Penn Series Funds, Inc.

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

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


	Par (000)		Value†
COMMERCIAL PAPER — 53.5%
Aerospace & Defense — 1.4%
Honeywell International, Inc. 0.250%, 09/25/12	$	2,000	$	1,997,542

Beverages — 0.7%
Brown Forman Corp. 0.150%, 04/20/12		1,000		999,921

Chemicals — 0.7%
E.I. Du Pont de Nemours & Co. 0.160%, 04/12/12		1,000		999,951

Diversified Financial Services — 32.0%
AllianceBernstein LP 0.180%, 04/02/12		4,300		4,299,979
BHP Finance USA 0.130%, 04/26/12		615		614,944
0.150%, 05/03/12		1,600		1,599,787
BP Capital Markets Plc 0.250%, 05/14/12		800		799,761
0.210%, 06/07/12		3,200		3,198,749
Covidien International Finance S.A. 0.320%, 04/02/12		4,100		4,099,964
0.310%, 05/03/12		2,700		2,699,256
ENI Finance USA, Inc. 0.450%, 04/02/12		2,000		1,999,975
Novartis Finance Corp. 0.110%, 04/12/12		2,000		1,999,933
0.180%, 06/11/12		1,800		1,799,361
0.160%, 06/15/12		2,000		1,999,333
Queensland Treasury Corp. 0.330%, 05/07/12		2,500		2,499,175
0.340%, 05/07/12		1,000		999,660
Reckitt & Benckiser Treasury Services Plc 0.550%, 06/01/12		5,000		4,995,340
0.650%, 09/06/12		1,150		1,146,719
Toyota Motor Credit Corp. 0.390%, 06/07/12		4,000		3,997,097
Unilever Capital Corp. 0.160%, 06/07/12		2,400		2,399,285
WGL Holdings, Inc. 0.170%, 04/02/12		3,700		3,699,983

				44,848,301

Electric — 8.7%
Florida Power & Light Co. 0.210%, 04/03/12		5,700		5,699,933
GDF Suez S.A. 0.220%, 04/24/12		1,100		1,099,845
0.220%, 04/30/12		1,800		1,799,681
IDACORP, Inc. 0.500%, 04/20/12		600		599,842
NextEra Energy, Inc. 0.440%, 04/09/12		700		699,932
Northstar 0.160%, 04/03/12		1,500		1,499,987


	Par (000)		Value†

Electric — (continued)
Pacific Gas & Electric Co. 0.410%, 04/16/12	$	700	$	699,880

				12,099,100

Food — 3.2%
Campbell Soup Co. 0.150%, 05/17/12		4,500		4,499,137

Healthcare — 0.5%
Cigna Corp. 0.430%, 04/12/12		700		699,908

Household Products & Wares — 0.5%
Clorox Co. 0.420%, 04/25/12		700		699,804

Oil & Gas — 3.4%
Kinder Morgan Energy Partners LP 0.400%, 04/04/12		700		699,977
Koch Resources LLC 0.200%, 05/02/12		4,000		3,999,311

				4,699,288

Telecommunications — 2.4%
Telstra Corp. Ltd. 0.200%, 04/16/12		2,000		1,999,833
0.220%, 04/16/12		1,400		1,399,872

				3,399,705

TOTAL COMMERCIAL PAPER (Cost $74,942,657)				74,942,657

FOREIGN GOVERNMENT SECURITIES — 1.1%
Province of Ontario 5.125%, 07/17/12 (Cost $1,538,966)		1,518		1,538,300

MUNICIPAL NOTES — 43.9%
California Housing Finance Agency 0.160%, 08/01/36•		2,000		2,000,000
City of Minneapolis 0.200%, 12/01/27•		2,290		2,290,000
Colorado Housing & Finance Authority 0.150%, 05/01/22•		2,600		2,600,000
0.140%, 10/01/30•		2,800		2,800,000
0.180%, 04/01/43•		1,325		1,325,000
Idaho Housing & Finance Association 0.180%, 01/01/38•		4,000		4,000,000
0.200%, 01/01/40•		4,240		4,240,000
Iowa Finance Authority 0.190%, 07/01/34•		1,405		1,405,000
0.190%, 01/01/39•		2,300		2,300,000
Kansas State Department of Transportation 0.180%, 09/01/22•		3,100		3,100,000
Michigan State Housing Development Authority 0.170%, 06/01/39•		7,600		7,600,000


	Par (000)		Value†
MUNICIPAL NOTES — (continued)
Minnesota Housing Finance Agency 0.190%, 07/01/36•	$	4,000	$	4,000,000
Pennsylvania Turnpike Commission 0.170%, 07/15/41•		5,000		5,000,000
South Dakota Housing Development Authority 0.210%, 05/01/39•		5,000		5,000,000
State of Texas 0.220%, 12/01/29•		4,000		4,000,000
Triborough Bridge & Tunnel Authority 0.250%, 01/01/19•		3,000		3,000,000
Wisconsin Housing & Economic Development Authority 0.170%, 09/01/22•		4,000		4,000,000
0.300%, 05/01/34•		2,905		2,905,000

TOTAL MUNICIPAL NOTES (Cost $61,565,000)				61,565,000


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 1.5%
BlackRock Liquidity Funds MuniFund Portfolio - Institutional Shares		1		1
BlackRock Liquidity Funds TempFund - Institutional Shares		1		1
Federated Prime Obligations Fund - Class I		1		1
Fidelity Institutional Prime Money Market Portfolio		2,078,093		2,078,093
Fidelity Institutional Prime Money Market Portfolio - Class I		1		1
Wells Fargo Advantage Heritage Money Market Fund - Institutional Class		1		1
Wells Fargo Advantage Municipal Cash Management Money Market Fund - Institutional Class		1		1

TOTAL SHORT-TERM INVESTMENTS (Cost $2,078,099)				2,078,099

TOTAL INVESTMENTS — 100.0% (Cost $140,124,722)			$	140,124,056

†	See Security Valuation Note.

•	Variable Rate Security.

LLC — Limited Liability Company.

LP — Limited Partnership.

Plc — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMERCIAL PAPER	$	74,942,657	$	—	$	74,942,657	$	—
MUNICIPAL NOTES		61,565,000		—		61,565,000
FOREIGN GOVERNMENT SECURITIES		1,538,300		—		1,538,300		—
SHORT-TERM INVESTMENTS		2,078,099		2,078,099		—		—

TOTAL INVESTMENTS	$	140,124,056		2,078,099	$	138,045,957		—

It is the Fund’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period. The Fund did not have any transfers in and transfers out of the level 2 or level 3 fair value hierarchies during the reporting period.


	Par (000)		Value†
AGENCY OBLIGATIONS — 11.3%
Federal Home Loan Mortgage Corporation — 1.2%
1.375%, 02/25/14	$	2,000	$	2,042,284

Federal National Mortgage Association — 10.1%
0.375%, 12/28/12		6,700		6,711,638
0.500%, 08/09/13		2,000		2,005,068
1.000%, 09/23/13		2,000		2,018,908
0.750%, 12/18/13		7,000		7,048,307

				17,783,921

TOTAL AGENCY OBLIGATIONS (Cost $19,678,855)				19,826,205

ASSET BACKED SECURITIES — 5.0%
Cabela’s Master Credit Card Trust 0.773%, 02/18/20@,•		3,000		3,007,301
Centerpoint Energy Transition Bond Co. LLC 0.901%, 04/15/18		1,000		1,000,412
Chase Issuance Trust 0.492%, 04/15/19•		2,398		2,314,477
Conseco Financial Corp. 7.650%, 04/15/19		75		79,155
Enterprise Mortgage Acceptance Co. LLC 144A 7.649%, 01/15/27@,•,~		495		393,604
Equity One ABS, Inc. 4.145%, 04/25/34		14		13,603	•
GE Capital Credit Card Master Note Trust 1.092%, 09/15/16•		1,400		1,404,717
Popular ABS Mortgage Pass-Through Trust 4.628%, 09/25/34•		18		17,649
SACO I, Inc. 144A 1.142%, 06/25/35@,•		524		433,464

TOTAL ASSET BACKED SECURITIES (Cost $8,837,077)				8,664,382

COMMERCIAL MORTGAGE BACKED SECURITIES — 1.3%
Bear Stearns Commercial Mortgage Securities 5.404%, 03/11/39•		1,030		1,029,838
Federal Express Corp. 2012 Pass Through Trust 144A 2.625%, 01/15/18@		1,000		996,830
JPMorgan Chase Commercial Mortgage Securities Corp. 4.545%, 01/15/42		317		317,137

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $2,344,552)				2,343,805

CORPORATE BONDS — 20.0%
Aerospace & Defense — 0.6%
Raytheon Co. 1.400%, 12/15/14		1,000		1,016,566


	Par (000)		Value†

Banks — 8.1%
Bank of America Corp. 3.125%, 06/15/12	$	2,000	$	2,011,980
2.375%, 06/22/12		3,000		3,014,268
Bank of Montreal 144A 2.850%, 06/09/15@		1,000		1,053,911
Bank of Nova Scotia 144A 1.050%, 03/20/15@		1,000		1,000,575
Canadian Imperial Bank of Commerce 144A 2.000%, 02/04/13@		3,000		3,035,976
Commonwealth Bank of Australia 144A 3.492%, 08/13/14@		1,000		1,058,460
The Toronto-Dominion Bank 144A 1.625%, 09/14/16@		2,000		2,007,538
Westpac Banking Corp. 144A 3.585%, 08/14/14@		1,000		1,057,078

				14,239,786

Beverages — 0.6%
The Coca-Cola Co. 1.800%, 09/01/16		1,000		1,021,264

Computers — 0.6%
Google, Inc. 2.125%, 05/19/16		1,000		1,039,493

Diversified Financial Services — 5.8%
BA Covered Bond Issuer 144A 5.500%, 06/14/12@		1,000		1,009,230
Caisse Centrale Desjardins du Quebec 144A 2.550%, 03/24/16@		3,000		3,124,464
General Electric Capital Corp. 2.625%, 12/28/12		4,000		4,070,828
2.950%, 05/09/16		1,000		1,043,120
Toyota Motor Credit Corp. 1.000%, 02/17/15		1,000		999,828

				10,247,470

Energy-Alternate Sources — 0.6%
BP Capital Markets Plc 1.700%, 12/05/14		1,000		1,018,176

Food — 0.3%
General Mills, Inc. 5.650%, 09/10/12		500		511,010

Insurance — 0.6%
Metropolitan Life Global Funding I 144A 2.000%, 01/09/15@		1,000		1,010,600

Investment Companies — 0.6%
USAA Capital Corp. 144A 2.250%, 12/13/16@		1,000		1,001,253

Mining — 0.6%
BHP Billiton Finance USA Ltd. 1.125%, 11/21/14		1,000		1,006,928


	Par (000)		Value†
CORPORATE BONDS — (continued)
Oil & Gas — 0.5%
SeaRiver Maritime, Inc. 2.470%, 09/01/12+	$	1,000	$	992,343

Pharmaceuticals — 1.1%
Teva Pharmaceutical Finance IV LLC 1.700%, 11/10/14		1,000		1,015,648
Zimmer Holdings, Inc. 1.400%, 11/30/14		1,000		1,004,657

				2,020,305

TOTAL CORPORATE BONDS (Cost $34,611,184)				35,125,194

MUNICIPAL NOTE — 0.6%
Regional — 0.6%
Province of British Columbia 2.850%, 06/15/15 (Cost $999,660)		1,000		1,063,906

RESIDENTIAL MORTGAGE BACKED SECURITIES — 6.1%
Collateralized Mortgage Obligations — 5.0%
Fannie Mae REMICs 0.642%, 11/25/39•		8,807		8,785,133

Fannie Mae Pool — 1.1%
4.000%, 06/01/20		601		636,993
2.707%, 12/01/33•		752		804,804
2.500%, 04/01/34•		242		257,941
2.482%, 07/01/36•		249		266,592
				1,966,330

TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $10,683,002)				10,751,463

U.S. TREASURY OBLIGATIONS — 45.8%
U.S. Treasury Note 0.375%, 06/30/13		6,500		6,508,632
4.250%, 08/15/13		6,500		6,850,642
3.125%, 08/31/13		3,000		3,119,649
0.750%, 09/15/13		6,750		6,794,827
0.500%, 10/15/13		5,000		5,014,650
4.250%, 11/15/13		3,100		3,296,534
0.250%, 11/30/13		5,000		4,994,725
0.125%, 12/31/13		5,000		4,982,810
1.750%, 01/31/14		2,000		2,051,562
1.750%, 03/31/14		5,000		5,138,670
1.875%, 04/30/14		5,650		5,824,800
2.375%, 09/30/14		3,000		3,142,734
4.250%, 11/15/14		12,100		13,281,638
2.250%, 01/31/15		730		765,530
4.000%, 02/15/15		7,850		8,625,800

TOTAL U.S. TREASURY OBLIGATIONS (Cost $78,333,384)				80,393,203


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 9.9%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		5,262,669	$	5,262,669
BlackRock Liquidity Funds TempFund - Institutional Shares		218		218
Federated Prime Obligations Fund - Class I		408		408
Fidelity Institutional Prime Money Market Portfolio		1,018		1,018
Fidelity Institutional Prime Money Market Portfolio - Class I		197		197
Wells Fargo Advantage Government Money Market Fund - Institutional Class		12,100,635		12,100,635
Wells Fargo Advantage Heritage Money Market Fund - Institutional Class		5		5
Wells Fargo Advantage Municipal Cash Management Money Market Fund - Institutional Class		1		1

TOTAL SHORT-TERM INVESTMENTS (Cost $17,365,151)				17,365,151

TOTAL INVESTMENTS — 100.0% (Cost $172,852,865)(a)			$	175,533,309

†	See Security Valuation Note.

Security sold within the terms of a private placement memorandum, restricted and/or exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in the program or other “accredited investors”. Unless otherwise indicated, the security is considered liquid.

•	Variable Rate Security.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $393,604

+	Effective Yield. For those bonds that become coupon paying at a future date, the interest rate disclosed represents that annualized effective yield from the date of acquisition to maturity.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $172,852,865. Net unrealized appreciation was $2,680,444. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $2,899,311 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $218,867.

LLC	— Limited Liability Company.

Plc — Public Limited Company.

REMICS — Real Estate Mortgage Investment Conduits.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
U.S. TREAS- URY OBLIGA- TIONS	$	80,393,203	$	—	$	80,393,203	$	—
AGENCY OBLIGATIONS		19,826,205		—		19,826,205		—
ASSET BACKED SECURI- TIES		8,664,382		—		8,664,382		—
COMMERCIAL MORTGAGE BACKED SECURITIES		2,343,805		—		2,343,805		—
CORPORATE BONDS		35,125,194		—		35,125,194
MUNICIPAL NOTES		1,063,906		—		1,063,906		—
RESIDENTIAL MORT- GAGE BACKED SECU- RITIES		10,751,463		—		10,751,463		—
SHORT-TERM INVEST- MENTS		17,365,151		17,365,151		—		—

TOTAL INVEST- MENTS		175,533,309		17,365,151		158,168,158		—


	Par (000)		Value†
AGENCY OBLIGATIONS — 2.5%
Federal National Mortgage Association — 2.5%
3.250%, 04/09/13	$	4,500	$	4,640,859
5.000%, 04/15/15		6,750		7,628,026

TOTAL AGENCY OBLIGATIONS (Cost $11,387,995)				12,268,885

ASSET BACKED SECURITIES — 1.5%
Centerpoint Energy Transition Bond Co. LLC 3.028%, 10/15/25		1,000		1,006,665
Conseco Financial Corp.• 7.240%, 11/15/28		510		220,938
Enterprise Mortgage Acceptance Co. LLC 144A@• 7.649%, 01/15/27		990		787,208
GE Capital Credit Card Master Note Trust• 1.092%, 09/15/16		4,000		4,013,477
SACO I, Inc. 144A@• 1.142%, 06/25/35		1,572		1,300,392

TOTAL ASSET BACKED SECURITIES (Cost $7,935,108)				7,328,680

COMMERCIAL MORTGAGE BACKED SECURITIES — 1.7%
Bear Stearns Commercial Mortgage Securities 4.830%, 08/15/38		2,803		2,829,639
CFCRE Commercial Mortgage Trust@• 4.961%, 04/15/44		1,000		1,109,543
Citigroup Deutsche Bank Commercial Mortgage Trust 5.322%, 12/11/49		1,500		1,640,757
JPMorgan Chase Commercial Mortgage Securities Corp. 4.545%, 01/15/42		1,058		1,057,123
5.420%, 01/15/49		1,500		1,662,285

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $7,741,997)				8,299,347

CORPORATE BONDS — 17.8%
Aerospace & Defense — 0.2%
Lockheed Martin Corp. 3.350%, 09/15/21		1,000		1,001,758

Agriculture — 0.5%
Altria Group, Inc. 4.750%, 05/05/21		1,000		1,074,933
Cargill, Inc. 144A@ 6.125%, 09/15/36		1,000		1,166,615

				2,241,548

Banks — 3.8%
Bank of America Corp. 5.650%, 05/01/18		1,000		1,067,502
Bank of Montreal 144A@ 2.850%, 06/09/15		1,000		1,053,911


	Par (000)		Value†

Banks — (continued)
Canadian Imperial Bank of Commerce 144A@ 2.000%, 02/04/13	$	1,000	$	1,011,992
JPMorgan Chase & Co. 2.200%, 06/15/12		4,000		4,016,156
6.000%, 01/15/18		1,700		1,966,577
The Goldman Sachs Group, Inc. 3.250%, 06/15/12		6,500		6,539,949
5.250%, 07/27/21		1,000		989,916
The Toronto-Dominion Bank 144A@ 1.625%, 09/14/16		2,000		2,007,538

				18,653,541

Beverages — 0.7%
Anheuser-Busch InBev Worldwide, Inc. 7.750%, 01/15/19		1,000		1,304,572
Pepsico, Inc. 4.000%, 03/05/42		1,000		947,644
The Coca-Cola Co. 3.300%, 09/01/21		1,000		1,040,415

				3,292,631

Biotechnology — 0.9%
Amgen, Inc. 4.950%, 10/01/41		1,000		973,822
Biogen Idec, Inc. 6.875%, 03/01/18		1,000		1,219,113
Genentech, Inc. 5.250%, 07/15/35		1,000		1,116,265
Gilead Sciences, Inc. 4.400%, 12/01/21		1,000		1,049,675

				4,358,875

Computers — 0.5%
Hewlett-Packard Co. 2.600%, 09/15/17		1,000		999,384
International Business Machines Corp. 6.500%, 01/15/28		1,000		1,303,764

				2,303,148

Diversified Financial Services — 1.4%
American Honda Finance Corp. 144@ 3.800%, 09/20/21		1,000		1,034,741
Caisse Centrale Desjardins du Quebec 144A@ 2.550%, 03/24/16		2,000		2,082,976
General Electric Capital Corp. 6.150%, 08/07/37		1,000		1,132,404
5.875%, 01/14/38		1,000		1,099,235
Northern Trust Corp. 3.375%, 08/23/21		500		511,194
Toyota Motor Credit Corp. 3.400%, 09/15/21		1,000		1,027,038

				6,887,588

Electric — 1.0%
Carolina Power & Light Co. 3.000%, 09/15/21		1,000		1,006,718


	Par (000)		Value†
CORPORATE BONDS — (continued)
Electric — (continued)
Commonwealth Edison Co. 6.150%, 09/15/17	$	500	$	601,655
Duke Energy Carolinas LLC 4.250%, 12/15/41		1,000		997,761
Enel Finance International SA 144A@ 6.250%, 09/15/17		1,000		1,063,128
PacifiCorp 6.250%, 10/15/37		1,000		1,274,240

				4,943,502

Food — 0.3%
Kraft Foods, Inc. 6.750%, 02/19/14		500		552,493
Sara Lee Corp. 2.750%, 09/15/15		1,000		1,033,782

				1,586,275

Gas — 1.1%
Boston Gas Co.@ 4.487%, 02/15/42		1,000		1,003,893
Pacific Gas & Electric Co. 3.250%, 09/15/21		1,000		1,012,355
Praxair, Inc. 3.000%, 09/01/21		1,000		1,014,934
San Diego Gas & Electric Co. 3.950%, 11/15/41		1,000		967,212
SEMCO Energy, Inc. 144A@ 5.150%, 04/21/20		1,000		1,080,728

				5,079,122

Healthcare Products — 0.9%
Becton Dickinson & Co. 3.125%, 11/08/21		1,000		1,014,681
Covidien International Finance SA 6.000%, 10/15/17		1,000		1,199,620
Stryker Corp. 2.000%, 09/30/16		1,000		1,025,048
Zimmer Holdings, Inc. 4.625%, 11/30/19		1,000		1,103,326

				4,342,675

Healthcare Services — 0.4%
CIGNA Corp. 4.375%, 12/15/20		1,000		1,048,394
Unitedhealth Group, Inc. 4.625%, 11/15/41		1,000		1,000,268

				2,048,662

Insurance — 0.2%
The Travelers Cos., Inc. 5.350%, 11/01/40		1,000		1,128,387

Investment Companies — 0.4%
Aristotle Holding, Inc.@ 3.900%, 02/15/22		1,000		1,010,746
USAA Capital Corp. 144A@ 2.250%, 12/13/16		1,000		1,001,253

				2,011,999


	Par (000)		Value†

Media — 0.3%
Comcast Cable Holdings LLC 9.875%, 06/15/22	$	1,000	$	1,413,512

Miscellaneous Manufacturing — 0.7%
Honeywell International, Inc. 5.375%, 03/01/41		1,000		1,181,887
Illinois Tool Works, Inc.@ 4.875%, 09/15/41		1,000		1,078,507
Siemens Financieringsmaatschappij NV 144A@ 6.125%, 08/17/26		1,000		1,216,847

				3,477,241

Oil & Gas — 1.3%
BG Energy Capital Plc@ 4.000%, 10/15/21		1,000		1,042,852
BP Capital Markets Plc 4.500%, 10/01/20		1,000		1,098,491
Occidental Petroleum Corp. 3.125%, 02/15/22		1,000		1,008,870
Pemex Project Funding Master Trust 6.625%, 06/15/35		1,000		1,140,000
Petrobras International Finance Co. - Pifco 6.750%, 01/27/41		1,000		1,159,765
Statoil, ASA 3.150%, 01/23/22		1,000		1,008,559

				6,458,537

Oil & Gas Services — 0.4%
Halliburton Co. 4.500%, 11/15/41		1,000		1,012,494
Schlumberger Oilfield UK Plc 144A@ 4.200%, 01/15/21		1,000		1,082,512

				2,095,006

Pharmaceuticals — 1.4%
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34		1,000		1,130,081
Merck & Co., Inc. 6.400%, 03/01/28		1,000		1,278,633
Novartis Capital Corp. 2.900%, 04/24/15		1,000		1,065,576
Sanofi-Aventis SA 4.000%, 03/29/21		1,000		1,089,109
Teva Pharmaceutical Finance Co. BV 3.650%, 11/10/21		1,000		1,012,279
Thermo Fisher Scientific, Inc. 3.600%, 08/15/21		1,000		1,055,503

				6,631,181

Pipelines — 0.2%
DCP Midstream LLC 144A@ 6.750%, 09/15/37		1,000		1,166,584

Retail — 0.7%
CVS Caremark Corp. 5.750%, 05/15/41		1,000		1,127,155
Wal-Mart Stores, Inc. 3.250%, 10/25/20		1,000		1,046,601


	Par (000)		Value†
CORPORATE BONDS — (continued)
Retail — (continued)
5.625%, 04/01/40	$	1,000	$	1,200,998

				3,374,754

Telecommunications — 0.5%
AT&T, Inc. 3.875%, 08/15/21		1,000		1,057,702
Verizon Communications, Inc. 4.600%, 04/01/21		1,000		1,109,631

				2,167,333

TOTAL CORPORATE BONDS (Cost $80,558,072)				86,663,859

MUNICIPAL NOTE — 0.4%
Province of British Columbia 2.850%, 06/15/15 (Cost $1,999,319)		2,000		2,127,812

MUNICIPAL BONDS — 2.3%
City of New York 6.271%, 12/01/37		1,750		2,234,050
Corpus Christi Independent School District 6.124%, 08/15/32		1,000		1,161,790
Metropolitan Water District of Southern California 6.947%, 07/01/40		1,000		1,180,210
Orange County Sanitation District 6.400%, 02/01/44		1,000		1,295,870
San Francisco City & County Public Utilities Commission 6.950%, 11/01/50		2,000		2,699,500
South Carolina State Public Service Authority 6.454%, 01/01/50		2,000		2,694,120

Total MUNICIPAL BONDS (Cost $8,752,111)				11,265,540

RESIDENTIAL MORTGAGE BACKED SECURITIES — 25.5%
Collateralized Mortgage Obligations — 2.9%
Fannie Mae REMICs• 0.642%, 11/25/39		8,807		8,785,134
Freddie Mac REMICs• 0.582%, 05/15/37		5,410		5,387,885

				14,173,019

Fannie Mae Pool — 9.2%
5.000%, 07/01/23		1,957		2,120,085
2.500%, 04/01/34•		726		773,823
2.482%, 07/01/36•		829		888,639
2.427%, 08/01/36•		829		875,843
6.285%, 05/01/37•		524		550,328
4.000%, 08/01/39		6,685		7,013,692
4.000%, 11/01/40		6,729		7,060,065
3.500%, 12/01/40		12,764		13,121,363
3.500%, 01/01/41		9,261		9,519,785
3.500%, 03/01/41		2,741		2,817,675

				44,741,298


	Par (000)		Value†

Freddie Mac Gold Pool — 4.8%
3.000%, 01/01/26	$	8,913	$	9,227,244
3.500%, 12/01/40		7,857		8,058,609
3.500%, 01/01/41		4,673		4,792,727
3.500%, 02/01/41		1,351		1,385,972

				23,464,552

Ginnie Mae Pool — 8.6%
6.000%, 10/15/38		1,683		1,899,632
6.000%, 10/15/38		1,383		1,561,126
4.000%, 04/15/39		9,793		10,530,927
4.000%, 06/15/39		6,321		6,797,308
4.500%, 02/15/40		10,620		11,563,578
3.500%, 10/20/41		8,936		9,327,943
9.000%, 10/15/30		8		8,387

				41,688,901

TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $116,598,062)				124,067,770

U.S. TREASURY OBLIGATIONS — 32.0%
U.S. Treasury Bond 6.250%, 08/15/23		1,350		1,869,750
5.500%, 08/15/28		2,800		3,747,626
3.500%, 02/15/39		11,800		12,259,091
4.375%, 05/15/40		100		120,172
4.250%, 11/15/40		1,150		1,354,304
3.125%, 11/15/41		1,000		959,219
U.S. Treasury Note 1.125%, 12/15/12		43,600		43,884,403
0.250%, 11/30/13		5,000		4,994,725
1.750%, 01/31/14		6,000		6,154,686
1.875%, 02/28/14		7,000		7,203,434
4.250%, 11/15/14		5,000		5,488,280
4.000%, 02/15/15		10,900		11,977,225
2.125%, 12/31/15		11,100		11,678,410
2.625%, 02/29/16		5,000		5,355,080
1.500%, 07/31/16		4,000		4,104,064
2.375%, 06/30/18		4,300		4,548,592
2.750%, 02/15/19		9,800		10,557,207
3.125%, 05/15/19		6,550		7,212,676
3.375%, 11/15/19		475		530,293
2.000%, 11/15/21		2,200		2,165,797
2.000%, 02/15/22		4,400		4,315,436
U.S. Treasury Strip Principal 4.700%, 11/15/24+		7,800		5,476,645

TOTAL U.S. TREASURY OBLIGATIONS (Cost $146,888,786)				155,957,115


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 16.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		46,366,307		46,366,307
BlackRock Liquidity Funds TempFund - Institutional Shares		447		447


	Par (000)		Value†
SHORT-TERM INVESTMENTS — (continued)
Federated Prime Obligations Fund - Class I		313	$	313
Fidelity Institutional Prime Money Market Portfolio		713		713
Fidelity Institutional Prime Money Market Portfolio - Class I		271		271
Wells Fargo Advantage Government Money Market Fund – Institutional Class		32,984,122		32,984,122
Wells Fargo Advantage Heritage Money Market Fund – Institutional Class		1		1
Wells Fargo Advantage Municipal Cash Management Money Market Fund - Institutional Class		1		1

TOTAL SHORT-TERM INVESTMENTS (Cost $79,352,175)				79,352,175

TOTAL INVESTMENTS — 100.0% (Cost $461,213,625)(a)			$	487,331,183

†	See Security Valuation Note.

•	Variable Rate Security.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $787,208.

+	Effective Yield. For those bonds that become coupon paying at a future date, the interest rate disclosed represents that annualized effective yield from the date of acquisition to maturity.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $461,450,774. Net unrealized appreciation was $25,880,409. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $26,997,189 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $1,116,780.

LLC — Limited Liability Company.

Plc — Public Limited Company.

REMICS — Real Estate Mortgage Investment Conduits.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser -vable Input		Level 3 Signi- ficant Unobse- rvable Input
U.S. TREASURY OBLIGATIONS	$	155,957,115	$	—	$	155,957,115	$	—
AGENCY OBLIGATIONS		12,268,885		—		12,268,885		—
ASSET BACKED SECURITIES		7,328,680		—		7,328,680		—
COMMERCIAL MORTGAGE BACKED SECURITIES		8,299,347		—		8,299,347		—
CORPORATE BONDS		86,663,859		—		86,663,859		—
MUNICIPAL NOTES		2,127,812		—		2,127,812		—
MUNICIPAL BONDS		11,265,540		—		11,265,540		—
RESIDENTIAL MORTGAGE BACKED SECURITIES		124,067,770		—		124,067,770		—
SHORT-TERM INVESTMENTS		79,352,175		79,352,175		—		—

TOTAL INVESTMENTS	$	487,331,183	$	79,352,175	$	407,979,008	$	—


	Number of Shares		Value†
COMMON STOCKS — 0.6%
Apparel — 0.0%
Anvil Holdings, Inc.*^		831	$	2,493

Electric — 0.2%
The AES Corp.*		19,675		257,152

Entertainment — 0.0%
Lakes Entertainment, Inc.*		12,500		22,500

Lodging — 0.1%
Ameristar Casinos, Inc.		6,675		124,355

Oil & Gas — 0.1%
Anadarko Petroleum Corp.		1,725		135,137

Telecommunications — 0.2%
Crown Castle International Corp.*		1,750		93,345
Ziggo N.V.*		8,100		252,683

				346,028

TOTAL COMMON STOCKS (Cost $1,104,615)				887,665
PREFERRED STOCKS — 1.4%
Auto Manufacturers — 0.2%
General Motors Co.CONV		5,500		230,175

Banks — 0.5%
Ally Financial, Inc.		500		416,547
GMAC Capital Trust I		17,375		401,536
				818,083

Media — 0.1%
Spanish Broadcasting System, Inc.^		182		118,300

Packaging and Containers — 0.0%
Smurfit-Stone Container Corp. (Escrow) CONV*^^~		725		0

Telecommunications — 0.6%
Lucent Technologies Capital Trust I CONV		1,175		954,688

TOTAL PREFERRED STOCKS (Cost $2,081,701)				2,121,246

	Par (000)		Value†
REAL ESTATE INVESTMENT TRUSTS — 0.1%
Diversified — 0.1%
American Tower Corp.* (Cost $73,106)		1,000		86,652
CORPORATE BONDS — 94.6%
Advertising — 0.4%
inVentiv Health, Inc. 144A@ 10.000%, 08/15/18	$	225		202,500
10.000%, 08/15/18		200		181,000
Lamar Media Corp. 144A@ 5.875%, 02/01/22		150		152,625


	Par (000)		Value†

Advertising — (continued)
The Interpublic Group of Cos., Inc. 10.000%, 07/15/17	$	125	$	143,125

				679,250

Aerospace & Defense — 1.0%
BE Aerospace, Inc. 8.500%, 07/01/18		150		165,750
Ducommun, Inc. 9.750%, 07/15/18		225		238,500
Kratos Defense & Security Solutions, Inc. 10.000%, 06/01/17		350		378,875
Sequa Corp. 144A@ 11.750%, 12/01/15		200		212,500
13.500%, 12/01/15		75		79,594
Spirit Aerosystems, Inc. 7.500%, 10/01/17		75		80,813
TransDigm, Inc. 7.750%, 12/15/18		325		351,812

				1,507,844

Airlines — 1.0%
Continental Airlines 2009-2 Class A Pass-Through-Trust 7.250%, 11/10/19		46		51,904
Continental Airlines 2009-2 Class B Pass-Through-Trust 9.250%, 05/10/17		42		45,474
Continental Airlines, Inc. 144A @ 6.750%, 09/15/15		500		501,875
Delta Air Lines, Inc. 144A@ 9.500%, 09/15/14		158		168,270
12.250%, 03/15/15		625		673,437
United Air Lines, Inc. 144A @ 12.000%, 11/01/13		75		79,500

				1,520,460

Apparel — 0.3%
Hanesbrands, Inc. 8.000%, 12/15/16		100		110,000
6.375%, 12/15/20		175		179,812
Levi Strauss & Co. 8.875%, 04/01/16		50		51,626
7.750%, 05/15/18		125		170,256

				511,694

Auto Manufacturers — 0.7%
Chrysler Group LLC 8.000%, 06/15/19		400		402,000
8.250%, 06/15/21		425		429,250
Ford Motor Co. 7.450%, 07/16/31		150		183,375

				1,014,625

Auto Parts & Equipment — 0.8%
Allison Transmission, Inc. 144A @ 7.125%, 05/15/19		200		207,000
Conti-Gummi Finance BV 144A @ 8.500%, 07/15/15		150		220,562


	Par (000)		Value†
CORPORATE BONDS — (continued)
Auto Parts & Equipment — (continued)
Pittsburgh Glass Works LLC 144A @ 8.500%, 04/15/16	$	100	$	99,500
The Goodyear Tire & Rubber Co. 8.250%, 08/15/20		250		265,625
8.750%, 08/15/20		100		108,500
7.000%, 05/15/22		250		243,125

				1,144,312

Banks — 3.8%
Ally Financial, Inc. 5.500%, 02/15/17		225		225,268
6.250%, 12/01/17		375		386,151
8.000%, 03/15/20		125		139,062
7.500%, 09/15/20		325		351,000
8.000%, 11/01/31		300		330,750
CIT Group, Inc. 4.750%, 02/15/15 144A @		925		933,164
5.250%, 03/15/18		375		382,500
6.625%, 04/01/18 144A @		700		758,625
5.500%, 02/15/19 144A @		975		994,500
Provident Funding Associates LP 144A@ 10.250%, 04/15/17		200		194,500
10.125%, 02/15/19		100		73,500
Regions Bank 7.500%, 05/15/18		500		566,250
Synovus Financial Corp. 5.125%, 06/15/17		350		321,125
7.875%, 02/15/19		100		103,000

				5,759,395

Beverages — 0.1%
Cott Beverages, Inc. 8.375%, 11/15/17		75		81,094

Building Materials — 2.5%
Associated Materials LLC 9.125%, 11/01/17		225		218,813
Building Materials Corp. of America 144A @ 6.750%, 05/01/21		250		265,312
Cemex Espana Luxembourg 144A@ 9.875%, 04/30/19		461		442,560
Cemex Finance LLC 144A @ 9.500%, 12/14/16		360		359,136
Euramax International, Inc. 9.500%, 04/01/16		275		251,625
Masco Corp. 6.125%, 10/03/16		150		158,562
5.850%, 03/15/17		200		204,970
Nortek, Inc. 10.000%, 12/01/18		300		318,000
8.500%, 04/15/21		375		371,250
Owens Corning 9.000%, 06/15/19		125		154,317
Ply Gem Industries, Inc. 8.250%, 02/15/18		150		150,938
Reliance Intermediate Holdings LP 144A @ 9.500%, 12/15/19		225		248,625


	Par (000)		Value†

Building Materials — (continued)
Summit Materials LLC 144A@ 10.500%, 01/31/20	$	250	$	261,250
Texas Industries, Inc. 9.250%, 08/15/20		200		192,000
USG Corp. 144A @ 8.375%, 10/15/18		50		51,250
Xefin Lux SCA 144A @ 8.000%, 06/01/18		100		134,704

				3,783,312

Chemicals — 2.4%
Hexion US Finance Corp. 8.875%, 02/01/18		300		310,500
9.000%, 11/15/20		100		93,000
Huntsman International LLC 8.625%, 03/15/20		75		83,813
8.625%, 03/15/21		425		477,062
Ineos Finance Plc 144A@ 9.000%, 05/15/15		200		212,250
8.375%, 02/15/19		375		396,562
Ineos Group Holdings Ltd. 144A@ 8.500%, 02/15/16		150		141,750
Kerling Plc 144A @ 10.625%, 02/01/17		200		265,408
LyondellBasell Industries N.V. 144A@ 5.000%, 04/15/19		300		300,000
6.000%, 11/15/21		200		210,000
Momentive Performance Materials, Inc. 11.500%, 12/01/16		475		394,250
9.000%, 01/15/21		125		109,375
PolyOne Corp. 7.375%, 09/15/20		150		159,000
Rhodia S.A. 144A@ 6.875%, 09/15/20		275		302,500
Solutia, Inc. 8.750%, 11/01/17		175		198,406

				3,653,876

Coal — 2.0%
Alpha Natural Resources, Inc. 6.250%, 06/01/21		350		315,875
Arch Coal, Inc. 8.750%, 08/01/16		150		157,500
Arch Coal, Inc. 144A@ 7.250%, 06/15/21		275		253,687
Consol Energy, Inc. 8.000%, 04/01/17		325		338,812
8.250%, 04/01/20		150		156,750
Foresight Energy LLC 144A @ 9.625%, 08/15/17		425		446,250
New World Resources N.V. 144A @ 7.875%, 05/01/18		150		203,057
Patriot Coal Corp. 8.250%, 04/30/18		225		171,563
Peabody Energy Corp. 7.375%, 11/01/16		300		329,250
6.000%, 11/15/18 144A @		275		269,500
6.250%, 11/15/21 144A @		275		269,500


	Par (000)		Value†
CORPORATE BONDS — (continued)
Coal — (continued)
Penn Virginia Resource Partners LP 8.250%, 04/15/18	$	200	$	205,000

				3,116,744

Commercial Services — 2.5%
Alliance Data Systems Corp. 144A@ 6.375%, 04/01/20		275		279,812
ARAMARK Holdings Corp. PIK 144A @ 8.625%, 05/01/16		250		256,250
Avis Budget Car Rental LLC 7.625%, 05/15/14		213		214,065
9.625%, 03/15/18		50		54,250
DP World Ltd. 144A @ 6.850%, 07/02/37		210		202,650
FTI Consulting, Inc. 7.750%, 10/01/16		125		128,594
6.750%, 10/01/20		75		80,344
Garda World Security Corp. 144A @ 9.750%, 03/15/17		150		159,750
Hertz Holdings Netherlands BV 144A @ 8.500%, 07/31/15		200		288,081
iPayment, Inc. 10.250%, 05/15/18		425		391,000
Jaguar Holding Co. II 144A @ 9.500%, 12/01/19		250		271,250
Lender Processing Services, Inc. 8.125%, 07/01/16		325		339,625
Nord Anglia Education UK Holdings Plc 144A@ 10.250%, 04/01/17		200		204,750
Seminole Indian Tribe of Florida 144A @ 7.750%, 10/01/17		350		379,312
ServiceMaster Co. 144A@ 8.000%, 02/15/20		125		133,125
Ticketmaster Entertainment LLC 10.750%, 08/01/16		250		269,062
UR Financing Escrow Corp. 144A@ 5.750%, 07/15/18		150		153,563

				3,805,483

Computers — 0.5%
iGate Corp. 9.000%, 05/01/16		700		760,375
SunGard Data Systems, Inc. 10.250%, 08/15/15		25		25,969

				786,344

Distribution & Wholesale — 0.5%
ACE Hardware Corp. 144A @ 9.125%, 06/01/16		425		447,312
McJunkin Red Man Corp. 9.500%, 12/15/16		350		381,500

				828,812

Diversified Financial Services — 9.4%
Air Lease Corp. 144A@ 5.625%, 04/01/17		375		373,594
Aircastle Ltd. 6.750%, 04/15/17 144A @		300		300,000


	Par (000)		Value†

Diversified Financial Services — (continued)
9.750%, 08/01/18	$	325	$	362,375
9.750%, 08/01/18 144A @		125		138,750
CNH Capital LLC 144A @ 6.250%, 11/01/16		425		455,812
E*Trade Financial Corp. 7.875%, 12/01/15		175		177,844
6.750%, 06/01/16		375		383,437
12.500%, 11/30/17 PIK		998		1,161,422
Fiat Industrial Finance Europe S.A. 6.250%, 03/09/18		275		367,686
Ford Motor Credit Co. LLC 12.000%, 05/15/15		550		679,250
5.000%, 05/15/18		1,450		1,501,991
5.750%, 02/01/21		675		728,298
5.875%, 08/02/21		200		215,718
General Motors Financial Co., Inc. 6.750%, 06/01/18		150		160,209
GTP Acquisition Partners I LLC 144A @ 7.628%, 06/15/16		250		241,630
Hexion U.S. Finance Corp. 144A@ 6.625%, 04/15/20		225		230,063
Icahn Enterprises LP 8.000%, 01/15/18		250		260,000
Icahn Enterprises LP 144A@ 8.000%, 01/15/18		375		390,000
International Lease Finance Corp. 4.875%, 04/01/15		200		197,961
5.750%, 05/15/16		375		374,580
8.875%, 09/01/17		425		473,875
8.250%, 12/15/20		300		330,063
8.625%, 01/15/22		225		250,125
International Lease Finance Corp. 144A@ 6.500%, 09/01/14		215		227,094
Jefferies Group, Inc. 5.125%, 04/13/18		30		29,100
8.500%, 07/15/19		45		49,950
Neuberger Berman Group LLC 144A@ 5.625%, 03/15/20		175		176,313
5.875%, 03/15/22		200		202,000
Nuveen Investments, Inc. 5.500%, 09/15/15		750		686,250
10.500%, 11/15/15		775		803,094
10.500%, 11/15/15 144A @		300		309,375
SLM Corp. 5.375%, 05/15/14		300		309,781
5.050%, 11/14/14		100		102,478
6.250%, 01/25/16		375		390,000
6.000%, 01/25/17		225		231,750
8.450%, 06/15/18		400		446,000
Springleaf Finance Corp. 6.900%, 12/15/17		275		214,500
Taylor Morrison Communities, Inc. 144A @ 7.750%, 04/15/20		300		305,160

				14,237,528


	Par (000)		Value†
CORPORATE BONDS — (continued)
Electric — 2.3%
Calpine Corp. 144A@ 7.875%, 07/31/20	$	525	$	570,937
7.500%, 02/15/21		300		320,250
CMS Energy Corp. 5.050%, 03/15/22		130		130,814
Dolphin Subsidiary II, Inc. 144A@ 6.500%, 10/15/16		325		349,375
7.250%, 10/15/21		550		610,500
EDP Finance BV 144A@ 5.375%, 11/02/12		275		275,138
GenOn Energy, Inc. 9.500%, 10/15/18		650		598,000
NRG Energy, Inc. 7.625%, 01/15/18		150		150,375
PNM Resources, Inc. 9.250%, 05/15/15		61		70,379
The AES Corp. 144A @ 7.375%, 07/01/21		350		386,750

				3,462,518

Electrical Components & Equipment — 0.2%
Anixter, Inc.^ 10.000%, 03/15/14		125		136,563
Coleman Cable, Inc. 9.000%, 02/15/18		200		210,500

				347,063

Electronics — 0.2%
NXP BV 144A @ 9.750%, 08/01/18		250		282,500

Engineering & Construction — 0.4%
Aguila 3 S.A. 144A @ 7.875%, 01/31/18		325		338,812
Dycom Investments, Inc. 7.125%, 01/15/21		275		280,500

				619,312

Entertainment — 2.1%
AMC Entertainment, Inc. 8.750%, 06/01/19		325		340,437
CCM Merger, Inc. 144A@ 9.125%, 05/01/19		200		202,000
Cedar Fair LP 9. 125%, 08/01/18		200		224,500
Cinemark USA, Inc. 7.375%, 06/15/21		75		80,438
Codere Finance Luxembourg S.A. 144A@ 9.250%, 02/15/19		200		198,500
Lions Gate Entertainment, Inc.144A @ 10.250%, 11/01/16		175		192,719
MU Finance Plc 144A @ 8.375%, 02/01/17		325		348,562
Palace Entertainment Holdings LLC 144A @ 8.875%, 04/15/17		275		285,656
Pinnacle Entertainment, Inc. 7.750%, 04/01/22		125		130,938


	Par (000)		Value†

Entertainment — (continued)
Regal Cinemas Corp. 8.625%, 07/15/19	$	275	$	300,438
Regal Entertainment Group 9.125%, 08/15/18		325		355,875
Seneca Gaming Corp. 144A @ 8.250%, 12/01/18		325		332,312
Speedway Motorsports, Inc. 8.750%, 06/01/16		150		164,250

				3,156,625

Environmental Control — 0.1%
Darling International, Inc. 8.500%, 12/15/18		75		83,625

Food — 1.8%
Bumble Bee Acquisition Corp. 144A @ 9.000%, 12/15/17		165		168,300
Del Monte Corp. 7.625%, 02/15/19		500		497,500
Land O’ Lakes Capital Trust I 144A @ 7.450%, 03/15/28		275		264,344
Michael Foods, Inc. 9.750%, 07/15/18		350		384,562
Minerva Luxembourg S.A. 144A@ 12.250%, 02/10/22		200		218,500
Pinnacle Foods Finance LLC 9.250%, 04/01/15		250		256,875
10.625%, 04/01/17		125		131,875
8.250%, 09/01/17		325		352,625
R&R Ice Cream Plc 144A @ 8.375%, 11/15/17		100		136,038
U.S. Foodservice, Inc. 144A @ 8.500%, 06/30/19		250		253,125

				2,663,744

Forest Products & Paper — 1.2%
Boise Paper Holdings LLC 9.000%, 11/01/17		100		110,250
8.000%, 04/01/20		125		137,500
Cascades, Inc. 7.750%, 12/15/17		200		200,000
7.875%, 01/15/20		500		493,750
Clearwater Paper Corp. 10.625%, 06/15/16		75		84,187
7.125%, 11/01/18		100		106,000
Domtar Corp. 7.125%, 08/15/15		200		222,000
9.500%, 08/01/16		25		30,375
Exopack Holding Corp. 10.000%, 06/01/18		150		157,500
Mercer International, Inc. 9.500%, 12/01/17		325		336,375

				1,877,937

Gas — 0.3%
Sabine Pass LNG LP 7.500%, 11/30/16		425		455,813


	Par (000)		Value†
CORPORATE BONDS — (continued)
Healthcare Products — 1.1%
Accellent, Inc. 8.375%, 02/01/17	$	50	$	50,250
10.000%, 11/01/17		275		224,469
Biomet, Inc. 11.625%, 10/15/17		700		756,875
Ontex IV S.A. 144A@ 7.500%, 04/15/18		350		434,121
9.000%, 04/15/19		100		102,029
Universal Hospital Services, Inc.• 4.121%, 06/01/15		75		70,875
8.500%, 06/01/15 PIK		50		51,187

				1,689,806

Healthcare Services — 4.4%
AMERIGROUP Corp. 7.500%, 11/15/19		300		328,500
Aviv Healthcare Properties LP 7.750%, 02/15/19		100		102,750
Capella Healthcare, Inc. 9.250%, 07/01/17		350		358,750
Community Health Systems, Inc. 8.875%, 07/15/15		186		192,743
Community Health Systems, Inc.144A@ 8.000%, 11/15/19		350		362,250
8.000%, 11/15/19		475		490,437
Crown Newco 3 Plc 144A @ 7.000%, 02/15/18		100		153,151
DaVita, Inc. 6.375%, 11/01/18		200		209,500
Fresenius Medical Care U.S. Finance II , Inc. 144A@ 5.625%, 07/31/19		350		360,500
5.875%, 01/31/22		200		205,500
HCA, Inc. 9.875%, 02/15/17		114		124,260
8.500%, 04/15/19		375		416,719
7.500%, 02/15/22		800		852,000
Health Management Associates, Inc. 144A @ 7.375%, 01/15/20		200		204,000
IASIS Healthcare LLC 8.375%, 05/15/19		375		364,687
Kindred Healthcare, Inc. 8.250%, 06/01/19		250		217,813
Labco SAS 144A @ 8.500%, 01/15/18		100		118,033
LifePoint Hospitals, Inc. 6.625%, 10/01/20		100		106,000
Multiplan, Inc. 144A @ 9.875%, 09/01/18		325		351,000
Radiation Therapy Services, Inc. 9.875%, 04/15/17		225		180,563
Tenet Healthcare Corp. 6.250%, 11/01/18 144A @		425		438,812
8.875%, 07/01/19		25		28,000
Universal Health Services, Inc. 7.000%, 10/01/18		75		80,250


	Par (000)		Value†

Healthcare Services — (continued)
Vanguard Health Holding Co. II LLC
8.000%, 02/01/18	$	275	$	280,500
7.750%, 02/01/19		200		199,000
Vanguard Health Systems, Inc.^+ 9.439%, 02/01/16		11		7,260

				6,732,978

Holding Companies — 0.4%
Odeon & UCI Finco Plc 144A @ 9.000%, 08/01/18		100		158,350
Polish Television Holding BV STEP 144A @• 11.250%, 05/15/17		175		233,982
Susser Holdings LLC 8.500%, 05/15/16		175		192,500

				584,832

Home Builders — 0.4%
Meritage Homes Corp. 144A@ 7.000%, 04/01/22		100		100,250
Shea Homes LP 144A @ 8.625%, 05/15/19		300		312,000
Standard Pacific Corp. 10.750%, 09/15/16		175		201,250
8.375%, 05/15/18		50		53,187

				666,687

Home Furnishings — 0.1%
Sealy Mattress Co. 8.250%, 06/15/14		75		73,500
10.875%, 04/15/16 144A @		97		105,246

				178,746

Household Products & Wares — 0.9%
ACCO Brands Corp. 10.625%, 03/15/15		75		81,845
Central Garden & Pet Co. 8.250%, 03/01/18		150		154,687
Reynolds Group Issuer, Inc. 144A@ 8.750%, 10/15/16		200		211,500
7.125%, 04/15/19		200		208,500
9.000%, 04/15/19		350		344,750
The Scotts Miracle-Gro Co. 7.250%, 01/15/18		100		107,750
Yankee Acquisition Corp. 8.500%, 02/15/15		200		205,002

				1,314,034

Insurance — 1.0%
Assured Guaranty Municipal Holdings, Inc. 144A @• 6.400%, 12/15/66		450		324,000
HUB International Holdings, Inc. 144A@ 9.000%, 12/15/14		250		256,250
10.250%, 06/15/15		775		799,219
USI Holdings Corp. 144A @ 9.750%, 05/15/15		125		125,625

				1,505,094


	Par (000)		Value†
CORPORATE BONDS — (continued)
Internet — 0.6%
Earthlink, Inc. 8.875%, 05/15/19	$	150	$	145,125
Equinix, Inc. 8.125%, 03/01/18		300		330,000
7.000%, 07/15/21		300		329,250
Netflix, Inc. 8.500%, 11/15/17		150		163,500

				967,875

Iron & Steel — 1.7%
AK Steel Corp. 7.625%, 05/15/20		200		193,000
Algoma Acquisition Corp. 144A @ 9.875%, 06/15/15		175		159,250
ArcelorMittal 4.500%, 02/25/17		370		371,083
JMC Steel Group, Inc. 144A @ 8.250%, 03/15/18		300		312,000
Ryerson Holding Corp.+ 24.417%, 02/01/15		1,550		705,250
Ryerson, Inc. 12.000%, 11/01/15		375		384,375
Steel Dynamics, Inc. 7.750%, 04/15/16		50		51,875
Tube City IMS Corp. 9.750%, 02/01/15		175		179,812
United States Steel Corp. 7.500%, 03/15/22		225		225,000

				2,581,645

Leisure Time — 0.3%
Cirsa Funding Luxembourg S.A. 144A @ 8.750%, 05/15/18		200		257,405
Easton-Bell Sports, Inc. 9.750%, 12/01/16		50		55,313
NCL Corp. Ltd. 9.500%, 11/15/18		100		107,750
9.500%, 11/15/18 144A @		50		53,875

				474,343

Lodging — 1.2%
Ameristar Casinos, Inc. 7.500%, 04/15/21		50		52,438
Caesars Entertainment Operating Co., Inc. 5.625%, 06/01/15		200		153,000
11.250%, 06/01/17		337		367,330
Downstream Development Authority 144A @ 10.500%, 07/01/19		150		154,687
Gaylord Entertainment Co. 6.750%, 11/15/14		200		201,000
MGM Resorts International 10.375%, 05/15/14		125		141,719
9.000%, 03/15/20		150		166,875
Starwood Hotels & Resorts Worldwide, Inc. 7.150%, 12/01/19		150		177,750
Station Casinos LLC STEP 144A@• 3.650%, 06/18/18		450		309,375


	Par (000)		Value†

Lodging — (continued)
Wynn Las Vegas LLC 7.875%, 11/01/17	$	50	$	54,500

				1,778,674

Machinery — Construction & Mining — 0.4%
Terex Corp. 10.875%, 06/01/16		25		28,438
8.000%, 11/15/17		400		414,000
6.500%, 04/01/20		125		125,937

				568,375

Machinery — Diversified — 0.5%
Case New Holland, Inc. 7.875%, 12/01/17		250		290,625
Columbus McKinnon Corp. 7.875%, 02/01/19		275		286,000
The Manitowoc Co., Inc. 8.500%, 11/01/20		125		137,500

				714,125

Media — 7.1%
Bresnan Broadband Holdings LLC 144A @ 8.000%, 12/15/18		200		206,000
Cablevision Systems Corp. 8.625%, 09/15/17		125		136,094
7.750%, 04/15/18		150		156,750
8.000%, 04/15/20		75		79,313
CCO Holdings LLC 7.250%, 10/30/17		250		268,125
7.875%, 04/30/18		525		567,000
7.000%, 01/15/19		150		159,000
7.375%, 06/01/20		125		135,625
6.625%, 01/31/22		625		648,437
Cequel Communications Holdings I LLC 144A @ 8.625%, 11/15/17		550		590,562
Clear Channel Communications, Inc. 11.000%, 08/01/16 PIK		150		111,000
7.250%, 10/15/27		100		52,500
Clear Channel Worldwide Holdings, Inc. 144A@ 7.625%, 03/15/20		75		72,375
7.625%, 03/15/20		675		661,500
CSC Holdings LLC 8.500%, 04/15/14		250		278,125
Cyfrowy Polsat Finance AB 144A @ 7.125%, 05/20/18		100		134,704
DISH DBS Corp. 7.125%, 02/01/16		200		221,250
7.875%, 09/01/19		200		230,000
6.750%, 06/01/21		200		215,500
ION Media Networks, Inc. CONV¤ 11.000%, 07/31/13		1		0
Kabel BW Erste Beteiligungs GmbH 144A @ 7.500%, 03/15/19		125		177,550
LIN Television Corp. 8.375%, 04/15/18		275		287,719


	Par (000)		Value†
CORPORATE BONDS — (continued)
Media — (continued)
Mediacom Broadband LLC 8.500%, 10/15/15	$	100	$	103,000
Nexstar Broadcasting, Inc. 7.000%, 01/15/14 PIK ^		132		130,843
7.000%, 01/15/14^		43		42,624
8.875%, 04/15/17		125		134,063
Nielsen Finance LLC 11.625%, 02/01/14		244		281,820
11.500%, 05/01/16		16		18,440
7.750%, 10/15/18		100		110,250
Sinclair Television Group, Inc. 144A @ 9.250%, 11/01/17		275		305,938
Sirius XM Radio, Inc. 144A @ 8.750%, 04/01/15		1,000		1,135,000
TVN Finance Corp. II AB 144A @ 10.750%, 11/15/17		50		70,686
Unitymedia GmbH 144A @ 9.625%, 12/01/19		150		219,061
Unitymedia Hessen GmbH & Co. KG 144A @ 8.125%, 12/01/17		275		297,000
Univision Communications, Inc. 144A@ 6.875%, 05/15/19		175		177,406
7.875%, 11/01/20		450		472,500
8.500%, 05/15/21		800		792,000
Videotron Ltee 9.125%, 04/15/18		75		82,875
6.875%, 07/15/21 144A @		325		347,010
XM Satellite Radio, Inc. 144A@ 13.000%, 08/01/13		500		565,625
7.625%, 11/01/18		125		135,000

				10,810,270

Metal Fabricate/Hardware — 0.4%
Schaeffler Finance BV 144A@ 7.750%, 02/15/17		200		211,500
8.500%, 02/15/19		200		213,500
Severstal Columbus LLC 10.250%, 02/15/18		225		240,750

				665,750

Mining — 1.4%
ALROSA Finance S.A. 144A @ 7.750%, 11/03/20		225		240,187
FMG Resources August 2006 Pty Ltd. 144A@ 7.000%, 11/01/15		350		357,000
6.000%, 04/01/17		175		173,250
8.250%, 11/01/19		600		630,000
Mirabela Nickel Ltd. 144A @ 8.750%, 04/15/18		100		86,000
Novelis, Inc. 8.750%, 12/15/20		175		191,625
Teck Resources Ltd. 10.250%, 05/15/16		29		33,208
Thompson Creek Metals Co., Inc. 7.375%, 06/01/18		150		139,500


	Par (000)		Value†

Mining — (continued)
Vulcan Materials Co. 7.500%, 06/15/21	$	300	$	332,250

				2,183,020

Miscellaneous Manufacturing — 0.5%
Amsted Industries, Inc. 144A @ 8.125%, 03/15/18		225		240,750
Koppers, Inc. 7.875%, 12/01/19		125		133,437
RBS Global, Inc. 8.500%, 05/01/18		100		107,250
Reddy Ice Holdings, Inc. STEP ^•~ 10.500%, 11/01/12		75		54,000
SPX Corp. 6.875%, 09/01/17		175		191,625

				727,062

Office & Business Equipment — 1.0%
CDW LLC 12.535%, 10/12/17		975		1,059,094
8.000%, 12/15/18		25		27,062
8.500%, 04/01/19		350		371,875

				1,458,031

Oil & Gas — 8.3%
Alta Mesa Holdings 9.625%, 10/15/18		275		277,062
Anadarko Petroleum Corp. 6.375%, 09/15/17		280		332,701
Antero Resources Finance Corp. 9.375%, 12/01/17		600		649,500
7.250%, 08/01/19 144A @		350		360,500
Atwood Oceanics, Inc. 6.500%, 02/01/20		150		157,500
Berry Petroleum Co. 10.250%, 06/01/14		125		144,375
6.750%, 11/01/20		25		26,438
6.375%, 09/15/22		400		411,000
Bill Barrett Corp. 7.625%, 10/01/19		500		507,500
7.000%, 10/15/22		250		241,250
Carrizo Oil & Gas, Inc. 8.625%, 10/15/18		225		236,812
Chesapeake Energy Corp. 6.625%, 08/15/20		375		381,562
Chesapeake Oilfield Operating LLC 144A @ 6.625%, 11/15/19		175		173,688
Clayton Williams Energy, Inc. 7.750%, 04/01/19		375		373,125
Concho Resources, Inc. 8.625%, 10/01/17		275		301,125
7.000%, 01/15/21		150		160,875
Connacher Oil & Gas Ltd. 144A @ 8.500%, 08/01/19		550		550,000
Continental Resources, Inc. 7.125%, 04/01/21		150		166,500
Denbury Resources, Inc. 9.750%, 03/01/16		175		192,063


	Par (000)		Value†
CORPORATE BONDS — (continued)
Oil & Gas — (continued)
8.250%, 02/15/20	$	274	$	306,195
Encore Acquisition Co. 9.500%, 05/01/16		75		82,500
EQT Corp. 8.125%, 06/01/19		160		186,951
EXCO Resources, Inc. 7.500%, 09/15/18		575		511,750
Hercules Offshore, Inc. 144A@ 7.125%, 04/01/17		325		325,406
10.500%, 10/15/17		125		130,938
Hilcorp Energy I LP 144A @ 8.000%, 02/15/20		225		243,000
MEG Energy Corp. 144A @ 6.500%, 03/15/21		225		235,687
Newfield Exploration Co. 6.875%, 02/01/20		270		282,825
5.750%, 01/30/22		225		235,687
Oasis Petroleum, Inc. 7.250%, 02/01/19		125		131,563
6.500%, 11/01/21		225		226,125
Penn Virginia Corp. 10.375%, 06/15/16		300		294,000
7.250%, 04/15/19		300		258,000
Petroleos de Venezuela S.A. 144A@ 8.500%, 11/02/17		250		222,250
Plains Exploration & Production Co. 6.750%, 02/01/22		200		209,000
Precision Drilling Corp. 6.625%, 11/15/20		275		288,062
6.500%, 12/15/21 144A @		75		78,375
Range Resources Corp. 6.750%, 08/01/20		325		352,625
5.000%, 08/15/22		100		98,750
Samson Investment Co. 144A@ 9.750%, 02/15/20		175		177,188
SM Energy Co. 6.625%, 02/15/19		250		265,000
6.500%, 11/15/21		150		159,750
Swift Energy Co. 8.875%, 01/15/20		225		245,250
7.875%, 03/01/22 144A @		475		489,250
Unit Corp. 6.625%, 05/15/21		350		357,875
Whiting Petroleum Corp. 6.500%, 10/01/18		25		26,625
WPX Energy, Inc. 144A@ 6.000%, 01/15/22		575		575,000

				12,639,203

Oil & Gas Services — 1.8%
Cie Generale de Geophysique-Veritas 9.500%, 05/15/16		50		55,000
6.500%, 06/01/21		400		408,000
Exterran Holdings, Inc. 7.250%, 12/01/18		650		624,000
Frac Tech Services LLC 144A @ 7.625%, 11/15/18		400		418,000


	Par (000)		Value†

Oil & Gas Services — (continued)
Helix Energy Solutions Group, Inc. 144A @ 9.500%, 01/15/16	$	143	$	149,792
Petroleum Geo-Services ASA 144A@ 7.375%, 12/15/18		300		312,000
SESI LLC 6.375%, 05/01/19		350		371,000
7.125%, 12/15/21 144A @		300		324,000

				2,661,792

Packaging and Containers — 1.2%
AEP Industries, Inc. 8.250%, 04/15/19		150		157,500
Ball Corp. 7.375%, 09/01/19		100		110,500
Beverage Packaging Holdings Luxembourg II S.A. 144A@ 8.000%, 12/15/16		250		308,420
BWAY Holding Co. 10.000%, 06/15/18		150		164,625
Crown Americas LLC 7.625%, 05/15/17		100		107,625
Crown European Holdings S.A. 144A @ 7.125%, 08/15/18		100		141,706
Graphic Packaging International, Inc. 9.500%, 06/15/17		175		194,250
7.875%, 10/01/18		200		221,500
Plastipak Holdings, Inc. 144A @ 10.625%, 08/15/19		125		142,500
Rexam Plc• 6.750%, 06/29/67		100		129,369
Rock-Tenn Co. 144A@ 4.450%, 03/01/19		60		60,270
4.900%, 03/01/22		40		39,941
Sealed Air Corp. 7.875%, 06/15/17		100		107,834

				1,886,040

Pharmaceuticals — 0.4%
Capsugel FinanceCo SCA 144A @ 9.875%, 08/01/19		200		288,748
Grifols, Inc. 8.250%, 02/01/18		150		162,375
Mylan, Inc. 144A @ 7.625%, 07/15/17		125		137,500
Warner Chilcott Co. LLC 7.750%, 09/15/18		50		52,125

				640,748

Pipelines — 1.0%
El Paso Corp. 8.250%, 02/15/16		100		109,003
6.500%, 09/15/20		25		27,525
7.800%, 08/01/31		100		113,661
7.750%, 01/15/32		325		370,091
Energy Transfer Equity LP 7.500%, 10/15/20		325		360,750
Kinder Morgan Finance Co. LLC 5.700%, 01/05/16		150		158,250


	Par (000)		Value†
CORPORATE BONDS — (continued)
Pipelines — (continued)
6.000%, 01/15/18 144A @	$	150	$	159,188
Regency Energy Partners LP 6.875%, 12/01/18		175		185,062

				1,483,530

Real Estate — 1.6%
CB Richard Ellis Services, Inc. 11.625%, 06/15/17		125		141,875
6.625%, 10/15/20		175		185,937
Host Hotels & Resorts LP 6.750%, 06/01/16		225		231,750
5.875%, 06/15/19		225		237,094
6.000%, 10/01/21 144A @		150		160,125
MPT Operating Partnership LP 6.875%, 05/01/21		225		235,125
6.375%, 02/15/22		125		126,875
Omega Healthcare Investors, Inc. 6.750%, 10/15/22		175		185,500
Reckson Operating Partnership LP 6.000%, 03/31/16		75		79,710
Rouse Co. LP 6.750%, 05/01/13 144A @		50		51,375
6.750%, 11/09/15		400		420,500
Weyerhaeuser Co. 8.500%, 01/15/25		325		371,086

				2,426,952

Retail — 3.1%
Academy Ltd. 144A@ 9.250%, 08/01/19		475		487,469
AmeriGas Finance LLC 6.750%, 05/20/20		125		126,875
7.000%, 05/20/22		525		535,500
CKE Restaurants, Inc. 11.375%, 07/15/18		271		309,617
Claire’s Stores, Inc. 9.625%, 06/01/15 PIK		104		88,827
8.875%, 03/15/19		150		132,000
DineEquity, Inc. 9.500%, 10/30/18		375		410,625
Ferrellgas LP 9.125%, 10/01/17		125		130,625
6.500%, 05/01/21		450		406,125
Fiesta Restaurant Group 144A@ 8.875%, 08/15/16		200		211,000
JC Penney Corp., Inc. 7.125%, 11/15/23		50		52,250
QVC, Inc. 144A@ 7.125%, 04/15/17		250		266,250
7.500%, 10/01/19		225		246,938
RadioShack Corp. 6.750%, 05/15/19		175		139,781
Rite Aid Corp. 9.500%, 06/15/17		375		375,937
9.250%, 03/15/20 144A @		375		378,750
7.700%, 02/15/27		175		162,750
Toys R Us Property Co. II LLC 8.500%, 12/01/17		150		156,563


	Par (000)		Value†

Retail — (continued)
Wendy’s/Arby’s Group LLC 10.000%, 07/15/16	$	100	$	109,250

				4,727,132

Savings & Loans — 0.2%
Amsouth Bank 5.200%, 04/01/15		250		255,000

Semiconductors — 0.7%
Advanced Micro Devices, Inc. 8.125%, 12/15/17		275		302,500
7.750%, 08/01/20		50		55,000
Freescale Semiconductor, Inc. 10.125%, 03/15/18 144A @		88		98,120
8.050%, 02/01/20		50		50,250
MEMC Electronic Materials, Inc. 7.750%, 04/01/19		375		298,125
Sensata Technologies BV 144A @ 6.500%, 05/15/19		300		312,000

				1,115,995

Software — 2.4%
Aspect Software, Inc. 10.625%, 05/15/17		100		106,750
Epicor Software Corp. 8.625%, 05/01/19		375		383,438
Fidelity National Information Services, Inc. 7.625%, 07/15/17 144A @		75		81,750
7.875%, 07/15/20		150		166,500
First Data Corp. 7.375%, 06/15/19 144A @		450		458,437
8.875%, 08/15/20 144A @		275		298,031
12.625%, 01/15/21		1,550		1,553,875
JDA Software Group, Inc. 8.000%, 12/15/14		125		134,063
Lawson Software, Inc. 144A@ 11.500%, 07/15/18		100		110,500
9.375%, 04/01/19		150		154,875
MedAssets, Inc. 8.000%, 11/15/18		225		236,250

				3,684,469

Storage & Warehousing — 0.1%
Niska Gas Storage US LLC 8.875%, 03/15/18		100		94,000

Telecommunications — 12.7%
Avaya, Inc. PIK 10.125%, 11/01/15		825		816,750
CC Holdings GS LLC 144A @ 7.750%, 05/01/17		175		190,750
Cincinnati Bell, Inc. 7.000%, 02/15/15		175		176,750
CommScope, Inc. 144A @ 8.250%, 01/15/19		800		852,000
Cricket Communications, Inc. 10.000%, 07/15/15		200		210,500
7.750%, 05/15/16		150		158,250
7.750%, 10/15/20		625		614,062


	Par (000)		Value†
CORPORATE BONDS — (continued)
Telecommunications — (continued)
Crown Castle International Corp. 9.000%, 01/15/15	$	350	$	385,000
Digicel Group Ltd. 144A@ 8.250%, 09/01/17		225		237,938
10.500%, 04/15/18		200		221,000
Eileme 1 AB PIK 144A @ 14.250%, 08/15/20		200		187,000
Eileme 2 AB 144A @ 11.625%, 01/31/20		200		208,500
GCI, Inc. 6.750%, 06/01/21		200		201,250
Goodman Networks, Inc. 144A @ 12.125%, 07/01/18		225		226,125
Hughes Satellite Systems Corp. 6.500%, 06/15/19		350		365,750
7.625%, 06/15/21		325		348,562
Intelsat Jackson Holdings S.A. 7.250%, 04/01/19		100		105,125
8.500%, 11/01/19		600		658,500
7.250%, 10/15/20		75		78,844
Intelsat Luxembourg S.A. 11.250%, 02/04/17		675		702,000
11.500%, 02/04/17 PIK		125		130,000
11.500%, 02/04/17 PIK 144A @		500		515,000
ITC Deltacom, Inc. 10.500%, 04/01/16		50		52,500
Level 3 Communications, Inc. 11.875%, 02/01/19		225		256,500
Level 3 Financing, Inc. 8.750%, 02/15/17		125		130,625
9.375%, 04/01/19		475		518,937
8.625%, 07/15/20 144A @		250		262,500
MetroPCS Wireless, Inc. 7.875%, 09/01/18		575		605,187
6.625%, 11/15/20		275		273,281
Nextel Communications, Inc. 7.375%, 08/01/15		300		289,500
NII Capital Corp. 8.875%, 12/15/19		225		235,688
7.625%, 04/01/21		300		293,250
PAETEC Holding Corp. 8.875%, 06/30/17		175		189,875
9.875%, 12/01/18		150		169,500
Qwest Communications International, Inc. 8.000%, 10/01/15		225		240,188
Qwest Corp. 8.375%, 05/01/16		75		89,619
Sable International Finance Ltd. 144A@ 7.750%, 02/15/17		150		156,750
8.750%, 02/01/20		200		212,000
Satmex Escrow S.A. de CV 9.500%, 05/15/17		25		25,750
SBA Telecommunications, Inc. 8.250%, 08/15/19		100		110,250
Sprint Nextel Corp. 144A@ 9.125%, 03/01/17		750		746,250


	Par (000)		Value†

Telecommunications — (continued)
9.000%, 11/15/18	$	700	$	768,250
7.000%, 03/01/20		350		355,250
11.500%, 11/15/21		200		215,000
Syniverse Holdings, Inc. 9.125%, 01/15/19		275		303,188
Telesat Canada 11.000%, 11/01/15		325		346,938
12.500%, 11/01/17		400		447,000
UPC Holding BV 144A@ 9.875%, 04/15/18		275		303,875
8.375%, 08/15/20		125		172,340
UPCB Finance Ltd. 144A@ 7.625%, 01/15/20		75		105,530
UPCB Finance V Ltd. 144A@ 7.250%, 11/15/21		150		158,625
UPCB Finance VI Ltd. 144A@ 6.875%, 01/15/22		225		232,313
Viasat, Inc. 8.875%, 09/15/16		100		108,750
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC 144A@ 7.748%, 02/02/21		325		320,938
VimpelCom Holdings BV 144A@ 7.504%, 03/01/22		450		436,500
West Corp. 8.625%, 10/01/18		475		521,312
7.875%, 01/15/19		175		186,375
Wind Acquisition Finance S.A. 144A@ 11.750%, 07/15/17		225		283,579
11.750%, 07/15/17		200		197,000
7.250%, 02/15/18		400		377,000
Wind Acquisition Holdings Finance S.A. PIK 144A@ 12.250%, 07/15/17		147		130,048
12.250%, 07/15/17		50		59,350
Windstream Corp. 8.125%, 08/01/13		25		26,625
7.875%, 11/01/17		675		744,187

				19,247,779

Transportation — 1.1%
CEVA Group Plc 144A@ 8.375%, 12/01/17		225		222,750
DP World Sukuk Ltd. 144A @ 6.250%, 07/02/17		670		705,175
Florida East Coast Holdings Corp. PIK 10.500%, 08/01/17		3		2,259
Florida East Coast Railway Corp. 8.125%, 02/01/17		150		153,000
Gategroup Finance Lux S.A. 144A@ 6.750%, 03/01/19		100		133,371
Kansas City Southern de Mexico S.A. de CV 8.000%, 02/01/18		225		249,750
6.625%, 12/15/20		100		108,000
6.125%, 06/15/21		125		134,531

				1,708,836


	Par (000)		Value†
CORPORATE BONDS — (continued)
Trucking and Leasing — 0.1%
Maxim Crane Works LP 144A @ 12.250%, 04/15/15	$	125	$	118,750

TOTAL CORPORATE BONDS (Cost $138,562,440)				143,671,483


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 3.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		5,072		5,072
T. Rowe Price Reserve Investment Fund		5,032,872		5,032,872

TOTAL SHORT-TERM INVESTMENTS (Cost $5,037,944)				5,037,944

TOTAL INVESTMENTS — 100.0% (Cost $146,859,806)(a)			$	151,804,990

†	See Security Valuation Note.

*	Non-income producing security.

^	Illiquid security. The total market value of illiquid securities at March 31, 2012 is $492,083.

•	Variable Rate Security.

¤	Defaulted Security.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $54,000.

+	Effective Yield. For those bonds that become coupon paying at a future date, the interest rate disclosed represents that annualized effective yield from the date of acquisition to maturity.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $146,915,558. Net unrealized appreciation was $4,889,432. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $6,779,676 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $1,890,244.

CONV — Convertible Security.

LLC — Limited Liability Company.

LP — Limited Partnership.

OJSC — Open Joint Stock Company

PIK — Payment in Kind Security.

Plc — Public Limited Company.

STEP — Step Coupon Bond.


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Apparel	$	2,493	$	—	$	2,493	$	—
Electric		257,152		257,152		—		—
Entertainment		22,500		22,500		—		—
Lodging		124,355		124,355		—		—
Oil & Gas		135,137		135,137		—		—
Telecommunications		346,028		346,028		—		—
REAL ESTATE INVESTMENT TRUSTS		86,652		86,652		—		—
PREFERRED STOCKS
Auto Manufacturers		230,175		230,175		—		—
Banks		818,083		818,083		—		—
Media		118,300		—		118,300		—
Packaging and Containers		—		—		—		—
Telecommunications		954,688		954,688		—		—
CORPORATE BONDS
Advertising		679,250		—		679,250		—
Aerospace & Defense		1,507,844		—		1,507,844		—
Airlines		1,520,460		—		1,520,460		—
Apparel		511,694		—		511,694		—
Auto Manufacturers		1,014,625		—		1,014,625		—
Auto Parts & Equipment		1,144,312		—		1,144,312		—
Banks		5,759,395		—		5,759,395		—
Beverages		81,094		—		81,094		—
Building Materials		3,783,312		—		3,783,312		—
Chemicals		3,653,876		—		3,653,876		—
Coal		3,116,744		—		3,116,744		—
Commercial Services		3,805,483		—		3,805,483		—
Computers		786,344		—		786,344		—
Distribution & Wholesale		828,812		—		828,812		—
Diversified Financial Services		14,237,528		—		14,237,528		—
Electric		3,462,518		—		3,462,518		—
Electrical Components & Equipment		347,063		—		347,063		—
Electronics		282,500		—		282,500		—
Engineering & Construction		619,312		—		619,312		—
Entertainment		3,156,625		—		3,156,625		—
Environmental Control		83,625		—		83,625		—
Food		2,663,744		—		2,663,744		—
Forest Products & Paper		1,877,937		—		1,877,937		—
Gas		455,813		—		455,813		—
Healthcare Products		1,689,806		—		1,689,806		—
Healthcare Services		6,732,978		—		6,732,978		—
Holding Companies		584,832		—		584,832		—
Home Builders		666,687		—		666,687		—
Home Furnishings		178,746		—		178,746		—
Household Products & Wares		1,314,034		—		1,314,034		—
Insurance		1,505,094		—		1,505,094		—
Internet		967,875		—		967,875		—
Iron & Steel		2,581,645		—		2,581,645		—
Leisure Time		474,343		—		474,343		—
Lodging		1,778,674		—		1,778,674		—
Machinery - Construction & Mining		568,375		—		568,375		—
Machinery - Diversified		714,125		—		714,125		—
Media		10,810,270		—		10,810,270		—
Metal Fabricate/Hardware		665,750		—		665,750		—
Mining		2,183,020		—		2,183,020		—
Miscellaneous Manufacturing		727,062		—		673,062		54,000
Office & Business Equipment		1,458,031		—		1,458,031		—
Oil & Gas		12,639,203		—		12,639,203		—
Oil & Gas Services		2,661,792		—		2,661,792		—
Packaging and Containers		1,886,040		—		1,886,040		—


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
Pharmaceuticals		640,748		—		640,748		—
Pipelines		1,483,530		—		1,483,530		—
Real Estate		2,426,952		—		2,426,952		—
Retail		4,727,132		—		4,727,132		—
Savings & Loans		255,000		—		255,000		—
Semiconductors		1,115,995		—		1,115,995		—
Software		3,684,469		—		3,684,469		—
Storage & Warehousing		94,000		—		94,000		—
Telecommunications		19,247,779		—		19,247,779		—
Transportation		1,708,836		—		1,708,836		—
Trucking and Leasing		118,750		—		118,750		—
TOTAL CORPORATE BONDS		143,671,483		—		143,617,483		54,000
SHORT-TERM INVESTMENTS		5,037,944		5,037,944		—		—

TOTAL INVESTMENTS	$	151,804,990	$	8,012,714	$	143,738,276	$	54,000

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


	Investments in Securities (Market Value)
Balance as of 12/31/2011*	$	—
Transfers In of Level 3		75,000
Accrued Discount/Premium		209
Change in Appreciation/(Depreciation)		(21,209	)

Balance as of 3/31/2012	$	54,000

It is the Fund’s policy to recognize transfers in and transfers out at the fair value as of the beginning of period.

*	Includes a security held at December 31, 2011 with a fair valuation of $0.


	Number of Shares		Value†
COMMON STOCKS — 61.8%
Aerospace & Defense — 2.6%
United Technologies Corp.		598,000	$	49,598,120

Agriculture — 0.9%
Philip Morris International, Inc.		186,800		16,552,348

Auto Manufacturers — 0.9%
General Motors Co.*		650,700		16,690,455

Auto Parts & Equipment — 1.8%
Delphi Automotive Plc		478,500		15,120,600
TRW Automotive Holdings Corp.*		400,000		18,580,000

				33,700,600

Banks — 3.7%
JPMorgan Chase & Co.		741,900		34,112,562
Northern Trust Corp.		247,000		11,720,150
U.S. Bancorp		719,600		22,796,928

				68,629,640

Beverages — 2.1%
Coca-Cola Enterprises, Inc.		171,700		4,910,620
PepsiCo, Inc.		530,300		35,185,405

				40,096,025

Chemicals — 0.5%
Potash Corp. of Saskatchewan, Inc.		222,600		10,170,594

Computers — 3.1%
Accenture Plc, Class A*		78,300		5,050,350
Apple, Inc.*		69,000		41,363,430
Dell, Inc.*		275,300		4,569,980
International Business Machines Corp.		30,900		6,447,285

				57,431,045

Cosmetics & Personal Care — 0.9%
The Procter & Gamble Co.		247,682		16,646,707

Diversified Financial Services — 2.8%
BlackRock, Inc.		87,400		17,908,260
Invesco Ltd.		689,408		18,386,511
TD Ameritrade Holding Corp.		690,700		13,634,418
The Charles Schwab Corp.		170,900		2,455,833

				52,385,022

Electric — 2.4%
American Electric Power Co., Inc.		18,200		702,156
Edison International		523,200		22,241,232
MDU Resources Group, Inc.		235,700		5,277,323
PG&E Corp.		98,300		4,267,203
The AES Corp.*		899,500		11,756,465

				44,244,379

Electronics — 5.0%
TE Connectivity Ltd.		512,525		18,835,294
Thermo Fisher Scientific, Inc.		1,321,300		74,494,894

				93,330,188

Food — 3.0%
General Mills, Inc.		874,228		34,488,295
Kellogg Co.		419,100		22,476,333

				56,964,628


	Number of Shares		Value†

Healthcare Products — 0.5%
Covidien Plc		178,900	$	9,782,252
Henry Schein, Inc.*		4,578		346,463

				10,128,715

Healthcare Services — 2.5%
Laboratory Corp. of America Holdings*		188,300		17,236,982
Quest Diagnostics, Inc.		390,400		23,872,960
WellPoint, Inc.		69,500		5,129,100

				46,239,042

Insurance — 0.3%
AON Corp.		100,600		4,935,436
XL Group Plc		32,700		709,263

				5,644,699

Internet — 1.7%
Google, Inc., Class A*		49,100		31,484,884

Media — 1.9%
The Walt Disney Co.		827,400		36,223,572
Time Warner, Inc.		66		2,492

				36,226,064

Miscellaneous Manufacturing — 5.5%
Cooper Industries Plc		538,200		34,417,890
Danaher Corp.		762,178		42,681,968
Ingersoll-Rand Plc		377,400		15,605,490
Pall Corp.		156,800		9,349,984

				102,055,332

Oil & Gas — 1.9%
Apache Corp.		56,400		5,664,816
EOG Resources, Inc.		51,500		5,721,650
Exxon Mobil Corp.		108,300		9,392,859
Nexen, Inc.		527,200		9,674,120
WPX Energy, Inc.		250,700		4,515,107

				34,968,552

Oil & Gas Services — 1.0%
Schlumberger Ltd.		97,900		6,846,147
Weatherford International Ltd.*		808,700		12,203,283

				19,049,430

Packaging and Containers — 0.9%
Crown Holdings, Inc.*		478,900		17,637,887

Pharmaceuticals — 4.5%
AmerisourceBergen Corp.		251,900		9,995,392
Express Scripts, Inc.*		86,800		4,702,824
McKesson Corp.		63,000		5,529,510
Pfizer, Inc.		2,790,208		63,226,113

				83,453,839

Pipelines — 2.2%
Spectra Energy Corp.		811,695		25,608,977
The Williams Cos., Inc.		506,800		15,614,508

				41,223,485

Retail — 1.7%
Dollar General Corp.*		280,600		12,963,720
Kohl’s Corp.		306,300		15,324,189


	Number of Shares		Value†
COMMON STOCKS — (continued)
Retail — (continued)
Lowe’s Cos., Inc.		119,800	$	3,759,324

				32,047,233

Semiconductors — 0.8%
Texas Instruments, Inc.		423,500		14,233,835

Software — 2.2%
Fiserv, Inc.*		371,000		25,743,690
Microsoft Corp.		154,300		4,976,175
Oracle Corp.		352,100		10,267,236

				40,987,101

Telecommunications — 3.2%
Amdocs Ltd.*		490,700		15,496,306
AT&T, Inc.		1,067,300		33,331,779
Cisco Systems, Inc.		495,300		10,475,595

				59,303,680

Toys, Games & Hobbies — 0.4%
Hasbro, Inc.		189,800		6,969,456

Transportation — 0.9%
CSX Corp.		807,700		17,381,704

TOTAL COMMON STOCKS (Cost $917,900,845)				1,155,474,689


	Par (000)		Value†
REAL ESTATE INVESTMENT TRUSTS — 0.1%
Industrial — 0.1%
Boston Properties LP (Cost $1,237,259)		1,240,000		1,282,497


	Number of Shares		Value†
PREFERRED STOCKS — 1.6%
Auto Manufacturers — 0.4%
General Motors Co.CONV		163,000		6,821,550

Banks — 0.1%
U.S. Bancorp		71,000		1,930,490

Diversified Financial Services — 0.4%
AMG Capital Trust I CONV		161,100		7,984,519

Electric — 0.3%
PPL Corp.		98,100		5,272,875

Finance — 0.0%
Federal National Mortgage Association CONV		70		203,000

Food — 0.1%
Heinz Finance Co. (H.J.) CONV 144A^		15		1,623,750

Housewares — 0.3%
Newell Financial Trust I CONV		134,300		6,345,675

TOTAL PREFERRED STOCKS (Cost $35,937,623)				30,181,859


	Par (000)		Value†
CORPORATE BONDS — 9.5%
Advertising — 0.2%
Lamar Media Corp. 9.750%, 04/01/14	$	2,730	$	3,071,250

Airlines — 0.6%
American Airlines Pass Through Trust 2009-1A 10.375%, 07/02/19		395		429,770
Continental Airlines 2009-1 Class A Pass Through Trust 9.000%, 07/08/16		885		1,008,616
Continental Airlines 2009-2 Class A Pass Through Trust 7.250%, 11/10/19		760		851,227
Continental Airlines 2012-1 Class A Pass Through Trust 4.150%, 04/11/24		2,210		2,165,800
Continental Airlines 2012-1 Class B Pass Through Trust 6.250%, 04/11/20		465		473,137
Continental Airlines, Inc. 4.500%, 01/15/15		908		1,229,205
6.750%, 09/15/15@ 144A		890		893,337
Delta Air Lines 2011-1, Pass Through Trust 5.300%, 04/15/19		715		757,900
Delta Air Lines, Inc. 7.750%, 12/17/19		781		890,053
US Airways 2010-1 Class A, Pass Through Trust 6.250%, 04/22/23		2,390		2,473,935
US Airways 2010-1 Class B, Pass Through Trust 8.500%, 04/22/17		352		347,095

				11,520,075

Banks — 0.0%
CIT Group, Inc. 5.250%, 04/01/14@^		475		485,094
Regions Bank 7.500%, 05/15/18		90		101,925
Synovus Financial Corp. 5.125%, 06/15/17		105		96,337

				683,356

Beverages — 0.2%
Pernod-Ricard SA 4.250%, 07/15/22@^		2,250		2,255,823
Pernod-Ricard SA 144A 5.750%, 04/07/21@^		1,170		1,295,782

				3,551,605

Chemicals — 0.1%
Ecolab, Inc. 4.350%, 12/08/21		1,350		1,431,157


	Par (000)		Value†
CORPORATE BONDS — (continued)
Coal — 0.8%
Consol Energy, Inc. 8.250%, 04/01/15	$	910	$	950,950
8.000%, 04/01/17		6,370		6,640,725
Peabody Energy Corp. 7.375%, 11/01/16		830		910,925
6.000%, 11/15/18@ 144A		2,150		2,107,000
6.500%, 09/15/20		870		870,000
4.750%, 12/15/41 CONV		3,399		3,229,050

				14,708,650

Commercial Services — 0.1%
Verisk Analytics, Inc. 4.875%, 01/15/19		1,360		1,440,848

Diversified Financial Services — 1.6%
CNH Capital LLC 144A 6.250%, 11/01/16@		700		750,750
Ford Motor Credit Co LLC 4.250%, 02/03/17		1,340		1,354,402
Ford Motor Credit Co. LLC 3.875%, 01/15/15		4,530		4,574,222
6.625%, 08/15/17		1,675		1,856,123
5.000%, 05/15/18		1,800		1,864,541
5.875%, 08/02/21		2,600		2,804,334
International Lease Finance Corp. 144A@ 6.500%, 09/01/14		8,130		8,587,312
6.750%, 09/01/16^		2,270		2,431,737
7.125%, 09/01/18		3,700		4,033,000
Janus Capital Group, Inc. STEP 6.700%, 06/15/17		1,850		1,981,554

				30,237,975

Electric — 0.5%
Calpine Construction Finance Co. LP 144A 8.000%, 06/01/16@		2,800		3,045,000
Calpine Corp. 144A 7.500%, 02/15/21@		1,275		1,361,063
CMS Energy Corp. 6.550%, 07/17/17		895		1,013,085
8.750%, 06/15/19		415		506,142
Entergy Corp. 4.700%, 01/15/17		890		926,957
Nisource Finance Corp. 4.450%, 12/01/21		905		944,018
Otter Tail Corp. 9.000%, 12/15/16^		890		958,975
Tucson Electric Power Co. 5.150%, 11/15/21		1,360		1,442,693

				10,197,933

Forest Products & Paper — 0.1%
Georgia-Pacific LLC 144A 8.250%, 05/01/16@		800		882,358

Healthcare Services — 0.1%
Fresenius Medical Care U.S. Finance II, Inc. 144A 5.625%, 07/31/19@		750		772,500


	Par (000)		Value†

Healthcare Services — (continued)
5.875%, 01/31/22	$	425	$	436,688

				1,209,188

Lodging — 0.3%
MGM Resorts International 13.000%, 11/15/13		1,690		1,958,288
10.375%, 05/15/14		770		872,988
9.000%, 03/15/20		2,075		2,308,437

				5,139,713

Media — 0.4%
CCH II LLC 13.500%, 11/30/16		602		685,971
CCO Holdings LLC 7.250%, 10/30/17		850		911,625
Kabel BW GmbH, 144A 7.500%, 03/15/19@^		575		621,000
Kabel BW GmbH, 144A 7.500%, 03/15/19@		860		1,221,542
Sirius XM Radio, Inc. 144A 9.750%, 09/01/15@		100		108,000
Time Warner, Inc. 5.875%, 11/15/16		905		1,060,027
Unitymedia Hessen GmbH & Co KG / Unitymedia NRW GmbH 144A 8.125%, 12/01/17@^		1,720		2,431,614
Univision Communications, Inc. 144A 7.875%, 11/01/20@		350		367,500

				7,407,279

Metal Fabricate/Hardware — 0.1%
Schaeffler Finance BV 144A@ 7.750%, 02/15/17		1,250		1,321,875
8.500%, 02/15/19		850		907,375

				2,229,250

Miscellaneous Manufacturing — 0.2%
Actuant Corp. 6.875%, 06/15/17		675		700,313
2.000%, 11/15/23 CONV		272		397,460
RBS Global, Inc. 8.500%, 05/01/18		555		595,238
Tyco Electronics Group SA 6.000%, 10/01/12		1,750		1,796,035

				3,489,046

Oil & Gas — 0.9%
Denbury Resources, Inc. 8.250%, 02/15/20		1,125		1,257,187
EQT Corp. 6.500%, 04/01/18		1,620		1,845,715
4.875%, 11/15/21		8,005		8,100,796
Noble Energy, Inc. 4.150%, 12/15/21		1,350		1,379,854
PetroHawk Energy Corp. 10.500%, 08/01/14		75		83,531
Plains Exploration & Production Co. 6.750%, 02/01/22		2,150		2,246,750


	Par (000)		Value†
CORPORATE BONDS — (continued)
Oil & Gas — (continued)
QEP Resources, Inc. 6.875%, 03/01/21	$	475	$	524,875
Questar Market Resources, Inc. 6.800%, 03/01/20		440		465,300
Range Resources Corp. 8.000%, 05/15/19		750		823,125
5.750%, 06/01/21		450		472,500
Whiting Petroleum Corp. 6.500%, 10/01/18		350		372,750

				17,572,383

Oil & Gas Services — 0.2%
Oil States International, Inc. CONV 2.375%, 07/01/25		1,767		4,344,611

Packaging and Containers — 0.0%
Ball Corp. 7.375%, 09/01/19		50		55,250
Silgan Holdings, Inc. 7.250%, 08/15/16		375		421,406

				476,656

Pipelines — 0.1%
Energy Transfer Equity LP 7.500%, 10/15/20		1,690		1,875,900
Energy Transfer Partners LP 5.200%, 02/01/22		580		606,771

				2,482,671

Real Estate — 0.2%
Host Hotels & Resorts LP 5.875%, 06/15/19		1,800		1,896,750
UDR, INC. 4.625%, 01/10/22		2,250		2,303,395

				4,200,145

Real Estate Investment Trusts — 0.3%
Host Hotels & Resorts LP CONV 144A@^ 2.625%, 04/15/27		5,153		5,146,559

Retail — 0.5%
AmeriGas Finance LLC 6.750%, 05/20/20		800		812,000
7.000%, 05/20/22		3,175		3,238,500
Dollar General Corp. PIK • 11.875%, 07/15/17		1,225		1,329,137
Mattel, Inc. 2.500%, 11/01/16		230		235,286
Penske Auto Group, Inc. 7.750%, 12/15/16		2,125		2,212,678
Rite Aid Corp. 10.375%, 07/15/16		1,225		1,304,625

				9,132,226

Semiconductors — 0.3%
Xilinx, Inc. CONV 3.125%, 03/15/37		4,265		5,416,550


	Par (000)		Value†

Software — 0.1%
First Data Corp. 144A 7.375%, 06/15/19@	$	2,575	$	2,623,281

Telecommunications — 1.6%
American Tower Corp. 4.500%, 01/15/18		1,410		1,481,487
CC Holdings GS LLC 144A 7.750%, 05/01/17@		3,655		3,983,950
Cricket Communications, Inc. 7.750%, 10/15/20		1,470		1,444,275
Crown Castle International Corp. 9.000%, 01/15/15		990		1,089,000
7.125%, 11/01/19		2,840		3,102,700
Nextel Communications, Inc. 5.950%, 03/15/14		1,625		1,625,000
SBA Communications Corp. CONV 1.875%, 05/01/13		959		1,210,737
SBA Telecommunications, Inc. 8.000%, 08/15/16		300		322,500
8.250%, 08/15/19		225		248,063
Sprint Capital Corp. 6.900%, 05/01/19		300		259,500
Sprint Nextel Corp. 144A@ 9.000%, 11/15/18		6,790		7,452,025
11.500%, 11/15/21		450		483,750
UPCB Finance III Ltd. 144A 6.625%, 07/01/20@		1,790		1,825,800
UPCB Finance V Ltd. 144A 7.250%, 11/15/21@		2,580		2,728,350
UPCB Finance VI Ltd. 144A 6.875%, 01/15/22@		2,100		2,168,250

				29,425,387

TOTAL CORPORATE BONDS (Cost $166,652,921)				178,020,152

LOAN AGREEMENTS — 9.3%
Aerospace & Defense — 0.0%
Delos Aircraft, Inc.• 7.000%, 03/17/16		450		450,581

Auto Parts & Equipment — 1.1%
Autoparts Holdings, Inc.• 6.500%, 07/29/17		2,587		2,599,935
Federal Mogul Corp. 2.178%, 12/27/14‡		10,959		10,526,770
2.178%, 12/28/15•		8,384		8,053,239

				21,179,944

Banks — 0.6%
Cedar Fair Bank• 4.000%, 12/15/17		3,223		3,224,834
Fidelity National Bank• 4.250%, 07/18/16		480		481,200
FleetPride Corp. 6.750%, 12/06/17		1,625		1,622,286
Flying Fortess Bank• 5.000%, 02/10/17		1,750		1,756,563


	Par (000)		Value†
LOAN AGREEMENTS — (continued)
Banks — (continued)
Nuveen Bank• 8.250%, 02/28/19	$	2,375	$	2,400,721
Vantiv Bank 2.750%, 02/22/19		2,525		2,522,627

				12,008,231

Diversified Financial Services — 0.7%
MSCII, Inc.• 3.500%, 03/14/17		3,092		3,087,995
Nuveen Investments, Inc.• 5.720%, 11/13/14		1,885		1,875,253
05/13/17 5.720 - 5.803%		2,203		2,198,575
Pinnacle Foods Finance LLC• 04/02/14 2.744 - 3.081%		2,435		2,427,886
6.000%, 04/02/14		478		477,903
Pinncale Foods Bank 3.500%, 09/16/18		650		651,424
WorldPay 5.250%, 11/30/17‡		1,425		1,422,335

				12,141,371

Food Service — 2.0%
Dineequity, Inc.• 4.250%, 10/19/17		5,872		5,871,757
Dunkin Brands, Inc. 4.00% - 5.250% 11/23/17‡		31,483		31,434,661

				37,306,418

Healthcare Products — 0.4%
Bausch & Lomb, Inc. 3.491 - 3.720% 04/24/15‡		6,678		6,658,555

Healthcare Services — 0.2%
HCA, Inc.• 1.491%, 11/16/12		4,203		4,194,969

Household Products & Wares — 0.3%
Reynolds Consumer Products Holding, Inc.• 6.500%, 02/09/18		3,134		3,164,290
Reynolds Group Holdings, Inc.• 6.500%, 08/09/18		1,969		1,992,469

				5,156,759

Media — 0.8%
CCO Holdings LLC• 2.741%, 09/06/14		500		492,500
Charter Communications Operating LLC• 7.250%, 03/06/14		41		40,542
3.720%, 09/06/16		4,340		4,315,959
Univision Communications, Inc.• 4.491%, 03/31/17		11,067		10,258,224

				15,107,225

Metal Fabricate/Hardware — 0.2%
Schaeffler Finance Bv 4.750%, 01/27/17		4,450		4,468,779


	Par (000)			Value†

Miscellaneous Manufacturing — 0.3%
Colfax Corp.• 4.500%, 01/11/19	$	5,387		$	5,388,331

Retail — 0.6%
Dollar General Corp. 2.991 - 3.558% • 07/07/14		7,679			7,677,227
Rite Aid Corp.• 4.500%, 03/03/18		2,750			2,710,125

					10,387,352

Software — 0.7%
First Data Corp. 5.242%, 03/24/17		10,186			9,742,876
Interactive Data Corp.• 4.500%, 02/11/18		3,371			3,364,423

					13,107,299

Telecommunications — 1.4%
Crown Castle International Corp.• 4.000%, 01/31/19		6,110			6,083,355
Intelsat Corp. 5.250%, 04/02/18‡		16,312			16,419,336
SBA Communications Corp.• 3.750%, 06/30/18		943			937,180
Telesat Canada, Inc. 3.250%, 03/08/19		3,100			3,094,203
					26,534,074

TOTAL LOAN AGREEMENTS (Cost $170,426,489)					174,089,888


	Number of Contracts			Value†
PURCHASED OPTIONS — 0.0%
Call Option — 0.0%
Avon Products, Inc. $20.00 01/19/13 (Cost $22,585)		177			26,550


	Number of Shares			Value†
SHORT-TERM INVESTMENTS — 17.7%
T. Rowe Price Reserve Investment Fund (Cost $329,692,204)		329,692,000			329,692,204

TOTAL INVESTMENTS — 99.3% (Cost $1,621,896,926)(a)				$	1,868,767,839


	Number of Contracts			Value†
WRITTEN OPTIONS
Call Options
Accent, $65.00, 01/19/13		(148	)		(66,600	)
AES $15.00, 01/19/13		(1,264	)		(50,560	)
AES, $40.00, 01/19/13		(182	)		(19,110	)
AT&T Inc., $30.00 01/19/13		(2,815	)		(492,625	)
AT&T Inc., $32.00 01/19/13		(3,387	)		(270,960	)
BlackRock, Inc. $210.00 01/19/13		(452	)		(583,080	)
Cisco, $18.00, 04/21/12		(3,178	)		(1,013,782	)
Covidien Plc, $50.00 07/21/12		(1,537	)		(845,350	)


	Number of Contracts			Value†
WRITTEN OPTIONS — (continued)
Call Options — (continued)
Dell, Inc., $17.50 01/19/13	$	(2,753	)	$	(368,902	)
Exxon, $87.50, 01/19/13		(1,083	)		(498,180	)
Google US, $650.00, 01/19/13		(297	)		(1,699,434	)
Ingersoll-Rand Plc $40.00 01/ 19/13		(2,003	)		(1,001,500	)
Ingersoll-Rand Plc, $40.00 01/ 19/13		(201	)		(100,500	)
International Business Machines Corp., $200.00 01/19/13		(309	)		(584,010	)
JPMorgan, $50.00, 01/19/13		(2,337	)		(446,367	)
Kellogg Co., $52.50 06/16/12		(387	)		(75,465	)
Kellogg Co., $55.00, 01/19/13		(970	)		(169,750	)
Kellogg Co., $60.00, 01/19/13		(603	)		(21,105	)
Microsoft Corp., $30.00 01/19/13		(1,543	)		(563,195	)
PepsiCo, Inc., $70.00 01/19/13		(199	)		(27,263	)
PepsiCo, Inc., $72.50 01/19/13		(197	)		(14,184	)
Pfizer, $22.50, 01/19/13		(12,644	)		(1,719,584	)
Philip Morris International, Inc., $85.00 01/19/13		(373	)		(264,830	)
Philip Morris International, Inc., $90.00 01/19/13		(374	)		(159,324	)
Schlumberger Ltd., $75.00 01/19/13		(979	)		(513,975	)
TE Conn., $40.00, 04/21/12		(698	)		(6,980	)
Texas Instruments, Inc. $40.00 01/19/13		(777	)		(46,620	)
The Procter & Gamble Co., $70.00 01/19/13		(306	)		(50,490	)
US Bancorp, $32.00, 01/19/13		(2,084	)		(487,656	)

TOTAL WRITTEN OPTIONS (Premiums $8,924,093)					(12,161,381	)

†	See Security Valuation Note.

*	Non-income producing security.

^	Illiquid Security. The total market value of illiquid securities at March 31, 2012 is $17,250,334.

•	Variable Rate Security.

‡

Loan Agreements in which the Fund invests generally pay interest at rates which are periodically predetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the Prime Rate offered by one or more major U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (“LIBOR”) or (iii) the Certificate of Deposit rate. Rate shown represents the actual rate at March 31, 2012. Loan Agreements, while exempt from registration under the Security Act of 1933, as amended (the “1933 Act”), contain certain restrictions on resale and cannot be sold publicly. Floating rate Loan Agreements often require repayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturity shown.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $1,627,859,266. Net unrealized appreciation was $240,908,573. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $227,341,045 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $13,567,528.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012			Level 1 Quoted Price			Level 2 Signi- ficant Obser- vable Input			Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS	$	1,149,951,593		$	1,149,951,593		$	—		$	—
REAL ESTATE INVESTMENT TRUSTS		1,282,497						1,282,497
PREFERRED STOCKS		30,181,859			30,181,859			—			—
CORPORATE BONDS		178,020,152			—			178,020,152			—
LOAN AGREEMENTS		174,156,413			—			174,156,413			—
SHORT-TERM INVESTMENTS		329,692,204			329,692,204			—			—
WRITTEN OPTIONS		26,550			—			26,550			—

TOTAL INVESTMENTS		1,863,311,268			1,509,825,656			353,485,612			—


LIABILITIES TABLE
Description	Total Market Value at 03/31/2012			Level 1 Quoted Price			Level 2 Signi- ficant Obser- vable Input			Level 3 Signi- ficant Unobser- vable Input
WRITTEN OPTIONS	$	(12,161,381	)	$	(6,450,576	)	$	(5,710,805	)	$	—

Total Liabilities	$	(12,161,381	)	$	(6,450,576	)	$	(5,710,805	)	$	—


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 59.9%
Penn Series Index 500 Fund* (Cost $30,529,280)		4,082,722	$	42,501,133

AFFILIATED FIXED INCOME FUNDS — 39.9%
Penn Series Quality Bond Fund* (Cost $24,550,152)		2,232,789		28,334,089

SHORT-TERM INVESTMENTS — 0.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $164,494)		164,494		164,494

TOTAL INVESTMENTS — 100.0% (Cost $55,243,926)(a)			$	70,999,716

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $59,073,584. Net unrealized appreciation was $11,926,132. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $15,755,790 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $3,829,658

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
AFFILIATED EQUITY FUNDS	$	42,501,133	$	42,501,133	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		28,334,089		28,334,089		—		—
SHORT-TERM INVESTMENTS		164,494		164,494		—		—

TOTAL INVESTMENTS		70,999,716		70,999,716		—		—


	Number of Shares		Value†
COMMON STOCKS — 96.3%
Aerospace & Defense — 0.7%
The Boeing Co.		19,600	$	1,457,652

Apparel — 2.6%
Coach, Inc.		10,300		795,984
NIKE, Inc., Class B		23,500		2,548,340
Prada S.p.A.*		137,200		892,223
Ralph Lauren Corp.		7,500		1,307,475

				5,544,022

Auto Parts & Equipment — 0.3%
Johnson Controls, Inc.		22,400		727,552

Banks — 0.4%
U.S. Bancorp		25,100		795,168

Beverages — 0.4%
Monster Beverage Corp.*		13,400		832,006

Biotechnology — 2.4%
Alexion Pharmaceuticals, Inc.*		12,400		1,151,464
Biogen Idec, Inc.*		10,400		1,310,088
Celgene Corp.*		12,600		976,752
Gilead Sciences, Inc.*		21,400		1,045,390
Human Genome Sciences, Inc.*		34,600		285,104
Regeneron Pharmaceuticals, Inc.*		3,400		396,508

				5,165,306

Chemicals — 3.1%
Air Products & Chemicals, Inc.		3,500		321,300
Potash Corp. of Saskatchewan, Inc.		9,300		424,917
Praxair, Inc.		39,200		4,493,888
The Sherwin-Williams Co.		11,400		1,238,838

				6,478,943

Commercial Services — 4.2%
Mastercard, Inc., Class A		13,400		5,635,236
Visa, Inc., Class A		27,700		3,268,600

				8,903,836

Computers — 14.4%
Accenture Plc, Class A*		34,600		2,231,700
Apple, Inc.*		39,500		23,679,065
EMC Corp.*		51,600		1,541,808
NetApp, Inc.*		24,200		1,083,434
SanDisk Corp.*		14,900		738,891
Teradata Corp.*		17,200		1,172,180

				30,447,078

Distribution & Wholesale — 2.5%
Fastenal Co.		59,300		3,208,130
Fossil, Inc.*		8,800		1,161,424
W.W. Grainger, Inc.		3,900		837,759

				5,207,313

Diversified Financial Services — 3.5%
American Express Co.		48,500		2,806,210
Franklin Resources, Inc.		16,000		1,984,480
IntercontinentalExchange, Inc.*		6,700		920,714
Invesco Ltd.		61,800		1,648,206

				7,359,610


	Number of Shares		Value†

Electronics — 0.5%
Trimble Navigation Ltd.*		19,100	$	1,039,422

Engineering & Construction — 0.4%
Fluor Corp.		5,900		354,236
McDermott International, Inc.*		40,500		518,805

				873,041

Food — 0.4%
Whole Foods Market, Inc.		9,300		773,760

Healthcare Products — 1.3%
Baxter International, Inc.		11,300		675,514
Covidien Plc		5,000		273,400
Edwards Lifesciences Corp.*		10,700		778,211
Stryker Corp.		18,400		1,020,832

				2,747,957

Home Builders — 0.5%
D.R. Horton, Inc.		21,600		327,672
Lennar Corp., Class A		15,000		407,700
NVR, Inc.*		500		363,165

				1,098,537

Internet — 16.7%
Amazon.com, Inc.*		31,300		6,338,563
Baidu, Inc. ADR*		31,500		4,591,755
Ctrip.com International Ltd. ADR*		22,600		489,064
eBay, Inc.*		73,900		2,726,171
Facebook Inc., Class A*^~		16,909		526,666
Facebook Inc., Class B*^~		30,111		937,870
Google, Inc., Class A*		13,100		8,400,244
Groupon Inc.*		49,600		911,648
Liberty Interactive Corp., Class A*		37,800		721,602
LinkedIn Corp., Class A*		14,200		1,448,258
priceline.com, Inc.*		8,900		6,385,750
Tencent Holdings Ltd.*		61,700		1,720,963
Twitter, Inc.*^~		7,697		123,152

				35,321,706

Leisure Time — 0.8%
Carnival Plc		25,789		824,159
Harley-Davidson, Inc.		18,400		903,072

				1,727,231

Lodging — 2.7%
Las Vegas Sands Corp.		37,800		2,176,146
Marriott International, Inc., Class A		48,097		1,820,471
MGM Resorts International*		23,300		317,346
Starwood Hotels & Resorts Worldwide, Inc.*		24,400		1,376,404

				5,690,367

Machinery — Construction & Mining — 0.5%
Caterpillar, Inc.		5,500		585,860
Joy Global, Inc.		5,600		411,600

				997,460

Machinery — Diversified — 1.6%
Cummins, Inc.		9,200		1,104,368
Deere & Co.		9,800		792,820
Roper Industries, Inc.		9,900		981,684


	Number of Shares		Value†
COMMON STOCKS — (continued)
Machinery — Diversified — (continued)
The Babcock & Wilcox Co.*		19,600	$	504,700

				3,383,572

Media — 1.0%
Discovery Communications, Inc., Class A*		8,700		440,220
The Walt Disney Co.		37,400		1,637,372

				2,077,592

Metal Fabricate/Hardware — 1.6%
Precision Castparts Corp.		19,800		3,423,420

Miscellaneous Manufacturing — 2.8%
Danaher Corp.		107,100		5,997,600

Oil & Gas — 2.6%
Cimarex Energy Co.		6,100		460,367
Continental Resources, Inc.*		11,300		969,766
EOG Resources, Inc.		18,600		2,066,460
Occidental Petroleum Corp.		20,600		1,961,738

				5,458,331

Oil & Gas Services — 2.5%
Cameron International Corp.*		22,900		1,209,807
FMC Technologies, Inc.*		39,600		1,996,632
Schlumberger Ltd.		30,600		2,139,858

				5,346,297

Pharmaceuticals — 2.8%
Allergan, Inc.		8,900		849,327
Express Scripts, Inc.*		33,300		1,804,194
McKesson Corp.		24,900		2,185,473
Valeant Pharmaceuticals International, Inc.*		18,100		971,789

				5,810,783

Pipelines — 0.5%
The Williams Cos., Inc.		33,700		1,038,297

Retail — 7.4%
AutoZone, Inc.*		3,000		1,115,400
CarMax, Inc.*		38,500		1,334,025
Chipotle Mexican Grill, Inc.*		4,500		1,881,000
Costco Wholesale Corp.		17,400		1,579,920
CVS Caremark Corp.		31,000		1,388,800
Lowe’s Cos., Inc.		17,500		549,150
Michael Kors Holdings Ltd.*		11,800		549,762
Ross Stores, Inc.		19,400		1,127,140
Starbucks Corp.		72,200		4,035,258
The Home Depot, Inc.		9,500		477,945
Yum! Brands, Inc.		23,800		1,694,084

				15,732,484

Semiconductors — 3.7%
Broadcom Corp., Class A*		44,200		1,737,060
QUALCOMM, Inc.		90,800		6,176,216

				7,913,276

Software — 3.5%
Akamai Technologies, Inc.*		32,000		1,174,400
Autodesk, Inc.*		22,800		964,896
Check Point Software Technologies Ltd.*		13,100		836,304
Informatica Corp.*		18,800		994,520


	Number of Shares		Value†

Software — (continued)
Nuance Communications, Inc.*		36,900	$	943,902
Red Hat, Inc.*		22,000		1,317,580
Salesforce.com, Inc.*		7,600		1,174,276

				7,405,878

Telecommunications — 3.3%
Crown Castle International Corp.*		89,200		4,757,928
Juniper Networks, Inc.*		97,800		2,237,664

				6,995,592

Transportation — 4.7%
Expeditors International of Washington, Inc.*		15,500		720,905
FedEx Corp.		35,300		3,246,188
J.B. Hunt Transport Services, Inc.		17,000		924,290
Kansas City Southern*		15,600		1,118,364
Union Pacific Corp.		17,900		1,923,892
United Parcel Service, Inc., Class B		26,000		2,098,720

				10,032,359

TOTAL COMMON STOCKS (Cost $136,990,553)				203,803,448

PREFERRED STOCKS — 0.2%
Internet — 0.2%
Livingsocial, Series F CONV*^~		15,066		80,272
Twitter, Inc. Series A CONV*^~		20		320
Twitter, Inc. Series B CONV*^~		5,772		92,352
Twitter, Inc. Series B CONV*^~		312		4,992
Twitter, Inc. Series C CONV*^~		1,566		25,056
Twitter, Inc. Series C CONV*^~		80		1,280
Twitter, Inc. Series D CONV*^~		2,954		47,264
Twitter, Inc. Series F CONV*^~		1,040		16,640
Twitter, Inc. Series G-2 CONV*^~		12,129		194,064

TOTAL PREFERRED STOCKS (Cost $499,276)				462,240

REAL ESTATE INVESTMENT TRUSTS — 1.9%
Diversified — 1.9%
American Tower Corp.* (Cost $2,501,874)		62,500		3,938,750

SHORT-TERM INVESTMENTS — 1.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		3,475,906		3,475,906
T. Rowe Price Reserve Investment Fund		1,004		1,004

TOTAL SHORT-TERM INVESTMENTS (Cost $3,476,910)				3,476,910

TOTAL INVESTMENTS — 100.0% (Cost $143,468,613)(a)			$	211,681,348

†	See Security Valuation Note.

*	Non-income producing security.

^	Illiquid security. The total market value of illiquid securities at March 31, 2012 is $2,049,928.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS
Aerospace & Defense	$	1,457,652	$	1,457,652	$	—	$	—
Apparel		5,544,022		5,544,022		—		—
Auto Parts & Equipment		727,552		727,552		—		—
Banks		795,168		795,168		—		—
Beverages		832,006		832,006		—		—
Biotechnology		5,165,306		5,165,306		—		—
Chemicals		6,478,943		6,478,943		—		—
Commercial Services		8,903,836		8,903,836		—		—
Computers		30,447,078		30,447,078		—		—
Distribution & Wholesale		5,207,313		5,207,313		—		—
Diversified Financial Services		7,359,610		7,359,610		—		—
Electronics		1,039,422		1,039,422		—		—
Engineering & Construction		873,041		873,041		—		—
Food		773,760		773,760		—		—
Healthcare Products		2,747,957		2,747,957		—		—
Home Builders		1,098,537		1,098,537		—		—
Internet		35,321,706		33,734,018		—		1,587,688
Leisure Time		1,727,231		1,727,231		—		—
Lodging		5,690,367		5,690,367		—		—
Machinery - Construction & Mining		997,460		997,460		—		—
Machinery - Diversified		3,383,572		3,383,572		—		—
Media		2,077,592		2,077,592		—		—
Metal Fabricate/Hardware		3,423,420		3,423,420		—		—
Miscellaneous Manufacturing		5,997,600		5,997,600		—		—
Oil & Gas		5,458,331		5,458,331		—		—
Oil & Gas Services		5,346,297		5,346,297		—		—
Pharmaceuticals		5,810,783		5,810,783		—		—
Pipelines		1,038,297		1,038,297		—		—
Retail		15,732,484		15,732,484		—		—
Semiconductors		7,913,276		7,913,276		—		—
Software		7,405,878		7,405,878		—		—
Telecommunications		6,995,592		6,995,592		—		—
Transportation		10,032,359		10,032,359		—		—
REAL ESTATE INVESTMENT TRUSTS		3,938,750		3,938,750
PREFERRED STOCKS		462,240		—		—		462,240
SHORT-TERM INVESTMENTS		3,476,910		3,476,910		—		—

TOTAL INVESTMENTS	$	211,681,348	$	209,631,420	$	—	$	2,049,928

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


	Investments in Securities (Market Value)
Balance as of 12/31/2011	$	1,905,082
Purchases		134,048
Change in Appreciation/(Depreciation)		10,798

Balance as of 3/31/2012	$	2,049,928


	Number of Shares		Value†
COMMON STOCKS — 95.8%
Aerospace & Defense — 1.9%
The Boeing Co.		11,670	$	867,898

Apparel — 1.9%
Coach, Inc.		5,010		387,173
Ralph Lauren Corp.		2,700		470,691

				857,864

Auto Manufacturers — 1.3%
Ford Motor Co.		45,750		571,418

Banks — 1.1%
Comerica, Inc.		15,770		510,317

Beverages — 4.5%
The Coca-Cola Co.		28,020		2,073,760

Biotechnology — 1.9%
Alexion Pharmaceuticals, Inc.*		6,160		572,018
Gilead Sciences, Inc.*		5,840		285,284

				857,302

Chemicals — 1.5%
Monsanto Co.		8,500		677,960

Coal — 0.3%
Peabody Energy Corp.		5,530		160,149

Commercial Services — 0.7%
Manpower, Inc.		6,600		312,642

Computers — 12.6%
Apple, Inc.*		8,549		5,124,869
Fortinet, Inc.*		9,020		249,403
SanDisk Corp.*		7,880		390,769

				5,765,041

Cosmetics & Personal Care — 1.1%
The Estee Lauder Cos., Inc., Class A		8,150		504,811

Diversified Financial Services — 3.9%
Affiliated Managers Group, Inc.*		5,730		640,671
American Express Co.		13,640		789,211
TD Ameritrade Holding Corp.		16,860		332,816

				1,762,698

Electrical Components & Equipment — 1.3%
AMETEK, Inc.		11,900		577,269

Electronics — 1.0%
Agilent Technologies, Inc.		10,180		453,112

Engineering & Construction — 0.7%
KBR, Inc.		9,260		329,193

Food — 0.8%
Whole Foods Market, Inc.		4,440		369,408

Hand & Machine Tools — 0.7%
Stanley Black & Decker, Inc.		3,940		303,222


	Number of Shares		Value†

Healthcare Products — 2.1%
Intuitive Surgical, Inc.*		740	$	400,895
St. Jude Medical, Inc.		12,430		550,773

				951,668

Home Builders — 0.5%
Lennar Corp., Class A		8,170		222,061

Internet — 8.9%
Amazon.com, Inc.*		4,850		982,173
eBay, Inc.*		22,650		835,559
F5 Networks, Inc.*		2,880		388,685
Google, Inc., Class A*		2,375		1,522,945
LinkedIn Corp., Class A*		3,220		328,408

				4,057,770

Lodging — 1.8%
Las Vegas Sands Corp.*		8,920		513,524
Starwood Hotels & Resorts Worldwide, Inc.		5,400		304,614

				818,138

Machinery — Construction & Mining — 2.2%
Caterpillar, Inc.		9,320		992,766

Media — 1.4%
Comcast Corp., Class A		21,940		658,419

Metal Fabricate/Hardware — 0.6%
Precision Castparts Corp.		1,560		269,724

Mining — 1.1%
Goldcorp, Inc.		11,290		508,727

Miscellaneous Manufacturing — 1.7%
Pall Corp.		6,350		378,650
SPX Corp.		5,230		405,482

				784,132

Oil & Gas — 4.9%
Anadarko Petroleum Corp.		10,470		820,220
Cabot Oil & Gas Corp.		15,980		498,097
Concho Resources, Inc.*		8,920		910,553

				2,228,870

Oil & Gas Services — 3.6%
Cameron International Corp.*		9,890		522,489
Schlumberger Ltd.		15,940		1,114,684

				1,637,173

Packaging and Containers — 0.6%
Owens-Illinois, Inc.*		12,620		294,551

Pharmaceuticals — 3.2%
Allergan, Inc.		5,250		501,008
Express Scripts, Inc.*		11,620		629,572
Mead Johnson Nutrition Co.		3,980		328,270

				1,458,850

Pipelines — 0.7%
Enbridge, Inc.		8,330		323,621


	Number of Shares		Value†
COMMON STOCKS — (continued)
Real Estate — 1.1%
CBRE Group, Inc., Class A*		25,230	$	503,591

Retail — 4.5%
Bed Bath & Beyond, Inc.*		9,180		603,768
Guess?, Inc.		13,210		412,812
Lululemon Athletica, Inc.*		3,120		233,002
Starbucks Corp.		9,130		510,276
Yum! Brands, Inc.		3,850		274,043

				2,033,901

Semiconductors — 10.9%
Altera Corp.		21,740		865,687
Broadcom Corp., Class A		17,540		689,322
Lam Research Corp.*		9,290		414,520
NXP Semiconductors N.V.*		11,010		292,976
QUALCOMM, Inc.		25,700		1,748,114
Texas Instruments, Inc.		28,240		949,146

				4,959,765

Software — 4.1%
Cerner Corp.*		5,460		415,834
Salesforce.com, Inc.*		4,140		639,671
VeriFone Systems, Inc.*		6,330		328,337
VMware, Inc., Class A*		4,160		467,459

				1,851,301

Telecommunications — 2.9%
Acme Packet, Inc.*		6,080		167,322
Aruba Networks, Inc.*		17,900		398,812
Finisar Corp.*		12,710		256,106
Juniper Networks, Inc.*		15,400		352,352
Ubiquiti Networks, Inc.*		4,870		154,038

				1,328,630

Transportation — 1.8%
Union Pacific Corp.		7,720		829,746

TOTAL COMMON STOCKS (Cost $36,718,384)				43,667,468

REAL ESTATE INVESTMENT TRUSTS — 0.7%
Regional Malls — 0.7%
Simon Property Group, Inc. (Cost $298,688)		2,180		317,582

SHORT-TERM INVESTMENTS — 3.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,603,106)		1,603,106		1,603,106

TOTAL INVESTMENTS — 100.0% (Cost $38,620,178)(a)			$	45,588,156

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS	$	43,667,468	$	43,667,468	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		317,582		317,582
SHORT-TERM INVESTMENTS		1,603,106		1,603,106		—		—

TOTAL INVESTMENTS		45,588,156		45,588,156		—		—


	Number of Shares		Value†
COMMON STOCKS — 100.0%
Apparel — 4.0%
Coach, Inc.		12,895	$	996,525
NIKE, Inc., Class B		17,270		1,872,759
Ralph Lauren Corp.		10,400		1,813,032

				4,682,316

Auto Parts & Equipment — 0.8%
BorgWarner, Inc.*		10,490		884,727

Banks — 1.1%
Capital One Financial Corp.		23,660		1,318,808

Beverages — 1.1%
Monster Beverage Corp.*		20,650		1,282,159

Biotechnology — 2.6%
Alexion Pharmaceuticals, Inc.*		16,290		1,512,689
Gilead Sciences, Inc.*		31,160		1,522,166

				3,034,855

Chemicals — 2.0%
Monsanto Co.		29,770		2,374,455

Commercial Services — 3.5%
Hertz Global Holdings, Inc.*		56,030		842,691
Mastercard, Inc., Class A		3,220		1,354,139
Visa, Inc., Class A		16,360		1,930,480

				4,127,310

Computers — 11.9%
Apple, Inc.*		17,805		10,673,563
Cognizant Technology Solutions Corp., Class A*		26,330		2,026,094
EMC Corp.*		39,800		1,189,224

				13,888,881

Cosmetics & Personal Care — 1.9%
The Estee Lauder Cos., Inc., Class A		35,830		2,219,310

Distribution & Wholesale — 1.1%
W.W. Grainger, Inc.		5,662		1,216,254

Diversified Financial Services — 1.4%
American Express Co.		15,130		875,422
Ameriprise Financial, Inc.		12,040		687,845

				1,563,267

Food — 1.4%
Whole Foods Market, Inc.		20,030		1,666,496

Healthcare Products — 1.4%
Edwards Lifesciences Corp.*		4,175		303,648
Intuitive Surgical, Inc.*		2,350		1,273,112

				1,576,760

Healthcare Services — 2.3%
Humana, Inc.		14,770		1,365,930
UnitedHealth Group, Inc.		21,475		1,265,736

				2,631,666

Internet — 11.1%
Amazon.com, Inc.*		6,334		1,282,698
Baidu, Inc. ADR*		10,020		1,460,616


	Number of Shares		Value†

Internet — (continued)
eBay, Inc.*		63,580	$	2,345,466
F5 Networks, Inc.*		13,810		1,863,798
Google, Inc., Class A*		5,850		3,751,254
priceline.com, Inc.*		3,150		2,260,125

				12,963,957

Machinery — Construction & Mining — 1.1%
Caterpillar, Inc.		12,360		1,316,587

Machinery — Diversified — 1.9%
Cummins, Inc.		12,085		1,450,683
Deere & Co.		9,780		791,202

				2,241,885

Media — 1.2%
CBS Corp., Class B		40,475		1,372,507

Metal Fabricate/Hardware — 1.1%
Precision Castparts Corp.		7,540		1,303,666

Miscellaneous Manufacturing — 2.0%
Danaher Corp.		41,420		2,319,520

Oil & Gas — 6.6%
Ensco Plc ADR		29,180		1,544,497
Exxon Mobil Corp.		19,960		1,731,131
Occidental Petroleum Corp.		11,740		1,118,000
Pioneer Natural Resources Co.		22,590		2,520,818
Plains Exploration & Production Co.*		17,640		752,346

				7,666,792

Oil & Gas Services — 2.3%
Cameron International Corp.*		29,810		1,574,863
Schlumberger Ltd.		16,340		1,142,656

				2,717,519

Pharmaceuticals — 8.0%
Abbott Laboratories		33,090		2,028,086
Allergan, Inc.		20,380		1,944,863
Bristol-Myers Squibb Co.		56,570		1,909,238
Mead Johnson Nutrition Co.		23,050		1,901,164
Shire Plc ADR		16,400		1,553,900

				9,337,251

Retail — 14.7%
Costco Wholesale Corp.		27,450		2,492,460
Dollar General Corp.*		49,278		2,276,644
J.C. Penney Co., Inc.		23,010		815,244
Ltd. Brands, Inc.		37,470		1,798,560
Lululemon Athletica, Inc.*		19,580		1,462,234
Nordstrom, Inc.		19,330		1,077,068
Starbucks Corp.		44,030		2,460,837
The Home Depot, Inc.		38,850		1,954,543
TJX Cos., Inc.		39,580		1,571,722
Yum! Brands, Inc.		17,610		1,253,480

				17,162,792

Semiconductors — 4.6%
Avago Technologies Ltd.		40,680		1,585,300


	Number of Shares		Value†
COMMON STOCKS — (continued)
Semiconductors — (continued)
QUALCOMM, Inc.		55,380	$	3,766,947

				5,352,247

Software — 6.2%
Autodesk, Inc.*		37,530		1,588,270
Cerner Corp.*		23,150		1,763,104
Check Point Software Technologies Ltd.*		18,770		1,198,277
Citrix Systems, Inc.*		18,887		1,490,373
VMware, Inc., Class A*		10,900		1,224,833

				7,264,857

Telecommunications — 1.4%
Crown Castle International Corp.*		29,690		1,583,665

Transportation — 1.3%
Union Pacific Corp.		14,508		1,559,320

TOTAL COMMON STOCKS (Cost $86,206,350)				116,629,829

TOTAL INVESTMENTS — 100.0% (Cost $86,206,350)(a)			$	116,629,829

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $86,596,660. Net unrealized appreciation was $30,033,169. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $30,797,959 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $764,790.

ADR — American Depository Receipt.

Plc — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signifi- cant Obser- vable Input		Level 3 Signifi- cant Unobser- vable Input
COMMON STOCKS	$	116,629,829	$	116,629,829	$	—	$	—
TOTAL INVESTMENTS	$	116,629,829	$	116,629,829	$	—	$	—


	Number of Shares		Value†
COMMON STOCKS — 95.2%
Airlines — 0.7%
United Continental Holdings, Inc.*		56,940	$	1,224,210

Auto Manufacturers — 3.2%
Ford Motor Co.		241,780		3,019,832
Navistar International Corp.*		74,170		3,000,177

				6,020,009

Banks — 18.4%
CIT Group, Inc.*		81,060		3,342,914
Citigroup, Inc.		92,470		3,379,779
JPMorgan Chase & Co.		111,850		5,142,863
M&T Bank Corp.		45,440		3,947,827
SunTrust Banks, Inc.		33,300		804,861
The Goldman Sachs Group, Inc.		43,680		5,432,482
U.S. Bancorp		131,780		4,174,790
Wells Fargo & Co.		229,140		7,822,840

				34,048,356

Beverages — 4.0%
Molson Coors Brewing Co., Class B		31,220		1,412,705
The Coca-Cola Co.		81,410		6,025,154

				7,437,859

Chemicals — 2.3%
Celanese Corp., Series A		22,740		1,050,133
The Mosaic Co.		56,700		3,134,943

				4,185,076

Computers — 0.8%
Hewlett-Packard Co.		62,680		1,493,664

Diversified Financial Services — 2.6%
AerCap Holdings N.V.*		250,820		2,786,610
BlackRock, Inc.		9,540		1,954,746

				4,741,356

Electric — 6.4%
American Electric Power Co., Inc.		51,490		1,986,484
Edison International		90,780		3,859,058
GenOn Energy Inc.*		1,063,820		2,212,746
Public Service Enterprise Group, Inc.		121,320		3,713,605

				11,771,893

Electronics — 7.7%
Honeywell International, Inc.		104,620		6,387,051
TE Connectivity Ltd.		98,890		3,634,208
Tyco International Ltd.		75,400		4,235,972

				14,257,231

Gas — 0.5%
NiSource, Inc.		38,960		948,676

Healthcare Products — 1.9%
Medtronic, Inc.		92,020		3,606,264

Healthcare Services — 5.9%
HCA Holdings, Inc.		35,770		884,950
Humana, Inc.		52,780		4,881,094
UnitedHealth Group, Inc.		86,280		5,085,343

				10,851,387


	Number of Shares		Value†

Household Products & Wares — 2.3%
Church & Dwight Co., Inc.		86,430	$	4,251,492

Insurance — 3.2%
ACE Ltd.		56,400		4,128,480
The Travelers Cos., Inc.		31,130		1,842,896

				5,971,376

Internet — 1.1%
VeriSign, Inc.		55,330		2,121,352

Media — 2.8%
Comcast Corp., Class A		97,140		2,915,171
Viacom, Inc., Class B		48,650		2,308,929

				5,224,100

Miscellaneous Manufacturing — 0.8%
SPX Corp.		18,930		1,467,643

Oil & Gas — 11.2%
Apache Corp.		17,000		1,707,480
Chevron Corp.		94,920		10,179,221
Exxon Mobil Corp.		51,150		4,436,240
Penn West Petroleum Ltd.		96,030		1,879,307
Royal Dutch Shell Plc ADR		37,340		2,618,654

				20,820,902

Oil & Gas Services — 0.8%
Baker Hughes, Inc.		36,770		1,542,134

Packaging and Containers — 1.6%
Rock-Tenn Co., Class A		44,940		3,036,146

Pharmaceuticals — 4.4%
Merck & Co., Inc.		117,130		4,497,792
Pfizer, Inc.		159,920		3,623,787

				8,121,579

Retail — 4.8%
Talbots, Inc.*		232,280		703,808
Target Corp.		74,070		4,316,059
Wal-Mart Stores, Inc.		63,040		3,858,048

				8,877,915

Semiconductors — 1.2%
Xilinx, Inc.		63,200		2,302,376

Software — 0.5%
Microsoft Corp.		28,970		934,283

Telecommunications — 4.1%
AT&T, Inc.		71,087		2,220,047
Juniper Networks, Inc.*		236,750		5,416,840

				7,636,887

Textiles — 2.0%
Mohawk Industries, Inc.*		55,530		3,693,300

TOTAL COMMON STOCKS (Cost $161,197,314)				176,587,466

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS	$	176,587,466	$	176,587,466	$	—	$	—
SHORT-TERM INVESTMENTS		8,938,985		8,938,985		—		—

TOTAL INVESTMENTS	$	185,526,451	$	185,526,451	$	—	$	—


	Number of Shares		Value†
COMMON STOCKS — 94.3%
Aerospace & Defense — 3.4%
General Dynamics Corp.		11,585	$	850,107
The Boeing Co.		22,766		1,693,108
United Technologies Corp.		33,018		2,738,513

				5,281,728

Agriculture — 1.1%
Philip Morris International, Inc.		19,654		1,741,541

Auto Manufacturers — 1.3%
Ford Motor Co.		90,628		1,131,944
PACCAR, Inc.		19,822		928,264

				2,060,208

Auto Parts & Equipment — 0.6%
Johnson Controls, Inc.		27,511		893,557

Banks — 13.9%
Citigroup, Inc.		82,748		3,024,439
Fifth Third Bancorp		83,992		1,180,088
JPMorgan Chase & Co.		100,623		4,626,646
KeyCorp		139,021		1,181,678
PNC Financial Services Group, Inc.		31,808		2,051,298
Regions Financial Corp.		166,568		1,097,683
State Street Corp.		19,696		896,168
The Goldman Sachs Group, Inc.		12,369		1,538,333
U.S. Bancorp		47,499		1,504,768
Wells Fargo & Co.		134,619		4,595,893

				21,696,994

Biotechnology — 1.3%
Amgen, Inc.		17,820		1,211,582
Gilead Sciences, Inc.*		16,758		818,628

				2,030,210

Chemicals — 0.5%
Air Products & Chemicals, Inc.		8,631		792,326

Coal — 0.4%
Peabody Energy Corp.		21,680		627,853

Computers — 5.4%
Apple, Inc.*		7,513		4,503,818
Hewlett-Packard Co.		53,285		1,269,781
International Business Machines Corp.		12,878		2,686,995

				8,460,594

Diversified Financial Services — 2.8%
American Express Co.		54,414		3,148,394
Ameriprise Financial, Inc.		20,004		1,142,829

				4,291,223

Electric — 3.5%
American Electric Power Co., Inc.		39,332		1,517,428
PG&E Corp.		18,007		781,684
PPL Corp.		53,869		1,522,338
Public Service Enterprise Group, Inc.		55,034		1,684,591

				5,506,041

Electronics — 1.3%
Honeywell International, Inc.		14,541		887,728


	Number of Shares		Value†

Electronics — (continued)
Thermo Fisher Scientific, Inc.		20,274	$	1,143,048

				2,030,776

Food — 2.8%
Kraft Foods, Inc., Class A		44,603		1,695,360
Nestle SA ADR		18,672		1,176,336
Unilever N.V.		45,761		1,557,247

				4,428,943

Gas — 1.4%
Sempra Energy		37,072		2,222,837

Healthcare Products — 1.1%
Covidien Plc		31,859		1,742,050

Healthcare Services — 3.2%
Humana, Inc.		9,847		910,651
UnitedHealth Group, Inc.		68,793		4,054,659

				4,965,310

Insurance — 5.5%
ACE Ltd.		25,198		1,844,494
MetLife, Inc.		42,855		1,600,634
Prudential Financial, Inc.		26,596		1,685,920
The Travelers Cos., Inc.		32,090		1,899,728
XL Group Plc		72,284		1,567,840

				8,598,616

Machinery - Diversified — 0.7%
Deere & Co.		13,877		1,122,649

Media — 3.8%
Comcast Corp., Class A		52,094		1,563,341
The Walt Disney Co.		74,194		3,248,213
Time Warner, Inc.		28,669		1,082,255

				5,893,809

Mining — 2.2%
BHP Billiton Ltd. ADR		23,749		1,719,427
Freeport-McMoRan Copper & Gold, Inc.		43,242		1,644,926

				3,364,353

Miscellaneous Manufacturing — 2.7%
General Electric Co.		209,368		4,202,016

Oil & Gas — 11.1%
Anadarko Petroleum Corp.		12,351		967,577
Apache Corp.		8,689		872,723
Chevron Corp.		38,490		4,127,668
ConocoPhillips		35,914		2,729,823
Exxon Mobil Corp.		38,231		3,315,775
Hess Corp.		23,003		1,356,027
Marathon Oil Corp.		22,122		701,267
Occidental Petroleum Corp.		34,755		3,309,719

				17,380,579

Pharmaceuticals — 7.6%
Johnson & Johnson		62,590		4,128,436
Merck & Co., Inc.		87,898		3,375,283
Pfizer, Inc.		193,060		4,374,740

				11,878,459


	Number of Shares		Value†
COMMON STOCKS — (continued)
Retail — 6.3%
Bed Bath & Beyond, Inc.*		12,715	$	836,266
CVS Caremark Corp.		72,603		3,252,614
Macy’s, Inc.		34,847		1,384,471
Target Corp.		19,048		1,109,927
TJX Cos., Inc.		82,727		3,285,089

				9,868,367

Software — 4.3%
Microsoft Corp.		98,430		3,174,368
Oracle Corp.		118,077		3,443,125

				6,617,493

Telecommunications — 4.2%
AT&T, Inc.		111,299		3,475,868
CenturyLink, Inc.		37,822		1,461,820
Vodafone Group Plc ADR		56,141		1,553,422

				6,491,110

Transportation — 1.9%
Union Pacific Corp.		27,542		2,960,214

TOTAL COMMON STOCKS (Cost $115,679,513)				147,149,856

REAL ESTATE INVESTMENT TRUSTS — 3.6%
Apartments — 1.2%
AvalonBay Communities, Inc.		13,194		1,864,972

Office Property — 1.2%
Boston Properties, Inc.		17,487		1,835,960

Regional Malls — 1.2%
Simon Property Group, Inc.		12,809		1,866,015

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $3,272,550)				5,566,947

SHORT-TERM INVESTMENTS — 2.1%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $3,355,718)		3,355,718		3,355,718

TOTAL INVESTMENTS — 100.0% (Cost $122,307,781)(a)			$	156,072,521

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $123,989,428. Net unrealized appreciation was $32,083,093. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $34,217,203 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $2,134,110.

ADR — American Depository Receipt.

Plc — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS	$	147,149,856	$	147,149,856	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		5,566,947		5,566,947		—		—
SHORT-TERM INVESTMENTS		3,355,718		3,355,718		—		—

TOTAL INVESTMENTS	$	156,072,521	$	156,072,521	$	—	$	—


	Number of Shares		Value†
COMMON STOCKS — 96.3%
Advertising — 0.1%
Omnicom Group, Inc.		6,367	$	322,488
The Interpublic Group of Cos., Inc.		10,134		115,629

				438,117

Aerospace & Defense — 1.9%
General Dynamics Corp.		8,197		601,496
Goodrich Corp.		2,847		357,128
L-3 Communications Holdings, Inc.		2,300		162,771
Lockheed Martin Corp.		6,037		542,485
Northrop Grumman Corp.		5,692		347,667
Raytheon Co.		7,676		405,139
Rockwell Collins, Inc.		3,545		204,050
The Boeing Co.		16,921		1,258,415
United Technologies Corp.		20,642		1,712,047

				5,591,198

Agriculture — 2.1%
Altria Group, Inc.		46,478		1,434,776
Archer-Daniels-Midland Co.		15,399		487,532
Lorillard, Inc.		3,003		388,828
Philip Morris International, Inc.		39,088		3,463,588
Reynolds American, Inc.		7,502		310,883

				6,085,607

Airlines — 0.1%
Southwest Airlines Co.		17,817		146,812

Apparel — 0.7%
Coach, Inc.		6,677		515,999
NIKE, Inc., Class B		8,323		902,546
Ralph Lauren Corp.		1,428		248,943
VF Corp.		1,908		278,530

				1,946,018

Auto Manufacturers — 0.5%
Ford Motor Co.		86,367		1,078,724
PACCAR, Inc.		8,044		376,700

				1,455,424

Auto Parts & Equipment — 0.3%
BorgWarner, Inc.*		2,500		210,850
Johnson Controls, Inc.		15,711		510,293
The Goodyear Tire & Rubber Co.*		5,606		62,900

				784,043

Banks — 7.3%
Bank of America Corp.		243,835		2,333,501
BB&T Corp.		15,999		502,209
Capital One Financial Corp.		12,741		710,183
Citigroup, Inc.		66,481		2,429,881
Comerica, Inc.		4,344		140,572
Fifth Third Bancorp		20,946		294,291
First Horizon National Corp.		6,130		63,629
Huntington Bancshares, Inc.		19,965		128,774
JPMorgan Chase & Co.		86,764		3,989,409
KeyCorp		21,599		183,592
M&T Bank Corp.		3,008		261,335
Morgan Stanley		34,563		678,817
Northern Trust Corp.		5,247		248,970
PNC Financial Services Group, Inc.		11,983		772,784


	Number of Shares		Value†

Banks — (continued)
Regions Financial Corp.		32,694	$	215,453
State Street Corp.		11,047		502,639
SunTrust Banks, Inc.		11,788		284,916
The Bank of New York Mellon Corp.		27,380		660,679
The Goldman Sachs Group, Inc.		11,243		1,398,292
U.S. Bancorp		43,456		1,376,686
Wells Fargo & Co.		119,837		4,091,235
Zions Bancorporation		4,004		85,926

				21,353,773

Beverages — 2.5%
Beam, Inc.*		3,307		193,691
Brown-Forman Corp., Class B		2,262		188,628
Coca-Cola Enterprises, Inc.		7,128		203,861
Constellation Brands, Inc., Class A*		3,723		87,826
Dr. Pepper Snapple Group, Inc.		5,000		201,050
Molson Coors Brewing Co., Class B		3,738		169,144
PepsiCo, Inc.		35,661		2,366,107
The Coca-Cola Co.		51,385		3,803,004

				7,213,311

Biotechnology — 1.3%
Amgen, Inc.		17,945		1,220,080
Biogen Idec, Inc.*		5,433		684,395
Celgene Corp.*		9,928		769,619
Gilead Sciences, Inc.*		17,249		842,614
Life Technologies Corp.*		3,959		193,278

				3,709,986

Building Materials — 0.0%
Masco Corp.		8,877		118,686

Chemicals — 2.3%
Air Products & Chemicals, Inc.		4,721		433,388
Airgas, Inc.		1,600		142,352
CF Industries Holdings, Inc.		1,500		273,975
E.I. du Pont de Nemours & Co.		21,223		1,122,697
Eastman Chemical Co.		3,182		164,477
Ecolab, Inc.		6,733		415,561
FMC Corp.		1,500		158,790
International Flavors & Fragrances, Inc.		1,875		109,875
Monsanto Co.		12,137		968,047
PPG Industries, Inc.		3,410		326,678
Praxair, Inc.		6,826		782,533
Sigma-Aldrich Corp.		2,722		198,869
The Dow Chemical Co.		26,904		931,954
The Mosaic Co.		6,800		375,972
The Sherwin-Williams Co.		2,034		221,035

				6,626,203

Coal — 0.1%
Alpha Natural Resources, Inc.*		5,099		77,556
Consol Energy, Inc.		5,176		176,502
Peabody Energy Corp.		6,212		179,899

				433,957

Commercial Services — 1.5%
Apollo Group, Inc., Class A*		2,543		98,262
Automatic Data Processing, Inc.		11,143		614,982
DeVry, Inc.		1,500		50,805


	Number of Shares		Value†
COMMON STOCKS — (continued)
Commercial Services — (continued)
Donnelley (R.R.) & Sons Co.		4,253	$	52,695
Equifax, Inc.		2,734		121,007
H&R Block, Inc.		6,666		109,789
Iron Mountain, Inc.		3,900		112,320
Mastercard, Inc., Class A		2,425		1,019,810
Moody’s Corp.		4,273		179,893
Paychex, Inc.		6,975		216,155
Quanta Services, Inc.*		4,900		102,410
Robert Half International, Inc.		3,207		97,172
SAIC, Inc.*		5,900		77,880
The Western Union Co.		14,578		256,573
Total System Services, Inc.		3,477		80,214
Visa, Inc., Class A		11,264		1,329,152

				4,519,119

Computers — 8.2%
Accenture Plc, Class A*		14,700		948,150
Apple, Inc.*		21,176		12,694,377
Cognizant Technology Solutions Corp., Class A*		6,852		527,262
Computer Sciences Corp.		3,757		112,485
Dell, Inc.*		34,542		573,397
EMC Corp.*		46,648		1,393,842
Hewlett-Packard Co.		44,883		1,069,562
International Business Machines Corp.		26,358		5,499,597
Lexmark International, Inc., Class A		1,721		57,206
NetApp, Inc.*		8,221		368,054
SanDisk Corp.*		5,597		277,555
Teradata Corp.*		3,816		260,060
Western Digital Corp.*		5,000		206,950

				23,988,497

Cosmetics & Personal Care — 2.0%
Avon Products, Inc.		9,550		184,888
Colgate-Palmolive Co.		10,935		1,069,224
The Estee Lauder Cos., Inc., Class A		5,274		326,672
The Procter & Gamble Co.		62,594		4,206,943

				5,787,727

Distribution & Wholesale — 0.3%
Fastenal Co.		6,700		362,470
Genuine Parts Co.		3,405		213,664
W.W. Grainger, Inc.		1,372		294,719

				870,853

Diversified Financial Services — 1.8%
American Express Co.		23,080		1,335,409
Ameriprise Financial, Inc.		5,046		288,278
BlackRock, Inc.		2,300		471,270
CME Group, Inc.		1,512		437,467
Discover Financial Services		12,278		409,348
ETrade Financial Corp.		5,181		56,732
Federated Investors, Inc., Class B		2,495		55,913
Franklin Resources, Inc.		3,252		403,345
IntercontinentalExchange, Inc.*		1,680		230,866
Invesco Ltd.		10,167		271,154
Legg Mason, Inc.		2,861		79,908
NYSE Euronext		5,785		173,608
SLM Corp.		11,534		181,776


	Number of Shares		Value†

Diversified Financial Services — (continued)
T. Rowe Price Group, Inc.		5,781	$	377,499
The Charles Schwab Corp.		24,869		357,367
The NASDAQ OMX Group, Inc.*		3,100		80,290

				5,210,230

Diversified Operations — 0.0%
Leucadia National Corp.		4,360		113,796

Electric — 3.0%
Ameren Corp.		5,298		172,609
American Electric Power Co., Inc.		11,057		426,579
CMS Energy Corp.		5,807		127,754
Consolidated Edison, Inc.		6,634		387,558
Dominion Resources, Inc.		13,109		671,312
DTE Energy Co.		3,992		219,680
Duke Energy Corp.		30,343		637,506
Edison International		7,174		304,967
Entergy Corp.		3,947		265,238
Exelon Corp.		19,310		757,145
FirstEnergy Corp.		9,656		440,217
Integrys Energy Group, Inc.		1,595		84,519
NextEra Energy, Inc.		9,485		579,344
Northeast Utilities		4,100		152,192
NRG Energy, Inc.*		5,200		81,484
Pepco Holdings, Inc.		5,540		104,651
PG&E Corp.		9,350		405,884
Pinnacle West Capital Corp.		2,569		123,055
PPL Corp.		12,798		361,671
Progress Energy, Inc.		6,713		356,527
Public Service Enterprise Group, Inc.		11,349		347,393
SCANA Corp.		2,800		127,708
Southern Co.		19,711		885,615
TECO Energy, Inc.		5,423		95,174
The AES Corp.*		14,444		188,783
Wisconsin Energy Corp.		5,200		182,936
Xcel Energy, Inc.		11,030		291,964

				8,779,465

Electrical Components & Equipment — 0.3%
Emerson Electric Co.		16,676		870,153
Molex, Inc.		2,823		79,383

				949,536

Electronics — 1.2%
Agilent Technologies, Inc.		7,945		353,632
Amphenol Corp., Class A		3,900		233,103
FLIR Systems, Inc.		3,600		91,116
Honeywell International, Inc.		17,708		1,081,073
Jabil Circuit, Inc.		4,292		107,815
PerkinElmer, Inc.		2,216		61,295
TE Connectivity Ltd.		9,700		356,475
Thermo Fisher Scientific, Inc.		8,482		478,215
Tyco International Ltd.		10,500		589,890
Waters Corp.*		1,958		181,428

				3,534,042

Energy-Alternate Sources — 0.0%
First Solar, Inc.*		1,200		30,060


	Number of Shares		Value†
COMMON STOCKS — (continued)
Engineering & Construction — 0.1%
Fluor Corp.		3,970	$	238,359
Jacobs Engineering Group, Inc.*		2,983		132,356

				370,715

Entertainment — 0.0%
International Game Technology		6,657		111,771

Environmental Control — 0.3%
Republic Services, Inc.		7,014		214,348
Stericycle, Inc.*		2,000		167,280
Waste Management, Inc.		10,500		367,080

				748,708

Food — 1.9%
Campbell Soup Co.		4,016		135,942
ConAgra Foods, Inc.		9,402		246,896
Dean Foods Co.*		3,972		48,101
General Mills, Inc.		14,610		576,364
H.J. Heinz Co.		7,166		383,739
Hormel Foods Corp.		3,400		100,368
Kellogg Co.		5,666		303,868
Kraft Foods, Inc., Class A		40,163		1,526,596
McCormick & Co., Inc.		2,808		152,839
Safeway, Inc.		6,170		124,696
Sara Lee Corp.		13,719		295,370
SUPERVALU, Inc.		4,753		27,140
SYSCO Corp.		13,252		395,705
The Hershey Co.		3,487		213,858
The J.M. Smucker Co.		2,534		206,166
The Kroger Co.		13,045		316,080
Tyson Foods, Inc., Class A		6,649		127,328
Whole Foods Market, Inc.		3,643		303,098

				5,484,154

Forest Products & Paper — 0.2%
International Paper Co.		9,667		339,312
MeadWestvaco Corp.		3,999		126,328

				465,640

Gas — 0.3%
AGL Resources, Inc.		2,600		101,972
CenterPoint Energy, Inc.		9,022		177,914
NiSource, Inc.		5,865		142,813
Sempra Energy		5,298		317,668

				740,367

Hand & Machine Tools — 0.1%
Snap-On, Inc.		1,328		80,968
Stanley Black & Decker, Inc.		3,940		303,223

				384,191

Healthcare Products — 1.8%
Bard (C.R.), Inc.		1,942		191,714
Baxter International, Inc.		12,775		763,689
Becton, Dickinson & Co.		4,875		378,544
Boston Scientific Corp.*		34,748		207,793
CareFusion Corp.*		5,241		135,899
Covidien Plc		10,900		596,012
DENTSPLY International, Inc.		3,200		128,416
Edwards Lifesciences Corp.*		2,600		189,098


	Number of Shares		Value†

Healthcare Products — (continued)
Hospira, Inc.*		3,912	$	146,270
Intuitive Surgical, Inc.*		907		491,367
Medtronic, Inc.		23,873		935,583
Patterson Cos., Inc.		1,974		65,932
St. Jude Medical, Inc.		7,330		324,792
Stryker Corp.		7,381		409,498
Varian Medical Systems, Inc.*		2,657		183,227
Zimmer Holdings, Inc.		4,029		258,984

				5,406,818

Healthcare Services — 1.3%
Aetna, Inc.		7,985		400,528
CIGNA Corp.		6,494		319,829
Coventry Health Care, Inc.*		3,367		119,764
DaVita, Inc.*		2,149		193,775
Humana, Inc.		3,710		343,101
Laboratory Corp. of America Holdings*		2,177		199,283
Quest Diagnostics, Inc.		3,587		219,345
Tenet Healthcare Corp.*		9,374		49,776
UnitedHealth Group, Inc.		23,741		1,399,295
WellPoint, Inc.		7,595		560,511

				3,805,207

Home Builders — 0.1%
D.R. Horton, Inc.		6,376		96,724
Lennar Corp., Class A		3,136		85,236
Pulte Group, Inc.*		8,034		71,101

				253,061

Home Furnishings — 0.1%
Harman International Industries, Inc.		1,438		67,313
Whirlpool Corp.		1,669		128,279

				195,592

Household Products & Wares — 0.3%
Avery Dennison Corp.		2,183		65,774
Clorox Co.		2,997		206,044
Kimberly-Clark Corp.		8,987		664,049

				935,867

Housewares — 0.0%
Newell Rubbermaid, Inc.		7,117		126,754

Insurance — 3.5%
ACE Ltd.		7,700		563,640
Aflac, Inc.		10,600		487,494
American International Group, Inc.*		12,385		381,829
AON Corp.		7,544		370,109
Assurant, Inc.		2,073		83,956
Berkshire Hathaway, Inc., Class B*		39,950		3,241,942
Chubb Corp.		6,151		425,096
Cincinnati Financial Corp.		3,692		127,411
Genworth Financial, Inc., Class A*		11,369		94,590
Hartford Financial Services Group, Inc.		10,457		220,434
Lincoln National Corp.		6,573		173,264
Loews Corp.		6,925		276,100
Marsh & McLennan Cos., Inc.		12,109		397,054
MetLife, Inc.		24,085		899,575
Principal Financial Group, Inc.		7,065		208,488
Prudential Financial, Inc.		10,630		673,836


	Number of Shares		Value†
COMMON STOCKS — (continued)
Insurance — (continued)
The Allstate Corp.		11,276	$	371,206
The Progressive Corp.		13,856		321,182
The Travelers Cos., Inc.		8,931		528,715
Torchmark Corp.		2,235		111,415
Unum Group		6,676		163,428
XL Group Plc		6,749		146,386

				10,267,150

Internet — 2.9%
Amazon.com, Inc.*		8,275		1,675,770
eBay, Inc.*		26,028		960,173
Expedia, Inc.		2,094		70,023
F5 Networks, Inc.*		1,800		242,928
Google, Inc., Class A*		5,735		3,677,511
NetFlix, Inc.*		1,200		138,048
priceline.com, Inc.*		1,152		826,560
Symantec Corp.*		16,538		309,261
TripAdvisor, Inc.*		2,094		74,693
VeriSign, Inc.		3,609		138,369
Yahoo!, Inc.*		27,617		420,331

				8,533,667

Iron & Steel — 0.2%
Allegheny Technologies, Inc.		2,278		93,786
Cliffs Natural Resources, Inc.		3,100		214,706
Nucor Corp.		7,035		302,153
United States Steel Corp.		3,203		94,072

				704,717

Leisure Time — 0.2%
Carnival Corp.		10,245		328,660
Harley-Davidson, Inc.		5,128		251,682

				580,342

Lodging — 0.3%
Marriott International, Inc., Class A		6,185		234,102
Starwood Hotels & Resorts Worldwide, Inc.*		4,252		239,855
Wyndham Worldwide Corp.		3,560		165,576
Wynn Resorts Ltd.		1,800		224,784

				864,317

Machinery — Construction & Mining — 0.6%
Caterpillar, Inc.		14,728		1,568,827
Joy Global, Inc.		2,300		169,050

				1,737,877

Machinery — Diversified — 0.7%
Cummins, Inc.		4,374		525,055
Deere & Co.		9,132		738,779
Flowserve Corp.		1,300		150,163
Rockwell Automation, Inc.		3,271		260,699
Roper Industries, Inc.		2,200		218,152
Xylem, Inc.		4,054		112,498

				2,005,346

Media — 3.0%
Cablevision Systems Corp., Class A		5,000		73,400
CBS Corp., Class B		14,725		499,325
Comcast Corp., Class A		61,234		1,837,632
DIRECTV, Class A*		15,319		755,840


	Number of Shares		Value†

Media — (continued)
Discovery Communications, Inc., Class A*		6,100	$	308,660
Gannett Co., Inc.		5,374		82,383
News Corp., Class A		48,860		962,053
Scripps Networks Interactive, Inc., Class A		2,056		100,107
The McGraw-Hill Cos., Inc.		6,286		304,683
The Walt Disney Co.*		40,676		1,780,795
The Washington Post Co., Class B		63		23,535
Time Warner Cable, Inc.		7,096		578,324
Time Warner, Inc.		22,004		830,651
Viacom, Inc., Class B		12,281		582,856

				8,720,244

Metal Fabricate/Hardware — 0.2%
Precision Castparts Corp.		3,325		574,893

Mining — 0.6%
Alcoa, Inc.		23,248		232,945
Freeport-McMoRan Copper & Gold, Inc.		21,496		817,708
Newmont Mining Corp.		11,183		573,352
Titanium Metals Corp.		1,912		25,927
Vulcan Materials Co.		3,041		129,942

				1,779,874

Miscellaneous Manufacturing — 3.2%
3M Co.		15,780		1,407,734
Cooper Industries Plc		3,700		236,615
Danaher Corp.		12,968		726,208
Dover Corp.		4,105		258,369
Eaton Corp.		7,440		370,735
General Electric Co.		240,325		4,823,323
Illinois Tool Works, Inc.		11,019		629,405
Ingersoll-Rand Plc		6,800		281,180
Leggett & Platt, Inc.		3,354		77,175
Pall Corp.		2,645		157,721
Parker Hannifin Corp.		3,481		294,319
Textron, Inc.		6,076		169,095

				9,431,879

Office & Business Equipment — 0.1%
Pitney Bowes, Inc.		4,261		74,908
Xerox Corp.		31,055		250,925

				325,833

Oil & Gas — 8.8%
Anadarko Petroleum Corp.		11,359		889,864
Apache Corp.		8,723		876,138
Cabot Oil & Gas Corp.		4,444		138,519
Chesapeake Energy Corp.		15,010		347,782
Chevron Corp.		44,870		4,811,859
ConocoPhillips		29,080		2,210,371
Denbury Resources, Inc.*		9,300		169,539
Devon Energy Corp.		9,229		656,366
Diamond Offshore Drilling, Inc.		1,600		106,800
EOG Resources, Inc.		6,158		684,154
EQT Corp.		3,200		154,272
Exxon Mobil Corp.		107,065		9,285,747
Helmerich & Payne, Inc.		2,400		129,480
Hess Corp.		6,797		400,683
Marathon Oil Corp.		16,051		508,817


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — (continued)
Marathon Petroleum Corp.		8,025	$	347,964
Murphy Oil Corp.		4,217		237,291
Nabors Industries Ltd.*		6,108		106,829
Newfield Exploration Co.*		2,900		100,572
Noble Corp.		5,700		213,579
Noble Energy, Inc.		4,069		397,867
Occidental Petroleum Corp.		18,458		1,757,755
Pioneer Natural Resources Co.		2,700		301,293
QEP Resources, Inc.		3,790		115,595
Range Resources Corp.		3,423		199,013
Rowan Cos., Inc.*		2,403		79,131
Southwestern Energy Co.*		7,690		235,314
Sunoco, Inc.		2,386		91,026
Tesoro Corp.*		2,894		77,675
Valero Energy Corp.		12,540		323,156
WPX Energy, Inc.		4,344		78,235

				26,032,686

Oil & Gas Services — 1.6%
Baker Hughes, Inc.		9,728		407,992
Cameron International Corp.*		5,639		297,908
FMC Technologies, Inc.*		5,600		282,352
Halliburton Co.		20,969		695,961
National Oilwell Varco, Inc.		9,623		764,740
Schlumberger Ltd.		30,259		2,116,012

				4,564,965

Packaging and Containers — 0.1%
Ball Corp.		3,726		159,771
Bemis Co., Inc.		2,549		82,307
Owens-Illinois, Inc.*		4,000		93,360
Sealed Air Corp.		4,033		77,877

				413,315

Pharmaceuticals — 6.5%
Abbott Laboratories		35,696		2,187,808
Allergan, Inc.		6,916		659,994
AmerisourceBergen Corp.		6,000		238,080
Bristol-Myers Squibb Co.		38,397		1,295,899
Cardinal Health, Inc.		7,682		331,171
Eli Lilly & Co.		23,154		932,411
Express Scripts, Inc.*		10,926		591,971
Forest Laboratories, Inc.*		6,062		210,291
Johnson & Johnson		62,341		4,112,012
McKesson Corp.		5,625		493,706
Mead Johnson Nutrition Co.		4,568		376,769
Medco Health Solutions, Inc.*		8,813		619,554
Merck & Co., Inc.		69,154		2,655,514
Mylan, Inc.*		9,756		228,778
Perrigo Co.		2,100		216,951
Pfizer, Inc.		171,256		3,880,661
Watson Pharmaceuticals, Inc.*		2,943		197,357

				19,228,927

Pipelines — 0.5%
El Paso Corp.		17,341		512,427
Oneok, Inc.		2,400		195,984
Spectra Energy Corp.		14,884		469,590


	Number of Shares		Value†

Pipelines — (continued)
The Williams Cos., Inc.		13,734	$	423,144

				1,601,145

Real Estate — 0.0%
CBRE Group, Inc., Class A*		6,701		133,752

Retail — 6.2%
Abercrombie & Fitch Co., Class A		1,900		94,259
AutoNation, Inc.*		1,219		41,824
AutoZone, Inc.*		641		238,324
Bed Bath & Beyond, Inc.*		5,366		352,922
Best Buy Co., Inc.		6,468		153,162
Big Lots, Inc.*		1,697		73,005
CarMax, Inc.*		5,200		180,180
Chipotle Mexican Grill, Inc.*		700		292,600
Costco Wholesale Corp.		9,877		896,832
CVS Caremark Corp.		29,567		1,324,602
Darden Restaurants, Inc.		2,940		150,410
Dollar Tree, Inc.*		2,700		255,123
Family Dollar Stores, Inc.		2,733		172,944
GameStop Corp., Class A*		3,164		69,102
J.C. Penney Co., Inc.		3,144		111,392
Kohl’s Corp.		5,801		290,224
Lowe’s Cos., Inc.		28,240		886,171
Ltd. Brands, Inc.		5,460		262,080
Macy’s, Inc.		9,327		370,562
McDonald’s Corp.		23,178		2,273,762
Nordstrom, Inc.		3,737		208,226
O’Reilly Automotive, Inc.*		2,900		264,915
Ross Stores, Inc.		5,200		302,120
Sears Holding Corp.*		869		57,571
Staples, Inc.		15,337		248,153
Starbucks Corp.		17,144		958,178
Target Corp.		15,332		893,396
The Gap, Inc.		7,582		198,193
The Home Depot, Inc.		35,004		1,761,051
Tiffany & Co.		2,764		191,075
TJX Cos., Inc.		17,118		679,756
Urban Outfitters, Inc.*		2,500		72,775
Wal-Mart Stores, Inc.		39,647		2,426,396
Walgreen Co.		19,879		665,748
Yum! Brands, Inc.		10,469		745,183

				18,162,216

Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		11,257		82,289
People’s United Financial, Inc.		9,000		119,160

				201,449

Semiconductors — 3.2%
Advanced Micro Devices, Inc.*		13,368		107,211
Altera Corp.		7,465		297,256
Analog Devices, Inc.		6,576		265,670
Applied Materials, Inc.		29,321		364,753
Broadcom Corp., Class A		11,108		436,544
Intel Corp.		113,475		3,189,782
KLA-Tencor Corp.		3,627		197,381
Linear Technology Corp.		5,441		183,362


	Number of Shares		Value†
COMMON STOCKS — (continued)
Semiconductors — (continued)
LSI Corp.*		12,772	$	110,861
Microchip Technology, Inc.		4,318		160,630
Micron Technology, Inc.*		22,486		182,137
Novellus Systems, Inc.*		1,653		82,501
NVIDIA Corp.*		13,754		211,674
QUALCOMM, Inc.		38,399		2,611,900
Teradyne, Inc.*		3,357		56,700
Texas Instruments, Inc.		25,993		873,625
Xilinx, Inc.		5,664		206,340

				9,538,327

Software — 3.9%
Adobe Systems, Inc.*		11,405		391,305
Akamai Technologies, Inc.*		4,291		157,479
Autodesk, Inc.*		4,981		210,796
BMC Software, Inc.*		3,837		154,094
CA, Inc.		8,439		232,579
Cerner Corp.*		3,300		251,328
Citrix Systems, Inc.*		4,091		322,821
Dun & Bradstreet Corp.		1,100		93,203
Electronic Arts, Inc.*		7,730		127,390
Fidelity National Information Services, Inc.		5,359		177,490
Fiserv, Inc.*		3,207		222,534
Intuit, Inc.		6,792		408,403
Microsoft Corp.		169,615		5,470,084
Oracle Corp.		89,017		2,595,736
Red Hat, Inc.*		4,200		251,538
Salesforce.com, Inc.*		3,100		478,981

				11,545,761

Telecommunications — 4.1%
AT&T, Inc.		134,643		4,204,901
CenturyLink, Inc.		14,126		545,970
Cisco Systems, Inc.		122,380		2,588,337
Corning, Inc.		35,315		497,235
Crown Castle International Corp.*		5,800		309,372
Frontier Communications Corp.		21,472		89,538
Harris Corp.		2,600		117,208
JDS Uniphase Corp.*		4,496		65,147
Juniper Networks, Inc.*		12,071		276,184
MetroPCS Communications, Inc.*		6,400		57,728
Motorola Mobility Holdings, Inc.*		5,803		227,710
Motorola Solutions, Inc.		6,746		342,899
Sprint Nextel Corp.*		66,383		189,192
Verizon Communications, Inc.		64,376		2,461,095
Windstream Corp.		13,351		156,340

				12,128,856

Textiles — 0.0%
Cintas Corp.		2,455		96,040

Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		2,612		95,913
Mattel, Inc.		7,881		265,274

				361,187

Transportation — 1.7%
C.H. Robinson Worldwide, Inc.		3,739		244,867
CSX Corp.		24,266		522,204


	Number of Shares		Value†

Transportation — (continued)
Expeditors International of Washington, Inc.*		4,973	$	231,294
FedEx Corp.		7,166		658,986
Norfolk Southern Corp.		7,452		490,565
Ryder System, Inc.		1,125		59,400
Union Pacific Corp.		11,010		1,183,355
United Parcel Service, Inc., Class B		21,774		1,757,597

				5,148,268

TOTAL COMMON STOCKS (Cost $232,759,877)				283,398,338

REAL ESTATE INVESTMENT TRUSTS — 1.9%
Apartments — 0.3%
Apartment Investment & Management Co., Class A		2,762		72,945
AvalonBay Communities, Inc.		2,192		309,839
Equity Residential		6,992		437,839

				820,623

Diversified — 0.4%
American Tower Corp.*		8,859		558,294
Vornado Realty Trust		4,087		344,126
Weyerhaeuser Co.		11,808		258,831

				1,161,251

Forest Products & Paper — 0.1%
Plum Creek Timber Co.		3,847		159,881

Healthcare — 0.3%
HCP, Inc.		9,040		356,719
Health Care REIT, Inc.		4,600		252,816
Ventas, Inc.		6,453		368,466

				978,001

Hotels & Resorts — 0.1%
Host Hotels & Resorts, Inc.		15,376		252,474

Industrial — 0.1%
ProLogis, Inc.		10,599		381,776

Office Property — 0.1%
Boston Properties, Inc.		3,342		350,876

Regional Malls — 0.3%
Simon Property Group, Inc.		6,928		1,009,271

Storage & Warehousing — 0.1%
Public Storage		3,216		444,355

Strip Centers — 0.1%
Kimco Realty Corp.		9,564		184,202

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,486,088)				5,742,710


	Par (000)		Value†
U.S. TREASURY OBLIGATIONS — 0.1%
U S Treasury Bills
0.030%, 06/14/12	$	15	$	14,998
0.043%, 06/14/12		45		44,994
U.S. Treasury Bills
0.035%, 04/05/12		40		40,000
0.010%, 04/19/12		15		15,000
0.050%, 05/17/12		224		223,981

TOTAL U.S. TREASURY OBLIGATIONS (Cost $338,980)				338,973


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 1.7%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $4,880,645)		4,880,645		4,880,644

TOTAL INVESTMENTS — 100.0% (Cost $242,465,590)(a)			$	294,360,665

†	See Security Valuation Note.

*	Non-income producing security.

^(a)

At September 30, 2011, the cost for Federal income tax purposes was $242,465,590. Net unrealized appreciation was $51,895,075. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $84,517,153 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $32,622,078.

Plc — Public Limited Company.

REIT — Real Estate Investment Trust.


	Number of Shares		Value†
COMMON STOCKS — 98.1%
Aerospace & Defense — 0.9%
Triumph Group, Inc.		15,860	$	993,788

Airlines — 0.8%
United Continental Holdings, Inc.*		41,925		901,388

Apparel — 3.0%
Coach, Inc.		17,610		1,360,901
Deckers Outdoor Corp.*		14,650		923,683
Ralph Lauren Corp.		6,480		1,129,658

				3,414,242

Auto Parts & Equipment — 1.1%
BorgWarner, Inc.*		15,080		1,271,847

Banks — 1.9%
East West Bancorp, Inc.		29,000		669,610
First Republic Bank*		25,080		826,135
Signature Bank*		10,570		666,333

				2,162,078

Beverages — 1.3%
Monster Beverage Corp.*		23,850		1,480,847

Biotechnology — 3.2%
Alexion Pharmaceuticals, Inc.*		22,240		2,065,206
Illumina, Inc.*		7,920		416,671
Regeneron Pharmaceuticals, Inc.*		9,540		1,112,555

				3,594,432

Building Materials — 0.7%
Owens Corning*		21,550		776,447

Chemicals — 3.1%
Airgas, Inc.		9,180		816,745
CF Industries Holdings, Inc.		6,630		1,210,969
PPG Industries, Inc.		16,020		1,534,716

				3,562,430

Coal — 1.3%
Alpha Natural Resources, Inc.*		49,090		746,659
Peabody Energy Corp.		25,570		740,507

				1,487,166

Commercial Services — 2.3%
Equifax, Inc.		21,150		936,099
Manpower, Inc.		20,680		979,612
Towers Watson & Co., Class A		11,030		728,752

				2,644,463

Computers — 2.4%
Fortinet, Inc.*		25,620		708,393
SanDisk Corp.*		40,440		2,005,420

				2,713,813

Distribution & Wholesale — 0.8%
W.W. Grainger, Inc.		4,040		867,832

Diversified Financial Services — 2.2%
Affiliated Managers Group, Inc.*		14,620		1,634,662
IntercontinentalExchange, Inc.*		6,010		825,894

				2,460,556


	Number of Shares		Value†

Electronics — 2.0%
Agilent Technologies, Inc.		33,700	$	1,499,987
Waters Corp.*		8,330		771,858

				2,271,845

Engineering & Construction — 1.0%
KBR, Inc.		30,440		1,082,142

Environmental Control — 0.7%
Clean Harbors, Inc.*		12,410		835,565

Food — 2.7%
The Hershey Co.		16,470		1,010,105
Whole Foods Market, Inc.		23,960		1,993,472

				3,003,577

Hand & Machine Tools — 0.9%
Stanley Black & Decker, Inc.		12,780		983,549

Healthcare Products — 2.5%
Cepheid, Inc.*		14,840		620,757
IDEXX Laboratories Inc.*		6,720		587,664
Intuitive Surgical, Inc.*		3,060		1,657,755

				2,866,176

Healthcare Services — 2.6%
AMERIGROUP Corp.*		11,280		758,918
Universal Health Services, Inc., Class B		17,780		745,160
WellCare Health Plans, Inc.*		19,570		1,406,692

				2,910,770

Internet — 4.2%
F5 Networks, Inc.*		12,390		1,672,155
LinkedIn Corp., Class A*		12,860		1,311,591
Shutterfly, Inc.*		25,180		788,889
TIBCO Software, Inc.*		30,840		940,620

				4,713,255

Iron & Steel — 1.2%
Cliffs Natural Resources, Inc.		20,030		1,387,278

Leisure Time — 1.0%
Harley-Davidson, Inc.		24,030		1,179,392

Lodging — 4.3%
MGM Resorts International*		75,790		1,032,260
Starwood Hotels & Resorts Worldwide, Inc.		41,580		2,345,528
Wynn Resorts Ltd.		11,570		1,444,861

				4,822,649

Machinery — Construction & Mining — 1.1%
Joy Global, Inc.		17,410		1,279,635

Machinery — Diversified — 0.9%
Roper Industries, Inc.		10,320		1,023,331

Miscellaneous Manufacturing — 2.0%
Cooper Industries Plc		20,930		1,338,473
Hexcel Corp.*		36,650		879,967

				2,218,440

Oil & Gas — 6.1%
Cabot Oil & Gas Corp.		42,080		1,311,633


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — (continued)
Concho Resources, Inc.*		19,320	$	1,972,185
Plains Exploration & Production Co.*		17,560		748,934
Range Resources Corp.		6,490		377,329
Rowan Cos., Inc.*		20,990		691,201
SM Energy Co.		24,870		1,760,050

				6,861,332

Oil & Gas Services — 2.4%
Cameron International Corp.*		27,650		1,460,749
FMC Technologies, Inc.*		24,190		1,219,660

				2,680,409

Packaging and Containers — 0.7%
Crown Holdings, Inc.*		21,450		790,004

Pharmaceuticals — 4.0%
AmerisourceBergen Corp.		22,240		882,483
BioMarin Pharmaceutical, Inc.*		15,430		528,478
Mead Johnson Nutrition Co.		12,740		1,050,795
Perrigo Co.		11,430		1,180,833
SXC Health Solutions Corp.*		12,470		934,751

				4,577,340

Real Estate — 1.6%
CBRE Group, Inc., Class A*		93,350		1,863,266

Retail — 6.8%
Arcos Dorados Holdings Inc., Class A		31,900		577,071
Bed Bath & Beyond, Inc.*		30,180		1,984,939
Family Dollar Stores, Inc.		19,330		1,223,202
Guess?, Inc.		32,060		1,001,875
Lululemon Athletica, Inc.*		11,990		895,413
Nordstrom, Inc.		36,540		2,036,009

				7,718,509

Semiconductors — 12.6%
Altera Corp.		26,370		1,050,053
Avago Technologies Ltd.		44,040		1,716,239
Broadcom Corp., Class A		58,800		2,310,840
Lam Research Corp.*		48,860		2,180,133
LSI Corp.*		196,000		1,701,280
NXP Semiconductors N.V.*		32,880		874,937
ON Semiconductor Corp.*		274,840		2,476,308
Teradyne, Inc.*		115,710		1,954,342

				14,264,132

Software — 6.2%
Cerner Corp.*		16,970		1,292,435
Citrix Systems, Inc.*		29,590		2,334,947
Fiserv, Inc.*		16,830		1,167,834
Salesforce.com, Inc.*		8,280		1,279,343
VeriFone Systems, Inc.*		17,850		925,879

				7,000,438

Telecommunications — 2.3%
Acme Packet, Inc.*		12,340		339,597
JDS Uniphase Corp.*		67,880		983,581
Juniper Networks, Inc.*		58,120		1,329,786

				2,652,964


	Number of Shares		Value†

Transportation — 3.3%
Expeditors International of Washington, Inc.		37,490	$	1,743,660
Genesee & Wyoming, Inc., Class A*		17,040		930,043
Kirby Corp.*		15,940		1,048,693

				3,722,396

TOTAL COMMON STOCKS (Cost $92,189,464)				111,039,723

REAL ESTATE INVESTMENT TRUSTS — 0.4%
Apartments — 0.4%
Camden Property Trust (Cost $482,747)		7,920		520,740

SHORT-TERM INVESTMENTS — 1.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,653,360)		1,653,360		1,653,360

TOTAL INVESTMENTS — 100.0% (Cost $94,325,571)(a)			$	113,213,823

†	See Security Valuation Note.

*	Non-income producing security.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $94,500,784. Net unrealized appreciation was $18,713,039. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $20,814,437 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $2,101,398.

Plc — Public Limited Company.


	Number of Shares		Value†
COMMON STOCKS — 95.8%
Aerospace & Defense — 4.7%
General Dynamics Corp.		35,500	$	2,604,990
Rockwell Collins, Inc.		39,900		2,296,644

				4,901,634

Auto Manufacturers — 1.8%
Navistar International Corp.*		47,800		1,933,510

Banks — 6.1%
BB&T Corp.		41,000		1,286,990
Comerica, Inc.		41,500		1,342,940
Huntington Bancshares, Inc.		265,400		1,711,830
State Street Corp.		46,700		2,124,850

				6,466,610

Beverages — 2.3%
Constellation Brands, Inc., Class A*		102,400		2,415,616

Chemicals — 2.5%
Akzo Nobel NV - Sponsored ADR		132,600		2,601,612

Coal — 0.5%
SunCoke Energy, Inc.*		37,556		533,671

Commercial Services — 4.5%
Corrections Corporation of America*		103,000		2,812,930
The Western Union Co.		110,100		1,937,760

				4,750,690

Cosmetics & Personal Care — 1.3%
Avon Products, Inc.		68,600		1,328,096

Electric — 2.0%
NV Energy, Inc.		133,600		2,153,632

Electronics — 4.9%
Dolby Laboratories, Inc., Class A*		24,600		936,276
Flextronics International Ltd.*		228,500		1,652,055
Tyco International Ltd.		45,700		2,567,426

				5,155,757

Energy-Alternate Sources — 1.7%
Covanta Holding Corp.		108,300		1,757,709

Engineering & Construction — 1.2%
KBR, Inc.		35,600		1,265,580

Environmental Control — 2.1%
Republic Services, Inc.		72,100		2,203,376

Food — 3.1%
Safeway, Inc.		163,200		3,298,272

Gas — 4.2%
CenterPoint Energy, Inc.		138,000		2,721,360
Sempra Energy		28,700		1,720,852

				4,442,212

Healthcare Products — 7.0%
Covidien Plc		38,500		2,105,180
Hospira, Inc.*		63,300		2,366,787


	Number of Shares		Value†

Healthcare Products — (continued)
Zimmer Holdings, Inc.		44,300	$	2,847,604

				7,319,571

Household Products & Wares — 2.2%
Avery Dennison Corp.		78,100		2,353,153

Internet — 2.2%
Symantec Corp.*		126,700		2,369,290

Lodging — 1.7%
Wyndham Worldwide Corp.		38,200		1,776,682

Media — 2.1%
Cablevision Systems Corp., Class A		147,600		2,166,768

Miscellaneous Manufacturing — 4.7%
Ingersoll-Rand Plc		30,700		1,269,445
ITT Corp.*		84,100		1,929,254
The Brink’s Co.		74,000		1,766,380

				4,965,079

Oil & Gas — 3.1%
Southwestern Energy Co.*		73,800		2,258,280
Sunoco, Inc.		26,600		1,014,790

				3,273,070

Oil & Gas Services — 0.9%
Dresser-Rand Group, Inc.*		19,600		909,244

Pharmaceuticals — 2.6%
Cardinal Health, Inc.		24,800		1,069,128
Omnicare, Inc.		46,700		1,661,119

				2,730,247

Retail — 11.9%
Best Buy Co., Inc.		118,600		2,808,448
Chico’s FAS, Inc.		176,200		2,660,620
CVS Caremark Corp.		72,000		3,225,600
Kohl’s Corp.		32,300		1,615,969
Staples, Inc.		139,600		2,258,728

				12,569,365

Savings & Loans — 3.0%
BankUnited, Inc.		45,700		1,142,500
People’s United Financial, Inc.		152,100		2,013,804

				3,156,304

Semiconductors — 1.2%
Freescale Semiconductor Holdings I Ltd.*		80,000		1,231,200

Software — 4.1%
BMC Software, Inc.*		30,600		1,228,896
Fidelity National Information Services, Inc.		93,500		3,096,720

				4,325,616

Telecommunications — 6.2%
Amdocs Ltd.*		62,400		1,970,592
Motorola Solutions, Inc.		42,700		2,170,441


	Number of Shares		Value†
COMMON STOCKS — (continued)
Telecommunications — (continued)
Virgin Media, Inc.		97,100	$	2,425,558

				6,566,591

TOTAL COMMON STOCKS (Cost $89,344,544)				100,920,157

REAL ESTATE INVESTMENT TRUSTS — 1.1%
Building & Real Estate — 1.1%
Starwood Property Trust, Inc. (Cost $965,882)		52,400		1,101,448

SHORT-TERM INVESTMENTS — 3.1%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $3,284,721)		3,284,721		3,284,721

TOTAL INVESTMENTS — 100.0% (Cost $93,595,147)(a)			$	105,306,326

†	See Security Valuation Note.

*	Non-income producing security.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $93,595,409. Net unrealized appreciation was $11,710,917. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $12,898,230 and aggregate gross unrealized appreciation for all securities in which there was an excess of tax cost over market value of $1,278,313.

ADR — American Depository Receipt.

Plc — Public Limited Company.


	Number of Shares		Value†
COMMON STOCKS — 95.5%
Advertising — 4.5%
Omnicom Group, Inc.		26,300	$	1,332,095
The Interpublic Group of Cos., Inc.		148,900		1,698,949

				3,031,044

Aerospace & Defense — 2.2%
Esterline Technologies Corp.*		8,266		590,688
Rockwell Collins, Inc.		15,600		897,936

				1,488,624

Agriculture — 1.8%
Bunge Ltd.		17,800		1,218,232

Airlines — 0.1%
United Continental Holdings, Inc.*		3,400		73,100

Apparel — 0.4%
Gildan Activewear, Inc.		9,800		269,990

Auto Parts & Equipment — 0.4%
Lear Corp.		5,300		246,397

Banks — 8.1%
CIT Group, Inc.*		11,100		457,764
City National Corp.		14,800		776,556
Comerica, Inc.		22,500		728,100
Commerce Bancshares, Inc.		9,900		401,148
Cullen/Frost Bankers, Inc.		12,300		715,737
Hancock Holding Co.		22,300		791,873
M&T Bank Corp.		10,400		903,552
Signature Bank*		7,800		491,712
Zions Bancorporation		7,600		163,096

				5,429,538

Beverages — 1.2%
Beam, Inc.		10,245		600,050
Dr. Pepper Snapple Group, Inc.		5,900		237,239

				837,289

Building Materials — 0.3%
Eagle Materials, Inc.		3,800		132,050
Fortune Brands Home & Security, Inc.*		2,600		57,382

				189,432

Chemicals — 4.9%
Air Products & Chemicals, Inc.		6,300		578,340
Ashland, Inc.		17,000		1,038,020
Celanese Corp., Series A		10,000		461,800
Chemtura Corp.*		18,100		307,338
Eastman Chemical Co.		13,000		671,970
International Flavors & Fragrances, Inc.		4,000		234,400

				3,291,868

Commercial Services — 1.5%
Manpower, Inc.		15,523		735,325
The Western Union Co.		14,900		262,240

				997,565

Distribution & Wholesale — 0.7%
Arrow Electronics, Inc.*		10,600		444,882

Diversified Financial Services — 4.4%
Affiliated Managers Group, Inc.*		6,000		670,860


	Number of Shares		Value†

Diversified Financial Services — (continued)
Discover Financial Services		9,900	$	330,066
Lazard Ltd., Class A		32,200		919,632
LPL Investment Holdings. Inc.*		8,800		333,872
Raymond James Financial, Inc.		14,100		515,073
The NASDAQ OMX Group, Inc.*		7,600		196,840

				2,966,343

Electric — 2.2%
CMS Energy Corp.		30,400		668,800
Northeast Utilities		5,455		202,490
NV Energy, Inc.		6,300		101,556
PPL Corp.		17,900		505,854

				1,478,700

Electrical Components & Equipment — 0.5%
AMETEK, Inc.		6,700		325,017

Electronics — 3.6%
Agilent Technologies, Inc.		13,200		587,532
Garmin Ltd.		7,400		347,430
TE Connectivity Ltd.		20,900		768,075
Tyco International Ltd.		9,800		550,564
Woodward, Inc.		4,100		175,603

				2,429,204

Engineering & Construction — 3.1%
Jacobs Engineering Group, Inc.*		22,500		998,325
URS Corp.		25,300		1,075,756

				2,074,081

Environmental Control — 1.1%
Republic Services, Inc.		23,600		721,216

Food — 0.2%
Flowers Foods, Inc.		6,300		128,331

Forest Products & Paper — 1.2%
International Paper Co.		23,500		824,850

Gas — 0.2%
Questar Corp.		8,500		163,710

Hand & Machine Tools — 0.7%
Kennametal, Inc.		11,100		494,283

Healthcare Products — 1.0%
St. Jude Medical, Inc.		15,200		673,512

Healthcare Services — 3.3%
CIGNA Corp.		18,600		916,050
Community Health Systems, Inc.*		19,000		422,560
DaVita, Inc.*		7,800		703,326
MEDNAX, Inc.*		2,258		167,927

				2,209,863

Home Furnishings — 1.2%
Harman International Industries, Inc.		17,900		837,899

Household Products & Wares — 1.0%
Tupperware Brands Corp.		10,900		692,150


	Number of Shares		Value†
COMMON STOCKS — (continued)
Insurance — 4.6%
ACE Ltd.		9,900	$	724,680
Everest Re Group Ltd.		8,045		744,323
Lincoln National Corp.		8,800		231,968
Marsh & McLennan Cos., Inc.		16,800		550,872
PartnerRe Ltd.		12,800		868,992

				3,120,835

Iron & Steel — 1.7%
Carpenter Technology Corp.		7,000		365,610
Reliance Steel & Aluminum Co.		14,300		807,664

				1,173,274

Machinery — Diversified — 1.2%
IDEX Corp.		15,041		633,677
Nordson Corp.		3,500		190,785

				824,462

Media — 1.0%
Discovery Communications, Inc., Class A*		13,500		683,100

Metal Fabricate/Hardware — 0.3%
Timken Co.		4,400		223,256

Miscellaneous Manufacturing — 5.0%
Dover Corp.		17,200		1,082,568
Eaton Corp.		13,200		657,756
Pall Corp.		6,700		399,521
Parker Hannifin Corp.		5,400		456,570
SPX Corp.		3,200		248,096
Trinity Industries, Inc.		14,900		490,955

				3,335,466

Oil & Gas — 3.1%
Ensco Plc ADR		12,700		672,211
EQT Corp.		6,700		323,007
QEP Resources, Inc.		10,700		326,350
Range Resources Corp.		7,500		436,050
Rowan Cos., Inc.*		10,300		339,179

				2,096,797

Oil & Gas Services — 1.9%
Halliburton Co.		12,200		404,918
Superior Energy Services, Inc.*		16,600		437,576
Weatherford International Ltd.*		28,400		428,556

				1,271,050

Packaging and Containers — 2.6%
Ball Corp.		13,300		570,304
Greif, Inc., Class A		15,200		849,984
Rock-Tenn Co., Class A		4,900		331,044

				1,751,332

Pharmaceuticals — 5.3%
McKesson Corp.		9,500		833,815
Mylan, Inc.*		56,100		1,315,545
Par Pharmaceutical Cos., Inc.*		13,500		522,855
Warner Chilcott Plc, Class A*		24,300		408,483
Watson Pharmaceuticals, Inc.*		7,300		489,538

				3,570,236


	Number of Shares		Value†

Pipelines — 0.9%
El Paso Corp.		20,500	$	605,775

Real Estate — 1.1%
Jones Lang LaSalle, Inc.		8,648		720,465

Retail — 4.7%
Darden Restaurants, Inc.		3,200		163,712
Guess?, Inc.		16,200		506,250
Macy’s, Inc.		30,200		1,199,846
PetSmart, Inc.		2,900		165,938
Pier 1 Imports, Inc.*		47,416		862,023
PVH Corp.		2,900		259,057

				3,156,826

Semiconductors — 3.8%
Analog Devices, Inc.		11,800		476,720
Broadcom Corp., Class A		15,500		609,150
Lam Research Corp.*		9,700		432,814
Micron Technology, Inc.*		83,500		676,350
Xilinx, Inc.		10,923		397,925

				2,592,959

Software — 4.0%
Adobe Systems, Inc.*		14,700		504,357
Dun & Bradstreet Corp.		6,500		550,745
Fiserv, Inc.*		18,909		1,312,096
Intuit, Inc.		5,200		312,676

				2,679,874

Telecommunications — 2.2%
Anixter International, Inc.*		11,500		834,095
CenturyLink, Inc.		16,400		633,860

				1,467,955

Transportation — 2.3%
Gulfmark Offshore, Inc., Class A*		3,600		165,456
Kansas City Southern*		4,200		301,098
Knight Transportation, Inc.		23,100		407,946
Tidewater, Inc.		12,200		659,044

				1,533,544

TOTAL COMMON STOCKS (Cost $53,980,700)				64,344,326

REAL ESTATE INVESTMENT TRUSTS — 1.3%
Diversified — 0.5%
Weyerhaeuser Co.		15,500		339,760

Office Property — 0.8%
Alexandria Real Estate Equities, Inc.		7,600		555,788

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $765,555)				895,548

SHORT-TERM INVESTMENTS — 3.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,130,161)		2,130,161		2,130,161

TOTAL INVESTMENTS — 100.0% (Cost $56,876,416)(a)			$	67,370,035


	Number of Shares		Value†
COMMON STOCKS — 91.1%
Aerospace & Defense — 4.2%
M A-Com Technology Solutions Holdings, Inc.		8,871	$	183,985
TransDigm Group, Inc.*		6,580		761,701
Triumph Group, Inc.		7,290		456,791

				1,402,477

Airlines — 0.4%
Copa Holdings S.A., Class A		1,549		122,681

Apparel — 1.8%
Deckers Outdoor Corp.*		4,410		278,051
Under Armour, Inc., Class A*		3,410		320,540

				598,591

Auto Manufacturers — 1.2%
Tesla Motors, Inc.*		11,046		411,353

Auto Parts & Equipment — 1.4%
BorgWarner, Inc.*		5,730		483,268

Beverages — 2.9%
Boston Beer Co., Inc., Class A*		3,892		415,627
Monster Beverage Corp.*		8,920		553,843

				969,470

Biotechnology — 2.8%
Alexion Pharmaceuticals, Inc.*		5,540		514,444
Cubist Pharmaceuticals, Inc.*		9,620		416,065

				930,509

Chemicals — 2.5%
Airgas, Inc.		9,390		835,428

Commercial Services — 6.9%
Alliance Data Systems Corp.*		1,920		241,843
Gartner, Inc.*		16,635		709,317
Hertz Global Holdings, Inc.*		26,980		405,779
ServiceSource International, Inc.*		21,742		336,566
Team Health Holdings, Inc.*		15,430		317,241
Verisk Analytics, Inc.*		6,960		326,911

				2,337,657

Computers — 1.6%
Fortinet, Inc.*		19,204		530,991

Distribution & Wholesale — 1.5%
WESCO International, Inc.*		7,720		504,193

Diversified Financial Services — 1.7%
Affiliated Managers Group, Inc.*		4,620		516,562
LPL Investment Holdings. Inc.*		1,541		58,466

				575,028

Electronics — 1.5%
Trimble Navigation Ltd.*		9,410		512,092

Food — 1.2%
The Hain Celestial Group, Inc.*		9,090		398,233

Healthcare Products — 3.3%
Alere, Inc.*		10,505		273,235
Bruker Corp.*		19,430		297,473


	Number of Shares		Value†

Healthcare Products — (continued)
Edwards Lifesciences Corp.*		1,628	$	118,405
Gen-Probe, Inc.*		3,720		247,045
HeartWare International, Inc.*		2,540		166,853

				1,103,011

Healthcare Services — 1.2%
MEDNAX, Inc.*		5,370		399,367

Home Furnishings — 0.9%
Tempur-Pedic International, Inc.*		3,680		310,702

Industrial — 0.4%
Rexnord Corp.*		7,091		149,620

Internet — 11.1%
Angie’s List, Inc.*		10,700		202,123
BroadSoft, Inc.*		15,930		609,322
DealerTrack Holdings, Inc.*		16,120		487,791
Equinix, Inc.*		2,310		363,710
ExactTarget, Inc.*		1,503		39,078
F5 Networks, Inc.*		2,920		394,083
Homeaway, Inc.		8,430		213,869
Liquidity Services, Inc.*		5,230		234,304
MercadoLibre, Inc.		4,750		464,503
Shutterfly, Inc.*		6,920		216,804
TIBCO Software, Inc.*		16,490		502,945

				3,728,532

Machinery — Diversified — 4.1%
Chart Industries, Inc.*		7,160		525,043
Graco, Inc.		8,550		453,663
Wabtec Corp.		5,350		403,229

				1,381,935

Miscellaneous Manufacturing — 1.5%
Colfax Corp.*		9,536		336,049
Sodastream International Ltd.		5,280		177,830

				513,879

Oil & Gas — 4.9%
Approach Resources, Inc.*		9,104		336,393
Cabot Oil & Gas Corp.		6,800		211,956
Gulfport Energy Corp.*		6,420		186,950
Kodiak Oil & Gas Corp.*		34,550		344,118
Pioneer Natural Resources Co.		2,640		294,598
Plains Exploration & Production Co.*		6,170		263,150

				1,637,165

Oil & Gas Services — 2.2%
Atwood Oceanics, Inc.*		6,780		304,354
Oil States International, Inc.*		5,450		425,427

				729,781

Pharmaceuticals — 4.1%
AmerisourceBergen Corp.		6,350		251,968
Auxilium Pharmaceuticals, Inc.*		16,690		309,933
BioMarin Pharmaceutical, Inc.*		11,391		390,142
Impax Laboratories, Inc.*		13,900		341,662
Threshold Pharmaceuticals, Inc.		10,489		92,303

				1,386,008


	Number of Shares		Value†
COMMON STOCKS — (continued)
Real Estate — 0.9%
CBRE Group, Inc., Class A*		16,090	$	321,156

Retail — 6.5%
DSW, Inc., Class A		4,530		248,108
GNC Holdings, Inc., Class A*		12,344		430,682
PVH Corp.		4,630		413,598
Ulta Salon Cosmetics & Fragrance, Inc.*		5,220		484,886
Vera Bradley, Inc.*		9,870		297,975
Vitamin Shoppe, Inc.*		7,240		320,081

				2,195,330

Semiconductors — 2.8%
Avago Technologies Ltd.		9,000		350,730
CEVA, Inc.*		11,010		250,037
LSI Corp.*		39,360		341,645

				942,412

Software — 4.6%
Aspen Technology, Inc.*		23,500		482,455
athenahealth, Inc.*		4,350		322,422
Autodesk, Inc.*		10,060		425,739
CommVault Systems, Inc.*		324		16,084
QLIK Technologies, Inc.*		9,801		313,632

				1,560,332

Storage & Warehousing — 1.2%
Wesco Aircraft Holdings, Inc.*		24,190		391,878

Telecommunications — 5.4%
EZchip Semiconductor Ltd.*		6,540		283,378
Iridium Communications, Inc.*		39,990		350,312
LogMeIn, Inc.*		8,851		311,821
SBA Communications Corp., Class A*		12,896		655,246
Ubiquiti Networks, Inc.*		6,835		216,191

				1,816,948

Transportation — 4.4%
Gulfmark Offshore, Inc., Class A*		4,280		196,709
Kansas City Southern*		12,160		871,750
Kirby Corp.*		6,490		426,977

				1,495,436

TOTAL COMMON STOCKS (Cost $26,648,761)				30,675,463

SHORT-TERM INVESTMENTS — 8.9%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,979,265)		2,979,265		2,979,265

TOTAL INVESTMENTS — 100.0% (Cost $29,628,026)(a)			$	33,654,728

†	See Security Valuation Note.

*	Non-income producing security.


	Number of Shares		Value†
COMMON STOCKS — 89.8%
Apparel — 1.5%
The Jones Group, Inc.		46,620	$	585,547

Auto Parts & Equipment — 3.7%
Dana Holding Corp.		28,760		445,780
Lear Corp.		11,890		552,766
TRW Automotive Holdings Corp.*		9,010		418,515

				1,417,061

Banks — 9.0%
Associated Banc-Corp.		31,610		441,276
CapitalSource, Inc.		71,150		469,590
Comerica, Inc.		15,745		509,508
Huntington Bancshares, Inc.		74,440		480,138
Popular, Inc.*		164,270		336,754
Susquehanna Bancshares, Inc.		44,260		437,289
Webster Financial Corp.		10,690		242,342
Zions Bancorporation		24,920		534,783

				3,451,680

Beverages — 1.5%
Constellation Brands, Inc., Class A*		23,970		565,452

Building Materials — 1.0%
Fortune Brands Home & Security, Inc.*		16,960		374,307

Chemicals — 3.6%
Ferro Corp.*		49,060		291,416
Huntsman Corp.		24,970		349,830
PolyOne Corp.		34,400		495,360
Westlake Chemical Corp.		3,780		244,906

				1,381,512

Commercial Services — 2.3%
Avis Budget Group, Inc.*		17,310		244,937
Convergys Corp.*		30,110		401,968
Hertz Global Holdings, Inc.*		16,350		245,904

				892,809

Computers — 1.5%
Insight Enterprises, Inc.*		15,320		335,968
NCR Corp.*		10,390		225,567

				561,535

Distribution & Wholesale — 2.7%
Arrow Electronics, Inc.*		11,290		473,842
Ingram Micro, Inc., Class A*		11,470		212,883
WESCO International, Inc.*		5,420		353,980

				1,040,705

Diversified Financial Services — 2.3%
Aircastle Ltd.		34,870		426,809
Legg Mason, Inc.		16,370		457,214

				884,023

Electric — 4.3%
Great Plains Energy, Inc.		17,890		362,631
NV Energy, Inc.		28,360		457,163
PNM Resources, Inc.		21,840		399,672
Portland General Electric Co.		16,395		409,547

				1,629,013


	Number of Shares		Value†

Electrical Components & Equipment — 2.1%
EnerSys*		9,930	$	344,074
General Cable Corp.*		16,170		470,224

				814,298

Electronics — 5.5%
AU Optronics Corp. ADR		78,590		358,370
Avnet, Inc.*		14,300		520,377
Flextronics International Ltd.*		57,070		412,616
TTM Technologies, Inc.*		35,860		412,032
Vishay Intertechnology, Inc.*		31,910		388,026

				2,091,421

Engineering & Construction — 0.9%
Tutor Perini Corp.*		22,240		346,499

Food — 2.5%
Dean Foods Co.*		36,720		444,679
Dole Food Co., Inc.*		29,340		292,813
Tyson Foods, Inc., Class A		11,200		214,480

				951,972

Gas — 2.1%
Atmos Energy Corp.		12,855		404,418
UGI Corp.		14,600		397,850

				802,268

Healthcare Services — 2.6%
Health Net, Inc.*		12,780		507,621
LifePoint Hospitals, Inc.*		12,040		474,858

				982,479

Home Builders — 1.6%
Meritage Homes Corp.*		9,650		261,129
NVR, Inc.*		475		345,007

				606,136

Household Products & Wares — 1.1%
Avery Dennison Corp.		14,490		436,584

Housewares — 1.1%
Newell Rubbermaid, Inc.		23,510		418,713

Insurance — 8.1%
AmTrust Financial Services, Inc.		11,280		303,206
Aspen Insurance Holdings Ltd.		16,250		454,025
Endurance Specialty Holdings Ltd.		13,065		531,223
Platinum Underwriters Holdings Ltd.		12,200		445,300
Reinsurance Group of America, Inc.		8,585		510,550
Torchmark Corp.		9,160		456,626
Unum Group		15,545		380,542

				3,081,472

Iron & Steel — 2.6%
Commercial Metals Co.		23,560		349,159
Reliance Steel & Aluminum Co.		6,100		344,528
Steel Dynamics, Inc.		20,700		300,978

				994,665

Leisure Time — 1.2%
Royal Caribbean Cruises Ltd.		15,080		443,804


	Number of Shares		Value†
COMMON STOCKS — (continued)
Lodging — 1.2%
MGM Resorts International*		33,110	$	450,958

Machinery — Diversified — 0.7%
Sauer-Danfoss, Inc.		5,500		258,500

Media — 1.1%
Gannett Co., Inc.		26,780		410,537

Metal Fabricate/Hardware — 1.1%
Timken Co.		8,350		423,679

Oil & Gas — 3.7%
Plains Exploration & Production Co.*		10,290		438,868
Stone Energy Corp.*		10,830		309,630
Tesoro Corp.*		8,700		233,508
Western Refining, Inc.		22,810		429,284

				1,411,290

Retail — 4.0%
ANN, Inc.*		17,070		488,885
GameStop Corp., Class A*		15,350		335,244
Office Depot, Inc.*		102,750		354,487
The Children’s Place Retail Stores, Inc.*		6,880		355,490

				1,534,106

Savings & Loans — 1.9%
First Niagara Financial Group, Inc.		51,720		508,925
Washington Federal, Inc.		14,170		238,339

				747,264

Semiconductors — 5.5%
Amkor Technology, Inc.*		56,910		349,712
Entegris, Inc.*		46,490		434,217
Lam Research Corp.*		10,250		457,355
Micron Technology, Inc.*		61,190		495,639
MKS Instruments, Inc.		12,940		382,118

				2,119,041

Telecommunications — 1.9%
Amdocs Ltd.*		14,575		460,278
Anixter International, Inc.*		3,720		269,812

				730,090

Transportation — 3.9%
Atlas Air Worldwide Holdings, Inc.*		4,270		210,127
Bristow Group, Inc.		9,035		431,241
Con-way, Inc.		14,410		469,910
Teekay Corp.		11,510		399,972

				1,511,250

TOTAL COMMON STOCKS (Cost $29,544,265)				34,350,670

REAL ESTATE INVESTMENT TRUSTS — 7.9%
Apartments — 3.8%
BRE Properties, Inc.		7,530		380,642
Camden Property Trust		5,950		391,212
Home Properties, Inc.		4,510		275,155
Mid-America Apartment Communities, Inc.		5,910		396,147

				1,443,156


	Number of Shares		Value†

Diversified — 1.2%
Entertainment Properties Trust		9,750	$	452,205

Hotels & Resorts — 1.0%
DiamondRock Hospitality Co.		37,170		382,479

Office Property — 1.0%
BioMed Realty Trust, Inc.		19,820		376,184

Regional Malls — 0.9%
Glimcher Realty Trust		35,980		367,716

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $2,805,337)				3,021,740

SHORT-TERM INVESTMENTS — 2.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $881,534)		881,534		881,534

TOTAL INVESTMENTS — 100.0% (Cost $33,231,136)(a)			$	38,253,944

†	See Security Valuation Note.

*	Non-income producing security.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $33,280,633 Net unrealized appreciation was $4,973,311. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $5,875,749 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $902,438.

ADR — American Depository Receipt.


	Number of Shares		Value†
COMMON STOCKS — 99.1%
Airlines — 2.6%
Allegiant Travel Co.*		15,450	$	842,025
Copa Holdings S.A., Class A		19,977		1,582,178

				2,424,203

Apparel — 1.0%
Crocs, Inc.*		43,800		916,296

Auto Manufacturers — 2.9%
Tesla Motors, Inc.*		23,700		882,588
Wabash National Corp.*		170,510		1,764,778

				2,647,366

Biotechnology — 6.1%
Amarin Corp. PLC*		82,850		937,862
Ariad Pharmaceuticals, Inc.*		85,525		1,364,124
Cubist Pharmaceuticals, Inc.*		17,300		748,225
Emergent BioSolutions, Inc.*		85,625		1,370,000
Myriad Genetics, Inc.*		49,850		1,179,451

				5,599,662

Commercial Services — 10.8%
Acacia Research — Acacia Technologies*		41,850		1,746,819
American Public Education, Inc.*		51,591		1,960,458
Lender Processing Services, Inc.		82,075		2,133,950
Parexel International Corp.*		27,000		728,190
ServiceSource International, Inc.*		44,825		693,891
United Rentals, Inc.*		27,225		1,167,680
VistaPrint N.V.*		37,954		1,466,922

				9,897,910

Computers — 0.9%
Mitek Systems, Inc.*		74,733		866,903

Distribution & Wholesale — 1.3%
Titan Machinery, Inc.*		43,200		1,218,240

Diversified Financial Services — 5.6%
Encore Capital Group, Inc.*		57,125		1,288,169
Financial Engines, Inc.*		62,650		1,400,854
FXCM, Inc.		31,500		409,185
WisdomTree Investments, Inc.*		242,257		2,027,691

				5,125,899

Electronics — 0.8%
FARO Technologies, Inc.*		12,550		732,041

Entertainment — 1.7%
Pinnacle Entertainment, Inc.*		58,725		675,925
Shuffle Master, Inc.*		51,725		910,360

				1,586,285

Healthcare Products — 5.4%
Abiomed, Inc.*		61,825		1,371,897
Align Technology, Inc.*		48,191		1,327,662
Endologix, Inc.*		48,426		709,441
Insulet Corp.*		31,100		595,254
OraSure Technologies, Inc.*		84,825		974,639

				4,978,893

Healthcare Services — 1.3%
IPC The Hospitalist Co., Inc.*		31,650		1,168,201


	Number of Shares		Value†

Home Furnishings — 0.8%
Skullcandy, Inc.*		43,700	$	691,771

Insurance — 2.1%
MGIC Investment Corp.*		386,025		1,914,684

Internet — 7.6%
Ancestry.com, Inc.*		39,450		897,093
BroadSoft, Inc.*		59,691		2,283,181
Constant Contact, Inc.*		53,795		1,602,553
ExactTarget, Inc.*		25,750		669,500
Pandora Media, Inc.		59,175		604,177
Shutterfly, Inc.*		28,950		907,003

				6,963,507

Leisure Time — 1.0%
Life Time Fitness, Inc.*		17,905		905,456

Metal Fabricate/Hardware — 2.5%
Dynamic Materials Corp.		54,675		1,154,189
Haynes International, Inc.		17,841		1,130,228

				2,284,417

Mining — 4.4%
Globe Specialty Metals, Inc.		132,722		1,973,576
Horsehead Holding Corp.*		180,789		2,059,187

				4,032,763

Miscellaneous Manufacturing — 3.3%
LSB Industries, Inc.*		32,117		1,249,994
Polypore International, Inc.*		49,775		1,750,089

				3,000,083

Oil & Gas — 10.6%
Carrizo Oil & Gas, Inc.*		64,925		1,834,781
Comstock Resources, Inc.*		190,210		3,011,024
Goodrich Petroleum Corp.*		166,772		3,172,004
Quicksilver Resources, Inc.*		338,083		1,703,938

				9,721,747

Oil & Gas Services — 1.3%
Tesco Corp.*		83,235		1,181,105

Pharmaceuticals — 1.3%
Questcor Pharmaceuticals, Inc.*		32,400		1,218,888

Retail — 0.9%
Vera Bradley, Inc.*		27,900		842,301

Semiconductors — 5.6%
Cavium, Inc.*		46,225		1,430,202
Inphi Corp.*		106,047		1,503,746
Mellanox Technologies Ltd*		22,277		931,847
Teradyne, Inc.*		76,300		1,288,707

				5,154,502

Software — 3.1%
InnerWorkings, Inc.*		76,666		893,159
QLIK Technologies, Inc.*		30,725		983,200
Rosetta Stone, Inc.*		92,902		958,749

				2,835,108


	Number of Shares		Value†
COMMON STOCKS — (continued)
Storage & Warehousing — 1.6%
Mobile Mini, Inc.*		67,687	$	1,429,549

Telecommunications — 8.3%
Acme Packet, Inc.*		74,350		2,046,112
Aruba Networks, Inc.*		73,875		1,645,935
IPG Photonics Corp.*		33,175		1,726,759
Sycamore Networks, Inc.*		126,549		2,244,979

				7,663,785

Transportation — 3.2%
Celadon Group, Inc.		70,404		1,094,782
Scorpio Tankers, Inc.*		166,205		1,173,407
Vitran Corp., Inc.*		84,513		674,414

				2,942,603

Trucking and Leasing — 1.1%
Greenbrier Cos., Inc.*		49,050		970,699

TOTAL COMMON STOCKS (Cost $81,691,013)				90,914,867

SHORT-TERM INVESTMENTS — 0.9%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $861,313)		861,313		861,313

TOTAL INVESTMENTS — 100.0% (Cost $82,552,326)(a)			$	91,776,180

†	See Security Valuation Note.

*	Non-income producing security.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $84,920,358. Net unrealized appreciation was $6,855,822. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $11,906,594 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $5,050,772.

ADS — American Depository Share.

Plc — Public Limited Company.


	Number of Shares		Value†
COMMON STOCKS — 84.2%
Aerospace & Defense — 1.5%
AAR Corp.		26,811	$	489,301
Kaman Corp.		35,314		1,198,910
Triumph Group, Inc.		14,659		918,533

				2,606,744

Airlines — 0.3%
JetBlue Airways Corp.*		109,081		533,406

Apparel — 1.5%
Deckers Outdoor Corp.*		8,669		546,580
Gildan Activewear, Inc.		11,598		319,525
Steven Madden Ltd.*		20,319		868,637
The Warnaco Group, Inc.*		16,382		956,709

				2,691,451

Auto Parts & Equipment — 1.0%
Dana Holding Corp.		25,521		395,576
Tenneco, Inc.*		17,567		652,614
Visteon Corp.*		11,769		623,757

				1,671,947

Banks — 12.0%
BancorpSouth, Inc.		50,777		683,966
Bank of the Ozarks, Inc.		42,045		1,314,327
Boston Private Financial Holdings, Inc.		43,691		432,978
Bridge Capital Holdings*		12,048		162,166
CoBiz Financial, Inc.		31,626		223,596
Columbia Banking System, Inc.		30,734		700,121
Community Bank System, Inc.		32,306		929,767
F.N.B. Corp.		57,902		699,456
First Financial Bankshares, Inc.		26,322		926,798
First Midwest Bancorp, Inc.		59,632		714,391
Glacier Bancorp, Inc.		55,907		835,251
Hancock Holding Co.		34,051		1,209,151
Heritage Financial Corp.		15,659		212,962
Home Bancshares, Inc.		16,529		439,837
Iberiabank Corp.		6,448		344,775
Independent Bank Corp.		12,680		364,296
Lakeland Financial Corp.		13,503		351,483
MB Financial, Inc.		44,104		925,743
Pinnacle Financial Partners, Inc.*		31,303		574,410
PrivateBancorp, Inc.		53,178		806,710
Prosperity Bancshares, Inc.		27,239		1,247,546
Sandy Spring Bancorp, Inc.		14,714		267,353
SCBT Financial Corp.		17,867		584,430
Sierra Bancorp		7,983		78,473
Signature Bank*		27,970		1,763,229
Simmons First National Corp., Class A		9,193		237,455
Southcoast Financial Corp.*		11,470		17,778
Sterling Financial Corp.*		4,002		83,562
Summit State Bank		9,857		59,043
Texas Capital Bancshares, Inc.*		33,626		1,164,132
The First of Long Island Corp.		8,304		220,056
Trico Bancshares		18,083		315,006
UMB Financial Corp.		24,957		1,116,451
Webster Financial Corp.		38,875		881,296

				20,887,994


	Number of Shares		Value†

Building Materials — 0.8%
Comfort Systems USA, Inc.		83,187	$	907,570
Universal Forest Products, Inc.		15,947		549,853

				1,457,423

Chemicals — 3.4%
H.B. Fuller Co.		42,639		1,399,838
Minerals Technologies, Inc.		14,538		950,931
PolyOne Corp.		82,806		1,192,406
Tronox, Inc.*		3,404		593,147
W.R. Grace & Co.*		17,294		999,593
Westlake Chemical Corp.		11,364		736,274

				5,872,189

Commercial Services — 2.9%
Ascent Capital Group Inc., Class A*		5,453		257,873
Convergys Corp.*		66,458		887,214
Monro Muffler Brake, Inc.		15,664		649,899
On Assignment, Inc.*		33,781		590,154
RSC Holdings, Inc.*		82,744		1,869,187
Team Health Holdings, Inc.*		43,620		896,827

				5,151,154

Computers — 1.9%
Electronics for Imaging, Inc.*		53,573		890,383
Mentor Graphics Corp.*		53,226		790,938
MTS Systems Corp.		14,687		779,733
NetScout Systems, Inc.*		42,669		867,888

				3,328,942

Cosmetics & Personal Care — 0.4%
Elizabeth Arden, Inc.*		18,313		640,589

Distribution & Wholesale — 1.9%
Beacon Roofing Supply, Inc.*		27,947		719,915
Fossil, Inc.*		4,475		590,610
ScanSource, Inc.*		20,758		774,689
Watsco, Inc.		16,531		1,223,955

				3,309,169

Diversified Financial Services — 2.7%
BGC Partners, Inc., Class A		28,555		211,021
Cohen & Steers, Inc.		5,461		174,206
KBW, Inc.		20,382		377,067
Knight Capital Group, Inc., Class A*		37,750		485,843
Manning & Napier, Inc.		15,047		221,191
MarketAxess Holdings, Inc.		17,008		634,228
Ocwen Financial Corp.*		76,769		1,199,899
Piper Jaffray Cos.*		6,273		166,987
Solar Senior Capital Ltd.		11,306		182,140
Stifel Financial Corp.*		26,757		1,012,485

				4,665,067

Electric — 4.3%
Allete, Inc.		8,889		368,805
Black Hills Corp.		7,299		244,735
Cleco Corp.		34,529		1,369,075
El Paso Electric Co.		101,524		3,298,515
IDACORP, Inc.		36,028		1,481,471
MGE Energy, Inc.		1,660		73,687
NorthWestern Corp.		10,345		366,834


	Number of Shares		Value†
COMMON STOCKS — (continued)
Electric — (continued)
Unisource Energy Corp.		8,870	$	324,376

				7,527,498

Electrical Components & Equipment — 1.8%
Acuity Brands, Inc.		10,411		654,123
Belden, Inc.		22,715		861,126
EnerSys*		18,197		630,526
Littelfuse, Inc.		15,597		977,932

				3,123,707

Electronics — 0.5%
Checkpoint Systems, Inc.*		48,108		542,658
Newport Corp.*		15,247		270,177

				812,835

Engineering & Construction — 0.4%
Michael Baker Corp.*		8,378		199,815
MYR Group, Inc.*		26,263		469,057

				668,872

Entertainment — 0.9%
Six Flags Entertainment Corp.		18,380		859,633
Vail Resorts, Inc.		16,378		708,348

				1,567,981

Environmental Control — 0.6%
Darling International, Inc.*		25,027		435,970
Waste Connections, Inc.		17,019		553,628

				989,598

Food — 1.2%
The Hain Celestial Group, Inc.*		28,415		1,244,861
TreeHouse Foods, Inc.*		13,717		816,162

				2,061,023

Gas — 2.0%
Southwest Gas Corp.		82,143		3,510,792

Hand & Machine Tools — 0.3%
Regal-Beloit Corp.		8,890		582,740

Healthcare Products — 1.1%
Orthofix International N.V.*		10,215		383,880
PSS World Medical, Inc.*		33,804		856,593
West Pharmaceutical Services, Inc.		16,806		714,759

				1,955,232

Healthcare Services — 2.6%
HealthSouth Corp.*		85,965		1,760,563
ICON Plc ADR*		58,988		1,251,725
Lincare Holdings, Inc.		48,487		1,254,844
Magellan Health Services, Inc.*		6,674		325,758

				4,592,890

Home Builders — 0.3%
Meritage Homes Corp.*		21,815		590,314

Home Furnishings — 1.2%
Harman International Industries, Inc.		19,647		919,676
Tempur-Pedic International, Inc.*		13,454		1,135,921

				2,055,597


	Number of Shares		Value†

Insurance — 5.0%
Alterra Capital Holdings Ltd.		40,766	$	936,803
American Equity Investment Life Holding Co.		124,144		1,585,319
Aspen Insurance Holdings Ltd.		15,838		442,514
Donegal Group, Inc., Class A		10,165		138,955
Enstar Group Ltd.*		5,349		529,497
Meadowbrook Insurance Group, Inc.		170,997		1,595,402
ProAssurance Corp.		18,494		1,629,506
RLI Corp.		12,540		898,366
Tower Group, Inc.		44,126		989,746

				8,746,108

Internet — 0.0%
ExactTarget, Inc.*		1,362		35,412

Investment Companies — 0.6%
Golub Capital BDC, Inc.		17,225		263,026
PennantPark Investment Corp.		39,321		408,938
Solar Capital Ltd.		15,101		333,279

				1,005,243

Iron & Steel — 0.8%
Commercial Metals Co.		25,105		372,056
Metals USA Holdings Corp.*		41,051		591,545
Schnitzer Steel Industries, Inc., Class A		9,837		392,447

				1,356,048

Leisure Time — 0.6%
Arctic Cat, Inc.*		8,251		353,390
Polaris Industries, Inc.		10,630		766,955

				1,120,345

Lodging — 0.1%
Gaylord Entertainment Co.*		5,651		174,051

Machinery — Diversified — 2.5%
Altra Holdings, Inc.*		25,558		490,714
Applied Industrial Technologies, Inc.		18,764		771,763
Graco, Inc.		17,849		947,068
Robbins & Myers, Inc.		20,684		1,076,602
Tennant Co.		14,304		629,376
Twin Disc, Inc.		14,717		383,967

				4,299,490

Media — 0.6%
Knology, Inc.*		53,929		981,508

Metal Fabricate/Hardware — 1.0%
Olympic Steel, Inc.		27,205		652,920
RBC Bearings, Inc.*		22,472		1,036,633

				1,689,553

Mining — 0.8%
Kaiser Aluminum Corp.		24,327		1,149,694
Stillwater Mining Co.*		15,465		195,478

				1,345,172

Miscellaneous Manufacturing — 2.2%
A.O. Smith Corp.		22,756		1,022,882
Actuant Corp., Class A		17,947		520,284
AZZ, Inc.		13,384		691,150


	Number of Shares		Value†
COMMON STOCKS — (continued)
Miscellaneous Manufacturing — (continued)
Carlisle Cos., Inc.		32,094	$	1,602,132

				3,836,448

Oil & Gas — 2.4%
Approach Resources, Inc.*		45,722		1,689,428
Magnum Hunter Resources Corp.*		166,950		1,070,149
Matador Resources Co.*		24,224		265,253
Petroleum Development Corp.*		24,426		905,960
Rosetta Resources, Inc.*		3,938		192,017

				4,122,807

Oil & Gas Services — 1.8%
Key Energy Services, Inc.*		90,153		1,392,864
Newpark Resources, Inc.*		153,118		1,254,036
Thermon Group Holdings, Inc.*		28,630		585,484

				3,232,384

Pharmaceuticals — 0.9%
Herbalife Ltd.		17,215		1,184,736
Medicis Pharmaceutical Corp., Class A		11,964		449,727

				1,634,463

Real Estate — 0.1%
Kennedy-Wilson Holdings, Inc.		13,675		184,613

Retail — 6.6%
Aeropostale, Inc.*		22,083		477,435
Asbury Automotive Group, Inc.*		10,340		279,180
Big Lots, Inc.*		30,125		1,295,978
DineEquity, Inc.*		4,808		238,477
Express, Inc.*		33,129		827,562
Ezcorp, Inc., Class A*		9,069		294,334
First Cash Financial Services, Inc.*		11,209		480,754
Francesca’s Holdings Corp.*		9,533		301,338
Genesco, Inc.*		5,736		410,984
GNC Holdings, Inc., Class A		25,950		905,396
HSN, Inc.		18,823		715,839
Jos. A. Bank Clothiers, Inc.*		16,705		842,099
Mattress Firm Holding Corp.*		21,172		802,419
Nu Skin Enterprises, Inc., Class A		17,984		1,041,453
Susser Holdings Corp.*		6,870		176,353
The Children’s Place Retail Stores, Inc.*		10,315		532,976
Vera Bradley, Inc.*		18,911		570,923
Vitamin Shoppe, Inc.*		9,895		437,458
World Fuel Services Corp.		22,054		904,214

				11,535,172

Savings & Loans — 1.5%
Brookline Bancorp, Inc.		53,843		504,509
Dime Community Bancshares Inc.		22,846		333,780
Flushing Financial Corp.		36,546		491,909
Northwest Bancshares, Inc.		44,756		568,401
Provident Financial Services, Inc.		30,733		446,551
WSFS Financial Corp.		7,298		299,218

				2,644,368

Semiconductors — 3.1%
Cabot Microelectronics Corp.*		21,225		825,228
Fairchild Semiconductor International, Inc.*		61,019		896,979
Micrel, Inc.		37,057		380,205


	Number of Shares		Value†

Semiconductors — (continued)
MKS Instruments, Inc.		32,416	$	957,244
Semtech Corp.*		48,037		1,367,133
Standard Microsystems Corp.*		38,925		1,006,990

				5,433,779

Software — 2.4%
Digi International, Inc.*		35,000		384,650
Monotype Imaging Holdings, Inc.*		35,604		530,500
Parametric Technology Corp.*		31,544		881,339
SS&C Technologies Holdings, Inc.*		65,023		1,516,986
SYNNEX Corp.*		20,855		795,410

				4,108,885

Telecommunications — 2.1%
ADTRAN, Inc.		23,199		723,577
Anixter International, Inc.*		17,249		1,251,070
Plantronics, Inc.		17,690		712,199
Premiere Global Services, Inc.*		104,420		943,957

				3,630,803

Textiles — 0.5%
G&K Services, Inc., Class A		26,998		923,332

Transportation — 1.1%
Forward Air Corp.		29,838		1,094,159
Heartland Express, Inc.		52,615		760,813

				1,854,972

TOTAL COMMON STOCKS (Cost $117,941,996)				146,750,110

REAL ESTATE INVESTMENT TRUSTS — 13.1%
Apartments — 1.7%
American Campus Communities, Inc.		48,469		2,167,533
Mid-America Apartment Communities, Inc.		12,694		850,879

				3,018,412

Building & Real Estate — 3.2%
CreXus Investment Corp.		39,679		410,281
CYS Investments, Inc.		102,534		1,342,170
MFA Financial, Inc.		204,608		1,528,422
National Retail Properties, Inc.		44,817		1,218,574
Two Harbors Investment Corp.		100,241		1,016,444

				5,515,891

Diversified — 3.0%
Coresite Realty Corp.		58,884		1,389,074
DuPont Fabros Technology, Inc.		31,807		777,681
Entertainment Properties Trust		34,588		1,604,191
PS Business Parks, Inc.		23,087		1,513,122

				5,284,068

Healthcare — 0.7%
LTC Properties, Inc.		4,758		152,256
National Health Investors, Inc.		10,925		532,921
Omega Healthcare Investors, Inc.		21,429		455,581

				1,140,758

Hotels & Resorts — 1.4%
DiamondRock Hospitality Co.		63,189		650,215
LaSalle Hotel Properties		31,509		886,663


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Hotels & Resorts — (continued)
Pebblebrook Hotel Trust		42,253	$	954,073

				2,490,951

Office Property — 1.2%
BioMed Realty Trust, Inc.		72,806		1,381,858
Hudson Pacific Properties, Inc.		50,672		766,667

				2,148,525

Regional Malls — 0.5%
CBL & Associates Properties, Inc.		46,875		886,875

Storage & Warehousing — 0.5%
CubeSmart		64,493		767,467

Strip Centers — 0.9%
Acadia Realty Trust		38,075		858,211
Retail Opportunity Investments Corp.		57,556		692,974

				1,551,185

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $18,910,857)				22,804,132

EXCHANGE TRADED FUNDS — 0.5%
iShares Russell 2000 Value Index Fund (Cost $864,577)		11,850		864,694

WARRANTS — 0.0%
Magnum Hunter Resources Corp.~ (Cost $0)		6,348		0

SHORT-TERM INVESTMENTS — 2.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $3,787,649)		3,787,649		3,787,649

TOTAL INVESTMENTS — 100.0% (Cost $141,505,079)			$	174,206,585

†	See Security Valuation Note.

*	Non-income producing security.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $0.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $142,264,507. Net unrealized appreciation was $31,942,078. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $36,073,638 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $4,131,560.

ADR — American Depository Receipt.

Plc — Public Limited Company.


	Number of Shares		Value†
COMMON STOCKS — 87.5%
Advertising — 0.1%
Harte-Hanks, Inc.		978	$	8,851
Marchex, Inc., Class B		745		3,323
MDC Partners, Inc.		600		6,672
Valuevision Media, Inc.*		1,000		2,070

				20,916

Aerospace & Defense — 1.4%
AAR Corp.		1,169		21,334
AeroVironment, Inc.*		418		11,207
Astronics Corp.*		331		11,572
Cubic Corp.		469		22,174
Curtiss-Wright Corp.		1,226		45,374
Ducommun, Inc.		265		3,154
Esterline Technologies Corp.*		840		60,026
GenCorp, Inc.*		1,240		8,804
HEICO Corp.		1,130		58,297
Kaman Corp.		648		22,000
Kratos Defense & Security Solutions, Inc.*		922		4,923
LMI Aerospace, Inc.*		153		2,785
Moog, Inc., Class A*		1,191		51,082
National Presto Industries, Inc.		146		11,076
Orbital Sciences Corp.*		1,696		22,302
Teledyne Technologies, Inc.*		1,004		63,302
Triumph Group, Inc.		1,026		64,289

				483,701

Agriculture — 0.4%
Alico, Inc.		51		1,179
Alliance One International, Inc.*		2,256		8,505
Cadiz, Inc.*		157		1,445
Griffin Land & Nurseries, Inc.		40		1,056
Limoneira Co.		100		1,689
MPG Ingredients, Inc.		300		1,614
Star Scientific, Inc.*		4,044		13,264
Tejon Ranch Co.*		688		19,704
The Andersons, Inc.		455		22,154
Universal Corp.		755		35,183
Vector Group Ltd.		1,341		23,763

				129,556

Airlines — 0.6%
Alaska Air Group, Inc.*		1,874		67,127
Allegiant Travel Co.*		401		21,854
Hawaiian Holdings, Inc.*		1,326		6,935
JetBlue Airways Corp.*		6,228		30,455
Republic Airways Holdings, Inc.*		1,201		5,933
SkyWest, Inc.		1,281		14,155
Spirit Airlines, Inc.*		400		8,028
US Airways Group, Inc.*		4,718		35,810

				190,297

Apparel — 1.3%
Carter’s, Inc.*		1,306		65,000
Cherokee, Inc.		200		2,278
Columbia Sportswear Co.		311		14,757
Crocs, Inc.*		2,600		54,392
Delta Apparel, Inc.*		200		3,286
G-III Apparel Group Ltd.*		404		11,482
Iconix Brand Group, Inc.*		1,942		33,752


	Number of Shares		Value†

Apparel — (continued)
K-Swiss, Inc., Class A*		424	$	1,738
Maidenform Brands, Inc.*		538		12,110
Oxford Industries, Inc.		308		15,653
Perry Ellis International, Inc.*		414		7,729
Quiksilver, Inc.*		4,460		18,018
RG Barry Corp.		200		2,440
Skechers U.S.A., Inc., Class A*		1,116		14,196
Steven Madden Ltd.*		1,033		44,161
The Jones Group, Inc.		1,965		24,680
The Warnaco Group, Inc.*		1,060		61,904
True Religion Apparel, Inc.*		626		17,152
Unifi, Inc.*		360		3,478
Weyco Group, Inc.		100		2,370
Wolverine World Wide, Inc.		1,291		47,999

				458,575

Auto Manufacturers — 0.1%
Wabash National Corp.*		2,200		22,770

Auto Parts & Equipment — 1.0%
Accuride Corp.*		1,000		8,690
American Axle & Manufacturing Holdings, Inc.*		1,716		20,094
Amerigon, Inc.*		568		9,190
Commercial Vehicle Group, Inc.*		600		7,326
Cooper Tire & Rubber Co.		1,849		28,142
Dana Holding Corp.		3,996		61,938
Dorman Products, Inc.*		296		14,978
Douglas Dynamics, Inc.		500		6,875
Exide Technologies*		1,787		5,593
Fuel Systems Solutions, Inc.*		634		16,585
Meritor, Inc.*		2,645		21,345
Miller Industries, Inc.		443		7,496
Modine Manufacturing Co.*		1,077		9,510
Motorcar Parts of America, Inc.*		300		2,886
Spartan Motors, Inc.		917		4,851
Standard Motor Products, Inc.		700		12,418
Superior Industries International, Inc.		519		10,141
Tenneco, Inc.*		1,700		63,155
Titan International, Inc.		1,213		28,688
Tower International, Inc.*		200		2,436

				342,337

Banks — 6.1%
1st Source Corp.		326		7,977
1st United Bancorp, Inc.*		400		2,420
Alliance Financial Corp.		73		2,213
Ameris Bancorp*		447		5,874
Ames National Corp.		199		4,736
Arrow Financial Corp.		350		8,540
BancFirst Corp.		160		6,970
Banco Latinoamericano de Exportaciones S.A., Class E		1,110		23,432
Bancorp, Inc.*		512		5,140
BancorpSouth, Inc.		2,449		32,988
Bank of Kentucky Financial Corp.		200		5,146
Bank of Marin Bancorp		90		3,421
Bank of the Ozarks, Inc.		676		21,132


	Number of Shares		Value†
COMMON STOCKS — (continued)
Banks — (continued)
Banner Corp.		400	$	8,812
Boston Private Financial Holdings, Inc.		2,858		28,323
Bridge Bancorp, Inc.		107		2,244
Bridge Capital Holdings*		300		4,038
Bryn Mawr Bank Corp.		232		5,206
Camden National Corp.		326		11,459
Capital City Bank Group, Inc.		269		2,004
Cardinal Financial Corp.		618		6,983
Cass Information Systems, Inc.		231		9,228
Cathay General Bancorp		2,050		36,285
Center Bancorp, Inc.		400		4,012
CenterState Banks of Florida, Inc.		1,432		11,685
Central Pacific Financial Corp.*		400		5,180
Century Bancorp, Inc., Class A		69		1,884
Chemical Financial Corp.		666		15,611
Citizens & Northern Corp.		356		7,120
City Holding Co.		348		12,083
CNB Financial Corp.		474		7,921
CoBiz Financial, Inc.		600		4,242
Columbia Banking System, Inc.		1,170		26,653
Community Bank System, Inc.		1,011		29,097
Community Trust Bancorp, Inc.		321		10,294
CVB Financial Corp.		2,592		30,430
Eagle Bancorp, Inc.*		385		6,445
Encore Bancshares, Inc.*		200		4,074
Enterprise Bancorp, Inc.		300		4,932
Enterprise Financial Services Corp.		382		4,485
F.N.B. Corp.		4,308		52,041
Financial Institutions, Inc.		340		5,498
First Bancorp		324		3,541
First Bancorp, Inc.		234		3,470
First Busey Corp.		1,802		8,902
First Commonwealth Financial Corp.		2,621		16,040
First Community Bancshares, Inc.		326		4,355
First Connecticut Bancorp, Inc.		659		8,692
First Financial Bancorp		1,605		27,766
First Financial Bankshares, Inc.		826		29,083
First Financial Corp.		280		8,890
First Interstate Bancsystem, Inc.		400		5,848
First Merchants Corp.		538		6,639
First Midwest Bancorp, Inc.		2,414		28,920
FirstMerit Corp.		3,176		53,547
Franklin Financial Corp.*		400		5,372
German American Bancorp, Inc.		292		5,674
Glacier Bancorp, Inc.		2,021		30,194
Great Southern Bancorp, Inc.		171		4,104
Hampton Roads Bankshares, Inc.*		300		909
Hancock Holding Co.		1,972		70,026
Hanmi Financial Corp*		813		8,228
Heartland Financial USA, Inc.		317		5,497
Heritage Commerce Corp.*		600		3,858
Heritage Financial Corp.		508		6,909
Home Bancshares, Inc.		582		15,487
Hudson Valley Holding Corp.		462		7,452
Iberiabank Corp.		746		39,889
Independent Bank Corp.		771		22,151


	Number of Shares		Value†

Banks — (continued)
International Bancshares Corp.		1,525	$	32,254
Lakeland Bancorp, Inc.		560		5,513
Lakeland Financial Corp.		494		12,859
MainSource Financial Group, Inc.		521		6,278
MB Financial, Inc.		1,349		28,315
Merchants Bancshares, Inc.		86		2,423
Metro Bancorp, Inc.*		263		3,074
Midsouth Bancorp, Inc.		186		2,530
National Bankshares, Inc.		119		3,582
National Penn Bancshares, Inc.		3,387		29,975
NBT Bancorp, Inc.		811		17,907
Old National Bancorp		2,586		33,980
OmniAmerican Bancorp, Inc.*		291		5,634
Oriental Financial Group, Inc.		1,010		12,221
Orrstown Financial Services, Inc.		87		763
Pacific Capital Bancorp*		100		4,561
Pacific Continental Corp.		262		2,468
PacWest Bancorp		723		17,569
Park National Corp.		324		22,411
Park Sterling Corp.*		800		3,840
Penns Woods Bancorp, Inc.		68		2,780
Peoples Bancorp, Inc.		272		4,771
Pinnacle Financial Partners, Inc.*		763		14,001
PrivateBancorp, Inc.		1,898		28,793
Prosperity Bancshares, Inc.		1,226		56,151
Renasant Corp.		537		8,742
Republic Bancorp, Inc., Class A		387		9,257
S&T Bancorp, Inc.		659		14,294
S.Y. Bancorp, Inc.		445		10,324
Sandy Spring Bancorp, Inc.		785		14,263
SCBT Financial Corp.		296		9,682
Seacoast Banking Corp. of Florida*		2,200		3,872
Sierra Bancorp		212		2,084
Signature Bank*		1,383		87,184
Simmons First National Corp., Class A		400		10,332
Southside Bancshares, Inc.		334		7,381
Southwest Bancorp, Inc.*		436		4,020
State Bank Financial Corp.*		800		14,008
StellarOne Corp.		616		7,312
Sterling Bancorp		686		6,579
Sterling Financial Corp.*		700		14,616
Suffolk Bancorp		143		1,858
Sun Bancorp, Inc.*		1,100		3,883
Susquehanna Bancshares, Inc.		5,633		55,654
SVB Financial Group*		1,119		71,996
Taylor Capital Group, Inc.*		233		3,344
Texas Capital Bancshares, Inc.*		973		33,685
The First of Long Island Corp.		195		5,167
Tompkins Financial Corp.		158		6,329
TowneBank		459		6,192
Trico Bancshares		304		5,296
TrustCo Bank Corp.		3,252		18,569
Trustmark Corp.		1,730		43,215
UMB Financial Corp.		881		39,411
Umpqua Holdings Corp.		3,162		42,877
Union First Market Bankshares Corp.		742		10,388


	Number of Shares		Value†
COMMON STOCKS — (continued)
Banks — (continued)
United Bankshares, Inc.		1,294	$	37,345
United Community Banks, Inc.*		978		9,535
Univest Corp. of Pennsylvania		300		5,034
Virginia Commerce Bancorp*		400		3,512
Walker & Dunlap*		400		5,040
Washington Banking Co.		475		6,560
Washington Trust Bancorp, Inc.		270		6,518
Webster Financial Corp.		1,928		43,708
WesBanco, Inc.		615		12,386
West Bancorporation, Inc.		268		2,677
West Coast Bancorp*		659		12,468
Westamerica Bancorporation		773		37,104
Western Alliance Bancorp*		1,575		13,340
Wilshire Bancorp, Inc.*		1,576		7,612
Wintrust Financial Corp.		1,042		37,293

				2,086,300

Beverages — 0.2%
Boston Beer Co., Inc., Class A*		210		22,426
Central European Distribution Corp.*		1,700		8,687
Coca-Cola Bottling Co. Consolidated		174		10,917
Farmers Brothers Co.		204		2,221
National Beverage Corp.*		242		3,882
Peet’s Coffee & Tea, Inc.*		359		26,458
Primo Water Corp.*		300		585

				75,176

Biotechnology — 2.2%
Acorda Therapeutics, Inc.*		1,231		32,683
Affymax, Inc.*		810		9,509
Alkermes plc		2,792		51,792
Alnylam Pharmaceuticals, Inc.*		1,339		14,823
AMAG Pharmaceuticals, Inc.*		556		8,857
Arena Pharmaceuticals, Inc.*		4,606		14,140
Ariad Pharmaceuticals, Inc.*		4,464		71,201
Arqule, Inc.*		1,796		12,590
Astex Pharmaceuticals, Inc.*		651		1,211
BioCryst Pharmaceuticals, Inc.*		597		2,884
Biosante Pharmaceuticals, Inc.*		2,400		1,632
Biotime, Inc.*		400		1,764
Cambrex Corp.*		667		4,662
Cell Therapeutics, Inc.*		4,200		5,460
Celldex Therapeutics, Inc.*		644		3,278
Chelsea Therapeutics International, Inc.*		2,474		6,333
Complete Genomics, Inc.*		200		564
Cubist Pharmaceuticals, Inc.*		1,544		66,778
Curis, Inc.*		1,673		8,064
Dynavax Technologies Corp.*		3,900		19,734
Emergent BioSolutions, Inc.*		758		12,128
Enzo Biochem, Inc.*		795		2,139
Enzon Pharmaceuticals, Inc.*		905		6,190
Exact Sciences Corp.*		2,000		22,320
Exelixis, Inc.*		4,069		21,077
Geron Corp.*		2,750		4,648
GTx, Inc.*		1,000		3,850
Halozyme Therapeutics, Inc.*		2,389		30,484
Harvard Bioscience, Inc.*		700		2,744
Immunogen, Inc.*		2,063		29,687


	Number of Shares		Value†

Biotechnology — (continued)
Immunomedics, Inc.*		1,436	$	5,213
Incyte Corp. Ltd.*		2,598		50,141
Insmed, Inc.*		600		2,178
InterMune, Inc.*		1,443		21,169
Lexicon Pharmaceuticals, Inc.*		3,626		6,744
Ligand Pharmaceuticals, Inc.*		444		7,082
Maxygen, Inc.*		600		3,444
Momenta Pharmaceuticals, Inc.*		1,182		18,108
Novavax, Inc.*		1,329		1,675
NPS Pharmaceuticals, Inc.*		1,957		13,386
Nymox Pharmaceutical Corp*		600		4,824
OncoGenex Pharmaceutical, Inc.*		300		3,987
Oncothyreon, Inc.*		1,000		4,360
Pacific Biosciences of California, Inc.*		800		2,736
PDL BioPharma, Inc.		3,717		23,603
Peregrine Pharmaceuticals, Inc.*		1,000		540
PharmAthene, Inc.*		1,100		1,947
RTI Biologics, Inc.*		2,035		7,529
Sangamo Biosciences, Inc.*		1,003		4,915
Seattle Genetics, Inc.*		2,506		51,072
Sequenom, Inc.*		2,897		11,791
The Medicines Co.*		1,492		29,944
Vical, Inc.*		2,121		7,211
ZIOPHARM Oncology, Inc.*		1,500		8,100

				764,925

Building & Real Estate — 0.0%
AV Homes, Inc.*		195		2,375

Building Materials — 1.0%
AAON, Inc.		438		8,843
Apogee Enterprises, Inc.		1,043		13,507
Broadwind Energy, Inc.*		1,724		810
Builders FirstSource, Inc.*		3,373		14,268
Comfort Systems USA, Inc.		1,227		13,387
Drew Industries, Inc.*		491		13,409
Eagle Materials, Inc.		1,289		44,793
Gibraltar Industries, Inc.*		801		12,135
Interline Brands, Inc.*		1,050		22,690
Louisiana-Pacific Corp.*		3,294		30,799
LSI Industries, Inc.		314		2,302
NCI Building Systems, Inc.*		464		5,341
Quanex Building Products Corp.		1,225		21,597
Simpson Manufacturing Co., Inc.		1,085		34,991
Texas Industries, Inc.		633		22,161
Trex Co., Inc.*		331		10,618
Universal Forest Products, Inc.		483		16,654
USG Corp.*		2,200		37,840

				326,145

Chemicals — 1.7%
A. Schulman, Inc.		788		21,292
Aceto Corp.		642		6,093
American Vanguard Corp.		478		10,368
Balchem Corp.		705		21,326
Chemtura Corp.*		2,644		44,895
Codexis, Inc.*		612		2,234
Ferro Corp.*		2,638		15,670


	Number of Shares		Value†
COMMON STOCKS — (continued)
Chemicals — (continued)
Georgia Gulf Corp.*		1,000	$	34,880
H.B. Fuller Co.		1,280		42,022
Hawkins, Inc.		249		9,263
Innophos Holdings, Inc.		596		29,872
Innospec, Inc.*		600		18,228
KMG Chemicals, Inc.		200		3,610
Kraton Performance Polymers, Inc.*		1,041		27,659
Landec Corp.*		518		3,383
Minerals Technologies, Inc.		464		30,350
NewMarket Corp.		230		43,102
Olin Corp.		2,092		45,501
OM Group, Inc.*		754		20,743
Omnova Solutions, Inc.*		1,168		7,884
PolyOne Corp.		2,556		36,806
Quaker Chemical Corp.		311		12,269
Sensient Technologies Corp.		1,274		48,412
Spartech Corp.*		446		2,176
Stepan Co.		254		22,301
TPC Group, Inc.*		300		13,263
Zep, Inc.		592		8,525
Zoltek Cos., Inc.*		595		6,735

				588,862

Coal — 0.2%
Cloud Peak Energy, Inc.*		1,700		27,081
James River Coal Co.*		832		4,260
L&L Energy, Inc.*		300		735
Patriot Coal Corp.*		2,594		16,186
SunCoke Energy, Inc.*		1,841		26,161
Westmoreland Coal Co.*		300		3,351

				77,774

Commercial Services — 6.2%
ABM Industries, Inc.		1,339		32,538
Acacia Research - Acacia Technologies*		1,180		49,253
Accretive Health, Inc.*		1,112		22,207
Advance America Cash Advance Centers, Inc.		1,758		18,441
Albany Molecular Research, Inc.*		547		1,477
American Public Education, Inc.*		455		17,290
American Reprographics Co.*		736		3,967
AMN Healthcare Services, Inc.*		709		4,296
Arbitron, Inc.		771		28,512
Ascent Capital Group Inc., Class A*		331		15,653
Aveo Pharmaceuticals, Inc.*		800		9,928
Avis Budget Group, Inc.*		3,066		43,384
Barrett Business Services, Inc.		142		2,816
Bridgepoint Education, Inc.*		533		13,192
Capella Education Co.*		407		14,632
Cardtronics, Inc.*		1,163		30,529
CBIZ, Inc.*		1,340		8,469
CDI Corp.		241		4,321
Cenveo, Inc.*		1,299		4,391
Chemed Corp.		529		33,158
Consolidated Graphics, Inc.*		242		10,950
Convergys Corp.*		2,883		38,488
Corinthian Colleges, Inc.*		1,570		6,500
Corvel Corp.*		181		7,220


	Number of Shares		Value†

Commercial Services — (continued)
CoStar Group, Inc.*		647	$	44,675
CRA International, Inc.*		274		6,910
Cross Country Healthcare, Inc.*		584		2,926
Deluxe Corp.		1,307		30,610
Dfc Global Corp.*		1,180		22,267
Dollar Thrifty Automotive Group, Inc.		803		64,971
Electro Rent Corp.		415		7,640
Essex Rental Corp.*		500		1,910
Euronet Worldwide, Inc.*		1,255		26,217
Examworks Group, Inc.*		600		7,452
ExlService Holdings, Inc.*		400		10,976
Forrester Research, Inc.*		375		12,150
Franklin Covey Co.*		241		2,268
FTI Consulting, Inc.*		1,256		47,125
Global Cash Access Holdings, Inc.*		2,396		18,689
Grand Canyon Education, Inc.*		856		15,203
Great Lakes Dredge & Dock Corp.		1,351		9,754
H&E Equipment Services, Inc.*		959		18,144
Healthcare Services Group		1,680		35,734
Heartland Payment Systems, Inc.		969		27,946
Heidrick & Struggles International, Inc.		369		8,129
Hill International, Inc.*		589		2,315
Hillenbrand, Inc.		1,674		38,418
HMS Holdings Corp.*		2,215		69,130
Hudson Highland Group, Inc.*		600		3,228
Huron Consulting Group, Inc.*		528		19,832
ICF International, Inc.*		448		11,366
Insperity, Inc.		524		16,055
Intersections, Inc.		300		3,834
K12, Inc.*		752		17,770
Kelly Services, Inc., Class A		614		9,818
Kenexa Corp.*		734		22,930
Kforce, Inc.*		686		10,221
Korn/Ferry International*		1,090		18,257
Landauer, Inc.		280		14,846
Lincoln Educational Services Corp.		565		4,469
Live Nation Entertainment, Inc.*		3,771		35,447
Mac-Gray Corp.		199		3,011
Maximus, Inc.		1,044		42,459
McGrath Rentcorp		753		24,179
Medifast, Inc.*		231		4,033
Moneygram International Inc*		278		5,004
Monro Muffler Brake, Inc.		937		38,876
Multi-Color Corp.		367		8,261
National American University Holdings, Inc.		400		2,520
National Research Corp.		29		1,245
Navigant Consulting, Inc.*		1,584		22,033
Odyssey Marine Exploration, Inc.*		1,800		5,580
On Assignment, Inc.*		852		14,884
Parexel International Corp.*		1,499		40,428
Pendrell Corp.*		3,700		9,657
PHH Corp.*		1,389		21,488
PRGX Global*		600		3,774
Quad Graphics, Inc.		600		8,340
Rent-A-Center, Inc.		1,653		62,401
Resources Connection, Inc.		1,022		14,359


	Number of Shares		Value†
COMMON STOCKS — (continued)
Commercial Services — (continued)
Rollins, Inc.		1,617	$	34,410
RPX Corp.*		200		3,392
RSC Holdings, Inc.*		2,010		45,406
ServiceSource International, Inc.*		300		4,644
Sotheby’s		1,741		68,491
Standard Parking Corp.*		393		8,056
Steiner Leisure Ltd.*		443		21,632
Stewart Enterprises, Inc., Class A		2,008		12,189
Strayer Education, Inc.		400		37,712
Swisher Hygiene, Inc.*		2,100		5,166
Team Health Holdings, Inc.*		672		13,816
Team, Inc.*		492		15,227
TeleTech Holdings, Inc.*		707		11,383
The Advisory Board Co.*		425		37,663
The Corporate Executive Board Co.		969		41,677
The GEO Group, Inc.*		1,973		37,507
The Hackett Group, Inc.*		516		3,080
The Providence Service Corp.*		200		3,102
TMS International Corp.*		300		3,630
TNS, Inc.*		642		13,951
Transcend Services, Inc.*		216		6,340
TrueBlue, Inc.*		1,176		21,027
United Rentals, Inc.*		1,733		74,328
Universal Technical Institute, Inc.*		525		6,925
Valassis Communications, Inc.*		1,366		31,418
Viad Corp.		471		9,151
Wright Express Corp.*		1,057		68,420
Zillow, Inc.*		188		6,691
Zipcar, Inc.*		300		4,443

				2,124,653

Computers — 2.0%
3D Systems Corp.*		1,256		29,566
Agilysys, Inc.*		376		3,380
CACI International, Inc., Class A*		750		46,718
Ciber, Inc.*		1,557		6,602
Computer Task Group, Inc.*		279		4,274
Cray, Inc.*		699		5,117
Digimarc Corp.*		100		2,794
Dot Hill Systems Corp.*		1,600		2,416
Dynamics Research Corp.*		300		2,892
Echelon Corp.*		705		3,123
Electronics for Imaging, Inc.*		1,324		22,005
iGate Corp.*		757		12,687
Imation Corp.*		584		3,615
Immersion Corp.*		842		4,597
Insight Enterprises, Inc.*		1,243		27,259
J2 Global Inc		1,174		33,670
Jack Henry & Associates, Inc.		2,238		76,361
Keyw Holding Corp. (The)*		300		2,325
LivePerson, Inc.*		1,925		32,282
Manhattan Associates, Inc.*		517		24,573
Maxwell Technologies, Inc.*		666		12,208
Mentor Graphics Corp.*		2,876		42,737
Mercury Computer Systems, Inc.*		736		9,752
MTS Systems Corp.		560		29,730
NCI, Inc., Class A*		73		466


	Number of Shares		Value†

Computers — (continued)
NetScout Systems, Inc.*		1,265	$	25,730
OCZ Technology Group, Inc.*		1,700		11,866
Quantum Corp.*		5,361		14,046
RadiSys Corp.*		540		3,996
RealD, Inc.*		908		12,258
Rimage Corp.		251		2,513
Silicon Graphics International Corp.*		666		6,447
Spansion, Inc., Class A*		1,200		14,616
STEC, Inc.*		899		8,487
Stratasys, Inc.*		521		19,027
Super Micro Computer, Inc.*		871		15,208
SYKES Enterprises, Inc.*		936		14,789
Synaptics, Inc.*		916		33,443
Syntel, Inc.		380		21,280
Unisys Corp.*		1,224		24,137
Virtusa Corp.*		289		4,991
Wave Systems Corp., Class A*		1,500		2,790
Xyratex Ltd.		900		14,319

				691,092

Cosmetics & Personal Care — 0.1%
Elizabeth Arden, Inc.*		714		24,976
Inter Parfums, Inc.		324		5,084
Revlon, Inc., Class A*		270		4,657

				34,717

Distribution & Wholesale — 1.0%
Beacon Roofing Supply, Inc.*		1,281		32,999
Brightpoint, Inc.*		1,615		13,001
Chindex International, Inc.*		314		2,983
Core-Mark Holding Co., Inc.		241		9,866
Houston Wire & Cable Co.		369		5,125
Jazz Pharmaceuticals plc		609		29,518
MWI Veterinary Supply, Inc.*		326		28,688
Owens & Minor, Inc.		1,676		50,967
Pool Corp.		1,276		47,748
Rentrak Corp.*		165		3,745
ScanSource, Inc.*		781		29,147
School Specialty, Inc.*		292		1,034
Titan Machinery, Inc.*		323		9,109
United Stationers, Inc.		1,119		34,723
Watsco, Inc.		738		54,641

				353,294

Diversified Financial Services — 1.7%
Aircastle Ltd.		1,376		16,842
Apollo Residential Mortgage, Inc.		432		7,940
Artio Global Investors, Inc.		696		3,320
BGC Partners, Inc., Class A		2,007		14,832
Calamos Asset Management, Inc., Class A		469		6,149
Cohen & Steers, Inc.		517		16,492
Cowen Group, Inc., Class A*		2,090		5,664
Credit Acceptance Corp.*		226		22,828
Diamond Hill Investment Group, Inc.		50		3,682
Doral Financial Corp.*		3,277		5,047
Duff & Phelps Corp., Class A		670		10,412
Edelman Financial Group, Inc.		682		4,508
Encore Capital Group, Inc.*		397		8,952


	Number of Shares		Value†
COMMON STOCKS — (continued)
Diversified Financial Services — (continued)
Epoch Holding Corp.		580	$	13,850
Evercore Partners, Inc., Class A		622		18,082
FBR Capital Markets Corp.*		1,108		2,848
Federal Agricultural Mortgage Corp., Class C		200		4,540
Financial Engines, Inc.*		1,200		26,832
FXCM, Inc.		600		7,794
GAMCO Investors, Inc., Class A		162		8,037
GFI Group, Inc.		1,724		6,482
Gleacher & Co., Inc.*		1,111		1,511
Higher One Holdings, Inc.*		700		10,465
Imperial Holdings, Inc.*		500		1,335
INTL FCstone, Inc.*		293		6,182
Investment Technology Group, Inc.*		1,000		11,960
JMP Group, Inc.		263		1,941
KBW, Inc.		921		17,038
Knight Capital Group, Inc., Class A*		2,825		36,358
Ladenburg Thalmann Financial Services, Inc.*		1,800		3,204
Manning & Napier, Inc.		300		4,410
MarketAxess Holdings, Inc.		799		29,795
Marlin Business Services Corp.		200		3,012
National Financial Partners Corp.*		1,015		15,367
Nelnet, Inc., Class A		799		20,702
Netspend Holdings, Inc.*		700		5,432
NewStar Financial, Inc.*		500		5,560
Nicholas Financial, Inc.		300		3,957
Ocwen Financial Corp.*		2,460		38,450
Oppenheimer Holdings, Inc., Class A		238		4,129
Piper Jaffray Cos.*		387		10,302
Portfolio Recovery Associates, Inc.*		516		37,008
Pzena Investment Management, Inc., Class A		130		761
Seacube Container Leasing Ltd.		300		5,160
Solar Senior Capital Ltd.		100		1,611
Stifel Financial Corp.*		1,409		53,317
SWS Group, Inc.		768		4,393
Teton Advisors, Inc., Class B~		2		31
The First Marblehead Corp.*		714		871
Virtus Investment Partners, Inc.*		172		14,754
Westwood Holdings Group, Inc.		111		4,299
World Acceptance Corp.*		362		22,172

				590,620

Electric — 1.9%
Allete, Inc.		851		35,308
Ameresco, Inc., Class A*		300		4,065
Atlantic Power Corp.*		2,927		40,510
Avista Corp.		1,539		39,368
Black Hills Corp.		1,048		35,140
Central Vermont Public Service Corp.		391		13,763
CH Energy Group, Inc.		462		30,829
Cleco Corp.		1,571		62,290
Dynegy, Inc.*		2,400		1,344
El Paso Electric Co.		1,177		38,241
EnerNOC, Inc.*		700		5,040
Genie Energy Ltd		300		2,901
IDACORP, Inc.		1,301		53,497


	Number of Shares		Value†

Electric — (continued)
MGE Energy, Inc.		628	$	27,877
NorthWestern Corp.		980		34,751
Ormat Technologies, Inc.		400		8,060
Otter Tail Corp.		892		19,356
Pike Electric Corp.*		358		2,946
PNM Resources, Inc.		2,010		36,783
Portland General Electric Co.		1,956		48,861
The Empire District Electric Co.		1,219		24,807
UIL Holdings Corp.		1,291		44,875
Unisource Energy Corp.		1,027		37,557
Unitil Corp.		363		9,739

				657,908

Electrical Components & Equipment — 1.0%
A123 Systems, Inc.*		1,700		1,904
Active Power, Inc.*		2,100		1,638
Acuity Brands, Inc.		1,132		71,123
Advanced Energy Industries, Inc.*		1,393		18,276
American Superconductor Corp.*		1,090		4,491
Belden, Inc.		1,255		47,577
Capstone Turbine Corp.*		9,700		9,894
Coleman Cable, Inc.*		300		2,916
Encore Wire Corp.		571		16,976
EnerSys*		1,223		42,377
Generac Holdings, Inc.*		649		15,933
Graham Corp.		266		5,823
InSteel Industries, Inc.		391		4,751
Littelfuse, Inc.		578		36,241
Powell Industries, Inc.*		229		7,843
Power-One, Inc.*		1,424		6,479
PowerSecure International, Inc.*		198		1,200
SatCon Technology Corp.*		2,939		1,058
Universal Display Corp.*		1,149		41,973
Valence Technology, Inc.*		3,300		2,667
Vicor Corp.		422		3,376

				344,516

Electronics — 2.2%
American Science & Engineering, Inc.		278		18,640
Analogic Corp.		307		20,735
Badger Meter, Inc.		459		15,601
Bel Fuse, Inc., Class B		269		4,753
Benchmark Electronics, Inc.*		1,677		27,654
Brady Corp., Class A		1,257		40,664
Checkpoint Systems, Inc.*		945		10,660
Coherent, Inc.*		673		39,256
CTS Corp.		863		9,079
Cymer, Inc.*		957		47,850
Daktronics, Inc.		709		6,303
DDi Corp.		279		3,404
Electro Scientific Industries, Inc.		693		10,402
FARO Technologies, Inc.*		420		24,499
FEI Co.*		1,046		51,369
Fluidigm Corp.*		200		3,146
Identive Group Inc*		2,166		4,527
II-VI, Inc.*		1,556		36,799
InvenSense, Inc.*		300		5,430
Kemet Corp.*		1,100		10,296


	Number of Shares		Value†
COMMON STOCKS — (continued)
Electronics — (continued)
Lecroy Corp.*		400	$	4,156
Measurement Specialties, Inc.*		370		12,469
Methode Electronics, Inc.		860		7,981
Microvision, Inc.		217		592
Multi-Fineline Electronix, Inc.*		152		4,172
Newport Corp.*		863		15,292
NVE Corp.*		109		5,777
OSI Systems, Inc.*		557		34,144
Park Electrochemical Corp.		633		19,135
Plexus Corp.*		903		31,596
Pulse Electronics Corp.		916		2,299
Rofin-Sinar Technologies, Inc.*		686		18,090
Rogers Corp.*		460		17,825
Sanmina-SCI Corp.*		2,326		26,633
SRS Labs, Inc.*		221		1,536
Stoneridge, Inc.*		673		6,656
Taser International, Inc.*		1,711		7,426
TTM Technologies, Inc.*		1,259		14,466
Viasystems Group, Inc.*		100		1,898
Vishay Precision Group, Inc.*		300		4,449
Watts Water Technologies, Inc., Class A		917		37,368
Woodward, Inc.		1,623		69,513
X-Rite, Inc.*		545		2,474
Zagg, Inc.*		500		5,315
Zygo Corp.*		382		7,476

				749,805

Energy-Alternate Sources — 0.2%
Amyris, Inc.*		400		2,072
Clean Energy Fuels Corp.*		1,300		27,664
FuelCell Energy, Inc.*		2,681		4,209
Futurefuel Corp.		500		5,490
Gevo, Inc.*		200		1,838
Green Plains Renewable Energy, Inc.*		467		5,039
Headwaters, Inc.*		1,480		6,186
Kior, Inc - Class A*		380		5,081
Rex Stores Corp.*		192		5,894
Solazyme, Inc.*		300		4,389
Syntroleum Corp.*		1,113		1,074

				68,936

Engineering & Construction — 0.6%
Argan, Inc.		136		2,182
Dycom Industries, Inc.*		853		19,926
EMCOR Group, Inc.		600		2,862
EMCOR Group, Inc.		1,763		48,870
Exponent, Inc.*		320		15,526
Granite Construction, Inc.		944		27,131
Layne Christensen Co.*		426		9,479
MasTec, Inc.*		1,964		35,529
Michael Baker Corp.*		191		4,555
Mistras Group, Inc.*		300		7,146
MYR Group, Inc.*		583		10,412
Orion Marine Group, Inc.*		437		3,160
Sterling Construction Co., Inc.*		353		3,442
Tutor Perini Corp.*		997		15,533


	Number of Shares		Value†

Engineering & Construction — (continued)
VSE Corp.		104	$	2,580

				208,333

Entertainment — 0.9%
Churchill Downs, Inc.		320		17,888
Cinemark Holdings, Inc.		2,414		52,987
International Speedway Corp.		700		19,425
Isle of Capri Casinos, Inc.*		241		1,701
Lions Gate Entertainment Corp.*		1,100		15,312
Multimedia Games, Inc.*		470		5,151
National CineMedia, Inc.		1,474		22,552
Pinnacle Entertainment, Inc.*		1,782		20,511
Scientific Games Corp., Class A*		1,500		17,490
Shuffle Master, Inc.*		1,285		22,616
Six Flags Entertainment Corp.		1,257		58,790
Speedway Motorsports, Inc.		316		5,903
Vail Resorts, Inc.		946		40,915

				301,241

Environmental Control — 0.9%
Calgon Carbon Corp.*		1,462		22,822
Casella Waste Systems, Inc., Class A*		600		3,738
Clean Harbors, Inc.*		1,216		81,873
Darling International, Inc.*		3,067		53,427
Energy Recovery, Inc.*		1,918		4,411
EnergySolutions, Inc.*		2,066		10,123
Fuel Tech, Inc.*		375		2,048
Heckmann Corp.*		2,213		9,538
Heritage-Crystal Clean, Inc.*		200		3,990
Met-Pro Corp.		452		4,773
Metalico, Inc.*		781		3,335
Mine Safety Appliances Co.		721		29,619
Rentech, Inc.*		7,187		14,949
Tetra Tech, Inc.*		1,664		43,863
TRC Cos., Inc.*		500		3,055
U.S. Ecology, Inc.		442		9,609

				301,173

Food — 1.7%
Arden Group, Inc., Class A		11		1,000
B&G Foods, Inc., Class A		1,372		30,884
Cal-Maine Foods, Inc.		323		12,358
Calavo Growers, Inc.		251		6,722
Chefs Warehouse Holdings, Inc.*		450		10,413
Chiquita Brands International, Inc.*		1,024		9,001
Diamond Foods, Inc.		576		13,144
Dole Food Co., Inc.*		860		8,583
Fresh Del Monte Produce, Inc.		916		20,921
Fresh Market, Inc. (The)*		700		33,565
Imperial Sugar Co.		423		1,984
Ingles Markets, Inc., Class A		304		5,362
J&J Snack Foods Corp.		332		17,417
Lancaster Colony Corp.		472		31,369
Lifeway Foods, Inc.*		87		805
Nash Finch Co.		240		6,821
Pilgrim’s Pride Corp.*		1,787		13,331
Ruddick Corp.		1,437		57,624
Sanderson Farms, Inc.		734		38,924


	Number of Shares		Value†
COMMON STOCKS — (continued)
Food — (continued)
Seaboard Corp.*		9	$	17,559
Seneca Foods Corp., Class A*		211		5,558
Senomyx, Inc.*		700		1,918
Smart Balance, Inc.*		1,879		12,420
Snyders-Lance, Inc.		1,279		33,062
Spartan Stores, Inc.		602		10,908
The Hain Celestial Group, Inc.*		962		42,145
Tootsie Roll Industries, Inc.		560		12,837
TreeHouse Foods, Inc.*		914		54,383
United Natural Foods, Inc.*		1,400		65,324
Village Super Market, Inc., Class A		168		5,307
Weis Markets, Inc.		266		11,597

				593,246

Forest Products & Paper — 0.6%
Boise, Inc.		2,425		19,909
Buckeye Technologies, Inc.		1,080		36,688
Clearwater Paper Corp.*		678		22,516
Deltic Timber Corp.		292		18,481
KapStone Paper and Packaging Corp.*		920		18,124
Neenah Paper, Inc.		574		17,071
P.H. Glatfelter Co.		1,059		16,711
Schweitzer-Mauduit International, Inc.		438		30,248
Wausau Paper Corp.		1,581		14,830
Xerium Technologies, Inc.*		200		1,290

				195,868

Gas — 1.1%
BBcn Bancorp Inc*		1,885		20,980
Chesapeake Utilities Corp.		257		10,568
New Jersey Resources Corp.		1,232		54,910
Northwest Natural Gas Co.		850		38,590
Piedmont Natural Gas Co., Inc.		1,851		57,511
South Jersey Industries, Inc.		840		42,034
Southwest Gas Corp.		1,194		51,031
The Laclede Group, Inc.		556		21,695
WGL Holdings, Inc.		1,494		60,806

				358,125

Hand & Machine Tools — 0.1%
Franklin Electric Co., Inc.		585		28,706

Healthcare Products — 3.2%
Abaxis, Inc.*		629		18,323
ABIOMED, Inc.*		789		17,508
Accuray, Inc.*		1,538		10,858
Affymetrix, Inc.*		2,371		10,124
Align Technology, Inc.*		1,665		45,871
Alphatec Holdings, Inc.*		816		1,934
AngioDynamics, Inc.*		558		6,835
ArthroCare Corp.*		755		20,272
Atricure, Inc.*		400		3,980
Atrion Corp.		37		7,778
Biolase Technology, Inc.*		821		2,225
BioMimetic Therapeutics, Inc.*		320		790
Cantel Medical Corp.		450		11,290
CardioNet, Inc.*		289		890
Cardiovascular Systems, Inc.*		400		3,700


	Number of Shares		Value†

Healthcare Products — (continued)
Cepheid, Inc.*		1,680	$	70,274
Cerus Corp.*		800		3,216
Columbia Laboratories, Inc.*		1,900		1,349
Conceptus, Inc.*		792		11,389
CONMED Corp.*		803		23,986
CryoLife, Inc.*		599		3,157
Cyberonics, Inc.*		732		27,911
Cynosure, Inc., Class A*		195		3,483
Delcath Systems, Inc.*		1,021		3,206
DexCom, Inc.*		2,242		23,384
Endologix, Inc.*		1,298		19,016
Exactech, Inc.*		209		3,313
Genomic Health, Inc.*		509		15,580
Greatbatch, Inc.*		693		16,992
Haemonetics Corp.*		673		46,895
Hanger Orthopedic Group, Inc.*		808		17,663
Hansen Medical, Inc.*		1,388		4,164
HeartWare International, Inc.*		289		18,984
ICU Medical, Inc.*		279		13,716
Insulet Corp.*		1,146		21,934
Integra LifeSciences Holdings Corp.*		526		18,247
Invacare Corp.		690		11,433
IRIS International, Inc.*		550		7,430
Kensey Nash Corp.*		139		4,067
Luminex Corp.*		953		22,253
MAKO Surgical Corp.*		905		38,146
Masimo Corp.*		1,404		32,825
Medical Action Industries, Inc.*		316		1,808
Medtox Scientific, Inc.*		200		3,372
Merge Healthcare, Inc.*		1,657		9,693
Meridian Bioscience, Inc.		1,160		22,481
Merit Medical Systems, Inc.*		1,075		13,351
Natus Medical, Inc.*		575		6,860
NuVasive, Inc.*		1,406		23,677
NxStage Medical, Inc.*		1,084		20,889
OraSure Technologies, Inc.*		1,201		13,799
Orthofix International NV*		471		17,700
Palomar Medical Technologies, Inc.*		361		3,372
PSS World Medical, Inc.*		1,485		37,630
Quidel Corp.*		651		11,959
Rockwell Medical Technologies, Inc.*		400		3,784
Solta Medical, Inc.*		1,200		3,636
Spectranetics Corp.*		765		7,956
STAAR Surgical Co.*		700		7,581
Stereotaxis, Inc.*		1,188		772
STERIS Corp.		1,532		48,442
SurModics, Inc.*		273		4,196
Symmetry Medical, Inc.*		944		6,674
Synergetics USA, Inc.*		700		4,550
The Female Health Co.		304		1,648
Tornier BV*		300		7,710
Unilife Corp.*		1,910		7,755
Uroplasty, Inc.*		600		1,806
Vascular Solutions, Inc.*		283		3,054
Volcano Corp.*		1,364		38,669
West Pharmaceutical Services, Inc.		889		37,809


	Number of Shares		Value†
COMMON STOCKS — (continued)
Healthcare Products — (continued)
Wright Medical Group, Inc.*		1,061	$	20,499
Young Innovations, Inc.		97		2,999
Zoll Medical Corp.*		643		59,561

				1,102,083

Healthcare Services — 1.6%
Air Methods Corp.*		329		28,705
Alliance HealthCare Services, Inc.*		679		1,018
Almost Family, Inc.*		177		4,604
Amedisys, Inc.*		806		11,655
Amsurg Corp.*		1,023		28,624
Assisted Living Concepts, Inc., Class A		404		6,710
Bio-Reference Labs, Inc.*		707		16,622
Capital Senior Living Corp.*		436		4,029
Centene Corp.*		1,468		71,888
Emeritus Corp.*		683		12,062
Five Star Quality Care, Inc.*		800		2,728
Gentiva Health Services, Inc.*		623		5,445
HealthSouth Corp.*		2,536		51,937
Healthways, Inc.*		658		4,843
IPC The Hospitalist Co., Inc.*		447		16,499
Kindred Healthcare, Inc.*		1,586		13,703
LHC Group, Inc.*		382		7,078
Magellan Health Services, Inc.*		741		36,168
Metropolitan Health Networks, Inc.*		1,679		15,732
Molina Healthcare, Inc.*		868		29,191
National Healthcare Corp.		406		18,497
RadNet, Inc.*		900		2,862
Select Medical Holdings Corp.*		1,300		9,997
Skilled Healthcare Group, Inc., Class A*		561		4,297
Sun Healthcare Group, Inc.*		518		3,543
Sunrise Senior Living, Inc.*		1,334		8,431
The Ensign Group, Inc.		540		14,666
Triple-S Management Corp., Class B*		691		15,962
U.S. Physical Therapy, Inc.		191		4,403
Vanguard Health Systems, Inc.*		987		9,732
WellCare Health Plans, Inc.*		1,126		80,937

				542,568

Holding Companies — 0.1%
Compass Diversified Holdings		1,206		17,837
Harbinger Group, Inc.*		175		907
Primoris Services Corp.		890		14,293

				33,037

Home Builders — 0.4%
Beazer Homes USA, Inc.*		1,421		4,618
Cavco Industries, Inc.*		169		7,872
Hovnanian Enterprises, Inc., Class A*		1,610		3,945
KB Home		2,400		21,360
M.D.C. Holdings, Inc.		900		23,211
M/I Homes, Inc.*		336		4,153
Meritage Homes Corp.*		690		18,671
Skyline Corp.		87		666
Standard Pacific Corp.*		3,690		16,457
The Ryland Group, Inc.		1,346		25,951
Winnebago Industries, Inc.*		722		7,076

				133,980


	Number of Shares		Value†

Home Furnishings — 0.5%
American Woodmark Corp.		169	$	3,042
DTS, Inc.*		374		11,302
Ethan Allen Interiors, Inc.		628		15,901
Furniture Brands International, Inc.*		1,138		1,912
Kimball International, Inc., Class B		744		5,141
La-Z-Boy, Inc.*		1,262		18,880
Sealy Corp.*		445		899
Select Comfort Corp.*		1,572		50,917
Skullcandy, Inc.*		407		6,443
TiVo, Inc.*		2,955		35,430
Universal Electronics, Inc.*		300		5,994
Voxx International Corp*		825		11,187

				167,048

Hotels & Resorts — 0.0%
Chatham Lodging Trust		200		2,538

Household Products & Wares — 0.5%
ACCO Brands Corp.*		1,393		17,287
American Greetings Corp., Class A		1,043		16,000
At Cross Co. Class A*		300		3,612
Blyth, Inc.		141		10,551
Central Garden and Pet Co., Class A*		1,202		11,575
CSS Industries, Inc.		212		4,125
Ennis, Inc.		858		13,574
Helen of Troy Ltd.*		895		30,439
Oil-Dri Corp. of America		97		2,065
Prestige Brands Holdings, Inc.*		1,372		23,983
Spectrum Brands Holdings, Inc.*		400		13,984
Summer Infant, Inc.*		300		1,800
WD-40 Co.		446		20,226

				169,221

Housewares — 0.0%
Libbey, Inc.*		500		6,470
Lifetime Brands, Inc.		200		2,248

				8,718

Industrial — 0.1%
Aegion Corp*		1,155		20,594

Insurance — 2.7%
Alterra Capital Holdings Ltd.		2,360		54,233
American Equity Investment Life Holding Co.		1,776		22,679
American Safety Insurance Holdings Ltd.*		395		7,446
AMERISAFE, Inc.*		508		12,568
AmTrust Financial Services, Inc.		548		14,730
Argo Group International Holdings Ltd.		647		19,326
Baldwin & Lyons, Inc., Class B		125		2,797
Citizens, Inc.*		1,466		14,484
CNO Financial Group, Inc.*		5,893		45,848
Crawford & Co., Class B		338		1,656
Delphi Financial Group, Inc., Class A		1,527		68,364
Donegal Group, Inc., Class A		283		3,869
eHealth, Inc.*		520		8,481
EMC Insurance Group, Inc.		100		2,009
Employers Holdings, Inc.		882		15,620
Enstar Group Ltd.*		174		17,224


	Number of Shares		Value†
COMMON STOCKS — (continued)
Insurance — (continued)
FBL Financial Group, Inc., Class A		327	$	11,020
First American Financial Corp.		2,773		46,115
Flagstone Reinsurance Holdings SA		1,441		11,341
Global Indemnity Plc*		483		9,414
Greenlight Capital Re Ltd., Class A*		928		22,857
Hallmark Financial Services, Inc.*		255		2,012
Harleysville Group, Inc.		342		19,733
Hilltop Holdings, Inc.*		792		6,645
Horace Mann Educators Corp.		1,509		26,589
Infinity Property & Casualty Corp.		320		16,746
Kansas City Life Insurance Co.		73		2,351
Maiden Holdings Ltd.		1,168		10,512
Meadowbrook Insurance Group, Inc.		1,518		14,163
MGIC Investment Corp.*		4,627		22,950
Montpelier Re Holdings Ltd.		1,707		32,979
National Interstate Corp.		102		2,609
National Western Life Insurance Co., Class A		52		7,117
Onebeacon Insurance Group Ltd.		600		9,246
Platinum Underwriters Holdings Ltd.		956		34,894
Presidential Life Corp.		410		4,686
Primerica, Inc.		800		20,168
ProAssurance Corp.		797		70,224
Radian Group, Inc.		4,803		20,893
RLI Corp.		461		33,026
Safety Insurance Group, Inc.		382		15,906
SeaBright Insurance Holdings, Inc.		344		3,127
Selective Insurance Group		1,375		24,214
State Auto Financial Corp.		376		5,493
Stewart Information Services Corp.		608		8,640
Symetra Financial Corp.		1,600		18,448
The Navigators Group, Inc.*		295		13,936
The Phoenix Cos., Inc.*		2,923		7,161
Tower Group, Inc.		1,013		22,722
United Fire Group, Inc.		680		12,165
Universal American Corp.*		780		8,408
Universal Insurance Holdings, Inc.		251		976

				910,820

Internet — 2.3%
1-800-Flowers.com, Inc., Class A*		737		2,233
AboveNet, Inc.*		616		51,005
Ancestry.com, Inc.*		901		20,489
Angie’s List, Inc.*		300		5,667
Archipelago Learning, Inc.*		202		2,246
Bankrate, Inc.*		723		17,894
Blue Nile, Inc.*		339		11,180
BroadSoft, Inc.*		661		25,283
Cogent Communications Group, Inc.*		1,219		23,259
comScore, Inc.*		959		20,513
Constant Contact, Inc.*		865		25,768
DealerTrack Holdings, Inc.*		1,296		39,217
Dice Holdings, Inc.*		1,163		10,851
Digital River, Inc.*		1,088		20,356
EarthLink, Inc.		3,116		24,897
ePlus, Inc.*		74		2,366
eResearchTechnology, Inc.*		950		7,429


	Number of Shares		Value†

Internet — (continued)
Global Sources Ltd.*		372	$	2,292
HealthStream, Inc.*		400		9,276
ICG Group, Inc.*		1,228		10,991
Infospace, Inc.*		896		11,478
Internap Network Services Corp.*		1,321		9,696
IntraLinks Holdings, Inc.*		800		4,232
Keynote Systems, Inc.		428		8,457
KIT Digital, Inc.*		1,229		8,849
Limelight Networks, Inc.*		1,172		3,856
Lionbridge Technologies, Inc.*		1,243		3,580
Liquidity Services, Inc.*		535		23,968
LoopNet, Inc.*		410		7,700
ModusLink Global Solutions, Inc.		945		5,103
Move, Inc*		779		7,564
NIC, Inc.		1,529		18,547
NutriSystem, Inc.		537		6,030
OpenTable, Inc.*		656		26,548
Openwave Systems, Inc.*		1,814		4,118
Orbitz Worldwide, Inc.*		476		1,452
Overstock.com, Inc.*		271		1,420
Perficient, Inc.*		745		8,947
QuinStreet, Inc.*		715		7,500
ReachLocal, Inc.*		200		1,426
Realnetworks, Inc.		515		5,119
Responsys, Inc.*		300		3,591
Saba Software, Inc.*		752		7,377
Safeguard Scientifics, Inc.*		450		7,740
Sapient Corp.		3,052		37,997
Shutterfly, Inc.*		790		24,751
Sourcefire, Inc.*		770		37,060
SPS Commerce, Inc.*		200		5,376
Stamps.com, Inc.*		362		10,093
support.com, Inc.*		1,139		3,588
TechTarget, Inc.*		500		3,465
TeleCommunication Systems, Inc., Class A*		746		2,074
The Active Network, Inc.*		300		5,049
Towerstream Corp.*		900		4,275
Travelzoo, Inc.*		111		2,553
U.S. Auto Parts Network, Inc.*		338		1,220
United Online, Inc.		2,790		13,643
ValueClick, Inc.*		2,090		41,257
VASCO Data Security International, Inc.*		728		7,855
VirnetX Holding Corp.*		983		23,523
Vocus, Inc.*		381		5,048
Web.com Group, Inc.*		700		10,101
Websense, Inc.*		999		21,069
XO Group, Inc.*		659		6,188
Zix Corp.*		1,148		3,341

				797,036

Investment Companies — 0.8%
Apollo Investment Corp.		5,512		39,521
Arlington Asset Investment Corp., Class A		100		2,220
BlackRock Kelso Capital Corp.		1,885		18,511
Capital Southwest Corp.		59		5,578
Fifth Street Finance Corp.		2,228		21,745
Gladstone Capital Corp.		412		3,341


	Number of Shares		Value†
COMMON STOCKS — (continued)
Investment Companies — (continued)
Gladstone Investment Corp.		879	$	6,654
Golub Capital BDC, Inc.		222		3,390
Harris & Harris Group, Inc.*		362		1,502
Hercules Technology Growth Capital, Inc.		1,252		13,872
Kohlberg Capital Corp.		537		3,711
Main Street Capital Corp.		779		19,187
MCG Capital Corp.		1,854		7,880
Medallion Financial Corp.		248		2,768
Medley Capital Group		427		4,812
MVC Capital, Inc.		481		6,316
New Mountain Finance Corp.		212		2,913
NGP Capital Resources Co.		309		2,024
PennantPark Investment Corp.		2,170		22,568
Prospect Capital Corp.		2,950		32,391
Solar Capital Ltd.		952		21,011
THL Credit, Inc.		200		2,572
TICC Capital Corp.		602		5,863
Triangle Capital Corp.		714		14,101

				264,451

Iron & Steel — 0.0%
Metals USA Holdings Corp.*		200		2,882
Universal Stainless & Alloy Products, Inc.*		133		5,682

				8,564

Leisure Time — 0.6%
Ambassadors Group, Inc.		407		2,177
Arctic Cat, Inc.*		444		19,017
Black Diamond, Inc.*		400		3,704
Brunswick Corp.		2,668		68,701
Callaway Golf Co.		2,146		14,507
Interval Leisure Group, Inc.*		916		15,938
Life Time Fitness, Inc.*		1,159		58,611
Marine Products Corp.*		160		952
Town Sports International Holdings, Inc.*		600		7,578

				191,185

Lodging — 0.3%
Ameristar Casinos, Inc.		805		14,997
Boyd Gaming Corp.*		1,500		11,760
Gaylord Entertainment Co.*		1,123		34,588
Marcus Corp.		433		5,434
Monarch Casino & Resort, Inc.*		185		1,906
Morgans Hotel Group Co.*		394		1,950
Orient-Express Hotels Ltd., Class A*		3,345		34,119
Red Lion Hotels Corp.*		264		2,168

				106,922

Machinery — Construction & Mining — 0.1%
Astec Industries, Inc.*		598		21,815

Machinery — Diversified — 1.5%
Alamo Group, Inc.		117		3,517
Albany International Corp., Class A		632		14,504
Altra Holdings, Inc.*		603		11,578
Applied Industrial Technologies, Inc.		1,082		44,503
Briggs & Stratton Corp.		1,336		23,955
Cascade Corp.		228		11,427
Chart Industries, Inc.*		777		56,977


	Number of Shares		Value†

Machinery — Diversified — (continued)
Cognex Corp.		1,057	$	44,775
Columbus McKinnon Corp.*		485		7,901
DXP Enterprises, Inc.*		322		14,004
Flow International Corp.*		1,208		4,856
Global Power Equipment Group, Inc.*		400		11,080
Hurco Cos., Inc.*		200		5,650
Intermec, Inc.*		1,435		11,093
Intevac, Inc.*		341		2,899
iRobot Corp.*		682		18,591
Kadant, Inc.*		299		7,122
Lindsay Corp.		353		23,393
Middleby Corp.*		495		50,084
NACCO Industries, Inc., Class A		222		25,834
Robbins & Myers, Inc.		1,179		61,367
Sauer-Danfoss, Inc.		319		14,993
Tecumseh Products Co., Class A*		413		1,660
Tennant Co.		536		23,584
The Gorman-Rupp Co.		401		11,701
Twin Disc, Inc.		235		6,131

				513,179

Media — 0.7%
A.H. Belo Corp., Class A		400		1,956
Belo Corp., Class A		2,160		15,487
Central European Media Enterprises Ltd., Class A*		900		6,390
Courier Corp.		247		2,865
Crown Media Holdings, Inc., Class A*		217		345
Cumulus Media, Inc., Class A*		700		2,443
Demand Media, Inc.*		200		1,450
Digital Generation Inc*		657		6,708
Dolan Media, Co.*		593		5,402
E.W. Scripps Co., Class A*		1,206		11,903
Entercom Communications Corp., Class A*		400		2,596
Entravision Communications Corp., Class A		1,000		1,710
Fisher Communications, Inc.*		200		6,144
Gray Television, Inc.*		1,000		1,890
Journal Communications, Inc., Class A*		884		4,977
Knology, Inc.*		1,236		22,495
LIN TV Corp., Class A*		472		1,912
Martha Stewart Living Omnimedia, Inc., Class A		562		2,141
Meredith Corp.		1,000		32,460
Nexstar Broadcasting Group*		400		3,324
Outdoor Channel Holdings, Inc.		626		4,576
Saga Communications, Inc.*		100		3,580
Scholastic Corp.		756		26,672
Sinclair Broadcast Group, Inc., Class A		1,117		12,354
The McClatchy Co., Class A*		1,100		3,179
The New York Times Co., Class A*		3,921		26,624
Value Line, Inc.		23		283
World Wrestling Entertainment, Inc., Class A		914		8,107

				219,973

Medical Instruments — 0.0%
Navidea Biopharmaceuticals, Inc.*		2,200		7,216


	Number of Shares		Value†
COMMON STOCKS — (continued)
Metal Fabricate/Hardware — 0.7%
A.M. Castle & Co.*		435	$	5,503
Ampco-Pittsburgh Corp.		214		4,308
CIRCOR International, Inc.		435		14,473
Dynamic Materials Corp.		290		6,122
Furmanite Corp.*		954		6,125
Haynes International, Inc.		364		23,059
Kaydon Corp.		978		24,949
L.B. Foster Co., Class A		266		7,584
Lawson Products, Inc.		56		846
Mueller Industries, Inc.		994		45,177
Mueller Water Products, Inc., Class A		3,692		12,294
NN, Inc.*		400		3,264
Northwest Pipe Co.*		183		3,887
Olympic Steel, Inc.		231		5,544
Omega Flex, Inc.*		59		749
RBC Bearings, Inc.*		637		29,385
RTI International Metals, Inc.*		713		16,442
Sun Hydraulics Corp.		459		12,007
Worthington Industries, Inc.		1,584		30,381

				252,099

Mining — 1.1%
AMCOL International Corp.		598		17,635
Century Aluminum Co.*		1,254		11,135
Coeur d’Alene Mines Corp.*		2,528		60,015
General Moly, Inc.*		1,499		5,022
Globe Specialty Metals, Inc.		1,714		25,487
Gold Resource Corp.		700		17,017
Golden Minerals Co.*		868		7,317
Golden Star Resources Ltd.*		6,200		11,532
Hecla Mining Co.		7,317		33,805
Horsehead Holding Corp.*		1,583		18,030
Jaguar Mining, Inc.*		2,100		9,807
Kaiser Aluminum Corp.		416		19,660
Materion Corp.*		457		13,130
Midway Gold Corp.*		2,200		3,146
Noranda Aluminium Holding Corp.		600		5,982
Paramount Gold and Silver Corp.*		2,900		6,554
Revett Minerals, Inc.*		800		3,344
Stillwater Mining Co.*		2,924		36,959
Thompson Creek Metals Co., Inc.*		3,800		25,688
United States Lime & Minerals, Inc.*		29		1,737
Ur-Energy, Inc.*		2,900		3,538
Uranerz Energy Corp.*		1,700		4,284
Uranium Energy Corp.*		1,407		5,487
Uranium Resources, Inc.*		2,600		2,366
USEC, Inc.*		2,404		2,548
Vista Gold Corp.*		1,900		5,966

				357,191

Miscellaneous Manufacturing — 2.2%
A.O. Smith Corp.		961		43,197
Actuant Corp., Class A		1,806		52,356
American Railcar Industries, Inc.*		300		7,053
AZZ, Inc.		288		14,872
Barnes Group, Inc.		1,365		35,913
Blount International, Inc.*		1,395		23,269
Ceradyne, Inc.*		618		20,122


	Number of Shares		Value†

Miscellaneous Manufacturing — (continued)
Chase Corp.		200	$	3,150
CLARCOR, Inc.		1,298		63,719
Colfax Corp.*		1,318		46,446
EnPro Industries, Inc.*		617		25,359
ESCO Technologies, Inc.		834		30,666
Fabrinet*		500		8,855
Federal Signal Corp.		3,143		17,475
FreightCar America, Inc.*		270		6,072
GP Strategies Corp.*		296		5,180
Griffon Corp.		1,156		12,369
Handy & Harman Ltd.*		200		2,888
Hexcel Corp.*		2,520		60,505
John Bean Technologies Corp.		629		10,190
Koppers Holdings, Inc.		620		23,907
LSB Industries, Inc.*		549		21,367
Lydall, Inc.*		300		3,057
Matthews International Corp., Class A		805		25,470
Metabolix, Inc.*		1,090		3,085
Movado Group, Inc.		360		8,838
Myers Industries, Inc.		725		10,694
NL Industries, Inc.		90		1,341
Park-Ohio Holdings Corp.*		200		4,010
PMFG, Inc.*		486		7,295
Raven Industries, Inc.		473		28,858
Smith & Wesson Holding Corp.*		1,279		9,912
Standex International Corp.		300		12,357
STR Holdings, Inc.*		725		3,509
Sturm Ruger & Co., Inc.		619		30,393
The Brink’s Co.		1,310		31,270
Tredegar Corp.		761		14,908
Trimas Corp.*		595		13,322

				743,249

Office Furnishings — 0.4%
Herman Miller, Inc.		1,432		32,879
HNI Corp.		1,243		34,493
Interface, Inc., Class A		1,495		20,855
Knoll, Inc.		1,353		22,514
Steelcase, Inc., Class A		2,431		23,338

				134,079

Oil & Gas — 3.3%
Abraxas Petroleum Corp.*		2,000		6,240
Alon USA Energy, Inc.		152		1,376
Apco Oil and Gas International, Inc.		258		17,588
Approach Resources, Inc.*		641		23,685
ATP Oil & Gas Corp.*		1,193		8,769
Berry Petroleum Co., Class A		1,334		62,871
Bill Barrett Corp.*		1,225		31,862
BPZ Resources, Inc.*		2,283		9,200
C J Energy Services, Inc.*		430		7,650
Callon Petroleum Co.*		1,000		6,290
CAMAC Energy, Inc.*		900		900
Carrizo Oil & Gas, Inc.*		1,065		30,097
Cheniere Energy, Inc.*		3,230		48,385
Clayton Williams Energy, Inc.*		217		17,238
Comstock Resources, Inc.*		1,387		21,956
Contango Oil & Gas Co.*		303		17,850


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — (continued)
CVR Energy, Inc.		2,274	$	60,829
Delek US Holdings, Inc.		498		7,724
Endeavour International Corp.*		1,352		16,021
Energy Partners Ltd.*		700		11,627
Energy XXI Bermuda Ltd.*		1,962		70,848
Evolution Petroleum Corp.*		500		4,650
FX Energy, Inc.*		1,389		7,556
Gastar Exploration Ltd.*		1,500		4,485
Georesources, Inc.*		557		18,236
GMX Resources, Inc.*		1,406		1,786
Goodrich Petroleum Corp.*		581		11,051
Gulfport Energy Corp.*		1,163		33,867
Harvest Natural Resources, Inc.*		746		5,282
Hercules Offshore, Inc.*		2,705		12,795
Houston American Energy Corp.*		300		1,566
Hyperdynamics Corp.*		3,700		4,773
Isramco, Inc.*		21		1,835
Kodiak Oil & Gas Corp.*		7,700		76,692
Magnum Hunter Resources Corp.*		2,600		16,666
McMoran Exploration Co.*		2,654		28,398
Miller Energy Resources, Inc.*		400		1,688
Northern Oil & Gas, Inc.*		1,753		36,357
Oasis Petroleum, Inc.*		1,536		47,355
Panhandle Oil and Gas, Inc., Class A		117		3,449
Parker Drilling Co.*		2,917		17,414
Penn Virginia Corp.		1,012		4,605
Petroleum Development Corp.*		612		22,699
Petroquest Energy, Inc.*		1,539		9,449
Pioneer Drilling Co.*		1,550		13,640
Resolute Energy Corp.*		1,100		12,518
Rex Energy Corp.*		1,000		10,680
Rosetta Resources, Inc.*		1,537		74,944
Stone Energy Corp.*		1,279		36,567
Swift Energy Co.*		1,189		34,517
Triangle Petroleum Corp.*		1,100		7,590
US Energy Corp.*		500		1,580
Vaalco Energy, Inc.*		1,230		11,624
Vantage Drilling Co.*		3,690		5,904
Venoco, Inc.*		686		7,436
Voyager Oil & Gas, Inc.*		1,400		3,402
W&T Offshore, Inc.		1,043		21,986
Warren Resources, Inc.*		1,705		5,558
Western Refining, Inc.		1,637		30,808
Zion Oil & Gas, Inc.*		700		1,848

				1,132,262

Oil & Gas Services — 1.5%
Basic Energy Services, Inc.*		588		10,202
Cal Dive International, Inc.*		2,189		7,224
Dawson Geophysical Co.*		215		7,385
Dril-Quip, Inc.*		960		62,419
Exterran Holdings, Inc.*		2,300		30,337
Flotek Industries, Inc.*		1,200		14,424
Global Geophysical Services, Inc.*		500		5,305
Gulf Island Fabrication, Inc.		318		9,308
Helix Energy Solutions Group, Inc.*		2,901		51,638
Hornbeck Offshore Services, Inc.*		778		32,699


	Number of Shares		Value†

Oil & Gas Services — (continued)
ION Geophysical Corp.*		3,765	$	24,284
Key Energy Services, Inc.*		3,324		51,356
Lufkin Industries, Inc.		872		70,327
Matrix Service Co.*		687		9,625
Mitcham Industries, Inc.*		300		6,738
Natural Gas Services Group, Inc.*		294		3,881
Newpark Resources, Inc.*		2,112		17,297
OYO Geospace Corp.*		188		19,802
Targa Resources Corp.		400		18,180
Tesco Corp.*		700		9,933
Tetra Technologies, Inc.*		2,279		21,468
Thermon Group Holdings, Inc.*		300		6,135
Union Drilling, Inc.*		183		1,017
Willbros Group, Inc.*		1,017		3,295

				494,279

Packaging and Containers — 0.1%
AEP Industries, Inc.*		238		8,285
Graphic Packaging Holding Co.*		5,687		31,392

				39,677

Pharmaceuticals — 3.2%
Achillion Pharmaceuticals, Inc.*		1,700		16,286
Acura Pharmaceuticals, Inc.*		153		529
Aegrion Pharmaceuticals, Inc.*		200		2,766
Akorn, Inc.*		1,613		18,872
Alimera Sciences, Inc.*		500		1,690
Allos Therapeutics, Inc.*		1,315		1,946
Amicus Therapeutics, Inc.*		500		2,640
Ampio Pharmaceuticals, Inc.*		600		2,046
Anacor Pharmaceuticals, Inc.*		500		2,945
Antares Pharma, Inc.*		1,400		4,522
Anthera Pharmaceuticals, Inc.*		500		1,105
Ardea Biosciences, Inc.*		626		13,622
Array Biopharma, Inc.*		2,248		7,666
Auxilium Pharmaceuticals, Inc.*		1,165		21,634
AVANIR Pharmaceuticals, Inc., Class A*		3,377		11,549
AVI BioPharma, Inc.*		2,368		3,647
BioScrip, Inc.*		1,011		6,865
Biospecifics Technologies Corp.*		69		1,092
Cadence Pharmaceuticals, Inc.*		814		3,012
Clovis Oncology Inc*		300		7,635
Corcept Therapeutics, Inc.*		700		2,751
Cornerstone Therapeutics, Inc.*		127		757
Cytori Therapeutics, Inc.*		810		2,017
Depomed, Inc.*		1,183		7,406
Durect Corp.*		1,856		1,485
Dusa Pharmaceuticals, Inc.*		700		4,382
Dyax Corp.*		1,720		2,683
Endocyte, Inc.*		500		2,490
Furiex Pharmaceuticals, Inc.*		200		4,726
Hi-Tech Pharmacal Co, Inc.*		255		9,162
Idenix Pharmaceuticals, Inc.*		1,493		14,616
Impax Laboratories, Inc.*		1,737		42,695
Infinity Pharmaceuticals, Inc.*		328		3,923
Ironwood Pharmaceuticals, Inc.*		1,461		19,446
Isis Pharmaceuticals, Inc.*		2,810		24,644
ISTA Pharmaceuticals, Inc.*		700		6,307


	Number of Shares		Value†
COMMON STOCKS — (continued)
Pharmaceuticals — (continued)
Keryx Biopharmaceuticals, Inc.*		1,700	$	8,466
KV Pharmaceutical Co., Class A*		1,500		1,980
Lannett Co, Inc.*		197		821
MannKind Corp.*		1,904		4,703
MAP Pharmaceuticals, Inc.*		706		10,138
Medicis Pharmaceutical Corp., Class A		1,674		62,926
Medivation, Inc.*		864		64,558
Nabi Biopharmaceuticals*		913		1,698
Nature’s Sunshine Products, Inc.*		200		3,204
Nektar Therapeutics*		3,633		28,773
Neogen Corp.*		568		22,192
Neurocrine Biosciences, Inc.*		1,477		11,772
Nutraceutical International Corp.*		196		2,854
Obagi Medical Products, Inc.*		351		4,703
Omega Protein Corp.*		500		3,805
Onyx Pharmaceuticals, Inc.*		1,814		68,352
Opko Health, Inc.*		2,976		14,076
Optimer Pharmaceuticals, Inc.*		1,095		15,220
Orexigen Therapeutics, Inc.*		588		2,411
Osiris Therapeutics, Inc.*		373		1,910
Pain Therapeutics, Inc.*		779		2,797
Par Pharmaceutical Cos., Inc.*		982		38,033
Pharmacyclics, Inc.*		1,400		38,864
PharMerica Corp.*		820		10,193
Pozen, Inc.*		302		1,812
Progenics Pharmaceuticals, Inc.*		601		5,950
Questcor Pharmaceuticals, Inc.*		1,636		61,546
Raptor Pharmaceutical Corp.*		900		6,084
Rigel Pharmaceuticals, Inc.*		1,590		12,799
Sagent Pharmaceuticals, Inc.*		200		3,574
Salix Pharmaceuticals Ltd.*		1,521		79,852
Santarus, Inc.*		1,297		7,587
Savient Pharmaceuticals, Inc.*		1,752		3,819
Schiff Nutrition International, Inc.*		157		1,930
Sciclone Pharmaceuticals, Inc.*		677		4,272
SIGA Technologies, Inc.*		685		2,302
Spectrum Pharmaceuticals, Inc.*		1,414		17,859
Sucampo Pharmaceuticals, Inc., Class A*		171		1,274
Synta Pharmaceuticals Corp.*		721		3,136
Synutra International, Inc.*		311		1,829
Targacept, Inc.*		703		3,599
Theravance, Inc.*		1,816		35,412
USANA Health Sciences, Inc.*		124		4,629
Vanda Pharmaceuticals, Inc.*		741		3,549
Viropharma, Inc.*		1,978		59,478
Vivus, Inc.*		2,370		52,993
XenoPort, Inc.*		827		3,722
Zalicus, Inc.		1,600		1,920

				1,086,935

Pipelines — 0.2%
Crosstex Energy, Inc.		964		13,631
Semgroup Corp.*		1,300		37,882

				51,513

Precious Metals — 0.0%
McEwen Mining, Inc.*		2,523		11,202


	Number of Shares		Value†

Real Estate — 0.1%
Consolidated-Tomoka Land Co.		124	$	3,689
Forestar Real Estate Group, Inc.*		863		13,282
HFF, Inc., Class A*		700		11,529
Kennedy-Wilson Holdings, Inc.		781		10,543
Terreno Realty Corp.		175		2,504

				41,547

Real Estate Investment Trusts — 0.2%
AG Mortgage Investment Trust, Inc		288		5,685
American Assets Trust, Inc.		800		18,240
American Capital Mortgage. Inc.		343		7,467
Armour Residential REIT, Inc.		3,500		23,625
RAIT Financial Trust,Inc.		906		4,503
RLJ Lodging Trust		700		13,041
STAG lndustrial, Inc.		400		5,584
Summitt Hotel Properties		700		5,306

				83,451

Retail — 6.9%
Aeropostale, Inc.*		2,284		49,380
AFC Enterprises*		559		9,481
America’s Car-Mart, Inc.*		227		9,983
ANN, Inc.*		1,385		39,666
Asbury Automotive Group, Inc.*		749		20,223
Ascena Retail Group, Inc.*		1,634		72,419
Barnes & Noble, Inc.*		700		9,275
Bebe Stores, Inc.		1,517		14,002
Benihana Inc*		400		5,220
Big 5 Sporting Goods Corp.		381		2,987
Biglari Holdings, Inc.*		29		11,683
BJ’s Restaurants, Inc.*		620		31,217
Bob Evans Farms, Inc.		742		27,988
Body Central Corp.*		500		14,510
Bravo Brio Restaurant Group, Inc.*		500		9,980
Brown Shoe Co., Inc.		954		8,805
Buffalo Wild Wings, Inc.*		547		49,607
Build-A-Bear Workshop, Inc.*		260		1,365
Cabela’s, Inc.*		1,208		46,085
Caribou Coffee Co., Inc.*		205		3,821
Carrols Restaurant Group, Inc.*		213		3,248
Casey’s General Stores, Inc.		1,040		57,678
Cash America International, Inc.		925		44,335
Casual Male Retail Group, Inc.*		800		2,688
CEC Entertainment, Inc.		572		21,684
Charming Shoppes, Inc.*		2,880		16,992
Christopher & Banks Corp.		737		1,371
Citi Trends, Inc.*		303		3,472
Coinstar, Inc.*		850		54,017
Coldwater Creek, Inc.*		991		1,150
Collective Brands, Inc.*		1,782		35,034
Conn’s, Inc.*		204		3,131
Cost Plus, Inc.*		500		8,950
Cracker Barrel Old Country Store, Inc.		624		34,819
Denny’s Corp.*		2,352		9,502
Destination Maternity Corp.		178		3,305
DineEquity, Inc.*		371		18,402
Domino’s Pizza, Inc.*		1,629		59,133
Einstein Noah Restaurant Group, Inc.		84		1,253


	Number of Shares		Value†
COMMON STOCKS — (continued)
Retail — (continued)
Express, Inc.*		1,554	$	38,819
Ezcorp, Inc., Class A*		1,266		41,088
First Cash Financial Services, Inc.*		962		41,260
Francesca’s Holdings Corp.*		358		11,316
Fred’s, Inc., Class A		931		13,602
Genesco, Inc.*		795		56,962
GNC Holdings, Inc., Class A*		600		20,934
Gordmans Stores, Inc.*		200		4,394
Group 1 Automotive, Inc.		607		34,095
Haverty Furniture Cos., Inc.		550		6,105
Hhgregg, Inc.*		662		7,534
Hibbett Sports, Inc.*		755		41,185
Hot Topic, Inc.		1,095		11,114
HSN, Inc.		1,079		41,034
Jack in the Box, Inc.*		1,214		29,100
Jamba, Inc.*		1,100		2,277
Jos. A. Bank Clothiers, Inc.*		699		35,237
Kenneth Cole Productions, Inc., Class A*		158		2,544
Kirkland’s, Inc.*		427		6,909
Krispy Kreme Doughnuts, Inc.*		1,322		9,651
Lithia Motors, Inc., Class A		494		12,943
Liz Claiborne, Inc.*		2,771		37,021
Luby’s, Inc.*		600		3,642
Lumber Liquidators Holdings, Inc.*		533		13,384
MarineMax, Inc.*		400		3,292
Mattress Firm Holding Corp.*		100		3,790
New York & Co., Inc.*		583		2,175
Nu Skin Enterprises, Inc., Class A		1,427		82,638
O’Charleys, Inc.*		486		4,782
Office Depot, Inc.*		8,800		30,360
OfficeMax, Inc.*		2,761		15,793
Pacific Sunwear of California, Inc.*		1,360		2,394
Papa John’s International, Inc.*		455		17,135
PC Connection, Inc.		165		1,356
Penske Automotive Group, Inc.		1,276		31,428
PetMed Express, Inc.		413		5,113
PF Chang’s China Bistro, Inc.		525		20,748
Pier 1 Imports, Inc.*		2,644		48,068
Pricesmart, Inc.		531		38,662
Red Robin Gourmet Burgers, Inc.*		320		11,901
Regis Corp.		1,532		28,235
Rite Aid Corp.*		17,672		30,749
Ruby Tuesday, Inc.*		1,513		13,814
Rue21, Inc.*		379		11,120
Rush Enterprises, Inc., Class A*		1,035		21,963
Ruth’s Hospitality Group, Inc.*		1,695		12,865
Saks, Inc.*		3,241		37,628
Shoe Carnival, Inc.*		239		7,701
Sonic Automotive, Inc., Class A		934		16,728
Sonic Corp.*		1,532		11,766
Stage Stores, Inc.		881		14,307
Stein Mart, Inc.*		761		5,023
Steinway Musical Instruments, Inc.*		125		3,125
Susser Holdings Corp.*		302		7,752
Systemax, Inc.*		262		4,417
Talbots, Inc.*		1,494		4,527


	Number of Shares		Value†

Retail — (continued)
Teavana Holdings, Inc.*		290	$	5,719
Texas Roadhouse, Inc.		1,970		32,781
The Bon-Ton Stores, Inc.		200		1,848
The Buckle, Inc.		849		40,667
The Cato Corp., Class A		804		22,223
The Cheesecake Factory, Inc.*		1,516		44,555
The Children’s Place Retail Stores, Inc.*		694		35,859
The Finish Line, Inc., Class A		1,393		29,559
The Men’s Wearhouse, Inc.		1,356		52,572
The Pantry, Inc.*		454		5,907
The Pep Boys - Manny, Moe, & Jack		1,705		25,439
The Wet Seal, Inc., Class A*		2,604		8,984
Tuesday Morning Corp.*		1,129		4,335
Vera Bradley, Inc.*		500		15,095
Vitamin Shoppe, Inc.*		600		26,526
West Marine, Inc.*		264		3,163
Winmark Corp.		100		5,794
World Fuel Services Corp.		2,015		82,615
Zale Corp.*		900		2,781
Zumiez, Inc.*		503		18,163

				2,355,951

Savings & Loans — 0.8%
Astoria Financial Corp.		2,201		21,702
Bank Mutual Corp.		632		2,553
BankFinancial Corp.		609		4,032
Beneficial Mutual Bancorp, Inc.*		649		5,672
Berkshire Hills Bancorp, Inc.		602		13,798
BofI Holding, Inc.*		100		1,708
Brookline Bancorp, Inc.		2,222		20,820
Cape Bancorp, Inc.*		300		2,394
Clifton Savings Bancorp, Inc.		150		1,565
Dime Community Bancshares Inc.		730		10,665
ESB Financial Corp.		194		2,797
ESSA Bancorp, Inc.		319		3,126
First Defiance Financial Corp.		300		5,058
First Financial Holdings, Inc.		319		3,509
First Pactrust Bancorp, Inc.		200		2,384
Flagstar Bancorp, Inc.*		5,040		4,637
Flushing Financial Corp.		638		8,587
Fox Chase Bancorp, Inc.		420		5,460
Home Federal Bancorp, Inc.		253		2,563
Investors Bancorp, Inc.*		1,156		17,363
Kearny Financial Corp.		152		1,482
Meridian Interstate Bancorp, Inc.*		139		1,825
Northfield Bancorp, Inc.		423		6,015
Northwest Bancshares, Inc.		2,475		31,433
OceanFirst Financial Corp.		327		4,656
Oritani Financial Corp.		1,318		19,348
Provident Financial Services, Inc.		1,703		24,745
Provident New York Bancorp		951		8,045
Rockville Financial, Inc.		730		8,505
Roma Financial Corp.		126		1,234
Territorial Bancorp, Inc.		243		5,057
United Financial Bancorp, Inc.		440		6,961
Viewpoint Financial Group		866		13,319
Westfield Financial, Inc.		784		6,201


	Number of Shares		Value†
COMMON STOCKS — (continued)
Savings & Loans — (continued)
WSFS Financial Corp.		157	$	6,437

				285,656

Semiconductors — 3.1%
Aeroflex Holding Corp.*		500		5,570
Alpha & Omega Semiconductor, Ltd.*		400		3,848
Amkor Technology, Inc.*		2,511		15,430
Amtech Systems, Inc.*		300		2,499
Anadigics, Inc.*		1,379		3,268
Applied Micro Circuits Corp.*		1,358		9,425
ATMI, Inc.*		928		21,622
Axcelis Technologies, Inc.*		2,000		3,440
AXT, Inc.*		600		3,810
Brooks Automation, Inc.		1,977		24,376
Cabot Microelectronics Corp.*		661		25,700
Cavium, Inc.*		1,279		39,572
CEVA, Inc.*		671		15,238
Cirrus Logic, Inc.*		1,881		44,768
Cohu, Inc.		504		5,730
Diodes, Inc.*		999		23,157
DSP Group, Inc.*		557		3,710
Emagin Corp.*		500		1,625
Emulex Corp.*		2,606		27,050
Entegris, Inc.*		3,370		31,476
Entropic Communications, Inc.*		2,032		11,847
Exar Corp.*		732		6,149
FormFactor, Inc.*		1,172		6,540
FSI International, Inc.*		600		2,934
Gerber Scientific, Inc.~		500		0
GSI Technology, Inc.*		359		1,522
GSl Group, Inc.*		700		8,442
Gt Advanced Technologies, Inc*		3,599		29,764
Hittite Microwave Corp.*		866		47,032
Inphi Corp.*		500		7,090
Integrated Device Technology, Inc.*		4,293		30,695
Integrated Silicon Solution, Inc.*		500		5,580
IXYS Corp.*		566		7,471
Kopin Corp.*		1,507		6,134
Kulicke & Soffa Industries, Inc.*		1,706		21,206
Lattice Semiconductor Corp.*		3,824		24,588
LTX-Credence Corp.*		1,166		8,384
MaxLinear, Inc., Class A*		500		2,785
Micrel, Inc.		1,245		12,774
Microsemi Corp.*		2,393		51,306
Mindspeed Technologies, Inc.*		600		3,822
MIPS Technologies, Inc.*		1,058		5,756
MKS Instruments, Inc.		1,396		41,224
Monolithic Power Systems, Inc.*		767		15,087
MoSys, Inc.*		500		1,985
Nanometrics, Inc.*		500		9,255
Omnivision Technologies, Inc.*		1,619		32,380
Pericom Semiconductor Corp.*		646		5,226
Photronics, Inc.*		2,192		14,577
PLX Technology, Inc.*		1,260		5,065
Power Integrations, Inc.		895		33,222
Rambus, Inc.*		2,623		16,918
Richardson Electronics Ltd.		300		3,594


	Number of Shares		Value†

Semiconductors — (continued)
Rubicon Technology, Inc.*		323	$	3,369
Rudolph Technologies, Inc.*		854		9,488
Semtech Corp.*		1,909		54,330
Sigma Designs, Inc.*		777		4,025
Silicon Image, Inc.*		1,839		10,813
Standard Microsystems Corp.*		653		16,893
Supertex, Inc.*		389		7,029
Tessera Technologies, Inc.*		1,623		27,997
TriQuint Semiconductor, Inc.*		4,777		32,937
Ultra Clean Holdings*		400		3,016
Ultratech, Inc.*		778		22,546
Veeco Instruments, Inc.*		1,093		31,260
Volterra Semiconductor Corp.*		691		23,781

				1,039,152

Software — 4.4%
Accelrys, Inc.*		1,566		12,497
ACI Worldwide, Inc.*		1,109		44,659
Actuate Corp.*		940		5,903
Acxiom Corp.*		2,067		30,344
Advent Software, Inc.*		935		23,936
American Software, Inc., Class A		593		5,088
Aspen Technology, Inc.*		2,353		48,307
athenahealth, Inc.*		956		70,859
Avid Technology, Inc.*		749		8,239
Blackbaud, Inc.		1,150		38,215
Bottomline Technologies, Inc.*		1,045		29,197
Callidus Software, Inc.*		800		6,248
CommVault Systems, Inc.*		1,148		56,987
Computer Programs & Systems, Inc.		347		19,612
Concur Technologies, Inc.*		1,162		66,676
Convio, Inc.*		400		6,188
Cornerstone Ondemand, Inc.*		300		6,552
CSG Systems International, Inc.*		781		11,824
Deltek, Inc.*		394		4,200
Digi International, Inc.*		657		7,220
DynaVox, Inc., Class A*		200		616
Ebix, Inc.		736		17,046
Envestnet, Inc.*		600		7,512
EPIQ Systems, Inc.		668		8,083
ePocrates, Inc.*		200		1,716
Fair Isaac Corp.		1,188		52,153
FalconStor Software, Inc.*		626		2,341
Geeknet, Inc.*		100		1,446
Glu Mobile, Inc.*		1,100		5,335
Guidance Software, Inc.*		400		4,420
Imperva Inc*		100		3,915
inContact, Inc.*		900		5,022
InnerWorkings, Inc.*		1,124		13,095
Interactive Intelligence Group, Inc.*		297		9,061
JDA Software Group, Inc.*		1,185		32,564
Mantech International Corp., Class A		739		25,466
MedAssets, Inc.*		1,248		16,424
Medidata Solutions, Inc.*		544		14,492
MicroStrategy, Inc., Class A*		218		30,520
MModal, Inc.*		800		8,440
Monotype Imaging Holdings, Inc.*		899		13,395


	Number of Shares		Value†
COMMON STOCKS — (continued)
Software — (continued)
NetSuite, Inc.*		756	$	38,019
Omnicell, Inc.*		935		14,221
OPNET Technologies, Inc.		421		12,209
Parametric Technology Corp.*		3,225		90,107
PDF Solutions, Inc.*		500		4,215
PegaSystems, Inc.		430		16,409
Progress Software Corp.*		1,786		42,185
PROS Holdings, Inc.*		517		9,668
QAD, Inc.*		92		1,205
QLIK Technologies, Inc.*		1,841		58,912
Quality Systems, Inc.		1,004		43,905
Quest Software, Inc.*		1,509		35,114
RealPage, Inc.*		1,000		19,170
Rosetta Stone, Inc.*		202		2,085
Schawk, Inc.		187		2,339
Sciquest, Inc.*		300		4,572
Seachange International, Inc.*		773		6,014
Smith Micro Software, Inc.*		576		1,342
SolarWinds, Inc.*		1,512		58,439
SS&C Technologies Holdings, Inc.*		600		13,998
Synchronoss Technologies, Inc.*		746		23,812
SYNNEX Corp.*		794		30,283
Take-Two Interactive Software, Inc.*		1,844		28,370
Taleo Corp., Class A*		1,102		50,615
Tangoe, Inc.*		469		8,822
The Ultimate Software Group, Inc.*		716		52,469
THQ, Inc.*		1,261		706
Tyler Technologies, Inc.*		852		32,725
Verint Systems, Inc.*		500		16,195

				1,493,938

Storage & Warehousing — 0.1%
Mobile Mini, Inc.*		877		18,522
Wesco Aircraft Holdings, Inc.*		740		11,988

				30,510

Telecommunications — 2.7%
8X8, Inc.*		1,600		6,720
ADTRAN, Inc.		1,705		53,179
Alaska Communications Systems Group, Inc.		947		2,917
Anaren, Inc.*		312		5,725
Anixter International, Inc.*		934		67,743
Arris Group, Inc.*		3,281		37,075
Aruba Networks, Inc.*		2,413		53,762
Atlantic Tele-Network, Inc.		249		9,054
Aviat Networks, Inc.*		1,462		4,123
Black Box Corp.		562		14,337
Calix, Inc.*		887		7,566
Cbeyond, Inc.*		568		4,544
Cincinnati Bell, Inc.*		5,985		24,060
Communications Systems, Inc.		200		2,626
Comtech Telecommunications Corp.		552		17,984
Consolidated Communications Holdings, Inc.		570		11,189
DigitalGlobe, Inc.*		845		11,272
Extreme Networks, Inc.*		1,947		7,457
Fairpoint Communications, Inc.*		600		2,256


	Number of Shares		Value†

Telecommunications — (continued)
Finisar Corp.*		2,521	$	50,798
General Communication, Inc., Class A*		986		8,598
GeoEye, Inc.*		547		13,166
Globalstar, Inc.*		1,400		980
Globecomm Systems, Inc.*		500		7,240
Harmonic, Inc.*		3,470		18,981
HickoryTech Corp.		400		4,136
IDT Corp., Class B		300		2,802
Infinera Corp.*		2,494		20,251
InterDigital, Inc.		1,194		41,623
Iridium Communications, Inc.*		1,100		9,636
Ixia*		1,313		16,399
KVH Industries, Inc.*		354		3,717
Leap Wireless International, Inc.*		1,400		12,222
LogMeIn, Inc.*		581		20,469
Loral Space & Communications, Inc.*		346		27,542
Lumos Networks Corp		382		4,110
Meru Networks, Inc.*		200		810
Motricity, Inc.*		900		990
NeoPhotonics Corp.*		300		1,419
Netgear, Inc.*		1,029		39,308
Neutral Tandem, Inc.*		926		11,288
Novatel Wireless, Inc.*		601		2,013
Ntelos Holdings Corp		382		7,907
Oclaro, Inc.*		1,100		4,334
Oplink Communications, Inc.*		635		10,859
Opnext, Inc.*		580		899
ORBCOMM, Inc.*		1,000		3,850
Plantronics, Inc.		1,267		51,009
Powerwave Technologies Inc*		810		1,661
Preformed Line Products Co.		45		2,948
Premiere Global Services, Inc.*		1,656		14,970
Procera Networks, Inc.*		300		6,708
RF Micro Devices, Inc.*		6,851		34,118
Rignet, Inc.*		200		3,506
Shenandoah Telecommunications Co.		559		6,233
ShoreTel, Inc.*		981		5,572
Sonus Networks, Inc.*		4,915		14,253
SureWest Communications		400		9,020
Sycamore Networks, Inc.*		624		11,070
Symmetricom, Inc.*		959		5,533
Telenavinc*		300		2,106
Ubiquiti Networks, Inc.*		200		6,326
USA Mobility, Inc.		512		7,132
Viasat, Inc.*		962		46,378
Vonage Holdings Corp.*		3,700		8,177
Westell Technologies, Inc.*		1,400		3,262

				929,918

Textiles — 0.1%
G&K Services, Inc., Class A		576		19,699
Unifirst Corp.		377		23,205

				42,904

Toys, Games & Hobbies — 0.1%
JAKKS Pacific, Inc.		584		10,191


	Number of Shares		Value†
COMMON STOCKS — (continued)
Toys, Games & Hobbies — (continued)
Leapfrog Enterprises, Inc.*		876	$	7,323

				17,514

Transportation — 1.9%
Air Transport Services Group, Inc.*		2,085		12,072
Arkansas Best Corp.		795		14,954
Atlas Air Worldwide Holdings, Inc.*		648		31,888
Baltic Trading Ltd.		300		1,245
Bristow Group, Inc.		950		45,343
CAI International, Inc.*		260		4,727
Celadon Group, Inc.		435		6,764
DHT Maritime, Inc.		1,126		1,081
Eagle Bulk Shipping, Inc.*		1,220		2,367
Echo Global Logistics, Inc.*		200		3,220
Excel Maritime Carriers Ltd.*		700		1,400
Forward Air Corp.		896		32,856
Frontline Ltd.		1,200		9,228
Genco Shipping & Trading Ltd.*		511		3,250
Genesee & Wyoming, Inc., Class A*		1,026		55,999
Golar LNG Ltd.		1,006		38,278
Gulfmark Offshore, Inc., Class A*		579		26,611
Heartland Express, Inc.		1,167		16,875
HUB Group, Inc., Class A*		1,043		37,579
International Shipholding Corp.		141		3,256
Knight Transportation, Inc.		1,764		31,152
Knightsbridge Tankers Ltd.		574		8,254
Marten Transport Ltd.		434		9,578
Nordic American Tanker Shipping		1,367		21,708
Old Dominion Freight Line, Inc.*		1,406		67,024
Overseas Shipholding Group, Inc.		600		7,578
Pacer International, Inc.*		687		4,342
Patriot Transportation Holding, Inc.*		69		1,607
PHI, Inc.*		293		6,783
Quality Distribution, Inc.*		400		5,512
RailAmerica, Inc.*		456		9,786
Roadrunner Transportation Systems, Inc.*		200		3,470
Saia, Inc.*		274		4,661
Scorpio Tankers, Inc.*		600		4,236
Ship Finance International Ltd.		1,084		16,585
Swift Transportation Co.*		2,500		28,850
Teekay Tankers Ltd., Class A		3,193		19,382
Ultrapetrol (Bahamas) Ltd.*		435		870
Universal Truckload Services, Inc.		100		1,506
Werner Enterprises, Inc.		1,252		31,125

				633,002

Trucking and Leasing — 0.2%
Amerco, Inc.		295		31,125
Greenbrier Cos., Inc.*		447		8,846
TAL International Group, Inc.		693		25,440
Textainer Group Holdings Ltd.		412		13,967

				79,378

Water — 0.3%
American States Water Co.		562		20,311
Artesian Resources Corp., Class A		113		2,123
California Water Service Group		1,166		21,233
Connecticut Water Service, Inc.		319		9,024


	Number of Shares		Value†

Water — (continued)
Consolidated Water Co., Inc.		312	$	2,468
Middlesex Water Co.		531		10,031
Pico Holdings, Inc.*		792		18,572
SJW Corp.		288		6,947
York Water Co.		297		5,138

				95,847

TOTAL COMMON STOCKS (Cost $23,894,082)				29,824,144

REAL ESTATE INVESTMENT TRUSTS — 8.4%
Apartments — 1.0%
American Campus Communities, Inc.		1,932		86,399
Associated Estates Realty Corp.		956		15,621
Campus Crest Communities, Inc.		700		8,162
Education Realty Trust, Inc.		2,405		26,070
Home Properties, Inc.		1,324		80,777
Mid-America Apartment Communities, Inc.		997		66,829
Post Properties, Inc.		1,395		65,370

				349,228

Building & Real Estate — 2.3%
Agree Realty Corp.		196		4,426
Alexander’s, Inc.		57		22,451
Anworth Mortgage Asset Corp.		3,331		21,918
Apollo Commercial Real Estate Finance, Inc.		400		6,260
Capstead Mortgage Corp.		2,175		28,514
Colony Financial, Inc.		816		13,366
CreXus Investment Corp.		1,961		20,277
CYS Investments, Inc.		2,956		38,694
Dynex Capital, Inc.		1,407		13,437
Equity Lifestyle Properties, Inc.		896		62,487
Getty Realty Corp.		563		8,771
Government Properties Income Trust		944		22,760
Hatteras Financial Corp.		2,145		59,845
Invesco Mortgage Capital, Inc.		3,007		53,074
iStar Financial, Inc.*		2,118		15,355
MFA Financial, Inc.		9,230		68,948
National Retail Properties, Inc.		2,938		79,884
Newcastle Investment Corp.		3,160		19,845
NorthStar Realty Finance Corp.		2,321		12,557
Pennymac Mortgage Investment Trust		592		11,053
Redwood Trust, Inc.		2,277		25,502
Resource Capital Corp.		1,700		9,163
Starwood Property Trust, Inc.		2,435		51,184
Sun Communities, Inc.		690		29,898
Two Harbors Investment Corp.		5,600		56,784
UMH Properties, Inc.		168		1,841
Walter Investment Management Corp.		653		14,725

				773,019

Diversified — 0.4%
Coresite Realty Corp.		500		11,795
DuPont Fabros Technology, Inc.		1,950		47,677
Entertainment Properties Trust		1,210		56,120
PS Business Parks, Inc.		465		30,476


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Diversified — (continued)
Whitestone REIT		200	$	2,608

				148,676

Factory Outlets — 0.2%
Tanger Factory Outlet Centers, Inc.		2,256		67,071

Forest Products & Paper — 0.1%
Potlatch Corp.		1,078		33,785

Healthcare — 0.7%
Cogdell Spencer, Inc.		734		3,112
Healthcare Realty Trust, Inc.		1,972		43,384
LTC Properties, Inc.		917		29,344
Medical Properties Trust, Inc.		3,607		33,473
National Health Investors, Inc.		657		32,048
Omega Healthcare Investors, Inc.		2,648		56,296
Sabra Healthcare Reit, Inc.		1,088		17,887
Universal Health Realty Income Trust		320		12,682

				228,226

Hotels & Resorts — 0.8%
Ashford Hospitality Trust, Inc.		1,120		10,091
Chesapeake Lodging Trust		789		14,178
DiamondRock Hospitality Co.		4,523		46,542
FelCor Lodging Trust, Inc.*		3,018		10,865
Hersha Hospitality Trust		4,269		23,309
LaSalle Hotel Properties		2,217		62,386
Pebblebrook Hotel Trust		1,409		31,815
Strategic Hotels & Resorts, Inc.*		5,012		32,979
Sunstone Hotel Investors, Inc.*		3,332		32,454

				264,619

Industrial — 0.4%
DCT Industrial Trust, Inc.		6,582		38,834
EastGroup Properties, Inc.		675		33,899
First Industrial Realty Trust, Inc.*		2,429		29,998
First Potomac Realty Trust		1,492		18,038
Monmouth Real Estate Investment Corp., Class A		1,149		11,191

				131,960

Mixed Industrial/Office — 0.5%
CapLease, Inc.		1,735		6,992
Colonial Properties Trust		2,216		48,154
Cousins Properties, Inc.		3,061		23,202
Gladstone Commercial Corp.		152		2,616
Investors Real Estate Trust		1,818		13,980
Lexington Realty Trust		3,015		27,105
Mission West Properties, Inc.		287		2,830
One Liberty Properties, Inc.		203		3,715
Washington Real Estate Investment Trust		1,806		53,638
Winthrop Realty Trust		777		9,006

				191,238

Office Property — 0.8%
BioMed Realty Trust, Inc.		4,321		82,013
Franklin Street Properties Corp.		1,845		19,557
Highwoods Properties, Inc.		1,860		61,975
Hudson Pacific Properties, Inc.		900		13,617
Kilroy Realty Corp.		1,814		84,550


	Number of Shares		Value†

Office Property — (continued)
MPG Office Trust, Inc.*		900	$	2,106
Parkway Properties, Inc.		593		6,215

				270,033

Regional Malls — 0.4%
CBL & Associates Properties, Inc.		3,854		72,918
Glimcher Realty Trust		3,916		40,021
Pennsylvania Real Estate Investment Trust		1,715		26,188

				139,127

Storage & Warehousing — 0.4%
CubeSmart		3,125		37,188
Extra Space Storage, Inc.		2,438		70,190
Sovran Self Storage, Inc.		882		43,950

				151,328

Strip Centers — 0.4%
Acadia Realty Trust		1,120		25,245
Cedar Shopping Centers, Inc.		1,026		5,253
Equity One, Inc.		1,554		31,422
Excel Trust, Inc.		900		10,872
Inland Real Estate Corp.		1,788		15,860
Kite Realty Group Trust		1,107		5,834
Ramco-Gershenson Properties Trust		941		11,499
Retail Opportunity Investments Corp.		1,300		15,652
Saul Centers, Inc.		151		6,094
Urstadt Biddle Properties, Inc., Class A		516		10,186

				137,917

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $2,301,291)				2,886,227


	Par (000)		Value†
U.S. TREASURY OBLIGATIONS — 0.4%
U.S. Treasury Bills
0.005%, 04/19/12	$	10		10,000
0.005%, 06/07/12		20		19,998
0.010%, 04/19/12		15		14,999
0.020%, 05/10/12		12		11,999
0.043%, 06/14/12		40		39,995
0.045%, 05/17/12		15		14,999
0.050%, 05/17/12		15		14,999

TOTAL U.S. TREASURY OBLIGATIONS (Cost $126,994)				126,989


	Number of Shares		Value†
WARRANTS — 0.0%
Clinical Data, Inc.~		354		0
DHT Holdings, Inc.~		5		0
Magnum Hunter Resources Corp.~		260		0

TOTAL WARRANTS (Cost $0)				0


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 3.7%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,252,397)		1,252,397	$	1,252,397

TOTAL INVESTMENTS — 100.0% (Cost $27,574,764)(a)			$	34,089,757

†	See Security Valuation Note.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $31.

*	Non-income producing security.

^(a)

At March 31, 2012, the cost for Federal income tax purposes was $27,847,564. Net unrealized appreciation was $6,242,193. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $8,412,876 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $2,170,683.

Plc — Public Limited Company.

REIT — Real Estate Investment Trust.


	Number of Shares		Value†
COMMON STOCKS — 96.4%
Australia — 8.2%
AGL Energy Ltd.		2,626	$	40,122
Alumina Ltd.		14,267		18,251
Amcor Ltd.		7,351		56,652
AMP Ltd.		19,572		87,582
APA Group		3,523		18,611
Asciano Group		6,617		33,586
ASX Ltd.		1,185		40,753
Australia & New Zealand Banking Group Ltd.		17,277		416,270
Bendigo & Adelaide Bank Ltd.		2,975		23,883
BHP Billiton Ltd.		20,953		751,182
Boral Ltd.		4,356		18,184
Brambles Ltd.		9,267		68,155
Caltex Australia Ltd.		1,064		15,309
Campbell Brothers Ltd.		422		29,388
CFS Retail Property Trust		10,914		20,236
Coca-Cola Amatil Ltd.		3,398		43,892
Cochlear Ltd.		303		19,428
Commonwealth Bank of Australia		10,490		544,390
Computershare Ltd.		2,605		24,286
Crown Ltd.		2,672		24,052
CSL Ltd.		3,476		129,226
Dexus Property Group		29,914		26,958
Echo Entertainment Group Ltd.*		5,022		22,837
Fairfax Media Ltd.		8,585		6,447
Fortescue Metals Group Ltd.		7,906		47,581
Goodman Group		47,180		33,721
GPT Group		11,893		38,437
GPT Group, In Specie~§		16,419		0
Harvey Norman Holdings Ltd.		3,095		6,444
Iluka Resources Ltd.		2,473		45,572
Incitec Pivot Ltd.		8,759		28,580
Insurance Australia Group Ltd.		13,497		47,535
Leighton Holdings Ltd.		960		21,201
Lend Lease Group		3,777		29,226
Lynas Corp Ltd.*		11,331		12,852
Macquarie Group Ltd.		2,382		71,752
Metcash Ltd.		4,753		21,171
Mirvac Group		24,107		29,216
National Australia Bank Ltd.		14,485		369,106
Newcrest Mining Ltd.		4,992		153,474
Orica Ltd.		2,556		74,054
Origin Energy Ltd.		7,062		97,658
OZ Minerals Ltd.		2,023		20,452
Qantas Airways Ltd.*		6,627		12,253
QBE Insurance Group Ltd.		7,146		104,889
QR National Ltd.		11,327		43,764
Ramsay Health Care Ltd.		980		19,846
Rio Tinto Ltd.		2,895		196,121
Santos Ltd.		5,816		85,789
Sims Metal Management Ltd.		1,296		19,721
Sonic Healthcare Ltd.		2,518		32,656
SP Ausnet		12,068		13,438
Stockland		15,423		46,969
Suncorp-Metway Ltd.		8,453		73,551
Sydney Airport		3,363		9,998


	Number of Shares		Value†

Australia — (continued)
TABCORP Holdings Ltd.		5,644	$	15,902
Tatts Group Ltd.		11,171		28,697
Telstra Corp. Ltd.		27,569		93,954
Toll Holdings Ltd.		4,043		24,583
Transurban Group		7,976		46,267
Wesfarmers Ltd.		1,001		32,040
Wesfarmers Ltd. PPS		5,421		168,573
Westfield Group		14,431		131,994
Westfield Retail Trust		16,640		44,470
Westpac Banking Corp.		19,835		449,754
Woodside Petroleum Ltd.		4,236		152,742
Woolworths Ltd.		7,695		207,083
WorleyParsons Ltd.		1,128		33,452

				5,716,218

Austria — 0.2%
Erste Group Bank AG		1,000		23,060
Immoeast AG*~		2,678		0
IMMOFINANZ AG*		6,387		23,204
OMV AG		1,135		40,342
Raiffeisen International Bank-Holding AG		211		7,457
Telekom Austria AG		2,544		29,627
Verbund AG		303		9,218
Vienna Insurance Group		300		13,232
Voestalpine AG		642		21,590

				167,730

Belgium — 1.0%
Anheuser-Busch InBev NV		5,141		375,604
Bekaert S.A.		209		6,733
Belgacom S.A.		1,133		36,425
Colruyt S.A.		315		12,662
Delhaize Group S.A.		595		31,306
Fortis N.V.		16,326		35,883
Groupe Bruxelles Lambert S.A.		471		36,459
KBC Groep N.V.		1,139		28,574
Mobistar S.A.		172		8,568
Solvay S.A.		356		42,148
UCB S.A.		734		31,669
Umicore		797		43,906

				689,937

Bermuda — 0.1%
Seadrill Ltd.		1,988		74,497

Cayman Islands — 0.0%
Wynn Macau Ltd.		8,000		23,385

China — 0.1%
Foxconn International Holdings Ltd.*		17,000		12,106
Sands China Ltd.*		14,800		57,843
Yangzijiang Shipbuilding Holdings Ltd.		19,000		20,102

				90,051

Denmark — 1.1%
A.P. Moller - Maersk A/S,B Shares		8		61,769
A.P. Moller - Maersk A/S,A Shares		3		22,066
Carlsberg A/S, B Shares		764		63,125
Coloplast A/S, B Shares		200		34,627


	Number of Shares		Value†
COMMON STOCKS — (continued)
Denmark — (continued)
Danske Bank A/S*		4,513	$	76,437
DSV A/S		1,300		29,474
Novo Nordisk A/S, B Shares		2,723		377,008
Novozymes A/S		1,250		36,405
TDC A/S		2,500		18,183
TrygVesta A/S		303		17,085
Vestas Wind Systems A/S*		860		8,724
William Demant Holding A/S*		138		12,861

				757,764

Finland — 0.9%
Elisa Oyj		1,000		23,967
Fortum Oyj		2,843		69,009
Kesko Oyj, B Shares		513		16,646
Kone Oyj, B Shares		992		55,263
Metso Oyj		844		36,077
Neste Oil Oyj		812		10,001
Nokia Oyj		23,448		127,655
Nokian Renkaat Oyj		755		36,794
Orion Oyj, Class B		750		14,824
Pohjola Bank Plc		1,500		16,615
Sampo Oyj, A Shares		2,681		77,485
Sanoma OYJ		750		9,603
Stora Enso Oyj, R Shares		2,865		21,283
UPM-Kymmene Oyj		3,605		49,090
Wartsila Oyj		1,200		45,261

				609,573

France — 8.5%
Accor S.A.		1,031		36,810
Aeroports de Paris		215		17,646
Air Liquide S.A.		1,798		239,705
Alcatel-Lucent*		15,694		35,688
Alstom S.A.		1,188		46,361
Arkema S.A.		334		31,124
Atos Origin S.A.		322		18,572
AXA S.A.		11,329		187,812
BNP Paribas		6,205		294,406
Bouygues S.A.		1,339		40,949
Bureau Veritas SA		300		26,407
Cap Gemini S.A.		938		41,984
Carrefour S.A.		3,713		89,013
Casino Guichard Perracho S.A.		386		38,044
Christian Dior S.A.		328		50,329
Cie Generale d’Optique Essilor International SA		1,282		114,267
Cie Generale de Geophysique - Veritas*		1,072		31,726
CNP Assurances		572		8,926
Compagnie de Saint-Gobain		2,628		117,364
Compagnie Generale des Establissements Michelin, B Shares		1,170		87,119
Credit Agricole S.A.		7,249		45,053
Danone		3,701		258,155
Dassault Systemes S.A.		334		30,732
Edenred		1,127		33,910
EDF S.A.		1,431		32,655
Eiffage S.A.		328		12,691
Eurazeo		56		2,849


	Number of Shares		Value†

France — (continued)
Eutelsat Communications		731	$	27,025
Fonciere Des Regions		106		8,515
France Telecom S.A.		12,370		183,210
GDF Suez		8,218		212,303
Gecina S.A.		190		19,852
Groupe Eurotunnel S.A.		3,383		29,382
ICADE		156		13,917
Iliad S.A.		177		24,386
Imerys S.A.		213		12,951
JC Decaux S.A.*		400		12,222
Klepierre		821		28,469
L’Oreal S.A.		1,498		184,785
Lafarge S.A.		1,154		55,077
Lagardere S.C.A.		642		19,805
Legrand S.A.		1,319		48,535
LVMH Moet Hennessy Louis Vuitton S.A.		1,633		280,628
Natixis		5,860		22,548
Neopost S.A.		278		17,879
Pernod-Ricard SA		1,255		131,226
Peugeot S.A.		1,186		19,100
PPR		467		80,346
Publicis Groupe S.A.		900		49,616
Renault S.A.		1,218		64,207
Safran S.A.		915		33,626
Sanofi-Aventis S.A.		7,503		582,696
Schneider Electric S.A.		3,258		212,872
SCOR SE		1,095		29,588
Societe BIC S.A.		120		12,042
Societe Generale		4,447		130,274
Societe Television Francaise 1		821		10,053
Sodexo		682		55,994
Suez Environment Co.		1,814		27,822
Technip S.A.		663		78,106
Thales S.A.		773		28,929
Total S.A.		13,862		706,975
Unibail-Rodamco SE		582		116,394
Vallourec S.A.		733		46,436
Veolia Environment		1,785		29,604
Vinci S.A.		2,824		147,266
Vivendi S.A.		8,336		152,981
Wendel S.A.		211		18,024

				5,935,963

Germany — 7.8%
Adidas AG		1,279		99,858
Allianz SE		2,914		347,718
Axel Springer AG		327		16,516
BASF SE		6,022		526,792
Bayer AG		5,293		372,308
Bayerische Motoren Werke AG		2,205		198,300
Beiersdorf AG		631		41,174
Brenntag AG		300		36,738
Celesio AG		516		9,339
Commerzbank AG*		22,684		57,391
Continental AG*		513		48,420
Daimler AG		5,814		350,566
Deutsche Bank AG		5,891		293,100


	Number of Shares		Value†
COMMON STOCKS — (continued)
Germany — (continued)
Deutsche Boerse AG*		1,275	$	85,840
Deutsche Lufthansa AG		1,383		19,358
Deutsche Post AG		5,502		105,925
Deutsche Telekom AG		18,668		224,751
E.ON AG		11,413		273,380
Fraport AG Frankfurt Airport Services Worldwide		272		17,032
Fresenius Medical Care AG & Co. KGaA		1,369		97,025
Fresenius SE & Co. KGaA		770		78,963
GEA Group AG		1,218		42,008
Hannover Ruckversicherung AG		356		21,148
HeidelbergCement AG		964		58,351
Henkel AG & Co. KGaA		937		58,485
Hochtief AG		206		12,498
Infineon Technologies AG		6,887		70,414
K+S AG		1,027		53,727
Kabel Deutschland Holding AG*		620		38,294
Lanxess AG		527		43,563
Linde AG		1,140		204,573
MAN SE		578		76,957
Merck KGaA		425		47,035
Metro AG		665		25,712
Muenchener Ruckversicherung AG		1,227		185,002
RWE AG		3,101		148,083
Salzgitter AG		183		10,030
SAP AG		5,892		411,455
Siemens AG		5,388		543,191
Suedzucker AG		700		22,290
ThyssenKrupp AG		2,318		57,703
United Internet AG		908		17,112
Volkswagen AG		252		40,634
Wacker Chemie AG		128		11,286

				5,500,045

Greece — 0.1%
Coca-Cola Hellenic Bottling Co. S.A.*		1,467		28,077
Hellenic Telecommunications Organization S.A.		590		2,510
National Bank of Greece S.A.*		6,444		16,501
OPAP S.A.		1,080		10,472

				57,560

Guernsey — 0.1%
Resolution Ltd.		8,585		35,881

Hong Kong — 2.8%
AIA Group Ltd.		54,600		200,033
ASM Pacific Technology Ltd.		1,700		24,803
BOC Hong Kong Holdings Ltd.		24,500		67,674
Cathay Pacific Airways Ltd.		10,000		18,518
Cheung Kong Holdings Ltd.		9,000		116,244
Cheung Kong Infrastructure Holdings Ltd.		4,000		24,338
CLP Holdings Ltd.		13,000		112,162
First Pacific Co., Ltd.		14,000		15,522
Galaxy Entertainment Group Ltd.*		8,000		22,098
Genting Singapore Plc*		34,000		46,116
Hang Lung Group Ltd.		8,000		51,767
Hang Lung Properties Ltd.		14,000		51,291


	Number of Shares		Value†

Hong Kong — (continued)
Hang Seng Bank Ltd.		5,100	$	67,776
Henderson Land Development Co., Ltd.		5,209		28,743
HKT Trust / HKT Ltd.*		695		540
Hong Kong Exchanges & Clearing Ltd.		6,256		105,132
Hopewell Holdings Ltd.		3,500		9,600
Hutchison Whampoa Ltd.		14,000		139,900
Hysan Development Co., Ltd.		3,064		12,271
Kerry Properties Ltd.		4,009		18,043
Li & Fung Ltd.		38,000		87,200
Lifestyle International Holdings, Ltd.		4,500		11,416
MTR Corp.		9,764		34,954
New World Development Ltd.		22,871		27,479
Noble Group Ltd.		22,484		24,683
NWS Holdings Ltd.		10,709		16,383
Orient Overseas International Ltd.		2,000		14,229
PCCW Ltd.		32,000		11,456
Power Assets Holdings Ltd.		9,000		66,061
Shangri-La Asia Ltd.		8,666		18,949
Sino Land Co., Ltd.		18,163		29,003
SJM Holdings Ltd.		10,000		20,346
Sun Hung Kai Properties Ltd.		9,271		115,208
Swire Pacific Ltd., Class A		5,000		56,049
The Bank of East Asia Ltd.		10,114		38,031
The Hong Kong & China Gas Co., Ltd.		30,230		77,467
The Link Real Estate Investment Trust		15,143		56,356
Wharf Holdings Ltd.		10,000		54,343
Wheelock & Co., Ltd.		7,000		21,093
Wing Hang Bank Ltd.		2,012		19,989
Yue Yuen Industrial Holdings Ltd.		7,000		24,564

				1,957,830

Ireland — 0.6%
Anglo Irish Bank Corp. Plc*~		3,146		0
CRH Plc*		4,398		89,744
Elan Corp. Plc*		3,335		48,816
Experian Plc		6,226		97,045
James Hardie Industries SE		3,154		25,091
Kerry Group Plc, Class A		1,174		54,332
Ryanair Holdings Plc*		59		2,141
Shire Plc		3,552		114,764

				431,933

Israel — 0.6%
The Israel Corp. Ltd.		16		10,771
Bank Hapoalim BM		8,292		30,448
Bank Leumi Le-Israel BM		8,478		26,697
Bezeq Israeli Telecommunication Corp. Ltd.		7,500		12,314
Cellcom Israel Ltd.		400		5,066
Elbit Systems Ltd.		300		11,639
Israel Chemicals Ltd.*		2,300		26,167
Israel Discount Bank Ltd*		7,143		9,454
Mizrahi Tefahot Bank Ltd*		783		7,055
NICE Systems Ltd.*		400		15,680
Partner Communications Co., Ltd.		700		5,399
Teva Pharmaceutical Industries Ltd.		6,215		274,792

				435,482


	Number of Shares		Value†
COMMON STOCKS — (continued)
Italy — 2.1%
A2A SpA		1,615	$	1,296
Assicurazioni Generali SpA		7,293		113,219
Atlantia SpA		2,184		36,265
Autogrill SpA		1,200		12,668
Banca Carige SpA		3,770		4,948
Banca Monte dei Paschi di Siena SpA		33,709		14,211
Banco Popolare Societa Cooperative		7,862		14,910
Enel Green Power SpA		8,768		16,664
Enel SpA		42,514		153,774
ENI SpA		15,388		361,001
Exor SpA		457		11,538
Fiat Industrial SpA*		4,305		45,933
Fiat SpA		5,103		30,000
Finmeccanica SpA		2,436		13,191
Intesa Sanpaolo SpA		63,856		114,462
Intesa Sanpaolo SpA, RSP		5,114		7,891
Luxottica Group SpA		649		23,500
Mediaset SpA		4,492		12,389
Mediobanco SpA		2,550		14,978
Pirelli & C SpA		1,674		19,915
Prysmian SpA		913		16,049
Saipem SpA		1,703		87,968
Snam Rete Gas SpA		10,185		48,983
Telecom Italia SpA		58,827		69,945
Telecom Italia SpA, RSP		37,646		37,004
Terna Rete Elettrica Nasionale SpA		8,545		34,349
Unicredit SpA		25,652		128,501
Unione di Banche Italiane ScpA		6,094		25,829

				1,471,381

Japan — 20.9%
Advantest Corp.		1,200		18,905
Aeon Co., Ltd.*		4,100		53,894
Aeon Credit Service Co. Ltd.		700		11,011
Aeon Mall Co., Ltd.		500		11,617
Air Water, Inc.		1,000		12,903
Aisin Seiki Co., Ltd.		1,200		42,131
Ajinomoto Co., Inc.		4,000		50,163
Alfresa Holdings Corp.		200		9,508
All Nippon Airways Co., Ltd.		5,000		15,102
Amada Co., Ltd.		3,000		20,225
Aozora Bank Ltd.*		5,000		14,438
Asahi Breweries Ltd.		2,700		59,793
Asahi Glass Co., Ltd.		7,000		59,369
Asahi Kasei Corp.		8,000		49,390
ASICS Corp.		1,000		11,308
Astellas Pharma, Inc.		2,800		115,018
Benesse Corp.		400		19,935
Bridgestone Corp.		4,200		101,791
Brother Industries Ltd.		1,500		20,333
Canon, Inc.		7,200		340,123
Casio Computer Co., Ltd.		1,500		10,710
Central Japan Railway Co.		9		74,157
Chiyoda Corp.		2,000		25,396
Chubu Electric Power Co., Inc.		4,400		79,420
Chugai Pharmaceutical Co., Ltd.		1,800		33,186
Citizen Holdings Co., Ltd.		800		5,065


	Number of Shares		Value†

Japan — (continued)
Cosmo Oil Co., Ltd.		6,000	$	16,673
Credit Saison Co., Ltd.		1,000		20,237
Dai Nippon Printing Co., Ltd.		3,000		30,663
Daicel Chemical Industries Ltd.		2,000		12,879
Daido Steel Co., Ltd.		2,000		13,846
Daihatsu Motor Co., Ltd.		1,000		18,316
Daiichi Sankyo Co., Ltd.		4,300		78,342
Daikin Industries Ltd.		1,300		35,386
Dainippon Sumitomo Pharma Co., Ltd.		1,400		14,834
Daito Trust Construction Co., Ltd.		400		35,907
Daiwa House Industry Co., Ltd.		3,000		39,652
Daiwa Securities Group, Inc.		11,000		43,458
Dena Co., Ltd.		700		19,392
Denki Kagaku Kogyo KK		4,000		15,996
Denso Corp.		3,300		110,239
Dentsu, Inc.		1,300		41,401
East Japan Railway Co.		2,200		138,480
Eisai Co., Ltd.		1,600		63,598
Electric Power Development Co., Ltd.		500		13,556
FamilyMart Co., Ltd.		500		21,143
Fanuc Ltd.		1,200		212,831
Fast Retailing Co., Ltd.		400		91,144
Fuji Electric Holdings Co., Ltd.		4,000		10,535
Fuji Heavy Industries Ltd.		4,000		32,137
FUJIFILM Holdings Corp.		2,800		65,661
Fujitsu Ltd.		12,000		63,211
Fukuoka Financial Group, Inc.		6,000		26,604
Furukawa Electric Co., Ltd.		4,000		10,632
Gree, Inc.		800		20,191
GS Yuasa Corp.		2,000		10,970
Gunma Bank Ltd.		3,000		16,057
Hakuhodo Dy Holdings, Inc.		250		15,706
Hamamatsu Photonics KK		500		18,878
Hino Motors Ltd.		3,000		21,675
Hirose Electric Co., Ltd.		300		31,497
Hitachi Chemical Co., Ltd.		1,000		18,002
Hitachi Construction Machinery Co., Ltd.		1,000		22,122
Hitachi High-Technologies Corp.		500		11,931
Hitachi Ltd.		29,000		186,046
Hitachi Metals Ltd.		1,000		12,420
Hitamitsu Pharmaceutical Co., Ltd.		400		18,968
Hokkaido Electric Power Co., Inc.		900		13,211
Hokuhoku Financial Group, Inc.		9,000		17,180
Hokuriku Electric Power Co.		1,200		21,689
Honda Motor Co., Ltd.		10,400		395,167
Hoya Corp.		2,900		65,134
IBIDEN Co., Ltd.		500		12,788
Idemitsu Kosan Co., Ltd.		100		9,967
IHI Corp.		9,000		22,726
INPEX Holdings, Inc.		15		101,305
Isetan Mitsukoshi Holdings Ltd.		2,500		29,358
Isuzu Motors Ltd.		8,000		46,877
ITOCHU Corp.		9,300		101,461
Itochu Technology Solutions Corp.		300		13,429
J. Front Retailing Co., Ltd.		4,000		22,327
Japan Petroleum Exploration Co.		300		13,972


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
Japan Prime Realty Investment Corp.		5	$	14,371
Japan Real Estate Investment Corp.		3		26,423
Japan Retail Fund Investment Corp.		10		14,848
Japan Tobacco, Inc.		29		163,272
JFE Holdings, Inc.		2,900		62,296
JGC Corp.		2,000		61,979
Joyo Bank Ltd.		4,000		18,316
JS Group Corp.		1,800		37,688
JSR Corp.		900		18,115
JTEKT Corp.		1,500		17,959
Jupiter Telecommunications Co., Ltd.		12		12,019
JX Holdings, Inc.		13,890		86,089
Kajima Corp.		7,000		21,312
Kamigumi Co., Ltd.		1,000		8,276
Kaneka Corp.		2,000		12,058
Kansai Paint Co., Ltd.		2,000		20,176
Kao Corp.		3,200		83,972
Kawasaki Heavy Industries Ltd.		7,000		21,397
Kawasaki Kisen Kaisha Ltd.*		4,000		8,795
KDDI Corp.		19		123,040
Keihin Electric Express Railway Co., Ltd.		4,000		34,989
Keio Corp.		3,000		21,493
Keisei Electric Railway Co., Ltd.		1,000		7,732
Keyence Corp.*		341		80,172
Kikkoman Corp.		1,000		11,562
Kinden Corp.		1,000		7,720
Kintetsu Corp.		9,000		34,252
Kirin Holdings Co., Ltd.		5,000		64,697
Kobe Steel Ltd.*		18,000		29,141
Koito Manufacturing Co. Ltd.		1,000		16,177
Komatsu Ltd.		6,200		176,704
Konami Corp.		600		17,006
Konica Minolta Holdings, Inc.		3,000		26,205
Kubota Corp.		7,000		67,235
Kuraray Co., Ltd.		2,400		33,954
Kurita Water Industries Ltd.		800		19,601
Kyocera Corp.		1,100		100,737
Kyowa Hakko Kirin Co., Ltd.		2,000		22,230
Kyushu Electric Power Co., Inc.		2,800		39,884
Lawson, Inc.		400		25,178
Makita Corp.		700		28,078
Marubeni Corp.		11,000		79,340
Marui Group Co., Ltd.		600		5,002
Maruichi Steel Tube Ltd.		300		7,003
Mazda Motor Corp.*		7,000		12,263
McDonald’s Holdings Co. (Japan), Ltd.		700		18,572
Medipal Holdings Corp.		1,000		12,952
MEIJI Holdings Co., Ltd.		500		21,838
Miraca Holdings, Inc.		400		15,610
Mitsubishi Chemical Holdings Corp.		9,500		50,731
Mitsubishi Corp.		9,300		215,730
Mitsubishi Electric Corp.		12,000		106,125
Mitsubishi Estate Co., Ltd.		8,000		142,660
Mitsubishi Gas Chemical Co., Inc.		3,000		20,043
Mitsubishi Heavy Industries Ltd.		21,000		101,740
Mitsubishi Logistics Corp		1,000		11,804


	Number of Shares		Value†

Japan — (continued)
Mitsubishi Materials Corp.		7,000	$	22,158
Mitsubishi Motors Corp.*		21,000		23,849
Mitsubishi Tanabe Pharma Corp.		1,000		14,027
Mitsubishi UFJ Financial Group, Inc.		82,600		411,154
Mitsubishi UFJ Lease & Finance Co., Ltd.		460		20,230
Mitsui & Co., Ltd.		11,600		190,180
Mitsui Chemicals, Inc.		5,000		15,162
Mitsui Fudosan Co., Ltd.		5,000		95,626
Mitsui OSK Lines Ltd.		6,000		26,096
Mizuho Financial Group, Inc.		151,280		246,742
MS&AD Insurance Group Holdings, Inc.		3,490		71,638
Murata Manufacturing Co., Ltd.		1,200		71,113
Nabtesco Corp.		700		14,360
Namco Bandai Holdings, Inc.		1,700		24,523
NEC Corp.*		18,000		37,622
NGK Insulators Ltd.		2,000		28,537
NGK Spark Plug Co., Ltd.		1,000		14,268
NHK Spring Co., Ltd.		1,200		12,903
Nidec Corp.		700		63,767
Nikon Corp.		2,300		69,803
Nintendo Co., Ltd.		600		90,250
Nippon Building Fund, Inc.		4		37,985
Nippon Electric Glass Co., Ltd.		2,000		17,373
Nippon Express Co., Ltd.		5,000		19,512
Nippon Meat Packers, Inc.		1,000		12,698
Nippon Paper Group, Inc.		800		16,653
Nippon Sheet Glass Co., Ltd.		7,000		10,741
Nippon Steel Corp.		33,000		90,504
Nippon Telegraph & Telephone Corp.		3,100		140,637
Nippon Yusen K.K.		8,000		25,130
Nissan Motor Co., Ltd.		15,500		164,981
Nisshin Seifun Group, Inc.		1,500		18,141
Nisshin Steel Co., Ltd.		2,000		3,359
Nissin Food Products Co., Ltd.		200		7,479
Nitori Holdings Co., Ltd.		300		27,111
Nitto Denko Corp.		900		36,263
NKSJ Holdings, Inc.		2,625		58,672
NOK Corp.		1,000		21,747
Nomura Holdings, Inc.		24,900		110,105
Nomura Real Estate Holdings, Inc.		1,000		17,627
Nomura Real Estate Office Fund, Inc.		2		11,900
Nomura Research Institute Ltd.		1,000		24,804
NSK Ltd.		3,000		23,088
NTN Corp.		4,000		16,914
NTT Data Corp.		6		21,087
NTT DoCoMo, Inc.		99		164,342
Obayashi Corp.		4,000		17,446
Odakyu Electric Railway Co., Ltd.		4,000		37,791
Oji Paper Co., Ltd.		6,000		28,996
Olympus Corp.*		1,500		24,538
Omron Corp.		1,000		21,505
Ono Pharmaceutical Co., Ltd.		600		33,418
Oracle Corp. Japan		200		7,599
Oriental Land Co., Ltd.		300		32,149
ORIX Corp.		680		64,903
Osaka Gas Co., Ltd.		12,000		48,133


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
Otsuka Corp.		100	$	8,131
Otsuka Holdings Co., Ltd.		1,700		50,320
Panasonic Corp.		13,800		126,879
Rakuten, Inc.*		46		48,184
Resona Holdings, Inc.		12,500		57,539
Ricoh Co., Ltd.		5,000		48,629
Rinnai Corp.		300		21,602
Rohm Co., Ltd.		500		24,677
Sankyo Co., Ltd.		400		19,621
Sanrio Co., Ltd.		300		11,707
Santen Pharmaceutical Co., Ltd.		600		25,625
SBI Holdings, Inc.		101		9,530
Secom Co., Ltd.		1,400		68,503
Sega Sammy Holdings, Inc.		1,200		25,140
Seiko Epson Corp.		800		11,212
Sekisui Chemical Co., Ltd.		3,000		26,024
Sekisui House Ltd.		3,000		29,395
Seven & I Holdings Co., Ltd.		4,900		145,514
Seven Bank Ltd.		5,300		11,590
Sharp Corp.		7,000		51,081
Shikoku Electric Power Co., Inc.		1,300		36,643
Shimadzu Corp.		1,000		9,025
Shimamura Co., Ltd.		200		22,375
Shimano, Inc.		500		30,114
Shimizu Corp.		5,000		20,056
Shin-Etsu Chemical Co., Ltd.		2,800		161,701
Shinsei Bank Ltd.		9,000		11,743
Shionogi & Co., Ltd.		1,800		24,879
Shiseido Co., Ltd.		2,400		41,406
Showa Denko K.K.		9,000		20,442
Showa Shell Sekiyu K.K.		500		3,190
SMC Corp.		400		63,598
Softbank Corp.		5,900		174,427
Sojitz Corp.		9,400		16,808
Sony Corp.		6,300		129,699
Sony Financial Holdings, Inc.		1,200		21,312
Square Enix Holdings Co., Ltd.		1,000		20,998
Stanley Electric Co., Ltd.		1,300		20,654
SUMCO Corp.*		1,000		12,166
Sumitomo Chemical Co., Ltd.		9,000		38,275
Sumitomo Corp.		7,500		108,373
Sumitomo Electric Industries Ltd.		4,700		64,336
Sumitomo Heavy Industries Ltd.		3,000		16,673
Sumitomo Metal Industries Ltd.		22,000		44,388
Sumitomo Metal Mining Co., Ltd.		3,000		42,153
Sumitomo Mitsui Financial Group, Inc.		8,500		279,636
Sumitomo Mitsui Trust Holdings, Inc.		20,430		65,163
Sumitomo Realty & Development Co., Ltd.		2,000		48,206
Sumitomo Rubber Industries Ltd.		1,200		15,933
Suruga Bank Ltd.		1,000		10,209
Suzuken Co., Ltd.		400		12,333
Suzuki Motor Corp.		2,100		50,159
Sysmex Corp.		400		16,141
T&D Holdings, Inc.		3,900		45,187
Taisei Corp.		8,000		20,877
Taisho Pharmaceutical Holdings Co., Ltd.		300		24,320


	Number of Shares		Value†

Japan — (continued)
Taiyo Nippon Sanso Corp.		1,000	$	7,056
Takashimaya Co., Ltd.		1,000		8,300
Takeda Pharmaceutical Co., Ltd.		5,200		228,996
TDK Corp.		900		50,997
Teijin Ltd.		6,000		20,152
Terumo Corp.		1,100		52,561
The Bank of Kyoto Ltd.		3,000		27,220
The Bank of Yokohama Ltd.		7,000		35,013
The Chiba Bank Ltd.		4,000		25,516
The Chugoku Bank Ltd.		1,000		13,519
The Chugoku Electric Power Co., Inc.		2,100		38,996
The Dai-ichi Life Insurance Co., Ltd.		54		74,571
The Hachijuni Bank Ltd.		4,000		23,583
The Hiroshima Bank Ltd.		5,000		22,834
The Iyo Bank Ltd.		1,000		8,856
The Japan Steel Works Ltd.		2,000		13,701
The Kansai Electric Power Co., Inc.		4,800		74,346
The Nishi-Nippon City Bank Ltd.		7,000		19,790
The Shizuoka Bank Ltd.		4,000		41,174
THK Co., Ltd.		1,000		20,333
Tobu Railway Co., Ltd.		7,000		37,127
Toho Co., Ltd.		900		16,517
Toho Gas Co., Ltd.		3,000		17,688
Tohoku Electric Power Co., Inc.*		2,500		28,513
Tokio Marine Holdings, Inc.		4,600		126,212
Tokyo Electric Power Co., Inc.*		7,100		17,842
Tokyo Electron Ltd.		1,100		62,927
Tokyo Gas Co., Ltd.		16,000		75,390
Tokyu Corp.		8,000		37,985
Tokyu Land Corp.		3,000		14,679
TonenGeneral Sekiyu K.K.		2,000		18,412
Toppan Printing Co., Ltd.		4,000		31,219
Toray Industries, Inc.		9,000		66,763
Toshiba Corp.		27,000		118,739
Tosoh Corp.		6,000		16,673
TOTO Ltd.		2,000		15,054
Toyo Seikan Kaisha Ltd.		1,000		14,341
Toyo Suisan Kaisha Ltd.		1,000		25,964
Toyoda Gosei Co., Ltd.		400		7,785
Toyota Industries Corp.		1,200		36,187
Toyota Motor Corp.		18,000		776,368
Toyota Tsusho Corp.		1,100		22,393
Trend Micro, Inc.*		500		15,362
Tsumura & Co.		200		5,777
Ube Industries Ltd.		7,000		19,029
Unicharm Corp.		800		42,238
Ushio, Inc.		700		9,836
USS Co., Ltd.		110		11,150
West Japan Railway Co.		1,000		40,172
Yahoo! Japan Corp.		106		34,296
Yakult Honsha Co., Ltd.		600		20,623
Yamada Denki Co., Ltd.		540		33,730
Yamaguchi Financial Group, Inc.		1,000		9,085
Yamaha Corp.		300		3,110
Yamaha Motor Co., Ltd.		1,400		18,758
Yamato Holdings Co., Ltd.		2,800		43,267


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
Yamato Kogyo Co., Ltd.		300	$	8,753
Yamazaki Baking Co., Ltd.		1,000		14,329
Yaskawa Electric Corp.		2,000		18,799
Yokogawa Electric Corp.*		2,000		20,225

				14,675,930

Jersey — 0.1%
Randgold Resources Ltd.		592		50,848

Luxembourg — 0.4%
ArcelorMittal		5,612		107,257
Millicom International Cellular S.A.		489		55,435
SES S.A.		2,033		50,446
Tenaris S.A.		2,739		52,238

				265,376

Mexico — 0.0%
Fresnillo Plc		1,200		30,672

Netherlands — 4.6%
Aegon N.V.*		11,172		62,044
Akzo Nobel N.V.		1,485		87,679
ASML Holding N.V.		2,806		140,264
Corio N.V.		288		15,191
Delta Lloyd NV		772		13,570
European Aeronautic Defence & Sapce Co. N.V.		2,566		105,081
Fugro N.V.		490		34,911
Heineken Holdings N.V.		748		35,016
Heineken N.V.		1,679		93,323
ING Groep N.V.*		25,387		211,516
Koninklijke Ahold N.V.		7,594		105,232
Koninklijke Boskalis Westminster N.V.		430		16,152
Koninklijke DSM N.V.		913		52,829
Koninklijke KPN N.V.		9,600		105,604
Koninklijke Philips Electronics N.V.		6,613		134,061
Koninklijke Vopak N.V.		370		21,316
QIAGEN N.V.*		1,189		18,514
Randstad Holding N.V.		866		32,675
Reed Elsevier N.V.		4,449		56,821
Royal Dutch Shell Plc, A Shares		23,885		834,179
Royal Dutch Shell Plc, B Shares		17,752		624,529
SBM Offshore N.V.		1,230		25,140
TNT Express N.V.		1,885		23,280
Unilever N.V.		10,369		352,852
Wolters Kluwer N.V.		2,123		40,207

				3,241,986

New Zealand — 0.1%
Auckland International Airport Ltd.		6,300		12,690
Contact Energy Ltd.*		2,919		11,305
Fletcher Building Ltd.		3,352		18,499
Sky City Entertainment Group Ltd.		4,623		14,914
Telecom Corp. of New Zealand Ltd.		13,015		25,842

				83,250

Norway — 0.8%
Aker Solutions ASA		800		13,535
DnB NOR ASA		6,092		78,306


	Number of Shares		Value†

Norway — (continued)
Gjensidige Forsikring ASA		1,418	$	16,745
Norsk Hydro ASA		6,555		35,695
Orkla ASA		5,338		42,237
StatoilHydro ASA		7,235		196,415
Telenor ASA		4,615		85,578
Yara International ASA		1,267		60,427

				528,938

Portugal — 0.2%
Banco Espirito Santo S.A.		3,884		7,097
Cimentos de Portugal, SGPS S.A.		2,109		14,064
Energias de Portugal S.A.		12,468		36,267
Galp Energia SGPS, S.A., B Shares		1,326		21,823
Jeronimo Martins SGPS S.A.*		1,200		24,447
Portugal Telecom SGPS, S.A.		4,543		24,715

				128,413

Singapore — 1.6%
Ascendas Real Estate Investment Trust		15,000		24,104
CapitaLand Ltd.		14,000		34,748
Capitamall Trust Management Ltd.		14,700		21,108
CapitaMalls Asia Ltd.		7,000		9,105
City Developments Ltd.		3,000		27,087
ComfortDelGro Corp. Ltd.		14,000		17,374
DBS Group Holdings Ltd.		11,107		125,291
Fraser & Neave Ltd.		5,000		26,650
Global Logistic Properties Ltd.*		15,000		26,252
Golden Agri-Resources Ltd.		42,000		26,228
Hutchison Port Holdings Trust		26,100		19,967
Jardine Cycle & Carriage Ltd.		1,000		38,415
Keppel Corp. Ltd.		8,600		75,187
Keppel Land Ltd.		5,110		14,106
Olam International Ltd.		10,179		19,110
Oversea-Chinese Banking Corp. Ltd.		16,133		114,479
SembCorp Industries Ltd.		6,000		25,202
SembCorp Marine Ltd.		7,000		29,402
Singapore Airlines Ltd.		4,000		34,271
Singapore Exchange Ltd.		5,000		27,604
Singapore Press Holdings Ltd.		11,000		34,303
Singapore Technologies Engineering Ltd.		7,000		18,098
Singapore Telecommunications Ltd.		51,000		127,799
Starhub, Ltd.		5,000		12,330
United Overseas Bank Ltd.		8,345		121,818
Uol Group Ltd.		4,000		15,083
Wilmar International Ltd.		13,000		50,674

				1,115,795

Spain — 2.8%
Abertis Infraestructuras S.A.		2,542		43,277
Acciona S.A.		126		8,799
Acerinox S.A.		263		3,380
ACS Actividades de Construccion y Servicios S.A.		740		18,939
Amadeus IT Holding S.A.		2,087		39,386
Banco Bilbao Vizcaya Argentaria, Chile S.A.		30,277		240,951
Banco de Sabadell S.A.		13,152		35,819
Banco Popular Espanol S.A.		6,876		24,669
Banco Santander S.A.		55,104		424,052


	Number of Shares		Value†
COMMON STOCKS — (continued)
Spain — (continued)
Bankia S.A.*		4,904	$	17,764
Bankinter S.A.		595		3,121
Criteria CaixaCorp S.A.		6,815		26,531
Distribuidora Internacional de Alimentacion S.A.*		3,038		15,061
EDP Renovaveis S.A.*		873		4,338
Enagas S.A.		1,161		22,344
Ferrovial S.A.		1,969		22,631
Fomento de Construcciones y Contratas S.A.		800		17,872
Gas Natural SDG S.A.		1,984		31,700
Grifols S.A.*		1,270		27,101
Iberdrola S.A.		25,252		143,371
Inditex S.A.		1,368		131,036
Indra Sistemas S.A.		203		2,488
Mapfre S.A.		5,533		17,814
Red Electrica de Espana S.A.		686		33,569
Repson YPF S.A.		5,162		129,499
Telefonica S.A.		26,935		441,319
Zardoya Otis S.A.		1,360		17,612

				1,944,443

Spain — 0.0%
Banco Popular Espanol I - 12		89		319

Sweden — 3.0%
Alfa Laval AB		1,900		39,087
Assa Abloy AB, B Shares		2,037		63,981
Atlas Copco AB, A Shares		4,329		104,760
Atlas Copco AB, B Shares		2,290		49,360
Boliden AB		1,883		29,572
Electrolux AB, B Shares		1,462		30,916
Getinge AB, B Shares		1,453		41,377
Hennes & Mauritz AB, B Shares		6,783		245,450
Hexagon AB, B Shares*		1,466		28,452
Holmen AB		500		13,732
Husqvarna AB, B Shares		2,834		17,096
Industrivarden AB		1,227		18,231
Investor AB, B Shares		3,046		67,543
Kinnevik Investment AB, B Shares		1,200		27,915
Lundin Petroleum AB*		1,393		29,857
Modern Times Group AB, B Shares		200		11,016
Nordea Bank AB		17,075		155,244
Ratos AB, B Shares		1,400		19,437
Sandvik AB		6,508		93,944
Scania AB, B Shares		1,700		35,358
Securitas AB, B Shares		1,984		19,133
Skandinaviska Enskilda Banken AB, A Shares		9,468		67,263
Skanska AB, B Shares		2,722		47,192
SKF AB, B Shares		2,481		60,564
Ssab Svenskt Stal AB, A Shares		1,400		13,236
Svenska Cellulosa AB, B Shares		3,340		57,856
Svenska Handelsbanken AB, A Shares		3,276		104,433
Swedbank AB, A Shares		5,589		86,845
Swedish Match AB		1,200		47,777
Tele2 AB, B Shares		2,200		44,893
Telefonaktiebolaget LM Ericsson, B Shares		20,085		208,112


	Number of Shares		Value†

Sweden — (continued)
TeliaSonera AB		13,846	$	96,565
Volvo AB, B Shares		8,801		128,241

				2,104,438

Switzerland — 8.5%
ABB Ltd.*		14,063		288,520
Actelion Ltd.*		616		22,519
Adecco S.A.*		883		46,268
Aryzta AG*		492		24,308
Baloise Holding AG		303		24,402
Barry Callebaut AG*		11		11,022
Compagnie Financiere Richemont SA		3,375		211,615
Credit Suisse Group AG		7,594		216,455
GAM Holding Ltd.*		1,619		23,585
Geberit AG*		256		53,571
Givaudan S.A.*		52		50,116
Glencore International Plc		8,976		55,906
Holcim Ltd.*		1,558		101,658
Julius Baer Group Ltd.*		1,367		55,183
Kuehne + Nagel International AG		317		42,878
Lindt & Spruengli AG		1		37,216
Lindt & Spruengli AG, Participation Certificates		7		22,488
Lonza Group AG*		223		11,527
Nestle SA		21,487		1,352,012
Novartis AG		15,226		842,684
Pargesa Holding S.A.		223		16,033
Partners Group Holding AG		84		16,387
Roche Holding AG		4,586		798,117
Schindler Holding AG		145		17,332
Schindler Holding AG, Participation Certificates		341		41,024
SGS S.A.		35		68,085
Sika AG		15		32,469
Sonova Holding AG*		319		35,444
STMicroelectronics N.V.		3,129		25,569
Straumann Holding AG*		19		3,233
Sulzer AG		151		21,462
Swiss Life Holding AG*		175		20,821
Swiss Re Ltd.*		2,232		142,544
Swisscom AG		152		61,443
Syngenta AG*		630		217,817
The Swatch Group AG		204		93,898
The Swatch Group AG, Registered Shares		282		22,664
UBS AG*		23,334		326,991
Xstrata Plc		13,152		224,670
Zurich Financial Services AG*		966		259,612

				5,939,548

United Kingdom — 18.9%
3i Group Plc		4,517		15,461
Admiral Group Plc		1,092		20,733
Aggreko Plc		1,801		64,815
AMEC Plc		1,738		30,801
Anglo American Plc		8,474		316,758
Antofagasta Plc		2,513		46,305
ARM Holdings Plc		8,680		82,191
Associated British Foods Plc		2,553		49,819


	Number of Shares		Value†
COMMON STOCKS — (continued)
United Kingdom — (continued)
AstraZeneca Plc		8,826	$	392,314
Aviva Plc		19,465		103,209
Babcock International Group Plc		1,997		25,442
BAE Systems Plc		21,719		104,183
Balfour Beatty Plc		4,201		19,184
Barclays Plc		77,421		291,319
BG Group Plc		22,209		514,374
BHP Billiton Plc		13,576		414,207
BP Plc		124,789		923,243
British American Tobacco Plc		12,927		651,416
British Land Co. Plc		4,853		37,251
British Sky Broadcasting Group Plc		7,355		79,526
BT Group Plc		50,318		182,214
Bunzl Plc		1,830		29,388
Burberry Group Plc		2,636		63,117
Carnival Plc		1,274		40,714
Centrica Plc		33,554		169,809
Cobham Plc		8,466		31,023
Compass Group Plc		12,038		126,214
Diageo Plc		15,942		383,123
Essar Energy Plc*		1,915		4,757
Eurasian Natural Resources Corp.		1,476		13,988
G4S Plc		8,409		36,652
GKN Plc		10,137		33,417
GlaxoSmithKline Plc		33,140		740,243
Hammerson Plc		5,215		34,667
HSBC Holdings Plc		116,311		1,032,139
ICAP Plc		3,290		20,670
Imperial Tobacco Group Plc		6,709		272,030
Inmarsat Plc		3,494		25,724
Intercontinental Hotels Group Plc		2,014		46,806
International Consolidated Airlines Group SA*		3,469		9,989
International Consolidated Airlines Group SA*		2,764		7,909
International Power Plc		10,295		66,690
Intertek Group Plc		932		37,432
Invensys Plc		4,412		14,043
Investec Plc		2,501		15,293
ITV Plc		22,089		31,215
J. Sainsbury Plc		6,914		34,426
Johnson Matthey Plc		1,505		56,787
Kazakhmys Plc		1,454		21,117
Kingfisher Plc		14,448		70,877
Land Securities Group Plc		4,898		56,603
Legal & General Group Plc		37,514		78,424
Liberty International Plc		3,734		19,793
Lloyds Banking Group Plc*		272,213		146,317
London Stock Exchange Group Plc		1,386		22,923
Lonmin Plc		1,129		18,456
Man Group Plc		8,839		19,058
Marks & Spencer Group Plc		10,596		64,234
Meggitt Plc		4,864		31,423
National Grid Plc		23,044		232,393
Next Plc		1,167		55,681
Old Mutual Plc		35,151		89,171


	Number of Shares		Value†

United Kingdom — (continued)
Pearson Plc		5,413	$	100,866
Petrofac Ltd.		1,394		38,797
Prudential Plc		16,544		197,803
Reckitt Benckiser Group Plc		4,015		226,887
Reed Elsevier Plc		8,010		71,106
Rexam Plc		6,154		42,139
Rio Tinto Plc		9,033		497,884
Rolls-Royce Holdings Plc*		11,865		154,101
Royal Bank of Scotland Group Plc*		112,604		49,782
RSA Insurance Group Plc		25,854		43,255
SABMiller Plc		6,315		253,479
Schroders Plc		460		11,625
Scottish & Southern Energy Plc		6,263		133,134
Segro Plc		3,302		12,401
Serco Group Plc		3,127		27,134
Severn Trent Plc		1,688		41,687
Smith & Nephew Plc		5,964		60,432
Smiths Group Plc		2,700		45,432
Standard Chartered Plc		15,226		379,919
Standard Life Plc		15,971		58,678
Subsea 7 SA*		1,946		51,531
Tate & Lyle Plc		2,925		32,983
Tesco Plc		51,317		270,867
The Capita Group Plc		4,147		48,587
The Sage Group Plc		9,331		44,655
The Weir Group Plc		1,436		40,517
TUI Travel Plc		1,257		3,947
Tullow Oil Plc		5,873		143,443
Unilever Plc		8,563		282,694
United Utilities Group Plc		4,841		46,575
Vedanta Resources Plc		511		10,037
Vodafone Group Plc		325,933		897,723
Whitbread Plc		1,256		37,045
WM Morrison Supermarkets Plc		14,652		69,838
Wolseley Plc		2,000		76,264
WPP Group Plc		8,141		111,268

				13,284,015

United States — 0.3%
Synthes, Inc.		416		72,167
Transocean Ltd.		2,097		114,706

				186,873

TOTAL COMMON STOCKS (Cost $64,521,465)				67,536,074

PREFERRED STOCKS — 0.5%
Germany — 0.5%
Bayerische Motoren Werke AG		500		29,698
Henkel AG & Co. KGaA		1,172		85,877
Porsche Automobil Holding SE		1,202		70,938
ProSiebenSat.1 Media AG		587		15,086
RWE AG NV		206		9,057
Volkswagen AG		912		160,375

TOTAL PREFERRED STOCKS (Cost $297,196)				371,031


	Number of Shares		Value†
WARRANTS — 0.0%
Belgium — 0.0%
Anheuser-Busch InBev N.V.* (Cost $0)		256	$	1

SHORT-TERM INVESTMENTS — 3.1%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,193,751)		2,193,751		2,193,751

TOTAL INVESTMENTS — 100.0% (Cost $67,012,412)(a)			$	70,100,857

†	See Security Valuation Note.

~	Fair valued security. The total market value of fair valued securities at March 31, 2012 is $0.

*	Non-income producing security.

§	Restricted security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $67,235,029. Net unrealized appreciation was $2,865,828. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $8,919,019 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $5,953,191.

ADR — American Depository Receipt.

LP — Limited Partnership.

NVDR — Non Voting Depositary Receipt.

Plc — Public Limited Company.

PPS — Partially Protected Shares.


COMMON STOCKS INDUSTRY DIVERSIFICATION	% of Market Value		Value†
Advertising		0.2%	$	118,945
Aerospace & Defense		0.5%		359,095
Agriculture		1.8%		1,211,397
Airlines		0.2%		117,400
Apparel		0.4%		249,176
Auto Manufacturers		3.6%		2,454,131
Auto Parts & Equipment		1.0%		707,775
Banks		13.3%		8,982,933
Beverages		2.3%		1,531,355
Biotechnology		0.2%		165,631
Building Materials		1.2%		776,863
Chemicals		3.9%		2,642,000
Commercial Services		1.5%		1,001,527
Computers		0.4%		236,054
Cosmetics & Personal Care		0.6%		393,575
Distribution & Wholesale		1.4%		936,164
Diversified		—%		24,104
Diversified Financial Services		1.1%		757,097
Diversified Operations		0.2%		161,797
Electric		3.2%		2,177,461
Electrical Components & Equipment		1.1%		711,332


Electronics	1.2%		796,085
Energy-Alternate Sources	—%	$	30,220
Engineering & Construction	1.4%		978,615
Entertainment	0.2%		143,549
Environmental Control	—%		19,601
Food	5.5%		3,690,762
Food Service	0.2%		126,214
Forest Products & Paper	0.3%		187,610
Gas	0.7%		491,514
Hand & Machine Tools	0.4%		274,844
Healthcare Products	0.9%		592,540
Healthcare Services	0.2%		149,527
Holding Companies	1.0%		668,477
Home Builders	0.1%		95,071
Home Furnishings	0.5%		338,575
Hotels & Resorts	0.1%		80,195
Household Products & Wares	0.5%		314,510
Industrial	0.2%		154,101
Insurance	4.8%		3,235,070
Internet	0.2%		168,262
Investment Companies	0.3%		224,734
Iron & Steel	0.8%		525,484
Leisure Time	0.2%		121,783
Lodging	0.4%		281,048
Machinery - Construction & Mining	0.5%		352,946
Machinery - Diversified	1.2%		792,127
Media	1.2%		814,435
Metal Fabricate/Hardware	0.5%		339,729
Mining	4.7%		3,146,290
Miscellaneous Manufacturing	1.3%		894,683
Mixed Industrial/Office	0.6%		402,979
Office & Business Equipment	0.6%		417,843
Oil & Gas	8.0%		5,382,278
Oil & Gas Services	0.5%		327,449
Packaging and Containers	0.2%		113,132
Pharmaceuticals	7.6%		5,127,862
Real Estate	1.5%		1,037,338
Real Estate Investment Trusts	0.5%		306,466
Retail	2.6%		1,778,911
Semiconductors	0.7%		443,011
Shipbuilding	0.1%		49,504
Software	0.9%		596,635
Storage & Warehousing	—%		11,804
Strip Centers	0.3%		196,700
Telecommunications	6.0%		4,028,721
Textiles	0.2%		120,869
Toys, Games & Hobbies	0.2%		126,480
Transportation	1.6%		1,101,556
Unknown	0.1%		60,974
Venture Capital	—%		15,461
Water	0.2%		145,688


	100.0%	$	67,536,074

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012		Level 1 Quoted Price		Level 2 Signi- ficant Obser- vable Input		Level 3 Signi- ficant Unobser- vable Input
COMMON STOCKS
Australia	$	5,716,218	$	5,716,218	$	—	$	—
Austria		167,730		167,730		—		—
Belgium		689,937		689,937		—		—
Bermuda		74,497		74,497		—		—
China		90,051		90,051		—		—
Denmark		757,764		757,764		—		—
Finland		609,573		609,573		—		—
France		5,935,963		5,935,963		—		—
Germany		5,500,045		5,500,045		—		—
Greece		57,560		57,560		—		—
Guernsey		35,881		35,881		—		—
Hong Kong		1,981,215		1,981,215		—		—
Ireland		431,933		431,933		—		—
Israel		435,482		435,482		—		—
Italy		1,471,381		1,471,381		—		—
Japan		14,675,930		14,675,930		—		—
Jersey		50,848		50,848		—		—
Luxembourg		265,376		265,376		—		—
Mexico		30,672		30,672		—		—
Netherlands		3,241,986		3,241,986		—		—
New Zealand		83,250		83,250		—		—
Norway		528,938		528,938		—		—
Portugal		128,413		128,413		—		—
Singapore		1,115,795		1,115,795		—		—
Spain		1,944,762		1,944,443		319		—
Sweden		2,104,438		2,104,438		—		—
Switzerland		5,939,548		5,939,548		—		—
United Kingdom		13,284,015		13,284,015		—		—
United States		186,873		186,873		—		—
PREFERRED STOCKS		371,031		371,031		—		—
SHORT-TERM INVESTMENTS		2,193,751		2,193,751		—		—
WARRANTS		1		—		1		—

TOTAL INVESTMENTS		70,100,857		70,100,537		320		—

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


	Investments in Securities (Market Value)
Balance as of 12/31/2011	$	1,210
Sales		(1,200	)
Realized Gain (Loss)		(39	)
Change in Appreciation (Depreciation)		29

Balance as of 3/31/2012		—

It is the Fund’s policy to recognize transfers in and transfers in and transfers out at the fair value as of the beginning of period.

$51,455,652 was transferred from Level 2 into Level 1 at 3/31/12 as the Fund utilized third-party vendor modeling tools to reflect any significant market movements between the time at which the Fund valued its securities and the earlier closing of foreign markets. The Fund did not have any transfers in and transfers out of level 3 fair value hierarchy during the reporting period.


	Number of Shares		Value†
COMMON STOCKS — 98.0%
Australia — 3.1%
Coca-Cola Amatil Ltd.		453,433	$	5,857,021
Newcrest Mining Ltd.		152,147		4,677,615

				10,534,636

Belgium — 2.6%
Anheuser-Busch InBev NV		120,244		8,785,082

Brazil — 6.0%
AES Tiete S.A. (Preference)		179,519		2,724,082
CETIP S.A. - Balcao Organizado de Ativos e Derivativos		162,643		2,690,744
CIA de Bebidas das Americas ADR		53,910		2,227,561
CIA Energetica de Minas Gerais		129,569		3,081,151
CPFL Energia SA		38,259		574,687
Redecard SA		174,095		3,380,902
Souza Cruz SA		377,248		5,745,156

				20,424,283

Canada — 6.8%
Canadian National Railway Co.		44,119		3,506,254
Canadian Natural Resources Ltd.		90,828		3,010,451
Goldcorp, Inc.		104,189		4,696,313
Valeant Pharmaceuticals International, Inc.		221,402		11,873,069

				23,086,087

China — 2.8%
Baidu, Inc. ADR*		19,847		2,893,097
Sands China Ltd.*		1,739,522		6,798,552

				9,691,649

Colombia — 0.2%
Ecopetrol SA		9,210		562,639

Denmark — 4.1%
Novo Nordisk A/S, B Shares		99,839		13,823,036

France — 7.3%
Bureau Veritas SA		81,186		7,146,369
Cie Generale d’Optique Essilor International SA		90,156		8,035,751
Hermes International		10,484		3,532,699
Pernod-Ricard SA		57,321		5,993,633

				24,708,452

Germany — 0.8%
SAP AG		41,000		2,863,148

Hong Kong — 1.0%
L’occitane International SA		904,023		2,139,699
Wynn Macau Ltd.		444,800		1,300,225

				3,439,924

India — 9.3%
HDFC Bank Ltd.		929,495		9,484,699
HDFC Bank Ltd. ADR		10,615		361,971
Housing Development Finance Corp.		633,010		8,365,995
ITC Ltd.		1,946,174		8,667,914
Nestle India Ltd.		34,248		3,112,941
Tata Consultancy Services Ltd.		64,700		1,484,373

				31,477,893


	Number of Shares		Value†

Ireland — 1.5%
Paddy Power PLC		81,376	$	5,124,868

Japan — 3.0%
Daito Trust Construction Co., Ltd.		38,100		3,420,116
Nitori Holdings Co., Ltd.		76,200		6,886,263

				10,306,379

Mexico — 1.8%
Fresnillo Plc		166,465		4,254,816
Wal-Mart de Mexico S.A.B de C.V., Series V		578,590		1,941,477

				6,196,293

Netherlands — 7.9%
Core Laboratories N.V.		81,837		10,767,294
Royal Dutch Shell Plc		137,413		4,810,802
Unilever N.V.		334,738		11,390,976

				26,969,072

Switzerland — 8.4%
Compagnie Financiere Richemont SA		48,265		3,026,253
Kuehne + Nagel International AG		32,058		4,336,193
Lindt & Spruengli AG, Participation Certificates		1,789		5,747,314
Nestle SA		246,710		15,523,572

				28,633,332

United Kingdom — 24.1%
British American Tobacco Plc		485,177		24,448,979
Bunzl Plc		204,264		3,280,247
Diageo Plc		406,639		9,772,474
Domino’s Pizza UK & IRL Plc		575,064		3,969,892
GlaxoSmithKline Plc		107,933		2,410,883
Imperial Tobacco Group Plc		395,419		16,033,064
Reckitt Benckiser Group Plc		61,541		3,477,677
Rolls-Royce Holdings Plc*		396,099		5,144,472
SABMiller Plc		180,401		7,241,144
Tesco Plc		1,188,153		6,271,441

				82,050,273

United States — 7.3%
Philip Morris International, Inc.		278,546		24,681,961

TOTAL COMMON STOCKS (Cost $248,463,800)				333,359,007

SHORT-TERM INVESTMENTS — 2.0%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $6,965,917)		6,965,917		6,965,917

TOTAL INVESTMENTS — 100.0% (Cost $255,429,717)(a)			$	340,324,924

†	See Security Valuation Note.

*	Non-income producing security.


Country Weightings as of 03/31/2012 ††
United Kingdom	24	%
India	9
Switzerland	9
United States	9
Netherlands	8
Canada	7
France	7
Other	2 7
Total	100	%

†† % of total investments as of March 31, 2012


COMMON STOCKS INDUSTRY DIVERSIFICATION	% of Market Value		Value†
Agriculture		23.9%	$	79,577,074
Apparel		1.1%		3,532,699
Banks		3.0%		9,846,670
Beverages		12.0%		39,876,915
Commercial Services		3.1%		10,426,616
Computers		0.4%		1,484,373
Cosmetics & Personal Care		0.6%		2,139,699
Diversified Financial Services		4.3%		14,437,641
Electric		1.9%		6,379,920
Entertainment		1.5%		5,124,868
Food		12.6%		42,046,244
Healthcare Products		2.4%		8,035,751
Household Products & Wares		1.0%		3,477,677
Industrial		3.0%		9,840,785
Internet		0.9%		2,893,097
Lodging		2.4%		8,098,777
Mining		2.7%		8,932,431
Oil & Gas		2.5%		8,383,892
Oil & Gas Services		3.2%		10,767,294
Pharmaceuticals		8.4%		28,106,988
Real Estate		1.0%		3,420,116
Retail		4.8%		15,823,885
Software		0.9%		2,863,148
Transportation		2.4%		7,842,447

		100.0%	$	333,359,007

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):

ASSETS TABLE


Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
COMMON STOCKS	333,359,007	333,359,007	—	—
SHORT-TERM INVESTMENTS	6,965,917	6,965,917	—	—
TOTAL INVESTMENTS	340,324,924	340,324,924	—	—

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


	Investments in Securities (Market Value)
Balance as of 12/31/2011	$	19,721
Sales		(20,207	)
Change in Appreciation/(Depreciation)		(486	)

Balance as of 3/31/2012		—

It is the Fund’s policy to recognize transfers in and transfers in and transfers out at the fair value as of the beginning of period.

$138,434,457 was transferred from Level 2 into Level 1 at 3/31/12 as the Fund utilized third-party vendor modeling tools to reflect any significant market movements between the time at which the Fund valued its securities and the earlier closing of foreign markets. The Fund did not have any transfers in and transfers out of level 3 fair value hierarchy during the reporting period.


	Number of Shares		Value†
COMMON STOCKS — 96.8%
Brazil — 9.8%
Banco do Brasil S.A.		19,300		$ 274,151
BRF - Brasil Foods S.A.		96,200		1,899,811
BRF - Brasil Foods S.A. ADR		2,600		52,026
CIA de Bebidas das Americas ADR		52,500		2,169,300
Cielo S.A.		27,400		924,766
Itau Unibanco Holding S.A. (Preference)		13,600		260,013
Itau Unibanco Holding S.A. Preferred ADR		87,498		1,679,087
MRV Engenharia e Participacoes S.A.		54,600		386,742
PDG Realty S.A. Empreendimentos e Participacoes		202,100		696,381
Petroleo Brasileiro S.A.		22,310		295,642
Petroleo Brasileiro S.A. (Preference)		54,900		699,238
Petroleo Brasileiro S.A. ADR		37,200		988,032
Petroleo Brasileiro S.A. ADR		32,500		830,700
Ultrapar Participacoes S.A.		40,500		881,906
Vale S.A.		2,978		69,529
Vale S.A. ADR		17,600		410,608
Vale S.A. Preferred ADR		61,300		1,390,897

				13,908,829

Chile — 2.1%
Banco Santander Chile ADR		8,300		714,547
Cencosud S.A.		117,305		776,455
Empresa Nacional de Electricidad S.A.		312,130		561,853
Empresa Nacional de Electricidad S.A. ADR		1,500		80,970
S.A.C.I. Falabella		90,854		876,948

				3,010,773

China — 7.9%
China Construction Bank Corp., Class H		2,036,930		1,573,820
China Pacific Insurance Group Co. Ltd., Class H		393,000		1,217,126
China Telecom Corp. Ltd., Class H		2,480,000		1,373,245
China ZhengTong Auto Services Holdings Ltd.*		298,000		298,555
Hengan International Group Co. Ltd.		98,000		990,657
PetroChina Co. Ltd., Class H		1,116,000		1,577,954
Ping An Insurance Group Co. of China Ltd., Class H		165,000		1,247,239
Shanghai Pharmaceuticals Holding Co. Ltd., Class H*		300,700		481,706
Tencent Holdings Ltd.		74,900		2,089,142
Tsingtao Brewery Co. Ltd., Class H		44,000		237,691

				11,087,135

Cyprus — 0.4%
Eurasia Drilling Co. Ltd. GDR		17,910		493,779

Czech Republic — 0.9%
CEZ A.S.		19,900		854,973
Telefonica O2 Czech Republic A.S.		18,900		396,599

				1,251,572

Egypt — 0.5%
Commercial International Bank Egypt SAE		30,297		125,251
Juhayna Food Industries*		257,992		187,941
Telecom Egypt Co.		184,557		432,670

				745,862


	Number of Shares		Value†

Hong Kong — 3.1%
Ajisen China Holdings Ltd.		284,000		$ 373,032
Belle International Holdings Ltd.		475,000		852,676
China Mengniu Dairy Co. Ltd.		610,000		1,787,060
China Resources Enterprise Ltd.		178,000		621,179
China Resources Power Holdings Co. Ltd.		222,200		411,463
Chow Tai Fook Jewellery Group Ltd.*		247,800		392,495

				4,437,905

Hungary — 0.8%
Richter Gedeon Nyrt		6,630		1,137,152

India — 8.0%
ACC Ltd.		30,305		808,679
Asian Paints Ltd.		9,258		589,154
Dr. Reddy’s Laboratories Ltd.		26,067		902,969
Glenmark Pharmaceuticals Ltd.*		102,294		621,253
HDFC Bank Ltd.		129,552		1,321,967
HDFC Bank Ltd. ADR		3,730		127,193
IndusInd Bank Ltd.		109,946		694,163
ITC Ltd.		184,460		821,552
ITC Ltd. GDR		67,502		301,126
Jindal Steel & Power Ltd.*		47,895		512,513
Larsen & Toubro Ltd.		21,085		541,766
Reliance Industries Ltd.		27,516		405,408
Tata Consultancy Services Ltd.		35,413		812,459
Tata Motors Ltd.		237,401		1,282,650
Tata Steel Ltd.		91,371		846,094
Yes Bank Ltd.		105,100		760,838

				11,349,784

Indonesia — 5.0%
Astra International Tbk PT		162,000		1,310,138
Bank Central Asia Tbk PT		655,000		573,053
Bank Mandiri Tbk PT		1,226,500		918,802
Indofood Sukses Makmur Tbk PT		1,296,000		687,402
Indosat Tbk PT		1,356,500		749,161
Kalbe Farma Tbk PT		1,270,000		493,056
Lippo Karawaci Tbk PT		13,599,500		1,189,807
Telekomunikasi Indonesia Tbk PT		1,497,000		1,145,997

				7,067,416

Japan — 0.6%
Nexon Co. Ltd.*		51,600		898,963

Malaysia — 2.9%
AirAsia BHD		550,100		619,502
Axiata Group BHD		1,073,200		1,821,655
CIMB Group Holdings BHD		338,400		849,452
Sime Darby BHD		264,600		841,261

				4,131,870

Mexico — 3.3%
Fomento Economico Mexicano S.A.B. de C.V. ADR		21,897		1,801,466
Grupo Mexico S.A.B. de C.V., Series B		173,200		546,927
Grupo Televisa S.A. ADR		36,400		767,312
Mexichem S.A.B. de C.V.		135,000		520,213


	Number of Shares		Value†
COMMON STOCKS — (continued)
Mexico — (continued)
Wal-Mart de Mexico S.A.B de C.V., Series V		319,400	$	1,071,757

				4,707,675

Peru — 1.6%
Cia de Minas Buenaventura S.A. ADR		23,400		943,254
Credicorp Ltd.		9,510		1,253,608

				2,196,862

Philippines — 4.5%
Ayala Corp.		104,088		985,727
Metro Pacific Investments Corp.		13,503,000		1,302,024
Metropolitan Bank & Trust		800,962		1,629,534
Philippine Long Distance Telephone Co.		19,320		1,214,953
SM Investments Corp.		78,680		1,209,475

				6,341,713

Poland — 1.3%
Polskie Gomictwo Naftowe I Gazownictwo S.A.		69,315		90,082
Powszechny Zaklad Ubezpieczen S.A.		3,440		359,641
Telekomunikacja Polska S.A.		260,140		1,430,136

				1,879,859

Portugal — 1.5%
Jeronimo Martins SGPS S.A.*		102,513		2,088,433

Qatar — 0.5%
Industries Qatar QSC		18,500		713,884

Russia — 3.2%
Gazprom OAO ADR		91,011		1,120,737
Lukoil OAO ADR		38,785		2,358,128
Rosneft Oil Co. OJSC GDR		153,408		1,086,128

				4,564,993

South Africa — 3.8%
AngloGold Ashanti Ltd.		10,690		393,541
AngloGold Ashanti Ltd. ADR		3,950		145,834
AVI Ltd.		148,811		899,927
Clicks Group Ltd.		127,100		741,127
Life Healthcare Group Holdings Ltd		27,900		90,927
Naspers Ltd., N Shares		28,260		1,587,806
Pick n Pay Stores Ltd.		141,909		804,724
Sasol Ltd.		13,600		656,864

				5,320,750

South Korea — 15.5%
Cheil Industries, Inc.		6,557		554,398
Cheil Worldwide, Inc.		18,680		298,405
Doosan Heavy Industries & Construction Co. Ltd.		3,611		203,329
Hyundai Engineering & Construction Co. Ltd.		12,914		920,922
Hyundai Heavy Industries Co. Ltd.		3,690		1,047,028
Hyundai Motor Co.		10,091		2,075,110
Hyundai Steel Co.		6,065		545,986
KB Financial Group, Inc.		21,510		784,995
Korea Aerospace Industries Ltd.		19,550		501,238
Korean Air Lines Co. Ltd.		12,727		561,626


	Number of Shares		Value†

South Korea — (continued)
LG Chem Ltd.		4,011	$	1,309,801
LG Household & Health Care Ltd.		959		503,601
Mando Corp.		2,633		386,915
NCSoft Corp.		2,084		550,865
NHN Corp.		3,334		765,050
S.M. Entertainment Co.*		8,032		339,901
Samsung Electronics Co. Ltd.		4,925		5,542,011
Samsung Electronics Co. Ltd. (Preference)		1,701		1,193,500
Samsung Fire & Marine Insurance Co. Ltd.		3,309		624,973
Samsung Heavy Industries Co. Ltd.		11,170		372,153
Shinhan Financial Group Co. Ltd.		27,708		1,069,878
SK C&C Co. Ltd.		5,092		503,335
SK Innovation Co. Ltd.		3,310		483,478
SSCP Co. Ltd.		1,035		4,403
Woongjin Coway Co. Ltd.		21,860		725,419

				21,868,320

Switzerland — 0.5%
The Swatch Group AG		1,539		708,380

Taiwan — 7.2%
Advanced Semiconductor Engineering Inc.		490,000		493,080
Asustek Computer, Inc.		76,088		717,969
Catcher Technology Co. Ltd.		69,000		487,438
Chailease Holding Co. Ltd.*		165,000		236,477
Formosa Plastics Corp.		160,000		471,090
Foxconn Technology Co. Ltd.		1,000		4,134
Fubon Financial Holding Co. Ltd.		443,632		499,780
Hon Hai Precision Industry Co. Ltd.		510,509		1,980,494
HTC Corp.		19,543		395,303
Lung Yen Life Service Corp.		78,000		248,684
MStar Semiconductor Inc.		103,000		629,911
Taiwan Cement Corp.		399,000		467,074
Taiwan Semiconductor Manufacturing Co. Ltd.		898,769		2,585,356
Uni-President Enterprises Corp.		531,724		735,941
Yuanta Financial Holding Co. Ltd.*		439,000		228,317

				10,181,048

Thailand — 4.1%
Banpu PCL NVDR		45,800		902,639
Kasikornbank PCL		63,100		320,102
Kasikornbank PCL NVDR		224,000		1,118,185
Land and Houses PCL NVDR		4,563,700		1,020,730
PTT PCL		58,600		672,428
PTT PCL NVDR		18,200		208,843
Siam Cement PCL NVDR		79,600		915,980
Thai Airways International PCL		362,700		302,740
Thai Airways International PCL NVDR		332,300		277,365

				5,739,012

Turkey — 3.7%
Anadolu Efes Biracilik Ve Malt Sanayii A.S.		114,042		1,593,248
Coca-Cola Icecek A.S.		31,743		405,181
Haci Omer Sabanci Hodling A.S.		171,604		737,523
Turk Telekomunikasyon A.S.		197,014		855,573
Turkiye Garanti Bankasi A.S.		419,247		1,660,710

				5,252,235


	Number of Shares		Value†
COMMON STOCKS — (continued)
United Kingdom — 1.3%
SABMiller PLC		45,063	$	1,804,987

United States — 2.8%
Central European Distribution Corp.*		39,392		201,293
Mead Johnson Nutrition Co.		16,614		1,370,323
Samsonite International S.A.*		514,800		936,054
Yum! Brands, Inc.		20,984		1,493,641
				4,001,311

TOTAL COMMON STOCKS (Cost $114,704,765)				136,890,502

EXCHANGE TRADED FUNDS — 0.6%
Brazil — 0.1%
Telefonica Brasil S.A. ADR		2,935		89,899

Chile — 0.5%
Sociedad Quimica y Minera de Chile S.A. ADR		13,000		762,710

TOTAL EXCHANGE TRADED FUNDS (Cost $813,014)				852,609

SHORT-TERM INVESTMENTS — 2.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $3,646,224)		3,646,224		3,646,224

TOTAL INVESTMENTS — 100.0% (Cost $119,164,003)(a)			$	141,389,335

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $120,427,565. Net unrealized appreciation was $20,961,770. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $27,733,506 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $6,771,736.

ADR — American Depository Receipt.

GDR — Global Depository Receipt

NVDR — Non Voting Depositary Receipt.

OJSC — Open Joint Stock Company

PCL — Public Company Limited.

Plc — Public Limited Company.


COMMON STOCKS INDUSTRY DIVERSIFICATION	% of Market Value		Value†
Advertising		0.2%	$	298,405
Aerospace & Defense		0.4%		501,238
Agriculture		0.8%		1,122,678
Airlines		1.3%		1,761,233


Auto Manufacturers	2.4%	$	3,357,760
Auto Parts & Equipment	0.3%		386,915
Banks	11.6%		15,854,476
Beverages	6.0%		8,213,166
Building Materials	0.9%		1,275,753
Chemicals	3.3%		4,490,451
Coal	0.7%		902,639
Commercial Services	0.9%		1,173,450
Computers	1.8%		2,433,200
Cosmetics & Personal Care	0.4%		503,601
Diversified Financial Services	1.9%		2,582,970
Electric	1.4%		1,909,259
Electronics	1.4%		1,980,494
Engineering & Construction	1.1%		1,462,688
Entertainment	0.2%		339,901
Environmental Control	0.5%		725,419
Food	6.0%		8,215,069
Healthcare Products	0.7%		990,657
Healthcare Services	0.1%		90,927
Holding Companies	3.7%		5,001,597
Home Builders	1.0%		1,407,472
Household Products & Wares	0.7%		936,054
Insurance	2.5%		3,448,979
Internet	2.5%		3,405,057
Iron & Steel	1.4%		1,904,593
Machinery - Diversified	0.1%		203,329
Media	1.7%		2,355,118
Metal Fabricate/Hardware	0.4%		487,438
Mining	2.8%		3,900,590
Miscellaneous Manufacturing	0.4%		554,398
Oil & Gas	8.4%		11,473,662
Oil & Gas Services	0.4%		493,779
Pharmaceuticals	3.3%		4,524,753
Real Estate	1.5%		2,122,665
Retail	7.8%		10,614,654
Semiconductors	7.6%		10,443,858
Shipbuilding	1.0%		1,419,181
Software	0.7%		898,963
Telecommunications	6.9%		9,419,989
Water	0.9%		1,302,024
	100.0%	$	136,890,502

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
COMMON STOCKS	$136,890,502	$136,890,502	$ —	$ —
EXCHANGE TRADED FUNDS	852,609	852,609	—	—
SHORT-TERM INVESTMENTS	3,646,224	3,646,224	—	—

TOTAL INVESTMENTS	$141,389,335	$141,389,335	$ —	$ —

It is the Fund’s policy to recognize transfers in and transfers in and transfers out at the fair value as of the beginning of period.

$78,039,453 was transferred from Level 2 into Level 1 at 3/31/12 as the Fund utilized third-party vendor modeling tools to reflect any significant market movements between the time at which the Fund valued its securities and the earlier closing of foreign markets. The Fund did not have any transfers in and transfers out of level 3 fair value hierarchy during the reporting period.


	Number of Shares		Value†
COMMON STOCKS — 4.7%
Lodging — 2.7%
Hyatt Hotels Corp., Class A*		28,432	$	1,214,615
Orient-Express Hotels Ltd., Class A*		50,784		517,997
Starwood Hotels & Resorts Worldwide, Inc.		11,258		635,064

				2,367,676

Real Estate — 2.0%
Brookfield Properties Corp.		97,827		1,707,081
TOTAL COMMON STOCKS (Cost $4,010,855)				4,074,757

REAL ESTATE INVESTMENT TRUSTS — 93.0%
Apartments — 15.1%
American Campus Communities, Inc.		19,632		877,943
Apartment Investment & Management Co., Class A		53,427		1,411,007
AvalonBay Communities, Inc.		13,090		1,850,271
Campus Crest Communities, Inc.		25,557		297,995
Education Realty Trust, Inc.		52,707		571,344
Equity Residential		68,357		4,280,515
Essex Property Trust, Inc.		2,294		347,564
Mid-America Apartment Communities, Inc.		14,142		947,938
Post Properties, Inc.		13,809		647,090
UDR, Inc.		63,084		1,684,974

				12,916,641

Diversified — 11.4%
American Assets Trust, Inc.		22,230		506,844
Colonial Properties Trust		53,039		1,152,537
Digital Realty Trust, Inc.		28,772		2,128,265
DuPont Fabros Technology, Inc.		28,881		706,140
Liberty Property Trust		32,273		1,152,792
Vornado Realty Trust		49,074		4,132,031

				9,778,609

Healthcare — 7.2%
HCP, Inc.		44,520		1,756,759
Health Care REIT, Inc.		15,445		848,857
Ventas, Inc.		61,838		3,530,950

				6,136,566

Hotels & Resorts — 3.7%
Hersha Hospitality Trust		133,493		728,872
Host Hotels & Resorts, Inc.		150,816		2,476,399

				3,205,271

Industrial — 5.6%
ProLogis, Inc.		134,463		4,843,357

Manufactured Homes — 1.4%
Equity Lifestyle Properties, Inc.		16,656		1,161,589

Office Property — 13.4%
Alexandria Real Estate Equities, Inc.		20,915		1,529,514
BioMed Realty Trust, Inc.		26,716		507,070
Boston Properties, Inc.		23,331		2,449,522
Corporate Office Properties Trust		49,588		1,150,937
Hudson Pacific Properties, Inc.		28,856		436,591
Kilroy Realty Corp.		26,423		1,231,576
Piedmont Office Realty Trust, Inc., Class A		67,514		1,198,373


	Number of Shares		Value†

Office Property — (continued)
SL Green Realty Corp.		38,763	$	3,006,071

				11,509,654

Regional Malls — 21.6%
General Growth Properties, Inc.		167,180		2,840,388
Simon Property Group, Inc.		77,258		11,254,945
Tanger Factory Outlet Centers, Inc.		34,205		1,016,915
Taubman Centers, Inc.		25,169		1,836,079
The Macerich Co.		28,039		1,619,252

				18,567,579

Storage & Warehousing — 7.6%
CubeSmart		35,450		421,855
Extra Space Storage, Inc.		39,307		1,131,649
Public Storage		35,823		4,949,664

				6,503,168

Strip Centers — 6.0%
Alexander’s, Inc.		1,017		400,576
Federal Realty Investment Trust		4,260		412,326
Kimco Realty Corp.		43,909		845,687
Regency Centers Corp.		49,484		2,201,048
Weingarten Realty Investors		48,750		1,288,463

				5,148,100

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $70,216,190)				79,770,534

SHORT-TERM INVESTMENTS — 2.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,932,807)		1,932,807		1,932,807

TOTAL INVESTMENTS — 100.0% (Cost $76,159,852)(a)			$	85,778,098

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $77,265,873. Net unrealized appreciation was $8,512,225. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $9,934,730 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $1,422,505.

REIT — Real Estate Investment Trust.

Summary of inputs used to value the Fund’s net assets as of 03/03/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$ 4,074,757	$ 4,074,757	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS	79,770,534	79,770,534		—		—
SHORT-TERM INVESTMENTS	1,932,807	1,932,807		—		—

TOTAL INVESTMENTS	$ 85,778,098	$ 85,778,098	$	—	$	—


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 65.8%
Penn Series Flexibly Managed Fund*		35,735	$	998,079
Penn Series Index 500 Fund*		223,713		2,328,850
Penn Series Large Cap Growth Fund*		98,236		998,079
Penn Series Large Cap Value Fund*		239,975		3,659,622
Penn Series Large Core Growth Fund*		60,435		665,386
Penn Series Large Core Value Fund*		135,104		1,330,771
Penn Series Large Growth Stock Fund*		91,955		1,663,464
Penn Series Mid Cap Growth Fund*		123,793		1,330,771
Penn Series Mid Cap Value Fund*		50,294		665,386
Penn Series Mid Core Value Fund*		115,119		1,330,771
Penn Series Real Estate Securities Fund*		104,129		1,330,771
Penn Series Small Cap Growth Fund*		31,064		665,386
Penn Series Small Cap Index Fund*		56,056		665,386
Penn Series Small Cap Value Fund*		73,727		1,330,772
Penn Series SMID Cap Growth Fund*		95,533		1,330,771
Penn Series SMID Cap Value Fund*		124,885		1,663,464

TOTAL AFFILIATED EQUITY FUNDS (Cost $15,673,796)				21,957,729

AFFILIATED FIXED INCOME FUNDS — 4.0%
Penn Series Quality Bond Fund* (Cost $1,180,700)		104,868		1,330,772

AFFILIATED INTERNATIONAL EQUITY FUNDS —29.9%
Penn Series Developed International Index Fund*		278,988		2,661,543
Penn Series Emerging Markets Equity Fund*		183,470		1,996,157
Penn Series International Equity Fund*		271,171		5,323,086
TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $8,164,327)				9,980,786

SHORT-TERM INVESTMENTS — 0.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $84,057)		84,057		84,057

TOTAL INVESTMENTS — 100.0% (Cost $25,102,880)(a)			$	33,353,344

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $25,461,316. Net unrealized appreciation was $7,892,028. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $8,250,464 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $358,436.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):

ASSETS TABLE


Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$21,957,729	$21,957,729	$ —	$ —
AFFILIATED FIXED INCOME FUNDS	1,330,772	1,330,772	—	—
AFFILIATED INTERNATIONAL EQUITY FUNDS	9,980,786	9,980,786	—	—
SHORT-TERM INVESTMENTS	84,057	84,057	—	—
TOTAL INVESTMENTS	$33,353,344	33,353,344	$ —	$ —


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 56.7%
Penn Series Flexibly Managed Fund*		168,596	$	4,708,896
Penn Series Index 500 Fund*		904,687		9,417,791
Penn Series Large Cap Growth Fund*		308,983		3,139,264
Penn Series Large Cap Value Fund*		1,029,267		15,696,319
Penn Series Large Core Growth Fund*		285,128		3,139,264
Penn Series Large Core Value Fund*		637,414		6,278,527
Penn Series Large Growth Stock Fund*		347,072		6,278,527
Penn Series Mid Cap Growth Fund*		438,037		4,708,896
Penn Series Mid Cap Value Fund*		237,284		3,139,264
Penn Series Mid Core Value Fund*		543,125		6,278,528
Penn Series Real Estate Securities Fund*		368,458		4,708,896
Penn Series Small Cap Growth Fund*		146,558		3,139,264
Penn Series Small Cap Index Fund*		264,470		3,139,264
Penn Series Small Cap Value Fund*		260,881		4,708,896
Penn Series SMID Cap Growth Fund*		338,040		4,708,896
Penn Series SMID Cap Value Fund*		471,361		6,278,527

TOTAL AFFILIATED EQUITY FUNDS (Cost $63,650,073)				89,469,019

AFFILIATED FIXED INCOME FUNDS — 18.9%
Penn Series High Yield Bond Fund*		341,596		3,139,264
Penn Series Limited Maturity Bond Fund*		686,628		7,848,159
Penn Series Quality Bond Fund*		1,484,285		18,835,583

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $26,791,127)				29,823,006

AFFILIATED INTERNATIONAL EQUITY FUNDS — 23.9%
Penn Series Developed International Index Fund*		987,190		9,417,791
Penn Series Emerging Markets Equity Fund*		577,071		6,278,528
Penn Series International Equity Fund*		1,119,452		21,974,847

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $30,623,194)				37,671,166

SHORT-TERM INVESTMENTS — 0.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $851,648)		851,648		851,648

TOTAL INVESTMENTS — 100.0% (Cost $121,916,042)(a)			$	157,814,839

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $124,053,674. Net unrealized appreciation was $33,761,165. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $35,898,797 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $2,137,632.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$89,469,019	$89,469,019	$ —	$ —
AFFILIATED FIXED INCOME FUNDS	29,823,006	29,823,006	—	—
AFFILIATED INTERNATIONAL EQUITY FUNDS	37,671,166	37,671,166	—	—
SHORT-TERM INVESTMENTS	851,648	851,648	—	—

TOTAL INVESTMENTS	$157,814,839	$157,814,839	$ —	$ —


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 42.9%
Penn Series Flexibly Managed Fund*		355,771	$	9,936,684
Penn Series Index 500 Fund*		1,193,166		12,420,855
Penn Series Large Cap Growth Fund*		489,010		4,968,342
Penn Series Large Cap Value Fund*		1,140,275		17,389,198
Penn Series Large Core Growth Fund*		225,629		2,484,171
Penn Series Large Core Value Fund*		756,600		7,452,513
Penn Series Large Growth Stock Fund*		411,969		7,452,513
Penn Series Mid Cap Growth Fund*		462,171		4,968,342
Penn Series Mid Core Value Fund*		859,575		9,936,684
Penn Series Real Estate Securities Fund*		388,759		4,968,342
Penn Series Small Cap Growth Fund*		115,974		2,484,171
Penn Series Small Cap Index Fund*		418,563		4,968,342
Penn Series Small Cap Value Fund*		275,254		4,968,342
Penn Series SMID Cap Growth Fund*		356,665		4,968,342
Penn Series SMID Cap Value Fund*		559,498		7,452,514

TOTAL AFFILIATED EQUITY FUNDS (Cost $76,271,107)				106,819,355

AFFILIATED FIXED INCOME FUNDS — 35.9%
Penn Series High Yield Bond Fund*		1,081,250		9,936,684
Penn Series Limited Maturity Bond Fund*		2,608,054		29,810,053
Penn Series Quality Bond Fund*		3,915,163		49,683,421

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $80,557,081)				89,430,158

AFFILIATED INTERNATIONAL EQUITY FUNDS — 18.0%
Penn Series Developed International Index Fund*		1,301,976		12,420,855
Penn Series Emerging Markets Equity Fund*		684,974		7,452,513
Penn Series International Equity Fund*		1,265,497		24,841,711

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $36,188,451)				44,715,079

AFFILIATED MONEY MARKET FUND — 3.0%
Penn Series Money Market Fund (Cost $7,452,572)		7,452,572		7,452,572

SHORT-TERM INVESTMENTS — 0.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $526,444)		526,444		526,444

TOTAL INVESTMENTS — 100.0% (Cost $200,995,655)(a)			$	248,943,608

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $202,548,857. Net unrealized appreciation was $46,394,751. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $47,947,953 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $1,553,202.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):

ASSETS TABLE


Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$106,819,355	$106,819,355	$ —	$ —
AFFILIATED FIXED INCOME FUNDS	89,430,158	89,430,158	—	—
AFFILIATED INTERNATIONAL EQUITY FUNDS	44,715,079	44,715,079	—	—
AFFILIATED MONEY MARKET FUNDS	7,452,572	7,452,572	—	—
SHORT-TERM INVESTMENTS	526,444	526,444	—	—
TOTAL INVESTMENTS	$248,943,608	248,943,608	$ —	$ —


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 32.0%
Penn Series Flexibly Managed Fund*		171,007	$	4,776,235
Penn Series Index 500 Fund*		458,812		4,776,236
Penn Series Large Cap Growth Fund*		94,020		955,247
Penn Series Large Cap Value Fund*		313,196		4,776,236
Penn Series Large Core Value Fund*		193,959		1,910,494
Penn Series Large Growth Stock Fund*		105,611		1,910,494
Penn Series Mid Cap Growth Fund*		88,860		955,247
Penn Series Mid Core Value Fund*		330,535		3,820,988
Penn Series Real Estate Securities Fund*		149,491		1,910,494
Penn Series Small Cap Index Fund*		160,951		1,910,494
Penn Series SMID Cap Growth Fund*		68,575		955,247
Penn Series SMID Cap Value Fund*		143,430		1,910,494


TOTAL AFFILIATED EQUITY FUNDS (Cost $22,096,968)				30,567,906

AFFILIATED FIXED INCOME FUNDS — 53.0%
Penn Series High Yield Bond Fund*		519,721		4,776,235
Penn Series Limited Maturity Bond Fund*		1,671,473		19,104,942
Penn Series Quality Bond Fund*		2,107,716		26,746,918


TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $45,562,078)				50,628,095

AFFILIATED INTERNATIONAL EQUITY FUNDS — 10.0%
Penn Series Developed International Index Fund*		300,392		2,865,741
Penn Series International Equity Fund*		340,638		6,686,730


TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $7,314,856)				9,552,471

AFFILIATED MONEY MARKET FUND — 5.0%
Penn Series Money Market Fund (Cost $4,776,274)		4,776,274		4,776,274


TOTAL INVESTMENTS — 100.0% (Cost $79,750,176)(a)			$	95,524,746

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $80,580,350. Net unrealized appreciation was $14,944,396. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $14,944,396 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $0.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):

ASSETS TABLE


Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$30,567,906	$30,567,906	$ —	$ —
AFFILIATED FIXED INCOME FUNDS	50,628,095	50,628,095	—	—
AFFILIATED INTERNATIONAL EQUITY FUNDS	9,552,471	9,552,471	—	—
AFFILIATED MONEY MARKET FUNDS	4,776,274	4,776,274	—	—
TOTAL INVESTMENTS	95,524,746	95,524,746	—	—


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 16.9%
Penn Series Flexibly Managed Fund*		114,479	$	3,197,412
Penn Series Index 500 Fund*		245,719		2,557,930
Penn Series Large Cap Value Fund*		83,867		1,278,965
Penn Series Large Core Value Fund*		64,922		639,482
Penn Series Large Growth Stock Fund*		70,700		1,278,965
Penn Series Mid Cap Growth Fund*		59,487		639,482
Penn Series Mid Core Value Fund*		110,637		1,278,965

TOTAL AFFILIATED EQUITY FUNDS (Cost $7,924,712)				10,871,201

AFFILIATED FIXED INCOME FUNDS — 67.6%
Penn Series High Yield Bond Fund*		487,092		4,476,377
Penn Series Limited Maturity Bond Fund*		1,398,693		15,987,061
Penn Series Quality Bond Fund*		1,814,135		23,021,367

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $39,015,593)				43,484,805

AFFILIATED INTERNATIONAL EQUITY FUNDS — 5.0%
Penn Series Developed International Index Fund*		134,063		1,278,965
Penn Series International Equity Fund*		97,730		1,918,447

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $2,421,165)				3,197,412

AFFILIATED MONEY MARKET FUND — 9.9%
Penn Series Money Market Fund (Cost $6,394,877)		6,394,877		6,394,877

SHORT-TERM INVESTMENTS — 0.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $372,178)		372,178		372,178

TOTAL INVESTMENTS — 100.0% (Cost $56,128,525)(a)			$	64,320,473

†	See Security Valuation Note.

*	Non-income producing security.

(a)

At March 31, 2012, the cost for Federal income tax purposes was $56,633,340. Net unrealized appreciation was $7,687,133. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of market value over tax cost of $8,191,948 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over market value of $504,815.

Summary of inputs used to value the Fund’s investments as of 03/31/2012 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 03/31/2012	Level 1 Quoted Price	Level 2 Significant Observable Input	Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$10,871,201	$10,871,201	$ —	$ —
AFFILIATED FIXED INCOME FUNDS	43,484,805	43,484,805	—	—
AFFILIATED INTERNATIONAL EQUITY FUNDS	3,197,412	3,197,412	—	—
AFFILIATED MONEY MARKET FUNDS	6,394,877	6,394,877	—	—
SHORT-TERM INVESTMENTS	372,178	372,178	—	—

TOTAL INVESTMENTS	$64,320,473	$64,320,473	$ —	$ —

Money Market Fund — Investments in securities are valued using the amortized cost method as permitted by Rule 2a-7 under the Investment Company Act of 1940, which involves initially valuing investments at cost and thereafter assuming a constant amortization to maturity of any premium or discount. This method approximates market value.

Limited Maturity Bond, Quality Bond, High Yield Bond, Flexibly Managed, Large Growth Stock, Large Cap Growth, Large Core Growth, Large Cap Value, Large Core Value, Index 500, Mid Cap Growth, Mid Cap Value, Mid Core Value, SMID Cap Growth, SMID Cap Value, Small Cap Growth, Small Cap Value, Small Cap Index, Developed International Index, International Equity, Emerging Markets Equity, Real Estate Securities Funds — Portfolio securities listed on a securities exchange or an automated quotation system for which quotations are readily available, including securities traded over the counter, are valued at the last quoted sale price on the principal exchange or market on which they are traded on the valuation date or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. Debt and fixed income securities may be valued by recognized independent third-party valuation services, employing methodologies that utilize actual market transactions, broker-dealer supplied valuations, or other electronic data processing techniques. To the extent that bid prices are provided by the pricing service, the Funds will use the bid price. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates.

Securities for which market quotations are not readily available are valued by methods deemed by the Board of Directors to represent fair value. The Penn Series Valuation Committee (the “Valuation Committee”), established by and subject to oversight by the Board of Directors, develops pricing related policies and procedures and approves all fair value determinations. The Valuation Committee consists of representatives from the Advisor and Administrator. The Valuation Committee regularly makes good faith judgments, using sources and information obtained, including recommendations and supporting rationales and inputs from the Advisor or the applicable sub advisor, to establish and /or adjust fair valuations of securities as events occur and circumstances warrant. The information and inputs may include but are not limited to cost of the security, last sale price, private transaction trading prices, comparable publically traded security prices, illiquidity premiums, publically disclosed news stories and regulatory filings, estimated cash flows and yield curves. As part of its procedures, the Valuation Committee monitors the fair valued securities, considers additional news or significant developments relative to the specific security, reviews the valuations with the Advisor or respective sub advisor on a regular basis and applies back testing procedures to valuations as applicable. Reasons for which securities may be valued in this manner include, but are not limited to, trading on an exchange for a security has been halted or suspended, a security has been de-listed from a national exchange, trading on a security’s primary market is temporarily closed at a time when under normal conditions it would be open or valuation by a third party pricing service is currently not available or is no longer available. Options and futures contracts are valued at the last sale price on the market where such options or futures contracts are principally traded.

To assess the continuing appropriateness of third party pricing service security valuations, the Advisor or sub advisor, as applicable, or the fund accounting service provider, who is subject to oversight by the Administrator, regularly monitor the prices and compare prices to alternate sources where applicable. Pricing challenges are issued for valuation differences exceeding certain tolerances or when considered not reflective of market by the Advisor or sub advisor, as applicable.

Certain events may occur between the time that foreign markets close, on which securities held by the Fund principally trade, and the time at which the Fund’s NAV is calculated. These securities are valued at a fair value utilizing an independent third-party valuation service in accordance with procedures adopted by the Fund’s Board of Directors. The methodology and procedures followed by the valuation service consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, ETFs, and certain indexes as well as prices for similar securities. Values from the valuation service are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Valuation Committee. The Valuation Committee has also established a “confidence interval,” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Valuation Committee is exceeded on a specific day, the Funds shall value the non-U.S. securities in their portfolios that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation service.

The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

Balanced, Aggressive Allocation, Moderately Aggressive Allocation, Moderate Allocation, Moderately Conservative Allocation and Conservative Allocation Funds — The valuation of each Fund’s investment in its Underlying Funds is based on the net asset values of the Underlying Funds each business day.

Fair value measurements are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Fund’s investments. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances. These inputs are summarized into three broad levels as follows:

Transfers between levels 1 and 2 during the three month period ended March 31, 2012, if any, are shown as notes on the Schedule of Investments of the individual fund.

Level 3 items at March 31, 2012 consist of $2,049,928 of equities which were not publically trading. The unobservable inputs used in valuing these securities include prices observed in private transactions, prices of publically traded securities determined to be comparable and illiquidity premiums used to discount the value. The valuation technique employed consists of discounting a value in the observed range of either (a) private party transaction prices for an acquisition or dispositions of the stock (or of a comparable class of the stock ) or (b) the price of a comparable publically traded security, as applicable. The ranges of observed private party transactions for the valued securities subject to these input for fair valuation was $14.00 – $17.50 and $30.00 – $32.00, respectively. The price for the comparable publically traded security was $5.86. The illiquidity premiums utilized was 5 – 10% and was judgmentally established based on trading price ranges and /or particular terms of the security (ie, trading restrictions). Significant increases (decreases) in the prices of observed private transactions or in publically traded securities would result in directionally similar and proportionate changes to the fair values. Also, changes to the illiquidity premiums would cause directionally opposite and proportionate changes in the fair values.

[Please verify, please provide further information if this statement is not correct.]

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

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.

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.


Maturity Schedule	Market Value		% of Portfolio		(Cumulative)
1 — 7 days	$	85,642,897		61.1%		61.1%
8 — 14 days		4,399,724		3.1%		64.2%
15 — 30 days		9,913,622		7.1%		71.3%
31 — 60 days		17,096,087		12.2%		83.5%
61 — 90 days		18,389,165		13.1%		96.6%
91 — 120 days		1,538,300		1.1%		97.7%
over 150 days		3,144,261		2.3%		100.0%


	$	140,124,056		100.0%


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 4.8%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $8,938,985)		8,938,985	$	8,938,985

TOTAL INVESTMENTS — 100.0% (Cost $170,136,299)(a)			$	185,526,451


Country Weightings as of 03/31/2012††
United States	91	%
Bermuda	5
Switzerland	3
United Kingdom	1

Total	100	%


(Registrant)		Penn Series Funds, Inc.

By (Signature and Title)*		/s/ Peter M. Sherman
		Peter M. Sherman, President
		(principal executive officer)

Date		May 22, 2012