UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number             811-07989                             

                Metropolitan West Funds                

(Exact name of registrant as specified in charter)

11766 Wilshire Boulevard, Suite 1580

                                                      Los Angeles, CA 90025                                                     

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

11766 Wilshire Boulevard, Suite 1580

                                                     Los Angeles, CA 90025                                                     

(Name and address of agent for service)

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

Date of fiscal year end: March 31                

Date of reporting period: June 30, 2008

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

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

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 93.59%
ASSET-BACKED SECURITIES — 25.11%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	37,695	$	34,819
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33			5,922		5,761
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.26%	09/15/33			19,292		19,207
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.43%	12/15/33			15,630		14,887
Asset Backed Securities Corp. Home Equity 2005-HE6 A2D
2.76%	07/25/35	2		4,750,000		4,660,126
Bayview Financial Acquisition Trust 2004-B A1
2.98%	05/28/39	2,3,†		3,351,454		2,848,773
Bayview Financial Acquisition Trust 2005-A A1
2.98%	02/28/40	2,3,†		4,000,000		3,605,819
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
2.98%	12/28/40	2,3,†		3,900,000		3,237,215
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			997,353		987,068
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
2.66%	03/25/37	2		2,500,000		2,001,952
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
3.78%	07/25/37	2		1,765,000		1,087,131
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			5,161		5,051
Countrywide Asset-Backed Certificates 2003-BC1 M1
3.86%	12/25/32	2		496,633		356,879
Countrywide Asset-Backed Certificates 2007-10 2A2
2.60%	06/25/47	2		2,975,000		2,511,093
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			168,550		168,249
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			279,558		283,536
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			7,193		6,626
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A
4.81%	03/25/24	2		3,435,007		2,974,383
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2C
2.79%	03/25/35	2		769,995		688,343
GE Capital Mortgage Services, Inc. 1998-HE1 A7
6.47%	06/25/28			1,593		1,591
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			11,783		11,996
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		31,033		32,146
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			218,450		158,203
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			61,890		48,290
GSAMP Trust 2004-FM1 M2
4.58%	11/25/33	2		925,743		755,912
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36	4,†		2,300,000		874,025
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		301,559		290,992
Inman Square Funding Ltd. 2005-2A I
3.18%	10/06/40	2,3,4,†		2,100,405		1,155,222
Irwin Home Equity Corp. 2003-A M2
5.13%	10/25/27	2		1,543,035		1,340,463
Ivy Lane CDO Ltd. 2006-1A A1
3.11%	02/05/46	2,3,4,†		1,766,147		865,411
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		24,115		22,979
MASTR Asset Backed Securities Trust 2006-HE4 A1
2.53%	11/25/36	2		1,290,456		1,245,730
Mid-State Trust 6 A4
7.79%	07/01/35			55,557		53,304
Morgan Stanley ABS Capital I 2004-NC2 M2
3.68%	12/25/33	2		2,496,011		2,045,143
Morgan Stanley ABS Capital I 2007-HE5 A2A
2.59%	03/25/37	2		1,164,357		1,083,932
Morgan Stanley ABS Capital I 2007-NC2 A2A
2.59%	02/25/37	2		1,261,620		1,238,029
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
2.53%	11/25/36	2		1,110,012		1,094,657
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3,4,†		143,314		21,497
New Century Home Equity Loan Trust 2006-2 A2A
2.55%	08/25/36	2		312,944		308,739
Nomura Asset Acceptance Corp. 2006-S2 AIO (IO)
10.00%	04/25/36	2,3,4		1,916,667		52,708
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			6,849		6,750

1

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

	Maturity		Principal
Issues	Date		Amount		Value
ASSET-BACKED SECURITIES (continued)
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15		$	10,500	$	10,307
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			525,670		517,556
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		74,375		6,799
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			230,042		199,316
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			23,451		20,466
Saxon Asset Securities Trust 2002-1 M2
4.28%	11/25/31	2		219,977		112,741
Structured Asset Securities Corp. 2007-EQ1 A4
2.73%	03/25/37	2		3,000,000		1,993,272
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		10,374,677		122,518
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		1,243		806
Vanderbilt Mortgage Finance 1997-B 1A6
7.60%	06/07/25			2,085,000		2,098,235
Wells Fargo Home Equity Trust 2007-1 A1
2.58%	03/25/37	2		603,132		596,044
Total Asset-Backed Securities (Cost $51,690,144)						43,882,697
CORPORATES — 6.64%*
Banking — 0.32%
JPMorgan Chase Bank NA
8.75%	11/28/21	2		557,000		552,210
Electric — 0.31%
Entergy Gulf States, Inc.
3.08%	12/01/09	2		550,000		543,852
Finance — 4.07%
Countrywide Financial Corp. (MTN)
3.02%	03/24/09	2		1,370,000		1,315,874
Countrywide Financial Corp. A (MTN)
3.08%	12/19/08	2		400,000		391,354
Ford Motor Credit Co. LLC
5.46%	01/13/12	2		1,130,000		803,789
GMAC LLC
4.88%	12/01/14	2		825,000		533,103
GMAC LLC (MTN)
3.95%	09/23/08	2		1,868,000		1,839,724
Lehman Brothers Holdings, Inc. (MTN)
2.53%	11/24/08	2		850,000		839,800
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		883,000		876,378
Merrill Lynch & Co., Inc. (MTN)
4.50%	05/20/09	2		520,000		516,688
						7,116,710
Transportation — 1.94%
Air 2 US A
8.03%	10/01/19	3,5		260,475		230,520
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			1,547,481		1,460,968
Continental Airlines, Inc. 1998-3
6.32%	11/01/08			1,700,000		1,689,375
						3,380,863
Total Corporates (Cost $11,981,617)						11,593,635
BANK LOANS — 1.00%*
Electric — 0.57%
Calpine CCFC I Term Loan
8.80%	08/26/09	6		1,000,000		1,005,000
Transportation — 0.43%
Northwest Air Dip
4.48%	05/21/12	6		990,000		749,100
Total Bank Loans (Cost $1,995,873)						1,754,100
MORTGAGE-BACKED — 60.84%**
Commercial Mortgage-Backed — 8.84%
Banc of America Mortgage Securities, Inc. 2003-E 2A1
4.61%	06/25/33	2		2,026,345		2,032,261
Bayview Commercial Asset Trust 2007-3 A1
2.72%	07/25/37	2,3,†		2,122,173		1,885,139
Deutsche Bank Alternate Loan Trust 2006-AR6 A3
2.57%	02/25/37	2		2,165,703		2,090,165
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
2.85%	07/19/44	2		838,117		782,387
JPMorgan Alternative Loan Trust 2007-A2 12A2
2.58%	06/25/37	2		1,155,188		1,037,672
JPMorgan Mortgage Trust 2005-A2 9A1
6.13%	04/25/35	2		1,110,760		1,022,135
Structured Asset Mortgage Investments, Inc. 2005-AR2 2A1
2.71%	05/25/45	2		3,098,907		2,445,981
Structured Asset Mortgage Investments, Inc. 2005-AR6 2A1
2.79%	09/25/45	2		2,487,663		1,865,931

2

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

	Maturity		Principal
Issues	Date		Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
2.67%	09/25/47	2	$	3,165,998	$	2,272,864
						15,434,535
Non-Agency Mortgage-Backed — 33.97%
Adjustable Rate Mortgage Trust 2005-1 1A1
6.25%	05/25/35	2		1,870,711		1,638,252
Alliance Bancorp Trust 2007-OA1 A1
2.72%	07/25/37	2		4,628,970		3,288,053
American Home Mortgage Assets 2006-2 2A1
2.67%	09/25/46	2		3,354,993		2,508,163
American Home Mortgage Investment Trust 2004-3 3A
4.02%	10/25/34	2		1,452,628		1,381,026
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			82,331		84,152
Banc of America Mortgage Securities, Inc. 2003-A 2A2
6.86%	02/25/33	2		11,991		11,956
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2		3,064,938		2,997,693
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			985,160		916,706
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1
5.50%	12/25/18			919,956		906,210
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1
6.50%	08/25/18	3		219,796		220,941
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		549,237		514,078
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			671,138		677,102
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	4,7,†		3,063,183		48,537
Countrywide Alternative Loan Trust 2005-16 A5
2.76%	06/25/35	2		951,663		695,499
Countrywide Alternative Loan Trust 2005-27 2A1
4.88%	08/25/35	2		1,908,263		1,297,619
Countrywide Alternative Loan Trust 2005-61 2A1
2.76%	12/25/35	2		1,571,104		1,176,197
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	4		11,368,060		401,435
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
5.32%	11/25/32	2		200,000		190,663
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4
4.01%	10/25/33	2		2,016,878		1,922,891
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34			1,083,585		991,823
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A
2.89%	09/19/44	2		334,167		283,700
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1
6.71%	11/19/32	2		59,272		59,188
First Horizon Asset Securities, Inc. 2002-AR2 2A1
7.00%	12/27/32	2		48,652		47,514
First Horizon Asset Securities, Inc. 2003-AR2 1A1
7.50%	07/25/33	2		103,053		101,305
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34			94,625		89,836
Harborview Mortgage Loan Trust 2004-8 2A4A
2.88%	11/19/34	2		1,733,096		1,486,412
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	4,7		3,871,105		41,735
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/35	2,4		28,635,699		277,408
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.87%	12/25/34	2		1,335,356		1,102,790
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	4,7		1,608,190		18,092
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.45%	10/25/34	2		942,923		909,049
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
3.26%	10/25/36	2		1,724,132		1,335,379
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.25%	01/25/34	2		82,665		77,139
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
6.62%	10/25/34	2		1,307,959		1,205,925
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
6.23%	06/25/34	2		87,972		75,967

3

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

	Maturity		Principal
Issues	Date		Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
4.64%	12/25/46	2	$	4,265,976	$	2,880,728
MASTR Seasoned Securities Trust 2004-1 4A1
6.79%	10/25/32	2		307,994		295,740
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			1,053,899		1,033,113
MASTR Seasoned Securities Trust 2005-1 4A1
5.86%	10/25/32	2		768,279		700,022
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
4.61%	12/25/32	2		814,359		727,240
Residential Accredit Loans, Inc. 2002-QS17 NB1
6.00%	11/25/32			43,739		43,751
Residential Accredit Loans, Inc. 2007-QS8 A10
6.00%	06/25/37			2,663,974		2,582,924
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			443,273		450,322
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			271,610		283,636
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			74,215		76,922
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			503,888		516,118
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			2,734,182		2,800,580
Residential Asset Securitization Trust 2004-IP2 2A1
5.23%	12/25/34	2		794,334		743,646
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			3,092,761		2,984,215
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.14%	12/27/35	2		4,216,003		3,631,504
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
2.68%	10/25/36	2		2,422,586		1,729,406
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		65,263		64,886
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
4.30%	04/25/47	2		3,459,051		2,515,474
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		196,196		189,703
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
4.93%	06/25/42	2		205,170		165,862
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
3.95%	06/25/33	2		777,589		756,684
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
4.78%	07/25/46	2,†		4,062,194		3,371,623
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
1.14%	02/25/47	4,7,†		70,109,326		854,521
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A
5.00%	02/25/18			476,615		461,031
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			250,498		256,392
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			276,405		268,133
						59,364,611
U.S. Agency Mortgage-Backed — 18.03%
Fannie Mae 1988-12 A
10.00%	02/25/18	2		153,804		168,286
Fannie Mae 1993-210 PL
6.50%	04/25/23			9,392		9,375
Fannie Mae 1993-80 S
7.82%	05/25/23	2		12,380		11,980
Fannie Mae 1994-55 S
13.60%	12/25/23	2		3,548		3,626
Fannie Mae 1997-23 PB
6.63%	01/25/22			48,740		49,758
Fannie Mae 1998-58 PC
6.50%	10/25/28			1,195,681		1,242,317
Fannie Mae 2000-27 AN
6.00%	08/25/30			23,710		24,203
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		7,489		7,486
Fannie Mae 2001-68 PV
6.00%	11/25/18			59,476		59,787
Fannie Mae 2003-124 (IO)
5.25%	03/25/31			110,626		11,979
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		153,076		158,192
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			362,488		49,955
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			127,388		12,132

4

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2004-96 MT
7.00%	12/25/34	2	$	333,370	$	311,507
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		898,580		843,247
Fannie Mae Pool 111643
6.44%	09/01/20	2		31,243		31,177
Fannie Mae Pool 190656
6.50%	02/01/14			279,072		290,701
Fannie Mae Pool 254190
5.50%	02/01/09			356,860		362,874
Fannie Mae Pool 523829
8.00%	11/01/19			354,404		385,400
Fannie Mae Pool 555098
5.10%	11/01/32	2		202,345		204,501
Fannie Mae Pool 555177
4.87%	01/01/33	2		269,445		275,260
Fannie Mae Pool 555207
7.00%	11/01/17			49,747		51,709
Fannie Mae Pool 555312
6.61%	01/01/33	2		596,886		604,892
Fannie Mae Pool 555705
6.14%	07/01/33	2		619,809		623,452
Fannie Mae Pool 567002
8.00%	05/01/23			175,169		189,363
Fannie Mae Pool 646884
5.49%	05/01/32	2		29,381		29,574
Fannie Mae Pool 647903
4.42%	04/01/27	2		65,306		65,571
Fannie Mae Pool 648860
6.50%	05/01/17			1,079,694		1,130,814
Fannie Mae Pool 655127
7.00%	07/01/32			54,310		57,007
Fannie Mae Pool 655133
7.00%	08/01/32			55,939		58,712
Fannie Mae Pool 655151
7.00%	08/01/32			85,131		89,164
Fannie Mae Pool 735207
7.00%	04/01/34			911,020		954,750
Fannie Mae Pool 735686
6.50%	12/01/22			1,346,479		1,391,363
Fannie Mae Pool 735995
5.25%	04/01/35	2		1,278,918		1,286,621
Fannie Mae Pool 753630
6.80%	11/01/33	2		293,439		298,298
Fannie Mae Pool 754001
7.03%	12/01/33	2		860,209		869,772
Fannie Mae Pool 762525
6.50%	11/01/33			237,202		244,276
Fannie Mae Pool 764605
6.19%	01/01/34	2		848,007		854,831
Fannie Mae Pool 770900
4.33%	04/01/34	2		703,972		709,804
Fannie Mae Pool 771153
5.70%	02/01/34	2		1,350,811		1,371,783
Fannie Mae Pool 788986
6.67%	10/01/34	2		802,014		791,488
Fannie Mae Pool 805268
6.03%	01/01/35	2		687,176		691,380
Fannie Mae Pool 810557
6.40%	02/01/35	2		625,534		631,216
Fannie Mae Pool 811267
6.62%	12/01/34	2		277,329		280,137
Fannie Mae Pool 908412
6.13%	04/01/37	2		1,988,547		2,042,401
Freddie Mac 1214 KA
3.33%	02/15/22	2		10,652		10,689
Freddie Mac 1526 L
6.50%	06/15/23			38,982		40,987
Freddie Mac 1625 FC
4.01%	12/15/08	2		7,866		7,870
Freddie Mac 1662 L
3.48%	01/15/09	2		289		289
Freddie Mac 1695 EA
7.00%	12/15/23			4,614		4,624
Freddie Mac 1702 TJ
7.00%	04/15/13			222,467		226,186
Freddie Mac 2043 CJ
6.50%	04/15/28			89,076		93,539
Freddie Mac 2451 SP
11.50%	05/15/09	2		6,228		6,220
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			483,212		72,480
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			2,957		12
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			540,797		55,984
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			803,927		8,652
Freddie Mac 2594 VK
5.00%	02/15/23			504,841		509,101
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			78,268		13,916
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			348,259		44,813
Freddie Mac 2809 HX (IO)
6.00%	10/15/24			19,368		18
Freddie Mac 2856 ST
7.00%	09/15/23	2		1,164,510		1,137,918
Freddie Mac 2905 JG
7.00%	09/15/34			573,788		592,325

5

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

	Maturity		Principal
Issues	Date		Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2906 NX (IO)
3.03%	12/15/34	2	$	7,285,070	$	350,080
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		20,348
Freddie Mac 3202 HS
4.18%	08/15/36	2		7,618,682		290,457
Freddie Mac Gold C90237
6.50%	11/01/18			208,488		217,599
Freddie Mac Gold C90474
7.00%	08/01/21			289,840		306,076
Freddie Mac Gold D93410
6.50%	04/01/19			212,589		221,801
Freddie Mac Gold O30092
5.50%	10/01/15			185,338		186,984
Freddie Mac Gold P20295
7.00%	10/01/29			94,996		99,104
Freddie Mac Gold P50214
6.50%	02/01/34	†		422,759		422,497
Freddie Mac Gold P50230
6.50%	04/01/34	†		1,188,104		1,187,367
Freddie Mac Gold P60084
6.00%	03/01/16	†		880,730		871,923
Freddie Mac Non Gold Pool 775554
6.02%	10/01/18	2		7,109		7,154
Freddie Mac Non Gold Pool 782824
6.71%	11/01/34	2		917,014		920,652
Freddie Mac Non Gold Pool 788498
6.44%	02/01/30	2		657,562		663,021
Freddie Mac Non Gold Pool 865369
5.43%	06/01/22	2		5,648		5,703
Freddie Mac Non Gold Pool 972112
6.44%	01/01/33	2		358,775		362,110
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			345,386		38,813
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			147		—
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			68,133		1,332
Ginnie Mae 2003-95 SB
10.84%	09/17/31	2		123,825		127,310
Ginnie Mae 2004-2 FW
3.86%	01/16/34	2		333,147		323,446
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			2,500,000		245,148
Ginnie Mae II Pool 80546
5.00%	10/20/31	2		60,220		60,498
Ginnie Mae II Pool 80610
6.38%	06/20/32	2		784,561		798,092
Ginnie Mae II Pool 80614
5.63%	07/20/32	2		95,963		96,904
Ginnie Mae II Pool 80687
6.50%	04/20/33	2		461,100		470,015
Ginnie Mae II Pool 81018
5.63%	08/20/34	2		308,293		311,435
Ginnie Mae II Pool 8339
5.13%	12/20/23	2		102,401		102,813
Ginnie Mae II Pool 8684
5.63%	08/20/25	2		141,013		142,558
						31,508,984
Total Mortgage-Backed (Cost $116,711,923)						106,308,130
Total Bonds – 93.59% (Cost $182,379,557)						163,538,562
			Shares/
	Maturity		Principal
Issues	Date		Amount		Value
SHORT TERM INVESTMENTS — 14.53%
Commercial Paper — 5.17%
Bank of America Corp.
2.26%8	07/18/08		$	1,925,000	$	1,922,955
BNP Paribas Finance, Inc.
2.38%8	07/02/08			2,040,000		2,039,865
Citigroup Funding Corp.
2.43%8	07/25/08			1,900,000		1,896,935
Merrill Lynch & Co., Inc.
2.62%8	07/16/08			1,270,000		1,268,613
Rabobank USA Finance Corp.
2.36%8	07/24/08			1,905,000		1,902,128
						9,030,496
Money Market Fund — 0.12%
Goldman Sachs Group, Inc. (The), 2.35%				215,000		215,000
U.S. Agency Discount Notes — 9.24%
Fannie Mae
2.01%8	07/21/08			615,000		614,301
2.12%8	07/21/08			339,000		338,603
2.13%8	07/21/08			329,000		328,613
2.16%8	07/21/08			382,000		381,544
2.18%8	07/30/08			1,870,000		1,866,731
2.41%8	09/17/08	9		129,000		128,353
2.44%8	09/17/08			6,000,000		5,969,904
Federal Home Loan Bank
2.08%8	07/21/08			898,000		896,967
2.15%8	07/21/08			282,000		281,663
Freddie Mac
2.06%8	07/21/08			3,726,000		3,721,767

6

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

		Shares/
	Maturity	Principal
Issues	Date	Amount		Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
2.24%8	07/23/08	$	1,625,000	$	1,622,776
					16,151,222
Total Short Term Investments (Cost $25,395,233)					25,396,718
Total Investments – 108.12% (Cost $207,774,790)1					188,935,280
Liabilities in Excess of Other Assets – (8.12)%					(14,184,895	)
Net Assets – 100.00%				$	174,750,385
				Unrealized
				Appreciation/
Contracts				(Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
7                    Euro Dollar Ninety Day, September 2008				$	(21,420	)
7                    Euro Dollar Ninety Day, December 2008					(16,870	)
10                    Euro Dollar Ninety Day, June 2009					35,911
10                    Euro Dollar Ninety Day, September 2009					37,150
10                    Euro Dollar Ninety Day, December 2009					38,025
23                    U.S. Treasury Two Year Note, September 2008					(4,045	)
Net unrealized appreciation				$	68,751
		Notional
	Expiration	Amount
Issues	Date	(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	$	181,720
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		79,728
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		5,669
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		15,550
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		7,052
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		2,000		(17,270	)
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		(106,895	)
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		(9,779	)
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		(50,293	)
				$	105,482
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		21,465
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		42,003

7

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	59,236
				$	122,704
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		(1,074	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		2,500		(1,269,018	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		1,750		(888,313	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		1,000		(507,612	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		500		(270,231	)
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		(2,458,899	)
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		(1,043,006	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		250		(135,295	)
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		(235,220	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		800		(432,334	)
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		(235,220	)
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		(235,220	)
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		(235,220	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		3,000		(2,384,475	)
				$	(10,331,137	)

Notes:

¹ Cost for financial reporting purposes is $207,774,790 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	551,701
Gross unrealized depreciation		(19,391,211	)
Net unrealized (depreciation)	$	(18,839,510	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $ 14,268,742 representing 8.17% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Non- Rule 144A 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		Amortized				% of
Purchase	Security	Cost		Value		TNA
05/09/08	Calpine CCFC I Term Loan, 8.80%, 08/26/09	$	1,005,873	$	1,005,000	0.57	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		990,000		749,100	0.43	%
		$	1,995,873	$	1,754,100	1.00	%

⁷ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁸ Represents annualized yield at date of purchase.

⁹ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $ 21,378,886 which is 12.23% 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.

8

Ultra Short Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

* 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

9

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 95.68%
ASSET-BACKED SECURITIES — 22.24%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	120,252	$	116,971
Accredited Mortgage Loan Trust 2007-1 A1
2.53%	02/25/37	2		5,247,519		5,138,524
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2,3		23,925		6,456
Bayview Financial Acquisition Trust 2005-A A1
2.98%	02/28/40	2,4,†		12,500,000		11,268,184
Bayview Financial Acquisition Trust 2006-B 2A2
2.68%	04/28/36	2		7,370,436		7,174,144
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
2.98%	12/28/40	2,4,†		14,000,000		11,620,770
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%	08/25/30			5,847,772		5,643,331
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.67%	01/25/47	2		2,727,983		2,632,098
Bear Stearns Asset Backed Securities Trust 2007-HE1 1A1
2.60%	02/25/37	2		3,249,503		2,980,912
Bear Stearns Asset Backed Securities Trust 2007-HE1 21A1
2.54%	01/25/37	2		4,222,672		4,033,267
Bear Stearns Asset Backed Securities Trust 2007-HE3 1A1
2.60%	04/25/37	2		1,813,756		1,771,453
Bear Stearns Asset Backed Securities Trust 2007-HE5 1A2
2.66%	06/25/47	2		5,200,000		4,685,782
Carrington Mortgage Loan Trust 2004-NC2 M1
3.17%	08/25/34	2		218,633		180,827
Castle Trust 2003-1AW A1
3.22%	05/15/27	2,4,†		3,628,973		3,302,476
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%	01/25/13	2		6,639,277		6,347,931
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
3.38%	02/25/32	2		815,624		690,818
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP)
5.96%	07/25/36			7,176,605		7,102,600
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
4.13%	07/25/37	2,†		8,432,000		2,698,285
Conseco Finance 2001-D A5
6.69%	11/15/32	2		699,649		689,626
Countrywide Asset-Backed Certificates 2007-1 2A1
2.53%	07/25/37	2		5,330,129		5,144,241
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%	01/25/36			7,235,333		6,973,870
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
2.71%	11/25/36	2		6,000,000		3,672,509
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			8,351,548		8,133,623
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
5.51%	02/25/37			20,580,000		19,167,132
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
2.54%	04/25/37	2		8,816,821		8,475,549
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			2,158		1,988
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP)
5.48%	03/25/25			9,245,000		5,897,004
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29	†		70,360		10,554
Genesis Funding Ltd. 2006-1A G1
2.72%	12/19/32	2,4,†		8,650,000		6,638,969
GMAC Commercial Mortgage Securities, Inc. 1999-C1 A2
6.18%	05/15/33	2		8,871,793		8,910,416
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
2.92%	06/25/30	2		4,119,232		2,791,073
Green Tree Financial Corp. 1994-1 A5
7.65%	04/15/19			695,200		707,762
Green Tree Financial Corp. 1995-10 A6
7.05%	01/15/27			155,390		156,208
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			5,695,567		5,428,780
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			327,442		268,498
GSAA Trust 2006-9 A4A
2.72%	06/25/36	2		13,500,000		6,764,202
GSAMP Trust 2006-S6 A2 (STEP)
5.55%	10/25/36	3,†		2,228,000		846,664
GSR Mortgage Loan Trust 2005-HEL1 M2
3.21%	11/25/30	2,3		7,085,000		113,331
HFC Home Equity Loan Trust 2005-3 M1
2.90%	01/20/35	2		5,443,999		4,559,539
Home Equity Asset Trust 2007-3 2A2
2.66%	08/25/37	2		5,635,000		4,799,484

10

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Home Equity Mortgage Trust 2006-1 A1B
2.61%	05/25/36	2	$	1,977,669	$	1,503,012
Ivy Lane CDO Ltd. 2006-1A A1
3.11%	02/05/46	2,3,4,†		8,904,326		4,363,116
JPMorgan Mortgage Acquisition Corp. 2006-WMC4 A4
2.63%	12/25/36	2		20,000,000		10,883,624
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%	11/25/36			12,415,000		11,692,319
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%	01/25/37			15,300,000		14,754,590
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV1
2.54%	04/01/37	2		12,717,588		12,034,275
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO)
0.55%	05/15/41	2,3,†		462,627,903		8,106,195
Lehman XS Trust 2006-12N A1A1
2.56%	08/25/46	2		1,203,713		1,184,714
Lehman XS Trust 2006-GP1 A4A
2.81%	05/25/46	2,3		12,230,617		5,285,433
Long Beach Asset Holdings Corp. 2006-8 N1
6.05%	10/25/46	3,4,†		3,829,304		76,627
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,4,†		2,612,542		49,928
MASTR Asset Backed Securities Trust 2007-HE1 A1
2.56%	05/25/37	2		7,287,707		7,033,481
MASTR Asset Backed Securities Trust 2007-HE1 A2
2.63%	05/25/37	2		6,260,000		5,618,153
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
2.60%	04/25/37	2		4,903,066		4,768,649
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
2.66%	06/25/37	2		19,057,200		12,372,296
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B
2.62%	01/25/37	2		1,430,979		1,422,571
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,074,576		1,034,943
Morgan Stanley ABS Capital I 2004-NC2 M2
3.68%	12/25/33	2		549,123		449,932
Morgan Stanley ABS Capital I 2007-HE7 M2
4.48%	07/25/37	2,†		3,525,000		1,586,270
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	2		22,270,937		20,172,592
Nationstar Home Equity Loan Trust 2007-A AV1
2.54%	03/25/37	2		6,301,057		5,964,347
Nationstar Home Equity Loan Trust 2007-C 2AV3
2.66%	06/25/37	2		7,057,200		4,786,765
Nomura Asset Acceptance Corp. 2006-S1 A1
2.62%	01/25/36	2,4		1,326,853		1,244,439
Oakwood Mortgage Investors, Inc. 2002-B A1
2.70%	05/15/13	2		406,075		324,663
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		266,040		235,713
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	3,†		10,937,500		999,904
Option One Mortgage Loan Trust 2007-4 2A4
2.79%	04/25/37	2		13,734,000		6,821,939
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
2.75%	02/25/36	2,4		3,219,668		2,727,097
Saxon Asset Securities Trust 2007-2 A2A
2.58%	05/25/47	2		15,200,940		14,709,680
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.61%	05/25/37	2		18,852,529		17,385,576
SG Mortgage Securities Trust 2006-FRE1 A1B
2.75%	02/25/36	2		2,582,038		2,357,121
Soundview Home Equity Loan Trust 2006-OPT1 2A4
2.75%	03/25/36	2		7,300,000		4,925,349
Soundview Home Equity Loan Trust 2006-WF2 M8
4.83%	12/25/36	2		1,500,000		138,989
Structured Asset Investment Loan Trust 2005-HE1 B1
4.98%	07/25/35	2,†		1,809,793		68,782
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	4,†		2,960,147		2,915,808
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	4,†		572,560		563,922
Terwin Mortgage Trust 2004-7HE A1
3.03%	07/25/34	2,4		142,962		127,098
Terwin Mortgage Trust 2005-13SL A1B
4.75%	12/25/36	2,4,†		12,100,000		3,636,047
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,4		1,019,287		931,415
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,4		8,200,000		1,036,031

11

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,4,†	$	12,500,000	$	5,500,623
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	2,3,†		15,000,000		9,825,755
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		3,000,000		452,478
Terwin Mortgage Trust 2007-9SL A1
4.98%	06/25/38	2,4,†		12,964,937		10,242,621
Vertical CDO Ltd. 2007-1A A1J
3.20%	04/10/47	2,3,4,†		5,500,000		54,997
Wells Fargo Home Equity Trust 2007-1 A1
2.58%	03/25/37	2		847,542		837,582
Wells Fargo Home Equity Trust 2007-2 A1
2.57%	04/25/37	2		1,739,848		1,705,917
Total Asset-Backed Securities (Cost $502,787,306)						402,461,977
CORPORATES — 26.17%*
Banking — 4.19%
Bank of America Corp.
5.65%	05/01/18			300,000		280,591
Bank of America Corp. (MTN)
4.90%	05/01/13			3,250,000		3,139,750
BankAmerica Institutional A
8.07%	12/31/26	4		5,250,000		5,282,072
Banponce Trust I A
8.33%	02/01/27			7,400,000		7,064,832
Chase Capital II B
3.37%	02/01/27	2		6,455,000		4,989,102
Credit Suisse/New York
5.00%	05/15/13			11,000,000		10,716,211
Deutsche Bank AG/London
4.88%	05/20/13			7,600,000		7,484,199
JPMorgan Chase & Co.
4.75%	05/01/13			10,000,000		9,728,940
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	2		1,500,000		1,317,900
JPMorgan Chase Bank NA
8.75%	11/28/21	2		2,084,000		2,066,078
JPMorgan Chase Capital XIII M
3.75%	09/30/34	2		1,541,000		1,204,125
National Australia Bank Ltd.
5.35%	06/12/13	4		3,500,000		3,516,526
National Australia Bank Ltd. A
8.60%	05/19/10			9,250,000		9,903,078
Nationsbank Capital Trust III
3.26%	01/15/27	2		7,650,000		6,014,453
NB Capital Trust II
7.83%	12/15/26			3,200,000		3,116,864
						75,824,721
Basic Industry — 0.04%
Freeport-McMoRan Copper & Gold, Inc.
5.88%	04/01/15	2		150,000		151,666
Massey Energy Co.
6.88%	12/15/13			375,000		367,500
Mosaic Co. (The)
7.38%	12/01/14	4		250,000		262,500
						781,666
Communications — 0.60%
Cincinnati Bell, Inc.
7.25%	07/15/13			225,000		220,500
Citizens Communications Co.
6.63%	03/15/15			125,000		112,188
Comcast Corp.
3.01%	07/14/09	2		1,380,000		1,354,098
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			800,000		794,000
Hawaiian Telcom Communications, Inc. B
9.75%	05/01/13			250,000		100,000
Idearc, Inc.
8.00%	11/15/16			300,000		190,125
Level 3 Financing, Inc.
8.75%	02/15/17			275,000		237,875
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			250,000		236,875
Qwest Corp.
5.63%	11/15/08			500,000		501,250
Rural Cellular Corp.
8.25%	03/15/12			410,000		422,300
Sprint Nextel Corp.
6.00%	12/01/16			350,000		301,475
Viacom, Inc.
3.13%	06/16/09	2		5,150,000		5,096,857
Videotron Ltd.
9.13%	04/15/18	4		150,000		157,500
Windstream Corp.
8.13%	08/01/13			650,000		651,625
8.63%	08/01/16			150,000		150,375
						10,897,355
Consumer Products — 0.23%
SABMiller PLC
3.09%	07/01/09	2,4		4,000,000		4,010,748
Visant Holding Corp.
8.75%	12/01/13			200,000		197,000
						4,207,748

12

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric — 2.78%
Appalachian Power Co.
6.60%	05/01/09		$	3,000,000	$	3,051,236
Aquila, Inc.
9.95%	02/01/11			2,500,000		2,581,795
Calpine Construction Finance Co., LP
11.50%	08/26/11	2,4		2,750,000		2,942,500
Cedar Brakes I LLC
8.50%	02/15/14	4		2,458,748		2,626,341
Cedar Brakes II LLC
9.88%	09/01/13	4		9,100,505		10,020,202
Entergy Gulf States, Inc.
3.43%	12/08/08	2,4		2,719,000		2,717,529
Entergy Louisiana LLC
5.83%	11/01/10			1,440,000		1,432,980
Ipalco Enterprises, Inc.
7.25%	04/01/16	4		145,000		143,550
Midwest Generation LLC
8.30%	07/02/09			2,299,000		2,316,242
Mirant Mid Atlantic LLC A
8.63%	06/30/12			5,710,606		6,024,690
Power Contract Financing LLC
6.26%	02/01/10	4		4,274,660		4,325,896
Power Receivables Finance LLC
6.29%	01/01/12	4		1,584,142		1,621,908
6.29%	01/01/12			1,662,787		1,702,428
Reliant Energy, Inc.
6.75%	12/15/14			500,000		512,500
SWEPCO Capital Trust I
5.25%	10/01/43	2		1,500,000		1,474,548
TECO Energy, Inc.
4.87%	05/01/10	2		1,715,000		1,719,288
W3A Funding Corp.
8.09%	01/02/17			5,180,013		5,052,512
						50,266,145
Energy — 0.45%
AES Corp. (The)
8.75%	05/15/13	4		219,000		228,308
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			250,000		243,125
Chesapeake Energy Corp.
7.00%	08/15/14			250,000		246,250
Comstock Resources, Inc.
6.88%	03/01/12			150,000		148,125
Corral Finans AB (PIK)
4.21%	04/15/10	4		259,088		227,997
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		250,000		200,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		200,000		193,000
Mirant Americas Generation LLC
8.30%	05/01/11			300,000		311,250
Newfield Exploration Co.
7.13%	05/15/18			175,000		166,688
NRG Energy, Inc.
7.38%	01/15/17			400,000		379,000
OPTI Canada, Inc.
7.88%	12/15/14			250,000		248,125
Pride International, Inc.
7.38%	07/15/14			125,000		125,312
Sempra Energy Employee Stock Ownership Plan & Trust
5.78%	11/01/14	4,†		5,000,000		5,050,000
Sonat, Inc.
7.63%	07/15/11			350,000		355,064
						8,122,244
Finance — 10.21%
Bear Stearns Cos., Inc. (The) (MTN)
2.73%	02/23/10	2		2,725,000		2,673,454
2.77%	08/21/09	2		4,027,000		3,975,257
2.98%	07/16/09	2		7,900,000		7,813,328
Citigroup, Inc.
4.13%	02/22/10			10,530,000		10,387,539
5.30%	10/17/12			6,881,000		6,718,388
5.50%	04/11/13			11,000,000		10,746,846
Countrywide Financial Corp. (MTN)
2.87%	01/05/09	2		6,245,000		6,093,613
3.02%	03/24/09	2		8,572,000		8,233,337
Countrywide Financial Corp. A (MTN)
3.08%	12/19/08	2		4,968,000		4,860,617
Countrywide Home Loans, Inc. (MTN)
4.13%	09/15/09			2,000,000		1,910,574
Credit Suisse Guernsey Ltd. 1
3.37%	05/29/49	2		8,000,000		5,955,840
Ford Motor Credit Co. LLC
4.28%	01/15/10	2		4,070,000		3,584,636
5.46%	01/13/12	2		20,160,000		14,340,171
7.16%	04/15/12	2		1,750,000		1,640,478
General Electric Capital Corp.
4.80%	05/01/13			10,000,000		9,807,090
GMAC LLC
4.88%	12/01/14	2		14,598,000		9,433,023
6.63%	05/15/12			2,000,000		1,373,096
GMAC LLC (MTN)
3.95%	09/23/08	2		5,000,000		4,924,315
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	2		4,835,000		4,428,860
2.85%	12/23/08	2		1,500,000		1,471,455
8.92%	02/16/17	2		4,198,000		3,210,630
11.00%	11/07/16	2		6,776,000		5,555,642

13

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
MBNA Capital A
8.28%	12/01/26		$	924,000	$	961,457
MBNA Capital B
3.67%	02/01/27	2		2,721,000		2,177,488
Meridian Funding Co. LLC
2.93%	10/06/08	2,4		491,643		468,004
Merrill Lynch & Co., Inc. (MTN)
2.96%	10/23/08	2		975,000		969,314
4.50%	05/20/09	2		9,355,000		9,295,409
9.57%	06/06/17	2		5,184,000		4,795,200
Merrill Lynch & Co., Inc. C (MTN)
3.03%	02/06/09	2		5,670,000		5,601,307
Pemex Finance Ltd.
8.88%	11/15/10	†		4,889,333		5,181,960
9.69%	08/15/09	†		1,498,750		1,550,832
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2		11,612,000		11,015,143
Wachovia Corp. (MTN)
5.50%	05/01/13			5,633,867		5,397,786
Westfield Capital Corp. Ltd.
4.38%	11/15/10	4		5,690,000		5,517,885
Woodbourne Capital Trust I
3.55%	04/08/49	2,3,4		1,000,000		650,000
Woodbourne Capital Trust II
3.56%	04/08/49	2,3,4		1,000,000		650,000
Woodbourne Capital Trust III
3.56%	04/08/49	2,3,4		1,000,000		650,000
Woodbourne Capital Trust IV
3.56%	04/08/49	2,3,4		1,000,000		650,000
						184,669,974
Health Care — 0.51%
Cardinal Health, Inc.
3.05%	10/02/09	2		1,827,000		1,794,828
Community Health Systems, Inc.
8.88%	07/15/15			250,000		252,812
UnitedHealth Group, Inc.
4.88%	02/15/13			7,348,000		7,117,457
						9,165,097
Insurance — 0.53%
Farmers Insurance Exchange
6.00%	08/01/14	4		1,900,000		1,910,771
Metropolitan Life Global Funding I
5.13%	04/10/13	4		7,780,000		7,668,871
						9,579,642
Real Estate Investment Trust (REIT) — 4.13%
Camden Property Trust
4.38%	01/15/10			2,068,000		2,016,310
CPG Partners LP
3.50%	03/15/09			400,000		395,325
8.25%	02/01/11			4,640,000		4,948,504
Duke Realty LP
5.63%	08/15/11			8,550,000		8,306,316
6.25%	05/15/13			9,000,000		8,836,281
First Industrial LP
5.25%	06/15/09			4,080,000		4,049,890
HCP, Inc.
6.45%	06/25/12			4,000,000		3,870,466
HCP, Inc. (MTN)
3.23%	09/15/08	2		10,605,000		10,550,915
Kimco Realty Corp. (MTN)
3.95%	08/05/08			1,650,000		1,649,422
Reckson Operating Partnership LP
7.75%	03/15/09			7,750,000		7,668,788
Rouse Co. LP (The)
3.63%	03/15/09			6,655,000		6,435,891
Shurgard Storage Centers LLC
7.75%	02/22/11			1,500,000		1,594,662
Simon Property Group LP
3.75%	01/30/09			2,360,000		2,356,672
7.00%	07/15/09			3,658,000		3,684,956
7.13%	02/09/09			4,280,000		4,343,140
Weingarten Realty Investors A (MTN)
8.25%	01/22/10			3,800,000		3,971,388
						74,678,926
Secured Assets — 0.26%
Ingress I Ltd. B-A
7.38%	03/30/40	4,†		5,490,000		4,762,602
Services — 0.05%
Mobile Mini, Inc.
6.88%	05/01/15			375,000		324,375
United Rentals North America, Inc.
6.50%	02/15/12			425,000		384,625
7.00%	02/15/14			125,000		97,500
						806,500
Transportation — 2.19%
Air 2 US A
8.03%	10/01/19	4,6		1,744,749		1,544,103
American Airlines, Inc. 1999-1 A2
7.02%	10/15/09			1,375,000		1,340,625
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			6,189,923		5,843,871
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		1,739,742		1,539,672
Continental Airlines, Inc. 1999-2
7.06%	09/15/09			8,500,000		8,266,250

14

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	6	$	3,663,893	$	3,535,656
Delta Air Lines, Inc. 2001-1 A1
6.62%	03/18/11	6		6,549,511		6,320,278
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	6		7,861,000		7,271,425
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,500,000		1,383,750
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
						39,637,145
Total Corporates (Cost $493,650,063)						473,399,765
BANK LOANS — 1.47%*
Automotive — 0.01%
Metaldyne Corp.
0.00%	01/11/14			250,000		167,500
Communications — 0.15%
Cebridge 2nd Lien (PIK)
8.87%	05/05/14	7		2,482,486		2,200,103
Charter Communications, Inc. Term Loan 3rd Lien
5.30%	09/06/14	7		500,000		417,500
Univision Communications, Inc. 1st Lien Strip
5.12%	03/15/14	7		125,000		103,203
						2,720,806
Electric — 0.34%
Calpine CCFC I Term Loan
8.80%	08/26/09	7		5,350,000		5,376,750
TPF Generation Holdings LLC 2nd Lien
7.05%	12/15/14	7		250,000		227,292
TXU Energy Term Loan B3
6.26%	10/10/14			496,250		460,039
						6,064,081
Health Care — 0.52%
Carestream Health, Inc. Term Loan
8.01%	10/30/13	7		500,000		358,334
HCA Term Loan A
4.80%	11/18/12	7		9,704,122		9,104,145
						9,462,479
Insurance — 0.01%
Asurion Corp. Term Loan
5.78%	07/13/14	7		250,000		232,917
Materials — 0.02%
Lyondell Basell Industries
7.00%	12/20/14			349,125		305,484
Services — 0.04%
Cengage Learning Term Loan B
4.98%	07/09/14	7		744,375		677,940
Transportation — 0.38%
Delta Air Lines, Inc. Term Loan 1st Lien
4.90%	05/01/12	7		1,485,000		1,232,550
Northwest Air Dip
4.48%	05/21/12	7		6,940,000		5,251,269
Swift Transportation Co., Inc. Term Loan
6.13%	05/06/14	7		220,930		178,125
United Air Lines, Inc.
4.78%	02/01/14	7		356,111		267,677
						6,929,621
Total Bank Loans (Cost $29,379,264)						26,560,828
MORTGAGE-BACKED — 45.80%**
Commercial Mortgage-Backed — 6.11%
Banc of America Commercial Mortgage, Inc. 2004-5 A2
4.18%	11/10/41			14,572,581		14,489,631
Bayview Commercial Asset Trust 2006-3A A1
2.73%	10/25/36	2,4,†		6,039,311		4,952,268
Bear Stearns Adjustable Rate Mortgage Trust 2005-4 2A3
4.45%	08/25/35	2		19,000,000		18,498,195
CS First Boston Mortgage Securities Corp. 2004-C2 A1
3.82%	05/15/36			8,529,203		8,263,945
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			5,800,000		5,755,560
CS First Boston Mortgage Securities Corp. 2005-C4 A2
5.02%	08/15/38			16,265,000		16,221,280
Harborview Mortgage Loan Trust 2007-2 2A1A
2.64%	05/25/38	2		20,826,125		14,633,027
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			11,848,674		12,298,228
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36	2		14,916,733		15,358,977
						110,471,111

15

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 20.96%
Adjustable Rate Mortgage Trust 2005-1 1A1
6.25%	05/25/35	2	$	15,877,657	$	13,904,666
American Home Mortgage Assets 2007-2 A1
2.61%	03/25/47	2		25,064,931		18,736,663
American Home Mortgage Assets 2007-4 A2
2.67%	08/25/37	2,†		22,400,000		19,040,385
American Home Mortgage Investment Trust 2004-2 2A
4.50%	02/25/44	2		19,242,751		17,031,553
Banc of America Funding Corp. 2007-5 3A1
6.00%	07/25/37			13,284,418		12,885,617
Banc of America Mortgage Securities, Inc. 2005-2 1A6
5.50%	03/25/35			19,076,188		18,024,379
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4,†		1,370,147		370,089
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
2.68%	11/25/36	2		18,766,904		13,603,879
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
2.69%	06/25/37	2		20,999,721		14,627,471
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		794,917		215,124
BlackRock Capital Finance LP 1997-R2 AP
11.08%	12/25/35	2,4		16,769		16,778
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	2		9,761,733		9,004,018
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2		20,681,282		20,227,533
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%	03/25/37			26,253,991		26,368,873
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.66%	05/25/36	2,4		3,923,942		3,143,246
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2
6.50%	06/25/31			55,589		51,726
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		274,618		257,039
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	3,8,†		8,842,645		140,114
Countrywide Alternative Loan Trust 2005-27 2A1
4.88%	08/25/35	2		2,688,543		1,828,209
Countrywide Alternative Loan Trust 2005-59 1A1
2.81%	11/20/35	2		11,519,705		8,449,581
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			16,888,817		16,605,801
Countrywide Alternative Loan Trust 2006-OA12 A2
2.69%	09/20/46	2,†		5,520,006		3,726,151
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	3		33,235,548		1,173,630
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
0.00%	01/25/26	2,3,4,†		197,349		247
Downey Savings & Loan Association
Mortgage Loan Trust 2005-AR2 2A1A
2.69%	03/19/45	2		4,913,690		3,819,316
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
4.47%	04/19/47	2		19,628,710		14,112,334
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	3,8		10,729,066		115,673
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
3.09%	03/19/37	2,3		5,364,396		160,094
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
3.97%	05/19/47	2,3		6,301,835		194,963
Impac CMB Trust 2005-5 A1
2.80%	08/25/35	2		7,464,923		5,659,971
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.87%	12/25/34	2		1,187,627		980,789
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	3,8		4,585,293		51,585
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
2.88%	11/25/34	2		3,552,181		3,010,350
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
7.25%	01/25/34	2		325,564		303,798
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
6.23%	06/25/34	2		464,996		401,542
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A
4.64%	12/25/46	2		22,939,680		15,490,707
MASTR Seasoned Securities Trust 2004-1 4A1
6.79%	10/25/32	2		1,231,976		1,182,960
MASTR Seasoned Securities Trust 2005-1 4A1
5.86%	10/25/32	2		3,309,379		3,015,362

16

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31		$	1,665,305	$	1,726,055
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			4,176,713		3,972,305
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			8,314,114		8,516,019
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			17,010,183		16,413,180
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.14%	12/27/35	2		19,809,344		17,063,012
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
2.68%	10/25/36	2		19,077,865		13,619,069
Thornburg Mortgage Securities Trust 2007-1 A2B
2.58%	03/25/37	2		19,879,192		18,651,362
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
4.30%	04/25/47	2		18,223,952		13,252,733
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		463,626		448,283
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
2.81%	01/25/45	2		1,882,136		1,456,825
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X
0.99%	06/25/46	3,8,†		337,270,199		2,318,870
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
4.78%	07/25/46	2,†		12,074,005		10,021,430
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			4,025,719		3,894,077
						379,285,436
U.S. Agency Mortgage-Backed — 18.73%
Fannie Mae 1997-76 FS
2.95%	09/17/27	2		78,552		75,959
Fannie Mae 2003-90 UD (IO)
5.50%	10/25/26			4,411,357		178,724
Fannie Mae 2006-77 PD
6.50%	10/25/30			22,687,182		23,437,931
Fannie Mae 2006-B2 AB
5.50%	05/25/14			12,597,781		12,837,935
Fannie Mae 2007-54 FA
2.88%	06/25/37	2		26,804,086		26,465,124
Fannie Mae 2007-64 FA
2.95%	07/25/37	2,†		26,854,926		26,157,665
Fannie Mae 2007-83 PA
6.00%	03/25/29			11,216,451		11,401,513
Fannie Mae Pool 555177
4.87%	01/01/33	2		114,963		117,444
Fannie Mae Pool 567002
8.00%	05/01/23			183,511		198,381
Fannie Mae Pool 691241
5.65%	04/01/37	2		9,575,380		9,630,885
Fannie Mae Pool 735686
6.50%	12/01/22			4,869,067		5,031,373
Fannie Mae Pool 745383
5.63%	12/01/35	2		4,280,754		4,311,735
Fannie Mae Pool 770333
5.03%	04/01/34	2		2,435,426		2,474,754
Fannie Mae Pool 770900
4.33%	04/01/34	2		1,049,392		1,058,087
Fannie Mae Pool 805256
5.94%	01/01/35	2		2,744,987		2,765,373
Fannie Mae Pool 817611
5.34%	11/01/35	2		4,803,772		4,819,519
Fannie Mae Pool 887714
6.06%	08/01/36	2		15,169,915		15,494,790
Fannie Mae Pool 888256
5.85%	02/01/37	2		13,227,814		13,333,049
Fannie Mae Pool 888412
7.00%	04/01/37			16,814,035		17,464,199
Fannie Mae Pool 889063
6.50%	11/01/37			19,613,250		20,204,711
Fannie Mae Pool 942553
5.95%	08/01/37	2		25,985,845		26,422,433
Fannie Mae Prepayment Link Note 2005-2 1
4.00%	02/25/10			4,087,822		4,059,321
Freddie Mac 2174 PN
6.00%	07/15/29			5,081,164		5,226,196
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			1,042,910		107,963
Freddie Mac 3205 PB
6.00%	08/15/29			16,145,000		16,665,723
Freddie Mac 3437 BI
1.55%	05/15/12	†		131,375,960		4,024,062
Freddie Mac 3447 AI
1.24%	03/15/12	†		60,980,406		1,600,730
Freddie Mac Gold A24156
6.50%	10/01/31			2,044,069		2,126,111
Freddie Mac Gold C46104
6.50%	09/01/29			63,415		66,059
Freddie Mac Gold G02461
6.50%	11/01/36			15,555,492		16,309,917
Freddie Mac Gold G11707
6.00%	03/01/20			3,995,978		4,095,267

17

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G13032
6.00%	09/01/22		$	23,175,501	$	23,753,078
Freddie Mac Non Gold Pool 1B1928
6.21%	08/01/34	2		3,748,928		3,793,691
Freddie Mac Non Gold Pool 1L0113
6.83%	05/01/35	2		3,101,256		3,202,611
Freddie Mac Non Gold Pool 1Q0196
5.92%	02/01/37	2		20,929,746		21,328,443
Freddie Mac Non Gold Pool 781469
4.38%	04/01/34	2		2,464,771		2,479,595
Freddie Mac Non Gold Pool 786781
6.89%	08/01/29	2		237,741		242,134
Freddie Mac Non Gold Pool 847288
4.21%	05/01/34	2		4,026,297		4,081,808
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			1,432,087		160,934
Ginnie Mae 2003-40 IW (IO)
5.50%	07/20/29			3,773		1
Ginnie Mae I Pool 422972
6.50%	07/15/29			74,492		77,404
Ginnie Mae II Pool 1849
8.50%	08/20/24			2,099		2,311
Ginnie Mae II Pool 2020
8.50%	06/20/25			5,878		6,476
Ginnie Mae II Pool 2286
8.50%	09/20/26			5,114		5,614
Ginnie Mae II Pool 2487
8.50%	09/20/27			23,883		26,212
Ginnie Mae II Pool 80589
5.50%	03/20/32	2		225,696		227,272
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		1,425,234		1,439,764
						338,990,281
Total Mortgage-Backed (Cost $868,421,272)						828,746,828
Total Bonds – 95.68% (Cost $1,894,237,905)						1,731,169,398

Issues	Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.19%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.	$	128,837,000	$	2,013,323
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		1,486,516
Total Purchased Swaptions (Cost $1,394,654)				3,499,839

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 10.69%
Commercial Paper — 0.55%
BNP Paribas Finance, Inc.
2.38%	07/02/08		$	10,000,000	$	9,999,340
Money Market Fund — 0.03%
Bank of New York Cash Reserves				301,567		301,567
Goldman Sachs Group, Inc. (The), 2.35%				274,000		274,000
						575,567
U.S. Agency Discount Notes — 10.11%
Fannie Mae
2.01%9	07/21/08			1,545,000		1,543,245
2.06%9	07/14/08			2,400,000		2,398,262
2.07%9	07/21/08			4,631,000		4,625,739
2.10%9	07/21/08	10		855,000		854,025
2.11%9	07/21/08			5,603,000		5,596,447
2.12%9	07/21/08			1,314,000		1,312,455
2.12%9	07/21/08			948,000		946,889
2.13%9	07/21/08			2,858,000		2,854,623
2.13%9	07/21/08			1,732,000		1,729,950
2.16%9	07/21/08			1,359,000		1,357,377
2.18%9	07/30/08			5,065,000		5,056,146
Federal Home Loan Bank
2.08%9	07/21/08			5,044,000		5,038,199
2.20%9	07/18/08			8,175,000		8,166,507
Freddie Mac
1.99%9	07/21/08			615,000		614,301
1.99%9	07/21/08			941,000		939,931
1.99%9	07/21/08			2,613,000		2,610,032
2.04%9	07/21/08			677,000		676,231
2.05%9	07/14/08			670,000		669,515
2.05%9	07/21/08			297,000		296,663
2.06%9	07/14/08			430,000		429,689

18

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
2.06%9	07/21/08	10	$	141,000		$	140,754
2.06%9	07/21/08			10,285,000			10,273,304
2.06%9	07/21/08			70,978,000			70,897,369
2.07%	07/14/08			8,395,000			8,388,921
2.08%9	07/21/08			9,555,000			9,544,145
2.18%9	07/21/08			620,000			619,252
2.24%9	07/23/08			35,300,000			35,251,678
							182,831,649
Total Short Term Investments (Cost $ 193,406,351)							193,406,556
Total Investments – 106.56%
(Cost $ 2,089,038,910)1							1,928,075,793
Liabilities in Excess of Other Assets – (6.56)%							(118,640,891	)
Net Assets – 100.00%						$	1,809,434,902
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	)	$	(3,296,474	)
Total Written Swaptions			$	(1,394,624	)	$	(3,296,474	)
Contracts						Unrealized Depreciation
FUTURES CONTRACTS: LONG POSITIONS
162                  U.S. Treasury Two Year Note, September 2008						$	(4,719	)
Net unrealized depreciation						$	(4,719	)
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 3.95% quarterly. Counterparty: Barclays Capital, Inc.	12/15/10		$	79,400		$	420,468
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston	09/03/08			109,730			(131,960	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston	06/11/09			49,880			125,694
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.75% quarterly. Counterparty: Morgan Stanley	06/17/09			49,880			422,443
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04 % semi-annually. Counterparty: Citigroup, Inc.	12/15/10			65,330			478,455
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston	12/15/10			93,360			478,925
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc.	12/15/10			44,060			233,322
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc.	06/10/11			49,880			(46,670	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.02% semi-annually. Counterparty: Merrill Lynch & Co., Inc	06/11/11			30,000			137,629
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc.	06/11/11			83,130			(115,700	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.48% quarterly. Counterparty: Morgan Stanley	06/13/11			39,900			142,358
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			264,054
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			292,662

19

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.	05/18/17	$	24,800	$	1,251,849
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		584,670
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		585,967
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		31,762
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		88,194
The Fund pays a fixed rate equal to 5.00% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Merrill Lynch & Co., Inc.	10/18/17		3,810		39,509
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston	06/03/19		26,730		(96,099	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc.	06/10/19		12,150		(130,576	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston	06/11/19		12,150		(76,479	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc.	06/11/19		20,250		(80,914	)
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% quarterly. Counterparty: Morgan Stanley	06/13/19		9,720		(86,282	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.20% quarterly. Counterparty: Morgan Stanley	06/17/19		12,150		(259,197	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		7,000		(60,446	)
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		(198,263	)
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		(68,455	)
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		(308,293	)
				$	3,918,627
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		106,793
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		249,591
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		23,158
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		614,300
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		(34,601	)

20

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	(14,405	)
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		(35,224	)
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		(50,566	)
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		64,232
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		81,116
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		51,069
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		11,451
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		13,719
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		31,993
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		20,702
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		164,516
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		30,665
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		48,215
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		6,945,032
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		109,992
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		105,443
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		63,979
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		83,475
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		5,533
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		21,515
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		8,638

21

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	28,832
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		45,688
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		47,567
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		(246,618	)
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		(24,412	)
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		(24,412	)
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		150,036
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		72,966
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		74,505
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		(83,864	)
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		(16,085	)
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		282,966
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		705,534
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		98,747
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		212,949
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		96,526
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		10,300		717,799
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		(74,092	)
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		(80,158	)
				$	10,704,805
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		(7,250	)
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		(1,831,805	)

22

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley	08/25/37	$	3,200	$	(1,624,624	)
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		(1,881,929	)
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		(1,836,361	)
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		(5,903,473	)
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		(355,325	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.	08/25/37		2,000		(1,015,215	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		5,000		(2,538,037	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		3,000		(1,522,837	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		2,000		(1,080,922	)
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		(3,350,776	)
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: Citigroup, Inc.	01/25/38		3,020		(2,680,621	)
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		(15,275,989	)
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		(1,788,560	)
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		(5,769,549	)
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		(1,278,177	)
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		(1,278,177	)
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		(1,278,177	)
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		(1,775,246	)
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		(6,033,760	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		10,000		(5,404,174	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		1,900		(1,028,240	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		4,000		(2,161,669	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		6,000		(3,242,504	)

23

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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 the ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38	$	5,000	$	(4,656,256	)
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		10,000		(9,312,512	)
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		(10,722,484	)
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		(1,278,177	)
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		(1,784,122	)
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		(1,792,998	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		3,000		(2,384,504	)
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		(8,162,852	)
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		(4,081,426	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		3,000		(2,384,475	)
				$	(118,503,203	)

Notes:

¹ Cost for financial reporting purposes is $2,089,038,910 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	17,241,338
Gross unrealized depreciation		(178,204,455	)
Net unrealized (depreciation)	$	(160,963,117	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $143,451,959 representing 7.93% of total net assets.

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

⁶ Expected maturity date.

⁷ Non-Rule 144A 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, 5.78%, 07/13/14	$	247,846	$	232,917	0.01	%
05/02/08	Calpine CCFC I Term Loan, 8.80%, 08/26/09		5,386,953		5,376,750	0.30	%
06/01/07	Carestream Health, Inc. Term Loan, 8.01%, 10/30/13		505,740		358,334	0.02	%
04/05/07	Cebridge 2nd Lien (PIK), 8.87%, 05/05/14		2,525,865		2,200,103	0.12	%
06/27/07	Cengage Learning Term Loan B, 4.98%, 07/09/14		737,946		677,940	0.04	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 5.30%, 09/06/14		502,636		417,500	0.02	%
04/25/07	Delta Air Lines, Inc. Term Loan 1st Lien, 4.90%, 05/01/12		1,485,000		1,232,550	0.07	%
10/10/07	HCA Term Loan A, 4.80%, 11/18/12		9,323,546		9,104,145	0.50	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		6,727,500		5,251,269	0.30	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 6.13%, 05/06/14		220,930		178,125	0.01	%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 7.05%, 12/15/14		240,312		227,292	0.01	%
02/01/07	United Air Lines, Inc., 4.78%, 02/01/14		356,111		267,677	0.01	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14		116,458		103,203	0.01	%
		$	28,376,843	$	25,627,805	1.42	%

⁸ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $173,276,650 which is 9.58% 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.

24

Low Duration Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

* 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

25

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 99.30%
ASSET-BACKED SECURITIES — 9.40%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	10,823	$	10,527
Bayview Financial Acquisition Trust 2005-A A1
2.98%	02/28/40	2,3,†		1,500,000		1,352,182
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
2.98%	12/28/40	2,3,†		1,500,000		1,245,083
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.67%	01/25/47	2		265,175		255,854
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	3,†		650,000		566,424
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
2.66%	03/25/37	2		500,000		400,391
Conseco Finance 2001-D A5
6.69%	11/15/32	2		233,216		229,875
Conseco Finance 2002-A A5 (STEP)
7.05%	04/15/32			273,074		272,528
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		335,344		305,420
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31	2		199,461		194,776
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
2.54%	04/25/37	2		1,044,464		1,004,036
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
2.71%	12/25/37	2		2,500,000		429,148
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			89		64
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			906,937		864,455
HFC Home Equity Loan Asset Backed Certificates 2007-2 M1
2.79%	07/20/36	2		500,000		371,643
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			752,210		695,759
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			249,204		229,278
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		45,014		42,895
MASTR Asset Backed Securities Trust 2006-WMC3 A4
2.64%	08/25/36	2,†		740,000		373,704
MASTR Asset Backed Securities Trust 2007-HE1 A1
2.56%	05/25/37	2		928,370		895,985
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
2.73%	06/25/37	2		1,500,000		746,614
Mid-State Trust 11 A1
4.86%	07/15/38			1,396,938		1,269,943
Mid-State Trust 2004-1 A
6.01%	08/15/37			367,618		359,016
Mid-State Trust 2004-1 B
8.90%	08/15/37			268,644		258,736
Mid-State Trust 2005-1 M2
7.08%	01/15/40			338,989		265,647
Morgan Stanley ABS Capital I 2006-HE6 A2B
2.58%	09/25/36	2		270,000		243,961
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19	2		206,875		164,252
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		246,479		205,154
Oakwood Mortgage Investors, Inc. 2002-B A1
2.70%	05/15/13	2		45,119		36,074
Option One Mortgage Loan Trust 2007-6 2A4
2.73%	07/25/37	2		1,200,000		628,295
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%	07/25/33			40,000		38,975
Resmae Mortgage Loan Trust 2006-1 A1B
2.75%	02/25/36	2,3		182,448		154,536
SG Mortgage Securities Trust 2006-FRE1 A1B
2.75%	02/25/36	2		147,545		134,693
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3,†		224,254		220,895
SVO VOI Mortgage Corp. 2003-AA A
3.95%	02/20/19	3		105,412		103,154
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		72,090		65,875
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	2,3		800,000		101,076
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		3,657		2,370
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			128,141		122,027
Total Asset-Backed Securities (Cost $16,454,385)						14,861,320
CORPORATES — 19.29%*
Banking — 4.40%
Bank of America Corp.
8.00%	12/29/49	2		600,000		563,034
8.13%	12/29/49	2		500,000		473,255

26

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Banponce Trust I A
8.33%	02/01/27		$	500,000	$	477,354
Credit Suisse/New York
5.00%	05/15/13			700,000		681,941
Deutsche Bank AG/London
4.88%	05/20/13			750,000		738,572
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		120,000		101,260
HBOS PLC
5.92%	09/29/49	2,3		775,000		552,701
6.75%	05/21/18	3		470,000		450,285
JPMorgan Chase & Co. 1
7.90%	12/31/49	2		380,000		357,363
JPMorgan Chase Bank NA
7.59%	03/28/22	2		460,000		429,732
8.75%	11/28/21	2		257,000		254,790
JPMorgan Chase Capital XIII M
3.75%	09/30/34	2		500,000		390,696
National Australia Bank Ltd.
5.35%	06/12/13	3		1,000,000		1,004,722
Nationsbank Capital Trust III
3.26%	01/15/27	2		600,000		471,722
						6,947,427
Communications — 0.42%
Qwest Corp.
5.63%	11/15/08			489,000		490,222
7.88%	09/01/11			175,000		175,875
						666,097
Electric — 1.64%
Cedar Brakes II LLC
9.88%	09/01/13	3		489,743		539,237
Entergy Louisiana LLC
5.83%	11/01/10			698,000		694,597
Power Receivables Finance LLC
6.29%	01/01/12			342,669		350,839
Public Service Co. of New Mexico
7.95%	05/15/18			475,000		489,549
Southwestern Electric Power Co.
6.45%	01/15/19			513,000		510,933
						2,585,155
Energy — 0.22%
Southern Union Co.
7.20%	11/01/66	2		435,000		353,190
Finance — 7.04%
Capital One Financial Corp. (MTN)
5.70%	09/15/11			780,000		742,424
Citigroup, Inc.
4.13%	02/22/10			470,000		463,641
5.30%	10/17/12			300,000		292,911
5.50%	04/11/13			620,000		605,731
8.40%	04/30/49	2		470,000		447,374
Countrywide Financial Corp. (MTN)
2.80%	09/02/08	2		500,000		496,196
2.87%	01/05/09	2		200,000		195,152
3.02%	03/24/09	2		525,000		504,258
5.80%	06/07/12			395,000		371,160
Countrywide Home Loans, Inc. L (MTN)
4.00%	03/22/11			425,000		387,155
Credit Suisse Guernsey Ltd. 1
3.37%	05/29/49	2		750,000		558,360
Ford Motor Credit Co. LLC
5.46%	01/13/12	2		300,000		213,395
7.25%	10/25/11			416,000		322,604
7.38%	02/01/11			123,000		99,871
8.63%	11/01/10			319,000		270,743
General Electric Capital Corp.
4.80%	05/01/13			775,000		760,050
GMAC LLC
4.88%	12/01/14	2		400,000		258,474
6.63%	05/15/12			600,000		411,929
6.88%	09/15/11			474,000		340,826
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	2		452,000		414,032
8.92%	02/16/17	2		260,000		198,848
11.00%	11/07/16	2		502,000		411,590
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		271,000		268,968
Merrill Lynch & Co., Inc. (MTN)
2.62%	05/18/17	2		380,000		346,750
8.68%	05/02/17	2		480,000		429,000
9.57%	06/06/17	2		272,000		251,600
Pemex Finance Ltd.
8.88%	11/15/10	†		250,000		264,963
Wachovia Bank NA
6.00%	11/15/17			625,000		584,607
Wachovia Corp. (MTN)
5.50%	05/01/13			230,000		220,362
						11,132,974
Health Care — 0.47%
UnitedHealth Group, Inc.
4.88%	02/15/13			760,000		736,155
Insurance — 1.26%
Allied World Assurance Co. Holdings Ltd.
7.50%	08/01/16			244,000		228,705
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			375,000		364,687

27

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
Metropolitan Life Global Funding I
5.13%	04/10/13	3	$	550,000	$	542,144
Nationwide Mutual Insurance Co.
6.60%	04/15/34	3		440,000		364,684
Stingray Pass-Through Trust
5.90%	01/12/15	3,4		225,000		33,750
ZFS Finance USA Trust I
6.15%	12/15/65	2,3		500,000		456,252
						1,990,222
Real Estate Investment Trust (REIT) — 2.50%
Colonial Realty LP
4.75%	02/01/10			586,000		570,768
CPG Partners LP
8.25%	02/01/11			630,000		671,888
Duke Realty LP
6.25%	05/15/13			790,000		775,629
HCP, Inc.
7.07%	06/08/15			160,000		152,017
HCP, Inc. (MTN)
5.95%	09/15/11			800,000		777,331
Prime Property Fund, Inc.
5.60%	06/15/11	3		206,000		203,736
WEA Finance LLC
7.13%	04/15/18	3		775,000		795,845
						3,947,214
Transportation — 1.34%
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		297,531		263,315
Continental Airlines, Inc. 1999-2 A1
7.26%	03/15/20	5		416,833		393,907
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	5		117,410		113,301
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	5		650,000		601,250
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			400,000		369,000
Northwest Airlines, Inc. 2001-1 A1
7.04%	10/01/23			246,220		228,369
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
						2,123,070
Total Corporates (Cost $32,354,919)						30,481,504
BANK LOANS — 0.91%*
Electric — 0.48%
Calpine CCFC I Term Loan
8.80%	08/26/09	6		750,000		753,750
Health Care — 0.43%
HCA Term Loan A
4.80%	11/18/12	6		726,260		681,358
Total Bank Loans (Cost $1,460,982)						1,435,108
MORTGAGE-BACKED — 49.60%**
Commercial Mortgage-Backed — 8.71%
Banc of America Commercial Mortgage, Inc. 2006-4 AM
5.68%	07/10/46			1,070,000		992,916
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			1,305,000		1,339,781
Bear Stearns Commercial Mortgage Securities, Inc. 2004-PWR6 A6
4.83%	11/11/41			1,300,000		1,222,732
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41			470,000		451,036
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.99%	06/10/46	2		1,070,000		1,008,500
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			370,000		348,179
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	2		1,300,000		1,226,606
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			505,000		471,570
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
6.07%	04/15/45	2		340,000		334,622
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.94%	02/12/49	2		1,605,000		1,527,305
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			290,000		269,336
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			1,000,925		1,038,902
Morgan Stanley Capital I 2006-HQ8 A4
5.56%	03/12/44	2		1,605,000		1,543,822
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			470,000		447,193

28

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
2.75%	08/25/35	2	$	1,976,619	$	1,535,103
						13,757,603
Non-Agency Mortgage-Backed — 7.99%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	2		997,593		942,334
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			206,353		199,593
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.76%	01/25/35	2,3		483,021		428,342
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.66%	05/25/36	2,3		517,949		414,899
Countrywide Alternative Loan Trust 2003-3T1 A2
4.50%	05/25/33			1,173,498		1,145,765
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	4,7,†		645,819		10,233
Countrywide Alternative Loan Trust 2005-27 2A1
4.88%	08/25/35	2		407,936		277,396
Countrywide Alternative Loan Trust 2005-27 3A2
4.63%	08/25/35	2		43,165		29,352
Countrywide Alternative Loan Trust 2005-72 A1
2.75%	01/25/36	2		1,113,226		869,577
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	4		2,640,368		93,238
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.07%	08/25/34	2		755,139		701,739
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			149,584		148,144
First Horizon Asset Securities, Inc. 2003-10 2A1
4.75%	01/25/19			719,087		683,139
First Union Commercial Mortgage Trust 1999-C1 A2
6.07%	10/15/35			259,371		259,667
GS Mortgage Securities Corp. II 2006-GG8 A4
5.56%	11/10/39			935,000		894,047
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	4,7		761,836		8,214
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	4,7		326,840		3,677
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.45%	10/25/34	2		234,242		225,827
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
2.88%	11/25/34	2		90,310		76,534
Lehman XS Trust 2007-12N 1A3A
2.68%	07/25/47	2		4,500,000		2,652,450
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			239,104		234,389
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			98,756		98,366
Residential Asset Mortgage Products, Inc. 2004-SL1 A7
7.00%	11/25/31			122,183		126,640
Residential Asset Securitization Trust 2004-IP2 2A1
5.23%	12/25/34	2		156,460		146,476
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
4.30%	04/25/47	2		987,019		717,775
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		26,441		25,566
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A
7.00%	03/25/34			116,608		113,119
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2
5.50%	04/25/36			1,155,653		1,106,163
						12,632,661
U.S. Agency Mortgage-Backed — 32.90%
Fannie Mae 1993-225 SG
16.94%	12/25/13	2		201,475		226,946
Fannie Mae 1993-80 S
7.82%	05/25/23	2		38,688		37,437
Fannie Mae 1994-55 S
13.60%	12/25/23	2		14,191		14,505
Fannie Mae 2001-52 YZ
6.50%	10/25/31			771,035		801,008
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			154,097		10,273
Fannie Mae 2006-B2 AB
5.50%	05/25/14			895,490		912,561
Fannie Mae 2007-64 FA
2.95%	07/25/37	2,†		2,157,985		2,101,955
Fannie Mae FNCL (TBA)
5.00%	07/25/38			1,175,000		1,126,348

29

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 253974
7.00%	08/01/31		$	45,702	$	47,962
Fannie Mae Pool 254868
5.00%	09/01/33			2,039,686		1,968,018
Fannie Mae Pool 527247
7.00%	09/01/26			214		227
Fannie Mae Pool 545646
7.00%	09/01/26			137		145
Fannie Mae Pool 549740
6.50%	10/01/27			121,447		125,537
Fannie Mae Pool 701297
6.35%	03/01/33	2		164,816		166,925
Fannie Mae Pool 725027
5.00%	11/01/33			1,967,543		1,897,296
Fannie Mae Pool 725425
5.50%	04/01/34			1,988,942		1,970,296
Fannie Mae Pool 735224
5.50%	02/01/35			1,989,259		1,972,747
Fannie Mae Pool 735686
6.50%	12/01/22			369,602		381,923
Fannie Mae Pool 735861
6.50%	09/01/33			534,658		555,783
Fannie Mae Pool 764388
4.96%	03/01/34	2		475,230		477,855
Fannie Mae Pool 770284
5.00%	04/01/34			2,123,273		2,045,143
Fannie Mae Pool 770869
4.52%	04/01/34	2		646,998		652,040
Fannie Mae Pool 776708
5.00%	05/01/34			1,181,764		1,138,764
Fannie Mae Pool 817611
5.34%	11/01/35	2		363,310		364,501
Fannie Mae Pool 888430
5.00%	11/01/33			1,566,824		1,510,883
Fannie Mae Pool 889125
5.00%	12/01/21			1,948,862		1,955,181
Fannie Mae Pool 889184
5.50%	09/01/36			1,899,547		1,883,519
Fannie Mae Pool 895606
5.74%	06/01/36	2		811,964		825,248
Fannie Mae Pool 939419
5.63%	05/01/37	2		1,067,691		1,080,030
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		15,495
Freddie Mac 2174 PN
6.00%	07/15/29			370,738		381,321
Freddie Mac 2451 SP
11.50%	05/15/09	2		44,839		44,782
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			243,359		25,193
Freddie Mac Gold A25162
5.50%	05/01/34			1,751,700		1,735,004
Freddie Mac Gold A33262
5.50%	02/01/35			208,127		206,020
Freddie Mac Gold A72702
5.50%	02/01/38			1,825,452		1,804,060
Freddie Mac Gold G01548
7.50%	07/01/32			1,189,058		1,303,649
Freddie Mac Gold G01644
5.50%	02/01/34			1,728,264		1,712,601
Freddie Mac Gold G01673
5.50%	04/01/34			90,688		90,196
Freddie Mac Gold G02366
6.50%	10/01/36			1,211,149		1,266,496
Freddie Mac Gold G03436
6.00%	11/01/37			2,370,701		2,409,873
Freddie Mac Gold G03640
5.50%	12/01/37			1,760,424		1,736,219
Freddie Mac Gold G04079
5.50%	03/01/38			2,000,633		1,973,124
Freddie Mac Gold G12393
5.50%	10/01/21			2,182,986		2,202,940
Freddie Mac Gold G12909
6.00%	11/01/22			1,536,609		1,576,825
Freddie Mac Gold G13032
6.00%	09/01/22			1,811,609		1,856,758
Freddie Mac Gold J06246
5.50%	10/01/21			1,550,251		1,566,739
Freddie Mac Non Gold Pool 1B3413
5.95%	05/01/37	2		1,453,117		1,474,339
Ginnie Mae (TBA)
5.50%	07/15/38			2,000,000		1,990,312
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			161,742		18,176
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			55,761		521
Ginnie Mae 2004-8 SE
9.34%	11/26/23	2		237,367		234,740
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		111,540		112,677
						51,989,116
Total Mortgage-Backed (Cost $78,786,231)						78,379,380
MUNICIPAL BONDS — 1.48%*
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		80,026

30

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
Massachusetts — 0.79%
Commonwealth of Massachusetts, Consolidated Loans, G.O., Series E, Pre-Refunded 01/01/13 @ 100 (MBIA-IBC)
5.38%	01/01/17	$	170,000	$	182,565
Commonwealth of Massachusetts, Fuel Sales Tax Revenue Bonds, Series A, Pre-Refunded 06/01/12 @ 100 (FGIC)
5.38%	06/01/19		140,000		149,513
Commonwealth of Massachusetts, G.O., Pre-Refunded 01/01/13 @ 100 (XLCA-ICR)
5.25%	01/01/17		245,000		260,278
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA)
5.25%	01/01/18		215,000		229,784
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA)
5.50%	03/01/19		260,000		277,711
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC)
5.00%	08/01/22		140,000		148,646
					1,248,497
South Carolina — 0.10%
Greenville County School District, School Improvements Revenue Bonds, Pre-Refunded 12/01/12 @ 101 OID
5.50%	12/01/28		150,000		164,091
Texas — 0.54%
County of Galveston, Public Improvements G.O., Series C, Pre-Refunded 02/01/13 @ 100 OID (AMBAC)
5.00%	02/01/28		240,000		255,830
County of Harris, Flood Control District Contract G.O., Series B, Refunded 10/01/13 @ 100
5.25%	10/01/20		313,000		340,112
5.25%	10/01/20		25,000		27,166
North Texas Tollway Authority, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 01/01/15 @ 100 (FSA)
5.00%	01/01/30		215,000		230,235
					853,343
Total Municipal Bonds
(Cost $2,379,924)					2,345,957
U.S. TREASURY SECURITIES — 18.62%
U.S. Treasury Notes — 18.62%
2.50%	03/31/13		3,667,000		3,538,945
3.63%	12/31/12		5,539,000		5,622,518
4.25%	09/30/12		7,041,000		7,333,096
4.25%	11/15/14		1,817,000		1,897,631
4.75%	05/31/12		6,483,000		6,857,296
5.13%	05/15/16		3,838,000		4,185,822
					29,435,308
Total U.S. Treasury Securities (Cost $29,188,863)					29,435,308
Total Bonds – 99.30% (Cost $160,625,304)					156,938,577

	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.
	$	8,052,000	125,828
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	92,874
Total Purchased Swaptions (Cost $87,151)			218,702

31

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS — 9.51%
Commercial Paper — 1.35%
BNP Paribas Finance, Inc.
2.38%8	07/02/08		$	660,000		$	659,956
Rabobank USA Finance Corp.
2.36%8	07/21/08			1,480,000			1,478,068
							2,138,024
Money Market Fund — 0.45%
Goldman Sachs Group, Inc. (The), 2.35%				702,000			702,000
U.S. Agency Discount Notes — 7.71%
Fannie Mae
2.13%8	07/21/08			517,000			516,388
2.18%8	08/04/08			2,080,000			2,075,737
Federal Home Loan Bank
2.09%8	07/21/08			997,000			995,843
2.16%8	07/11/08			295,000			294,823
2.21%8	07/29/08			1,140,000			1,138,049
2.23%8	07/25/08			1,415,000			1,412,896
Freddie Mac
2.00%8	07/21/08			532,000			531,396
2.06%8	07/21/08			331,000			330,624
2.06%8	07/21/08			3,855,000			3,850,621
2.07%8	07/21/08			964,000			962,905
2.33%8	07/11/08	9		76,000			75,867
							12,185,149
Total Short Term Investments (Cost $15,025,255)							15,025,173
Total Investments – 108.95% (Cost $175,737,710)1							172,182,452
Liabilities in Excess of Other Assets – (8.95)%							(14,149,666	)
Net Assets – 100.00%						$	158,032,786
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	)	$	(206,030	)
Total Written Swaptions			$	(87,163	)	$	(206,030	)
Contracts						Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
4                    U.S. Treasury Two Year Note, September 2008						$	150
52                    U.S. Treasury Five Year Note, September 2008							(5,616	)
Net unrealized depreciation						$	(5,466	)
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 4.20% quarterly. Counterparty: CS First Boston	09/03/08		$	9,480		$	(11,401	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston	06/11/09			4,310			10,861
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.75% quarterly. Counterparty: Morgan Stanley	06/17/09			4,310			36,502
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04 % semi-annually. Counterparty: Citigroup, Inc.	12/15/10			780			5,713
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston	12/15/10			1,340			6,874
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc.	12/15/10			1,880			9,956
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			22,378
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.37% semi-annually. Counterparty: Barclays Capital, Inc.	04/30/11			555			24,633
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.48% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.	04/30/11			826			39,271
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc.	06/10/11			4,310			(4,033	)

32

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc.	06/11/11	$	7,180	$	(9,993	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.48% quarterly. Counterparty: Morgan Stanley	06/13/11		3,450		12,309
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		(20,043	)
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		(17,770	)
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		80,765
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		36,616
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		250
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		464
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		311
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston	06/03/19		2,310		(8,305	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc.	06/10/19		1,050		(11,284	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston	06/11/19		1,050		(6,609	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc.	06/11/19		1,750		(6,993	)
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% quarterly. Counterparty: Morgan Stanley	06/13/19		840		(7,456	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.20% quarterly. Counterparty: Morgan Stanley	06/17/19		1,050		(22,400	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		500		(4,318	)
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		(3,912	)
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		(19,111	)
				$	133,275
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		43,803
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		6,282
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		13,866

33

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	2,396
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		39,378
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		(1,460	)
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		(576	)
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		(1,393	)
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		(1,896	)
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		916
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		748
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		2,070
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		1,317
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		12,581
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		1,804
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		3,402
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		3,542
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		364
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		4,125
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		5,375
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		3,280
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		7,751
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		6,590
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		4,150
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		2,630

34

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	195,074
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		1,373
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		513
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		2,544
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		20,113
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		(18,683	)
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		(2,034	)
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		(2,034	)
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		(3,162	)
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		(9,931	)
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		(804	)
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		17,685
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		52,262
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		7,053
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		11,831
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		885		61,675
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		(6,174	)
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		(9,492	)
				$	478,854
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		(537	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley	08/25/37		180		(91,385	)

35

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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: Barclays Capital, Inc.	08/25/37	$	105	$	(95,691	)
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		(95,691	)
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		(383,244	)
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		(65,989	)
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		(100,248	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		750		(380,705	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		400		(203,045	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		750		(405,346	)
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 01/25/38. Counterparty: Citigroup, Inc.	01/25/38		105		(93,200	)
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		(186,401	)
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		(177,525	)
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		160		(142,020	)
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		(954,195	)
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		(93,200	)
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		(332,859	)
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		(75,448	)
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		(84,324	)
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		(84,324	)
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		(84,324	)
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		(350,611	)
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		(142,020	)
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		(124,267	)
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		(540,417	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		100		(54,118	)

36

Intermediate Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38	$	500	$	(270,209	)
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		(167,625	)
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		(600,657	)
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		(97,639	)
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		(84,324	)
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		(631,886	)
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		(317,930	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		250		(198,706	)
				$	(7,710,110	)

Notes:

¹ Cost for financial reporting purposes is $175,737,710 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	2,078,440
Gross unrealized depreciation		(5,633,698	)
Net unrealized (depreciation)	$	(3,555,258	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $10,045,397 representing 6.36% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Non-Rule 144A 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
05/09/08	Calpine CCFC I Term Loan, 8.80%, 08/26/09	$	754,405	$	753,750	0.48	%
10/23/07	HCA Term Loan A, 4.80%, 11/18/12		706,577		681,358	0.43	%
		$	1,460,982	$	1,435,108	0.91	%

⁷ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁸ Represents annualized yield at date of purchase.

⁹ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $6,440,859 which is 4.08% 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

(IBC): Insured Bond Certificate

(ICR): Insured Capital Receipts

(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

(XLCA): XL Capital Assurance

37

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS — 84.41%
ASSET-BACKED SECURITIES — 6.28%**
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F
7.72%	06/25/28	2,3	$	31,900	$	8,608
Asset Backed Funding Certificates 2006-HE1 A2D
2.70%	01/25/37	3		18,144,000		9,344,160
Asset Backed Funding Certificates 2006-OPT2 A3D
2.70%	10/25/36	3		8,375,000		5,445,057
Asset Backed Funding Certificates 2007-WMC1 A2B
3.48%	06/25/37	3		41,977,000		24,320,424
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
5.47%	08/15/33	3		6,688,469		5,352,962
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%	04/28/39			9,784,000		7,963,256
Bear Stearns Asset Backed Securities Trust 2007-2 A1
2.67%	01/25/47	3		2,983,214		2,878,358
Birch Real Estate CDO Ltd. 1A A1
5.16%	02/10/38	4,†		2,205,000		1,921,486
BNC Mortgage Loan Trust 2007-1 A3
2.58%	03/25/37	3		12,881,000		11,807,683
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
3.48%	07/25/37	3,†		3,090,000		556,216
Conseco Finance 2001-C A5 (STEP)
7.29%	08/15/33			6,474,746		6,349,567
Countrywide Asset-Backed Certificates 2007-6 2A1
2.58%	09/25/37	3		15,642,464		14,748,776
Embarcadero Aircraft Securitization Trust 2000-A A1
2.95%	08/15/25	3,4,†		1,638,327		1,376,203
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29	†		161,829		24,275
Genesis Funding Ltd. 2006-1A G1
2.72%	12/19/32	3,4,†		12,600,000		9,670,637
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.74%	05/15/35	2,3		103,760,348		1,460,479
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3
5.71%	10/15/38			28,350,000		28,487,194
GMAC Commercial Mortgage Securities, Inc. 2004-C3 A4
4.55%	12/10/41			435,000		422,588
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			425,266		348,711
Indymac Residential Asset Backed Trust 2007-A 2A4A
2.80%	04/25/47	3		6,256,000		3,788,083
Inman Square Funding Ltd. 2005-2A I
3.18%	10/06/40	2,3,4,†		3,734,054		2,053,728
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/29	4		1,060,809		1,058,451
Lehman XS Trust 2006-GP1 A4A
2.81%	05/25/46	2,3		33,789,331		14,601,982
Long Beach Mortgage Loan Trust 2006-11 2A4
2.71%	12/25/36	3,†		11,750,000		4,994,007
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C
2.73%	04/25/37	3		14,700,000		10,207,313
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	3		37,729,436		34,174,606
Nomura Asset Acceptance Corp. 2006-S1 A1
2.62%	01/25/36	3,4		876,670		822,219
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	3		357,394		297,474
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	3		2,567,524		2,180,510
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	3		1,293,619		1,146,153
PAMCO CLO 1998-1A B2
4.22%	05/01/10	3,4,†		2,277,365		2,004,133
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%	07/25/35			5,810,000		5,209,975
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	2,4,†		3,702,916		814,642
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			254,900		216,947
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			727,340		630,191
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.29%	02/25/25			390,842		341,094
Resmae Mortgage Loan Trust 2006-1 A1B
2.75%	02/25/36	3,4		6,865,190		5,814,899
Saxon Asset Securities Trust 2007-1 A2C
2.63%	01/25/47	3		8,135,000		6,038,968
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.61%	05/25/37	3		29,334,550		27,051,970

38

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SG Mortgage Securities Trust 2006-FRE1 A1B
2.75%	02/25/36	3	$	5,132,501	$	4,685,417
Signature 5 CBO
0.76%	10/15/09	2,†		2,000,000		200,011
Soundview Home Equity Loan Trust 2006-EQ1 A3
2.64%	10/25/36	3		19,051,000		15,958,184
Soundview Home Equity Loan Trust 2006-EQ1 A4
2.73%	10/25/36	3		6,350,000		3,849,596
Soundview Home Equity Loan Trust 2006-EQ2 A4
2.72%	01/25/37	3		11,864,000		6,718,537
Soundview Home Equity Loan Trust 2007-NS1 A4
2.78%	01/25/37	3		12,355,000		7,597,051
Structured Asset Investment Loan Trust 2005-11 M8
4.98%	01/25/36	3,†		3,586,920		179,366
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	4,†		6,157,555		6,065,323
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	4,†		1,529,194		1,506,123
Structured Asset Securities Corp. 2007-EQ1 A4
2.73%	03/25/37	3		26,325,800		17,491,493
Terwin Mortgage Trust 2005-7SL A1
2.75%	07/25/35	3,4		221,950		213,717
Terwin Mortgage Trust 2006-2HGS A2
4.50%	03/25/37	3,4		15,370,000		1,941,926
Terwin Mortgage Trust 2006-4SL A2
4.50%	05/25/37	2,3,4,†		23,030,000		10,134,349
Terwin Mortgage Trust 2006-6 1A2
4.75%	07/25/37	2,3,†		42,500,000		27,839,638
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		27,500,000		4,147,712
Terwin Mortgage Trust 2007-9SL M1
3.98%	06/25/38	3,4		12,000,000		3,000,000
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27	3		5,280,000		5,156,927
Vertical CDO Ltd. 2007-1A A1J
3.20%	04/10/47	2,3,4,†		8,200,000		81,996
Total Asset-Backed Securities (Cost $463,052,734)						372,701,351
CORPORATES — 21.38%*
Automotive — 0.05%
General Motors Corp.
7.38%	05/23/48			5,200,000		2,574,000
Metaldyne Corp.
10.00%	11/01/13			200,000		105,000
						2,679,000
Banking — 5.47%
Bank of America Corp.
5.75%	12/01/17			8,500,000		7,996,647
8.00%	12/29/49	3		35,778,000		33,573,717
8.13%	12/29/49	3		10,000,000		9,465,100
Bank One Corp. (STEP)
9.88%	03/01/19			1,165,000		1,273,635
BankAmerica Capital II
8.00%	12/15/26			800,000		801,016
BankAmerica Institutional A
8.07%	12/31/26	4		350,000		352,138
Banponce Trust I A
8.33%	02/01/27			12,675,000		12,100,911
BNP Paribas SA (MTN)
9.23%	06/08/17	3		15,136,000		14,403,418
Credit Suisse/New York
5.00%	05/15/13			16,178,000		15,760,624
6.00%	02/15/18			28,802,200		27,783,898
Deutsche Bank AG/London
4.88%	05/20/13			15,490,000		15,253,979
HBOS Capital Funding LP
6.07%	06/24/49	3,4		7,853,000		6,797,777
HBOS PLC
5.92%	09/29/49	3,4		37,572,000		26,794,960
6.75%	05/21/18	4		12,570,000		12,042,739
JPMorgan Chase & Co.
6.40%	05/15/38			37,114,000		34,533,909
JPMorgan Chase & Co. 1
7.90%	12/31/49	3		44,027,000		41,404,312
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	3		2,500,000		2,196,500
JPMorgan Chase Capital XIII M
3.75%	09/30/34	3		3,250,000		2,539,524
National Australia Bank Ltd.
5.35%	06/12/13	4		25,750,000		25,871,586
National Australia Bank Ltd. A
8.60%	05/19/10			13,144,000		14,072,006
National Capital Trust II
5.49%	12/29/49	3,4		2,425,000		2,119,016
Nationsbank Capital Trust III
3.26%	01/15/27	3		8,514,000		6,693,732
Sovereign Capital Trust VI
7.91%	06/13/36			13,375,000		10,709,162
						324,540,306
Basic Industry — 0.04%
Freeport-McMoRan Copper & Gold, Inc.
5.88%	04/01/15	3		350,000		353,889
Massey Energy Co.
6.88%	12/15/13			1,500,000		1,470,000

39

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Basic Industry (continued)
Mosaic Co. (The)
7.38%	12/01/14	4	$	750,000	$	787,500
						2,611,389
Communications — 0.34%
Cincinnati Bell, Inc.
7.25%	07/15/13			525,000		514,500
Citizens Communications Co.
6.63%	03/15/15			1,400,000		1,256,500
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			3,075,000		3,051,938
Hawaiian Telcom Communications, Inc. B
9.75%	05/01/13			775,000		310,000
Idearc, Inc.
8.00%	11/15/16			900,000		570,375
Level 3 Financing, Inc.
8.75%	02/15/17			575,000		497,375
9.25%	11/01/14			250,000		228,750
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			750,000		710,625
Qwest Communications International, Inc.
7.25%	02/15/11			200,000		194,250
Qwest Communications International, Inc. B
7.50%	02/15/14			4,000,000		3,820,000
Qwest Corp.
5.63%	11/15/08			1,750,000		1,754,375
Rural Cellular Corp.
8.25%	03/15/12			1,850,000		1,905,500
Sprint Nextel Corp.
6.00%	12/01/16			800,000		689,086
Videotron Ltd.
9.13%	04/15/18	4		850,000		892,500
Windstream Corp.
8.13%	08/01/13			1,600,000		1,604,000
8.63%	08/01/16			500,000		501,250
						20,056,336
Consumer Products — 0.01%
Visant Holding Corp.
8.75%	12/01/13			550,000		541,750
Electric — 3.10%
Appalachian Power Co.
6.60%	05/01/09			9,671,000		9,836,167
Aquila, Inc.
9.95%	02/01/11			7,375,000		7,616,295
14.88%	07/01/12			1,000,000		1,167,500
Calpine Construction Finance Co., LP
11.50%	08/26/11	3,4		11,625,000		12,438,750
Cedar Brakes I LLC
8.50%	02/15/14	4		6,593,772		7,043,216
Cedar Brakes II LLC
9.88%	09/01/13	4		9,628,762		10,601,845
Cleco Power LLC
6.65%	06/15/18			20,000,000		20,019,960
Consolidated Edison Co. of New York, Inc. 08-A
5.85%	04/01/18			15,004,000		15,087,632
Entergy Gulf States Louisianna LLC
6.00%	05/01/18	4		17,500,000		17,106,215
Entergy Gulf States, Inc.
5.25%	08/01/15			4,600,000		4,344,176
FPL Group Capital, Inc.
5.35%	06/15/13			3,235,000		3,313,835
GWF Energy LLC
6.13%	12/30/11	4		2,631,090		2,702,324
Ipalco Enterprises, Inc.
7.25%	04/01/16	4		300,000		297,000
Kansas City Power & Light Co.
6.38%	03/01/18			7,025,000		7,060,427
Mirant Mid Atlantic LLC A
8.63%	06/30/12			17,259,345		18,208,609
Potomac Electric Power Co.
5.88%	10/15/08			125,000		125,445
Power Contract Financing LLC
6.26%	02/01/10	4		5,699,397		5,767,710
Public Service Co. of New Hampshire
6.00%	05/01/18			5,000,000		4,943,695
Public Service Co. of New Mexico
7.95%	05/15/18			17,849,000		18,395,715
Reliant Energy, Inc.
6.75%	12/15/14			3,680,000		3,772,000
SWEPCO Capital Trust I
5.25%	10/01/43	3		14,325,000		14,081,934
						183,930,450
Energy — 0.74%
AES Corp. (The)
8.75%	05/15/13	4		800,000		834,000
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			500,000		486,250
Chesapeake Energy Corp.
7.00%	08/15/14			500,000		492,500
Comstock Resources, Inc.
6.88%	03/01/12			850,000		839,375
Corral Finans AB (PIK)
4.21%	04/15/10	4		518,179		455,998
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		500,000		400,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		550,000		530,750

40

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Mirant Americas Generation LLC
8.30%	05/01/11		$	1,500,000	$	1,556,250
Newfield Exploration Co.
7.13%	05/15/18			825,000		785,812
NRG Energy, Inc.
7.38%	01/15/17			1,000,000		947,500
OPTI Canada, Inc.
7.88%	12/15/14			750,000		744,375
Pride International, Inc.
7.38%	07/15/14			250,000		250,625
Sabine Pass LNG LP
7.25%	11/30/13			16,425,000		15,028,875
Sonat, Inc.
7.63%	07/15/11			1,600,000		1,623,149
Southern Union Co.
7.20%	11/01/66	3		10,975,000		8,910,943
Tesoro Corp.
6.50%	06/01/17			1,025,000		925,062
Virginia Electric & Power Co.
5.10%	11/30/12			9,295,000		9,308,719
						44,120,183
Finance — 6.67%
ABX Financing Co.
6.35%	10/15/36	4		9,800,000		9,297,456
Bear Stearns Cos., Inc. (The) (MTN)
2.98%	07/16/09	3		8,910,000		8,812,248
Citigroup Capital XXI
8.30%	12/21/57	3		11,637,000		11,018,133
Citigroup, Inc.
5.50%	04/11/13			7,700,000		7,522,792
6.13%	05/15/18			30,504,000		29,244,276
6.88%	03/05/38			24,257,000		23,480,170
8.40%	04/30/49	3		13,219,000		12,582,637
Countrywide Financial Corp. (MTN)
2.80%	09/02/08	3		21,480,000		21,316,559
2.87%	01/05/09	3		11,365,000		11,089,496
3.02%	03/24/09	3		19,505,000		18,734,396
5.80%	06/07/12			11,150,000		10,477,054
Countrywide Financial Corp. A (MTN)
3.08%	12/19/08	3		5,000,000		4,891,925
Countrywide Home Loans, Inc. K (MTN)
5.63%	07/15/09			1,655,000		1,614,516
Countrywide Home Loans, Inc. L (MTN)
4.00%	03/22/11			20,645,000		18,806,625
Credit Suisse Guernsey Ltd. 1
3.37%	05/29/49	3		15,933,000		11,861,800
Ford Motor Credit Co. LLC
5.46%	01/13/12	3		3,809,000		2,709,410
7.16%	04/15/12	3		2,925,000		2,741,942
7.38%	10/28/09			4,851,000		4,419,504
7.80%	06/01/12			7,750,000		5,998,578
8.00%	12/15/16			2,750,000		2,001,348
General Electric Capital Corp.
5.63%	05/01/18			12,652,000		12,257,890
GMAC LLC
4.88%	12/01/14	3		46,633,000		30,133,592
6.63%	05/15/12			8,706,000		5,977,087
7.25%	03/02/11			2,700,000		1,985,626
GMAC LLC (MTN)
3.95%	09/23/08	3		9,000,000		8,863,767
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	3		12,736,000		11,666,176
2.53%	11/24/08	3		3,765,000		3,719,818
2.56%	07/22/08			5,000,000		4,997,835
2.85%	12/23/08	3		2,850,000		2,795,764
8.92%	02/16/17	3		7,103,000		5,432,374
11.00%	11/07/16	3		12,918,000		10,591,468
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	3		6,812,000		6,760,910
Merrill Lynch & Co., Inc. (MTN)
2.62%	05/18/17	3		2,625,000		2,395,313
4.50%	05/20/09	3		7,000,000		6,955,410
8.68%	05/02/17	3		1,795,000		1,604,281
9.57%	06/06/17	3		10,481,000		9,694,925
Onbank Capital Trust I
9.25%	02/01/27			10,200,000		10,663,433
Pemex Finance Ltd.
8.88%	11/15/10	†		250,000		264,963
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	3		7,992,000		7,581,211
Wachovia Bank NA
6.00%	11/15/17			21,022,000		19,663,369
Wachovia Corp.
7.98%	09/29/49	3		11,000,000		10,131,550
Woodbourne Capital Trust I
3.55%	04/08/49	2,3,4		1,350,000		877,500
Woodbourne Capital Trust II
3.56%	04/08/49	2,3,4		1,350,000		877,500
Woodbourne Capital Trust III
3.56%	04/08/49	2,3,4		1,350,000		877,500
Woodbourne Capital Trust IV
3.56%	04/08/49	2,3,4		1,350,000		877,500
						396,267,627
Health Care — 0.03%
Community Health Systems, Inc.
8.88%	07/15/15			1,250,000		1,264,063
Tenet Healthcare Corp.
7.38%	02/01/13			400,000		378,000
						1,642,063

41

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Industrials — 0.27%
General Electric Co.
5.25%	12/06/17		$	16,828,000	$	16,206,845
Insurance — 0.92%
Fairfax Financial Holdings Ltd.
7.75%	04/26/12			6,590,000		6,408,775
Farmers Exchange Capital
7.05%	07/15/28	4		2,926,000		2,681,495
7.20%	07/15/48	4		1,392,000		1,260,898
Farmers Insurance Exchange
8.63%	05/01/24	4		11,127,000		11,663,188
MetLife Capital Trust X
9.25%	04/08/38	3,4		11,500,000		12,416,182
Nationwide Mutual Insurance Co.
6.60%	04/15/34	4		15,939,000		13,210,689
ZFS Finance USA Trust I
6.15%	12/15/65	3,4		7,549,000		6,888,493
						54,529,720
Real Estate Investment Trust (REIT) — 2.25%
BRE Properties, Inc.
7.45%	01/15/11			9,280,000		9,541,677
Colonial Realty LP
4.75%	02/01/10			176,000		171,425
Developers Diversified Realty Corp.
4.63%	08/01/10			620,000		599,433
5.25%	04/15/11			3,430,000		3,295,102
5.38%	10/15/12			315,000		295,790
Equity One, Inc.
3.88%	04/15/09			270,000		264,641
First Industrial LP
5.25%	06/15/09			6,000,000		5,955,721
HCP, Inc.
6.45%	06/25/12			11,800,000		11,417,875
Highwoods Properties, Inc.
7.50%	04/15/18			6,730,000		6,405,352
Reckson Operating Partnership LP
7.75%	03/15/09			9,985,000		9,880,367
Shurgard Storage Centers LLC
7.75%	02/22/11			7,200,000		7,654,378
Simon Property Group LP
4.88%	08/15/10			24,080,000		23,517,178
5.30%	05/30/13			10,400,000		10,242,721
5.75%	05/01/12			2,025,000		2,026,671
6.13%	05/30/18			1,290,000		1,257,200
7.00%	07/15/09			1,750,000		1,762,896
UDR, Inc.
6.05%	06/01/13			3,100,000		3,015,742
UDR, Inc. (MTN)
5.00%	01/15/12			2,550,000		2,431,106
WEA Finance LLC
7.13%	04/15/18	4		33,240,000		34,134,056
						133,869,331
Secured Assets — 0.14%
Ingress I Ltd. B-A
7.38%	03/30/40	4,†		9,745,000		8,453,836
Services — 0.03%
Mobile Mini, Inc.
6.88%	05/01/15			750,000		648,750
United Rentals North America, Inc.
6.50%	02/15/12			1,000,000		905,000
7.00%	02/15/14			375,000		292,500
						1,846,250
Transportation — 1.32%
Air 2 US A
8.03%	10/01/19	4,5		2,604,318		2,304,821
American Airlines, Inc. 2001-2 A1
6.98%	04/01/11	3,5		66,462		64,136
American Airlines, Inc., AMBAC Assurance Corp. 2003-1
3.86%	07/09/10			3,144,481		2,968,686
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		2,214,089		1,959,469
Continental Airlines, Inc. 1999-2 A1
7.26%	03/15/20	5		7,088,509		6,698,641
Continental Airlines, Inc. 2000-1 A2
7.92%	05/01/10	5		2,000,000		1,910,000
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,500,000		2,006,250
Delta Air Lines, Inc.
6.82%	08/10/22			4,056,739		3,306,242
Delta Air Lines, Inc. 2000-1 A1
7.38%	05/18/10	5		4,402,870		4,248,770
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	5		26,843,000		24,829,775
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			23,190,000		21,392,775
United Air Lines, Inc. 2000-2 A1
7.03%	10/01/10	5		2,045,741		2,032,955
United Air Lines, Inc. 2001-1 A1
6.07%	03/01/13	5		4,714,236		4,731,915
						78,454,435
Total Corporates (Cost $1,327,853,457)						1,269,749,521
BANK LOANS — 1.25%*
Automotive — 0.11%
General Motors Corp. Strip II
0.00%	07/20/11	6		7,350,000		6,265,875

42

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Automotive (continued)
Metaldyne Corp.
0.00%	01/11/14		$	250,000	$	167,500
						6,433,375
Communications — 0.14%
Cebridge 2nd Lien (PIK)
8.87%	05/05/14	6		7,935,280		7,032,642
Charter Communications, Inc. Term Loan 3rd Lien
5.30%	09/06/14	6		1,000,000		835,000
Univision Communications, Inc. 1st Lien Strip
5.12%	03/15/14	6		375,000		309,609
						8,177,251
Consumer Discretionary — 0.02%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
7.48%	12/31/08	6		1,523,810		979,048
Electric — 0.28%
Calpine CCFC I Term Loan
8.80%	08/26/09	6		13,514,016		13,581,586
TPF Generation Holdings LLC 2nd Lien
7.05%	12/15/14	6		1,000,000		909,167
TXU Energy Term Loan B3
6.26%	10/10/14			2,482,494		2,301,349
						16,792,102
Finance — 0.07%
Kelson 1st Lien
6.06%	03/16/13	6		4,000,000		3,884,168
Health Care — 0.42%
Carestream Health, Inc. Term Loan
8.01%	10/30/13	6		1,000,000		716,667
HCA Term Loan A
4.80%	11/18/12	6		25,968,090		24,362,560
						25,079,227
Insurance — 0.01%
Asurion Corp. Term Loan
5.78%	07/13/14	6		750,000		698,750
Materials — 0.02%
Lyondell Basell Industries
7.00%	12/20/14			1,645,875		1,440,141
Services — 0.03%
Cengage Learning Term Loan B
4.98%	07/09/14	6		1,985,000		1,807,839
Transportation — 0.15%
Delta Air Lines, Inc. Term Loan 1st Lien
4.90%	05/01/12	6		495,000		410,850
Northwest Air Dip
4.48%	05/21/12	6		11,180,000		8,459,537
Swift Transportation Co., Inc. Term Loan
6.13%	05/06/14	6		441,860		356,250
						9,226,637
Total Bank Loans (Cost $79,443,420)						74,518,538
MORTGAGE-BACKED — 53.75%**
Commercial Mortgage-Backed — 9.84%
Bayview Commercial Asset Trust 2006-3A A1
2.73%	10/25/36	3,4,†		8,538,336		7,001,483
Bear Stearns Adjustable Rate Mortgage Trust 2005-4 2A3
4.45%	08/25/35	3		23,003,000		22,395,472
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			57,915,000		59,458,580
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		25,274,727
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	3		37,951,000		37,407,504
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41			2,870,000		2,754,197
Citigroup Commercial Mortgage Trust 2007-C6 AM
5.89%	12/10/49	3		2,040,000		1,858,559
Commercial Mortgage Pass-Through Certificates 2006-C7 AM
5.99%	06/10/46	3		27,668,000		26,077,732
Credit Suisse Mortgage Capital Certificates 2006-C1 A3
5.71%	02/15/39	3		14,017,000		13,832,372
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			21,035,000		19,794,471
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2
5.18%	11/15/36			20,530,000		20,305,509
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	3		9,355,000		8,790,190
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2
6.14%	03/15/33			11,300,282		11,510,040
GE Capital Commercial Mortgage Corp. 2005-C1 A5
4.77%	06/10/48	3		2,040,000		1,924,828

43

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35		$	34,500,000	$	33,631,166
Greenwich Capital Commercial Funding Corp. 2005-GG5 AM
5.28%	04/10/37	3		3,715,000		3,527,119
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			16,885,000		15,767,240
GS Mortgage Securities Corp. II 2005-GG4 A4A
4.75%	07/10/39			435,000		408,714
JPMorgan Alternative Loan Trust 2007-A2 12A2
2.58%	06/25/37	3		33,766,137		30,331,158
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CB16 AM
5.59%	05/12/45			16,880,000		15,523,034
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
6.07%	04/15/45	3		31,145,000		30,652,361
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.94%	02/12/49	3		37,785,000		35,955,889
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	3		25,000,000		23,838,572
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			15,265,000		14,177,315
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			32,855,816		34,102,408
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB
5.13%	12/12/49	3		25,000,000		23,757,098
Morgan Stanley Capital I 2006-HQ8 A4
5.56%	03/12/44	3		16,960,000		16,313,529
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			2,870,000		2,730,733
Morgan Stanley Dean Witter Capital I 2000-LIFE A2
7.57%	11/15/36	3		5,643,328		5,810,638
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36			8,794,522		8,608,119
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4
4.96%	11/15/35	3		30,000,000		28,901,160
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM
5.59%	04/15/47	3		2,220,000		1,996,640
						584,418,557
Non-Agency Mortgage-Backed — 5.84%
Adjustable Rate Mortgage Trust 2005-8 4A11
5.44%	11/25/35	3		21,286,086		20,107,009
American Home Mortgage Assets 2007-4 A2
2.67%	08/25/37	3,†		36,102,000		30,687,320
Banc of America Mortgage Securities, Inc. 2003-1 2A4
5.00%	02/25/18			148,574		143,707
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.21%	11/20/46	3		29,946,976		29,388,468
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	2,4,†		1,565,882		422,959
BHN I Mortgage Fund 1997-2 A1
3.93%	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		529,945		143,416
BlackRock Capital Finance LP 1997-R2 AP
11.08%	12/25/35	3,4		4,192		4,195
Chase Mortgage Finance Corp. 2005-A1 1A1
5.41%	12/25/35	3		14,684,693		13,544,853
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	3		29,255,858		28,613,982
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.76%	01/25/35	3,4		2,409,699		2,136,916
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.75%	05/25/34	3,4		19,094,440		17,767,140
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	2,8,†		17,198,252		272,512
Countrywide Alternative Loan Trust 2005-27 2A1
4.88%	08/25/35	3		10,797,976		7,342,623
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			18,347,166		18,039,712
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	2		60,921,498		2,151,290
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.07%	08/25/34	3		12,105,138		11,249,120
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.10%	09/20/35	3		13,135,382		9,834,795
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
0.00%	01/25/26	2,3,4,†		171,254		214

44

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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		$	8,655,000	$	8,275,908
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	2,8		23,327,438		251,499
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	2,8		9,132,440		102,740
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
2.88%	08/25/34	3		38,781		32,300
JPMorgan Mortgage Trust 2003-A2 2A3
4.68%	11/25/33	3		305,000		259,746
JPMorgan Mortgage Trust 2004-A5 4A4
4.83%	12/25/34	3		400,000		373,832
JPMorgan Mortgage Trust 2006-A3 3A4
5.74%	05/25/36	3		23,500,000		20,563,229
MASTR Seasoned Securities Trust 2004-1 4A1
6.79%	10/25/32	3		78,723		75,591
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			6,989,206		6,851,359
Ocwen Residential MBS Corp. 1998-R2 AP
9.20%	11/25/34	3,4,†		31,292		20,357
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			89,580		91,754
Residential Asset Securitization Trust 2007-A7 A4
6.00%	07/25/37			26,224,842		25,304,434
Ryland Mortgage Securities Corp. 1994-5 M3
5.71%	10/25/23	3,†		388,122		213,637
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			6,694		6,864
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	3		4,351		4,326
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
4.30%	04/25/47	3		30,956,491		22,512,028
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
1.14%	02/25/47	2,8,†		176,055,437		2,145,835
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1
5.00%	03/25/18			179,061		173,206
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.76%	06/25/34	3		445,000		378,212
Wells Fargo Mortgage Backed Securities Trust 2005-12 1A1
5.50%	11/25/35			33,389,782		30,979,457
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1
5.50%	01/25/36			24,706,279		24,019,464
Wells Fargo Mortgage Backed Securities Trust 2006-2 3A1
5.75%	03/25/36			13,229,170		12,289,175
						346,779,575
U.S. Agency Mortgage-Backed — 38.07%
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19			7,161		7,685
Fannie Mae 1989-27 Y
6.90%	06/25/19			1,687		1,749
Fannie Mae 1992-123 Z
7.50%	07/25/22			5,941		6,396
Fannie Mae 1992-83 Z
7.00%	06/25/22			22,969		23,424
Fannie Mae 1993-132 D (PO)
0.00%	10/25/22	8		354,249		302,127
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	3		1,215,856		27,706
Fannie Mae 1993-29 PK
7.00%	03/25/23			202,000		211,922
Fannie Mae 1994-55 H
7.00%	03/25/24			130,000		137,464
Fannie Mae 1997-34 SA
17.24%	10/25/23	3		34,637		43,811
Fannie Mae 2003-106 WG
4.50%	11/25/23			32,004,000		29,609,906
Fannie Mae 2003-52 SV
12.04%	05/25/31	3		4,515,178		4,750,090
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			4,625,305		308,336
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			3,906,966		118,369
Fannie Mae 2006-80 PG
6.00%	06/25/35			23,300,000		23,900,595
Fannie Mae 2007-34 SB (IO)
3.63%	04/25/37	3,†		40,026,872		2,498,537
Fannie Mae 2007-54 FA
2.88%	06/25/37	3		30,103,263		29,722,580
Fannie Mae 2008-24 NA
6.75%	06/25/37			43,533,974		45,423,549
Fannie Mae FNCI (TBA)
5.00%	07/25/23			73,715,000		72,891,463
5.50%	07/25/23			22,325,000		22,475,002

45

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae FNCL (TBA)
5.00%	07/25/38		$	115,600,000	$	110,813,466
6.50%	07/25/38			28,360,000		29,170,920
Fannie Mae G92-36 Z
7.00%	07/25/22			1,199		1,275
Fannie Mae Pool 233672
7.50%	09/01/23	3		24,206		24,627
Fannie Mae Pool 254232
6.50%	03/01/22			79,903		83,067
Fannie Mae Pool 254868
5.00%	09/01/33			61,374,213		59,217,725
Fannie Mae Pool 308798
5.35%	04/01/25	3		8,906		8,983
Fannie Mae Pool 312155
6.30%	03/01/25	3		30,051		30,229
Fannie Mae Pool 545191
7.00%	09/01/31			38,094		39,978
Fannie Mae Pool 633698
7.50%	02/01/31			17,268		18,907
Fannie Mae Pool 655928
7.00%	08/01/32			134,560		143,595
Fannie Mae Pool 725027
5.00%	11/01/33			70,413,939		67,899,943
Fannie Mae Pool 725257
5.50%	02/01/34			14,466,587		14,346,504
Fannie Mae Pool 725425
5.50%	04/01/34			57,514,809		56,975,608
Fannie Mae Pool 730957
5.00%	08/01/33			23,132,141		22,306,252
Fannie Mae Pool 734922
4.50%	09/01/33			19,270,725		17,961,671
Fannie Mae Pool 735224
5.50%	02/01/35			78,262,977		77,613,333
Fannie Mae Pool 735646
4.50%	07/01/20			24,131,262		23,546,079
Fannie Mae Pool 735651
4.50%	06/01/35			74,875,980		69,508,893
Fannie Mae Pool 735883
6.00%	03/01/33			13,012,990		13,323,997
Fannie Mae Pool 765387
6.00%	08/01/34			216,301		220,957
Fannie Mae Pool 770284
5.00%	04/01/34			10,155,439		9,781,750
Fannie Mae Pool 770332
5.00%	04/01/34			38,732,657		37,307,415
Fannie Mae Pool 817611
5.34%	11/01/35	3		10,162,750		10,196,064
Fannie Mae Pool 888412
7.00%	04/01/37			24,251,012		25,188,749
Fannie Mae Pool 888430
5.00%	11/01/33			54,766,883		52,811,535
Fannie Mae Pool 889125
5.00%	12/01/21			70,242,559		70,470,299
Fannie Mae Pool 889184
5.50%	09/01/36			68,540,786		67,962,473
Fannie Mae Pool 896464
5.81%	07/01/36	3		17,325,553		17,499,319
Fannie Mae Pool 908408
5.60%	04/01/37	3		35,003,283		35,410,476
Fannie Mae Pool 928920
6.50%	12/01/37			41,771,524		43,060,665
Fannie Mae Pool 933033
6.50%	10/01/37			45,028,223		46,132,819
Freddie Mac 1004 H
7.95%	10/15/20			1,372		1,370
Freddie Mac 1073 G
7.00%	05/15/21			4,863		5,105
Freddie Mac 165 K
6.50%	09/15/21			901		900
Freddie Mac 1980 Z
7.00%	07/15/27			599,406		632,971
Freddie Mac 2098 TZ
6.00%	01/15/28			795,965		792,117
Freddie Mac 2209 TC
8.00%	01/15/30			176,957		187,084
Freddie Mac 2627 NI (IO)
5.00%	04/15/29			6,574,864		498,743
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			153,926		27,368
Freddie Mac Gold A24156
6.50%	10/01/31			3,107,449		3,232,171
Freddie Mac Gold A25162
5.50%	05/01/34			26,734,613		26,479,797
Freddie Mac Gold A54856
5.00%	01/01/34			33,386,883		32,200,083
Freddie Mac Gold A65805
6.00%	09/01/37			5,545,343		5,636,971
Freddie Mac Gold C01492
5.00%	02/01/33			13,776,286		13,295,192
Freddie Mac Gold C46104
6.50%	09/01/29			137,267		142,991
Freddie Mac Gold C55789
7.50%	10/01/27			49,257		53,382
Freddie Mac Gold C90573
6.50%	08/01/22			630,139		656,197
Freddie Mac Gold G01515
5.00%	02/01/33			12,839,704		12,391,317
Freddie Mac Gold G01601
4.00%	09/01/33			230,975		209,758
Freddie Mac Gold G01611
4.00%	09/01/33			76,234		69,231
Freddie Mac Gold G01644
5.50%	02/01/34			52,983,370		52,503,208

46

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G01673
5.50%	04/01/34		$	3,318,083	$	3,300,080
Freddie Mac Gold G02366
6.50%	10/01/36			23,254,059		24,316,722
Freddie Mac Gold G02461
6.50%	11/01/36			22,428,982		23,516,764
Freddie Mac Gold G02579
5.00%	12/01/34			24,924,860		24,041,293
Freddie Mac Gold G02884
6.00%	04/01/37			50,929,121		51,524,953
Freddie Mac Gold G02955
5.50%	03/01/37			34,487,561		34,165,596
Freddie Mac Gold G03139
6.50%	07/01/37			13,945,668		14,392,093
Freddie Mac Gold G03357
5.50%	08/01/37			14,385,235		14,216,657
Freddie Mac Gold G03436
6.00%	11/01/37			81,203,591		82,545,351
Freddie Mac Gold G03601
6.00%	07/01/37			54,660,371		55,495,221
Freddie Mac Gold G03676
5.50%	12/01/37			38,673,575		38,220,367
Freddie Mac Gold G03739
6.00%	11/01/37			45,012,545		45,756,306
Freddie Mac Gold G03783
5.50%	01/01/38			16,872,577		16,674,850
Freddie Mac Gold G04048
6.00%	03/01/38			70,264,073		71,117,670
Freddie Mac Gold G04079
5.50%	03/01/38			69,851,410		68,890,953
Freddie Mac Gold G11707
6.00%	03/01/20			7,645,793		7,835,770
Freddie Mac Gold G12393
5.50%	10/01/21			74,280,121		74,959,086
Freddie Mac Gold G12824
6.00%	08/01/22			17,537,870		17,996,869
Freddie Mac Gold G12909
6.00%	11/01/22			46,685,764		47,907,620
Freddie Mac Gold G13032
6.00%	09/01/22			17,827,213		18,271,501
Freddie Mac Gold G13058
4.50%	10/01/20			42,216,586		41,285,183
Freddie Mac Non Gold Pool 781415
5.23%	04/01/34	3		5,783,469		5,809,739
Freddie Mac Non Gold Pool 781469
4.38%	04/01/34	3		4,475,195		4,502,111
Freddie Mac Non Gold Pool 847288
4.21%	05/01/34	3		7,280,559		7,380,937
Ginnie Mae (TBA)
5.50%	07/15/38			73,745,000		73,387,779
Ginnie Mae 2000-22 SG (IO)
8.33%	05/16/30	3		2,576,420		397,005
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			3,813,028		428,497
Ginnie Mae 2003-86 ZK
5.00%	10/20/33			19,185,293		17,067,292
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			17,820,104		15,018,156
Ginnie Mae II Pool 81018
5.63%	08/20/34	3		66,063		66,736
						2,261,043,397
Total Mortgage-Backed (Cost $3,230,686,463)						3,192,241,529
MUNICIPAL BONDS — 1.60%*
Georgia — 0.20%
Metropolitan Atlanta Rapid Transit Authority, Transit Improvements Revenue Bonds, Pre-Refunded 01/01/13 @ 100 (MBIA)
5.00%	07/01/28			11,390,000		12,153,358
Massachusetts — 0.82%
Commonwealth of Massachusetts, Consolidated Loans, G.O., Series E, Pre-Refunded 01/01/13 @ 100 (MBIA-IBC)
5.38%	01/01/17			10,140,000		10,889,447
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		4,741,698
Commonwealth of Massachusetts, G.O., Pre-Refunded 01/01/13 @ 100 (XLCA-ICR)
5.25%	01/01/17			9,230,000		9,805,583
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA)
5.25%	01/01/18			7,260,000		7,759,198
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA)
5.50%	03/01/17			5,135,000		5,484,796
5.50%	03/01/18			4,870,000		5,201,745
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC)
5.00%	08/01/22			4,790,000		5,085,830
						48,968,297
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		4,479,684

47

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Texas — 0.50%
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	$	8,826,149
County of Harris, Flood Control District Contract G.O., Series B, Refunded 10/01/13 @ 100
5.25%	10/01/20			10,597,000		11,514,912
5.25%	10/01/20			880,000		956,225
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		8,117,119
						29,414,405
Total Municipal Bonds (Cost $96,450,707)						95,015,744
U.S. AGENCY SECURITIES — 0.19%
Foreign Sovereign — 0.19%
Indonesia Government AID Bond
9.30%	07/01/20			9,156,250		11,597,453
Total U.S. Agency Securities (Cost $11,718,686)						11,597,453
U.S. TREASURY SECURITIES — 12.95%
U.S. Treasury Bonds — 3.08%
6.13%	11/15/27			112,644,000		134,741,599
8.75%	08/15/20			6,948,000		9,792,886
2.38%	01/15/27			34,341,000		38,243,252
						182,777,737
U.S. Treasury Notes — 9.87%
2.50%	03/31/13			358,853,000		346,321,494
3.63%	12/31/12			224,052,000		227,430,278
5.13%	05/15/16			11,298,000		12,321,893
						586,073,665
Total U.S. Treasury Securities (Cost $768,180,737)						768,851,402
Total Bonds – 97.40% (Cost $5,977,386,204)						5,784,675,538
			Notional Amount (000’s)		Value
PURCHASED SWAPTIONS — 0.09%
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc.			$	195,269,000	$	3,051,449
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		2,252,949
Total Purchased Swaptions (Cost $2,113,754)						5,304,398
Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 13.15%
Commercial Paper — 1.51%
BNP Paribas Finance, Inc.
2.40%	07/28/08		$	33,250,000	$	33,190,275
Rabobank USA Finance Corp.
2.36%	07/24/08			2,510,000		2,506,216
2.39%	07/24/08			53,800,000		53,717,850
						89,414,341
Money Market Fund — 0.77%
Bank of New York Cash Reserves				875,491		875,491
Goldman Sachs Group, Inc. (The), 2.35%				44,803,750		44,803,750
						45,679,241
U.S. Agency Discount Notes — 10.87%
Fannie Mae
2.00%9	07/21/08	10		730,000		729,171
2.03%9	07/21/08	10		73,000		72,917
2.10%9	07/21/08			40,736,000		40,688,409
2.13%9	07/21/08	10		1,481,000		1,479,256
2.18%9	08/04/08			59,170,000		59,048,734
2.36%9	09/17/08			24,000,000		23,879,616
2.37%9	09/17/08			10,823,000		10,768,712
2.41%9	09/17/08	10		1,570,000		1,562,125
Federal Home Loan Bank
2.08%9	07/21/08			17,996,000		17,975,216
2.13%9	07/21/08			558,000		557,340
2.19%9	07/16/08			85,200,000		85,122,255
2.38%9	09/17/08			58,605,000		58,311,037
Freddie Mac
1.97%9	07/21/08			170,000		169,807
1.99%9	07/21/08	10		22,000		21,975
1.99%9	07/21/08	10		16,000		15,982
2.05%9	07/21/08			1,153,000		1,151,690
2.06%9	07/21/08	10		1,602,000		1,600,180
2.06%9	07/21/08			269,254,000		268,947,959
2.07%9	07/14/08			14,290,000		14,279,653
2.21%9	07/21/08	10		690,000		689,157
2.24%9	07/23/08			31,480,000		31,436,907

48

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
2.36%9	09/15/08		$	27,136,000		$	27,003,386
							645,511,484
Total Short Term Investments (Cost $780,593,091)							780,605,066
Total Investments – 110.64% (Cost $6,760,093,049)1							6,570,585,002
Liabilities in Excess of Other Assets – (10.64)%							(631,649,935	)
NET ASSETS – 100.00%						$	5,938,935,067
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	)	$	(2,113,767	)	$	(4,996,218	)
Total Written Swaptions			$	(2,113,767	)	$	(4,996,218	)

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
17	Euro Dollar Ninety Day, September 2008	$	(48,833	)
17	Euro Dollar Ninety Day, December 2008		(37,995	)
17	Euro Dollar Ninety Day, March 2009		(34,595	)
17	Euro Dollar Ninety Day, June 2009		(29,920	)
17	Euro Dollar Ninety Day, September 2009		(23,545	)
17	Euro Dollar Ninety Day, December 2009		(16,320	)
17	Euro Dollar Ninety Day, March 2010		(12,070	)
	Net unrealized depreciation	$	(203,278	)
Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
173	U.S. Treasury Two Year Note, September 2008	$	54,464
5,500	U.S. Treasury Five Year Note, September 2008		1,170,355
	Net unrealized appreciation	$	1,224,819

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 4.20% semi-annually. Counterparty: Barclays Capital, Inc.	06/03/11	$	6,760	$	(8,130	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.45% semi-annually. Counterparty: Barclays Capital, Inc.	06/13/11		12,850		38,751
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston	09/03/08		342,200		(411,526	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston	06/11/09		154,590		389,556
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.75% quarterly. Counterparty: Morgan Stanley	06/17/09		154,530		1,308,742
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04 % semi-annually. Counterparty: Citigroup, Inc.	12/15/10		64,660		473,548
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston	12/15/10		87,450		448,607
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc.	12/15/10		120,020		635,574
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		662,095
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		716,586
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.48% semi-annually. Counterparty: Lehman Brothers Holdings, Inc.	04/30/11		23,674		1,125,556
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc.	06/10/11		159,500		(149,236	)

49

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc.	06/11/11	$	257,710	$	(358,678	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.48% quarterly. Counterparty: Morgan Stanley	06/13/11		109,780		391,682
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		(228,265	)
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		(746,184	)
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		(636,243	)
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		398,319
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc.	05/09/17		9,000		438,992
The Fund pays a fixed rate equal to 4.65% semi-annually and the Fund receives from the counterparty semi-annually a floating rate equal to the premium on an at-the-money 5-year forward on a 5-year European Swaption Straddle. Counterparty: Lehman Brothers Holdings, Inc.	05/18/17		38,700		1,953,490
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		911,849
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		81,781
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		238,819
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		111,060
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston	06/03/19		83,360		(299,695	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Barclays Capital, Inc.	06/03/19		1,650		(6,881	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc.	06/10/19		38,900		(418,058	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc.	06/11/19		62,750		(250,735	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston	06/11/19		37,700		(237,305	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.03% semi-annually. Counterparty: Barclays Capital, Inc.	06/13/19		3,125		(25,108	)
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% quarterly. Counterparty: Morgan Stanley	06/13/19		26,750		(237,451	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.20% quarterly. Counterparty: Morgan Stanley	06/17/19		37,650		(803,192	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		10,100		(87,215	)

50

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.	03/26/22	$	4,960	$	(296,200	)
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		10,000		(97,793	)
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		(493,369	)
				$	4,533,743
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		1,125,741
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		201,022
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		471,450
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		73,067
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		1,312,607
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		(48,603	)
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		(34,789	)
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		(52,101	)
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		(63,910	)
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		147,322
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		181,778
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		117,130
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		29,314
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		30,929
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		69,633
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		45,167
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		71,332
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		347,418
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		97,405

51

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	265,275
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		233,480
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		143,174
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		108,703
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		619,646
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		809,920
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		4,456,479
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		190,801
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		114,707
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		121,448
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		3,172
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		10,620
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		3,847
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		92,431
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		543,063
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		(123,301	)
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		(706,224	)
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		(67,810	)
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		(69,167	)
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		3,686,590
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		1,792,876

52

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	1,830,690
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		(348,047	)
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		(52,477	)
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		353,707
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		1,149,759
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		176,335
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		331,255
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		75,315
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		48,955
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		878,694
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		482,630
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		32,475		2,263,159
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		(207,870	)
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		(332,656	)
				$	23,001,091
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		(3,750,187	)
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		(3,567,918	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley	08/25/37		6,280		(3,188,325	)
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		(703,036	)
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		(12,928,758	)
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		(1,776,626	)

53

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (WRITTEN) (continued)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc.	08/25/37	$	4,640	$	(2,355,298	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		15,000		(7,614,110	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		12,000		(6,091,288	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		7,000		(3,553,288	)
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		3,910		(3,563,361	)
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		(3,377,405	)
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		(5,174,841	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		9,250		(4,999,265	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		6,900		(3,728,880	)
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		(2,848,000	)
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		(2,340,007	)
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		(2,799,362	)
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		(6,485,009	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		25,000		(13,510,434	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		7,500		(4,053,130	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		5,250		(2,841,189	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		14,000		(7,565,843	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		11,450		(6,187,779	)
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		(7,059,636	)
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		(364,670	)
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		(6,197,477	)
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		(13,056,142	)
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		(8,008,713	)

54

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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: Lehman Brothers Holdings, Inc.	01/25/38	$	6,835	$	(6,391,075	)
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		(1,552,185	)
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		(3,475,043	)
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		(2,791,574	)
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		(6,515,152	)
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 01/25/38. Counterparty: Citigroup, Inc.	01/25/38		5,875		(5,214,784	)
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		(31,679,260	)
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		(3,523,863	)
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		(11,357,134	)
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		(1,051,833	)
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		(2,791,574	)
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		(2,791,574	)
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		(2,791,574	)
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		(6,657,171	)
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		(11,113,038	)
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		(3,896,664	)
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		(4,589,010	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		12,000		(9,538,017	)
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		(22,501,494	)
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		(10,444,000	)
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		(8,345,662	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		6,100		(4,848,432	)
				$	(313,550,090	)

55

Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Notes:

¹ Cost for financial reporting purposes is $6,760,093,049 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	44,441,658
Gross unrealized depreciation		(233,949,705	)
Net unrealized (depreciation)	$	(189,508,047	)

² Illiquid security.

³ Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $319,785,752 representing 5.38% of total net assets.

⁵ Expected maturity date.

⁶ Non-Rule 144A 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, 5.78%, 07/13/14	$	743,538	$	698,750	0.01	%
03/02/04	Calpine CCFC I Term Loan, 8.80%, 08/26/09		13,692,962		13,581,586	0.22	%
06/01/07	Carestream Health, Inc. Term Loan, 8.01%, 10/30/13		1,011,480		716,667	0.01	%
06/30/06	Cebridge 2nd Lien (PIK), 8.87%, 05/05/14		7,167,913		7,032,642	0.12	%
06/27/07	Cengage Learning Term Loan B, 4.98%, 07/09/14		1,967,855		1,807,839	0.03	%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 5.30%, 09/06/14		1,005,272		835,000	0.01	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 4.90%, 05/01/12		476,395		410,850	0.01	%
06/13/06	General Motors Corp. Strip II, 0.00%, 07/20/11		6,857,192		6,265,875	0.10	%
09/17/07	HCA Term Loan A, 4.80%, 11/18/12		24,825,849		24,362,560	0.41	%
03/07/07	Kelson 1st Lien, 6.06%, 03/16/13		4,000,000		3,884,168	0.07	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		10,256,276		8,459,537	0.14	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 6.13%, 05/06/14		441,860		356,250	0.01	%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 7.05%, 12/15/14		961,247		909,167	0.02	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.48%, 12/31/08		1,523,810		979,048	0.02	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14		349,373		309,609	0.01	%
		$	75,281,022	$	70,609,548	1.19	%

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

⁸ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $121,408,176 which is 2.04% 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

(IBC): Insured Bond Certificate

(ICR): Insured Capital Receipts

(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

(XLCA): XL Capital Assurance

56

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 91.68%
ASSET-BACKED SECURITIES — 1.29%**
Home Equity Asset Trust 2007-1 2A1
2.54%	05/25/37	2	$	471,263	$	447,475
Morgan Stanley Home Equity Loans 2007-2 A1
2.58%	04/25/37	2		964,958		929,742
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		305,580		67,228
Terwin Mortgage Trust 2007-3SL AX (IO)
23.50%	05/25/38	2,3,4,5,†		1,487,500		8,195
Terwin Mortgage Trust 2007-3SL CE2
0.00%	05/25/38	3,4,†		17,160,000		873
Total Asset-Backed Securities (Cost $1,848,131)						1,453,513
CORPORATES — 67.57%*
Automotive — 0.09%
Metaldyne Corp.
10.00%	11/01/13			200,000		105,000
Banking — 2.52%
Bank of America Corp.
8.00%	12/29/49	2		500,000		469,195
HBOS Capital Funding LP
6.07%	06/24/49	2,4		300,000		259,689
HBOS PLC
5.92%	09/29/49	2,4		640,000		456,424
JPMorgan Chase & Co. 1
7.90%	12/31/49	2		1,000,000		940,430
JPMorgan Chase Bank NA
7.59%	03/28/22	2		175,000		163,485
JPMorgan Chase Capital XIII M
3.75%	09/30/34	2		725,000		566,509
						2,855,732
Basic Industry — 2.65%
Arco Chemical Co.
10.25%	11/01/10			265,000		268,975
Freeport-McMoRan Copper & Gold, Inc.
8.38%	04/01/17			400,000		422,656
Massey Energy Co.
6.88%	12/15/13			1,250,000		1,225,000
Mosaic Co. (The)
7.38%	12/01/14	4		500,000		525,000
Noranda Aluminium Holding Corp.
8.58%	11/15/14	2		675,000		556,875
						2,998,506
Communications — 20.18%
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%	11/15/13			2,250,000		2,115,000
Centennial Cellular Operating Co./Centennial Communications Corp.
10.13%	06/15/13			250,000		258,750
Cincinnati Bell, Inc.
7.25%	07/15/13			1,100,000		1,078,000
Citizens Communications Co.
6.63%	03/15/15			1,475,000		1,323,812
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			2,450,000		2,431,625
Hawaiian Telcom Communications, Inc. B
8.49%	05/01/13	2		1,475,000		567,875
Idearc, Inc.
8.00%	11/15/16			3,100,000		1,964,625
Level 3 Financing, Inc.
8.75%	02/15/17			900,000		778,500
9.25%	11/01/14			500,000		457,500
Mediacom LLC/Mediacom Capital Corp.
9.50%	01/15/13			1,750,000		1,658,125
Qwest Communications International, Inc.
6.18%	02/15/09	2		100,000		100,000
Qwest Communications International, Inc. B
7.50%	02/15/14			2,500,000		2,387,500
Rural Cellular Corp.
8.25%	03/15/12			750,000		772,500
Sprint Nextel Corp.
6.00%	12/01/16			700,000		602,950
Videotron Ltd.
9.13%	04/15/18	4		2,000,000		2,100,000
Windstream Corp.
8.63%	08/01/16			2,200,000		2,205,500
						22,826,637
Consumer Products — 1.39%
Steinway Musical Instruments
7.00%	03/01/14	4		785,000		722,200
Visant Corp.
7.63%	10/01/12			325,000		320,938
Visant Holding Corp.
8.75%	12/01/13			250,000		246,250
Visant Holding Corp. (STEP)
0.00%	12/01/13			290,000		282,750
						1,572,138
Electric — 7.92%
Aquila, Inc.
9.95%	02/01/11			400,000		413,087
14.88%	07/01/12			1,700,000		1,984,750
Calpine Construction Finance Co., LP
11.50%	08/26/11	2,4		1,000,000		1,070,000

57

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Edison Mission Energy
7.50%	06/15/13		$	1,000,000	$	995,000
Ipalco Enterprises, Inc.
7.25%	04/01/16	4		1,055,000		1,044,450
8.63%	11/14/11			420,000		438,900
PNM Resources, Inc.
9.25%	05/15/15			1,625,000		1,685,938
Reliant Energy, Inc.
6.75%	12/15/14			1,300,000		1,332,500
						8,964,625
Energy — 15.15%
AES Corp. (The)
8.75%	05/15/13	4		775,000		807,938
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			800,000		778,000
Chesapeake Energy Corp.
7.00%	08/15/14			630,000		620,550
7.50%	06/15/14			225,000		224,438
7.75%	01/15/15			75,000		78,188
Comstock Resources, Inc.
6.88%	03/01/12			1,075,000		1,061,562
Corral Finans AB (PIK)
4.21%	04/15/10	4		1,036,358		911,995
Griffin Coal Mining Co. Ltd. (The)
9.50%	12/01/16	4		925,000		740,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		625,000		603,125
Mirant Americas Generation LLC
8.30%	05/01/11			2,200,000		2,282,500
Newfield Exploration Co.
7.13%	05/15/18			1,000,000		952,500
NRG Energy, Inc.
7.25%	02/01/14			1,000,000		957,500
7.38%	01/15/17			1,475,000		1,397,562
OPTI Canada, Inc.
7.88%	12/15/14			1,000,000		992,500
Parker Drilling Co.
9.63%	10/01/13			25,000		26,375
Pride International, Inc.
7.38%	07/15/14			325,000		325,813
Range Resources Corp.
7.25%	05/01/18			500,000		498,750
Sabine Pass LNG LP
7.25%	11/30/13			2,425,000		2,218,875
Sonat, Inc.
7.63%	07/15/11			550,000		557,957
Tesoro Corp.
6.50%	06/01/17			1,225,000		1,105,562
						17,141,690
Finance — 8.86%
CDX North America High Yield 10 T
8.88%	06/29/13	4		2,000,000		1,857,500
Citigroup Capital XXI
8.30%	12/21/57	2		275,000		260,375
Citigroup, Inc.
8.40%	04/30/49	2		280,000		266,521
Countrywide Financial Corp. (MTN)
2.87%	01/05/09	2		350,000		341,516
3.02%	03/24/09	2		575,000		552,283
5.80%	06/07/12			650,000		610,770
Countrywide Financial Corp. A (MTN)
3.08%	12/19/08	2		300,000		293,515
Ford Motor Credit Co. LLC
5.80%	01/12/09			1,250,000		1,193,717
6.75%	08/15/08			500,000		496,285
7.16%	04/15/12	2		550,000		515,579
GMAC LLC
4.88%	12/01/14	2		2,090,000		1,350,529
6.63%	05/15/12			750,000		514,911
Lehman Brothers Holdings, Inc. (MTN)
11.00%	11/07/16	2		383,000		314,022
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	2		294,000		291,795
Nuveen Investments, Inc.
10.50%	11/15/15	4		1,250,000		1,159,375
						10,018,693
Gaming — 0.08%
Herbst Gaming, Inc.
8.13%	06/01/12			575,000		92,000
Health Care — 1.85%
Community Health Systems, Inc.
8.88%	07/15/15			1,250,000		1,264,062
HCA, Inc.
9.13%	11/15/14			250,000		256,250
Tenet Healthcare Corp.
7.38%	02/01/13			600,000		567,000
						2,087,312
Insurance — 0.48%
MetLife Capital Trust X
9.25%	04/08/38	2,4		500,000		539,834
Services — 2.66%
ARAMARK Corp.
8.50%	02/01/15			600,000		591,000
Corrections Corp. of America
6.25%	03/15/13			350,000		338,625
Mobile Mini, Inc.
6.88%	05/01/15			1,500,000		1,297,500

58

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Services (continued)
United Rentals North America, Inc.
7.00%	02/15/14		$	1,000,000	$	780,000
						3,007,125
Transportation — 3.74%
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		781,109		691,281
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,400,000		1,926,000
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	6		1,500,000		1,387,500
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			250,000		230,625
						4,235,406
Total Corporates (Cost $80,391,898)						76,444,698
BANK LOANS — 21.31%*
Automotive — 1.85%
Delphi Dip - 1st Lien Secured
7.25%	12/31/08			1,000,000		999,167
General Motors Corp. Strip II
0.00%	07/20/11	7		500,000		426,250
Metaldyne Corp.
0.00%	01/11/14			1,000,000		670,000
						2,095,417
Communications — 1.68%
Cebridge 2nd Lien (PIK)
8.87%	05/05/14	7		1,681,678		1,490,387
Univision Communications, Inc. 1st Lien Strip
5.12%	03/15/14	7		500,000		412,813
						1,903,200
Consumer Discretionary — 1.76%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
7.48%	12/31/08	7		761,905		489,524
Tribune 1st Lien Term Loan B
5.48%	05/24/14	7		1,984,975		1,501,137
						1,990,661
Electric — 4.83%
Boston Generating LLC 1st Lien
4.97%	12/19/13	7		247,078		232,121
Calpine CCFC I Term Loan
8.80%	08/26/09	7		2,239,101		2,250,296
TPF Generation Holdings LLC 2nd Lien
7.05%	12/15/14	7		1,250,000		1,136,459
TXU Energy Term Loan B2
6.19%	10/10/14			995,000		923,069
TXU Energy Term Loan B3
6.26%	10/10/14			993,744		921,231
						5,463,176
Finance — 3.06%
First Data Corp. Term Loan B1
5.26%	09/27/14	7		496,250		456,798
First Data Corp. Term Loan B2
5.40%	09/27/14	7		496,250		456,984
Kelson 1st Lien
6.06%	03/16/13	7		2,625,000		2,548,986
						3,462,768
Health Care — 3.15%
Carestream Health, Inc. Term Loan
8.01%	10/30/13	7		1,500,000		1,075,000
HCA Term Loan A
4.80%	11/18/12	7		2,655,372		2,491,198
						3,566,198
Insurance — 0.83%
Asurion Corp. Term Loan
5.78%	07/13/14	7		1,000,000		931,667
Materials — 0.77%
Lyondell Basell Industries
7.00%	12/20/14			997,500		872,813
Services — 1.00%
Cengage Learning Term Loan B
4.98%	07/09/14	7		1,240,625		1,129,899
Transportation — 2.38%
Delta Air Lines, Inc. Term Loan 1st Lien
4.90%	05/01/12	7		495,000		410,850
Northwest Air Dip
4.48%	05/21/12	7		2,245,000		1,698,717
Swift Transportation Co., Inc. Term Loan
6.13%	05/06/14	7		720,930		581,250
						2,690,817
Total Bank Loans (Cost $26,360,598)						24,106,616
MORTGAGE-BACKED — 1.51%**
Non-Agency Mortgage-Backed — 1.41%
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		255,257		69,079
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	3,8,†		713,006		11,298
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	3,8		992,259		10,698

59

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/35	2,3	$	7,389,490	$	71,586
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
3.97%	05/19/47	2,3		4,895,531		151,455
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	3,8		390,127		4,389
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X
0.99%	06/25/46	3,8,†		16,046,830		110,328
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
1.05%	08/25/46	3,8,†		34,436,807		247,546
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
1.14%	02/25/47	3,8,†		32,504,949		396,184
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
1.18%	03/25/47	3,8,†		16,334,159		199,087
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO)
1.10%	04/25/47	3,8,†		29,821,106		326,195
						1,597,845
U.S. Agency Mortgage-Backed — 0.10%
Fannie Mae 1993-225 SG
16.94%	12/25/13	2		89,314		100,605
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			67,392		7,573
						108,178
Total Mortgage-Backed (Cost $1,482,196)						1,706,023
Total Bonds – 91.68% (Cost $110,082,823)						103,710,850
			Shares
PREFERRED STOCK — 1.82%
Banking — 0.90%
Bank of America Corp.
7.25%				1,150		1,017,750
Finance — 0.92%
Citigroup, Inc.
6.50%				24,000		1,044,000
Total Preferred Stock (Cost $2,317,921)						2,061,750
Issues			Contracts		Value
PUT OPTIONS PURCHASED — 0.16%
Banking — 0.08%
Bank of America Corp., Put Strike $30, expires 01/16/10				105	$	93,450
Finance — 0.08%
Citigroup, Inc., Put Strike $15, expires 01/16/10				320		92,800
Total Put Options Purchased (Cost $104,447)						186,250
CALL OPTIONS PURCHASED — 0.02%
Futures — 0.02%
90 Day Euro Dollar Futures, Call Strike $97.25, expires 09/15/08				135		25,313
Total Call Options Purchased (Cost $74,587)						25,313
Issues	Maturity Date		Shares/ Principal Amount
SHORT TERM INVESTMENTS — 9.85%
Commercial Paper — 1.11%
BNP Paribas Finance, Inc.
2.38%	07/02/08		$	540,000		539,965
Rabobank USA Finance Corp.
2.36%	07/24/08			715,000		713,922
						1,253,887
Money Market Fund — 0.64%
Goldman Sachs Group, Inc. (The), 2.35%				725,625		725,625
U.S. Agency Discount Notes — 8.10%
Fannie Mae
2.18%9	07/30/08			965,000		963,313
2.41%9	09/17/08	10		195,000		194,022
Federal Home Loan Bank
2.08%9	07/21/08			264,000		263,696
2.21%9	07/29/08			1,010,000		1,008,272
Freddie Mac
2.06%9	07/21/08			16,000		15,982
2.07%9	07/21/08			2,809,000		2,805,793
2.14%9	07/28/08			285,000		284,545
2.35%9	09/15/08			1,830,000		1,821,057
2.42%9	09/15/08			1,810,000		1,801,154
						9,157,834
Total Short Term Investments (Cost $11,136,842)						11,137,346

60

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

						Value
Total Investments – 103.53% (Cost $123,716,620)1						$	117,121,509
Liabilities in Excess of Other Assets – (3.53%)							(3,993,187	)
Net Assets – 100.00%						$	113,128,322
	Contracts		Premiums Received			Value
CALL OPTIONS WRITTEN
90 Day Euro Dollar Futures, Call Strike $97.75, expires 09/15/08	(135	)	$	(23,288	)	$	(4,219	)
Total Call Options Written			$	(23,288	)	$	(4,219	)
WRITTEN PUT OPTIONS
90 Day Euro Dollar Futures, Written Strike $96.75, expires 09/15/08	(135	)	$	(36,788	)	$	(21,938	)
Total Written Put Options			$	(36,788	)	$	(21,938	)
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 3.44% semi-annually. Counterparty: Citigroup, Inc.	05/30/10		$	7,000		$	(3,956	)
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% quarterly. Counterparty: Merrill Lynch & Co., Inc.	06/02/10			7,000			13,219
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.96% quarterly. Counterparty: Morgan Stanley	06/17/10			7,000			57,820
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.16% semi-annually. Counterparty: Citigroup, Inc.	07/24/10			9,000			(71,964	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.20% quarterly. Counterparty: Lehman Brothers Holdings, Inc.	07/25/10			8,800			(63,756	)
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			70,669
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			34,253
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			1,000
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			2,785
						$	40,070
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			41,891
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			83,782
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			41,891
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			35,043
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			12,940
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			687

61

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	748
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		1,694
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		941
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		17,419
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		3,608
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		2,396
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		(1,298	)
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		(720	)
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		(1,858	)
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		(2,669	)
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		4,860
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		4,554
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		3,536
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		4,398
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		2,811
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		8,480
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		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		250		(12,455	)
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		(13,242	)
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		(2,712	)
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		(2,712	)

62

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
The Fund pays a fixed rate equal to 3.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. (or CTX) 5.25%, due 06/15/15. Counterparty: UBS AG	06/20/13	$	1,000	$	37,058
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		35,371
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		104,524
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		350		16,563
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		28,214
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		625		43,556
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		7,531
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		(8,232	)
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		(12,657	)
				$	488,571
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		(42,846	)
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		(85,693	)
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		(42,846	)
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		(312,178	)
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		(380,705	)
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		(95,691	)
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		(95,691	)
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		(95,691	)
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		(95,691	)
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		(478,456	)
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		(177,525	)
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		160		(142,020	)

63

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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	$	105	$	(93,200	)
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		(328,420	)
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		(137,582	)
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		(137,582	)
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		(137,582	)
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		(84,324	)
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		(97,639	)
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		(97,639	)
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		(137,582	)
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		(186,401	)
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		(596,119	)
				$	(4,079,103	)

Notes:

¹ Cost for financial reporting purposes is $123,716,620 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	837,433
Gross unrealized depreciation		(7,432,544	)
Net unrealized (depreciation)	$	(6,595,111	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $12,942,905 representing 11.44% of total net assets.

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

⁶ Expected maturity date.

⁷ Non-Rule 144A 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, 5.78%, 07/13/14	$	991,384	$	931,667	0.82	%
12/19/06	Boston Generating LLC 1st Lien, 4.97%, 12/19/13		247,078		232,121	0.21	%
09/17/07	Calpine CCFC I Term Loan, 8.80%, 08/26/09		2,263,216		2,250,296	1.99	%
04/12/07	Carestream Health, Inc. Term Loan, 8.01%, 10/30/13		1,505,720		1,075,000	0.95	%
06/30/06	Cebridge 2nd Lien (PIK), 8.86%, 05/05/14		1,580,986		1,490,387	1.32	%
06/27/07	Cengage Learning Term Loan B, 4.98%, 07/09/14		1,229,910		1,129,899	1.00	%
09/11/07	Delta Airlines, Inc. Term Loan 1st Lien, 4.63%, 05/01/12		476,395		410,850	0.36	%
09/27/07	First Data Corp. Term Loan B1, 5.26%, 09/27/14		478,510		456,798	0.40	%
09/27/07	First Data Corp. Term Loan B2, 5.40%, 09/27/14		478,510		456,984	0.40	%
09/26/07	General Motors Corp. Strip II, 0.50%, 07/20/11		461,285		426,250	0.38	%
09/17/07	HCA Term Loan A, 4.80%, 11/18/12		2,579,530		2,491,198	2.20	%
03/07/07	Kelson 1st Lien, 6.06%, 03/16/13		2,578,366		2,548,986	2.25	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		1,957,825		1,698,717	1.50	%
06/14/07	Swift Transportation Co., Inc. Term Loan, 6.93%, 05/06/14		615,609		581,250	0.52	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 7.05%, 12/15/14		1,220,935		1,136,459	1.00	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.48%, 12/31/08		761,905		489,524	0.43	%

64

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Date of Purchase	Security	Amortized Cost		Value		% of TNA
05/17/07	Tribune 1st Lien Term Loan B, 5.48%, 05/24/14		1,839,640		1,501,137	1.33	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14		465,830		412,813	0.37	%
		$	21,732,634	$	19,720,336	17.43	%

⁸ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁹ Represents annualized yield at date of purchase.

¹⁰ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $1,366,934 which is 1.21% 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

(PIK): Paid in kind

(STEP): Step coupon bond

65

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 98.81%
ASSET-BACKED SECURITIES — 37.60%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.22%	07/15/33		$	5,562	$	5,410
Aerco Ltd. 2A A3
2.93%	07/15/25	2,3,†		4,173,707		3,380,929
Asset Backed Funding Certificates 2007-WMC1 A2B
3.48%	06/25/37	2		5,000,000		2,896,875
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
2.53%	12/25/36	2		181,635		175,726
Aviation Capital Group Trust 2003-2A B1
5.48%	09/20/33	2,3,†		2,756,584		2,287,971
Bayview Financial Acquisition Trust 2004-B A1
2.98%	05/28/39	2,3,†		5,596,402		4,757,004
Citigroup Mortgage Loan Trust, Inc. 2007-AMC3 A2A
2.59%	03/25/37	2		291,181		276,290
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
2.66%	03/25/37	2		5,000,000		4,003,905
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1
2.88%	03/25/37	2,4		6,500,000		1,835,572
Conseco Finance 2002-C BF1
8.00%	06/15/32	2,†		3,763,000		3,255,762
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		1,185,520		1,079,731
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33	2		189,853		186,897
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/33	2,4,†		194,278		26,636
Countrywide Asset-Backed NIM Certificates 2006-12N
7.25%	07/25/37	3,†		253,658		15,220
Countrywide Asset-Backed NIM Certificates 2006-26 Note
2.91%	01/25/12	2,3,†		6,504,925		4,684,073
Countrywide Asset-Backed NIM Certificates 2007-1 Note
2.91%	01/25/12	2,3,†		9,398,148		6,790,923
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
2.63%	05/25/36	2		6,900,000		6,375,766
Crystal River 2005-1A A
3.04%	03/02/46	2,3,4,†		1,714,733		1,684,735
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			112,804		114,409
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4
3.02%	10/25/34	2		236,020		234,331
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
2.70%	01/25/38	2		6,900,000		3,325,082
Fremont Home Loan Trust 2006-3 2A1
2.55%	02/25/37	2		79,997		78,346
Green Tree Financial Corp. 1996-10 M1
7.24%	11/15/28	2		2,700,000		2,468,095
Green Tree Financial Corp. 1996-8 A6
7.60%	10/15/27	2		68,717		71,181
Green Tree Financial Corp. 1998-4 A7
6.87%	04/01/30	2		916,565		849,071
Green Tree Financial Corp. 1999-1 A5
6.11%	09/01/23			26,064		25,953
Green Tree Financial Corp. 1999-5 A5
7.86%	03/01/30	2		177,415		150,970
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			106,561		77,172
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			228,036		178,570
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			32,730		25,538
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%	10/15/17			22,826		21,608
HFC Home Equity Loan Asset Backed Certificates 2004-1 A
2.83%	09/20/33	2		873,157		804,244
HSI Asset Securitization Corp. Trust 2006-HE2 2A1
2.53%	12/25/36	2		233,603		223,958
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			1,063,396		983,592
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			525,076		483,090
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28			262,686		228,937
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	2		938,164		831,528
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11			227,447		216,961
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		484,170		467,203
Inman Square Funding Ltd. 2004-1A I
3.42%	10/20/34	2,3,4,†		1,271,371		1,080,665
Inman Square Funding Ltd. 2005-2A I
3.18%	10/06/40	2,3,4,†		14,936,215		8,214,911

66

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Ivy Lane CDO Ltd. 2006-1A A1
3.11%	02/05/46	2,3,4,†	$	14,717,894	$	7,211,762
Lehman ABS Mortgage Loan Trust 2007-1 2A1
2.57%	06/25/37	2,3		313,912		293,507
Long Beach Asset Holdings Corp. 2006-11 N1
6.75%	01/25/47	3,†		763,709		1,536
Long Beach Asset Holdings Corp. 2006-9 N1
6.25%	10/25/46	3,4,†		971,205		18,560
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
3.06%	08/25/35	2		1,389,210		1,228,126
Mid-State Trust 11 B
8.22%	07/15/38			20,310		16,648
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,576,799		1,518,642
Mid-State Trust 6 A4
7.79%	07/01/35			64,329		61,720
Morgan Stanley ABS Capital I 2007-HE1 A2D
2.71%	11/25/36	2		6,900,000		4,288,612
Nationstar Home Equity Loan Trust 2007-A AV4
2.71%	03/25/37	2,†		5,000,000		3,520,079
Nationstar NIM Trust 2007-B A
8.75%	05/25/37	3,4,†		687,907		103,186
Nationstar NIM Trust 2007-C A
8.00%	06/25/37	3,†		481,229		288,790
Nomura Asset Acceptance Corp. 2006-S1 AIO (IO)
10.00%	01/25/36	2,3,4		950,000		15,105
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			4,892		4,821
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			286,729		282,303
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			269,895		254,823
Oakwood Mortgage Investors, Inc. 2001-D A2
5.26%	01/15/19	2		206,875		164,252
Oakwood Mortgage Investors, Inc. 2001-D A3
5.90%	09/15/22	2		12,324		10,258
Oakwood Mortgage Investors, Inc. 2001-D A4
6.93%	09/15/31	2		745,170		632,847
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO)
6.00%	02/15/10	4,†		220,307		19,840
Oakwood Mortgage Investors, Inc. 2002-B A2
5.19%	09/15/19	2		249,412		220,981
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		2,334,062		213,380
PAMCO CLO 1998-1A B2
4.22%	05/01/10	2,3,†		1,084,460		954,349
RAAC 2007-RP1 M4
4.48%	05/25/46	2,3,†		16,619		4,155
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		1,402,075		308,457
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
2.55%	02/25/37	2		210,424		196,747
Residential Asset Securities Corp. 2007-KS2 AI1
2.55%	02/25/37	2		247,434		236,114
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
2.95%	04/25/35	2		7,000,000		6,019,680
Soundview NIM Trust 2007-OPT1 N
9.00%	06/25/37	3,4		2,917,886		145,894
Specialty Underwriting & Residential Finance 2004-BC4 A2C
2.97%	10/25/35	2		2,360,738		2,102,893
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3,†		448,507		441,789
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	3,†		440,872		434,220
Structured Asset Receivables Trust 2005-1
4.43%	01/21/15	3,†		14,254,697		13,275,934
Terwin Mortgage Trust 2004-7HE A1
3.03%	07/25/34	2,3		122,539		108,941
Terwin Mortgage Trust 2005-11 1M2 (STEP)
4.50%	11/25/36	3,†		3,500,000		595,089
Terwin Mortgage Trust 2006-8 1A2
5.00%	08/25/37	2,3,4		2,000,000		301,652
Terwin Mortgage Trust 2007-3SL AX (IO)
23.50%	05/25/38	2,3,4,5,†		17,729,600		97,683
Terwin Mortgage Trust 2007-3SL CE2
0.00%	05/25/38	3,4,†		111,560,000		5,674
Terwin Mortgage Trust 2007-9SL M1
3.98%	06/25/38	2,3		1,000,000		250,000
Terwin Mortgage Trust NIM 2007-4 N1
10.00%	05/25/38	3,†		1,157,719		63,687
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		585		379
Vertical CDO Ltd. 2007-1A A1J
3.20%	04/10/47	2,3,4,†		3,300,000		32,998

67

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Trust 2007-2 M1
2.85%	04/25/37	2	$	5,000,000	$	1,278,275
Total Asset-Backed Securities (Cost $166,955,514)						112,099,228
CORPORATES — 20.78%*
Automotive — 0.43%
General Motors Corp.
7.38%	05/23/48			2,600,000		1,287,000
Banking — 2.38%
Bank of America Corp.
8.00%	12/29/49	2		1,000,000		938,390
Chase Capital II B
3.37%	02/01/27	2		1,605,000		1,240,512
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	2,3		1,000,000		843,831
JPMorgan Chase & Co. 1
7.90%	12/31/49	2		2,000,000		1,880,860
JPMorgan Chase Bank NA
8.75%	11/28/21	2		2,201,000		2,182,071
						7,085,664
Basic Industry — 0.50%
Noranda Aluminium Holding Corp.
8.58%	11/15/14	2		1,825,000		1,505,625
Communications — 1.57%
CCO Holdings LLC/CCO Holdings Capital Corp.
8.75%	11/15/13			3,000,000		2,820,000
Dex Media West LLC/Dex Media Finance Co. B
8.50%	08/15/10			1,000,000		992,500
Level 3 Financing, Inc.
8.75%	02/15/17			750,000		648,750
9.25%	11/01/14			250,000		228,750
						4,690,000
Electric — 1.26%
Calpine Construction Finance Co., LP
11.50%	08/26/11	2,3		750,000		802,500
PNM Resources, Inc.
9.25%	05/15/15			650,000		674,375
Power Contract Financing LLC
6.26%	02/01/10	3		2,245,095		2,272,004
						3,748,879
Energy — 0.81%
Sabine Pass LNG LP
7.25%	11/30/13			850,000		777,750
Southern Union Co.
7.20%	11/01/66	2		2,005,000		1,627,922
						2,405,672
Finance — 6.12%
Bear Stearns Cos., Inc. (The) (MTN)
2.73%	02/23/10	2		3,575,000		3,507,375
Citigroup Capital XXI
8.30%	12/21/57	2		930,000		880,542
Citigroup, Inc.
8.40%	04/30/49	2		810,000		771,007
Countrywide Financial Corp. (MTN)
2.87%	01/05/09	2		575,000		561,061
3.02%	03/24/09	2		4,823,000		4,632,453
Ford Motor Credit Co. LLC
5.46%	01/13/12	2		4,000,000		2,845,272
GMAC LLC
4.88%	12/01/14	2		5,556,000		3,590,209
7.25%	03/02/11			2,000,000		1,470,834
						18,258,753
Insurance — 0.31%
Farmers Exchange Capital
7.05%	07/15/28	3		1,000,000		916,437
Real Estate Investment Trust (REIT) — 0.75%
HCP, Inc.
7.07%	06/08/15			500,000		475,051
HRPT Properties Trust
3.38%	03/16/11	2		750,000		689,908
Shurgard Storage Centers LLC
7.75%	02/22/11			1,000,000		1,063,108
						2,228,067
Secured Assets — 0.29%
Ingress I Ltd. B-A
7.38%	03/30/40	3,†		1,000,000		867,505
Transportation — 6.36%
American Airlines, Inc. 1999-1 A1
6.86%	10/15/10	2		11,520		11,347
American Airlines, Inc. 2001-2 A1
6.98%	04/01/11	2,6		64,916		62,644
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	6		6,099,036		5,397,647
Continental Airlines, Inc. 2007-1 B
6.90%	04/19/22			2,650,000		2,126,625
Delta Air Lines, Inc. 2001-1 A2
7.11%	09/18/11	6		11,070,000		10,239,750
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,200,000		1,107,000
United Air Lines, Inc. 2001-1 A1
6.07%	03/01/13	6		2,434		2,443
						18,947,456
Total Corporates (Cost $67,495,271)						61,941,058

68

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BANK LOANS — 8.01%*
Automotive — 0.78%
Delphi Dip - 1st Lien Secured
7.25%	12/31/08		$	1,000,000	$	999,167
General Motors Corp. Strip II
0.00%	07/20/11	7		1,550,000		1,321,375
						2,320,542
Basic Industry — 0.33%
Murray Bank Loan 3rd Lien
10.99%	07/28/11	4,7		1,075,666		994,991
Communications — 0.71%
Cebridge 2nd Lien (PIK)
8.87%	05/05/14	7		2,401,527		2,128,354
Consumer Discretionary — 0.96%
Tribune - Bridge Unsecured Delayed Drawing Term Loan
7.48%	12/31/08	7		1,523,810		979,048
Tribune 1st Lien Term Loan B
5.48%	05/24/14	7		2,476,241		1,872,657
						2,851,705
Electric — 1.41%
Boston Generating LLC 1st Lien
4.97%	12/19/13	7		2,964,931		2,785,446
Calpine CCFC I Term Loan
8.80%	08/26/09	7		500,000		502,500
TPF Generation Holdings LLC 2nd Lien
7.05%	12/15/14	7		1,000,000		909,167
						4,197,113
Finance — 0.82%
Kelson 1st Lien
6.06%	03/16/13	7		2,500,000		2,427,605
Health Care — 0.54%
Carestream Health, Inc. Term Loan
8.01%	10/30/13	7		2,250,000		1,612,501
Insurance — 0.31%
Asurion Corp. Term Loan
5.78%	07/13/14	7		1,000,000		931,667
Transportation — 2.15%
Northwest Air Dip
4.48%	05/21/12	7		4,960,000		3,753,068
Swift Transportation Co., Inc. Term Loan
6.13%	05/06/14	7		2,151,163		1,734,375
United Air Lines, Inc.
4.78%	02/01/14	7		1,218,943		916,239
						6,403,682
Total Bank Loans (Cost $28,020,617)						23,868,160
MORTGAGE-BACKED — 32.42%**
Commercial Mortgage-Backed — 7.63%
Bayview Commercial Asset Trust 2007-1 A1
2.70%	03/25/37	2,3,†		5,110,231		4,343,752
Bear Stearns Commercial Mortgage Securities 2006-PW14 AM
5.24%	12/11/38			10,000,000		8,976,417
CS First Boston Mortgage Securities Corp. 2005-C5 AM
5.10%	08/15/38	2		9,655,000		9,072,077
Structured Asset Securities Corp. 1996-CFL H
7.75%	02/25/28	3		332,983		332,111
						22,724,357
Non-Agency Mortgage-Backed — 16.76%
Banco de Credito Y Securitizacion SA 2001-1 AF
8.00%	05/31/10	3,4,†		978,676		264,349
BHN I Mortgage Fund 2000-1 AF
8.00%	03/31/11	3,4		10,142		2,745
Citigroup Commercial Mortgage Trust 2006-C4 AM
5.92%	03/15/49	2		5,400,000		5,055,285
Countrywide Alternative Loan Trust 2005-14 4X (IO)
3.73%	05/25/35	4,8,†		2,610,699		41,367
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	4		41,356,577		1,460,404
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
4.47%	04/19/47	2		1,801,515		1,295,224
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	4,8		6,267,503		67,572
Harborview Mortgage Loan Trust 2005-12 X2A (IO)
0.60%	10/19/35	2,4		28,741,019		278,429
Harborview Mortgage Loan Trust 2006-1 X1 (IO)
3.09%	03/19/37	2,4		26,151,429		780,457
Harborview Mortgage Loan Trust 2006-4 X1 (IO)
3.97%	05/19/47	2,4		52,975,218		1,638,921
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	4,8		1,503,589		16,915
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
2.88%	08/25/34	2		397,757		331,277
LB-UBS Commercial Mortgage Trust 2006-C3 AM
5.71%	03/15/39	2		5,145,000		4,816,615
Lehman XS Trust 2007-12N 1A3A
2.68%	07/25/47	2		10,120,000		5,965,065

69

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley Capital I 2006-HQ9 AM
5.77%	07/12/44	2	$	10,000,000	$	9,314,747
Morgan Stanley Capital I 2006-IQ12 AM
5.37%	12/15/43			11,000,000		9,911,200
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,†		2,849,942		128,277
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
1.05%	08/25/46	4,8,†		254,899,892		1,832,324
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO)
1.14%	02/25/47	4,8,†		212,932,442		2,595,307
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO)
1.18%	03/25/47	4,8,†		211,447,885		2,577,213
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO)
1.10%	04/25/47	4,8,†		132,064,898		1,444,579
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			147,352		150,819
						49,969,091
U.S. Agency Mortgage-Backed — 8.03%
Fannie Mae 1993-80 S
7.82%	05/25/23	2		22,439		21,713
Fannie Mae 2000-45 SA (IO)
5.47%	12/18/30	2		3,588,257		313,518
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		2,759		2,758
Fannie Mae 2003-107 SQ (IO)
5.17%	05/25/33	2		549,207		33,585
Fannie Mae 2003-124 (IO)
5.25%	03/25/31			256,060		27,727
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		52,398		54,149
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			2,377,920		327,708
Fannie Mae 2003-67 IH (IO)
5.00%	01/25/25			444,589		6,392
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			120,511		9,961
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		1,535,074		1,440,547
Fannie Mae 2007-34 SB (IO)
3.63%	04/25/37	2,†		53,096,870		3,314,386
Fannie Mae Pool 555312
6.61%	01/01/33	2		433,636		439,453
Freddie Mac 1602 SN
10.09%	10/15/23	2		14,590		15,495
Freddie Mac 2451 SP
11.50%	05/15/09	2		8,221		8,210
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			748,840		112,323
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			1,689,990		174,949
Freddie Mac 2587 IH (IO)
5.00%	08/15/25			827,293		8,903
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			620,095		43,079
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			187,842		33,398
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			1,015,369		130,656
Freddie Mac 2692 EI (IO)
5.50%	08/15/33			261,436		85,245
Freddie Mac 2764 CT
7.50%	03/15/34	2		484,268		462,736
Freddie Mac 2764 SH
7.50%	03/15/34	2		289,466		272,838
Freddie Mac 2827 JT
8.50%	12/15/32	2		168,473		162,121
Freddie Mac 2856 ST
7.00%	09/15/23	2		730,357		713,679
Freddie Mac 3242 SA (IO)
3.88%	11/15/36	2,†		58,860,326		3,955,598
Freddie Mac 3260 AS (IO)
3.91%	01/15/37	2		69,884,260		4,809,617
Freddie Mac 3280 SI (IO)
3.97%	02/15/37	2,†		44,131,199		2,868,539
Freddie Mac 3289 SD (IO)
3.65%	03/15/37	2		23,544,529		1,401,874
Freddie Mac 3430 IA
0.82%	07/15/12	†		110,461,844		2,035,812
Ginnie Mae 2001-31 SJ
19.31%	02/20/31	2		112,723		129,047
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			187,014		21,016
Ginnie Mae 2003-58 IG (IO)
5.50%	05/17/29			136,265		2,665
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			137,894		1,289
Ginnie Mae 2004-8 SE
9.34%	11/26/23	2		501,108		495,561
						23,936,547
Total Mortgage-Backed (Cost $91,999,571)						96,629,995
Total Bonds – 98.81% (Cost $354,470,973)						294,538,441

70

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues		Shares		Value
PREFERRED STOCK — 2.21%
Automotive — 0.04%
Corts Trust for Ford Motor Co.
8.00%	07/16/31		700	$	9,800
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31		8,100		118,989
					128,789
Banking — 0.83%
Bank of America Corp.
7.25%			2,800		2,478,000
Communications — 0.40%
Corts Trust for US West Communications
7.50%	11/15/43		7,118		126,985
Preferred Plus Trust Citizens Communications Co.
8.38%			12,100		306,735
Preferred Plus Trust Qwest Capital Funding
7.75%	02/15/31		9,650		219,634
8.00%	02/15/31		19,500		380,250
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30		6,100		151,890
					1,185,494
Finance — 0.94%
Citigroup, Inc.
6.50%			64,000		2,784,000
Terwin Mortgage Trust 2005-13SL P
0.00%3,4,9			1,000		5,500
Terwin Mortgage Trust 2005-P1 A
0.00%4,7			570		171
Terwin Mortgage Trust 2006-1 2P
0.00%3,4,9			1,000		4,300
Terwin Mortgage Trust 2006-4SL P
0.00%4			410		6,970
					2,800,941
Total Preferred Stock (Cost $ 10,947,090)					6,593,224
Issues		Contracts		Value
PUT OPTIONS PURCHASED — 0.26%
Banking — 0.07%
Bank of America Corp., Put Strike $30, expires 01/16/10			248		220,720
Finance — 0.10%
Citigroup, Inc., Put Strike $15, expires 01/16/10			1,040		301,600
U.S. Government — 0.09%
U.S. Long Bond (CBT), Put Strike $113, expires 09/26/08			300		267,188
Total Put Options Purchased (Cost $ 690,828)					789,508
CALL OPTIONS PURCHASED — 0.01%
Futures — 0.01%
90 Day Euro Dollar Futures, Call Strike $97.375, expires 09/15/08			260		29,250
Total Call Options Purchased (Cost $ 153,400)					29,250
		Notional Amount (000’s)
PURCHASED SWAPTIONS — 0.37%
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		629,155
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		464,547
Total Purchased Swaptions (Cost $ 435,830)					1,093,702
Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 21.74%
Commercial Paper — 0.89%
Rabobank USA Finance Corp.
2.34%10	07/14/08	$	345,000	$	344,709
2.39%10	07/24/08		2,310,000		2,306,473
					2,651,182
Money Market Fund — 0.49%
Goldman Sachs Group, Inc. (The), 2.35%			1,458,500		1,458,500
U.S. Agency Discount Notes — 20.36%
Fannie Mae
2.01%10	07/21/08		2,148,000		2,145,560
2.10%10	07/21/08		2,671,000		2,667,899
2.13%10	07/21/08		885,000		883,958

71

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Shares/ Principal Amount			Value
SHORT TERM INVESTMENTS (continued)
U.S. Agency Discount Notes (continued)
2.41%10	09/17/08	11	$	1,053,000		$	1,047,718
Federal Home Loan Bank
2.16%10	07/11/08			14,885,000			14,876,110
Freddie Mac
1.99%10	07/21/08			860,000			859,023
2.04%10	07/21/08			4,166,000			4,161,267
2.06%10	07/14/08	11		705,000			704,400
2.06%10	07/21/08			10,429,000			10,417,153
2.06%10	07/21/08			3,448,000			3,444,083
2.06%10	07/21/08	11		18,697,000			18,675,760
2.07%10	07/21/08			800,000			798,718
							60,681,649
Total Short Term Investments (Cost $ 64,791,606)							64,791,331
Total Investments – 123.40% (Cost $ 431,489,727)1							367,835,456
Liabilities in Excess of Other Assets – (23.40)%							(69,747,770	)
NET ASSETS – 100.00%						$	298,087,686
Issues	Shares		Proceeds			Value
SECURITIES SOLD SHORT
Continental Airlines, Inc., Cl. B	(15,541	)	$	(192,351	)	$	(157,119	)
Northwest Airlines Corp.	(53	)		(487	)		(353	)
Total Securities Sold Short			$	(192,838	)	$	(157,472	)
Counterparty	Maturity Date		Principal Amount			Net Closing Amount
REVERSE REPURCHASE AGREEMENTS
JPMorgan & Co., 2.95%	07/29/08		$	(11,813,000	)	$	(11,813,000	)
Total Reverse Repurchase Agreements			$	(11,813,000	)	$	(11,813,000	)
Issues	Contracts		Premiums Received			Value
CALL OPTIONS WRITTEN
1 Year Euro Dollar Futures, Call Strike $98.25, expires 09/12/08	(130	)	$	(32,175	)	$	(813	)
1 Year Euro Dollar Futures, Call Strike $98.375, expires 09/12/08	(130	)		(59,800	)		(812	)
90 Day Euro Dollar Futures, Call Strike $97.875, expires 09/15/08	(260	)		(59,475	)		(4,875	)
U.S. Long Bond (CBT), Call Strike $ 116.50, expires 09/26/08	(300	)		(122,787	)		(131,250	)
Total Call Options Written			$	(274,237	)	$	(137,750	)
WRITTEN PUT OPTIONS
90 Day Euro Dollar Futures, Written Strike $96.75, expires 09/15/08	(130	)	$	(41,925	)	$	(21,125	)
90 Day Euro Dollar Futures, Written Strike $97.25, expires 09/15/08	(130	)		(25,675	)		(82,875	)
U.S. Long Bond (CBT), Written Strike $112, expires 09/26/08	(300	)		(266,536	)		(168,750	)
Total Written Put Options			$	(334,136	)	$	(272,750	)
	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	)	$	(1,030,148	)
Total Written Swaptions			$	(435,815	)	$	(1,030,148	)

Contracts		Unrealized Appreciation/ Depreciation
FUTURES CONTRACTS: LONG POSITIONS
900	Euro Dollar Ninety Day, September 2008	$	106,075
36	U.S. Treasury Five Year Note, September 2008		(2,880	)
	Net unrealized appreciation	$	103,195

72

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
105	Euro Dollar Ninety Day, March 2009	$	(367,375	)
129	Euro Dollar Ninety Day, June 2009		(236,939	)
130	Euro Dollar Ninety Day, September 2009		(174,050	)
130	Euro Dollar Ninety Day, December 2009		(112,562	)
31	Euro Dollar Ninety Day, March 2010		(31,885	)
34	U.S. Treasury Thirty Year Note, September 2008		(15,933	)
	Net unrealized depreciation	$	(938,744	)

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 4.20% quarterly. Counterparty: CS First Boston	09/03/08	$	17,610	$	(21,178	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston	06/11/09		8,010		20,185
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.75% quarterly. Counterparty: Morgan Stanley	06/17/09		8,010		67,838
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc.	06/10/11		8,010		(7,495	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc.	06/11/11		13,340		(18,567	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.48% quarterly. Counterparty: Morgan Stanley	06/13/11		6,400		22,834
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		313,285
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		97,554
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		807,645
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		196,662
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		400,822
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		(3,052,271	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 9.28% annually. Counterparty: Lehman Brothers Holdings, Inc.	06/05/17		5,000		336,763
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		13,922
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		38,527
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		17,317
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston	06/03/19		4,290		(15,423	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc.	06/10/19		1,950		(20,957	)

73

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston	06/11/19	$	1,950	$	(12,274	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc.	06/11/19		3,250		(12,986	)
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% quarterly. Counterparty: Morgan Stanley	06/13/19		1,560		(13,848	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.20% quarterly. Counterparty: Morgan Stanley	06/17/19		1,950		(41,600	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		3,000		(25,905	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co.	03/26/22		5,930		(354,127	)
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		(48,770	)
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		(100,585	)
				$	(1,412,632	)
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		670,121
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		89,344
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		209,456
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		754,042
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		209,456
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		71,106
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		328,524
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		62,819
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		138,662
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		7,985
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		(4,325	)
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		(648	)
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		(1,548	)
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		(2,177	)

74

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	16,500
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		20,523
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		13,119
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		19,928
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		25,302
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		63,812
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		13,150
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		77,641
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		346,941
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		26,361
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		16,427
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		2,748
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		3,741
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		7,528
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		5,646
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		38,709
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		46,899
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		37,311
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		160,908
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		(8,137	)
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		(8,137	)
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		(41,103	)

75

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	(35,311	)
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		212,224
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		514,277
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		419,670
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		141,068
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		150		7,098
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		2,425		168,996
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		18,829
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		258,439
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		(24,697	)
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		(33,751	)
The Fund pays a fixed rate equal to 2.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SABR 2005-EC1 B3, 7.22%, due 01/25/35. Counterparty: Bear Stearns Cos., Inc.2	01/25/35		223		181,212
The Fund pays a fixed rate equal to 0.09% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-1, due 05/25/46. Counterparty: Citigroup, Inc.	08/25/37		4,200		1,635,112
				$	6,881,800
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		1,200		(1,289	)
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		(214,232	)
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		(771,234	)
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		(214,232	)
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 AG4	07/25/34		1,666		108,533
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		(460,229	)
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		(2,989,807	)
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		(542,251	)

76

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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	$	(451,116	)
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		2,110		(1,922,902	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		5,000		(2,538,037	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		1,900		(964,454	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Lehman Brothers Holdings, Inc.	08/25/37		1,000		(507,613	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley	08/25/37		1,160		(588,926	)
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		(1,659,081	)
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		(7,025,426	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		2,300		(1,244,711	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		2,400		(1,297,002	)
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		(1,234,268	)
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		(168,309	)
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		(1,569,158	)
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		(153,656	)
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		1,065		(945,318	)
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		(1,650,979	)
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		(661,279	)
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		(439,373	)
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		(3,017,918	)
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		(1,140,595	)
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		(1,921,703	)
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		(115,391	)

77

Strategic Income Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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	$	1,740	$	(1,382,995	)
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		(691,498	)
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		(9,935,312	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		4,000		(3,179,300	)
				$	(51,491,061	)

Notes:

¹ Cost for financial reporting purposes is $431,489,727 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	8,044,314
Gross unrealized depreciation		(71,698,585	)
Net unrealized (depreciation)	$	(63,654,271	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $69,712,441 representing 23.39% 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 Non-Rule 144A 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, 5.78%, 07/13/14	$	991,384	$	931,667	0.31	%
12/19/06	Boston Generating LLC 1st Lien, 4.97%, 12/19/13		2,964,931		2,785,446	0.93	%
05/09/08	Calpine CCFC I Term Loan, 8.80%, 08/26/09		502,937		502,500	0.17	%
04/12/07	Carestream Health, Inc. Term Loan, 8.01%, 10/30/13		2,267,161		1,612,501	0.54	%
05/24/07	Cebridge 2nd Lien (PIK), 8.86%, 05/05/14		2,473,942		2,128,354	0.71	%
09/26/07	General Motors Corp. Strip II, 0.50%, 07/20/11		1,429,983		1,321,375	0.44	%
04/16/08	Kelson 1st Lien, 6.06%, 03/16/13		2,427,325		2,427,605	0.82	%
08/09/06	Murray Bank Loan 3rd Lien, 10.99%, 07/28/11		1,075,666		994,991	0.33	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		4,924,171		3,753,068	1.26	%
05/14/07	Swift Transportation Co., Inc. Term Loan, 6.93%, 05/06/14		1,835,199		1,734,375	0.58	%
04/18/05	Terwin Mortgage Trust 2005-P1 A, 0.00%		62,858		171	0.00	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 7.05%, 12/15/14		1,000,000		909,167	0.31	%
05/24/07	Tribune - Bridge Unsecured Delayed Drawing Term Loan, 7.48%, 12/31/08		1,523,810		979,048	0.33	%
05/17/07	Tribune 1st Lien Term Loan B, 5.48%, 05/24/14		2,397,311		1,872,657	0.63	%
02/01/07	United Air Lines, Inc., 4.78%, 02/01/14		1,218,943		916,239	0.31	%
		$	27,095,621	$	22,869,164	7.67	%

⁸ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁹ Non-income producing security.

¹⁰ Represents annualized yield at date of purchase.

¹¹ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $91,118,736 which is 30.57% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees.

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

** Securities backed by mortgage or consumer loans where payment is periodically made will have an effective 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

78

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
BONDS – 100.76%
ASSET-BACKED SECURITIES — 26.35%**
ACE Securities Corp. 2004-FM1 B1A
7.73%	09/25/33	2	$	17,188	$	2,542
ACE Securities Corp. 2006-SL1 A
2.64%	09/25/35	2		385,289		186,187
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
2.98%	12/28/40	2,3,†		2,400,000		1,992,132
Carrington Mortgage Loan Trust 2007-FRE1 A1
2.60%	02/25/37	2		511,415		494,783
Castle Trust 2003-1AW A1
3.22%	05/15/27	2,3,†		654,405		595,529
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A
2.63%	08/25/36	2		2,483,000		2,098,912
Conseco Finance 2002-C BF2
8.00%	06/15/32	2,3,†		574,875		523,576
Contimortgage Home Equity Trust 1999-3 A6 (STEP)
8.18%	12/25/29			840,453		822,549
Countrywide Asset-Backed Certificates 2004-1 M2
3.03%	03/25/34	2		2,250,000		1,898,831
Countrywide Asset-Backed Certificates 2006-25 2A1
2.55%	06/25/37	2		1,490,890		1,465,877
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP)
5.89%	02/25/37			1,079,499		1,051,331
Embarcadero Aircraft Securitization Trust 2000-A A1
2.95%	08/15/25	2,3,†		804,708		675,959
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 M1
2.88%	03/25/35	2		1,450,000		1,173,274
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF2 A2A
2.53%	03/25/37	2		907,957		870,041
Genesis Funding Ltd. 2006-1A G1
2.72%	12/19/32	2,3,†		1,750,000		1,343,144
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
2.92%	06/25/30	2		545,733		369,773
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP)
6.05%	04/25/27			95,426		82,269
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			70,917		51,359
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			143,418		111,903
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			81,861		67,124
GSAMP Trust 2004-FM1 M2
4.58%	11/25/33	2		658,892		538,015
GSAMP Trust 2006-HE8 A2A
2.55%	01/25/37	2		476,270		452,829
GSAMP Trust 2007-FM1 A2A
2.55%	12/25/36	2		1,154,449		1,119,144
GSAMP Trust 2007-HE2 A2A
2.51%	03/25/47	2		827,785		788,098
HFC Home Equity Loan Asset Backed Certificates 2007-1 M1
2.86%	03/20/36	2		1,100,000		822,910
HFC Home Equity Loan Asset Backed Certificates 2007-2 M1
2.79%	07/20/36	2		1,300,000		966,272
Home Equity Asset Trust 2005-6 1A2
2.76%	12/25/35	2		1,476,074		1,383,094
Home Equity Asset Trust 2007-3 2A2
2.66%	08/25/37	2		2,400,000		2,044,146
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1
3.61%	05/25/33	2		715,870		586,793
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			772,441		714,472
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			275,872		253,813
IndyMac Residential Asset Backed Trust 2006-A A2
2.63%	03/25/36	2		1,198,274		1,181,321
Inman Square Funding Ltd. 2005-2A I
3.18%	10/06/40	2,3,4,†		2,333,784		1,283,580
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP)
8.00%	09/25/23			41,947		41,837
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2A
2.60%	04/25/37	2		1,290,281		1,254,907
Morgan Stanley ABS Capital I 2007-NC3 A2A
2.54%	05/25/37	2		1,752,007		1,697,805
Oakwood Mortgage Investors, Inc. 2002-B A1
2.70%	05/15/13	2		135,358		108,221
Option One Mortgage Loan Trust 2003-2 A2
3.08%	04/25/33	2		125,436		110,902
Renaissance Home Equity Loan Trust 2007-1 N
9.79%	04/25/37	3,4,†		334,341		73,555
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1
2.59%	03/25/36	2		452,202		410,112

79

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Resmae Mortgage Loan Trust 2006-1 A1B
2.75%	02/25/36	2,3	$	386,360	$	327,252
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
2.61%	05/25/37	2		2,069,963		1,908,895
SG Mortgage Securities Trust 2006-FRE1 A1B
2.75%	02/25/36	2		295,090		269,385
Structured Asset Receivables Trust 2003-1
4.43%	01/21/10	3,†		589,787		580,953
Structured Asset Receivables Trust 2003-2
4.33%	01/21/09	3,†		183,219		180,455
Structured Asset Receivables Trust 2005-1
4.43%	01/21/15	3,†		2,336,676		2,176,234
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4,†		14,718,511		173,816
Terwin Mortgage Trust 2005-7SL A1
2.75%	07/25/35	2,3		91,057		87,679
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			281,910		268,460
Total Asset-Backed Securities (Cost $ 42,553,663)						37,685,718
CORPORATES — 27.11%*
Banking — 2.48%
BAC Capital Trust XV
3.48%	06/01/56	2		275,000		214,433
Banponce Trust I A
8.33%	02/01/27			900,000		859,236
Chase Capital II B
3.37%	02/01/27	2		750,000		579,679
JPMorgan Chase Bank NA
7.59%	03/28/22	2		445,000		415,719
JPMorgan Chase Capital XIII M
3.75%	09/30/34	2		800,000		625,114
National Australia Bank Ltd. A
8.60%	05/19/10			800,000		856,482
						3,550,663
Electric — 4.89%
Appalachian Power Co.
6.60%	05/01/09			800,000		813,663
Entergy Gulf States, Inc.
3.43%	12/08/08	2,3		750,000		749,594
Florida Power Corp. A
3.08%	11/14/08	2		1,430,000		1,426,225
Midwest Generation LLC
8.30%	07/02/09			1,052,174		1,060,065
Mirant Mid Atlantic LLC A
8.63%	06/30/12			963,646		1,016,646
Power Contract Financing LLC
6.26%	02/01/10	3		399,627		404,417
Reliant Energy, Inc.
6.75%	12/15/14			700,000		717,500
TECO Energy, Inc.
4.87%	05/01/10	2		800,000		802,000
						6,990,110
Finance — 11.09%
Bear Stearns Cos., Inc. (The) (MTN)
2.73%	02/23/10	2		275,000		269,798
2.77%	08/21/09	2		800,000		789,721
Citigroup, Inc.
3.06%	11/05/14	2		1,569,000		1,445,561
4.39%	05/15/18	2		250,000		241,803
Countrywide Financial Corp. (MTN)
2.87%	01/05/09	2		600,000		585,455
3.02%	03/24/09	2		1,400,000		1,344,689
Credit Suisse Guernsey Ltd. 1
3.37%	05/29/49	2		1,000,000		744,480
Ford Motor Credit Co. LLC
4.28%	01/15/10	2		2,060,000		1,814,337
5.46%	01/13/12	2		766,000		544,870
GMAC LLC
4.88%	12/01/14	2		2,228,000		1,439,702
Lehman Brothers Holdings, Inc. (MTN)
2.82%	11/16/09	2		1,200,000		1,143,935
2.95%	07/18/11	2		620,000		567,264
MBNA Capital A
8.28%	12/01/26			800,000		832,430
MBNA Capital B
3.67%	02/01/27	2		761,000		608,993
Merrill Lynch & Co., Inc. (MTN)
4.50%	05/20/09	2		830,000		824,713
Merrill Lynch & Co., Inc. C (MTN)
3.03%	02/06/09	2		900,000		889,096
Toyota Motor Credit Corp. (MTN)
8.00%	10/24/13	2		1,458,000		1,383,059
Woodbourne Capital Trust I
3.55%	04/08/49	2,3,4		150,000		97,500
Woodbourne Capital Trust II
3.56%	04/08/49	2,3,4		150,000		97,500
Woodbourne Capital Trust III
3.56%	04/08/49	2,3,4		150,000		97,500
Woodbourne Capital Trust IV
3.56%	04/08/49	2,3,4		150,000		97,500
						15,859,906
Health Care — 0.86%
Cardinal Health, Inc.
3.05%	10/02/09	2		1,245,000		1,223,077
Real Estate Investment Trust (REIT) — 5.19%
BRE Properties, Inc.
5.75%	09/01/09			325,000		325,579
Developers Diversified Realty Corp.
3.88%	01/30/09			1,300,000		1,284,726

80

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
First Industrial LP
5.25%	06/15/09		$	405,000	$	402,011
HCP, Inc. (MTN)
3.23%	09/15/08	2		3,070,000		3,054,343
HRPT Properties Trust
3.38%	03/16/11	2		604,000		555,606
Mack-Cali Realty LP
7.25%	03/15/09			500,000		505,632
Simon Property Group LP
4.88%	08/15/10			1,000,000		976,627
7.13%	02/09/09			320,000		324,721
						7,429,245
Transportation — 2.60%
Air 2 US A
8.03%	10/01/19	3,5		224,009		198,248
Continental Airlines, Inc. 1997-1 A
7.46%	04/01/15	5		874,129		773,604
Continental Airlines, Inc. 1998-3
6.32%	11/01/08			454,000		451,162
Delta Air Lines, Inc. 2001-1 A1
6.62%	03/18/11	5		1,680,547		1,621,728
United Air Lines, Inc. 2000-2 A1
7.03%	10/01/10	5		342,620		340,479
United Air Lines, Inc. 2001-1
6.20%	09/01/08	5		340,218		339,368
						3,724,589
Total Corporates (Cost $40,542,563)						38,777,590
BANK LOANS — 4.81%*
Communications — 0.62%
Cebridge 2nd Lien
7.74%	05/05/14			1,000,000		888,750
Consumer Discretionary — 0.52%
Tribune 1st Lien Term Loan B
5.48%	05/24/14	6		990,000		748,688
Electric — 0.56%
Calpine CCFC I Term Loan
8.80%	08/26/09	6		800,000		804,000
Finance — 0.68%
Kelson 1st Lien
6.06%	03/16/13	6		1,000,000		971,042
Health Care — 1.27%
Community Health Systems, Inc. 1st Lien
4.86%	07/25/14	6		953,428		900,026
HCA Term Loan A
4.80%	11/18/12	6		968,347		908,477
						1,808,503
Transportation — 1.16%
Northwest Air Dip
4.48%	05/21/12	6		1,490,000		1,127,434
United Air Lines, Inc.
4.78%	02/01/14	6		712,222		535,354
						1,662,788
Total Bank Loans (Cost $7,781,805)						6,883,771
MORTGAGE-BACKED — 42.49%**
Commercial Mortgage-Backed — 8.13%
Bayview Commercial Asset Trust 2004-1 A
2.84%	04/25/34	2,3,†		1,563,820		1,376,179
Bayview Commercial Asset Trust 2004-2 A
2.91%	08/25/34	2,3		1,421,943		1,287,507
Bayview Commercial Asset Trust 2005-2A A1
2.79%	08/25/35	2,3		772,230		720,520
Bayview Commercial Asset Trust 2007-1 A1
2.70%	03/25/37	2,3,†		2,725,457		2,316,668
Bayview Commercial Asset Trust 2007-3 A1
2.72%	07/25/37	2,3,†		2,949,821		2,620,343
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2
6.48%	02/15/35			1,190,000		1,221,717
CS First Boston Mortgage Securities Corp. 2000-C1 A2
7.55%	04/15/62			983,758		1,016,860
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			1,036,046		1,075,355
						11,635,149
Non-Agency Mortgage-Backed — 21.85%
Alliance Bancorp Trust 2007-OA1 A1
2.72%	07/25/37	2		3,023,802		2,147,869
American Home Mortgage Assets 2006-2 2A1
2.67%	09/25/46	2		1,935,573		1,447,017
American Home Mortgage Assets 2007-4 A2
2.67%	08/25/37	2,†		1,880,000		1,598,032
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
2.68%	11/25/36	2		1,713,090		1,241,796
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
2.69%	06/25/37	2		1,756,740		1,223,667
Chase Mortgage Finance Corp. 2007-A2 2A3
4.24%	07/25/37	2		2,150,692		2,103,506
Chevy Chase Mortgage Funding Corp. 2004-1A A1
2.76%	01/25/35	2,3		814,648		722,428

81

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chevy Chase Mortgage Funding Corp. 2005-2A A1
2.66%	05/25/36	2,3	$	892,023	$	714,549
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.13%	02/25/34	2		686,546		642,597
Countrywide Alternative Loan Trust 2005-144X (IO)
3.73%	05/25/35	4,7,†		1,701,616		26,963
Countrywide Alternative Loan Trust 2005-272A1
4.88%	08/25/35	2		1,106,081		752,135
Countrywide Alternative Loan Trust 2005-591A1
2.81%	11/20/35	2		1,245,450		913,524
Countrywide Alternative Loan Trust 2005-612A1
2.76%	12/25/35	2		586,065		438,754
Countrywide Alternative Loan Trust 2005-72A1
2.75%	01/25/36	2		965,225		753,968
Countrywide Alternative Loan Trust 2006-OA12 A2
2.69%	09/20/46	2,†		2,238,531		1,511,068
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO)
3.58%	05/20/46	4		5,970,128		210,820
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
4.47%	04/19/47	2		2,402,020		1,726,966
Harborview Mortgage Loan Trust 2005-1 X (IO)
2.80%	03/19/35	4,7		2,271,106		24,485
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
2.87%	12/25/34	2		270,837		223,668
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO)
3.61%	12/25/34	4,7		951,910		10,709
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
2.91%	09/25/34	2		196,536		174,328
Lehman XS Trust 2007-12N 1A3A
2.68%	07/25/47	2		4,000,000		2,357,733
MASTR Seasoned Securities Trust 2004-14A1
6.79%	10/25/32	2		277,195		266,166
MASTR Seasoned Securities Trust 2005-14A1
5.86%	10/25/32	2		656,097		597,807
Residential Accredit Loans, Inc. 2002-QS17NB1
6.00%	11/25/32			56,913		56,929
Residential Accredit Loans, Inc. 2005-QO3A1
2.88%	10/25/45	2		2,415,903		1,879,876
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			287,191		291,758
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
6.14%	12/27/35	2		2,138,755		1,842,242
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
2.68%	10/25/36	2		2,261,080		1,614,112
Structured Asset Securities Corp. 2002-5A6A
6.28%	04/25/32	2		25,167		24,684
Summit Mortgage Trust 2000-1 B5
6.69%	12/28/12	2,3		101		103
Terwin Mortgage Trust NIM 2007-2 N1
7.50%	04/25/38	3,†		1,481,970		66,704
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
4.30%	04/25/47	2		1,794,579		1,305,045
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
6.54%	01/25/33	2		94,174		91,057
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A
4.47%	05/25/46	2,†		2,006,268		1,895,923
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			338,909		346,884
						31,245,872
U.S. Agency Mortgage-Backed — 12.51%
Fannie Mae 1997-91 SL (IO)
7.50%	11/25/23	2		391,470		65,653
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			579,981		79,929
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		263,512
Fannie Mae 2003-91 IQ (IO)
5.50%	06/25/26			306,911		9,299
Fannie Mae 2007-83 PA
6.00%	03/25/29			1,850,899		1,881,438
Fannie Mae FNCI (TBA)
5.00%	07/25/23			2,480,000		2,452,294
5.50%	07/25/23			3,400,000		3,422,845
Fannie Mae FNCL (TBA)
6.50%	07/25/38			4,380,000		4,505,241
Fannie Mae G-36 ZB
7.00%	11/25/21			4,193		4,470
Fannie Mae Pool 646884
5.49%	05/01/32	2		323,194		325,311
Fannie Mae Pool 887714
6.06%	08/01/36	2		2,008,046		2,051,049
Freddie Mac 2 L
8.00%	11/25/22			35,740		38,806

82

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2080 PJ
6.50%	08/15/28		$	543,455	$	570,853
Freddie Mac 2535 LI (IO)
5.50%	08/15/26			13,913		58
Freddie Mac Non Gold Pool 1L0113
6.83%	05/01/35	2		572,523		591,234
Freddie Mac Non Gold Pool 788498
6.44%	02/01/30	2		527,515		531,894
Freddie Mac Non Gold Pool 847288
4.21%	05/01/34	2		747,741		758,050
Ginnie Mae 2004-34 IA (IO)
5.50%	12/20/31			164,749		1,540
Ginnie Mae II Pool 80968
5.63%	07/20/34	2		330,489		333,858
						17,887,334
Total Mortgage-Backed (Cost $68,378,185)						60,768,355
Total Bonds – 100.76% (Cost $159,256,216)						144,115,434
			Shares/ Principal Amount
SHORT TERM INVESTMENTS — 20.77%
Commercial Paper — 1.68%
BNP Paribas Finance, Inc.
2.38%	07/02/08		$	780,000		779,948
Rabobank USA Finance Corp.
2.34%	07/14/08			1,620,000		1,618,637
						2,398,585
Money Market Fund — 3.48%
Bank of New York Cash Reserves				96,746		96,746
Goldman Sachs Group, Inc. (The), 2.35%				4,883,000		4,883,000
						4,979,746
U.S. Agency Discount Notes — 15.61%
Fannie Mae
2.11%8	07/21/08	9		3,101,000		3,097,362
2.18%8	07/30/08			1,955,000		1,951,583
Federal Home Loan Bank
2.08%8	07/21/08			358,000		357,588
Freddie Mac
2.06%8	07/21/08			16,943,000		16,923,721
						22,330,254
Total Short Term Investments (Cost $29,708,604)						29,708,585
					Value
Total Investments – 121.53% (Cost $188,964,820)1					$	173,824,019
Liabilities in Excess of Other Assets – (21.53)%						(30,790,810	)
Net Assets – 100.00%					$	143,033,209

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: LONG POSITIONS
3	S&P 500 Index E-Mini, September 2008	$	(338	)
325	S&P 500 Index, September 2008		(9,072,717	)
	Net unrealized depreciation	$	(9,073,055	)

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: CS First Boston	10/03/08	$	21,656	$	(1,825,778	)
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		21,656		(1,825,779	)
				$	(3,651,557	)
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 4.20% quarterly. Counterparty: CS First Boston	09/03/08		9,480		(11,401	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston	06/11/09		4,310		10,861
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.75% quarterly. Counterparty: Morgan Stanley	06/17/09		4,310		36,502
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc.	06/10/11		4,310		(4,033	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc.	06/11/11		7,180		(9,993	)

83

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: INTEREST RATE (continued)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.48% quarterly. Counterparty: Morgan Stanley	06/13/11	$	3,450	$	12,309
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		100,956
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		66,735
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		2,584
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		7,195
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		3,215
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston	06/03/19		2,310		(8,305	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc.	06/10/19		1,050		(11,284	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston	06/11/19		1,050		(6,609	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc.	06/11/19		1,750		(6,993	)
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% quarterly. Counterparty: Morgan Stanley	06/13/19		840		(7,456	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.20% quarterly. Counterparty: Morgan Stanley	06/17/19		1,050		(22,400	)
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc.	01/30/22		900		(7,772	)
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		(19,508	)
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		(34,702	)
				$	89,901
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		87,606
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		11,297
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		6,916
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		401,623
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		13,117
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		26,252

84

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

Issues	Expiration Date	Notional Amount (000’s)		Value
SWAPS: CREDIT DEFAULT (PURCHASED) (continued)
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	$	(3,514	)
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		(1,441	)
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		(3,716	)
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		(5,478	)
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		594
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		2,289
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		837
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		(3,531	)
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		(21,174	)
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		(2,034	)
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		(2,034	)
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		(1,005	)
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		31,834
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		78,393
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		36,587
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		(6,174	)
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		(3,375	)
				$	643,869
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		(591	)
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		(205,053	)
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		(631,971	)
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		(227,836	)

85

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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	$	225	$	(205,053	)
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 ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley	08/25/37		380		(192,924	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		1,500		(810,626	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		150		(81,177	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley	01/25/38		500		(270,209	)
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		(140,258	)
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		(51,428	)
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		(353,875	)
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		(111,750	)
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		(84,155	)
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		(453,500	)
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 ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		220		(205,711	)
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		(204,153	)
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		(137,581	)
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		(372,802	)
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		(297,354	)
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		(856,556	)
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		(199,715	)
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		(696,784	)
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		(137,581	)
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		(137,581	)
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		(137,581	)
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		(683,470	)

86

AlphaTrak 500 Fund

Schedule of Portfolio Investments

June 30, 2008 (Unaudited)

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 08/25/37. Counterparty: Citigroup, Inc.	01/25/38	$	290	$	(257,411	)
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		(257,411	)
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 ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Lehman Brothers Holdings, Inc.	01/25/38		500		(270,231	)
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		(199,715	)
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		(399,430	)
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		(687,524	)
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		(345,749	)
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 ABX-HE-AA 06-2, due 05/25/46. Counterparty: Lehman Brothers Holdings, Inc.	05/25/46		300		(238,448	)
				$	(10,543,194	)

Notes:

¹ Cost for financial reporting purposes is $188,964,820 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	1,241,101
Gross unrealized depreciation		(16,381,902	)
Net unrealized (depreciation)	$	(15,140,801	)

² Floating rate security. The rate disclosed is that in effect at June 30, 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 June 30, 2008 was $21,581,124 representing 15.09% of total net assets.

⁴ Illiquid security.

⁵ Expected maturity date.

⁶ Non- Rule 144A 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
05/02/08	Calpine CCFC I Term Loan, 8.80%, 08/26/09	$	807,091	$	804,000	0.56	%
06/28/07	Community Health Systems, Inc. 1st Lien, 4.86%, 07/25/14		953,428		900,026	0.63	%
10/22/07	HCA Term Loan A, 4.80%, 11/18/12		941,599		908,477	0.64	%
03/07/07	Kelson 1st Lien, 6.06%, 03/16/13		1,000,000		971,042	0.68	%
08/21/06	Northwest Air Dip, 4.48%, 05/21/12		1,383,750		1,127,434	0.79	%
05/17/07	Tribune 1st Lien Term Loan B, 5.48%, 05/24/14		983,716		748,688	0.52	%
02/01/07	United Air Lines, Inc., 4.78%, 02/01/14		712,222		535,354	0.37	%
		$	6,781,806	$	5,995,021	4.19	%

⁷ Zero coupon bond. The rate shown is the effective yield as of June 30, 2008.

⁸ Represents annualized yield at date of purchase.

⁹ Securities, or a portion thereof, pledged as collateral for futures, written options and reverse repurchase agreements.

^† Fair valued security. The aggregate value of fair valued securities is $21,014,481 which is 14.69% 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

87

Notes to Schedules of Portfolio Investments

June 30, 2008 (Unaudited)

Security Valuation:

The Funds value securities pursuant to policies and procedures approved by the Board of Trustees. Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors (approved by the Board of Trustees) which 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 prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available. For a security priced using the benchmark pricing 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. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board of Trustees. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61^st day prior to maturity (unless the Board of Trustees determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board of Trustees. The fair valued securities at June 30, 2008 are referenced on each Fund’s schedule of portfolio investments by a footnote.

Adoption of Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“FAS 157”):

In September 2006, the Financial Accounting Standards Board issued FAS 157 effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. The Funds adopted FAS 157 as of April 1, 2008. The three levels of the fair value hierarchy under FAS 157 are described below:

• Level 1 – quoted prices in active markets for identical securities

• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

88

Notes to Schedules of Portfolio Investments (continued)

The summary of inputs used to value the Fund’s net assets as of June 30, 2008 is as follows:

	Fair Value Measurements
				Level 1			Level 2			Level 3
Portfolio	Total Market Value at June 30, 2008			Quoted Price			Significant Observable Inputs			Significant Unobservable Inputs
Ultra Short Bond Fund
Investments in Securities	$	188,935,280		$	—		$	186,792,129		$	2,143,151
Other Financial Instruments*		(10,034,200	)		68,751			(10,102,951	)		—
Total	$	178,901,080		$	68,751		$	176,689,178		$	2,143,151
Low Duration Bond Fund
Investments in Securities	$	1,928,075,793		$	—		$	1,923,055,689		$	5,020,104
Other Financial Instruments*		(107,180,964	)		(4,719	)		(107,176,245	)		—
Total	$	1,820,894,829		$	(4,719	)	$	1,815,879,444		$	5,020,104
Intermediate Bond Fund
Investments in Securities	$	172,182,452		$	—		$	172,148,702		$	33,750
Other Financial Instruments*		(7,309,477	)		(5,466	)		(7,304,011	)		—
Total	$	164,872,975		$	(5,466	)	$	164,844,691		$	33,750
Total Return Bond Fund
Investments in Securities	$	6,570,585,002		$	—		$	6,567,674,306		$	2,910,696
Other Financial Instruments*		(289,989,933	)		1,021,541			(291,011,474	)		—
Total	$	6,280,595,069		$	1,021,541		$	6,276,662,832		$	2,910,696
High Yield Bond Fund
Investments in Securities	$	117,121,509		$	211,563		$	116,831,799		$	78,147
Other Financial Instruments*		(3,576,619	)		(26,157	)		(3,550,462	)		—
Total	$	113,544,890		$	185,406		$	113,281,337		$	78,147
Strategic Income Fund
Investments in Securities	$	367,835,456		$	818,758		$	348,404,235		$	18,612,463
Other Financial Instruments*		(60,268,562	)		(1,246,049	)		(59,022,513	)		—
Total	$	307,566,894		$	(427,291	)		289,381,722			18,612,463
AlphaTrak 500 Fund
Investments in Securities	$	173,824,019		$	—		$	172,366,520		$	1,457,499
Other Financial Instruments*		(22,534,036	)		(9,073,055	)		(13,460,981	)		—
Total	$	151,289,983		$	(9,073,055	)	$	158,905,539		$	1,457,499

* Other financial instruments include (but may not be limited to) swap contracts, futures, written options and short sales.

89

Notes to Schedules of Portfolio Investments (continued)

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Ultra Short Bond Fund			Low Duration Bond Fund			Intermediate Bond Fund			Total Return Bond Fund
Balance as of March 31, 2008	$	2,503,659		$	6,012,035		$	46,125		$	3,287,407
Accrued discounts/premiums		204			3,259			—			4,383
Realized gain (loss)		343			3,943			—			8,574
Change in unrealized appreciation (depreciation)		(292,749	)		(697,941	)		(12,375	)		(88,898	)
Net purchases (sales)		(68,306	)		(301,192	)		—			(300,770	)
Balance as of June 30, 2008	$	2,143,151		$	5,020,104		$	33,750		$	2,910,696
				High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
Balance as of March 31, 2008				$	90,265		$	22,307,051		$	1,654,690
Accrued discounts/premiums					—			35,942			59
Realized gain (loss)					—			28,820			204
Change in unrealized appreciation (depreciation)					34,048			(2,385,683	)		(135,660	)
Net purchases (sales)					(46,166	)		(1,373,667	)		(61,794	)
Balance as of June 30, 2008				$	78,147		$	18,612,463		$	1,457,499

Federal Income Taxation:

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

Dividends and other distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences. The amount and character to tax-basis distributions and composition of net assets are finalized at fiscal year-end; accordingly, tax-basis balances have not been determined as of June 30, 2008.

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

90

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant) Metropolitan West Funds

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

Date August 26, 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 August 26, 2008

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

Date August 26, 2008

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