-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, M12QZIFkGxvRgX/9AcIaQA88uUAv/qNFAHdcD0i597jDUbnB/0COG973P/Xc/SXM rpvxrgQ3DhaaB6GnjuK+mQ== 0001193125-06-120355.txt : 20060526 0001193125-06-120355.hdr.sgml : 20060526 20060526153725 ACCESSION NUMBER: 0001193125-06-120355 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060331 FILED AS OF DATE: 20060526 DATE AS OF CHANGE: 20060526 EFFECTIVENESS DATE: 20060526 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AARP Portfolios CENTRAL INDEX KEY: 0001341289 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-21839 FILM NUMBER: 06870601 BUSINESS ADDRESS: STREET 1: 601 E STREET, N.W. CITY: WASHINGTON STATE: DC ZIP: 20004 BUSINESS PHONE: 202-434-3546 MAIL ADDRESS: STREET 1: 601 E STREET, N.W. CITY: WASHINGTON STATE: DC ZIP: 20004 FORMER COMPANY: FORMER CONFORMED NAME: Retirement Readiness Core Portfolios DATE OF NAME CHANGE: 20051012 0001341289 S000012742 U.S. Stock Market Portfolio C000034325 U.S. Stock Market Portfolio 0001341289 S000012743 International Stock Market Portfolio C000034326 International Stock Market Portfolio 0001341289 S000012744 U.S. Bond Market Portfolio C000034327 U.S. Bond Market Portfolio N-Q 1 dnq.htm AARP PORTFOLIOS AARP Portfolios

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21839

AARP PORTFOLIOS


(Exact name of registrant as specified in charter)

650 F. STREET NW

WASHINGTON, DC 20004


(Address of principal executive offices)(Zip code)

 

(Name and Address of Agent for Service)   Copy to:

LARRY C. RENFRO

AARP PORTFOLIOS

650 F. STREET NW

WASHINGTON, DC 20004

 

JANE KANTER, ESQ.

DECHERT LLP

1775 I STREET, N.W.

WASHINGTON, D.C. 20006

Registrant’s telephone number, including area code: (202) 434-3546

Date of fiscal year end: June 30

Date of reporting period: March 31, 2006


Item 1. Schedule of Investments.


AARP PORTFOLIOS

U.S. STOCK MARKET PORTFOLIO

PORTFOLIO OF INVESTMENTS

March 31, 2006 (unaudited)

 

Shares or

Principal

Amount

        Value
   COMMON STOCKS—96.2%   
   Consumer Discretionary—11.4%   
60    1 ACCO Brands Corp.    $ 1,332
60    ADVO, Inc.      1,920
149    Abercrombie and Fitch Co., Class A      8,686
120    Advance Auto Parts, Inc.      4,996
70    1 Aeropostale, Inc.      2,111
420    1 Amazon.Com, Inc.      15,334
150    American Eagle Outfitters, Inc.      4,479
100    American Greetings Corp., Class A      2,162
80    1 AnnTaylor Stores Corp.      2,943
110    Applebees International, Inc.      2,700
70    1 aQuantive, Inc.      1,647
100    ArvinMeritor, Inc.      1,491
200    1 Autonation, Inc.      4,310
89    1 Autozone, Inc.      8,872
60    1 Aztar Corp.      2,519
80    1 BJ’s Wholesale Club, Inc.      2,520
60    Bandag, Inc.      2,144
70    Barnes & Noble, Inc.      3,237
50    1 Beacon Roofing Supply, Inc.      2,032
40    Beazer Homes USA, Inc.      2,628
396    1 Bed Bath & Beyond, Inc.      15,206
150    Belo Corp., Class A      2,982
639    Best Buy Co., Inc.      35,739
170    1 Big Lots, Inc.      2,373
114    Black & Decker Corp.      9,905
90    Bob Evans Farms, Inc.      2,674
100    Borders Group, Inc.      2,524
60    BorgWarner, Inc.      3,602
50    Boyd Gaming Corp.      2,497
88    1 Brightpoint, Inc.      2,733
100    Brinker International, Inc.      4,225
110    Brunswick Corp.      4,275
40    Building Materials Holding Corp.      1,426
40    Burlington Coat Factory Warehouse Corp.      1,818
70    CBRL Group, Inc.      3,074
931    CBS Corp., Class B      22,325
70    CDW Corp.      4,120
50    1 CEC Entertainment, Inc.      1,681
346    1 Cablevision Systems Corp.      9,238
120    Callaway Golf Co.      2,064
120    1 Carmax, Inc.      3,922
674    Carnival Corp.      31,927
30    1 Carter Holdings      2,025
70    Catalina Marketing Corp.      1,617
174    Centex Corp.      10,786


110

   1 Champion Enterprises, Inc.    1,646

150

   1 Charming Shoppes, Inc.    2,231

90

   1 Cheesecake Factory, Inc.    3,371

265

   1 Chico’s FAS, Inc.    10,770

30

   1 Children’s Place Retail Stores, Inc./The    1,737

100

   Choice Hotels, Inc.    4,578

200

   Circuit City Stores, Inc.    4,896

100

   Claire’s Stores, Inc.    3,631

580

   Clear Channel Communications, Inc.    16,826

490

   1 Coach, Inc.    16,944

75

   1 Coldwater Creek, Inc.    2,085

1,814

   1 Comcast Corp., Class A    47,454

1,109

   1 Comcast Corp., Class A Special    28,967

110

   Cooper Tire & Rubber Co.    1,577

100

   1 Copart, Inc.    2,745

671

   Costco Wholesale Corp.    36,341

380

   D.R. Horton, Inc.    12,624

160

   Darden Restaurants, Inc.    6,565

50

   1 Dick’s Sporting Goods, Inc.    1,984

80

   Dillard’s, Inc.    2,083

987

   1 DIRECTV Group, Inc./The    16,187

290

   Dollar General Corp.    5,124

120

   1 Dollar Tree Stores, Inc.    3,320

60

   Domino’s Pizza, Inc.    1,713

79

   Dow Jones & Co, Inc.    3,105

60

   1 DreamWorks Animation SKG, Inc.    1,587

40

   1 Dress Barn, Inc.    1,918

415

   Eastman Kodak Co.    11,803

329

   1 EchoStar Communications Corp.    9,827

60

   Entercom Communications Corp.    1,675

50

   Ethan Allen Interiors, Inc.    2,101

290

   1 Expedia, Inc.    5,878

90

   EW Scripps Co.    4,024

160

   Family Dollar Stores, Inc.    4,256

352

   Federated Department Stores, Inc.    25,696

80

   Finish Line, Inc.    1,316

170

   Foot Locker, Inc.    4,060

2,270

   Ford Motor Co.    18,069

184

   Fortune Brands, Inc.    14,836

80

   1 Fossil, Inc.    1,486

80

   Furniture Brands International, Inc.    1,961

60

   1 GameStop Corp., Class A    2,828

100

   1 GameStop Corp., Class B    4,332

350

   Gannett Co., Inc.    20,972

806

   Gap, Inc.    15,056

70

   Garmin Ltd.    5,560

50

   1 Gaylord Entertainment Co.    2,269

607

   General Motors Corp.    12,911

40

   1 Genesco, Inc.    1,556

180

   Gentex Corp.    3,143

60

   1 Getty Images, Inc.    4,493

180

   1 Goodyear Tire & Rubber Co.    2,606

100

   Group 1 Automotive, Inc.    4,754

130

   GTech Holdings Corp.    4,427

40

   1 Guitar Center, Inc.    1,908

60

   HNI Corp.    3,540


390

   Harley-Davidson, Inc.    20,233

97

   Harman International Industries, Inc.    10,780

219

   Harrah’s Entertainment, Inc.    17,073

80

   Harte-Hanks, Inc.    2,188

200

   Hasbro, Inc.    4,220

60

   1 Hibbett Sporting Goods, Inc.    1,979

505

   Hilton Hotels Corp.    12,857

2,925

   Home Depot, Inc.    123,728

30

   1 Hovnanian Enterprises, Inc.    1,318

30

   Ihop Corp.    1,438

80

   1 Insight Enterprises, Inc.    1,761

70

   1 Interactive Data Corp.    1,645

450

   International Game Technology    15,849

50

   International Speedway Corp., Class A    2,545

460

   1 Interpublic Group of Cos, Inc.    4,398

60

   1 Jack In the Box, Inc.    2,610

304

   JC Penney Corp, Inc.    18,365

70

   John Wiley & Sons, Inc.    2,650

241

   Johnson Controls, Inc.    18,299

130

   Jones Apparel Group, Inc.    4,598

50

   K-Swiss, Inc.    1,507

126

   KB Home    8,187

80

   Knight Ridder, Inc.    5,057

440

   1 Kohl’s Corp.    23,324

90

   1 Lamar Advertising Co.    4,736

60

   Lancaster Colony Corp.    2,520

180

   1 Las Vegas Sands Corp.    10,199

80

   Lear Corp.    1,418

80

   Lee Enterprises, Inc.    2,663

210

   Leggett & Platt, Inc.    5,118

175

   Lennar Corp.    10,567

250

   1 Liberty Global, Inc.    4,938

3,554

   1 Liberty Media Corp.    29,178

40

   1 Life Time Fitness, Inc.    1,874

487

   Limited Brands, Inc.    11,912

151

   1 Live Nation, Inc.    2,996

120

   Liz Claiborne, Inc.    4,918

1,027

   Lowe’s Cos., Inc.    66,180

30

   M.D.C. Holdings, Inc.    1,929

140

   1 MGM Mirage    6,033

90

   1 Macrovision Corp.    1,994

233

   Marriott International, Inc.    15,984

100

   1 Marvel Entertainment, Inc.    2,012

637

   Mattel, Inc.    11,549

60

   Matthews International Corp.    2,296

100

   Maytag Corp.    2,133

50

   McClatchy Co.    2,443

1,763

   McDonald’s Corp.    60,577

497

   McGraw-Hill Co., Inc.    28,637

40

   Media General, Inc., Class A    1,865

60

   Men’s Wearhouse, Inc.    2,156

56

   Meredith Corp.    3,124

30

   1 Meritage Homes Corp.    1,649

227

   Michaels Stores, Inc.    8,531

60

   Modine Manufacturing Co.    1,770

85

   1 Mohawk Industries, Inc.    6,861


60

   1 NetFlix , Inc.    1,739

160

   New York Times Co.    4,050

408

   Newell Rubbermaid, Inc.    10,278

2,495

   News Corp., Class A    41,442

795

   News Corp., Class B    13,960

262

   Nike, Inc.    22,296

275

   Nordstrom, Inc.    10,775

369

   1 NTL, Inc.    10,742

10

   1 NVR, Inc.    7,390

40

   1 Nutri/System, Inc.    1,901

120

   1 O’Reilly Automotive, Inc.    4,387

410

   1 Office Depot, Inc.    15,268

90

   OfficeMax, Inc.    2,715

247

   Omnicom Group, Inc.    20,563

70

   Orient-Express Hotels Ltd.    2,746

80

   Outback Steakhouse, Inc.    3,520

40

   1 PF Chang’s China Bistro, Inc.    1,972

90

   1 Pacific Sunwear Of California    1,994

40

   1 Panera Bread Co.    3,007

60

   1 Papa John’s International, Inc.    1,969

80

   1 Payless Shoesource, Inc.    1,831

90

   1 Penn National Gaming, Inc.    3,796

70

   1 Petco Animal Supplies, Inc.    1,650

160

   PetSmart, Inc.    4,502

50

   Phillips-Van Heusen Corp.    1,911

70

   1 Pinnacle Entertainment, Inc.    1,972

60

   1 Pixar    3,848

60

   Polaris Industries, Inc.    3,274

70

   Polo Ralph Lauren Corp.    4,243

299

   Pulte Homes, Inc.    11,488

150

   1 Quicksilver, Inc.    2,079

240

   1 Radio One, Inc., Class A    1,795

140

   RadioShack Corp.    2,692

70

   1 Rare Hospitality International, Inc.    2,438

160

   Reader’s Digest Association, Inc.    2,360

80

   Regal Entertainment Group    1,505

60

   Regis Corp Minnesota    2,069

100

   1 Rent- A- Center, Inc.    2,559

100

   1 R.H. Donnelley Corp.    5,823

160

   Ross Stores, Inc.    4,670

189

   Royal Caribbean Cruises Ltd.    7,942

100

   Ruby Tuesday, Inc.    3,208

40

   Ryland Group, Inc.    2,776

80

   SCP Pool Corp.    3,753

130

   1 Saks, Inc.    2,509

70

   1 Scholastic Corp.    1,873

40

   1 School Specialty, Inc.    1,380

80

   1 Scientific Games Corp.    2,810

145

   1 Sears Holdings Corp.    19,175

50

   1 Select Comfort Corp.    1,978

172

   Sherwin-Williams Co.    8,504

60

   1 Shuffle Master, Inc.    2,144

1,847

   1 Sirius Satellite Radio, Inc.    9,383

84

   Snap-On, Inc.    3,202

91

   1 Sonic Corp.    3,197

60

   Stage Stores, Inc.    1,785


70

   Standard Pacific Corp.    2,353

90

   Stanley Works    4,559

976

   Staples, Inc.    24,908

1,057

   1 Starbucks Corp.    39,785

325

   Starwood Hotels & Resorts    22,012

60

   Station Casinos, Inc.    4,762

611

   TJX Cos., Inc.    15,165

60

   1 TRW Automotive Holdings Corp.    1,398

1,203

   Target Corp.    62,568

80

   1 Tenneco, Inc.    1,735

50

   Thor Industries, Inc.    2,668

236

   Tiffany & Co.    8,859

70

   1 Timberland Co. Class A    2,396

6,148

   Time Warner, Inc.    103,225

120

   1 Toll Brothers, Inc.    4,156

120

   1 Tommy Hilfiger Corp.    1,976

50

   1 Too, Inc.    1,718

65

   Toro Co.    3,104

40

   1 Tractor Supply Co.    2,654

150

   Triarc Cos., Inc.    2,735

240

   Tribune Co.    6,583

80

   Tupperware Brands Corp.    1,647

90

   1 United Rentals, Inc.    3,105

327

   1 Univision Communications, Inc.    11,272

110

   1 Urban Outfitters, Inc.    2,699

100

   VF Corp.    5,690

954

   1 Viacom, Inc.    37,015

210

   1 Visteon Corp.    966

50

   1 WCI Communities, Inc.    1,391

70

   Wabtec Corp.    2,282

3,401

   Wal-Mart Stores, Inc.    160,663

2,717

   Walt Disney Co.    75,777

80

   1 Warnaco Group, Inc./The    1,920

80

   Warner Music Group Corp.    1,735

10

   Washington Post Co., Class B    7,768

168

   Wendy’s International, Inc.    10,426

60

   1 WESCO International, Inc.    4,081

130

   Westwood One, Inc.    1,435

100

   Whirlpool Corp.    9,147

110

   1 Williams-Sonoma, Inc.    4,664

40

   Winnebago Industries, Inc.    1,214

100

   Wolverine World Wide, Inc.    2,213

60

   1 Wynn Resorts Ltd.    4,611

240

   1 XM Satellite Radio Holdings, Inc.    5,345

70

   Yankee Candle Co., Inc.    1,916

421

   Yum! Brands, Inc.    20,570

70

   1 Zale Corp.    1,961
       
  

TOTAL

   2,355,212
       
   Consumer Staples—6.6%   

90

   Alberto-Culver Co.    3,981

426

   Albertson’s, Inc.    10,935

2,880

   Altria Group, Inc.    204,077

1,043

   Anheuser-Busch Cos., Inc.    44,609

793

   Archer-Daniels-Midland Co.    26,684

601

   Avon Products, Inc.    18,733

100

   Brown Forman Corp.    7,697

183

   Bunge Ltd.    10,195


1,128

   CVS Corp.    33,693

333

   Campbell Soup Co.    10,789

80

   Casey’s General Stores, Inc.    1,830

40

   1 Central Garden & Pet Co.    2,126

70

   Chiquita Brands International, Inc.    1,174

80

   Church & Dwight, Inc.    2,954

192

   Clorox Co.    11,491

2,872

   Coca-Cola Co.    120,251

415

   Coca-Cola Enterprises, Inc.    8,441

691

   Colgate-Palmolive Co.    39,456

692

   ConAgra Foods, Inc.    14,850

310

   1 Constellation Brands, Inc.    7,766

90

   Corn Products International, Inc.    2,661

160

   1 Dean Foods Co.    6,213

260

   Del Monte Foods Co.    3,084

140

   Estee Lauder Cos., Inc.    5,207

70

   Flowers Foods, Inc.    2,079

469

   General Mills, Inc.    23,769

80

   1 Hain Celestial Group, Inc.    2,095

20

   1 Hansen Natural Corp.    2,521

50

   1 Herbalife Ltd.    1,689

231

   Hershey Co / The    12,065

420

   HJ Heinz Co.    15,926

100

   Hormel Foods Corp.    3,380

82

   JM Smucker Co.    3,255

360

   Kellogg Co.    15,854

662

   Kimberly-Clark Corp.    38,264

373

   Kraft Foods, Inc.    11,306

1,022

   Kroger Co.    20,808

80

   Loews Corp.    3,782

40

   Longs Drug Stores Corp.    1,851

140

   McCormick & Co, Inc.    4,740

80

   Molson Coors Brewing Co.    5,490

90

   1 NBTY, Inc.    2,027

100

   NU Skin Enterprises, Inc.    1,753

30

   1 Pantry, Inc./The    1,872

160

   Pepsi Bottling Group, Inc.    4,862

100

   PepsiAmericas, Inc.    2,445

2,265

   PepsiCo, Inc.    130,894

70

   1 Performance Food Group Co.    2,183

4,654

   Procter And Gamble Co.    268,163

50

   1 Ralcorp Holdings, Inc.    1,903

650

   1 Rite Aid Corp.    2,600

560

   Safeway, Inc.    14,067

996

   Sara Lee Corp.    17,808

100

   1 Smithfield Foods, Inc.    2,934

150

   Supervalu, Inc.    4,623

852

   Sysco Corp.    27,307

260

   Tyson Foods, Inc.    3,572

244

   UST, Inc.    10,150

60

   1 United Natural Foods, Inc.    2,098

50

   Universal Corp., VA    1,839

1,374

   Walgreen Co.    59,261

200

   Whole Foods Market, Inc.    13,288

192

   WM Wrigley Jr. Co.    12,288
       
  

TOTAL

   1,355,708
       


   Energy—8.8%   

111

   Amerada Hess Corp.    15,806

288

   Anadarko Petroleum Corp.    29,090

473

   Apache Corp.    30,986

20

   1 Atwood Oceanics, Inc.    2,020

410

   BJ Services Co.    14,186

489

   Baker Hughes, Inc.    33,447

30

   Berry Petroleum Co., Class A    2,054

40

   1 Bill Barrett Corp.    1,304

495

   Burlington Resources, Inc.    45,495

60

   Cabot Oil & Gas Corp.    2,876

30

   Carbo Ceramics, Inc.    1,707

60

   1 Cheniere Energy, Inc.    2,434

466

   Chesapeake Energy Corp.    14,637

3,101

   Chevron Corp.    179,765

90

   Cimarex Energy Co.    3,893

60

   1 Comstock Resources, Inc.    1,781

1,771

   ConocoPhillips    111,839

182

   1 Cooper Cameron Corp.    8,023

50

   1 Core Laboratories, NV    2,378

130

   1 Denbury Resources, Inc.    4,117

600

   Devon Energy Corporation    36,702

98

   Diamond Offshore Drilling, Inc.    8,771

942

   El Paso Corp.    11,351

60

   1 Encore Acquisition Co.    1,860

211

   ENSCO International, Inc.    10,856

344

   EOG Resources, Inc.    24,768

120

   Equitable Resources, Inc.    4,381

8,501

   Exxon Mobil Corp.    517,371

70

   1 FMC Technologies, Inc.    3,585

60

   1 Forest Oil Corp.    2,231

60

   Frontier Oil Corp.    3,561

40

   General Maritime Corp.    1,334

130

   1 Global Industries, Ltd.    1,884

350

   GlobalSantaFe Corp.    21,263

204

   1 Grant Prideco, Inc.    8,739

240

   1 Grey Wolf, Inc.    1,786

771

   Halliburton Co.    56,298

120

   1 Hanover Compressor Co.    2,234

80

   1 Helix Energy Solutions Group, Inc.    3,032

60

   Helmerich and Payne, Inc.    4,189

30

   Holly Corp.    2,224

45

   1 Houston Exploration Co.    2,372

30

   1 Hydril Company    2,339

70

   1 KCS Energy, Inc.    1,820

140

   Kerr-McGee Corp.    13,367

146

   Kinder Morgan, Inc.    13,431

40

   1 Lone Star Technologies, Inc.    2,216

505

   Marathon Oil Corp.    38,466

48

   1 Mariner Energy, Inc.    984

60

   1 Maverick Tube Corp.    3,179

228

   Murphy Oil Corp.    11,359

40

   1 NS Group, Inc.    1,841

200

   1 Nabors Industries Ltd    14,316

229

   1 National Oilwell Varco, Inc.    14,683

130

   1 Newfield Exploration Co.    5,447

173

   Noble Corporation    14,030


254

   Noble Energy, Inc.    11,156

100

   OMI Corporation    1,802

600

   Occidental Petroleum Corp.    55,590

40

   1 Oceaneering International, Inc.    2,292

50

   1 Oil States International, Inc.    1,843

170

   1 Parker Drilling Co.    1,576

270

   Patterson-UTI Energy, Inc.    8,629

30

   Penn Virginia Corp.    2,130

150

   Pioneer Natural Resources Co.    6,638

80

   1 Plains Exploration & Production Co.    3,091

60

   Pogo Producing Co.    3,015

254

   1 Pride International, Inc.    7,920

50

   1 Quicksilver Resources, Inc.    1,933

140

   Range Resources Corp.    3,823

40

   1 Remington Oil & Gas Corp.    1,729

120

   Rowan Companies, Inc.    5,275

808

   Schlumberger Ltd    102,269

20

   1 SEACOR Holdings, Inc.    1,584

290

   Smith International, Inc.    11,298

70

   St Mary Land & Exploration Co.    2,858

40

   1 Stone Energy Corp.    1,765

182

   Sunoco, Inc.    14,118

100

   1 Superior Energy Services    2,679

40

   1 Swift Energy Co.    1,498

114

   Tesoro Corp.    7,791

60

   1 Tetra Technologies, Inc.    2,822

100

   Tidewater, Inc.    5,523

70

   1 Todco, Class A    2,759

442

   Transocean, Inc. .    35,493

210

   1 Ultra Petroleum Corp.    13,085

50

   1 Unit Corp.    2,788

50

   1 Universal Compression Holdings    2,534

804

   Valero Energy Corp.    48,063

50

   1 Veritas DGC, Inc.    2,270

60

   1 W-H Energy Services, Inc.    2,669

455

   1 Weatherford International Ltd.    20,816

60

   Western Gas Resources, Inc.    2,895

50

   1 Whiting Petroleum Corp.    2,050

760

   Williams Cos., Inc.    16,256

510

   XTO Energy, Inc.    22,221
       
  

TOTAL

   1,822,654
       
   Financials—21.6%   

744

   Aflac, Inc.    33,576

100

   AMB Property Corp.    5,427

344

   AON Corp.    14,279

30

   1 Accredited Home Lenders Holding Co.    1,535

430

   Ace Ltd    22,364

40

   1 Affiliated Managers Group, Inc.    4,264

50

   Alabama National Bancorporation    3,420

34

   Alexandria Real Estate Equities, Inc.    3,241

11

   1 Alleghany Corp.    3,248

150

   Allied Capital Corp.    4,590

907

   Allstate Corp.    47,263

150

   Ambac Financial Group, Inc.    11,940

110

   Amcore Financial, Inc.    3,478

120

   American Capital Strategies Ltd.    4,219

1,540

   American Express Co.    80,927


79

   American Financial Group, Inc.    3,287

200

   American Financial Realty Tr.    2,330

60

   American Home Mortgage Investment Corp.    1,872

3,045

   American International Group, Inc.    201,244

160

   1 AmeriCredit Corp.    4,916

301

   Ameriprise Financial, Inc.    13,563

56

   AmerUS Group Co.    3,373

469

   Amsouth Bancorporation    12,686

170

   Annaly Mortgage Management, Inc.    2,063

110

   Apartment Investment & Management Co., Class A    5,159

130

   Arbor Realty Trust, Inc.    3,509

50

   1 Arch Capital Group Ltd    2,887

282

   Archstone-Smith Trust    13,753

80

   Arden Realty, Inc.    3,610

70

   1 Argonaut Group, Inc.    2,489

110

   Arthur J. Gallagher & Co.    3,059

100

   Aspen Insurance Holdings Ltd.    2,466

300

   Associated Banc Corp.    10,194

130

   Assurant, Inc.    6,403

90

   Assured Guaranty Ltd.    2,250

110

   Astoria Financial Corp.    3,406

105

   AvalonBay Communities, Inc.    11,456

140

   Axis Capital Holdings Ltd.    4,186

699

   BB&T Corp.    27,401

40

   BOK Financial Corp.    1,902

132

   Bancorpsouth, Inc.    3,169

6,289

   Bank of America Corp.    286,401

100

   Bank of Hawaii Corp.    5,331

1,062

   Bank of New York Co., Inc.    38,274

100

   Banner Corp.    3,400

159

   Bear Stearns & Cos., Inc.    22,053

167

   Berkley W.R. Corp    9,696

11

   1 Berkshire Hathaway, Inc.    33,132

110

   BioMed Realty Trust, Inc.    3,260

22

   Blackrock, Inc.    3,080

143

   Boston Properties, Inc.    13,335

60

   Boston Private Financial Holdings, Inc.    2,027

100

   Brandywine Realty Trust    3,176

100

   BRE Properties, Inc    5,600

190

   Brookline Bancorp, Inc.    2,943

130

   Brown & Brown, Inc.    4,316

265

   CIT Group, Inc.    14,183

125

   CVB Financial Corp.    2,138

100

   Camden Property Trust    7,205

414

   Capital One Financial Corp.    33,335

110

   Capital Trust, Inc.    3,423

110

   CapitalSource, Inc.    2,737

60

   Capitol Federal Financial    1,938

84

   CarrAmerica Realty Corp.    3,747

100

   Cathay General Bancorp    3,764

70

   1 CB Richard Ellis Group, Inc.    5,649

85

   CBL & Associates Properties, Inc.    3,608

60

   Central Pacific Financial Corp.    2,203

1,537

   Charles Schwab Corp.    26,452

46

   Chicago Mercantile Exchange    20,585

100

   Chittenden Corp.    2,897


259

   Chubb Corp.    24,719

180

   Cincinnati Financial Corp.    7,573

6,845

   Citigroup, Inc.    323,289

110

   Citizens Banking Corp.    2,954

90

   City Bank/Lynnwood, WA    4,189

100

   City National Corp.    7,679

200

   Colonial BancGroup, Inc.    5,000

63

   Colonial Properties Trust    3,158

260

   Comerica, Inc.    15,072

246

   Commerce Bancorp, Inc.    9,016

100

   Commerce Bancshares, Inc.    5,167

40

   Commerce Group, Inc.    2,114

170

   Commercial Net Lease Realty, Inc.    3,961

80

   Community Trust Bancorp, Inc.    2,712

179

   Compass Bancshares, Inc.    9,059

180

   1 Conseco, Inc.    4,468

70

   Corporate Office Properties Trust    3,202

50

   1 Corrections Corp. of America    2,260

30

   Corus Bankshares, Inc.    1,783

793

   Countrywide Financial Corp.    29,103

90

   Cousins Properties, Inc.    3,009

143

   Crescent Real Estate Equities    3,013

67

   Cullen Frost Bankers, Inc.    3,601

50

   Delphi Financial Group, Inc., Class A    2,582

170

   Developers Diversified Realty    9,308

180

   Dime Community Bancorp, Inc.    2,587

140

   Doral Financial Corp.    1,617

30

   Downey Financial Corp.    2,019

160

   Duke Realty Corp.    6,072

503

   1 E*Trade Financial Corp.    13,571

82

   East West Bancorp, Inc.    3,161

80

   EastGroup Properties, Inc.    3,795

130

   Eaton Vance Corp.    3,559

90

   Edwards (A.G), Inc.    4,487

70

   Endurance Specialty Holdings    2,279

60

   Entertainment Properties Trust    2,519

180

   Equity Inns, Inc.    2,916

50

   Equity Lifestyle Properties, Inc.    2,488

509

   Equity Office Properties Trust    17,092

90

   Equity One, Inc.    2,210

400

   Equity Residential    18,716

54

   Erie Indemnity Co.    2,843

32

   Essex Property Trust, Inc.    3,479

105

   Everest Reinsurance Group Ltd    9,804

180

   Extra Space Storage, Inc.    3,094

150

   FNB Corp/PA    2,565

1,014

   Federal Home Loan Mortgage Corp.    61,854

1,338

   Federal National Mortgage Association    68,773

100

   Federal Realty Investment Trust    7,520

100

   Federated Investors, Inc.    3,905

140

   FelCor Lodging Trust, Inc.    2,954

243

   Fidelity National Financial, Inc.    8,634

70

   Fidelity National Information Service, Inc.    2,839

638

   Fifth Third Bancorp    25,112

75

   Financial Federal Corp.    2,198

90

   First American Corp.    3,524


120

   First Bancorp/Puerto Rico    1,483

100

   First Charter Corp.    2,470

50

   First Community Bancorp    2,883

10

   First Citizens Bancshares, Inc., Class A    1,930

140

   First Financial Corp.    4,172

100

   First Financial Holdings, Inc.    3,170

185

   First Horizon National Corp.    7,705

71

   First Industrial Realty Trust, Inc.    3,031

50

   First Marblehead Corp.    2,163

130

   First Merchants Corp.    3,448

90

   First Midwest Bancorp, Inc.    3,291

200

   First Niagara Financial Group, Inc.    2,932

60

   First Republic Bank/ San Francisco CA    2,269

30

   1 FirstFed Financial Corp.    1,794

119

   FirstMerit Corp.    2,935

70

   Forest City Enterprises, Inc.    3,301

188

   Franklin Resources, Inc.    17,717

80

   Franklin Street Properties Corp.    1,692

80

   Fremont General Corp.    1,725

200

   Friedman Billings Ramsey Group, Inc.    1,876

80

   Frontier Financial Corp.    2,643

500

   Fulton Financial Corp.    8,600

60

   GAMCO Investors, Inc., Class A    2,397

300

   General Growth Properties, Inc.    14,661

669

   Genworth Financial, Inc.    22,365

120

   Getty Realty Corp.    3,492

60

   Glacier Bancorp , Inc.    1,863

210

   Glenborough Realty Trust, Inc.    4,568

100

   Glimcher Realty Trust    2,840

40

   Global Signal, Inc.    1,968

170

   GMH Communities Trust    1,979

353

   Golden West Financial Corp.    23,969

514

   Goldman Sachs Group, Inc.    80,677

100

   Greater Bay Bancorp    2,774

304

   HRPT Properties Trust    3,569

60

   Hancock Holding Co.    2,791

70

   Hanover Insurance Group, Inc.    3,669

90

   Harbor Florida Bancshares, Inc.    3,408

416

   Hartford Financial Services Group, Inc.    33,509

130

   HCC Insurance Holdings, Inc.    4,524

170

   Health Care Property Investors, Inc.    4,828

85

   Health Care REIT, Inc.    3,239

75

   Healthcare Realty Trust    2,804

90

   Highwoods Properties, Inc.    3,036

50

   Hilb Rogal & Hobbs Co.    2,061

60

   Home Properties, Inc.    3,066

120

   Horace Mann Educators Corp.    2,256

100

   Hospitality Properties Trust    4,367

505

   Host Marriott Corp.    10,807

834

   Hudson City Bancorp, Inc.    11,084

355

   Huntington Bancshares, Inc.    8,566

60

   IBERIABANK Corp.    3,394

80

   IPC Holdings Ltd.    2,244

50

   ITLA Capital Corp.    2,411

90

   Independence Community Bank Corp.    3,751

90

   Independent Bank Corp., Mass    2,894


70

   Indymac Bancorp, Inc.    2,865

50

   Infinity Property & Cas Corp.    2,087

150

   Inland Real Estate Corp.    2,447

150

   Integra Bank Corp.    3,429

90

   International Bancshares Corp.    2,586

53

   International Securities Exchange, Inc.    2,207

50

   1 Investment Technology Group, Inc.    2,490

80

   Investors Financial Services Corp.    3,750

460

   Investors Real Estate Trust    4,388

120

   iStar Financial, Inc.    4,594

4,771

   J.P. Morgan Chase & Co.    198,664

60

   Jackson Hewitt Tax Service, Inc.    1,895

250

   Janus Capital Group, Inc.    5,793

192

   Jefferson-Pilot Corp.    10,740

60

   Jeffries Group, Inc.    3,510

50

   Jones Lang LaSalle, Inc.    3,827

557

   Keycorp New    20,498

43

   Kilroy Realty Corp.    3,322

278

   Kimco Realty Corp.    11,298

124

   KKR Financial Corp.    2,781

170

   1 Knight Capital Group, Inc., Class A    2,368

30

   Land America Financial Group, Inc.    2,036

80

   LaSalle Hotel Properties    3,280

158

   Legg Mason, Inc.    19,802

299

   Lehman Brothers Holdings, Inc.    43,214

90

   Leucadia National Corp.    5,369

130

   Lexington Corporate Property Trust    2,711

200

   Liberty Property Trust    9,432

233

   Lincoln National Corp.    12,719

162

   Loews Corp    16,394

89

   M & T Bank Corp.    10,158

192

   MBIA, Inc.    11,545

142

   MGIC Investment Corp.    9,461

110

   Macerich Co./The    8,135

100

   Mack-Cali Realty Corp.    4,800

70

   MAF Bancorp, Inc.    3,064

80

   Maguire Properties, Inc.    2,920

10

   1 Markel Corp.    3,377

734

   Marsh & McLennan Cos., Inc.    21,550

290

   Marshall & Ilsley Corp.    12,638

80

   Max Re Capital Ltd    1,904

596

   Mellon Financial Corp.    21,218

135

   Mercantile Bankshares Corp.    5,191

56

   Mercury General Corp.    3,074

190

   MeriStar Hospitality Corp.    1,972

1,243

   Merrill Lynch & Co, Inc.    97,899

1,003

   MetLife, Inc.    48,515

360

   MFA Mortgage Investments, Inc.    2,286

70

   Mid-America Apartment Communities, Inc.    3,833

110

   Mid-State Bancshares    3,237

70

   Mills Corp.    1,960

110

   Montpelier Re Holdings Ltd    1,793

354

   Moody’s Corp.    25,297

1,309

   Morgan Stanley    82,231

70

   1 NASDAQ Stock Market, Inc./The    2,803

58

   1 NYSE Group, Inc.    4,597


819

   National City Corp.    28,583

50

   National Financial Partners Corp.    2,826

82

   Nationwide Financial Services    3,528

130

   Nationwide Health Properties, Inc.    2,795

60

   New Century Financial Corp.    2,761

146

   New Plan Excel Realty Trust    3,787

270

   New York Community Bancorp, Inc.    4,730

200

   New Alliance Bancshares, Inc.    2,886

100

   Newcastle Investment Corp.    2,392

681

   North Fork Bancorporation, Inc.    19,633

234

   Northern Trust Corp.    12,285

50

   Novastar Financial, Inc.    1,672

80

   Nuveen Investments, Inc.    3,852

97

   Ohio Casualty Corp.    3,075

128

   Old National Bancorp/IN    2,770

338

   Old Republic International Corp.    7,375

110

   Old Second Bancorp, Inc.    3,611

100

   PMI Group, Inc.    4,592

100

   Pacific Capital Bancorp    3,384

100

   Pan Pacific Retail Properties, Inc.    7,090

20

   Park National Corp.    2,130

70

   PartnerRe Ltd    4,346

60

   Pennsylvania Real Estate Investment Trust    2,640

89

   People’s Bank/Bridgeport CT    2,915

87

   1 Philadelphia Consolidated Holding Co.    2,970

180

   Phoenix Co., Inc.    2,934

40

   1 Piper Jaffray Cos.    2,200

80

   Platinum Underwriters Holdings    2,328

273

   Plum Creek Timber Co, Inc.    10,082

378

   PNC Financial Services Group, Inc.    25,443

438

   Popular, Inc.    9,093

72

   Post Properties, Inc.    3,204

390

   Principal Financial Group    19,032

50

   1 ProAssurance Corp.    2,600

249

   Progressive Corp.    25,961

350

   Prologis    18,725

100

   Protective Life Corp.    4,974

80

   Provident Bankshares Corp.    2,916

150

   Provident Financial Services, Inc.    2,715

230

   Provident New York Bancorp    2,983

760

   Prudential Financial, Inc.    57,616

118

   Public Storage, Inc.    9,585

40

   RLI Corp.    2,292

90

   Radian Group, Inc.    5,423

130

   Ramco-Gershenson Properties    3,935

119

   Raymond James Financial, Inc.    3,503

126

   Realty Income Corp.    3,050

100

   Reckson Associates Realty Corp.    4,582

40

   Redwood Trust, Inc.    1,733

200

   Regency Centers Corp.    13,438

617

   Regions Financial Corp.    21,700

66

   Reinsurance Group of America, Inc.    3,121

80

   RenaissanceRe Holdings Ltd    3,490

190

   Republic Bancorp, Inc.    2,288

80

   SEI Investments Co.    3,242

100

   Sl Green Realty Corp.    10,150


598

   SLM Corp.    31,060

55

   1 SVB Financial Group    2,918

140

   Safeco Corp.    7,029

90

   Sandy Spring Bancorp, Inc.    3,419

100

   Scottish Re Group Ltd    2,481

59

   Selective Insurance Group    3,127

160

   Senior Housing Properties Trust    2,896

100

   Shurgard Storage Centers    6,663

70

   1 Signature Bank    2,281

289

   Simon Property Group, Inc.    24,316

137

   Sky Financial Group, Inc.    3,631

107

   South Financial Group, Inc.    2,798

521

   Sovereign Bancorp, Inc.    11,415

70

   Sovran Self Storage, Inc.    3,864

220

   Spirit Finance Corp.    2,684

117

   St Joe Co.    7,352

953

   St Paul Travelers Cos., Inc.    39,826

70

   Stancorp Financial Group, Inc.    3,788

442

   State Street Corp.    26,710

120

   Sterling Bancorp    2,472

90

   Sterling Financial Corp.    2,610

40

   Stewart Information Services Corp.    1,883

134

   Strategic Hotels & Resorts, Inc.    3,120

10

   Student Loan Corp.    2,330

90

   Suffolk Bancorp    3,123

120

   Sun Communities, Inc.    4,242

90

   Sunstone Hotel Investors, Inc.    2,607

474

   Sun Trust Banks, Inc.    34,488

110

   Susquehanna Bancshares, Inc.    2,835

371

   Synovus Financial Corp.    10,050

169

   T Rowe Price Group, Inc.    13,217

400

   TCF Financial Corp.    10,300

445

   1 TD Ameritrade Holding Corp.    9,287

188

   TD BankNorth, Inc.    5,518

90

   Tanger Factory Outlet Centers, Inc.    3,097

76

   Taubman Centers, Inc.    3,167

88

   Texas Regional Bancshares, Inc., Class A    2,595

110

   Thornburg Mortgage, Inc.    2,977

70

   Tompkins Trustco, Inc.    3,371

160

   Torchmark Corp.    9,136

90

   Town & Country Trust    3,653

60

   1 Trammell Crow Co.    2,140

54

   Transatlantic Holdings, Inc.    3,156

136

   Trizec Properties, Inc.    3,499

240

   Trustco Bank Corp.    2,921

100

   Trustmark Corp.    3,164

230

   Trustreet Properties, Inc.    3,494

110

   U Store It Trust    2,217

130

   UCBH Holdings, Inc.    2,460

50

   UICI    1,850

40

   UMB Financial Corp.    2,809

2,454

   US Bancorp    74,847

90

   Umpqua Holdings Corp.    2,565

60

   Union Bankshares Corp./VA    2,743

100

   UnionBanCal Corp.    7,016

80

   United Bankshares, Inc.    3,062


80

   United Community Banks, Inc.    2,252

200

   United Dominion Realty Trust, Inc.    5,708

70

   Unitrin, Inc.    3,256

130

   Universal Health Realty Income Trust    4,749

530

   UnumProvident Corp.    10,854

180

   Urstadt Biddle Properties, Inc.    3,240

150

   Valley National Bancorp    3,843

110

   Ventas, Inc.    3,650

159

   Vornado Realty Trust    15,264

200

   W. Holding Co, Inc.    1,574

2,266

   Wachovia Corp.    127,009

120

   Waddell & Reed Financial, Inc., Class A    2,772

40

   Walter Industries, Inc.    2,665

130

   Washington Federal, Inc.    3,146

1365

   Washington Mutual, Inc.    58,176

100

   Washington Real Estate Investment Trust    3,632

110

   Washington Trust Bancorp, Inc.    3,088

76

   Webster Financial Corp.    3,683

110

   Weingarten Realty Investors    4,483

2279

   Wells Fargo & Co.    145,560

110

   West Coast Bancorp    3,075

51

   Westamerica Bancorporation    2,648

10

   White Mountains Insurance Group Ltd.    5,945

90

   Whitney Holding Corp.    3,191

86

   Wilmington Trust Corp.    3,728

50

   Wintrust Financial Corp.    2,909

220

   XL Capital Ltd    14,104

40

   Zenith National Insurance Corp.    1,925

135

   Zions Bancorp    11,169
       
  

TOTAL

   4,450,027
       
   Health Care—11.8%   

80

   1 AMERIGROUP Corp.    1,683

2,132

   Abbott Laboratories    90,546

100

   1 Abgenix, Inc.    2,250

70

   1 Advanced Medical Optics, Inc.    3,264

40

   1 Advisory Board Co./The    2,230

787

   Aetna, Inc.    38,673

93

   1 Affymetrix, Inc.    3,062

80

   1 Alexion Pharmaceuticals, Inc.    2,833

110

   1 Alkermes, Inc.    2,425

216

   Allergan, Inc.    23,406

50

   Alpharma, Inc.    1,341

90

   1 American Medical Systems Holdings, Inc.    2,025

40

   1 American Pharmaceutical Partners, Inc.    1,139

400

   AmerisourceBergen Corp.    19,308

1,656

   1 Amgen, Inc.    120,474

100

   1 Amylin Pharmaceuticals, Inc.    4,895

100

   1 Andrx Corp.    2,374

300

   Applera Corp.- Applied Biosystems Group    8,142

160

   1 Applera Corp.- Celera Genomics Group    1,870

70

   1 Apria Healthcare Group, Inc.    1,608

40

   1 Arthrocare Corp.    1,912

70

   1 Atherogenics, Inc.    1,142

155

   Bard C.R., Inc.    10,510

142

   1 Barr Pharmaceuticals, Inc.    8,943

99

   Bausch & Lomb, Inc.    6,306

902

   Baxter International, Inc.    35,006


70

   Beckman Coulter, Inc.    3,819

360

   Becton Dickinson & Co.    22,168

450

   1 Biogen Idec, Inc.    21,195

140

   1 BioMarin Pharmaceutical, Inc.    1,879

30

   1 Bio-Rad Laboratories, Inc., Class A    1,871

336

   Biomet, Inc.    11,935

30

   1 Biosite, Inc.    1,558

860

   1 Boston Scientific Corp.    19,823

2,684

   Bristol-Myers Squibb Co.    66,053

70

   1 CV Therapeutics, Inc.    1,546

567

   Cardinal Health, Inc.    42,253

594

   Caremark Rx, Inc.    29,213

525

   1 Celgene Corp.    23,216

60

   1 Centene Corp.    1,750

60

   1 Cephalon, Inc.    3,615

70

   1 Charles River Laboratories International, Inc.    3,431

184

   1 Chiron Corp.    8,429

184

   Cigna Corp.    24,034

90

   1 Community Health Systems, Inc.    3,254

50

   Cooper Cos., Inc.    2,702

70

   1 Covance, Inc.    4,113

219

   1 Coventry Health Care, Inc.    11,822

70

   1 Cubist Pharmaceuticals, Inc.    1,608

130

   1 Cytyc Corp.    3,663

90

   Dade Behring Holdings, Inc.    3,214

166

   1 DaVita, Inc.    9,995

80

   Dentsply International, Inc.    4,652

30

   Diagnostic Products Corp.    1,429

70

   1 Edwards Lifesciences Corp.    3,045

226

   1 Endo Pharmaceuticals Holdings, Inc.    7,415

150

   1 Exelixis, Inc.    1,802

165

   1 Express Scripts, Inc.    14,504

168

   1 Fisher Scientific International, Inc.    11,432

482

   1 Forest Laboratories, Inc.    21,512

60

   1 Gen-Probe, Inc.    3,307

661

   1 Genentech, Inc.    55,861

357

   1 Genzyme Corp.    23,998

630

   1 Gilead Sciences, Inc.    39,199

458

   Guidant Corp.    35,751

520

   HCA, Inc.    23,811

40

   1 Haemonetics Corp.    2,031

396

   Health Management Associates, Inc., Class A    8,542

178

   1 Health Net, Inc.    9,046

40

   1 Healthways, Inc.    2,038

90

   1 Henry Schein, Inc.    4,307

100

   Hillenbrand Industries, Inc.    5,499

50

   1 Hologic, Inc.    2,768

224

   1 Hospira, Inc.    8,839

170

   1 Human Genome Sciences, Inc.    1,848

223

   1 Humana, Inc.    11,741

80

   1 ICOS Corp.    1,764

40

   1 Idexx Labs, Inc.    3,454

80

   1 ImClone Systems, Inc.    2,722

60

   Immucor, Inc.    1,721

352

   IMS Health, Inc.    9,071

40

   1 Intuitive Surgical, Inc.    4,720


50

   Invacare Corp.    1,553

60

   Invitrogen Corp.    4,208

4,034

   Johnson & Johnson    238,893

30

   1 Kos Pharmaceuticals, Inc.    1,433

60

   1 Kindred Healthcare, Inc.    1,509

50

   1 Kinetic Concepts, Inc.    2,059

260

   1 King Pharmaceuticals, Inc.    4,485

40

   1 Kyphon, Inc.    1,488

30

   LCA Vision, Inc.    1,503

195

   1 Laboratory Corporation of America Holdings    11,404

60

   1 LifePoint Hospitals, Inc.    1,866

1381

   Lilly Eli & Co.    76,369

110

   1 Lincare Holdings, Inc.    4,286

100

   1 MGI Pharma, Inc.    1,750

60

   1 Magellan Health Services, Inc.    2,428

90

   Manor Care, Inc.    3,992

60

   1 Martek Biosciences Corp.    1,970

40

   1 Matria Healthcare, Inc.    1,518

400

   Mckesson Corp.    20,852

150

   1 Medarex, Inc.    1,983

417

   1 Medco Health Solutions, Inc.    23,861

80

   1 Medicines Co.    1,646

70

   Medicis Pharmaceutical Corp.    2,282

348

   1 Medimmune, Inc.    12,730

1667

   Medtronic, Inc.    84,600

50

   Mentor Corp.    2,266

2938

   Merck & Co, Inc.    103,506

360

   1 Millennium Pharmaceuticals, Inc.    3,640

60

   1 Millipore Corp.    4,384

40

   Mine Safety Appliances Co.    1,680

330

   Mylan Laboratories, Inc.    7,722

50

   1 Myogen, Inc.    1,812

70

   1 Myriad Genetics, Inc.    1,826

110

   1 Nektar Therapeutics    2,242

40

   1 Neurocrine Biosciences, Inc.    2,582

70

   1 OSI Pharmaceuticals, Inc.    2,247

165

   Omnicare, Inc.    9,073

50

   1 Onyx Pharmaceuticals, Inc.    1,313

60

   Owens & Minor, Inc.    1,966

110

   1 PDL BioParma, Inc.    3,608

100

   1 PSS World Medical, Inc.    1,929

50

   1 Par Pharmaceutical Cos., Inc.    1,409

110

   1 Patterson Cos., Inc.    3,872

30

   1 Pediatrix Medical Group    3,079

120

   Perrigo Co.    1,957

9,989

   Pfizer, Inc.    248,926

120

   Pharmaceutical Product Development, Inc.    4,153

60

   1 Psychiatric Solutions, Inc.    1,988

232

   Quest Diagnostics, Inc.    11,902

90

   1 Regeneron Pharmaceuticals, Inc.    1,497

80

   1 Resmed, Inc.    3,518

80

   1 Respironics, Inc.    3,113

80

   1 Salix Pharmaceuticals Ltd    1,321

2,034

   Schering Plough Corp.    38,626

165

   1 Sepracor, Inc.    8,054

370

   Service Corp International    2,886


92

   1 Sierra Health Services, Inc.    3,744

520

   1 St Jude Medical, Inc.    21,320

90

   Steris Corp.    2,221

370

   Stryker Corp.    16,406

50

   1 Sunrise Senior Living, Inc.    1,949

100

   1 Sybron Dental Specialties, Inc.    4,124

50

   1 Techne Corp.    3,007

90

   1 Telik, Inc.    1,742

520

   1 Tenet Healthcare Corp    3,838

80

   1 Theravance, Inc.    2,243

70

   1 Thoratec Corp.    1,349

90

   1 Triad Hospitals, Inc.    3,771

60

   1 United Surgical Partners International, Inc.    2,125

30

   1 United Therapeutics Corp.    1,988

1828

   UnitedHealth Group, Inc.    102,112

50

   Universal Health Services, Inc., Class B    2,540

100

   1 VCA Antech, Inc.    2,848

110

   Valeant Pharmaceuticals International    1,744

188

   1 Varian, Inc.    10,558

50

   1 Ventana Medical Systems ,Inc.    2,089

110

   1 Vertex Pharmaceuticals, Inc.    4,025

60

   1 Viasys Healthcare, Inc.    1,805

80

   1 Viropharma, Inc.    1,016

110

   1 Watson Pharmaceuticals, Inc.    3,161

40

   1 WellCare Health Plans, Inc.    1,818

895

   1 WellPoint, Inc.    69,300

1808

   Wyeth    87,724

343

   1 Zimmer Holdings, Inc.    23,187
       
  

TOTAL

   2,435,874
       
   Industrials—11.5%   

976

   3m Co.    73,873

60

   1 AAR Corp.    1,708

90

   ABM Industries, Inc.    1,725

110

   1 AGCO Corp.    2,281

190

   1 AMR Corp.    5,139

40

   Actuant Corp.    2,448

70

   Acuity Brands, Inc.    2,800

110

   Adesa, Inc.    2,941

30

   Administaff, Inc.    1,630

100

   1 Airtran Holdings, Inc.    1,811

40

   1 Alaska Air Group, Inc.    1,418

40

   Albany International Corp., Class A    1,523

50

   1 Aleris International, Inc.    2,403

60

   Alexander & Baldwin, Inc.    2,860

80

   1 Alliance Data Systems Corp.    3,741

100

   1 Alliant Techsystems, Inc.    7,717

290

   1 Allied Waste Industries, Inc.    3,549

190

   American Power Conversion Corp.    4,390

263

   American Standard Cos., Inc.    11,272

80

   Ametek, Inc.    3,596

219

   1 Apollo Group, Inc.    11,500

60

   Applied Industrial Technologies, Inc.    2,676

140

   Aramark Corp.    4,136

50

   Arbitron, Inc.    1,691

40

   Arkansas Best Corp.    1,565

40

   1 Armor Holdings, Inc.    2,332

155

   Avery Dennison Corp.    9,064


50

   1 Aviall, Inc.    1,904

160

   1 BISYS Group, Inc./The    2,157

50

   Banta Corp.    2,599

100

   1 Be Aerospace, Inc.    2,512

80

   Belden CDT, Inc.    2,178

1,035

   Boeing Co.    80,658

60

   Brady Corp.    2,248

70

   Briggs & Stratton Corp.    2,476

50

   1 Bright Horizons Family Solutions, Inc.    1,937

70

   Brinks Co./The    3,553

45

   Bucyrus International, Inc.    2,169

498

   Burlington Northern Santa Fe Corp.    41,498

237

   C.H. Robinson Worldwide, Inc.    11,634

60

   CNF, Inc.    2,996

70

   1 CSG Systems International, Inc.    1,628

320

   CSX Corp.    19,136

110

   1 Career Education Corp.    4,150

44

   Carlisle Cos., Inc.    3,599

941

   Caterpillar, Inc.    67,573

1,492

   Cendant Corp.    25,886

30

   1 Ceradyne, Inc.    1,497

160

   1 Ceridian Corp.    4,072

90

   1 Checkfree Corp.    4,545

40

   Chemed Corp.    2,374

100

   1 ChoicePoint, Inc.    4,475

220

   Cintas Corp.    9,376

82

   Clarcor, Inc.    2,919

60

   1 Cogent , Inc.    1,100

100

   1 Continental Airlines, Inc., Class B    2,690

170

   1 Convergys Corp.    3,096

131

   Cooper Industries Ltd    11,384

130

   1 Corinthian Colleges, Inc.    1,872

40

   Corporate Executive Board Co.    4,036

130

   1 Covanta Holding Corp.    2,167

70

   Crane Co.    2,871

64

   Cummins, Inc.    6,726

40

   Curtiss Wright Corp.    2,648

53

   DRS Technologies, Inc.    2,908

70

   1 DST Systems, Inc.    4,056

349

   Danaher Corp.    22,179

322

   Deere & Co.    25,454

110

   Deluxe Corp.    2,879

80

   1 DeVry, Inc.    1,822

40

   1 Dionex Corp.    2,459

300

   1 Discovery Holding Co.    4,500

40

   1 Dollar Thrifty Automotive Group    1,816

100

   Donaldson Co., Inc.    3,379

285

   Dover Corp.    13,840

70

   1 Dun & Bradstreet Corp.    5,368

70

   1 Dycom Industries, Inc.    1,488

40

   1 EGL, Inc.    1,800

40

   1 EMCOR Group, Inc.    1,986

40

   1 ESCO Technologies, Inc.    2,026

179

   Eaton Corp.    13,062

80

   1 Education Management Corp.    3,328

70

   1 eFunds Corp.    1,809


320

   1 Emdeon Corp.    3,456

538

   Emerson Electric Co.    44,993

70

   1 Energizer Holdings, Inc.    3,710

100

   1 Energy Conversion Devices, Inc.    4,918

140

   Equifax, Inc.    5,214

50

   1 Esterline Technologies Corp.    2,138

144

   Expeditors International Washington, Inc.    12,440

60

   1 FTI Consulting, Inc.    1,712

40

   Factset Resh Systems, Inc.    1,774

203

   Fastenal Co.    9,610

377

   FedEX Corp.    42,578

265

   1 Fiserv, Inc.    11,276

50

   Florida East Coast Industries, Inc.    2,695

80

   1 Flowserve Corp.    4,667

126

   Fluor Corp.    10,811

50

   Forward Air Corp.    1,865

50

   Foster Wheeler Ltd    2,366

75

   GATX Corporation    3,097

40

   1 Gardner Denver, Inc.    2,608

100

   1 GenCorp, Inc.    2,055

491

   General Dynamics Corp.    31,414

14,369

   General Electric Co.    499,754

70

   1 General Cable Corp.    2,123

75

   1 Genesee & Wyoming, Inc.    2,301

40

   1 Genlyte Group, Inc.    2,726

250

   Genuine Parts Co.    10,958

70

   Global Payments, Inc.    3,711

130

   Goodrich Corp.    5,669

90

   Graco, Inc.    4,089

40

   Granite Construction, Inc.    1,947

463

   H & R Block, Inc.    10,024

50

   Harsco Corp.    4,131

50

   1 Headwaters, Inc.    1,990

90

   Heartland Express, Inc.    1,961

60

   1 Hewitt Associates, Inc.    1,784

100

   1 Hexcel Corp.    2,197

1,149

   Honeywell International, Inc.    49,143

75

   Hubbell, Inc., Class B    3,845

74

   IDEX Corp.    3,861

50

   1 ITT Educational Services, Inc.    3,203

235

   ITT Industries, Inc.    13,212

315

   Illinois Tool Works, Inc.    30,338

415

   Ingersoll-Rand Co., Ltd.    17,343

100

   1 Intermec, Inc.    3,051

110

   1 Iron Mountain, Inc.    4,481

140

   JB Hunt Transport Services, Inc.    3,016

120

   JLG Industries, Inc.    3,695

60

   1 Jacobs Engineering Group, Inc.    5,204

150

   1 Jet Blue Airways Corp.    1,608

50

   John H Harland Co.    1,965

175

   Joy Global, Inc.    10,460

100

   1 Kansas City Southern    2,470

70

   Kaydon Corp.    2,825

55

   Kennametal, Inc.    3,363

40

   1 Kirby Corp.    2,724

80

   Knight Transportation, Inc.    1,580


80

   1 Korn / Ferry International    1,631

145

   L-3 Communications Holdings Inc.    12,440

70

   1 Labor Ready, Inc.    1,677

130

   Laidlaw International, Inc.    3,536

70

   Landstar System, Inc.    3,088

50

   1 Laureate Education, Inc.    2,669

100

   Lennox International, Inc.    2,986

60

   Lincoln Electric Holdings, Inc.    3,239

510

   Lockheed Martin Corp.    38,316

50

   MSC Industrial Direct, Inc.    2,701

42

   Manitowoc, Inc.    3,828

100

   Manpower, Inc.    5,718

540

   Masco Corp.    17,545

70

   1 McDermott International, Inc.    3,812

90

   Miller Herman, Inc.    2,917

180

   Molex, Inc.    5,350

110

   Money Gram International, Inc.    3,379

186

   1 Monster Worldwide, Inc.    9,274

70

   1 Moog ,Inc. Class A    2,484

60

   Mueller Industries, Inc.    2,141

40

   1 NCI Building Systems, Inc.    2,391

70

   1 Navigant Consulting, Inc.    1,495

80

   1 Navistar International Corp.    2,206

50

   Nordson Corp.    2,493

539

   Norfolk Southern Corp.    29,144

466

   Northrop Grumman Corp.    31,823

60

   1 Old Dominion Freight Lines, Inc.    1,617

80

   Oshkosh Truck Corp.    4,979

30

   Overseas Shipholding Group, Inc.    1,438

70

   1 PHH Corp.    1,869

213

   Paccar, Inc.    15,012

70

   Pacer International, Inc.    2,288

150

   Pall Corp.    4,679

168

   Parker Hannifin Corp.    13,542

110

   Pentair, Inc.    4,483

308

   Pitney Bowes, Inc.    13,222

195

   Precision Castparts Corp.    11,583

120

   1 Quanta Services, Inc.    1,922

310

   RR Donnelley & Sons Co.    10,143

603

   Raytheon Co.    27,642

60

   Regal Beloit Corp.    2,536

30

   Reliance Steel & Aluminum Co.    2,818

219

   Republic Services, Inc.    9,310

60

   1 Resources Connection, Inc.    1,495

120

   Reynolds American, Inc.    12,660

237

   Robert Half International, Inc.    9,151

236

   Rockwell Automation, Inc.    16,971

233

   Rockwell Collins, Inc.    13,130

70

   Ryder Systems, Inc.    3,135

80

   SPX Corp.    4,274

150

   Sabre Holdings Corp.    3,530

340

   ServiceMaster Co.    4,461

90

   1 Shaw Group, Inc./ The    2,736

60

   Simpson Manufacturing Co., Inc.    2,598

60

   Skywest, Inc.    1,756

80

   1 Sotheby’s Holdings Class A    2,323


890

   Southwest Airlines Co.    16,011

130

   Steelcase, Inc.    2,340

60

   1 Stericycle, Inc.    4,057

20

   Strayer Education, Inc.    2,045

70

   1 Swift Transportation Co., Inc.    1,521

50

   Teleflex, Inc.    3,582

60

   1 Terex Corp.    4,754

100

   1 Tetra Tech, Inc.    1,909

165

   Textron, Inc.    15,409

70

   1 Thomas & Betts Corp.    3,597

90

   Timken Co.    2,904

70

   Total Systems Services, Inc.    1,394

60

   Trinity Industries, Inc.    3,263

2,735

   Tyco International Ltd    73,517

60

   1 URS Corp.    2,415

40

   1 US Airways Group, Inc.    1,600

40

   1 USG Corp.    3,798

84

   UTI Worldwide, Inc.    2,654

360

   Union Pacific Corp.    33,606

880

   United Parcel Svc, Inc.    69,854

100

   1 United Stationers, Inc.    5,310

1,375

   United Technologies Corp.    79,709

40

   Universal Forest Products, Inc.    2,540

60

   1 Valassis Communications, Inc.    1,762

118

   WW Grainger, Inc.    8,891

40

   1 Washington Group International, Inc.    2,296

87

   1 Waste Connections, Inc.    3,463

778

   Waste Management, Inc.    27,463

40

   Watsco, Inc.    2,842

70

   Watson Wyatt Worldwide, Inc.    2,281

50

   Weight Watchers International, Inc.    2,570

80

   Werner Enterprises, Inc.    1,470

40

   1 West Corp.    1,786

60

   Woodward Governor Co.    1,995

40

   World Fuel Services Corp.    1,618

60

   1 YRC Worldwide, Inc.    2,284
       
  

TOTAL

   2,370,532
       
   Information Technology—14.9%   

550

   1 3Com Corp.    2,816

130

   1 ADC Telecommunications, Inc.    3,326

70

   1 ATMI, Inc.    2,114

110

   AVX Corp.    1,947

710

   Accenture Ltd.    21,349

290

   1 Activision, Inc.    3,999

100

   Acxiom Corp.    2,584

875

   Adobe Systrems, Inc.    30,555

80

   Adtran, Inc.    2,094

606

   1 Advanced Micro Devices, Inc.    20,094

120

   1 Affiliated Computer Services, Inc.    7,159

220

   1 Agere Systems, Inc.    3,308

510

   1 Agilent Technologies, Inc.    19,150

150

   1 Akamai Technologies, Inc.    4,933

523

   1 Altera Corp.    10,794

100

   Amphenol Corp., Class A    5,218

480

   Analog Devices, Inc.    18,379

190

   1 Andrew Corp.    2,333

50

   1 Anixter International, Inc.    2,389


50

   1 Ansys, Inc.    2,707

40

   1 Anteon International Corp.    2,182

1,167

   1 Apple Computer, Inc.    73,194

2,165

   Applied Materials, Inc.    37,909

550

   1 Applied Micro Circuits Corp.    2,238

150

   1 Arris Group, Inc.    2,064

130

   1 Arrow Electronics, Inc.    4,195

550

   1 Atmel Corp.    2,596

312

   Autodesk, Inc.    12,018

770

   Automatic Data Processing, Inc.    35,173

460

   1 Avaya, Inc.    5,198

50

   1 Avid Technology, Inc.    2,173

140

   1 Avnet, Inc.    3,553

70

   1 Avocent Corp.    2,221

240

   1 BMC Software, Inc.    5,198

420

   1 BEA Systems, Inc.    5,514

240

   1 BearingPoint, Inc.    2,037

60

   1 Benchmark Electronics, Inc.    2,301

30

   Black Box Corp.    1,441

573

   1 Broadcom Corp.    24,731

370

   1 Brocade Communications Systems, Inc.    2,472

130

   1 Brooks Automation, Inc.    1,851

180

   1 CNET Networks, Inc.    2,558

584

   CA, Inc.    15,891

30

   1 CACI International, Inc.    1,973

300

   1 Cadence Design Systems, Inc.    5,547

60

   1 Cerner Corp.    2,847

60

   1 Checkpoint Systems, Inc.    1,613

720

   1 Ciena Corp.    3,751

8,408

   1 Cisco Systems, Inc.    182,201

265

   1 Citrix Systems, Inc.    10,044

70

   Cognex Corp.    2,075

188

   1 Cognizant Technology Solutions Corp.    11,184

60

   1 Coherent, Inc.    2,107

80

   1 CommScope, Inc.    2,284

249

   1 Computer Sciences Corp.    13,832

440

   1 Compuware Corp.    3,445

220

   1 Comverse Technology, Inc.    5,177

660

   1 Conexant Systems, Inc.    2,277

2,065

   1 Corning, Inc.    55,569

90

   1 Cree, Inc.    2,953

50

   1 Cymer, Inc.    2,272

170

   1 Cypress Semiconductor Corp.    2,882

3,073

   1 Dell, Inc.    91,452

80

   Diebold, Inc.    3,288

50

   1 Digital Insight Corp.    1,820

50

   1 Digital River, Inc.    2,181

140

   1 Digitas, Inc.    2,016

3,432

   1 EMC Corp./Massachusetts    46,778

190

   1 Earthlink, Inc.    1,815

1,419

   1 eBay, Inc.    55,426

80

   1 Eclipsys Corp.    1,889

410

   1 Electronic Arts, Inc.    22,435

744

   Electronic Data Systems Corp.    19,962

70

   1 Eletronics For Imaging, Inc.    1,958

100

   1 Emulex Corp.    1,709


190

   1 Entegris, Inc.    2,022

40

   1 Equinix, Inc.    2,569

40

   1 F5 Networks, Inc.    2,900

70

   Fair Isaac Corp.    2,773

150

   1 Fairchild Semiconductor International, Inc.    2,861

60

   1 Filenet Corp.    1,621

1,099

   First Data Corp.    51,455

904

   1 Flextronics International Ltd    9,356

90

   1 Flir Systems, Inc.    2,557

60

   1 Formfactor, Inc.    2,359

150

   1 Foundry Networks, Inc.    2,724

150

   1 Freescale Semiconductor, Inc., Class A    4,172

392

   1 Freescale Semiconductor, Inc., Class B    10,886

110

   1 Gartner, Inc., Class A    1,535

50

   1 Global Imaging Systems, Inc.    1,899

274

   1 Google, Inc.    106,860

196

   Harris Corp.    9,269

146

   Henry Jack & Associates, Inc.    3,339

3,872

   Hewlett Packard Co.    127,389

70

   1 Hyperion Solutions Corp.    2,282

290

   1 IAC/InterActiveCorp    8,546

210

   IKON Office Solutions, Inc.    2,993

100

   Imation Corp.    4,291

120

   1 Informatica Corp.    1,866

50

   1 Infospace, Inc.    1,398

160

   1 Ingram Micro, Inc., Class A    3,200

240

   1 Integrated Device Technology, Inc.    3,566

8,209

   Intel Corp.    158,844

114

   1 Interdigital Communications Corp.    2,795

40

   1 Intergraph Corp.    1,666

75

   1 Intermagnetics General Corp.    1,879

2,211

   International Business Machines Corp.    182,341

80

   1 International Rectifier Corp.    3,314

70

   1 Internet Securities Systems    1,679

170

   Intersil Corp.    4,916

236

   1 Intuit, Inc.    12,553

40

   1 Itron, Inc.    2,394

30

   1 j2 Global Communications, Inc.    1,410

2,380

   1 JDS Uniphase Corp.    9,925

260

   1 Jabil Circuit, Inc.    11,144

647

   1 Juniper Networks, Inc.    12,371

90

   1 KFX, Inc.    1,638

250

   Kla-Tencor Corp.    12,090

40

   1 Komag, Inc.    1,904

40

   1 Kronos, Inc.    1,496

440

   1 LSI Logic Corp.    5,086

250

   1 Lam Research Corp.    10,750

130

   1 Lexmark International, Inc., Class A    5,899

410

   Linear Technology Corp.    14,383

6,730

   1 Lucent Technologies, Inc.    20,527

268

   1 MEMC Electronic Materials, Inc.    9,895

140

   1 MPS Group, Inc.    2,142

320

   1 Marvell Technology Group Ltd    17,312

440

   Maxim Integrated Products, Inc.    16,346

310

   1 Maxtor Corp.    2,964

180

   1 McAfee, Inc.    4,379


60

   1 Merge Technologies, Inc.    958

50

   1 Mettler Toledo International, Inc.    3,017

304

   Microchip Technology, Inc.    11,035

832

   1 Micron Technology, Inc.    12,247

50

   1 Micros Systems, Inc.    2,304

80

   1 Microsemi Corp.    2,329

12,958

   Microsoft Corp.    352,587

20

   1 MicroStrategy, Inc., Class A    2,106

91

   Molex, Inc.    3,021

3,367

   Motorola, Inc.    77,138

90

   1 NAVTEQ Corp.    4,559

275

   1 NCR Corp.    11,492

150

   1 NetIQ Corp.    1,673

70

   National Instruments Corp.    2,283

462

   National Semiconductor Corp.    12,862

463

   1 Network Appliance, Inc.    16,682

420

   1 Novell, Inc.    3,226

150

   1 Novellus Systems, Inc.    3,600

190

   1 Nuance Communications, Inc.    2,244

233

   1 Nvidia Corp.    13,342

260

   1 ON Semiconductor Corp.    1,888

80

   1 Omnivision Technologies, Inc.    2,416

110

   1 Openwave Systems, Inc.    2,374

5,723

   1 Oracle Corp.    78,348

240

   1 PMC- Sierra, Inc.    2,950

120

   1 Palm, Inc.    2,779

136

   1 Parametric Technology Corp.    2,221

450

   Paychex, Inc.    18,747

140

   PerkinElmer, Inc.    3,286

120

   1 Perot Systems Corp.    1,867

60

   Plantronics, Inc.    2,126

70

   1 Plexus Corp.    2,630

130

   1 Polycom, Inc.    2,818

130

   1 Powerwave Technologies, Inc.    1,754

70

   1 Progress Software Corp.    2,036

200

   1 QLogic Corp.    3,870

2,208

   Qualcomm, Inc.    111,747

100

   1 Quest Software, Inc.    1,670

270

   1 RF Micro Devices, Inc.    2,336

130

   1 RSA Security, Inc.    2,332

110

   1 Rambus, Inc.    4,327

180

   1 RealNetworks, Inc.    1,485

180

   1 Red Hat, Inc.    5,036

98

   Reynolds & Reynolds Co., Class A    2,783

100

   Roper Industries    4,863

50

   1 SRA International, Inc.    1,887

50

   1 SafeNet, Inc.    1,324

70

   1 Salesforce.com, Inc.    2,543

248

   1 SanDisk Corp.    14,265

620

   1 Sanmina- SCI Corp.    2,542

600

   1 Seagate Technology    15,798

110

   1 Semtech Corp.    1,968

50

   1 Silicon Laboratories, Inc.    2,748

50

   1 Sirf Technology Holdings, Inc.    1,771

280

   1 Skyworks Solutions, Inc.    1,901

1,100

   1 Solectron Corp.    4,400


400

   1 Sonus Networks, Inc.    2,192

4,988

   1 Sun Microsystems, Inc.    25,588

110

   1 Sybase, Inc.    2,323

360

   1 Sycamore Networks, Inc.    1,692

1,439

   1 Symantec Corp.    24,218

270

   Symbol Technologies, Inc.    2,857

170

   1 Synopsys, Inc.    3,800

80

   1 THQ, Inc.    2,071

90

   1 Take-Two Interactive Software    1,679

45

   Talx Corp.    1,282

80

   1 Tech Data Corp.    2,953

100

   1 Tekelec    1,383

110

   Tektronix, Inc.    3,928

50

   1 Teledyne Technologies, Inc.    1,780

702

   1 Tellabs, Inc.    11,162

220

   1 Teradyne, Inc.    3,412

60

   1 Tessera Technologies, Inc.    1,925

2,239

   Texas Instruments, Inc.    72,700

251

   1 Thermo Electron Corp.    9,310

250

   1 Tibco Software, Inc.    2,090

60

   1 Transaction Systems Architects, Inc.    1,873

80

   1 Trident Microsystems, Inc.    2,325

70

   1 Trimble Navigation Ltd    3,154

420

   1 Unisys Corp.    2,894

110

   United Online, Inc.    1,415

180

   1 Utstarcom, Inc.    1,132

110

   1 Valueclick, Inc.    1,861

50

   1 Varian, Inc.    2,059

75

   1 Varian Semiconductor Equipment Associates, Inc.    2,106

60

   1 VeriFone Holdings, Inc.    1,817

402

   1 VeriSign, Inc.    9,644

210

   1 Vishay Intertechnology, Inc.    2,990

120

   1 Waters Corp.    5,178

89

   1 WebEx Communications, Inc.    2,997

60

   1 Websense, Inc.    1,655

230

   1 Western Digital Corp.    4,469

110

   1 Wind River Systems, Inc.    1,370

1,400

   1 Xerox Corp.    21,280

493

   Xilinx, Inc.    12,552

1,734

   1 Yahoo, Inc.    55,939

80

   1 Zebra Technologies Corp., Class A    3,578
       
  

TOTAL

   3,072,622
       
   Materials—3.3%   

330

   Air Products & Chemicals, Inc.    22,173

90

   Airgas, Inc.    3,518

190

   1 AK Steel Holding Corp.    2,850

100

   Albemarle Corp.    4,535

1,203

   Alcoa, Inc.    36,764

90

   Allegheny Technologies, Inc.    5,506

158

   1 Alpha Natural Resources, Inc.    3,656

119

   1 Apex Silver Mines Ltd    2,826

54

   Aptargroup, Inc.    2,984

70

   Arch Coal, Inc.    5,316

70

   Ashland, Inc.    4,976

110

   Ball Corp.    4,821

130

   Bemis Co., Inc.    4,105

80

   Bowater, Inc.    2,366


80

   Cabot Corp.    2,719

35

   Carpenter Technology Corp.    3,308

148

   Celanese Corp.    3,104

59

   1 Chaparral Steel Co.    3,830

260

   Chemtura Corp.    3,063

20

   Cleveland Cliffs, Inc.    1,742

420

   1 Coeur d’Alene Mines Corp.    2,755

60

   Commercial Metals Co.    3,209

80

   Compass Minerals International, Inc.    1,999

149

   Consol Energy, Inc.    11,050

180

   1 Crown Holdings, Inc.    3,193

50

   Cytec Industries, Inc.    3,001

1,345

   Dow Chemical Co.    54,607

30

   Eagle Materials, Inc.    1,913

30

   Eagle Materials, Inc.    1,914

90

   Eastman Chemical Co.    4,606

277

   Ecolab, Inc.    10,581

1,283

   El Du Pont de Nemours & Co.    54,155

140

   Engelhard Corp.    5,545

50

   FMC Corp.    3,099

100

   Ferro Corp.    2,000

50

   Florida Rock Industries, Inc.    2,811

50

   Foundation Coal Holdings, Inc.    2,057

280

   Freeport-McMoRan Copper & Gold, Inc., Class B    16,736

50

   Georgia Gulf Corp.    1,300

70

   HB Fuller Co.    3,594

160

   1 Hercules, Inc.    2,208

138

   1 Huntsman Corp.    2,663

100

   International Flavors & Fragrances, Inc.    3,432

683

   International Paper Co.    23,611

60

   1 Jarden Corp.    1,971

45

   Lafarge North America, Inc.    3,780

100

   Longview Fibre Co.    2,584

130

   Louisiana-Pacific Corp.    3,536

80

   Lubrizol Corp.    3,428

240

   Lyondell Chemical Co.    4,776

50

   Martin Marietta Materials, Inc.    5,352

80

   Massey Energy Corp.    2,886

220

   MeadWestvaco Corp.    6,008

40

   Minerals Technologies, Inc.    2,336

355

   Monsanto Co.    30,086

160

   1 Mosaic Co./The    2,296

592

   Newmont Mining Corp.    30,719

195

   Nucor Corp.    20,434

110

   Olin Corp.    2,362

50

   1 Oregon Steel Mills, Inc.    2,559

170

   1 Owens–Illinois, Inc.    2,953

223

   PPG Industries, Inc.    14,127

126

   Packaging Corp. of America    2,827

170

   1 Pactiv Corp.    4,172

347

   Peabody Energy Corp.    17,492

289

   Phelps Dodge Corp.    23,273

81

   Potlatch Corp.    3,470

445

   Praxair, Inc.    24,542

30

   Quanex Corp.    1,999

174

   RPM International, Inc.    3,122


40

   1 RTI International Metals, Inc.    2,194

100

   Rayonier, Inc.    4,559

213

   Rohm & Haas Co.    10,409

110

   Schulman A, Inc.    2,723

68

   Scotts Miracle-Gro Co.    3,112

90

   Sealed Air Corp.    5,208

70

   Sigma-Aldrich Corp.    4,605

40

   Silgan Holdings, Inc.    1,607

310

   1 Smurfit-Stone Container Corp.    4,207

130

   Sonoco Products Co.    4,403

50

   Steel Dynamics, Inc.    2,837

60

   1 Symyx Technologies, Inc.    1,664

120

   Temple-Inland, Inc.    5,346

30

   Texas Industries, Inc.    1,815

40

   1 Titanium Metals Corp.    1,942

28

   1 Tronox, Inc., Class A    480

130

   USEC, Inc.    1,567

165

   United States Steel Corp.    10,012

120

   Valspar Corp.    3,344

140

   Vulcan Materials Co.    12,131

345

   Weyerhaeuser Co.    24,988

100

   Worthington Industries, Inc.    2,006
       
  

TOTAL

   680,450
       
   Telecommunication Services—2.9%   

5,328

   AT&T, Inc.    144,069

495

   Alltel Corp.    32,051

520

   1 American Tower Corp.    15,766

2,449

   Bellsouth Corp.    84,858

140

   CenturyTel, Inc.    5,477

440

   1 Cincinnati Bell, Inc.    1,989

390

   Citizens Communications Co.    5,175

326

   1 Crown Castle International Corp.    9,242

190

   1 Dobson Communications Corp., Class A    1,524

230

   1 IDT Corp.    2,519

60

   1 Leap Wireless International, Inc.    2,615

790

   1 Level 3 Communications, Inc.    4,092

260

   1 Liberty Global, Inc.    5,322

198

   1 NII Holdings, Inc.    11,676

50

   1 NeuStar, Inc., Class A    1,550

160

   1 Nextel Partners, Inc.    4,531

80

   PanAmSat Holding Corp.    1,986

130

   1 Price Communications Corp.    2,300

2,103

   1 Qwest Communications International, Inc.    14,300

70

   1 RCN Corp.    1,813

90

   1 SBA Communications Corp.    2,107

3,853

   Sprint Nextel Corp.    99,562

78

   Telephone & Data Systems, Inc.    3,076

100

   Telephone & Data Systems, Inc.    3,775

213

   Time Warner Telecom, Inc.    3,823

30

   1 United States Cellular Corp.    1,781

3,997

   Verizon Communications    136,138
       
  

TOTAL

   603,117
       
   Utilities—3.4%   

822

   1 AES Corp.    14,023

104

   AGL Resources, Inc.    3,749

180

   1 Allegheny Energy, Inc.    6,093

50

   Allete, Inc.    2,330


130

   Alliant Energy Corp.    4,091

257

   Ameren Corp.    12,803

587

   American Electric Power, Inc.    19,969

100

   American States Water Co.    3,736

140

   Aqua America, Inc.    3,894

570

   1 Aquila, Inc.    2,274

119

   Atmos Energy Corp.    3,133

130

   Avista Corp.    2,684

50

   Black Hills Corp.    1,700

70

   CH Energy Group, Inc.    3,360

240

   1 CMS Energy Corp.    3,108

300

   CenterPoint Energy, Inc.    3,579

256

   Cinergy Corp.    11,625

100

   Cleco Corp.    2,233

307

   Consolidated Edison, Inc.    13,355

239

   Constellation Energy Group, Inc.    13,076

150

   DPL, Inc.    4,050

230

   DTE Energy Co.    9,221

465

   Dominion Resources, Inc.    32,099

1,279

   Duke Energy Corp.    37,283

140

   Duquesne Light Holdings, Inc.    2,310

370

   1 Dynegy, Inc. Class A    1,776

420

   Edison International    17,296

90

   1 El Paso Electric Co.    1,714

150

   Empire District Electric Co.    3,333

81

   1 Enbridge Energy Management LLC    3,455

80

   Energen Corp.    2,800

170

   Energy East Corp.    4,131

284

   Entergy Corp.    19,579

911

   Exelon Corp.    48,192

538

   FPL Group, Inc.    21,595

441

   FirstEnergy Corp.    21,565

111

   Great Plains Energy, Inc.    3,125

119

   Hawaiian Electric Industries, Inc.    3,228

90

   Idacorp, Inc.    2,927

260

   KeySpan Corp.    10,626

71

   1 Kinder Morgan Management LLC    3,124

120

   Laclede Group, Inc.    4,130

120

   MDU Resources Group, Inc.    4,014

100

   MGE Energy, Inc.    3,318

156

   1 NRG Energy, Inc.    7,054

100

   NSTAR    2,861

110

   1 Nalco Holding Co.    1,947

113

   National Fuel Gas Co.    3,697

60

   New Jersey Resources Corp.    2,715

69

   Nicor, Inc.    2,730

449

   NiSource, Inc.    9,079

190

   Northeast Utilities    3,711

90

   Northwest Natural Gas Co.    3,194

70

   Northwestern Corp.    2,180

130

   OGE Energy Corp.    3,770

200

   Oneok, Inc.    6,450

90

   Otter Tail Corp.    2,582

539

   PG&E Corp.    20,967

100

   PNM Resources, Inc.    2,440

490

   PPL Corp.    14,406


70

   Peoples Energy Corp.      2,495

210

   Pepco Holdings, Inc.      4,786

119

   Piedmont Natural Gas Co.      2,855

100

   Pinnacle West Capital Corp.      3,910

340

   Progress Energy, Inc.      14,953

321

   Public Service Enterprise Group, Inc.      20,557

165

   Puget Energy, Inc.      3,495

131

   Questar Corp.      9,177

340

   1 Reliant Energy, Inc.      3,597

120

   SCANA Corp.      4,709

330

   Sempra Energy      15,332

150

   1 Sierra Pacific Resources      2,072

90

   South Jersey Industries, Inc.      2,454

1,027

   Southern Co.      33,655

136

   Southern Union Co.      3,377

100

   Southwest Gas Corp.      2,795

263

   1 Southwestern Energy Co.      8,466

240

   TECO Energy, Inc.      3,869

656

   TXU Corp.      29,363

151

   UGI Corp.      3,182

60

   Unisource Energy Corp.      1,830

114

   Vectren Corp.      3,007

100

   WGL Holdings, Inc.      3,042

59

   WPS Resources Corp.      2,904

137

   Weststar Energy, Inc.      2,851

192

   Wisconsin Energy Corp.      7,678

580

   Xcel Energy, Inc.      10,526
         
  

TOTAL

     692,426
         
  

TOTAL COMMON STOCKS (IDENTIFIED COST $19,349,819)

     19,838,622
         
   U.S. TREASURY—0.5%   

$100,000

   2 United States Treasury Bill, 4.440%, 6/8/2006 (IDENTIFIED COST $99,169)      99,169
         
   MUTUAL FUND—2.4%   

503,034

   Aim Prime Fund (IDENTIFIED COST $503,034)      503,034
         
  

TOTAL INVESTMENTS—99.1%

(IDENTIFIED COST $19,952,022)

     20,440,825
         
  

OTHER ASSETS AND LIABILITIES—NET—0.9%

     185,676
         
  

TOTAL NET ASSETS—100%

   $ 20,626,501
         

1 Non-income producing security.
2 Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts.

The categories of investments are shown as a percentage of total net assets at March 31, 2006.

Investment Valuation

Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern Standard Time) on the valuation date and, in general, as furnished by an independent pricing service. Equity securities are valued at the latest quoted sales price or official closing price taken from the primary market in which each security trades; those securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Fixed-income instruments (other than short-term instruments) are generally valued at an evaluated mean price (which utilizes both dealer-supplied valuations and electronic data processing techniques which consider such factors as security prices, yields, maturities, and ratings) as reported by an independent pricing service. Short-term instruments with a maturity at issuance of 365 days or less are generally valued at amortized cost. Foreign securities quoted in foreign currencies are translated into U.S. dollars based upon exchange rates prevailing at the close of trading and as provided by an independent source. Open-end investment companies are generally valued at their net asset value per share. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.


At March 31, 2006, the cost of investments for federal tax purposes was $19,952,022. The net unrealized appreciation of investments for federal tax purposes was $488,803. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $893,801 and net unrealized depreciation from investments for those securities having an excess of cost over value of $404,998.

At March 31, 2006, the Fund had the following outstanding futures contracts:

 

Contracts

   Number of
Contracts
  

Notional

Value

   Expiration
Date
   Unrealized
Appreciation

S&P Mini 500 Index Futures

   4    $ 260,660    June 2006    $ 1,479

Russell 2000 E Mini Index Futures

   2    $ 154,360    June 2006    $ 4,485

Futures contracts are valued at the last sale at the market close or at the mean between the bid and asked price if last sale is not available.

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.


AARP PORTFOLIOS

INTERNATIONAL STOCK MARKET PORTFOLIO

PORTFOLIO OF INVESTMENTS

March 31, 2006 (unaudited)

 

Shares or

Principal

Amount

        Value
   COMMON STOCKS—94.9%   
   Aerospace & Defense—0.6%   
4,500    BAE Systems PLC    $ 32,932
2,040    Cobham PLC      6,670
340    European Aeronautic Defence and Space Co NV      14,349
520    Finmeccanica SpA      11,828
720    Meggitt PLC      4,358
2,230    Rolls Royce Group PLC      17,764
250    Safran SA      6,348
3,000    Singapore Technologies Engineering Ltd.      5,755
360    Tecnologica SA      6,935
70    Zodiac SA      4,550
         
  

TOTAL

     111,489
         
   Air Freight & Couriers—0.4%   
1,010    Deutsche Post AG      25,366
600    TNT NV      20,807
546    Toll Holdings Limited      5,124
1,000    Yamato Holdings Co Ltd      20,512
         
  

TOTAL

     71,809
         
   Airlines—0.2%   
200    Air France-KLM      4,717
1,000    All Nippon Airways Co. Ltd.      3,651
840    1 British Airways PLC      5,161
2,000    Cathay Pacific Airways Ltd.      3,505
410    Deutsche Lufthansa AG      7,350
1,780    Qantas Airways Ltd.      4,514
1,000    Singapore Airlines Ltd.      8,664
         
  

TOTAL

     37,562
         
   Auto Components—0.8%   
300    Aisin Seiki Co. Ltd.      11,694
1,000    Bridgestone Corp.      20,895
190    Continental AG      20,952
700    Denso Corp.      27,703
1,240    GKN PLC      7,171
220    Michelin(CDGE)      13,846
200    Nok Corp.      5,396
300    Stanley Electric Co. Ltd.      6,409
300    Toyota Industries Corp.      12,281
130    Valeo SA      5,445
         
  

TOTAL

     131,792
         
   Automobiles—2.9%   
1,290    DaimlerChrysler AG      74,219
770    Fiat SpA      9,720
1,100    Honda Motor Co. Ltd.      68,250
3,200    Nissan Motor Co. Ltd.      38,075
250    Peugeot SA      15,779
10    Porsche AG      9,589
270    Renault SA      28,758


119,974

   Rolls Royce Group PLC    213

4,200

   Toyota Motor Corp    229,848

370

   Volkswagen AG    27,984

300

   Yamaha Motor Co. Ltd.    7,430
       
  

TOTAL

   509,865
       
   Banks—17.5%   

2,470

   ABN AMRO Holdings NV    74,173

1,190

   Allied Irish Banks PLC    28,455

510

   Alpha Bank AE    18,868

2,520

   Australia & New Zealand Banking Group Ltd.    47,841

108

   BNP Paribas    9,707

1,214

   1 BNP Paribas    112,948

5,500

   BOC Hong Kong Holdings Ltd    11,057

1,680

   Banca Monte dei Paschi di Siena SpA    9,472

680

   Banca Popolare di Milano SCRL    8,039

610

   Banca Popolare di Verona e Novara Scri    16,171

4,800

   Banco Bilbao Vizcaya Argentina SA    100,328

3,260

   Banco Comercial Portugues SA    10,407

290

   Banco Espirito Santo SA    5,298

1,700

   1 Banco Nazional del Lavana SpA    6,025

580

   Bancho Popotari Unite Scpa    14,087

1,350

   Banco Popular Espanol SA    19,926

8,370

   Banco Santander Central Hispano SA    122,422

2,167

   Banca Intesa SpA (Cert.-participating cumulative)    12,284

5,800

   Banca Intesa SpA (Ord.)    34,707

3,400

   Bank of East Asia Ltd.    12,312

1,000

   Bank of Fukuoka Ltd.    8,451

1,000

   Bank of Yokohama Ltd.    8,205

1,380

   Bank of Ireland    25,712

400

   Piraeus Bank SA    12,138

9,777

   Barclays PLC    114,526

2,120

   Capitalia SpA    17,653

1,000

   Chiba Bank Ltd.    8,911

830

   Commerzbank AG    33,125

1,760

   Commonwealth Bank of Australia    57,117

800

   Credit Agricole SA    31,180

1,700

   Credit Suisse Group    95,463

2,000

   DBS Group Holdings    20,175

1,000

   DNB NOR ASA    13,476

148

   DT Postbank AG    10,757

610

   Danske Bank A/S    22,673

530

   DePfa Bank PLC    9,457

758

   Deutsche Bank AG    86,716

760

   Dexia    19,686

350

   EFG Eurobank Ergas    13,501

170

   Emporiki Bank of Greece SA    5,695

190

   Erste Bank der Oesterreichischen Sparkassen AG    11,222

5,420

   HBOS PLC    90,591

16,397

   HSBC Holdings PLC    275,204

1,000

   Hang Seng Bank Ltd.    12,880

1,000

   Joyo Bank Ltd.    7,064

250

   KBC Groep NV    26,886

7,770

   Lloyds TSB Group PLC    74,394

330

   Macquarie Bank Ltd    15,291

730

   Mediobanca SpA    15,684

13

   Mitsubishi UFJ Financial Group, Inc.    199,157

14

   Mizuho Financial Group, Inc.    114,745


2,170

   National Australia Bank Ltd.    58,608

460

   National Bank of Greece SA    21,664

1,000

   Nishi Nippon City Bank Ltd.    5,464

3,060

   Nordea Bank AB    37,914

4,000

   Overseas Chinese Banking Corp    16,586

7

   1 Resona Holdings, Inc.    24,129

4,703

   Royal Bank Scotland Group PLC    153,206

1,610

   San Paolo IMI SPA    28,864

1,000

   Shinsei Bank Ltd.    7,013

1,000

   Shizuoka Bank Ltd.    10,111

710

   Skandinaviska Enskilda Banken AB    17,640

543

   Societe Generale    81,793

9

   Sumitomo Mitsui Financial Group, Inc.    99,579

910

   Suncorp Metway Ltd.    12,673

750

   Svenska Handelsbanken Series A    20,902

1,525

   UBS AG    167,643

11,080

   UniCredito Italianiano SpA    80,223

2,000

   United Overseas Bank Ltd.    19,309

2,480

   Westpac Banking Corp.    42,320
       
  

TOTAL

   3,037,903
       
   Beverages—1.3%   

600

   Asahi Breweries Ltd.    8,528

690

   C & C Group PLC    4,690

80

   Carlsberg A/S    5,231

1,350

   Coca-Cola Amatil Ltd.    6,992

4,140

   Diageo PLC    65,273

3,560

   Fosters Group Ltd.    13,543

370

   Heineken NV    14,066

260

   InBev NV    12,213

1,000

   Kirin Brewery Co. Ltd.    13,635

320

   Orkla ASA    15,881

110

   Pernod-Ricard SA    21,109

1,270

   SABmiller PLC    25,093

1,000

   Sapporo Holdings Ltd.    5,243

1,220

   Scottish & Newcastle PLC    11,034

1,000

   Takara Holdings Inc.    6,128
       
  

TOTAL

   228,659
       
   Biotechnology—0.0%   

10

   Serono SA    6,974
       
   Building Products—0.7%   

2,000

   Asahi Glass Co. Ltd.    29,942

480

   Assa Abloy AB    8,929

440

   Cie de Saint-Gobain    30,789

10

   Geberit AG    9,557

400

   JS Group Corp.    8,613

2,000

   Nippon Sheet Glass Co. Ltd.    11,166

1,720

   Pilkington PLC    4,846

1,000

   ToTo Ltd.    9,303

130

   Wienerberger AG    6,548
       
  

TOTAL

   119,693
       
   Chemicals—2.6%   

150

   Air Liquide    31,280

380

   Akzo Nobel NV    20,198

1,000

   Asahi Kasei Corp.    7,141

740

   BASF AG    58,114

910

   Bayer AG    36,517

720

   Boc Group PLC    19,372


140

   Ciba Specialty Chemicals AG    8,378

370

   Clariant AG    5,738

2,000

   Dainippon Ink & Chemicals, Inc.    7,456

1,000

   Denki KK    4,477

13

   Givaudan AG    10,000

1,720

   Imperial Chemical Industries PLC    10,351

300

   JSR Corp.    8,937

220

   Koninklijke DSM NV    10,062

1,000

   Kuraray Co. Ltd.    11,779

80

   Lonza Group AG    5,487

1,500

   Mitsubishi Chemical Holdings Corp.    9,268

1,000

   Mitsubishi Gas Chemical Co., Inc.    12,222

1,000

   Mitsubishi Rayon Co. Ltd    8,205

1,000

   Mitsui Chemicals, Inc.    7,371

110

   Novozymes A/S-B Shares    7,470

510

   Orica Ltd    8,473

500

   Shin Etsu Chemical Co. Ltd    27,193

1,000

   Showa Denko KK    4,451

100

   Solvay SA    11,568

1,000

   Sumitomo Bakelite Co. Ltd    9,073

2,000

   Sumitomo Chemical Co. Ltd    16,307

160

   Syngenta AG    22,502

1,000

   Teijin Ltd.    6,664

3,000

   Toray Industries, Inc.    24,614

1,000

   Tosoh Corp.    5,004

1,000

   Ube Industries Ltd.    2,953

350

   Yara International ASA    5,572
       
  

TOTAL

   444,197
       
   Commercial Services & Supplies —1.1%   

200

   Adecco SA    11,185

100

   Benesse Corp.    3,575

1,080

   Brambles Industries PLC    8,091

1,460

   Brambles Industries Ltd    11,244

290

   Buhrmann NV    5,139

1,040

   Capita Group PLC    8,312

1,000

   Dai Nippon Printing Co. Ltd.    18,128

1,830

   Group 4 Securicor PLC    6,024

2,550

   Hays PLC    7,196

300

   PagesJaunes Groupe SA    8,441

100

   Randstad Holdings NV    5,937

2,870

   Rentokil Initial PLC    7,787

10

   SGS SA    9,273

500

   Secom Co. Ltd    25,618

480

   Securitas AB    9,269

800

   Serco Group PLC    4,383

70

   Societe BIC SA    4,707

1,000

   Toppan Printing Co. Ltd.    13,890

290

   Vedior NV    5,692

1,720

   WPP Group PLC    20,656
       
  

TOTAL

   194,547
       
   Communications Equipment —1.4%   

1,750

   Alcatel SA    27,125

390

   GN Store Nord    5,392

6,170

   Nokia Oyj    127,915

20,950

   Telefonaktiebolaget LM Ericsson    79,828
       
  

TOTAL

   240,260
       


   Computers & Peripherals —0.4%   

2,000

   Fujitsu Ltd    16,903

120

   Logitech International SA    4,799

2,000

   NEC Corp.    14,077

4,000

   Toshiba Corp.    23,286

40

   Wincor Nixdorf AG    5,049
       
  

TOTAL

   64,114
       
   Construction & Engineering —0.9%   

50

   Acciona S A    7,802

380

   ACS Actividades Cons y Serv    14,787

160

   1Alstom RGPT    13,439

730

   Amec PLC    5,117

710

   Balfour Beatty PLC    4,594

100

   Fomento De Construc Y Contratas SA    7,416

100

   Grupo Ferrovial SA    8,096

100

   Hochtief AG    5,666

1,000

   Kajima Corp.    6,256

1,000

   Kinden Corp.    9,081

200

   Kurita Water Indsustries Ltd.    4,290

320

   Leighton Holdings Ltd.    4,069

1,000

   Nishimatsu Construction Co. Ltd.    4,102

1,000

   Obayashi Corp.    8,154

1,000

   Shimizu Corp.    7,294

580

   Skanska AB    9,520

1,000

   Taisei Corp.    4,800

1,000

   Toda Corp.    4,494

230

   1Vinci SA    22,711
       
  

TOTAL

   151,688
       
   Construction Materials —1.0%   

1,378

   Boral Ltd.    8,806

760

   CRH PLC    26,568

1,990

   CSR Ltd.    6,358

950

   Fletcher Building Ltd.    5,211

1,030

   Hanson PLC    13,507

260

   Holcim Ltd.    20,718

70

   Imerys SA    5,905

800

   James Hardie Industries NV    5,433

250

   Lafarge SA    28,373

1,310

   Rinker Group Ltd.    18,629

2,000

   Sumitomo Osaka Cement Co. Ltd.    7,302

1,000

   Taiheiyo Cement Corp.    4,843

140

   Titan Cement Co. SA    6,695
       
  

TOTAL

   158,348
       
   Containers & Packaging —0.1%   

1,422

   Amcor Ltd.    7,536

870

   Rexam PLC    8,436

300

   Toyo Seikan Kaisha Ltd.    5,451
       
  

TOTAL

   21,423
       
   Distributors —0.1%   

130

   Inchcape PLC    5,895

2,000

   Li & Fung Ltd.    4,510
       
  

TOTAL

   10,405
       
   Diversified Financials —3.6%   

810

   3i Group PLC    13,250

100

   Acom Co. Ltd    5,881

100

   Aiful Corp.    6,630

1,070

   Amvescap PLC    9,994

250

   Australian Stock Exchange Ltd.    5,857


350

   Babcock & Brown International Pty Ltd.    4,639

790

   Cattles PLC    5,060

280

   Close Brothers Group PLC    5,194

200

   Credit Saison Co. Ltd.    11,081

2,000

   Daiwa Securities Group, Inc.    26,878

140

   Deutsche Boerse AG    20,222

3

   E*Trade Securities Co. Ltd    6,919

130

   Euronext NV    10,738

1,600

   Fortis    57,253

100

   Groupe Bruxelles Lambert SA    11,143

1,000

   Hokuhoku Financial Group, Inc.    4,400

2,000

   Hong Kong Exchanges and Clearing Ltd.    12,049

200

   Hypo Real Estate Holding AG    13,733

760

   ICAP PLC    5,915

2,839

   ING Groep NV    112,339

1,000

   Keppel Corp. Ltd    8,540

430

   London Stock Exchange PLC    7,898

430

   Man Group PLC    18,435

660

   Mediolanum SpA    5,243

1,000

   Mitsubishi UFJ Securities Co.    16,086

1,000

   Mitsui Trust Holdings, Inc.    14,647

1,000

   Nikko Cordial Corp.    16,596

2,400

   Nomura Holdings, Inc.    53,619

130

   ORIX Corp.    40,551

100

   Perpetual Ltd.    4,872

100

   Promise Co. Ltd.    6,060

530

   Provident Financial PLC    6,513

260

   Schroders    5,377

2,000

   Shinko Securities Co. Ltd.    11,115

2,000

   Sumitomo Trust & Banking Co., Ltd.    23,184

1,500

   Swire Pacific Ltd.    14,681

200

   Takefuji Corp.    12,613
       
  

TOTAL

   615,205
       
   Diversified Telecommunication —3.2%   

11,730

   BT Group PLC    45,291

230

   Belgacom SA    7,367

5,164

   Cable & Wireless PLC    9,812

3,830

   Deutsche Telekom AG    64,712

1,870

   Eircom Group PLC    4,835

280

   Elisa OYJ    5,567

2,370

   France Telecom SA    53,392

3,000

   1 Hutchison Telecommunications International Ltd.    5,122

60

   Mobistar SA    4,362

8

   Nippon Telegraph & Telephone Cp    34,384

430

   Hellenic Telecommunicatins Organization SA    9,520

6,000

   PCCW Ltd    3,943

1,240

   Portugal Telecom SGPS SA    15,066

2,940

   Royal KPN NV    33,188

9,000

   Singapore Telecommunications Ltd    14,760

30

   Swisscom AG    9,730

530

   Tele2 AB    6,277

3,334

   Telecom Corp of New Zealand Ltd    11,383

8,030

   Telecom Italia SpA (RNC – participating cumulative)    21,419

15,290

   Telecom Italia SpA (Ord)    44,681

6,270

   Telefonica SA    98,556

480

   Telekom Austria AG    11,332

1,100

   Telenor ASA    11,842


2,670

   Teliasonera AB    16,051

3,200

   Telstra Corp. Ltd.    8,574
       
  

TOTAL

   551,166
       
   Electric Utilities —2.8%   

2,500

   CLP Holdings Ltd.    14,578

900

   Chubu Electric Power Co. Ltd    22,597

927

   E ON AG    102,179

1,956

   Energias de Portugal SA    7,692

240

   Electric Power Development Co.    7,619

1,400

   Endesa SA    45,270

6,070

   Enel SpA    51,427

400

   Hokkaido Electric Power Co., Inc.    8,596

2,000

   Hong Kong Electric Holdings    9,394

1,170

   Iberdrola SA    37,833

2,100

   International Power PLC    10,336

1,100

   Kansai Elec Power Co., Inc.    24,482

600

   Kyushu Elec Power Co., Inc    13,558

10

   Verbund-Oesterreichische Elektrizhaetswirschafts AG    4,455

280

   Public Power Corp.    6,593

1,230

   Scottish & Southern Energy PLC    24,217

2,630

   Scottish Power PLC    26,622

2,170

   T.E.R.N.A SpA    5,715

700

   Tohoku Electric Power Co., Inc.    15,162

1,600

   Tokyo Electric Power Co., Inc.    39,968

201

   Union Fenosa SA    7,653
       
  

TOTAL

   485,946
       
   Electrical Equipment —1.8%   

2,780

   1 ABB Ltd    35,106

300

   Fanuc Ltd    28,929

2,000

   Fuji Electric Holdings Co. Ltd    10,928

1,000

   Fujikura Ltd    11,345

1,000

   Furukawa Electric Co. Ltd    8,307

1,000

   Hitachi Cable Ltd.    5,685

3,000

   Mitsubishi Electric Corp.    25,507

200

   Nitto Denko Corp.    17,005

320

   Schneider Electric SA    34,608

1,221

   Siemens AG    114,177

1,000

   Sumitomo Electric Industries Ltd.    15,873

200

   Ushio, Inc.    4,775

270

   Vestas Wind Systems A/S    6,742
       
  

TOTAL

   318,987
       
   Electronic Equipment & Instruments —1.4%   

300

   Alps Electric Co. Ltd.    4,844

1,000

   Anritsu Corp.    6,298

700

   Citizen Watch Co. Ltd.    6,619

1,000

   Dainippon Screen Manufacturing Cp. Ltd.    10,613

4,000

   Hitachi Ltd.    28,359

200

   Hitachi Chemical Co. Ltd    5,753

600

   Hoya Corp.    24,256

200

   Ibiden Co. Ltd    10,128

110

   Keyence Corp.    28,648

200

   Kyocera Corp.    17,737

200

   Nidec Corp.    16,443

1,000

   Oki Electric Industry Co. Ltd    3,200

400

   Omron Corp.    11,507

200

   Rohm Co. Ltd    21,192

200

   TDK Corp.    15,099


1,000

   Venture Corp. Ltd.    7,922

1,000

   Yaskawa Electric Corp.    11,311

300

   Yokogawa Electric Corp    5,349
       
  

TOTAL

   235,278
       
   Energy Equipment & Services —0.1%   

140

   1 Petroleum Geo-Services ASA    6,531

380

   Stolt Offshore    5,977

140

   Technip SA    9,491
       
  

TOTAL

   21,999
       
   Food & Drug Retailing —1.4%   

790

   Carrefour SA    42,096

80

   Casino Guichand Perrachon SA    5,603

1,860

   Coles Myer Ltd.    14,258

40

   Colruyt SA    6,001

110

   Delhaize Group    7,904

100

   FamilyMart Co. Ltd.    3,141

2,060

   J Sainsbury PLC    11,913

160

   Kesko OYJ    5,001

2,200

   1 Koninklijke Ahold NV    17,331

100

   Lawson, Inc.    3,770

1,100

   Seven & I Holdings Co. Ltd    43,627

10,980

   Tesco PLC    63,020

1,670

   Woolworths Ltd.    22,528
       
  

TOTAL

   246,193
       
   Food Products —2.3%   

1,000

   Ajinomoto Co., Inc.    10,698

2,900

   Cadbury Schweppes PLC    28,851

90

   Danisco A/S    7,305

50

   East Asiatic Co. Ltd. A/S    2,058

330

   Groupe Danone    40,496

260

   Kerry Group PLC    6,255

595

   Nestle SA    176,767

500

   Nisshin Seifun Group, Inc.    5,119

200

   Nissin Food Products Co. Ltd.    6,196

240

   Royal Numico NV    10,636

780

   Tate & Lyle PLC    7,746

3,860

   Unilever PLC    39,543

780

   Unilever NV    54,250

200

   Yakult Honsha Co. Ltd.    4,809
       
  

TOTAL

   400,729
       
   Gas Utilities —0.5%   

810

   Australian Gas & Light Co. Ltd    10,753

5,360

   Centrica PLC    26,243

330

   Gas Natural SDG SA    9,569

5,000

   Hongkong & China Gas    12,049

3,000

   Osaka Gas Co. Ltd    10,928

2,169

   Snam Rete Gas SpA    9,603

3,000

   Tokyo Gas Co.    13,150
       
  

TOTAL

   92,295
       
   Health Care Equipment & Supplies—0.5%   

130

   Cochlear Ltd    4,949

160

   Cie General d’optique Essilor International SA    14,294

500

   Gambro AB    5,986

390

   Getinge AB    6,326

40

   Nobel Biocare Holding AG    8,913

100

   Phonak Holding AG    5,696

370

   1 Qiagen NV    5,479


1,440

   Smith & Nephew PLC    12,798

20

   Straumann Holding AG    4,560

80

   Synthes, Inc.    8,782

300

   Terumo Corp.    9,881
       
  

TOTAL

   87,664
       
   Health Care Providers & Services—0.2%   

470

   Alliance Unichem PLC    7,324

80

   Celesio AG    7,583

100

   Fresenius Medical Care AG & Co    11,968

300

   Mediceo Paltac Holdings Co. Ltd.    4,861

550

   Sonic Healthcare Ltd.    6,186

100

   Suzuken Co. Ltd.    3,141
       
  

TOTAL

   41,063
       
   Hotels Restaurants & Leisure —1.0%   

290

   Accor SA    16,745

500

   Aristocrat Leisure Ltd.    4,936

250

   Carnival PLC    12,305

1,000

   Cintra Concesiones de Infraestructuras de Trasnporte SA    6,684

3,310

   Compass Group PLC    13,140

550

   Enterprise Inns PLC    9,107

1,010

   First Choice Holidays PLC    3,781

700

   Intercontinental Hotels Group PLC    11,463

2,370

   Ladbrokes PLC    16,035

1,123

   Mitchells & Butlers PLC    9,346

350

   OPAP SA    13,399

100

   Oriental Land Co. Ltd    5,813

420

   Punch Taverns PLC    6,154

1,170

   Rank Group PLC    4,589

2,000

   Shangri-La Asia Ltd    3,222

150

   Sodexho Alliance SA    7,137

1,030

   TABCORP Holdings Ltd    11,415

370

   TUI AG    7,276

450

   Whitbread PLC    9,282

740

   William Hill PLC    7,716
       
  

TOTAL

   179,545
       
   Household Durables —2.1%   

360

   Barratt Developments PLC    6,631

220

   Bellway PLC    4,726

400

   Casio Computer Co. Ltd.    7,132

100

   Daito Trust Construct Co. Ltd.    5,226

1,000

   Daiwa House Industry Co. Ltd.    17,362

450

   Electrolux AB    12,947

640

   George Wimpey PLC    6,228

200

   Makita Corp.    6,179

3,000

   Matsushita Electric Industrial Co. Ltd    66,769

400

   Persimmon PLC    9,239

1,830

   Koninklijke Philips Electronics NV    61,951

300

   Pioneer Corp.    4,856

2,000

   Sanyo Electric Co. Ltd.    5,498

2,000

   Sekisui Chemical Co. Ltd.    16,971

1,000

   Sekisui House Ltd    14,945

2,000

   Sharp Corp.    35,491

1,400

   Sony Corp.    64,939

920

   Taylor Woodrow PLC    6,464

400

   Thomson SA    7,909
       
  

TOTAL

   361,463
       


   Household Products —0.4%   

90

   Henkel KGaA    10,539

1,000

   Kao Corp.    26,384

860

   Reckitt Benckiser PLC    30,304

100

   UNI-Charm Corp.    4,919
       
  

TOTAL

   72,146
       
   Industrial Conglomerates —0.5%   

633

   Alinta Ltd    4,983

160

   BCA Antonveneta SpA    5,147

3,000

   Hutchison Whampoa Ltd.    27,468

360

   Intertek Group PLC    5,150

5,630

   Pirelli & Co. SpA    5,378

810

   Smiths Group PLC    13,848

3,140

   Sonae SGPS SA    5,145

1,250

   Tomkins PLC    7,310

580

   Wesfarmers Ltd.    14,493
       
  

TOTAL

   88,922
       
   Insurance —4.4%   

2,670

   AMP Ltd.    16,603

1,940

   Aegon NV    35,957

720

   Alleanza Assicurazioni SpA    8,573

575

   Allianz AG    96,161

1,330

   Assicurazioni Generali SpA    50,174

3,280

   Aviva PLC    45,609

2,307

   Axa SA    81,095

60

   CNP Assurances    6,059

260

   Corp Mapfre SA    5,305

2,630

   Friends Provident PLC    9,537

2,560

   Insurance Australia Group Ltd.    10,032

420

   Irish Life & Permanent PLC    10,094

8,880

   Legal & General Group PLC    21,931

2

   Millea Holdings, Inc.    39,661

2,000

   Mitsui Sumitomo Insurance Co. Ltd.    27,252

297

   Muenchener Ruckvers AG    42,178

9,938

   Old Mutual PLC    34,785

3,270

   Prudential PLC    37,963

1,120

   QBE Insurance Group Ltd.    17,563

390

   Resolution PLC    4,548

4,130

   Royal & Sun Alliance Insuarnace Group    9,895

600

   Sampo Oyj    12,650

1,990

   SCOR    5,072

1,000

   Sompo Japan Insurance, Inc.    14,528

500

   Storebrand ASA    5,593

450

   Swiss Reinsurance    31,470

300

   T & D Holdings, Inc.    23,490

200

   Zurich Financial Services AG    47,020
       
  

TOTAL

   750,798
       
   Internet & Catalog Retail —0.2%   

1,250

   Gus PLC    22,936

10

   Rakuten, Inc.    9,107
       
  

TOTAL

   32,043
       
   Internet Software & Services —0.3%   

10

   SBI Holdings, Inc.    5,668

1,000

   Softbank Corp.    29,363

20

   Yahoo! Japan Corp.    12,222
       
  

TOTAL

   47,253
       
   IT Consulting & Services —0.3%   

100

   1 Atos Origin SA    7,422


100

   CSK Holdings Corp.    4,979

180

   Cap Gemini SA    9,823

880

   Computershare Ltd.    4,640

320

   Getronics NV    3,880

340

   Indra Sistemas SA    6,925

1,760

   Logica CMG PLC    5,992

2

   NTT Data Corp.    9,634

140

   Tietoenator Oyj    5,479
       
  

TOTAL

   58,774
       
   Leisure Equipment & Products —0.3%   

240

   Agfa-Gevaert NV    4,579

700

   Fuji Photo Film Co. Ltd.    23,414

500

   Konica Minolta Holdings, Inc.    6,392

400

   Namco Bandai Holdings, Inc.    5,488

200

   Shimano, Inc.    6,026

300

   Yamaha Corp.    5,311
       
  

TOTAL

   51,210
       
   Machinery —1.8%   

200

   Alfa Laval AB    5,394

780

   Atlas Copco AB    21,990

400

   Daikin Industries Ltd.    14,026

1,000

   Ebara Corp.    6,298

110

   Heidelberger Druckmaschinen    4,860

200

   Hitachi Construction Machinery Co. Ltd.    5,277

700

   IMI PLC    6,891

14,000

   1 Invensys PLC    5,600

2,000

   Ishikawajima-Harima Heavy Industries Ltd.    6,349

3,000

   Kawasaki Heavy Industries Ltd.    10,545

1,000

   Komatsu Ltd.    19,107

1,000

   Kubota Corp.    10,809

130

   Linde AG    11,306

210

   MAN AG    14,598

190

   Metso Oyj    7,345

2,000

   Minebea Co. Ltd.    13,839

4,000

   Mitsubishi Heavy Industries Ltd.    19,065

2,000

   Mitsui Engineering & Shipbuilding Co. Ltd.    6,502

1,000

   NGK Insulators Ltd.    14,716

1,000

   NSK Ltd.    8,698

60

   SBM Offshore NV    6,027

100

   SMC Corp./ Japan    15,609

300

   Sandvik AB    17,784

200

   Scania AB    8,702

10

   Sulzer AG    6,828

1,000

   Sumitomo Heavy Industries Ltd.    9,626

200

   THK Co. Ltd.    6,434

1,500

   Techtronic Industries Co.    2,697

460

   Volvo AB    21,584
       
  

TOTAL

   308,506
       
   Marine —0.2%   

2

   A P Moller-Maersk A/S    17,210

110

   Frontline Ltd    3,670

20

   Kuehne & Nagel International AG    6,487

1,000

   Mitsui Osk Lines Ltd.    6,775

1,000

   Nippon Yusen KK    6,119

6

   Ship Finance International Ltd.    93
       
  

TOTAL

   40,354
       


   Media —1.9%   

2,070

   Aegis Group PLC    4,923

180

   Antena 3 de Television SA    4,652

1,760

   British Sky Broadcasting PLC    16,530

3

   Dentsu, Inc.    10,903

440

   Emap PLC    6,742

1,250

   Emi Group PLC    5,500

350

   Eniro AB    4,055

6,040

   ITV PLC    12,527

1,440

   Independent News & Media PLC    4,667

2,510

   John Fairfax Holdings Ltd.    7,211

180

   Lagardere S.C.A.    14,081

1,320

   Mediaset SpA    15,574

100

   1 Modern Times Group AB    4,711

1,180

   Pearson PLC    16,377

210

   Publicis Groupe SA    8,208

360

   Publishing & Broadcasting Ltd    4,462

1,090

   Reed Elsevier NV    15,652

1,900

   Reed Elsevier PLC    18,241

2,050

   Reuters Group PLC    14,137

9,350

   1 Seat Pagine Gialle SpA    4,477

4,000

   Singapore Press Hd    11,140

200

   Societe Television Francaise 1    6,069

300

   Toho Co. Ltd./ Tokyo    5,796

610

   Trinity Mirror PLC    6,047

450

   UTD Business Media PLC    5,678

360

   VNU NV    11,724

1,750

   Vivendi SA    60,198

430

   Wolters Kluwer NV    10,741

1,100

   Yell Group PLC    10,417
       
  

TOTAL

   321,440
       
   Metals & Mining —3.7%   

460

   Acerinox SA    7,543

1,840

   Alumina Ltd.    9,768

1,970

   Anglo American PLC    75,996

730

   Arcelor    28,824

5,481

   BHP Billiton Ltd.    109,944

3,420

   BHP Billiton PLC    62,546

1,320

   BlueScope Steel Ltd.    6,790

6,530

   Corus Group PLC    9,994

1,000

   Daido Steel Co. Ltd.    10,171

1,000

   Dowa Mining Co. Ltd.    11,958

800

   JFE Holdings, Inc.    32,342

350

   Johnson Matthey PLC    8,498

3,000

   Kobe Steel Ltd.    11,413

140

   Kone Corp. NPV    5,773

2,000

   Mitsubishi Materials Corp.    10,707

2,000

   Mitsui Mining & Smelting Co. Ltd.    14,026

490

   Newcrest Mining Ltd.    8,207

8,000

   Nippon Steel Corp.    31,048

1,000

   Nisshin Steel Co. Ltd.    3,472

180

   Rautaruukki OYJ    6,659

1,470

   Rio Tinto PLC    74,707

400

   Rio Tinto Ltd.    22,595

640

   SKF AB    10,463

150

   SSAB Svenskt Stal AB    7,202

5,000

   Sumitomo Metal Indusrties    21,490

1,000

   Sumitomo Metal Mining Co. Ltd.    13,975


550

   ThyssenKrupp AG    15,909

40

   Umicore    5,549

40

   Voestalpine AG    5,606
       
  

TOTAL

   643,175
       
   Multiline Retail —0.7%   

900

   Aeon Co. Ltd    21,869

300

   Isetan Co.    6,549

2,350

   Marks & Spencer Group PLC    22,746

500

   Marui Co. Ltd    9,894

220

   Metro AG    11,298

1,000

   Mitsukoshi Ltd    6,426

420

   Next PLC    12,053

100

   PPR SA    12,096

1,000

   Takashimaya Co. Ltd.    15,269

67

   1 Westfield Group    821
       
  

TOTAL

   119,021
       
   Multi-Utilities —0.9%   

70

   RWE AG    5,476

570

   RWE AG    49,690

1,390

   Suez SA    54,867

1,310

   United Utilities PLC    15,710

480

   Veolia Environnement    26,702
       
  

TOTAL

   152,445
       
   Office Electronics —0.6%   

1,100

   Canon, Inc.    72,931

60

   Neopost SA    6,533

1,000

   Ricoh Co. Ltd.    19,575
       
  

TOTAL

   99,039
       
   Oil & Gas —7.7%   

4,880

   BG Group PLC    61,068

30,209

   BP PLC    347,296

300

   Caltex Australia Ltd.    4,126

3,944

   ENI SpA    112,404

630

   Fortum Oyj    15,921

320

   Gaz de France    11,590

1

   INPEX Corp.    8,485

410

   1 Lundin Petroleum AB    4,750

3,810

   National Grid PLC    37,937

220

   Neste Oil Oyj    7,576

1,000

   Nippon Mining Holdings, Inc.    8,451

2,000

   Nippon Oil Corp.    15,711

210

   Norsk Hydro ASA    29,116

230

   OMV AG    15,410

1,610

   Origin Energy Ltd.    8,443

1,320

   Repsol YPF SA    37,556

5,942

   Royal Dutch Shell    185,817

4,160

   Royal Dutch Shell B Shares    135,445

1,089

   Santos Ltd.    8,880

400

   Showa Shell Sekiyu KK    4,548

890

   Statoil ASA    25,685

1,000

   Teikoku Oil Co. Ltd.    12,094

810

   Total SA    214,038

680

   Woodside Petroleum Ltd.    22,156
       
  

TOTAL

   1,334,503
       
   Paper & Forest Products —0.4%   

130

   Holmen AB    5,506

1

   Nippon Paper Group, Inc.    4,332


320

   Norske Skogsindustrier ASA    5,424

1,000

   OJI Paper Co.    6,162

880

   Stora Enso Oyj    13,565

260

   Svenska Cellulosa AB    11,447

760

   Upm-Kymmene OYJ    17,989
       
  

TOTAL

   64,425
       
   Personal Products —0.4%   

40

   Beiersdorf AG    5,778

420

   L’Oreal SA    37,062

1,000

   Shiseido Co. Ltd.    18,639
       
  

TOTAL

   61,479
       
   Pharmaceuticals —6.4%   

110

   Altana AG    6,828

800

   Astellas Pharma, Inc.    30,435

2,250

   Astrazeneca PLC    113,486

280

   CSL Ltd.    10,972

400

   Chugai Pharmaceutical Co. Ltd.    7,268

1,000

   Daiichi Sankyo Co. Ltd.    22,852

400

   Eisai Co. Ltd.    17,465

610

   1 Elan Corp. PLC    8,811

8,561

   GlaxoSmithKline PLC    224,090

80

   Merck KGaA    7,616

3,429

   Novartis AG    190,844

360

   Novo-Nordisk AS    22,428

1,037

   Roche Holdings AG    154,517

1,576

   Sanofi-Aventis    150,166

200

   Santen Pharmaceutical Co. Ltd.    4,817

250

   Schering AG    26,033

1,000

   Shionogi & Co. Ltd.    16,435

1,400

   Takeda Pharmaceutical Co. Ltd.    79,952

140

   UCB SA    6,899
       
  

TOTAL

   1,101,914
       
   Private Placement —0.1%   

766

   Boots Group PLC    9,586

0

   Old Mutual PLC    0

240

   YIT OYJ    6,520
       
  

TOTAL

   16,106
       
   Real Estate —2.9%   

230

   Berkeley Group Holdings PLC    4,740

760

   British Land Co. PLC    16,404

620

   Brixton PLC    5,305

7,370

   CFS Gandel Retail Trust    10,296

2,000

   CapitaLand    5,991

2,000

   Cheung Kong Holdings, Ltd.    21,173

110

   Corio NV    7,110

7,960

   DB RREEF Trust    8,383

3,037

   GPT Group    8,986

631

   Hammerson PLC    13,609

3,000

   Hang Lung Properties Ltd.    5,722

1,000

   Henderson Land Development Co. Ltd.    5,541

920

   1 IMMOFINANZ ImmobilIien Anlagen AG    9,559

6,310

   Investa Property Group    9,764

1

   Japan Real Estate Investment Corp.    8,681

1

   Japan Retail Fund Investment Corp.    7,830

60

   Klepierre    7,494

650

   Land Securities Group PLC    21,796

644

   Lend Lease Corp Ltd.    6,387


200

   Leopalace21 Corp.    7,524

579

   Liberty International PLC    11,853

3,000

   1 Link REIT/The    6,495

2,396

   Macquarie Goodm Group    8,548

571

   1 Meinl European Land Ltd.    10,743

133

   Metrovacesa SA    11,317

2,460

   Mirvac Group    7,490

2,000

   Mitsubishi Estate Co. Ltd.    47,491

1,000

   Mitsui Fudosan Co. Ltd.    23,022

4,000

   New World Development Co. Ltd.    7,036

1

   Nippon Building Fund, Inc.    9,277

99

   Rodamco Europe NV    9,956

190

   Sacyr Vallehermoso SA    6,480

2,000

   Sino Land Co.    2,887

840

   Slough Estates PLC    9,745

1,412

   Stockland    6,798

1,000

   Sumitomo Realty & Development Co. Ltd.    27,746

2,000

   Sun Hung Kai Properties Ltd.    20,297

1,000

   Tokyo Tatemono Co. Ltd.    10,928

1,000

   Tokyu Land Corp.    8,954

80

   Unibail    14,469

60

   Wereldhave NV    6,758

2,070

   Westfield Group    25,358

3,000

   Wharf Holdings Ltd.    11,018
       
  

TOTAL

   496,961
       
   Road & Rail —0.9%   

500

   Arriva PLC    5,352

2

   Central Japan Railway Co.    19,745

40

   DSV A/S    5,335

8

   East Japan Railway Co.    59,373

790

   Firstgroup PLC    5,836

1,000

   Keio Corp.    6,613

2,000

   Kintetsu Corp.    7,813

2,500

   MTR Corp.    5,638

290

   National Express Group PLC    4,766

1,000

   Nippon Express Co. Ltd.    5,685

2,180

   Stagecoach Group PLC    4,360

2,000

   Tobu Railway Co. Ltd.    10,537

1,000

   Tokyu Corp.    6,749

3

   West Japan Railway Co.    12,690
       
  

TOTAL

   160,492
       
   Semiconductor Equipment & Products —0.7%   

2,170

   ARM Holdings PLC    5,029

680

   1 ASML Holding NV    13,908

100

   Advantest Corp.    11,941

950

   1 Infineon Technologies AG    9,813

300

   Murata Manufacturing Co. Ltd.    20,350

1,000

   Nikon Corp.    17,958

200

   Seiko Epson Corp.    5,532

910

   STmicroelectronics    16,855

200

   Tokyo Electron Ltd.    13,822
       
  

TOTAL

   115,208
       
   Software —0.7%   

110

   1 Business Objects SA    4,021

90

   Dassault Systemes SA    5,155

200

   Konami Corp.    5,047

1,060

   Misys PLC    4,139


200

   Nintendo Co. Ltd.    29,959

1,910

   Sage Group PLC    9,144

310

   SAP AG    67,357
       
  

TOTAL

   124,822
       
   Specialty Retail —1.0%   

100

   Aoyama Trading Co. Ltd.    3,311

710

   Compagnie Financiere Richemont AG    34,065

2,860

   DSG International PLC    9,177

2,500

   Esprit Holdings Ltd.    19,459

100

   Fast Retailing Co. Ltd.    9,796

480

   Grafton Group PLC    6,310

680

   Hennes & Mauritz AB    24,860

340

   Inditex SA    13,144

1,280

   Kesa Electricals    6,946

3,550

   Kingfisher PLC    14,787

200

   Sega Sammy Holdings, Inc.    8,136

2,870

   Signet Group PLC    5,466

240

   Travis Perkins PLC    6,967

100

   Yamada Denki Co. Ltd.    11,549
       
  

TOTAL

   173,973
       
   Textiles & Apparel —0.6%   

70

   Adidas-Salomon AG    13,866

400

   Bulgari SpA    4,821

30

   Hermes International    7,596

340

   LVMH Moet Hennessy Louis Vuitton SA    33,387

30

   Puma AG Rudolf Dassla Sport    11,378

55

   Swatch Group AG    9,242

330

   Swatch Group AG    11,501

1,000

   Toyobo Co. Ltd.    3,098
       
  

TOTAL

   94,889
       
   Tobacco —0.8%   

440

   Altadis SA    19,761

2,200

   British Amererican Tobacco PLC    53,339

990

   Gallaher Group PLC    14,464

1,020

   Imperial Tobacco Group PLC    30,283

5

   Japan Tobacco, Inc.    17,618

500

   Swedish Match AB    6,855
       
  

TOTAL

   142,320
       
   Trading Companies & Distributors —1.0%   

783

   Bunzl PLC    9,301

910

   Electrocomponents PLC    4,432

1,320

   Hagemeyer NV    6,681

2,000

   Itochu Corp.    17,209

2,000

   Marubeni Corp.    10,485

2,100

   Mitsubishi Corp.    47,900

2,000

   Mitsui & Co. Ltd.    28,971

700

   1 Sojitz Corp.    4,146

2,000

   Sumitomo Corp.    28,529

860

   Wolseley PLC    21,150
       
  

TOTAL

   178,804
       
   Transportation Infrastructure —0.5%   

237

   Abertis Infraestructuras SA    6,153

600

   Associated British Ports Holdings PLC    7,550

520

   Autostrade SpA    12,882

1,570

   BAA PLC    22,637

850

   BBA Group PLC    4,150

830

   Brisa-Auto Estrada de Portugal SA    8,180


510

   Cintra Concesiones de Infraestructuras de Transporte SA      6,630

3,970

   Macquarie Infrastructure Group      10,836

60

   Societe Des Autoruutes Paris-Rhin-Rhone      4,450

1,510

   Transurban Group      7,291
         
  

TOTAL

     90,759
         
   Water Utilities —0.1%   

630

   Kelda Group PLC      8,640

560

   Severn Trent PLC      10,879
         
  

TOTAL

     19,519
         
   Wireless Telecommunication Service —1.6%   

270

   Bouygues      14,371

200

   Cosmote Mobile Telecommunications SA      4,637

4

   KDDI Corp.      21,414

27

   NTT Docomo, Inc.      39,985

92,920

   Vodafone Group PLC      194,742
         
  

TOTAL

     275,149
         
  

TOTAL COMMON STOCKS (IDENTIFIED COST $15,500,164)

     16,414,710
         
   PREFERRED STOCK —0.0%   

100

   Schindler Holdings AG (IDENTIFIED COST $4,136)      5,335
         
   RIGHTS/WARRANTS —0.0%   

160

   Syngenta AG      201

230

   Vinci SA      494
         
  

TOTAL RIGHTS/WARRANTS (IDENTIFIED COST $155)

     695
         
   U.S. TREASURY—3.0%   

$515,000

   2 United StatesTreasury Bills, 4.40%, 6/8/2006 (IDENTIFIED COST $510,720)      510,720
         
   MUTUAL FUND—0.8%   

130,611

   Aim Prime Fund (AT NET ASSET VALUE)      130,611
         
  

TOTAL INVESTMENTS—98.7%

(IDENTIFIED COST $16,145,786)

     17,062,071
         
  

OTHER ASSETS AND LIABILITIES—NET—1.3%

     229,318
         
  

TOTAL NET ASSETS—100%

   $ 17,291,389
         

1 Non-income producing security.
2 Pledged as collateral to ensure the Fund is able to satisfy the obligations of its outstanding long futures contracts.

The categories of investments are shown as a percentage of total net assets at March 31, 2006.

Investment Valuation

Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern Standard Time) on the valuation date and, in general, as furnished by an independent pricing service. Equity securities are valued at the latest quoted sales price or official closing price taken from the primary market in which each security trades; those securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Fixed-income instruments (other than short-term instruments) are generally valued at an evaluated mean price (which utilizes both dealer-supplied valuations and electronic data processing techniques which consider such factors as security prices, yields, maturities, and ratings) as reported by an independent pricing service. Short-term instruments with a maturity at issuance of 365 days or less are generally valued at amortized cost. Foreign securities quoted in foreign currencies are translated into U.S. dollars based upon exchange rates prevailing at the close of trading and as provided by an independent source. Open-end investment companies are generally valued at their net asset value per share. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

At March 31, 2006, the cost of investments for federal tax purposes was $16,145,786. The net unrealized appreciation of investments for federal tax purposes excluding any unrealized appreciation/depreciation resulting from changes in foreign currency exchange rates and any unrealized appreciation/depreciation from futures contracts was $916,285. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $1,111,179 and net unrealized depreciation from investments for those securities having an excess of cost over value of $194,894.

At March 31, 2006, the Fund had the following outstanding futures contracts:

 

Contracts

   Number of
Contracts
  

Notional

Value

   Expiration
Date
   Unrealized Appreciation
(Depreciation)
 

DJ Euro Stoxx 50 Index Futures

   4    $ 184,303    June 2006    $ 283  

FTSE 100 Index Futures

   2    $ 207,667    June 2006    $ (475 )

Topix Index Futures

   1    $ 147,028    June 2006    $ 9,772  

Futures contracts are valued at the last sale at the market close or at the mean between the bid and asked price if last sale is not available.

Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.


AARP PORTFOLIOS

U.S. BOND MARKET PORTFOLIO

PORTFOLIO OF INVESTMENTS

March 31, 2006 (unaudited)

 

Shares or

Principal

Amount

        Value
   MORTGAGE PASS-THROUGH—33.7%   
   Federal Home Loan Mortgage Corporation—10.6%   
$50,000    Federal Home Loan Mortgage Corp., 5.250%, 2/24/2011    $ 49,811
100,000    Pool A43544, 6.000%, 3/1/2036      100,094
649,935    Pool A43737, 5.500%, 3/1/2036      634,838
149,985    Pool A44159, 4.500%, 3/1/2036      138,346
293,588    Pool A46611, 5.000%, 8/1/2035      279,500
256,357    Pool A47388, 5.000%, 10/1/2035      244,056
489,502    Pool G18052, 4.500%, 5/1/2020      467,506
300,000    TBA Apr 30 Gold Single, 6.000%, 12/1/2099      300,117
         
  

TOTAL

     2,214,268
         
   Federal National Mortgage Association—19.3%   
248,153    Pool 826572, 5.500%, 7/1/2020      246,800
495,641    Pool 878712, 5.000%, 12/1/2020      483,572
247,957    Pool 827704, 4.000%, 1/1/2021      231,983
166,896    Pool 726212, 5.500%, 7/1/2033      163,288
134,314    Pool 555679, 5.000%, 8/1/2033      128,272
503,262    Pool 555800, 5.500%, 10/1/2033      492,382
148,583    Pool 796197, 5.500%, 11/1/2034      145,295
521,947    Pool 796284, 5.500%, 12/1/2034      497,948
500,049    Pool 845409, 6.000%, 1/1/2036      500,383
283,354    Pool 745155, 6.500%, 1/1/2036      289,205
300,000    TBA Apr 30 Single Family, 5.000%, 12/1/2099      285,563
300,000    TBA Apr 30 Single Family, 5.500%, 12/1/2099      292,781
300,000    TBA Apr 30 Single Family, 6.500%, 12/1/2099      305,977
         
  

TOTAL

     4,063,449
         
   Government National Mortgage Association—3.8%   
250,000    TBA Apr 30 Single Family, 5.000%, 12/2/2066      242,188
250,000    TBA Apr 30 Single Family, 5.500%, 12/1/2099      247,578
300,000    TBA Apr 30 Single Family, 6.000%, 12/1/2099      303,422
         
  

TOTAL

     793,188
         
  

TOTAL MORTAGE PASS-THROUGH (IDENTIFIED COST $7,146,095)

     7,070,905
         
   U.S. TREASURY—21.6%   
   U.S. Treasury Bonds—8.0%   
75,000    4.500%, 2/15/2036      70,395
40,000    6.125%, 8/15/2029      45,872
200,000    6.750%, 8/15/2026      242,297
245,000    6.875%, 8/15/2025      299,149
100,000    7.250%, 5/15/2016      118,297
100,000    7.500%, 11/15/2016      120,867
220,000    8.000%, 11/15/2021      289,060
80,000    8.500%, 2/15/2020      107,313
100,000    8.875%, 8/15/2017      133,555
110,000    9.250%, 2/15/2016      146,953
100,000    10.375%, 11/15/2012      108,496
         
  

TOTAL

     1,682,254
         


   U.S. Treasury Notes—13.6%   

190,000

   2.750%, 8/15/2007    184,753

100,000

   3.000%, 11/15/2007    97,164

200,000

   3.250%, 8/15/2007    195,813

150,000

   3.375%, 12/15/2008    144,592

300,000

   3.500%, 5/31/2007    295,488

325,000

   3.875%, 2/15/2013    306,541

300,000

   3.875%, 9/15/2010    288,668

250,000

   4.000%, 3/15/2010    242,705

100,000

   4.250%, 1/15/2011    97,551

60,000

   4.250%, 11/15/2014    57,366

350,000

   4.375%, 11/15/2008    346,117

200,000

   4.375%, 11/31/2007    198,469

200,000

   4.375%, 12/15/2010    196,242

160,000

   4.500%, 11/15/2010    157,900

50,000

   4.875%, 2/15/2012    50,094
       
  

TOTAL

   2,859,463
       
   TOTAL U.S. TREASURY (IDENTIFIED COST $4,622,206)    4,541,717
       
   CORPORATE BONDS—19.1%   
   Electric & Gas—1.7%   

10,000

   Appalachian Power Co., 5.00%, 6/1/2017    9,250

10,000

   Carolina Power & Light Co., 5.125%, 9/15/2013    9,715

50,000

   Commonwealth Edison Co., 3.70%, 2/1/2008    48,515

25,000

   Commonwealth Edison Co., 5.90%, 3/15/2036    23,895

15,000

   Dominion Resources Inc., 5.15%, 7/15/2015    14,115

25,000

   Exelon Corp., 4.45%, 6/15/2010    23,891

15,000

   Exelon Corp., 5.625%, 6/15/2035    13,660

20,000

   Firstenergy Corp., 7.375%, 11/15/2031    22,283

25,000

   Firstenergy Corp., 6.45%, 11/15/2011    25,899

25,000

   Oneok Inc., 5.20%, 6/15/2015    23,809

50,000

   Pacific Gas & Electric Co., 3.60%, 3/1/2009    47,582

15,000

   Pacific Gas & Electric Co., 6.05%, 3/1/2034    14,727

25,000

   1 Pepco Holdings Inc., 5.50%, 8/15/2007    25,011

25,000

   Sempra Energy, 7.95%, 3/1/2010    27,023

25,000

   XTO Energy Inc., 6.10%, 4/1/2036    24,412
       
  

TOTAL

   353,787
       
   Finance—9.8%   

25,000

   Abbey National PLC, 7.95%, 10/26/2029    30,750

20,000

   American General Finance Corp., MTN, 5.40%, 12/1/2015    19,401

25,000

   Archstone-Smith, 5.75%, 3/15/2016    24,855

100,000

   Bank of New York, 5.05%,3/3/2009    99,275

25,000

   Bank One Corp., 4.125%, 9/1/2007    24,596

30,000

   Bear Stearns & Co Inc., 5.30%, 10/30/2015    29,057

10,000

   1 Berkshire Hathaway Finance Corp., 4.85%, 1/15/2015    9,536

10,000

   Chubb Corporation, 6.00%, 11/15/2011    10,210

10,000

   Cincinnati Financial Corp., 6.92%, 5/15/2028    10,749

25,000

   CIT Group Inc., 5.00%, 2/1/2015    23,660

100,000

   Citigroup Inc., 4.125%, 2/22/2010    95,763

100,000

   1 Citigroup Inc., 5.00%, 9/15/2014    95,872

50,000

   Countrywide Financial Corp., 4.50%, 6/15/2010    47,941

25,000

   Countrywide Home Loan Inc., MTN, 5.625%, 5/15/2007    25,081

100,000

   Credit Suisse First Boston USA, 5.125%, 8/15/2015    95,857

25,000

   Credit Suisse First Boston USA, 5.75%, 4/15/2007    25,121

50,000

   Credit Suisse USA Inc, 5.25%, 3/2/2011    49,482

50,000

   European Investment Bank, 4.500%, 2/17/2009    49,337


20,000

   General Electric Cap Corp., MTN, 3.50%, 5/1/2008    19,333

30,000

   General Electric Cap Corp., MTN, 5.00%, 6/15/2007    29,930

50,000

   General Electric Cap Corp., MTN, 5.875%, 2/15/2012    51,144

10,000

   Genworth Financial Inc., 4.75%, 6/15/2009    9,820

15,000

   Goldman Sachs Capital I, 6.345%, 2/15/2034    14,923

50,000

   Goldman Sachs Group Inc., 6.875%, 1/15/2011    52,834

10,000

   Goldman Sachs Group Inc., 7.80%, 1/28/2010    10,796

100,000

   Household Finance Corp., 4.125%, 12/15/2008    97,016

25,000

   Istar Financial Inc., 5.65%, 9/15/2011    24,687

50,000

   John Deer Capital Corporation MTN Bank, 4.875%, 3/16/2009    49,386

100,000

   JP Morgan Chase & Co.    105,249

25,000

   JP Morgan Chase Capital XV, 5.875%, 3/15/2035    23,444

25,000

   Lehman Brothers Holdings Inc., 3.50%, 8/7/2008    24,035

25,000

   Lehman Brothers Holdings Inc., 7.875%, 8/15/2010    27,330

50,000

   Lehman Brothers Holdings Inc., 5.50%, 4/4/2016    49,110

25,000

   Marsh & Mclennan Cos. Inc., 7.125%, 6/15/2009    26,018

50,000

   Marshall & Ilsley Corporation, 5.36%, 4/1/2011    49,815

35,000

   Merrill Lynch & Co Inc., 4.25%, 9/14/2007    34,495

10,000

   Metlife Inc., 5.70%, 6/15/2035    9,455

10,000

   Metlife Inc., 6.125%, 12/1/2011    10,327

40,000

   Morgan Stanley, 5.375%, 10/15/2015    38,814

100,000

   Oesterreichische Kontrollbank, 4.875%, 2/16/2016    97,608

100,000

   Principal Life Income Funding Trust, 5.125%, 3/1/2011    98,792

25,000

   1 Simon Property Group L.P., 5.10%, 6/15/2015    23,690

20,000

   Transatlantic Holdings Inc., 5.75%, 12/14/2015    19,714

25,000

   Vornado Realty L.P., 5.60%, 2/15/2011    24,802

25,000

   Wachovia Bank NA, 4.85%, 7/30/2007    24,868

50,000

   Wachovia Bank NA, 4.875%, 2/1/2015    47,250

100,000

   Washington Mutual Bank Chatsworth, 5.50%, 1/15/2013    98,973

100,000

   Wells Fargo & Company, 3.50%, 4/4/2008    96,819
       
  

TOTAL

   2,057,020
       
   Industrial—7.4%   

25,000

   Alcoa Inc, 7.375%, 8/1/2010    26,813

20,000

   Alltel Corp, 6.80%, 5/1/2029    20,890

25,000

   Amerada Hess Corp., 7.30%, 8/15/2031    27,920

10,000

   1 Amerisourcebergen Corp., 5.875%, 9/15/2015    9,886

25,000

   Ameritech Capital Funding Corp., 6.15%, 1/15/2008    25,231

20,000

   Ameritech Capital Funding Corp., 6.55%, 1/15/2028    19,600

25,000

   Archer Daniels-Midland, 7.00%, 2/1/2031    27,942

50,000

   Archer Daniels-Midland, 8.875%, 4/15/2011    57,311

10,000

   1 Baxter International Inc., 4.625%, 3/15/2015    9,238

10,000

   Caterpillar Inc., 6.625%, 7/15/2028    10,977

100,000

   Cisco Systems Inc., 5.25%, 2/22/2011    99,252

10,000

   Clear Channel Communications, 5.50%, 9/15/2014    9,255

50,000

   Comcast Corp, 5.90%, 3/15/2016    49,125

25,000

   Comcast Corp, 6.45%, 3/15/2037    24,134

50,000

   Dow Chemical Co., 6.00%, 10/1/2012    51,266

15,000

   Duke Capital Corp., 5.50%, 3/1/2014    14,690

50,000

   Dun & Bradstreet Corp., 5.50%, 3/15/2011    49,753

25,000

   1 Electronic Data Systems Corp., 6.50%, 8/1/2013    25,460

25,000

   Encana Corp., 4.75%, 10/15/2013    23,772

50,000

   1 Enterprise Products Operating L.P., 4.625%, 10/15/2009    48,357

10,000

   1 Enterprise Products Operating L.P., 6.875%, 3/1/2033    10,248

25,000

   1 Harrahs Operating Co. Inc., 5.50%, 7/1/2010    24,770

25,000

   1 HJ Heinz Finance Co., 6.00%, 3/15/2012    24,969

25,000

   Honeywell International Inc., 5.40%, 3/15/2016    24,725


25,000

   Honeywell International Inc., 5.70%, 3/15/2036    24,386

50,000

   Honeywell International Inc., 7.50%, 3/1/2010    53,713

10,000

   Johnson & Johnson, 4.95%, 5/15/2033    9,157

25,000

   Kinder Morgan Energy Partners, 5.00%, 12/15/2013    23,714

25,000

   1 Kinder Morgan Inc., 6.50%, 9/1/2012    25,898

25,000

   Lockheed Martin Corp., 7.75%, 5/1/2026    29,886

25,000

   1 May Department Stores Co., 6.70%, 7/15/2034    25,493

25,000

   Murphy Oil Corp, 6.375%, 5/1/2012    25,977

10,000

   News America Holdings Inc., 9.25%, 2/1/2013    11,808

25,000

   Noranda Inc., 5.50%, 6/15/2017    23,168

10,000

   Norfolk Southern Corp., 7.70%, 5/15/2017    11,606

15,000

   Norfolk Southern Corp., 7.80%, 5/15/2027    18,051

50,000

   1 Oracle Corp / Ozark Holding Inc., 5.25%, 1/15/2016    48,055

25,000

   Petro-Canada, 7.00%, 11/15/2028    26,849

50,000

   Prologis, 5.50%, 4/1/2012    49,481

25,000

   Raytheon Co., 6.55%, 3/15/2010    25,942

50,000

   Sabre Holdings Corp., 6.35%, 3/15/2016    48,653

40,000

   Sprint Capital Corp., 7.625%, 1/30/2011    43,304

10,000

   Teva Pharmaceutical Finance Co., LLC, 5.55%, 2/1/2016    9,664

10,000

   Teva Pharmaceutical Finance Co., LLC, 6.15%, 2/1/2036    9,456

25,000

   1 Tyco International Group SA, 6.00%, 11/15/2013    25,152

50,000

   UnitedHealth Group Inc., 5.25%, 3/15/2011    49,642

25,000

   Valero Energy Corp., 7.50%, 4/15/2032    28,831

30,000

   Verizon New England Inc., 6.50%, 9/15/2011    30,491

50,000

   Wal-Mart Stores Inc., 4.125%, 7/1/2010    47,797

25,000

   1 Waste Management Inc., 6.375%, 11/15/2012    25,999

50,000

   1 Weyerhaeuser Co., 7.375%, 3/15/2032    53,550

25,000

   1 Wyeth, 5.50%, 2/15/2016    24,597
       
  

TOTAL

   1,545,904
       
   Telephone—0.2%   

30,000

   Bellsouth Corp., 5.20%, 9/15/2014    28,739

10,000

   Bellsouth Corp., 6.00%, 11/15/2034    9,357

10,000

   Verizon Global Funding Corp., 5.85%, 9/15/2035    8,999
       
  

TOTAL

   47,095
       
  

TOTAL CORPORATE BONDS (IDENTIFIED COST $4,077,388)

   4,003,806
       
   GOVERNMENT AGENCIES—11.8%   

550,000

   Federal Home Loan Bank, 4.625%, 11/21/2008    544,296

100,000

   Federal Home Loan Banks, 3.375%, 9/14/2007    97,678

100,000

   Federal Home Loan Banks, 4.125%, 10/19/2007    98,595

500,000

   Federal Home Loan Corp., 4.375%, 11/16/2007    494,572

200,000

   Federal Home Loan Mortgage Corp., 4.750%, 11/17/2015    193,621

30,000

   Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032    33,991

100,000

   Federal National Mortgage Association., 4.250%, 9/15/2007    98,841

550,000

   Federal National Mortgage Association., 4.750%, 12/15/2010    541,188

25,000

   Federal National Mortgage Association, 5.800%, 2/9/2026    24,516

35,000

   Federal National Mortgage Association, 7.250%, 5/15/2030    44,087

25,000

   Financing Corp., 9.650%, 11/2/2018    34,737

50,000

   Freddie Mac, 5.270%, 4/7/2010    49,882

150,000

   Republic of Italy, 4.000%, 6/16/2008    146,523

25,000

   Republic of Korea, 4.875%, 9/22/2014    23,852

25,000

   Tennessee Valley Authority, 6.750%, 11/1/2025    29,290

20,000

   United Mexican Sts., 6.675%, 9/27/2034    20,700
       
  

TOTAL GOVERNMENT AGENCIES (IDENTIFIED COST $2,510,364)

   2,476,369
       
   COMMERCIAL PAPER—3.8%2   

303,000

   Atlantic Asset Securitization, 4.80%, 4/4/2006    302,879


500,000

   Charta Corp., Yrs 1&2, 4.77%, 4/20/2006    498,741
       
  

TOTAL COMMERCIAL PAPER (IDENTIFIED COST $801,620)

   801,620
       
   YANKEE—3.6%   
   Canadian—0.4%   

25,000

   Nexen Inc., 5.875%, 3/10/2035    23,382

50,000

   Quebec Province Canada, 4.60%, 5/26/2015    47,289

10,000

   Quebec Province Canada, 7.50%, 9/15/2029    12,467
       
  

TOTAL

   83,138
       
   Other Yankee—2.6%   

15,000

   1 America Movil SA de CV, 5.75%, 1/15/2015    14,572

50,000

   British Telecommunications PLC, 8.375%, 12/15/2010    55,824

25,000

   Deutsche Telekom International Finance BV, 8.25%, 6/15/2030    29,992

25,000

   Export Import Bank Korea, 5.125%, 2/14/2011    24,555

25,000

   Hydro Quebec, 6.30%, 5/11/2011    26,090

100,000

   Landwirtschaftliche Rentenbank, 4.875%, 2/14/2011    98,694

100,000

   Landwirtschaftliche Rentenbank, 5.16%, 2/27/2009    99,623

100,000

   Republic of Korea., 5.625%, 6/15/2012    101,969

50,000

   Swedish Export Credit, 4.625%, 2/17/2009    49,306

25,000

   United Mexican Systems MTN., 6.625%, 3/3/2015    26,150

25,000

   Weatherford International Inc., 5.50%, 2/15/2016    24,560
       
  

TOTAL

   551,335
       
   Supranational—0.6%   

50,000

   African Development Bank    48,090

50,000

   European Investment Bank, 4.125%, 9/15/2010    48,099

25,000

   International Bank for Reconstruction and Development, 7.625%, 1/19/2023    31,515
       
  

TOTAL

   127,704
       
  

TOTAL YANKEE (IDENTIFIED COST $775,989)

   762,177
       
   COLLATERALIZED MORTGAGE OBLIGATIONS—2.5%   
   Whole Loan—2.5%   

20,000

   Banc of America Commercial Mortgage Inc., 5.23%, 10/10/2045    19,758

40,000

   Bear Stearns Commercial Mortgage Securities Inc., 4.74%, 3/13/2040    38,281

20,000

   Credit Suisse First Boston Mortgage, 4.73%, 7/15/2037    18,736

35,000

   Credit Suisse First Boston Mortgage, 5.416%, 5/15/2036    34,509

15,000

   Greenwich Capital Commercial Funding Corp., 5.224%, 4/10/2037    14,615

15,000

   GS Mortgage Securities Corporation II, 4.761%, 7/10/2039    14,146

20,000

   JP Morgan Chase Commercial Mortgage Securities, 5.038%, 3/15/2046    19,249

15,000

   JP Morgan Chase Commercial Mortgage Securities, 4.999%, 10/15/2042    14,317

35,000

   JP Morgan Chase Commercial Mortgage Securities, 4.959%, 8/15/2042    33,920

48,687

   LB-UBS Commercial Mortgage Trust, 5.018%, 2/15/2031    48,491

25,000

   LB-UBS Commercial Mortgage Trust, 5.084%, 2/15/2031    24,699

20,000

   LB-UBS Commercial Mortgage Trust, 5.139%, 2/15/2031    19,587

20,000

   LB-UBS Commercial Mortgage Trust, 5.207%, 2/15/2031    19,602

15,000

   Wachovia Bank Commercial Mortgage Trust, 4.516%, 5/15/2044    14,473

100,000

   Wachovia Bank Commercial Mortgage Trust, 5.203%, 1/15/2045    99,655

50,000

   Wachovia Bank Commercial Mortgage Trust, 5.416%, 1/15/2045    49,937

50,000

   Wachovia Bank Commercial Mortgage Trust, 5.515%, 1/15/2045    49,252
       
  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(IDENTIFIED COST $543,227)

   533,227
       
   COLLATERALIZED MORTGAGE-BACKED SECURITIES—2.2%   

25,000

   Chase Commercial Mortgage Securities Corp., 7.319%, 10/15/2032    26,692

9,482

   Credit Suisse First Boston, 6.48%, 5/17/2040    9,679

25,000

   CS First Boston Mortgage Securities Corp., 6.387%, 8/15/2036    26,068

150,000

   GE Capital Commercial Mortgage Corporation, 5.189%, 7/10/2039    146,124

25,000

   GMAC Commercial Mortgage Securities Inc., 6.465, 4/15/2034    26,109

20,000

   GMAC Commercial Mortgage Securities Inc., 6.957, 9/15/2035    21,184


20,000

   JP Morgan Chase Commercial Mortgage Securities, 4.879%, 1/12/2038      19,182

150,000

   Morgan Stanley Capital I Inc., 7.060%, 6/3/2030      154,759

24,024

   Salomon Brothers Mortgage Securities VII, 7.455%, 7/18/2033      25,430
         
  

TOTAL COLLATERALIZED MORTGAGE-BACKED SECURITIES (IDENTIFIED COST

$459,748)

     455,227
         
   ASSET-BACKED SECURITIES—0.9%   
   Credit Card—0.2%   

15,000

   Citibank Credit Card Issuance Trust, 4.75%, 12/10/2015      14,404

25,000

   MBNA Master Credit Card Trust, 5.90%, 8/15/2011      25,530
         
  

TOTAL

     39,934
         
   Home Equity Loan—0.1%   

25,000

   Residential Asset Securities Mortgage Pass, 3.87%, 5/25/2033      23,587
         
   Other Asset-Backed—0.6%   

20,000

   Citibank Credit Card Issuance Trust, 3.20%, 8/24/2009      19,461

20,000

   CWABS Inc., 4.454%, 11/25/2035      19,766

25,000

   Detroit Edison Securitization Funding LLC, 6.19%, 3/1/2013      25,806

25,000

   Ford Credit Auto Owner Trust, 3.54%, 11/15/2008      24,447

25,000

   Nissan Auto Receivables Owner Trust, 4.74%, 9/15/2009      24,822

10,000

   PSE & G Transition Funding LLC, 6.75%, 6/15/2016      10,874
         
  

TOTAL

     125,176
         
  

TOTAL ASSET-BACKED SECURITIES (IDENTIFIED COST $191,038)

     188,697
         
   MUNICIPAL—0.1%   

25,000

   Illinois St., 5.10%, 6/1/2033 (IDENTIFIED COST $24,431)      23,378
         
   MUTUAL FUND—0.3%   

69,529

   Aim Prime Fund (AT NET ASSET VALUE)      69,529
         
  

TOTAL INVESTMENTS — 99.6%

(IDENTIFIED COST $21,221,635)

     20,926,652
         
  

OTHER ASSETS AND LIABILITIES — NET — 0.4%

     86,995
         
  

TOTAL NET ASSETS — 100%

   $ 21,013,647
         

1 Denotes a restricted security, including securities purchased under Rule 144A of the Securities Act of 1933. These securities, all of which have been deemed liquid by criteria approved by the Fund’s Board of Trustees, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. At March 31, 2006, these securities amounted to $ 550,353 which represents 2.6% of total net assets.
2 These issues show the rate of discount at the time of purchase for discount issues, or the coupon for interest-bearing issues.

The categories of investments are shown as a percentage of total net assets at March 31, 2006.

Investment Valuation

Securities are valued as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern Standard Time) on the valuation date and, in general, as furnished by an independent pricing service. Equity securities are valued at the latest quoted sales price or official closing price taken from the primary market in which each security trades; those securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Fixed-income instruments (other than short-term instruments) are generally valued at an evaluated mean price (which utilizes both dealer-supplied valuations and electronic data processing techniques which consider such factors as security prices, yields, maturities, and ratings) as reported by an independent pricing service. Short-term instruments with a maturity at issuance of 365 days or less are generally valued at amortized cost. Foreign securities quoted in foreign currencies are translated into U.S. dollars based upon exchange rates prevailing at the close of trading and as provided by an independent source. Open-end investment companies are generally valued at their net asset value per share. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

At March 31, 2006, the cost of investments for federal tax purposes was $21,221,635. The net unrealized depreciation of investments for federal tax purposes was $294,983. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $299 and net unrealized depreciation from investments for those securities having an excess of cost over value of $295,282.

The following acronyms are used throughout this portfolio:

 

MTN    —Medium Term Note
TBA    —To be Announced


Item 2. Controls and Procedures.

(a) Within 90 days of the filing date of this Form N-Q, Larry Renfro, the registrant’s President and Principal Executive Officer, and Richard Hisey, the registrant’s Treasurer and Principal Financial Officer, reviewed the registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) of the Investment Company Act of 1940 (the “Procedures”) and evaluated their effectiveness. Based on their review, Mr. Renfro and Mr. Hisey determined that the Procedures adequately ensure that information required to be disclosed by the registrant in reports on Form N-Q filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods required by the Securities and Exchange Commission.

(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

The certifications required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) 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.

 

AARP PORTFOLIOS
By:  

/s/ Larry Renfro

  Larry Renfro
  President and Principal Executive Officer

Date: May 23, 2006

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:  

/s/ Larry Renfro

  Larry Renfro
  President and Principal Executive Officer

Date: May 23, 2006

 

By:  

/s/ Richard Hisey

  Richard Hisey
  Treasurer and Principal Financial Officer

Date: May 23, 2006

EX-99.(CERT) 2 dex99cert.htm CERTIFICATIONS Certifications

I, Larry Renfro, President and Principal Executive Officer of AARP Portfolios, certify that:

 

1. I have reviewed this report on Form N-Q of AARP Portfolios;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedule of investments included in this report, fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 23, 2006

 

By:  

/s/ Larry Renfro

  Larry Renfro
  President and Principal Executive Officer


I, Richard Hisey, Treasurer and Principal Financial Officer of AARP Portfolios, certify that:

 

1. I have reviewed this report on Form N-Q of AARP Portfolios;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedule of investments included in this report, fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: May 23, 2006

 

By:  

/s/ Richard Hisey

  Richard Hisey
  Treasurer and Principal Financial Officer
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