UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number            811-07989                

                           Metropolitan West Funds                          

(Exact name of registrant as specified in charter)

865 South Figueroa Street

                               Los Angeles, CA 90017                                  

(Address of principal executive offices) (Zip code)

Metropolitan West Funds

865 South Figueroa Street

                                     Los Angeles, CA 90017                                  

(Name and address of agent for service)

 registrant’s telephone number, including area code:  (213) 244-1050

Date of fiscal year end:  March 31

Date of reporting period:  March 31, 2010

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

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

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

METWEST

ANNUAL REPORT

March 31, 2010

METROPOLITAN WEST FUNDS

Ultra Short Bond Fund

Low Duration Bond Fund

Intermediate Bond Fund

Total Return Bond Fund

High Yield Bond Fund

Strategic Income Fund

AlphaTrak 500 Fund

2010

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

We thank you for your continued investment with the Metropolitan West Funds. In this Annual Report, we are pleased to report that participation across the MetWest Funds surpassed $10 billion as 2009 came to end, and proceeded to reach $11.2 billion at the end of March. Also in the category of milestones, the I-Class shares for the Total Return and Low Duration Funds reached their 10-year anniversaries as the two strategies, including the M-Class shares, remain the leading draw among the MetWest Funds.

The March 31, 2010 Annual Report for the Metropolitan West Funds covers the following:

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

MetWest Organizational Update

During the first quarter of 2010, the acquisition of the Funds’ advisor Metropolitan West Asset Management LLC by the TCW Group was completed. We are excited by the benefits offered by this combination in terms of the expanded resource and capability with which to serve our clients. Most importantly, the investment team historically responsible for the management of the Funds remains solidly in place to continue the value-oriented approach to building portfolios. As part of the process of gaining the required approval for the merger, you received ballot materials to register your vote on the merger. We are aware that many shareholders were contacted by a proxy solicitor to further our efforts to obtain the required volume of client response. To the extent that the solicitor may have inconvenienced our shareholders with multiple entreaties, please accept our apologies and our assurances that future ballot measures affecting the Funds will incorporate the most efficient and least intrusive practices to achieve the appropriate election objectives.

On another note, we are proud to report that the MetWest High Yield team was nominated in late 2009 for Fixed Income Fund Manager of the Year recognition, an honor conferred by Morningstar upon managers that have demonstrated strong short- and long-term performance records, while being effective overall stewards for shareholder assets. Though the winner turned out to be another deserving fund manager when the announcement was made in January, the identification by Morningstar of the MetWest High Yield team among the leaders in the industry was a gratifying development. In the relatively short history of the Funds, MetWest has been a nominee three times for the Morningstar accolade, with Manager of the Year recognition in 2005 for the Total Return Fund.

Economic Review and Market Environment

Though it may be cliché and could overstate the present health of the economy and investment markets, what a difference a year makes. In the early part of 2009, the US economy was beset by a substantial contraction in GDP, still-accelerating unemployment, and continuing volatility across the capital markets. The US Government was pulling out all the stops in monetary accommodation as it resorted to quantitative easing, as well as applying traditional (near-$1 trillion spending package) and innovative (TermAsset-Backed Securities Loan Facility – TALF, among others) stimulus in order to spark economic activity and restore function in the credit sectors. One year forward, we are seeing some momentum to economic recovery and a degree of enthusiasm among investors that was unthinkable in late 2008 and into 2009.

Fourth quarter GDP growth was finalized at 5.6% and even though the number was amplified by a build of inventories rather than a jump in final demand, there was a degree of optimism suggested by the increase. Moreover, while unemployment stuck near 10%, nonfarm payrolls grew by 162 thousand during the first quarter, the first quarterly gain since the fourth quarter of 2007 (and sharply contrasted with the 2.3 million jobs lost in the first quarter of last year). The Index of Leading Economic Indicators has posted 12 consecutive increases, though driven largely by effects of a steep yield curve and not an upward spike in the real economy type of factors (i.e., new orders) that make up the composite. Despite extension and expansion of the homebuyer credit, sales volumes and prices unexpectedly dipped early in 2010, though a pickup in activity is anticipated ahead of the latest expiration, now slated for April month-end.

Liquidity prevailed in the US markets and risk aversion seemed to be on the wane, at least at the start and the end of the quarter. Sandwiched in between was some concern, first as related to financial reform, and then due to fiscal challenges and sovereign debt

Annual Report March 2010  /  1

woes, most notably in Greece. Nonetheless, the performance environment was solid for equities, with the S&P 500 up 5.4%, and bonds, as the Barclays Aggregate Index gained 1.8% and the High Yield component added 4.6% (while going up more than 56% year-over-year).

Specific to the sectors in the bond market, an easing in US Treasury rates on the absence of inflationary pressure netted some price gains and a 1.1% quarterly return, though the spread sectors of corporate and mortgage-backed securities continued their trend of recent outperformance. Corporate bonds advanced 1.9%, paced in investment grade by the broad BBB-rated cohort at 2.9% and BBB-rated Financials at 5.7%. Similarly, down-quality led in high yield, with CCCs up 4.1% and the C-D category up nearly 7.5%. AmongAgency pass-throughs, technicals remained firm even as the government’s $1.5 trillion purchase program was set to expire. Announcements that Fannie Mae and Freddie Mac would buy out of their pools substantially all loans more than 120 days delinquent put a dent in the performance of higher coupon mortgage-backed securities (MBS) and pools with higher relative delinquencies, and dropped prices on more specialized structures such as IOs and inverse IOs. Finally, like corporate bonds, non-Agency RMBS (backed byAlt-A and subprime collateral) and commercial mortgage-backed securities (CMBS) benefited from the continuation of market liquidity, precipitated in part in the CMBS market by the reappearance of leverage, driving returns higher in that sector by nearly 9%.

The Economy and Market Ahead

As markets appear to be pricing much-improved expectations, investors would be advised to exercise caution, particularly given headwinds that persist in the economy. Though signs of recovery are apparent, there is no shortage of circumstances that could provide some basis for setback. Most significantly, we see a continuation of private balance sheet deleveraging contrasted with massive increase of public sector debt. Ultimately, resolution of increased government leverage can be expected to take place through a rapid increase to GDP, higher taxes, austerity, inflation or a combination of all. This will be anticipated to occur against a backdrop against where the Fed appears set to begin removing monetary accommodation (effected by a hike to the discount rate of 25 basis points in the first quarter) and winding down other programs, such as the recently concluded $1.25 trillion purchase of Agency mortgage-backed securities. Despite the hike to the discount rate, the Fed is likely on hold with the Funds Rate until unemployment eases and other indicators demonstrate that productive slack is being taken up in the economy.

Strategy across the Funds remains largely consistent with previous positioning though the robust rally has informed some modest adjustments. Most particularly, the allocation to corporates has been eased, with modest trimming taking place in financials (though still maintaining the industry overweight to financials). CMBS holdings, similarly, have been pared in response to the performance strength of the past year, though the overweight relative to the Index remains, with continuing focus on the well-protected senior tranches. Among non-Agency MBS, overall exposure has held steady, though relative value trading opportunities have been exploited to enhance the risk-adjusted profile of the sector allocation. Despite benign consumer price signals in the near-term, the Fund’s duration remains short relative to the benchmark, the perspective being that a rapid increase in US Treasury supply has the potential to ramp up inflationary expectations quickly. Finally, with the yield curve remaining steep due to the ongoing monetary accommodation of the Federal Reserve, the Fund’s term structure favors intermediate maturities that will become more broadly distributed as the Fed gets closer to a rate hike.

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

Fund Results

General Performance Commentary

Writing in our September 30, 2009 Semi-Annual Report, we commented on the sharp increase in capital market pricing over the prior six months as a move toward better alignment with fundamental value, as the experience between the middle of 2007 and early 2009 had, in our view, gone too far in imposing a crisis premium. With liquidity conditions remaining favorable, the last six months in the markets produced generally good returns, outside of US Treasury and other “full faith and credit” government issues, which were lackluster as yields edged higher and the term structure steepened. Though returns over the last six months in equities and the “spread” sectors of the fixed income markets were not as robust as the prior six months, the S&P 500 gained nearly 12%, while high yield bonds advanced 11%, and CMBS jumped 13%. Even the investment grade corporate market remained firm, broadly returning just under 4%, while BBB-rated issues returned more than 5%.

Given a general underweight to the lagging returns of the US Treasury market across the Funds, the trend of positive performance relative to the benchmark indexes was extended over the past six months. In particular, the ongoing emphasis in corporate issues, notably financials, and non-Agency RMBS has drove the premium returns of the past two quarters (as with the prior two also), with nearly all of the Funds picking up considerable outperformance, as indicated in the pages ahead. Only the HighYield Fund, due to a higher quality focus in its construction, lagged over the reporting period, as lower-rated issues, which the HighYield Fund remains underweight, traded up to and in excess of fundamental value, in our investment opinion. Despite the lack of emphasis to the lower quality cohorts, the High Yield Fund has participated near-completely in the market advance over the past 16 months.

2  /  Annual Report March 2010

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Due to recent favorable market conditions, some of the Funds have experienced unusually high performance which may not be sustainable or repeated in the future. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

The net expense ratio reflects a contractual agreement by the Adviser to reduce its fees and/or absorb expenses to limit the Fund’s total annual operating expenses until March 31, 2011. Without fee waivers, returns would have been lower. For additional expense ratio information, please refer to the Financial Highlights section of the report.

Metropolitan West Ultra Short Bond Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception   (Annualized)
MWUSX (Inception: June 30, 2003)	7.55%	20.74%	-2.18%	0.46%	–	1.62%
Merrill Lynch 1-Year US Treasury Index	0.40%	1.06%	3.45%	3.62%	–	2.91%
MWUIX (Inception: July 31, 2004)	7.64%	20.93%	-2.03%	0.62%	–	0.82%
Merrill Lynch 1-Year US Treasury Index	0.40%	1.06%	3.45%	3.62%	–	3.31%

For MWUSX the total expense ratio is 0.64% and the net expense ratio is 0.51%. For MWUIX the total expense ratio is 0.48% and the net expense ratio is 0.35%.

Metropolitan West Low Duration Bond Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since  Inception (Annualized)	Since Inception    (Aggregate)
MWLDX (Inception: March 31, 1997)	6.98%	21.45%	0.66%	2.39%	3.42%	4.27%	–
Merrill Lynch 1-3 Year US Treasury Index	0.73%	1.40%	4.62%	4.23%	4.42%	4.73%	–
MWLIX (Inception: March 31, 2000)	7.21%	21.83%	0.90%	2.61%	3.63%	3.63%	–
Merrill Lynch 1-3 Year US Treasury Index	0.73%	1.40%	4.62%	4.23%	4.42%	4.42%	–
MWLNX (Inception: September 22, 2009)	6.88%	–	–	–	–	–	7.91%
Merrill Lynch 1-3 Year US Treasury Index	0.73%	–	–	–	–	–	0.73%

For MWLDX the total expense ratio is 0.63% and the net expense ratio is 0.60%. For MWLIX the total expense ratio is 0.44% and the net expense ratio is 0.41%. For MWLNX the total expense ratio is 0.83% and the net expense ratio is 0.80%.

Metropolitan West Intermediate Bond Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception   (Annualized)
MWIMX (Inception: June 30, 2003)	6.49%	18.32%	6.23%	5.43%	–	5.04%
Barclays Capital U.S. Intermediate Government/Credit Index	1.85%	6.92%	5.87%	5.16%	–	4.13%
MWIIX (Inception: June 28, 2002)	6.60%	18.57%	6.45%	5.68%	–	6.58%
Barclays Capital U.S. Intermediate Government/Credit Index	1.85%	6.92%	5.87%	5.16%	–	4.97%

For MWIMX the total expense ratio is 0.78% and the net expense ratio is 0.66%. For MWIIX the total expense ratio is 0.57% and the net expense ratio is 0.45%.

Annual Report March 2010  /  3

Metropolitan West Total Return Bond Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)	Since Inception   (Aggregate)
MWTRX (Inception: March 31, 1997)	6.95%	21.16%	7.74%	6.99%	6.96%	7.32%	–
Barclays Capital U.S. Aggregate Bond Index	1.99%	7.69%	6.14%	5.44%	6.28%	6.38%	–
MWTIX (Inception: March 31, 2000)	7.06%	21.42%	7.97%	7.22%	7.18%	7.18%	–
Barclays Capital U.S. Aggregate Bond Index	1.99%	7.69%	6.14%	5.44%	6.28%	6.28%	–
MWTNX (Inception: December 18, 2009)	–	–	–	–	–	–	3.05%
Barclays Capital U.S. Aggregate Bond Index	1.99%	–	–	–	–	–	1.78%

For MWTRX the total expense ratio is 0.65%. For MWTIX the total expense ratio is 0.44%. For MWTNX the total expense ratio is 0.85%.

Metropolitan West High Yield Bond Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception   (Annualized)
MWHYX (Inception: September 30, 2002)	10.13%	49.85%	8.26%	7.89%	–	11.65%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap	10.98%	55.64%	6.95%	7.78%	–	10.94%
MWHIX (Inception: March 31, 2003)	10.26%	50.22%	8.53%	8.14%	–	10.06%
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap	10.98%	55.64%	6.95%	7.78%	–	9.64%

For MWHYX the total expense ratio is 1.00% and the net expense ratio is 0.81%. For MWHIX the total expense ratio is 0.74% and the net expense ratio is 0.56%.

Metropolitan West Strategic Income Fund

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

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception   (Annualized)
MWSTX (Inception: June 30, 2003)	12.75%	46.49%	-1.80%	0.77%	–	3.40%
Merrill Lynch 3-Month US Treasury	1.06%	2.19%	4.04%	4.98%	–	4.57%
Index + 2%
MWSIX (Inception: March 31, 2004)	12.74%	46.65%	-1.60%	0.99%	–	1.50%
Merrill Lynch 3-Month US Treasury	1.06%	2.19%	4.04%	4.98%	–	4.77%
Index + 2%

For MWSTX the total expense ratio is 0.81%. For MWSIX the total expense ratio is 0.53%.

Metropolitan West AlphaTrak 500 Fund

(MWATX)

	Performance Through March 31, 2010
	6 Months (Cumulative)	1 Year (Annualized)	3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception   (Annualized)
MWATX (Inception: June 29, 1998)	24.07%	96.57%	-9.16%	-1.02%	-2.02%	1.12%
Standard & Poor’s 500 Index	11.75%	49.77%	-4.16%	1.92%	-0.65%	2.00%

For MWATX the total expense ratio is 0.24% and the net expense ratio is 0.22%.

4  /  Annual Report March 2010

A Consistent Long-Term Value Orientation

As we noted in the Semi-Annual report six months ago, the capital market recovery that was underway was not especially surprising. Bull and bear market cycles, punctuated by periods of greed and panic, are not likely to be repealed, no matter the “lessons learned” or attempts at financial reform. Through the cycles, we remain committed to a value-oriented discipline and a long-term perspective, with a firm belief that the best risk-adjusted outcomes accrue to the disciplined, vigilant and opportunistic investors.

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

Sincerely,

Andrew Tarica

Chairman, Board of Trustees

Metropolitan West Funds

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

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

The views and forecasts expressed here are as of March 2010, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors.

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

Annual Report March 2010  /  5

Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

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

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

Metropolitan West Ultra Short Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the Merrill Lynch 1-Year U.S. Treasury Index. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class M were 20.74% and 1.62%, respectively. The inception date for the Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Ultra Short Bond Fund Class I was July 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Ultra Short Bond Fund Class I were 20.93% and 0.82%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $10,472.

6  /  Annual Report March 2010

Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the Merrill Lynch 1-3Year U.S.Treasury Index. The one year and average annual ten year total returns for the Metropolitan West Low Duration Bond Fund Class M were 21.45% and 3.42%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Low Duration Bond Fund Class I was March 31, 2000. The one year and average annual ten year total returns for the Metropolitan West Low Duration Bond Fund Class I were 21.83% and 3.63%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $14,288.

The inception date for the Metropolitan West Low Duration Bond Fund Administrative Class was September 23, 2009. The aggregate since inception total return for the Metropolitan West Low Duration Bond Fund Administrative Class was 7.91%. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $10,790.

Metropolitan West Intermediate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Barclays Capital U.S. Intermediate Government/Credit Bond Index.The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class M were 18.32% and 5.04%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Intermediate Bond Fund Class I was June 28, 2002. The one year and average annual since inception total returns for the Metropolitan West Intermediate Bond Fund Class I were 18.57% and 6.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $16,396.

Annual Report March 2010  /  7

Metropolitan West Total Return Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Barclays Capital U.S. Aggregate Bond Index. The one year and average annual ten year total returns for the Metropolitan West Total Return Bond Fund Class M were 21.16% and 6.96%, respectively. The inception date for Class M was March 31, 1997. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Total Return Bond Fund Class I was March 31, 2000. The one year and average annual ten year total returns for the Metropolitan West Total Return Bond Fund Class I were 21.42% and 7.18%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $20,003.

The inception date for the Metropolitan West Total Return Bond Fund Administrative Class was December 18, 2009. The aggregate since inception total return for the Metropolitan West Total Return Bond Fund Administrative Class was 3.05%. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $10,305.

Metropolitan West High Yield Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class M were 49.85% and 11.65%, respectively. The inception date for Class M was September 30, 2002. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West High Yield Bond Fund Class I was March 31, 2003. The one year and average annual since inception total returns for the Metropolitan West High Yield Bond Fund Class I were 50.22% and 10.06%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $19,565.

8  /  Annual Report March 2010

Metropolitan West Strategic Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the Merrill Lynch 3-month U.S. Treasury Index plus 200 basis points. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class M were 46.49% and 3.40%, respectively. The inception date for Class M was June 30, 2003. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Strategic Income Fund Class I was March 31, 2004. The one year and average annual since inception total returns for the Metropolitan West Strategic Income Fund Class I were 46.65% and 1.50%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $10,935.

Metropolitan West AlphaTrak 500 Fund

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan WestAlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual ten year total returns for the Metropolitan West AlphaTrak 500 Fund were 96.57% and (2.02)%, respectively. The graph assumes that distributions were reinvested.

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

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

Annual Report March 2010  /  9

Metropolitan West Funds

Disclosure of Fund Expenses

For the Six Months Ended March 31, 2010 (Unaudited)

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

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

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

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

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

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

	Beginning Account  Value 10/01/09	Ending Account Value 03/31/10	Expense Ratio 1	Expenses Paid During Period2
ULTRA SHORT BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,075.50	0.94%	$4.86
Class I	$1,000.00	$1,076.40	0.78%	$4.04
Hypothetical 5% Return
Class M	$1,000.00	$1,020.24	0.94%	$4.73
Class I	$1,000.00	$1,021.04	0.78%	$3.93
LOW DURATION BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,069.80	0.77%	$3.97
Class I	$1,000.00	$1,072.10	0.58%	$3.00
Administrative Class	$1,000.00	$1,068.80	0.97%	$4.84
Hypothetical 5% Return
Class M	$1,000.00	$1,021.09	0.77%	$3.88
Class I	$1,000.00	$1,022.04	0.58%	$2.92
Administrative Class	$1,000.00	$1,020.09	0.97%	$4.89

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

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

10  /  Annual Report March 2010

	Beginning Account Value 10/01/09	Ending Account Value 03/31/10	Expense Ratio 1	Expenses Paid During Period2
INTERMEDIATE BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,064.90	0.75%	$  3.86
Class I	$1,000.00	$1,066.00	0.54%	$  2.78
Hypothetical 5% Return
Class M	$1,000.00	$1,021.19	0.75%	$  3.78
Class I	$1,000.00	$1,022.24	0.54%	$  2.72
TOTAL RETURN BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,069.50	0.77%	$  3.97
Class I	$1,000.00	$1,070.60	0.56%	$  2.89
Administrative Class3	$1,000.00	$1,030.50	0.97%	$  2.81
Hypothetical 5% Return
Class M	$1,000.00	$1,021.09	0.77%	$  3.88
Class I	$1,000.00	$1,022.14	0.56%	$  2.82
Administrative Class3	$1,000.00	$1,020.09	0.97%	$  4.89
HIGH YIELD BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,101.30	0.82%	$  4.30
Class I	$1,000.00	$1,102.60	0.57%	$  2.99
Hypothetical 5% Return
Class M	$1,000.00	$1,020.84	0.82%	$  4.13
Class I	$1,000.00	$1,022.09	0.57%	$  2.87
STRATEGIC INCOME FUND
Actual Fund Return
Class M	$1,000.00	$1,127.50	2.86%	$15.17
Class I	$1,000.00	$1,127.40	2.61%	$13.84
Hypothetical 5% Return
Class M	$1,000.00	$1,010.67	2.86%	$14.34
Class I	$1,000.00	$1,011.92	2.61%	$13.09
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,240.70	1.86%	$10.39
Hypothetical 5% Return	$1,000.00	$1,015.66	1.86%	$  9.35

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

² Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365.

³ Administrative Class Shares were first issued on December 18, 2009. Account values and expense ratios for the Actual Fund Return are calculated from December 18, 2009 through March 31, 2010.

Annual Report March 2010  /  11

Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2010 (Unaudited)

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

ULTRA SHORT BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Non-Agency Mortgage-Backed	19.86%	U.S. Treasury	6.13%	0 to 1 years	46.99%
U.S. Agency Mortgage-Backed	19.49%	Agency	31.98%	1 year to 3 years	32.22%
Money Market RIC	17.24%	AAA	24.50%	3 years to 5 years	14.03%
Asset-Backed Securities	16.01%	AA	8.50%	5 years to 10 years	5.52%
Corporate Bonds	10.90%	A	7.00%	10 years to 20 years	1.24%
U.S. Agency Discount Notes	6.66%	BBB	4.90%	20 years +	0.00%
U.S. Treasury Securities	6.13%	BB or below	16.99%
Commercial Mortgage-Backed	4.24%
U.S. Agency Securities	3.10%
Bank Loans	0.61%
Other *	(4.24)%
Total	100.00%	Total	100.00%	Total	100.00%
LOW DURATION BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	27.09%	U.S. Treasury	6.74%	0 to 1 years	35.49%
Money Market RIC	14.85%	Agency	16.34%	1 year to 3 years	27.62%
Asset-Backed Securities	14.40%	AAA	26.27%	3 years to 5 years	20.78%
Non-Agency Mortgage-Backed	12.57%	AA	15.03%	5 years to 10 years	10.59%
U.S. Agency Mortgage-Backed	10.38%	A	10.90%	10 years to 20 years	3.11%
U.S. Treasury Securities	6.74%	BBB	10.19%	20 years +	2.41%
Commercial Mortgage-Backed	5.86%	BB or below	14.53%
U.S. Agency Securities	2.49%
U.S. Agency Discount Notes	1.81%
Bank Loans	0.74%
Municipal Bonds	0.54%
Other *	2.53%
Total	100.00%	Total	100.00%	Total	100.00%

12  /  Annual Report March 2010

INTERMEDIATE BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	28.48%	U.S. Treasury	17.39%	0 to 1 years	14.26%
U.S. Agency Mortgage-Backed	19.71%	Agency	20.97%	1 year to 3 years	12.15%
U.S. Treasury Securities	17.39%	AAA	18.91%	3 years to 5 years	31.53%
Asset-Backed Securities	11.46%	AA	12.80%	5 years to 10 years	39.24%
Commercial Mortgage-Backed	9.95%	A	11.86%	10 years to 20 years	0.94%
Money Market RIC	5.19%	BBB	9.21%	20 years +	1.88%
Non-Agency Mortgage-Backed	4.78%	BB or below	8.86%
Municipal Bonds	0.54%
Bank Loans	0.22%
Other *	2.28%
Total	100.00%	Total	100.00%	Total	100.00%
TOTAL RETURN BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	25.56%	U.S. Treasury	20.25%	0 to 1 years	5.82%
U.S. Agency Mortgage-Backed	25.39%	Agency	26.82%	1 year to 3 years	10.10%
U.S. Treasury Securities	20.25%	AAA	12.85%	3 years to 5 years	25.81%
Commercial Mortgage-Backed	11.71%	AA	9.21%	5 years to 10 years	46.70%
Asset-Backed Securities	9.95%	A	8.68%	10 years to 20 years	8.02%
Non-Agency Mortgage-Backed	6.95%	BBB	8.68%	20 years +	3.55%
Money Market RIC	4.78%	BB or below	13.51%
Municipal Bonds	0.68%
Bank Loans	0.50%
Foreign Government Obligations	0.12%
Other *	(5.89)%
Total	100.00%	Total	100.00%	Total	100.00%
HIGH YIELD BOND FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Corporate Bonds	77.79%	US Treasury	0.58%	0 to 1 years	11.32%
Bank Loans	10.33%	Agency	0.01%	1 year to 3 years	6.77%
Money Market RIC	5.23%	AAA	4.86%	3 years to 5 years	22.06%
Asset-Backed Securities	1.48%	AA	3.76%	5 years to 10 years	48.94%
Municipal Bonds	1.37%	A	0.24%	10 years to 20 years	6.91%
U.S. Treasury Securities	0.58%	BBB	5.33%	20 years +	4.00%
Common Stock	0.07%	BB	20.15%
Non-Agency Mortgage-Backed	0.04%	B	48.55%
U.S. Agency Mortgage-Backed	0.01%	CCC	15.13%
Other *	3.10%	CC or below	1.39%
Total	100.00%	Total	100.00%		100.00%

Annual Report March 2010  /  13

STRATEGIC INCOME FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Asset-Backed Securities	27.72%	U.S. Treasury	9.74%	0 to 1 years	38.51%
Corporate Bonds	27.19%	Agency	18.10%	1 year to 3 years	11.26%
Money Market RIC	26.13%	AAA	5.65%	3 years to 5 years	5.20%
U.S. Agency Mortgage-Backed	15.35%	AA	13.59%	5 years to 10 years	32.90%
U.S. Treasury Securities	9.74%	A	12.36%	10 years to 20 years	9.42%
Bank Loans	6.24%	BBB	14.27%	20 years +	2.71%
Non-Agency Mortgage-Backed	4.20%	BB or below	26.29%
Commercial Mortgage-Backed	1.48%
U.S. Agency Securities	1.03%
U.S. Agency Discount Notes	0.89%
Preferred Stock	0.69%
Other *	(20.66)%
Total	100.00%	Total	100.00%	Total	100.00%
ALPHATRAK 500 FUND
Sector Diversification		Distribution by Quality Rating		Distribution by Maturity
Asset-Backed Securities	28.83%	U.S. Treasury	10.51%	0 to 1 years	36.27%
Corporate Bonds	18.61%	Agency	4.19%	1 year to 3 years	13.20%
Non-Agency Mortgage-Backed	15.22%	AAA	29.80%	3 years to 5 years	15.67%
U.S. Treasury Securities	10.50%	AA	14.18%	5 years to 10 years	17.56%
Money Market RIC	9.82%	A	16.46%	10 years to 20 years	10.83%
U.S. Agency Mortgage-Backed	4.19%	BBB	11.21%	20 years +	6.47%
Bank Loans	1.52%	BB or below	13.65%
Commercial Mortgage-Backed	0.43%
Other *	10.88%
Total	100.00%	Total	100.00%	Total	100.00%

* Includes cash and equivalents, futures, swaps, pending trades and Fund share transactions, interest and dividends receivable and accrued expenses payable.

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

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended December 31, 2009. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

14  /  Annual Report March 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 74.21%
ASSET-BACKED SECURITIES — 16.01%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	34,578	$	22,352
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33			3,129		3,101
ABFS Mortgage Loan Trust 2002-3 A (STEP)
4.76%	09/15/33			16,763		16,113
ABFS Mortgage Loan Trust 2002-4 A (STEP)
4.93%	12/15/33			15,051		14,838
Capital Auto Receivables Asset Trust 2007-SN2 A4
1.26%	05/16/11	2,3		946,630		948,213
Chrysler Financial Lease Trust 2010-A A2
1.78%	06/15/11	3		750,000		749,844
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.43%	03/25/37	2		2,500,000		1,089,077
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.55%	07/25/37	2		1,765,000		721,294
Conseco Financial Corp. 1994-1 A5
7.65%	04/15/19			7,355		7,527
Conseco Financial Corp. 1996-8 A6
7.60%	10/15/27	2		18,219		18,764
Countrywide Asset-Backed Certificates 2003-BC1 M1
1.63%	12/25/32	2		351,357		115,655
Countrywide Asset-Backed Certificates 2007-10 2A2
0.37%	06/25/47	2		2,975,000		2,290,793
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			110,355		111,053
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			171,407		164,134
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			5,202		4,463
GE Capital Credit Card Master Note Trust 2007-3 A1
0.24%	06/15/13	2		425,000		424,667
GE Dealer Floorplan Master Note Trust 2007-2 A
0.25%	07/20/12	2		300,000		299,568
GE Mortgage Services LLC 1998-HE1 A7
6.47%	06/25/28			744		727
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			87,994		68,755
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			33,699		25,714

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GSAA Trust 2005-7 AF3
4.75%	05/25/35	2	$	1,100,000	$	871,381
HSBC Home Equity Loan Trust 2007-3 APT
1.44%	11/20/36	2		659,217		598,093
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	2		205,329		193,345
Irwin Home Equity Corp. 2003-A M2
2.90%	10/25/27	2		732,109		611,736
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	3		9,406		9,271
Lehman XS Trust 2006-14N 3A2
0.37%	08/25/36	2		1,651,211		799,927
Mid-State Trust 6 A4
7.79%	07/01/35			46,747		43,829
Morgan Stanley ABS Capital I 2004-NC2 M2
2.05%	12/25/33	2		1,055,914		564,157
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1
0.30%	11/25/36	2		99,538		96,732
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			3,925		3,930
Oakwood Mortgage Investors, Inc. 1998-B A3
6.20%	01/15/15			6,567		6,429
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			328,776		322,639
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	4,†		57,599		1,574
Origen Manufactured Housing 2006-A A1
0.38%	11/15/18	2		1,043,665		993,129
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			145,873		105,021
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25			13,548		11,488
Saxon Asset Securities Trust 2002-1 M2
2.05%	11/25/31	2		189,045		52,286
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.39%	12/25/36	2		1,055,000		796,102
Structured Asset Securities Corp. 2007-EQ1 A4
0.50%	03/25/37	2		3,000,000		1,122,548
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	3,4		8,759,843		72,395
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	2		1,243		496
Vanderbilt Mortgage Finance 1997-B 1A6
7.60%	06/07/25			1,601,974		1,633,595

See accompanying notes to financial statements.

Annual Report March 2010  /  15

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Trust 2006-1 A3
0.40%	05/25/36	2	$	263,999	$	258,073
Wells Fargo Home Equity Trust 2007-1 A1
0.35%	03/25/37	2		41,881		41,611
Total Asset-Backed Securities (Cost $20,073,020)						16,306,439
CORPORATES — 10.90%*
Banking — 0.65%
Bank of America N.A.
0.56%	06/15/17	2		750,000		660,092
Communications — 0.82%
Qwest Corp.
7.88%	09/01/11			500,000		532,500
Sprint Nextel Corp.
0.69%	06/28/10	2		300,000		298,953
						831,453
Electric — 0.44%
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			385,000		448,292
Finance — 6.83%
Citigroup Funding, Inc. 2
0.58%	04/30/12	2		900,000		906,808
Citigroup, Inc.
5.30%	10/17/12			600,000		630,551
Discover Financial Services
0.79%	06/11/10	2		500,000		499,496
General Electric Capital Corp. (MTN)
0.41%	06/20/14	2		250,000		237,525
General Electric Capital Corp. A (MTN)
0.52%	09/15/14	2		300,000		285,000
Goldman Sachs Group, Inc. (The)
1.05%	12/05/11	2		690,000		699,989
4.50%	06/15/10			400,000		403,004
5.45%	11/01/12			500,000		540,048
Goldman Sachs Group, Inc. B (The) (MTN)
0.65%	07/22/15	2		200,000		193,634
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	5,6		883,000		194,260
Morgan Stanley
0.50%	01/18/11	2		395,000		395,108
0.62%	06/20/12	2		620,000		624,841
5.05%	01/21/11			395,000		407,855
6.75%	04/15/11			155,000		163,666
Morgan Stanley (MTN)
0.70%	10/18/16	2		260,000		237,709

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley 1
1.10%	12/01/11	2	$	535,000	$	543,346
						6,962,840
Transportation — 2.16%
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			1,168,554		1,161,671
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11	7		600,000		627,000
JetBlue Airways Pass-Through Trust 2004-2 G1
0.63%	08/15/16	2		517,323		410,030
						2,198,701
Total Corporates (Cost $11,146,081)						11,101,378
BANK LOANS — 0.61%*
Health Care — 0.61%
HCA Term Loan A
1.79%	11/19/12	8		640,641		623,868
Total Bank Loans (Cost $581,712)
MORTGAGE-BACKED — 43.59%**
Commercial Mortgage-Backed — 4.24%
Bayview Commercial Asset Trust 2007-3 A1
0.49%	07/25/37	2,3		1,396,135		973,814
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			858,523		871,209
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49	2		560,000		574,193
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.33%	11/10/45	2		110,000		114,996
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			445,286		453,809
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD11 A2
5.80%	06/15/49	2		290,000		295,024
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A2
5.83%	02/15/51			500,000		518,548
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%	06/12/50	2		565,000		519,081
						4,320,674

See accompanying notes to financial statements.

16  /  Annual Report March 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 19.86%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.68%	05/25/35	2,†	$	1,333,798	$	849,138
American Home Mortgage Investment Trust 2004-3 3A
2.35%	10/25/34	2		983,888		686,319
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			25,534		26,157
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			775,029		510,368
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.62%	02/25/33	2		5,932		5,020
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.09%	02/25/34	2		322,243		303,762
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			390,254		363,888
Countrywide Alternative Loan Trust 2005-16 A5
0.53%	06/25/35	2		828,445		245,232
Countrywide Alternative Loan Trust 2005-27 2A1
1.81%	08/25/35	2		1,698,848		773,089
Countrywide Alternative Loan Trust 2005-61 2A1
0.53%	12/25/35	2		1,271,439		828,288
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2
3.50%	11/25/32	2		200,000		123,518
CS First Boston Mortgage Securities Corp. 2004-1 2A1
6.50%	02/25/34			874,276		818,293
Deutsche Bank Alternate Loan Trust 2006-AR6 A3
0.34%	02/25/37	2		221,113		216,977
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A
0.61%	07/19/44	2		631,259		382,066
First Horizon Asset Securities, Inc. 2002-AR2 2A1
3.12%	12/27/32	2		28,042		24,947
First Horizon Asset Securities, Inc. 2003-AR2 1A1
3.50%	07/25/33	2		99,171		89,794
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP)
5.60%	07/25/34			65,226		63,932
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.64%	12/25/34	2,†		1,030,480		597,660

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.47%	04/25/46	2	$	1,597,653	$	834,852
JPMorgan Mortgage Trust 2005-A2 9A1
3.68%	04/25/35	2		610,185		441,606
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.95%	01/25/34	2		68,065		60,163
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1
4.09%	10/25/34	2		1,067,730		877,142
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
3.84%	06/25/34	2		52,045		46,129
MASTR Seasoned Securities Trust 2004-1 4A1
3.51%	10/25/32	2		165,362		141,702
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			649,711		654,074
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A
2.47%	12/25/32	2		473,575		436,564
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			208,454		206,635
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			157,014		152,820
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			292,865		285,398
Residential Asset Securitization Trust 2004-IP2 2A1
3.10%	12/25/34	2		573,573		502,026
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.45%	10/25/36	2		2,008,091		1,063,832
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1
0.44%	09/25/47	2		2,544,584		1,461,532
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	2		42,715		38,301
Structured Asset Securities Corp. 2004-S4 M4
2.05%	12/25/34	2		717,135		661,025
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.75%	06/25/35	2		747,987		505,459
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.23%	04/25/47	2		3,046,043		1,567,815

See accompanying notes to financial statements.

Annual Report March 2010  /  17

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.87%	06/25/42	2	$	141,332	$	110,127
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1
3.04%	06/25/33	2		549,453		514,110
Washington Mutual Mortgage Pass-Through Certificates 2007-HY4 1A1
5.45%	04/25/37	2		1,233,101		881,585
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.23%	05/25/47	2		1,273,607		716,819
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.27%	07/25/47	2		1,807,205		1,068,912
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			90,974		91,022
						20,228,098
U.S. Agency Mortgage-Backed — 19.49%
Fannie Mae 1988-12 A
4.99%	02/25/18	2		109,639		113,669
Fannie Mae 1993-80 S
10.53%	05/25/23	2		9,127		10,016
Fannie Mae 1997-23 PB
6.63%	01/25/22			15,903		17,355
Fannie Mae 2000-27 AN
6.00%	08/25/30			11,443		12,346
Fannie Mae 2001-42 SB
8.50%	09/25/31	2		6,294		7,007
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			64,688		5,696
Fannie Mae 2003-124 TS
9.80%	01/25/34	2		118,404		139,381
Fannie Mae 2003-30 ET
3.50%	08/25/16			598,415		606,106
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			155,810		18,705
Fannie Mae 2003-85 IE (IO)
5.50%	06/25/29			38,471		855
Fannie Mae 2004-96 MT
7.00%	12/25/34	2		149,050		149,772
Fannie Mae 2005-39 BN
4.55%	06/25/28			641,032		662,270
Fannie Mae 2005-47 SL
7.50%	06/25/35	2		213,157		208,318
Fannie Mae 2007-65 PA
6.00%	03/25/31			660,594		695,063

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 111643
5.69%	09/01/20	2	$	26,940	$	27,675
Fannie Mae Pool 190656
6.50%	02/01/14			150,926		163,517
Fannie Mae Pool 523829
8.00%	11/01/19			208,687		242,325
Fannie Mae Pool 555098
3.26%	11/01/32	2		116,221		121,631
Fannie Mae Pool 555177
2.55%	01/01/33	2		123,445		127,194
Fannie Mae Pool 555207
7.00%	11/01/17			38,330		41,671
Fannie Mae Pool 567002
8.00%	05/01/23			128,163		147,259
Fannie Mae Pool 646884
2.17%	05/01/32	2		7,402		7,550
Fannie Mae Pool 647903
2.08%	04/01/27	2		61,271		63,316
Fannie Mae Pool 648860
6.50%	05/01/17			662,987		722,250
Fannie Mae Pool 655127
7.00%	07/01/32			38,060		42,298
Fannie Mae Pool 655133
7.00%	08/01/32			50,206		55,791
Fannie Mae Pool 655151
7.00%	08/01/32			45,732		50,801
Fannie Mae Pool 754001
3.61%	12/01/33	2		626,917		650,594
Fannie Mae Pool 762525
6.50%	11/01/33			177,883		193,130
Fannie Mae Pool 770900
3.58%	04/01/34	2		554,982		571,637
Fannie Mae Pool 805268
2.18%	01/01/35	2		594,323		604,807
Fannie Mae Pool 811267
3.01%	12/01/34	2		214,856		221,264
Fannie Mae Pool 893489
6.20%	09/01/36	2		673,795		715,065
Fannie Mae Pool AD0546
6.01%	11/01/37	2		969,021		1,015,220
Freddie Mac 1214 KA
1.08%	02/15/22	2		26,969		26,972
Freddie Mac 1526 L
6.50%	06/15/23			28,016		30,066
Freddie Mac 2043 CJ
6.50%	04/15/28			59,698		63,373
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			208,545		12,341

See accompanying notes to financial statements.

18  /  Annual Report March 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 2561 BX (IO)
5.00%	05/15/17		$	270,002	$	13,027
Freddie Mac 2594 VK
5.00%	02/15/23			2,987		2,987
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			52,237		7,139
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			217,325		24,594
Freddie Mac 2856 ST
7.00%	09/15/23	2		368,543		371,591
Freddie Mac 2877 MV
4.75%	12/15/28			525,062		540,848
Freddie Mac 2906 NX (IO)
5.27%	12/15/34	2		3,257,053		122,562
Freddie Mac 2971 AB
5.00%	05/15/20			21,211		21,097
Freddie Mac 3202 HS (IO)
6.42%	08/15/36	2		1,807,571		40,023
Freddie Mac 3330 PA
5.50%	02/15/26			652,240		653,235
Freddie Mac 3346 FA
0.46%	02/15/19	2		1,367,073		1,372,493
Freddie Mac 3626 MA
5.00%	02/15/30			1,044,977		1,118,109
Freddie Mac Gold C90237
6.50%	11/01/18			141,846		156,254
Freddie Mac Gold C90474
7.00%	08/01/21			189,465		213,523
Freddie Mac Gold D93410
6.50%	04/01/19			109,016		120,090
Freddie Mac Gold O30092
5.50%	10/01/15			78,162		82,821
Freddie Mac Gold P20295
7.00%	10/01/29			62,677		67,847
Freddie Mac Non Gold Pool 1G2627
6.02%	03/01/37	2		607,196		634,803
Freddie Mac Non Gold Pool 1J1393
6.29%	10/01/36	2		707,606		747,076
Freddie Mac Non Gold Pool 1J1509
6.32%	11/01/36	2		799,463		846,164
Freddie Mac Non Gold Pool 1J1534
5.73%	03/01/37	2		1,010,515		1,068,715
Freddie Mac Non Gold Pool 1N1446
4.76%	01/01/37	2		604,367		630,141
Freddie Mac Non Gold Pool 775554
4.02%	10/01/18	2		6,083		6,297
Freddie Mac Non Gold Pool 782824
2.72%	11/01/34	2		699,716		715,461

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Non Gold Pool 865369
4.86%	06/01/22	2	$	4,790	$	4,895
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			160,448		7,990
Ginnie Mae 2004-2 FW
1.63%	01/16/34	2		332,972		338,478
Ginnie Mae 2004-41 IE (IO)
5.50%	05/20/30			1,074,779		21,271
Ginnie Mae II Pool 80546
3.00%	10/20/31	2		41,280		41,943
Ginnie Mae II Pool 80610
4.38%	06/20/32	2		497,245		514,376
Ginnie Mae II Pool 80614
3.63%	07/20/32	2		63,031		64,926
Ginnie Mae II Pool 80687
4.50%	04/20/33	2		287,676		298,021
Ginnie Mae II Pool 81018
3.63%	08/20/34	2		212,863		217,504
Ginnie Mae II Pool 8339
3.13%	12/20/23	2		79,185		80,472
Ginnie Mae II Pool 8684
3.63%	08/20/25	2		108,644		111,868
						19,842,947
Total Mortgage-Backed (Cost $49,856,183)						44,391,719
U.S. AGENCY SECURITIES — 3.10%
U.S. Agency Securities — 3.10%
Fannie Mae (STEP)
0.75%	01/22/13			1,240,000		1,241,120
Freddie Mac
0.37%	02/03/12	2		1,015,000		1,016,564
1.25%	01/26/12			900,000		899,530
Total U.S. Agency Securities (Cost $3,158,054)						3,157,214
Total Bonds – 74.21%
(Cost $84,815,050)						75,580,618

See accompanying notes to financial statements.

Annual Report March 2010  /  19

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 33.00%
Commercial Paper — 2.97%
BNP Paribas Finance, Inc.
0.19%9	04/27/10	$	1,025,000	$	1,024,860
Credit Agricole North America, Inc.
0.20%9	05/03/10		1,025,000		1,024,822
Lloyds Banking Group Plc
0.21%9	04/26/10		975,000		974,858
					3,024,540
Money Market Fund — 17.24%
Dreyfus Cash Advantage Fund
0.11%10			3,627,000		3,627,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%10			4,619,000		4,619,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.05%10,11			9,310,000		9,310,000
					17,556,000
U.S. Agency Discount Notes — 6.66%
Freddie Mac
0.10%9	05/18/10	$	5,810,000		5,808,939
0.11%9	05/04/10		645,000		644,947
0.11%9	05/10/10		335,000		334,953
					6,788,839
U.S. Treasury Bills — 6.13%
U.S. Treasury Bills
0.11%9	05/06/10		6,240,000		6,239,342
Total Short Term Investments (Cost $33,609,018)					33,608,721
Total Investments – 107.21% (Cost $118,424,068)1					109,189,339
Liabilities in Excess of Other Assets – (7.21)%					(7,338,674	)
Net Assets – 100.00%				$	101,850,665

	Expiration Date	Notional Amount (000’s)		Appreciation/ Depreciation		Value
SWAPS: INTEREST RATE
Six month forward rate swap based upon the spread between the CMM30-FNMA rate and 10 year CMS rate plus 0.49%. The Fund receives an amount equal to the difference between the CMM30-FNMA rate minus the 10 year CMS rate plus 0.49% times the notional amount if positive. The Fund owes a comparable amount if negative. Counterparty: Goldman Sachs Group, Inc. (The)
	05/27/10	$	710	$	11,839	$	11,839
		$	710	$	11,839	$	11,839

Expiration Date	Credit Rating a	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation		Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	–	$	640	$	28,458	$	28,458
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA		–		500		17,909		17,909
		$	–	$	1,140	$	46,367	$	46,367

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(622,804	)	$	1,160	$	(107,895	)	$	(730,699	)
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: Goldman Sachs Group, Inc. (The)
08/25/37		(1,122,264	)		2,300		(326,536	)		(1,448,800	)
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: Morgan Stanley
08/25/37		(951,485	)		1,950		(276,845	)		(1,228,330	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38		(2,883,633	)		4,700		92,933			(2,790,700	)
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: Bank of America Corp.
05/25/46		(363,462	)		465		(38,437	)		(401,899	)
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: CS First Boston
05/25/46		(726,923	)		929		(76,875	)		(803,798	)

See accompanying notes to financial statements.

20  /  Annual Report March 2010

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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: CS First Boston
05/25/46	$	(432,140	)	$	557	$	(50,139	)	$	(482,279	)
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: Royal Bank of Scotland Group Plc
05/25/46		(363,462	)		465		(38,437	)		(401,899	)
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: Goldman Sachs Group, Inc. (The)
05/25/46		(289,877	)		372		(31,642	)		(321,519	)
	$	(7,756,050	)	$	12,898	$	(853,873	)	$	(8,609,923	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $118,448,808 and net unrealized appreciation/ (depreciation) consists of:

Gross unrealized appreciation	$	3,366,280
Gross unrealized depreciation		(12,625,749	)
Net unrealized depreciation	$	(9,259,469	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2010.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $2,753,537 representing 2.70% of total net assets.

⁴ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $73,969 which is 0.07% of total net assets.

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

⁶ Non-income producing security.

⁷ Expected maturity date.

⁸ 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 Total Net Assets
02/04/09	HCA Term Loan A, 1.79%, 11/19/12	$	581,712	$	623,868	0.61	%

⁹ Represents annualized yield at date of purchase.

¹⁰ Represents the current yield as of March 31, 2010.

¹¹ Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $9,310,000.

^† Fair valued security. The aggregate value of fair valued securities is $1,448,372 which is 1.42% 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. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

* 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 Assurance Corp.

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

See accompanying notes to financial statements.

Annual Report March 2010  /  21

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 74.07%
ASSET-BACKED SECURITIES — 14.40%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33		$	63,536	$	62,968
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%	10/25/27			41,139		39,364
Bayview Financial Acquisition Trust 2005-A A1
1.25%	02/28/40	2,3,†		5,827,197		2,914,008
Bayview Financial Acquisition Trust 2006-B 2A2
0.45%	04/28/36	2		151,581		149,900
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.25%	12/28/40	2,3,†		8,751,663		4,420,205
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP)
8.28%	08/25/30			3,282,536		3,031,435
Bear Stearns Asset Backed Securities Trust 2007-HE1 1A1
0.37%	02/25/37	2		1,279,765		1,152,482
Carrington Mortgage Loan Trust 2004-NC2 M1
0.94%	08/25/34	2		218,633		129,145
Carrington Mortgage Loan Trust 2007-FRE1 A3
0.51%	02/25/37	2		14,875,000		6,498,966
Castle Trust 2003-1AW A1
0.98%	05/15/27	2,3,†		3,108,584		2,238,124
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6
6.24%	01/25/13	2		4,037,817		3,784,360
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1
1.15%	02/25/32	2		748,923		226,798
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.41%	09/25/36	2		7,414,752		3,508,876
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A2
0.35%	01/25/37	2		249,637		232,979
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.43%	03/25/37	2		150,000		65,345
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C
1.55%	07/25/37	2		90,000		36,780
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1
1.90%	07/25/37	2,†		8,520,000		295,666
Conseco Finance 2001-D A5
6.69%	11/15/32	2		433,886		437,366

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Conseco Financial Corp. 1994-1 A5
7.65%	04/15/19		$	433,940	$	444,080
Conseco Financial Corp. 1998-2 A5
6.24%	12/01/28	2		36,383		33,813
Countrywide Asset-Backed Certificates 2007-11 2A1
0.31%	06/25/47	2		488,652		466,977
Countrywide Asset-Backed Certificates 2007-4 A1A
0.35%	09/25/37	2		5,500,736		5,277,033
Countrywide Asset-Backed Certificates 2007-7 2A1
0.33%	10/25/47	2		435,984		399,472
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP)
5.24%	01/25/36			3,306,047		2,215,197
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4
0.48%	11/25/36	2		6,000,000		2,114,880
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP)
5.51%	02/25/37	†		20,580,000		11,936,030
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.31%	04/25/37	2		3,320,181		2,329,599
First Alliance Mortgage Loan Trust 1994-3 A1
7.83%	10/25/25			1,560		1,339
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			45,054		6,761
GE Dealer Floorplan Master Note Trust 2007-2 A
0.25%	07/20/12	2		6,525,000		6,515,599
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.53%	04/17/19	2,3,4,†		1,960,000		1,759,065
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.48%	11/17/20	2,3,4,†		2,550,000		2,199,329
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.48%	12/19/32	2,3,4,†		8,531,387		6,312,920
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.69%	06/25/30	2		3,012,400		1,596,699
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			3,301,229		3,145,488
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			125,882		89,532
GSAA Trust 2006-9 A4A
0.49%	06/25/36	2		13,500,000		6,542,316
Home Equity Mortgage Trust 2006-1 A1B
0.38%	05/25/36	2		1,002,656		658,465

See accompanying notes to financial statements.

22  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
HSBC Home Equity Loan Trust 2005-3 M1
0.66%	01/20/35	2	$	4,376,718	$	3,863,347
HSBC Home Equity Loan Trust 2006-3 A4
0.48%	03/20/36	2		8,680,000		6,691,338
HSBC Home Equity Loan Trust 2007-1 AS
0.44%	03/20/36	2		11,248,172		9,673,135
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.44%	01/25/36	2		2,558,166		2,296,925
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP)
5.45%	10/25/36			12,415,000		11,892,979
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP)
5.48%	01/25/37			15,300,000		11,248,035
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A2
0.30%	05/25/37	2		3,103,022		2,787,997
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV1
0.31%	03/25/47	2		6,722,834		4,885,330
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV4
0.53%	03/25/47	2		50,000		19,658
Lehman ABS Manufactured Housing Contract Trust 2001-B AIOC (IO)
0.55%	05/15/41	2,5,†		368,410,783		5,499,682
Lehman XS Trust 2006-GP1 A4A
0.58%	05/25/46	2		12,240,489		2,751,610
MASTR Asset Backed Securities Trust 2007-HE1 A2
0.40%	05/25/37	2		6,575,000		4,422,115
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.46%	05/25/37	2		55,000		24,856
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.43%	06/25/37	2		19,057,200		7,447,197
Mid-State Trust 2004-1 B
8.90%	08/15/37			951,258		878,917
Mid-State Trust 2006-1 A
5.79%	10/15/40	3		9,488,020		9,451,115
Morgan Stanley ABS Capital I 2004-NC2 M2
2.05%	12/25/33	2		258,699		138,218
Morgan Stanley ABS Capital I 2007-HE7 M2
2.25%	07/25/37	2		3,525,000		258,398
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	2		15,432,101		10,572,239
Nationstar Home Equity Loan Trust 2007-A AV1
0.31%	03/25/37	2		3,464		3,326

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nationstar Home Equity Loan Trust 2007-A AV4
0.48%	03/25/37	2	$	5,928,000	$	2,773,101
Nationstar Home Equity Loan Trust 2007-B 2AV1
0.37%	04/25/37	2		421,525		400,042
Nationstar Home Equity Loan Trust 2007-C 2AV1
0.31%	06/25/37	2		47,159		45,774
Nationstar Home Equity Loan Trust 2007-C 2AV3
0.43%	06/25/37	2		7,807,200		3,661,662
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	5,†		8,470,395		231,414
Pegasus Aviation Lease Securitization 2000-1 B1
8.08%	03/25/30	3,6,7		8,806,150		2,810
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.56%	06/25/47	2		70,000		29,138
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25			10,035		8,510
Resmae Mortgage Loan Trust 2006-1 A1B
0.52%	02/25/36	2,3		2,198,758		378,852
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.38%	05/25/37	2		9,546,335		6,646,491
SG Mortgage Securities Trust 2006-FRE1 A1B
0.52%	02/25/36	2		1,816,789		1,134,649
Soundview Home Equity Loan Trust 2006-OPT1 2A4
0.52%	03/25/36	2		7,300,000		3,800,980
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.39%	12/25/36	2		12,000,000		9,055,186
Soundview Home Equity Loan Trust 2007-OPT5 M2
2.40%	10/25/37	2,3		90,000		9,598
Specialty Underwriting & Residential Finance 2005-AB1 A1C
0.59%	03/25/36	2		7,444,367		6,655,005
Structured Asset Securities Corp. 2007-BC2 A3
0.38%	03/25/37	2		1,000,000		680,515
Terwin Mortgage Trust 2004-7HE A1
0.80%	07/25/34	2,3		142,962		119,417
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	2,3		417,691		390,327
Triton Container Finance LLC 2006-1A Note
0.42%	11/26/21	2,3		2,800,000		2,441,250

See accompanying notes to financial statements.

Annual Report March 2010  /  23

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount	Value
ASSET-BACKED SECURITIES (continued)
Wells Fargo Home Equity Trust 2007-1 A1
0.35%	03/25/37	2	$58,852	$	58,474
Wells Fargo Home Equity Trust 2007-2 A1
0.34%	04/25/37	2	783,208		758,653
Total Asset-Backed Securities
(Cost $290,928,832)					217,357,626
CORPORATES — 27.09%*
Banking — 5.42%
Bank of America Corp. L (MTN)
5.65%	05/01/18		300,000		303,989
Bank of America N.A.
0.56%	06/15/17	2	2,500,000		2,200,308
BankAmerica Capital III
0.82%	01/15/27	2	2,881,000		2,009,498
BankAmerica Institutional Capital A
8.07%	12/31/26	3	5,250,000		5,328,750
Capital One Financial Corp.
7.38%	05/23/14		5,000,000		5,718,815
Chase Capital II B
0.75%	02/01/27	2	6,655,000		5,212,728
Credit Suisse/Guernsey 1 (Switzerland)
0.94%	05/29/49	2,4	8,390,000		6,596,638
Credit Suisse/New York (MTN) (Switzerland)
3.45%	07/02/12	4	1,825,000		1,890,242
5.00%	05/15/13	4	11,000,000		11,831,094
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	4	7,640,000		8,193,174
JPMorgan Chase & Co.
4.75%	05/01/13		30,000		31,999
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	2	1,500,000		1,416,150
National Australia Bank Ltd. A (Australia)
8.60%	05/19/10	4	9,250,000		9,342,981
Nationsbank Capital Trust III
0.80%	01/15/27	2	7,650,000		5,383,014
NB Capital Trust II
7.83%	12/15/26		3,200,000		3,184,000
Royal Bank of Scotland Plc (The) (United Kingdom)
4.88%	03/16/15	4	7,117,000		7,122,985
Wachovia Corp. (MTN)
5.50%	05/01/13		5,655,000		6,111,545
					81,877,910
Communications — 1.18%
Cellco Partnership/Verizon Wireless Capital LLC
3.75%	05/20/11		5,440,000		5,610,887
Qwest Corp.
7.88%	09/01/11		7,220,000		7,689,300

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Nextel Corp.
0.69%	06/28/10	2	$	4,275,000	$	4,260,080
Visant Holding Corp.
8.75%	12/01/13			200,000		206,000
						17,766,267
Electric — 2.24%
AES Corp. (The)
8.75%	05/15/13	3		219,000		223,380
Cedar Brakes I LLC
8.50%	02/15/14	3		1,772,066		1,785,526
Cedar Brakes II LLC
9.88%	09/01/13	3		6,004,583		6,118,820
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	3		109,751		105,775
KCP&L Greater Missouri Operations Co.
7.95%	02/01/11			2,500,000		2,628,170
11.88%	07/01/12			5,714,000		6,653,348
Mirant Mid Atlantic Pass-Through Trust A
8.63%	06/30/12			4,024,471		4,155,266
NiSource Finance Corp.
7.88%	11/15/10			2,050,000		2,128,964
TECO Energy, Inc.
2.25%	05/01/10	2		5,665,000		5,668,954
W3A Funding Corp.
8.09%	01/02/17			4,332,070		4,362,004
						33,830,207
Energy — 1.18%
Allis-Chalmers Energy, Inc.
9.00%	01/15/14			450,000		434,250
Aquila Canada Finance Corp. (Canada)
7.75%	06/15/11	4		1,835,000		1,942,509
Chesapeake Energy Corp.
7.00%	08/15/14			250,000		254,687
Comstock Resources, Inc.
6.88%	03/01/12			150,000		150,375
Corral Petroleum Holdings AB (Sweden) (PIK)
1.75%	04/15/10	3,4,†		275,641		209,482
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	3		575,000		570,687
Massey Energy Co.
6.88%	12/15/13			375,000		382,031
OPTI Canada, Inc. (Canada)
7.88%	12/15/14	4		250,000		233,438
Premcor Refining Group, Inc. (The)
6.13%	05/01/11			8,000,000		8,337,624

See accompanying notes to financial statements.

24  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sempra Energy Employee Stock Ownership Plan & Trust
5.78%	11/01/14	3,†	$	5,000,000	$	4,972,266
Sonat, Inc.
7.63%	07/15/11			350,000		367,230
						17,854,579
Finance — 10.73%
Bear Stearns Cos., Inc. (The) (MTN)
6.95%	08/10/12			10,000,000		11,104,065
Citigroup, Inc.
5.30%	10/17/12			1,399,000		1,470,236
5.50%	04/11/13			11,034,000		11,602,350
5.50%	10/15/14			3,510,000		3,636,142
6.01%	01/15/15			2,485,000		2,613,365
6.38%	08/12/14			8,000,000		8,523,074
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			5,660,000		6,026,367
Discover Financial Services
0.79%	06/11/10	2		6,905,000		6,898,033
General Electric Capital Corp. (MTN)
0.41%	06/20/14	2		3,500,000		3,325,357
0.63%	05/05/26	2		6,300,000		5,186,053
General Electric Capital Corp. A (MTN)
0.52%	09/15/14	2		10,169,000		9,660,550
General Electric Capital Corp. E (MTN)
0.38%	03/20/14	2		5,500,000		5,212,592
GMAC LLC
2.45%	12/01/14	2		1,424,000		1,247,780
Goldman Sachs Group, Inc. (The)
0.75%	01/12/15	2		2,500,000		2,447,512
1.05%	12/05/11	2		10,970,000		11,128,813
5.45%	11/01/12			8,000,000		8,640,770
6.15%	04/01/18			2,500,000		2,649,380
Goldman Sachs Group, Inc. B (The) (MTN)
0.65%	07/22/15	2		800,000		774,536
JPMorgan Chase Capital XIII M
1.24%	09/30/34	2		2,465,000		1,934,734
JPMorgan Chase Capital XXI U
1.20%	02/02/37	2		3,250,000		2,499,633
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	6,7		4,835,000		1,063,700
0.00%	11/07/16	6,7		6,776,000		1,490,720
0.00%	02/16/17	6,7		4,198,000		923,560
MBNA Capital A
8.28%	12/01/26			1,074,000		1,090,110
MBNA Capital B
1.05%	02/01/27	2		2,891,000		1,994,987

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	2	$	30,000	$	32,175
8.95%	05/18/17	2		30,000		32,382
9.57%	06/06/17	2		5,184,000		5,673,370
Morgan Stanley
0.50%	01/18/11	2		4,405,000		4,406,203
0.62%	06/20/12	2		9,655,000		9,730,387
0.73%	10/15/15	2		2,830,000		2,625,020
4.20%	11/20/14			750,000		752,438
6.00%	05/13/14			1,325,000		1,433,594
Morgan Stanley (MTN)
5.63%	01/09/12			5,000,000		5,328,366
Morgan Stanley 1
1.10%	12/01/11	2		4,115,000		4,179,198
Morgan Stanley G (MTN)
0.55%	01/09/14	2		1,405,000		1,344,553
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	4		1,466,800		1,512,696
Power Receivable Finance LLC
6.29%	01/01/12	3		889,947		913,630
6.29%	01/01/12			934,129		958,987
Prudential Holdings LLC (AGM)
1.14%	12/18/17	2,3		10,665,000		9,049,071
Woodbourne Capital Trust I
2.73%	04/08/49	2,3,5		1,000,000		220,000
Woodbourne Capital Trust II
2.73%	04/08/49	2,3,5		1,000,000		220,000
Woodbourne Capital Trust III
2.73%	04/08/49	2,3,5		1,000,000		220,000
Woodbourne Capital Trust IV
2.73%	04/08/49	2,3,5		1,000,000		220,000
						161,996,489
Health Care — 0.54%
CHS/Community Health Systems, Inc.
8.88%	07/15/15			250,000		259,375
UnitedHealth Group, Inc.
4.88%	02/15/13			7,348,000		7,863,462
						8,122,837
Insurance — 1.57%
Berkshire Hathaway, Inc.
0.68%	02/11/13	2		5,475,000		5,499,528
Farmers Insurance Exchange
6.00%	08/01/14	3		2,000,000		2,014,129
Metropolitan Life Global Funding I
1.03%	06/25/10	2,3		50,000		50,086
2.15%	06/10/11	2,3		2,000,000		2,033,608
2.88%	09/17/12	3		2,810,000		2,835,600

See accompanying notes to financial statements.

Annual Report March 2010  /  25

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
5.13%	04/10/13	3	$	4,550,000	$	4,888,283
5.13%	06/10/14	3		3,230,000		3,424,391
Nationwide Mutual Insurance Co.
5.81%	12/15/24	2,3		3,550,000		3,044,849
						23,790,474
Real Estate Investment Trust (REIT) — 2.57%
AvalonBay Communities, Inc. (MTN)
6.13%	11/01/12			1,057,000		1,144,217
Duke Realty LP
5.63%	08/15/11			8,550,000		8,861,793
6.25%	05/15/13			9,000,000		9,488,457
HCP, Inc.
6.45%	06/25/12			4,000,000		4,243,196
HCP, Inc. (MTN)
6.30%	09/15/16			3,100,000		3,154,613
Shurgard Storage Centers LLC
7.75%	02/22/11			1,500,000		1,557,063
WEA Finance LLC/WT Finance
7.50%	06/02/14	3		4,000,000		4,524,284
Westfield Capital Corp. Ltd. (Multinational)
4.38%	11/15/10	3,4		5,690,000		5,779,407
						38,753,030
Services — 0.03%
Mobile Mini, Inc.
6.88%	05/01/15			375,000		351,563
United Rentals North America, Inc.
7.00%	02/15/14			125,000		116,250
						467,813
Transportation — 1.63%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11	8		15,017		15,092
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			4,709,273		4,681,535
Continental Airlines Pass-Through Trust
1997-4 A
6.90%	01/02/18			185,249		186,639
Delta Air Lines, Inc. 2000 A1
7.38%	05/18/10			746,020		748,817
Delta Air Lines, Inc. 2001 A1
6.62%	03/18/11			3,125,920		3,133,734
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			8,751,000		9,144,795
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,500,000		1,511,250

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
UAL Pass-Through Trust 2009-1
10.40%	11/01/16		$	4,767,000	$	5,160,278
						24,582,140
Total Corporates
(Cost $404,100,403)						409,041,746
BANK LOANS — 0.74%*
Communications — 0.13%
Cebridge 2nd Lien (PIK)
6.25%	05/05/14	9		480,677		483,306
Charter Communications, Inc. Term Loan 3rd Lien
2.75%	09/06/14	9		500,000		458,303
Dex Media West LLC
7.50%	10/24/14	2,9		904,386		864,960
Univision Communications, Inc. 1st Lien Strip
2.54%	09/29/14	9		125,000		111,656
						1,918,225
Electric — 0.04%
TPF Generation Holdings LLC 2nd Lien
4.54%	12/15/14	9		250,000		224,062
TXU Energy Term Loan B3
3.73%	10/10/14	9		487,500		397,073
						621,135
Health Care — 0.42%
Carestream Health, Inc. Term Loan
5.50%	10/30/13	9		500,000		457,125
HCA Term Loan A
1.79%	11/19/12	9		6,081,382		5,922,160
						6,379,285
Insurance — 0.02%
Asurion Corp. Term Loan
3.23%	07/03/14	9		248,750		246,625
Materials — 0.01%
Lyondell Chemical Co. New Money (DIP)
13.00%	06/03/10	9		93,852		97,547
Lyondell Chemical Co. Roll Up L (DIP)
5.80%	06/03/10	9		93,569		100,002
						197,549
Services — 0.04%
Cengage Learning Term Loan B
2.79%	07/03/14	9		731,250		646,284
Transportation — 0.08%
Delta Air Lines, Inc. Term Loan 1st Lien
2.25%	04/30/12	9		960,102		927,458

See accompanying notes to financial statements.

26  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Transportation (continued)
United Air Lines, Inc.
2.25%	02/01/14	9	$	346,111	$	301,364
						1,228,822
Total Bank Loans
(Cost $11,241,180)						11,237,925
MORTGAGE-BACKED — 28.81%**
Commercial Mortgage-Backed — 5.86%
Bayview Commercial Asset Trust 2005-1A A1
0.55%	04/25/35	2,3		1,202,304		894,652
Bayview Commercial Asset Trust 2005-2A A1
0.56%	08/25/35	2,3		615,016		447,386
Bayview Commercial Asset Trust 2006-3A A1
0.50%	10/25/36	2,3		5,082,104		3,300,537
Bayview Commercial Asset Trust 2007-1 A1
0.47%	03/25/37	2,3		145,663		106,334
Bayview Commercial Asset Trust 2007-3 A1
0.49%	07/25/37	2,3		698,068		486,907
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			12,806,306		12,995,541
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49	2		10,025,000		9,873,993
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49	2		8,000,000		8,202,763
CS First Boston Mortgage Securities Corp. 2004-C5 A2
4.18%	11/15/37			3,047,138		3,044,457
GE Capital Commercial Mortgage Corp. 2005-C4 A3A
5.33%	11/10/45	2		2,235,000		2,336,509
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			6,586,529		6,712,584
GMAC Commercial Mortgage Securities, Inc. 2004-C1 A4
4.91%	03/10/38			410,000		423,640
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38	2		5,955,000		6,080,603
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	2		1,918,000		1,909,763
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD11 A2
5.80%	06/15/49	2		4,179,000		4,251,399

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A2
5.83%	02/15/51		$	7,450,000	$	7,726,366
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	2		3,030,000		2,968,295
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			2,830,000		2,731,521
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49	2		4,840,000		4,691,294
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%	06/12/50	2		7,300,000		6,706,711
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			2,570,000		2,532,547
						88,423,802
Non-Agency Mortgage-Backed — 12.57%
Adjustable Rate Mortgage Trust 2005-1 1A1
3.68%	05/25/35	2,†		11,320,611		7,207,060
American Home Mortgage Assets 2007-2 A1
0.37%	03/25/47	2		21,908,527		11,939,760
American Home Mortgage Assets 2007-4 A2
0.44%	08/25/37	2		22,500,000		12,370,797
American Home Mortgage Investment Trust 2004-2 2A
2.39%	02/25/44	2		14,989,827		13,146,573
Banc of America Funding Corp. 2007-5 3A1
6.00%	07/25/37			10,696,460		7,649,375
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			9,300,353		6,124,421
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	3,4,5		643,421		64,342
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1
0.45%	11/25/36	2		13,670,323		7,056,562
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1
0.46%	06/25/37	2		16,765,872		9,132,225
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	3,4,5		9,000		1,080
BlackRock Capital Finance LP 1997-R2 AP
1.23%	12/25/35	2,3,5		14,653		14,661
Chase Mortgage Finance Corp. 2007-A2 2A3
3.56%	07/25/37	2		12,060,082		11,493,196
Chase Mortgage Finance Corp. 2007-S2 1A7
6.00%	03/25/37			7,907,340		7,701,974

See accompanying notes to financial statements.

Annual Report March 2010  /  27

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.43%	05/25/36	2,3	$	3,531,124	$	1,929,664
Chevy Chase Mortgage Funding Corp. 2005-AA B2
0.87%	01/25/36	2,3		708,282		–
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.09%	02/25/34	2		686,556		647,182
Countrywide Alternative Loan Trust 2005-27 2A1
1.81%	08/25/35	2		2,393,499		1,089,201
Countrywide Alternative Loan Trust 2005-51 2A2A
0.53%	11/20/35	2		72,000		68,476
Countrywide Alternative Loan Trust 2005-59 1A1
0.56%	11/20/35	2		10,119,167		5,349,708
Countrywide Alternative Loan Trust 2005-72 A1
0.52%	01/25/36	2		906,506		550,050
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			9,448,261		8,119,871
Countrywide Alternative Loan Trust 2006-OA12 A2
0.45%	09/20/46	2		4,988,645		2,140,491
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.10%	08/25/34	2		118,771		113,426
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.78%	01/25/26	2,3,5		98,802		62
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A
0.45%	03/19/45	2		3,928,296		2,299,268
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A
1.41%	04/19/47	2		91,902		51,467
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.33%	09/25/34	2		35,373		28,325
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			28,831		28,425
Harborview Mortgage Loan Trust 2006-3 2A1A
6.34%	06/19/36	2		3,008,480		1,720,442
Harborview Mortgage Loan Trust 2007-2 2A1A
0.41%	05/25/38	2		16,623,719		8,438,951
Impac CMB Trust 2005-5 A1
0.57%	08/25/35	2		5,733,925		3,871,787

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.64%	12/25/34	2,†	$	662,659	$	384,330
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.65%	11/25/34	2		2,537,887		1,641,198
JPMorgan Mortgage Trust 2005-A3 5A3
3.30%	06/25/35	2		159,023		128,264
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%	01/25/34	2		137,884		134,056
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.95%	01/25/34	2		268,062		236,943
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
3.84%	06/25/34	2		275,094		243,827
MASTR Seasoned Securities Trust 2004-1 4A1
3.51%	10/25/32	2		851,616		729,763
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.44%	06/25/37	2		7,907,632		3,891,848
Residential Asset Mortgage Products, Inc. 2004-SL4 A3
6.50%	07/25/32			2,630,350		2,618,136
Residential Asset Mortgage Products, Inc. 2005-SL1 A5
6.50%	05/25/32			5,098,837		4,764,263
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.76%	12/27/35	2		17,865,461		9,812,729
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A
0.45%	10/25/36	2		15,813,716		8,377,675
Structured Asset Securities Corp. 2002-5A 6A
6.16%	04/25/32	2		24,965		21,900
Thornburg Mortgage Securities Trust 2007-1 A2B
0.35%	03/25/37	2		14,329,939		14,003,878
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.23%	04/25/47	2		16,119,138		8,296,611
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	2		485,117		447,696
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21
0.58%	01/25/45	2		1,515,718		1,097,227

See accompanying notes to financial statements.

28  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.33%	07/25/46	2	$	11,110,016	$	2,618,582
						189,797,748
U.S. Agency Mortgage-Backed — 10.38%
Fannie Mae 1997-76 FS
0.70%	09/17/27	2		59,099		58,078
Fannie Mae 2006-B2 AB
5.50%	05/25/14			7,461,164		7,727,074
Fannie Mae 2007-64 FA
0.72%	07/25/37	2		9,833,780		9,451,258
Fannie Mae G92-10 Z
7.75%	01/25/22			17,638		19,590
Fannie Mae Pool 555177
2.55%	01/01/33	2		77,359		79,708
Fannie Mae Pool 555284
7.50%	10/01/17			5,238		5,662
Fannie Mae Pool 567002
8.00%	05/01/23			134,267		154,272
Fannie Mae Pool 735861
6.50%	09/01/33			59,313		65,542
Fannie Mae Pool 745383
3.03%	12/01/35	2		3,134,905		3,231,959
Fannie Mae Pool 770900
3.58%	04/01/34	2		827,297		852,125
Fannie Mae Pool 805256
3.28%	01/01/35	2		1,173,880		1,210,963
Fannie Mae Pool 942553
5.93%	08/01/37	2		22,441,656		23,583,780
Freddie Mac 2174 PN
6.00%	07/15/29			3,575,940		3,866,026
Freddie Mac 2454 FQ
1.23%	06/15/31	2		61,402		62,677
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			561,191		27,077
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			37,670		4,263
Freddie Mac 3346 FA
0.46%	02/15/19	2		19,746,314		19,824,599
Freddie Mac 3626 MA
5.00%	02/15/30			10,172,691		10,884,619
Freddie Mac Gold A45796
7.00%	01/01/33			41,391		46,820
Freddie Mac Gold C46104
6.50%	09/01/29			46,778		51,639
Freddie Mac Gold G13032
6.00%	09/01/22			12,493,376		13,583,618

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G13475
6.00%	01/01/24		$	1,540,936	$	1,666,335
Freddie Mac Non Gold Pool 1B1928
3.46%	08/01/34	2		2,508,883		2,596,743
Freddie Mac Non Gold Pool 1G2627
6.02%	03/01/37	2		8,723,844		9,120,483
Freddie Mac Non Gold Pool 1J1393
6.29%	10/01/36	2		9,892,271		10,444,054
Freddie Mac Non Gold Pool 1J1509
6.32%	11/01/36	2		7,492,789		7,930,487
Freddie Mac Non Gold Pool 1L0113
3.61%	05/01/35	2		2,649,261		2,760,978
Freddie Mac Non Gold Pool 1N0371
6.20%	01/01/37	2		9,225,445		9,784,488
Freddie Mac Non Gold Pool 1N1446
4.76%	01/01/37	2		6,913,780		7,208,635
Freddie Mac Non Gold Pool 1Q0196
5.79%	02/01/37	2		6,270,183		6,640,601
Freddie Mac Non Gold Pool 786781
3.51%	08/01/29	2		174,916		180,943
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			665,272		33,130
Ginnie Mae GNSF (TBA)
4.50%	04/15/40			854,000		864,274
5.00%	04/15/40			1,020,000		1,059,764
Ginnie Mae I Pool 422972
6.50%	07/15/29			71,383		78,586
Ginnie Mae II Pool 1849
8.50%	08/20/24			1,884		2,177
Ginnie Mae II Pool 2020
8.50%	06/20/25			4,082		4,724
Ginnie Mae II Pool 2286
8.50%	09/20/26			4,182		4,847
Ginnie Mae II Pool 2487
8.50%	09/20/27			22,776		26,427
Ginnie Mae II Pool 80059
4.38%	04/20/27	2		58,476		60,357
Ginnie Mae II Pool 80589
4.50%	03/20/32	2		177,131		183,148
Ginnie Mae II Pool 80610
4.38%	06/20/32	2		41,856		43,298
Ginnie Mae II Pool 80968
3.63%	07/20/34	2		1,159,547		1,196,574
Ginnie Mae II Pool 81201
4.00%	01/20/35	2		29,368		30,681

See accompanying notes to financial statements.

Annual Report March 2010  /  29

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 8599
4.38%	02/20/25	2	$	49,995	$	52,532
						156,765,615
Total Mortgage-Backed
(Cost $494,841,530)						434,987,165
MUNICIPAL BONDS — 0.54%*
California — 0.54%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.45%	04/01/15			1,715,000		1,790,151
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
4.85%	10/01/14			4,500,000		4,611,060
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%	03/01/16			1,775,000		1,806,187
						8,207,398
Total Municipal Bonds
(Cost $8,022,112)						8,207,398
U.S. AGENCY SECURITIES — 2.49%
Freddie Mac
0.37%	02/03/12	2		14,440,000		14,462,252
1.25%	01/26/12			16,405,000		16,396,437
2.00%	10/01/12			6,660,000		6,660,000
Total U.S. Agency Securities
(Cost $37,559,758)						37,518,689
Total Bonds – 74.07%
(Cost $1,246,693,815)						1,118,350,549
Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 28.32%
Commercial Paper — 4.92%
BNP Paribas Finance, Inc.
0.19%10	04/27/10		$	25,485,000		25,481,503
Credit Agricole North America, Inc.
0.20%10	05/03/10			26,300,000		26,295,442
Lloyds Banking Group Plc
0.21%10	04/26/10			22,490,000		22,486,720
						74,263,665
Money Market Fund — 14.85%
BlackRock Liquidity Funds TempFund Portfolio
0.12%				31,102,000		31,102,000

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
Money Market Fund (continued)
Dreyfus Cash Advantage Fund
0.11%11				67,771,000	$	67,771,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%11				67,848,000		67,848,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.05%11,12				57,608,100		57,608,100
						224,329,100
U.S. Agency Discount Notes — 1.81%
Freddie Mac
0.14%10	05/24/10		$	27,295,000		27,289,768
U.S. Treasury Bills — 6.74%
U.S. Treasury Bills
0.09%10	05/13/10	13		1,545,000		1,544,766
0.11%10	05/06/10			100,225,000		100,214,427
						101,759,193
Total Short Term Investments
(Cost $427,641,400)						427,641,726
Total Investments – 102.39%
(Cost $1,674,335,215)1						1,545,992,275
Liabilities in Excess of Other Assets – (2.39)%						(36,064,776	)
Net Assets – 100.00%					$	1,509,927,499

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
1,496	U.S. Treasury Two Year Note,
	Expiration June 2010	$	155,345
352	U.S. Treasury Five Year Note,
	Expiration June 2010		(94,517	)
	Net unrealized appreciation	$	60,828

	Expiration Date	Notional Amount (000’s)		Appreciation/ Depreciation		Value
SWAPS: INTEREST RATE
Six month forward rate swap based upon the spread between the CMM30-FNMA rate and 10 year CMS rate plus 0.49%. The Fund receives an amount equal to the difference between the CMM30-FNMA rate minus the 10 year CMS rate plus 0.49% times the notional amount if positive. The Fund owes a comparable amount if negative. Counterparty: Goldman Sachs Group, Inc. (The)
	05/27/10	$	10,060	$	167,741	$	167,741
		$	10,060	$	167,741	$	167,741

See accompanying notes to financial statements.

30  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
09/20/12	$	—	$	4,250	$	(17,695	)	$	(17,695	)
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		—		1,425		(13,507	)		(13,507	)
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		—		1,325		(11,835	)		(11,835	)
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		(144,960	)		(144,960	)
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		(212,568	)		(212,568	)
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		(932	)		(932	)
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		(5,056	)		(5,056	)
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., 6.13%, due 12/01/12. Counterparty: UBS AG
12/20/12		—		2,550		(42,943	)		(42,943	)
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. (The)
12/20/12		—		2,725		4,504			4,504
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		—		295		(316	)		(316	)
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
03/20/13		—		900		(43,869	)		(43,869	)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13		—		900		(43,869	)		(43,869	)
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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
06/20/13		—		1,600		(62,493	)		(62,493	)

Expiration Date	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 4.40% 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: Deutsche Bank AG
12/20/13	$	—		$	275	$	(34,731	)	$	(34,731	)
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
03/20/14		—			275		(15,710	)		(15,710	)
The Fund pays a fixed rate equal to 0.82% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Arrow Electronics, Inc., 6.88%, due 06/01/18. Counterparty: Citigroup, Inc.
03/20/14		—			1,905		21,466			21,466
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 Hewlett Packard Co., 5.40%, due 03/01/17. Counterparty: Citigroup, Inc.
03/20/14		—			1,905		(26,195	)		(26,195	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Deutsche Bank AG
12/20/14		(8,839	)		2,935		(38,544	)		(47,383	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Morgan Stanley
12/20/14		(10,089	)		2,930		(37,213	)		(47,302	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14		(44,660	)		2,930		(45,021	)		(89,681	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
12/20/14		(44,736	)		2,935		(45,098	)		(89,834	)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15		—			1,800		(127,586	)		(127,586	)
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
09/20/16		47,119			1,170		16,978			64,097
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
09/20/16		49,940			895		(908	)		49,032
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		49,661			890		(903	)		48,758
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		27,547			9,950		333,558			361,105
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
09/20/16		82,078			1,170		51,738			133,816

See accompanying notes to financial statements.

Annual Report March 2010  /  31

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

	Expiration Date	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16	$	148,629		$	4,200	$	84,556		$	233,185
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		136,633			3,600		63,240			199,873
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		36,748			1,900		68,741			105,489
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston
	09/20/16		70,224			1,900		35,265			105,489
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
	09/20/16		86,272			2,275		40,037			126,309
		$	626,527		$	70,460	$	(251,869	)	$	374,658
Expiration Date	Credit Rating a	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	—		$	3,250	$	144,517		$	144,517
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA		—			5,500		196,999			196,999
		$	—		$	8,750	$	341,516		$	341,516
	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Depreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(744,002	)	$	2,000	$	(515,824	)	$	(1,259,826	)
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		(1,986,529	)		3,700		(344,149	)		(2,330,678	)
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: Goldman Sachs Group, Inc. (The)
	08/25/37		(3,220,410	)		6,600		(937,016	)		(4,157,426	)

	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Depreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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 the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
	08/25/37	$	(1,534,917	)	$	3,200	$	(480,805	)	$	(2,015,722	)
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: Morgan Stanley
	08/25/37		(2,732,469	)		5,600		(795,044	)		(3,527,513	)
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		(1,898,527	)		11,630		(5,427,362	)		(7,325,889	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(13,405,828	)		21,850		432,043			(12,973,785	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(2,606,434	)		4,000		231,370			(2,375,064	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
	01/25/38		(4,089,641	)		6,000		527,046			(3,562,595	)
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: Bank of America Corp.
	05/25/46		(3,198,462	)		4,089		(338,249	)		(3,536,711	)
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: CS First Boston
	05/25/46		(4,361,539	)		5,576		(461,248	)		(4,822,787	)
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: CS First Boston
	05/25/46		(3,024,981	)		3,904		(350,970	)		(3,375,951	)
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: Royal Bank of Scotland Group Plc
	05/25/46		(2,544,231	)		3,253		(269,062	)		(2,813,293	)
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: Goldman Sachs Group, Inc. (The)
	05/25/46		(2,391,488	)		3,067		(261,045	)		(2,652,533	)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		(1,789,649	)		4,930		(662,347	)		(2,451,996	)
		$	(49,529,107	)	$	89,399	$	(9,652,662	)	$	(59,181,769	)

See accompanying notes to financial statements.

32  /  Annual Report March 2010

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2010

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $1,675,177,795 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	53,584,695
Gross unrealized depreciation		(182,770,215	)
Net unrealized depreciation	$	(129,185,520	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2010.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $98,634,669 representing 6.53% of total net assets.

⁴ U.S. dollar denominated security issued by foreign domiciled entity.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,691,241 which is 0.44% of total net assets.

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

⁷ Non-income producing security.

⁸ Expected maturity date.

⁹ 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 Total Net Assets
07/03/07	Asurion Corp. Term Loan, 3.23%, 07/03/14	$	247,232	$	246,625	0.02%
06/01/07	Carestream Health, Inc. Term Loan, 5.50%, 10/30/13		503,856		457,125	0.03%
02/01/08	Cebridge 2nd Lien (PIK), 6.25%, 05/05/14		480,677		483,306	0.03%
06/27/07	Cengage Learning Term Loan B, 2.79%, 07/03/14		726,776		646,284	0.04%
06/04/07	Charter Communications, Inc. Term Loan 3rd Lien, 2.75%, 09/06/14		501,915		458,303	0.03%
04/25/07	Delta Air Lines, Inc. Term Loan 1st Lien, 2.25%, 04/30/12		960,102		927,458	0.06%
12/30/08	Dex Media West LLC, 7.50%, 10/24/14		532,345		864,960	0.06%

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
10/22/07	HCA Term Loan A, 1.79%, 11/19/12	$	5,907,719	$	5,922,160	0.39%
03/04/09	Lyondell Chemical Co. New Money (DIP), 13.00%, 06/03/10		93,853		97,547	0.01%
03/05/09	Lyondell Chemical Co. Roll Up L (DIP), 5.80%, 06/03/10		91,354		100,002	0.01%
11/06/07	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		242,937		224,062	0.01%
10/31/07	TXU Energy Term Loan B3, 3.73%, 10/10/14		487,500		397,073	0.02%
02/01/07	United Air Lines, Inc., 2.25%, 02/01/14		346,111		301,364	0.02%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.54%, 09/29/14		118,803		111,656	0.01%
		$	11,241,180	$	11,237,925	0.74%

¹⁰ Represents annualized yield at date of purchase.

¹¹ Represents the current yield as of March 31, 2010.

† Fair valued security. The aggregate value of fair valued securities is $50,579,581 which is 3.35% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

¹² Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $57,608,100.

¹³ Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $1,544,737.

* 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.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA

(Financial Security Assurance, Inc.)

(AMBAC): American Municipal Bond Assurance Corp.

(DIP): Defaulted interest payment

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium term note

(PIK): Payment in kind

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to financial statements.

Annual Report March 2010  /  33

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 92.10%
ASSET-BACKED SECURITIES — 11.46%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33		$	5,718	$	5,667
Aerco Ltd. 2A A3 (United Kingdom)
0.69%	07/15/25	2,3,4		1,266,054		746,972
Ameriquest Mortgage Securities, Inc. 2005-R6 A2
0.45%	08/25/35	3		936,540		868,302
Bayview Financial Acquisition Trust 2005-A A1
1.25%	02/28/40	3,4,†		726,796		363,449
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1
1.25%	12/28/40	3,4,†		1,185,327		598,673
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%	12/25/34			14,615		13,427
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%	02/10/38	2,4,†		650,000		594,963
Chase Funding Mortgage Loan Asset-Backed Certificates 2004-2 1A4
5.32%	02/25/35			16,953		15,969
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.43%	03/25/37	3		1,376,500		599,646
Conseco Finance 2001-D A5
6.69%	11/15/32	3		159,092		160,367
Conseco Finance 2002-A A5 (STEP)
7.55%	04/15/32			285,108		292,036
Conseco Finance 2002-C BF2
8.00%	06/15/32	3,4		314,654		161,955
Conseco Finance 2002-C MF2
6.98%	06/15/32	3		23,898		23,764
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31	3		122,094		114,921
Countrywide Asset-Backed Certificates 2004-AB1 2A3
0.77%	02/25/35	3		772,640		751,097
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1
0.31%	04/25/37	3		532,270		373,466
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1
0.48%	12/25/37	3		2,500,000		71,818
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.53%	04/17/19	2,3,4,†		449,167		403,119
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.48%	11/17/20	2,3,4,†		170,000		146,622

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20		$	36	$	28
Green Tree Home Improvement Loan Trust 1997-E HEB1
7.53%	01/15/29			525,673		500,874
GSAMP Trust 2007-HE2 A2A
0.35%	03/25/47	3		826,399		748,480
HSBC Home Equity Loan Trust 2006-4 A3V
0.39%	03/20/36	3		1,500,000		1,381,036
HSBC Home Equity Loan Trust 2007-2 M1
0.55%	07/20/36	3,†		825,000		495,006
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			569,284		402,542
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			188,601		134,090
JPMorgan Mortgage Acquisition Corp. 2006-FRE1 A3
0.44%	05/25/35	3		1,128,607		987,475
JPMorgan Mortgage Acquisition Corp. 2007-CH4 A3
0.36%	05/25/37	3		1,195,000		701,153
Keystone Owner Trust 1998-P1 M2
7.93%	05/25/25	4		17,558		17,306
MASTR Asset Backed Securities Trust 2007-HE1 A1
0.33%	05/25/37	3		359,596		343,175
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.43%	06/25/37	3		811,700		317,197
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.50%	06/25/37	3		1,500,000		592,062
Mid-State Trust 11 A1
4.86%	07/15/38			1,375,586		1,246,226
Mid-State Trust 2004-1 A
6.01%	08/15/37			325,430		301,706
Mid-State Trust 2004-1 B
8.90%	08/15/37			237,815		219,729
Mid-State Trust 2005-1 M2
7.08%	01/15/40			1,075,651		935,447
Morgan Stanley ABS Capital I 2006-HE6 A2B
0.35%	09/25/36	3		251,798		225,034
Nationstar Home Equity Loan Trust 2006-B AV4
0.53%	09/25/36	3		2,450,000		1,151,155
Nationstar Home Equity Loan Trust 2007-C 2AV2
0.38%	06/25/37	3		1,150,000		744,528

See accompanying notes to financial statements.

34  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17		$	39,852	$	39,108
Option One Mortgage Loan Trust 2007-6 2A4
0.50%	07/25/37	3		2,159,800		887,324
Residential Asset Mortgage Products, Inc. 2002-RS4 AI5 (STEP)
6.16%	08/25/32			2,220		944
Residential Asset Mortgage Products, Inc. 2003-RS1 AI5 (STEP)
5.69%	03/25/33			15,836		7,617
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP)
3.87%	07/25/33			26,222		23,295
Resmae Mortgage Loan Trust 2006-1 A1B
0.52%	02/25/36	3,4		124,596		21,468
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.40%	07/25/36	3		2,700,000		933,833
SG Mortgage Securities Trust 2006-FRE1 A1B
0.52%	02/25/36	3		93,169		58,187
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.39%	12/25/36	3		1,680,000		1,267,726
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.40%	06/25/37	3		1,872,000		803,748
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.38%	08/25/37	3		1,170,000		716,563
Soundview Home Equity Loan Trust 2007-OPT4 2A1
1.15%	09/25/37	3		205,894		205,700
SVO VOI Mortgage Corp. 2003-AA A
3.95%	02/20/19	4		58,587		55,367
Terwin Mortgage Trust 2005-9HGS A1
4.00%	08/25/35	3,4		29,186		27,274
Triton Container Finance LLC 2006-1A Note
0.42%	11/26/21	3,4		366,667		319,688
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	3		3,657		1,458
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			118,429		103,992
Wells Fargo Home Equity Trust 2006-1 A3
0.40%	05/25/36	3		527,481		515,640
Total Asset-Backed Securities
(Cost $25,868,573)						23,739,414

Issues	Maturity Date		Principal Amount		Value
CORPORATES — 28.48%*
Banking — 6.10%
ANZ National International Ltd. (New Zealand)
6.20%	07/19/13	2,4	$	600,000	$	661,722
BAC Capital Trust XV
1.05%	06/01/56	3		1,432,000		976,182
Bank of America N.A.
0.56%	06/15/17	3		600,000		528,074
Barclays Bank Plc (United Kingdom)
5.20%	07/10/14	2		850,000		908,531
Capital One Financial Corp. (MTN)
5.70%	09/15/11			876,000		919,563
Credit Suisse/Guernsey 1 (Switzerland)
0.94%	05/29/49	2,3		770,000		605,412
Credit Suisse/New York (MTN) (Switzerland)
5.00%	05/15/13	2		700,000		752,888
Credit Suisse/New York (Switzerland)
5.50%	05/01/14	2		500,000		544,714
6.00%	02/15/18	2		575,000		609,754
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	2		760,000		815,028
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	3,4		120,000		101,400
HBOS Plc (United Kingdom)
6.75%	05/21/18	2,4		915,000		841,976
JPMorgan Chase Bank N.A.
0.59%	06/13/16	3		600,000		560,397
6.00%	07/05/17			600,000		640,499
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%	12/29/49	2,3		775,000		678,125
Nationsbank Capital Trust III
0.80%	01/15/27	3		616,000		433,456
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14	2,4		825,000		869,188
Wachovia Bank N.A.
6.00%	11/15/17			643,000		698,015
Wachovia Corp.
0.59%	10/28/15	3		250,000		231,883
Wachovia Corp. (MTN)
5.50%	05/01/13			239,000		258,295
						12,635,102
Communications — 0.66%
Cellco Partnership/Verizon Wireless Capital LLC
5.55%	02/01/14			350,000		382,826
Qwest Corp.
7.88%	09/01/11			575,000		612,375

See accompanying notes to financial statements.

Annual Report March 2010  /  35

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Sprint Nextel Corp.
0.69%	06/28/10	3	$	385,000	$	383,656
						1,378,857
Electric — 3.06%
Cedar Brakes II LLC
9.88%	09/01/13	4		323,136		329,284
CenterPoint Energy Houston Electric LLC U
7.00%	03/01/14			300,000		341,088
Entergy Louisiana LLC
5.83%	11/01/10			758,000		759,797
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			1,060,000		1,234,258
NiSource Finance Corp.
10.75%	03/15/16			450,000		572,673
PG&E Corp.
5.75%	04/01/14			910,000		994,943
Public Service Co. of New Mexico
7.95%	05/15/18			475,000		496,302
Southwestern Electric Power Co.
6.45%	01/15/19			534,000		576,284
Texas-New Mexico Power Co.
9.50%	04/01/19	4		800,000		976,206
Union Electric Co.
6.70%	02/01/19			54,000		59,836
						6,340,671
Energy — 1.76%
CenterPoint Energy Resources Corp. B
7.88%	04/01/13			450,000		515,624
Sabine Pass LNG LP
7.25%	11/30/13			935,000		883,575
Southern Union Co.
7.20%	11/01/66	3		910,000		844,025
Valero Energy Corp.
9.38%	03/15/19			1,071,000		1,277,071
Williams Cos., Inc. (The)
7.88%	09/01/21			112,000		132,129
						3,652,424
Finance — 9.86%
Bear Stearns Cos. LLC (The)
7.25%	02/01/18			1,140,000		1,319,496
Citigroup Funding, Inc. 2
0.58%	04/30/12	3		655,000		659,954
Citigroup, Inc.
0.53%	11/05/14	3		625,000		579,879
0.80%	08/25/36	3		205,000		124,394
5.50%	04/11/13			451,000		474,231

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
5.50%	10/15/14		$	371,000	$	384,333
6.01%	01/15/15			250,000		262,914
6.38%	08/12/14			535,000		569,981
6.50%	08/19/13			408,000		440,163
8.50%	05/22/19			300,000		350,730
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			625,000		665,456
Ford Motor Credit Co. LLC
8.63%	11/01/10			319,000		326,787
General Electric Capital Corp.
5.63%	05/01/18			730,000		763,446
General Electric Capital Corp. (MTN)
1.15%	05/22/13	3		340,000		338,932
6.88%	01/10/39			300,000		324,639
General Electric Capital Corp. A (MTN)
0.52%	09/15/14	3		1,394,000		1,324,300
General Electric Capital Corp. E (MTN)
0.38%	03/20/14	3		300,000		284,323
Goldman Sachs Group, Inc. (The)
0.43%	02/06/12	3		210,000		208,980
1.05%	12/05/11	3		785,000		796,364
5.13%	01/15/15			750,000		791,953
6.15%	04/01/18			600,000		635,851
7.50%	02/15/19			800,000		913,775
Goldman Sachs Group, Inc. (The) (MTN)
6.00%	05/01/14			250,000		273,994
Goldman Sachs Group, Inc. B (The) (MTN)
0.65%	07/22/15	3		100,000		96,817
JPMorgan Chase Capital XIII M
1.24%	09/30/34	3		1,070,000		839,824
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	5,6		452,000		99,440
0.00%	11/07/16	5,6		502,000		110,440
0.00%	02/16/17	5,6		260,000		57,200
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	5,6		271,000		59,620
Merrill Lynch & Co., Inc. (MTN)
8.68%	05/02/17	3		510,000		546,975
8.95%	05/18/17	3		410,000		442,554
9.57%	06/06/17	3		319,000		349,114
Morgan Stanley
0.50%	01/18/11	3		345,000		345,094
0.62%	06/20/12	3		1,150,000		1,158,979
0.73%	10/15/15	3		187,000		173,455
5.38%	10/15/15			800,000		831,906
6.75%	04/15/11			180,000		190,064
Morgan Stanley (MTN)
0.70%	10/18/16	3		570,000		521,131

See accompanying notes to financial statements.

36  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley G (MTN)
0.55%	01/09/14	3	$	615,000	$	588,541
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	2		75,000		77,347
Power Receivable Finance LLC
6.29%	01/01/12			192,506		197,629
Prudential Holdings LLC (AGM)
1.14%	12/18/17	3,4		500,000		424,242
ZFS Finance USA Trust I
6.15%	12/15/65	3,4		500,000		492,500
						20,417,747
Health Care — 1.04%
HCA, Inc.
8.50%	04/15/19	4		430,000		464,400
UnitedHealth Group, Inc.
4.88%	02/15/13			760,000		813,314
WellPoint, Inc.
6.00%	02/15/14			800,000		880,224
						2,157,938
Insurance — 1.50%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%	08/01/16	2		244,000		264,492
Fairfax Financial Holdings Ltd. (Canada)
7.75%	04/26/12	2		375,000		395,625
MetLife, Inc.
7.72%	02/15/19			270,000		315,789
Metropolitan Life Global Funding I
5.13%	06/10/14	4		800,000		848,147
Nationwide Mutual Insurance Co.
6.60%	04/15/34	4		440,000		370,802
Pricoa Global Funding I
5.45%	06/11/14	4		850,000		912,974
						3,107,829
Real Estate Investment Trust (REIT) — 2.49%
Duke Realty LP
6.25%	05/15/13			790,000		832,876
HCP, Inc.
7.07%	06/08/15			200,000		214,477
HCP, Inc. (MTN)
5.95%	09/15/11			820,000		855,608
Prime Property Funding II, Inc.
5.60%	06/15/11	4		206,000		213,967
Shurgard Storage Centers LLC
5.88%	03/15/13			68,000		71,619

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Simon Property Group LP
4.20%	02/01/15		$	400,000	$	400,332
UDR, Inc. (MTN)
5.00%	01/15/12			80,000		81,303
5.25%	01/15/15			1,000,000		997,293
WEA Finance LLC
7.13%	04/15/18	4		775,000		839,717
WEA Finance LLC/WT Finance
7.50%	06/02/14	4		570,000		644,710
						5,151,902
Transportation — 2.01%
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			16,827		16,728
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			844,146		974,988
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			81,047		81,655
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%	03/15/20			392,764		394,728
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			373,000		368,218
Delta Air Lines, Inc. 2000 A1
7.38%	05/18/10			23,906		23,996
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			1,202,000		1,256,090
JetBlue Airways Pass-Through Trust 2004-2 G1
0.63%	08/15/16	3		20,693		16,401
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			400,000		403,000
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			214,284		201,963
UAL Pass-Through Trust 2009-2 A
9.75%	01/15/17			400,000		427,000
						4,164,767
Total Corporates
(Cost $54,862,428)						59,007,237

See accompanying notes to financial statements.

Annual Report March 2010  /  37

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BANK LOANS — 0.22%*
Health Care — 0.22%
HCA Term Loan A
1.79%	11/19/12	7	$	455,133	$	443,217
Total Bank Loans (Cost $447,803)
MORTGAGE-BACKED — 34.44%**
Commercial Mortgage-Backed — 9.95%
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	3		40,000		41,921
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.15%	10/12/42	3		950,000		979,560
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41			470,000		484,606
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			1,860,134		1,887,620
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%	12/10/49	3		40,000		39,906
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%	12/11/49			1,100,000		1,066,771
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49	3		1,705,000		1,679,318
Commercial Mortgage Loan Trust 2008-LS1 AJ
6.02%	12/10/49	3		210,000		101,730
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			370,000		349,920
CW Capital Cobalt Ltd. 2006-C1 A4
5.22%	08/15/48			1,060,000		1,013,871
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			909,126		926,526
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38	3		1,605,000		1,638,853
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			1,740,000		1,695,294
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.87%	04/15/45	3		1,330,000		1,375,177
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	3		955,000		950,899

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	3	$	1,685,000	$	1,650,685
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			1,540,000		1,486,411
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			471,341		473,646
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49	3		760,000		736,650
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			2,060,000		2,029,980
						20,609,344
Non-Agency Mortgage-Backed — 4.78%
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			11,785		12,072
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.53%	01/25/35	3,4		374,974		211,977
Chevy Chase Mortgage Funding Corp. 2005-2A A1
0.43%	05/25/36	3,4		377,511		206,299
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41
5.09%	02/25/34	3		53,707		50,627
Countrywide Alternative Loan Trust 2005-27 2A1
1.81%	08/25/35	3		416,791		189,668
Countrywide Alternative Loan Trust 2005-27 3A2
1.56%	08/25/35	3		42,951		21,245
Countrywide Alternative Loan Trust 2005-72 A1
0.52%	01/25/36	3		884,355		536,609
Countrywide Alternative Loan Trust 2006-OA16 A2
0.44%	10/25/46	3		2,496,706		1,382,022
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.10%	08/25/34	3		546,726		522,118
Deutsche ALT-A Securities, Inc. 2007-OA2 A1
1.02%	04/25/47	3		1,207,278		678,431
First Horizon Asset Securities, Inc. 2002-7 2A2
5.25%	12/25/17			73,520		72,484
GSR Mortgage Loan Trust 2004-9 5A7
3.89%	08/25/34	3		1,469,000		1,347,152

See accompanying notes to financial statements.

38  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.52%	10/25/34	3	$	200,733	$	171,214
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.65%	11/25/34	3		64,178		41,502
IndyMac Index Mortgage Loan Trust 2007-AR5 1A1
5.55%	05/25/37	3		24,143		13,234
Lehman XS Trust 2007-12N 1A3A
0.45%	07/25/47	3		4,500,000		1,215,000
Lehman XS Trust 2007-14H A12
0.75%	07/25/47	3,†		9,049,945		571,985
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1
4.95%	01/25/34	3		3,403		3,008
MASTR Asset Securitization Trust 2002-8 1A1
5.50%	12/25/17			9,990		10,295
MASTR Seasoned Securities Trust 2004-1 4A1
3.51%	10/25/32	3		4,299		3,684
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			147,404		148,394
MASTR Seasoned Securities Trust 2005-1 4A1
3.06%	10/25/32	3		8,749		8,151
Residential Accredit Loans, Inc. 2003-QS17 NB1
5.25%	09/25/33			13,539		12,638
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			77,909		76,596
Residential Asset Securitization Trust 2004-IP2 2A1
3.10%	12/25/34	3		122,536		107,251
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1
0.52%	08/25/35	3		1,478,931		872,652
Structured Asset Mortgage Investments, Inc. 2005-AR8 A2
1.94%	02/25/36	3		1,636,065		959,869
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.23%	04/25/47	3		869,169		447,366
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	3		26,745		24,682
						9,918,225

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed — 19.71%
Fannie Mae 1989-25 G
6.00%	06/25/19		$	4,698	$	5,117
Fannie Mae 1992-116 B
6.50%	06/25/22			729		796
Fannie Mae 1993-225 SG
26.33%	12/25/13	3		114,421		139,710
Fannie Mae 1993-80 S
10.53%	05/25/23	3		28,522		31,301
Fannie Mae 2001-52 YZ
6.50%	10/25/31			698,292		765,697
Fannie Mae 2003-27 SG (IO)
7.40%	04/25/17	3		7,565,639		544,704
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			10,844		17
Fannie Mae 2003-W6 5T (IO)
0.55%	09/25/42	3		42,075,508		705,160
Fannie Mae 2007-64 FA
0.72%	07/25/37	3		1,586,662		1,524,943
Fannie Mae 2008-50 SA (IO)
5.80%	11/25/36	3		10,777,769		1,135,253
Fannie Mae Pool 253974
7.00%	08/01/31			34,083		37,774
Fannie Mae Pool 254232
6.50%	03/01/22			46,453		51,234
Fannie Mae Pool 527247
7.00%	09/01/26			175		195
Fannie Mae Pool 545191
7.00%	09/01/31			17,361		19,241
Fannie Mae Pool 545646
7.00%	09/01/26			105		118
Fannie Mae Pool 549740
6.50%	10/01/27			67,108		72,784
Fannie Mae Pool 555177
2.55%	01/01/33	3		41,148		42,398
Fannie Mae Pool 555207
7.00%	11/01/17			2,738		2,977
Fannie Mae Pool 555284
7.50%	10/01/17			2,488		2,690
Fannie Mae Pool 606108
7.00%	03/01/31			2,329		2,609
Fannie Mae Pool 630599
7.00%	05/01/32			22,371		25,162
Fannie Mae Pool 655928
7.00%	08/01/32			14,547		16,574
Fannie Mae Pool 725027
5.00%	11/01/33			1,536,784		1,594,473
Fannie Mae Pool 725425
5.50%	04/01/34			1,480,393		1,568,523

See accompanying notes to financial statements.

Annual Report March 2010  /  39

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 735207
7.00%	04/01/34		$	13,155	$	14,624
Fannie Mae Pool 735224
5.50%	02/01/35			1,428,926		1,516,692
Fannie Mae Pool 735646
4.50%	07/01/20			31,881		33,525
Fannie Mae Pool 735686
6.50%	12/01/22			264,194		283,775
Fannie Mae Pool 735861
6.50%	09/01/33			343,843		379,952
Fannie Mae Pool 764388
4.94%	03/01/34	3		352,128		369,621
Fannie Mae Pool 765387
6.00%	08/01/34			23,517		25,943
Fannie Mae Pool 770869
3.49%	04/01/34	3		472,664		488,158
Fannie Mae Pool 776708
5.00%	05/01/34			1,012,212		1,048,829
Fannie Mae Pool 789606
6.00%	08/01/34			19,025		20,530
Fannie Mae Pool 817611
5.32%	11/01/35	3		234,436		247,446
Fannie Mae Pool 844773
5.09%	12/01/35	3		17,936		18,947
Fannie Mae Pool 888430
5.00%	11/01/33			1,278,478		1,326,471
Fannie Mae Pool 889125
5.00%	12/01/21			1,364,651		1,454,312
Fannie Mae Pool 889184
5.50%	09/01/36			1,411,204		1,493,892
Fannie Mae Pool 895606
5.78%	06/01/36	3		606,398		643,540
Fannie Mae Pool 918445
5.86%	05/01/37	3		70,505		74,499
Fannie Mae Pool 939419
5.64%	05/01/37	3		783,747		821,912
Freddie Mac 1602 SN
10.09%	10/15/23	3		14,590		18,832
Freddie Mac 1688 W
7.25%	03/15/14			4,314		4,483
Freddie Mac 2174 PN
6.00%	07/15/29			257,683		278,586
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			121,501		5,862
Freddie Mac 2594 VK
5.00%	02/15/23			70		70
Freddie Mac 2929 PE
5.00%	05/15/33			55,000		57,978

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold A25162
5.50%	05/01/34	$	1,256,338	$	1,333,731
Freddie Mac Gold A33262
5.50%	02/01/35		180,197		192,642
Freddie Mac Gold A68781
5.50%	10/01/37		43,288		46,090
Freddie Mac Gold A72702
5.50%	02/01/38		1,462,407		1,557,978
Freddie Mac Gold A72860
6.00%	02/01/38		38,117		40,950
Freddie Mac Gold C90504
6.50%	12/01/21		5,715		6,282
Freddie Mac Gold E01279
5.50%	01/01/18		8,944		9,623
Freddie Mac Gold E90474
6.00%	07/01/17		17,823		19,335
Freddie Mac Gold G01548
7.50%	07/01/32		969,249		1,127,502
Freddie Mac Gold G01601
4.00%	09/01/33		25,700		24,993
Freddie Mac Gold G01611
4.00%	09/01/33		10,756		10,460
Freddie Mac Gold G01644
5.50%	02/01/34		1,208,887		1,283,328
Freddie Mac Gold G01673
5.50%	04/01/34		81,604		86,580
Freddie Mac Gold G02366
6.50%	10/01/36		802,884		879,178
Freddie Mac Gold G03243
5.50%	07/01/37		73,522		78,280
Freddie Mac Gold G03436
6.00%	11/01/37		1,706,291		1,848,393
Freddie Mac Gold G03601
6.00%	07/01/37		30,236		32,717
Freddie Mac Gold G03640
5.50%	12/01/37		1,219,785		1,289,681
Freddie Mac Gold G04079
5.50%	03/01/38		1,657,289		1,765,595
Freddie Mac Gold G05119
6.50%	09/01/38		32,590		35,471
Freddie Mac Gold G11707
6.00%	03/01/20		14,889		16,152
Freddie Mac Gold G12393
5.50%	10/01/21		1,330,392		1,433,081
Freddie Mac Gold G12909
6.00%	11/01/22		1,060,863		1,152,777
Freddie Mac Gold G13032
6.00%	09/01/22		1,000,129		1,087,406

See accompanying notes to financial statements.

40  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold J06246
5.50%	10/01/21		$	834,194	$	898,430
Freddie Mac Non Gold Pool 1B3413
5.87%	05/01/37	3		854,939		906,870
Freddie Mac Non Gold Pool 1J0045
5.12%	01/01/36	3		21,847		22,994
Freddie Mac R001 AE
4.38%	04/15/15			841,939		863,401
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			75,137		3,742
Ginnie Mae 2004-8 SE
13.81%	11/26/23	3		175,714		199,321
Ginnie Mae GNSF (TBA)
5.50%	04/15/40			615,000		650,555
Ginnie Mae I Pool 782810
4.50%	11/15/39			2,883,258		2,921,103
Ginnie Mae II Pool 80968
3.63%	07/20/34	3		82,730		85,372
						40,827,942
Total Mortgage-Backed
(Cost $67,221,968)						71,355,511
MUNICIPAL BONDS — 0.54%*
California — 0.54%
State of California, Recreational Facility Improvements, G.O., Taxable Variable Purpose 3
5.95%	04/01/16			225,000		234,169
State of California, Refunding Bonds, G.O., Taxable Variable Purpose
6.20%	10/01/19			866,000		886,550
						1,120,719
Total Municipal Bonds
(Cost $1,100,864)						1,120,719
U.S. TREASURY SECURITIES — 16.96%
U.S. Treasury Notes — 16.96%
2.00%	01/15/16	8		1,699,000		1,969,727
2.38%	02/28/15			25,340,000		25,166,778
3.38%	11/15/19			8,275,000		7,987,320
Total U.S. Treasury Securities
(Cost $35,225,195)						35,123,825
Total Bonds – 92.10%
(Cost $184,726,831)						190,789,923

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 10.61%
Commercial Paper — 4.99%
BNP Paribas Finance, Inc.
0.19%9	04/27/10		$	3,555,000	$	3,554,512
Credit Agricole North America, Inc.
0.20%9	05/03/10			3,555,000		3,554,384
Lloyds Banking Group Plc
0.21%9	04/26/10			3,230,000		3,229,529
						10,338,425
Money Market Fund — 5.19%
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%10				6,474,000		6,474,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.05%10,11				4,280,000		4,280,000
						10,754,000
U.S. Treasury Bills — 0.43%
U.S. Treasury Bills
0.09%9	05/13/10	12	$	225,000		224,966
0.14%9	05/06/10			670,000		669,907
						894,873
Total Short Term Investments
(Cost $21,987,309)						21,987,298
Total Investments – 102.71%
(Cost $206,714,140)1						212,777,221
Liabilities in Excess of
Other Assets – (2.71)%						(5,608,590	)
Net Assets – 100.00%					$	207,168,631

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
171	U.S. Treasury Five Year Note,
	Expiration June 2010	$	(69,122	)
70	U.S. Treasury Ten Year Note,
	Expiration June 2010		1,613
	Net unrealized depreciation	$	(67,509	)

See accompanying notes to financial statements.

Annual Report March 2010  /  41

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
3	Euro Dollar Ninety Day,
	Expiration September 2010	$	(8,145	)
3	Euro Dollar Ninety Day,
	Expiration December 2010		(8,857	)
3	Euro Dollar Ninety Day,
	Expiration March 2011		(8,895	)
3	Euro Dollar Ninety Day,
	Expiration June 2011		(8,745	)
2	Euro Dollar Ninety Day,
	Expiration September 2011		(5,680	)
2	Euro Dollar Ninety Day,
	Expiration December 2011		(5,455	)
2	Euro Dollar Ninety Day,
	Expiration March 2012		(4,955	)
2	Euro Dollar Ninety Day,
	Expiration June 2012		(4,505	)
	Net unrealized depreciation	$	(55,237	)

	Expiration Date	Notional Amount (000’s)		Appreciation/ Depreciation		Value
SWAPS: INTEREST RATE
Six month forward rate swap based upon the spread between the CMM30-FNMA rate and 10 year CMS rate plus 0.49%. The Fund receives an amount equal to the difference between the CMM30-FNMA rate minus the 10 year CMS rate plus 0.49% times the notional amount if positive. The Fund owes a comparable amount if negative. Counterparty: Goldman Sachs Group, Inc. (The)
	05/27/10	$	1,460	$	24,344	$	24,344
		$	1,460	$	24,344	$	24,344

	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
	09/20/12	$	—	$	250	$	(1,041	)	$	(1,041	)
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		(9,403	)		(9,403	)
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		(13,285	)		(13,285	)
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		(75	)		(75	)

	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
	12/20/12	$	—	$	175	$	(322	)	$	(322	)
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., 6.13%, due 12/01/12. Counterparty: UBS AG
	12/20/12		—		190		(3,200	)		(3,200	)
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		(1,659	)		(1,659	)
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		(1,563	)		(1,563	)
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. (The)
	12/20/12		—		175		289			289
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		—		105		(113	)		(113	)
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
	03/20/13		—		75		(3,656	)		(3,656	)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
	03/20/13		—		75		(3,656	)		(3,656	)
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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
	06/20/13		—		80		(3,125	)		(3,125	)
The Fund pays a fixed rate equal to 4.40% 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: Deutsche Bank AG
	12/20/13		—		200		(25,258	)		(25,258	)
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.
	03/20/14		—		210		(15,880	)		(15,880	)
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
	03/20/14		—		200		(11,425	)		(11,425	)
The Fund pays a fixed rate equal to 0.82% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Arrow Electronics, Inc., 6.88%, due 06/01/18. Counterparty: Citigroup, Inc.
	03/20/14		—		205		2,310			2,310

See accompanying notes to financial statements.

42  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

	Expiration Date	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
	03/20/14	$	—		$	135	$	(11,204	)	$	(11,204	)
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 Hewlett Packard Co., 5.40%, due 03/01/17. Counterparty: Citigroup, Inc.
	03/20/14		—			205		(2,819	)		(2,819	)
The Fund pays a fixed rate equal to 3.15% 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: Citigroup, Inc.
	03/20/14		—			165		(15,262	)		(15,262	)
The Fund pays a fixed rate equal to 1.20% 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.
	03/20/14		—			140		(3,691	)		(3,691	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Deutsche Bank AG
	12/20/14		(798	)		265		(3,480	)		(4,278	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Morgan Stanley
	12/20/14		(895	)		260		(3,302	)		(4,197	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
	12/20/14		(3,963	)		260		(3,995	)		(7,958	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
	12/20/14		(4,039	)		265		(4,072	)		(8,111	)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
	03/20/15		—			150		(10,632	)		(10,632	)
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
	09/20/16		7,048			175		2,539			9,587
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
	09/20/16		7,533			135		(137	)		7,396
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
	09/20/16		7,533			135		(137	)		7,396
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
	09/20/16		350			125		4,187			4,537
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
	09/20/16		1,730			625		20,953			22,683

	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
	09/20/16	$	12,276	$	175	$	7,739		$	20,015
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		6,193		175		3,523			9,716
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		5,124		135		2,371			7,495
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		4,352		225		8,140			12,492
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston
	09/20/16		8,316		225		4,176			12,492
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
	09/20/16		11,104		340		7,773			18,877
		$	61,864	$	7,000	$	(88,392	)	$	(26,528	)

	Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
	10/12/52	$	657,748	$	1,120	$	(415,451	)	$	242,297
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		18,430		215		28,082			46,512
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		24,038		250		30,046			54,084
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
	10/12/52		1,106,977		1,840		(708,917	)		398,060
		$	1,807,193	$	3,425	$	(1,066,240	)	$	740,953

See accompanying notes to financial statements.

Annual Report March 2010  /  43

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Credit Rating a	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	—		$	365	$	16,231		$	16,231
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA		—			800		28,654			28,654
		$	—		$	1,165	$	44,885		$	44,885
	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(123,249	)	$	755	$	(352,335	)	$	(475,584)
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		(805,349	)		1,500		(139,521	)		(944,870)
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: Goldman Sachs Group, Inc. (The)
	08/25/37		(283,006	)		580		(82,344	)		(365,350)
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: Morgan Stanley
	08/25/37		(86,339	)		180		(27,045	)		(113,384)
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: Morgan Stanley
	08/25/37		(439,147	)		900		(127,775	)		(566,922)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(1,411,140	)		2,300		45,478			(1,365,662)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
	01/25/38		(96,865	)		150		7,800			(89,065)
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: Bank of America Corp.
	05/25/46		(218,077	)		279		(23,062	)		(241,139)
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: CS First Boston
	05/25/46		(254,423	)		325		(26,906	)		(281,329)
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: CS First Boston
	05/25/46		(252,082	)		325		(29,247	)		(281,329)

	Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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: Royal Bank of Scotland Group Plc
	05/25/46	$	(181,731	)	$	232	$	(19,218	)	$	(200,949	)
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: Goldman Sachs Group, Inc. (The)
	05/25/46		(144,938	)		186		(15,822	)		(160,760	)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
	05/25/46		(80,534	)		222		(29,806	)		(110,340	)
		$	(4,376,880	)	$	7,934	$	(819,803	)	$	(5,196,683	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $206,893,169 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	13,288,235
Gross unrealized depreciation		(7,404,183	)
Net unrealized appreciation	$	5,884,052

² U.S. dollar denominated security issued by foreign domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at March 31, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $12,866,367 representing 6.21% of total net assets.

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

⁶ Non-income producing security.

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 Total Net Assets
10/22/07	HCA Term Loan A, 1.79%,
	11/19/12	$	447,803	$	443,217	0.22	%

⁸ Inflation protected security. Principal amount reflects original security face amount.

⁹ Represents annualized yield at date of purchase.

¹⁰ Represents the current yield as of March 31, 2010.

¹¹ Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $4,280,000.

^† Fair valued security. The aggregate value of fair valued securities is $3,173,817 which is 1.53% 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. This

See accompanying notes to financial statements.

44  /  Annual Report March 2010

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2010

figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

¹² Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $224,962.

^* 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.

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.)

(AMBAC): American Municipal Bond Assurance Corp.

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to financial statements.

Annual Report March 2010  /  45

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 100.99%
ASSET-BACKED SECURITIES — 9.95%**
Aames Mortgage Trust 2002-1 A3 (STEP)
6.90%	06/25/32		$	69,156	$	44,704
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33			5,401		5,352
Aerco Ltd. 2A A3 (United Kingdom)
0.69%	07/15/25	2,3,4		52,731,158		31,111,383
Amresco Residential Securities Mortgage Loan Trust 1998-1 A5 (STEP)
7.57%	10/25/27			182,841		174,951
Argent Securities, Inc. 2005-W4 A2C
0.55%	02/25/36	3		12,994,181		12,648,432
Argent Securities, Inc. 2005-W5 A2D
0.57%	01/25/36	3		26,678,000		11,768,557
Asset Backed Funding Certificates 2007-WMC1 A2B
1.25%	06/25/37	3		41,977,000		18,225,230
Asset Backed Securities Corp. Home Equity 2003-HE4 M2
3.23%	08/15/33	3		3,145,707		1,704,817
Babcock & Brown Air Funding Ltd. 2007-A1 G1
0.53%	10/14/33	3,4,†		9,028,439		6,816,535
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP)
4.89%	04/28/39			3,571,520		3,343,279
Bayview Financial Acquisition Trust 2005-D AF3
5.50%	12/28/35	3		390,000		326,557
Bear Stearns Asset Backed Securities Trust 2002-1 1A5 (STEP)
6.89%	12/25/34			91,341		83,919
Bear Stearns Asset Backed Securities Trust 2006-HE10 1A2
0.45%	12/25/36	3		23,770,000		14,780,752
Birch Real Estate CDO Ltd. 1A A1 (Cayman Islands)
5.16%	02/10/38	2,4,†		2,400,000		2,196,787
BNC Mortgage Loan Trust 2007-1 A3
0.35%	03/25/37	3		12,881,000		8,568,485
Carrington Mortgage Loan Trust 2007-FRE1 A1
0.37%	02/25/37	3		11,209,826		10,210,731
Centex Home Equity 2006-A AV3
0.41%	06/25/36	3		15,822,760		13,268,166
Centex Home Equity 2006-A AV4
0.50%	06/25/36	3		100,000		51,800
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%	03/25/37			430,000		381,562

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Citigroup Mortgage Loan Trust, Inc. 2006-AMC1 A2B
0.41%	09/25/36	3	$	466,603	$	220,810
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2A
0.31%	05/25/37	3		14,420,351		12,971,183
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.39%	05/25/37	3,†		21,600,000		9,935,590
Citigroup Mortgage Loan Trust, Inc. 2007-WFH1 A4
0.45%	01/25/37	3		28,000		11,699
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.43%	03/25/37	3		34,403,000		14,987,010
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B
1.25%	07/25/37	3		3,090,000		239,009
Conseco Finance 2001-C A5 (STEP)
7.29%	08/15/33			4,537,780		4,544,856
Conseco Finance 2001-D A5
6.69%	11/15/32	3		167,133		168,473
Conseco Finance 2002-C BF2
8.00%	06/15/32	3,4		539,407		277,637
Conseco Financial Corp. 1998-2 A5
6.24%	12/01/28	3		240,690		223,689
Conseco Financial Corp. 1998-6 A7
6.45%	06/01/30			118,941		118,793
Countrywide Asset-Backed Certificates 2005-12 2A5
5.25%	02/25/36	3		13,875,639		13,207,465
Countrywide Asset-Backed Certificates 2006-18 2A2
0.41%	03/25/37	3		18,015,134		12,938,024
Countrywide Asset-Backed Certificates 2007-10 2A2
0.37%	06/25/47	3		14,385,000		11,076,657
Countrywide Asset-Backed Certificates 2007-13 2A2
1.05%	10/25/47	3		17,166,352		12,138,803
Countrywide Asset-Backed Certificates 2007-3 2A1
0.35%	05/25/47	3		29,361,864		27,646,030
Countrywide Asset-Backed Certificates 2007-4 A1A
0.35%	09/25/37	3		12,488,118		11,980,253
Countrywide Asset-Backed Certificates 2007-5 2A2
0.42%	09/25/47	3		127,000		96,995
Countrywide Asset-Backed Certificates 2007-7 2A2
0.41%	10/25/47	3		22,122,000		17,608,010

See accompanying notes to financial statements.

46  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.40%	07/25/36	3	$	24,475,000	$	13,609,576
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.36%	10/25/36	3		11,240,000		9,214,664
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP)
5.60%	09/25/31			124,149		124,935
Ellington Loan Acquisition Trust 2007-2 A2A
1.15%	05/25/37	3,4		26,110,410		23,178,206
Ellington Loan Acquisition Trust 2007-2 A2C
1.35%	05/25/37	3,4		5,106,000		1,924,787
Embarcadero Aircraft Securitization Trust 2000-A A1
0.71%	08/15/25	3,4		1,363,558		634,054
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFH2 M1
0.73%	04/25/35	3,4		6,920,453		6,466,053
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2C
0.39%	01/25/38	3		73,000,000		32,528,625
First Union Home Equity Loan Trust 1997-3 B
7.39%	03/25/29			103,623		15,551
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.53%	04/17/19	2,3,4,†		11,800,833		10,591,036
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.48%	11/17/20	2,3,4,†		12,820,833		11,057,738
Genesis Funding Ltd. 2006-1A G1 (Bermuda)
0.48%	12/19/32	2,3,4,†		12,427,223		9,195,698
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1
0.69%	06/25/30	3		455,314		241,335
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			163,489		116,279
GSAA Trust 2005-7 AF3
4.75%	05/25/35	3		41,107,454		32,563,870
Home Equity Asset Trust 2007-1 2A1
0.31%	05/25/37	3		70,867		68,342
HSBC Home Equity Loan Trust 2007-3 A4
1.73%	11/20/36	3		9,985,000		6,502,462
HSBC Home Equity Loan Trust 2007-3 APT
1.44%	11/20/36	3		35,248,334		31,980,020
HSI Asset Securitization Corp. Trust 2006-OPT2 2A3
0.44%	01/25/36	3		12,790,831		11,484,624
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			584,595		413,368

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Residential Asset Backed Trust 2007-A 2A4A
0.57%	04/25/47	3	$	6,256,000	$	2,511,375
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF6 (STEP)
5.50%	10/25/36			672,192		549,298
JPMorgan Mortgage Acquisition Corp. 2007-CH3 A3
0.40%	03/25/37	3		9,300,000		4,989,013
JPMorgan Mortgage Acquisition Corp. 2007-CH3 A4
0.46%	03/25/37	3		1,310,000		528,497
Keystone Owner Trust 1998-P2 A5 (STEP)
7.90%	01/25/29	4		381,327		381,056
Lehman XS Trust 2006-GP1 A4A
0.58%	05/25/46	3		33,816,605		7,601,831
MASTR Asset Backed Securities Trust 2007-HE1 A1
0.33%	05/25/37	3		7,671		7,321
MASTR Asset Backed Securities Trust 2007-HE1 A3
0.46%	05/25/37	3		203,000		91,741
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C
0.50%	04/25/37	3		14,700,000		6,308,173
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C
0.43%	06/25/37	3		273,800		106,996
Mid-State Trust 11 A1
4.86%	07/15/38			496,809		450,089
Mid-State Trust 2004-1 A
6.01%	08/15/37			62,583		58,020
Mid-State Trust 2005-1 A
5.75%	01/15/40			27,473,642		26,394,955
Mid-State Trust 2006-1 A
5.79%	10/15/40	4		22,093,043		22,007,110
Mid-State Trust 6 A1
7.34%	07/01/35			73,811		73,311
Morgan Stanley ABS Capital 2007-HE2 A2B
0.34%	01/25/37	3		110,000		47,162
Morgan Stanley ABS Capital I 2005-HE3 M1
0.74%	07/25/35	3		4,265,666		4,175,156
Morgan Stanley ABS Capital I 2007-HE6 A3
0.43%	05/25/37	3		48,020,000		17,541,586
Morgan Stanley Mortgage Loan Trust 2007-10XS A18
6.00%	07/25/47	3		26,143,690		17,910,546
Novastar Home Equity Loan 2007-1 A2A1
0.35%	03/25/37	3		7,526,822		7,131,731
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			15,419		15,439

See accompanying notes to financial statements.

Annual Report March 2010  /  47

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Option One Mortgage Loan Trust 2006-3 2A2
0.35%	02/25/37	3	$	25,232,701	$	16,260,874
Option One Mortgage Loan Trust 2007-1 2A3
0.39%	01/25/37	3		11,218,000		4,323,490
Option One Mortgage Loan Trust 2007-6 2A4
0.50%	07/25/37	3		100,000		41,084
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.60%	05/01/10	2,3,4,5,†		1,570,675		235,488
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP)
4.76%	07/25/35			5,109,421		4,945,101
Popular ABS Mortgage Pass-Through Trust 2005-6 A5 (STEP)
6.09%	01/25/36			165,000		109,464
Popular ABS Mortgage Pass-Through Trust 2007-A A3
0.56%	06/25/47	3		21,668,500		9,019,723
Residential Asset Mortgage Products, Inc. 2003-RS10 AI6 (STEP)
5.86%	11/25/33			231,752		175,480
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP)
5.98%	12/25/33			214,043		189,790
Residential Asset Mortgage Products, Inc. 2004-RS12 MII2
1.05%	12/25/34	3		3,436,670		3,151,337
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP)
8.60%	09/25/29			461,215		332,053
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP)
8.79%	02/25/25			291,022		246,785
Resmae Mortgage Loan Trust 2006-1 A1B
0.52%	02/25/36	3,4		4,688,338		807,814
Saxon Asset Securities Trust 2005-2 M1
0.67%	10/25/35	3		32,400,000		26,742,108
Saxon Asset Securities Trust 2007-1 A2C
0.40%	01/25/47	3		8,135,000		4,387,083
Securitized Asset Backed Receivables LLC Trust 2005-FR3 M1
0.72%	04/25/35	3		4,991,089		4,414,289
Securitized Asset Backed Receivables LLC Trust 2006-HE2 A2C
0.40%	07/25/36	3		15,053,000		5,206,291
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.48%	02/25/37	3		10,100,949		4,458,823
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A
0.38%	05/25/37	3		15,028,543		10,463,396
Securitized Asset Backed Receivables LLC Trust 2007-NC1 A2B
0.40%	12/25/36	3		19,025,000		7,293,696

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Securitized Asset Backed Receivables LLC Trust 2007-NC2 A2B
0.39%	01/25/37	3	$	160,000	$	65,442
SG Mortgage Securities Trust 2006-FRE1 A1B
0.52%	02/25/36	3		3,240,965		2,024,097
SG Mortgage Securities Trust 2006-OPT2 A3C
0.40%	10/25/36	3		12,348,460		5,251,944
Signature 5 CBO
4.00%	10/27/12	5		2,000,000		200,000
Soundview Home Equity Loan Trust 2006-EQ1 A2
0.36%	10/25/36	3		25,053,065		23,355,043
Soundview Home Equity Loan Trust 2006-EQ1 A3
0.41%	10/25/36	3		48,751,000		25,268,418
Soundview Home Equity Loan Trust 2006-WF2 A2C
0.39%	12/25/36	3		23,000,000		17,355,772
Soundview Home Equity Loan Trust 2007-NS1 A4
0.55%	01/25/37	3		12,405,000		4,954,469
Soundview Home Equity Loan Trust 2007-OPT1 2A2
0.40%	06/25/37	3		95,000		40,788
Soundview Home Equity Loan Trust 2007-OPT3 2A2
0.38%	08/25/37	3		100,000		61,245
Structured Asset Securities Corp. 2007-EQ1 A4
0.50%	03/25/37	3		26,325,800		9,850,662
Terwin Mortgage Trust 2005-7SL A1
0.52%	07/25/35	3,4		24,345		23,971
Vanderbilt Acquisition Loan Trust 2002-1 A4
6.57%	05/07/27	3		5,184,972		5,358,386
Washington Mutual Asset-Backed Certificates 2006-HE2 A4
0.49%	05/25/36	3		11,165,000		3,974,518
Wells Fargo Home Equity Trust 2006-1 A3
0.40%	05/25/36	3		20,700,327		20,235,653
Wells Fargo Home Equity Trust 2007-2 A1
0.34%	04/25/37	3		11,792,548		11,422,818
Total Asset-Backed Securities
(Cost $821,404,381)						839,142,009
CORPORATES — 25.56%*
Banking — 4.81%
BAC Capital Trust VI
5.63%	03/08/35			8,200,000		6,791,051
BAC Capital Trust XV
1.05%	06/01/56	3		14,455,000		9,853,843

See accompanying notes to financial statements.

48  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.
5.75%	12/01/17		$	1,145,000	$	1,175,748
6.50%	08/01/16			4,780,000		5,173,882
Bank of America N.A.
0.56%	06/15/17	3		11,140,000		9,804,570
6.10%	06/15/17			14,130,000		14,586,037
Bank One Corp. (STEP)
8.53%	03/01/19			1,485,000		1,704,408
BankAmerica Capital II
8.00%	12/15/26			800,000		810,000
BankAmerica Capital III
0.82%	01/15/27	3		1,035,000		721,912
BankAmerica Institutional Capital A
8.07%	12/31/26	4		350,000		355,250
Barclays Bank Plc (United Kingdom)
5.20%	07/10/14	2		11,954,000		12,777,152
Capital One Financial Corp.
7.38%	05/23/14			10,000,000		11,437,630
Capital One Financial Corp. (MTN)
5.70%	09/15/11			100,000		104,973
Chase Capital II B
0.75%	02/01/27	3		6,700,000		5,247,976
Chase Capital VI
0.87%	08/01/28	3		3,640,000		2,852,835
Credit Suisse USA, Inc.
5.13%	08/15/15			15,000		16,083
Credit Suisse/Guernsey 1 (Switzerland)
0.94%	05/29/49	2,3		21,793,000		17,134,746
Credit Suisse/New York (MTN) (Switzerland)
5.00%	05/15/13	2		16,178,000		17,400,313
Credit Suisse/New York (Switzerland)
5.30%	08/13/19	2		3,495,000		3,590,518
5.50%	05/01/14	2		11,790,000		12,844,368
6.00%	02/15/18	2		36,000,000		38,175,912
Deutsche Bank AG/London (Germany)
4.88%	05/20/13	2		15,740,000		16,879,655
Discover Bank
8.70%	11/18/19			11,645,000		12,775,543
First Chicago NBD Institutional Capital I
0.80%	02/01/27	3		205,000		160,501
Fleet Capital Trust II
7.92%	12/11/26			770,000		770,963
HBOS Capital Funding LP (United Kingdom)
6.07%	06/24/49	2,3,4		5,823,000		4,571,055
HBOS Plc (United Kingdom)
6.75%	05/21/18	2,4		29,123,000		26,798,752
JPMorgan Chase & Co.
6.40%	05/15/38			7,541,000		8,169,655

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co. C (MTN)
0.00%	07/23/13	3	$	2,500,000	$	2,360,250
JPMorgan Chase Bank N.A.
6.00%	10/01/17			30,182,000		32,227,525
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
7.88%	11/01/20	2,4		2,030,000		1,837,150
8.00%	12/29/49	2,3		39,467,000		34,533,625
National Australia Bank Ltd. (Australia)
5.35%	06/12/13	2,4		20,425,000		22,162,702
National Australia Bank Ltd. A (Australia)
8.60%	05/19/10	2		13,144,000		13,276,123
National Capital Trust II (Australia)
5.49%	12/29/49	2,3,4		2,717,000		2,480,860
Nationsbank Capital Trust III
0.80%	01/15/27	3		8,614,000		6,061,344
NB Capital Trust II
7.83%	12/15/26			5,625,000		5,596,875
Svenska Handelsbanken AB (Sweden)
4.88%	06/10/14	2,4		23,240,000		24,484,758
Wachovia Bank N.A.
6.00%	11/15/17			2,876,000		3,122,071
Wachovia Corp.
0.59%	10/28/15	3		15,400,000		14,283,985
Wachovia Corp. (MTN)
5.50%	05/01/13			35,000		37,826
						405,150,425
Communications — 0.85%
Cellco Partnership/Verizon Wireless Capital LLC
8.50%	11/15/18			14,098,000		17,617,636
Cincinnati Bell, Inc.
8.25%	10/15/17			1,000,000		1,017,500
Comcast Cable Communications LLC
6.75%	01/30/11			75,000		78,403
CSC Holdings LLC
7.63%	07/15/18			1,550,000		1,627,500
Frontier Communications Corp.
7.13%	03/15/19			1,825,000		1,742,875
Intelsat Jackson Holdings SA (Bermuda)
9.50%	06/15/16	2		500,000		535,000
Qwest Communications International, Inc. B
7.50%	02/15/14			4,000,000		4,090,000
Qwest Corp.
7.88%	09/01/11			19,150,000		20,394,750
Sprint Nextel Corp.
0.69%	06/28/10	3		23,885,000		23,801,642

See accompanying notes to financial statements.

Annual Report March 2010  /  49

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Visant Holding Corp.
8.75%	12/01/13		$	925,000	$	952,750
						71,858,056
Electric — 2.35%
AES Corp. (The)
8.75%	05/15/13	4		800,000		816,000
Cedar Brakes I LLC
8.50%	02/15/14	4		4,929,460		4,966,904
Cedar Brakes II LLC
9.88%	09/01/13	4		6,445,420		6,568,044
CenterPoint Energy Houston Electric LLC U
7.00%	03/01/14			63,000		71,629
Cleco Power LLC
6.65%	06/15/18			17,775,000		19,461,812
Dynegy Holdings, Inc.
6.88%	04/01/11			725,000		735,875
Entergy Gulf States Louisiana LLC
6.00%	05/01/18			17,500,000		18,647,685
Entergy Gulf States, Inc.
5.25%	08/01/15			2,054,000		2,051,745
Entergy Louisiana LLC
5.83%	11/01/10			268,000		268,635
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	4		360,611		347,546
FPL Energy Wind Funding LLC
6.88%	06/27/17	4		1,825,050		1,783,986
FPL Group Capital, Inc.
1.14%	06/17/11	3		1,000,000		1,008,614
5.35%	06/15/13			955,000		1,032,699
GWF Energy LLC
6.13%	12/30/11	4		1,225,518		1,280,899
Kansas City Power & Light Co.
6.38%	03/01/18			7,102,000		7,728,794
KCP&L Greater Missouri Operations Co.
7.95%	02/01/11			7,375,000		7,753,102
11.88%	07/01/12			23,934,000		27,868,606
Midwest Generation LLC B
8.56%	01/02/16			10,308,229		10,488,623
Mirant Mid Atlantic Pass-Through Trust A
8.63%	06/30/12			12,163,174		12,558,477
NiSource Finance Corp.
10.75%	03/15/16			6,590,000		8,386,474
NRG Energy, Inc.
7.25%	02/01/14			1,845,000		1,863,450
7.38%	02/01/16			825,000		820,875
Public Service Co. of New Hampshire
6.00%	05/01/18			5,000,000		5,360,000

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Public Service Co. of New Mexico
7.95%	05/15/18		$	17,849,000	$	18,649,474
PVNGS II Funding Corp., Inc.
8.00%	12/30/15			126,000		134,764
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%	07/02/17			14,188,012		15,181,173
Southwestern Electric Power Co.
6.45%	01/15/19			150,000		161,877
TECO Energy, Inc.
2.25%	05/01/10	3		11,825,000		11,833,254
Virginia Electric & Power Co.
5.10%	11/30/12			9,295,000		10,123,194
						197,954,210
Energy — 2.27%
Allis-Chalmers Energy, Inc.
8.50%	03/01/17			1,000,000		890,000
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%	02/01/18			1,000,000		1,105,000
CenterPoint Energy Resources Corp. B
7.88%	04/01/13			170,000		194,791
Chesapeake Energy Corp.
7.00%	08/15/14			925,000		942,344
Comstock Resources, Inc.
6.88%	03/01/12			850,000		852,125
8.38%	10/15/17			900,000		929,250
Corral Petroleum Holdings AB (Sweden) (PIK)
1.75%	04/15/10	2,4,†		551,290		418,970
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10			625,858		628,205
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%	11/08/16			18,175,000		17,663,919
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	4		2,175,000		2,158,688
Massey Energy Co.
6.88%	12/15/13			1,500,000		1,528,125
Newfield Exploration Co.
7.13%	05/15/18			500,000		510,000
OPTI Canada, Inc. (Canada)
7.88%	12/15/14	2		750,000		700,312
Premcor Refining Group, Inc. (The)
6.13%	05/01/11			4,275,000		4,455,418
Sabine Pass LNG LP
7.25%	11/30/13			36,971,000		34,937,595
7.50%	11/30/16			2,665,000		2,358,525

See accompanying notes to financial statements.

50  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Sonat, Inc.
7.63%	07/15/11		$	1,600,000	$	1,678,765
Southern Union Co.
7.20%	11/01/66	3		50,608,000		46,938,920
Tesoro Corp.
6.50%	06/01/17			1,175,000		1,086,875
Valero Energy Corp.
7.50%	04/15/32			20,000,000		20,668,460
9.38%	03/15/19			17,258,000		20,578,612
10.50%	03/15/39			3,575,000		4,603,713
Williams Cos., Inc. (The)
7.88%	09/01/21			18,207,000		21,479,253
Williams Cos., Inc. (The) A
7.50%	01/15/31			3,545,000		3,905,849
						191,213,714
Finance — 9.66%
Astoria Depositor Corp.
8.14%	05/01/21	4		14,575,000		14,219,734
BankBoston Capital Trust III
1.01%	06/15/27	3		10,755,000		7,421,402
Barnett Capital III
0.87%	02/01/27	3		3,100,000		2,140,776
Bear Stearns Cos. LLC (The)
4.65%	07/02/18			4,330,000		4,262,653
5.70%	11/15/14			3,525,000		3,842,666
7.25%	02/01/18			20,455,000		23,675,701
Citigroup Capital III
7.63%	12/01/36			7,438,000		6,237,859
Citigroup Funding, Inc. 2
0.58%	04/30/12	3		30,870,000		31,103,501
Citigroup, Inc.
0.53%	11/05/14	3		14,309,000		13,275,976
0.80%	08/25/36	3		10,000,000		6,068,000
5.30%	10/17/12			50,000		52,546
5.50%	08/27/12			100,000		105,471
6.00%	08/15/17			5,230,000		5,357,758
6.13%	11/21/17			55,000		56,663
6.13%	05/15/18			7,510,000		7,685,824
6.13%	08/25/36			5,998,000		5,249,947
6.38%	08/12/14			3,950,000		4,208,268
6.50%	08/19/13			7,644,000		8,246,577
6.88%	03/05/38			19,361,000		19,625,084
8.13%	07/15/39			21,641,000		25,058,720
City National Capital Trust I
9.63%	02/01/40			15,000,000		16,709,475
Coso Geothermal Power Holdings
7.00%	07/15/26	4		14,398,455		13,659,469

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Countrywide Capital III B
8.05%	06/15/27		$	3,000,000	$	3,006,942
Countrywide Financial Corp. (MTN)
5.80%	06/07/12			23,045,000		24,536,684
Countrywide Home Loans, Inc. L (MTN)
4.00%	03/22/11			1,500,000		1,542,470
Discover Financial Services
0.79%	06/11/10	3		10,000,000		9,989,910
10.25%	07/15/19			3,885,000		4,629,444
General Electric Capital Corp.
5.63%	05/01/18			5,718,000		5,979,978
General Electric Capital Corp. (MTN)
0.41%	06/20/14	3		1,250,000		1,187,627
0.45%	01/08/16	3		6,000,000		5,504,813
0.63%	05/05/26	3		1,900,000		1,564,048
1.15%	05/22/13	3		4,650,000		4,635,399
6.88%	01/10/39			12,015,000		13,001,792
General Electric Capital Corp. A (MTN)
0.52%	09/15/14	3		34,577,000		32,848,150
General Electric Capital Corp. E (MTN)
0.38%	03/20/14	3		29,900,000		28,337,546
GMAC LLC
2.45%	12/01/14	3		9,009,000		7,894,136
Goldman Sachs Group, Inc. (The)
0.43%	02/06/12	3		1,190,000		1,184,219
0.72%	03/22/16	3		130,000		123,544
0.75%	01/12/15	3		3,800,000		3,720,219
1.05%	12/05/11	3		30,365,000		30,804,594
4.50%	06/15/10			1,425,000		1,435,700
4.75%	07/15/13			19,150,000		20,307,621
5.00%	10/01/14			22,000		22,994
5.95%	01/18/18			100,000		105,078
6.15%	04/01/18			26,290,000		27,860,880
7.50%	02/15/19			35,704,000		40,781,762
Goldman Sachs Group, Inc. (The) (MTN)
6.00%	05/01/14			6,000,000		6,575,868
Goldman Sachs Group, Inc. B (The) (MTN)
0.65%	07/22/15	3		8,690,000		8,413,397
JPMorgan Chase Capital XIII M
1.24%	09/30/34	3		3,549,000		2,785,546
JPMorgan Chase Capital XXI U
1.20%	02/02/37	3		2,000,000		1,538,236
JPMorgan Chase Capital XXIII
1.25%	05/15/47	3		17,215,000		13,029,173
Lehman Brothers Holdings, Inc. (MTN)
0.00%	06/20/16	6,7		12,736,000		2,801,920
0.00%	11/07/16	6,7		12,918,000		2,841,960
0.00%	02/16/17	6,7		7,103,000		1,562,660

See accompanying notes to financial statements.

Annual Report March 2010  /  51

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	6,7	$	6,812,000	$	1,498,640
M&T Capital Trust III
9.25%	02/01/27			10,200,000		10,135,760
MBNA Capital A
8.28%	12/01/26			7,680,000		7,795,200
MBNA Capital B
1.05%	02/01/27	3		21,350,000		14,732,952
MBNA Corp.
6.13%	03/01/13			7,355,000		7,903,911
Merrill Lynch & Co., Inc. (MTN)
6.05%	08/15/12			125,000		133,574
8.68%	05/02/17	3		2,935,000		3,147,787
8.95%	05/18/17	3		4,970,000		5,364,618
9.57%	06/06/17	3		11,517,000		12,604,205
Morgan Stanley
0.50%	01/18/11	3		1,010,000		1,010,276
0.62%	06/20/12	3		47,575,000		47,946,470
0.73%	10/15/15	3		1,505,000		1,395,991
4.20%	11/20/14			18,535,000		18,595,239
5.38%	10/15/15			7,900,000		8,215,076
6.00%	05/13/14			24,825,000		26,859,602
6.60%	04/01/12			645,000		701,195
Morgan Stanley (MTN)
0.70%	10/18/16	3		14,975,000		13,691,114
5.63%	01/09/12			125,000		133,209
5.95%	12/28/17			125,000		128,619
6.63%	04/01/18			7,570,000		8,086,562
Morgan Stanley G (MTN)
0.55%	01/09/14	3		8,005,000		7,660,601
Pemex Finance Ltd. (Cayman Islands)
8.88%	11/15/10	2		75,000		77,347
Pipeline Funding Co. LLC
7.50%	01/15/30	4		31,500,000		30,158,824
Power Receivable Finance LLC
6.29%	01/01/12	4		91,519		93,955
6.29%	01/01/12			63,117		64,796
Prudential Holdings LLC
8.70%	12/18/23	4		14,390,000		16,928,475
Raymond James Financial, Inc.
8.60%	08/15/19			9,233,000		10,569,745
Woodbourne Capital Trust I
2.73%	04/08/49	3,4,5		1,525,000		335,500
Woodbourne Capital Trust II
2.73%	04/08/49	3,4,5		1,525,000		335,500
Woodbourne Capital Trust III
2.73%	04/08/49	3,4,5		1,525,000		335,500
Woodbourne Capital Trust IV
2.73%	04/08/49	3,4,5		1,525,000		335,500

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
ZFS Finance USA Trust I
6.15%	12/15/65	3,4	$	7,656,000	$	7,541,160
ZFS Finance USA Trust IV
5.88%	05/09/32	3,4		21,972,000		20,717,619
						814,052,902
Food — 0.01%
JBS USA LLC/JBS USA Finance, Inc.
11.63%	05/01/14	4		500,000		572,500
Health Care — 0.21%
CHS/Community Health Systems, Inc.
8.88%	07/15/15			3,775,000		3,916,562
HCA, Inc.
8.50%	04/15/19	4		13,035,000		14,077,800
WellPoint, Inc.
5.88%	06/15/17			125,000		134,406
						18,128,768
Industrials — 0.21%
General Electric Co.
5.25%	12/06/17			16,828,000		17,677,864
Insurance — 1.67%
Allied World Assurance Co. Holdings Ltd. (Bermuda)
7.50%	08/01/16	2		375,000		406,494
Fairfax Financial Holdings Ltd. (Canada)
7.75%	04/26/12	2		6,902,000		7,281,610
Farmers Exchange Capital
7.05%	07/15/28	4		15,176,000		14,010,301
7.20%	07/15/48	4		5,700,000		4,944,243
Farmers Insurance Exchange
8.63%	05/01/24	4		16,145,000		17,398,530
MetLife Capital Trust X
9.25%	04/08/38	3,4		11,500,000		13,052,500
MetLife, Inc.
7.72%	02/15/19			9,960,000		11,649,117
Metropolitan Life Global Funding I
2.15%	06/10/11	3,4		13,300,000		13,523,493
Nationwide Mutual Insurance Co.
5.81%	12/15/24	3,4		12,403,000		10,638,103
6.60%	04/15/34	4		19,518,000		16,448,424
Pricoa Global Funding I
0.35%	01/30/12	3,4		15,690,000		15,348,209
5.45%	06/11/14	4		15,130,000		16,250,936
Travelers Cos., Inc. (The)
6.25%	03/15/37	3		250,000		246,430
						141,198,390

See accompanying notes to financial statements.

52  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Materials — 0.10%
Barrick Gold Finance Co. LLC (Canada)
6.13%	09/15/13	2	$	7,850,000	$	8,752,240
Real Estate Investment Trust (REIT) — 1.55%
BRE Properties, Inc.
5.50%	03/15/17			100,000		97,133
Duke Realty LP
6.25%	05/15/13			75,000		79,071
ERP Operating LP
5.75%	06/15/17			100,000		103,509
First Industrial LP (MTN)
7.50%	12/01/17			140,000		118,743
HCP, Inc.
5.65%	12/15/13			3,170,000		3,293,525
6.45%	06/25/12			11,800,000		12,517,428
7.07%	06/08/15			75,000		80,429
HCP, Inc. (MTN)
4.88%	09/15/10			8,055,000		8,157,911
5.95%	09/15/11			165,000		172,165
6.30%	09/15/16			16,685,000		16,978,940
Highwoods Properties, Inc.
7.50%	04/15/18			6,795,000		6,906,418
Prime Property Funding II, Inc.
5.60%	06/15/11	4		125,000		129,834
Shurgard Storage Centers LLC
5.88%	03/15/13			624,000		657,206
7.75%	02/22/11			7,200,000		7,473,902
Simon Property Group LP
4.88%	08/15/10			24,080,000		24,388,465
5.30%	05/30/13			5,123,000		5,424,683
6.13%	05/30/18			1,290,000		1,336,707
UDR, Inc.
6.05%	06/01/13			3,360,000		3,515,534
UDR, Inc. (MTN)
5.00%	01/15/12			2,845,000		2,891,345
Washington Real Estate Investment Trust
5.95%	06/15/11			250,000		256,186
WEA Finance LLC
7.13%	04/15/18	4		33,350,000		36,134,925
						130,714,059
Services — 0.01%
Mobile Mini, Inc.
6.88%	05/01/15			750,000		703,125
United Rentals North America, Inc.
7.00%	02/15/14			375,000		348,750
						1,051,875

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation — 1.86%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11		$	29,351	$	29,498
American Airlines Pass-Through Trust 2003-1 (AMBAC)
3.86%	07/09/10			3,819,302		3,796,806
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			17,202,696		19,869,114
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			4,208,635		4,240,200
Continental Airlines Pass-Through Trust 1999-2 A-1
7.26%	03/15/20			6,748,352		6,782,093
Continental Airlines Pass-Through Trust 2000-1 A2
7.92%	05/01/10			2,000,000		2,005,000
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			4,760,000		4,698,977
Continental Airlines Pass-Through Trust 2007-1 B
6.90%	04/19/22			2,500,000		2,275,000
Continental Airlines Pass-Through Trust 2009-2 A
7.25%	11/10/19			22,005,000		23,545,350
Delta Air Lines, Inc.
9.50%	09/15/14	4		4,095,000		4,299,750
Delta Air Lines, Inc. 2000 A1
7.38%	05/18/10			896,486		899,848
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			7,758,000		8,107,110
Delta Air Lines, Inc. 2002 G2
6.42%	07/02/12			22,370,000		22,425,925
Delta Air Lines, Inc. 2007 1A
6.82%	08/10/22			1,023,878		1,023,877
Delta Air Lines, Inc. A
7.75%	12/17/19			4,538,000		4,810,280
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			23,530,000		23,706,475
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			1,103,562		1,040,108
UAL Pass-Through Trust 2009-2 A
9.75%	01/15/17			21,450,000		22,897,875
						156,453,286
Total Corporates
(Cost $1,990,680,341)						2,154,778,289

See accompanying notes to financial statements.

Annual Report March 2010  /  53

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BANK LOANS — 0.50%*
Communications — 0.07%
Cebridge 2nd Lien (PIK)
6.25%	05/05/14	8	$	2,623,340	$	2,637,687
Charter Communications, Inc. Term Loan 3rd Lien
2.75%	09/06/14	8		1,000,000		916,607
Dex Media West LLC
7.50%	10/24/14	3,8		2,170,526		2,075,904
Univision Communications, Inc. 1st Lien Strip
2.54%	09/29/14	8		375,000		334,967
						5,965,165
Consumer Discretionary — 0.01%
Tribune 1st Lien Term Loan B
0.00%	06/04/14	6,7,8		1,500,000		958,751
Electric — 0.05%
TPF Generation Holdings LLC 2nd Lien
4.54%	12/15/14	8		1,000,000		896,250
TXU Energy Term Loan B1
3.73%	10/10/14	8		989,848		815,078
TXU Energy Term Loan B3
3.73%	10/10/14	8		2,438,722		1,986,359
						3,697,687
Finance — 0.08%
Kelson 1st Lien
3.54%	03/08/13	8		6,862,989		6,713,932
Health Care — 0.25%
Carestream Health, Inc. Term Loan
5.50%	10/30/13	8		1,000,000		914,250
HCA Term Loan A
1.79%	11/19/12	8		20,950,678		20,402,147
						21,316,397
Insurance — 0.01%
Asurion Corp. Term Loan
3.23%	07/03/14	8		746,250		739,876
Materials — 0.01%
Lyondell Chemical Co. New Money (DIP)
13.00%	06/03/10	8		442,443		459,864
Lyondell Chemical Co. Roll Up L (DIP)
5.80%	06/03/10	8		441,112		471,439
						931,303
Services — 0.02%
Cengage Learning Term Loan B
2.79%	07/03/14	8		1,950,000		1,723,424

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Transportation — 0.00%
Delta Air Lines, Inc. Term Loan 1st Lien
2.25%	04/30/12	8	$	237,551	$	229,474
Total Bank Loans
(Cost $40,591,350)						42,276,009
MORTGAGE-BACKED — 44.05%**
Commercial Mortgage-Backed — 11.71%
Banc of America Commercial Mortgage, Inc. 2001-1 A2
6.50%	04/15/36			26,197,718		27,038,864
Banc of America Commercial Mortgage, Inc. 2005-3 A3A
4.62%	07/10/43			350,000		355,090
Bayview Commercial Asset Trust 2006-3A A1
0.50%	10/25/36	3,4		7,185,043		4,666,276
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3
5.61%	11/15/33			25,000,000		26,027,395
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4
5.19%	05/11/39	3		38,651,000		40,507,558
Bear Stearns Commercial Mortgage Securities, Inc. 2005-T20 A4A
5.15%	10/12/42	3		23,070,000		23,787,844
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4
5.54%	09/11/41			3,165,000		3,263,360
Chase Commercial Mortgage Securities Corp. 2000-3 A2
7.32%	10/15/32			76,376,380		77,504,971
Citigroup Commercial Mortgage Trust 2007-C6 A4
5.70%	12/10/49	3		14,440,000		14,406,190
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD4 A4
5.32%	12/11/49			16,645,000		16,142,186
Citigroup/Deutsche Bank Commercial Mortgage Trust 2007-CD5 A4
5.89%	11/15/44	3		1,925,000		1,928,381
Commercial Mortgage Loan Trust 2008-LS1 A4B
6.02%	12/10/49	3		65,585,000		64,597,093
Commercial Mortgage Loan Trust 2008-LS1 AJ
6.02%	12/10/49	3		8,018,000		3,884,161
Credit Suisse Mortgage Capital Certificates 2006-C5 A3
5.31%	12/15/39			50,025,000		47,310,153
Credit Suisse Mortgage Capital Certificates 2007-C2 A2
5.45%	01/15/49	3		4,974,000		5,100,068
CW Capital Cobalt Ltd. 2006-C1 A4
5.22%	08/15/48			4,275,000		4,088,959

See accompanying notes to financial statements.

54  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
GE Capital Commercial Mortgage Corp. 2000-1 A2
6.50%	01/15/33		$	40,008,802	$	40,916,914
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO)
0.93%	05/15/35	3,5		29,673,300		1,204,837
GMAC Commercial Mortgage Securities, Inc. 2000-C3 A2
6.96%	09/15/35			39,547,002		40,303,868
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A2
6.28%	11/15/39			20,000,000		21,071,858
Greenwich Capital Commercial Funding Corp. 2002-C1 A4
4.95%	01/11/35			34,500,000		35,903,536
Greenwich Capital Commercial Funding Corp. 2006-GG7 A4
5.89%	07/10/38	3		45,039,554		45,989,528
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4
5.44%	03/10/39			70,135,000		68,333,014
JPMorgan Chase Commercial Mortgage Securities Corp. 2001-CIBC A3
6.26%	03/15/33			29,106,000		29,781,030
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4
5.87%	04/15/45	3		32,965,000		34,084,739
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB18 A4
5.44%	06/12/47			3,065,000		3,001,160
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4
5.75%	02/12/49	3		17,773,000		17,696,674
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4
5.88%	02/15/51	3		48,970,000		47,972,741
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3
5.42%	01/15/49			54,471,006		52,575,508
LB-UBS Commercial Mortgage Trust 2000-C4 A2
7.37%	08/15/26			35,713,810		35,888,497
LB-UBS Commercial Mortgage Trust 2003-C8 A4
5.12%	11/15/32	3		320,000		337,102
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-2 A1
5.77%	06/12/46	3		6,053,455		6,129,653
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 A3
5.17%	12/12/49	3		32,725,000		31,719,547

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Commercial Mortgage-Backed (continued)
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB
5.13%	12/12/49	3	$	25,000,000	$	25,891,697
Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-7 A4
5.75%	06/12/50	3		36,440,000		33,478,430
Morgan Stanley Capital I 2006-T21 A4
5.16%	10/12/52	3		16,160,000		16,597,534
Morgan Stanley Capital I 2007-IQ16 A4
5.81%	12/12/49			29,772,500		29,338,625
Prudential Commercial Mortgage Trust 2003-PWR1 A1
3.67%	02/11/36			6,312,352		6,371,022
Salomon Brothers Mortgage Securities VII, Inc. 2002-KEY2 A3
4.87%	03/18/36			65,000		67,840
Wachovia Bank Commercial Mortgage Trust 2006-C28 A4
5.57%	10/15/48			1,980,000		1,950,608
						987,214,511
Non-Agency Mortgage-Backed — 6.95%
American Home Mortgage Assets 2007-4 A2
0.44%	08/25/37	3		36,102,000		19,849,356
American Home Mortgage Investment Trust 2006-1 2A3
5.10%	12/25/35	3		363,057		235,092
Banc of America Funding Corp. 2003-2 1A1
6.50%	06/25/32			107,047		109,657
Banc of America Funding Corp. 2007-8 2A1
7.00%	10/25/37			27,367,220		18,021,722
Banc of America Mortgage Securities, Inc. 2005-E 2A6
4.70%	06/25/35	3		100,000		84,671
Banc of America Mortgage Securities, Inc. 2006-B 4A1
6.17%	11/20/46	3		18,190,357		17,438,693
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	2,4,5		735,338		73,534
Bear Stearns Adjustable Rate Mortgage Trust 2003-4 3A1
4.99%	07/25/33	3		163,803		156,479
Bear Stearns Alt-A Trust 2005-4 21A1
3.21%	05/25/35	3		30,744,995		20,652,683
BHN I Mortgage Fund 1997-2 A1 (Argentina)
1.53%	05/31/172,3,4,5,6,7 13,760					1,926
BHN I Mortgage Fund 1997-2 A2 (Argentina)
7.54%	05/31/172,4,5,6,7 2,500					349
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	2,4,5		6,000		720

See accompanying notes to financial statements.

Annual Report March 2010  /  55

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
BlackRock Capital Finance LP 1997-R2 AP
1.23%	12/25/35	3,4,5	$	3,663	$	3,665
Chase Mortgage Finance Corp. 2005-A1 2A3
5.23%	12/25/35	3		1,355,000		1,111,069
Chase Mortgage Finance Corp. 2007-A2 2A3
3.56%	07/25/37	3		18,314,415		17,453,543
Chevy Chase Mortgage Funding Corp. 2004-1A A1
0.53%	01/25/35	3,4		2,542,266		1,437,175
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2
4.73%	05/25/34	3,4		19,094,440		17,658,353
Collateralized Mortgage Obligation Trust 57 D
9.90%	02/01/19			5,408		5,864
Countrywide Alternative Loan Trust 2004-J6 2A1
6.50%	11/25/31			50,708		47,282
Countrywide Alternative Loan Trust 2005-27 2A1
1.81%	08/25/35	3		9,868,919		4,491,015
Countrywide Alternative Loan Trust 2005-36 2A1A
0.56%	08/25/35	3		331,023		133,848
Countrywide Alternative Loan Trust 2005-43 4A1
5.60%	10/25/35	3		408,643		314,765
Countrywide Alternative Loan Trust 2005-59 1A1
0.56%	11/20/35	3		243,118		128,529
Countrywide Alternative Loan Trust 2006-46 A4
6.00%	02/25/47			10,264,118		8,821,022
Countrywide Alternative Loan Trust 2006-OA10 1A1
1.36%	08/25/46	3		6,354,369		3,336,543
Countrywide Alternative Loan Trust 2006-OA14 3A1
1.31%	11/25/46	3		943,075		407,380
Countrywide Alternative Loan Trust 2006-OA17 1A1A
0.43%	12/20/46	3		42,648,656		22,066,159
Countrywide Alternative Loan Trust 2006-OA18 A1
0.37%	12/25/46	3		44,088,518		23,530,637
Countrywide Alternative Loan Trust 2006-OA22 A1
0.41%	02/25/47	3		1,305,451		709,867
Countrywide Alternative Loan Trust 2006-OA8 1A1
0.44%	07/25/46	3		29,859,875		15,690,083

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Alternative Loan Trust 2007-22 2A16
6.50%	09/25/37		$	56,149,936	$	40,787,566
Countrywide Home Loan Mortgage Pass-Through Trust 2001-HYB1 1A1
2.93%	06/19/31	3		54,954		46,323
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1
5.10%	08/25/34	3		9,046,992		8,639,785
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1
5.00%	09/20/35	3		10,827,617		7,058,125
Countrywide Home Loan Mortgage Pass-Through Trust 2007-HY3 2A1
5.49%	06/25/47	3		41,912,616		30,399,216
Credit Suisse Mortgage Capital Certificates 2006-6 2A1
0.85%	07/25/36	3		240,087		105,239
CS First Boston Mortgage Securities Corp. 2003-AR20 2A4
3.48%	08/25/33	3		74,753		64,659
Deutsche ALT-A Securities, Inc. 2005-3 4A5
5.25%	06/25/35			85,411		72,987
DLJ Mortgage Acceptance Corp. 1996-QA S (IO)
2.78%	01/25/26	3,4,5		85,738		54
Equity One ABS, Inc. 1998-1 A2 (STEP)
7.48%	11/25/29			45,100		41,456
First Horizon Alternative Mortgage Securities 2004-AA3 A1
2.33%	09/25/34	3		117,911		94,418
First Horizon Asset Securities, Inc. 2004-AR5 2A1
3.01%	10/25/34	3		23,275		21,460
First Horizon Asset Securities, Inc. 2005-AR6 2A1B
5.53%	01/25/36	3		26,990,000		19,050,719
Harborview Mortgage Loan Trust 2007-7 2A1A
1.25%	11/25/47	3		2,371,285		1,464,931
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B
1.05%	08/25/34	3		66,279		40,102
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1
5.52%	10/25/34	3		521,643		444,930
IndyMac Index Mortgage Loan Trust 2004-AR7 A2
1.11%	09/25/34	3		202,589		117,014
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A
0.65%	11/25/34	3		116,355		75,244

See accompanying notes to financial statements.

56  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1A
0.56%	10/25/36	3	$	436,778	$	266,488
IndyMac Index Mortgage Loan Trust 2006-AR19 1A2
5.85%	08/25/36	3		37,343,111		18,635,183
JPMorgan Alternative Loan Trust 2007-A2 12A2
0.35%	06/25/37	3		8,025,489		7,162,821
JPMorgan Mortgage Trust 2003-A2 2A3
4.69%	11/25/33	3		705,000		626,754
JPMorgan Mortgage Trust 2005-A3 11A2
4.50%	06/25/35	3		390,000		319,017
JPMorgan Mortgage Trust 2005-A5 3A2
5.37%	08/25/35	3		300,000		277,646
JPMorgan Mortgage Trust 2005-A5 TA1
5.43%	08/25/35	3		2,507,952		2,351,628
JPMorgan Mortgage Trust 2006-A2 2A2
5.76%	04/25/36	3		1,125,000		898,501
JPMorgan Mortgage Trust 2006-A2 2A4
5.76%	04/25/36	3		17,325,000		13,564,834
JPMorgan Mortgage Trust 2006-A3 3A4
5.73%	05/25/36	3		23,500,000		17,978,844
Lehman XS Trust 2007-15N 2A1
0.50%	08/25/37	3		64,542,527		37,113,050
MASTR Adjustable Rate Mortgages Trust 2003-6 4A2
5.18%	01/25/34	3		332,251		323,027
MASTR Adjustable Rate Mortgages Trust 2004-13 3A7A
3.10%	11/21/34	3		440,000		410,374
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1
3.84%	06/25/34	3		2,230		1,977
MASTR Asset Securitization Trust 2002-8 1A1
5.50%	12/25/17			80,692		83,152
MASTR Seasoned Securities Trust 2004-1 4A1
3.51%	10/25/32	3		74,678		63,992
MASTR Seasoned Securities Trust 2004-2 A2
6.50%	08/25/32			4,418,717		4,448,391
Merrill Lynch Alternative Note Asset 2007-AF1 AV1
5.44%	06/25/37	3		7,756,278		3,817,357
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%	06/25/36	3		300,000		176,578
Ocwen Residential MBS Corp. 1998-R2 AP
13.12%	11/25/34	3,4		22,895		14,898

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans, Inc. 2003-QS3 A4
5.50%	02/25/18		$	69,894	$	64,335
Residential Accredit Loans, Inc. 2007-QO4 A1
0.45%	05/25/47	3		27,867,948		14,530,100
Residential Asset Mortgage Products, Inc. 2004-SL1 A8
6.50%	11/25/31			141,552		137,943
Residential Asset Mortgage Products, Inc. 2004-SL3 A2
6.50%	12/25/31			199,543		193,797
Ryland Mortgage Securities Corp. 1994-5 M3
3.54%	10/25/23	3		311,040		217,136
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1
2.76%	12/27/35	3		3,958,616		2,174,298
Structured Asset Mortgage Investments, Inc. 2007-AR1 1A1
0.41%	01/25/37	3		67,520,482		36,619,551
Structured Asset Mortgage Investments, Inc. 2007-AR6 A1
1.96%	08/25/47	3		55,346,358		31,357,641
Structured Asset Securities Corp. 1997-2 2A4
7.25%	03/28/30			6,014		6,060
Structured Asset Securities Corp. 2001-15A 4A1
6.00%	10/25/31	3		13,289		11,916
Thornburg Mortgage Securities Trust 2007-3 3A1
0.47%	06/25/47	3		11,617,353		9,648,078
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-3 2A3
0.80%	05/25/35	3		15,817,121		10,430,708
Washington Mutual Alternative Mortgage Pass-Through Certificates 2005-4 CB13
0.75%	06/25/35	3		23,944,284		16,180,580
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1
1.23%	04/25/47	3		27,260,307		14,031,033
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A
2.77%	01/25/33	3		30,064		27,745
Washington Mutual Mortgage Pass-Through Certificates 2004-AR3 A2
3.08%	06/25/34	3		123,803		115,571
Washington Mutual Mortgage Pass-Through Certificates 2005-AR12 1A6
4.82%	10/25/35	3		310,000		249,660
Washington Mutual Mortgage Pass-Through Certificates 2005-AR16 1A4A
5.08%	12/25/35	3		320,000		259,577

See accompanying notes to financial statements.

Annual Report March 2010  /  57

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B
3.33%	07/25/46	3	$	3,737,868	$	880,999
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 A1A
1.17%	02/25/47	3		500,516		254,498
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1A
1.17%	03/25/47	3		63,251,893		34,380,035
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 2A
1.23%	04/25/47	3		262,676		136,748
Washington Mutual Mortgage Pass-Through Certificates 2007-OA4 1A
1.23%	05/25/47	3		373,865		210,421
Washington Mutual Mortgage Pass-Through Certificates 2007-OA6 1A
1.27%	07/25/47	3		239,560		141,693
Wells Fargo Mortgage Backed Securities Trust 2004-G A3
4.74%	06/25/34	3		1,565,000		1,478,696
Wells Fargo Mortgage Backed Securities Trust 2004-L A8
4.76%	07/25/34	3		1,420,000		1,314,865
						586,084,105
U.S. Agency Mortgage-Backed — 25.39%
Fannie Mae 1989-27 Y
6.90%	06/25/19			1,252		1,341
Fannie Mae 1991-65 Z
6.50%	06/25/21			31,776		34,408
Fannie Mae 1992-123 Z
7.50%	07/25/22			4,205		4,732
Fannie Mae 1992-83 Z
7.00%	06/25/22			8,089		8,200
Fannie Mae 1993-132 D (PO)
0.98%	10/25/22	9		248,519		218,275
Fannie Mae 1993-199 SD (IO)
0.88%	10/25/23	3		778,099		18,714
Fannie Mae 1993-29 PK
7.00%	03/25/23			132,864		143,860
Fannie Mae 1994-55 H
7.00%	03/25/24			116,336		128,021
Fannie Mae 1997-34 SA
9.90%	10/25/23	3		25,189		31,268
Fannie Mae 1999-11 Z
5.50%	03/25/29			586,096		628,362
Fannie Mae 2001-52 YZ
6.50%	10/25/31			302,509		331,710
Fannie Mae 2003-106 WG
4.50%	11/25/23			32,004,000		32,922,176

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2003-52 SV
17.41%	05/25/31	3	$	1,623,330	$	1,756,385
Fannie Mae 2003-53 IA (IO)
5.50%	10/25/28			325,491		518
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			104,939		1,278
Fannie Mae 2003-W2 2A9
5.90%	07/25/42			94,301		99,571
Fannie Mae 2005-117 LC
5.50%	11/25/35			46,177,000		49,566,082
Fannie Mae 2005-92 US (IO)
5.85%	10/25/25	3		55,847,515		4,871,009
Fannie Mae 2006-80 PG
6.00%	06/25/35			23,300,000		25,163,185
Fannie Mae 2007-34 SB (IO)
5.86%	04/25/37	3		60,837,564		4,990,457
Fannie Mae 2008-24 NA
6.75%	06/25/37			32,656,672		34,949,986
Fannie Mae G92-36 Z
7.00%	07/25/22			862		945
Fannie Mae G93-21 Z
7.20%	05/25/23			16,054		17,840
Fannie Mae Pool 190375
5.50%	11/01/36			21,130,444		22,309,445
Fannie Mae Pool 233672
3.50%	09/01/23	3		21,425		22,162
Fannie Mae Pool 254232
6.50%	03/01/22			131,123		144,617
Fannie Mae Pool 254868
5.00%	09/01/33			47,665,820		49,464,580
Fannie Mae Pool 308798
2.57%	04/01/25	3		6,585		6,773
Fannie Mae Pool 312155
2.42%	03/01/25	3		22,979		23,108
Fannie Mae Pool 313182
7.50%	10/01/26			12,714		14,368
Fannie Mae Pool 383124
6.48%	01/01/11			146,899		148,150
Fannie Mae Pool 384569
6.20%	01/01/12			100,000		106,432
Fannie Mae Pool 384762
6.01%	02/01/12			157,603		167,825
Fannie Mae Pool 545191
7.00%	09/01/31			23,899		26,488
Fannie Mae Pool 545269
5.98%	11/01/11			180,036		188,772
Fannie Mae Pool 545322
5.94%	11/01/11			90,885		94,522

See accompanying notes to financial statements.

58  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 545831
6.50%	08/01/17		$	84,915	$	92,019
Fannie Mae Pool 555207
7.00%	11/01/17			44,979		48,900
Fannie Mae Pool 555284
7.50%	10/01/17			11,132		12,033
Fannie Mae Pool 613142
7.00%	11/01/31			94,232		106,133
Fannie Mae Pool 625666
7.00%	01/01/32			51,682		58,110
Fannie Mae Pool 633698
7.50%	02/01/31			57,031		65,706
Fannie Mae Pool 637093
8.50%	03/01/32			23,950		27,859
Fannie Mae Pool 642322
3.67%	05/01/32	3		1,278		1,325
Fannie Mae Pool 646884
2.17%	05/01/32	3		8,882		9,060
Fannie Mae Pool 655928
7.00%	08/01/32			625,509		712,667
Fannie Mae Pool 725027
5.00%	11/01/33			55,671,081		57,760,924
Fannie Mae Pool 725232
5.00%	03/01/34			128,857		133,720
Fannie Mae Pool 725257
5.50%	02/01/34			10,948,506		11,620,978
Fannie Mae Pool 725372
6.99%	12/01/10			264,743		264,184
Fannie Mae Pool 725425
5.50%	04/01/34			40,915,990		43,351,772
Fannie Mae Pool 730957
5.00%	08/01/33			17,490,964		18,147,559
Fannie Mae Pool 734922
4.50%	09/01/33			16,400,566		16,615,328
Fannie Mae Pool 735207
7.00%	04/01/34			105,239		116,991
Fannie Mae Pool 735224
5.50%	02/01/35			56,365,663		59,827,717
Fannie Mae Pool 735646
4.50%	07/01/20			17,047,024		17,926,168
Fannie Mae Pool 735651
4.50%	06/01/35			60,971,103		61,578,970
Fannie Mae Pool 735686
6.50%	12/01/22			445,114		478,102
Fannie Mae Pool 735883
6.00%	03/01/33			11,124,495		12,328,025
Fannie Mae Pool 740297
5.50%	10/01/33			40,270		42,743

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 741862
5.50%	09/01/33		$	38,890	$	41,279
Fannie Mae Pool 745592
5.00%	01/01/21			77,509		82,726
Fannie Mae Pool 765387
6.00%	08/01/34			394,559		435,268
Fannie Mae Pool 770284
5.00%	04/01/34			7,403,742		7,677,045
Fannie Mae Pool 770332
5.00%	04/01/34			28,055,868		29,091,525
Fannie Mae Pool 789606
6.00%	08/01/34			120,495		130,023
Fannie Mae Pool 817611
5.32%	11/01/35	3		6,557,785		6,921,728
Fannie Mae Pool 836952
5.46%	10/01/35	3		183,936		194,879
Fannie Mae Pool 841031
5.27%	11/01/35	3		439,124		463,832
Fannie Mae Pool 844773
5.09%	12/01/35	3		110,180		116,387
Fannie Mae Pool 888412
7.00%	04/01/37			15,245,216		16,790,485
Fannie Mae Pool 888430
5.00%	11/01/33			43,439,744		45,070,433
Fannie Mae Pool 888873
6.50%	08/01/37			9,902,301		10,695,645
Fannie Mae Pool 889125
5.00%	12/01/21			48,042,049		51,198,561
Fannie Mae Pool 889184
5.50%	09/01/36			50,038,946		52,970,918
Fannie Mae Pool 895606
5.78%	06/01/36	3		277,345		294,332
Fannie Mae Pool 908408
5.55%	04/01/37	3		26,473,502		27,794,001
Fannie Mae Pool 918445
5.86%	05/01/37	3		875,749		925,354
Fannie Mae Pool 928920
6.50%	12/01/37			29,022,280		31,498,682
Fannie Mae Pool 933033
6.50%	10/01/37			27,908,252		29,751,723
Freddie Mac 1004 H
7.95%	10/15/20			1,002		1,001
Freddie Mac 1073 G
7.00%	05/15/21			3,756		4,172
Freddie Mac 1107 ZC
6.50%	07/15/21			14,259		15,504
Freddie Mac 165 K
6.50%	09/15/21			641		642

See accompanying notes to financial statements.

Annual Report March 2010  /  59

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac 1980 Z
7.00%	07/15/27	$	436,992	$	493,892
Freddie Mac 1983 Z
6.50%	12/15/23		253,928		274,168
Freddie Mac 2043 CJ
6.50%	04/15/28		71,282		75,669
Freddie Mac 2098 TZ
6.00%	01/15/28		883,856		933,156
Freddie Mac 2209 TC
8.00%	01/15/30		283,251		322,330
Freddie Mac 2481 AW
6.50%	08/15/32		124,703		135,648
Freddie Mac 2624 QE
5.00%	09/15/28		160,000		165,611
Freddie Mac 2627 NI (IO)
5.00%	04/15/29		1,968,970		133,171
Freddie Mac 2642 BW (IO)
5.00%	06/15/23		102,733		14,040
Freddie Mac 2929 PE
5.00%	05/15/33		1,225,000		1,291,328
Freddie Mac 2971 AB
5.00%	05/15/20		3,688		3,668
Freddie Mac Gold A14189
4.00%	10/01/33		157,252		152,930
Freddie Mac Gold A24156
6.50%	10/01/31		1,948,318		2,149,573
Freddie Mac Gold A25162
5.50%	05/01/34		19,174,354		20,355,525
Freddie Mac Gold A39012
5.50%	06/01/35		19,478		20,721
Freddie Mac Gold A54856
5.00%	01/01/34		27,314,795		28,392,448
Freddie Mac Gold A61164
5.00%	04/01/36		142,260		147,895
Freddie Mac Gold A64183
6.00%	08/01/37		120,924		130,844
Freddie Mac Gold A65805
6.00%	09/01/37		2,825,588		3,057,374
Freddie Mac Gold A73260
6.00%	02/01/38		37,579		40,372
Freddie Mac Gold A83009
6.00%	11/01/38		28,498,138		30,622,138
Freddie Mac Gold C01492
5.00%	02/01/33		9,384,881		9,752,211
Freddie Mac Gold C03094
6.00%	11/01/37		243,107		263,353
Freddie Mac Gold C46104
6.50%	09/01/29		101,255		111,778

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold C55789
7.50%	10/01/27	$	41,397	$	47,196
Freddie Mac Gold C90573
6.50%	08/01/22		426,564		468,094
Freddie Mac Gold E02402
6.00%	10/01/22		159,550		172,384
Freddie Mac Gold G00992
7.00%	11/01/28		6,470		7,220
Freddie Mac Gold G01515
5.00%	02/01/33		9,832,052		10,216,884
Freddie Mac Gold G01601
4.00%	09/01/33		857,731		834,156
Freddie Mac Gold G01611
4.00%	09/01/33		294,165		286,080
Freddie Mac Gold G01644
5.50%	02/01/34		35,336,005		37,511,912
Freddie Mac Gold G01673
5.50%	04/01/34		2,679,643		2,843,038
Freddie Mac Gold G02366
6.50%	10/01/36		14,139,424		15,483,022
Freddie Mac Gold G02461
6.50%	11/01/36		14,277,462		15,572,005
Freddie Mac Gold G02579
5.00%	12/01/34		17,637,984		18,336,659
Freddie Mac Gold G02884
6.00%	04/01/37		34,420,602		37,029,560
Freddie Mac Gold G02955
5.50%	03/01/37		26,043,233		27,724,855
Freddie Mac Gold G03357
5.50%	08/01/37		11,909,292		12,680,140
Freddie Mac Gold G03436
6.00%	11/01/37		55,654,073		60,289,011
Freddie Mac Gold G03601
6.00%	07/01/37		38,950,238		42,145,373
Freddie Mac Gold G03676
5.50%	12/01/37		28,013,110		29,843,812
Freddie Mac Gold G03739
6.00%	11/01/37		32,076,948		34,748,355
Freddie Mac Gold G03783
5.50%	01/01/38		13,007,293		13,857,340
Freddie Mac Gold G03985
6.00%	03/01/38		167,122		180,100
Freddie Mac Gold G04053
5.50%	03/01/38		153,462		162,256
Freddie Mac Gold G04079
5.50%	03/01/38		55,159,756		58,764,534
Freddie Mac Gold G04438
5.50%	05/01/38		53,563,694		56,633,034

See accompanying notes to financial statements.

60  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold G04484
6.00%	08/01/38		$	188,340	$	204,143
Freddie Mac Gold G04516
6.00%	07/01/38			128,886		139,701
Freddie Mac Gold G04703
5.50%	08/01/38			76,254,436		80,642,048
Freddie Mac Gold G04706
5.50%	09/01/38			648,441		691,628
Freddie Mac Gold G04710
6.00%	09/01/38			10,709,246		11,505,307
Freddie Mac Gold G04711
6.00%	09/01/38			191,289		205,508
Freddie Mac Gold G11707
6.00%	03/01/20			5,019,098		5,444,799
Freddie Mac Gold G12393
5.50%	10/01/21			44,078,716		47,481,042
Freddie Mac Gold G12399
6.00%	09/01/21			23,503		25,416
Freddie Mac Gold G12824
6.00%	08/01/22			12,068,353		13,130,935
Freddie Mac Gold G12909
6.00%	11/01/22			32,231,493		35,024,049
Freddie Mac Gold G13032
6.00%	09/01/22			9,756,139		10,607,514
Freddie Mac Gold G13058
4.50%	10/01/20			29,336,177		30,890,346
Freddie Mac Gold H00790
5.50%	05/01/37			455,135		478,681
Freddie Mac Gold H05069
5.50%	05/01/37			33,073,867		34,584,156
Freddie Mac Gold H09082
6.50%	09/01/37			197,038		211,647
Freddie Mac Non Gold Pool 1J0045
5.12%	01/01/36	3		262,162		275,924
Freddie Mac Non Gold Pool 781415
3.22%	04/01/34	3		4,313,497		4,460,491
Freddie Mac Non Gold Pool 781469
2.74%	04/01/34	3		3,687,117		3,814,288
Freddie Mac Non Gold Pool 781817
2.74%	08/01/34	3		78,444		80,738
Freddie Mac Non Gold Pool 788498
3.00%	02/01/30	3		345,141		360,199
Freddie Mac Non Gold Pool 847288
3.04%	05/01/34	3		6,318,012		6,516,704
Ginnie Mae 2000-22 SG (IO)
10.57%	05/16/30	3		1,403,590		245,580
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			1,833,944		91,329

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-86 ZK
5.00%	10/20/33		$	20,935,834	$	21,157,511
Ginnie Mae 2004-80 IP (IO)
5.50%	07/20/34			9,901		5
Ginnie Mae 2005-78 ZA
5.00%	10/16/35			19,446,079		18,782,085
Ginnie Mae GNSF (TBA)
4.50%	04/15/40			289,260,000		292,740,087
5.50%	04/15/40			22,745,000		24,059,957
Ginnie Mae I Pool 782817
4.50%	11/15/39			79,017,771		80,024,695
Ginnie Mae II Pool 2631
7.00%	08/20/28			8,765		9,702
Ginnie Mae II Pool 80968
3.63%	07/20/34	3		56,257		58,053
Ginnie Mae II Pool 81018
3.63%	08/20/34	3		45,613		46,608
						2,140,966,442
Total Mortgage-Backed
(Cost $3,467,441,373)						3,714,265,058
MUNICIPAL BONDS — 0.68%*
California — 0.65%
State of California, Public Improvements, G.O., Build America Bonds
7.30%	10/01/39			19,880,000		19,970,255
State of California, School Improvements, G.O., Build America Bonds
6.65%	03/01/22			3,975,000		4,122,671
State of California, School Improvements, G.O., Build America Bonds, Taxable Variable Purpose
7.55%	04/01/39			21,264,000		22,005,476
State of California, School Improvements, G.O., Taxable Variable Purpose
5.50%	03/01/16			8,450,000		8,598,467
						54,696,869
Pennsylvania — 0.03%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%	12/01/36			2,985,000		2,989,239
Texas — 0.00%
County of Harris, Flood Control District Contract, Series B Refunding Notes, G.O., Pre-Refunded 10/01/13 @ 100
5.25%	10/01/20			7,000		7,903
Total Municipal Bonds
(Cost $54,970,747)						57,694,011

See accompanying notes to financial statements.

Annual Report March 2010  /  61

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS — 0.12%
Indonesia — 0.12%
Indonesia Government AID Bond (Indonesia)
9.30%	07/01/20	2,†	$	7,691,250 $	9,801,537
Total Foreign Government Obligations
(Cost $9,616,417)					9,801,537
U.S. TREASURY SECURITIES — 20.13%
U.S. Treasury Bonds — 4.06%
4.25%	05/15/39			2,490,000	2,307,921
8.00%	11/15/21			80,658,000	109,928,030
1.75%	01/15/28	10		131,379,000	128,899,362
2.38%	01/15/27	10		35,085,000	39,274,920
8.00%	11/15/21			103,555,000	62,104,005
					342,514,238
U.S. Treasury Notes — 16.07%
2.00%	01/15/16	10		27,945,000	32,397,893
2.38%	02/28/15			566,140,000	562,269,924
2.50%	03/31/15			450,000,000	448,840,350
3.38%	11/15/19			322,305,000	311,100,067
					1,354,608,234
Total U.S. Treasury Securities
(Cost $1,698,766,585)					1,697,122,472
Total Bonds – 100.99%
(Cost $8,083,471,194)					8,515,079,385

Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 6.44%
Commercial Paper — 1.54%
Lloyds Banking Group Plc
0.21%11	04/26/10	$	129,505,000	129,486,114
Money Market Fund — 4.78%
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%12			196,005,000	196,005,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.05%12,13			207,004,000	207,004,000
				403,009,000
U.S. Treasury Bills — 0.12%
U.S. Treasury Bills
0.06%11	05/13/10	$	285,000	284,957
0.07%11	05/13/10		535,000	534,919
0.07%11	05/13/10		415,000	414,937
0.07%11	05/13/10		400,000	399,939
0.08%11	05/13/10		320,000	319,952

Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.09%11	05/13/1014	$	8,295,000	$	8,293,742
0.10%11	05/13/10		35,000		34,994
					10,283,440
Total Short Term Investments
(Cost $542,779,115)					542,778,554
Total Investments – 107.43%
(Cost $8,626,250,309)1					9,057,857,939
Liabilities in Excess of Other
Assets – (7.43)%					(626,593,969	)
NET ASSETS – 100.00%				$	8,431,263,970
Contracts				Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
4,659	U.S. Treasury Five Year Note, Expiration June 2010			$	(1,410,519	)
3,188	U.S. Treasury Ten Year Note, Expiration June 2010				44,048
192	U.S. Treasury Thirty Year Bond, Expiration June 2010				77,016
	Net unrealized depreciation			$	(1,289,455	)
Contracts				Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
13	Euro Dollar Ninety Day, Expiration September 2010			$	(40,495	)
13	Euro Dollar Ninety Day, Expiration December 2010				(43,907	)
13	Euro Dollar Ninety Day, Expiration March 2011				(44,557	)
13	Euro Dollar Ninety Day, Expiration June 2011				(44,395	)
13	Euro Dollar Ninety Day, Expiration September 2011				(43,420	)
13	Euro Dollar Ninety Day, Expiration December 2011				(42,120	)
13	Euro Dollar Ninety Day, Expiration March 2012				(39,682	)
13	Euro Dollar Ninety Day, Expiration June 2012				(36,758	)
	Net unrealized depreciation			$	(335,334	)

See accompanying notes to financial statements.

62  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Notional Amount (000’s)		Appreciation/ Depreciation			Value
SWAPS: INTEREST RATE
Six month forward rate swap based upon the spread between the CMM30-FNMA rate and 10 year CMS rate plus 0.49%. The Fund receives an amount equal to the difference between the CMM30-FNMA rate minus the 10 year CMS rate plus 0.49% times the notional amount if positive. The Fund owes a comparable amount if negative. Counterparty: Goldman Sachs Group, Inc. (The)
05/27/10	$	54,680	$	911,738		$	911,738
The Fund pays a fixed rate equal to 4.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21		9,002		(678,155	)		(678,155	)
The Fund pays a fixed rate equal to 4.52% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21		8,884		(808,283	)		(808,283	)
The Fund pays a fixed rate equal to 4.54% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21		14,788		(1,386,700	)		(1,386,700	)
The Fund pays a fixed rate equal to 4.70% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays Capital, Inc.
11/15/21		24,457		(2,872,260	)		(2,872,260	)
The Fund pays a fixed rate equal to 4.10% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Citigroup, Inc.
10/24/38		56,660		2,759,727			2,759,727
	$	168,471	$	(2,073,933	)	$	(2,073,933	)

Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
09/20/12	$	–	$	8,000	$	(33,308	)	$	(33,308	)
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		–		3,010		(235,855	)		(235,855	)
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		–		5,500		(417,544	)		(417,544	)
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		(55,922	)		(55,922	)
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		(53,592	)		(53,592	)

Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (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. (The)
12/20/12	$	–	$	6,250	$	10,329		$	10,329
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		–		1,375		(1,475	)		(1,475	)
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		(2,387	)		(2,387	)
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		(11,031	)		(11,031	)
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., 6.13%, due 12/01/12. Counterparty: Citigroup, Inc.
12/20/12		–		915		(15,162	)		(15,162	)
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., 6.13%, due 12/01/12. Counterparty: UBS AG
12/20/12		–		5,810		(97,843	)		(97,843	)
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
03/20/13		–		1,575		(76,771	)		(76,771	)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13		–		1,625		(79,208	)		(79,208	)
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., 7.13%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. (The)
06/20/13		–		4,320		(168,730	)		(168,730	)
The Fund pays a fixed rate equal to 4.40% 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: Deutsche Bank AG
12/20/13		–		7,875		(994,555	)		(994,555	)
The Fund pays a fixed rate equal to 2.73% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc., 6.00%, due 08/15/35. Counterparty: Citigroup, Inc.
03/20/14		–		7,335		(554,674	)		(554,674	)
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
03/20/14		–		5,100		(291,346	)		(291,346	)
The Fund pays a fixed rate equal to 0.82% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Arrow Electronics, Inc., 6.88%, due 06/01/18. Counterparty: Citigroup, Inc.
03/20/14		–		6,555		73,862			73,862

See accompanying notes to financial statements.

Annual Report March 2010  /  63

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 2.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
03/20/14	$	–		$	5,490	$	(455,629	)	$	(455,629	)
The Fund pays a fixed rate equal to 3.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc., 5.88%, due 12/16/36. Counterparty: Citigroup, Inc.
03/20/14		–			660		(69,613	)		(69,613	)
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 Hewlett Packard Co., 5.40%, due 03/01/17. Counterparty: Citigroup, Inc.
03/20/14		–			6,555		(90,136	)		(90,136	)
The Fund pays a fixed rate equal to 3.15% 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: Citigroup, Inc.
03/20/14		–			5,430		(502,273	)		(502,273	)
The Fund pays a fixed rate equal to 1.20% 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.
03/20/14		–			4,865		(128,269	)		(128,269	)
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 Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
03/20/14		–			660		(23,797	)		(23,797	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Deutsche Bank AG
12/20/14		(19,500	)		6,475		(85,032	)		(104,532	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Morgan Stanley
12/20/14		(22,760	)		6,610		(83,952	)		(106,712	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Deutsche Bank AG
12/20/14		(21,521	)		5,000		(59,199	)		(80,720	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14		(100,752	)		6,610		(101,565	)		(202,317	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14		(71,731	)		5,000		(81,308	)		(153,039	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
12/20/14		(98,694	)		6,475		(99,491	)		(198,185	)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15		–			5,050		(357,948	)		(357,948	)
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
09/20/16		177,603			4,410		63,994			241,597

Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
09/20/16	$	307,454	$	5,510	$	(5,595	)	$	301,859
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		320,846		5,750		(5,839	)		315,007
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
09/20/16		309,371		4,410		195,014			504,385
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		165,969		4,690		94,421			260,390
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		95,453		2,515		44,181			139,634
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		153,663		7,945		287,446			441,109
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston
09/20/16		326,170		8,825		163,797			489,967
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		201,339		6,165		140,944			342,283
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		292,945		7,725		135,949			428,894
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: Citigroup, Inc.
09/20/16		21,340		7,605		254,660			276,000
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		92,413		16,500		506,404			598,817
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		17,899		6,465		216,728			234,627
	$	2,147,507	$	239,740	$	(3,051,320	)	$	(903,813	)

See accompanying notes to financial statements.

64  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ (Received)		Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (PURCHASED) - TRADED INDICES
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
10/12/52	$	1,250,895	$	2,130	$	(790,098	)	$	460,797
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
10/12/52		15,014,694		25,000		(9,606,277	)		5,408,417
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
10/12/52		12,195,768		20,450		(7,771,683	)		4,424,085
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Bank of America Corp.
10/12/52		7,041,886		28,590		(856,821	)		6,185,065
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
10/12/52		1,322,699		15,430		2,015,376			3,338,075
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
10/12/52		2,060,072		21,425		2,574,941			4,635,013
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
10/12/52		4,876,041		8,525		(3,031,771	)		1,844,270
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: Barclays Capital, Inc.
10/12/52		797,144		1,325		(510,498	)		286,646
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
10/12/52		480,917		805		(306,766	)		174,151
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
10/12/52		4,293,627		7,265		(2,721,941	)		1,571,686
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: CS First Boston
10/12/52		23,163		95		(2,611	)		20,552
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX-NA-AJ 1, due 10/12/52. Counterparty: JPMorgan Chase & Co.
10/12/52		97,956		1,310		185,445			283,401
	$	49,454,862	$	132,350	$	(20,822,704	)	$	28,632,158

Expiration Date	Credit Rating a	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation		Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	–	$	12,270	$	545,608	$	545,608
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA		–		12,800		458,470		458,470
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Morgan Stanley
03/20/11	AAA		–		21,800		780,831		780,831
		$	–	$	46,870	$	1,784,909	$	1,784,909

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(225,297	)	$	1,385	$	(647,133	)	$	(872,430	)
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		(4,157,822	)		25,470		(11,886,064	)		(16,043,886	)
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		(1,726,085	)		4,640		(1,196,712	)		(2,922,797	)
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		(14,496,294	)		27,000		(2,511,359	)		(17,007,653	)
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: Goldman Sachs Group, Inc. (The)
08/25/37		(11,954,553	)		24,500		(3,478,317	)		(15,432,870	)
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: Morgan Stanley
08/25/37		(3,012,275	)		6,280		(943,579	)		(3,955,854	)
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: Morgan Stanley
08/25/37		(11,222,641	)		23,000		(3,265,359	)		(14,488,000	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38		(14,262,571	)		22,200		1,080,969			(13,181,602	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38		(12,818,438	)		19,850		1,032,185			(11,786,253	)

See accompanying notes to financial statements.

Annual Report March 2010  /  65

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Appreciation/ (Depreciation)			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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 the ABX-HE-PENAAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc.
01/25/38	$	(9,774,126	)	$	15,000	$	867,638		$	(8,906,488	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
01/25/38		(7,225,033	)		10,600		931,115			(6,293,918	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Citigroup, Inc.
01/25/38		(24,536,781	)		35,000		3,754,975			(20,781,806	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
01/25/38		(15,888,927	)		25,000		1,044,780			(14,844,147	)
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-PENAAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc.
01/25/38		(15,858,015	)		25,000		1,013,868			(14,844,147	)
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: Bank of America Corp.
05/25/46		(11,121,924	)		14,220		(1,176,184	)		(12,298,108	)
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: CS First Boston
05/25/46		(13,811,540	)		17,659		(1,460,620	)		(15,272,160	)
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: CS First Boston
05/25/46		(10,083,271	)		13,012		(1,169,900	)		(11,253,171	)
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: Royal Bank of Scotland Group Plc
05/25/46		(8,650,385	)		11,060		(914,810	)		(9,565,195	)
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: Goldman Sachs Group, Inc. (The)
05/25/46		(7,971,626	)		10,224		(870,151	)		(8,841,777	)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
05/25/46		(4,943,009	)		13,616		(1,829,403	)		(6,772,412	)
	$	(203,740,613	)	$	344,716	$	(21,624,061	)	$	(225,364,674	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $8,631,543,037 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	595,035,324
Gross unrealized depreciation		(168,720,422	)
Net unrealized appreciation	$	426,314,902

² U.S. dollar denominated security issued by foreign domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at March 31, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $533,284,651 representing 6.33% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $3,062,573 which is 0.04% of total net assets.

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

⁷ Non-income producing security.

⁸ 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 Total Net Assets
07/03/07	Asurion Corp. Term Loan,
	3.23%, 07/03/14	$	741,697	$	739,876	0.01	%
06/01/07	Carestream Health, Inc.
	Term Loan, 5.50%,
	10/30/13		1,007,712		914,250	0.01	%
02/06/08	Cebridge 2nd Lien (PIK),
	6.25%, 05/05/14		2,433,666		2,637,687	0.03	%
06/27/07	Cengage Learning Term
	Loan B, 2.79%, 07/03/14		1,938,070		1,723,424	0.02	%
06/04/07	Charter Communications,
	Inc. Term Loan 3rd Lien,
	2.75%, 09/06/14		1,003,830		916,607	0.01	%
09/11/07	Delta Air Lines, Inc. Term
	Loan 1st Lien, 2.25%,
	04/30/12		232,701		229,474	0.00	%
01/05/09	Dex Media West LLC,
	7.50%, 10/24/14		1,293,408		2,075,904	0.03	%
10/10/07	HCA Term Loan A, 1.79%,
	11/19/12		20,000,607		20,402,147	0.24	%
03/07/07	Kelson 1st Lien, 3.54%,
	03/08/13		6,080,571		6,713,932	0.08	%
03/04/09	Lyondell Chemical Co.
	New Money (DIP),
	13.00%, 06/03/10		442,449		459,864	0.01	%
03/05/09	Lyondell Chemical Co.
	Roll Up L (DIP), 5.80%,
	06/03/10		430,669		471,439	0.01	%
11/06/07	TPF Generation Holdings
	LLC 2nd Lien, 4.54%,
	12/15/14		971,749		896,250	0.01	%

See accompanying notes to financial statements.

66  /  Annual Report March 2010

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
11/25/08	Tribune 1st Lien Term Loan B, 0.00%, 06/04/14	$	450,000	$	958,751	0.01	%
06/11/09	TXU Energy Term Loan B1, 3.73%, 10/10/14		774,556		815,078	0.01	%
10/31/07	TXU Energy Term Loan B3, 3.73%, 10/10/14		2,433,256		1,986,359	0.02	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.54%, 09/29/14		356,409		334,967	0.00	%
		$	40,591,350	$	42,276,009	0.50	%

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2010.

¹⁰ Inflation protected security. Principal amount reflects original security face amount.

¹¹ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $60,249,379 which is 0.71% 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. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

¹² Represents the current yield as of March 31, 2010.

¹³ Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $204,304,000.

¹⁴ Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $7,851,665.

^* 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 Assurance Corp.

(DIP): Defaulted interest payment

(G.O.): General Obligation

(IO): Interest only

(LIBOR): London InterBank Offer Rate

(MTN): Medium Term Note

(PIK): Payment in kind

(PO): Principal only

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to financial statements.

Annual Report March 2010  /  67

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 91.02%
ASSET-BACKED SECURITIES — 1.48%**
Bear Stearns Asset Backed Securities Trust 2006-SD4 3A1
1.44%	10/25/36	2	$	2,791,850	$	1,132,588
Citigroup Mortgage Loan Trust, Inc. 2007-AMC4 A2B
0.39%	05/25/37	2,†		4,900,000		2,253,907
Countrywide Asset-Backed Certificates 2007-13 2A1
1.15%	10/25/47	2		634,410		425,280
Credit-Based Asset Servicing and Securitization LLC 2006-CB6 A23
0.40%	07/25/36	2		4,000,000		2,224,241
Credit-Based Asset Servicing and Securitization LLC 2006-CB8 A2B
0.36%	10/25/36	2		3,800,000		3,115,278
Home Equity Asset Trust 2007-1 2A1
0.31%	05/25/37	2		180,170		173,750
HSBC Home Equity Loan Trust 2007-3 M1
2.48%	11/20/36	2		3,800,000		1,958,680
Securitized Asset Backed Receivables LLC Trust 2007-BR2 A2
0.48%	02/25/37	2		423,393		186,897
Total Asset-Backed Securities
(Cost $8,128,225)						11,470,621
CORPORATES — 77.79%*
Automotive — 0.91%
Navistar International Corp.
8.25%	11/01/21			2,485,000		2,547,125
Oshkosh Corp.
8.25%	03/01/17	3		1,750,000		1,815,625
Tenneco, Inc.
8.13%	11/15/15			2,125,000		2,188,750
Tenneco, Inc. B
10.25%	07/15/13			500,000		520,625
						7,072,125
Banking — 3.96%
Bank of America N.A.
0.56%	06/15/17	2		2,000,000		1,760,246
Chase Capital II B
0.75%	02/01/27	2		8,390,000		6,571,719
Chase Capital VI
0.87%	08/01/28	2		1,000,000		783,746
Discover Bank
8.70%	11/18/19			2,265,000		2,484,895
Fleet Capital Trust V
1.26%	12/18/28	2		1,750,000		1,208,249
GMAC, Inc.
2.45%	12/01/14	2		8,053,000		7,100,089

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
7.25%	03/02/11		$	2,949,000	$	3,015,352
8.30%	02/12/15	3		2,900,000		3,045,000
HBOS Capital Funding LP (United Kingdom)
6.07%	06/24/49	2,3,4		300,000		235,500
Lloyds Banking Group Capital No. 1 Plc (United Kingdom)
8.00%	12/29/49	2,4		640,000		560,000
Nationsbank Capital Trust III
0.80%	01/15/27	2		1,742,000		1,225,779
Nationsbank Capital Trust IV
8.25%	04/15/27			815,000		829,263
Provident Funding Associates
10.25%	04/15/17	3		1,850,000		1,863,875
						30,683,713
Communications — 12.39%
Belo Corp.
8.00%	11/15/16			3,350,000		3,509,125
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%	04/30/12	3		500,000		533,750
8.38%	04/30/14	3		2,000,000		2,060,000
Cincinnati Bell, Inc.
8.25%	10/15/17			5,150,000		5,240,125
CSC Holdings LLC
7.63%	07/15/18			1,950,000		2,047,500
Frontier Communications Corp.
7.13%	03/15/19			3,000,000		2,865,000
GCI, Inc.
7.25%	02/15/14			500,000		503,125
8.63%	11/15/19	3		1,700,000		1,740,375
Global Crossing, Ltd. (Bermuda)
12.00%	09/15/15	3,4		2,000,000		2,230,000
Intelsat Jackson Holdings SA (Bermuda)
8.50%	11/01/19	3,4		1,000,000		1,047,500
9.50%	06/15/16	4		2,250,000		2,407,500
11.25%	06/15/16	4		3,250,000		3,522,187
Intelsat Luxembourg SA (PIK) (Bermuda)
11.50%	02/04/17	4		5,556,089		5,722,772
Intelsat Luxembourg SA (STEP) (Bermuda)
11.25%	02/04/17	4		1,500,000		1,593,750
Intelsat SA (Luxembourg)
7.63%	04/15/12	4		1,000,000		1,025,000
Level 3 Financing, Inc.
4.14%	02/15/15	2		7,200,000		6,012,000
LIN Television Corp.
6.50%	05/15/13			2,695,000		2,668,050
McClatchy Co. (The)
11.50%	02/15/17	3		3,730,000		3,823,250

See accompanying notes to financial statements.

68  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Communications (continued)
Media General, Inc.
11.75%	02/15/17	3	$	3,050,000	$	2,981,375
Nextel Communications, Inc. E
6.88%	10/31/13			8,600,000		8,428,000
Qwest Communications International, Inc. B
7.50%	02/15/14			4,128,000		4,220,880
Qwest Corp.
3.51%	06/15/13	2		1,000,000		1,003,750
7.88%	09/01/11			4,080,000		4,345,200
Sinclair Television Group, Inc.
9.25%	11/01/17	3		1,500,000		1,586,250
Sprint Capital Corp.
7.63%	01/30/11			1,475,000		1,526,625
Sprint Nextel Corp.
6.00%	12/01/16			7,000,000		6,352,500
Telesat Canada LLC (Canada)
12.50%	11/01/17	4		2,000,000		2,310,000
Umbrella Acquisitions, Inc. (PIK)
9.75%	03/15/15	3		2,105,000		1,826,087
UPC Holding BV (Netherlands)
9.88%	04/15/18	3,4		1,750,000		1,846,250
Visant Corp.
7.63%	10/01/12			325,000		327,438
Visant Holding Corp.
8.75%	12/01/13			1,625,000		1,673,750
Visant Holding Corp. (STEP)
10.25%	12/01/13			1,185,000		1,226,475
Wind Acquisition Holdings Finance SA (Luxembourg)
12.25%	07/15/17	3,4		3,000,000		2,985,000
Windstream Corp.
7.88%	11/01/17			5,000,000		4,950,000
						96,140,589
Consumer Products — 0.63%
Hanesbrands, Inc.
8.00%	12/15/16			3,275,000		3,406,000
Jarden Corp.
7.50%	01/15/20			750,000		755,625
Steinway Musical Instruments
7.00%	03/01/14	3		785,000		761,450
						4,923,075
Electric — 8.93%
AES Corp. (The)
8.75%	05/15/13	3		4,500,000		4,590,000
Calpine Construction Finance Co. LP
8.00%	06/01/16	3		7,500,000		7,706,250

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Dynegy Holdings, Inc.
6.88%	04/01/11		$	1,275,000	$	1,294,125
7.75%	06/01/19			2,000,000		1,520,000
Edison Mission Energy
7.00%	05/15/17			11,460,000		8,050,650
7.75%	06/15/16			1,750,000		1,277,500
Energy Future Holdings Corp.
10.88%	11/01/17			15,000,000		11,212,500
Energy Future Holdings Corp. (PIK)
11.25%	11/01/17			1,812,600		1,241,631
FPL Energy National Wind Portfolio LLC
6.13%	03/25/19	3		4,945,078		4,765,908
Indiantown Cogeneration LP A-10
9.77%	12/15/20			1,665,000		1,791,956
Ipalco Enterprises, Inc.
8.63%	11/14/11			420,000		449,400
Midwest Generation LLC B
8.56%	01/02/16			1,332,797		1,356,120
Mirant Americas Generation LLC
8.30%	05/01/11			1,250,000		1,287,500
8.50%	10/01/21			3,750,000		3,543,750
9.13%	05/01/31			1,000,000		902,500
Mirant North America LLC
7.38%	12/31/13			1,350,000		1,353,375
NRG Energy, Inc.
7.25%	02/01/14			1,000,000		1,010,000
7.38%	02/01/16			3,000,000		2,985,000
PNM Resources, Inc.
9.25%	05/15/15			7,525,000		8,042,344
Reliant Energy Mid-Atlantic Power Holdings LLC B
9.24%	07/02/17			2,265,378		2,423,954
Texas Competitive Electric Holdings Co. LLC A
10.25%	11/01/15			3,500,000		2,450,000
						69,254,463
Energy — 18.64%
Allis-Chalmers Energy, Inc.
8.50%	03/01/17			7,095,000		6,314,550
Antero Resources Finance Corp.
9.38%	12/01/17	3		5,200,000		5,382,000
Aquilex Holdings LLC/Aquilex Finance Corp.
11.13%	12/15/16	3		1,500,000		1,620,000
Arch Coal, Inc.
8.75%	08/01/16	3		2,500,000		2,637,500
Atlas Energy Operating Co. LLC/Atlas Energy Finance Corp.
10.75%	02/01/18			5,100,000		5,635,500
12.13%	08/01/17			2,198,000		2,527,700

See accompanying notes to financial statements.

Annual Report March 2010  /  69

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Chaparral Energy, Inc.
8.50%	12/01/15		$	1,500,000	$	1,366,875
8.88%	02/01/17			7,060,000		6,468,725
Chesapeake Energy Corp.
2.25%	12/15/38			8,075,000		5,914,938
2.50%	05/15/37			2,750,000		2,268,750
6.88%	01/15/16			1,765,000		1,751,762
7.00%	08/15/14			1,205,000		1,227,594
Comstock Resources, Inc.
6.88%	03/01/12			3,075,000		3,082,687
8.38%	10/15/17			2,600,000		2,684,500
Consol Energy, Inc.
8.00%	04/01/17	3		6,000,000		6,195,000
Corral Petroleum Holdings AB (Sweden) (PIK)
1.75%	04/15/10	3,4,†		1,102,584		837,944
Delta Petroleum Corp.
7.00%	04/01/15			1,000,000		850,000
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10			340,140		341,416
Dynegy Roseton/Danskammer Pass-Through Trust B
7.67%	11/08/16			6,306,000		6,128,675
El Paso Pipeline Partners Operating Co. LLC
6.50%	04/01/20			2,000,000		2,020,000
Forest Oil Corp.
8.50%	02/15/14			1,000,000		1,060,000
Foundation PA Coal Co. LLC
7.25%	08/01/14			400,000		409,000
Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%	11/01/15	3		1,875,000		1,860,938
James River Coal Co.
9.38%	06/01/12			3,750,000		3,834,375
Linn Energy LLC/Linn Energy Finance Corp.
8.63%	04/15/20	3		2,000,000		2,008,750
Massey Energy Co.
3.25%	08/01/15			6,840,000		6,669,000
Newfield Exploration Co.
7.13%	05/15/18			500,000		510,000
OPTI Canada, Inc. (Canada)
7.88%	12/15/14	4		4,550,000		4,248,562
8.25%	12/15/14	4		2,100,000		1,984,500
9.00%	12/15/12	3,4		1,850,000		1,914,750
Parker Drilling Co.
2.13%	07/15/12			1,000,000		943,750
9.13%	04/01/18	3		1,500,000		1,543,125
Penn Virginia Corp.
10.38%	06/15/16			3,750,000		4,087,500

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Petrohawk Energy Corp.
10.50%	08/01/14		$	2,160,000	$	2,394,900
Quicksilver Resources, Inc.
7.13%	04/01/16			1,000,000		955,000
8.25%	08/01/15			3,925,000		4,023,125
9.13%	08/15/19			1,000,000		1,055,000
11.75%	01/01/16			500,000		575,000
Sabine Pass LNG LP
7.25%	11/30/13			9,200,000		8,694,000
7.50%	11/30/16			4,250,000		3,761,250
SandRidge Energy, Inc.
8.00%	06/01/18	3		1,000,000		953,750
8.75%	01/15/20	3		1,750,000		1,715,000
9.88%	05/15/16	3		2,500,000		2,581,250
Southern Union Co.
7.20%	11/01/66	2		8,992,000		8,340,080
Tesoro Corp.
6.50%	06/01/17			4,075,000		3,769,375
6.63%	11/01/15			3,350,000		3,232,750
9.75%	06/01/19			1,000,000		1,050,000
Western Refining, Inc.
11.25%	06/15/17	3		5,000,000		4,525,000
Williams Cos., Inc. (The) A
7.50%	01/15/31			556,000		612,596
						144,568,442
Entertainment — 0.61%
Cinemark USA, Inc.
8.63%	06/15/19			1,150,000		1,217,562
Regal Cinemas Corp.
8.63%	07/15/19			3,325,000		3,516,188
						4,733,750
Finance — 9.09%
AES Red Oak LLC A
8.54%	11/30/19			2,642,297		2,714,960
Astoria Depositor Corp.
8.14%	05/01/21	3		5,000,000		4,878,125
Barnett Capital III
0.87%	02/01/27	2		800,000		552,458
Capital One Capital V
10.25%	08/15/39			3,875,000		4,602,690
CIT Group, Inc.
7.00%	05/01/13			11,243,884		11,019,006
City National Capital Trust I
9.63%	02/01/40			3,000,000		3,341,895
Coso Geothermal Power Holdings
7.00%	07/15/26	3		4,662,712		4,423,403

See accompanying notes to financial statements.

70  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Ford Motor Credit Co. LLC
3.00%	01/13/12	2	$	3,900,000	$	3,787,875
7.25%	10/25/11			1,000,000		1,042,500
7.50%	08/01/12			4,000,000		4,130,000
9.88%	08/10/11			2,450,000		2,587,812
JPMorgan Chase Capital XIII M
1.24%	09/30/34	2		1,100,000		863,370
JPMorgan Chase Capital XXI U
1.20%	02/02/37	2		4,750,000		3,653,311
LBI Escrow Corp.
8.00%	11/01/17	3		3,125,000		3,242,188
Lehman Brothers Holdings, Inc. (MTN)
0.00%	11/07/16	5,6		383,000		84,260
Lehman Brothers Holdings, Inc. H (MTN)
0.00%	11/30/10	5,6		294,000		64,680
MBNA Capital B
1.05%	02/01/27	2		4,000,000		2,760,272
New Communications Holdings, Inc.
8.25%	04/15/17	3		1,250,000		1,271,875
Prudential Holdings LLC
8.70%	12/18/23	3		2,500,000		2,941,014
Raymond James Financial, Inc.
8.60%	08/15/19			2,300,000		2,632,992
UPC Germany GmbH (Germany)
8.13%	12/01/17	3,4		650,000		671,125
ZFS Finance USA Trust I
6.15%	12/15/65	2,3		7,495,000		7,382,575
ZFS Finance USA Trust IV
5.88%	05/09/32	2,3		2,000,000		1,885,820
						70,534,206
Food — 2.38%
Bumble Bee Foods LLC
7.75%	12/15/15	3		2,500,000		2,537,500
Del Monte Corp.
7.50%	10/15/19	3		3,400,000		3,578,500
Dole Food Co., Inc.
8.00%	10/01/16	3		1,000,000		1,030,000
13.88%	03/15/14			1,311,000		1,584,671
JBS USA LLC/JBS USA Finance, Inc.
11.63%	05/01/14	3		3,500,000		4,007,500
Smithfield Foods, Inc.
10.00%	07/15/14	3		3,000,000		3,360,000
TreeHouse Foods, Inc.
7.75%	03/01/18			2,300,000		2,392,000
						18,490,171

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Gaming — 1.21%
Herbst Gaming, Inc.
8.13%	06/01/12	5,6	$	575,000	$	6,109
MGM Mirage
9.00%	03/15/20	3		1,350,000		1,405,688
MGM Mirage, Inc.
10.38%	05/15/14	3		2,400,000		2,628,000
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
6.63%	12/01/14			5,350,000		5,363,375
						9,403,172
Health Care — 3.66%
Accellent, Inc.
8.38%	02/01/17	3		5,650,000		5,763,000
CHS/Community Health Systems, Inc.
8.88%	07/15/15			10,865,000		11,272,437
HCA, Inc.
7.50%	12/15/23			2,905,000		2,672,600
8.50%	04/15/19	3		3,939,000		4,254,120
9.13%	11/15/14			1,500,000		1,588,125
Tenet Healthcare Corp.
6.88%	11/15/31			3,500,000		2,843,750
						28,394,032
Homebuilding — 0.48%
K Hovnanian Enterprises, Inc.
10.63%	10/15/16			3,500,000		3,745,000
Industrials — 3.25%
Berry Plastics Corp.
5.00%	02/15/15	2		3,150,000		3,024,000
8.25%	11/15/15			1,250,000		1,264,063
Casella Waste Systems, Inc.
11.00%	07/15/14	3		4,500,000		4,848,750
General Cable Corp.
0.88%	11/15/13			2,175,000		1,889,531
Graham Packaging Co. LP/GPC Capital Corp. I
8.25%	01/01/17	3		2,500,000		2,531,250
Martin Midstream Partners & Finance
8.88%	04/01/18	3		1,250,000		1,268,750
Maxim Crane Works LP
12.25%	04/15/15	3		3,150,000		3,064,635
Reddy Ice Corp.
11.25%	03/15/15	3		2,450,000		2,615,375
Sealy Mattress Co.
10.88%	04/15/16	3		1,016,000		1,143,000
Solo Cup Co./Solo Cup Operating Corp.
10.50%	11/01/13			1,100,000		1,166,000

See accompanying notes to financial statements.

Annual Report March 2010  /  71

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Spirit Aerosystems, Inc.
7.50%	10/01/17	3	$	500,000	$	515,000
Wyle Services Corp.
10.50%	04/01/18	3		1,850,000		1,854,625
						25,184,979
Insurance — 0.33%
Farmers Exchange Capital
7.05%	07/15/28	3		1,500,000		1,384,782
MetLife Capital Trust X
9.25%	04/08/38	2,3		1,000,000		1,135,000
						2,519,782
Materials — 1.78%
Cellu Tissue Holdings, Inc.
11.50%	06/01/14			2,000,000		2,240,000
Hexion Finance Escrow LLC/Hexion Escrow Corp.
8.88%	02/01/18	3		3,000,000		2,940,000
NewPage Corp.
11.38%	12/31/14			2,000,000		2,000,000
Noranda Aluminium Acquisition Corp. (PIK)
5.27%	05/15/15			2,500,000		2,000,000
Noranda Aluminium Holding Corp. (PIK)
7.02%	11/15/14			733,614		524,534
Verso Paper Holdings LLC/Verso Paper, Inc. B
4.00%	08/01/14	2		3,737,000		3,204,478
9.13%	08/01/14			900,000		877,500
						13,786,512
Retail — 0.42%
Toys R Us Property Co. LLC
8.50%	12/01/17	3		3,150,000		3,283,875
Services — 3.34%
Cengage Learning Acquisitions, Inc.
10.50%	01/15/15	3		1,975,000		1,905,875
Geo Group, Inc. (The)
7.75%	10/15/17	3		1,000,000		1,025,000
Mobile Mini, Inc.
6.88%	05/01/15			6,700,000		6,281,250
National Money Mart Co. (Canada)
10.38%	12/15/16	3,4		750,000		799,688
RSC Equipment Rental, Inc./RSC Holdings III LLC
10.00%	07/15/17	3		3,450,000		3,674,250
Service Corp. International
8.00%	11/15/21			1,650,000		1,674,750

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Services (continued)
Stonemor Operating LLC/Cornerstone Family Services/Osiris Holdings
10.25%	12/01/17	3	$	3,950,000	$	4,088,250
United Rentals North America, Inc.
1.88%	10/15/23			500,000		497,500
7.00%	02/15/14			3,450,000		3,208,500
7.75%	11/15/13			975,000		936,000
9.25%	12/15/19			1,275,000		1,306,875
10.88%	06/15/16			500,000		546,250
						25,944,188
Transportation — 5.78%
American Airlines Pass-Through Trust 2001-2
7.86%	10/01/11			4,337,000		4,477,952
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			993,113		1,147,045
Commercial Barge Line Co.
12.50%	07/15/17			2,975,000		3,142,344
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			500,000		493,590
Continental Airlines Pass-Through Trust 2007-1 B
6.90%	04/19/22			6,842,000		6,226,220
Continental Airlines Pass-Through Trust 2009-1 A
9.00%	07/08/16			1,665,637		1,815,544
Delta Air Lines, Inc.
9.50%	09/15/14	3		2,000,000		2,100,000
12.25%	03/15/15	3		2,000,000		2,150,000
Delta Air Lines, Inc. 2002 G2
6.42%	07/02/12			2,500,000		2,506,250
Delta Air Lines, Inc. B
9.75%	12/17/16			2,500,000		2,606,250
JetBlue Airways Pass-Through Trust 2004-2 G1
0.63%	08/15/16	2		2,414,172		1,913,473
Navios Maritime Holdings, Inc./Navios Maritime Finance US, Inc. (Greece)
8.88%	11/01/17	3,4		625,000		650,000
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,250,000		1,259,375
Northwest Airlines, Inc. 2001-1 A1
7.04%	04/01/22			803,565		757,360
RailAmerica, Inc.
9.25%	07/01/17			2,682,000		2,873,092
United Air Lines, Inc.
9.88%	08/01/13	3		8,700,000		9,113,250

See accompanying notes to financial statements.

72  /  Annual Report March 2010

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
12.00%	11/01/13	3	$	1,500,000	$	1,575,000
						44,806,745
Total Corporates (Cost $550,565,419)						603,468,819
BANK LOANS — 10.33%*
Automotive — 0.31%
Ford Motor Co. Term Loan B 1st Lien
3.26%	12/15/13	7		2,461,975		2,383,884
Communications — 2.55%
Cebridge 2nd Lien (PIK)
6.25%	05/05/14	7		3,991,509		4,013,338
Charter Communications, Inc. Term Loan 3rd Lien
2.75%	09/06/14	7		5,000,000		4,583,035
Dex Media West LLC
7.50%	10/24/14	2,7		5,364,594		5,130,730
Mediacom LLC Term Loan A
1.74%	09/30/12	7		1,594,444		1,590,458
R.H. Donnelley, Inc., Term Loan
9.25%	10/24/14	2,7		552,902		542,812
SuperMedia, Inc.
11.00%	12/31/15	2,7		2,717,009		2,556,537
Univision Communications, Inc. 1st Lien Strip
2.54%	09/29/14	7		1,500,000		1,339,870
						19,756,780
Consumer Discretionary — 0.25%
Tribune 1st Lien Term Loan B
0.00%	06/04/14	5,6,7		2,979,962		1,904,693
Electric — 1.11%
Boston Generating LLC 1st Lien
2.00%	12/20/13	7		6,939,746		5,866,257
TPF Generation Holdings LLC 2nd Lien
4.54%	12/15/14	7		1,250,000		1,120,312
TXU Energy Term Loan B1
3.73%	10/10/14	7		1,962,722		1,616,180
						8,602,749
Energy — 1.16%
MACH Gen LLC Term Loan C (PIK)
7.76%	02/20/15	7		11,924,871		9,027,128
Finance — 1.71%
First Data Corp. Term Loan B1
3.00%	09/24/14	7		2,962,025		2,630,987
Kelson 1st Lien
3.54%	03/08/13	7		4,878,592		4,772,633

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Kelson 2nd Lien (PIK)
6.79%	03/08/14	7	$	6,549,176	$	5,894,258
						13,297,878
Gaming — 1.14%
Harrah’s Entertainment, Inc. Term Loan B2
3.25%	01/28/15	7		10,250,000		8,863,052
Health Care — 0.34%
Carestream Health, Inc. Term Loan
5.50%	10/30/13	7		1,500,000		1,371,375
HCA Term Loan A
1.79%	11/19/12	7		1,309,556		1,275,270
						2,646,645
Insurance — 0.25%
Asurion Corp. Term Loan
3.23%	07/03/14	7		1,990,000		1,973,001
Materials — 0.32%
Lyondell Chemical Co. New Money (DIP)
13.00%	06/03/10	7		1,671,042		1,736,840
Lyondell Chemical Co. Roll Up L (DIP)
5.80%	06/03/10	7		669,024		715,019
						2,451,859
Transportation — 1.19%
Delta Air Lines, Inc. Term Loan 1st Lien
2.25%	04/30/12	7		1,219,848		1,178,374
8.75%	09/27/13	7		1,990,000		2,024,327
United Air Lines, Inc.
2.25%	02/01/14	7		6,914,455		6,020,513
						9,223,214
Total Bank Loans (Cost $72,625,803)						80,130,883
MORTGAGE-BACKED — 0.05%**
Non-Agency Mortgage-Backed — 0.04%
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	3,4,8		2,890		347
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.76%	08/25/46	8,9		28,246,707		310,714
						311,061
U.S. Agency Mortgage-Backed — 0.01%
Fannie Mae 1993-225 SG
26.33%	12/25/13	2		50,723		61,933

See accompanying notes to financial statements.

Annual Report March 2010  /  73

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32	$	31,307	$	1,559
					63,492
Total Mortgage-Backed (Cost $58,023)					374,553
MUNICIPAL BONDS — 1.37%*
California — 0.40%
State of California, School Improvements, G.O., Build America Bonds, Taxable Variable Purpose
7.55%	04/01/39		3,000,000		3,104,610
Pennsylvania — 0.97%
Pennsylvania Economic Development Financing Authority, Electric Light & Power Improvements, Series A Revenue Bonds
6.75%	12/01/36		7,535,000		7,545,700
Total Municipal Bonds (Cost $9,287,161)					10,650,310
Total Bonds – 91.02% (Cost $640,664,631)					706,095,186
Issues		Shares		Value
COMMON STOCK — 0.07%
Communications — 0.07%
SuperMedia, Inc.6			12,597		515,217
Total Common Stock (Cost $404,565)					515,217
Issues	Maturity Date	Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 9.26%
Commercial Paper — 3.45%
BNP Paribas Finance, Inc.
0.19%10	04/27/10	$	2,975,000		2,974,592
Credit Agricole North America, Inc.
0.20%10	05/03/10		12,705,000		12,702,798
Lloyds Banking Group Plc
0.21%10	04/26/10		11,120,000		11,118,378
					26,795,768
Money Market Fund — 5.23%
Dreyfus Cash Advantage Fund
0.11%11			5,780,000		5,780,000

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
Money Market Fund (continued)
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%11				34,750,000	$	34,750,000
						40,530,000
U.S. Treasury Bills — 0.58%
U.S. Treasury Bills
0.09%10	05/13/10	12	$	175,000		174,974
0.14%10	05/06/10			4,345,000		4,344,398
						4,519,372
Total Short Term Investments (Cost $71,845,148)						71,845,140
Total Investments – 100.35% (Cost $712,914,344)1						778,455,543
Liabilities in Excess of Other Assets – (0.35%)						(2,715,849	)
Net Assets – 100.00%					$	775,739,694

Contracts		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
96	U.S. Treasury Ten Year Note, Expiration June 2010	$	916
	Net unrealized appreciation	$	916

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) a		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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. (The)
12/20/12	$	–	$	150	$	248		$	248
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		(241	)		(241	)
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		(56	)		(56	)

See accompanying notes to financial statements.

74  /  Annual Report March 2010

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) a		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
12/20/12	$	–	$	125	$	(230	) $	(230	)
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., 6.13%, due 12/01/12. Counterparty: UBS AG
12/20/12		–		450		(7,578	)	(7,578	)
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
03/20/13		–		100		(4,874	)	(4,874	)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13		–		100		(4,874	)	(4,874	)
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., 5.25%, due 06/15/15. Counterparty: UBS AG
06/20/13		–		1,000		(86,474	)	(86,474	)
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 Hewlett Packard Co., 5.40%, due 03/01/17. Counterparty: Citigroup, Inc.
03/20/14		–		140		(1,925	)	(1,925	)
The Fund pays a fixed rate equal to 0.82% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Arrow Electronics, Inc., 6.88%, due 06/01/18. Counterparty: Citigroup, Inc.
03/20/14		–		140		1,578		1,578
The Fund pays a fixed rate equal to 1.00% 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
06/20/14		36,715		1,000		(8,694	)	28,021
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc., 6.90%, due 07/15/17. Counterparty: Morgan Stanley
09/20/14		65,401		1,000		(44,293	)	21,108
The Fund pays a fixed rate equal to 1.00% 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
09/20/14		42,230		1,000		(49,392	)	(7,162	)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15		–		200		(14,176	)	(14,176	)
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
09/20/16		14,095		350		5,079		19,174
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
09/20/16		16,740		300		(305	)	16,435
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		16,461		295		(300	)	16,161

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) a		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
09/20/16	$	24,553	$	350	$	15,478		$	40,031
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		6,016		170		3,422			9,438
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		7,211		190		3,338			10,549
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		5,802		300		10,854			16,656
The Fund pays a fixed rate equal to 1.00% 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: CS First Boston
09/20/16		11,088		300		5,568			16,656
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		3,919		120		2,743			6,662
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		5,601		1,000		30,691			36,292
	$	255,832	$	9,080	$	(144,413	)	$	111,419

^a The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

Notes:

¹ Cost for federal income tax purposes is $713,475,356 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	69,117,076
Gross unrealized depreciation		(4,136,889	)
Net unrealized appreciation	$	64,980,187

² Floating rate security. The rate disclosed is that in effect at March 31, 2010.

³ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $190,145,587 representing 24.51% of total net assets.

⁴ U.S. dollar denominated security issued by foreign domiciled entity.

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

⁶ Non-income producing security.

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:

See accompanying notes to financial statements.

Annual Report March 2010  /  75

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2010

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
07/03/07	Asurion Corp. Term Loan, 3.23%, 07/03/14	$	1,793,296	$	1,973,001	0.25	%
12/19/06	Boston Generating LLC 1st Lien, 2.00%, 12/20/13		5,464,804		5,866,257	0.76	%
04/12/07	Carestream Health, Inc. Term Loan, 5.50%, 10/30/13		1,503,843		1,371,375	0.18	%
02/06/08	Cebridge 2nd Lien (PIK), 6.25%, 05/05/14		3,945,157		4,013,338	0.52	%
01/05/09	Charter Communications, Inc. Term Loan 3rd Lien, 2.75%, 09/06/14		3,944,157		4,583,035	0.59	%
09/11/07	Delta Air Lines, Inc. Term Loan 1st Lien, 2.25%, 04/30/12		1,143,727		1,178,374	0.15	%
09/29/09	Delta Air Lines, Inc. Term Loan 1st Lien, 8.75%, 09/27/13		1,955,172		2,024,327	0.26	%
01/05/09	Dex Media West LLC, 7.50%, 10/24/14		3,791,588		5,130,730	0.66	%
01/28/09	First Data Corp. Term Loan B1, 3.00%, 09/24/14		2,148,259		2,630,987	0.34	%
06/08/09	Ford Motor Co. Term Loan B 1st Lien, 3.26%, 12/15/13		1,906,389		2,383,884	0.31	%
10/09/09	Harrah’s Entertainment, Inc. Term Loan B2, 3.25%, 01/28/15		8,351,835		8,863,052	1.14	%
06/22/09	HCA Term Loan A, 1.79%, 11/19/12		1,214,717		1,275,270	0.16	%
02/09/09	Kelson 1st Lien, 3.54%, 03/08/13		4,345,154		4,772,633	0.62	%
09/16/08	Kelson 2nd Lien (PIK), 6.79%, 03/08/14		5,414,094		5,894,258	0.76	%
03/04/09	Lyondell Chemical Co. New Money (DIP), 13.00%, 06/03/10		1,682,110		1,736,840	0.22	%
03/05/09	Lyondell Chemical Co. Roll Up L (DIP), 5.80%, 06/03/10		653,185		715,019	0.09	%
01/08/09	MACH Gen LLC Term Loan C (PIK), 7.76%, 02/20/15		8,625,162		9,027,128	1.16	%
01/09/09	Mediacom LLC Term Loan A, 1.74%, 09/30/12		1,387,881		1,590,458	0.21	%

Date of Purchase	Security	Amortized Cost		Value		% of Total Net Assets
01/11/10	R.H. Donnelley, Inc.,Term Loan, 9.25%, 10/24/14	$	533,723	$	542,812	0.07	%
01/29/10	SuperMedia, Inc., 11.00%, 12/31/15		2,271,087		2,556,537	0.33	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		1,228,812		1,120,312	0.14	%
05/17/07	Tribune 1st Lien Term Loan B, 0.00%, 06/04/14		2,142,194		1,904,693	0.25	%
06/11/09	TXU Energy Term Loan B1, 3.73%, 10/10/14		1,535,830		1,616,180	0.21	%
02/03/09	United Air Lines, Inc., 2.25%, 02/01/14		4,547,277		6,020,513	0.78	%
11/30/07	Univision Communications, Inc. 1st Lien Strip, 2.54%, 09/29/14		1,096,350		1,339,870	0.17	%
		$	72,625,803	$	80,130,883	10.33	%

⁸ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $311,061 which is 0.04% of total net assets.

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2010.

¹⁰ Represents annualized yield at date of purchase.

¹¹ Represents the current yield as of March 31, 2010.

^† Fair valued security. The aggregate value of fair valued securities is $3,091,851 which is 0.40% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

¹² Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $174,970.

* 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

(G.O.): General Obligation

(IO): Interest only

(MTN): Medium term note

(PIK): Payment in kind

(STEP): Step coupon bond

See accompanying notes to financial statements.

76  /  Annual Report March 2010

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 83.21%
ASSET-BACKED SECURITIES — 27.72%**
ABFS Mortgage Loan Trust 2002-2 A7 (STEP)
5.72%	07/15/33		$	2,939	$	2,912
Aerco Ltd. 2A A3 (United Kingdom)
0.69%	07/15/25	2,3,4		3,165,135		1,867,430
Asset Backed Funding Certificates 2007-WMC1 A2B
1.25%	06/25/37	3		5,000,000		2,170,859
Asset Backed Securities Corp. Home Equity 2007-HE1 A2
0.30%	12/25/36	3		50,578		49,393
Aviation Capital Group Trust 2003-2A B1
3.24%	09/20/33	3,4,†		2,405,222		1,443,090
Centex Home Equity 2006-A AV4
0.50%	06/25/36	3		4,300,000		2,227,418
Citicorp Residential Mortgage Securities, Inc. 2007-1 A5 (STEP)
6.05%	03/25/37			1,750,000		1,552,868
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3
0.43%	03/25/37	3		5,000,000		2,178,154
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1
0.65%	03/25/37	3		6,500,000		359,437
Conseco Finance 2002-C BF1
8.00%	06/15/32	3		3,763,000		3,379,929
Conseco Finance 2002-C BF2
8.00%	06/15/32	3,4		1,112,378		572,550
Conseco Finance Securitizations Corp. 2002-1 A
6.68%	12/01/33	3		122,783		121,597
Conseco Finance Securitizations Corp. 2002-2 AIO (IO)
8.50%	03/01/33	3,5,†		153,025		3,249
Conseco Financial Corp. 1996-10 M1
7.24%	11/15/28	3		2,700,000		2,333,878
Conseco Financial Corp. 1996-8 A6
7.60%	10/15/27	3		40,343		41,549
Conseco Financial Corp. 1998-4 A7
6.87%	04/01/30	3		730,975		691,718
Conseco Financial Corp. 1999-5 A5
7.86%	03/01/30	3		152,717		128,824
Countrywide Asset-Backed Certificates 2007-4 A1A
0.35%	09/25/37	3		839,586		805,442
Countrywide Asset-Backed Certificates 2007-4 A2
5.53%	09/25/37			930,000		813,490
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3
0.40%	05/25/36	3		6,900,000		3,708,496

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Crystal River 2005-1A A (Cayman Islands)
0.61%	03/02/46	2,3,4,†	$	641,304	$	51,293
Deutsche Financial Capital Securitization LLC 1997-I A3
6.75%	09/15/27			69,164		66,230
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D
0.47%	01/25/38	3		6,900,000		3,077,000
GE SeaCo Finance SRL 2004-1A A (Barbados)
0.53%	04/17/19	2,3,4,†		490,000		439,766
GE SeaCo Finance SRL 2005-1A A (Barbados)
0.48%	11/17/20	2,3,4,†		184,167		158,840
Green Tree 2008-MH1 A3
8.97%	04/25/38	3,4		2,732,556		2,819,401
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			42,924		33,539
Green Tree Home Improvement Loan Trust 1995-D B2
7.45%	09/15/25			103,877		74,430
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			17,821		13,599
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates
7.65%	10/15/17			9,308		8,142
HSBC Home Equity Loan Trust 2004-1 A
0.59%	09/20/33	3		941,153		832,326
HSBC Home Equity Loan Trust 2007-1 M1
0.62%	03/20/36	3		1,210,000		738,100
HSBC Home Equity Loan Trust 2007-2 M1
0.55%	07/20/36	3,†		1,950,000		1,170,014
HSBC Home Equity Loan Trust 2007-2 M2
0.61%	07/20/36	3,†		650,000		421,390
IndyMac Manufactured Housing Contract 1997-1 A3
6.61%	02/25/28			804,792		569,070
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			397,385		282,529
IndyMac Manufactured Housing Contract 1998-1 A4
6.49%	09/25/28			206,897		143,963
IndyMac Manufactured Housing Contract 1998-1 A5
6.96%	09/25/28	3		738,917		523,889
IndyMac Manufactured Housing Contract 1998-2 A2
6.17%	12/25/11			154,866		145,331

See accompanying notes to financial statements.

Annual Report March 2010  /  77

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Manufactured Housing Contract 1998-2 A4
6.64%	12/25/27	3	$	985,693	$	928,163
JPMorgan Mortgage Acquisition Corp. 2007-CH5 A3
0.36%	05/25/37	3		1,575,000		835,096
Lehman ABS Mortgage Loan Trust 2007-1 2A1
0.34%	06/25/37	3,4		139,243		51,925
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C
0.83%	08/25/35	3		1,306,732		969,562
Mid-State Trust 11 B
8.22%	07/15/38			18,475		17,118
Mid-State Trust 2004-1 B
8.90%	08/15/37			1,395,846		1,289,695
Mid-State Trust 6 A4
7.79%	07/01/35			54,128		50,749
Nationstar Home Equity Loan Trust 2007-A AV4
0.48%	03/25/37	3		5,000,000		2,338,985
Oakwood Mortgage Investors, Inc. 1998-A A4
6.20%	05/15/28			2,803		2,807
Oakwood Mortgage Investors, Inc. 1998-B A4
6.35%	03/15/17			179,332		175,985
Oakwood Mortgage Investors, Inc. 1999-A A2
5.89%	04/15/29			202,232		191,486
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO)
6.00%	05/15/10	5,†		1,807,582		49,384
Origen Manufactured Housing 2006-A A1
0.38%	11/15/18	3		2,659,413		2,530,641
PAMCO CLO 1998-1A B2 (Cayman Islands)
1.60%	05/01/10	2,3,4,5,†		747,941		112,137
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1
0.32%	02/25/37	3		48,217		45,795
Residential Asset Securities Corp. 2007-KS2 AI1
0.32%	02/25/37	3		64,712		62,173
Specialty Underwriting & Residential Finance 2004-BC4 A2C
0.74%	10/25/35	3		2,059,688		1,635,901
Structured Asset Receivables Trust 2005-1A Certificates
0.75%	01/21/15	3,4		12,070,575		10,727,723
Structured Asset Securities Corp. 2007-BC3 2A2
0.39%	05/25/47	3		1,960,000		1,225,500
Terwin Mortgage Trust 2004-7HE A1
0.80%	07/25/34	3,4		122,539		102,357

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Triton Container Finance LLC 2006-1A Note
0.42%	11/26/21	3,4	$	383,333	$	334,219
UCFC Home Equity Loan 1998-D BF1
8.97%	04/15/30	3		585		233
Wells Fargo Home Equity Trust 2007-2 M1
0.62%	04/25/37	3		5,000,000		27,304
Total Asset-Backed Securities
(Cost $88,214,479)						59,726,073
CORPORATES — 27.19%*
Banking — 6.66%
BAC Capital Trust XV
1.05%	06/01/56	3		2,000,000		1,363,382
Chase Capital II B
0.75%	02/01/27	3		3,144,000		2,462,632
Chase Capital VI
0.87%	08/01/28	3		1,000,000		783,746
Credit Suisse/Guernsey 1 (Switzerland)
0.94%	05/29/49	2,3		4,900,000		3,852,625
Deutsche Bank Capital Funding Trust VII
5.63%	01/19/49	3,4		1,000,000		845,000
Fleet Capital Trust V
1.26%	12/18/28	3		950,000		655,907
GMAC, Inc.
2.45%	12/01/14	3		1,538,000		1,356,008
7.25%	03/02/11			1,266,000		1,294,485
Nationsbank Capital Trust III
0.80%	01/15/27	3		1,000,000		703,662
Nationsbank Capital Trust IV
8.25%	04/15/27			1,010,000		1,027,675
						14,345,122
Communications — 0.42%
Qwest Corp.
7.88%	09/01/11			850,000		905,250
Electric — 0.47%
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			876,000		1,020,009
Energy — 2.80%
Dynegy Roseton/Danskammer Pass-Through Trust A
7.27%	11/08/10			107,711		108,115
Sabine Pass LNG LP
7.25%	11/30/13			3,930,000		3,713,850
Southern Union Co.
7.20%	11/01/66	3		1,000,000		927,500
Valero Energy Corp.
10.50%	03/15/39			1,000,000		1,287,752
						6,037,217

See accompanying notes to financial statements.

78  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance — 6.73%
Astoria Depositor Corp.
8.14%	05/01/21	4	$	1,200,000	$	1,170,750
Barnett Capital III
0.87%	02/01/27	3		1,000,000		690,573
Citigroup, Inc.
0.80%	08/25/36	3		2,350,000		1,425,980
General Electric Capital Corp. (MTN)
0.63%	05/05/26	3		2,319,000		1,908,961
Goldman Sachs Group, Inc. (The)
0.43%	02/06/12	3		750,000		746,357
0.75%	01/12/15	3		750,000		734,254
1.05%	12/05/11	3		1,775,000		1,800,697
JPMorgan Chase Capital XXIII
1.25%	05/15/47	3		200,000		151,370
Morgan Stanley (MTN)
0.70%	10/18/16	3		4,050,000		3,702,772
Prudential Holdings LLC
8.70%	12/18/23	4		1,000,000		1,176,405
Raymond James Financial, Inc.
8.60%	08/15/19			860,000		984,510
						14,492,629
Health Care — 0.47%
CHS/Community Health Systems, Inc.
8.88%	07/15/15			985,000		1,021,938
Insurance — 0.43%
Farmers Exchange Capital
7.05%	07/15/28	4		1,000,000		923,188
Materials — 0.66%
Noranda Aluminium Holding Corp. (PIK)
7.02%	11/15/14			1,983,476		1,418,185
Real Estate Investment Trust (REIT) — 1.07%
HCP, Inc.
7.07%	06/08/15			500,000		536,192
HRPT Properties Trust
0.86%	03/16/11	3		750,000		738,284
Shurgard Storage Centers LLC
7.75%	02/22/11			1,000,000		1,038,042
						2,312,518
Transportation — 7.48%
American Airlines Pass-Through Trust 2001-02
6.98%	04/01/11			28,668		28,812
American Airlines Pass-Through Trust 2009-1A
10.38%	07/02/19			993,113		1,147,045

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust 1997-1 A
7.46%	04/01/15		$	2,638,573	$	2,605,591
Continental Airlines Pass-Through Trust 2007-1 A
5.98%	04/19/22			2,950,000		2,912,181
Continental Airlines Pass-Through Trust 2007-1 B
6.90%	04/19/22			2,650,000		2,411,500
Delta Air Lines, Inc.
9.50%	09/15/14	4		700,000		735,000
Delta Air Lines, Inc. 2001 A2
7.11%	09/18/11			3,070,000		3,208,150
JetBlue Airways Pass-Through Trust 2004-2 G1
0.63%	08/15/16	3		1,103,621		874,730
Northwest Airlines, Inc. 2001 1A-2
6.84%	04/01/11			1,200,000		1,209,000
UAL Pass-Through Trust 2009-1
10.40%	11/01/16			900,000		974,250
						16,106,259
Total Corporates
(Cost $51,562,980)						58,582,315
BANK LOANS — 6.24%*
Consumer Discretionary — 1.18%
Tribune 1st Lien Term Loan B
0.00%	06/04/14	6,7,8		3,969,987		2,537,485
Electric — 1.56%
Boston Generating LLC 1st Lien
2.00%	12/20/13	6		2,924,017		2,471,710
TPF Generation Holdings LLC 2nd Lien
4.54%	12/15/14	6		1,000,000		896,250
						3,367,960
Finance — 1.61%
Kelson 1st Lien
3.54%	03/08/13	6		3,539,368		3,462,497
Health Care — 0.95%
Carestream Health, Inc. Term Loan
5.50%	10/30/13	6		2,250,000		2,057,062
Insurance — 0.46%
Asurion Corp. Term Loan
3.23%	07/03/14	6		995,000		986,501

See accompanying notes to financial statements.

Annual Report March 2010  /  79

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Transportation — 0.48%
United Air Lines, Inc.
2.25%	02/01/14	6	$	1,184,713	$	1,031,546
Total Bank Loans
(Cost $14,519,851)						13,443,051
MORTGAGE-BACKED — 21.03%**
Commercial Mortgage-Backed — 1.48%
Bayview Commercial Asset Trust 2007-1 A1
0.47%	03/25/37	3,4		4,369,893		3,190,022
Non-Agency Mortgage-Backed — 4.20%
Banco de Credito Y Securitizacion SA 2001-1 AF (Argentina)
8.00%	05/31/10	2,4,5		459,586		45,959
BHN I Mortgage Fund 2000-1 AF (Argentina)
8.00%	03/31/11	2,4,5		110		13
Lehman XS Trust 2007-12N 1A3A
0.45%	07/25/47	3		14,120,000		3,812,400
Morgan Stanley Mortgage Loan Trust 2006-7 5A2
5.96%	06/25/36	3		3,500,000		2,060,074
Opteum Mortgage Acceptance Corp. 2005-5 2A1B
5.64%	12/25/35	3		957,294		788,261
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO)
0.76%	08/25/46	5,9		209,081,014		2,299,891
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			53,514		53,542
						9,060,140
U.S. Agency Mortgage-Backed — 15.35%
Fannie Mae 1993-80 S
10.53%	05/25/23	3		16,543		18,154
Fannie Mae 2000-45 SA (IO)
7.71%	12/18/30	3		2,591,139		420,867
Fannie Mae 2001-42 SB
8.50%	09/25/31	3		2,319		2,582
Fannie Mae 2003-107 SQ (IO)
7.40%	05/25/33	3		191,087		6,275
Fannie Mae 2003-124 IO (IO)
5.25%	03/25/31			149,731		13,184
Fannie Mae 2003-124 TS
9.80%	01/25/34	3		40,529		47,710
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			1,022,115		122,702
Fannie Mae 2003-85 IP (IO)
5.50%	12/25/28			24,638		300
Fannie Mae 2005-47 SL
7.50%	06/25/35	3		364,143		355,877

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae 2005-92 US (IO)
5.85%	10/25/25	3	$	11,730,911	$	1,023,168
Fannie Mae 2008-50 SA (IO)
5.80%	11/25/36	3		11,085,705		1,167,688
Freddie Mac 1602 SN
10.09%	10/15/23	3		14,590		18,832
Freddie Mac 2527 TI (IO)
6.00%	02/15/32			323,185		19,125
Freddie Mac 2561 BX (IO)
5.00%	05/15/17			843,757		40,711
Freddie Mac 2596 IJ (IO)
5.00%	01/15/17			197,320		2,814
Freddie Mac 2642 BW (IO)
5.00%	06/15/23			125,369		17,134
Freddie Mac 2657 LX (IO)
6.00%	05/15/18			633,622		71,706
Freddie Mac 2764 CT
7.50%	03/15/34	3		176,250		171,196
Freddie Mac 2764 SH
7.50%	03/15/34	3		178,654		177,594
Freddie Mac 2827 JT
8.50%	12/15/32	3		58,312		60,418
Freddie Mac 2856 ST
7.00%	09/15/23	3		231,143		233,054
Freddie Mac 3242 SA (IO)
6.12%	11/15/36	3		40,207,020		4,157,808
Freddie Mac 3247 SI (IO)
0.15%	08/15/36	3		98,049,662		262,175
Freddie Mac 3260 AS (IO)
6.15%	01/15/37	3		44,848,243		3,553,210
Freddie Mac 3280 SI (IO)
6.21%	02/15/37	3		27,739,951		2,967,035
Freddie Mac 3289 SD (IO)
5.89%	03/15/37	3		15,720,152		1,391,903
Ginnie Mae 2001-31 SJ
27.16%	02/20/31	3		81,862		114,042
Ginnie Mae 2003-28 LI (IO)
5.50%	02/20/32			86,877		4,326
Ginnie Mae 2004-8 SE
13.81%	11/26/23	3		370,952		420,789
Ginnie Mae GNSF (TBA)
5.00%	04/15/40			15,600,000		16,208,157
						33,070,536
Total Mortgage-Backed
(Cost $35,540,260)						45,320,698

See accompanying notes to financial statements.

80  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
U.S. AGENCY SECURITIES — 1.03%
U.S. Agency Securities — 1.03%
Freddie Mac
0.37%	02/03/12	3	$	2,215,000	$	2,218,413
Total U.S. Agency Securities
(Cost $2,215,000)						2,218,413
Total Bonds – 83.21%
(Cost $192,052,570)						179,290,550
Issues	Maturity Date		Shares		Value
PREFERRED STOCK — 0.69%
Automotive — 0.10%
Corts Trust for Ford Motor Co.
8.00%	07/16/31			700		16,576
Preferred Plus Trust Ford Motor Co.
8.25%	07/16/31			8,100		191,970
						208,546
Communications — 0.59%
Corts Trust for US West Communications
7.50%	11/15/43			7,118		165,707
Preferred Plus Trust Citizens Communications Co.
8.38%	10/01/46			12,100		291,247
Preferred Plus Trust Qwest Capital Funding
7.75%	02/15/31			9,650		214,616
8.00%	02/15/31			19,500		448,500
Preferred Plus Trust Verizon Global Funding Corp.
7.63%	12/01/30			6,100		157,746
						1,277,816
Finance — 0.00%
Terwin Mortgage Trust 2005-P1 A
0.00%5,6				570		1
Total Preferred Stock
(Cost $1,490,574)						1,486,363
Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 41.81%
Commercial Paper — 5.05%
BNP Paribas Finance, Inc.
0.19%10	04/27/10		$	3,780,000		3,779,481
Credit Agricole North America, Inc.
0.20%10	05/03/10			3,780,000		3,779,345

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS (continued)
Commercial Paper (continued)
Lloyds Banking Group Plc
0.21%10	04/26/10		$	3,325,000	$	3,324,515
						10,883,341
Money Market Fund — 26.13%
Dreyfus Cash Advantage Fund
0.11%11				6,310,000		6,310,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%11				9,747,000		9,747,000
Goldman Sachs Financial Square Funds - Prime Obligations Fund
0.05%11,12				40,253,000		40,253,000
						56,310,000
U.S. Agency Discount Notes — 0.89%
Freddie Mac
0.11%10	05/04/10		$	1,915,000		1,914,842
U.S. Treasury Bills — 9.74%
U.S. Treasury Bills
0.09%10	05/13/10	13		90,000		89,987
0.11%10	05/06/10			20,905,000		20,902,775
						20,992,762
Total Short Term Investments
(Cost $90,100,914)						90,100,945
Total Investments – 125.71%
(Cost $283,644,058)1						270,877,858
Liabilities in Excess of Other Assets – (25.71)%						(55,402,354	)
NET ASSETS – 100.00%					$	215,475,504

See accompanying notes to financial statements.

Annual Report March 2010  /  81

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Schedule of Portfolio Investments

March 31, 2010

Contracts		Unrealized Depreciation
FUTURES CONTRACTS: SHORT POSITIONS
12	Euro Dollar Ninety Day, Expiration September 2010	$	(31,030	)
12	Euro Dollar Ninety Day, Expiration December 2010		(34,455	)
12	Euro Dollar Ninety Day, Expiration March 2011		(35,155	)
12	Euro Dollar Ninety Day, Expiration June 2011		(34,855	)
12	Euro Dollar Ninety Day, Expiration September 2011		(33,767	)
7	Euro Dollar Ninety Day, Expiration December 2011		(20,629	)
7	Euro Dollar Ninety Day, Expiration March 2012		(19,068	)
7	Euro Dollar Ninety Day, Expiration June 2012		(17,493	)
	Net unrealized depreciation	$	(226,452	)

	Expiration Date	Notional Amount (000’s)		Appreciation/ Depreciation		Value
SWAPS: INTEREST RATE
Six month forward rate swap based upon the spread between the CMM30-FNMA rate and 10 year CMS rate plus 0.49%. The Fund receives an amount equal to the difference between the CMM30-FNMA rate minus the 10 year CMS rate plus 0.49% times the notional amount if positive. The Fund owes a comparable amount if negative. Counterparty: Goldman Sachs Group, Inc. (The)
	05/27/10	$	1,500	$	25,011	$	25,011
The Fund pays a fixed rate equal to 4.10% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Citigroup, Inc.
	10/24/38		2,025		98,631		98,631
		$	3,525	$	123,642	$	123,642

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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 the Home Depot, Inc., 3.75%, due 09/15/09. Counterparty: Morgan Stanley
09/20/12	$	–	$	2,500	$	(10,409	)	$	(10,409	)
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. (The)
12/20/12		–		700		1,157			1,157
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		(224	)		(224	)

Expiration Date	Premiums Paid/ Received			Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc., 8.25%, due 06/01/10. Counterparty: Citigroup, Inc.
12/20/12	$	–		$	750	$	(1,379	)	$	(1,379	)
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., 6.13%, due 12/01/12. Counterparty: UBS AG
12/20/12		–			1,000		(16,840	)		(16,840	)
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		(53,142	)		(53,142	)
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		(37,220	)		(37,220	)
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., 7.13%, due 02/01/16. Counterparty: Deutsche Bank AG
03/20/13		–			300		(14,623	)		(14,623	)
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., 7.13%, due 02/01/16. Counterparty: Morgan Stanley
03/20/13		–			300		(14,623	)		(14,623	)
The Fund pays a fixed rate equal to 0.82% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Arrow Electronics, Inc., 6.88%, due 06/01/18. Counterparty: Citigroup, Inc.
03/20/14		–			345		3,888			3,888
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 Hewlett Packard Co., 5.40%, due 03/01/17. Counterparty: Citigroup, Inc.
03/20/14		–			345		(4,744	)		(4,744	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Deutsche Bank AG
12/20/14		(1,912	)		635		(8,339	)		(10,251	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Kohl’s Corp., 6.25%, due 12/15/17. Counterparty: Morgan Stanley
12/20/14		(2,204	)		640		(8,128	)		(10,332	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: CS First Boston
12/20/14		(9,755	)		640		(9,834	)		(19,589	)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Target Corp., 4.00%, due 06/15/13. Counterparty: Deutsche Bank AG
12/20/14		(9,679	)		635		(9,757	)		(19,436	)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
03/20/15		–			600		(42,528	)		(42,528	)
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
09/20/16		6,846			170		2,467			9,313

See accompanying notes to financial statements.

82  /  Annual Report March 2010

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Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
09/20/16	$	7,254	$	130	$	(132	)	$	7,122
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		7,254		130		(132	)		7,122
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
09/20/16		11,926		170		7,517			19,443
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		1,592		45		906			2,498
The Fund pays a fixed rate equal to 1.00% 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
09/20/16		15,473		800		28,943			44,416
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
09/20/16		68,583		2,100		48,010			116,593
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers, Inc., 5.15%, due 05/15/15. Counterparty: CS First Boston
09/20/16		14,002		2,500		76,728			90,730
	$	109,380	$	16,910	$	(62,438	)	$	46,942

Expiration Date	Credit Rating a	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation		Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	–	$	460	$	20,455	$	20,455

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Depreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES
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	$	(1,610,699	)	$	3,000	$	(279,040	)	$	(1,889,739	)
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: Goldman Sachs Group, Inc. (The)
08/25/37		(2,342,116	)		4,800		(681,467	)		(3,023,583	)

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Depreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (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 the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley
08/25/37	$	(556,408	)	$	1,160	$	(174,291	)	$	(730,699	)
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: Morgan Stanley
08/25/37		(1,024,676	)		2,100		(298,141	)		(1,322,817	)
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		(961,506	)		5,890		(2,748,682	)		(3,710,188	)
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		(2,631,524	)		5,000		(519,805	)		(3,151,329	)
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: CS First Boston
01/25/38		(2,764,285	)		5,300		(576,124	)		(3,340,409	)
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: Royal Bank of Scotland Group Plc
01/25/38		(1,630,918	)		3,200		(385,933	)		(2,016,851	)
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: Goldman Sachs Group, Inc. (The)
01/25/38		(1,656,401	)		3,250		(391,963	)		(2,048,364	)
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: Morgan Stanley
01/25/38		(1,034,179	)		2,400		(478,459	)		(1,512,638	)
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: Bank of America Corp.
05/25/46		(2,907,693	)		3,718		(307,499	)		(3,215,192	)
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: CS First Boston
05/25/46		(3,634,616	)		4,647		(384,374	)		(4,018,990	)
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: CS First Boston
05/25/46		(2,808,911	)		3,625		(325,901	)		(3,134,812	)
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: Royal Bank of Scotland Group Plc
05/25/46		(2,471,539	)		3,160		(261,374	)		(2,732,913	)
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: Goldman Sachs Group, Inc. (The)
05/25/46		(2,029,141	)		2,602		(221,493	)		(2,250,634	)

See accompanying notes to financial statements.

Annual Report March 2010  /  83

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2010

Expiration Date	Premiums Paid/ (Received)			Notional Amount (000’s) b		Depreciation			Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - TRADED INDICES (continued)
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc.
05/25/46	$	(393,723	)	$	1,085	$	(145,716	)	$	(539,439	)
	$	(30,458,335	)	$	54,937	$	(8,180,262	)	$	(38,638,597	)

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $284,300,372 and net unrealized appreciation/(depreciation) consists of:

Gross unrealized appreciation	$	13,707,391
Gross unrealized depreciation		(27,129,905	)
Net unrealized depreciation	$	(13,422,514	)

² U.S. dollar denominated security issued by foreign domiciled entity.

³ Floating rate security. The rate disclosed is that in effect at March 31, 2010.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $26,767,068 representing 12.42% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $2,510,634 which is 1.17% of total net assets.

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 Total Net Assets
07/03/07	Asurion Corp. Term Loan, 3.23%, 07/03/14	$	988,929	$	986,501	0.46	%
12/19/06	Boston Generating LLC 1st Lien, 2.00%, 12/20/13		2,924,017		2,471,710	1.15	%
04/12/07	Carestream Health, Inc. Term Loan, 5.50%, 10/30/13		2,261,529		2,057,062	0.95	%
04/16/08	Kelson 1st Lien, 3.54%, 03/08/13		3,315,482		3,462,497	1.61	%
04/19/05	Terwin Mortgage Trust 2005-P1 A, 0.00%		2,893		1	0.00	%
12/21/06	TPF Generation Holdings LLC 2nd Lien, 4.54%, 12/15/14		1,000,000		896,250	0.41	%
05/17/07	Tribune 1st Lien Term Loan B, 0.00%, 06/04/14		2,845,181		2,537,485	1.18	%
02/01/07	United Air Lines, Inc., 2.25%, 02/01/14		1,184,713		1,031,546	0.48	%
		$	14,522,744	$	13,443,052	6.24	%

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

⁸ Non-income producing security.

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2010.

¹⁰ Represents annualized yield at date of purchase.

¹¹ Represents the current yield as of March 31, 2010.

^† Fair valued security. The aggregate value of fair valued securities is $3,849,163 which is 1.79% 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. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

¹² Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $40,253,000.

¹³ Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $89,985.

* 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

(LIBOR): London InterBank Offer Rate

(MTN): Medium term note

(PIK): Payment in kind

(STEP): Step coupon bond

(TBA): To be announced

See accompanying notes to financial statements.

84  /  Annual Report March 2010

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
BONDS – 68.80%
ASSET-BACKED SECURITIES — 28.83%**
ACE Securities Corp. 2004-FM1 B1A
5.50%	09/25/33	2	$	17,188	$	3,076
ACE Securities Corp. 2006-SL1 A
0.41%	09/25/35	2		363,498		74,766
Aerco Ltd. 2A A4 (United Kingdom)
0.75%	07/15/25	2,3,4,†		15,786		14,839
Asset Backed Securities Corp. Home Equity 2005-HE6 A2D
0.53%	07/25/35	2		11,776		11,703
Aviation Capital Group Trust 2003-2A B1
3.24%	09/20/33	2,4,†		73,667		44,199
Aviation Capital Group Trust 2003-2A G2
1.04%	09/20/33	2,4,†		61,358		42,950
Castle Trust 2003-1AW A1
0.98%	05/15/27	2,4,†		99,475		71,620
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M2
2.40%	07/25/37	2		114,000		5,360
Conseco Finance Home Loan Trust 2000-E M1
8.13%	08/15/31	2		34,884		32,835
Conseco Financial Corp. 1997-4 A5
6.88%	02/15/29			76,956		80,945
Countrywide Asset-Backed Certificates 2004-1 2A
0.49%	04/25/34	2		5,852		4,709
Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP)
3.95%	01/25/33			93,646		81,612
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF12 A2
0.29%	09/25/36	2		4,429		4,395
GE Mortgage Services LLC 1998-HE1 A7
6.47%	06/25/28			2,231		2,180
Green Tree Home Improvement Loan Trust 1995-C B2
7.60%	07/15/20			28,566		22,321
Green Tree Home Improvement Loan Trust 1995-F B2
7.10%	01/15/21			78,090		59,587
Green Tree Home Improvement Loan Trust 1996-B A
6.45%	10/15/15			3,671		3,669
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates
7.24%	12/15/22			31,470		22,383
GSAMP Trust 2007-HE2 A2A
0.35%	03/25/47	2		153,749		139,252
HSBC Home Equity Loan Trust 2007-1 M1
0.62%	03/20/36	2		550,000		335,500

Issues	Maturity Date		Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
IndyMac Home Equity Loan Asset Backed Trust 2002-A M1
1.37%	05/25/33	2	$	470,335	$	273,026
IndyMac Manufactured Housing Contract 1997-1 A4
6.75%	02/25/28			208,784		148,439
Lehman XS Trust 2006-2N 1A1
0.51%	02/25/46	2		81,706		42,059
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D
0.50%	06/25/37	2		100,000		39,471
Merrill Lynch First Franklin Mortgage Loan Trust 2007-4 2A4
0.50%	07/25/37	2		30,000		10,854
Nationstar Home Equity Loan Trust 2007-B 2AV4
0.57%	04/25/37	2		205,000		87,928
Option One Mortgage Loan Trust 2002-1 A
0.83%	02/25/32	2		155,942		102,304
Option One Mortgage Loan Trust 2003-2 A2
0.85%	04/25/33	2		105,874		87,381
Option One Mortgage Loan Trust 2003-5 A2
0.89%	08/25/33	2		71,310		57,207
Residential Asset Mortgage Products, Inc. 2003-RS1 AII
1.03%	02/25/33	2		51,878		26,746
Residential Asset Securities Corp. 2003-KS3 A2
0.85%	05/25/33	2		35,062		19,927
Residential Asset Securities Corp. 2007-KS4 A2
0.43%	05/25/37	2		100,000		64,428
Resmae Mortgage Loan Trust 2006-1 A1B
0.52%	02/25/36	2,4		263,851		45,462
SACO I, Inc. 2005-2 A
0.45%	04/25/35	2,4		3,541		1,466
Saxon Asset Securities Trust 2004-1 M1
1.04%	03/25/35	2		252,720		169,074
Soundview Home Equity Loan Trust 2007-OPT1 2A1
0.33%	06/25/37	2		122,870		103,221
Structured Asset Receivables Trust 2005-1A Certificates
0.75%	01/21/15	2,4		564,739		501,912
Terwin Mortgage Trust 2004-13AL 2PX (IO)
0.34%	08/25/34	4,5		12,631,128		104,389
Terwin Mortgage Trust 2005-7SL A1
0.52%	07/25/35	2,4		10,862		10,695
UCFC Home Equity Loan 1998-D MF1
6.91%	04/15/30			260,545		228,782
Total Asset-Backed Securities
(Cost $4,476,726)						3,182,672

See accompanying notes to financial statements.

Annual Report March 2010  /  85

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
CORPORATES — 18.61%*
Banking — 6.61%
Chase Capital II B
0.75%	02/01/27	2	$	650,000	$	509,132
Credit Suisse/Guernsey 1 (Switzerland)
0.94%	05/29/49	2,3		280,000		220,150
						729,282
Electric — 1.24%
KCP&L Greater Missouri Operations Co.
11.88%	07/01/12			80,000		93,151
W3A Funding Corp.
8.09%	01/02/17			43,321		43,620
						136,771
Finance — 9.01%
Citigroup, Inc.
1.95%	05/15/18	2		305,000		287,605
General Electric Capital Corp. (MTN)
0.63%	05/05/26	2		325,000		267,535
MBNA Capital A
8.28%	12/01/26			100,000		101,500
MBNA Capital B
1.05%	02/01/27	2		175,000		120,762
Prudential Holdings LLC (AGM)
1.14%	12/18/17	2,4		100,000		84,848
Woodbourne Capital Trust I
2.73%	04/08/49	2,4,5		150,000		33,000
Woodbourne Capital Trust II
2.73%	04/08/49	2,4,5		150,000		33,000
Woodbourne Capital Trust III
2.73%	04/08/49	2,4,5		150,000		33,000
Woodbourne Capital Trust IV
2.73%	04/08/49	2,4,5		150,000		33,000
						994,250
Transportation — 1.75%
Continental Airlines Pass-Through Trust 1997-4 A
6.90%	01/02/18			173,671		174,974
Continental Airlines Pass-Through Trust 2002-1 G1
0.70%	08/15/11	2,†		19,510		18,729
						193,703
Total Corporates
(Cost $2,375,046)						2,054,006
BANK LOANS — 1.52%*
Transportation — 1.52%
United Air Lines, Inc.
2.25%	02/01/14	6		192,222		167,371

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED — 19.84%**
Commercial Mortgage-Backed — 0.43%
Bayview Commercial Asset Trust 2004-3 A1
0.62%	01/25/35	2,4	$	65,674	$	47,648
Non-Agency Mortgage-Backed — 15.22%
American Home Mortgage Investment Trust 2007-2 11A1
0.48%	03/25/47	2		109,012		57,476
Banc of America Mortgage Securities, Inc. 2003-A 2A2
3.62%	02/25/33	2		9,886		8,366
Countrywide Alternative Loan Trust 2005-16 A5
0.53%	06/25/35	2		170,618		50,505
Countrywide Alternative Loan Trust 2005-27 3A2
1.56%	08/25/35	2		101,694		50,301
Countrywide Alternative Loan Trust 2005-61 2A1
0.53%	12/25/35	2		611,093		398,101
CS First Boston Mortgage Securities Corp. 1997-2 A
7.50%	06/25/20	4		11,484		10,445
Deutsche Bank Alternate Loan Trust 2006-AR6 A3
0.34%	02/25/37	2		8,598		8,437
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR1 A2A
0.65%	09/19/44	2		64,760		40,506
Downey Savings & Loan Association
Mortgage Loan Trust 2004-AR3 2A2A
0.61%	07/19/44	2		17,782		10,762
First Horizon Asset Securities, Inc. 2003-AR1 2A1
2.79%	03/25/33	2		16,620		14,915
Harborview Mortgage Loan Trust 2004-8 2A4A
0.64%	11/19/34	2		90,364		55,491
Harborview Mortgage Loan Trust 2005-11 2A1A
0.55%	08/19/45	2		170,139		107,871
IndyMac Index Mortgage Loan Trust 2004-AR12 A1
0.64%	12/25/34	2,†		229,120		132,885
Indymac Index Mortgage Loan Trust 2004-AR5 2A1A
1.11%	08/25/34	2		31,103		18,807
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B
1.03%	10/25/36	2		121,848		69,982
IndyMac Index Mortgage Loan Trust 2005-AR2 2A2A
0.59%	02/25/35	2		99,376		58,121

See accompanying notes to financial statements.

86  /  Annual Report March 2010

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2010

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A
0.47%	04/25/46	2	$	129,182	$	67,504
Residential Asset Mortgage Products, Inc. 2003-SL1 A11
7.13%	03/25/16			153,111		151,775
Residential Asset Mortgage Products, Inc. 2003-SL1 A41
8.00%	04/25/31			43,337		42,606
Residential Asset Mortgage Products, Inc. 2004-SL1 A2
8.50%	11/25/31			18,609		18,112
Structured Asset Mortgage Investments, Inc. 2006-AR5 1A1
0.46%	05/25/46	2		136,085		65,381
Structured Asset Securities Corp. 2003-15A 2A1
2.81%	04/25/33	2		78,956		60,468
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A
1.87%	06/25/42	2		17,128		13,346
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A
7.00%	04/25/33			167,697		167,786
						1,679,949
U.S. Agency Mortgage-Backed — 4.19%
Fannie Mae 1997-91 SL (IO)
7.50%	11/25/23	2		295,447		49,128
Fannie Mae 2003-37 IG (IO)
5.50%	05/25/32			249,296		29,927
Fannie Mae 2003-62 IG (IO)
5.00%	10/25/31			1,000,000		176,790
Fannie Mae G-36 ZB
7.00%	11/25/21			3,212		3,505
Fannie Mae Pool 646884
2.17%	05/01/32	2,7		81,422		83,048
Fannie Mae Pool 802665
3.74%	12/01/34	2		19,040		19,222
Freddie Mac 2 L
8.00%	11/25/22			24,512		27,515
Freddie Mac Non Gold Pool 781908
2.79%	09/01/34	2		72,031		73,615
						462,750
Total Mortgage-Backed
(Cost $2,195,138)						2,190,347
Total Bonds – 68.80%
(Cost $9,239,132)						7,594,396

Issues	Maturity Date		Shares/ Principal Amount		Value
SHORT TERM INVESTMENTS — 24.08%
Commercial Paper — 3.76%
Lloyds Banking Group Plc
0.21%8	04/26/10		$	415,000	$	414,939
Money Market Fund — 9.82%
BlackRock Liquidity Funds TempFund Portfolio
0.12%				542,000		542,000
Fidelity Institutional Money Market Funds - Prime Money Market Portfolio
0.14%9				542,000		542,000
						1,084,000
U.S. Treasury Bills — 10.50%
U.S. Treasury Bills
0.09%8	05/13/10	10	$	640,000		639,903
0.10%8	05/13/10			55,000		54,992
0.14%8	05/06/10	10		465,000		464,936
						1,159,831
Total Short Term Investments
(Cost $2,658,804)						2,658,770
Total Investments – 92.88%
(Cost $11,897,936)1						10,253,166
Cash and Other Assets, Less Liabilities – 7.12%						785,524
Net Assets – 100.00%					$	11,038,690

Contracts		Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
4	S&P 500 E Mini Index
	Expiration June 2010	$	(438	)
36	S&P 500 Index,
	Expiration June 2010		349,027
	Net unrealized appreciation	$	348,589

	Expiration Date	Premiums Paid/ Received	Notional Amount (000’s) b	Appreciation/ Depreciation	Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES
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., 6.00%, due 08/15/35. Counterparty: Deutsche Bank AG
	03/20/14	$—	$  25	$  (1,428)	$  (1,428)
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., 7.13%, due 02/01/16. Counterparty: Citigroup, Inc.
	03/20/15	—	150	(10,632)	(10,632)

See accompanying notes to financial statements.

Annual Report March 2010  /  87

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2010

	Expiration Date	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation/ Depreciation			Value
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES (continued)
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the KB Homes, Inc., 5.75%, due 02/01/14. Counterparty: Citigroup, Inc.
	09/20/16	$	3,157	$	45	$	1,990		$	5,147
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		3,539		100		2,013			5,552
The Fund pays a fixed rate equal to 1.00% 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
	09/20/16		1,547		80		2,895			4,442
The Fund pays a fixed rate equal to 1.00% 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: Citigroup, Inc.
	09/20/16		1,812		45		653			2,465
The Fund pays a fixed rate equal to 1.00% 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: Deutsche Bank AG
	09/20/16		2,232		40		(41	)		2,191
The Fund pays a fixed rate equal to 1.00% 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: Goldman Sachs Group, Inc. (The)
	09/20/16		2,232		40		(41	)		2,191
		$	14,519	$	525	$	(4,591	)	$	9,928

Expiration Date	Credit Rating a	Premiums Paid/ Received		Notional Amount (000’s) b		Appreciation		Value c
SWAPS: CREDIT DEFAULT (WRITTEN) - SINGLE ISSUES
The Fund receives a fixed rate equal to 6.55% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the General Electric Capital Corp., 5.63%, due 09/15/17. Counterparty: CS First Boston
12/20/10	AAA	$	–	$	510	$	22,678	$	22,678
The Fund receives a fixed rate equal to 4.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the Berkshire Hathaway, Inc., 4.63%, due 10/15/13. Counterparty: Barclays Capital, Inc.
03/20/11	AAA		–		400		14,327		14,327
		$	–	$	910	$	37,005	$	37,005

(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))

(IO): Interest only

(MTN): Medium term note

(STEP): Step coupon bond

^a Using Standard & Poor’s rating of the issuer.

^b The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

^c The quoted market prices and resulting values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

Notes:

¹ Cost for federal income tax purposes is $11,954,462 and net unrealized appreciation/ (depreciation) consists of:

Gross unrealized appreciation	$	340,533
Gross unrealized depreciation		(2,041,829	)
Net unrealized depreciation	$	(1,701,296	)

² Floating rate security. The rate disclosed is that in effect at March 31, 2010.

³ U.S. dollar denominated security issued by foreign domiciled entity.

⁴ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at March 31, 2010 was $1,112,473 representing 10.08% of total net assets.

⁵ Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $236,389 which is 2.14% of total net assets.

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 Total Net Assets
02/01/07	United Air Lines, Inc., 2.25%, 02/01/14	$192,222	$167,371	1.52%

⁷ Securities, or a portion there of, pledged as collateral for swaps. The total market value of collateral pledged is $33,901.

⁸ Represents annualized yield at date of purchase.

⁹ Represents the current yield as of March 31, 2010.

¹⁰ Securities, or a portion there of, pledged as collateral for futures. The total market value of collateral pledged is $889,857.

^† Fair valued security. The aggregate value of fair valued securities is $325,222 which is 2.95% 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. This figure does not necessarily indicate the treatment of those securities under ASC 820, as discussed in the Notes to Financial Statements.

^* 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.

See accompanying notes to financial statements.

88   /  Annual Report March 2010

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Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2010

Assets:	Ultra Short Bond Fund			Low Duration     Bond Fund
Investments, at value (Cost $118,424,068, $1,674,335,215, $206,714,140, $8,626,250,309, $712,914,344, $283,644,058, and $11,897,936, respectively) (Note 2)	$	109,189,339		$	1,545,992,275
Cash and cash equivalents (Note 2)		22,049			238,151
Cash on deposit with brokers for collateral on options (Note 3)		–			–
Premiums paid for swap contracts		–			734,851
Unrealized appreciation on swap contracts		151,139			2,419,799
Dividends and interest receivable		295,783			8,953,559
Due from Adviser (Note 6)		20,226			–
Receivable for securities sold		1,258,197			27,659,076
Receivables from Lehman Brothers, at value (Cost $841,064, $1,484,777, $0, $6,546,493, $210,500, $399,950, and $0, respectively) (Note 3)		187,000			330,000
Receivable for capital stock sold		260,863			5,944,306
Receivable for daily variation margin on futures contracts (Note 3)		–			313,500
Other assets		14,140			37,860
Total Assets		111,398,736			1,592,623,377
Liabilities:
Unrealized depreciation on swap contracts		946,806			11,815,073
Premiums received for swap contracts		7,756,050			49,637,431
Payable for securities purchased		455,457			14,713,871
Payable for capital stock redeemed		267,909			5,324,308
Payable for daily variation margin on futures contracts (Note 3)		–			–
Distributions payable		5,964			270,185
Advisory fees payable (Note 6)		36,684			387,850
Audit fees payable		47,325			78,010
Accrued trustees fees and expenses		7,096			49,671
Accrued distribution (12b-1) and service fees payable		2,903			164,540
Accrued other expenses		21,877			254,939
Total liabilities		9,548,071			82,695,878
Net assets	$	101,850,665		$	1,509,927,499
Class M Shares:
Net assets (Applicable to 5,455,703, 125,740,926, 4,405,566, 457,204,615, 50,340,590, 6,430,444, and 2,909,404, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	22,020,421		$	1,032,665,814
Net asset value, offering and redemption price per Class M share	$	4.04		$	8.21
Class I Shares:
Net assets (Applicable to 19,750,261, 57,970,290, 15,968,289, 372,615,691, 24,228,997, 22,508,860, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	79,830,244		$	476,233,038
Net asset value, offering and redemption price per Class I share	$	4.04		$	8.22
Administrative Class:
Net assets (Applicable to 0, 96,978, 0, 117,394, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	1,028,647
Net asset value, offering and redemption price per Administrative Class share		N/A		$	10.61
Net Assets Consist of:
Capital paid-in (Note 8)	$	155,716,599		$	1,817,894,462
Accumulated undistributed net investment income/(loss)		2			1,270
Accumulated undistributed net realized gain/(loss) on investments, futures contracts and swap contracts		(43,181,476	)		(169,136,070	)
Net unrealized appreciation/(depreciation) on investments		(9,888,793	)		(129,497,717	)
Net unrealized appreciation/(depreciation) on futures contracts and swap contracts		(795,667	)		(9,334,446	)
	$	101,850,665		$	1,509,927,499

See accompanying notes to financial statements.

90  /  Annual Report March 2010

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2010

Intermediate Bond Fund			Total Return Bond Fund			High Yield Bond Fund			Strategic Income Fund			AlphaTrak 500 Fund
$	212,777,221		$	9,057,857,939		$	778,455,543		$	270,877,858		$	10,253,166
	33,659			683,842			166,163			60,116			71,078
	–			–			2,819			1,478,325			–
	1,878,752			51,937,327			255,832			132,930			14,519
	244,635			22,145,395			78,999			313,713			44,556
	1,376,936			63,123,603			13,824,429			1,585,766			172,440
	18,597			8,912			92,140			–			–
	181,891			1,002,736,803			615,647			–			1,672,663
	–			1,455,300			46,310			87,989			–
	716,329			37,969,104			5,815,866			8,121			250
	58,180			2,128,967			30,000			–			–
	13,631			84,060			28,924			28,226			18,075
	217,299,831			10,240,131,252			799,412,672			274,573,044			12,246,747
	2,149,841			67,932,504			223,412			8,412,316			12,142
	4,386,575			204,075,571			–			30,481,885			–
	2,083,935			1,504,301,026			20,497,655			16,731,745			934
	1,209,403			24,323,982			1,979,196			2,224,567			1,074,057
	–			–			–			9,975			37,465
	128,717			3,597,129			375,745			789,398			4,850
	62,806			2,475,513			325,044			347,819			22,540
	68,673			118,789			67,167			49,754			39,223
	4,384			170,162			9,120			8,600			4,857
	8,197			809,364			103,714			11,421			–
	28,669			1,063,242			91,925			30,060			11,989
	10,131,200			1,808,867,282			23,672,978			59,097,540			1,208,057
$	207,168,631		$	8,431,263,970		$	775,739,694		$	215,475,504		$	11,038,690
$	44,805,370		$	4,645,081,915		$	523,717,307		$	47,905,836		$	11,038,690
$	10.17		$	10.16		$	10.40		$	7.45		$	3.79
$	162,363,261		$	3,784,988,464		$	252,022,387		$	167,569,668			N/A
$	10.17		$	10.16		$	10.40		$	7.44			N/A
	N/A		$	1,193,591			N/A			N/A			N/A
	N/A		$	10.17			N/A			N/A			N/A
$	203,395,425		$	8,196,384,214		$	716,029,807		$	349,941,692		$	109,827,039
	(128,717	)		390,542			(30,040	)		38,817			190,784
	(133,206	)		(144,615,325	)		(5,493,585	)		(113,101,789	)		(97,715,366	)
	6,063,081			426,516,437			65,377,009			(13,078,161	)		(1,644,770	)
	(2,027,952	)		(47,411,898	)		(143,497	)		(8,325,055	)		381,003
$	207,168,631		$	8,431,263,970		$	775,739,694		$	215,475,504		$	11,038,690

See accompanying notes to financial statements.

Annual Report March 2010  /  91

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2010

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND
Investment Income:
Interest	$	5,125,427		$	62,432,249
Dividends		30,504			248,970
Total investment income		5,155,931			62,681,219
Expenses:
Investment advisory fees (Note 6)		229,994			3,756,172
Administration Fees		72,424			383,316
Custodian fees		19,820			53,502
Distribution (12b-1) and service fees		32,884			1,647,718
Interest expense (Note 3)		213,457			1,321,017
Insurance expense		2,410			26,356
Miscellaneous expenses		8,632			206,385
Pricing fees		37,924			55,018
Professional fees		63,526			103,093
Registration and filing fees		36,814			88,191
Reports to shareholders		5,393			75,838
Transfer agent fees		37,136			452,438
Trustees’ fees and expenses		2,814			33,368
Repayment of reimbursed expenses (Note 6)		–			–
Total operating expenses		763,228			8,202,412
Expenses waived and reimbursed (Note 6)		(204,094	)		(350,653	)
Net expenses		559,134			7,851,759
Net investment income		4,596,797			54,829,460
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts and Swap Contracts:
Net realized gain/(loss) on:
Investments		(12,441,703	)		(61,617,611	)
Futures contracts		(117,293	)		6,018,830
Swap contracts		(48,414	)		26,302,828
Net change in unrealized appreciation/depreciation on:
Investments		22,947,062			231,189,507
Futures contracts		118,569			725,418
Swap contracts		1,825,399			(19,100,457	)
Net change in realized and unrealized gain on investments, futures contracts and swap contracts		12,283,620			183,518,515
Net Increase in Net Assets from Operations	$	16,880,417		$	238,347,975

See accompanying notes to financial statements.

92  /  Annual Report March 2010

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2010

INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND			HIGH YIELD BOND FUND			STRATEGIC INCOME  FUND			ALPHATRAK 500 FUND
$	10,619,818		$	444,714,219		$	45,318,416		$	21,744,797		$	2,215,512
	23,623			807,685			44,324			228,274			9,565
	10,643,441			445,521,904			45,362,740			21,973,071			2,225,077
	650,115			23,730,270			2,221,897			2,206,638			245,054
	96,828			1,815,208			162,644			95,586			44,126
	28,700			235,307			26,869			19,421			16,621
	76,382			7,994,792			688,357			54,259			–
	95,558			4,466,339			63,443			680,954			135,664
	4,084			131,014			4,001			3,231			1,448
	13,584			856,959			46,775			11,030			5,179
	46,883			145,377			22,406			30,114			32,455
	86,445			201,098			62,310			51,505			49,742
	34,736			233,156			85,042			42,093			19,052
	13,228			475,091			36,348			9,716			1,178
	37,425			1,280,477			56,883			36,981			18,408
	3,752			149,270			9,443			5,259			1,603
	–			579,113			–			–			–
	1,187,720			42,293,471			3,486,418			3,246,787			570,530
	(198,493	)		–			(290,531	)		–			(38,492	)
	989,227			42,293,471			3,195,887			3,246,787			532,038
	9,654,214			403,228,433			42,166,853			18,726,284			1,693,039
	2,002,843			7,081,376			15,810,558			(35,634,379	)		(23,910,949	)
	499,679			11,933,760			661,780			261,578			10,952,081
	1,228,815			43,984,345			2,305,114			1,730,758			10,451,464
	21,021,019			899,965,028			79,417,562			78,075,408			34,072,481
	(238,262	)		(2,424,670	)		108,219			22,910			(2,693,900	)
	(3,031,307	)		(101,751,421	)		1,002,871			3,302,844			1,049,102
	21,482,787			858,788,418			99,306,104			47,759,119			29,920,279
$	31,137,001		$	1,262,016,851		$	141,472,957		$	66,485,403		$	31,613,318

See accompanying notes to financial statements.

Annual Report March 2010  /  93

Metropolitan West Funds

Statements of Changes in Net Assets

	ULTRA SHORT BOND FUND
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH 31, 2009
Operations:
Net investment income	$	4,596,797		$	8,589,801
Net realized gain/(loss) on investments		(12,441,703	)		(15,406,422	)
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		(165,707	)		(2,814,781	)
Net change in unrealized appreciation/depreciation on investments		22,947,062			(14,497,728	)
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		1,943,968			(2,079,009	)
Net increase/(decrease) in net assets resulting from operations		16,880,417			(26,208,139	)
Distributions to Shareholders from:
Net investment income:
Class M		(1,152,339	)		(3,710,944	)
Class I		(3,845,404	)		(5,272,633	)
Administrative Class		–			–
Net realized gains:
Class M		–			–
Class I		–			–
Return of capital:
Class M		–			–
Class I		–			–
Net decrease in net assets resulting from distributions		(4,997,743	)		(8,983,577	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		13,561,461			17,449,582
Shares issued in reinvestment of distributions		1,108,206			3,650,066
Cost of shares redeemed		(30,931,284	)		(103,948,728	)
Total Class M capital share transactions		(16,261,617	)		(82,849,080	)
Class I:
Proceeds from sale of shares		46,634,632			50,113,862
Shares issued in reinvestment of distributions		2,955,480			2,957,372
Cost of shares redeemed		(39,349,500	)		(92,472,492	)
Total Class I capital share transactions		10,240,612			(39,401,258	)
Administrative Class:
Proceeds from sale of shares		–			–
Shares issued in reinvestment of distributions		–			–
Cost of shares redeemed		–			–
Total Administrative Class capital share transactions		–			–
Net increase/(decrease) in net assets resulting from capital share transactions		(6,021,005	)		(122,250,338	)
Net increase/(decrease) in net assets		5,861,669			(157,442,054	)
Redemption fees (Note 8)		–			–
Net assets at beginning of year		95,988,996			253,431,050
Net assets at end of year (including undistributed (distributions in excess of) net investment income of $2, $1, $1,270, $352, $(128,717), $(111,526), $390,542 and $(1,678,436), respectively)	$	101,850,665		$	95,988,996

See accompanying notes to financial statements.

94  /  Annual Report March 2010

Metropolitan West Funds

Statements of Changes in Net Assets

LOW DURATION BOND FUND						INTERMEDIATE BOND FUND						TOTAL RETURN BOND FUND
YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009
$	54,829,460		$	90,327,678		$	9,654,214		$	8,843,574		$	403,228,433		$	325,899,179
	(61,617,611	)		(78,805,119	)		2,002,843			(426,098	)		7,081,376			(95,020,356	)
	32,321,658			(42,707,775	)		1,728,494			(2,656,595	)		55,918,105			(96,671,017	)
	231,189,507			(219,716,600	)		21,021,019			(15,443,109	)		899,965,028			(390,501,609	)
	(18,375,039	)		34,582,706			(3,269,569	)		3,464,525			(104,176,091	)		122,318,963
	238,347,975			(216,319,110	)		31,137,001			(6,217,703	)		1,262,016,851			(133,974,840	)
	(38,931,365	)		(67,459,673	)		(1,818,974	)		(1,140,486	)		(221,740,001	)		(207,191,501	)
	(18,100,246	)		(28,840,303	)		(7,837,984	)		(7,852,538	)		(177,782,236	)		(127,329,783	)
	(7,990	)		–			–			–			(9,067	)		–
	–			–			(47,359	)		(367,984	)		–			(62,440,933	)
	–			–			(180,335	)		(2,108,035	)		–			(36,118,314	)
	–			–			(187,042	)		(2,416	)		–			–
	–			–			(712,223	)		(16,632	)		–			–
	(57,039,601	)		(96,299,976	)		(10,783,917	)		(11,488,091	)		(399,531,304	)		(433,080,531	)
	637,529,129			531,364,864			22,547,502			14,623,792			2,094,737,087			1,706,693,891
	36,637,451			64,869,777			1,978,085			1,461,352			200,659,167			229,450,300
	(423,723,114	)		(1,031,977,808	)		(9,595,788	)		(3,207,279	)		(1,415,084,290	)		(1,836,651,202	)
	250,443,466			(435,743,167	)		14,929,799			12,877,865			880,311,964			99,492,989
	242,229,747			77,503,260			24,044,802			26,962,899			2,374,744,937			663,101,434
	15,239,908			26,177,904			7,323,710			8,465,303			155,883,128			146,951,622
	(150,441,120	)		(294,035,222	)		(25,657,662	)		(18,325,031	)		(1,140,652,507	)		(805,546,718	)
	107,028,535			(190,354,058	)		5,710,850			17,103,171			1,389,975,558			4,506,338
	1,429,869			–			–			–			1,677,942			–
	5,799			–			–			–			4,022			–
	(427,842	)		–			–			–			(504,012	)		–
	1,007,826			–			–			–			1,177,952			–
	358,479,827			(626,097,225	)		20,640,649			29,981,036			2,271,465,474			103,999,327
	539,788,201			(938,716,311	)		40,993,733			12,275,242			3,133,951,021			(463,056,044	)
	–			–			–			–			–			–
	970,139,298			1,908,855,609			166,174,898			153,899,656			5,297,312,949			5,760,368,993
$	1,509,927,499		$	970,139,298		$	207,168,631		$	166,174,898		$	8,431,263,970		$	5,297,312,949

See accompanying notes to financial statements.

Annual Report March 2010  /  95

Metropolitan West Funds

Statements of Changes in Net Assets

	HIGH YIELD BOND FUND
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009
Operations:
Net investment income	$	42,166,853		$	12,843,301
Net realized gain/(loss) on investments		15,810,558			(19,161,182	)
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options		2,966,894			(1,875,978	)
Net change in unrealized appreciation/depreciation on investments		79,417,562			(5,132,448	)
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options		1,111,090			(144,772	)
Net increase/(decrease) in net assets resulting from operations		141,472,957			(13,471,079	)
Distributions to Shareholders from:
Net investment income:
Class M		(24,906,811	)		(4,778,486	)
Class I		(16,292,308	)		(8,246,745	)
Net realized gains:
Class M		(1,306,156	)		–
Class I		(609,410	)		–
Return of capital:
Class M		–			–
Class I		–			–
Net decrease in net assets resulting from distributions		(43,114,685	)		(13,025,231	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		551,706,443			54,149,156
Shares issued in reinvestment of distributions		24,330,841			4,509,584
Cost of shares redeemed		(166,722,523	)		(28,215,567	)
Total Class M capital share transactions		409,314,761			30,443,173
Class I:
Proceeds from sale of shares		175,428,312			54,454,708
Shares issued in reinvestment of distributions		16,223,385			8,232,097
Cost of shares redeemed		(91,360,017	)		(4,029,144	)
Total Class I capital share transactions		100,291,680			58,657,661
Net increase/(decrease) in net assets resulting from capital share transactions		509,606,441			89,100,834
Net increase/(decrease) in net assets		607,964,713			62,604,524
Redemption fees (Note 8)		177,954			138,133
Net assets at beginning of year		167,597,027			104,854,370
Net assets at end of year (including undistributed (distributions in excess of) net investment income of $(30,040), $(29,963), $38,817, $54,939, $190,784 and $(650,340), respectively)	$	775,739,694		$	167,597,027

See accompanying notes to financial statements.

96  /  Annual Report March 2010

Metropolitan West Funds

Statements of Changes in Net Assets

STRATEGIC INCOME FUND						ALPHATRAK 500 FUND
YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009
$	18,726,284		$	27,902,334		$	1,693,039		$	6,366,018
	(35,634,379	)		(43,501,938	)		(23,910,949	)		(9,615,316	)
	1,992,336			(17,462,266	)		21,403,545			(66,342,023	)
	78,075,408			(29,045,130	)		34,072,481			(20,935,029	)
	3,325,754			5,436,223			(1,644,798	)		8,504,613
	66,485,403			(56,670,777	)		31,613,318			(82,021,737	)
	(1,917,987	)		(3,710,024	)		(9,700,650	)		–
	(17,718,575	)		(27,611,518	)		–			–
	–			–			(1,433,003	)		–
	–			–			–			–
	–			–			–			(795,847	)
	–			–			–			–
	(19,636,562	)		(31,321,542	)		(11,133,653	)		(795,847	)
	64,738,847			13,266,914			14,103,517			32,120,597
	1,876,279			3,646,938			10,507,518			661,684
	(31,299,346	)		(41,735,386	)		(93,386,424	)		(48,273,794	)
	35,315,780			(24,821,534	)		(68,775,389	)		(15,491,513	)
	34,603,648			39,728,202			–			–
	5,121,574			21,102,228			–			–
	(33,736,128	)		(136,118,250	)		–			–
	5,989,094			(75,287,820	)		–			–
	41,304,874			(100,109,354	)		(68,775,389	)		(15,491,513	)
	88,153,715			(188,101,673	)		(48,295,724	)		(98,309,097	)
	–			–			–			–
	127,321,789			315,423,462			59,334,414			157,643,511
$	215,475,504		$	127,321,789		$	11,038,690		$	59,334,414

See accompanying notes to financial statements.

Annual Report March 2010  /  97

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2008			YEAR ENDED MARCH  31, 2007			YEAR ENDED MARCH  31, 2006
Net Asset Value, Beginning of Year	$	3.53		$	4.64		$	5.12		$	5.09		$	5.11
Income from Investment Operations:
Net investment income#		0.20			0.25			0.26			0.24			0.20
Net realized and unrealized gain/ (loss) on investments, futures contracts, swap contracts and written options		0.51			(1.10	)		(0.48	)		0.03			(0.02	)
Total from Investment Operations		0.71			(0.85	)		(0.22	)		0.27			0.18
Less Distributions:
From net investment income		(0.20	)		(0.26	)		(0.26	)		(0.24	)		(0.20	)
From net capital gains		–			–			–			(0.00	)1		(0.00	)1
Total Distributions		(0.20	)		(0.26	)		(0.26	)		(0.24	)		(0.20	)
Net Asset Value, End of Year	$	4.04		$	3.53		$	4.64		$	5.12		$	5.09
Total Return		20.74	%		(18.85	)%		(4.48	)%		5.52	%		3.62	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	22,020		$	35,929		$	133,051		$	119,957		$	200,563
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.95	%		0.63	%		0.54	%		0.57	%		0.57	%
After expense waivers and reimbursements		0.73	%		0.50	%		0.50	%		0.50	%		0.50	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.24	%		5.84	%		5.23	%		4.74	%		3.93	%
Portfolio Turnover Rate		43	%		20	%		30	%		81	%		20	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.50%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

98  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS I
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2008			YEAR ENDED MARCH  31, 2007			YEAR ENDED MARCH  31, 2006
Net Asset Value, Beginning of Year	$	3.53		$	4.64		$	5.12		$	5.09		$	5.11
Income from Investment Operations:
Net investment income#		0.19			0.26			0.27			0.25			0.21
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		0.53			(1.10	)		(0.48	)		0.03			(0.02	)
Total from Investment Operations		0.72			(0.84	)		(0.21	)		0.28			0.19
Less Distributions:
From net investment income		(0.21	)		(0.27	)		(0.27	)		(0.25	)		(0.21	)
From net capital gains		–			–			–			(0.00	)1		(0.00	)1
Total Distributions		(0.21	)		(0.27	)		(0.27	)		(0.25	)		(0.21	)
Net Asset Value, End of Year	$	4.04		$	3.53		$	4.64		$	5.12		$	5.09
Total Return		20.93	%		(18.72	)%		(4.32	)%		5.69	%		3.79	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	79,830		$	60,060		$	120,380		$	125,128		$	66,493
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.79	%		0.47	%		0.38	%		0.40	%		0.41	%
After expense waivers and reimbursements		0.57	%		0.34	%		0.34	%		0.34	%		0.34	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.93	%		6.09	%		5.40	%		4.94	%		4.10	%
Portfolio Turnover Rate		43	%		20	%		30	%		81	%		20	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.34%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  99

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2008			YEAR ENDED MARCH  31, 2007			YEAR ENDED MARCH  31, 2006
Net Asset Value, Beginning of Year	$	7.08		$	8.81		$	9.49		$	9.32		$	9.39
Income from Investment Operations:
Net investment income#		0.33			0.49			0.48			0.45			0.38
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.15			(1.70	)		(0.67	)		0.16			(0.07	)
Total from Investment Operations		1.48			(1.21	)		(0.19	)		0.61			0.31
Less Distributions:
From net investment income		(0.35	)		(0.52	)		(0.49	)		(0.44	)		(0.38	)
Total Distributions		(0.35	)		(0.52	)		(0.49	)		(0.44	)		(0.38	)
Net Asset Value, End of Year	$	8.21		$	7.08		$	8.81		$	9.49		$	9.32
Total Return		21.45	%		(14.20	)%		(2.11	)%		6.74	%		3.38	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,032,666		$	656,275		$	1,313,261		$	944,867		$	334,038
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.71	%		0.62	%		0.59	%		0.60	%		0.60	%
After expense waivers and reimbursements		0.69	%		0.59	%		0.58	%		0.58	%		0.58	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.32	%		6.00	%		5.21	%		4.78	%		4.01	%
Portfolio Turnover Rate		36	%		38	%		95	%		80	%		96	%

¹ The Fund incurred interest expense for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.58% and 0.58%, respectively.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

100  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2008			YEAR ENDED MARCH  31, 2007			YEAR ENDED MARCH  31, 2006
Net Asset Value, Beginning of Year	$	7.08		$	8.82		$	9.49		$	9.32		$	9.39
Income from Investment Operations:
Net investment income#		0.35			0.50			0.50			0.47			0.40
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.16			(1.71	)		(0.66	)		0.16			(0.07	)
Total from Investment Operations		1.51			(1.21	)		(0.16	)		0.63			0.33
Less Distributions:
From net investment income		(0.37	)		(0.53	)		(0.51	)		(0.46	)		(0.40	)
Total Distributions		(0.37	)		(0.53	)		(0.51	)		(0.46	)		(0.40	)
Net Asset Value, End of Year	$	8.22		$	7.08		$	8.82		$	9.49		$	9.32
Total Return		21.83	%		(14.13	)%		(1.82	)%		6.94	%		3.57	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	476,233		$	313,864		$	595,595		$	711,598		$	485,442
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.52	%		0.43	%		0.40	%		0.41	%		0.41	%
After expense waivers and reimbursements		0.50	%		0.40	%		0.39	%		0.39	%		0.39	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.52	%		6.19	%		5.39	%		4.96	%		4.23	%
Portfolio Turnover Rate		36	%		38	%		95	%		80	%		96	%

¹ The Fund incurred interest expense for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.39% and 0.39%, respectively.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  101

Metropolitan West Funds

Financial Highlights

	LOW DURATION              BOND FUND              ADMINISTRATIVE CLASS*
		PERIOD ENDED MARCH  31, 2010
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income#			0.15
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options			0.64
Total from Investment Operations			0.79
Less Distributions:
From net investment income			(0.18	)
Total Distributions			(0.18	)
Net Asset Value, End of Period		$	10.61
Total Return			7.91	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,029
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements			0.91	%3
After expense waivers and reimbursements			0.89	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.72	%3
Portfolio Turnover Rate			36	%1

* The Low Duration Bond Fund Administrative Class Shares commenced operations on September 23, 2009.

¹ Non-Annualized.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.78%.

³ Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

102  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
	YEAR ENDED MARCH  31, 2010			YEAR ENDED MARCH  31, 2009			YEAR ENDED MARCH  31, 2008			YEAR ENDED MARCH  31, 2007			YEAR ENDED MARCH  31, 2006
Net Asset Value, Beginning of Year	$	9.09		$	10.17		$	10.14		$	9.99		$	10.28
Income from Investment Operations:
Net investment income#		0.49			0.52			0.48			0.48			0.45
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.14			(0.93	)		0.06			0.15			(0.24	)
Total from Investment Operations		1.63			(0.41	)		0.54			0.63			0.21
Less Distributions:
From net investment income		(0.49	)		(0.52	)		(0.51	)		(0.48	)		(0.47	)
From net capital gains		(0.01	)		(0.15	)		–			–			(0.03	)
From return of capital		(0.05	)		(0.00	)1		–			–			–
Total Distributions		(0.55	)		(0.67	)		(0.51	)		(0.48	)		(0.50	)
Net Asset Value, End of Year	$	10.17		$	9.09		$	10.17		$	10.14		$	9.99
Total Return		18.32	%		(3.95	)%		5.48	%		6.47	%		2.08	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	44,805		$	25,901		$	15,231		$	12,503		$	9,147
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.81	%		0.77	%		0.76	%		0.82	%		0.89	%
After expense waivers and reimbursements		0.70	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.00	%		5.47	%		4.79	%		4.82	%		4.46	%
Portfolio Turnover Rate		95	%		178	%		94	%		76	%		113	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.65%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  103

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	9.09		$	10.17		$	10.14		$	9.99		$	10.27
Income from Investment Operations:
Net investment income#		0.51			0.54			0.50			0.51			0.49
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.14			(0.93	)		0.06			0.14			(0.25	)
Total from Investment Operations		1.65			(0.39	)		0.56			0.65			0.24
Less Distributions:
From net investment income		(0.51	)		(0.54	)		(0.53	)		(0.50	)		(0.49	)
From net capital gains		(0.01	)		(0.15	)		–			–			(0.03	)
From return of capital		(0.05	)		(0.00	)1		–			–			–
Total Distributions		(0.57	)		(0.69	)		(0.53	)		(0.50	)		(0.52	)
Net Asset Value, End of Year	$	10.17		$	9.09		$	10.17		$	10.14		$	9.99
Total Return		18.57	%		(3.75	)%		5.70	%		6.70	%		2.39	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	162,363		$	140,274		$	138,668		$	94,791		$	56,353
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.60	%		0.56	%		0.55	%		0.61	%		0.70	%
After expense waivers and reimbursements		0.49	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.25	%		5.62	%		4.97	%		5.03	%		4.77	%
Portfolio Turnover Rate		95	%		178	%		94	%		76	%		113	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.44%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

104  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	8.89		$	9.82		$	9.79		$	9.46		$	9.71
Income from Investment Operations:
Net investment income#		0.57			0.53			0.48			0.48			0.53
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.26			(0.74	)		0.04			0.33			(0.24	)
Total from Investment Operations		1.83			(0.21	)		0.52			0.81			0.29
Less Distributions:
From net investment income		(0.56	)		(0.55	)		(0.49	)		(0.48	)		(0.54	)
From net capital gains		–			(0.17	)		–			–			–
Total Distributions		(0.56	)		(0.72	)		(0.49	)		(0.48	)		(0.54	)
Net Asset Value, End of Year	$	10.16		$	8.89		$	9.82		$	9.79		$	9.46
Total Return		21.16	%		(2.10	)%		5.44	%		8.80	%		3.04	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	4,645,082		$	3,275,319		$	3,533,010		$	1,206,825		$	555,873
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.72	%		0.65	%		0.66	%		0.66	%		0.67	%
After expense waivers and reimbursements		0.72	%		0.65	%		0.65	%		0.65	%		0.65	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.88	%		5.74	%		4.89	%		5.01	%		5.49	%
Portfolio Turnover Rate		141	%		220	%		124	%		101	%		174	%

¹ The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.65%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  105

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	8.89		$	9.82		$	9.79		$	9.46		$	9.71
Income from Investment Operations:
Net investment income#		0.58			0.55			0.50			0.50			0.55
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		1.27			(0.75	)		0.04			0.33			(0.24	)
Total from Investment Operations		1.85			(0.20	)		0.54			0.83			0.31
Less Distributions:
From net investment income		(0.58	)		(0.56	)		(0.51	)		(0.50	)		(0.56	)
From net capital gains		–			(0.17	)		–			–			–
Total Distributions		(0.58	)		(0.73	)		(0.51	)		(0.50	)		(0.56	)
Net Asset Value, End of Year	$	10.16		$	8.89		$	9.82		$	9.79		$	9.46
Total Return		21.42	%		(1.89	)%		5.65	%		9.03	%		3.25	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	3,784,988		$	2,021,994		$	2,227,359		$	1,293,926		$	965,577
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		0.51	%		0.44	%		0.44	%		0.45	%		0.46	%
After expense waivers and reimbursements		0.51	%		0.44	%		0.44	%		0.44	%		0.44	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.03	%		5.95	%		5.11	%		5.25	%		5.71	%
Portfolio Turnover Rate		141	%		220	%		124	%		101	%		174	%

¹ The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.44%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

106  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN             BOND FUND             ADMINISTRATIVE CLASS*
		PERIOD ENDED MARCH  31, 2010
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income#			0.13
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options			0.17
Total from Investment Operations			0.30
Less Distributions:
From net investment income			(0.13	)
Total Distributions			(0.13	)
Net Asset Value, End of Period		$	10.17
Total Return			3.05	%1
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,194
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements			0.92	%3
After expense waivers and reimbursements			0.92	%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.66	%3
Portfolio Turnover Rate			141	%1

^* The Total Return Bond Fund Administrative Class Shares commenced operations on December 18, 2009.

¹ Non-Annualized.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.85%.

³ Annualized.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  107

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	7.65		$	9.71		$	10.97		$	10.89		$	11.42
Income from Investment Operations:
Net investment income#		0.92			0.88			0.86			0.87			0.81
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		2.78			(2.08	)		(1.16	)		0.07			(0.20	)
Total from Investment Operations		3.70			(1.20	)		(0.30	)		0.94			0.61
Less Distributions:
From net investment income		(0.91	)		(0.87	)		(0.92	)		(0.86	)		(0.82	)
From net capital gains		(0.04	)		–			–			–			(0.32	)
From return of capital		–			–			(0.04	)		–			–
Total Distributions		(0.95	)		(0.87	)		(0.96	)		(0.86	)		(1.14	)
Redemption fees added to paid in capital (Note 8)		0.00	1		0.01			0.00	1		0.00	1		0.00	1
Net Asset Value, End of Year	$	10.40		$	7.65		$	9.71		$	10.97		$	10.89
Total Return		49.85	%		(12.59	)%		(3.13	)%		9.00	%		5.59	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	523,717		$	60,702		$	41,266		$	38,022		$	41,037
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.88	%		0.99	%		0.98	%		1.05	%		1.10	%
After expense waivers and reimbursements		0.81	%		0.80	%		0.80	%		0.80	%		0.80	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		9.29	%		10.24	%		8.15	%		8.01	%		7.25	%
Portfolio Turnover Rate		40	%		107	%		120	%		97	%		111	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.80%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

108  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	7.65		$	9.71		$	10.97		$	10.90		$	11.43
Income from Investment Operations:
Net investment income#		0.95			0.91			0.88			0.90			0.84
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		2.77			(2.09	)		(1.16	)		0.06			(0.21	)
Total from Investment Operations		3.72			(1.18	)		(0.28	)		0.96			0.63
Less Distributions:
From net investment income		(0.93	)		(0.89	)		(0.91	)		(0.89	)		(0.84	)
From net capital gains		(0.04	)		–			–			–			(0.32	)
From return of capital		–			–			(0.07	)		–			–
Total Distributions		(0.97	)		(0.89	)		(0.98	)		(0.89	)		(1.16	)
Redemption fees added to paid in capital (Note 8)		0.00	1		0.01			0.00	1		0.00	1		0.00	1
Net Asset Value, End of Year	$	10.40		$	7.65		$	9.71		$	10.97		$	10.90
Total Return		50.22	%		(12.37	)%		(2.88	)%		9.18	%		5.86	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	252,022		$	106,895		$	63,589		$	50,776		$	32,058
Ratio of Expenses to Average Net Assets2
Before expense waivers and reimbursements		0.63	%		0.73	%		0.73	%		0.81	%		0.85	%
After expense waivers and reimbursements		0.56	%		0.55	%		0.55	%		0.55	%		0.55	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		9.82	%		10.88	%		8.40	%		8.31	%		7.49	%
Portfolio Turnover Rate		40	%		107	%		120	%		97	%		111	%

¹ Amount is less than $0.01.

² The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.55%.

# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  109

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	5.69		$	8.85		$	11.09		$	11.07		$	11.22
Income from Investment Operations:
Net investment income#		0.58			0.89			0.79			0.59			0.55
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		1.91			(2.98	)		(2.21	)		0.01			(0.11	)
Total from Investment Operations		2.49			(2.09	)		(1.42	)		0.60			0.44
Less Distributions:
From net investment income		(0.73	)		(1.07	)		(0.82	)		(0.58	)		(0.57	)
From net capital gains		–			–			–			–			(0.02	)
Total Distributions		(0.73	)		(1.07	)		(0.82	)		(0.58	)		(0.59	)
Net Asset Value, End of Year	$	7.45		$	5.69		$	8.85		$	11.09		$	11.07
Total Return		46.49	%		(25.33	)%		(13.44	)%		5.57	%		4.04	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	47,906		$	8,020		$	43,785		$	99,001		$	86,288
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		2.01	%		0.79	%		1.61	%		1.70	%		1.91	%
After expense waivers and reimbursements		2.01	%		0.79	%		1.61	%		1.70	%		1.91	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.41	%		11.19	%		7.49	%		5.35	%		4.94	%
Portfolio Turnover Rate		208	%		294	%		74	%		27	%		44	%

¹ The Fund incurred interest expense for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.63%, 0.60% and 1.06%, respectively.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

110  /  Annual Report March 2010

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	5.69		$	8.85		$	11.08		$	11.07		$	11.22
Income from Investment Operations:
Net investment income#		0.71			0.95			0.85			0.60			0.59
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short		1.79			(3.02	)		(2.23	)		0.02			(0.12	)
Total from Investment Operations		2.50			(2.07	)		(1.38	)		0.62			0.47
Less Distributions:
From net investment income		(0.75	)		(1.09	)		(0.85	)		(0.61	)		(0.60	)
From net capital gains		–			–			–			–			(0.02	)
Total Distributions		(0.75	)		(1.09	)		(0.85	)		(0.61	)		(0.62	)
Net Asset Value, End of Year	$	7.44		$	5.69		$	8.85		$	11.08		$	11.07
Total Return		46.65	%		(25.14	)%		(13.22	)%		5.73	%		4.30	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	167,570		$	119,302		$	271,639		$	369,484		$	121,108
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		1.76	%		0.51	%		1.34	%		1.63	%		1.62	%
After expense waivers and reimbursements		1.76	%		0.51	%		1.34	%		1.63	%		1.62	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		10.56	%		12.39	%		8.13	%		5.44	%		5.27	%
Portfolio Turnover Rate		208	%		294	%		74	%		27	%		44	%

¹ The Fund incurred interest expense for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2010, March 31, 2009 and March 31, 2008 would have been 1.38%, 0.32% and 0.78%, respectively.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

Annual Report March 2010  /  111

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
	YEAR ENDED MARCH 31, 2010			YEAR ENDED MARCH 31, 2009			YEAR ENDED MARCH 31, 2008			YEAR ENDED MARCH 31, 2007			YEAR ENDED MARCH 31, 2006
Net Asset Value, Beginning of Year	$	2.96		$	6.71		$	8.56		$	8.14		$	7.61
Income from Investment Operations:
Net investment income#		0.15			0.29			0.48			0.42			0.36
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options		2.45			(4.01	)		(1.56	)		0.61			0.56
Total from Investment Operations		2.60			(3.72	)		(1.08	)		1.03			0.92
Less Distributions:
From net investment income		(1.55	)		–			(0.45	)		(0.61	)		(0.39	)
From net capital gains		(0.22	)		–			(0.23	)		–			–
From return of capital		–			(0.03	)		(0.09	)		–			–
Total Distributions		(1.77	)		(0.03	)		(0.77	)		(0.61	)		(0.39	)
Net Asset Value, End of Year	$	3.79		$	2.96		$	6.71		$	8.56		$	8.14
Total Return		96.57	%		(55.65	)%		(14.03	)%		12.85	%		12.33	%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	11,039		$	59,334		$	157,644		$	183,696		$	156,418
Ratio of Expenses to Average Net Assets1
Before expense waivers and reimbursements		1.30	%		0.24	%		0.13	%		0.73	%		0.36	%
After expense waivers and reimbursements		1.21	%		0.22	%		0.13	%		0.73	%		0.36	%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.84	%		5.57	%		5.74	%		5.01	%		4.54	%
Portfolio Turnover Rate		24	%		145	%		89	%		106	%		64	%

¹ The Fund incurred interest expense for the fiscal years ended March 31, 2010 and March 31, 2009. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal years ended March 31, 2010 and March 31, 2009 would have been 0.90% and 0.18%, respectively.

^# Per share numbers have been calculated using the average share method.

See accompanying notes to financial statements.

112  /  Annual Report March 2010

Notes to Financial Statements

March 31, 2010

1. SUMMARY OF ORGANIZATION

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940 (the “1940 Act” as amended). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West HighYield Bond Fund (the “HighYield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan WestAlphaTrak 500 Fund (the “AlphaTrak 500 Fund”). The Total Return Bond Fund and Low Duration Bond Fund commenced investment operations on March 31, 1997. Effective March 31, 2000, the Low Duration Bond Fund and the Total Return Bond Fund offered two classes of shares: Class M and Class I shares. The AlphaTrak 500 Fund – Class M commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The HighYield Bond Fund – Class M commenced operations on September 30, 2002. The HighYield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 30, 2004. The Low Duration Bond Fund - Administrative Class commenced operations on September 23, 2009. The Total Return Bond Fund -Administrative Class commenced operations on December 18, 2009.

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

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

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

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

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

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

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

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

Annual Report March 2010  /  113

Notes to Financial Statements (continued)

2. SIGNIFICANT ACCOUNTING POLICIES

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

Security Valuation:

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 (the “Board”), which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (e.g. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Securities Transactions and Investment Income:

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

Distributions to Shareholders:

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

Federal Income Taxation:

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

Distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from generally accepted accounting principles in the United States of America (“GAAP”). 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.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

114  /  Annual Report March 2010

Notes to Financial Statements (continued)

As of and during the year ended March 31, 2010, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the year, the Funds did not incur any interest or penalties.

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

Recent Accounting Pronouncements:

In June 2009, amended guidance was issued by the Financial Accounting Standards Board (“FASB”) for transfers of financial assets. This guidance is intended to improve the relevance, representational faithfulness and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor’s continuing involvement, if any, in transferred financial assets. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after November 15, 2009. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the enhanced disclosure provisions of the amended guidance should be applied to transfers that occurred both before and after the effective date of this guidance. The impact of this guidance on the Funds’ financial statements and disclosures, if any, is currently being assessed.

In January 2010, the FASB issued amended guidance to improve disclosure about fair value measurements which will require additional disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Funds’ financial statements and disclosures is currently being assessed.

Cash and cash equivalents:

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

Use of estimates:

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 - unadjusted 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.

As of March 31, 2010, Level 3 securities consist of certain asset-backed securities, collateralized mortgage obligations, corporate bonds and interest only securities that trade in over the counter markets. These securities are valued using indicative bid and ask quotations from bond dealers and market makers. Indicative quotations and other information used by the Funds may not always be directly observable in the marketplace due to the nature of these markets and the manner of execution. These inputs, the methodology used for valuing such securities, and the characterization of such securities as Level 3 securities are not necessarily an indication of liquidity, or the risk associated with investing in these securities.

Annual Report March 2010  /  115

Notes to Financial Statements (continued)

The summary of inputs used to value each Fund’s net assets as of March 31, 2010 is as follows:

ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	17,556,000	$	16,052,721	$	–	$	33,608,721
Long Term Investments:
Asset-Backed Securities		–		16,306,439		–		16,306,439
Bank Loans		–		623,868		–		623,868
Corporates		–		11,101,378		–		11,101,378
Mortgage-Backed		–		44,391,719		–		44,391,719
U.S. Agency Securities		–		3,157,214		–		3,157,214
Other Financial Instruments *
Assets		–		338,139		–		338,139
Liabilities		–		(8,702,856)		–		(8,702,856)
Total	$	17,556,000	$	83,268,622	$	–	$	100,824,622
LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	224,329,100	$	203,312,626	$	–	$	427,641,726
Long Term Investments:
Asset-Backed Securities		2,441,250		214,906,805		9,571		217,357,626
Bank Loans		–		11,237,925		–		11,237,925
Corporates		–		408,161,746		880,000		409,041,746
Mortgage-Backed		–		434,907,020		80,145		434,987,165
Municipal Bonds		–		8,207,398		–		8,207,398
U.S. Agency Securities		–		37,518,689		–		37,518,689
Other Financial Instruments *
Assets		155,345		3,484,650		–		3,639,995
Liabilities		(94,517)		(61,452,504)		–		(61,547,021)
Total	$	226,831,178	$	1,260,284,355	$	969,716	$	1,488,085,249

116  /  Annual Report March 2010

Notes to Financial Statements (continued)

INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	10,754,000	$	11,233,298	$	–	$	21,987,298
Long Term Investments:
Asset-Backed Securities		319,688		23,419,726		–		23,739,414
Bank Loans		–		443,217		–		443,217
Corporates		–		59,007,237		–		59,007,237
Mortgage-Backed		–		71,355,511		–		71,355,511
Municipal Bonds		–		1,120,719		–		1,120,719
U.S. Treasury Securities		–		35,123,825		–		35,123,825
Other Financial Instruments *
Assets		1,613		2,123,387		–		2,125,000
Liabilities		(124,359)		(6,535,416)		–		(6,659,775)
Total	$	10,950,942	$	197,291,504	$	–	$	208,242,446
TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	403,009,000	$	139,769,554	$	–	$	542,778,554
Long Term Investments:
Asset-Backed Securities		–		838,926,458		215,551		839,142,009
Bank Loans		–		42,276,009		–		42,276,009
Corporates		–		2,153,436,289		1,342,000		2,154,778,289
Foreign Government Obligations		–		9,801,537		–		9,801,537
Mortgage-Backed		–		3,714,169,912		95,146		3,714,265,058
Municipal Bonds		–		57,694,011		–		57,694,011
U.S. Treasury Securities		–		1,697,122,472		–		1,697,122,472
Other Financial Instruments *
Assets		121,064		75,538,022		–		75,659,086
Liabilities		(1,745,853)		(272,008,075)		–		(273,753,928)
Total	$	401,384,211	$	8,456,726,189	$	1,652,697	$	8,859,763,097

Annual Report March 2010  /  117

Notes to Financial Statements (continued)

HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	40,530,000	$	31,315,140	$	–	$	71,845,140
Long Term Investments:
Asset-Backed Securities		–		11,470,621		–		11,470,621
Bank Loans		–		80,130,883		–		80,130,883
Corporates		–		603,468,819		–		603,468,819
Mortgage-Backed		–		374,206		347		374,553
Municipal Bonds		–		10,650,310		–		10,650,310
Common Stock		–		515,217		–		515,217
Other Financial Instruments *
Assets		916		381,141		–		382,057
Liabilities		–		(223,412)		–		(223,412)
Total	$	40,530,916	$	738,082,925	$	347	$	778,614,188
STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	56,310,000	$	33,790,945	$	–	$	90,100,945
Long Term Investments:
Asset-Backed Securities		334,219		59,391,854		–		59,726,073
Bank Loans		–		13,443,051		–		13,443,051
Corporates		–		58,582,315		–		58,582,315
Mortgage-Backed		–		45,274,726		45,972		45,320,698
Preferred Stock		–		1,486,362		1		1,486,363
U.S. Agency Securities		–		2,218,413		–		2,218,413
Other Financial Instruments *
Assets		–		534,632		–		534,632
Liabilities		(226,452)		(38,894,201)		–		(39,120,653)
Total	$	56,417,767	$	175,828,097	$	45,973	$	232,291,837
ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets
Short Term Investments	$	1,084,000	$	1,574,770	$	–	$	2,658,770
Long Term Investments:
Asset-Backed Securities		–		3,179,003		3,669		3,182,672
Bank Loans		–		167,371		–		167,371
Corporates		–		1,922,006		132,000		2,054,006
Mortgage-Backed		–		2,190,347		–		2,190,347
Other Financial Instruments *
Assets		349,027		59,075		–		408,102
Liabilities		(438)		(12,142)		–		(12,580)
Total	$	1,432,589	$	9,080,430	$	135,669	$	10,648,688

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

118  /  Annual Report March 2010

Notes to Financial Statements (continued)

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

ULTRA SHORT   BOND FUND	ASSET-BACKED SECURITIES			MORTGAGE-BACKED SECURITIES			OTHER FINANCIAL INSTRUMENTS
Balance as of March 31, 2009	$	482,284		$	150,841		$	98,813
Accrued discounts/premiums		584			(105,832	)		–
Realized gain (loss)**		(3,489,248	)		447,771			–
Change in unrealized appreciation (depreciation)**		3,178,657			67,910			–
Net purchases (sales)		(172,277	)		(560,690	)		–
Transfers in and/or out of Level 3		–			–			(98,813	)
Balance as of March 31, 2010	$	–		$	–		$	–
LOW DURATION   BOND FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE-BACKED SECURITIES			OTHER FINANCIAL INSTRUMENTS
Balance as of March 31, 2009	$	998,682		$	–		$	656,335		$	174,375
Accrued discounts/premiums		2,243			–			(278,729	)		–
Realized gain (loss)**		(8,640,465	)		–			1,312,261			–
Change in unrealized appreciation (depreciation)**		7,881,429			–			694,650			–
Net purchases (sales)		(232,318	)		–			(2,304,434	)		–
Transfers in and/or out of Level 3		–			880,000			62			(174,375	)
Balance as of March 31, 2010	$	9,571		$	880,000		$	80,145		$	–
INTERMEDIATE   BOND FUND	CORPORATES			MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2009	$	27,000		$	38,747
Accrued discounts/premiums		–			(25,791	)
Realized gain (loss)**		(168,750	)		116,556
Change in unrealized appreciation (depreciation)**		198,000			16,166
Net purchases (sales)		(56,250	)		(145,678	)
Transfers in and/or out of Level 3		–			–
Balance as of March 31, 2010	$	–		$	–

Annual Report March 2010  /  119

Notes to Financial Statements (continued)

TOTAL RETURN   BOND FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE-BACKED SECURITIES			OTHER FINANCIAL INSTRUMENTS
Balance as of March 31, 2009	$	731,041		$	6,000		$	1,061,289		$	768,994
Accrued discounts/premiums		3,956			749			(638,522	)		–
Realized gain (loss)**		(2,933,216	)		5,520			2,599,911			–
Change in unrealized appreciation (depreciation)**		2,683,466			231			855,516			–
Net purchases (sales)		(269,696	)		(12,500	)		(3,798,000	)		–
Transfers in and/or out of Level 3		–			1,342,000			14,952			(768,994	)
Balance as of March 31, 2010	$	215,551		$	1,342,000		$	95,146		$	–
HIGH YIELD   BOND FUND	MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2009	$	26,657
Accrued discounts/premiums		(18,606	)
Realized gain (loss)**		30,271
Change in unrealized appreciation (depreciation)**		86,866
Net purchases (sales)		(124,841	)
Transfers in and/or out of Level 3		–
Balance as of March 31, 2010	$	347
STRATEGIC   INCOME FUND	ASSET-BACKED SECURITIES			MORTGAGE-BACKED SECURITIES			PREFERRED STOCK
Balance as of March 31, 2009	$	4,712,725		$	558,976		$	10,054
Accrued discounts/premiums		5,075			(192,789	)		–
Realized gain (loss)**		(27,031,446	)		1,377,078			(3,418,095	)
Change in unrealized appreciation (depreciation)**		24,637,016			355,360			3,408,044
Net purchases (sales)		(1,928,309	)		(2,052,653	)		(2	)
Transfers in and/or out of Level 3		(395,061	)		–			–
Balance as of March 31, 2010	$	–		$	45,972		$	1
ALPHATRAK   500 FUND	ASSET-BACKED SECURITIES			CORPORATES			MORTGAGE-BACKED SECURITIES
Balance as of March 31, 2009	$	322,120		$	–		$	86,736
Accrued discounts/premiums		172			–			(66,613	)
Realized gain (loss)**		(1,972,454	)		–			249,693
Change in unrealized appreciation (depreciation)**		1,797,817			–			48,202
Net purchases (sales)		(143,986	)		–			(318,018	)
Transfers in and/or out of Level 3		–			132,000			–
Balance as of March 31, 2010	$	3,669		$	132,000		$	–

** Included in the related realized gains/(losses) and net change in appreciation/depreciation on the Statements of Operations.

120  /  Annual Report March 2010

Notes to Financial Statements (continued)

The amount of total gains/(losses) for the year ended March 31, 2010 that are attributable to the change in unrealized gains/((losses) relating to investments in Level 3 assets still held as of March 31, 2010 of the Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, Total Return Bond Fund, HighYield Bond Fund, Strategic Income Fund and AlphaTrak 500 Fund were $0, $520,950, $0, $496,407, $80,542, $86,819 and $(16), respectively, which are reflected as a component of net change in unrealized appreciation/depreciation on investments.

Derivative Instruments Categorized by Risk Exposure:

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2010:

	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest Rate Contracts	Unrealized appreciation on swap contracts Unrealized appreciation	Unrealized depreciation on swap contracts Unrealized depreciation
Credit Contracts	Unrealized appreciation on swap contracts	Unrealized depreciation on swap contracts
Equity Contracts	Investments, at value Unrealized appreciation on swap contracts Unrealized appreciation	Unrealized depreciation on swap contracts Unrealized depreciation

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2010:

	ASSET DERIVATIVE INVESTMENTS
	ULTRA SHORT BOND FUND	LOW DURATION BOND FUND	INTERMEDIATE BOND FUND	TOTAL RETURN BOND FUND	HIGH YIELD BOND  FUND	STRATEGIC INCOME  FUND	ALPHATRAK  500 FUND
Credit Contracts:
Swaps	$139,300	$2,252,058	$220,291	$18,473,930	$78,999	$190,071	$  44,556
Equity Contracts:
Futures *	–	–	–	–	–	–	349,027
Options	–	–	–	–	–	–	–
Swaps	–	–	–	–	–	–	–
Interest Contracts:
Futures *	–	155,345	1,613	121,064	916	–	–
Swaps	11,839	167,741	24,344	3,671,465	–	123,642	–
	LIABILITY DERIVATIVE INVESTMENTS
	ULTRA SHORT BOND FUND	LOW DURATION BOND FUND	INTERMEDIATE BOND FUND	TOTAL RETURN BOND FUND	HIGH YIELD BOND FUND	STRATEGIC INCOME  FUND	ALPHATRAK  500 FUND
Credit Contracts:
Swaps	$946,806	$11,815,073	$2,149,841	$62,187,106	$223,412	$8,412,316	$12,142
Equity Contracts:
Futures *	–	–	–	–	–	–	438
Interest Contracts:
Futures *	–	94,517	124,359	1,745,853	–	226,452	–
Swaps	–	–	–	5,745,398	–	–	–

* Includes cumulative appreciation/depreciation of financial futures contracts as reported in the Schedule of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities.

Annual Report March 2010  /  121

Notes to Financial Statements (continued)

The following is a summary of the Funds’ realized gain(loss) and change in unrealized appreciation(depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2010:

	REALIZED GAIN (LOSS) ON DERVIATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Credit Contracts:
Swaps	$	(114,455)	$	546,409	$	(218,700)	$	(15,889,661)	$	1,665,926	$	823,522	$	(1,795,667)
Equity Contracts:
Futures		–		–		–		–		–		–		10,956,850
Options**		–		–		–		–		(84,500)		(175,500)		–
Swaps		–		–		–		–		–		–		11,864,105
Interest Contracts:
Futures		(117,293)		6,018,830		499,679		11,933,760		661,780		261,578		(4,769)
Swaps		66,041		25,756,419		1,447,515		59,874,006		639,188		907,236		383,026
Total	$	(165,707)	$	32,321,658	$	1,728,494	$	55,918,105	$	2,882,394	$	1,816,836	$	21,403,545
	CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Credit Contracts:
Swaps	$	1,885,223	$	6,508,967	$	(1,556,138)	$	(62,724,187)	$	1,679,150	$	3,850,299	$	2,103,088
Equity Contracts:
Futures		–		–		–		–		–		–		(2,706,347)
Options**		–		–		–		–		69,550		144,450		–
Swaps		–		–		–		–		–		–		(650,340)
Interest Contracts:
Futures		118,569		725,418		(238,262)		(2,424,670)		108,219		22,910		12,447
Swaps		(59,824)		(25,609,424)		(1,475,169)		(39,027,234)		(676,279)		(547,455)		(403,646)
Total	$	1,943,968	$	(18,375,039)	$	(3,269,569)	$	(104,176,091)	$	1,180,640	$	3,470,204	$	(1,644,798)

 **Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

122  /  Annual Report March 2010

Notes to Financial Statements (continued)

	AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS
	ULTRA SHORT BOND FUND		LOW DURATION BOND FUND		INTERMEDIATE BOND FUND		TOTAL RETURN BOND FUND		HIGH YIELD BOND FUND		STRATEGIC INCOME FUND		ALPHATRAK 500 FUND
Financial futures contracts:
Average number of contracts purchased		–		1,719		169		7,028		156		–		37
Average number of contracts sold		–		–		15		78		–		62		–
Average value of contracts purchased	$	–	$	940,004	$	243,329	$	11,305,539	$	219,080	$	–	$	188,416
Average value of contracts sold	$	–	$	–	$	22,788	$	156,057	$	–	$	93,943	$	–
Options purchased:
Average number of contracts		–		–		–		–		49		101		–
Average notional value	$	–	$	–	$	–	$	–	$	63,375	$	131,625	$	–
Credit default swaps:
Average number of contracts - buy protection		–		33		42		60		24		25		13
Average number of contracts - sale protection		11		17		15		22		7		18		9
Average notional value - buy protection	$	–	$	71,966,250	$	11,913,750	$	407,242,500	$	8,893,750	$	17,762,500	$	1,547,500
Average notional value - sell protection	$	14,403,750	$	98,749,250	$	9,139,000	$	368,556,000	$	11,493,500	$	56,483,500	$	3,786,750
Interest rate swaps:
Average number of contracts - pays fixed rate		1		1		1		6		–		2		–
Average number of contracts - receives fixed rate		–		–		1		–		–		–		–
Average notional value - pays fixed rate	$	355,000	$	5,030,000	$	730,000	$	141,131,000	$	–	$	2,775,000	$	–
Average notional value - receives fixed rate	$	–	$	–	$	405,000	$	–	$	–	$	–	$	–
Total return swaps:
Average number of contracts		–		–		–		–		–		–		1
Average notional value	$	–	$	–	$	–	$	–	$	–	$	–	$	12,500

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.

Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.

On September 7, 2008, the Federal Housing Finance Agency (“FHFA”) was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.

The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by GNMA, FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into

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Notes to Financial Statements (continued)

multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.

The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.

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

The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the year ended March 31, 2010, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

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

The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At March 31, 2010, the Funds did not hold any short debt or equity.

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

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Notes to Financial Statements (continued)

short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. The average dollar amount and average interest rate of reverse repurchase agreements in the Low Duration Bond Fund, Strategic Income Fund and the AlphaTrak 500 Fund for the year ended March 31, 2010 were $4,128,427 and 0.59%, $2,472,184 and 1.76% and $607,896 and 0.57%, respectively.

Derivatives:

The Funds may engage in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below.

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

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer).

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

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

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Notes to Financial Statements (continued)

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

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

The Funds may enter into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk).

The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2010, the Funds did not hold swaptions.

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

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

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2010, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

126  /  Annual Report March 2010

Notes to Financial Statements (continued)

Terminated Swaps Payable and Maturities Receivable from Lehman Brothers:

On September 15, 2008, Lehman Brothers Holdings, Inc. (“Lehman”) filed for bankruptcy protection. At that time, the Funds had outstanding swap agreements with Lehman Brothers Special Financing Inc. (“LBSF”) as the counter-party, which is an affiliate of Lehman. Additionally, Lehman guaranteed LBSF’s obligations under those agreements. The Funds exercised their right under the swap agreements to terminate the contracts due to the bankruptcy filing and recorded corresponding liabilities as Payable for the terminated swaps to reflect the amount of unrealized loss embedded within the swap agreements at the termination date as determined by the Management of the Funds. Additionally, some of the Funds held Lehman notes, some of which as of March 31, 2010 had contractually matured. The Funds have set up receivables at the estimated market value of those matured notes. To estimate the market value of those receivables, the Management of the Funds obtained independent broker prices on the outstanding Lehman notes. The Management of the Funds believes those prices to be representative of current market value.

During March, 2009, the Funds paid LBSF the amounts owed after applying the set-off balances of the notes. During April and May, 2009, LBSF filed complaints in the United States Bankruptcy Court, Southern District of New York, against the Total Return Bond Fund and the Low Duration Bond Fund, as well as Metropolitan WestAsset Management LLC (Adv. Proc. No. 09-01165 (JMP)). The complaints allege that the Total Return Bond Fund and the Low Duration Bond Fund owe LBSF $46.2 million and $17.3 million plus interest, respectively, and other unspecified damages.

In January 2010, the Funds reached an agreement through settlement discussions with Lehman. The Funds paid the remaining swap termination balances owed plus interest without applying the benefit of the set-off against the notes receivable. Additionally, LBSF withdrew its complaint against Total Return Bond Fund and Low Duration Bond Fund.

4. RISK CONSIDERATIONS

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

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

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

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

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

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

Annual Report March 2010  /  127

Notes to Financial Statements (continued)

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage and asset backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

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

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

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

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

Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ Statements of Assets and Liabilities.

128  /  Annual Report March 2010

Notes to Financial Statements (continued)

While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the bond’s ratings per Moody’s and S&P. As of March 31, 2010, the market value exposure of these positions was as follows:

			% OF TOTAL NET ASSETS BY CREDIT QUALITY (UNAUDITED)
PORTFOLIO	MARKET  VALUE		AAA	AA	A	BBB	BIG *
Ultra Short Bond Fund
Alt-A	$	18,185,685	5.73%	0.21%	1.06%	1.42%	9.43%
Sub Prime		13,104,618	1.08%	0.23%	2.11%	0.34%	9.11%
Low Duration Bond Fund
Alt-A		174,268,128	1.67%	0.16%	0.00%	0.80%	8.91%
Sub Prime		200,000,922	3.93%	0.76%	2.11%	0.91%	5.54%
Intermediate Bond Fund
Alt-A		7,875,111	0.51%	0.00%	0.04%	0.68%	2.57%
Sub Prime		23,632,377	4.42%	0.30%	1.32%	0.61%	4.76%
Total Return Bond Fund
Alt-A		485,027,803	0.97%	0.09%	0.00%	0.02%	4.68%
Sub Prime		821,649,211	2.35%	1.29%	0.37%	1.35%	4.38%
High Yield Bond Fund
Alt-A		1,443,302	0.00%	0.00%	0.00%	0.00%	0.19%
Sub Prime		10,338,032	0.02%	0.31%	0.00%	0.98%	0.02%
Strategic Income Fund
Alt-A		10,567,037	0.75%	0.00%	0.00%	0.37%	3.79%
Sub Prime		47,560,217	3.83%	1.52%	2.15%	1.13%	13.44%
Alpha Trak 500 Fund
Alt-A		1,688,283	2.82%	0.84%	2.74%	1.71%	7.19%
Sub Prime		2,246,154	7.29%	4.97%	0.00%	4.67%	3.43%
* Below Investment Grade

5. SECURITIES TRANSACTIONS

Investment transactions for the year ended March 31, 2010 excluding U.S. Government and short-term investments, were as follows:

PORTFOLIO	PURCHASES		SALES
Ultra Short Bond Fund	$	31,392,715	$	27,315,053
Low Duration Bond Fund		489,080,463		348,340,001
Intermediate Bond Fund		125,844,146		116,545,628
Total Return Bond Fund		9,077,099,105		8,080,027,319
High Yield Bond Fund		614,353,166		162,049,757
Strategic Income Fund		258,189,688		268,710,816
AlphaTrak 500 Fund		8,321,033		57,530,079
Investment transactions in U.S. Government securities for the year ended March 31, 2010 were as follows:
PORTFOLIO	PURCHASES		SALES
Intermediate Bond Fund	$	66,347,725	$	43,088,692
Total Return Bond Fund		2,522,199,804		1,085,076,446

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate

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Notes to Financial Statements (continued)

of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was increased by 0.21% resulting in $245,054 total management fees for the year ended March 31, 2010. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 Month U.S. Treasury Bill Index plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.01% resulting in $2,206,638 of total management fees for the year ended March 31, 2010.

The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses, are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year. Investment advisory fees and related voluntary expense limitations for the year ended March 31, 2010, were as follows:

	INVESTMENT ADVISORY FEE RATE			VOLUNTARY EXPENSE LIMITATION
PORTFOLIO	CLASS M	CLASS I	ADMINISTRATIVE CLASS	CLASS M	CLASS I	ADMINISTRATIVE CLASS
Ultra Short Bond Fund	0.25%	0.25%	N/A	0.50%	0.34%	N/A
Low Duration Bond Fund	0.30	0.30	0.30%	0.58	0.39	0.78%
Intermediate Bond Fund	0.35	0.35	N/A	0.65	0.44	N/A
Total Return Bond Fund	0.35	0.35	0.35	0.65	0.44	0.85
High Yield Bond Fund	0.50	0.50	N/A	0.80	0.55	N/A
Strategic Income Fund	0.50 - 1.90	0.50 - 1.90	N/A	0.20 - 2.35	0.20 - 2.10	N/A
AlphaTrak 500 Fund	0.00 - 0.70	N/A	N/A	0.20 - 0.90	N/A	N/A

At March 31, 2010, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2010		2011		2012		TOTAL
Ultra Short Bond Fund	$	115,430	$	181,484	$	204,094	$	501,008
Low Duration Bond Fund		173,746		473,126		350,652		997,524
Intermediate Bond Fund		130,872		185,919		198,493		515,284
Total Return Bond Fund		–		52,140		–		52,140
High Yield Bond Fund		180,613		223,872		290,531		695,016
AlphaTrak 500 Fund		–		–		38,492		38,492

For the year ended March 31, 2010, the Adviser recouped $321,862 from Class M, $257,234 from Class I and $17 from the Administrative Class of the Total Return Bond Fund.

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

130  /  Annual Report March 2010

Notes to Financial Statements (continued)

Board, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses on the Statements of Operations.

7. SHARE MARKETING (12B-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Strategic Income, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000 for the Class M shares. The Low Duration Bond Fund and Total Return Bond Funds’ Administrative Class shares began accruing 12b-1 on September 23, 2009 and December 21, 2009, respectively. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays PFPC Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2010. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.

The Funds’ Board of Trustees have adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.

8. CAPITAL SHARE TRANSACTIONS

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

	ULTRA SHORT BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009
Change in Fund shares:
Shares outstanding at beginning of year	10,183,453		28,656,966		17,021,566		25,920,710
Shares sold	3,519,132		4,098,230		12,330,024		11,181,196
Shares issued through reinvestment of distributions	298,824		876,762		771,853		711,544
Shares redeemed	(8,545,706	)	(23,448,505	)	(10,373,182	)	(20,791,884	)
Net increase/(decrease) in fund shares	(4,727,750	)	(18,473,513	)	2,728,695		(8,899,144	)
Shares outstanding at end of year	5,455,703		10,183,453		19,750,261		17,021,566

	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I		ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		PERIOD  ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period	92,695,812		148,991,161		44,315,814		67,542,055		–
Shares sold	83,686,592		66,142,153		31,185,168		9,814,863		137,016
Shares issued through reinvestment of distributions	4,768,684		8,122,422		1,983,525		3,265,215		551
Shares redeemed	(55,410,162	)	(130,559,924	)	(19,514,217	)	(36,306,319	)	(40,589	)
Net increase/(decrease) in fund shares	33,045,114		(56,295,349	)	13,654,476		(23,226,241	)	96,978
Shares outstanding at end of period	125,740,926		92,695,812		57,970,290		44,315,814		96,978

Annual Report March 2010  /  131

Notes to Financial Statements (continued)

	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH  31, 2010		YEAR ENDED MARCH  31, 2009		YEAR ENDED MARCH  31, 2010		YEAR  ENDED MARCH 31, 2009
Change in Fund shares:
Shares outstanding at beginning of year	2,848,988		1,498,025		15,432,361		13,639,813
Shares sold	2,312,671		1,534,560		2,424,537		2,846,348
Shares issued through reinvestment of distributions	201,991		157,049		751,058		904,723
Shares redeemed	(958,084	)	(340,646	)	(2,639,667	)	(1,958,523	)
Net increase in fund shares	1,556,578		1,350,963		535,928		1,792,548
Shares outstanding at end of year	4,405,566		2,848,988		15,968,289		15,432,361

	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I		ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010
Change in Fund shares:
Shares outstanding at beginning of period	368,354,592		359,790,611		227,450,479		226,886,418		–
Shares sold	215,154,165		183,468,051		245,671,670		72,125,386		166,801
Shares issued through reinvestment of distributions	20,745,923		25,284,737		16,095,403		16,187,140		396
Shares redeemed	(147,050,065	)	(200,188,807	)	(116,601,861	)	(87,748,465	)	(49,803	)
Net increase/(decrease) in fund shares	88,850,023		8,563,981		145,165,212		564,061		117,394
Shares outstanding at end of period	457,204,615		368,354,592		372,615,691		227,450,479		117,394

	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009
Change in Fund shares:
Shares outstanding at beginning of year	7,933,973		4,249,866		13,970,584		6,547,588
Shares sold	56,580,709		6,621,025		17,926,550		6,887,237
Shares issued through reinvestment of distributions	2,456,478		547,450		1,676,610		1,014,754
Shares redeemed	(16,630,570	)	(3,484,368	)	(9,344,747	)	(478,995	)
Net increase in fund shares	42,406,617		3,684,107		10,258,413		7,422,996
Shares outstanding at end of year	50,340,590		7,933,973		24,228,997		13,970,584

132  /  Annual Report March 2010

Notes to Financial Statements (continued)

	STRATEGIC INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009		YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009
Change in Fund shares:
Shares outstanding at beginning of year	1,410,392		4,948,984		20,979,951		30,705,222
Shares sold	9,059,797		1,956,578		5,519,875		5,952,250
Shares issued through reinvestment of distributions	276,324		477,374		775,424		2,699,894
Shares redeemed	(4,316,069	)	(5,972,544	)	(4,766,390	)	(18,377,415	)
Net increase/(decrease) in fund shares	5,020,052		(3,538,592	)	1,528,909		(9,725,271	)
Shares outstanding at end of year	6,430,444		1,410,392		22,508,860		20,979,951
	ALPHA TRAK FUND
	CLASS M		CLASS M
	YEAR ENDED MARCH 31, 2010		YEAR ENDED MARCH 31, 2009
Change in Fund shares:
Shares outstanding at beginning of year	20,022,253		23,491,720
Shares sold	3,875,138		6,213,475
Shares issued through reinvestment of distributions	2,928,488		102,428
Shares redeemed	(23,916,475	)	(9,785,370	)
Net increase/(decrease) in fund shares	(17,112,849	)	(3,469,467	)
Shares outstanding at end of year	2,909,404		20,022,253

Redemption Fee:

Effective May 26, 2009, the HighYield Bond Fund no longer charges a redemption fee. Prior to this date, the HighYield Bond Fund charged a 1.00% redemption fee when shares were redeemed (either by selling or by exchanging into another fund) within 6 months of purchase. The redemption fee was assessed on the net asset value of the shares redeemed or exchanged and withheld from the redemption proceeds and paid directly to the Fund.

9. FEDERAL TAX INFORMATION:

Capital Loss Carryforwards:

At March 31, 2010, 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	EXPIRING IN 2017	EXPIRING IN  2018
Ultra Short Bond Fund	$          –	$    171,312	$1,489,244	$  17,068,161	$14,894,875
Low Duration Bond Fund	5,831,064	–	–	99,373,584	21,084,552
Total Return Bond Fund	–	–	–	140,337,903	–
High Yield Bond Fund	–	–	–	4,931,657	–
Strategic Income Fund	61,791	1,235,093	9,036,932	47,852,416	18,806,808
AlphaTrak 500 Fund	–	–	–	60,439,961	23,684,663

For the year ended March 31, 2010, the Intermediate Bond, Total Return Bond and HighYield Bond utilized capital loss carryforwards of $3,098,824, $22,564,839 and 2,796,184, respectively.

Annual Report March 2010  /  133

Notes to Financial Statements (continued)

Tax Basis of Distributable Income:

As of March 31, 2010, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:

	ULTRA SHORT BOND FUND			LOW DURATION BOND FUND			INTERMEDIATE BOND FUND			TOTAL RETURN BOND FUND
Undistributed ordinary income/(loss) (inclusive of short-term gains)	$	5,966		$	271,455		$	–		$	3,987,671
Accumulated capital loss carryforwards and Post-October losses		(43,156,736	)		(168,232,662	)		(76,923	)		(140,947,386	)
Net unrealized appreciation/(depreciation)		(10,709,200	)		(139,735,571	)		3,978,846			375,436,600
Distributions payable		(5,964	)		(270,185	)		(128,717	)		(3,597,129	)
Total accumulated earnings/(losses)	$	(53,865,934	)	$	(307,966,963	)	$	3,773,206		$	234,879,756
				HIGH YIELD BOND FUND			STRATEGIC INCOME FUND			ALPHA TRAK 500 FUND
Undistributed ordinary income/(loss) (inclusive of short-term capital gains)				$	345,705		$	828,216		$	195,634
Accumulated capital loss carryforwards and Post-October losses					(4,931,657	)		(112,671,928	)		(97,310,251	)
Net unrealized appreciation/(depreciation)					64,671,584			(21,833,077	)		(1,668,882	)
Distributions payable					(375,745	)		(789,399	)		(4,850	)
Total accumulated earnings/(losses)				$	59,709,887		$	(134,466,188	)	$	(98,788,349	)

Permanent differences incurred during the fiscal year ended March 31, 2010 resulting from differences in book and tax accounting have been reclassified at year end as follows:

FUND	INCREASE/(DECREASE) PAID-IN-CAPITAL	INCREASE/(DECREASE) ACCUMULATED NET INVESTMENT INCOME/(LOSS)	INCREASE/(DECREASE) ACCUMULATED NET REALIZED GAIN/(LOSS)
Ultra Short Bond Fund	$          –	$    400,947	$    (400,947)
Low Duration Bond Fund	1	2,211,059	(2,211,060)
Intermediate Bond Fund	(899,265)	(14,447)	913,712
Total Return Bond Fund	–	(1,628,151)	1,628,151
High Yield Bond Fund	–	(967,811)	967,811
Strategic Income Fund	–	894,156	(894,156)
AlphaTrak 500 Fund	–	8,848,735	(8,848,735)

Tax Basis of Distributions to Shareholders:

	ULTRA SHORT BOND FUND				LOW DURATION BOND FUND
	MARCH 31, 2010		MARCH 31, 2009		MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	5,225,916	$	8,771,418	$	57,250,557	$	96,174,271
Total taxable distributions	$	5,225,916	$	8,771,418	$	57,250,557	$	96,174,271
	INTERMEDIATE BOND FUND				TOTAL RETURN BOND FUND
	MARCH 31, 2010		MARCH 31, 2009		MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	9,867,461	$	10,614,804	$	400,597,041	$	414,320,160
Net long-term capital gains		–		861,109		–		17,387,853
Return of Capital		899,265		19,048		–		–
Total taxable distributions	$	10,766,726	$	11,494,961	$	400,597,041	$	431,708,013

134  /  Annual Report March 2010

Notes to Financial Statements (continued)

	HIGH YIELD BOND FUND				STRATEGIC INCOME FUND
	MARCH 31, 2010		MARCH 31, 2009		MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	42,774,548	$	13,013,501	$	20,564,090	$	29,621,411
Total taxable distributions	$	42,774,548	$	13,013,501	$	20,564,090	$	29,621,411
					ALPHATRAK 500 FUND
					MARCH 31, 2010		MARCH 31, 2009
Distributions from:
Ordinary income (inclusive of short-term capital gains)					$	11,128,803	$	–
Return of Capital						–		795,847
Total taxable distributions					$	11,128,803	$	795,847

10. INDEMNIFICATIONS

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

11. SUBSEQUENT EVENTS

Events or transactions occurring subsequent to March 31, 2010 through the date the financial statements were issued, have been evaluated by management in the preparation of the financial statements and no items were noted requiring additional disclosure. Management has not evaluated events after that date for presentation in these financial statements.

Annual Report March 2010  /  135

Report of Independent Registered Public Accounting Firm

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

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of the Metropolitan West Funds (the “Funds”) comprising the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Strategic Income Fund, and the AlphaTrak 500 Fund as of March 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the Metropolitan West Funds as of March 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Philadelphia, Pennslyvania

May 28, 2010

136  /  Annual Report March 2010

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have an March 31, 2010 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2010 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2010, each portfolio is designating the following items with regard to distributions paid during the year.

	ULTRA SHORT BOND FUND	LOW DURATION BOND  FUND	INTERMEDIATE BOND FUND	TOTAL RETURN BOND  FUND	HIGH YIELD BOND FUND	STRATEGIC INCOME FUND	ALPHATRAK 500 FUND
Net Investment Income Distributions	100.00%	100.00%	90.02%	100.00%	100.00%	100.00%	100.00%
Short Term Capital Gain Distributions	0.00%	0.00%	1.63%	0.00%	0.00%	0.00%	0.00%
Long Term Capital Gain Distributions	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Return of Capital	0.00%	0.00%	8.35%	0.00%	0.00%	0.00%	0.00%
Tax-Exempt Interest	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Total Distributions	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualifying For Corporate Dividends Rec. Deduction (1)	0.00%	0.01%	0.00%	0.00%	0.00%	0.74%	0.00%
Qualifying Dividend Income (2)	0.00%	0.00%	0.00%	0.00%	0.00%	0.63%	0.00%
U.S. Government Interest (3)	0.18%	0.23%	0.03%	2.45%	0.01%	0.07%	0.03%
Foreign Tax Credit (4)	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
Qualified Interest Income (5)	79.06%	88.90%	93.45%	84.52%	91.48%	91.32%	14.25%
Qualified Short Term Capital Gain (6)	0.00%	0.00%	100.00%	0.00%	0.00%	0.00%	0.00%

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

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

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

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

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

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

Annual Report March 2010  /  137

Metropolitan West Funds

Privacy Notice (Unaudited)

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

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

Ÿ   Information you may give us orally;

Ÿ   Information about your transactions with us or others;

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

Ÿ   Information about any bank account you use for transfers between your bank account and any custodial account, including

  information provided when effecting wire transfers.

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

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

138  /  Annual Report March 2010

Approval of Investment Management Agreement by Trustees

(Unaudited)

The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated March 31, 2010 (the “Agreement”) between the Trust and the Adviser. The Agreement was approved by the shareholders of each Fund. The Agreement replaced a prior Investment Management Agreement dated February 21, 2007 (the “Prior Agreement”) and a temporary Interim Investment Management Agreement on the same fee terms that took effect upon the acquisition of the Adviser by The TCW Group, Inc. (“TCW”) on February 23, 2010.

At an in-person meeting of the Board held on January 11, 2010, the Trustees, including the Independent Trustees, considered the approval of the Agreement in respect of each Fund. In determining to approve the Agreement, the Trustees considered that they had approved the continuation of the Prior Agreement, the terms of which were substantially identical to the Agreement, for an additional one-year period at their in-person meeting on May 18, 2009. A summary of factors considered by the Trustees at that time is provided below under “Factors Considered by the Trustees in Connection with the Recent Approval of Prior Agreement.” To the extent deemed necessary in their business judgment, the Trustees reconsidered these factors during their meeting on January 11, 2010.

At their meeting on January 11, 2010, the Independent Trustees were represented by independent legal counsel and met separately in an executive session with only that independent legal counsel present. During that executive session, the Independent Trustees spent additional time reviewing and discussing the information and materials that had been furnished by the Adviser in response to a detailed information request sent on their behalf by their independent legal counsel. The request and the Adviser’s response addressed a range of information relating to the acquisition of the Adviser by TCW, the expected benefits and costs to Fund shareholders, arrangements with Fund service providers, the expected management, operation, and compliance capabilities of and the resources available to the Adviser after the acquisition, plans regarding the marketing and distribution of the Funds, expected fees and expenses of the Funds after the acquisition, and plans regarding the Adviser’s and TCW’s businesses. The Independent Trustees also conducted a telephonic meeting the prior week to review and discuss the materials provided by the Adviser in response to that request. After that telephonic meeting, their independent counsel submitted a supplemental information request to the Adviser, which was satisfied before this meeting on January 11, 2010. In addition to the information furnished by the Adviser, the Trustees were provided with legal memoranda discussing their fiduciary duties related to the approval of the Agreement, as well as special considerations relevant to a transaction such as the one between the Adviser and TCW. The Independent Trustees met with representatives of the Adviser, who discussed with the Trustees the Adviser’s expectations as to the management and operations of the Adviser after the acquisition transaction and the continuing roles of the current portfolio management teams in the management of each of the Funds, as well as various other factors discussed in those legal memoranda and identified in the information request from their independent legal counsel.

The Trustees considered that it is not anticipated by the Adviser that there will be any material adverse change in the services provided to the Funds or personnel who are engaged in the portfolio management activities for the Fund as a result of the transaction. In addition, the consensus of the Independent Trustees, based on the information presented to them, was that there would be no “unfair burden” on the Funds as a result of the transaction within the meaning of Section 15(f) of the Investment Company Act of 1940, as amended. In particular, the Independent Trustees considered that the Adviser represented that there is not expected to be an increase in the contractual advisory fee applicable to any Fund, or additional compensation paid by the Funds to the Adviser, TCW, or their affiliates, as a result of the transaction. The Trustees considered that the terms of the Agreement are substantially identical in all material respects to those of the Prior Agreement, subject to some minor differences.

On the basis of these factors, the Trustees concluded that it would be in the best interests of each Fund to continue to be advised by the Adviser, and voted unanimously, including the unanimous vote of the Independent Trustees present at that meeting, to approve the Agreement, including the advisory fees proposed in the Agreement, in respect of each Fund for a two-year period commencing immediately following the shareholder approval of the Agreement.

Factors Considered by the Trustees in Connection with Recent Approval of Prior Agreement

On May 18, 2009, the Board approved the renewal of the Prior Agreement for an additional one-year term through the next annual meeting of the Board expected in May 2010. The renewal of the Prior Agreement was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately in executive session to discuss and review the information that had been presented for their consideration prior to the Board’s vote to renew the Prior Agreement. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.

Annual Report March 2010  /  139

Approval of Investment Management Agreement by Trustees (continued)

1. Information received

Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information that included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.

Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by legal counsel to the Trust, which is not independent legal counsel. The Independent Trustees discussed the renewal of the Prior Agreement with the Adviser’s representatives and in a private session at which no representatives of the Adviser were present. In deciding to recommend the renewal of the prior Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.

2. Nature, extent, and quality of services

The Board considered the depth and quality of the Adviser’s investment management process, including its research and intellectual capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results, and portfolio accounting. They considered the Adviser’s commitment to investing in information technology supporting investment management and compliance. They further noted the high level of communication between the Adviser and the Board. Among other favorable public press concerning the Adviser and the Funds, the Board recognized the Adviser’s previous selection by Morningstar, Inc. as the 2005 fixed-income manager of the year for the Total Return Bond Fund.

The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and will continue to benefit the Funds and their shareholders.

3. Investment results

The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various periods. In reviewing each Fund’s relative performance, the Board took into account any unique characteristics and its asset size, diversification, and range of investments.

The Board noted that each Fund’s performance was acceptable over the relevant periods and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Board concluded that the Adviser was implementing each Fund’s investment objective and the Adviser’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders.

4. Advisory fees and total expenses

The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of all other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below the median of the peer group funds on a current basis with the exception of the Strategic Income Fund. The Board discussed why the Lipper peer group was not a suitable comparison for that Fund and why the Strategic Income Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board further noted that the AlphaTrak 500 Fund and Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and the fact that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.

The Board also reviewed information regarding the advisory fees paid by institutional clients of the Adviser with similar investment mandates. They concluded that although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.

140  /  Annual Report March 2010

Approval of Investment Management Agreement by Trustees (continued)

5. The Adviser’s costs, level of profits, and economies of scale

The Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. They accepted the Adviser’s assertion that its profit margins have declined over time with respect to the Funds as a result of increased regulatory and other costs involved with the mutual fund business. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.

The Independent Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They realized that the advisory fees for the Funds do not have breakpoints, which would result in lower advisory fee rates as the Funds grow larger. They also accepted the Adviser’s assertion that the advisory fees compare favorably to peer group fees and expenses. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller) and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.

6. Ancillary benefits

The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that directly benefit from the Adviser’s relationship to the Funds.

7. Conclusions

Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Prior Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Prior Agreement was in the best interests of each Fund and its shareholders.

Annual Report March 2010  /  141

Special Meeting of Shareholders - Voting Results

(Unaudited)

On March 31, 2010, the Trust held a Special Meeting of Shareholders to consider a new Investment Management Agreement with Metropolitan West Asset Management, LLC (the “Adviser”), the investment adviser for the Metropolitan West Funds. The Funds’ existing Investment Advisory Agreement was expected to automatically terminate as a result of an acquisition of the Adviser by the TCW Group, Inc. Shareholders of record on February 9, 2010 were entitled to vote on the proposal to approve a new Investment Advisory Agreement substantively the same as the prior Investment Advisory Agreement, including the same fees other than additional limits applicable to performance adjustments for the AlphaTrak 500 Fund and Strategic Income Fund. The proposal was approved by shareholders of the Metropolitan West Total Return Bond Fund, Metropolitan West AlphaTrak 500 Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Low Duration Bond Fund on March 31, 2010. The Special Meeting was adjourned until April 9, 2010 for the Metropolitan West Strategic Income Fund and the Metropolitan West Intermediate Bond Fund at which time the proposal was approved by shareholders of the respective funds. The following votes were recorded:

PROPOSAL 1: Approval of a new Investment Management Agreement with the Adviser.

FUND		DOLLARS VOTED		% OF SHARES PRESENT
Ultra Short Bond Fund	Affirmative	$	76,103,544.56	99.28%
	Withheld	$	312,106.83	0.41%
	Abstain	$	239,016.64	0.24%
Low Duration Bond Fund	Affirmative	$	691,140,153.53	86.71%
	Withheld	$	9,966,969.03	1.25%
	Abstain	$	28,847,332.50	3.62%
	Uninstructed	$	67,126,524.56	8.42%
Intermediate Bond Fund	Affirmative	$	138,453,101.77	99.74%
	Withheld	$	303,900.00	0.22%
	Abstain	$	58,296.14	0.04%
Total Return Bond Fund	Affirmative	$	3,626,922,488.98	82.81%
	Withheld	$	47,742,440.62	1.09%
	Abstain	$	151,376,819.42	3.46%
	Uninstructed	$	553,762,200.75	12.64%
High Yield Bond Fund	Affirmative	$	258,890,009.60	81.54%
	Withheld	$	4,053,868.83	1.28%
	Abstain	$	16,802,112.00	5.29%
	Uninstructed	$	37,763,205.00	11.89%
Strategic Income Fund	Affirmative	$	153,327,562.09	99.58%
	Withheld	$	211,845.02	0.14%
	Abstain	$	428,818.65	0.28%
AlphaTrak 500 Fund	Affirmative	$	15,659,017.35	99.74%
	Withheld	$	9,640.83	0.06%
	Abstain	$	30,742.61	0.20%

142  /  Annual Report March 2010

MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

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

NAME AND YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH  OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS HELD BY TRUSTEE
Independent Trustees of the Trust*
Ronald J. Consiglio (1943)	Trustee	Indefinite term, since 2003	Since 1999, Mr. Consiglio has served as the managing director of Synergy Trading, a securities-trading partnership. From 1999 through 2001, Mr. Consiglio was Executive Vice President and Chief Financial Officer of Trading Edge, Inc., a national automated bond-trading firm. From January 1993 to 1998, Mr. Consiglio served as Chief Executive Officer and president of Angeles Mortgage Investment Trust, a publicly traded Real Estate Investment Trust. Before that position, he served as Senior Vice President and Chief Financial Officer of Cantor Fitzgerald & Co. and as a member of its board of directors. Mr. Consiglio is a certified public accountant and was an audit partner with Deloitte Haskins & Sells from 1977 through 1984.	7	Mannkind Corp. (Pharmaceutical Preparations).
Martin Luther King III (1957)	Trustee	Indefinite term, since 1997	Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980.	7	None
Peter McMillan (1958)	Trustee	Indefinite term, since 2008	Since 2000, Mr. McMillan has served as the co-founder and Managing Partner of Willowbrook Capital Group LLC, an investment advisory firm. He has also served as a co-founder and Executive Vice President of KBS Capital Advisors, a manager of real estate investment trusts, since 2005.	7	KBS Real Estate Investment Trust I and KBS Real Estate Investment Trust II (Real Estate Investments); Steinway Musical Instruments, Inc. (Musical Instruments Manufacturing)

Annual Report March 2010  /  143

NAME AND YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH  OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS HELD BY TRUSTEE
Robert G. Rooney (1958)	Trustee	Indefinite term, since 2009	Mr. Rooney has served as Executive Vice President and Chief Operating Officer of Affinion Group, Inc. (“Affinion”), a customer communications marketing company, since 2006. Previously, he was Executive Vice President and interim Chief Financial Officer at Affinion from October 2005 to January 2006. Between November 2004 and October 2005, Mr. Rooney was Executive Vice President at CMG (predecessor to Affinion) and between January 2004 to October 2004, Mr. Rooney was Executive Vice President and Chief Financial Officer at CMG. From July 2001 to January 2004, Mr. Rooney was Executive Vice President and Chief Financial Officer at Trilegiant, a subsidiary of Affinion.	7	Subsidiaries of Affinion Group, Inc. (Customer Communications and Marketing)
Andrew Tarica (1959)	Trustee and Chairman of the Board	Indefinite term, since 2002 and 2008, respectively	Mr. Tarica has served as the Chief Executive Officer of Meadowbrook Capital Management, a fixed-income asset management company that also manages a fixed income hedge fund since February of 2001. Since 2005, Mr. Tarica also has served as an employee of Sanders Morris Harris, a Houston-based broker-dealer, for purposes of managing a fixed-income portfolio.	7	None
Daniel D. Villanueva (1937)	Trustee	Indefinite term, since 1997	Mr. Villanueva has been a partner of RC Fontis Partners (a private equity fund) since January of 2006. Prior to this, he served as the Chairman and Managing Director of Bastion Capital Corporation, an investment firm, from 1990 to 2005. He has served as the Chairman of Integrated Water Resources since 1999.	7	Citibank- Banamex (USA); Fleetwood Enterprises, Inc. (Recreational Vehicles); Integrated Water Resources; Southwest Airlines (Airline)
Interested Trustees**
Patrick Moore (1964)	Trustee	Indefinite term, since 2010	Mr. Moore has served as the Managing Director of Client Services for the Adviser since 2000. Mr. Moore holds a bachelor’s degree in Mathematics and an MBA in Finance from the University of California, Irvine. He is a member of the CFA Institute.	7	N/A
Laird Landmann (1964)	Trustee and Executive Vice President	Indefinite term, since 2008 and 2007, respectively	Since August 1996, Mr. Landmann has been a Managing Director and portfolio manager with the Adviser. Since March 2005, he has been a portfolio manager with West Gate Advisors, LLC.	7	MetWest Enhanced TALF Strategy Fund, Ltd.
Officers of the Trust who are not Trustees
David B. Lippman (1958)	President and Principal Executive Officer	Indefinite term, since November 2008	Mr. Lippman has been a Managing Director with the Adviser since October 2001. He has been the CEO of the Adviser since June 2008. Mr. Lippman has served as a portfolio manager with the Adviser since August 2001.	N/A	N/A

144  /  Annual Report March 2010

NAME AND YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH  OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER DIRECTORSHIPS HELD BY TRUSTEE
Joseph D. Hattesohl (1963)	Treasurer since 2001 and Chief Financial Officer since 2003	Indefinite term, since 2001 and 2003, respectively	Mr. Hattesohl has served as the Chief Financial Officer of the Adviser since November 2000. Since June 2004, he also serves as Chief Financial Officer of West Gate Advisors, LLC, an investment adviser affiliate of the Adviser, and President of MWAM Distributors, LLC, a limited broker dealer affiliate of the Adviser.	N/A	N/A
Bibi Khan (1953)	Vice President since 2007	Indefinite term, since 2007	Presently, Ms. Khan is the Vice President of Operations for the Adviser. She has worked for the Adviser since 2005. From 2003 through 2005, Ms. Khan served as Director, Securities Group Operations Manager for Columbia Management (formerly Banc of America Capital Management, LLC). Ms. Khan is a Certified Trust and Financial Analyst (CFTA).	N/A	N/A
Tad Rivelle (1961)	Executive Vice President since 2007	Indefinite term, since 2007	Mr. Rivelle has been the Chief Investment Officer and a Managing Director with the Adviser since August 1996.	N/A	N/A
Steve Kane (1962)	Executive Vice President since 2007	Indefinite term, since 2007	Mr. Kane has been a portfolio manager with the Adviser since August 1996.	N/A	N/A
Cal Rivelle (1958)	Executive Vice President	Indefinite term, since 2009	Mr. Rivelle has served as Executive Vice President of the Funds since March 2009. He has been the Chief Operating Officer of the Adviser and West Gate Advisors, LLC since June 2008, and was the Chief Technology Officer of the Adviser from October 2008 to June 2008.	N/A	N/A
Vincent Bencivenga (1951)	Chief Compliance Officer	Indefinite term, since 2009	Mr. Bencivenga has served as Chief Compliance Officer of the Funds since September 2009. He had been the Deputy Anti Money Laundering Officer of the Funds from March 2009 to September 2009. He has been the President of RegComply.Net, a regulatory compliance consulting firm, since its founding in September 2008. From June 2004 through February 2008, Mr. Bencivenga was Chief Compliance Officer of McMorgan & Company, a registered investment adviser in San Francisco.	N/A	N/A
Scott Brody (1968)	Anti-Money Laundering Compliance Officer	Indefinite term, since 2009	Mr. Brody has served as Anti-Money Laundering (AML) Officer of the Funds since December 2009. He served as Chief Compliance of Associated Securities Corp. from February 2009-October 2009 as well as VP, Compliance and AML Officer from January 2006-October 2009. From January 2005 through January 2006, Mr. Brody was Senior Compliance Analyst for ING/Financial Network Investment Corp., and from August 2002-January 2005 was a Senior Compliance Analyst for CUSO Financial Services, LP. Mr. Brody holds the Series 4, 7, 24, 53, 63, & 66 FINRA Securities licenses.	N/A	N/A

*	Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act.
**	Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser.
***	For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Los Angeles, CA 90017.

Annual Report March 2010  /  145

BOARD OF TRUSTEES

Andrew Tarica

Patrick Moore

Laird Landmann

Peter McMillan

Martin Luther King, III

Daniel D. Villanueva

Ronald J. Consiglio

Robert G. Rooney

OFFICERS

David Lippman

President and Principal Executive Officer

Joseph D. Hattesohl

Treasurer, Chief Financial Officer and Principal

Accounting Officer

Vincent Bencivenga

Chief Compliance Officer

ADVISER

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Floor 1800

Los Angeles, CA 90017

CUSTODIAN

The Bank of New York Mellon

One Wall Street New York, NY 10286

  TRANSFER AGENT   PNC Global Investment Servicing (U.S.) Inc. 760 Moore Road King of Prussia, PA 19406   INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM   Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103   DISTRIBUTOR   PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406   LEGAL COUNSEL   Paul, Hastings, Janofsky & Walker LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441 For Additional Information about the Metropolitan West Funds call: (310) 966-8900 or (800) 241-4671 (toll-free) www.mwamllc.com   A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov.   This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.         METAR2010 

Item 2. Code of Ethics.

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

(b) N/A

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

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

Item 3. Audit Committee Financial Expert.

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

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $410,000 in 2010 and $395,550 in 2009.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the

registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2010 and $0 in 2009.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $29,050 in 2010 and $28,000 in 2009. Tax fees represent tax compliance services provided in connection with the review of the Registrant’s tax returns (Form 1120-RIC and Form 100 CA) and year end Excise Tax review.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2010 and $0 in 2009.

(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $685,700 in 2010 and $549,550 in 2009.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

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

(b) Not applicable.

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures.

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

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

Item 12. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

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

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

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

(registrant)                               Metropolitan West Funds                                                         

By (Signature and Title)*        /s/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

Date    6/7/10                                                                                                                              

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/ David Lippman
	David Lippman, President and Principal Executive Officer
	(principal executive officer)

Date    6/7/10                                                                                                                              

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

Date    6/7/10                                                                                                                              

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