investment adviser to Rimrock High Income Plus Fund and Rimrock Low Volatility Fund.	7	None
Martin Luther King III (1957)	Trustee	Indefinite term since 1997	Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980.	7	None

146

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Andrew W. Tarica (1959)	Trustee	Indefinite term since 2002	Mr. Tarica has served as the Chief Executive Officer of Meadowbrook Capital Management, a fixed-income asset management company that also manages a fixed income hedge fund since February of 2001. Since 2005, Mr Tarica also has served as an employee of Sanders Morris Harris, a Houston-based broker-dealer, for purposes of managing a fixed-income portfolio.	7	None
Daniel D. Villanueva (1937)	Trustee	Indefinite term since 1997	Mr. Villanueva has been a partner of RC Fontis Partners (a private equity fund) since January of 2006. Prior to this, he served as the Chairman and Managing Director of Bastion Capital Corporation (investments) from 1990 to 2005. He has served as the Chairman of Integrated Water Resources since 1999.	7	Citibank- Banamex (USA); Fleetwood Enterprises, Inc. (Recreational Vehicles).
Scott Sale, MD (1950)	Trustee	Indefinite term since 2004	Dr. Sale has had his own private medical practice as a physician since April 2004. Prior to this, he was a Locum Tenens physician from May 2002 to February 2003 and the Cancer Detection Center from March 2001 to December 2002.	7	None
Interested Trustees**
Scott B. Dubchansky (1960)	Chairman of the Board of Trustees, President and Chief Executive Officer	Indefinite term served since 1997	Mr. Dubchansky has served as the Chief Executive Officer (CEO) of the Adviser since August 1996. Since June 2004, he has been the CEO and Chief Compliance Officer of West Gate Advisors, LLC, an investment adviser affiliate of the Adviser. Mr. Dubchansky began serving as CEO of MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser, in June 2004.	7	West Gate Strategic Income Fund I Master Fund, Ltd., West Gate Leveraged Loan Master Fund, L.P. and West Gate Advisors, LLC.

147

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Keith T. Holmes, JD (1952)	Trustee	Indefinite term served since 1997	Mr. Holmes has been a partner of the law firm King, Holmes, Paterno & Berliner since 1992. Mr. Holmes practices corporate finance and real estate law. Mr. Holmes’ firm has performed legal services for the Adviser and its affiliates.	7	None
Officers of the Trust who are not Trustees
Joseph D. Hattesohl (1963)	Treasurer since 2001 and Principal Financial Officer since 2003	Indefinite term served since 2001 and 2003, respectively	Mr. Hattesohl has served as the Chief Financial Officer (CFO) of the Adviser since November 2000. Since June 2004, he also serves as CFO of West Gate Advisors, LLC, an investment adviser affiliate of the Adviser, and President of MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser.	N/A	N/A
Keith T. Kirk (1963)	Chief Compliance Officer since 2004, Vice President since 2007 and Secretary since 2006	Indefinite Term served since 2004, 2007 and 2006, respectively	Presently, Mr. Kirk is the Chief Compliance Officer for the Adviser and MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser. He has worked for the Adviser since 2003. From 1998 through 2002, Mr. Kirk served as Vice President of Compliance for Montgomery Asset Management, LLC. As a Naval Reservist, Mr. Kirk was recalled to active duty in 2002 and 2003.	N/A	N/A
Erik L. Cuellar (1971)	Principal Accounting Officer and Assistant Treasurer since 2006	Indefinite term served since 2006	Presently, Mr. Cuellar is the Assistant Vice President of Fund Operations for the Adviser. He has worked for the Adviser since June 2006. From 1998 through 2006, Mr. Cuellar served as Supervisor of Alternative Investments at Western Asset Management Company.	N/A	N/A

148

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Scott Tretter (1966)	Anti-Money Laundering Compliance Officer since 2006	Indefinite term served since 2006	Presently, Mr. Tretter is a Senior Compliance Officer for the Adviser and West Gate Advisers, LLC. He has worked for the Adviser since 2005. From 2003 through 2005, Mr. Tretter served as Vice President and Senior Compliance Officer for Columbia Management (formerly Banc of America Capital Management, LLC).	N/A	N/A
Bibi Khan (1953)	Vice President Since 2007	Indefinite term served since 2007	Presently, Ms. Khan is the Vice President of Operations for the Adviser. She has worked for the Adviser since 2005. From 2003 through 2005, Ms Khan served as Director, Securities Group Operations Manager for Columbia Management (formerly Banc of America Capital Management, LLC). From 1999 through 2003, she served as Vice President and Group Manager with Bank of America Trust Services. Ms. Khan is a Certified Trust and Financial Analyst (CFTA).	N/A	N/A
David Lippman (1958)	Executive Vice President since 2007	Indefinite term served since 2007	Mr. Lippman has been a Managing Director and portfolio manager with the Adviser since October 2001.	N/A	N/A
Tad Rivelle (1961)	Executive Vice President since 2007	Indefinite term served since 2007	Mr. Rivelle has been the Chief Investment Officer and a Managing Director with the Adviser since August 1996.	N/A	N/A
Laird Landmann (1964)	Executive Vice President since 2007	Indefinite term served since 2007	Mr. Landmann has been a Managing Director and portfolio manager with the Adviser since August 1996.	N/A	N/A
Steve Kane (1962)	Executive Vice President since 2007	Indefinite term served since 2007	Mr. Kane has been a portfolio manager with the Adviser since August 1996.	N/A	N/A

149

Name and Year of Birth***	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupations During Past Five Years	Number of Funds in Fund Complex Overseen by Director	Other Directorships Held by Trustee
Shang Ni (1976)	Assistant Treasurer since 2006	Indefinite term served since 2006	Mr. Ni has served as the Controller for the Adviser since 2005. From 2003 through 2005, Mr. Ni worked as Tax Supervisor for Rothstein Kass & Co. P.C. From 1998 through 2003, he served as Senior Tax Associate with PricewaterhouseCoopers, LLP.	N/A	N/A

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

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

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

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

150

Board of Trustees

Scott B. Dubchansky

David H. Edington

Keith T. Holmes

Martin Luther King III

Daniel D. Villanueva

Andrew Tarica

Ronald J. Consiglio

Scott Sale

Officers

Scott B. Dubchansky

Chairman of the Board, President, and

Chief Executive Officer

Joseph D. Hattesohl

Treasurer and Chief Financial Officer

Keith T. Kirk

Chief Compliance Officer and Secretary

Erik L. Cuellar

Assistant Treasurer and Principal Accounting Officer

Shang Ni

Assistant Treasurer

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

For Additional Information about the

Metropolitan West Funds call:

(310) 966-8900 or

(800) 241-4671 (toll-free)

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

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

METAR2008

Item 2. Code of Ethics.

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

(b) N/A

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $395,557 in 2008 and $192,500 in 2007.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2008 and $0 in 2007.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $26,600 in 2008 and $25,375 in 2007. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns (Form 1120-RIC and Form 100 CA) and year end Excise Tax review.

All Other Fees

(d)	The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2008 and $0 in 2007.
(e)(1)	Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
	Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.
(e)(2)	The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
	(b)    N/A
	(c)    100%

	(d)    N/A
(f)	The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
(g)	The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $553,825 for 2008 and $468,975 for 2007.
(h)	The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

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

(b) Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

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

SIGNATURES

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

(registrant)	Metropolitan West Funds
By (Signature and Title)*	/s/ Scott B. Dubchansky
	Scott B. Dubchansky, Chairman and President
	(principal executive officer)
Date June 9, 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 June 9, 2008
By (Signature and Title)*	/s/ Joseph D. Hattesohl
	Joseph D. Hattesohl, Treasurer
	(principal financial officer)
Date June 9, 2008

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