Penn Series Fund, Inc.

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Thank you for your continued affiliation with The Penn Mutual Life Insurance Company. The confidence and trust you place in us reaffirms our commitment to helping policyholders take advantage of all life’s possibilities. We also take pride in being a financially strong mutual insurance company that delivers on our promises, and I’m very pleased to bring you the following capital markets summary. Please remember that regardless of what the markets may bring, short-term performance changes should not distract you from your long-term financial plan, and it’s a good idea to meet with your investment professional regularly to make sure that your asset allocation remains on target.

Stocks continued to move higher during the second half of 2014 with the fourth quarter bringing the strongest gains and new highs in December. The trend of large cap equities outperforming small cap stocks witnessed for most of the year reversed in the final quarter. Despite this strong recovery, small caps finished significantly behind its larger counterpart for all of 2014. While the U.S. economy has been relatively strong during the year and continues to trend positively, there is a clear divergence among the performance of global economies. Market volatility, which remained very low for most of the year, picked up in the fourth quarter. From a sector perspective, Utilities, Health Care, and Technology had the strongest returns and sectors such as Telecommunications and Energy experienced relatively weaker returns over the 12-month period ending December 31, 2014. In this environment, the U.S. stock market, as measured by the Wilshire 5000 Equity Index, returned a solid 12.71 percent for the full 12-month period.

On a relative basis, large and mid capitalization stocks provided higher returns than did small capitalization stocks for the year. Large capitalization stocks, as measured by the Russell 1000 Index, returned 13.24 percent and mid capitalization stocks, as measured by the Russell Midcap Index returned 13.22 percent, while small capitalization stocks, as measured by the Russell 2000 Index, returned 4.89 percent. From a style perspective, value stocks outperformed growth stocks in the large and mid market capitalizations, while growth stocks slightly outperformed value stocks in the small capitalization ranges. Some of the relative outperformance within value stocks can be attributed to the strong performance within the Utilities sector. Lastly, the best performing domestic equity asset classes by far for the full year was Real Estate Investment Trusts (REITs) as measured by the FTSE NAREIT Equity REIT Index’s return of 30.14 percent. REITs also have the distinct honor of having one of the best relative performance records over the last five years with an annualized return of 16.88 percent.

International markets, both developed and emerging, ended the full year significantly behind U.S. equities as the rebound they experienced in the first half of the year faded. Developed international stocks, as measured by the MSCI EAFE Index, returned negative 4.48 percent while emerging market stocks, as measured by the MSCI Emerging Markets Index, fared a bit better with a return of negative 1.82 percent. Plunging oil prices and slowing global growth contributed to increased risk aversion within the international markets. The collapse in oil prices has been particularly difficult for many commodity-driven emerging markets. Also contributing to losses for U.S. dollar-based investors is the further weakening of non-U.S. currencies, particularly the euro and the yen. (The appreciating U.S. dollar detracts from returns for dollar-based investors in foreign markets.)

Investment-grade fixed-income securities outperformed high yield bonds during the full 12-month period as high yield came under pressure the last six months of the year. Investment-grade bonds, as measured by the Barclays Capital U.S. Aggregate Index, returned 5.97 percent and the Credit Suisse High Yield Bond Index, returned 1.86 percent. While long U.S. Treasury and corporate bonds posted the strongest performance during the fourth quarter and the full year, high yield bonds continued to underperform. The steep drop in oil prices throughout the year have impacted the high yield asset class particularly hard since energy-related industries make up a large percentage of most high yield bond indexes. The Federal Reserve officially ended its quantitative easing program in late October which now has the markets focused on discounting the timing and possibility of a Federal Funds rate increase in 2015 given the current environment of an improving economy while inflation is low and potentially falling.

Once again, we thank you for the privilege of serving your financial needs and encourage you to work closely with your financial professional to continue to explore your options throughout all life’s stages.

Source: This material is not intended to be relied upon as a forecast, research or investment advice, and is not a recommendation, offer or solicitation to buy or sell any securities or to adopt any investment strategy. The opinions expressed are subject to change as subsequent conditions vary. All economic and performance information is historical and not indicative of future results.

Limited Maturity Bond Fund

The Penn Series Limited Maturity Bond Fund returned 0.17% for the twelve-month period ending December 31, 2014, compared to the 0.77% return for its benchmark, the Barclays Capital U.S. Government/Credit 1-3 Year Index for the same time period.

The U.S. economic news was mixed during the first six months of the year. Severe winter weather during the first quarter led to the weakest quarterly Gross Domestic Product (GDP) since the credit crisis. This weak first quarter growth appeared at odds with steadily improving employment statistics as the unemployment rate is nearing 6%.

During the first half of the year, we started to gradually reposition the Fund in order to increase our yield. We added BBB industrial bonds in the healthcare, consumer non-cyclical, energy and pipeline, and telecommunications sectors that we felt traded at attractive valuations. Domestic money center bank and brokerage firms were also selectively added due to underperformance versus similarly rated industrials throughout the year and their continued improvement in tier 1 capital ratios and overall asset quality. We also started positions in higher quality high yield companies that we view as potential cross over (into investment grade) situations. The high yield purchases were concentrated in companies with good business fundamentals, solid market positions and scale, moderately levered balance sheets, and a reasonable probability of a ratings upgrade over the next 2-3 years. On the higher quality side, we purchased AAA and AA CMBS securities which provided attractive spread with minimal risk.

Yield spreads widened during the fourth quarter which weighed on performance as we have more corporate exposure versus the U.S. treasury-heavy benchmark. Relative to our peers, we remain underweight credit risk. The underperformance of yield spread in the quarter was largely a function of a heavy new issuance calendar and the rapid decline in oil prices. The latter caused the energy component of the credit markets, which is a very large sector, to widen materially.

Ten-year U.S. treasury yields declined 86 basis points over the previous twelve months, partially reversing the 127 basis point rise during 2013. The conventional wisdom at the start of 2014 was for a continuation of the trend towards higher rates but long duration bonds proved to be one of the year’s best performing asset classes. A sharp

decline in oil prices combined with record low interest rates in Europe and Japan pushed long U.S. Treasury rates below 3.0% during the fourth quarter. We remain biased slightly toward short duration in the Limited Bond Fund with the expectation for interest rates to gradually move higher this year in response to improving economic and labor market conditions in the United States.

Portfolio yield was increased over the course of the year as we added BBB industrial bonds in the healthcare, consumer non-cyclical, and telecommunications sectors that traded at attractive valuations. We also increased exposure to domestic money center bank and brokerage firms and higher quality high yield companies that we view as potential cross over (into investment grade) situations. In the fourth quarter we sold low yielding asset backed securities and replaced them with structured floating rate notes with attractive yields. At quarter end, the average credit quality of the portfolio was A+ and had a 6.0% allocation to below investment grade securities, largely BB credits.

While last year’s strong performance for the bond market will be difficult to repeat in 2015, given the much lower starting point for overall yields, we will continue to search for high-quality fixed income assets that will perform well under various economic and interest rate environments.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Limited Maturity Bond Fund on December 31, 2004 would have grown to $12,830. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Barclays Capital U.S. Government Credit 1-3 Year Bond Index, during the same period. A $10,000 investment in the Barclays Capital U.S. Government Credit 1-3 Year Bond Index on December 31, 2004 would have grown to $13,247.

Average Annual Total Returns¹ as of 12/31/14


	1 Year			5 Year			10 Year
Limited Maturity Bond Fund		0.17	%		1.32	%		2.53	%
Barclays Capital U.S. Government/Credit 1-3 year Index		0.77	%		1.41	%		2.85	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Corporate bonds		47.9	%
Asset backed		23.6	%
Commercial Mortgage Backed		17.3	%
U.S. Treasury Obligations		8.0	%
Residential Mortgage Backed		2.4	%
Agency Obligations		0.6	%
Municipal Bonds		0.2	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments.

Quality Bond Fund

The Penn Series Quality Bond Fund returned 5.10% for the twelve-month period ending December 31, 2014, compared to the 5.97% return for its benchmark, the Barclays Capital U.S. Aggregate Bond Index for the same time period.

Our bias in the first half of the year towards higher quality holdings compared to the benchmark was the primary factor behind the relative underperformance in the first six months of 2014.

The Quality Bond Fund had shifted its exposure to duration or interest rate risk in response to the unexpected decline in interest rates during the previous six months. We sold longer-term bonds during the second quarter and reduced the Fund’s duration to a level below its benchmark. During the second quarter, we reduced our exposure to Federal Agency mortgage-backed securities (MBS) and purchased ten year Treasury Inflation-Protected Securities (TIPS). TIPS offer the opportunity for better returns in the increasingly likely event the Federal Open Market Committee’s (FOMC) easy monetary policy leads to inflationary pressures. The Fund has also increased its holdings of bonds at the front end of the yield curve with attractive return potential. Enhanced Equipment Trust Certificates (EETC), airline debt secured by aircraft, represents one of these opportunities.

In the second half of the year, the Fund’s conservative duration or interest rate exposure detracted from relative performance, but was partially offset by favorable yield curve positioning and high quality corporate bond performance.

Ten-year U.S. Treasury yields declined 86 basis points over the previous twelve months, partially reversing the 127 basis point rise during 2013. The conventional wisdom at the start of 2014 was for a continuation of the trend towards higher rates but long duration bonds proved to be one of the year’s best performing asset classes. A sharp decline in oil prices combined with record low interest rates in Europe and Japan pushed long U.S. Treasury rates

below 3.0% during the fourth quarter. We remain biased, slightly short duration in the Quality Bond Fund, with the expectation for interest rates to gradually move higher this year in response to improving economic and labor market conditions in the United States.

Purchase activity during the fourth quarter was again focused on highly-rated structured investments which provide attractive return profiles, in particular relative to an overvalued agency mortgage-backed sector. We are also transitioning out of short-term fixed rate corporate debt into seasoned floating rate Collateralized Loan Obligations (CLOs). CLOs offer much higher yields than similarly rated corporate debt and are backed by a diversified portfolio of senior secured bank loans. The floating rate CLO yields will also benefit should the Federal Reserve begin to tighten monetary policy.

While last year’s strong performance for the bond market will be difficult to repeat in 2015 given the much lower starting point for overall yields, we will continue to search for high-quality fixed income assets that will perform well under various economic and interest rate environments.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Quality Bond Fund on December 31, 2004 would have grown to $15,714. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on December 31, 2004 would have grown to $15,842.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Quality Bond Fund		5.10	%		4.22	%		4.62	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		4.71	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Corporate Bonds		31.8	%
Residential Mortgage Backed		22.3	%
Asset Backed Securities		19.4	%
Commercial Mortgage Backed		13.8	%
U.S. Treasury Obligations		6.1	%
Municipal Bonds		4.7	%
Exchange Traded Funds		1.3	%
Agency Obligations		0.4	%
REITs		0.2	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments.

High Yield Bond Fund

The Penn Series High Yield Bond Fund returned 1.86% for the twelve-month period ending December 31, 2014, compared to the 1.86% return for its benchmark, the CSFB High Yield Bond Index.

Following a long absence, volatility resurfaced across global financial markets during the second half of 2014, pressuring high yield bond prices in its aftermath. A steady drumbeat of disappointing news from the outbreak of the deadly Ebola virus to ongoing geopolitical tensions, a drastic decline in commodity prices, and mounting concerns around economic activity in Europe and China all weighed on investor sentiment. However, the asset class still managed to post positive returns for a sixth consecutive year due to early 2014 strength.

Energy was, by far, the worst-performing sector amid a precipitous decline in oil prices, although metals and mining credits also significantly underperformed the broad market. The weak performance of energy and metals names had a substantial impact on the below investment-grade market overall, as these sectors now represent a 20% (or more) weighting in major high yield indexes. Oil prices have faced downward pressure from several factors recently, especially increased production in North America. The prospects for slowing demand in China and OPEC’s decision to leave production goals unchanged exacerbated the declines.

From a quality perspective, BB rated credits outperformed for the year, receiving a boost from falling U.S. Treasury yields and investors’ general preference for higher-rated bonds in the face of increased volatility.

A combination of positive credit selection and underweight exposure in energy, the period’s worst-performing sector, aided relative performance. An overweight in media/telecom also helped as this sector continues to benefit from merger and acquisition (M&A) tailwinds. We believe M&A synergies and credit improvements are likely to play out over the next few years, and we maintain an overweight in this sector to potentially benefit from this trend.

Credit selection within the financial sector weighed on relative results, partially due to our positions in Sberbank, a large Russian banking institution. This name experienced pressure related to geopolitical instability in the region as well as economic sanctions from the European Union (EU) and U.S. against Russian companies. Nonetheless, we

remain comfortable with this bank’s healthy liquidity position and market share within that country.

While market conditions have been challenging over the last several months, valuations are far more inviting entering 2015 than they have been in years. When we pair that with what looks to be an improving economic backdrop, especially domestically, the prospects for investment returns in 2015 look bright.

Aside from the uncertainty emanating from the energy sector, the fundamentals underpinning the companies in the high yield market appear solid. Issuers have repaired their balance sheets, reduced capital costs, and extended maturities through refinancing activity over the past several years. Investor demand for high yield bonds is likely to persist in the current low interest rate environment, and a pullback, like the one we have just endured, makes the asset class all the more attractive.

Penn Mutual Asset Management, Inc.

Investment Adviser

T. Rowe Price Associates, Inc.

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the High Yield Bond Fund on December 31, 2004 would have grown to $19,372. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the CSFB High Yield Bond Index, during the same period. A $10,000 investment in the CSFB High Yield Bond Index on December 31, 2004 would have grown to $20,034.

Average Annual Total Returns¹ as of 12/31/14


	1 Year			5 Year			10 Year
High Yield Bond Fund		1.86	%		8.18	%		6.84	%
CSFB High Yield Bond Index		1.86	%		8.68	%		7.33	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Bonds
BBB/BB Rated & Above		2.4	%
BB Rated		20.7	%
BB/B Rated		13.9	%
B Rated		37.4	%
B/CCC Rated		9.8	%
CCC and Below		12.5	%
Not rated		1.8	%
Equity securities		1.5	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments.

Flexibly Managed Fund

The Penn Series Flexibly Managed Fund returned 12.09% for the twelve-month period ending December 31, 2014, compared to its benchmark the S&P 500 Index’s return of 13.69%.

U.S. equities rose in 2014 for the sixth consecutive year, as the economy recovered strongly from a first-quarter weather-related contraction. Falling long-term interest rates since the end of 2013 — despite the Federal Reserve’s reduction of asset purchases — solid employment growth, favorable corporate earnings, and expanded stimulus measures by major non-U.S. central banks were also supportive. All sectors within the S&P 500 posted positive returns with the exception of energy, as oil fell below $60 per barrel, its lowest level in more than five years. Long-term interest rates continued to decline due to global economic weakness and geopolitical uncertainties.

As the equity market continued its overall upward trajectory, we opportunistically trimmed holdings within the utilities and consumer staples sectors on strength, decreasing our overall equity exposure from the prior year. Overall, we continue to believe that the attractiveness of the U.S. equity market has diminished, given that equity valuations are relatively expensive compared to historical averages. However, we found select opportunities to continue building our overweight position in the health care sector. We continued to maintain significant exposure to covered calls, which give us the benefits of owning a stock while providing downside protection.

Since the end of 2013, our overall weight within fixed income marginally decreased, as it remained challenging to find reasonable risk/reward opportunities. We eliminated our holdings in 10-year U.S. Treasuries in the fourth quarter, as long-term interest rates continued to decline due to global economic weakness and geopolitical uncertainties. High yield bonds, which remain our largest fixed income sector, benefited in the first half of the year from the yield advantage relative to investment-grade bonds, low default rates, and the financial strength of most high yield issuers. More recently, however, credit spreads widened as falling oil prices weighed on energy sector bonds, the largest segment of the high yield market. The health care sector drove relative performance due to both stock selection and a sizable overweight position, with Allergan and Zoetis making significant contributions. On the downside, the industrials and business services sectors detracted from relative results due to both stock selection

and an overweight position, including holdings in United Technologies.

While the macroeconomic landscape improved considerably in the U.S., industry fundamentals continued to worsen in general, and earnings expectations for many companies appear overly optimistic. Within the fixed income market, yield spreads are significantly compressed compared with historical levels, aside from the high yield space. With the extended market advance, the portfolio remains more conservatively positioned, and we believe exposed to less cyclicality, bearing in mind our commitment to capital preservation. As always, we remain focused on finding the best risk-adjusted opportunities across asset classes in an attempt to generate equity-like returns over the long term with less overall risk than the all-equity index.

Intermediate

Penn Mutual Asset Management, Inc.

Investment Adviser

T. Rowe Price Associates, Inc.

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Flexibly Managed Fund on December 31, 2004 would have grown to $23,019. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the S&P 500 Index, during the same period. A $10,000 investment in the S&P 500 Index on December 31, 2004 would have grown to $20,944.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Flexibly Managed Fund		12.09	%		13.04	%		8.69	%
S&P 500 Index		13.69	%		15.45	%		7.67	%
Bank of America ML Corporate/Government Index		6.48	%		4.79	%		4.73	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Fixed Income		23.8	%
Health Care		19.3	%
Financials		13.8	%
Industrials		13.2	%
Technology		9.4	%
Consumer Discretionary		9.0	%
Consumer Staples		3.8	%
Energy		3.3	%
Utilities		3.1	%
Materials & Processing		0.7	%
Telecommunications		0.6	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Balanced Fund

The Penn Series Balanced Fund returned 9.65% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the S&P 500 Index’s return of 13.69% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Balanced Fund is comprised of a target allocation of 60% to an equity fund and 40% to a fixed income fund. The equity allocation of the Fund is comprised of the Penn Series Index 500 Fund which seeks a total return that corresponds to that of the S&P 500 Index. The fixed income allocation of the Fund consists of an allocation to the Penn Series Quality Bond Fund.

At the broad asset class level, the Balanced Fund’s equity allocation performed in line with its broad equity benchmark the S&P 500 Index for the one-year period. The Fund’s fixed income allocation slightly underperformed the Barclays Capital U.S. Aggregate Bond Index for the one-year time period. Weighing on the fixed income allocation of the Fund was the more conservative composition of the underlying individual fixed income fund versus the broad market Index during the first half of the year.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Balanced Fund on August 25, 2008 would have grown to $16,794. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the S&P 500 Index and the Barclay’s Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the S&P 500 Index on August 25, 2008 would have grown to $18,317. A $10,000 investment in the Barclay’s Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Balanced Fund		9.65	%		10.77	%		8.50	%
S&P 500 Index		13.69	%		15.45	%		10.00	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


Index 500	60.0	%
Intermediate Bonds	40.0	%

	100.0	%

Large Growth Stock Fund

The Penn Series Large Growth Stock Fund returned 8.36% for the twelve-month period ending December 31, 2014, compared to the 13.05% return for its benchmark, the Russell 1000 Growth Index.

Overall, stock selection was the reason for relative underperformance during the year. Consumer discretionary, information technology, and energy were the largest relative detractors. Health care, materials, and financials were the leading outperformers.

U.S. equities rose in 2014 for the sixth consecutive year, as the U.S. economy recovered strongly from a first-quarter weather-related contraction. Falling long-term interest rates, solid employment growth, favorable corporate earnings, and expanded stimulus measures by major non-U.S. central banks were also supportive. Stagnant global growth, heightened geopolitical tensions due to U.S. and European Union (EU) sanctions against Russia for its actions in Ukraine, and unrest in the Middle East weighed on stock prices. Large-cap stocks reached new highs in December, as large- and mid-caps significantly outpaced small-caps for the year, as measured by various Russell indexes. Value stocks outperformed growth among large- and mid-caps, while growth outpaced value among small-caps.

Consumer discretionary was the leading detractor, mainly driven by stock selection but significant overweighting also hurt results. Amazon.com reported impressive revenue and unit growth but recorded minimal profits due to an ongoing investment cycle. The company is investing heavily in distribution, cloud computing, streaming video content, hardware, and other initiatives. We have maintained our position given the company’s dominant retail presence and continued growth with its cloud platform Amazon Web Services.

Information technology detracted largely on stock selection. Despite strong revenue growth, Google’s profits have disappointed investors. The company has invested heavily in additional data center capacity and acquisitions, while hiring rates have also accelerated. We continue to like Google for its nimble and innovative management team and its position as the dominant Internet search engine.

Stock selection also led to underperformance by energy, despite a beneficial underweighting. Range Resources, a U.S. oil and gas company, notably disappointed amid falling petroleum prices.

Health care was the leading outperformer, on both stock selection and helpful overweighting of the strongest performer in the benchmark. Shares of Vertex Pharmaceuticals soared in June on news that the company’s cystic fibrosis treatment met its primary endpoint in Phase III trials. The company plans to submit for regulatory approval in both the United States and Europe in the near term.

Materials was an outperformer mainly due to stock selection. Paint manufacturer and retailer Sherwin-Williams is experiencing strong growth from a combination of commercial demand, home construction, and existing home sales. The Comex Group, which it acquired in 2013, is performing ahead of expectations. The company is well positioned as the leading U.S. paint producer, generating most of its sales through its own stores

We expect the equities environment to remain favorable in 2015, barring an exogenous event. China still poses some risk, and it is possible that the eurozone’s sluggish economy and struggle with deflation will linger for longer than expected. On a positive note, we believe that commodities prices and inflation will remain contained; interest rates will stay low, even allowing for some monetary tightening by the Federal Reserve; and the earnings outlook for various sectors appears promising. We are focusing on what we call “all-season” growth companies—those with the ability to grow earnings regardless of macroeconomic conditions.

Penn Mutual Asset Management, Inc.

Investment Adviser

T. Rowe Price Associates, Inc.

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Large Growth Stock Fund on December 31, 2004 would have grown to $22,391. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Growth Index, during the same period. A $10,000 investment in the Russell 1000 Growth Index on December 31, 2004 would have grown to $22,590.

Average Annual Total Returns¹ as of 12/31/14


	1 Year			5 Year			10 Year
Large Growth Stock Fund		8.36	%		15.53	%		8.39	%
Russell 1000 Growth Index		13.05	%		15.81	%		8.49	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Consumer Discretionary		27.0	%
Technology		26.7	%
Health Care		18.5	%
Industrials		13.7	%
Financials		6.6	%
Consumer Staples		2.7	%
Energy		2.2	%
Materials & Processing		2.0	%
Telecommunications		0.6	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Large Cap Growth Fund

The Penn Series Large Cap Growth Fund returned 11.29% for the twelve-month period ending December 31, 2014, compared to the 13.05% return for its benchmark, the Russell 1000 Growth Index.

Early in the period, U.S. equities suffered what proved to be a temporary setback due to concerns over emerging markets as well what was perceived at the time to be a pause in U.S. economic growth, partially caused by extreme weather events and a weak December 2013 labor market report. Markets soon recovered as the economic pause concluded and investors appeared to have become increasingly comfortable that newly-installed U.S. Federal Reserve (“Fed”) Chair Janet Yellen would not make any substantial changes to the trajectory of Fed monetary policy.

A generally risk-friendly, carry trade environment persisted from February 2014 until mid-year. While geopolitical tensions flared in the Middle East and Russia/Ukraine, any market setbacks were short-lived as improving economic growth in the U.S., coupled with prospects for easier monetary policy in regions with slowing growth, such as Japan, Europe and China, supported risk assets. For example, the European Central Bank (“ECB”) cut policy interest rates into negative territory and, by the end of the period, expectations were for additional rate cuts and the announcement for non-conventional easing measures. Similarly, the Bank of Japan surprised markets late in the period with fresh stimulus measures given lackluster growth trends. The related decline in developed market government bond yields and credit spreads were also supportive for equity markets. At the end of the period, the U.S. equity market was trading close to all-time highs and U.S. Treasury yields were close to their lows for the period.

Stock selection in the information technology sector was a primary detractor from performance relative to the Index. The Fund’s underweight position in computer and personal electronics maker Apple and an overweight position in internet search giant Google held back relative results. Additionally, not owning shares of software company Microsoft and social networking provider Facebook also weighed on relative returns.

In the industrials sector, weak stock selection hampered relative performance. Not owning strong-performing railroad and freight transportation company Union Pacific and an overweight position in building systems and

aerospace products and services provider United Technologies, dampened relative returns.

Stock selection in the health care sector also hurt relative results. However, there were no individual stocks within this sector that were among the Fund’s largest relative detractors during the period. Elsewhere, overweight positions in global media company Discovery Communications and asset management firm Franklin Resources, as well as holdings in international food producer Danone (France) and the world’s largest luxury goods company LVMH (France) held back relative performance.

An underweight position in the energy sector was a positive factor for relative performance. However, there were no individual stocks within this sector that were among the portfolio’s largest relative contributors during the period. Stock selection in the consumer discretionary sector also aided relative results. Within this sector, not owning internet retailer Amazon, and holdings of strong-performing media firm Time Warner boosted relative returns.

Stocks in other sectors that contributed to relative performance included overweight positions in drugstore retailer CVS Health, animal health products manufacturer Zoetis, paint and coating manufacturer Sherwin-Williams and data storage systems provider EMC, as well as holdings of sensors and controls manufacturer Sensata Technologies and semiconductor manufacturer Taiwan Semiconductors (Taiwan). Additionally an underweight position in computer products and services provider International Business Machines (IBM) and not owning shares of telecommunications company Verizon Communications added to relative return.

Penn Mutual Asset Management, Inc.

Investment Adviser

MFS Investments

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Large Cap Growth Fund on December 31, 2004 would have grown to $13,443. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Growth Index, during the same period. A $10,000 investment in the Russell 1000 Growth Index on December 31, 2004 would have grown to $22,590.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Large Cap Growth Fund		11.29	%		9.63	%		3.00	%
Russell 1000 Growth Index		13.05	%		15.81	%		8.49	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Technology		26.3	%
Consumer Discretionary		17.2	%
Healthcare		15.9	%
Consumer Staples		15.2	%
Industrials		13.7	%
Materials & Processing		4.5	%
Financials		4.0	%
Energy		3.2	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Large Core Growth Fund

The Penn Series Large Core Growth Fund returned 7.73% for the twelve-month period ending December 31, 2014, compared to the 13.05% return for its benchmark, the Russell 1000 Growth Index for the same time period.

In the consumer discretionary sector, Amazon.com has suffered with concerns over capital spending in the e-commerce industry. In addition, despite continued strength in revenue growth investors have grown concerned with larger-than-expected investments delaying profits and price competition for Amazon Web Services. We are staying the course as Amazon will continue to increase market share in each of its main businesses and the long term profit potential and rapidly growing revenue base will drive the stock higher. The gaming market in Macau has been a growth driver for stocks such as Las Vegas Sands. However, sentiment related to the Macau market turned negative in 2014 as the Chinese government began a corruption crackdown on gaming practices. While the company reported an inline quarter with better than expected margins in Macau, the recent negative headlines have weighed on the stock.

Consistent with past periods, our fundamentally based investment process is challenged when stock prices are driven by macroeconomic factors rather than company specific fundamentals. Within the energy sector, this dynamic was apparent during the fourth quarter as crude oil prices continued their precipitous fall, perpetuating the dramatic selloff in energy stocks that began last quarter. The sector’s recent performance, however, left little doubt that investors are treating many energy companies as proxies for oil prices. Portfolio holdings such as Antero Resources and Pioneer Natural Resources, both of which detracted materially from quarterly performance, are examples of this disconnect. Given the high degree of global factors impacting oil prices, we are monitoring developments closely and staying disciplined with a focus on company specific fundamentals.

In the consumer staples space, shares of Constellation Brands rose sharply as the company’s acquisition of the U.S. distribution rights and production facilities of certain beer brands owned by Groupo Modelo, (including Corona) materially improved the growth profile of the company.

Within health care, shares of Alexion Pharmaceuticals rose in the period as the company’s results were better than expected. The company’s core drug, Soliris, is used to treat rare blood disorders. We believe revenue growth will continue to surprise as the company executes within its approved indications, gains access to new geographies, and develops additional indications for Soliris. Shares of AbbVie added to returns after reporting better than

expected results and raising full year earnings guidance. The strong results were driven by improved sales of the company’s anti-inflammatory drug Humira and positive news around AbbVie’s hepatitis C drug regimen.

Looking toward 2015, the outlook for U.S. stocks is somewhat muddied. The U.S. economy is clearly moving forward, and the year ended with rising optimism around consumer confidence. The elixir of falling gas prices, a healthier job market, stable home values, and stronger U.S. dollar is having a positive impact. We are not, however, fully convinced the U.S. economy is about to shift into high gear. As has become increasingly apparent, global economies are highly interconnected.

The Fund remains levered to growth characteristics that have been temporarily left behind. With investors seeking safety, relative valuation multiples of many of our names have compressed even as earnings growth revisions have risen. Many of our holdings have true pricing power, are benefiting from consolidation, are expanding capacity, and taking market share. They are run by innovative management teams with long-term growth outlooks. We continue to have conviction in these holdings and remain comfortable with the resulting high level of active share they produce.

Penn Mutual Asset Management, Inc.

Investment Adviser

Wells Capital Management

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Large Core Growth Fund on August 25, 2008 would have grown to $16,078. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Growth Index, during the same period. A $10,000 investment in the Russell 1000 Growth Index on August 25, 2008 would have grown to $19,248.

Average Annual Total Returns¹ as of 12/31/14


	1 Year			5 Year			Since Inception²
Large Core Growth Fund		7.73	%		13.96	%		7.76	%
Russell 1000 Growth Index		13.05	%		15.81	%		10.86	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Technology		31.5	%
Consumer Discretionary		22.5	%
Healthcare		18.1	%
Financials		9.6	%
Industrials		8.5	%
Energy		4.7	%
Telecommunications		1.8	%
Consumer Staples		1.7	%
Materials & Processing		1.6	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Large Cap Value Fund

The Penn Series Large Cap Value Fund returned 11.31% for the twelve-month period ending December 31, 2014, compared to the 13.45% return for its benchmark, the Russell 1000 Value Index.

Within this market environment, strong stock selection in the health care and materials sectors contributed most to positive performance but was not enough to offset stock selection in the information technology sector. Despite our underweight, the energy sector also was detrimental to overall return due to commodity price pressures.

On an individual basis, Forest Laboratories, Covidien PLC and United Healthcare contributed most to return. Forest Laboratories, a pharmaceutical company, was the best absolute performer; as a result of its acquisition by Actavis Plc. Forest Laboratories was an attractive takeover candidate due its strong balance sheet and decent pipeline. The deal is expected to be very accretive due to operating and tax synergies, which should be realized within the next three years. In another acquisition, Medtronic’s offer to purchase Covidien, a global medical equipment company, for a combination of cash and stock caused a positive appreciation of Covidien’s shares. U.S. managed care company United Health’s management team hosted an upbeat investor meeting in the fourth quarter, which led analysts to believe the company will be able to offset increasing cost and utilization trends.

Noble Energy, Terex Corporation and Sanofi detracted the most from performance. In addition to commodity price pressure, Noble, an independent exploration and production company, also suffered from news that the Israeli government was considering renegotiating some rights that the company has to a large offshore gas field. Terex, a diversified global manufacturer, also underperformed due to a poor earnings report. Despite solid revenue growth, the company’s margins were weak on a combination of new product investments, poor execution and higher sales of lower margin products than has been typical. Sanofi, a France-based global pharmaceutical company, surprised analysts with poor earnings guidance for 2015, due to lower expected earnings from one of its largest drugs, followed by the firing of its well-liked CEO.

Looking forward, active managers could experience another difficult year if interest rates remain depressed. We are underweight in utilities and real estate investment trusts (REITs) because we believe valuations are

unattractive and should remain so. We believe opportunities may present themselves in the consumer discretionary space for a variety of reasons: pent up demand, income and unemployment trends, and falling energy prices. We maintain a roster of potential investment opportunities where we are waiting for better valuations before initiating positions. In this environment, a market correction is likely and could be a buying opportunity. However, the correction and subsequent bounce in October may cause the next selloff to be shallower as investors are poised for the correction. As always, we assess opportunities as defined by our risk/rewards, regardless of the direction of the markets.

Penn Mutual Asset Management, Inc.

Investment Adviser

Loomis, Sayles & Co.

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Large Cap Value Fund on December 31, 2004 would have grown to $17,232. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Value Index, during the same period. A $10,000 investment in the Russell 1000 Value Index on December 31, 2004 would have grown to $20,232.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Large Cap Value Fund		11.31	%		13.01	%		5.59	%
Russell 1000 Value Index		13.45	%		15.42	%		7.30	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Financials		26.7	%
Healthcare		16.3	%
Consumer Discretionary		11.2	%
Technology		10.9	%
Industrials		10.1	%
Energy		9.6	%
Consumer Staples		5.0	%
Materials & Processing		4.4	%
Utilities		3.3	%
Telecommunications		2.5	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Large Core Value Fund

The Penn Series Large Core Value Fund returned 11.29% for the twelve-month period ending December 31, 2014, compared to the 13.45% return for its benchmark, the Russell 1000 Value Index for the same time period.

Investor uncertainty regarding the Fed Reserve’s (the Fed) timetable for rising interest rates added to general market volatility during the period, but the Fed’s continued low interest rate policy was a tailwind for U.S. stock valuations. On the employment front, the U.S. economy benefited from continued job market gains, with the U.S. unemployment rate continuing its descent from financial crisis highs. The sharp decline in oil prices, a headwind for many companies operating in the Energy sector, provided a boost to disposable income levels for consumers.

The Fund’s underperformance relative to the Index was largely due to unfavorable sector allocation results, particularly the Fund’s modest overweight to the underperforming energy sector, and stock selection decisions in the information technology and financials sectors.

The best performing Index sectors were information technology, utilities, and health care, while the weakest were energy, telecommunication services, and industrials sectors. The Index and the Fund both delivered positive returns in nine of the ten sectors, with energy representing the loan sector generating a negative return.

Unfavorable stock selection in the information technology and financials sectors was the biggest detractor from the Fund’s relative performance. A modest overweight in the lagging energy sector also detracted from relative performance. At the individual stock level, overweight positions in oil and gas production companies Occidental Petroleum and Devon Energy were the biggest individual stock detractors from the Fund’s performance versus the Index.

Within health care, exposure to two large multinational pharmaceutical companies, Roche Holding and Sanofi, weighed on the Fund’s performance relative to the Index. Elsewhere, the Fund’s holding in agribusiness company Syngenta and not owning Berkshire Hathaway, one of the largest constituents of the Index, which delivered strong performance over the period, hurt relative performance.

Stock selection within the consumer staples and materials sector contributed to relative performance. At the individual stock level, the Fund’s exposure to biopharmaceutical company Shire was the top individual

stock contributor to relative performance. Strong performance from the Fund’s position in supermarket chain Kroger aided the Fund’s performance versus the Index. Elsewhere, overweight positions in Home Depot, Delta Air Lines, and Altria buoyed relative performance results.

In 2015, investors will be closely watching the Fed for signals regarding the long anticipated increase in short-term interest rates. Strong gains by U.S. stocks in the fourth quarter of 2014 may indicate that investors have already priced in the expected modest hike in rates. Other observers expect stocks to pull back in early 2015 following their sharp run-up, particularly with equity valuations elevated in many cases.

The possible extent of any further oil price declines will also bear watching, as will the potential impact of weak overseas economies on U.S. economic growth. In China, the recent stock market surge has led to worries about speculative excess. Observers will also continue to monitor Europe and Japan for any signs that government stimulus programs may be reigniting their lagging economies. In addition, Russia’s struggling, energy-reliant economy may remain a source of concern.

Depending on how these and other issues play out in the coming months, equity markets could experience periodic bouts of volatility. As always, we are committed to identifying companies with strong franchises and growth prospects and intend to maintain our discipline of investing in such companies only at what we regard as attractive valuations.

Penn Mutual Asset Management, Inc.

Investment Adviser

Eaton Vance Management

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Large Core Value Fund on August 25, 2008 would have grown to $15,045. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 1000 Value Index, during the same period. A $10,000 investment in the Russell 1000 Value Index on August 25, 2008 would have grown to $17,730.

Average Annual Total Returns¹ as of 12/31/14


	1 Year			5 Year			Since Inception²
Large Core Value Fund		11.29	%		12.05	%		6.64	%
Russell 1000 Value Index		13.45	%		15.42	%		9.43	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Financials		28.3	%
Healthcare		14.3	%
Energy		12.0	%
Technology		10.3	%
Industrials		8.7	%
Consumer Staples		7.8	%
Utilities		6.5	%
Consumer Discretionary		5.3	%
Materials & Processing		4.0	%
Telecommunications		2.8	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Index 500 Fund

The Penn Series Index 500 Fund returned 13.25% for the twelve-month period ending December 31, 2014, compared to the 13.69% return for its benchmark, the S&P 500 Index.

The opening quarter of 2014 offered investors plenty of worthwhile return opportunities, but progress was not without pitfalls, and the best results arrived in unlikely corners of the marketplace. Against expectations of continued steady improvement in global economic growth, the first quarter delivered a harsh U.S. winter, downbeat economic signals in China, and Russian bellicosity in Ukraine. Even though activity prospects for the whole of 2014 remained relatively bright, weakness in consumer plays restrained equity returns and several defensive segments performed well. The U.S. Federal Reserve followed through with its plans to begin a steady reduction in asset purchases, but short-term bond yields saw narrow movement and longer-term yields underwent notable declines. Despite concerted accommodation rhetoric at both the European Central Bank and the Bank of Japan, the U.S. dollar struggled during the quarter, and agricultural commodities led resource prices higher. Even emerging market currencies ultimately gained traction, rallying in March as credit conditions eased further and outflows from developing countries began to ebb. While global equity markets followed up their tremendous 2013 finish with modest additional returns in the opening stanza of 2014, the biggest winners in the first quarter were late 2013 laggards, including long-duration bonds, real estate investment trusts, precious metals, and a selection of smaller equity markets in Europe and Asia.

July got off to a good start as equities responded favorably to the July 3rd U.S. Non-Farm Payroll report with the Dow Jones Industrial Average crossing 17,000 for the first time ever. However, the optimism was short lived as fighting started in Gaza between the Israeli army and Hamas, and banking fears in Europe were re-ignited as shares of Portugal’s largest bank, Espirito Santo, plunged amid concerns that the bank would have troubles paying off its debts. Then, Malaysian Airlines flight 17 was shot down over eastern Ukraine, leading to a further escalation of

tensions between the West and Russia. European shares tumbled on the expectation that further economic sanctions could cripple the fragile Russian economy which might, in turn, prompt retaliation from Putin.

The fourth quarter began as the third quarter ended with stocks sliding and bond markets rallying. The IMF cut its global growth forecasts and interest rates moved lower. Oil traded to new lows, only to move much lower later in the quarter, on a perceived lack of demand which only added to fears that growth is not materializing. Reports continued to flow out of Syria and Iraq about ISIS advances in the region. U.S. airstrikes seemed to have stemmed the advances, but ISIS continues to hold large swaths of the region. From September 30th to October 15th, the S&P 500 Index was down 5.5% and MSCI EAFE was off 6.45%. In the middle of the month, U.S. banks began reporting better than expected earnings which helped turn the equity rout around. Fed Vice-Chair Fischer helped improve sentiment when he said, “If foreign growth is weaker than anticipated, the consequences for the US economy could lead the Fed to remove accommodation more slowly than otherwise.” The S&P 500 began a dramatic rally and closed out the second half of the month with a rise of 8.1% to end the month up 2.44%.

Penn Mutual Asset Management, Inc.

Investment Adviser

State Street Global Advisors

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Index 500 Fund on December 31, 2004 would have grown to $20,603. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the S&P 500 Index, during the same period. A $10,000 investment in the S&P 500 Index on December 31, 2004 would have grown to $20,944.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Index 500 Fund		13.25	%		15.07	%		7.50	%
S&P 500 Index		13.69	%		15.45	%		7.67	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Technology		19.6	%
Financials		16.7	%
Healthcare		14.2	%
Consumer Discretionary		12.1	%
Industrials		10.4	%
Consumer Staples		9.8	%
Energy		8.5	%
Materials & Processing		3.2	%
Utilities		3.2	%
Telecommunications		2.3	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Mid Cap Growth Fund

The Penn Series Mid Cap Growth Fund returned 9.49% for the twelve-month period ending December 31, 2014, compared to the 11.90% return for its benchmark, the Russell Midcap Growth Index.

Overall stock selection contributed strongly to relative performance during the first quarter, with selections within the technology and consumer staples sectors contributing the most to the Fund’s overall outperformance. Detractions to relative returns in the first quarter were small in amplitude and were from a diverse swatch of holdings within the financial services, consumer discretionary, and utilities sectors.

The single largest contributor to the Fund for the first quarter was Beam Inc. NXP Semiconductors in the technology sector was the second largest contributor for the quarter. Within the consumer discretionary sector, Delta Air Lines, and Kate Spade provided positive contributions.

Stock selection in financial services hindered performance during the first quarter in relative and absolute terms although the magnitude was not great. IntercontinentalExchange Group, a leading operator of regulated exchanges and clearing houses, pulled back and was the largest detractor to the Fund in the first half of the year.

The commentary provided above was from the former sub-adviser of the Fund, Turner Investments who was the manager of the Fund until May 1, 2014.

The manager primarily emphasizes a bottom-up approach and may look at a number of factors in its consideration of a company. These include new or innovative products or services, adaptive or creative management, strong financial and operational capabilities to sustain growth, market potential, profit potential, and stable and consistent revenue, earnings, and cash flow.

Consistent with the strategy’s philosophy and process, the majority of performance in the second half of the year was driven by individual stock selection as opposed to sector bets versus the Index.

Stock selections in the industrials and energy sector accounted for the bulk of the shortfall in return compared to the Index. More specifically within industrials, Flowserve and Jacobs Engineering struggled because of concerns about their business with customers in the energy industry.

The Fund’s energy names were weak across the board due to the swift decline in the price of oil since June, and especially within the fourth quarter. This was a punishing moment for the group generally and the Fund’s names specifically. The largest negative contribution for the period came from the names owned with exposure to domestic shale oil drilling in the Bakken region, and also natural gas exposed names.

Strong stock selection in the Fund’s health care, and consumer-related sectors were positive for performance for the period. The Fund had many strong performers in the health care sector which propelled the Fund to beat the Index in this category. Select information technology stocks also performed well. These included Electronic Arts, which we added to the Fund early in the year, as well as F5 Networks.

The top three securities detracting from performance for the period were Oasis Petroleum, Continental Resources and Southwestern Energy. The top three securities contributing to the Fund’s performance were Electronic Arts, Intuitive Surgical and Limited.

The commentary provided above is from the current sub-adviser of the Fund, Ivy Investment Management who became the manager of the Fund on May 1, 2014.

Penn Mutual Asset Management, Inc.

Investment Adviser

Ivy Investment Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Mid Cap Growth Fund on December 31, 2004 would have grown to $21,104. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Growth Index, during the same period. A $10,000 investment in the Russell Midcap Growth Index on December 31, 2004 would have grown to $24,618.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Mid Cap Growth Fund		9.49	%		13.19	%		7.76	%
Russell MidCap Growth Index		11.90	%		16.94	%		9.43	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Consumer Discretionary		23.3	%
Healthcare		20.0	%
Technology		18.5	%
Industrials		14.4	%
Financials		9.4	%
Consumer Staples		6.4	%
Energy		6.0	%
Materials & Processing		2.0	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Mid Cap Value Fund

The Penn Series Mid Cap Value Fund returned 13.67% for the twelve-month period ending December 31, 2014, compared to the 14.75% return for its benchmark, the Russell Midcap Value Index.

In many ways, it appears to us that idyllic conditions may exist for the domestic equity markets. Gross Domestic Product (GDP) growth is accelerating with little, if any, inflationary pressures. Interest rates remain low and consumer and business confidence is increasing. Declining energy prices are a positive for both the consumer and for U.S. manufacturing. The consumer balance sheet is strong and cash flow is increasing due to improved employment, increased average hourly earnings, and lower interest rates. Domestic industrial production operating rates have increased to over 80%, a level that in the past has triggered increased capital spending. Finally, corporate balance sheets are very liquid and management teams have been returning record amounts of cash to investors.

We continue to focus on high-quality, cash-generating franchises that are selling at significant discounts to our estimates of intrinsic value. For the most part, our mid-cap companies are domestically focused, which is beneficial with the dollar strengthening. We continue to position the Fund for stronger domestic growth, as it is clear to us that foreign growth is slowing and the U.S. economy has decoupled from the rest of the world.

For calendar year 2014, the Fund benefited from our overweight positions in the consumer and technology sectors. In the consumer area, the acquisition of one of our holdings in the consumer staples sector, a food and drug retailer (our largest position at the time), by a private equity firm helped performance. The market also recognized the steady and growing cash generating characteristics of another of our consumer staples companies engaged in the pharmacy health care business. One of our technology companies, a designer, developer, manufacturer and marketer of proprietary semiconductor products, was a large contributor as the market reacted positively to the company’s growing earnings and cash flow, due in part to its increasing chip content on the new iPhones.

For the year, our underweights in the financial services and the utilities sectors detracted from performance as both these sectors benefited from the surprising decline in interest rates during the year. With interest rates expected to rise during 2015, and the utilities sector selling at record high P/E’s, we would expect our underweights to help performance during 2015.

Our lagging investments in the Fund during the year included an engineering company, a manufacturer of perfumes and beauty products, and a fashion retailer. We continue to hold the engineering company as the new CEO has announced a major restructuring that we believe could benefit shareholders. We also maintain our position in the fashion retailer, as a private equity firm is exploring a buyout of the company, but eliminated our position in the perfume and beauty products manufacturer as our investment thesis for the company changed.

Despite the fact that equities in the mid-cap area are not as cheap as they were several years ago, we continue to identify quality franchises with strong balance sheets and robust free cash flow generation. With the domestic economy accelerating, we believe that earnings and cash flow could continue to improve during 2015. The likelihood of higher interest rates sometime in 2015 could create a more volatile investing environment, which could favor our bottom-up stock picking. We anticipate merger and acquisition activity to accelerate due to the availability of inexpensive financing, excess cash on balance sheets and continued activist activity. Our franchise companies are often beneficiaries of this activity.

Penn Mutual Asset Management, Inc.

Investment Adviser

Neuberger Berman Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Mid Cap Value Fund on December 31, 2004 would have grown to $21,161. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Value Index, during the same period. A $10,000 investment in the Russell Midcap Value Index on December 31, 2004 would have grown to $24,629.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Mid Cap Value Fund		13.67	%		16.02	%		7.78	%
Russell MidCap Value Index		14.75	%		17.43	%		9.43	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Industrials		22.7	%
Technology		18.4	%
Financials		16.1	%
Consumer Discretionary		14.1	%
Utilities		8.1	%
Energy		7.2	%
Health Care		4.8	%
Materials & Processing		4.0	%
Consumer Staples		3.6	%
Telecommunications		1.0	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Mid Core Value Fund

The Penn Series Mid Core Value Fund returned 16.37% for the twelve-month period ending December 31, 2014, compared to the 14.75% return for its benchmark, the Russell Midcap Value Index.

Security selection among information technology names contributed to relative results. In the information technology sector, Applied Materials enhanced relative results. The semiconductor equipment maker saw fundamentals improve across the industry in the wake of technology changes in semiconductor and memory manufacturing. The company continues to focus on improving its margins, market share, and research and development productivity.

In the industrials sector, security selection enhanced relative performance, though some of the gain was offset by a detrimental overweight in the sector. Security selection and an underweight in the machinery segment drove contribution from the sector. Waste management company Republic Services helped results. The stock appreciated as an improving economy drove volume growth for the company. The company also benefited from solid execution by management and the team finds the stock’s valuation attractive. A position in Clean Harbors was added. The company is an environmental waste services franchise in an industry with substantial barriers to entry. Recent execution issues, bad capital allocation decisions, and poor end market conditions have weighed on the stock, creating an attractive opportunity to invest in what the team believes is a high quality company.

The industrials sector was also the source of some top detractors for the Fund. Industrial conglomerate name Koninklijke Philips NV declined after losing a patent infringement case and being ordered to pay a large settlement to Masimo Corp.

The energy sector was a contributor to relative returns overall. In particular, lack of exposure to Seadrill was helpful as crude oil plunged during the fourth quarter. However, many of the Fund’s energy holdings were also negatively impacted by falling oil prices, including Apache Corporation and Imperial Oil. Weaker-than-expected demand from non-U.S. markets, higher-than-anticipated supply from North American shale formations, and OPEC’s unwillingness to curtail production in the wake of falling prices all drove weakness in crude oil price.

Overweights in the health care and consumer staples sectors also contributed to relative performance. Merger and acquisition activity served as a tailwind for several of the Fund’s holdings. In the consumer staples sector, Hillshire Brands was a top contributor for the Fund. Its share price appreciated when it announced it was being acquired by Tyson Foods, and the team exited the position. Health care company CareFusion appreciated after accepting a buyout offer from Becton, Dickinson and Company at a nearly 30% premium to where the stock was trading at the time of the offer.

Security selection in the financials sector was the greatest detractor from relative performance. The Fund remained significantly underweight in REITs, as the team finds valuations unattractive amid continued low interest rates.

In the materials sector, security selection weighed on relative returns, though some of the detraction was offset by the Fund’s underweight to the sector. Global aluminum fabricator Constellium NV detracted as an acquisition increased its debt burden. Additionally, the company announced its intent to increase capacity over the next three years, which could limit its free cash flow generation. The Fund exited its position in the stock.

The team continues to follow its disciplined, bottom-up process, selecting companies one at a time for the Fund. As of December 31, 2014, the team sees opportunity in industrials, consumer staples, and energy, as reflected by the Fund’s overweight positions in these sectors relative to the benchmark. Fundamental analysis and valuation work have led to smaller relative weightings in financials, consumer discretionary, and materials stocks.

Penn Mutual Asset Management, Inc.

Investment Adviser

American Century Investment Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Mid Core Value Fund on December 31, 2004 would have grown to $19,634. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell Midcap Value Index, during the same period. A $10,000 investment in the Russell Midcap Value Index on December 31, 2004 would have grown to $24,629.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Mid Core Value Fund		16.37	%		15.79	%		6.98	%
Russell MidCap Value Index		14.75	%		17.43	%		9.43	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Financials		26.8	%
Industrials		13.9	%
Utilities		12.0	%
Health Care		11.2	%
Technology		10.4	%
Consumer Staples		7.6	%
Consumer Discretionary		6.6	%
Energy		6.4	%
Materials & Processing		3.6	%
Telecommunications		1.5	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

SMID Cap Growth Fund

The Penn Series SMID Cap Growth Fund returned 0.61% for the twelve-month period ending December 31, 2014, compared to the 7.05% return for its benchmark, the Russell 2500 Growth Index for the same time period.

Positioning in the information technology sector was a source of challenge. As investors shed higher valuation stocks earlier this year, technology holdings were particularly hard hit given innovation implicit in these stocks is often accompanied by premium valuations. Weakness was apparent in shares of Cornerstone Ondemand. The provider of talent and management software saw its shares decline after the company reported lower sales and earnings than expected. Our position in Channeladvisor came under pressure. Channeladvisor works with small businesses to aggregate products on multiple online channels, something vendors find daunting given the expanding complexities. The company beat guidance on all metrics, however, shares declined as stocks with high valuations sold off heavily during April.

Shares of industrial rail road company Kansas City Southern declined after the company’s results fell short of expectations. The company’s rail network is strategically positioned to participate in increasing trade between the U.S. and Mexico. However, regulatory concerns mandating open access on Mexican rail lines with public pricing transparency arose, which threatened KSU’s exclusivity agreements within the country. This led to a sell-off in the shares. As is consistent with our process, the increased uncertainty led us to sell our position in favor of better ideas. Digital Globe, a company that provides satellite imagery to Federal and local governments as well as private businesses, declined after geopolitical and currency factors hurt sales.

Security selection in the health care sector proved additive to returns during the year. Holdings within the biotechnology industry reconcile well with the innovation theme and were significant contributors to performance over the past year. Shares of Puma Biotechnology shot up in the as positive phase III data for the company’s breast cancer drug, Neratinib, was announced. Our position in contact lens manufacturer Cooper Companies also contributed. Cooper enjoys a large market share position and is at the forefront of the move toward daily silicone hydrogel lenses. These lenses offer consumers more comfort and convenience while being more profitable for manufacturers. In July, the company announced the

acquisition of Sauflon, a competitor in the daily lens market, thereby enhancing its position in this market.

Looking toward 2015, the outlook for U.S. stocks is somewhat muddied. The U.S. economy is clearly moving forward, and the year ended with rising optimism around consumer confidence. We are not, however, fully convinced the U.S. economy is about to shift into high gear. As has become increasingly apparent, global economies are highly interconnected. The ripples from a rising U.S. dollar, fears of global deflation, and a massive collapse in commodity prices top the list of global economic issues that remain unresolved.

In this environment, the dilemma of a style pure growth manager is assessing how long an anomalous period will last. Almost any off benchmark bet, be it down market cap, cyclically exposed, long duration growth, or internationally exposed, hurt relative performance in 2014. Chasing index positions or stretching our valuation discipline would compromise our process and is simply not an option. So despite last year’s relative underperformance, we think it’s critical to not follow the herd. We will instead closely distinguish between fads and fundamentals. The push for yield and rewards for financial engineering is in our view, an unsustainable condition. Therefore, we must stay the course with discipline around our time tested investment process as a catalyst will eventually emerge to shake capital in a new direction.

Penn Mutual Asset Management, Inc.

Investment Adviser

Wells Capital Management

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the SMID Cap Growth Fund on August 25, 2008 would have grown to $19,759. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2500 Growth Index, during the same period. A $10,000 investment in the Russell 2500 Growth Index on August 25, 2008 would have grown to $19,676.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
SMID Cap Growth Fund		0.61	%		14.55	%		11.31	%
Russell 2500 Growth Index		7.05	%		17.27	%		11.24	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Technology		21.8	%
Consumer Discretionary		21.8	%
Industrials		21.6	%
Healthcare		19.9	%
Financials		5.8	%
Materials & Processing		2.9	%
Energy		2.7	%
Telecommunications		2.3	%
Consumer Staples		1.2	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

SMID Cap Value Fund

The Penn Series SMID Cap Value Fund returned 9.25% for the twelve-month period ending December 31, 2014, compared to the 7.11% return for its benchmark, the Russell 2500 Value Index for the same time period.

U.S. equity markets saw strong gains in 2014 as economic recovery fuelled earnings growth. Although small-cap stocks performed well in the fourth quarter, they lagged large caps for the year as a spike in volatility in September and October drove a sell-off in assets with perceived higher levels of risk.

During the year, the Fund rose in absolute terms and outperformed its benchmark, the Russell 2500 Value Index. The outperformance was driven by strong security selection. Overall sector selection also contributed. Stock selection and an overweight position in consumer-cyclicals was the leading contributor to performance.

Individual contributors were varied by sector and included consumer-cyclical holdings, Office Depot.

The superstore chain has continued to execute well on its merger integration with OfficeMax leading to much higher cost savings than investors had expected. Other contributors included Electronic Arts, Lam Research, CDW and Health Net.

While an underweight in the energy sector contributed to performance, energy holdings were significant detractors in the quarter. A sharp drop in oil prices drove downward the share price of exploration and production companies. Our energy holdings — including Bill Barrett, Rosetta Resources and SM Energy — were also affected by investor anxiety, as weaker cash flows due to lower oil prices threatened companies’ ability to make investments necessary to grow oil production. Additional detractors included General Cable Technologies and Meritage Homes.

Looking ahead to 2015, we will continue to seek companies to add to the Fund that have the same combination of compelling valuation, strong free cash flows and significant company-level catalysts as our current holdings. While the opportunities may range across a variety of sectors, areas with greater exposure to the economic cycle are likely to be the most promising.

Penn Mutual Asset Management, Inc.

Investment Adviser

AllianceBernstein

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the SMID Cap Value Fund on August 25, 2008 would have grown to $21,021. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2500 Value Index, during the same period. A $10,000 investment in the Russell 2500 Value Index on August 25, 2008 would have grown to $18,536.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
SMID Cap Value Fund		9.25	%		16.13	%		12.40	%
Russell 2500 Value Index		7.11	%		15.48	%		10.20	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Financials		29.9	%
Technology		21.8	%
Consumer Discretionary		17.8	%
Industrials		12.1	%
Utilities		6.6	%
Materials & Processing		4.3	%
Healthcare		3.5	%
Energy		2.7	%
Consumer Staples		1.3	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Small Cap Growth Fund

The Penn Series Small Cap Growth Fund returned 7.76% for the twelve-month period ending December 31, 2014, compared to the 5.60% return for its benchmark, the Russell 2000 Growth Index.

We have taken a high-quality approach to investing in small-caps, and that approach paid off during year. Many of the companies in the Fund have predictable, recurring revenue streams. Our companies also typically generate a high return on invested capital and have demonstrated a proven ability to expand profit margins. We also put a great emphasis on identifying companies with sustainable competitive advantages that should help them gain market share and grow in a variety of market environments. Given our high-quality focus, we expect the Fund to produce positive results during market rallies, and to outperform the benchmark in weak or uncertain market environments, creating a smoother path to investing in small caps and a better opportunity to generate higher compounded returns over full market cycles.

At the sector level, our stock selection in the energy and materials sectors was the largest contributor to relative performance. We have placed emphasis on identifying companies within those sectors that have less commodity price sensitivity, and that helped our performance as many commodity prices fell this year. Our stock selection in the consumer discretionary and financial sectors detracted from relative performance.

SS&C Technologies was our largest contributor to absolute performance. The company provides a number of investment and financial software-enabled services to companies in the financial services industry. Most of its revenue comes from subscription services or software maintenance, which helps create a steady, recurring revenue source for the company. Strategic acquisitions made by the company in recent years have broadened its array of service offerings to financial firms and should create better cross-selling opportunities to its clients. The stock was up late in the period after SS&C announced another acquisition that should help further broaden its offering to customers.

Athlon Energy was another large contributor. We like the reserve potential of the company’s fields in the West Texas Permian Basin, but sold the stock during the period after significant gains.

While generally pleased with results this year, we did have stocks that declined and detracted from our performance. Kennametal was our largest detractor. The company makes cutting tools used in end markets serving the energy sector, and has been impacted by falling oil prices. Kennametal has also made some executional missteps, in our view. We are currently reviewing our position as we wait to see the plans of a new CEO running the company.

Graftech International was another detractor. Graftech produces graphite electrodes that go into electric arc furnaces, which is a more environmentally friendly way to produce steel than using blast furnaces. We trimmed the stock at higher levels due to concerns about the macro environment for steel consumption globally, however we believe the stock is undervalued at its current level after a meaningful selloff late in the year. Capacity in the graphite electrode industry has been reduced since 2012, which should improve pricing for graphite electrodes at some point.

Heading into the new year, valuations for small-cap stocks remain on the higher end of historical averages. We believe this investment backdrop could be beneficial for our relative performance. We have avoided many of the stocks that were driven by momentum in 2014, and believe these pockets of the market are due for multiple consolidation in the coming months or quarters. We also believe our focus on companies that have steadier, recurring earnings streams should be in favor in an environment where earnings growth is the primary driver of further stock price appreciation.

Penn Mutual Asset Management, Inc.

Investment Adviser

Janus Capital Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Small Cap Growth Fund on December 31, 2004 would have grown to $14,875. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Growth Index, during the same period. A $10,000 investment in the Russell 2000 Growth Index on December 31, 2004 would have grown to $22,699.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Small Cap Growth Fund		7.76	%		10.67	%		4.05	%
Russell 2000 Growth Index		5.60	%		16.80	%		8.54	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Technology		32.9	%
Industrials		21.0	%
Healthcare		19.6	%
Consumer Discretionary		14.3	%
Financials		6.0	%
Consumer Staples		2.3	%
Materials & Processing		2.1	%
Energy		1.8	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Small Cap Value Fund

The Penn Series Small Cap Value Fund returned 7.15% for the twelve-month period ending December 31, 2014, compared to the 4.22% return for its benchmark, the Russell 2000 Value Index.

Exact Sciences, a developer of diagnostic screening products targeting the early detection and prevention of colorectal cancer, was a top contributor to returns during the year. Shares of Exact Sciences traded higher as investors gained confidence in the company’s colorectal cancer screening test, Cologuard, receiving Food and Drug Administration (FDA) approval. In August, Cologuard received FDA approval and in October, its shares spiked after Medicare officials recommended a much higher-than-anticipated reimbursement for the test.

During 2014, Parsley Energy, an exploration and production company with operations focused in West Texas, was a top detractor in the Fund. Following Parsley Energy’s initial public offering at the end of May, the company has posted impressive quarterly earnings and strong production growth. However, the recent decline in oil prices has adversely impacted the stock. Despite recent challenges, we continue to be positive on Parsley Energy’s acreage in the Midland Basin and we are constructive on the company’s potential to experience above-average reserve and production growth going forward.

During the year, we initiated a position in Berry Plastics Group, a producer of plastic products and containers mainly for companies in the consumer staples sector. We believe that the company’s new Versalite cup, a recyclable alternative to foam cups, could be a major driver of earnings over the next several years due to increasing demand and the high margin nature of the product. We also view lower oil prices as a significant tailwind for the company given that the price of plastic, the largest input for Berry Plastics Group, and oil are closely linked. We also started a position in Rice Energy, an exploration and production company based in Pennsylvania. In our view, Rice Energy’s prominent acreage in the Marcellus and Utica Shales has the potential to drive continued strong results for the company.

During the year, we exited our position in Western Refining, an independent refiner of crude oil. Overall, we believe Western Refining is led by a quality management team and we are positive on the refiner’s location in the Permian basin. Strict to our sell discipline, however, as the stock’s valuation appreciated and reached our price target,

we exited the position and transitioned capital into higher conviction names within the energy sector. We exited our position in Cleco Corp., a Louisiana-based public utility holding company. We initiated our position in Cleco given our positive outlook on the company’s above-average earnings growth prospects and management’s focus on allocating free cash flow in a shareholder friendly-manner. In October, its shares rose sharply after the company announced plans to be acquired by a group of infrastructure investors. Following the announcement, we exited our position and transitioned capital into names with greater upside potential.

While we acknowledge that the potential for headwinds remain, such as geopolitical risks, we ultimately remain constructive on the direction of U.S. equity markets. Regardless of the market direction, our fundamental, bottom-up stock selection continues to drive our process, rather than headlines or sentiment. We maintain high conviction in the companies that we own and believe they have the potential to outperform relative to the broader market regardless of the growth environment. We continue to focus on undervalued companies that we believe are in control of their own future, such as innovators with differentiated products, companies with low cost structures, or ones that have been investing in their own businesses and are poised to gain market share.

Penn Mutual Asset Management, Inc.

Investment Adviser

Goldman Sachs Asset Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Small Cap Value Fund on December 31, 2004 would have grown to $23,565. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Value Index, during the same period. A $10,000 investment in the Russell 2000 Value Index on December 31, 2004 would have grown to $19,468.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Small Cap Value Fund		7.15	%		17.19	%		8.95	%
Russell 2000 Value Index		4.22	%		14.26	%		6.89	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Financials		39.4	%
Industrials		14.1	%
Consumer Discretionary		11.7	%
Technology		10.8	%
Utilities		6.4	%
Materials		5.9	%
Healthcare		5.5	%
Energy		3.7	%
Consumer Staples		2.1	%
Telecommunications		0.4	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Small Cap Index Fund

The Penn Series Small Cap Index Fund returned 4.21% for the twelve-month period ending December 31, 2014, compared to the 4.89% return for its benchmark, the Russell 2000 Index for the same time period.

The fourth quarter began as the third quarter ended with stocks sliding and bond markets rallying. The IMF cut its global growth forecasts and interest rates moved lower. Oil traded to new lows, only to move much lower later in the quarter, on a perceived lack of demand which only added to fears that growth is not materializing. Reports continued to flow out of Syria and Iraq about ISIS advances in the region. U.S. airstrikes seemed to have stemmed the advances, but ISIS continues to hold large swaths of the region. From September 30^th to October 15^th, the S&P 500 Index was down 5.5% and MSCI EAFE was off 6.45%. In the middle of the month, U.S. banks began reporting better than expected earnings which helped turn the equity rout around. Fed Vice-Chair Fischer helped improve sentiment when he said, “If foreign growth is weaker than anticipated, the consequences for the US economy could lead the Fed to remove accommodation more slowly than otherwise.” The S&P 500 began a dramatic rally and closed out the second half of the month with a rise of 8.1% to end the month up 2.44%.

Penn Mutual Asset Management, Inc.

Investment Adviser

State Street Global Advisors

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Small Cap Index Fund on August 25, 2008 would have grown to $17,702. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the Russell 2000 Index, during the same period. A $10,000 investment in the Russell 2000 Index on August 25, 2008 would have grown to $17,857.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Small Cap Index Fund		4.21	%		14.91	%		9.40	%
Russell 2000 Index		4.89	%		15.55	%		9.56	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Financials		24.2	%
Technology		17.9	%
Healthcare		14.8	%
Industrials		13.8	%
Consumer Discretionary		13.7	%
Materials & Processing		4.5	%
Energy		3.5	%
Utilities		3.5	%
Consumer Staples		3.3	%
Telecommunications		0.8	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

Developed International Index Fund

The Penn Series Developed International Index Fund returned –6.10% for the twelve-month period ending December 31, 2014, compared to the –4.48% return for its benchmark, the MSCI EAFE Index for the same time period.

After an initial lift as the second quarter got underway, equities worldwide began once again to struggle with the possibility that growth in 2014 might not evolve as robustly as anticipated. The International Monetary Fund (IMF) contributed further to the uncertainty when it released its updated economic outlook. Although European expansion prospects earned an upgrade from the previous outlook, worries about low Euro-zone inflation remained prominent. The IMF’s projections for global growth as a whole were slightly lower, with notable downgrades in forecasts for Japan.

banking fears in Europe were re-ignited as shares of Portugal’s largest bank, Espirito Santo, plunged amid concerns that the bank would have troubles paying off its debts. Then, Malaysian Airlines flight 17 was shot down over eastern Ukraine, leading to a further escalation of tensions between the West and Russia. European shares tumbled on the expectation that further economic sanctions could cripple the fragile Russian economy which might, in turn, prompt retaliation from Putin.

The fourth quarter began as the third quarter ended with stocks sliding and bond markets rallying. The IMF cut its global growth forecasts and interest rates moved lower. Oil traded to new lows, only to move much lower later in the quarter, on a perceived lack of demand which only added to fears that growth is not materializing. Reports continued to flow out of Syria and Iraq about ISIS advances in the region. U.S. airstrikes seemed to have stemmed the advances, but ISIS continues to hold large swaths of the region. From September 30th to October 15th, the S&P 500 Index was down 5.5% and MSCI EAFE was off 6.45%. In the middle of the month, U.S. banks began reporting better than expected earnings which helped turn the equity rout around. Fed Vice-Chair Fischer helped improve sentiment when he said, “If foreign growth is weaker than anticipated, the consequences for the U.S. economy could lead the Fed to remove accommodation more slowly than otherwise.” The S&P 500 began a dramatic rally and closed out the second half of the month with a rise of 8.1% to end the month up 2.44%.

Penn Mutual Asset Management, Inc.

Investment Adviser

State Street Global Advisors

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Developed International Index Fund on August 25, 2008 would have grown to $11,590. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI EAFE Index, during the same period. A $10,000 investment in the MSCI EAFE Index on August 25, 2008 would have grown to $12,269.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Developed International Index Fund		(6.10	)%		4.75	%		2.35	%
MSCI EAFE Index		(4.48	)%		5.81	%		3.27	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
Japan		21.1	%
United Kingdom		18.3	%
Switzerland		9.9	%
France		9.2	%
Germany		9.1	%
Australia		7.5	%
Netherlands		4.8	%
Spain		3.4	%
Hong Kong		3.0	%
Sweden		3.0	%
Italy		2.1	%
Denmark		1.5	%
Singapore		1.5	%
Belgium		1.3	%
Finland		0.9	%
Ireland		0.8	%
Israel		0.6	%
Norway		0.6	%
Luxembourg		0.4	%
Austria		0.2	%
New Zealand		0.2	%
China		0.1	%
Guernsey		0.1	%
Jersey		0.1	%
Portugal		0.1	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated.

International Equity Fund

The Penn Series International Equity Fund returned 2.95% for the twelve-month period ending December 31, 2014, compared to the –4.48% return for its benchmark, the MSCI EAFE Index.

Contributing to performance during the period, Housing Development Finance Corporation (HDFC) is a diversified financial services company in India with a leading mortgage finance franchise. HDFC is well-placed for long-term growth as it is the leader in mortgage lending in India, with margins supported by industry-leading low costs.

HDFC Bank reported solid results, earnings were solid and retail loan growth was encouraging. HDFC Bank is a high-quality Indian private sector bank which has been a cornerstone investment in the Fund for many years. The bank has delivered solid growth while maintaining high credit and underwriting standards. HDFC Bank has a strong deposit franchise and powerful technology backbone that has allowed it to significantly grow earnings over the past 10 years.

Detracting from performance during the period was Core Laboratories. Its price declined due to the sharp fall in the price of oil, which has weighed on all companies in the sector. There is a real risk that investment gets delayed. The reason we continue to hold Core Labs in this environment is that it is unique in the oil services field. The company focuses on niches within oil services, where it can be a leader and where returns are extremely high. The company focuses on helping customers extract the most amount of oil from their fields, and where the returns on investment for customers make it that, even in downturns, there should still be demand for Core’s products, albeit at a lower level.

Another detractor was Sands China, as well as other Macau-exposed gaming stocks, which underperformed due to weak monthly gross gaming revenue (GGR) numbers in the market. This slowdown was not to be unexpected. However, in hindsight, the magnitude of the market contraction has admittedly been more severe than anticipated. While it has weighed heavily on the VIP segment of the Macau gaming pie, the ongoing corruption crackdown in China should be a positive for Macau longer term. There is nothing wrong with cleaning out potentially dirty money from the market for the operators that we believe are above board in their operations and well-positioned for the real prize, the growth in mass and premium mass gamblers. However, we still remain bullish

on the investment prospects long term for these businesses, despite the immediate headwinds to next year’s results.

In 2014, the U.S. posted solid returns, and Europe and emerging markets declined. While the U.S. stock market fell sharply in October and again in December, its quick rebound in both months signified its underlying economic strength as it enters 2015 with strong momentum. The U.S. Federal Reserve is likely to raise rates in 2015 as the economy moves into a more mature stage of recovery. In Europe, however, weak growth and the continued threat of deflation suggest that monetary policy is headed in the opposite direction. Europe continued to struggle as disappointing economic data was released and the European Central Bank lowered its growth forecasts for the Eurozone economy. Falling commodity prices and a strengthening U.S. dollar have driven emerging markets to negative territory.

Volatility is likely to increase across both developed and emerging markets in 2015. As the investment environment becomes more challenging, careful stock selection is critical. We focus on identifying companies with characteristics that can provide resilience to macro shocks, such as robust cash flow, a consumer focus and a strong competitive position.

Penn Mutual Asset Management, Inc.

Investment Adviser

Vontobel Asset Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the International Equity Fund on December 31, 2004 would have grown to $19,336. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI EAFE Index, during the same period. A $10,000 investment in the MSCI EAFE Index on December 31, 2004 would have grown to $16,151.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
International Equity Fund		2.95	%		8.16	%		6.82	%
MSCI EAFE Index		(4.48	)%		5.81	%		4.91	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
United Kingdom		18.5	%
Switzerland		15.7	%
India		12.6	%
France		8.6	%
United States		7.2	%
Canada		6.9	%
Netherlands		5.5	%
China		5.0	%
Australia		4.2	%
Denmark		3.6	%
Brazil		2.9	%
Hong Kong		2.8	%
Spain		1.5	%
South Africa		1.4	%
Japan		1.3	%
Ireland		1.2	%
Germany		1.0	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated.

Emerging Markets Equity Fund

The Penn Series Emerging Markets Equity Fund returned –4.91% for the twelve-month period ending December 31, 2014, compared to the –1.82% return for its benchmark, the MSCI Emerging Markets Index for the same time period.

The 2014 year was a volatile one in emerging markets. Investor concerns about a slowing China and Russian actions in Ukraine and Crimea early in the year were followed by sharp rallies later in the second quarter, sparked by attractive valuations, selective hope of economic reform and mini-stimulus in China. Since early September, however, emerging markets have all but given back the gains of the previous quarter. The sell-off was initially sparked by renewed fears about the prospect of rising U.S. interest rates and a strong U.S. dollar, and exacerbated by falling commodity and oil prices, as well as declining growth prospects in China.

In the Fund, stock selection overall dampened relative performance, while country allocation benefited performance. The main detractors included our stock selection and overweight allocation to Poland, our underweight allocations to China and Taiwan, and our zero weight to Turkey. Contributing the most to relative returns were our overweight allocations in India and Thailand, our stock selection and underweight allocation in Brazil, our underweight allocation in Russia, and overweight allocation in the Philippines.

China’s incremental contribution to global growth has been far more important than Europe’s for well over a decade. Despite U.S. economic strength, a slowing China keeps a damper on any global recovery and could possibly even contribute to a potential global recession. Until we see signs that China’s slowdown stabilizes, it will be difficult to say that emerging market equities have hit a critical turning point. Despite their rate cut in 2014, China’s economy will continue to feel the pressure of their excessive credit expansion and a property market that still needs to endure a lot more pain. We have long stated that China’s Gross Domestic Product (GDP) growth rate will slow to 5% within the next couple years. The market may not be satisfied that China is on a track to stabilizing — as opposed to slowing — until the middle of 2015.

In the Fund, we remained focused on quality and growth. We maintain our underweight to countries dependent on global cyclical growth such as China itself, as well as the commodities-oriented markets of Brazil, Russia and South Africa.

We are overweight countries that we believe are fundamentally sound and where reform is on a constructive path, such as Poland and the Czech Republic, India, the Philippines and Mexico. These are countries that have not experienced excessive credit growth since the global financial crisis and where such factors as investment, manufacturing, currency competitiveness and improving productivity are all encouraging and contributing to growth prospects at both the country and select company levels.

We still consider Eastern Europe an attractive investment opportunity despite its recent run of poor performance, and we have been adding to some of our positions on weakness. We think Poland, the Czech Republic and Romania are all in the sweet spot of being members of the European Union but with the currency competitiveness of not using the euro. Over the medium term, in our view, the region could benefit from its competitive labor market and its trade links and overall ties with a gradual economic recovery in Western Europe. Macro indicators could eventually return to strength, buoyed by more competitive exports and a gradual pick up in wages and domestic consumer and business confidence. A pickup in inflation, particularly in food inflation, would also help.

Penn Mutual Asset Management, Inc.

Investment Adviser

Morgan Stanley Investment Management

Investment Sub-Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Emerging Markets Equity Fund on August 25, 2008 would have grown to $10,886. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the MSCI Emerging Markets Index, during the same period. A $10,000 investment in the MSCI Emerging Markets Index on August 25, 2008 would have grown to $11,489.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Emerging Markets Equity Fund		(4.91	)%		1.79	%		1.34	%
MSCI Emerging Markets Index		(1.82	)%		2.11	%		2.76	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Portfolio Composition as of 12/31/14


	Percent of Total Investments³
South Korea		13.2	%
China		12.2	%
India		11.1	%
Taiwan		9.4	%
Brazil		7.5	%
Mexico		6.7	%
Thailand		5.0	%
South Africa		4.8	%
Philippines		4.2	%
Hong Kong		3.3	%
United States		2.5	%
Poland		2.4	%
Austria		2.1	%
Columbia		2.0	%
Switzerland		1.8	%
Indonesia		1.6	%
Peru		1.3	%
Malaysia		1.2	%
Czech Republic		1.0	%
Russia		0.9	%
United Kingdom		0.9	%
Pakistan		0.8	%
Portugal		0.8	%
Chile		0.5	%
Qatar		0.5	%
Spain		0.5	%
Argentina		0.4	%
Netherlands		0.4	%
Panama		0.4	%
Japan		0.3	%

		100.0	%

³	Portfolio holdings are presented as a percentage of total investments before short-term investments. The categories shown represent the countries in which the securities are denominated.

Real Estate Securities Fund

The Penn Series Real Estate Securities Fund returned 30.22% for the twelve-month period ending December 31, 2014, compared to the 30.14% return for its benchmark, the FTSE NAREIT Equity REIT Index.

U.S. REITs rallied from a disappointing year in 2013 to post their best annual returns since 2006. Improving economic growth led to strengthening fundamentals across all property types, while a decline in Treasury yields from already low levels led to better investor sentiment toward higher-yielding equities. Earnings reports from commercial real estate companies announced throughout the year generally met or exceeded expectations, sustaining the group’s outperformance of the broader equity market.

Returns were positive across all property types. Apartment REITs did particularly well amid strong job gains and relatively modest new supply. The regional mall sector was also resilient, benefiting in part from merger and acquisition activity. Mall owner Glimcher Realty had a large gain on a buyout offer from Washington Prime, which was formed in May as a spin off from Simon Property Group.

Health care property REITs were also a top performer. While the group’s growth rates are not as robust compared with many other sectors, investors found favor in health care’s visible income streams in an environment of low interest rates. Hotels had a healthy gain. Earnings were generally supportive, although there was some lowered guidance related to softening demand outside of the U.S.

Self storage owners as with REITs broadly, continued to benefit from strong demand and muted new supply. In the office sector, asset values and rent-growth expectations continued to improve, particularly in New York City and certain West Coast markets.

Industrial real estate companies underperformed the index but still registered a strong absolute gain. The sector was one property type that was restrained, relatively speaking, by concerns of higher supply. The free-standing retail sector also trailed the wider REIT market, due to a decline in the shares of American Realty Capital Properties, which reported an overstatement of its first-half 2014 cash flow.

Factors that helped relative performance included stock selection in the regional mall sector, where we had a beneficial overweight in Glimcher Realty. We believed that the quality of the company’s assets was not being fully recognized by the market. Stock selection in the health

care, self storage and apartment sectors also aided performance. In addition, we were significantly underweight American Realty Capital Properties in the free-standing retail sector. Factors that detracted from relative returns included stock selection in the hotel sector and our overweight in industrial real estate companies.

We retain a focus on cyclically sensitive names. We continue to favor New York and West Coast offices, along with select retail, self storage and apartment REITs, based on our view of strengthening fundamentals. Within the self storage sector, we expect further upside to cash-flow growth amid strong demand and limited new supply. We maintain an overall favorable view of apartments. We believe employment growth and household formation trends should support multifamily occupancies and rents; however, the ability to buy homes should gradually improve in a better credit environment, which, along with rising supply, bears monitoring.

In terms of where we stand with performance and valuations, we believe U.S. REITs continue to offer positive risk-adjusted return potential, as the prospect of higher asset values and cash flows in an improving economy should outweigh the likely return of higher short-term Treasury rates later in 2015. In general, we believe the improvement in real estate fundamentals and continued job growth justifies modest premiums to companies’ net asset values, although in this environment, cash-flow-growth potential is likely to take on added significance.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cohen & Steers Capital Management

Investment Sub-Adviser

Cumulative Performance Comparison

December 31, 2004 — December 31, 2014

LOGO

An investment of $10,000 in the Real Estate Securities Fund on December 31, 2004 would have grown to $19,665. For the purpose of comparison, the graph also shows the change in the Fund’s benchmark, the FTSE NAREIT Equity REIT Index, during the same period. A $10,000 investment in the FTSE NAREIT Equity REIT Index on December 31, 2004 would have grown to $22,206.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			10 Year
Real Estate Securities Fund		30.22	%		15.85	%		7.00	%
FTSE NAREIT Equity REIT Index		30.14	%		16.88	%		8.31	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

Portfolio Composition as of 12/31/14


	Percent of Total Investments²
Apartments		18.8	%
Regional Malls		16.2	%
Office Property		13.5	%
Diversified		9.1	%
Healthcare		8.9	%
Strip Centers		8.4	%
Hotels and Resorts		7.2	%
Storage & Warehousing		6.3	%
Industrial		5.5	%
Building & Real Estate		2.8	%
Lodging		2.7	%
Manufactured Homes		0.7	%

		100.0	%

²	Portfolio holdings are presented as a percentage of total investments before short-term investments.

Aggressive Allocation Fund

The Penn Series Aggressive Allocation Fund returned 6.78% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the Russell 3000 Index’s return of 12.56% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Aggressive Allocation Fund is comprised of a target allocation of 95% equity funds and 5% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term bond funds.

At the broad asset class level, the Aggressive Allocation Fund’s equity allocation underperformed its broad equity benchmark, the Russell 3000 Index for the one-year period. Contributing to this underperformance versus its benchmark was the Fund’s underlying asset class allocations to developed international stocks and emerging market stocks. These international markets both underperformed domestic stocks as represented by the Russell 3000 Index. The Fund’s underlying asset class allocations within real estate and mid cap value stocks were positive contributors to performance during the period.

The Fund’s fixed income allocation performed in-line with the Barclays Capital U.S. Aggregate Bond Index for the one-year time period.

As a result of the annual analysis of the asset class allocations of the Fund conducted each September with changes implemented October 1, the asset class allocation to mid cap value stocks was slightly increased and the asset class allocation to international stocks was slightly reduced. These asset class changes became effective at the beginning of the fourth quarter and will continue to be in effective until the next annual review. However, the Fund is continually reviewed to help ensure that it remains consistent with its investment objective by making adjustments, when necessary, of specific sub-accounts within an asset class as well as automatic rebalancing of the Fund on a quarterly basis.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Aggressive Allocation Fund on August 25, 2008 would have grown to $15,365. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on August 25, 2008 would have grown to $18,985. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Aggressive Allocation Fund		6.78	%		11.03	%		6.99	%
Russell 3000 Index		12.56	%		15.63	%		10.14	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


International Stocks	21.0	%
Large Cap Value Stocks	17.0	%
Large Growth Stocks	15.0	%
Emerging Markets	10.0	%
Mid Cap Value Stocks	9.0	%
Mid Cap Growth Stocks	7.0	%
Small Cap Value Stocks	6.0	%
Small Cap Growth Stocks	5.0	%
REITs	5.0	%
Intermediate Bonds	5.0	%

	100.0	%

Moderately Aggressive Allocation Fund

The Penn Series Moderately Aggressive Allocation Fund returned 6.28% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the Russell 3000 Index’s return of 12.56% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Moderately Aggressive Allocation Fund is comprised of a target allocation of 80% equity funds and 20% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

At the broad asset class level, the Moderately Aggressive Allocation Fund’s equity allocation underperformed its broad equity benchmark, the Russell 3000 Index for the one-year period. Hindering the Fund’s equity performance versus its benchmark was its underlying asset class allocation to developed international stocks as well as its asset class allocation to emerging market stocks. Both of these markets underperformed domestic stocks, as represented by the Russell 3000 Index, during the period.

The Fund’s fixed income allocation slightly underperformed the Barclays Capital U.S. Aggregate Bond Index for the one-year time period. Contributing to this underperformance was the asset class allocation to short-term fixed income.

As a result of the annual analysis of the asset class allocations of the Fund conducted each September with changes implemented October 1, the asset class allocations to international stocks and short-term bonds were slightly decreased. These decreases allowed for the slight increase to the asset class allocations within mid cap value stocks and high yield bonds. These asset class changes became effective at the beginning of the fourth quarter and will continue to be in effective until the next annual review. However, the Fund is continually reviewed to help ensure that it remains consistent with its investment objective by making adjustments, when necessary, of specific sub-accounts within an asset class as well as automatic rebalancing of the Fund on a quarterly basis.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Moderately Aggressive Allocation Fund on August 25, 2008 would have grown to $16,049. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on August 25, 2008 would have grown to $18,985. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Moderately Aggressive Allocation Fund		6.28	%		10.11	%		7.73	%
Russell 3000 Index		12.56	%		15.63	%		10.14	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


International Stocks	18.0	%
Large Cap Value Stocks	15.0	%
Large Growth Stocks	13.0	%
Intermediate Bonds	13.0	%
Mid Cap Value Stocks	8.0	%
Emerging Markets	7.0	%
Mid Cap Growth Stocks	6.0	%
Short Term Bonds	5.0	%
Small Cap Value Stocks	4.0	%
Small Cap Growth Stocks	4.0	%
REITs	4.0	%
High Yield Bonds	3.0	%

	100.0	%

Moderate Allocation Fund

The Penn Series Moderate Allocation Fund returned 5.63% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the Russell 3000 Index’s return of 12.56% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Moderate Allocation Fund is comprised of a target allocation of 60% equity funds and 40% fixed income funds. The equity allocation of the Fund is comprised of domestic equity funds ranging from large capitalization funds to small capitalization funds as well as developed international and emerging markets equity funds and the fixed income portion is primarily allocated to intermediate-term and short-term bond funds.

At the broad asset class level, the Moderate Allocation Fund’s equity allocation underperformed its broad equity benchmark, the Russell 3000 Index for the one-year period. Contributing to this underperformance versus its benchmark was the Fund’s underlying asset class allocations to developed international stocks and emerging market stocks. Both of these international markets underperformed domestic stocks, as represented by the Russell 3000 Index, during the period.

The Fund’s fixed income allocation underperformed the Barclays Capital U.S. Aggregate Bond Index for the one-year time period. The Fund’s asset class allocation to short-term bonds had a negative impact on its performance for the one-year period.

As a result of the annual analysis of the asset class allocations of the Fund conducted each September with changes implemented October 1, the asset class allocations to international stocks and short-term bonds were decreased. These decreases allowed for the increase to the asset class allocations within mid cap value stocks, high yield bonds and intermediate-term bonds. These asset class changes became effective at the beginning of the fourth quarter and will continue to be in effective until the next annual review. However, the Fund is continually reviewed to help ensure that it remains consistent with its investment objective by making adjustments, when necessary, of specific sub-accounts within an asset class as well as automatic rebalancing of the Fund on a quarterly basis.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Moderate Allocation Fund on August 25, 2008 would have grown to $14,795. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on August 25, 2008 would have grown to $18,985. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Moderate Allocation Fund		5.63	%		8.60	%		6.35	%
Russell 3000 Index		12.56	%		15.63	%		10.14	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


Intermediate Bonds	25.0	%
International Stocks	13.0	%
Large Cap Value Stocks	12.0	%
Large Growth Stocks	10.0	%
Short Term Bonds	7.0	%
Mid Cap Value Stocks	6.0	%
Emerging Markets	5.0	%
High Yield Bonds	5.0	%
Small Cap Value Stocks	4.0	%
Mid Cap Growth Stocks	4.0	%
Cash Equivalents	3.0	%
Small Cap Growth Stocks	3.0	%
REITs	3.0	%

	100.0	%

Moderately Conservative Allocation Fund

The Penn Series Moderately Conservative Allocation Fund returned 5.01% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the Russell 3000 Index’s return of 12.56% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Moderately Conservative Allocation Fund is comprised of a target allocation of 40% equity funds and 60% fixed income funds. The equity allocation of the Fund consists of domestic equity funds comprised of large capitalization and mid capitalization funds and a slight allocation to small capitalization stocks as well as developed international equity funds and a small allocation to emerging market equities. The fixed income portion is mostly allocated to intermediate-term and short-term bond funds.

The Moderately Conservative Allocation Fund’s fixed income allocation underperformed the Barclays Capital U.S. Aggregate Bond Index for the one-year time period. Contributing to this underperformance was primarily the Fund’s underlying asset class allocation to short-term fixed income.

At the broad asset class level, the performance of the Fund’s equity allocation underperformed its broad equity benchmark, the Russell 3000 Index for the one-year period. Hindering the Fund’s equity performance versus its benchmark was the underlying asset class allocations to both developed international stocks and emerging market stocks. Both of these international markets underperformed domestic stocks during the period, which had a negative impact to the Fund’s equity performance.

As a result of the annual analysis of the asset class allocations of the Fund conducted each September with changes implemented October 1, the asset class allocation to both short-term bonds and cash equivalents were reduced. This reduction allowed for the increase to the asset class allocations to high yield bonds and intermediate-term bonds. These asset class changes became effective at the beginning of the fourth quarter and will continue to be in effective until the next annual review. However, the Fund is continually reviewed to help ensure that it remains consistent with its investment objective by making adjustments, when necessary, of specific sub-accounts within an asset class as well as automatic rebalancing of the Fund on a quarterly basis.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Moderately Conservative Allocation Fund on August 25, 2008 would have grown to $14,038. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on August 25, 2008 would have grown to $18,985. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Moderately Conservative Allocation Fund		5.01	%		6.91	%		5.48	%
Russell 3000 Index		12.56	%		15.63	%		10.14	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


Intermediate Bonds	34.0	%
Short Term Bonds	16.0	%
Large Cap Value Stocks	10.0	%
International Stocks	9.0	%
Large Growth Stocks	7.0	%
High Yield Bonds	7.0	%
Mid Cap Value Stocks	4.0	%
Cash Equivalents	3.0	%
Emerging Markets	2.0	%
Mid Cap Growth Stocks	2.0	%
REITs	2.0	%
Small Cap Growth Stocks	2.0	%
Small Cap Value Stocks	2.0	%

	100.0	%

Conservative Allocation Fund

The Penn Series Conservative Allocation Fund returned 3.75% for the twelve-month period ending December 31, 2014, compared to its benchmarks, the Russell 3000 Index’s return of 12.56% and the Barclays Capital U.S. Aggregate Bond Index’s return of 5.97% for the same time period.

The Conservative Allocation Fund is comprised of a target allocation of 80% fixed income funds and a target allocation of 20% in domestic and international equity funds. The fixed income funds predominately consist of short-term and intermediate-term bonds and the equity fund allocations consist of mostly large capitalization funds with a small exposure to developed international equity funds.

At the broad asset class level, the Conservative Allocation Fund’s asset class exposure to high yield, short term bonds and cash underperformed the Barclays Capital U.S. Aggregate Bond Index for the one-year period, thus, asset allocation had a negative contribution on performance during the period.

The Fund’s equity allocation slightly underperformed its broad equity benchmark, the Russell 3000 Index. The Fund’s asset class allocation to developed international stocks hindered its equity performance during the period as the developed international market underperformed domestic stocks, as represented by the Russell 3000 Index.

Penn Mutual Asset Management, Inc.

Investment Adviser

Cumulative Performance Comparison

August 25, 2008 — December 31, 2014

LOGO

An investment of $10,000 in the Conservative Allocation Fund on August 25, 2008 would have grown to $13,132. For the purpose of comparison, the graph also shows the change in the Fund’s benchmarks, the Russell 3000 Index and the Barclays Capital U.S. Aggregate Bond Index, during the same period. A $10,000 investment in the Russell 3000 Index on August 25, 2008 would have grown to $18,985. A $10,000 investment in the Barclays Capital U.S. Aggregate Bond Index on August 25, 2008 would have grown to $13,657.

Average Annual Total Returns¹as of 12/31/14


	1 Year			5 Year			Since Inception²
Conservative Allocation		3.75	%		4.89	%		4.38	%
Russell 3000 Index		12.56	%		15.63	%		10.14	%
Barclays Capital U.S. Aggregate Bond Index		5.97	%		4.45	%		5.03	%

¹	The performance information shown here does not reflect variable account charges and fees. Past performance is not predictive of future performance. Shares may be worth more or less when redeemed than when purchased. Assumes reinvestment of all dividends.

²	The Fund’s inception date was August 25, 2008.

Asset Allocation Target as of 12/31/14


Intermediate Bonds	42.0	%
Short Term Bonds	22.0	%
High Yield Bonds	9.0	%
Cash Equivalents	7.0	%
Large Cap Value Stocks	7.0	%
Large Growth Stocks	5.0	%
International Stocks	5.0	%
Mid Cap Value Stocks	2.0	%
Mid Cap Growth Stocks	1.0	%

	100.0	%

We believe that it is important for you to understand the effect of fees on your investment. All mutual funds have operating expenses. As a participant in any of the Penn Series Funds, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio.

The Penn Series Funds are the underlying investment vehicles for the variable life and variable annuity contracts issued by The Penn Mutual Life Insurance Company and its subsidiary, The Penn Insurance and Annuity Company. These contracts have transaction costs, additional administrative expense fees and mortality and expense risk charges. Because of these additional expenses, the costs to investors will be higher than the figures shown in the following expense examples. The expense examples below are intended to help you understand your ongoing costs (in dollars) of investing in each fund and to compare these costs with the ongoing costs of investing in other funds.

These examples are based on an investment of $1,000 invested for six months beginning July 1, 2014 and held through December 31, 2014. The examples illustrate your fund’s costs in two ways:

Please note that the expenses shown in the table are only meant to highlight and help you compare your ongoing costs of investing in the funds and do not reflect any fees and charges deducted under your insurance contract. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated and will be different from the expense ratio in the Financial Highlights which is for the year ended December 31, 2014.


	Par (000)		Value†
AGENCY OBLIGATIONS — 6.0%
Federal Home Loan Banks 0.010%, 01/02/15	$	1,000	$	1,000,000
Tennessee Valley Authority 0.010%, 01/02/15		7,000		7,000,000

TOTAL AGENCY OBLIGATIONS (Cost $8,000,000)				8,000,000

CERTIFICATES OF DEPOSIT — 2.6%
Banks — 2.6%
BNP Paribas NY Yankee 0.560%, 01/06/15		2,950		2,950,115
Citibank 0.240%, 03/02/15		471		471,023

TOTAL CERTIFICATES OF DEPOSIT (Cost $3,421,138)				3,421,138

COMMERCIAL PAPER — 67.1%
Banks — 0.6%
Societe Generale, NY Yankee 0.300%, 05/04/15		742		741,246

Beverages — 5.5%
Anheuser-Busch Inbev Worldwide Inc 0.180%, 01/29/15		500		499,932
Coca-Cola Co. 0.200%, 01/26/15		1,300		1,299,827
0.160%, 03/26/15		4,200		4,198,451
0.180%, 05/07/15		1,350		1,349,156

				7,347,366

Chemicals — 4.2%
Air Products & Chemicals, Inc. 0.210%, 01/27/15		5,500		5,499,198

Diversified Financial Services — 22.6%
AXA Financial 0.170%, 01/15/15		6,000		5,999,152
0.190%, 01/29/15		250		249,964
0.210%, 02/17/15		550		549,853
ING (U.S.) Funding LLC 0.210%, 02/27/15		4,650		4,648,481
Rabobank USA Financial Corp. 0.130%, 01/09/15		2,500		2,499,937
0.140%, 01/09/15		2,900		2,899,921
Reckitt & Benckiser Treasury Services PLC 0.130%, 02/12/15		1,089		1,088,839
0.170%, 02/12/15		500		499,903
0.180%, 03/03/15		900		899,730
0.200%, 03/03/15		1,100		1,099,633
0.200%, 03/10/15		1,000		999,628
0.190%, 04/02/15		515		514,755
0.160%, 04/08/15		400		399,829
0.200%, 04/08/15		350		349,813
0.230%, 04/08/15		300		299,816
0.220%, 04/21/15		400		399,734


	Par (000)		Value†

Diversified Financial Services — (continued)
WGL Holdings, Inc. 0.200%, 01/08/15	$	4,200	$	4,199,860
0.250%, 01/13/15		1,400		1,399,893
0.230%, 01/23/15		950		949,873

				29,948,614

Electric — 12.8%
Basin Electric Power 0.160%, 02/19/15		1,000		999,787
Dominion Resources, Inc. 0.330%, 01/20/15		640		639,894
DTE Energy Co. 0.500%, 01/13/15		660		659,899
Duke Energy Corp. 0.350%, 01/15/15		650		649,918
Edison International 0.320%, 01/15/15		550		549,936
Electricite de France 0.140%, 01/05/15		250		249,997
0.150%, 01/05/15		450		449,994
0.140%, 01/21/15		991		990,927
GDF Suez S.A. 0.160%, 01/05/15		2,300		2,299,969
0.130%, 01/06/15		650		649,991
0.160%, 01/26/15		2,350		2,349,749
0.200%, 03/16/15		1,450		1,449,412
IDACORP, Inc. 0.450%, 01/08/15		270		269,980
Southern Co. 0.230%, 01/07/15		2,200		2,199,930
0.250%, 01/14/15		2,500		2,499,792

				16,909,175

Electronics — 2.6%
Honeywell International, Inc. 0.230%, 06/23/15		500		499,451
0.330%, 12/04/15		3,000		2,990,760

				3,490,211

Gas — 3.1%
Northern Illinois Gas Co. 0.300%, 01/05/15		2,119		2,118,947
0.400%, 01/05/15		2,038		2,037,932

				4,156,879

Healthcare Products — 0.5%
Medtronic, Inc. 0.130%, 01/06/15		705		704,990

Healthcare Services — 4.5%
United Healthcare Corp. 0.320%, 01/16/15		6,000		5,999,253

Insurance — 0.3%
Aetna, Inc. 0.400%, 01/05/15		400		399,987


	Par (000)		Value†
COMMERCIAL PAPER — (continued)
Machinery — Diversified — 4.9%
Rockwell Automation, Inc. 0.220%, 01/20/15	$	5,500	$	5,499,395
0.220%, 01/26/15		1,000		999,853

				6,499,248

Miscellaneous Manufacturing — 0.4%
Pall Corp. 0.400%, 01/13/15		530		529,935

Oil & Gas — 0.2%
Enbridge Energy Co., Inc. 0.390%, 01/02/15		300		300,000

Telecommunications — 4.9%
Telstra Corp. 0.150%, 01/09/15		2,500		2,499,927
0.140%, 01/20/15		4,000		3,999,720

				6,499,647

TOTAL COMMERCIAL PAPER (Cost $89,025,749)				89,025,749

CORPORATE BONDS — 0.7%
Insurance — 0.7%
New York Life Global Funding 1.300%, 01/12/15 144A @ (Cost $1,000,288)		1,000		1,000,288

MUNICIPAL NOTES — 16.6%
City of Minneapolis 0.040%, 12/01/27•		2,290		2,290,000
Colorado Housing & Finance Authority 0.020%, 10/01/30•		2,800		2,800,000
0.040%, 04/01/43•		1,050		1,050,000
Iowa Finance Authority 0.060%, 07/01/34•		1,125		1,125,000
0.060%, 01/01/39•		800		800,000
Minnesota Housing Finance Agency 0.060%, 07/01/36•		4,000		4,000,000
Pennsylvania Turnpike Commission 0.040%, 07/15/41•		5,000		5,000,000
South Dakota Housing Development Authority 0.050%, 05/01/39•		5,000		5,000,000

TOTAL MUNICIPAL NOTES (Cost $22,065,000)				22,065,000

U.S. TREASURY OBLIGATIONS — 3.8%
U.S. Treasury Note 0.085%, 01/31/16• (Cost $5,000,273)		5,000		5,000,273


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 2.9%
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		3,814,675		3,814,675
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 $3,814,681)				3,814,681

TOTAL INVESTMENTS — 99.7% (Cost $132,327,129)			$	132,327,129

Other Assets & Liabilities — 0.3%				404,309

TOTAL NET ASSETS — 100.0%			$	132,731,438

†	See Security Valuation Note.

•	Variable Rate Security.

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.

LLC — Limited Liability Company.

PLC — Public Limited Company.


(Unaudited)
Maturity Schedule	Market Value		% of Portfolio		(Cumulative)
1 — 7 days	$	53,241,805		40.2%		40.2%
8 — 14 days		18,459,432		14.0%		54.2%
15 — 30 days		36,176,592		27.3%		81.5%
31 — 60 days		7,786,862		5.9%		87.4%
61 — 90 days		9,117,877		6.9%		94.3%
91 — 120 days		1,963,948		1.5%		95.8%
121 — 150 days		2,090,402		1.6%		97.4%
Over 150 days		3,490,211		2.6%		100.0%


	$	132,327,129		100.0%

Average Weighted Maturity — 29 days (Unaudited)

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
U.S. TREASURY OBLIGATIONS	$	5,000,273	$	—	$	5,000,273	$	—
AGENCY OBLIGATIONS		8,000,000		—		8,000,000		—
CERTIFICATES OF DEPOSIT		3,421,138		—		3,421,138		—
CORPORATE BONDS		1,000,288		—		1,000,288		—
COMMERCIAL PAPER		89,025,749		—		89,025,749		—
SHORT-TERM INVESTMENTS		3,814,681		3,814,681		—		—
MUNICIPAL NOTES		22,065,000		—		22,065,000		—

TOTAL INVESTMENTS	$	132,327,129	$	3,814,681	$	128,512,448	$	—

It is the Fund’s practice 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.

The accompanying notes are an integral part of these financial statements.


	Par (000)		Value†
AGENCY OBLIGATION — 0.6%
Government National Mortgage Association — 0.6%
2.760%, 03/16/39 (Cost $1,272,836)	$	1,250	$	1,261,873

ASSET BACKED SECURITIES — 23.1%
Ally Master Owner Trust 1.540%, 09/15/19		1,000		992,444
Americredit Automobile Receivables Trust 2013-5 2.290%, 11/08/19		1,000		1,007,145
Avenue CLO VI Ltd. 2007-6A 2.378%, 07/17/19 144A @•		2,500		2,391,000
Capital One Multi-Asset Execution Trust 0.960%, 09/16/19		1,050		1,046,133
Centerpoint Energy Transition Bond Co. IV LLC 0.901%, 04/15/18		2,607		2,610,792
Chase Issuance Trust 07-B1 0.402%, 04/15/19•		2,398		2,382,801
Chesapeake Funding LLC 0.959%, 03/07/26 144A @,•		1,080		1,080,822
Citibank Credit Card Issuance Trust 1.110%, 07/23/18		2,000		2,005,462
Conseco Financial Corp. 7.650%, 04/15/19		10		10,570
Consumers Securitization Funding LLC 2014-A 1.334%, 11/01/20		2,500		2,488,157
CPS Auto Receivables Trust 2014-A 1.210%, 08/15/18 144A @		716		714,149
Discover Card Execution Note Trust 1.040%, 04/15/19		735		734,276
Entergy Arkansas Restoration Funding LLC 2.300%, 08/01/21		823		837,123
Enterprise Fleet Financing LLC 0.910%, 09/20/18 144A @		1,150		1,148,784
Equity One Mortgage Pass-Through Trust 2004-1 4.145%, 04/25/34•		13		12,709
Ford Credit Auto Owner Trust 1.970%, 05/15/19		1,800		1,816,686
Ford Credit Floorplan Master Owner Trust A 1.490%, 09/15/19		1,000		994,523
Galaxy CLO Ltd. 2006-6A 1.821%, 06/13/18•		833		824,051
GE Equipment Transportation LLC Series 2013-1 1.540%, 03/24/21		1,000		988,493
Golden Credit Card Trust 1.390%, 07/15/19 144A @		2,000		1,992,288
Goldentree Loan Opportunities VII Ltd. 1.384%, 04/25/25 144A•		3,000		2,933,100
Goldman Sachs Asset Management CLO PLC 2.982%, 08/01/22•		2,000		1,938,200


	Par (000)		Value†

HLSS Servicer Advance Receivables Trust 1.990%, 10/15/45 144A @	$	2,450	$	2,459,849
HLSS Servicer Advance Receivables Trust 2014-T1 1.244%, 01/17/45 144A @		1,000		1,000,000
Hyundai Auto Lease Securitization Trust 2014-B 1.540%, 12/17/18 144A @		1,100		1,099,971
Jasper CLO Ltd. 2005-1A 1.132%, 08/01/17 144A @•		2,375		2,322,988
OHA Park Avenue CLO Ltd. 2007-1A 1.561%, 03/14/22•		1,591		1,512,601
Popular ABS Mortgage Pass-Through Trust 2004-4 4.628%, 09/25/34•		11		11,138
Rockwall CDO II Ltd. 2007-1A 0.482%, 08/01/24 144A @,•		2,164		2,070,800
SACO I, Inc. 05-4 1.070%, 06/25/35 144A @,•		228		219,212
SLM Student Loan Trust 2002-5 0.671%, 09/16/24•		2,500		2,451,373
SLM Student Loan Trust 2004-9 0.564%, 04/25/25•		2,500		2,498,755
Tralee CDO Ltd. 2007-1A 1.733%, 04/16/22 144A @,•		2,000		1,875,000
Volvo Financial Equipment LLC Series 2013-1 1.620%, 08/17/20 144A @		1,000		1,004,904
World Financial Network Credit Card Master Trust 2012-B 1.760%, 05/17/21		1,782		1,792,008

TOTAL ASSET BACKED SECURITIES (Cost $51,480,609)				51,268,307

COMMERCIAL MORTGAGE BACKED SECURITIES — 16.9%
BAMLL Commercial Mortgage Securities Trust 2013-DSNY 1.654%, 09/15/26 144A @,•		1,000		998,051
Banc of America Commercial Mortgage Trust 2006-1 5.372%, 09/10/45•		3,095		3,173,155
Boca Hotel Portfolio Trust 2013-BOCA 1.904%, 08/15/26 144A @,•		1,000		1,000,338
CSMC Trust 2014-SURF 1.010%, 02/15/29 144A @,•		1,000		999,545
EMAC Owner Trust 2000-1 6.551%, 01/15/27 144A @,•		319		231,953
Fannie Mae — Aces Series 2014-M2 Class ASV1 1.916%, 06/25/21		8,105		8,161,106
Fannie Mae Connecticut Avenue Securities 2.155%, 10/25/23•		816		820,086
2.105%, 11/25/24•		2,433		2,435,772
FHLMC Multifamily Structured Pass-Through K501-A1 1.337%, 06/25/16		300		301,382


	Par (000)		Value†
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes 1.155%, 02/25/24•	$	929	$	923,720
2.557%, 08/25/24•		2,000		1,987,786
2.370%, 09/25/24•		1,500		1,464,958
FREMF Mortgage Trust Series 2013-KF02 Class C 2.820%, 12/25/45 144A @		1,288		1,308,359
Hilton USA Trust 2013-HLF 2.901%, 11/05/30 144A @,•		985		985,516
Hilton USA Trust 2014-ORL B 1.356%, 07/15/29 144A @,•		2,500		2,498,265
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU Class A 1.104%, 12/15/28 144A @,•		1,000		1,000,144
JPMorgan Chase Commercial Mortgage Securities Trust 2013-JWRZ 1.304%, 04/15/30 144A @,•		1,500		1,498,420
Morgan Stanley Capital I Trust 2005-Top19 4.890%, 06/12/47		4,456		4,494,193
Morgan Stanley Capital I Trust 2006-IQ12 5.332%, 12/15/43		3,171		3,347,744

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $37,991,404)				37,630,493

CORPORATE BONDS — 46.9%
Aerospace & Defense — 0.9%
BAE Systems PLC 3.500%, 10/11/16 144A @		1,000		1,038,753
Lockheed Martin Corp. 2.125%, 09/15/16		1,000		1,018,274

				2,057,027

Agriculture — 0.5%
Altria Group, Inc. 4.125%, 09/11/15		1,000		1,022,731

Airlines — 3.7%
American Airlines 2013-2 Class C Pass-Through Trust 6.000%, 01/15/17 144A @		1,000		1,030,000
Continental Airlines 2009-1 Pass-Through Trust 9.000%, 07/08/16		970		1,067,295
Delta Air Lines 2010-2 Class B Pass-Through Trust 6.750%, 11/23/15		2,700		2,808,000
Northwest Airlines 2007-1 Class B Pass-Through Trust 8.028%, 11/01/17		2,135		2,387,561
UAL 2009-2A Pass-Through Trust 9.750%, 01/15/17		809		898,489

				8,191,345

Auto Parts & Equipment — 0.5%
Johnson Controls, Inc. 2.600%, 12/01/16		1,105		1,132,494


	Par (000)		Value†

Banks — 4.8%
Bank of America Corp. 3.750%, 07/12/16	$	1,000	$	1,035,759
Citigroup, Inc. 3.953%, 06/15/16		2,000		2,076,142
Fifth Third Bancorp 0.667%, 12/20/16•		1,065		1,056,493
JPMorgan Chase & Co. 3.150%, 07/05/16		2,000		2,055,874
Royal Bank of Canada 1.450%, 09/09/16		1,000		1,007,083
State Street Corp. 4.956%, 03/15/18		1,350		1,462,116
The Toronto-Dominion Bank 1.625%, 09/14/16 144A @		2,000		2,023,330

				10,716,797

Beverages — 1.8%
Coca-Cola Enterprises, Inc. 2.125%, 09/15/15		1,000		1,009,990
Constellation Brands, Inc. 7.250%, 05/15/17		1,750		1,933,750
Diageo Capital PLC 1.500%, 05/11/17		1,000		1,001,330

				3,945,070

Biotechnology — 0.9%
Amgen, Inc. 2.500%, 11/15/16		1,000		1,023,217
Celgene Corp. 2.450%, 10/15/15		1,000		1,009,808

				2,033,025

Chemicals — 0.5%
Ecolab, Inc. 1.000%, 08/09/15		1,200		1,203,127

Diversified Financial Services — 5.7%
AerCap Aviation Solutions BV 6.375%, 05/30/17		1,000		1,057,500
American Express Co. 6.150%, 08/28/17		2,000		2,228,402
American Honda Finance Corp. 1.125%, 10/07/16		1,000		1,004,624
Ford Motor Credit Co. LLC 8.000%, 12/15/16		2,000		2,238,304
General Electric Capital Corp. 1.000%, 12/11/15		1,000		1,004,323
2.300%, 04/27/17		1,000		1,024,250
Icahn Enterprises LP 3.500%, 03/15/17		1,000		1,000,000
John Deere Capital Corp. 1.050%, 10/11/16		1,000		1,001,415
Vesey Street Investment Trust I 4.404%, 09/01/16 STEP•		2,000		2,098,156

				12,656,974


	Par (000)		Value†
CORPORATE BONDS — (continued)
Electric — 2.3%
Duke Energy Corp. 2.150%, 11/15/16	$	1,000	$	1,018,469
Israel Electric Corp. Ltd. 6.700%, 02/10/17 144A @		1,000		1,072,500
LG&E and KU Energy LLC 2.125%, 11/15/15		1,000		1,008,782
NextEra Energy Capital Holdings, Inc. 1.339%, 09/01/15		1,000		1,003,014
PECO Energy Co. 1.200%, 10/15/16		1,000		1,003,972

				5,106,737

Electronics — 0.4%
Thermo Fisher Scientific, Inc. 1.300%, 02/01/17		1,000		994,401

Environmental Control — 0.5%
Waste Management, Inc. 2.600%, 09/01/16		1,000		1,022,974

Food — 2.1%
ConAgra Foods, Inc. 1.300%, 01/25/16		1,000		999,827
Mondelez International, Inc. 4.125%, 02/09/16		1,000		1,037,153
Tyson Foods, Inc. 6.600%, 04/01/16		2,000		2,132,008
WM Wrigley Jr. Co. 1.400%, 10/21/16 144A @		500		500,404

				4,669,392

Gas — 1.4%
Florida Gas Transmission Co., LLC 4.000%, 07/15/15 144A @		1,000		1,013,805
Questar Corp. 2.750%, 02/01/16		1,000		1,018,031
Sabine Pass LNG LP 7.500%, 11/30/16		1,000		1,040,000

				3,071,836

Healthcare Products — 2.5%
Baxter International, Inc. 0.950%, 06/01/16		1,000		999,596
Boston Scientific Corp. 6.400%, 06/15/16		2,000		2,139,972
CareFusion Corp. 1.450%, 05/15/17		1,000		992,923
Covidien International Finance S.A. 1.350%, 05/29/15		1,317		1,320,952

				5,453,443

Healthcare Services — 1.4%
Fresenius Medical Care US Finance, Inc. 6.875%, 07/15/17		1,000		1,092,500
Quest Diagnostics, Inc. 5.450%, 11/01/15		1,000		1,035,340


	Par (000)		Value†

Healthcare Services — (continued)
WellPoint, Inc. 1.250%, 09/10/15	$	1,000	$	1,004,046

				3,131,886

Insurance — 0.5%
Principal Life Global Funding II 1.000%, 12/11/15 144A @		1,000		1,002,556

Machinery — Diversified — 1.4%
CNH Capital LLC 3.875%, 11/01/15		2,000		2,010,000
Xylem, Inc. 3.550%, 09/20/16		1,165		1,210,660

				3,220,660

Media — 1.4%
Thomson Reuters Corp. 0.875%, 05/23/16		1,000		994,818
1.300%, 02/23/17		1,000		994,757
Time Warner, Inc. 5.875%, 11/15/16		1,000		1,083,954

				3,073,529

Mining — 0.5%
Rio Tinto Finance USA PLC 0.784%, 06/19/15•		1,000		1,000,940

Miscellaneous Manufacturing — 0.4%
Tyco Electronics Group SA 0.437%, 01/29/16•		1,000		999,714

Oil & Gas — 1.9%
BG Energy Capital PLC 2.500%, 12/09/15 144A @		1,000		1,015,460
Chesapeake Energy Corp. 6.500%, 08/15/17		1,000		1,065,000
Ensco PLC 3.250%, 03/15/16		1,000		1,018,286
Statoil ASA 3.125%, 08/17/17		1,000		1,044,747

				4,143,493

Oil & Gas Services — 0.9%
Cameron International Corp. 1.150%, 12/15/16		1,000		989,543
Schlumberger Investment SA 1.950%, 09/14/16 144A @		1,035		1,053,835

				2,043,378

Pharmaceuticals — 2.6%
Express Scripts Holding Co. 3.125%, 05/15/16		1,000		1,027,943
Mckesson Corp. 0.950%, 12/04/15		500		501,180
1.292%, 03/10/17		1,000		994,892
Merck & Co., Inc. 0.700%, 05/18/16		1,000		1,000,218
Mylan, Inc. 1.800%, 06/24/16		1,260		1,267,598


	Par (000)		Value†
CORPORATE BONDS — (continued)
Pharmaceuticals — (continued)
Perrigo Co., PLC 1.300%, 11/08/16 144A @	$	1,000	$	995,621

				5,787,452

Pipelines — 0.9%
Kinder Morgan Energy Partners LP 3.500%, 03/01/16		1,000		1,020,565
Spectra Energy Partners LP 2.950%, 06/15/16		1,000		1,025,688

				2,046,253

Retail — 0.9%
Macy’s Retail Holdings, Inc. 5.900%, 12/01/16		1,910		2,072,394

Semiconductors — 0.9%
Micron Semiconductor Asia Pte Ltd. 1.258%, 01/15/19		900		898,545
Samsung Electronics America, Inc. 1.750%, 04/10/17 144A @		1,000		1,003,031

				1,901,576

Telecommunications — 3.3%
America Movil S.A.B. de C.V. 2.375%, 09/08/16		1,000		1,013,720
AT&T, Inc. 0.900%, 02/12/16		1,000		999,736
British Telecommunications PLC 1.625%, 06/28/16		1,000		1,007,201
Crown Castle Towers LLC 3.214%, 08/15/15 144A @		1,540		1,558,454
Deutsche Telekom International Finance B.V. 3.125%, 04/11/16 144A @		1,000		1,024,927
Verizon Communications, Inc. 2.500%, 09/15/16		680		695,079
1.350%, 06/09/17		1,000		995,373

				7,294,490

Transportation — 0.5%
Burlington Northern Santa Fe LLC 5.650%, 05/01/17		1,000		1,096,858

Trucking and Leasing — 0.9%
GATX Corp. 1.250%, 03/04/17		1,000		990,292
TTX Co. 5.400%, 02/15/16 144A @		1,000		1,037,672

				2,027,964

TOTAL CORPORATE BONDS (Cost $104,461,656)				104,120,516


	Par (000)		Value†
MUNICIPAL NOTE — 0.2%
Regional — 0.2%
La Paz County Industrial Development Authority 6.250%, 12/01/19 (Cost $393,536)	$	375	$	395,513

RESIDENTIAL MORTGAGE BACKED SECURITIES — 2.4%
Collateralized Mortgage Obligations — 2.2%
Fannie Mae REMIC 0.370%, 10/27/37•		5,000		4,927,160

Fannie Mae Pool — 0.2%
4.000%, 06/01/20		205		217,189
2.281%, 04/01/34•		110		116,955
2.315%, 07/01/36•		157		167,502

				501,646

TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $5,434,171)				5,428,806

U.S. TREASURY OBLIGATIONS — 7.8%
U.S. Treasury Note 2.000%, 04/30/16		3,500		3,573,829
0.500%, 06/15/16		2,500		2,501,952
0.875%, 02/28/17		7,500		7,518,165
0.875%, 05/15/17		3,800		3,802,079

TOTAL U.S. TREASURY OBLIGATIONS (Cost $17,435,089)				17,396,025


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 1.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		2,855,110		2,855,110
Federated Prime Obligations Fund - Class I		407		407
Fidelity Institutional Prime Money Market Portfolio		1,020		1,020
Fidelity Institutional Prime Money Market Portfolio - Class I		198		198
Wells Fargo Advantage Government Money Market Fund - Institutional Class		77		77
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 $2,856,818)				2,856,818

TOTAL INVESTMENTS — 99.2% (Cost $221,326,119)			$	220,358,351


Other Assets & Liabilities — 0.8%				1,703,339

TOTAL NET ASSETS — 100.0%			$	222,061,690

†	See Security Valuation Note.

•	Variable Rate Security.

LLC — Limited Liability Company.

LP — Limited Partnership.

PLC — Public Limited Company.

REMIC — Real Estate Mortgage Investment Conduits.

STEP — Step Coupon Bond.


Country Weightings as of 12/31/2014††
United States	82	%
Cayman Islands	6
Canada	3
United Kingdom	3
Luxembourg	2
Ireland	1
Netherlands	1
Other	2

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
U.S. TREASURY OBLIGATIONS	$	17,396,025	$	—	$	17,396,025	$	—
AGENCY OBLIGATION		1,261,873		—		1,261,873		—
ASSET BACKED SECURITIES		51,268,307		—		51,268,307		—
COMMERCIAL MORTGAGE BACKED SECURITIES		37,630,493		—		37,630,493		—
CORPORATE BONDS		104,120,516		—		104,120,516		—
MUNICIPAL NOTE		395,513		—		395,513		—
RESIDENTIAL MORTGAGE BACKED SECURITIES		5,428,806		—		5,428,806		—
SHORT-TERM INVESTMENTS		2,856,818		2,856,818		—		—

TOTAL INVESTMENTS	$	220,358,351	$	2,856,818	$	217,501,533	$	—

The accompanying notes are an integral part of these financial statements.


	Par (000)		Value†
AGENCY OBLIGATION — 0.4%
Federal National Mortgage Association — 0.4%
3.000%, 11/28/25
(Cost $2,481,255)	$	2,500	$	2,479,988

ASSET BACKED SECURITIES — 19.1%
American Express Credit Account Master Trust 0.770%, 05/15/18		2,727		2,727,843
Avenue CLO VI Ltd. 2007-6A 2.378%, 07/17/19 144A @•		2,500		2,391,000
Babson CLO, Inc. 2007-I 1.481%, 01/18/21 144A @•		2,500		2,376,750
Centerpoint Energy Transition Bond Co. IV LLC 0.901%, 04/15/18		10,428		10,443,168
Chrysler Capital Auto Receivables Trust 2.700%, 05/15/20 144A @		3,000		3,027,012
College Loan Corp. Trust I 0.984%, 04/25/46 144A @•		5,000		4,919,585
Conseco Financial Corp. 7.240%, 11/15/28•		430		252,828
Enterprise Fleet Financing LLC 0.910%, 09/20/18 144A @		4,600		4,595,138
Ford Credit Auto Owner Trust 1.010%, 05/15/18		2,385		2,369,934
Synchrony Credit Card Master Note Trust 0.950%, 06/15/18		5,000		5,008,005
Gleneagles CLO Ltd. 0.632%, 11/01/17 144A @•		3,000		2,956,800
Goldentree Loan Opportunities VII Ltd. 1.384%, 04/25/25 144A @•		3,000		2,933,100
HLSS Servicer Advance Receivables Trust 1.990%, 10/15/45 144A @		10,000		10,040,200
HLSS Servicer Advance Receivables Trust 2014-T1 1.244%, 01/17/45 144A @		1,000		1,000,000
Jasper CLO Ltd. 2005-1A 1.132%, 08/01/17 144A @•		2,375		2,322,988
Keycorp Student Loan Trust 2006-A 0.565%, 09/27/35•		5,000		4,820,385
Morgan Stanley Capital I Trust 2005-Iq10 5.234%, 09/15/42•		1,480		1,510,075
Rockwall CDO II Ltd. 2007-1A 0.482%, 08/01/24 144A @•		5,193		4,969,921
SACO I, Inc. 05-4 1.070%, 06/25/35 144A @•		684		657,637
SLC Private Student Loan Trust 2006-A 0.531%, 07/15/36•		4,000		3,846,088
SLC Student Loan Trust 2005-1 0.432%, 02/15/45•		7,005		6,393,236
SLM Student Loan Trust 2004-4 0.614%, 01/27/25•		5,800		5,625,878
SLM Student Loan Trust 2004-9 0.564%, 04/25/25•		5,000		4,997,510
SLM Student Loan Trust 2005-10 0.504%, 10/26/26•		7,500		6,851,617


	Par (000)		Value†

SLM Student Loan Trust 2008-5 1.934%, 07/25/23•	$	3,000	$	3,125,814
SLM Student Loan Trust 2008-9 1.734%, 04/25/23•		6,695		6,875,819

TOTAL ASSET BACKED SECURITIES (Cost $107,436,421)				107,038,331

COMMERCIAL MORTGAGE BACKED SECURITIES — 13.6%
Banc of America Commercial Mortgage Trust 2006-1 5.372%, 09/10/45•		6,000		6,151,512
Boca Hotel Portfolio Trust 2013-BOCA @• 1.311%, 08/15/26 144A		305		304,588
1.911%, 08/15/26 144A		1,000		1,000,338
CFCRE Commercial Mortgage Trust 2011-C1 4.961%, 04/15/44 144A @•		1,000		1,116,648
Citigroup Deutsche Bank Commercial Mortgage Trust 5.322%, 12/11/49		1,500		1,588,143
EMAC Owner Trust 2000-1 6.485%, 01/15/27 144A @•		638		463,905
Freddie Mac Structured Agency Credit Risk Debt Notes• 2.570%, 08/25/24		3,000		2,981,679
2.370%, 09/25/24		1,500		1,464,958
FREMF Mortgage Trust Series 2010-K6 Class B 5.358%, 12/25/46 144A @		5,000		5,533,540
FREMF Mortgage Trust Series 2012-K18 Class B 4.265%, 01/25/22 144A @•		6,000		6,302,028
FREMF Mortgage Trust Series 2012-K19 Class C 4.176%, 03/25/22 144A @•		4,500		4,478,598
FREMF Mortgage Trust Series 2012-K22 Class B 3.686%, 08/25/45 144A @•		9,145		9,233,679
FREMF Mortgage Trust Series 2012-K707 Class B 3.883%, 12/25/18 144A @		7,962		8,239,157
FREMF Mortgage Trust Series 2012-K711 Class B 3.562%, 08/25/45 144A @		6,000		5,968,476
FREMF Mortgage Trust Series 2013-K28 Class C 3.494%, 03/25/23 144A @•		1,000		934,797
FREMF Mortgage Trust Series 2013-K35 Class C 3.947%, 12/15/45 144A @•		1,000		960,363
FREMF Mortgage Trust Series 2013-KF02 Class C 2.817%, 12/25/45 144A @•		1,288		1,308,359
FREMF Mortgage Trust Series 2014-K40 Class B 4.072%, 09/25/25 144A @		4,500		4,574,574
FREMF Mortgage Trust Series 2014-K503 Class B 3.009%, 10/25/19 144A @		5,000		4,999,155
Hilton USA Trust 2013-HLT 4.407%, 11/05/30 144A @		1,000		1,022,788
Hilton USA Trust 2014-ORL B 1.361%, 07/15/29 144A @•		1,500		1,498,959
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC12 4.948%, 09/12/37•		1,452		1,478,476


	Par (000)		Value†
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued)
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 5.420%, 01/15/49	$	1,412	$	1,507,822
JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU @• 1.111%, 12/15/28 Class A 144A		1,000		1,000,144
1.661%, 12/15/28 144A		1,900		1,901,022

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $75,673,394)				76,013,708

CORPORATE BONDS — 31.2%
Aerospace & Defense — 0.4%
The Boeing Co. 6.625%, 02/15/38		1,555		2,185,784

Agriculture — 0.2%
Japan Tobacco, Inc. 2.100%, 07/23/18 144A @		1,000		1,009,023

Airlines — 1.6%
American Airlines 2013-1 Class A Pass Through Trust 4.000%, 07/15/25		949		965,326
American Airlines 2013-2 Class B Pass Through Trust 5.600%, 07/15/20		1,079		1,100,611
Continental Airlines 2009-1 Pass-Through Trust 9.000%, 07/08/16		373		410,498
Continental Airlines 2012-2 Class A Pass Through Trust 4.000%, 10/29/24		947		960,949
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821%, 08/10/22		944		1,094,531
Northwest Airlines 2007-1 Class A Pass Through Trust 7.027%, 11/01/19		1,382		1,568,053
UAL 2009-1 Pass Through Trust 10.400%, 11/01/16		803		894,421
US Airways 2012-1 Class A Pass Through Trust 5.900%, 10/01/24		1,789		1,994,320

				8,988,709

Auto Manufacturers — 0.4%
General Motors Co. 4.000%, 04/01/25		2,500		2,506,250

Banks — 2.8%
Bank of America Corp. 5.650%, 05/01/18		1,000		1,110,973
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 4.625%, 12/01/23		1,750		1,856,250
JPMorgan Chase & Co. 6.000%, 01/15/18		1,700		1,902,025


	Par (000)		Value†

Banks — (continued)
Morgan Stanley 5.950%, 12/28/17	$	2,050	$	2,277,860
Royal Bank of Canada 1.450%, 09/09/16		1,000		1,007,083
State Street Corp. 4.956%, 03/15/18		3,500		3,790,671
The Bank of New York Mellon Corp. 2.100%, 08/01/18		1,000		1,010,747
Wells Fargo & Co. 4.100%, 06/03/26		2,500		2,555,142

				15,510,751

Beverages — 0.2%
The Coca-Cola Co. 3.300%, 09/01/21		1,000		1,049,977

Biotechnology — 0.6%
Amgen, Inc. 4.950%, 10/01/41		1,000		1,071,850
Biogen Idec, Inc. 6.875%, 03/01/18		1,000		1,152,435
Genentech, Inc. 5.250%, 07/15/35		1,000		1,229,123

				3,453,408

Commercial Services — 1.1%
Drawbridge Special Opportunities Fund LP 5.000%, 08/01/21 144A @		2,000		1,997,500
ERAC USA Finance LLC 2.350%, 10/15/19 144A @		1,000		992,547
Massachusetts Institute of Technology 3.959%, 07/01/38		3,000		3,181,587

				6,171,634

Computers — 0.2%
Hewlett-Packard Co. 2.600%, 09/15/17		1,000		1,018,774

Diversified Financial Services — 4.0%
Altitude Investments 12 LLC 2.454%, 12/09/25		2,370		2,348,556
American Express Co. 6.150%, 08/28/17		4,000		4,456,804
Caisse Centrale Desjardins 2.550%, 03/24/16 144A @		2,000		2,043,216
General Electric Capital Corp.
7.500%, 08/21/35		1,314		1,925,725
5.875%, 01/14/38		1,500		1,898,042
JBG Rockville NCI Campus LLC 6.100%, 07/15/33 144A @		4,000		4,766,656
Safina Ltd. 2.000%, 12/30/23		4,011		3,926,642
Toyota Motor Credit Corp. 3.400%, 09/15/21		1,000		1,051,763

				22,417,404


	Par (000)		Value†
CORPORATE BONDS — (continued)
Electric — 2.0%
Commonwealth Edison Co. 6.150%, 09/15/17	$	500	$	560,906
Enel Finance International NV 6.250%, 09/15/17 144A @		1,000		1,109,937
International Transmission Co. 4.625%, 08/15/43 144A @		1,000		1,178,753
Puget Sound Energy, Inc. 7.020%, 12/01/27		3,250		4,192,542
The Toledo Edison Co. 6.150%, 05/15/37		2,335		2,895,125
Wisconsin Public Service Corp. 4.752%, 11/01/44		1,100		1,282,449

				11,219,712

Food — 1.3%
ConAgra Foods,Inc. 1.900%, 01/25/18		1,000		993,338
The Hillshire Brands Co. 2.750%, 09/15/15		1,000		1,007,207
The J.M. Smucker Co. 3.500%, 10/15/21		3,890		4,053,532
WM Wrigley Jr. Co. 2.400%, 10/21/18 144A @		1,000		1,007,041

				7,061,118

Forest Products & Paper — 0.4%
Georgia-Pacific LLC 3.163%, 11/15/21		2,500		2,514,940

Gas — 1.6%
Centrica PLC 5.375%, 10/16/43 144A @		1,000		1,113,360
Northwest Natural Gas Co. 7.000%, 08/01/17		5,000		5,641,310
Pacific Gas & Electric Co. 3.250%, 09/15/21		1,000		1,021,292
Sabine Pass LNG LP 7.500%, 11/30/16		1,380		1,435,200

				9,211,162

Healthcare Products — 2.2%
Becton Dickinson & Co. 3.734%, 12/15/24		2,000		2,059,150
CareFusion Corp. 3.300%, 03/01/23		1,103		1,082,641
4.875%, 05/15/44		2,000		2,130,318
Covidien International Finance SA 6.000%, 10/15/17		1,000		1,119,091
3.200%, 06/15/22		1,000		1,008,986
Edwards Lifesciences Corp. 2.875%, 10/15/18		1,000		1,013,736
Medtronic, Inc. 4.000%, 04/01/43		1,000		953,440
St Jude Medical, Inc. 4.750%, 04/15/43		1,000		1,061,463
Stryker Corp. 2.000%, 09/30/16		1,000		1,016,838


	Par (000)		Value†

Healthcare Products — (continued)
Zimmer Holdings, Inc. 4.625%, 11/30/19	$	1,000	$	1,092,366

				12,538,029

Healthcare Services — 0.4%
Dignity Health 2.637%, 11/01/19		2,000		2,015,392

Internet — 0.4%
Alibaba Group Holding Ltd. 3.600%, 11/28/24		2,500		2,479,610

Investment Companies — 0.2%
Ares Capital Corp. 4.875%, 11/30/18		1,000		1,051,389

Media — 0.6%
Belo Corp. 7.750%, 06/01/27		1,000		1,095,000
Comcast Cable Holdings LLC 9.875%, 06/15/22		1,000		1,383,158
Viacom, Inc. 5.850%, 09/01/43		1,000		1,112,071

				3,590,229

Mining — 0.9%
Barrick Gold Corp. 5.250%, 04/01/42		2,000		1,848,698
BHP Billiton Finance (USA) Ltd. 5.000%, 09/30/43		1,000		1,133,521
Corp Nacional del Cobre de Chile 3.000%, 07/17/22 144A @		1,000		959,317
Goldcorp, Inc. 3.625%, 06/09/21		1,000		1,001,609

				4,943,145

Miscellaneous Manufacturing — 0.2%
Siemens Financieringsmaatschappij NV 6.125%, 08/17/26 144A @		1,000		1,240,714

Oil & Gas — 2.1%
Anadarko Petroleum Corp. 4.437%, 10/10/36 ¤		7,500		2,844,555
BG Energy Capital PLC 4.000%, 10/15/21 144A @		1,000		1,028,423
BP Capital Markets PLC 2.500%, 11/06/22		2,500		2,329,320
Petrobras International Finance Co. 6.750%, 01/27/41		500		454,785
Petroleos Mexicanos 1.950%, 12/20/22 W.I.		1,600		1,575,397
2.000%, 12/20/22		2,400		2,367,878
Shell International Finance BV 4.550%, 08/12/43		1,000		1,093,970

				11,694,328


	Par (000)		Value†
CORPORATE BONDS — (continued)
Oil & Gas Services — 0.2%
Schlumberger Oilfield UK PLC 4.200%, 01/15/21 144A @	$	1,000	$	1,084,981

Pharmaceuticals — 2.5%
AbbVie, Inc. 1.200%, 11/06/15		1,000		1,002,939
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34		1,000		1,217,564
Johnson & Johnson 4.375%, 12/05/33		3,000		3,360,303
Perrigo Co. PLC 4.000%, 11/15/23		1,000		1,031,337
Takeda Pharmaceutical Co., Ltd. 1.625%, 03/17/17 144A @		2,000		2,006,194
Wyeth LLC 5.950%, 04/01/37		4,000		5,130,632

				13,748,969

Pipelines — 0.9%
Access Midstream Partners LP / ACMP Finance Corp. 4.875%, 05/15/23		1,000		1,015,000
DCP Midstream LLC 6.750%, 09/15/37 144A @		1,000		1,086,243
Plains All American Pipeline LP / Paa Finance Corp. 4.900%, 02/15/45		3,000		3,048,744

				5,149,987

Real Estate Investment Trusts — 0.4%
American Tower Corp. 4.700%, 03/15/22		2,000		2,096,984

Retail — 0.8%
McDonald’s Corp. 5.700%, 02/01/39		2,610		3,205,837
Wal-Mart Stores, Inc. 4.300%, 04/22/44		1,000		1,091,546

				4,297,383

Telecommunications — 1.3%
AT&T, Inc. 3.875%, 08/15/21		1,000		1,046,307
5.350%, 09/01/40		1,000		1,082,821
British Telecommunications PLC 1.625%, 06/28/16		1,000		1,007,201
Verizon Communications, Inc. 4.600%, 04/01/21		1,000		1,085,374
2.450%, 11/01/22		3,000		2,814,780

				7,036,483

Transportation — 1.2%
Canadian National Railway Co. 6.250%, 08/01/34		3,855		5,121,410


	Par (000)		Value†

Transportation — (continued)
Federal Express Corp 1999 Pass Through Trust 7.650%, 01/15/22	$	1,153	$	1,383,024

				6,504,434

Trucking and Leasing — 0.2%
TTX Co. 5.400%, 02/15/16 144A @		1,000		1,037,672

TOTAL CORPORATE BONDS (Cost $169,960,263)				174,828,375

MUNICIPAL BONDS — 4.6%
City of San Antonio, TX 6.038%, 08/01/35		3,000		3,454,350
Corpus Christi Independent School District 6.124%, 08/15/32		1,000		1,176,730
Metropolitan Transit Authority of Harris County 6.875%, 11/01/38		1,205		1,419,574
Metropolitan Water District of Southern California 6.947%, 07/01/40		1,000		1,192,260
North Carolina State University at Raleigh 6.027%, 10/01/35		3,055		3,468,525
Northeast Ohio Regional Sewer District 6.038%, 11/15/40		2,385		2,777,881
Orange County Sanitation District 6.400%, 02/01/44		1,000		1,350,230
Puerto Rico Sales Tax Financing Corp. 6.050%, 08/01/36		3,325		2,431,606
San Francisco City & County Public Utilities Commission 6.950%, 11/01/50		2,000		2,916,480
South Carolina State Public Service Authority 5.784%, 12/01/41		2,000		2,488,160
University of Arizona 6.643%, 08/01/44		950		1,105,923
West Virginia University 4.471%, 10/01/42		2,000		2,176,240

TOTAL MUNICIPAL BONDS (Cost $23,597,317)				25,957,959

REAL ESTATE INVESTMENT TRUSTS — 0.2%
Diversified Financial Services — 0.2%
American Tower Corp. (Cost $994,479)		1,000,000		983,140

RESIDENTIAL MORTGAGE BACKED SECURITIES — 21.9%
Collateralized Mortgage Obligations — 2.8%
Fannie Mae REMICS 4.000%, 11/25/40		5,986		6,228,274


	Par (000)		Value†
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued)
Collateralized Mortgage Obligations — (continued)
Freddie Mac REMIC 2.000%, 03/15/42	$	9,515	$	9,275,280

				15,503,554

Fannie Mae Pool — 14.5%
5.000%, 07/01/23		669		715,966
2.285%, 04/01/34•		329		350,864
2.315%, 07/01/36•		522		558,342
2.385%, 08/01/36•		478		510,710
2.861%, 05/01/37•		487		511,945
3.500%, 03/01/41		1,529		1,596,598
3.000%, 11/01/42		28,461		28,849,871
2.500%, 01/01/43		3,446		3,369,252
2.500%, 02/01/43		10,072		9,847,718
3.000%, 03/01/43		20,324		20,593,229
2.500%, 05/01/43		12,388		12,111,259
3.500%, 09/01/43		2,085		2,175,915

				81,191,669

Freddie Mac Gold Pool — 1.5%
3.500%, 12/01/40		4,363		4,545,322
3.500%, 01/01/41		2,853		2,971,528
3.500%, 02/01/41		852		887,461

				8,404,311

Ginnie Mae Pool — 3.2%
6.000%, 10/15/38		460		519,418
6.000%, 10/15/38		340		383,312
3.500%, 10/20/41		5,823		6,122,930
9.000%, 10/15/30		7		7,619
3.000%, 02/16/41		6,500		6,599,268
1.042%, 07/16/46		4,402		4,063,382

				17,695,929

TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $119,200,384)				122,795,463

U.S. TREASURY OBLIGATIONS — 6.0%
U.S. Treasury Bond
1.375%, 01/31/20		6,000		5,917,500
2.750%, 08/15/42		5,000		4,998,440
3.125%, 02/15/43		3,685		3,956,481
3.625%, 08/15/43		2,950		3,469,247
3.750%, 11/15/43		1,250		1,502,833
3.625%, 02/15/44		1,800		2,118,515
U.S. Treasury Note
0.625%, 08/15/16		1,150		1,151,887
0.875%, 12/31/16		3,750		3,764,063
0.875%, 04/15/17		2,550		2,553,386
0.625%, 08/31/17		4,000		3,961,876

TOTAL U.S. TREASURY OBLIGATIONS (Cost $31,023,510)				33,394,228


	Par (000)		Value†
EXCHANGE TRADED FUNDS — 1.3%
Investment Companies — 1.3%
iShares iBoxx $ High Yield Corporate Bond ETF (Cost $7,495,902)	$	83,000	$	7,414,400


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 0.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		2,575,036		2,575,036
BlackRock Liquidity Funds TempFund - Institutional Shares		447		447
Federated Prime Obligations Fund - Class I		312		312
Fidelity Institutional Prime Money Market Portfolio		715		715
Fidelity Institutional Prime Money Market Portfolio - Class I		272		272
Wells Fargo Advantage Government Money Market Fund - Institutional Class		52		52
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 $2,576,836)				2,576,836

TOTAL INVESTMENTS — 98.9% (Cost $540,439,761)			$	553,482,428

Other Assets & Liabilities — 1.1%				6,133,538

TOTAL NET ASSETS—100.0%			$	559,615,966

†	See Security Valuation Note.

—	Variable Rate Security.

¤	Zero Coupon Bond. The interest rate disclosed represents the effective yield from the date of acquisition to maturity.

LLC	— Limited Liability Company.

LP	— Limited Partnership.

PLC	— Public Limited Company.

REMIC

— Real Estate Mortgage Investment Conduits.

††%	of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
REAL ESTATE INVESTMENT TRUSTS	$	983,140	$	—	$	983,140	$	—
EXCHANGE TRADED FUNDS		7,414,400		7,414,400		—		—
U.S. TREASURY OBLIGATIONS		33,394,228		—		33,394,228		—
AGENCY OBLIGATION		2,479,988		—		2,479,988		—
ASSET BACKED SECURITIES		107,038,331		—		107,038,331		—
COMMERCIAL MORTGAGE BACKED SECURITIES		76,013,708		—		76,013,708		—
CORPORATE BONDS		174,828,375		—		174,828,375		—
RESIDENTIAL MORTGAGE BACKED SECURITIES		122,795,463		—		122,795,463		—
MUNICIPAL BONDS		25,957,959		—		25,957,959		—
SHORT-TERM INVESTMENTS		2,576,836		2,576,836		—		—

TOTAL INVESTMENTS	$	553,482,428	$	9,991,236	$	543,491,192	$	—

The accompanying notes are an integral part of these financial statements.


	Par (000)		Value†
ASSET BACKED SECURITIES — 0.2%
Continental Airlines 2012-3 Class C Pass Thru Certificates 6.125%, 04/29/18 (Cost $325,000)	$	325	$	345,313


	Number of Shares		Value†
COMMON STOCKS — 0.7%
Auto Manufacturers — 0.1%
General Motors Co.		5,200		181,532

Entertainment — 0.0%
New Cotai Participation Class B*144A @^~		1		27,838

Media — 0.1%
Liberty Global PLC, Series C*		2,300		111,113

Oil & Gas — 0.3%
Range Resources Corp.		1,845		98,615
Seven Generations Energy Ltd. Class A*		26,320		396,227

				494,842

Real Estate — 0.0%
The Howard Hughes Corp.*		600		78,252

Telecommunications — 0.2%
Altice S.A.*		2,697		212,977
T-Mobile US, Inc.*		6,400		172,416

				385,393

TOTAL COMMON STOCKS (Cost $874,347)				1,278,970

PREFERRED STOCKS — 0.7%
Banks — 0.4%
Ally Financial, Inc.*144A @		800		799,675

Oil & Gas — 0.1%
Penn Virginia Corp. CONV. 144A @		2,316		151,408

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

Telecommunications — 0.2%
Crown Castle International Corp. CONV.*		2,450		252,326
T-Mobile US, Inc.*		1,463		77,524

				329,850

TOTAL PREFERRED STOCKS (Cost $1,200,282)				1,280,933


	Par (000)		Value†
REAL ESTATE INVESTMENT TRUSTS — 0.1%
Diversified — 0.1%
American Tower Corp. (Cost $120,700)	$	1,207		138,757


	Par (000)		Value†
CORPORATE BONDS — 86.6%
Advertising — 0.4%
CBS Outdoor Americas Capital LLC 5.625%, 02/15/24 144A @	$	225	$	226,125
MDC Partners, Inc. 6.750%, 04/01/20 144A @		525		540,750

				766,875

Aerospace & Defense — 0.6%
Accudyne Industries LLC 7.750%, 12/15/20 144A @		500		472,500
Ducommun, Inc. 9.750%, 07/15/18		300		321,000
Kratos Defense & Security Solutions, Inc. 7.000%, 05/15/19		125		106,250
TransDigm, Inc. 6.500%, 07/15/24		200		201,000

				1,100,750

Airlines — 1.8%
Air Canada 7.750%, 04/15/21 144A @		275		286,344
Allegiant Travel Co. 5.500%, 07/15/19		175		178,063
American Airlines 2013-1 Class B Pass Through Trust 5.625%, 01/15/21 144A @		71		72,082
American Airlines 2013-1 Class C Pass Through Trust 6.125%, 07/15/18^ 144A @		200		207,000
American Airlines Group Inc 5.500%, 10/01/19 144A @		650		661,375
United Airlines 2014-2 Class B Pass Through Trust 4.625%, 09/03/22		70		68,600
United Continental Holdings, Inc.
6.375%, 06/01/18		325		343,687
6.000%, 12/01/20		600		615,000
6.000%, 07/15/26		325		312,813
6.000%, 07/15/28		100		95,250
US Airways Group, Inc. 6.125%, 06/01/18		725		755,812

				3,596,026

Apparel — 0.7%
Hanesbrands, Inc. 6.375%, 12/15/20		250		265,000
Levi Strauss & Co. 6.875%, 05/01/22		200		215,000
QS Wholesale, Inc. 10.000%, 08/01/20		325		222,625
The William Carter Co. 5.250%, 08/15/21		500		515,000
Wolverine World Wide, Inc. 6.125%, 10/15/20		100		105,000

				1,322,625


	Par (000)		Value†
CORPORATE BONDS — (continued)
Auto Manufacturers — 2.1%
Chrysler Group LLC 8.000%, 06/15/19	$	300	$	315,375
8.250%, 06/15/21		2,375		2,630,316
CNH Industrial Finance Europe S.A. 6.250%, 03/09/18		275		372,471
Jaguar Land Rover Automotive PLC 5.625%, 02/01/23 144A @		600		631,500
Navistar International Corp. 8.250%, 11/01/21		175		172,594

				4,122,256

Auto Parts & Equipment — 1.8%
Affinia Group, Inc. 7.750%, 05/01/21		75		77,250
Allison Transmission, Inc. 7.125%, 05/15/19 144A @		350		366,187
American Axle & Manufacturing, Inc.
5.125%, 02/15/19		100		102,000
6.250%, 03/15/21		200		210,000
6.625%, 10/15/22		175		185,500
Dana Holding Corp. 5.375%, 09/15/21		375		386,250
Gestamp Funding Luxembourg S.A. 5.625%, 05/31/20 144A @		300		303,000
MPG Holdco I, Inc. 7.375%, 10/15/22 144A @		400		412,000
Nexteer Automotive Group Ltd. 5.875%, 11/15/21 144A @		200		200,000
Pittsburgh Glass Works LLC 8.000%, 11/15/18 144A @		163		171,965
Schaeffler Holding Finance BV PIK (Cash coupon 6.875%, PIK 7.625%) 6.875%, 08/15/18 144A @		250		260,625
PIK 6.250%, 11/15/19 144A @		200		206,000
The Goodyear Tire & Rubber Co.
8.250%, 08/15/20		250		265,000
8.750%, 08/15/20		100		115,750
6.500%, 03/01/21		300		318,000

				3,579,527

Banks — 1.9%
Ally Financial, Inc. 7.500%, 09/15/20		260		304,850
8.000%, 11/01/31		225		286,875
CIT Group, Inc. 4.250%, 08/15/17		350		357,000
6.625%, 04/01/18 144A @		500		542,500
5.375%, 05/15/20		300		317,070
5.000%, 08/15/22		225		231,188
Provident Funding Associates LP 10.125%, 02/15/19 144A @		100		105,000
6.750%, 06/15/21 144A @		300		291,000
Sberbank of Russia Via SB Capital S.A. 6.125%, 02/07/22 144A @		200		176,246
5.500%, 02/26/24 144A @•		200		146,900


	Par (000)		Value†

Banks — (continued)
Synovus Financial Corp. 5.125%, 06/15/17	$	600	$	609,000
7.875%, 02/15/19		300		333,750

				3,701,379

Beverages — 0.5%
Constellation Brands, Inc. 6.000%, 05/01/22		300		331,500
Cott Beverages, Inc. 6.750%, 01/01/20 144A @		250		250,000
5.375%, 07/01/22 144A @		400		367,000

				948,500

Building Materials — 1.6%
Ainsworth Lumber Co. Ltd. 7.500%, 12/15/17 144A @		92		94,760
Associated Materials LLC 9.125%, 11/01/17		150		123,750
Builders FirstSource, Inc. 7.625%, 06/01/21 144A @		250		256,250
Interline Brands, Inc. PIK 10.000%, 11/15/18		105		109,725
Masonite International Corp. 8.250%, 04/15/21 144A @		100		106,750
Nortek, Inc. 10.000%, 12/01/18		300		314,250
8.500%, 04/15/21		350		374,500
Reliance Intermediate Holdings LP 9.500%, 12/15/19 144A @		225		235,125
Summit Materials LLC 10.500%, 01/31/20		450		499,500
USG Corp. 9.750%, 01/15/18		450		513,000
5.875%, 11/01/21 144A @		100		101,000
Vulcan Materials Co. 7.500%, 06/15/21		300		349,500

				3,078,110

Chemicals — 1.8%
Axalta Coating Systems US Holdings, Inc. 7.375%, 05/01/21 144A @		150		159,000
Ciech Group Financing AB 9.500%, 11/30/19 144A @		250		333,551
Hexion US Finance Corp. 8.875%, 02/01/18		600		534,000
6.625%, 04/15/20		575		563,500
INEOS Group Holdings S.A. 6.125%, 08/15/18 144A @		200		191,500
Kerling PLC 10.625%, 02/01/17 144A @		200		244,528
Momentive Performance Materials, Inc. 3.880%, 10/24/21		575		487,312
PolyOne Corp. 5.250%, 03/15/23		250		249,832


	Par (000)		Value†
CORPORATE BONDS — (continued)
Chemicals — (continued)
PQ Corp. 8.750%, 05/01/18 144A @	$	475	$	491,625
Rayonier AM Products, Inc. 5.500%, 06/01/24 144A @		250		205,313

				3,460,161

Coal — 0.9%
Alpha Natural Resources, Inc. 3.750%, 12/15/17		100		49,938
7.500%, 08/01/20 144A @		325		204,750
CONSOL Energy, Inc 5.875%, 04/15/22 144A @		600		558,000
CONSOL Energy, Inc. 8.250%, 04/01/20		50		51,875
Foresight Energy LLC 7.875%, 08/15/21 144A @		325		320,937
Murray Energy Corp. 9.500%, 12/05/20 144A @		225		225,000
8.625%, 06/15/21 144A @		175		167,125
Suncoke Energy Partners LP 7.375%, 02/01/20 144A @		250		259,687

				1,837,312

Commercial Services — 3.1%
Alliance Data Systems Corp. 6.375%, 04/01/20 144A @		275		281,187
5.375%, 08/01/22 144A @		300		296,250
American Capital Ltd. 6.500%, 09/15/18 144A @		325		339,625
Ashtead Capital, Inc. 6.500%, 07/15/22 144A @		125		132,813
CoreLogic, Inc. 7.250%, 06/01/21		350		367,500
Europcar Groupe S.A. 11.500%, 05/15/17 144A @		350		474,341
FTI Consulting, Inc. 6.750%, 10/01/20		75		78,563
6.000%, 11/15/22		325		332,312
H&E Equipment Services, Inc. 7.000%, 09/01/22		150		154,312
Harland Clarke Holdings Corp. 6.875%, 03/01/20 144A @		125		121,875
Igloo Holdings Corp. PIK (Cash coupon 8.250%, PIK 9.000%) 8.250%, 12/15/17 144A @		175		176,750
Iron Mountain Europe PLC 6.125%, 09/15/22 144A @		225		357,875
Jaguar Holding Co. I PIK (Cash coupon 9.375%, PIK 10.125%) 9.375%, 10/15/17 144A @		225		229,950
Jaguar Holding Co. II 9.500%, 12/01/19 144A @		350		375,375
Laureate Education, Inc. 9.750%, 09/01/19 144A @		625		643,750
Lender Processing Services, Inc. 5.750%, 04/15/23		200		210,000


	Par (000)		Value†

Commercial Services — (continued)
Loxam SAS 7.000%, 07/23/22 144A @	$	225	$	246,397
Safway Group Holding LLC 7.000%, 05/15/18 144A @		250		237,500
TransUnion Holding Co, Inc. PIK (Cash Coupon 8.125%, PIK 8.875%) 8.125%, 06/15/18		150		153,750
Truven Health Analytics, Inc. 10.625%, 06/01/20		125		121,875
10.625%, 06/01/20 144A @		150		146,250
United Rentals North America, Inc. 6.125%, 06/15/23		525		551,250

				6,029,500

Computers — 0.3%
Dell, Inc. 5.650%, 04/15/18		175		183,750
5.875%, 06/15/19		275		291,500
4.625%, 04/01/21		100		96,375

				571,625

Cosmetics & Personal Care — 0.0%
Avon Products, Inc. 4.600%, 03/15/20		90		81,675

Distribution & Wholesale — 0.5%
HD Supply, Inc. 5.250%, 12/15/21 144A @		425		432,437
Matalan Finance PLC 6.875%, 06/01/19 144A @		350		523,713

				956,150

Diversified Financial Services — 4.4%
Aircastle Ltd. 6.250%, 12/01/19		325		342,875
Aston Escrow Corp. 9.500%, 08/15/21 144A @		275		254,375
Cantor Commercial Real Estate Co. LP 7.750%, 02/15/18 144A @		275		283,937
Consolidated Energy Finance S.A. 6.750%, 10/15/19 144A @		550		537,625
DBP Holding Corp. 7.750%, 10/15/20 144A @		125		106,250
Denali Borrower LLC 5.625%, 10/15/20 144A @		450		468,225
E*TRADE Financial Corp. 5.375%, 11/15/22		300		306,750
General Motors Financial Co., Inc. 4.750%, 08/15/17		375		395,475
3.250%, 05/15/18		250		250,313
6.750%, 06/01/18		75		84,938
Icahn Enterprises LP 4.875%, 03/15/19		350		349,125
6.000%, 08/01/20		650		669,630
Jefferies LoanCore LLC 6.875%, 06/01/20 144A @		400		365,000


	Par (000)		Value†
CORPORATE BONDS — (continued)
Diversified Financial Services — (continued)
Ladder Capital Finance Holdings LLP. 7.375%, 10/01/17	$	200	$	206,000
5.875%, 08/01/21 144A @		175		166,250
National Financial Partners Corp. 9.000%, 07/15/21 144A @		275		288,062
Nationstar Mortgage LLC 6.500%, 07/01/21		500		455,000
Navient Corp. 5.000%, 10/26/20		300		294,375
Neuberger Berman Group LLC 5.625%, 03/15/20 144A @		225		235,125
5.875%, 03/15/22 144A @		200		210,500
OneMain Financial Holdings, Inc. 6.750%, 12/15/19 144A @		525		535,500
Outerwall, Inc. 6.000%, 03/15/19		450		443,250
5.875%, 06/15/21 144A @		325		303,062
Springleaf Finance Corp. 5.250%, 12/15/19		300		294,000
Walter Investment Management Corp. 7.875%, 12/15/21		850		758,625

				8,604,267

Electric — 2.1%
AES Corp. 5.500%, 03/15/24		425		431,290
Calpine Corp. 5.375%, 01/15/23		300		303,000
CMS Energy Corp. 5.050%, 03/15/22		130		145,744
Dynegy Finance I, Inc. 6.750%, 11/01/19 144A @		400		407,000
Energy Future Intermediate Holding Co. LLC 11.750%, 03/01/22 144A @~		825		893,407
10.000%, 12/01/49¤		900		83,250
GenOn Energy, Inc. 9.500%, 10/15/18		475		472,625
Infinis PLC 7.000%, 02/15/19 144A @		300		492,129
NRG Energy, Inc. 6.250%, 07/15/22		325		332,313
6.625%, 03/15/23		275		286,000
6.250%, 05/01/24 144A @		200		203,500

				4,050,258

Engineering & Construction — 0.5%
Aguila 3 S.A. 7.875%, 01/31/18 144A @		325		314,438
7.875%, 01/31/18 144A @		300		295,715
Dycom Investments, Inc. 7.125%, 01/15/21		275		288,750

				898,903

Entertainment — 2.9%
Cedar Fair LP 5.250%, 03/15/21		275		276,375


	Par (000)		Value†

Entertainment — (continued)
DreamWorks Animation SKG, Inc. 6.875%, 08/15/20 144A @	$	275	$	281,875
Graton Economic Development Authority 9.625%, 09/01/19 144A @		500		546,250
Great Canadian Gaming Corp. 6.625%, 07/25/22 144A @		150		135,566
Intralot Finance Luxembourg S.A. 9.750%, 08/15/18 144A @		225		278,796
MU Finance PLC 8.375%, 02/01/17 144A @		223		227,891
National CineMedia LLC 6.000%, 04/15/22		675		675,000
New Cotai LLC PIK 10.625%, 05/01/19 144A @		556		586,853
Peninsula Gaming LLC 8.375%, 02/15/18 144A @		200		208,000
Pinnacle Entertainment, Inc. 7.500%, 04/15/21		375		390,934
Regal Entertainment Group 5.750%, 03/15/22		750		716,250
5.750%, 06/15/23		50		46,750
Scientific Games International, Inc. 7.000%, 01/01/22 144A @		300		303,750
Six Flags Entertainment Corp. 5.250%, 01/15/21 144A @		350		350,000
WMG Acquisition Corp. 6.000%, 01/15/21 144A @		413		413,000
6.750%, 04/15/22 144A @		275		250,250

				5,687,540

Environmental Control — 0.7%
Clean Harbors, Inc. 5.250%, 08/01/20		125		125,625
5.125%, 06/01/21		175		174,563
Darling Ingredients, Inc. 5.375%, 01/15/22		75		73,875
Tervita Corp. 10.875%, 02/15/18 144A @		375		228,750
8.000%, 11/15/18 144A @		775		662,625

				1,265,438

Food — 1.3%
ARAMARK Corp. 5.750%, 03/15/20		200		206,500
BI-LO LLC 9.250%, 02/15/19 144A @		300		276,000
Brakes Capital 7.125%, 12/15/18 144A @		125		192,390
Bumble Bee Holdings, Inc. 9.000%, 12/15/17 144A @		149		156,301
Del Monte Corp. 7.625%, 02/15/19		300		294,750
JBS Investments GmbH 7.750%, 10/28/20 144A @		200		207,100
JBS USA LLC 5.875%, 07/15/24 144A @		250		245,625


	Par (000)		Value†
CORPORATE BONDS — (continued)
Food — (continued)
Minerva Luxembourg S.A. 12.250%, 02/10/22 144A @	$	200	$	230,200
Post Holdings, Inc. 6.750%, 12/01/21 144A @		75		72,750
7.375%, 02/15/22		225		225,000
6.000%, 12/15/22 144A @		175		164,063
Premier Foods Finance PLC 6.500%, 03/15/21 144A @		100		133,728
Shearer’s Foods LLC 9.000%, 11/01/19 144A @		75		81,750

				2,486,157

Forest Products & Paper — 0.3%
Mercer International, Inc. 7.000%, 12/01/19 144A @		375		378,750
7.750%, 12/01/22 144A @		200		202,500

				581,250

Gas — 0.1%
NGL Energy Partners LP 5.125%, 07/15/19 144A @		100		96,000
Sabine Pass LNG LP 6.500%, 11/01/20		175		176,750

				272,750

Hand & Machine Tools — 0.3%
Apex Tool Group LLC 7.000%, 02/01/21 144A @		350		299,250
Milacron LLC 7.750%, 02/15/21 144A @		325		331,500

				630,750

Healthcare Products — 0.7%
Crimson Merger Sub, Inc. 6.625%, 05/15/22 144A @		425		381,969
Kinetic Concepts, Inc. 10.500%, 11/01/18		325		353,437
12.500%, 11/01/19		150		165,750
Universal Hospital Services, Inc. 7.625%, 08/15/20		500		430,000

				1,331,156

Healthcare Services — 3.2%
Aviv Healthcare Properties LP 7.750%, 02/15/19		100		104,200
Capella Healthcare, Inc. 9.250%, 07/01/17		625		649,219
Community Health Systems, Inc. 8.000%, 11/15/19		225		240,188
7.125%, 07/15/20		375		399,844
6.875%, 02/01/22		1,150		1,218,281
Fresenius Medical Care U.S. Finance II, Inc. 5.625%, 07/31/19 144A @		250		266,875
5.875%, 01/31/22 144A @		100		108,500
HCA Holdings, Inc. 6.250%, 02/15/21		275		292,875


	Par (000)		Value†

Healthcare Services — (continued)
Holding Medi-Partenaires SAS 7.000%, 05/15/20 144A @	$	300	$	383,889
IASIS Healthcare LLC 8.375%, 05/15/19		375		393,750
Kindred Escrow Corp. II 8.000%, 01/15/20 144A @		375		398,437
Select Medical Corp. 6.375%, 06/01/21		650		659,750
Tenet Healthcare Corp. 6.000%, 10/01/20		275		295,303
4.500%, 04/01/21		600		601,500
Wellcare Health Plans, Inc. 5.750%, 11/15/20		275		283,938

				6,296,549

Holding Companies — 1.0%
Harbinger Group, Inc. 7.875%, 07/15/19		425		452,625
7.750%, 01/15/22		200		202,000
KraussMaffei Group GmbH 8.750%, 12/15/20 144A @		225		294,669
Opal Acquisition, Inc. 8.875%, 12/15/21 144A @		350		355,250
Polish Television Holding BV PIK 11.000%, 01/15/21 144A @		425		607,870
WaveDivision Escrow LLC 8.125%, 09/01/20 144A @		75		79,875

				1,992,289

Home Builders — 0.7%
KB Home 7.000%, 12/15/21		375		394,453
Standard Pacific Corp. 10.750%, 09/15/16		175		198,188
William Lyon Homes, Inc. 8.500%, 11/15/20		400		431,000
7.000%, 08/15/22 144A @		375		378,750

				1,402,391

Household Products & Wares — 1.3%
Reynolds Group Issuer, Inc. 9.000%, 04/15/19		950		983,250
9.875%, 08/15/19		625		662,500
8.250%, 02/15/21		350		358,750
Spectrum Brands, Inc. 6.375%, 11/15/20		100		104,250
6.625%, 11/15/22		100		105,750
The Sun Products Corp. 7.750%, 03/15/21 144A @		400		338,000

				2,552,500

Housewares — 0.3%
Bormioli Rocco Holdings S.A. 10.000%, 08/01/18 144A @		300		348,147


	Par (000)		Value†
CORPORATE BONDS — (continued)
Housewares — (continued)
RSI Home Products, Inc. 6.875%, 03/01/18 144A @	$	200	$	209,000

				557,147

Insurance — 0.9%
A-S Co-Issuer Subsidiary, Inc. 7.875%, 12/15/20 144A @		225		229,500
CNO Financial Group, Inc. 6.375%, 10/01/20 144A @		250		263,750
HUB International Ltd. 7.875%, 10/01/21 144A @		325		323,375
Towergate Finance PLC 8.500%, 02/15/18 144A @		125		172,518
10.500%, 02/15/19 144A @		275		122,155
USI, Inc. 7.750%, 01/15/21 144A @		650		633,750

				1,745,048

Internet — 1.4%
Adria Bidco BV 7.875%, 11/15/20 144A @		275		354,062
Ancestry.Com, Inc. PIK (Cash coupon 9.625%, PIK 10.375%) 9.625%, 10/15/18 144A @		550		539,000
Cerved Group SpA 6.375%, 01/15/20 144A @		100		128,266
Equinix, Inc. 5.375%, 01/01/22		275		277,585
5.375%, 04/01/23		325		325,000
5.750%, 01/01/25		150		151,312
Netflix, Inc. 5.375%, 02/01/21		475		494,000
5.750%, 03/01/24 144A @		475		494,000

				2,763,225

Investment Companies — 0.4%
Ares Capital Corp. 4.875%, 11/30/18		475		499,410
NRG Yield Operating LLC 5.375%, 08/15/24 144A @		325		329,875

				829,285

Iron & Steel — 1.4%
AK Steel Corp. 7.625%, 10/01/21		500		458,750
8.375%, 04/01/22		475		432,250
ArcelorMittal 10.350%, 06/01/19		275		332,063
6.000%, 03/01/21		75		78,000
6.750%, 02/25/22		100		106,750
Bluescope Steel Finance Ltd. 7.125%, 05/01/18 144A @		350		362,250
Ryerson, Inc. 9.000%, 10/15/17		425		436,687
11.250%, 10/15/18		434		462,210


	Par (000)		Value†

Iron & Steel — (continued)
United States Steel Corp. 6.875%, 04/01/21	$	25	$	25,375

				2,694,335

Leisure Time — 0.5%
24 Hour Holdings IIII LLC 8.000%, 06/01/22 144A @		300		240,000
Cirsa Funding Luxembourg S.A. 8.750%, 05/15/18 144A @		325		403,591
NCL Corp. Ltd. 5.250%, 11/15/19 144A @		300		302,250

				945,841

Lodging — 1.1%
Boyd Gaming Corp. 9.000%, 07/01/20		75		76,875
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.500%, 07/01/19 144A @		350		325,500
MGM Resorts International 6.750%, 10/01/20		425		446,250
6.625%, 12/15/21		450		472,500
Playa Resorts Holding BV 8.000%, 08/15/20 144A @		300		299,250
Seminole Hard Rock Entertainment, Inc. 5.875%, 05/15/21 144A @		100		99,000
Station Casinos LLC 7.500%, 03/01/21		425		435,625

				2,155,000

Machinery — Construction & Mining — 0.6%
Blueline Rental Finance Corp. 7.000%, 02/01/19 144A @		225		230,625
Terex Corp. 6.500%, 04/01/20		125		129,375
6.000%, 05/15/21		750		765,000

				1,125,000

Machinery — Diversified — 0.8%
Columbus McKinnon Corp. 7.875%, 02/01/19		275		286,000
Gardner Denver, Inc. 6.875%, 08/15/21 144A @		700		672,000
The Manitowoc Co., Inc. 8.500%, 11/01/20		125		135,000
5.875%, 10/15/22		225		228,375
Zebra Technologies Corp. 7.250%, 10/15/22 144A @		175		183,750

				1,505,125

Media — 9.4%
AMC Networks, Inc. 4.750%, 12/15/22		475		460,750
Arqiva Broadcast Finance PLC 9.500%, 03/31/20 144A @		475		812,519


	Par (000)		Value†
CORPORATE BONDS — (continued)
Media — (continued)
CCO Holdings LLC 5.250%, 03/15/21	$	75	$	75,563
6.625%, 01/31/22		625		664,062
5.250%, 09/30/22		400		399,000
5.125%, 02/15/23		285		278,588
5.750%, 09/01/23		200		202,500
CCOH Safari LLC 5.500%, 12/01/22		300		304,500
Central European Media Enterprises Ltd. 5.000%, 11/15/15		650		650,000
Cequel Communications Holdings I LLC 6.375%, 09/15/20 144A @		950		983,250
5.125%, 12/15/21 144A @		325		315,250
Clear Channel Worldwide Holdings, Inc. 7.625%, 03/15/20		50		51,875
6.500%, 11/15/22		50		50,875
6.500%, 11/15/22		450		463,500
CSC Holdings LLC 6.750%, 11/15/21		300		331,500
Dex Media, Inc. 7.000%, 01/29/17		300		130,658
DISH DBS Corp. 5.125%, 05/01/20		375		377,813
6.750%, 06/01/21		125		134,375
5.875%, 07/15/22		250		256,250
Gannett Co., Inc. 5.125%, 10/15/19		200		204,500
6.375%, 10/15/23		525		556,500
iHeartCommunications, Inc. 10.000%, 01/15/18		475		407,313
9.000%, 12/15/19		350		344,750
ION Media Networks, Inc. 11.000%, 07/31/15~		1		0
LGE HoldCo VI BV 7.125%, 05/15/24 144A @		325		432,949
Mediacom Broadband LLC 6.375%, 04/01/23		450		461,250
MPL 2 Acquisition Canco, Inc. 9.875%, 08/15/18 144A @		200		215,000
Numericable SFR S.A. 6.250%, 05/15/24 144A @		725		730,437
Sinclair Television Group, Inc. 6.125%, 10/01/22		300		305,250
Sirius XM Radio, Inc. 5.750%, 08/01/21 144A @		1,175		1,201,437
Starz LLC 5.000%, 09/15/19		250		251,875
Time, Inc. 5.750%, 04/15/22 144A @		275		266,063
Townsquare Radio LLC 9.000%, 04/01/19 144A @		200		213,000
Unitymedia Hessen GmbH & Co. KG 5.000%, 01/15/25 144A @		600		601,500
Unitymedia KabelBW GmbH 9.500%, 03/15/21 144A @		450		608,505


	Par (000)		Value†

Media — (continued)
6.125%, 01/15/25 144A @	$	400	$	413,000
Univision Communications, Inc. 8.500%, 05/15/21 144A @		850		905,250
6.750%, 09/15/22 144A @		492		526,440
5.125%, 05/15/23 144A @		800		808,000
Videotron Ltd. 6.875%, 07/15/21 144A @		325		300,369
VTR Finance BV 6.875%, 01/15/24 144A @		750		765,000
WideOpenWest Finance LLC 10.250%, 07/15/19		300		312,375
13.375%, 10/15/19		450		473,625

				18,247,216

Mining — 1.6%
Aleris International, Inc. 7.625%, 02/15/18		175		175,875
7.875%, 11/01/20		350		348,250
Eldorado Gold Corp. 6.125%, 12/15/20 144A @		400		388,000
First Quantum Minerals Ltd. 7.250%, 05/15/22 144A @		575		517,500
Lundin Mining Corp. 7.500%, 11/01/20 144A @		400		396,000
Novelis, Inc. 8.750%, 12/15/20		175		185,500
Nyrstar Netherlands Holdings BV 8.500%, 09/15/19 144A @		375		453,770
Vedanta Resources PLC 6.000%, 01/31/19 144A @		275		268,125
8.250%, 06/07/21 144A @		350		346,500

				3,079,520

Miscellaneous Manufacturing — 0.4%
Momentive Performance Escrow 8.875%, 10/15/20^~		575		0
Trinseo Materials Operating SCA 8.750%, 02/01/19		751		761,326

				761,326

Office & Business Equipment — 0.3%
CDW LLC 6.000%, 08/15/22		425		438,813
Magnolia S.A. 9.000%, 08/01/20 144A @		175		202,463

				641,276

Oil & Gas — 6.2%
American Energy-Permian Basin LLC 6.732%, 08/01/19 144A @•		450		330,750
Antero Resources Finance Corp. 6.000%, 12/01/20		475		473,812
Atwood Oceanics, Inc. 6.500%, 02/01/20		150		136,500


	Par (000)		Value†
CORPORATE BONDS — (continued)
Oil & Gas — (continued)
Bill Barrett Corp. 7.625%, 10/01/19	$	650	$	591,500
7.000%, 10/15/22		125		100,625
Bonanza Creek Energy, Inc. 5.750%, 02/01/23		500		395,000
Canbriam Energy, Inc. 9.750%, 11/15/19 144A @		250		235,000
Chesapeake Energy Corp. 5.375%, 06/15/21		200		199,875
5.750%, 03/15/23		50		51,500
Concho Resources, Inc. 7.000%, 01/15/21		150		157,125
5.500%, 04/01/23		1,025		1,029,817
Denbury Resources, Inc. 5.500%, 05/01/22		375		343,125
Jupiter Resources, Inc. 8.500%, 10/01/22 144A @		375		282,187
Laredo Petroleum, Inc. 7.375%, 05/01/22		475		444,125
Memorial Resource Development Corp. 5.875%, 07/01/22 144A @		375		339,375
Newfield Exploration Co. 5.625%, 07/01/24		100		98,938
Pacific Rubiales Energy Corp. 5.125%, 03/28/23 144A @		100		78,750
5.625%, 01/19/25 144A @		300		230,250
Parker Drilling Co. 6.750%, 07/15/22		275		206,250
Parsley Energy LLC 7.500%, 02/15/22 144A @		600		568,500
PDC Energy, Inc. 7.750%, 10/15/22		725		688,750
Penn Virginia Corp. 7.250%, 04/15/19		400		312,000
8.500%, 05/01/20		450		360,000
Precision Drilling Corp. 6.625%, 11/15/20		425		382,500
6.500%, 12/15/21		75		63,563
Range Resources Corp. 5.000%, 08/15/22		100		100,000
5.000%, 03/15/23		275		275,000
Rosetta Resources, Inc. 5.875%, 06/01/24		775		689,750
Seven Generations Energy Ltd. 8.250%, 05/15/20 144A @		450		432,000
Seventy Seven Energy, Inc. 6.500%, 07/15/22		475		277,875
SM Energy Co. 6.625%, 02/15/19		250		245,000
6.500%, 11/15/21		150		145,500
6.500%, 01/01/23		300		288,000
5.000%, 01/15/24		500		432,500
Western Refining, Inc. 6.250%, 04/01/21		125		121,875


	Par (000)		Value†

Oil & Gas — (continued)
WPX Energy, Inc. 6.000%, 01/15/22	$	800	$	770,000
5.250%, 09/15/24		125		116,250

				11,993,567

Oil & Gas Services — 0.7%
CGG S.A. 6.500%, 06/01/21		250		190,000
6.875%, 01/15/22		650		494,000
Compressco Partners LP 7.250%, 08/15/22 144A @		225		193,500
Exterran Partners LP 6.000%, 04/01/21		125		108,750
6.000%, 10/01/22 144A @		350		297,500
McDermott International, Inc. 8.000%, 05/01/21 144A @		175		122,500

				1,406,250

Packaging and Containers — 1.2%
AEP Industries, Inc. 8.250%, 04/15/19		150		151,500
Ardagh Finance Holdings S.A. PIK 8.625%, 06/15/19 144A @		209		205,636
Ardagh Packaging Finance PLC 6.250%, 01/31/19 144A @		200		195,500
7.000%, 11/15/20 144A @		300		303,000
Beverage Packaging Holdings Luxembourg II SA 5.625%, 12/15/16 144A @		225		220,500
6.000%, 06/15/17 144A @		350		341,250
Consolidated Container Co. LLC 10.125%, 07/15/20 144A @		375		348,750
Exopack Holding Corp. 10.000%, 06/01/18 144A @		200		212,000
Graphic Packaging International, Inc. 4.750%, 04/15/21		175		176,313
Tekni-Plex, Inc. 9.750%, 06/01/19 144A @		130		141,050

				2,295,499

Pharmaceuticals — 0.9%
Capsugel S.A. PIK (Cash coupon 7.000%, PIK 7.75%) 7.000%, 05/15/19 144A @		400		404,000
Delta Dutch Newco BV 7.500%, 02/01/22 144A @		175		177,625
Par Pharmaceutical Cos, Inc. 7.375%, 10/15/20		100		104,500
Pinnacle Merger Sub, Inc. 9.500%, 10/01/23 144A @		69		74,520
Valeant Pharmaceuticals International 6.375%, 10/15/20 144A @		500		522,500
Valeant Pharmaceuticals International Escrow Corp. 6.750%, 08/15/18 144A @		450		478,696

				1,761,841


	Par (000)		Value†
CORPORATE BONDS — (continued)
Pipelines — 1.6%
Atlas Pipeline Partners LP 5.875%, 08/01/23	$	575	$	569,250
MarkWest Energy Partners LP 4.500%, 07/15/23		650		625,625
NuStar Logistics LP 6.750%, 02/01/21		150		158,625
Penn Virginia Resource Partners LP 6.500%, 05/15/21		100		101,000
Regency Energy Partners LP 5.875%, 03/01/22		250		249,375
Sabine Pass Liquefaction LLC 6.250%, 03/15/22		150		152,250
5.625%, 04/15/23		225		219,937
Targa Resources Partners LP 4.125%, 11/15/19 144A @		225		216,563
5.250%, 05/01/23		50		48,250
4.250%, 11/15/23		875		796,250

				3,137,125

Real Estate — 1.9%
CBRE Services, Inc. 5.000%, 03/15/23		625		638,687
Dupont Fabros Technology LP 5.875%, 09/15/21		775		789,531
Greystar Real Estate Partners LLC 8.250%, 12/01/22 144A @		200		203,500
iStar Financial, Inc. 7.125%, 02/15/18		125		131,250
5.000%, 07/01/19		450		436,500
MPT Operating Partnership LP 6.875%, 05/01/21		225		240,750
6.375%, 02/15/22		125		132,813
Omega Healthcare Investors, Inc. 5.875%, 03/15/24		75		79,688
Realogy Group LLC 9.000%, 01/15/20 144A @		100		109,500
5.250%, 12/01/21 144A @		250		243,125
The Howard Hughes Corp. 6.875%, 10/01/21 144A @		625		646,875

				3,652,219

Retail — 3.2%
99 Cents Only Stores 11.000%, 12/15/19		225		238,500
Academy Ltd. 144A 9.250%, 08/01/19 144A @		175		183,750
Building Materials Holding Corp. 9.000%, 09/15/18 144A @		350		367,500
Ferrellgas LP 6.500%, 05/01/21		275		268,125
6.750%, 01/15/22		125		122,188
Group 1 Automotive, Inc. 5.000%, 06/01/22 144A @		175		171,063
Guitar Center, Inc. 6.500%, 04/15/19 144A @		375		322,500


	Par (000)		Value†

Retail — (continued)
JC Penney Corp., Inc. 8.125%, 10/01/19	$	700	$	616,000
Michaels Stores, Inc. 5.875%, 12/15/20 144A @		225		227,250
New Look Bondco I PLC 8.375%, 05/14/18 144A @		375		388,125
New Red Finance, Inc. 6.000%, 04/01/22 144A @		350		358,750
PC Nextco Holdings LLC PIK 8.750%, 08/15/19		350		351,750
Penske Automotive Group, Inc. 5.750%, 10/01/22		200		207,500
PF Chang’s China Bistro, Inc. 10.250%, 06/30/20 144A @		800		798,000
Rite Aid Corp. 6.750%, 06/15/21		725		748,562
7.700%, 02/15/27		150		163,500
Sonic Automotive, Inc. 7.000%, 07/15/22		150		161,250
5.000%, 05/15/23		175		169,750
The Men’s Wearhouse, Inc. 7.000%, 07/01/22 144A @		175		179,812
The Pantry, Inc. 8.375%, 08/01/20		175		191,625

				6,235,500

Semiconductors — 0.4%
Freescale Semiconductor, Inc. 6.000%, 01/15/22 144A @		375		391,875
NXP BV 5.750%, 02/15/21 144A @		200		210,000
5.750%, 03/15/23 144A @		250		263,125

				865,000

Software — 2.9%
Activision Blizzard, Inc.
5.625%, 09/15/21 144A @		700		735,000
6.125%, 09/15/23 144A @		175		188,563
BCP Singapore VI Cayman Financing Co. Ltd. 8.000%, 04/15/21 144A @		200		202,000
BMC Software Finance, Inc. 8.125%, 07/15/21 144A @		350		329,000
Eagle Midco, Inc. PIK (Cash coupon 9.000%, PIK 9.750%) 9.000%, 06/15/18 144A @		425		434,562
Epicor Software Corp. 8.625%, 05/01/19		225		236,250
First Data Corp. 6.750%, 11/01/20 144A @		315		336,263
12.625%, 01/15/21		1,625		1,929,687
Infor Software Parent LLC PIK (Cash coupon 7.125%, PIK 7.875%) 7.125%, 05/01/21 144A @		600		588,000
Infor U.S., Inc. 9.375%, 04/01/19		300		321,000


	Par (000)		Value†
CORPORATE BONDS — (continued)
Software — (continued)
MSCI, Inc. 5.250%, 11/15/24 144A @	$	250	$	258,750

				5,559,075

Telecommunications — 10.7%
Alcatel-Lucent USA, Inc. 8.875%, 01/01/20 144A @		225		244,688
6.750%, 11/15/20 144A @		775		818,012
Altice Finco S.A. 9.875%, 12/15/20 144A @		400		427,573
9.000%, 06/15/23 144A @		325		431,316
Altice S.A. 7.750%, 05/15/22 144A @		400		400,750
B Communications Ltd. 7.375%, 02/15/21 144A @		325		343,688
CenturyLink, Inc. 5.625%, 04/01/20		725		752,187
Crown Castle International Corp. 5.250%, 01/15/23		425		433,500
Digicel Group Ltd. 8.250%, 09/30/20 144A @		225		218,250
7.125%, 04/01/22 144A @		250		232,500
Digicel Ltd. 6.000%, 04/15/21 144A @		200		187,000
EarthLink Holdings Corp. 7.375%, 06/01/20		175		177,625
Goodman Networks, Inc. 12.125%, 07/01/18		375		387,187
Hughes Satellite Systems Corp. 6.500%, 06/15/19		350		375,375
7.625%, 06/15/21		325		357,500
Intelsat Jackson Holdings S.A. 6.625%, 12/15/22		800		822,000
5.500%, 08/01/23		700		695,730
Intelsat Luxembourg S.A. 7.750%, 06/01/21		75		75,188
Level 3 Communications, Inc. 8.875%, 06/01/19		100		106,020
Level 3 Financing, Inc. 7.000%, 06/01/20		175		184,406
Matterhorn Financing & CY S.C.A. PIK (Cash coupon 9.000%, PIK 9.7500%) 9.000%, 04/15/19 144A @		350		430,083
Millicom International Cellular S.A. 6.625%, 10/15/21 144A @		200		208,000
Mobile Challenger Intermediate Group S.A. PIK 8.750%, 03/15/19 144A @		800		813,116
Mobile Challenger Intermediate Group SA PIK (Cash coupon 8.75%, PIK 9.50%) 8.750%, 03/15/19 144A @		100		122,518
NII International Telecom S.C.A. 11.375%, 08/15/19 144A @		225		162,000
Play Topco S.A. 7.750%, 02/28/20 144A @		225		275,665


	Par (000)		Value†

Telecommunications — (continued)
Sable International Finance Ltd. 8.750%, 02/01/20 144A @	$	200	$	217,000
Sprint Communications, Inc. 11.500%, 11/15/21		800		962,000
Sprint Corp. 7.125%, 06/15/24		1,725		1,604,250
Syniverse Holdings, Inc. 9.125%, 01/15/19		300		313,500
T-Mobile USA, Inc. 6.250%, 04/01/21		450		460,575
6.633%, 04/28/21		450		461,812
6.000%, 03/01/23		1,350		1,353,375
Telecom Italia Capital S.A. 7.175%, 06/18/19		975		1,116,375
Telecom Italia SpA 6.375%, 06/24/19		350		599,554
UPC Holding BV 8.375%, 08/15/20 144A @		125		162,034
6.750%, 03/15/23 144A @		375		411,323
6.750%, 03/15/23 144A @		200		264,058
UPCB Finance V Ltd. 7.250%, 11/15/21 144A @		150		164,063
UPCB Finance VI Ltd. 6.875%, 01/15/22 144A @		225		244,688
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC 7.748%, 02/02/21 144A @		200		166,200
VimpelCom Holdings BV 5.200%, 02/13/19 144A @		200		162,000
7.504%, 03/01/22 144A @		450		364,500
Virgin Media Finance PLC 7.000%, 04/15/23 144A @		275		465,048
6.000%, 10/15/24 144A @		200		209,250
Wind Acquisition Finance S.A. 4.750%, 07/15/20 144A @		400		374,000
7.375%, 04/23/21 144A @		1,100		1,038,180

				20,795,662

Textiles — 0.2%
Springs Industries, Inc. 6.250%, 06/01/21		350		348,250

Transportation — 0.1%
Watco Cos. LLC 6.375%, 04/01/23 144A @		175		173,250

TOTAL CORPORATE BONDS (Cost $171,076,711)				168,477,251

LOAN AGREEMENTS — 4.3%‡
Auto Manufacturers — 0.1%
Navistar, Inc. 5.750%, 08/17/17•		125		124,062

Commercial Services — 0.2%
Weight Watchers International, Inc. 4.000%, 04/02/20•		446		344,665


	Par (000)		Value†
LOAN AGREEMENTS‡ — (continued)
Computers — 0.1%
Dell, Inc. 4.500%, 04/29/20	$	148	$	147,127

Distribution & Wholesale — 0.1%
Husky Injection Molding System 4.250%, 06/30/21		149		146,192

Diversified Financial Services — 0.3%
Terra-Gen Finance Co., LLC 5.250%, 12/09/21		300		295,500
Vantiv LLC 3.750%, 06/13/21•		274		270,035

				565,535

Electric — 0.3%
Equipower Resources Holding LLC 4.250%, 12/31/19•		690		684,622

Entertainment — 0.7%
Amaya Holdings BV 5.000%, 08/01/21		274		271,364
Delta 2 (Lux) S.a.r.l. 4.750%, 07/30/21		600		584,502
7.750%, 07/29/22		200		194,000
Peninsula Gaming LLC 4.250%, 11/20/17•		356		352,544

				1,402,410

Healthcare Services — 0.2%
Ortho-Clinical Diagnostics 4.750%, 06/30/21		224		219,901
Surgery Center Holdings 5.250%, 11/03/20		200		194,500

				414,401

Holding Companies — 0.0%
Faenza Acquisition 4.250%, 08/30/20		98		96,481

Insurance — 0.5%
Asurion LLC 5.000%, 05/24/19•		370		364,924
8.500%, 03/03/21		550		544,957

				909,881

Machinery—Diversified — 0.2%
Gardner Denver, Inc. 4.250%, 07/30/20•		173		161,364
Zebra Technologies Corp. 4.750%, 10/27/21		200		200,800

				362,164

Media — 0.3%
McGraw-Hill Global Education Holdings LLC 5.750%, 03/22/19•		168		167,266
Univision Communications, Inc. 4.000%, 03/01/20•		372		363,400

				530,666


	Par (000)		Value†

Oil & Gas — 0.3%
Foresight Energy LLC 5.500%, 08/21/20•	$	145	$	145,292
Philadelphia Energy Solutions Refining and Marketing LLC 6.250%, 04/04/18•		320		302,843
TGGT Holdings 6.500%, 11/15/18		238		211,375

				659,510

Retail — 0.9%
JC Penney Corp. 6.000%, 05/22/18•		864		849,883
New Red Finance, Inc. 4.500%, 12/12/21		350		348,499
PF Chang’s China Bistro, Inc. 4.250%, 06/22/19•		478		460,487

				1,658,869

Telecommunications — 0.1%
Level 3 Financing, Inc. 4.500%, 01/31/22		200		199,938

TOTAL LOAN AGREEMENTS‡ (Cost $8,418,389)				8,246,523


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 4.4%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		439,149		439,149
T. Rowe Price Reserve Investment Fund		7,882,661		7,882,661

TOTAL SHORT-TERM INVESTMENTS (Cost $8,321,810)				8,321,810

TOTAL INVESTMENTS — 96.7% (Cost $190,696,759)			$	188,089,557

Other Assets & Liabilities — (3.3%)				6,414,050

TOTAL NET ASSETS — 100.0%			$	194,503,607

‡

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 December 31, 2014. 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.

*	Non-income producing security.

^	Illiquid security. The total market value of illiquid securities at December 31, 2014 is $234,838.

•	Variable Rate Security.

¤	Defaulted Security.

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $921,245.

CONV — Convertible Security.

LLC — Limited Liability Company.

LP — Limited Partnership.

OJSC — Open Joint Stock Company

PIK — Payment in Kind Security.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	78	%
Luxembourg	7
Canada	4
Netherlands	3
United Kingdom	3
France	1
Germany	1
Other	3

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	1,278,970	$	1,251,132	$	—	$	27,838
REAL ESTATE INVESTMENT TRUSTS		138,757		138,757		—		—
PREFERRED STOCKS
Banks		799,675		—		799,675		—
Oil & Gas		151,408		151,408		—		—
Packaging and Containers		—		—		—		—
Telecommunications		329,850		329,850		—		—
ASSET BACKED SECURITIES		345,313		—		345,313		—
CORPORATE BONDS		168,477,251		—		168,477,251		—
LOAN AGREEMENTS		8,246,523		—		8,246,523		—
SHORT-TERM INVESTMENTS		8,321,810		8,321,810		—		—

TOTAL INVESTMENTS	$	188,089,557	$	10,192,957	$	177,868,762	$	27,838

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 12/31/2013	$	24,557
Change in Appreciation/(Depreciation)		3,281

Balance as of 12/31/2014	$	27,838

The accompanying notes are an integral part of these financial statements.


	Par (000)		Value†
AGENCY OBLIGATION — 0.2%
Banks — 0.2%
KFW 0.500%, 04/19/16 (Cost $6,649,148)	$	6,658	$	6,657,867

ASSET BACKED SECURITIES — 0.5%
Ally Master Owner Trust 0.854%, 06/15/17•		8,755		8,765,077
Continental Airlines 2009-2 Class A, Pass Through Trust 7.250%, 11/10/19		635		733,673
Continental Airlines 2012-1 Class A, Pass Through Trust 4.150%, 04/11/24		2,047		2,103,128
Continental Airlines 2012-1 Class B, Pass Through Trust 6.250%, 04/11/20		394		414,022
Ford Credit Auto Owner Trust 2012-C 0. 580%, 12/15/16		823		822,995
Honda Auto Receivables 2012-3 Owner Trust 0.560%, 05/15/16		723		723,472

TOTAL ASSET BACKED SECURITIES (Cost $13,400,088)				13,562,367


	Number of Shares		Value†
COMMON STOCKS — 62.7%
Aerospace & Defense — 1.2%
The Boeing Co.		181,500		23,591,370
United Technologies Corp.		101,500		11,672,500

				35,263,870

Agriculture — 0.9%
Philip Morris International, Inc.		356,500		29,036,925

Auto Parts & Equipment — 2.0%
Delphi Automotive PLC		425,600		30,949,632
Johnson Controls, Inc.		648,900		31,367,826

				62,317,458

Banks — 5.1%
JPMorgan Chase & Co.		475,300		29,744,274
Julius Baer Group Ltd.		128,856		5,883,308
State Street Corp.		769,500		60,405,750
The Bank of New York Mellon Corp.		569,000		23,084,330
UBS Group AG		2,182,837		37,522,314

				156,639,976

Beverages — 0.8%
PepsiCo, Inc.		248,600		23,507,616

Chemicals — 0.6%
Cytec Industries, Inc.		413,700		19,100,529

Commercial Services — 1.7%
Iron Mountain, Inc.		412,194		15,935,420


	Number of Shares		Value†

Commercial Services — (continued)
Tyco International PLC		764,000	$	33,509,040
Vantiv, Inc., Class A*		123,500		4,189,120

				53,633,580

Diversified Financial Services — 3.0%
Invesco Ltd.		194,408		7,683,004
TD Ameritrade Holding Corp.		1,096,100		39,218,458
Visa, Inc., Class A		177,400		46,514,280

				93,415,742

Diversified Operations — 1.6%
Pentair PLC		759,900		50,472,558

Electric — 2.6%
FirstEnergy Corp.		263,300		10,266,067
PG&E Corp.		1,068,100		56,865,644
Xcel Energy, Inc.		337,300		12,115,816

				79,247,527

Electrical Components & Equipment — 1.1%
AMETEK, Inc.		626,500		32,972,695

Electronics — 3.2%
Agilent Technologies, Inc.		357,500		14,636,050
Thermo Fisher Scientific, Inc.		673,900		84,432,931

				99,068,981

Engineering & Construction — 0.3%
SBA Communications Corp., Class A*		76,900		8,517,444

Food — 0.7%
Mondelez International, Inc., Class A		558,500		20,287,513
The J.M. Smucker Co.		24,100		2,433,618

				22,721,131

Healthcare Products — 2.3%
Becton Dickinson & Co.		295,100		41,066,116
CareFusion Corp.*		381,400		22,632,276
Henry Schein, Inc.*		55,878		7,607,790

				71,306,182

Healthcare Services — 2.4%
Cigna Corp.		272,200		28,012,102
DaVita HealthCare Partners, Inc.*		143,100		10,838,394
UnitedHealth Group, Inc.		349,000		35,280,410

				74,130,906

Insurance — 2.8%
Marsh & McLennan Cos., Inc.		1,504,800		86,134,752

Internet — 1.4%
eBay, Inc.*		140,700		7,896,084
Google, Inc., Class A*		23,300		12,364,378
Google, Inc., Class C*		41,200		21,687,680

				41,948,142

Machinery — Diversified — 1.4%
IDEX Corp.		185,300		14,423,752


	Number of Shares		Value†
COMMON STOCKS — (continued)
Machinery — Diversified — (continued)
Roper Industries, Inc.		174,800	$	27,329,980

				41,753,732

Media — 1.6%
Liberty Global PLC, Class A*		134,000		6,727,470
Liberty Global PLC, Series C*		572,800		27,671,968
Twenty-First Century Fox, Inc. Class B		297,700		10,982,153
Viacom, Inc., Class B		61,600		4,635,400

				50,016,991

Miscellaneous Manufacturing — 4.6%
Danaher Corp.		1,656,778		142,002,442

Oil & Gas — 2.7%
Apache Corp.		148,900		9,331,563
California Resources Corp.*		80,520		443,665
Canadian Natural Resources Ltd.		1,578,200		48,734,816
Occidental Petroleum Corp.		206,200		16,621,782
Range Resources Corp.		174,947		9,350,917

				84,482,743

Pharmaceuticals — 8.2%
Abbott Laboratories		708,200		31,883,164
Actavis PLC*		182,900		47,080,289
Allergan, Inc.		255,200		54,252,968
Eli Lilly & Co.		800,600		55,233,394
Merck & Co., Inc.		114,900		6,525,171
Pfizer, Inc.		904,743		28,182,744
Zoetis, Inc.		707,586		30,447,426

				253,605,156

Retail — 4.6%
AutoZone, Inc.*		129,699		80,297,948
CVS Health Corp.		153,300		14,764,323
Lowe’s Cos., Inc.		462,900		31,847,520
O’Reilly Automotive, Inc.*		32,100		6,183,102
Wal-Mart Stores, Inc.		103,100		8,854,228

				141,947,121

Semiconductors — 1.0%
Texas Instruments, Inc.		568,000		30,368,120

Software — 3.7%
Fidelity National Information Services, Inc.		567,400		35,292,280
Fiserv, Inc.*		1,090,600		77,399,882

				112,692,162

Telecommunications — 1.2%
Cisco Systems, Inc.		230,800		6,419,702
Crown Castle International Corp.		391,800		30,834,660

				37,254,362

TOTAL COMMON STOCKS (Cost $1,464,412,791)				1,933,558,843


	Par (000)		Value†
REAL ESTATE INVESTMENT TRUSTS — 0.7%
Diversified — 0.7%
American Tower Corp. (Cost $14,958,011)	$	211,597	$	20,916,364


	Number of Shares		Value†
PREFERRED STOCKS — 0.7%
Banks — 0.2%
State Street Corp.*		86,000		2,170,640
U.S. Bancorp Series F		71,000		2,090,950
U.S. Bancorp Series G		90,000		2,440,800

				6,702,390

Electric — 0.2%
SCE Trust I		83,775		2,052,487
SCE Trust II		14,730		334,960
SCE Trust III		161,355		4,267,840

				6,655,287

Oil & Gas — 0.0%
Chesapeake Energy Corp.		956		87,474

Telecommunications — 0.3%
T-Mobile US, Inc.*		160,540		8,507,015

TOTAL PREFERRED STOCKS (Cost $20,724,350)				21,952,166


	Par (000)		Value†
CORPORATE BONDS — 21.5%
Advertising — 0.1%
Lamar Media Corp.
5.875%, 02/01/22	$	900		933,750
5.000%, 05/01/23		850		841,500

				1,775,250

Aerospace & Defense — 0.0%
Moog, Inc. 5.250%, 12/01/22 144A		650		658,125

Airlines — 0.4%
Continental Airlines 2009-1 Pass-Through Trust 9.000%, 07/08/16		746		820,996
Delta Air Lines 2009-1, Class A Pass Through Trust 7.750%, 12/17/19		502		581,545
Delta Air Lines 2011-1, Class A Pass Through Trust 5.300%, 04/15/19		487		529,353
Hawaiian Airlines 2013-1 Class A, Pass Through Certificates 3.900%, 01/15/26		1,815		1,785,506
United Airlines, Inc. 4.500%, 01/15/15		1,879		6,582,372


	Par (000)		Value†
CORPORATE BONDS — (continued)
Airlines — (continued)
US Airways 2010-1 Class A, Pass Through Trust 6.250%, 04/22/23	$	1,912	$	2,146,096
US Airways 2010-1 Class B, Pass Through Trust 8.500%, 04/22/17^		217		236,195
US Airways 2012-2 Class A, Pass Through Trust 4.625%, 06/03/25		267		280,536
US Airways 2012-2 Class B, Pass Through Trust 6.750%, 06/03/21		503		536,186
US Airways 2013-1 Class A, Pass Through Trust 3.950%, 11/15/25		5		4,976
US Airways 2013-1 Class B, Pass Through Trust 5.375%, 11/15/21		5		5,069

				13,508,830

Auto Parts & Equipment — 0.3%
Delphi Corp. 6.125%, 05/15/21		3,125		3,406,250
5.000%, 02/15/23		3,450		3,682,806
Schaeffler Finance BV 7.750%, 02/15/17 144A @		1,250		1,368,750

				8,457,806

Banks — 0.7%
KFW 2.500%, 11/20/24		19,722		19,997,536
Regions Bank 7.500%, 05/15/18		90		104,481
Synovus Financial Corp. 5.125%, 06/15/17		105		106,575

				20,208,592

Chemicals — 0.1%
Cytec Industries, Inc. 3.950%, 05/01/25		3,680		3,724,657

Coal — 0.1%
CONSOL Energy, Inc 5.875%, 04/15/22 144A @		3,075		2,859,750

Diversified Financial Services — 2.0%
Caterpillar Financial Services Corp. 0.700%, 11/06/15		1,585		1,587,750
1.250%, 11/06/17		2,345		2,333,899
E*TRADE Financial Corp. 6.375%, 11/15/19		5,750		6,095,000
Ford Motor Credit Co. LLC 3.875%, 01/15/15		4,530		4,533,429
2.750%, 05/15/15		2,300		2,315,389
2.500%, 01/15/16		2,190		2,214,497
1.483%, 05/09/16•		3,755		3,787,676
4.250%, 02/03/17		1,340		1,407,093


	Par (000)		Value†

Diversified Financial Services — (continued)
6.625%, 08/15/17	$	1,675	$	1,867,218
0.753%, 09/08/17•		4,325		4,295,218
0.803%, 12/06/17•		6,325		6,284,375
1.724%, 12/06/17		2,150		2,127,780
5.000%, 05/15/18		1,800		1,955,786
2.375%, 03/12/19		4,275		4,245,237
2.597%, 11/04/19		4,350		4,326,601
International Lease Finance Corp. 2.191%, 06/15/16•		2,905		2,901,369
John Deere Capital Corp.
0.304%, 01/12/15•		4,475		4,475,090
0.700%, 09/04/15		1,800		1,805,036
Toyota Motor Credit Corp. 0.401%, 01/23/15•		2,305		2,305,224

				60,863,667

Electric — 0.5%
Berkshire Hathaway Energy Co. 2.400%, 02/01/20 144A		2,550		2,538,897
3.500%, 02/01/25 144A		2,655		2,671,880
4.500%, 02/01/45 144A		2,175		2,275,807
CMS Energy Corp. 6.550%, 07/17/17		895		1,000,443
8.750%, 06/15/19		415		519,556
Dominion Resources, Inc./VA 2.500%, 12/01/19		4,160		4,172,147
3.625%, 12/01/24		2,150		2,177,866
Otter Tail Corp. 9.000%, 12/15/16^		890		1,007,925

				16,364,521

Electronics — 0.0%
Amphenol Corp. 1.550%, 09/15/17		920		917,439

Entertainment — 0.0%
Cedar Fair LP 5.250%, 03/15/21		1,425		1,432,125

Food — 0.1%
B&G Foods, Inc. 4.625%, 06/01/21		1,525		1,488,552

Healthcare Products — 0.7%
Becton Dickinson and Co. 1.800%, 12/15/17		2,590		2,599,552
2.675%, 12/15/19		2,175		2,203,603
3.734%, 12/15/24		2,160		2,223,882
4.685%, 12/15/44		610		656,946
Medtronic, Inc. 1.500%, 03/15/18 144A		1,905		1,895,896
2.500%, 03/15/20 144A		2,845		2,852,463
3.500%, 03/15/25 144A		3,685		3,769,645
4.625%, 03/15/45 144A		5,660		6,135,383

				22,337,370


	Par (000)		Value†
CORPORATE BONDS — (continued)
Healthcare Services — 1.2%
DaVita HealthCare Partners, Inc. 6.625%, 11/01/20	$	4,275	$	4,488,750
5.750%, 08/15/22		7,290		7,727,400
5.125%, 07/15/24		14,110		14,392,200
Fresenius Medical Care U.S. Finance II, Inc. 5.625%, 07/31/19 144A @		2,500		2,668,750
5.875%, 01/31/22 144A @		1,900		2,061,500
Roche Holdings, Inc. 3.350%, 09/30/24 144A		3,055		3,144,227
UnitedHealth Group, Inc. 1.400%, 12/15/17		1,545		1,543,624

				36,026,451

Internet — 0.3%
Amazon.com, Inc. 2.600%, 12/05/19		4,155		4,197,219
3.800%, 12/05/24		2,065		2,115,634
Priceline Group, Inc./The 0.350%, 06/15/20		2,323		2,590,145

				8,902,998

Machinery — Construction & Mining — 0.1%
Caterpillar Financial Services Corp. 2.250%, 12/01/19		1,155		1,156,265
3.250%, 12/01/24		1,370		1,388,102

				2,544,367

Machinery — Diversified — 0.3%
CNH Industrial Capital LLC 3.875%, 11/01/15		1,500		1,507,500
6.250%, 11/01/16		2,650		2,775,875
3.625%, 04/15/18		3,150		3,102,750
Xylem, Inc. 3.550%, 09/20/16		1,300		1,350,951
4.875%, 10/01/21		415		448,341

				9,185,417

Media — 2.1%
CCO Holdings LLC 7.250%, 10/30/17		850		884,425
8.125%, 04/30/20		725		763,062
7.375%, 06/01/20		1,925		2,040,500
Unitymedia Hessen GmbH & Co. KG 7.500%, 03/15/19 144A @		7,975		8,373,750
7.500%, 03/15/19 144A @		860		1,094,031
5.500%, 01/15/23 144A @		4,100		4,284,500
Unitymedia KabelBW GmbH 6.125%, 01/15/25 144A		3,300		3,407,250
Univision Communications, Inc. 6.875%, 05/15/19 144A @		18,775		19,549,469
7.875%, 11/01/20 144A @		13,000		13,845,000
6.750%, 09/15/22 144A @		7,944		8,500,080
5.125%, 05/15/23 144A @		2,700		2,727,000

				65,469,067


	Par (000)		Value†

Miscellaneous Manufacturing — 0.0%
Actuant Corp. 5.625%, 06/15/22	$	125	$	129,688

Oil & Gas — 4.3%
Antero Resources Corp. 5.125%, 12/01/22 144A @		2,300		2,167,750
Antero Resources Finance Corp. 6.000%, 12/01/20		3,950		3,940,125
5.375%, 11/01/21		4,875		4,716,562
Canadian Natural Resources Ltd. 1.750%, 01/15/18		1,000		994,117
3.900%, 02/01/25		2,145		2,114,468
Chesapeake Energy Corp. 3.250%, 03/15/16		3,175		3,167,062
3.481%, 04/15/19		2,225		2,180,500
Concho Resources, Inc. 7.000%, 01/15/21		9,775		10,239,312
6.500%, 01/15/22		4,200		4,389,000
5.500%, 10/01/22		2,425		2,449,250
5.500%, 04/01/23		6,450		6,480,315
EQT Corp. 6.500%, 04/01/18		1,620		1,823,051
8.125%, 06/01/19		1,754		2,114,577
4.875%, 11/15/21		8,005		8,647,858
Laredo Petroleum, Inc. 9.500%, 02/15/19		9,100		9,054,500
5.625%, 01/15/22		2,225		1,946,875
7.375%, 05/01/22		500		467,500
Noble Energy, Inc. 3.900%, 11/15/24		835		825,271
Range Resources Corp. 6.750%, 08/01/20		7,400		7,696,000
5.750%, 06/01/21		12,150		12,544,875
5.000%, 08/15/22		16,975		16,975,000
5.000%, 03/15/23		21,375		21,375,000
SM Energy Co.
6.500%, 11/15/21		3,425		3,322,250
6.500%, 01/01/23		1,200		1,152,000
WPX Energy, Inc. 5.250%, 01/15/17		2,300		2,323,000

				133,106,218

Packaging and Containers — 0.1%
Rexam PLC 6.750%, 06/29/67•		1,700		2,057,090

Pharmaceuticals — 0.3%
Johnson & Johnson 1.125%, 11/21/17		1,360		1,355,940
3.375%, 12/05/23		6,450		6,901,648
Novartis Capital Corp. 3.400%, 05/06/24		875		910,247
Omnicare, Inc. 5.000%, 12/01/24		1,125		1,153,125

				10,320,960


	Par (000)		Value†
CORPORATE BONDS — (continued)
Pipelines — 2.0%
Energy Transfer Partners LP 4.150%, 10/01/20	$	1,925	$	1,973,472
4.900%, 02/01/24		2,465		2,583,000
MarkWest Energy Partners LP 6.750%, 11/01/20		4,575		4,758,000
6.500%, 08/15/21		5,650		5,819,500
6.250%, 06/15/22		7,900		8,176,500
5.500%, 02/15/23		11,910		12,058,875
4.500%, 07/15/23		16,225		15,616,562
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. 4.875%, 12/01/24		3,175		3,103,562
ONEOK Partners LP 2.000%, 10/01/17		830		825,366
Targa Resources Partners LP 6.875%, 02/01/21		1,300		1,329,250
5.250%, 05/01/23		2,775		2,677,875
4.250%, 11/15/23		3,325		3,025,750

				61,947,712

Real Estate — 0.0%
CBRE Services, Inc. 5.000%, 03/15/23		900		919,710

Real Estate Investment Trusts — 0.2%
American Tower Corp. 4.625%, 04/01/15		200		201,786
3.500%, 01/31/23		925		893,742
5.000%, 02/15/24		1,535		1,627,817
Host Hotels & Resorts LP 5.875%, 06/15/19		1,800		1,890,657

				4,614,002

Retail — 1.2%
AmeriGas Finance LLC 6.250%, 08/20/19		600		619,500
6.750%, 05/20/20		675		695,250
7.000%, 05/20/22		1,525		1,578,375
Group 1 Automotive, Inc. 5.000%, 06/01/22 144A @		675		659,813
L Brands, Inc. 6.900%, 07/15/17		1,400		1,540,000
8.500%, 06/15/19		900		1,066,500
7.000%, 05/01/20		900		1,021,500
6.625%, 04/01/21		1,925		2,165,625
5.625%, 02/15/22		1,625		1,746,875
5.625%, 10/15/23		5,775		6,237,000
Penske Automotive Group, Inc. 5.375%, 12/01/24		1,325		1,341,562
Rite Aid Corp. 8.000%, 08/15/20		13,100		14,000,625
Suburban Propane Partners LP 7.375%, 03/15/20		2,350		2,438,125
7.375%, 08/01/21		750		785,625

				35,896,375


	Par (000)		Value†

Semiconductors — 0.6%
NXP BV 3.750%, 06/01/18 144A @	$	5,725	$	5,725,000
5.750%, 02/15/21 144A @		5,075		5,328,750
5.750%, 03/15/23 144A @		7,300		7,683,250

				18,737,000

Telecommunications — 3.8%
Crown Castle International Corp. 4.875%, 04/15/22		4,875		4,923,750
5.250%, 01/15/23		3,865		3,942,300
Intelsat Jackson Holdings SA 7.250%, 04/01/19		7,525		7,854,219
7.250%, 10/15/20		19,505		20,602,156
7.500%, 04/01/21		5,850		6,259,500
5.500%, 08/01/23		5,815		5,779,529
Matterhorn Mobile SA 5.380%, 05/15/19 144A @,•		250		251,458
6.750%, 05/15/19 144A @		4,255		4,494,242
SBA Communications Corp. 5.625%, 10/01/19		950		971,375
SBA Telecommunications, Inc. 5.750%, 07/15/20		875		890,575
Sprint Communications, Inc. 9.000%, 11/15/18 144A @		3,240		3,685,176
Telesat Canada 6.000%, 05/15/17 144A @		2,595		2,646,900
UPCB Finance III Ltd. 6.625%, 07/01/20 144A @		22,045		23,147,250
UPCB Finance V Ltd. 7.250%, 11/15/21 144A @		13,530		14,798,438
UPCB Finance VI Ltd. 6.875%, 01/15/22 144A @		11,900		12,941,250
Verizon Communications, Inc. 0.433%, 03/06/15 144A @,•		4,450		4,450,449

				117,638,567

TOTAL CORPORATE BONDS (Cost $655,260,027)				662,092,306

LOAN AGREEMENTS — 6.0%‡
Beverages — 0.4%
De Master Blenders 3.500%, 07/23/21		9,200		8,993,000
3.500%, 07/23/21		2,250		2,708,026

				11,701,026

Commercial Services — 0.3%
Kronos, Inc. 4.500%, 10/30/19		4,426		4,383,790
9.750%, 04/30/20		3,772		3,828,623

				8,212,413

Diversified Financial Services — 0.1%
Hilton Worldwide Finance LLC 3.500%,10/26/20•		4,605		4,545,763


	Par (000)		Value†
LOAN AGREEMENTS‡ — (continued)
Electric — 0.0%
Texas Competitive Electric Holdings Co. LLC 3.750%, 05/05/16	$	1,016	$	1,018,381

Entertainment — 0.1%
Kasima LLC 3.250%, 05/17/21•		707		690,719
Peninsula Gaming LLC 4.250%, 11/20/17•		3,381		3,349,170

				4,039,889

Food — 1.4%
H.J. Heinz Co. 3.500%, 06/05/20•		36,055		35,791,518
Pinnacle Foods Finance LLC 3.000%, 04/29/20•		4,246		4,112,036
3.000%, 04/29/20•		3,802		3,678,314

				43,581,868

Healthcare Services — 0.3%
Davita Healthcare Partners, Inc. 3.500%, 06/24/21		8,520		8,415,182
HCA, Inc. 2.919%, 03/31/17•		1,136		1,125,688

				9,540,870

Holding Companies — 1.3%
Intelsat Jackson Holdings 3.750%, 06/30/19		39,646		39,002,092

Media — 0.4%
Cequel Communications LLC 3.500%, 02/14/19•		4,291		4,218,004
Charter Communications Operating LLC 3.000%, 07/01/20•		2,093		2,049,965
3.000%, 01/03/21•		1,461		1,430,107
4.250%, 09/10/21•		3,275		3,293,438

				10,991,514

Retail — 0.2%
Rite Aid Corp. 3.500%, 02/21/20		744		739,723
Wendy’s International, Inc. 3.250%, 05/15/19•		5,516		5,461,998

				6,201,721

Telecommunications — 1.5%
Crown Castle Operating Co. 3.000%, 01/31/21•		18,082		17,765,996
First Data Corp.• 3.667%, 03/23/18		1,000		979,380
3.667%, 09/24/18		250		244,125
Telesat Canada 4.273%, 03/28/17•		701		600,571
4.43%, 03/28/19•,^		3,684		3,068,199
3.500%, 03/28/19•		5,433		5,347,654


	Par (000)			Value†

Telecommunications — (continued)
UPC Financing Partnership 3.250%, 06/30/21•	$	19,925		$	19,401,969

					47,407,894

TOTAL LOAN AGREEMENTS (Cost $189,560,635)					186,243,431

	Number of Shares			Value†
SHORT-TERM INVESTMENTS — 8.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		14,530,227			14,530,227
T. Rowe Price Reserve Investment Fund		248,832,362			248,832,362

TOTAL SHORT-TERM INVESTMENTS (Cost $263,362,589)					263,362,589

TOTAL INVESTMENTS — 101.1% (Cost $2,628,327,639)				$	3,108,345,933

Other Assets & Liabilities — (1.1%)					(34,157,753	)

TOTAL NET ASSETS — 100.0%				$	3,074,188,180


	Number of Contracts			Value†
WRITTEN OPTIONS
Call Options
Allergan, $170.00, 01/17/15		(440	)		(1,843,600	)
American Tower, $110.00, 01/15/16		(464	)		(157,760	)
American Tower, $105.00, 01/15/16		(464	)		(259,840	)
Apache, $100.00, 01/17/15		(280	)		(280	)
Apache, $105.00, 01/17/15		(140	)		(140	)
Apache, $90.00, 01/17/15		(163	)		(326	)
Apache, $92.50, 01/17/15		(326	)		(1,304	)
Apache, $95.00, 01/17/15		(440	)		(880	)
Apache, $97.50, 01/17/15		(140	)		(420	)
Autozone, $570.00, 01/17/15		(6	)		(29,220	)
Autozone, $600.00, 01/17/15		(6	)		(13,920	)
Boeing, $155.00, 01/17/15		(203	)		(812	)
Boeing, $135.00, 01/17/15		(107	)		(4,387	)
Boeing, $140.00, 01/17/15		(107	)		(642	)
Boeing, $140.00, 01/15/16		(243	)		(150,174	)
Boeing, $145.00, 01/17/15		(204	)		(204	)
Boeing, $150.00, 01/17/15		(203	)		(203	)
Cisco, $25.00, 01/15/16		(2,144	)		(793,280	)
Crown Castle International, $90.00, 01/15/16		(368	)		(9,200	)
Crown Castle International, $80.00, 01/17/15		(1,295	)		(116,550	)
CVS, $77.50, 01/17/15		(95	)		(191,900	)
CVS, $80.00, 01/17/15		(95	)		(161,500	)
CVS, $90.00, 01/15/16		(546	)		(584,220	)
CVS, $95.00, 01/15/16		(545	)		(416,925	)
Danaher Corp., $80.00, 01/17/15		(91	)		(60,060	)
Danaher Corp., $85.00, 01/17/15		(91	)		(21,385	)
Danaher Corp., $90.00, 01/17/15		(310	)		(1,550	)
Delphi, $70.00, 01/17/15		(53	)		(17,490	)
Delphi, $75.00, 01/17/15		(53	)		(2,650	)


	Number of Contracts			Value†
WRITTEN OPTIONS — (continued)
Call Options — (continued)
Google, $1250.00, 01/17/15		(87	)	$	(4,785	)
Google, $1260.00, 01/17/15		(58	)		(8,700	)
Google, $1280.00, 01/17/15		(6	)		(900	)
Google, $1330.00, 01/17/15		(6	)		(870	)
Google, $700.00, 01/15/16		(255	)		(186,150	)
Google, $700.00, 01/15/16		(76	)		(53,200	)
JPM, $60.00, 01/17/15		(105	)		(29,400	)
JPM, $65.00, 01/17/15		(924	)		(22,176	)
JPM, $65.00, 01/17/15		(115	)		(2,760	)
JPM, $67.50, 01/17/15		(924	)		(3,696	)
JPM, $70.00, 01/15/16		(1,500	)		(273,000	)
Lowe’s, $52.50, 01/17/15		(69	)		(113,850	)
Lowe’s, $55.00, 01/17/15		(834	)		(1,171,770	)
Lowe’s, $60.00, 01/15/16		(1,364	)		(1,595,880	)
Lowe’s, $75.00, 01/15/16		(480	)		(160,800	)
Modelez International, Inc, $45.00, 01/15/16		(781	)		(41,393	)
Occidental Petroleum Corp., $95.00, 01/15/16		(1,007	)		(251,750	)
Occidental Petroleum Corp., $97.50, 01/15/16		(1,006	)		(100,600	)
Orly, $155.00, 01/17/15		(23	)		(84,640	)
Orly, $165.00, 01/17/15		(23	)		(62,330	)
Pepsico, $100.00, 01/15/16		(794	)		(242,170	)
Pepsico, $105.00, 01/15/16		(469	)		(79,730	)
Pepsico, $110.00, 01/15/16		(774	)		(80,496	)
Pfizer, $30.00, 01/15/16		(3,011	)		(782,860	)
Pfizer, $35.00, 01/17/15		(472	)		(1,416	)
Pfizer, $32.00, 01/17/15		(472	)		(7,552	)
Philip Morris, $85.00, 03/20/15		(1,394	)		(146,370	)
Phillip Morris, $85.00, 01/17/15		(851	)		(11,063	)
Phillip Morris, $87.50, 01/17/15		(473	)		(1,892	)
Phillip Morris, $90.00, 01/17/15		(324	)		(324	)
Phillip Morris, $92.50, 01/17/15		(163	)		(326	)
Phillip Morris, $95.00, 01/17/15		(219	)		(438	)
Phillip Morris, $97.50, 01/17/15		(141	)		(564	)
State Street Corp., $85.00, 01/15/16		(399	)		(161,595	)
TD Ameritrade $115.00, 01/15/16		(291	)		(61,110	)
TD Ameritrade, $29.50, 01/17/15		(5,180	)		(3,263,400	)
TD Ameritrade, $30.00, 02/20/15		(3,094	)		(1,763,580	)
TD Ameritrade, $33.00, 01/17/15		(2,687	)		(738,925	)
Texas Instrument, $45.00, 01/17/15		(2,511	)		(2,084,130	)
Texas Instrument, $50.00, 01/17/15		(306	)		(123,318	)
Texas Instrument, $50.00, 01/17/15		(1,035	)		(417,105	)
Thermo Fisher Scientific, $135.00, 01/17/15		(55	)		(1,265	)
Thermo Fisher Scientific, $140.00, 01/17/15		(55	)		(825	)
Thermo Fisher Scientifiic, $150.00, 01/15/16		(215	)		(107,500	)
United Healthcare, $100.00, 01/15/16		(431	)		(407,295	)
United Healthcare, $105.00, 01/15/16		(430	)		(324,650	)
United Healthcare, $90.00, 01/15/16		(569	)		(1,004,285	)
United Healthcare, $95.00, 01/15/16		(569	)		(770,995	)
United Technologies Corp., $120.00, 01/17/15		(322	)		(8,694	)


	Number of Contracts			Value†

Call Options — (continued)
United Technologies, $120.00, 01/15/16		(693	)	$	(434,511	)
Visa, $280.00, 01/15/16		(177	)		(261,960	)
Visa, $300.00, 01/15/16		(176	)		(146,960	)
Walmart, $80.00, 01/15/16		(515	)		(466,075	)
Walmart, $82.50, 01/15/16		(516	)		(371,520	)

TOTAL WRITTEN OPTIONS (Premiums $(13,029,989))					(23,284,371	)

†	See Security Valuation Note.

*	Non-income producing security.

•	Variable Rate Security.

^	Illiquid security. The total market value of illiquid securities at December 31, 2014 is $4,312,319.

‡

LLC — Limited Liability Company.

LP — Limited Partnership.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	87	%
Switzerland	3
Canada	2
Cayman Islands	2
Ireland	2
Germany	1
Luxembourg	1
Other	2

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Aerospace & Defense	$	35,263,870	$	35,263,870	$	—	$	—
Agriculture		29,036,925		29,036,925		—		—
Auto Parts & Equipment		62,317,458		62,317,458		—		—
Banks		156,639,976		150,756,668		5,883,308		—
Beverages		23,507,616		23,507,616		—		—
Chemicals		19,100,529		19,100,529		—		—
Commercial Services		53,633,580		53,633,580		—		—
Diversified Financial Services		93,415,742		93,415,742		—		—
Diversified Operations		50,472,558		50,472,558		—		—
Electric		79,247,527		79,247,527		—		—
Electrical Components & Equipment		32,972,695		32,972,695		—		—
Electronics		99,068,981		99,068,981		—		—
Engineering & Construction		8,517,444		8,517,444		—		—
Food		22,721,131		22,721,131		—		—
Healthcare Products		71,306,182		71,306,182		—		—
Healthcare Services		74,130,906		74,130,906		—		—
Insurance		86,134,752		86,134,752		—		—
Internet		41,948,142		41,948,142		—		—
Machinery — Diversified		41,753,732		41,753,732		—		—
Media		50,016,991		50,016,991		—		—
Miscellaneous Manufacturing		142,002,442		142,002,442		—		—
Oil & Gas		84,482,743		84,482,743		—		—
Pharmaceuticals		253,605,156		253,605,156		—		—
Retail		141,947,121		141,947,121		—		—
Semiconductors		30,368,120		30,368,120		—		—
Software		112,692,162		112,692,162		—		—
Telecommunications		37,254,362		37,254,362		—		—
REAL ESTATE INVESTMENT TRUSTS		20,916,364		20,916,364		—		—
TOTAL PREFERRED STOCKS		21,952,166		21,952,166		—		—
AGENCY OBLIGATION		6,657,867		—		6,657,867		—
ASSET BACKED SECURITIES		13,562,367		—		13,562,367		—
CORPORATE BONDS		662,092,306		—		662,092,306		—
LOAN AGREEMENTS		186,243,431		—		186,243,431		—
SHORT-TERM INVESTMENTS		263,362,589		263,362,589		—		—

TOTAL INVESTMENTS	$	3,108,345,933	$	2,233,906,654	$	874,439,279	$	—


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 59.8%
Penn Series Index 500 Fund* (Cost $21,491,951)		3,059,242	$	48,886,682

AFFILIATED FIXED INCOME FUNDS — 39.8%
Penn Series Quality Bond Fund* (Cost $27,139,189)		2,432,173		32,591,121

SHORT-TERM INVESTMENTS — 0.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $247,645)		247,645		247,645

TOTAL INVESTMENTS — 99.9% (Cost $48,878,785)			$	81,725,448

Other Assets & Liabilities — 0.1%				68,197

TOTAL NET ASSETS — 100.0%			$	81,793,645

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$	48,886,682	$	48,886,682	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		32,591,121		32,591,121		—		—
SHORT-TERM INVESTMENTS		247,645		247,645		—		—

TOTAL INVESTMENTS	$	81,725,448	$	81,725,448	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 96.7%
Aerospace & Defense — 2.0%
The Boeing Co.		32,400	$	4,211,352
United Technologies Corp.		11,400		1,311,000

				5,522,352

Airlines — 3.1%
American Airlines Group, Inc.		113,100		6,065,553
United Continental Holdings, Inc.*		41,200		2,755,868

				8,821,421

Apparel — 2.1%
Hanesbrands, Inc.		20,300		2,265,886
Michael Kors Holdings Ltd.*		13,000		976,300
NIKE, Inc., Class B		16,100		1,548,015
Under Armour, Inc., Class A*		15,700		1,066,030

				5,856,231

Auto Manufacturers — 0.9%
Tesla Motors, Inc.*		11,200		2,490,992

Auto Parts & Equipment — 0.8%
Delphi Automotive PLC		30,800		2,239,776

Banks — 1.7%
Morgan Stanley		73,600		2,855,680
State Street Corp.		22,800		1,789,800

				4,645,480

Biotechnology — 9.0%
Alexion Pharmaceuticals, Inc.*		20,900		3,867,127
Biogen Idec, Inc.*		17,000		5,770,650
Celgene Corp.*		35,200		3,937,472
Gilead Sciences, Inc.*		63,800		6,013,788
Incyte Corp.*		18,900		1,381,779
Regeneron Pharmaceuticals, Inc.*		5,500		2,256,375
Vertex Pharmaceuticals, Inc.*		17,100		2,031,480

				25,258,671

Building Materials — 0.3%
Martin Marietta Materials, Inc.		7,000		772,240

Chemicals — 1.7%
Ashland, Inc.		11,100		1,329,336
Ecolab, Inc.		4,200		438,984
The Sherwin-Williams Co.		11,900		3,130,176

				4,898,496

Commercial Services — 3.0%
MasterCard, Inc., Class A		72,700		6,263,832
Mobileye NV*		16,500		669,240
Tyco International PLC		36,200		1,587,732

				8,520,804

Computers — 2.3%
Apple, Inc.		51,400		5,673,532
Stratasys Ltd.*		9,600		797,856

				6,471,388

Cosmetics & Personal Care — 0.4%
The Estee Lauder Cos., Inc., Class A		14,300		1,089,660


	Number of Shares		Value†

Diversified Financial Services — 5.1%
BlackRock, Inc.		3,800	$	1,358,728
IntercontinentalExchange Group, Inc.		9,200		2,017,468
Invesco Ltd.		3,400		134,368
TD Ameritrade Holding Corp.		45,000		1,610,100
Visa, Inc., Class A		35,400		9,281,880

				14,402,544

Healthcare Products — 1.3%
Intuitive Surgical, Inc.*		7,100		3,755,474

Healthcare Services — 1.4%
Humana, Inc.		12,600		1,809,738
UnitedHealth Group, Inc.		22,100		2,234,089

				4,043,827

Internet — 21.9%
Alibaba Group Holding Ltd. ADR*		39,537		4,109,476
Amazon.com, Inc.*		31,600		9,807,060
Baidu, Inc. ADR*		22,600		5,152,122
Ctrip.com International Ltd. ADR*		36,000		1,638,000
Facebook, Inc., Class A*		80,300		6,265,006
Google, Inc., Class A*		14,100		7,482,306
Google, Inc., Class C*		14,400		7,580,160
LinkedIn Corp., Class A*		10,000		2,297,100
NAVER Corp.*		1,377		881,879
Netflix, Inc.*		6,900		2,357,109
Pandora Media, Inc.*		25,300		451,099
Tencent Holdings Ltd.		125,500		1,815,851
The Priceline Group, Inc.*		7,450		8,494,564
Twitter, Inc.*		27,200		975,664
Vipshop Holdings Ltd. ADR*		107,300		2,096,642

				61,404,038

Lodging — 4.2%
Las Vegas Sands Corp.		40,400		2,349,664
MGM Resorts International*		131,890		2,819,808
Starwood Hotels & Resorts Worldwide, Inc.		15,200		1,232,264
Wynn Macau Ltd.		481,600		1,343,593
Wynn Resorts Ltd.		26,200		3,897,512

				11,642,841

Machinery — Diversified — 2.1%
Flowserve Corp.		13,200		789,756
Roper Industries, Inc.		19,000		2,970,650
Wabtec Corp.		24,500		2,128,805

				5,889,211

Media — 1.6%
The Walt Disney Co.		37,900		3,569,801
Twenty-First Century Fox, Inc., Class A		25,400		975,487

				4,545,288

Metal Fabricate/Hardware — 1.7%
Precision Castparts Corp.		20,300		4,889,864

Miscellaneous Manufacturing — 2.1%
Danaher Corp.		67,000		5,742,570


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — 2.2%
Continental Resources, Inc.*		18,400	$	705,824
EOG Resources, Inc.		6,500		598,455
EQT Corp.		21,100		1,597,270
Pioneer Natural Resources Co.		12,600		1,875,510
Range Resources Corp.		26,597		1,421,610

				6,198,669

Pharmaceuticals — 6.5%
Actavis PLC*		12,600		3,243,366
Allergan, Inc.		15,400		3,273,886
McKesson Corp.		29,100		6,040,578
Pharmacyclics, Inc.*		11,600		1,418,216
Valeant Pharmaceuticals International, Inc.*		29,000		4,150,190

				18,126,236

Retail — 10.4%
AutoZone, Inc.*		5,500		3,405,105
CarMax, Inc.*		41,600		2,769,728
Chipotle Mexican Grill, Inc.*		2,600		1,779,726
Costco Wholesale Corp.		10,500		1,488,375
CVS Health Corp.		32,200		3,101,182
Lowe’s Cos., Inc.		62,200		4,279,360
Ross Stores, Inc.		13,200		1,244,232
Starbucks Corp.		37,900		3,109,695
The Home Depot, Inc.		29,900		3,138,603
Tractor Supply Co.		38,900		3,066,098
Walgreens Boots Alliance, Inc.		21,900		1,668,780

				29,050,884

Semiconductors — 0.6%
ASML Holding N.V.		14,600		1,574,318

Software — 4.1%
Fiserv, Inc.*		17,000		1,206,490
NetSuite, Inc.*		13,900		1,517,463
Red Hat, Inc.*		26,800		1,852,952
Salesforce.com, Inc.*		62,300		3,695,013
ServiceNow, Inc.*		19,600		1,329,860
VMware, Inc., Class A*		16,000		1,320,320
Workday, Inc., Class A*		8,300		677,363

				11,599,461

Telecommunications — 2.3%
Crown Castle International Corp.		55,600		4,375,720
Palo Alto Networks, Inc.*		4,500		551,565
SoftBank Corp.		27,400		1,630,938

				6,558,223

Transportation — 1.9%
FedEx Corp.		11,300		1,962,358
J.B. Hunt Transport Services, Inc.		17,700		1,491,225
Kansas City Southern		15,900		1,940,277

				5,393,860

TOTAL COMMON STOCKS (Cost $184,498,534)				271,404,819


	Number of Shares		Value†
PREFERRED STOCKS — 0.4%
Internet — 0.3%
Dropbox. Inc.*^~		24,940	$	476,384
Flipkart Ltd. Series G*^~		2,888		345,867
Livingsocial, Series F, CONV*^~		15,066		3,917

				826,168

Lodging — 0.1%
Airbnb, Inc. Series D*^~		9,999		407,090

TOTAL PREFERRED STOCKS (Cost $1,345,198)				1,233,258

REAL ESTATE INVESTMENT TRUSTS — 1.5%
Diversified — 1.5%
American Tower Corp. (Cost $2,040,078)		42,900		4,240,665

SHORT-TERM INVESTMENTS — 1.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares		4,140,610		4,140,610
T. Rowe Price Reserve Investment Fund		1,008		1,008

TOTAL SHORT-TERM INVESTMENTS (Cost $4,141,618)				4,141,618

TOTAL INVESTMENTS — 100.1% (Cost $192,025,428)			$	281,020,360

Other Assets & Liabilities — (0.1%)				(338,586	)

TOTAL NET ASSETS — 100.0%			$	280,681,774

^	Illiquid security. The total market value of illiquid securities at December 31, 2014 is $1,233,258.

†	See Security Valuation Note.

*	Non-income producing security.

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $1,233,258.

ADR — American Depository Receipt.

CONV — Convertible Security.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014†
United States	89	%
China	5
Canada	1
Ireland	1
Japan	1
Netherlands	1
United Kingdom	1
Other	1

Total	100	%

†% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Aerospace & Defense	$	5,522,352	$	5,522,352	$	—	$	—
Airlines		8,821,421		8,821,421		—		—
Apparel		5,856,231		5,856,231		—		—
Auto Manufacturers		2,490,992		2,490,992		—		—
Auto Parts & Equipment		2,239,776		2,239,776		—		—
Banks		4,645,480		4,645,480		—		—
Biotechnology		25,258,671		25,258,671		—		—
Building Materials		772,240		772,240		—		—
Chemicals		4,898,496		4,898,496		—		—
Commercial Services		8,520,804		8,520,804		—		—
Computers		6,471,388		6,471,388		—		—
Cosmetics & Personal Care		1,089,660		1,089,660		—		—
Diversified Financial Services		14,402,544		14,402,544		—		—
Healthcare Products		3,755,474		3,755,474		—		—
Healthcare Services		4,043,827		4,043,827		—		—
Internet		61,404,038		58,706,308		2,697,730		—
Lodging		11,642,841		10,299,248		1,343,593		—
Machinery — Diversified		5,889,211		5,889,211		—		—
Media		4,545,288		4,545,288		—		—
Metal Fabricate/Hardware		4,889,864		4,889,864		—		—
Miscellaneous Manufacturing		5,742,570		5,742,570		—		—
Oil & Gas		6,198,669		6,198,669		—		—
Pharmaceuticals		18,126,236		18,126,236		—		—
Retail		29,050,884		29,050,884		—		—
Semiconductors		1,574,318		1,574,318		—		—
Software		11,599,461		11,599,461		—		—
Telecommunications		6,558,223		4,927,285		1,630,938		—
Transportation		5,393,860		5,393,860		—		—
REAL ESTATE INVESTMENT TRUSTS
Diversified		4,240,665		4,240,665		—		—
PREFERRED STOCKS		1,233,258		—		—		1,233,258
SHORT-TERM INVESTMENTS		4,141,618		4,141,618		—		—

TOTAL INVESTMENTS	$	281,020,360	$	274,114,841	$	5,672,261	$	1,233,258

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 12/31/2013	$	9,491
Purchases		1,229,341
Change in Unrealized Appreciation/(Depreciation) included in earnings related to securities still held as of the reporting date		(5,574	)

Balance as of 12/31/2014	$	1,233,258

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

$4,168,784 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 99.5%
Advertising — 0.4%
Omnicom Group, Inc.		2,872	$	222,494

Aerospace & Defense — 3.1%
United Technologies Corp.		15,800		1,817,000

Apparel — 5.5%
Burberry Group PLC		15,904		403,513
Hermes International		368		131,039
LVMH Moet Hennessy Louis Vuitton S.A.		7,539		1,194,193
NIKE, Inc., Class B		7,235		695,645
VF Corp.		9,632		721,437

				3,145,827

Auto Parts & Equipment — 0.9%
Johnson Controls, Inc.		10,600		512,404

Beverages — 2.7%
AMBEV S.A. ADR		63,811		396,904
PepsiCo, Inc.		3,133		296,257
Pernod Ricard S.A.		7,559		840,092

				1,533,253

Chemicals — 4.4%
Monsanto Co.		7,790		930,671
Praxair, Inc.		7,073		916,378
The Sherwin-Williams Co.		2,726		717,047

				2,564,096

Commercial Services — 2.6%
Equifax, Inc.		9,417		761,553
MasterCard, Inc., Class A		8,674		747,352

				1,508,905

Computers — 8.7%
Accenture PLC, Class A		26,791		2,392,704
Apple, Inc.		4,665		514,923
Cognizant Technology Solutions Corp., Class A*		13,211		695,691
EMC Corp.		47,827		1,422,375

				5,025,693

Cosmetics & Personal Care — 5.8%
Colgate-Palmolive Co.		29,355		2,031,072
L’Oreal S.A.		2,743		459,102
The Procter & Gamble Co.		9,153		833,747

				3,323,921

Distribution & Wholesale — 2.0%
W.W. Grainger, Inc.		4,417		1,125,849

Diversified Financial Services — 8.0%
CME Group, Inc.		9,332		827,282
Franklin Resources, Inc.		21,393		1,184,531
The Charles Schwab Corp.		9,465		285,748
Visa, Inc., Class A		8,837		2,317,061

				4,614,622

Electronics — 6.4%
Amphenol Corp., Class A		8,493		457,008


	Number of Shares		Value†

Electronics — (continued)
Mettler-Toledo International, Inc.*		3,480	$	1,052,561
Thermo Fisher Scientific, Inc.		11,039		1,383,076
Waters Corp.*		6,880		775,514

				3,668,159

Food — 1.6%
Danone S.A.		14,435		943,735

Healthcare Products — 3.2%
DENTSPLY International, Inc.		23,639		1,259,249
Patterson Cos., Inc.		5,859		281,818
St. Jude Medical, Inc.		4,621		300,504

				1,841,571

Household Products & Wares — 0.7%
Church & Dwight Co., Inc.		4,861		383,095

Internet — 4.9%
eBay, Inc.*		7,336		411,696
Google, Inc., Class A*		4,595		2,438,383

				2,850,079

Media — 8.0%
Discovery Communications, Inc., Class A*		20,673		712,185
The Walt Disney Co.		10,367		976,468
Time Warner, Inc.		15,460		1,320,593
Twenty-First Century Fox, Inc., Class A		35,904		1,378,893
Viacom, Inc., Class B		3,059		230,190

				4,618,329

Metal Fabricate/Hardware — 0.9%
Precision Castparts Corp.		2,220		534,754

Miscellaneous Manufacturing — 4.3%
Colfax Corp.*		11,209		578,048
Danaher Corp.		22,493		1,927,875

				2,505,923

Oil & Gas — 0.4%
Occidental Petroleum Corp.		2,925		235,784

Oil & Gas Services — 2.8%
Schlumberger Ltd.		18,836		1,608,783

Pharmaceuticals — 8.7%
Abbott Laboratories		19,056		857,901
Allergan, Inc.		1,627		345,884
Express Scripts Holding Co.*		15,947		1,350,232
Johnson & Johnson		3,866		404,268
Mead Johnson Nutrition Co.		9,224		927,381
Zoetis, Inc.		25,962		1,117,145

				5,002,811

Retail — 5.2%
AutoZone, Inc.*		1,430		885,327
CVS Health Corp.		17,044		1,641,508
McDonald’s Corp.		5,195		486,771

				3,013,606


	Number of Shares		Value†
COMMON STOCKS — (continued)
Semiconductors — 3.7%
Microchip Technology, Inc.		14,835	$	669,207
Sensata Technologies Holding N.V.*		14,498		759,840
Taiwan Semiconductor Manufacturing Co. Ltd. ADR		31,878		713,430

				2,142,477

Software — 4.0%
Fidelity National Information Services, Inc.		9,505		591,211
Oracle Corp.		37,871		1,703,059

				2,294,270

Transportation — 0.6%
Expeditors International of Washington, Inc.		7,712		344,032

TOTAL COMMON STOCKS (Cost $46,812,369)				57,381,472

SHORT-TERM INVESTMENTS — 0.9%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $507,677)		507,677		507,677

TOTAL INVESTMENTS — 100.4% (Cost $47,320,046)			$	57,889,149

Other Assets & Liabilities — (0.4%)				(226,041	)

TOTAL NET ASSETS — 100.0%			$	57,663,108

†	See Security Valuation Note.

*	Non-income producing security.

ADR	— American Depository Receipt.

PLC	— Public Limited Company.


Country Weightings as of 12/31/2014††
United States	83	%
France	9
Ireland	4
Brazil	1
Netherlands	1
Taiwan	1
United Kingdom	1

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	57,381,472	$	53,409,798	$	3,971,674	$	—
SHORT-TERM INVESTMENTS		507,677		507,677		—		—

TOTAL INVESTMENTS	$	57,889,149	$	53,917,475	$	3,971,674	$	—

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

$3,229,808 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 99.1%
Airlines — 1.5%
Delta Air Lines, Inc.		37,220	$	1,830,852

Apparel — 3.8%
NIKE, Inc., Class B		26,740		2,571,051
Under Armour, Inc., Class A*		33,000		2,240,700

				4,811,751

Auto Parts & Equipment — 1.1%
Delphi Automotive PLC		19,960		1,451,491

Banks — 1.0%
ICICI Bank Ltd.		104,354		1,205,289

Beverages — 1.7%
Constellation Brands, Inc., Class A*		21,980		2,157,777

Biotechnology — 9.4%
Biogen Idec, Inc.*		6,780		2,301,471
Celgene Corp.*		23,960		2,680,166
Gilead Sciences, Inc.*		33,327		3,141,403
Regeneron Pharmaceuticals, Inc.*		4,510		1,850,227
Vertex Pharmaceuticals, Inc.*		15,960		1,896,048

				11,869,315

Chemicals — 1.6%
Monsanto Co.		16,990		2,029,795

Commercial Services — 4.0%
Alliance Data Systems Corp.*		5,870		1,679,113
McGraw Hill Financial, Inc.		25,890		2,303,692
United Rentals, Inc.*		10,390		1,059,884

				5,042,689

Computers — 7.8%
Apple, Inc.		69,145		7,632,225
Western Digital Corp.		19,370		2,144,259

				9,776,484

Diversified Financial Services — 9.1%
Affiliated Managers Group, Inc.*		11,047		2,344,615
American Express Co.		21,310		1,982,682
IntercontinentalExchange Group, Inc.		13,050		2,861,735
Raymond James Financial, Inc.		22,350		1,280,432
Visa, Inc., Class A		11,650		3,054,630

				11,524,094

Electronics — 1.7%
TE Connectivity Ltd.		33,760		2,135,320

Internet — 10.3%
Alibaba Group Holding Ltd. ADR*		14,945		1,553,383
Amazon.com, Inc.*		6,594		2,046,448
Facebook, Inc., Class A*		63,390		4,945,688
Google, Inc., Class A*		1,710		907,428
Google, Inc., Class C*		4,900		2,579,360
LinkedIn Corp., Class A*		4,180		960,188

				12,992,495

Leisure Time — 1.8%
Polaris Industries, Inc.		14,920		2,256,501


	Number of Shares		Value†

Lodging — 0.9%
Las Vegas Sands Corp.		19,360	$	1,125,978

Machinery — Diversified — 2.4%
Cummins, Inc.		10,865		1,566,407
Wabtec Corp.		16,080		1,397,191

				2,963,598

Media — 9.5%
Comcast Corp., Class A		61,240		3,552,532
Liberty Global PLC, Series C*		62,779		3,032,854
Time Warner, Inc.		32,270		2,756,503
Twenty-First Century Fox, Inc., Class A		67,380		2,587,729

				11,929,618

Oil & Gas — 2.7%
Antero Resources Corp.*		16,568		672,329
Cheniere Energy, Inc.*		12,500		880,000
Pioneer Natural Resources Co.		12,470		1,856,160

				3,408,489

Oil & Gas Services — 1.9%
Halliburton Co.		46,890		1,844,184
Nabors Industries Ltd.		40,980		531,920

				2,376,104

Pharmaceuticals — 8.5%
AbbVie, Inc.		43,050		2,817,192
Bristol-Myers Squibb Co.		25,200		1,487,556
Cardinal Health, Inc.		12,760		1,030,115
Eli Lilly & Co.		17,540		1,210,085
McKesson Corp.		11,800		2,449,444
Perrigo Co. PLC		10,460		1,748,493

				10,742,885

Retail — 3.5%
Chipotle Mexican Grill, Inc.*		2,740		1,875,558
The TJX Cos., Inc.		37,790		2,591,638

				4,467,196

Semiconductors — 4.1%
Applied Materials, Inc.		85,460		2,129,663
Micron Technology, Inc.*		86,960		3,044,470

				5,174,133

Software — 3.7%
Salesforce.com, Inc.*		29,330		1,739,562
ServiceNow, Inc.*		22,750		1,543,588
Workday, Inc., Class A*		16,680		1,361,255

				4,644,405

Telecommunications — 3.3%
Palo Alto Networks, Inc.*		14,933		1,830,338
SBA Communications Corp., Class A*		21,040		2,330,390

				4,160,728

Transportation — 3.8%
Canadian Pacific Railway Ltd.		9,750		1,878,728
Old Dominion Freight Line, Inc.*		20,410		1,584,632


	Number of Shares		Value†
COMMON STOCKS — (Continued)
Transportation — (Continued)
Union Pacific Corp.		10,780	$	1,284,221

				4,747,581

TOTAL COMMON STOCKS (Cost $94,145,453)				124,824,568

SHORT-TERM INVESTMENTS — 1.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,571,725)		1,571,725		1,571,725

TOTAL INVESTMENTS — 100.3% (Cost $95,717,178)			$	126,396,293

Other Assets & Liabilities — (0.3%)				(416,052	)

TOTAL NET ASSETS — 100.0%			$	125,980,241

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	93	%
Canada	2
Switzerland	2
China	1
India	1
United Kingdom	1

Total	100	%

†† % of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
TOTAL COMMON STOCKS	$	124,824,568	$	124,824,568	$	—	$	—
SHORT-TERM INVESTMENTS		1,571,725		1,571,725		—		—

TOTAL INVESTMENTS	$	126,396,293	$	126,396,293	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 97.2%
Advertising — 1.5%
Omnicom Group, Inc.		43,833	$	3,395,742

Aerospace & Defense — 1.7%
Northrop Grumman Corp.		26,264		3,871,051

Agriculture — 1.2%
Philip Morris International, Inc.		33,750		2,748,937

Auto Manufacturers — 1.2%
General Motors Co.		80,991		2,827,396

Banks — 13.8%
Bank of America Corp.		280,274		5,014,102
Citigroup, Inc.		83,293		4,506,984
Fifth Third Bancorp		179,413		3,655,540
JPMorgan Chase & Co.		99,022		6,196,797
State Street Corp.		51,717		4,059,784
The PNC Financial Services Group, Inc.		38,443		3,507,155
Wells Fargo & Co.		84,510		4,632,838

				31,573,200

Beverages — 1.2%
PepsiCo, Inc.		29,626		2,801,435

Building Materials — 1.2%
Vulcan Materials Co.		43,124		2,834,541

Chemicals — 1.5%
E.I. du Pont de Nemours & Co.		46,736		3,455,660

Computers — 2.5%
Apple, Inc.		21,015		2,319,636
EMC Corp.		113,068		3,362,642

				5,682,278

Diversified Financial Services — 5.6%
Ameriprise Financial, Inc.		26,683		3,528,827
Discover Financial Services		55,822		3,655,783
FNF Group		90,540		3,119,103
Legg Mason, Inc.		47,387		2,529,044

				12,832,757

Diversified Operations — 1.3%
Eaton Corp. PLC		44,783		3,043,453

Electric — 3.2%
Calpine Corp.*		102,178		2,261,199
NextEra Energy, Inc.		24,988		2,655,975
PG&E Corp.		45,187		2,405,756

				7,322,930

Electronics — 1.4%
Honeywell International, Inc.		32,013		3,198,739

Food — 1.3%
Mondelez International, Inc., Class A		81,024		2,943,197

Healthcare Products — 1.6%
Covidien PLC		35,688		3,650,169


	Number of Shares		Value†

Healthcare Services — 3.1%
HCA Holdings, Inc.*		31,642	$	2,322,206
UnitedHealth Group, Inc.		48,190		4,871,527

				7,193,733

Insurance — 5.7%
American International Group, Inc.		65,871		3,689,435
MetLife, Inc.		64,824		3,506,330
The Travelers Cos., Inc.		24,349		2,577,342
Unum Group		91,704		3,198,635

				12,971,742

Internet — 4.1%
AOL, Inc.*		52,238		2,411,828
Liberty Interactive Corp., Class A*		106,594		3,135,996
Symantec Corp.		145,925		3,743,706

				9,291,530

Machinery — Construction & Mining — 0.6%
Terex Corp.		51,862		1,445,913

Machinery — Diversified — 0.9%
Deere & Co.		22,590		1,998,537

Media — 3.9%
Comcast Corp., Class A		63,363		3,675,687
Liberty Global PLC, Class A*		48,868		2,453,418
Viacom, Inc., Class B		37,659		2,833,840

				8,962,945

Miscellaneous Manufacturing — 2.6%
Illinois Tool Works, Inc.		38,852		3,679,285
Ingersoll-Rand PLC		36,442		2,310,058

				5,989,343

Oil & Gas — 7.5%
Chevron Corp.		39,615		4,444,011
Cobalt International Energy, Inc.*		79,137		703,528
Hess Corp.		28,590		2,110,514
Marathon Oil Corp.		97,893		2,769,393
Noble Energy, Inc.		49,257		2,336,260
Royal Dutch Shell PLC ADR, Class A		41,530		2,780,433
Valero Energy Corp.		42,059		2,081,920

				17,226,059

Oil & Gas Services — 2.0%
National Oilwell Varco, Inc.		39,843		2,610,912
Schlumberger Ltd.		22,133		1,890,379

				4,501,291

Packaging and Containers — 1.6%
Sealed Air Corp.		84,846		3,600,016

Pharmaceuticals — 11.3%
Actavis PLC*		8,953		2,304,592
Bristol-Myers Squibb Co.		39,296		2,319,643
Eli Lilly & Co.		57,507		3,967,408
Express Scripts Holding Co.*		28,072		2,376,856
Merck & Co., Inc.		59,193		3,361,570
Pfizer, Inc.		163,983		5,108,070


	Number of Shares		Value†
COMMON STOCKS — (continued)
Pharmaceuticals — (continued)
Sanofi ADR		78,534	$	3,581,936
Teva Pharmaceutical Industries Ltd. ADR		50,643		2,912,479

				25,932,554

Retail — 4.3%
AutoNation, Inc.*		31,568		1,907,023
CVS Health Corp.		29,587		2,849,524
Family Dollar Stores, Inc.		27,102		2,146,749
Lowe’s Cos., Inc.		43,710		3,007,248

				9,910,544

Software — 1.9%
Microsoft Corp.		93,723		4,353,433

Telecommunications — 6.1%
Cisco Systems, Inc.		106,640		2,966,191
Knowles Corp.*		106,994		2,519,709
Motorola Solutions, Inc.		44,659		2,995,726
Verizon Communications, Inc.		61,940		2,897,553
Vodafone Group PLC — ADR		73,837		2,523,010

				13,902,189

Transportation — 1.4%
Norfolk Southern Corp.		30,015		3,289,944

TOTAL COMMON STOCKS (Cost $180,229,388)				222,751,258

REAL ESTATE INVESTMENT TRUSTS — 1.3%
Diversified — 1.3%
Weyerhaeuser Co. (Cost $2,383,488)		79,839		2,865,422

SHORT-TERM INVESTMENTS — 2.0%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $4,537,387)		4,537,387		4,537,387

TOTAL INVESTMENTS — 100.5% (Cost $187,150,263)			$	230,154,067

Other Assets & Liabilities — (0.5%)				(1,073,908	)

TOTAL NET ASSETS — 100.0%			$	229,080,159

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014 ††
United States	89	%
Ireland	5
France	3
Israel	1
Netherlands	1
United Kingdom	1

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	222,751,258	$	222,751,258	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		2,865,422		2,865,422
SHORT-TERM INVESTMENTS		4,537,387		4,537,387		—		—

TOTAL INVESTMENTS	$	230,154,067	$	230,154,067	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 93.7%
Aerospace & Defense — 1.1%
United Technologies Corp.		18,338	$	2,108,870

Agriculture — 3.5%
Altria Group, Inc.		70,113		3,454,468
Reynolds American, Inc.		51,404		3,303,735

				6,758,203

Banks — 13.8%
Bank of America Corp.		317,313		5,676,730
Citigroup, Inc.		104,188		5,637,613
JPMorgan Chase & Co.		101,719		6,365,575
KeyCorp.		192,576		2,676,806
The PNC Financial Services Group, Inc.		36,157		3,298,603
Wells Fargo & Co.		54,005		2,960,554

				26,615,881

Chemicals — 2.8%
Monsanto Co.		20,984		2,506,959
Syngenta AG ADR		46,076		2,959,922

				5,466,881

Diversified Financial Services — 3.4%
Affiliated Managers Group, Inc.*		19,139		4,062,061
Discover Financial Services		37,361		2,446,772

				6,508,833

Electric — 4.6%
NextEra Energy, Inc.		49,861		5,299,726
PG&E Corp.		67,454		3,591,251

				8,890,977

Electronics — 2.8%
Honeywell International, Inc.		18,617		1,860,211
Thermo Fisher Scientific, Inc.		28,142		3,525,911

				5,386,122

Food — 2.3%
The Kroger Co.		68,111		4,373,407

Forest Products & Paper — 1.1%
International Paper Co.		41,056		2,199,780

Gas — 1.9%
Sempra Energy		31,971		3,560,290

Healthcare Products — 2.7%
Covidien PLC		28,118		2,875,909
Stryker Corp.		24,838		2,342,969

				5,218,878

Insurance — 5.6%
ACE Ltd.		37,077		4,259,406
Aflac, Inc.		56,643		3,460,321
XL Group PLC		91,711		3,152,107

				10,871,834

Internet — 2.3%
Google, Inc., Class C*		8,498		4,473,347


	Number of Shares		Value†

Machinery — Construction & Mining — 1.7%
Caterpillar, Inc.		36,415	$	3,333,065

Media — 2.2%
CBS Corp., Class B		45,253		2,504,301
The Walt Disney Co.		18,080		1,702,955

				4,207,256

Miscellaneous Manufacturing — 2.2%
General Electric Co.		130,532		3,298,543
Trinity Industries, Inc.		30,377		850,860

				4,149,403

Oil & Gas — 11.3%
Anadarko Petroleum Corp.		23,518		1,940,235
California Resources Corp.*		0		1
Chevron Corp.		33,225		3,727,181
Devon Energy Corp.		29,613		1,812,612
Exxon Mobil Corp.		91,487		8,457,973
Occidental Petroleum Corp.		46,430		3,742,722
Phillips 66		30,014		2,152,004

				21,832,728

Oil & Gas Services — 0.5%
Halliburton Co.		24,327		956,781

Pharmaceuticals — 9.6%
Eli Lilly & Co.		79,589		5,490,845
Merck & Co., Inc.		110,187		6,257,519
Roche Holding Ltd. AG ADR		128,703		4,374,615
Teva Pharmaceutical Industries Ltd. ADR		41,825		2,405,356

				18,528,335

Retail — 5.0%
CVS Health Corp.		38,850		3,741,643
The Home Depot, Inc.		35,738		3,751,418
The TJX Cos., Inc.		29,646		2,033,123

				9,526,184

Semiconductors — 2.3%
QUALCOMM, Inc.		59,352		4,411,634

Software — 4.6%
Microsoft Corp.		108,753		5,051,577
Oracle Corp.		82,539		3,711,779

				8,763,356

Telecommunications — 3.8%
Telefonaktiebolaget LM Ericsson ADR		155,514		1,881,719
Verizon Communications, Inc.		115,287		5,393,126

				7,274,845

Transportation — 2.6%
C.H. Robinson Worldwide, Inc.		45,714		3,423,522
CSX Corp.		45,931		1,664,080

				5,087,602

TOTAL COMMON STOCKS (Cost $148,998,311)				180,504,492


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — 5.1%
Apartments — 1.8%
Equity Residential		47,741	$	3,429,714

Regional Malls — 1.7%
Simon Property Group, Inc.		17,681		3,219,887

Storage & Warehousing — 1.6%
Public Storage		16,625		3,073,131

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $8,140,702)				9,722,732

SHORT-TERM INVESTMENTS — 1.1%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,195,460)		2,195,460		2,195,460

TOTAL INVESTMENTS — 99.9% (Cost $159,334,473)			$	192,422,684

Other Assets & Liabilities — 0.1%				272,808

TOTAL NET ASSETS — 100.0%			$	192,695,492

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	89	%
Switzerland	6
Bermuda	2
Ireland	1
Israel	1
Sweden	1

Total	100	%

†† % of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	180,504,492	$	180,504,492	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		9,722,732		9,722,732		—		—
SHORT-TERM INVESTMENTS		2,195,460		2,195,460		—		—

TOTAL INVESTMENTS	$	192,422,684	$	192,422,684	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 95.5%
Advertising — 0.1%
Omnicom Group, Inc.		5,767	$	446,770
The Interpublic Group of Cos., Inc.		10,134		210,483

				657,253

Aerospace & Defense — 1.9%
General Dynamics Corp.		7,497		1,031,737
L-3 Communications Holdings, Inc.		2,100		265,041
Lockheed Martin Corp.		6,337		1,220,316
Northrop Grumman Corp.		4,692		691,554
Raytheon Co.		7,376		797,862
Rockwell Collins, Inc.		3,245		274,138
The Boeing Co.		15,621		2,030,417
United Technologies Corp.		20,142		2,316,330

				8,627,395

Agriculture — 1.6%
Altria Group, Inc.		46,678		2,299,825
Archer-Daniels-Midland Co.		15,399		800,748
Lorillard, Inc.		8,509		535,556
Philip Morris International, Inc.		36,688		2,988,238
Reynolds American, Inc.		7,202		462,873

				7,087,240

Airlines — 0.4%
Delta Air Lines, Inc.		19,800		973,962
Southwest Airlines Co.		15,917		673,607

				1,647,569

Apparel — 0.8%
Coach, Inc.		6,277		235,764
Michael Kors Holdings Ltd.*		4,900		367,990
NIKE, Inc., Class B		16,446		1,581,283
Ralph Lauren Corp.		1,428		264,408
Under Armour, Inc., Class A*		3,900		264,810
VF Corp.		8,132		609,087

				3,323,342

Auto Manufacturers — 0.7%
Ford Motor Co.		91,567		1,419,289
General Motors Co.		32,200		1,124,102
PACCAR, Inc.		8,544		581,077

				3,124,468

Auto Parts & Equipment — 0.4%
BorgWarner, Inc.		5,400		296,730
Delphi Automotive PLC		7,200		523,584
Johnson Controls, Inc.		15,711		759,470
The Goodyear Tire & Rubber Co.		6,906		197,304

				1,777,088

Banks — 7.4%
Bank of America Corp.		249,735		4,467,759
BB&T Corp.		17,099		664,980
Capital One Financial Corp.		13,241		1,093,045
Citigroup, Inc.		71,881		3,889,481
Comerica, Inc.		4,344		203,473
Fifth Third Bancorp		19,446		396,212


	Number of Shares		Value†

Banks — (continued)
Huntington Bancshares, Inc.		19,965	$	210,032
JPMorgan Chase & Co.		88,464		5,536,077
KeyCorp.		20,699		287,716
M&T Bank Corp.		3,108		390,427
Morgan Stanley		36,463		1,414,764
Northern Trust Corp.		5,247		353,648
Regions Financial Corp.		32,894		347,361
State Street Corp.		9,947		780,839
SunTrust Banks, Inc.		12,388		519,057
The Bank of New York Mellon Corp.		26,680		1,082,408
The Goldman Sachs Group, Inc.		9,643		1,869,103
The PNC Financial Services Group, Inc.		12,583		1,147,947
U.S. Bancorp		42,656		1,917,387
Wells Fargo & Co.		111,737		6,125,422
Zions Bancorporation		4,804		136,962

				32,834,100

Beverages — 2.2%
Brown-Forman Corp., Class B		3,793		333,177
Coca-Cola Enterprises, Inc.		5,428		240,026
Constellation Brands, Inc., Class A*		3,923		385,121
Dr. Pepper Snapple Group, Inc.		4,500		322,560
Keurig Green Mountain, Inc.		2,900		383,946
Molson Coors Brewing Co., Class B		3,938		293,460
Monster Beverage Corp.*		3,500		379,225
PepsiCo, Inc.		35,361		3,343,736
The Coca-Cola Co.		93,270		3,937,859

				9,619,110

Biotechnology — 2.8%
Alexion Pharmaceuticals, Inc.*		4,700		869,641
Amgen, Inc.		17,945		2,858,459
Biogen Idec, Inc.*		5,633		1,912,122
Celgene Corp.*		18,856		2,109,232
Gilead Sciences, Inc.*		35,698		3,364,894
Regeneron Pharmaceuticals, Inc.*		1,700		697,425
Vertex Pharmaceuticals, Inc.*		5,700		677,160

				12,488,933

Building Materials — 0.1%
Martin Marietta Materials, Inc.		1,500		165,480
Masco Corp.		8,277		208,580
Vulcan Materials Co.		3,041		199,885

				573,945

Chemicals — 2.3%
Air Products & Chemicals, Inc.		4,521		652,064
Airgas, Inc.		1,600		184,288
CF Industries Holdings, Inc.		1,200		327,048
E.I. du Pont de Nemours & Co.		21,323		1,576,623
Eastman Chemical Co.		3,682		279,317
Ecolab, Inc.		6,333		661,925
FMC Corp.		3,100		176,793
International Flavors & Fragrances, Inc.		1,875		190,050
LyondellBasell Industries N.V., Class A		9,900		785,961
Monsanto Co.		11,537		1,378,325


	Number of Shares		Value†
COMMON STOCKS — (continued)
Chemicals — (continued)
PPG Industries, Inc.		3,310	$	765,106
Praxair, Inc.		6,926		897,333
Sigma-Aldrich Corp.		2,722		373,649
The Dow Chemical Co.		26,379		1,203,146
The Mosaic Co.		7,600		346,940
The Sherwin-Williams Co.		1,934		508,719

				10,307,287

Coal — 0.0%
CONSOL Energy, Inc.		5,776		195,287

Commercial Services — 1.6%
Allegion PLC		2,266		125,672
Alliance Data Systems Corp.*		1,400		400,470
Automatic Data Processing, Inc.		11,443		954,003
Cintas Corp.		2,455		192,570
Equifax, Inc.		2,834		229,186
H&R Block, Inc.		6,666		224,511
Iron Mountain, Inc.		4,697		181,586
MasterCard, Inc., Class A		23,300		2,007,528
McGraw Hill Financial, Inc.		6,486		577,124
Moody’s Corp.		4,473		428,558
Paychex, Inc.		7,775		358,972
Quanta Services, Inc.*		4,900		139,111
Robert Half International, Inc.		3,207		187,225
The ADT Corp.		4,134		149,775
The Western Union Co.		12,378		221,690
Total System Services, Inc.		3,977		135,059
Tyco International PLC		10,000		438,600
United Rentals, Inc.*		2,300		234,623

				7,186,263

Computers — 6.0%
Accenture PLC, Class A		15,000		1,339,650
Apple, Inc.		138,882		15,329,795
Cognizant Technology Solutions Corp., Class A*		14,504		763,781
Computer Sciences Corp.		3,357		211,659
EMC Corp.		48,248		1,434,896
Hewlett-Packard Co.		43,983		1,765,038
International Business Machines Corp.		21,758		3,490,853
NetApp, Inc.		7,421		307,600
SanDisk Corp.		5,297		519,000
Seagate Technology PLC		7,700		512,050
Teradata Corp.*		3,516		153,579
Western Digital Corp.		5,100		564,570

				26,392,471

Cosmetics & Personal Care — 1.7%
Avon Products, Inc.		10,950		102,821
Colgate-Palmolive Co.		20,270		1,402,481
The Estee Lauder Cos., Inc., Class A		5,374		409,499
The Procter & Gamble Co.		63,994		5,829,213

				7,744,014


	Number of Shares		Value†

Distribution & Wholesale — 0.3%
Fastenal Co.		6,700	$	318,652
Fossil Group, Inc.*		1,100		121,814
Genuine Parts Co.		3,605		384,185
W.W. Grainger, Inc.		1,472		375,198

				1,199,849

Diversified Financial Services — 2.7%
Affiliated Managers Group, Inc.*		1,300		275,912
American Express Co.		20,980		1,951,979
Ameriprise Financial, Inc.		4,446		587,983
BlackRock, Inc.		2,999		1,072,322
CME Group, Inc.		7,560		670,194
Discover Financial Services		10,578		692,753
ETRADE Financial Corp.		6,481		157,197
Franklin Resources, Inc.		9,156		506,968
IntercontinentalExchange Group, Inc.		2,670		585,504
Invesco Ltd.		10,367		409,704
Legg Mason, Inc.		2,261		120,670
Navient Corp.		9,734		210,352
T. Rowe Price Group, Inc.		6,281		539,287
The Charles Schwab Corp.		26,969		814,194
The NASDAQ OMX Group, Inc.		2,800		134,288
Visa, Inc., Class A		11,564		3,032,081

				11,761,388

Diversified Operations — 0.3%
Eaton Corp. PLC		11,306		768,356
Leucadia National Corp.		7,260		162,769
Pentair PLC		4,519		300,152

				1,231,277

Electric — 2.9%
AES Corp.		16,344		225,057
Ameren Corp.		5,798		267,462
American Electric Power Co., Inc.		11,757		713,885
CMS Energy Corp.		6,707		233,068
Consolidated Edison, Inc.		6,834		451,112
Dominion Resources, Inc.		13,909		1,069,602
DTE Energy Co.		4,092		353,426
Duke Energy Corp.		16,859		1,408,401
Edison International		7,674		502,494
Entergy Corp.		4,147		362,780
Exelon Corp.		20,310		753,095
FirstEnergy Corp.		9,956		388,184
Integrys Energy Group, Inc.		1,995		155,311
NextEra Energy, Inc.		10,285		1,093,193
Northeast Utilities		7,517		402,310
NRG Energy, Inc.		7,800		210,210
Pepco Holdings, Inc.		5,540		149,192
PG&E Corp.		11,350		604,274
Pinnacle West Capital Corp.		2,569		175,488
PPL Corp.		15,998		581,207
Public Service Enterprise Group, Inc.		11,749		486,526
SCANA Corp.		3,400		205,360
TECO Energy, Inc.		5,923		121,362


	Number of Shares		Value†
COMMON STOCKS — (continued)
Electric — (continued)
The Southern Co.		21,111	$	1,036,761
Wisconsin Energy Corp.		5,200		274,248
Xcel Energy, Inc.		11,630		417,750

				12,641,758

Electrical Components & Equipment — 0.3%
AMETEK, Inc.		5,800		305,254
Emerson Electric Co.		16,376		1,010,890

				1,316,144

Electronics — 1.1%
Agilent Technologies, Inc.		7,845		321,174
Amphenol Corp., Class A		7,400		398,194
FLIR Systems, Inc.		3,600		116,316
Garmin Ltd.		2,800		147,924
Honeywell International, Inc.		18,508		1,849,319
PerkinElmer, Inc.		2,516		110,025
TE Connectivity Ltd.		9,600		607,200
Thermo Fisher Scientific, Inc.		9,482		1,188,000
Waters Corp.*		1,958		220,706

				4,958,858

Engineering & Construction — 0.1%
Fluor Corp.		3,870		234,638
Jacobs Engineering Group, Inc.*		2,983		133,310

				367,948

Environmental Control — 0.2%
Republic Services, Inc.		5,814		234,014
Stericycle, Inc.*		2,000		262,160
Waste Management, Inc.		10,200		523,464

				1,019,638

Food — 1.6%
Campbell Soup Co.		4,516		198,704
ConAgra Foods, Inc.		9,902		359,245
General Mills, Inc.		14,510		773,818
Hormel Foods Corp.		3,100		161,510
Kellogg Co.		6,066		396,959
Kraft Foods Group, Inc.		14,054		880,624
McCormick & Co., Inc.		3,208		238,354
Mondelez International, Inc., Class A		39,863		1,448,024
Safeway, Inc.		5,317		186,733
Sysco Corp.		14,252		565,662
The Hershey Co.		3,487		362,404
The J.M. Smucker Co.		2,534		255,883
The Kroger Co.		11,445		734,884
Tyson Foods, Inc., Class A		6,649		266,558
Whole Foods Market, Inc.		8,386		422,822

				7,252,184

Forest Products & Paper — 0.2%
International Paper Co.		9,967		534,032
MeadWestvaco Corp.		3,999		177,515

				711,547


	Number of Shares		Value†

Gas — 0.3%
AGL Resources, Inc.		2,600	$	141,726
CenterPoint Energy, Inc.		10,322		241,845
NiSource, Inc.		7,365		312,423
Sempra Energy		5,398		601,121

				1,297,115

Hand & Machine Tools — 0.1%
Snap-On, Inc.		1,328		181,591
Stanley Black & Decker, Inc.		3,640		349,731

				531,322

Healthcare Products — 1.9%
Baxter International, Inc.		12,875		943,609
Becton Dickinson & Co.		4,475		622,741
Boston Scientific Corp.*		31,948		423,311
C.R. Bard, Inc.		1,842		306,914
CareFusion Corp.*		4,641		275,397
Covidien PLC		10,600		1,084,168
DENTSPLY International, Inc.		3,200		170,464
Edwards Lifesciences Corp.*		2,500		318,450
Hospira, Inc.*		3,912		239,610
Intuitive Surgical, Inc.*		807		426,854
Medtronic, Inc.		23,373		1,687,531
Patterson Cos., Inc.		1,974		94,949
St. Jude Medical, Inc.		6,830		444,155
Stryker Corp.		6,981		658,518
Varian Medical Systems, Inc.*		2,357		203,904
Zimmer Holdings, Inc.		4,029		456,969

				8,357,544

Healthcare Services — 1.4%
Aetna, Inc.		8,193		727,784
Anthem, Inc.		6,495		816,227
Cigna Corp.		6,294		647,716
DaVita HealthCare Partners, Inc.*		3,998		302,808
Humana, Inc.		3,710		532,867
Laboratory Corp. of America Holdings*		1,977		213,318
Quest Diagnostics, Inc.		3,387		227,132
Tenet Healthcare Corp.*		2,343		118,720
UnitedHealth Group, Inc.		22,641		2,288,779
Universal Health Services, Inc., Class B		2,200		244,772

				6,120,123

Home Builders — 0.1%
D.R. Horton, Inc.		8,276		209,300
Lennar Corp., Class A		4,036		180,853
PulteGroup, Inc.		8,034		172,410

				562,563

Home Furnishings — 0.1%
Harman International Industries, Inc.		1,738		185,462
Whirlpool Corp.		1,869		362,100

				547,562

Household Products & Wares — 0.3%
Avery Dennison Corp.		2,183		113,254
Kimberly-Clark Corp.		8,787		1,015,250


	Number of Shares		Value†
COMMON STOCKS — (continued)
Household Products & Wares — (continued)
The Clorox Co.		2,997	$	312,317

				1,440,821

Housewares — 0.1%
Newell Rubbermaid, Inc.		6,317		240,615

Insurance — 4.2%
ACE Ltd.		7,900		907,552
Aflac, Inc.		10,700		653,663
American International Group, Inc.		33,385		1,869,894
Aon PLC		6,844		649,017
Assurant, Inc.		1,673		114,483
Berkshire Hathaway, Inc., Class B*		43,250		6,493,987
Cincinnati Financial Corp.		3,692		191,356
Genworth Financial, Inc., Class A*		11,369		96,637
Lincoln National Corp.		6,173		355,997
Loews Corp.		7,125		299,393
Marsh & McLennan Cos., Inc.		12,909		738,911
MetLife, Inc.		26,485		1,432,574
Principal Financial Group, Inc.		6,465		335,792
Prudential Financial, Inc.		10,730		970,636
The Allstate Corp.		9,976		700,814
The Chubb Corp.		5,651		584,709
The Hartford Financial Services Group, Inc.		10,057		419,276
The Progressive Corp.		12,956		349,682
The Travelers Cos., Inc.		7,931		839,496
Torchmark Corp.		3,052		165,327
Unum Group		6,076		211,931
XL Group PLC		6,149		211,341

				18,592,468

Internet — 4.4%
Amazon.com, Inc.*		8,975		2,785,391
eBay, Inc.*		26,728		1,499,975
Expedia, Inc.		2,394		204,352
F5 Networks, Inc.*		1,800		234,837
Facebook, Inc., Class A*		49,600		3,869,792
Google, Inc., Class A*		6,725		3,568,688
Google, Inc., Class C*		6,725		3,540,040
Netflix, Inc.*		1,400		478,254
Symantec Corp.		16,638		426,848
The Priceline Group, Inc.*		1,227		1,399,038
TripAdvisor, Inc.*		2,594		193,668
VeriSign, Inc.*		2,609		148,713
Yahoo!, Inc.*		20,817		1,051,467

				19,401,063

Iron & Steel — 0.1%
Allegheny Technologies, Inc.		2,278		79,206
Nucor Corp.		7,735		379,402

				458,608

Leisure Time — 0.3%
Carnival Corp.		10,945		496,137
Harley-Davidson, Inc.		5,228		344,577
Royal Caribbean Cruises Ltd.		4,000		329,720

				1,170,434


	Number of Shares		Value†

Lodging — 0.3%
Marriott International, Inc., Class A		5,185	$	404,585
Starwood Hotels & Resorts Worldwide, Inc.		4,252		344,710
Wyndham Worldwide Corp.		2,860		245,274
Wynn Resorts Ltd.		1,930		287,107

				1,281,676

Machinery — Construction & Mining — 0.3%
Caterpillar, Inc.		14,328		1,311,442
Joy Global, Inc.		2,300		106,996

				1,418,438

Machinery — Diversified — 0.5%
Cummins, Inc.		3,974		572,932
Deere & Co.		8,432		745,979
Flowserve Corp.		3,300		197,439
Rockwell Automation, Inc.		3,271		363,735
Roper Industries, Inc.		2,400		375,240
Xylem, Inc.		4,154		158,143

				2,413,468

Media — 3.4%
Cablevision Systems Corp., Class A		5,000		103,200
CBS Corp., Class B		11,354		628,330
Comcast Corp., Class A		60,934		3,534,781
DIRECTV*		11,919		1,033,377
Discovery Communications, Inc., Class A*		3,500		120,575
Discovery Communications, Inc., Class C*		6,500		219,180
Gannett Co., Inc.		5,374		171,592
News Corp., Class A*		12,215		191,653
Nielsen Holdings NV		7,400		331,002
Scripps Networks Interactive, Inc., Class A		2,556		192,390
The Walt Disney Co.		36,876		3,473,351
Time Warner Cable, Inc.		6,596		1,002,988
Time Warner, Inc.		20,004		1,708,742
Twenty-First Century Fox, Inc., Class A		44,160		1,695,965
Viacom, Inc., Class B		8,781		660,770

				15,067,896

Metal Fabricate/Hardware — 0.2%
Precision Castparts Corp.		3,425		825,014

Mining — 0.3%
Alcoa, Inc.		28,348		447,615
Freeport-McMoRan, Inc.		24,496		572,226
Newmont Mining Corp.		12,383		234,039

				1,253,880

Miscellaneous Manufacturing — 2.8%
3M Co.		15,180		2,494,378
Danaher Corp.		14,368		1,231,481
Dover Corp.		3,805		272,895
General Electric Co.		238,125		6,017,419
Illinois Tool Works, Inc.		8,619		816,219
Ingersoll-Rand PLC		6,500		412,035
Leggett & Platt, Inc.		3,354		142,914
Pall Corp.		2,645		267,700
Parker Hannifin Corp.		3,581		461,770


	Number of Shares		Value†
COMMON STOCKS — (continued)
Miscellaneous Manufacturing — (continued)
Textron, Inc.		6,576	$	276,915

				12,393,726

Office & Business Equipment — 0.1%
Pitney Bowes, Inc.		5,161		125,774
Xerox Corp.		25,455		352,806

				478,580

Oil & Gas — 6.2%
Anadarko Petroleum Corp.		11,959		986,617
Apache Corp.		9,023		565,471
Cabot Oil & Gas Corp.		10,088		298,706
Chesapeake Energy Corp.		12,410		242,864
Chevron Corp.		44,770		5,022,299
Cimarex Energy Co.		2,100		222,600
ConocoPhillips		29,280		2,022,077
Denbury Resources, Inc.		8,500		69,105
Devon Energy Corp.		9,229		564,907
Diamond Offshore Drilling, Inc.		1,600		58,736
Ensco PLC ADR, Class A		5,800		173,710
EOG Resources, Inc.		12,916		1,189,176
EQT Corp.		3,600		272,520
Exxon Mobil Corp.		100,265		9,269,499
Helmerich & Payne, Inc.		2,700		182,034
Hess Corp.		6,097		450,081
Marathon Oil Corp.		15,951		451,254
Marathon Petroleum Corp.		6,725		606,999
Murphy Oil Corp.		3,917		197,887
Newfield Exploration Co.*		2,900		78,648
Noble Energy, Inc.		8,538		404,957
Occidental Petroleum Corp.		18,458		1,487,899
Phillips 66		13,140		942,138
Pioneer Natural Resources Co.		3,400		506,090
QEP Resources, Inc.		3,690		74,612
Range Resources Corp.		3,923		209,684
Southwestern Energy Co.*		8,490		231,692
Tesoro Corp.		3,094		230,039
Valero Energy Corp.		12,340		610,830

				27,623,131

Oil & Gas Services — 1.2%
Baker Hughes, Inc.		10,228		573,484
Cameron International Corp.*		4,770		238,261
FMC Technologies, Inc.*		5,700		266,988
Halliburton Co.		20,269		797,180
Nabors Industries Ltd.		7,308		94,858
National Oilwell Varco, Inc.		10,123		663,360
Noble Corp. PLC		6,400		106,048
Schlumberger Ltd.		30,359		2,592,962
Transocean Ltd.		8,300		152,139

				5,485,280

Packaging and Containers — 0.1%
Ball Corp.		3,226		219,917
Owens-Illinois, Inc.*		4,000		107,960


	Number of Shares		Value†

Packaging and Containers — (continued)
Sealed Air Corp.		5,033	$	213,550

				541,427

Pharmaceuticals — 7.4%
Abbott Laboratories		35,896		1,616,038
AbbVie, Inc.		37,896		2,479,914
Actavis PLC*		6,293		1,619,881
Allergan, Inc.		7,116		1,512,790
AmerisourceBergen Corp.		5,000		450,800
Bristol-Myers Squibb Co.		39,497		2,331,508
Cardinal Health, Inc.		7,882		636,314
Eli Lilly & Co.		23,254		1,604,293
Express Scripts Holding Co.*		17,464		1,478,677
Johnson & Johnson		66,241		6,926,821
Mallinckrodt PLC*		2,700		267,381
McKesson Corp.		5,525		1,146,880
Mead Johnson Nutrition Co.		4,768		479,375
Merck & Co., Inc.		67,413		3,828,384
Mylan, Inc.*		9,056		510,487
Perrigo Co. PLC		3,100		518,196
Pfizer, Inc.		149,105		4,644,621
Zoetis, Inc.		12,107		520,964

				32,573,324

Pipelines — 0.7%
Kinder Morgan, Inc.		40,236		1,702,385
ONEOK, Inc.		4,800		238,992
Spectra Energy Corp.		15,784		572,959
The Williams Cos., Inc.		16,034		720,568

				3,234,904

Real Estate — 0.1%
CBRE Group, Inc., Class A*		6,401		219,234

Retail — 6.3%
AutoNation, Inc.*		1,719		103,845
AutoZone, Inc.*		741		458,761
Bed Bath & Beyond, Inc.*		4,466		340,175
Best Buy Co., Inc.		7,168		279,409
CarMax, Inc.*		5,300		352,874
Chipotle Mexican Grill, Inc.*		700		479,157
Costco Wholesale Corp.		10,377		1,470,940
CVS Health Corp.		27,067		2,606,823
Darden Restaurants, Inc.		2,940		172,372
Dollar General Corp.*		7,000		494,900
Dollar Tree, Inc.*		4,900		344,862
Family Dollar Stores, Inc.		2,233		176,876
GameStop Corp., Class A		2,664		90,043
Kohl’s Corp.		5,001		305,261
L Brands, Inc.		5,760		498,528
Lowe’s Cos., Inc.		22,940		1,578,272
Macy’s, Inc.		8,227		540,925
McDonald’s Corp.		22,978		2,153,039
Nordstrom, Inc.		3,337		264,924
O’Reilly Automotive, Inc.*		2,400		462,288
PetSmart, Inc.		2,300		186,979
PVH Corp.		1,900		243,523


	Number of Shares		Value†
COMMON STOCKS — (continued)
Retail — (continued)
Ross Stores, Inc.		4,900	$	461,874
Staples, Inc.		15,637		283,342
Starbucks Corp.		17,844		1,464,100
Target Corp.		15,132		1,148,670
The Gap, Inc.		6,182		260,324
The Home Depot, Inc.		31,304		3,285,981
The TJX Cos., Inc.		16,518		1,132,804
Tiffany & Co.		2,764		295,361
Tractor Supply Co.		3,300		260,106
Urban Outfitters, Inc.*		2,500		87,825
Wal-Mart Stores, Inc.		37,347		3,207,360
Walgreens Boots Alliance, Inc.		20,779		1,583,360
Yum! Brands, Inc.		10,369		755,382

				27,831,265

Savings & Loans — 0.1%
Hudson City Bancorp, Inc.		11,257		113,921
People’s United Financial, Inc.		7,700		116,886

				230,807

Semiconductors — 3.1%
Altera Corp.		7,265		268,369
Analog Devices, Inc.		7,376		409,515
Applied Materials, Inc.		29,321		730,679
Avago Technologies Ltd.		6,000		603,540
Broadcom Corp., Class A		12,908		559,304
First Solar, Inc.*		1,800		80,271
Intel Corp.		114,375		4,150,669
KLA-Tencor Corp.		3,827		269,115
Lam Research Corp.		3,859		306,173
Linear Technology Corp.		5,541		252,670
Microchip Technology, Inc.		5,018		226,362
Micron Technology, Inc.*		25,686		899,267
NVIDIA Corp.		11,754		235,668
QUALCOMM, Inc.		39,299		2,921,095
Texas Instruments, Inc.		25,093		1,341,597
Xilinx, Inc.		6,364		275,497

				13,529,791

Software — 4.0%
Adobe Systems, Inc.*		11,305		821,873
Akamai Technologies, Inc.*		4,160		261,914
Autodesk, Inc.*		5,281		317,177
CA, Inc.		7,639		232,608
Cerner Corp.*		7,000		452,620
Citrix Systems, Inc.*		3,791		241,866
Electronic Arts, Inc.*		7,430		349,321
Fidelity National Information Services, Inc.		6,659		414,190
Fiserv, Inc.*		5,814		412,620
Intuit, Inc.		6,692		616,935
Microsoft Corp.		195,515		9,081,672
Oracle Corp.		76,517		3,440,969
Red Hat, Inc.*		4,600		318,044
Salesforce.com, Inc.*		13,800		818,478
The Dun & Bradstreet Corp.		900		108,864

				17,889,151


	Number of Shares		Value†

Telecommunications — 3.4%
AT&T, Inc.		122,643	$	4,119,579
CenturyLink, Inc.		13,326		527,443
Cisco Systems, Inc.		120,880		3,362,277
Corning, Inc.		30,515		699,709
Crown Castle International Corp.		8,000		629,600
Frontier Communications Corp.		25,072		167,230
Harris Corp.		2,600		186,732
Juniper Networks, Inc.		9,171		204,697
Level 3 Communications, Inc.*		6,600		325,908
Motorola Solutions, Inc.		5,046		338,486
Verizon Communications, Inc.		98,376		4,602,029
Windstream Holdings, Inc.		13,351		110,012

				15,273,702

Textiles — 0.1%
Mohawk Industries, Inc.*		1,500		233,040

Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		2,612		143,634
Mattel, Inc.		8,281		256,255

				399,889

Transportation — 1.8%
C.H. Robinson Worldwide, Inc.		3,439		257,547
CSX Corp.		23,366		846,550
Expeditors International of Washington, Inc.		4,573		204,001
FedEx Corp.		6,266		1,088,153
Kansas City Southern		2,700		329,481
Norfolk Southern Corp.		7,252		794,892
Ryder System, Inc.		1,125		104,456
Union Pacific Corp.		21,020		2,504,113
United Parcel Service, Inc., Class B		16,574		1,842,532

				7,971,725

TOTAL COMMON STOCKS (Cost $243,168,496)				422,935,942

REAL ESTATE INVESTMENT TRUSTS — 2.2%
Apartments — 0.4%
Apartment Investment & Management Co., Class A		3,662		136,043
AvalonBay Communities, Inc.		3,192		521,541
Equity Residential		8,592		617,249
Essex Property Trust, Inc.		1,500		309,900

				1,584,733

Diversified — 0.5%
American Tower Corp.		9,359		925,137
Plum Creek Timber Co., Inc.		4,047		173,171
Vornado Realty Trust		4,087		481,081
Weyerhaeuser Co.		12,626		453,147

				2,032,536

Healthcare — 0.3%
HCP, Inc.		10,840		477,285
Health Care REIT, Inc.		7,800		590,226


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Healthcare — (continued)
Ventas, Inc.		6,853	$	491,360

				1,558,871

Hotels & Resorts — 0.1%
Host Hotels & Resorts, Inc.		17,676		420,159

Industrial — 0.1%
Prologis, Inc.		11,899		512,014

Office Property — 0.1%
Boston Properties, Inc.		3,642		468,689

Regional Malls — 0.5%
General Growth Properties, Inc.		14,900		419,137
Simon Property Group, Inc.		7,328		1,334,502
The Macerich Co.		3,400		283,594

				2,037,233

Storage & Warehousing — 0.1%
Public Storage		3,416		631,448

Strip Centers — 0.1%
Kimco Realty Corp.		9,564		240,439

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $6,247,999)				9,486,122


	Par (000)		Value†
U.S. TREASURY OBLIGATIONS — 0.2%
U S Treasury Bills
0.000%, 01/15/15¤	$	250		249,999
0.000%, 01/29/15¤		375		374,997
0.000%, 03/12/15		185		184,991

TOTAL U.S. TREASURY OBLIGATIONS (Cost $810,000)				809,987


	Number of Shares		Value†
SHORT-TERM INVESTMENTS — 2.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $10,338,756)		10,338,756		10,338,756

TOTAL INVESTMENTS — 100.2% (Cost $260,565,251)			$	443,570,807

Other Assets & Liabilities — (0.2%)				(735,982	)

TOTAL NET ASSETS — 100.0%			$	442,834,825

†	See Security Valuation Note.

*	Non-income producing security.

¤	Zero Coupon Bond. The interest rate disclosed represents the effective yield from the date of acquisition to maturity.

ADR — American Depository Receipt.

PLC — Public Limited Company.

REIT — Real Estate Investment Trust.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	422,935,942	$	422,935,942	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		9,486,122		9,486,122		—		—
U.S. TREASURY OBLIGATIONS		809,987		—		809,987		—
SHORT-TERM INVESTMENTS		10,338,756		10,338,756		—		—

TOTAL INVESTMENTS	$	443,570,807	$	442,760,820	$	809,987	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 99.5%
Apparel — 3.2%
Burberry Group PLC		57,729	$	1,472,018
Carter’s, Inc.		22,597		1,972,944
Ralph Lauren Corp.		3,414		632,136

				4,077,098

Banks — 7.6%
First Republic Bank		48,011		2,502,333
Northern Trust Corp.		51,874		3,496,307
Signature Bank*		21,959		2,765,956
UMB Financial Corp.		16,800		955,752

				9,720,348

Beverages — 1.0%
Brown-Forman Corp., Class B		15,100		1,326,384

Biotechnology — 2.1%
Alkermes PLC*		28,399		1,663,046
Incyte Corp.*		14,348		1,048,982

				2,712,028

Building Materials — 2.0%
Fortune Brands Home & Security, Inc.		56,822		2,572,332

Chemicals — 0.9%
The Valspar Corp.		14,012		1,211,758

Commercial Services — 4.3%
Alliance Data Systems Corp.*		7,010		2,005,211
CoStar Group, Inc.*		8,721		1,601,437
Verisk Analytics, Inc., Class A*		30,800		1,972,740

				5,579,388

Computers — 2.6%
SanDisk Corp.		13,163		1,289,711
Teradata Corp.*		46,740		2,041,603

				3,331,314

Cosmetics & Personal Care — 1.1%
Coty, Inc., Class A*		67,010		1,384,427

Distribution & Wholesale — 4.5%
Fastenal Co.		64,176		3,052,210
LKQ Corp.*		95,500		2,685,460

				5,737,670

Diversified Financial Services — 1.8%
CME Group, Inc.		16,112		1,428,329
Oaktree Capital Group LLC		16,745		867,893

				2,296,222

Electronics — 1.2%
Gentex Corp.		42,621		1,539,897

Environmental Control — 1.6%
Stericycle, Inc.*		15,994		2,096,493

Food — 2.0%
The Hain Celestial Group, Inc.*		43,552		2,538,646


	Number of Shares		Value†

Healthcare Products — 9.1%
Align Technology, Inc.*		30,589	$	1,710,231
DENTSPLY International, Inc.		33,401		1,779,271
Henry Schein, Inc.*		14,255		1,940,818
Intuitive Surgical, Inc.*		7,375		3,900,933
Varian Medical Systems, Inc.*		27,297		2,361,463

				11,692,716

Healthcare Services — 2.1%
Acadia Healthcare Co., Inc.*		21,376		1,308,425
Humana, Inc.		9,844		1,413,894

				2,722,319

Household Products & Wares — 1.0%
The Scotts Miracle-Gro Co., Class A		21,500		1,339,880

Internet — 5.3%
F5 Networks, Inc.*		14,547		1,897,874
GrubHub, Inc.*		37,112		1,347,908
Pandora Media, Inc.*		134,833		2,404,073
WebMD Health Corp.*		29,933		1,183,850

				6,833,705

Leisure Time — 0.9%
Norwegian Cruise Line Holdings Ltd.*		25,982		1,214,918

Machinery — Construction & Mining — 1.2%
Joy Global, Inc.		32,114		1,493,943

Machinery — Diversified — 1.7%
Flowserve Corp.		35,816		2,142,871

Miscellaneous Manufacturing — 1.6%
Polypore International, Inc.*		43,833		2,062,343

Oil & Gas — 5.2%
Cabot Oil & Gas Corp.		59,942		1,774,883
Cimarex Energy Co.		3,885		411,810
Continental Resources, Inc.*		39,982		1,533,709
Noble Energy, Inc.		14,524		688,873
Oasis Petroleum, Inc.*		41,272		682,639
Southwestern Energy Co.*		55,845		1,524,010

				6,615,924

Oil & Gas Services — 0.8%
Dril-Quip, Inc.*		13,895		1,066,163

Pharmaceuticals — 7.9%
ACADIA Pharmaceuticals, Inc.*		28,802		914,464
BioMarin Pharmaceutical, Inc.*		21,828		1,973,251
Mead Johnson Nutrition Co.		29,800		2,996,092
Medivation, Inc.*		17,296		1,722,855
Zoetis, Inc.		57,815		2,487,779

				10,094,441

Retail — 14.1%
DSW, Inc., Class A		41,803		1,559,252
Dunkin’ Brands Group, Inc.		52,372		2,233,666
L Brands, Inc.		22,733		1,967,541
Nordstrom, Inc.		26,130		2,074,461


	Number of Shares			Value†
COMMON STOCKS — (continued)
Retail — (continued)
Panera Bread Co., Class A*		9,200		$	1,608,160
Ross Stores, Inc.		27,376			2,580,462
Tiffany & Co.		13,800			1,474,668
Ulta Salon Cosmetics & Fragrance, Inc.*		19,631			2,509,627
Urban Outfitters, Inc.*		58,825			2,066,522

					18,074,359

Semiconductors — 2.3%
Microchip Technology, Inc.		66,252			2,988,628

Software — 6.4%
ANSYS, Inc.*		18,800			1,541,600
Cerner Corp.*		20,017			1,294,299
Electronic Arts, Inc.*		81,548			3,833,979
ServiceNow, Inc.*		22,224			1,507,899

					8,177,777

Toys, Games & Hobbies — 1.7%
Mattel, Inc.		69,097			2,138,207

Transportation — 2.3%
Expeditors International of Washington, Inc.		66,523			2,967,591

TOTAL COMMON STOCKS (Cost $116,651,886)					127,749,790

SHORT-TERM INVESTMENTS — 1.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,087,396)		2,087,396			2,087,396

TOTAL INVESTMENTS — 101.1% (Cost $118,739,282)				$	129,837,186

Other Assets & Liabilities — (1.1%)					(1,350,988	)

TOTAL NET ASSETS — 100.0%				$	128,486,198


WRITTEN OPTIONS — 0.0%
Put Options — 0.0%
Acadia Pharmaceuticals, Inc. US, $28 02/20/15		(146	)		(14,600	)
Alkermes PLC, US, $50 02/20/15		(68	)		(6,800	)
Incyte Corp. US, $65 02/20/15		(42	)		(6,300	)

TOTAL WRITTEN OPTIONS (Premiums $(44,824))					(27,700	)

†	See Security Valuation Note.

*	Non-income producing security.

LLC	— Limited Liability Company.

PLC	— Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	127,749,790	$	127,749,790	$	—	$	—
SHORT-TERM INVESTMENTS		2,087,396		2,087,396		—		—

TOTAL INVESTMENTS	$	129,837,186	$	129,837,186	$	—	$	—


LIABILITIES TABLE
Description	Total Market Value at 12/31/2014			Level 1 Quoted Price		Level 2 Significant Observable Input			Level 3 Significant Unobservable Input
WRITTEN OPTIONS	$	(27,700	)	$	—	$	(27,700	)	$	—

TOTAL LIABILITIES	$	(27,700	)	$	—	$	(27,700	)	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 91.7%
Aerospace & Defense — 5.7%
General Dynamics Corp.		44,150	$	6,075,923
Spirit Aerosystems Holdings, Inc., Class A*		106,100		4,566,544

				10,642,467

Auto Parts & Equipment — 1.6%
Lear Corp.		20,200		1,981,216
TRW Automotive Holdings Corp.*		8,800		905,080

				2,886,296

Banks — 8.2%
BB&T Corp.		52,200		2,030,058
Comerica, Inc.		77,700		3,639,468
Huntington Bancshares, Inc.		268,100		2,820,412
M&T Bank Corp.		23,100		2,901,822
State Street Corp.		47,600		3,736,600

				15,128,360

Building Materials — 1.3%
Owens Corning		69,400		2,485,214

Chemicals — 2.9%
Ashland, Inc.		44,000		5,269,440

Commercial Services — 9.5%
Hertz Global Holdings, Inc.*		195,800		4,883,252
The ADT Corp.		183,000		6,630,090
The Western Union Co.		199,100		3,565,881
Tyco International PLC		58,300		2,557,038

				17,636,261

Computers — 3.6%
Cadence Design Systems, Inc.*		125,700		2,384,529
Teradata Corp.*		96,700		4,223,856

				6,608,385

Electric — 6.1%
AES Corp.		288,100		3,967,137
DTE Energy Co.		35,700		3,083,409
Edison International		64,800		4,243,104

				11,293,650

Electronics — 1.9%
Flextronics International Ltd.*		319,400		3,570,892

Engineering & Construction — 1.3%
KBR, Inc.		140,700		2,384,865

Environmental Control — 2.2%
Covanta Holding Corp.		186,400		4,102,664

Food — 0.9%
Safeway, Inc.		47,300		1,661,176

Gas — 1.8%
CenterPoint Energy, Inc.		138,900		3,254,427

Hand & Machine Tools — 1.0%
Regal-Beloit Corp.		24,700		1,857,440

Healthcare Products — 2.0%
Zimmer Holdings, Inc.		32,100		3,640,782


	Number of Shares		Value†

Home Furnishings — 1.3%
Select Comfort Corp.*		91,400	$	2,470,542

Household Products & Wares — 1.1%
Avery Dennison Corp.		38,500		1,997,380

Miscellaneous Manufacturing — 2.8%
Harsco Corp.		96,500		1,822,885
Valmont Industries, Inc.		26,900		3,416,300

				5,239,185

Oil & Gas — 5.5%
Cabot Oil & Gas Corp.		108,200		3,203,802
Devon Energy Corp.		66,600		4,076,586
Energy Transfer Partners, LP		30,575		1,987,375
Southwestern Energy Co.*		36,400		993,356

				10,261,119

Oil & Gas Services — 1.5%
Cameron International Corp.*		54,700		2,732,265

Pharmaceuticals — 2.7%
Cardinal Health, Inc.		25,400		2,050,542
Omnicare, Inc.		40,300		2,939,079

				4,989,621

Retail — 13.5%
Best Buy Co., Inc.		72,200		2,814,356
CVS Health Corp.		50,800		4,892,548
Darden Restaurants, Inc.		78,200		4,584,866
Express, Inc.*		177,400		2,606,006
Kohl’s Corp.		66,500		4,059,160
Office Depot, Inc.*		714,800		6,129,410

				25,086,346

Savings & Loans — 1.8%
BankUnited, Inc.		115,200		3,337,344

Semiconductors — 4.0%
Skyworks Solutions, Inc.		102,300		7,438,233

Software — 4.5%
Check Point Software Technologies Ltd.*		49,200		3,865,644
Nuance Communications, Inc.*		319,088		4,553,386

				8,419,030

Telecommunications — 3.0%
Amdocs Ltd.		79,500		3,709,072
Telephone & Data Systems, Inc.		74,400		1,878,600

				5,587,672

TOTAL COMMON STOCKS (Cost $128,419,741)				169,981,056

REAL ESTATE INVESTMENT TRUSTS — 5.8%
Building & Real Estate — 3.0%
Starwood Property Trust, Inc.		165,900		3,855,516
Starwood Waypoint Residential Trust		63,720		1,680,296

				5,535,812


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Diversified — 2.8%
Corrections Corporation of America		142,317	$	5,171,800

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $9,203,819)				10,707,612

SHORT-TERM INVESTMENTS — 3.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $6,485,324)		6,485,324		6,485,324

TOTAL INVESTMENTS — 101.0% (Cost $144,108,884)			$	187,173,992

Other Assets & Liabilities — (1.0%)				(1,880,925	)

TOTAL NET ASSETS — 100.0%			$	185,293,067

†	See Security Valuation Note.

*	Non-income producing security.

LP — Limited Partnership.

PLC — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	169,981,056	$	169,981,056	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		10,707,612		10,707,612		—		—
SHORT-TERM INVESTMENTS		6,485,324		6,485,324		—		—

TOTAL INVESTMENTS	$	187,173,992	$	187,173,992	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 91.5%
Aerospace & Defense — 1.3%
BAE Systems PLC		47,888	$	350,215
Exelis, Inc.		48,000		841,440

				1,191,655

Apparel — 0.8%
Coach, Inc.		6,413		240,872
Ralph Lauren Corp.		2,732		505,857

				746,729

Auto Manufacturers — 1.2%
Oshkosh Corp.		22,057		1,073,073

Auto Parts & Equipment — 0.4%
Autoliv, Inc.		3,350		355,502

Banks — 11.5%
Bank of Hawaii Corp.		9,515		564,335
BB&T Corp.		11,188		435,101
BOK Financial Corp.		8,110		486,924
Comerica, Inc.		10,738		502,968
Commerce Bancshares, Inc.		25,022		1,088,207
Cullen/Frost Bankers, Inc.		7,204		508,890
M&T Bank Corp.		8,853		1,112,114
Northern Trust Corp.		38,299		2,581,353
State Street Corp.		8,006		628,471
SunTrust Banks, Inc.		13,504		565,818
The PNC Financial Services Group, Inc.		12,260		1,118,480
Westamerica Bancorporation		15,200		745,104

				10,337,765

Biotechnology — 0.4%
Bio-Rad Laboratories, Inc., Class A*		3,261		393,146

Chemicals — 0.8%
The Mosaic Co.		15,684		715,975

Commercial Services — 2.5%
Pentair PLC		5,241		348,107
The ADT Corp.		30,401		1,101,428
Tyco International PLC		18,068		792,463

				2,241,998

Computers — 2.2%
SanDisk Corp.		7,374		722,505
Western Digital Corp.		11,215		1,241,500

				1,964,005

Diversified Financial Services — 2.4%
Franklin Resources, Inc.		8,617		477,123
LPL Financial Holdings, Inc.		18,143		808,271
Markit Ltd.*		17,572		464,428
T. Rowe Price Group, Inc.		5,196		446,129

				2,195,951

Electric — 9.0%
Ameren Corp.		9,740		449,306
Consolidated Edison, Inc.		6,706		442,663
Edison International		20,003		1,309,796
Great Plains Energy, Inc.		31,999		909,092


	Number of Shares		Value†

Electric — (continued)
Northeast Utilities		7,324	$	391,980
NorthWestern Corp.		7,496		424,124
OGE Energy Corp.		5,885		208,800
PG&E Corp.		15,723		837,093
The Southern Co.		9,148		449,258
Westar Energy, Inc.		33,052		1,363,064
Xcel Energy, Inc.		36,201		1,300,340

				8,085,516

Electrical Components & Equipment — 1.0%
Emerson Electric Co.		14,863		917,493

Electronics — 3.4%
Agilent Technologies, Inc.		7,516		307,705
Keysight Technologies Inc*		8,221		277,623
Koninklijke Philips N.V.		48,993		1,420,115
TE Connectivity Ltd.		11,720		741,290
Waters Corp.*		2,989		336,920

				3,083,653

Entertainment — 0.5%
International Game Technology		24,936		430,146

Environmental Control — 4.0%
Clean Harbors, Inc.*		15,172		729,015
Republic Services, Inc.		65,618		2,641,125
Waste Management, Inc.		4,617		236,944

				3,607,084

Food — 7.3%
Campbell Soup Co.		11,430		502,920
ConAgra Foods, Inc.		32,720		1,187,082
Danone S.A.		3,439		224,836
General Mills, Inc.		14,832		790,991
Kellogg Co.		7,969		521,491
Kraft Foods Group, Inc.		7,341		459,987
Mondelez International, Inc., Class A		16,194		588,247
Sysco Corp.		35,864		1,423,442
The J.M. Smucker Co.		8,426		850,857

				6,549,853

Gas — 2.5%
Atmos Energy Corp.		16,494		919,375
The Laclede Group, Inc.		25,384		1,350,429

				2,269,804

Healthcare Products — 4.6%
Boston Scientific Corp.*		35,185		466,201
CareFusion Corp.*		18,165		1,077,911
Hospira, Inc.*		5,054		309,557
Medtronic, Inc.		10,047		725,393
Patterson Cos., Inc.		10,576		508,706
Stryker Corp.		6,451		608,523
Zimmer Holdings, Inc.		4,349		493,264

				4,189,555


	Number of Shares		Value†
COMMON STOCKS — (continued)
Healthcare Services — 4.1%
Cigna Corp.		4,722	$	485,941
Humana, Inc.		4,651		668,023
LifePoint Hospitals, Inc.*		19,106		1,373,913
Quest Diagnostics, Inc.		17,935		1,202,721

				3,730,598

Home Builders — 0.5%
Toll Brothers, Inc.*		13,338		457,093

Insurance — 7.1%
ACE Ltd.		6,773		778,082
Aflac, Inc.		6,503		397,268
Arthur J Gallagher & Co.		5,965		280,832
Brown & Brown, Inc.		14,944		491,807
HCC Insurance Holdings, Inc.		16,749		896,407
MetLife, Inc.		7,226		390,854
Reinsurance Group of America, Inc.		9,761		855,259
The Allstate Corp.		4,363		306,501
The Chubb Corp.		5,208		538,872
The Travelers Cos., Inc.		4,469		473,044
Torchmark Corp.		6,066		328,595
Unum Group		19,815		691,147

				6,428,668

Iron & Steel — 0.7%
Nucor Corp.		13,200		647,460

Leisure Time — 0.6%
Carnival Corp.		12,118		549,309

Mining — 0.4%
Newmont Mining Corp.		20,563		388,641

Miscellaneous Manufacturing — 0.5%
Textron, Inc.		10,140		426,995

Oil & Gas — 5.5%
Antero Midstream Partners LP*		7,220		198,550
Apache Corp.		14,616		915,985
Devon Energy Corp.		13,705		838,883
Imperial Oil Ltd.		31,568		1,359,940
Noble Energy, Inc.		8,218		389,780
Occidental Petroleum Corp.		8,013		645,928
Southwestern Energy Co.*		7,481		204,156
Williams Partners LP		8,403		376,034

				4,929,256

Oil & Gas Services — 0.7%
Cameron International Corp.*		12,620		630,369

Packaging and Containers — 1.5%
Bemis Co., Inc.		19,905		899,905
Sonoco Products Co.		10,380		453,606

				1,353,511

Pharmaceuticals — 0.8%
Cardinal Health, Inc.		9,466		764,190


	Number of Shares		Value†

Retail — 2.3%
Bed Bath & Beyond, Inc.*		7,002	$	533,342
Lowe’s Cos., Inc.		13,111		902,037
Target Corp.		9,007		683,722

				2,119,101

Savings & Loans — 1.0%
Capitol Federal Financial, Inc.		12,667		161,884
People’s United Financial, Inc.		47,110		715,130

				877,014

Semiconductors — 5.5%
Applied Materials, Inc.		31,919		795,421
Broadcom Corp., Class A		20,134		872,406
Lam Research Corp.		10,661		845,844
Maxim Integrated Products, Inc.		19,168		610,884
Microchip Technology, Inc.		17,662		796,733
Teradyne, Inc.		51,331		1,015,841

				4,937,129

Software — 0.7%
Fidelity National Information Services, Inc.		9,544		593,637

Telecommunications — 1.9%
CenturyLink, Inc.		19,453		769,950
Harris Corp.		6,357		456,560
Rogers Communications, Inc., Class B		12,759		496,061

				1,722,571

Toys, Games & Hobbies — 0.7%
Mattel, Inc.		19,694		609,431

Transportation — 1.2%
Heartland Express, Inc.		18,342		495,417
Werner Enterprises, Inc.		19,313		601,600

				1,097,017

TOTAL COMMON STOCKS (Cost $73,400,137)				82,610,893

REAL ESTATE INVESTMENT TRUSTS — 4.3%
Building & Real Estate — 0.3%
Annaly Capital Management, Inc.		21,293		230,177

Diversified — 2.5%
Corrections Corporation of America		28,409		1,032,383
Weyerhaeuser Co.		33,158		1,190,041

				2,222,424

Office Property — 1.5%
Empire State Realty Trust, Inc.		24,927		438,217
Piedmont Office Realty Trust, Inc., Class A		51,131		963,308

				1,401,525

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $3,660,446)				3,854,126


	Number of Shares		Value†
EXCHANGE TRADED FUNDS — 2.7%
Investment Companies — 2.7%
iShares Russell MidCap Value Index Fund (Cost $2,321,883)		32,863	$	2,424,303

SHORT-TERM INVESTMENTS — 3.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,973,168)		2,973,168		2,973,168

TOTAL INVESTMENTS — 101.8% (Cost $82,355,634)			$	91,862,490

Other Assets & Liabilities — (1.8%)				(1,633,486	)

TOTAL NET ASSETS — 100.0%			$	90,229,004

†	See Security Valuation Note.

*	Non-income producing security.

LP — Limited Partnership.

PLC — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	82,610,893	$	80,615,727	$	1,995,166	$	—
REAL ESTATE INVESTMENT TRUSTS		3,854,126		3,854,126		—		—
EXCHANGE TRADED FUNDS		2,424,303		2,424,303		—		—
SHORT-TERM INVESTMENTS		2,973,168		2,973,168		—		—

TOTAL INVESTMENTS	$	91,862,490	$	89,867,324	$	1,995,166	$	—

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

$619,261 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 98.6%
Advertising — 0.1%
Outfront Media Inc		2,828	$	75,904

Airlines — 1.7%
Spirit Airlines, Inc.*		12,260		926,611

Apparel — 2.8%
Carter’s, Inc.		10,500		916,755
Under Armour, Inc., Class A*		9,100		617,890

				1,534,645

Auto Parts & Equipment — 2.5%
Allison Transmission Holdings, Inc.		21,010		712,239
Gentherm, Inc.*		18,198		666,411

				1,378,650

Banks — 1.2%
Texas Capital Bancshares, Inc.*		12,470		677,495

Beverages — 1.2%
Constellation Brands, Inc., Class A*		7,020		689,153

Biotechnology — 6.9%
Alkermes PLC*		15,440		904,167
Alnylam Pharmaceuticals, Inc.*		6,240		605,280
AMAG Pharmaceuticals, Inc.*		7,570		322,633
BioMarin Pharmaceutical, Inc.*		6,853		619,511
Bluebird Bio, Inc.*		3,310		303,593
Novavax, Inc.*		65,433		388,018
NPS Pharmaceuticals, Inc.*		8,981		321,250
Puma Biotechnology, Inc.*		2,000		378,540

				3,842,992

Chemicals — 2.8%
Axalta Coating Systems Ltd.*		25,929		674,673
WR Grace & Co.*		9,134		871,292

				1,545,965

Commercial Services — 9.7%
Bright Horizons Family Solutions, Inc.*		17,380		817,034
CoStar Group, Inc.*		5,794		1,063,952
Euronet Worldwide, Inc.*		10,427		572,442
Quanta Services, Inc.*		15,710		446,007
SEI Investments Co.		25,250		1,011,010
United Rentals, Inc.*		5,950		606,959
Vantiv, Inc., Class A*		25,617		868,929

				5,386,333

Computers — 3.2%
IHS, Inc., Class A*		5,834		664,376
Nimble Storage, Inc.*		24,960		686,400
Stratasys Ltd.*		5,428		451,121

				1,801,897

Distribution & Wholesale — 2.1%
LKQ Corp.*		41,277		1,160,709


	Number of Shares		Value†

Diversified Financial Services — 2.4%
Affiliated Managers Group, Inc.*		3,430	$	727,983
Raymond James Financial, Inc.		10,120		579,775

				1,307,758

Electrical Components & Equipment — 1.5%
Acuity Brands, Inc.		6,113		856,248

Electronics — 2.7%
FEI Co.		7,315		660,910
TASER International, Inc.*		32,290		855,039

				1,515,949

Engineering & Construction — 2.3%
SBA Communications Corp., Class A*		11,566		1,281,050

Entertainment — 1.7%
Cinemark Holdings, Inc.		26,680		949,274

Hand & Machine Tools — 1.4%
Snap-On, Inc.		5,660		773,948

Healthcare Products — 5.7%
Cepheid, Inc.*		14,608		790,877
DexCom, Inc.*		10,889		599,440
IDEXX Laboratories, Inc.*		5,410		802,141
The Cooper Cos., Inc.		6,080		985,507

				3,177,965

Healthcare Services — 2.4%
Community Health Systems, Inc.*		10,630		573,170
Envision Healthcare Holdings Inc*		22,629		785,000

				1,358,170

Insurance — 0.2%
eHealth, Inc.*		3,758		93,649

Internet — 4.8%
HomeAway, Inc.*		12,226		364,090
Makemytrip Ltd.*		20,987		545,452
Shutterstock, Inc.*		10,169		702,678
Vipshop Holdings Ltd. ADR*		25,068		489,829
Yelp, Inc.*		10,145		555,236

				2,657,285

Leisure Time — 2.0%
Polaris Industries, Inc.		7,470		1,129,763

Lodging — 0.7%
Extended Stay America, Inc.		20,000		386,200

Machinery — Diversified — 4.9%
Cognex Corp.*		19,640		811,721
Graco, Inc.		8,788		704,622
Wabtec Corp.		13,590		1,180,835

				2,697,178

Miscellaneous Manufacturing — 2.8%
Carlisle Cos., Inc.		10,310		930,374
Proto Labs, Inc.*		9,043		607,328

				1,537,702


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — 2.7%
Delek US Holdings, Inc.		12,920	$	352,458
Diamondback Energy, Inc.*		12,190		728,718
Rice Energy, Inc.*		10,760		225,637
Sanchez Energy Corp.*		22,075		205,077

				1,511,890

Pharmaceuticals — 3.2%
GW Pharmaceuticals PLC ADR*		2,730		184,766
Jazz Pharmaceuticals PLC*		5,060		828,474
VCA, Inc.*		15,660		763,738

				1,776,978

Retail — 7.7%
Advance Auto Parts, Inc.		3,993		636,005
Domino’s Pizza, Inc.		9,840		926,633
Kate Spade & Co.*		21,283		681,269
Krispy Kreme Doughnuts, Inc.*		33,400		659,316
Lithia Motors, Inc., Class A		7,575		656,677
Restoration Hardware Holdings, Inc.*		7,617		731,308

				4,291,208

Semiconductors — 2.2%
Sensata Technologies Holding N.V.*		14,379		753,604
Veeco Instruments, Inc.*		13,940		486,227

				1,239,831

Software — 8.1%
athenahealth, Inc.*		5,030		732,871
Cornerstone OnDemand, Inc.*		18,405		647,856
Fleetmatics Group PLC*		17,029		604,359
Guidewire Software, Inc.*		15,140		766,538
ServiceNow, Inc.*		12,713		862,577
Solera Holdings, Inc.		4,362		223,247
Tableau Software, Inc., Class A*		8,056		682,827

				4,520,275

Telecommunications — 1.6%
Palo Alto Networks, Inc.*		7,377		904,199

Transportation — 3.4%
Old Dominion Freight Line, Inc.*		14,290		1,109,476
Swift Transportation Co.*		26,273		752,196

				1,861,672

TOTAL COMMON STOCKS (Cost $43,752,836)				54,848,546

SHORT-TERM INVESTMENTS — 3.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,810,534)		1,810,534		1,810,534

TOTAL INVESTMENTS — 101.9% (Cost $45,563,370)			$	56,659,080

Other Assets & Liabilities — (1.9%)				(1,057,004	)

TOTAL NET ASSETS — 100.0%			$	55,602,076

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	94	%
Ireland	3
China	1
India	1
Netherlands	1

Total	100	%

†† % of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	54,848,546	$	54,848,546	$	—	$	—
SHORT-TERM INVESTMENTS		1,810,534		1,810,534		—		—

TOTAL INVESTMENTS	$	56,659,080	$	56,659,080	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 93.6%
Aerospace & Defense — 1.5%
Spirit Aerosystems Holdings, Inc., Class A*		25,530	$	1,098,811

Apparel — 0.8%
Crocs, Inc.*		49,180		614,258

Auto Parts & Equipment — 4.7%
Dana Holding Corp.		37,210		808,945
Lear Corp.		9,880		969,031
Tenneco, Inc.*		17,830		1,009,356
TRW Automotive Holdings Corp.*		6,320		650,012

				3,437,344

Banks — 8.8%
Associated Banc-Corp.		29,580		551,075
Comerica, Inc.		21,415		1,003,079
Huntington Bancshares, Inc.		97,530		1,026,015
Popular, Inc.*		27,639		941,108
Susquehanna Bancshares, Inc.		70,630		948,561
Synovus Financial Corp.		22,100		598,689
Webster Financial Corp.		18,620		605,709
Zions Bancorporation		28,600		815,386

				6,489,622

Chemicals — 1.4%
A. Schulman, Inc.		15,340		621,730
Huntsman Corp.		18,630		424,392

				1,046,122

Commercial Services — 1.3%
Booz Allen Hamilton Holding Corp.		35,740		948,182

Computers — 3.3%
Brocade Communications Systems, Inc.		60,800		719,872
Insight Enterprises, Inc.*		29,140		754,435
NCR Corp.*		32,540		948,215

				2,422,522

Distribution & Wholesale — 2.7%
Arrow Electronics, Inc.*		18,010		1,042,599
WESCO International, Inc.*		12,010		915,282

				1,957,881

Diversified Financial Services — 2.3%
ETRADE Financial Corp.		32,570		789,986
SLM Corp.		91,990		937,378

				1,727,364

Electric — 2.9%
PNM Resources, Inc.		36,480		1,080,902
Westar Energy, Inc.		25,490		1,051,208

				2,132,110

Electrical Components & Equipment — 0.6%
General Cable Corp.		27,060		403,194

Electronics — 4.1%
Avnet, Inc.		23,280		1,001,506
Jabil Circuit, Inc.		27,380		597,705
TTM Technologies, Inc.*		58,550		440,882


	Number of Shares		Value†

Electronics — (continued)
Vishay Intertechnology, Inc.		69,400	$	982,010

				3,022,103

Engineering & Construction — 3.7%
AECOM Technology Corp.*		36,704		1,114,700
Granite Construction, Inc.		20,100		764,202
Tutor Perini Corp.*		36,470		877,833

				2,756,735

Food — 2.6%
Dean Foods Co.		64,615		1,252,239
Ingredion, Inc.		7,880		668,539

				1,920,778

Gas — 3.8%
Atmos Energy Corp.*		15,855		883,758
Southwest Gas Corp.		16,960		1,048,297
UGI Corp.		23,795		903,734

				2,835,789

Hand & Machine Tools — 1.1%
Regal-Beloit Corp.		10,890		818,928

Healthcare Services — 3.3%
LifePoint Hospitals, Inc.*		12,420		893,122
Molina Healthcare, Inc.*		10,300		551,359
WellCare Health Plans, Inc.*		12,120		994,567

				2,439,048

Home Builders — 3.2%
Meritage Homes Corp.*		23,920		860,881
PulteGroup, Inc.		35,180		754,963
Thor Industries, Inc.		13,260		740,836

				2,356,680

Household Products & Wares — 2.0%
Avery Dennison Corp.		14,350		744,478
Helen of Troy Ltd. *		11,640		757,298

				1,501,776

Insurance — 10.4%
American Financial Group, Inc.		17,710		1,075,351
Aspen Insurance Holdings Ltd.		22,710		994,017
Assurant, Inc.		8,110		554,967
CNO Financial Group, Inc.		57,730		994,111
Essent Group Ltd. *		27,144		697,872
PartnerRe Ltd.		9,400		1,072,822
StanCorp Financial Group, Inc.		6,370		445,008
The Hanover Insurance Group, Inc.		14,170		1,010,605
Validus Holdings Ltd.		20,790		864,032

				7,708,785

Internet — 1.1%
CDW Corp.		23,780		836,343

Iron & Steel — 0.9%
Steel Dynamics, Inc.		31,450		620,823


	Number of Shares		Value†
COMMON STOCKS — (continued)
Machinery — Construction & Mining — 0.7%
Terex Corp.		17,620	$	491,246

Miscellaneous Manufacturing — 1.1%
ITT Corp.		19,170		775,618

Oil & Gas — 1.8%
Bill Barrett Corp.*		41,830		476,444
Rosetta Resources, Inc.*		19,960		445,308
SM Energy Co.		11,285		435,375

				1,357,127

Packaging and Containers — 0.8%
Graphic Packaging Holding Co.*		42,250		575,445

Retail — 9.8%
Big Lots, Inc.		21,140		846,023
Bloomin’ Brands, Inc. *		50,260		1,244,437
Brown Shoe Co., Inc.		23,410		752,631
Dillard’s, Inc., Class A		6,470		809,915
GameStop Corp., Class A		18,540		626,652
Office Depot, Inc.*		162,330		1,391,980
Pier 1 Imports, Inc.		42,020		647,108
The Children’s Place, Inc.		16,610		946,770

				7,265,516

Savings & Loans — 0.8%
First Niagara Financial Group, Inc.		65,450		551,744

Semiconductors — 3.6%
Advanced Micro Devices, Inc.*		104,700		279,549
Fairchild Semiconductor International, Inc.*		34,640		584,723
Lam Research Corp.		12,620		1,001,271
Teradyne, Inc.		40,450		800,506

				2,666,049

Software — 1.7%
Electronic Arts, Inc.*		26,880		1,263,763

Telecommunications — 4.8%
Amdocs Ltd.		18,345		855,886
Anixter International, Inc. *		6,260		553,759
Finisar Corp.*		27,080		525,623
Genpact Ltd. *		41,430		784,270
Harris Corp.		11,940		857,531

				3,577,069

Transportation — 2.0%
Con-way, Inc.		10,030		493,275
Ryder System, Inc.		10,880		1,010,208

				1,503,483

TOTAL COMMON STOCKS (Cost $55,134,692)				69,122,258

REAL ESTATE INVESTMENT TRUSTS — 7.3%
Apartments — 0.9%
Mid-America Apartment Communities, Inc.		8,560		639,261


	Number of Shares		Value†

Diversified — 0.9%
STAG lndustrial, Inc.		26,620	$	652,190

Healthcare — 2.4%
LTC Properties, Inc.		22,430		968,303
Medical Properties Trust, Inc.		59,480		819,634

				1,787,937

Hotels & Resorts — 1.3%
DiamondRock Hospitality Co.		64,440		958,223

Office Property — 0.9%
Parkway Properties, Inc.		36,520		671,603

Strip Centers — 0.9%
DDR Corp.		38,220		701,719

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,702,773)				5,410,933

SHORT-TERM INVESTMENTS — 1.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $962,545)		962,545		962,545

TOTAL INVESTMENTS — 102.2% (Cost $60,800,010)			$	75,495,736

Other Assets & Liabilities — (2.2%)				(1,589,555	)

TOTAL NET ASSETS — 100.0%			$	73,906,181

†	See Security Valuation Note.

*	Non-income producing security.


Country Weightings as of 12/31/2014††
United States	93	%
Bermuda	6
Puerto Rico	1

Total	100	%

††% of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	69,122,258	$	69,122,258	$	—	$	—
TOTAL REAL ESTATE INVESTMENT TRUSTS		5,410,933		5,410,933		—		—
SHORT-TERM INVESTMENTS		962,545		962,545		—		—

TOTAL INVESTMENTS	$	75,495,736	$	75,495,736	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 99.8%
Aerospace & Defense — 3.1%
HEICO Corp., Class A		53,721	$	2,544,227
TransDigm Group, Inc.		3,054		599,653

				3,143,880

Apparel — 4.6%
Carter’s, Inc.		24,350		2,125,999
Gildan Activewear, Inc.		14,035		793,679
Wolverine World Wide, Inc.		60,796		1,791,658

				4,711,336

Banks — 2.4%
Bank of the Ozarks, Inc.		26,042		987,513
City National Corp.		6,070		490,517
SVB Financial Group*		8,060		935,524

				2,413,554

Biotechnology — 3.2%
Alkermes PLC		16,353		957,632
Concordia Healthcare Corp.		16,922		680,929
Incyte Corp.*		9,240		675,536
NPS Pharmaceuticals, Inc.*		18,880		675,338
Puma Biotechnology, Inc.*		1,664		314,945

				3,304,380

Chemicals — 2.1%
Sensient Technologies Corp.		36,200		2,184,308

Commercial Services — 9.5%
CoStar Group, Inc.*		4,835		887,851
Euronet Worldwide, Inc.*		40,973		2,249,418
Gartner, Inc.*		7,951		669,554
Healthcare Services Group, Inc.		30,165		933,003
Healthequity, Inc.*		10,392		264,476
Nord Anglia Education, Inc.		52,864		1,008,645
Rollins, Inc.		12,285		406,634
Servicemaster Global Holdings, Inc.*		41,266		1,104,691
SP Plus Corp.*		26,784		675,760
Team Health Holdings, Inc.*		10,630		611,544
The Corporate Executive Board Co.		13,366		969,436

				9,781,012

Computers — 3.8%
Cadence Design Systems, Inc.*		85,790		1,627,436
Jack Henry & Associates, Inc.		28,405		1,765,087
Stratasys Ltd.		6,125		509,049

				3,901,572

Distribution & Wholesale — 1.4%
WESCO International, Inc.*		19,411		1,479,312

Diversified Financial Services — 3.2%
Artisan Partners Asset Management, Inc., Class A		8,931		451,283
Financial Engines, Inc.		16,754		612,359
LPL Financial Holdings, Inc.		14,894		663,528
MarketAxess Holdings, Inc.		12,728		912,725
Markit Ltd.*		22,692		599,749

				3,239,644


	Number of Shares		Value†

Electrical Components & Equipment — 3.5%
Belden, Inc.		20,956	$	1,651,542
EnerSys, Inc.		23,213		1,432,706
GrafTech International Ltd.*		108,108		547,027

				3,631,275

Electronics — 3.3%
CTS Corp.		36,380		648,655
FEI Co.		11,485		1,037,670
National Instruments Corp.		14,375		446,919
OSI Systems, Inc.*		17,202		1,217,385

				3,350,629

Energy-Alternate Sources — 0.3%
Enphase Energy, Inc.*		22,185		317,024

Entertainment — 1.8%
AMC Entertainment Holdings, Inc., Class A		27,260		713,667
National CineMedia, Inc.		63,663		914,837
SFX Entertainment, Inc. *		55,290		250,464

				1,878,968

Environmental Control — 0.8%
Clean Harbors, Inc.*		16,436		789,750

Hand & Machine Tools — 1.5%
Kennametal, Inc.		43,610		1,560,802

Healthcare Products — 6.9%
Bio-Techne Corp.		12,176		1,125,062
Cimpress NV		12,358		924,873
Endologix, Inc.*		83,484		1,276,470
Genfit*		3,268		149,004
IDEXX Laboratories, Inc.*		3,846		570,247
LDR Holding Corp.*		31,995		1,048,796
Masimo Corp.*		35,554		936,492
Quidel Corp.*		34,713		1,003,900

				7,034,844

Healthcare Services — 0.7%
Catalent, Inc.*		27,516		767,146

Household Products & Wares — 2.0%
Ontex Group NV*		26,761		767,945
Prestige Brands Holdings, Inc.*		22,718		788,769
Tumi Holdings, Inc.*		22,267		528,396

				2,085,110

Internet — 1.3%
ChannelAdvisor Corp.*		29,676		640,408
Wayfair, Inc.*		11,617		230,597
Zillow, Inc. Class A*		4,203		445,056

				1,316,061

Machinery — Diversified — 2.0%
Nordson Corp.		6,019		469,241
Tennant Co.		6,691		482,889
Wabtec Corp.		12,275		1,066,575

				2,018,705


	Number of Shares		Value†
COMMON STOCKS — (continued)
Medical Instruments — 0.7%
Novadaq Technologies, Inc.*		40,331	$	670,301

Metal Fabricate/Hardware — 1.6%
Rexnord Corp. *		58,764		1,657,732

Miscellaneous Manufacturing — 1.3%
Polypore International, Inc.*		9,860		463,913
Proto Labs, Inc.*		8,286		556,488
Raven Industries, Inc.		11,901		297,525

				1,317,926

Oil & Gas Services — 1.8%
Dresser-Rand Group, Inc.*		4,080		333,744
Dril-Quip, Inc.*		10,501		805,742
Targa Resources Corp.		6,520		691,446

				1,830,932

Pharmaceuticals — 7.1%
Akorn, Inc.*		16,553		599,219
Dyax Corp.*		42,821		602,063
IGI Laboratories, Inc.*		58,247		512,574
Ironwood Pharmaceuticals, Inc.*		45,013		689,599
Mallinckrodt PLC		11,255		1,114,583
Medivation, Inc.*		6,625		659,916
Pacira Pharmaceuticals, Inc.*		8,105		718,589
Pernix Therapeutics Holdings, Inc.*		54,754		514,140
Phibro Animal Health Corp., Class A		36,044		1,137,188
Synageva BioPharma Corp.*		7,585		703,812

				7,251,683

Real Estate — 1.0%
Jones Lang LaSalle, Inc.		4,226		633,604
The St. Joe Co.*		23,895		439,429

				1,073,033

Real Estate Investment Trusts — 0.4%
Lamar Advertising Co.		7,620		408,737

Retail — 5.1%
Biglari Holdings, Inc.*		2,443		976,003
Casey’s General Stores, Inc.		11,869		1,072,008
Dunkin’ Brands Group, Inc.		8,255		352,076
Hibbett Sports, Inc.*		26,608		1,288,626
Popeyes Louisiana Kitchen, Inc.*		10,531		592,579
Sally Beauty Holdings, Inc.*		15,626		480,343
Ulta Salon Cosmetics & Fragrance, Inc.*		3,626		463,548

				5,225,183

Semiconductors — 3.6%
Atmel Corp.*		194,049		1,629,041
ON Semiconductor Corp.*		116,295		1,178,068
Sensata Technologies Holding N.V.*		16,209		849,514

				3,656,623

Software — 15.2%
ACI Worldwide, Inc.*		52,556		1,060,055
Advent Software, Inc.		31,742		972,575
athenahealth, Inc.*		5,880		856,716


	Number of Shares		Value†

Software — (continued)
Blackbaud, Inc.		50,105	$	2,167,542
Broadridge Financial Solutions, Inc.		39,530		1,825,495
Envestnet, Inc.*		17,642		866,928
Guidewire Software, Inc.*		14,741		746,337
Informatica Corp.*		17,843		680,443
RealPage, Inc.*		46,319		1,017,165
Solera Holdings, Inc.		29,189		1,493,893
SS&C Technologies Holdings, Inc.		67,320		3,937,547

				15,624,696

Telecommunications — 1.4%
NICE Systems, Ltd. ADR		28,504		1,443,728

Transportation — 3.3%
Landstar System, Inc.		16,831		1,220,752
Old Dominion Freight Line, Inc.*		16,698		1,296,433
Saia, Inc.*		15,978		884,542

				3,401,727

TOTAL COMMON STOCKS (Cost $82,099,857)				102,471,613

SHORT-TERM INVESTMENTS — 1.7%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,740,350)		1,740,350		1,740,350

TOTAL INVESTMENTS — 101.5% (Cost $83,840,207)			$	104,211,963

Other Assets & Liabilities — (1.5%)				(1,534,151	)

TOTAL NET ASSETS — 100.0%			$	102,677,812

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.


Country Weightings as of 12/31/2014††
United States	90	%
Canada	2
Ireland	2
Netherlands	2
Belgium	1
Hong Kong	1
Israel	1
Other	1
Total	100	%

†† % of total investments as of December 31, 2014

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
TOTAL COMMON STOCKS	$	102,471,613	$	102,471,613	$	—	$	—
SHORT-TERM INVESTMENTS		1,740,350		1,740,350		—		—

TOTAL INVESTMENTS	$	104,211,963	$	104,211,963	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 84.5%
Aerospace & Defense — 3.5%
Cubic Corp.		8,858	$	466,285
Curtiss-Wright Corp.		17,091		1,206,454
Esterline Technologies Corp.*		27,152		2,978,032
Kaman Corp.		35,291		1,414,816
Moog, Inc., Class A*		23,367		1,729,859
Teledyne Technologies, Inc.*		7,914		813,084

				8,608,530

Apparel — 0.8%
Carter’s, Inc.		15,919		1,389,888
Steven Madden Ltd.*		19,577		623,136

				2,013,024

Auto Parts & Equipment — 0.8%
American Axle & Manufacturing Holdings, Inc.*		49,125		1,109,734
Tenneco, Inc.*		17,263		977,258

				2,086,992

Banks — 14.2%
BancorpSouth, Inc.		87,950		1,979,754
Bank of the Ozarks, Inc.		66,312		2,514,551
Banner Corp.		26,761		1,151,258
Boston Private Financial Holdings, Inc.		83,823		1,129,096
Bridge Capital Holdings*		15,403		344,719
CoBiz Financial, Inc.		32,143		422,038
Community Bank System, Inc.		29,450		1,122,928
ConnectOne Bancorp, Inc.		14,053		267,007
First Financial Bankshares, Inc.		41,512		1,240,378
First Midwest Bancorp, Inc.		42,599		728,869
Glacier Bancorp, Inc.		53,523		1,486,334
Great Western Bancorp, Inc.*		37,478		854,124
Heritage Financial Corp.		17,784		312,109
Home BancShares, Inc.		35,092		1,128,559
Independent Bank Corp.		21,144		905,175
Independent Bank Group, Inc.		10,043		392,280
Lakeland Financial Corp.		12,110		526,422
MB Financial, Inc.		56,354		1,851,792
PacWest Bancorp		37,457		1,702,795
Pinnacle Financial Partners, Inc.		33,683		1,331,826
PrivateBancorp, Inc.		74,119		2,475,575
Prosperity Bancshares, Inc.		24,084		1,333,290
Sandy Spring Bancorp, Inc.		15,826		412,742
Sierra Bancorp		7,257		127,433
Signature Bank*		2,421		304,949
South State Corp.		18,783		1,259,964
Southcoast Financial Corp.*		7,082		49,928
Southwest Bancorp, Inc.		26,135		453,704
Summit State Bank		7,731		106,069
Texas Capital Bancshares, Inc.*		22,495		1,222,153
The First of Long Island Corp.		11,961		339,334
Trico Bancshares		15,986		394,854
UMB Financial Corp.		30,033		1,708,577
ViewPoint Financial Group, Inc.		50,712		1,209,481
Webster Financial Corp.		64,103		2,085,271

				34,875,338


	Number of Shares		Value†

Building Materials — 0.8%
Comfort Systems USA, Inc.		36,404	$	623,236
Continental Building Products, Inc.*		34,987		620,320
NCI Building Systems, Inc.*		35,233		652,515

				1,896,071

Chemicals — 2.8%
Axiall Corp.		8,268		351,142
H.B. Fuller Co.		16,414		730,915
Methanex Corp.		24,234		1,110,644
Minerals Technologies, Inc.		7,364		511,430
PolyOne Corp.		48,947		1,855,581
Quaker Chemical Corp.		11,015		1,013,821
Tronox Ltd., Class A		5,198		124,128
WR Grace & Co.*		13,226		1,261,628

				6,959,289

Commercial Services — 1.9%
Convergys Corp.		64,916		1,322,339
Live Nation Entertainment, Inc.*		71,564		1,868,536
Monro Muffler Brake, Inc.		10,725		619,905
On Assignment, Inc.*		14,197		471,198
TrueBlue, Inc.*		17,028		378,873

				4,660,851

Computers — 0.3%
Electronics for Imaging, Inc.*		19,638		841,096

Distribution & Wholesale — 0.9%
Core-Mark Holding Co., Inc.		13,842		857,235
WESCO International, Inc.*		19,057		1,452,334

				2,309,569

Diversified Financial Services — 2.3%
Cohen & Steers, Inc.		9,412		396,057
MarketAxess Holdings, Inc.		12,908		925,632
Moelis & Co., Class A		12,133		423,806
Om Asset Management PLC*		62,733		1,018,784
Stifel Financial Corp.*		35,495		1,810,955
Virtus Investment Partners, Inc.		6,318		1,077,156

				5,652,390

Electric — 4.9%
ALLETE, Inc.		32,128		1,771,538
Black Hills Corp.		20,908		1,108,960
Dynegy, Inc.*		49,649		1,506,847
IDACORP, Inc.		33,359		2,208,032
NorthWestern Corp.		33,430		1,891,469
Otter Tail Corp.		4,189		129,692
PNM Resources, Inc.		42,528		1,260,105
Portland General Electric Co.		57,843		2,188,201

				12,064,844

Electrical Components & Equipment — 0.8%
Belden, Inc.		14,805		1,166,782
Littelfuse, Inc.		9,015		871,480

				2,038,262


	Number of Shares		Value†
COMMON STOCKS — (continued)
Electronics — 1.7%
CTS Corp.		43,285	$	771,772
Newport Corp.*		52,675		1,006,619
Watts Water Technologies, Inc., Class A		19,866		1,260,299
Woodward, Inc.		23,447		1,154,296

				4,192,986

Engineering & Construction — 0.9%
EMCOR Group, Inc.		33,241		1,478,892
MYR Group, Inc.*		28,621		784,215

				2,263,107

Entertainment — 1.4%
Carmike Cinemas, Inc.*		29,269		768,897
Marriott Vacations Worldwide Corp.		13,888		1,035,211
Vail Resorts, Inc.		18,614		1,696,294

				3,500,402

Environmental Control — 0.7%
Ceco Environmental Corp.		37,196		578,026
Progressive Waste Solutions Ltd.		36,727		1,104,748

				1,682,774

Food — 0.9%
B&G Foods, Inc.		16,228		485,217
J&J Snack Foods Corp.		3,224		350,675
The Hain Celestial Group, Inc.*		25,334		1,476,719

				2,312,611

Forest Products & Paper — 0.5%
KapStone Paper and Packaging Corp.		37,680		1,104,401

Gas — 1.4%
New Jersey Resources Corp.		14,330		876,996
Southwest Gas Corp.		41,733		2,579,517

				3,456,513

Healthcare Products — 1.2%
Endologix, Inc.*		53,146		812,602
Integra LifeSciences Holdings Corp.*		21,060		1,142,084
Tornier N.V.*		36,629		934,040

				2,888,726

Healthcare Services — 2.1%
Adeptus Health, Inc., Class A*		13,194		493,456
Air Methods Corp.*		29,161		1,283,959
Catalent, Inc.*		39,045		1,088,575
HealthSouth Corp.		47,249		1,817,196
Surgical Care Affiliates, Inc.*		10,716		360,593

				5,043,779

Home Builders — 0.8%
Meritage Homes Corp.*		23,735		854,223
Standard Pacific Corp.*		109,807		800,493
William Lyon Homes, Class A*		20,386		413,224

				2,067,940


	Number of Shares		Value†

Household Products & Wares — 1.4%
Prestige Brands Holdings, Inc.*		24,902	$	864,597
Spectrum Brands Holdings, Inc.		26,682		2,552,934

				3,417,531

Insurance — 5.9%
American Equity Investment Life Holding Co.		85,238		2,488,097
AMERISAFE, Inc.		11,809		500,229
CNO Financial Group, Inc.		138,630		2,387,208
Endurance Specialty Holdings Ltd.		18,026		1,078,676
Enstar Group Ltd.*		5,349		817,809
Fidelity & Guaranty Life		19,958		484,381
Maiden Holdings Ltd.		103,848		1,328,216
Meadowbrook Insurance Group, Inc.		36,058		305,051
National General Holdings Corp.		26,066		485,088
ProAssurance Corp.		21,114		953,297
Radian Group, Inc.		129,738		2,169,219
RLI Corp.		17,058		842,665
Symetra Financial Corp.		32,357		745,829

				14,585,765

Investment Companies — 0.4%
Apollo Investment Corp.		17,558		130,280
Golub Capital BDC, Inc.		19,141		343,198
New Mountain Finance Corp.		29,675		443,345

				916,823

Iron & Steel — 0.5%
AK Steel Holding Corp.*		145,452		863,985
Commercial Metals Co.		7,541		122,843
Timkensteel Corp.		7,532		278,910

				1,265,738

Leisure Time — 0.8%
Brunswick Corp.		9,852		505,014
Diamond Resorts International, Inc.*		48,937		1,365,342

				1,870,356

Machinery — Diversified — 0.9%
Alamo Group, Inc.		5,644		273,395
Applied Industrial Technologies, Inc.		22,830		1,040,820
Graco, Inc.		11,229		900,341

				2,214,556

Media — 0.4%
Nexstar Broadcasting Group, Class A		13,750		712,112
Townsquare Media, Inc.*		14,878		196,390

				908,502

Metal Fabricate/Hardware — 0.7%
CIRCOR International, Inc.		12,834		773,633
RBC Bearings, Inc.		15,052		971,306

				1,744,939

Mining — 0.8%
Globe Specialty Metals, Inc.		24,515		422,393


	Number of Shares		Value†
COMMON STOCKS — (continued)
Mining — (continued)
Kaiser Aluminum Corp.		21,806	$	1,557,603

				1,979,996

Miscellaneous Manufacturing — 3.0%
Actuant Corp., Class A		62,435		1,700,729
Barnes Group, Inc.		24,795		917,663
Carlisle Cos., Inc.		24,291		2,192,020
CLARCOR, Inc.		18,887		1,258,630
Movado Group, Inc.		23,252		659,659
Standex International Corp.		7,915		611,513

				7,340,214

Oil & Gas — 2.8%
Laredo Petroleum, Inc.*		76,010		786,703
Parsley Energy, Inc., Class A*		94,505		1,508,300
Rex Energy Corp.*		155,407		792,576
Rice Energy, Inc.*		84,676		1,775,656
RSP Permian, Inc.*		30,033		755,029
SM Energy Co.		35,814		1,381,704

				6,999,968

Oil & Gas Services — 1.1%
Forum Energy Technologies, Inc.*		47,302		980,571
Newpark Resources, Inc.*		40,082		382,382
TETRA Technologies, Inc.*		82,977		554,286
Thermon Group Holdings, Inc.*		33,172		802,431

				2,719,670

Packaging and Containers — 1.2%
Berry Plastics Group, Inc.*		58,486		1,845,233
Graphic Packaging Holding Co.*		76,172		1,037,463

				2,882,696

Pharmaceuticals — 0.6%
Infinity Pharmaceuticals, Inc.*		60,007		1,013,518
TESARO, Inc.*		13,922		517,759

				1,531,277

Real Estate — 0.8%
Kennedy-Wilson Holdings, Inc.		76,096		1,925,229

Retail — 5.1%
Asbury Automotive Group, Inc.*		10,011		760,035
Bloomin’ Brands, Inc.*		40,536		1,003,671
Boot Barn Holdings, Inc.*		10,262		186,768
Burlington Stores, Inc.*		26,324		1,244,072
DineEquity, Inc.		10,242		1,061,481
Express, Inc.*		16,004		235,099
First Cash Financial Services, Inc.*		13,785		767,411
Freshpet, Inc.*		6,841		116,708
Genesco, Inc.*		1,502		115,083
GNC Holdings, Inc., Class A		24,378		1,144,791
HSN, Inc.		13,497		1,025,772
Jack in the Box, Inc.		20,834		1,665,887
Krispy Kreme Doughnuts, Inc.*		19,833		391,503
Lithia Motors, Inc., Class A		17,500		1,517,075


	Number of Shares		Value†

Retail — (continued)
Office Depot, Inc.*		148,972	$	1,277,435

				12,512,791

Savings & Loans — 1.3%
Brookline Bancorp, Inc.		34,685		347,890
Dime Community Bancshares, Inc.		22,264		362,458
Flushing Financial Corp.		34,031		689,808
Oritani Financial Corp.		30,524		470,070
Provident Financial Services, Inc.		44,160		797,530
WSFS Financial Corp.		6,880		529,003

				3,196,759

Semiconductors — 3.8%
Cabot Microelectronics Corp.*		26,419		1,250,147
Entegris, Inc.*		119,802		1,582,584
Fairchild Semiconductor International, Inc.*		65,888		1,112,190
Intersil Corp., Class A		119,913		1,735,141
MKS Instruments, Inc.		42,152		1,542,763
Semtech Corp.*		39,440		1,087,361
Silicon Laboratories, Inc.*		21,812		1,038,687

				9,348,873

Software — 4.2%
Allscripts Healthcare Solutions, Inc.*		170,896		2,182,342
Bottomline Technologies, Inc.*		29,898		755,822
Digi International, Inc.*		32,394		300,940
Everyday Health, Inc.*		63,217		932,451
Monotype Imaging Holdings, Inc.		29,816		859,595
Pegasystems, Inc.		23,573		489,611
PTC, Inc.*		27,240		998,346
Quality Systems, Inc.		48,026		748,725
RADWARE Ltd.*		47,147		1,038,177
SS&C Technologies Holdings, Inc.		11,182		654,035
Verint Systems, Inc.*		21,631		1,260,655

				10,220,699

Storage & Warehousing — 0.5%
Mobile Mini, Inc.		31,033		1,257,147

Telecommunications — 1.8%
ADTRAN, Inc.		32,216		702,309
Anixter International, Inc.*		15,540		1,374,668
Extreme Networks, Inc.*		116,643		411,750
Gigamon, Inc.*		6,928		122,834
JDS Uniphase Corp.*		63,142		866,308
Premiere Global Services, Inc.*		95,113		1,010,100

				4,487,969

Textiles — 0.4%
G&K Services, Inc., Class A		12,948		917,366

Transportation — 0.5%
Forward Air Corp.		25,095		1,264,035

TOTAL COMMON STOCKS (Cost $164,790,848)				208,028,394


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — 13.3%
Apartments — 0.3%
American Campus Communities, Inc.		18,690	$	773,018

Building & Real Estate — 2.2%
Apollo Commercial Real Estate Finance, Inc.		83,524		1,366,452
Blackstone Mortgage Trust, Inc., Class A		56,484		1,645,944
MFA Financial, Inc.		174,432		1,393,712
Two Harbors Investment Corp.		110,114		1,103,342

				5,509,450

Diversified — 1.4%
DuPont Fabros Technology, Inc.		47,811		1,589,238
PS Business Parks, Inc.		23,203		1,845,566

				3,434,804

Healthcare — 1.0%
National Health Investors, Inc.		34,179		2,391,163

Hotels & Resorts — 3.5%
Chesapeake Lodging Trust		84,313		3,137,287
Pebblebrook Hotel Trust		61,864		2,822,854
Strategic Hotels & Resorts, Inc.*		198,286		2,623,324

				8,583,465

Industrial — 0.6%
Terreno Realty Corp.		73,811		1,522,721

Office Property — 1.6%
Highwoods Properties, Inc.		46,984		2,080,452
Hudson Pacific Properties, Inc.		63,387		1,905,413

				3,985,865

Regional Malls — 0.7%
CBL & Associates Properties, Inc.		86,391		1,677,713

Storage & Warehousing — 1.1%
CubeSmart		117,291		2,588,612

Strip Centers — 0.9%
Acadia Realty Trust		70,216		2,249,019

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $24,704,860)				32,715,830

SHORT-TERM INVESTMENTS — 2.4%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $5,926,881)		5,926,881		5,926,881

TOTAL INVESTMENTS — 100.2% (Cost $195,493,692)			$	246,671,105

Other Assets & Liabilities — (0.2%)				(544,143	)

TOTAL NET ASSETS — 100.0%			$	246,126,962

†	See Security Valuation Note.

*	Non-income producing security.

PLC — Public Limited Company.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	208,028,394	$	208,028,394	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		32,715,830		32,715,830		—		—
SHORT-TERM INVESTMENTS		5,926,881		5,926,881		—		—

TOTAL INVESTMENTS	$	246,671,105	$	246,671,105	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 92.2%
Advertising — 0.1%
Evine Live, Inc.*		1,700	$	11,203
Harte-Hanks, Inc.		1,678		12,988
Marchex, Inc., Class B		1,545		7,091
Marin Software, Inc.*		700		5,922
MDC Partners, Inc., Class A		1,500		34,080
Millennial Media, Inc.*		2,900		4,640
Sizmek, Inc.*		757		4,739
Tremor Video, Inc.*		2,100		6,027

				86,690

Aerospace & Defense — 1.6%
AAR Corp.		1,569		43,587
AeroVironment, Inc.*		718		19,566
Astronics Corp.*		637		35,233
Astronics Corp., Class B*		127		7,061
Cubic Corp.		869		45,744
Curtiss-Wright Corp.		1,826		128,897
Ducommun, Inc.*		400		10,112
Esterline Technologies Corp.*		1,240		136,003
GenCorp, Inc.*		2,440		44,652
HEICO Corp.		2,515		151,906
Kaman Corp.		1,048		42,014
Kratos Defense & Security Solutions, Inc.*		2,422		12,158
LMI Aerospace, Inc.*		653		9,207
M/A-COM Technology Solutions Holdings, Inc.*		500		15,640
Moog, Inc., Class A*		1,591		117,782
National Presto Industries, Inc.		146		8,474
Orbital Sciences Corp.*		2,396		64,429
Teledyne Technologies, Inc.*		1,404		144,247

				1,036,712

Agriculture — 0.3%
Alico, Inc.		51		2,552
Alliance One International, Inc.*		2,256		3,564
Limoneira Co.		600		14,988
Tejon Ranch Co.*		688		20,268
The Andersons, Inc.		1,132		60,155
Universal Corp.		855		37,603
Vector Group Ltd.		2,907		61,948

				201,078

Airlines — 0.5%
Allegiant Travel Co.		501		75,315
Hawaiian Holdings, Inc.*		1,626		42,357
JetBlue Airways Corp.*		9,528		151,114
Republic Airways Holdings, Inc.*		1,901		27,736
SkyWest, Inc.		1,881		24,980
Virgin America, Inc.*		600		25,950

				347,452

Apparel — 0.9%
Columbia Sportswear Co.		1,022		45,520
Crocs, Inc.*		2,900		36,221
G-III Apparel Group Ltd.*		704		71,111
Iconix Brand Group, Inc.*		1,842		62,241


	Number of Shares		Value†

Apparel — (continued)
Oxford Industries, Inc.		508	$	28,047
Perry Ellis International, Inc.*		414		10,735
Quiksilver, Inc.*		5,560		12,287
Sequential Brands Group, Inc.*		700		9,149
Skechers U.S.A., Inc., Class A*		1,416		78,234
Steven Madden Ltd.*		2,249		71,586
Unifi, Inc.*		460		13,676
Vince Holding Corp.*		400		10,456
Weyco Group, Inc.		100		2,967
Wolverine World Wide, Inc.		3,982		117,349

				569,579

Auto Manufacturers — 0.0%
Wabash National Corp.*		2,600		32,136

Auto Parts & Equipment — 1.2%
Accuride Corp.*		1,000		4,340
American Axle & Manufacturing Holdings, Inc.*		2,816		63,614
Commercial Vehicle Group, Inc.*		600		3,996
Cooper Tire & Rubber Co.		2,249		77,928
Cooper-Standard Holding, Inc.*		600		34,728
Dana Holding Corp.		6,596		143,397
Dorman Products, Inc.*		992		47,884
Douglas Dynamics, Inc.		900		19,287
Federal-Mogul Holdings Corp.*		916		14,738
Fuel Systems Solutions, Inc.*		634		6,936
Gentherm, Inc.*		1,268		46,434
Meritor, Inc.*		3,645		55,222
Miller Industries, Inc.		443		9,210
Modine Manufacturing Co.*		2,077		28,247
Motorcar Parts of America, Inc.*		700		21,763
Remy International, Inc.		600		12,552
Spartan Motors, Inc.		917		4,823
Standard Motor Products, Inc.		700		26,684
Strattec Security Corp.		100		8,258
Superior Industries International, Inc.		1,119		22,145
Tenneco, Inc.*		2,400		135,864
Titan International, Inc.		1,913		20,335
Tower International, Inc.*		800		20,440

				828,825

Banks — 7.6%
1st Source Corp.		626		21,478
American National Bankshares, Inc.		400		9,924
Ameris Bancorp		947		24,281
Ames National Corp.		199		5,162
Arrow Financial Corp.		371		10,199
BancFirst Corp.		260		16,481
Banco Latinoamericano de Exportaciones S.A., Class E*		1,110		33,411
BancorpSouth, Inc.		3,649		82,139
Bank of Marin Bancorp		290		15,251
Bank of the Ozarks, Inc.		3,052		115,732
Banner Corp.		800		34,416
BBCN Bancorp, Inc.		3,185		45,800
Blue Hills Bancorp, Inc.*		1,300		17,654


	Number of Shares		Value†
COMMON STOCKS — (continued)
Banks — (continued)
BNC Bancorp		800	$	13,768
Boston Private Financial Holdings, Inc.		2,858		38,497
Bridge Bancorp, Inc.		307		8,212
Bridge Capital Holdings*		300		6,714
Bryn Mawr Bank Corp.		532		16,652
Camden National Corp.		326		12,988
Capital Bank Financial Corp., Class A*		1,000		26,800
Capital City Bank Group, Inc.		269		4,180
Cardinal Financial Corp.		1,218		24,153
Cascade Bancorp*		1,262		6,550
Cass Information Systems, Inc.		454		24,175
Cathay General Bancorp		3,050		78,049
Centerstate Banks, Inc.		1,432		17,055
Central Pacific Financial Corp.		800		17,200
Century Bancorp, Inc., Class A		69		2,764
Chemical Financial Corp.		1,166		35,726
Citizens & Northern Corp.		356		7,359
City Holding Co.		648		30,151
CNB Financial Corp.		474		8,769
CoBiz Financial, Inc.		1,700		22,321
Columbia Banking System, Inc.		1,914		52,846
Community Bank System, Inc.		1,511		57,614
Community Trust Bancorp, Inc.		683		25,005
CommunityOne Bancorp*		700		8,015
ConnectOne Bancorp, Inc.		660		12,540
CU Bancorp*		400		8,676
Customers Bancorp, Inc.*		880		17,125
CVB Financial Corp.		3,992		63,952
Eagle Bancorp, Inc.*		973		34,561
Enterprise Bancorp, Inc.		300		7,575
Enterprise Financial Services Corp.		782		15,429
F.N.B. Corp.		6,408		85,355
Fidelity Southern Corp.		607		9,779
Financial Institutions, Inc.		440		11,066
First Bancorp		824		15,219
First Bancorp Puerto Rico*		4,700		27,589
First Bancorp, Inc.		234		4,233
First Busey Corp.		2,802		18,241
First Business Financial Services, Inc.		200		9,582
First Citizens Bancshares, Inc., Class A		300		75,837
First Commonwealth Financial Corp.		4,021		37,074
First Community Bancshares, Inc.		626		10,310
First Connecticut Bancorp, Inc.		659		10,755
First Financial Bancorp		2,205		40,991
First Financial Bankshares, Inc.		2,452		73,266
First Financial Corp.		580		20,660
First Interstate BancSystem, Inc.		600		16,692
First Merchants Corp.		1,238		28,164
First Midwest Bancorp, Inc.		2,814		48,148
First NBC Bank Holding Co.*		600		21,120
FirstMerit Corp.		6,394		120,783
Franklin Financial Corp.*		400		8,472
German American Bancorp, Inc.		392		11,964
Glacier Bancorp, Inc.		2,721		75,562
Great Southern Bancorp, Inc.		471		18,685


	Number of Shares		Value†

Banks — (continued)
Great Western Bancorp, Inc.*		700	$	15,953
Guaranty Bancorp		900		12,996
Hancock Holding Co.		3,072		94,310
Hanmi Financial Corp.		1,213		26,456
Heartland Financial USA, Inc.		717		19,431
Heritage Commerce Corp.		600		5,298
Heritage Financial Corp.		1,130		19,831
Heritage Oaks Bancorp		1,500		12,585
Home BancShares, Inc.		2,164		69,594
Horizon Bancorp		400		10,456
Hudson Valley Holding Corp.		462		12,548
Iberiabank Corp.		1,246		80,803
Independent Bank Corp.		971		41,568
Independent Bank Corp.		1,000		13,050
Independent Bank Group, Inc.		400		15,624
International Bancshares Corp.		2,225		59,051
Lakeland Bancorp, Inc.		1,111		12,999
Lakeland Financial Corp.		594		25,821
Macatawa Bank Corp.		1,900		10,336
MainSource Financial Group, Inc.		1,021		21,359
MB Financial, Inc.		2,584		84,910
Mercantile Bank Corp.		500		10,510
Merchants Bancshares, Inc.		86		2,634
Metro Bancorp, Inc.*		563		14,593
MidSouth Bancorp, Inc.		186		3,225
MidWestOne Financial Group, Inc.		400		11,524
National Bankshares, Inc.		319		9,694
National Penn Bancshares, Inc.		4,487		47,226
NBT Bancorp, Inc.		1,869		49,099
NewBridge Bancorp*		1,100		9,581
Northrim BanCorp, Inc.		400		10,496
OFG Bancorp		1,810		30,136
Old Line Bancshares, Inc.		600		9,492
Old National Bancorp		4,686		69,728
Opus Bank*		300		8,511
Pacific Continental Corp.		862		12,223
Park National Corp.		524		46,364
Park Sterling Corp.		1,600		11,760
Peapack Gladstone Financial Corp.		636		11,804
Penns Woods Bancorp, Inc.		268		13,202
Peoples Bancorp, Inc.		272		7,053
Peoples Financial Services Corp.		300		14,904
Pinnacle Financial Partners, Inc.		1,463		57,847
Preferred Bank Los Angeles CA		500		13,945
PrivateBancorp, Inc.		2,898		96,793
Prosperity Bancshares, Inc.		2,726		150,911
Renasant Corp.		1,358		39,287
Republic Bancorp, Inc., Class A		387		9,567
Republic First Bancorp, Inc.*		1,900		7,125
S&T Bancorp, Inc.		1,259		37,531
Sandy Spring Bancorp, Inc.		1,085		28,297
Seacoast Banking Corp of Florida*		440		6,050
Sierra Bancorp		712		12,503
Simmons First National Corp., Class A		600		24,390
South State Corp.		958		64,263


	Number of Shares		Value†
COMMON STOCKS — (continued)
Banks — (continued)
Southside Bancshares, Inc.		858	$	24,805
Southwest Bancorp, Inc.		1,036		17,985
Square 1 Financial, Inc.*		100		2,470
State Bank Financial Corp.		1,200		23,976
Stock Yards Bancorp, Inc.		445		14,836
Stonegate Bank		500		14,810
Suffolk Bancorp		443		10,061
Sun Bancorp, Inc.*		220		4,268
Susquehanna Bancshares, Inc.		7,533		101,168
Talmer Bancorp, Inc.		900		12,636
Texas Capital Bancshares, Inc.*		1,773		96,327
The Bancorp, Inc.*		1,412		15,377
The Bank of Kentucky Financial Corp.		200		9,654
The First of Long Island Corp.		593		16,823
Tompkins Financial Corp.		558		30,857
TowneBank		972		14,697
Trico Bancshares		704		17,389
Tristate Capital Holdings, Inc.*		1,000		10,240
TrustCo Bank Corp.		3,252		23,610
Trustmark Corp.		2,630		64,540
UMB Financial Corp.		1,481		84,254
Umpqua Holdings Corp.		6,401		108,881
Union Bankshares Corp.		1,828		44,018
United Bankshares, Inc.		2,792		104,560
United Community Banks, Inc.		1,878		35,569
Univest Corp. of Pennsylvania		600		12,144
Valley National Bancorp		8,635		83,846
ViewPoint Financial Group, Inc.		1,666		39,734
Walker & Dunlop, Inc.*		1,000		17,540
Washington Trust Bancorp, Inc.		670		26,921
Webster Financial Corp.		3,528		114,766
WesBanco, Inc.		1,115		38,802
West Bancorporation, Inc.		378		6,434
Westamerica Bancorporation		1,073		52,598
Western Alliance Bancorp*		2,775		77,145
Wilshire Bancorp, Inc.		2,676		27,108
Wintrust Financial Corp.		1,742		81,456
Yadkin Financial Corp.*		600		11,790

				5,048,238

Beverages — 0.2%
Coca-Cola Bottling Co. Consolidated		174		15,317
Craft Brew Alliance, Inc.*		700		9,338
Farmers Brothers Co.*		204		6,008
National Beverage Corp.*		642		14,522
The Boston Beer Co., Inc., Class A*		310		89,757

				134,942

Biotechnology — 3.0%
Acceleron Pharma, Inc.*		700		27,272
Acorda Therapeutics, Inc.*		1,531		62,572
Agenus, Inc.*		2,000		7,940
Alder Biopharmaceuticals, Inc.*		300		8,727
AMAG Pharmaceuticals, Inc.*		856		36,483
ANI Pharmaceuticals, Inc.*		300		16,917
Arena Pharmaceuticals, Inc.*		8,506		29,516


	Number of Shares		Value†

Biotechnology — (continued)
ARIAD Pharmaceuticals, Inc.*		6,600	$	45,342
Avalanche Biotechnologies, Inc.*		200		10,800
BioCryst Pharmaceuticals, Inc.*		2,900		35,264
BioTime, Inc.*		1,100		4,103
Bluebird Bio, Inc.*		800		73,376
Cambrex Corp.*		1,167		25,231
Celldex Therapeutics, Inc.*		3,444		62,853
CTI BioPharma Corp.*		5,000		11,800
Cubist Pharmaceuticals, Inc.*		1,200		48
Cytokinetics, Inc.*		1,000		8,010
Cytrx Corp.*		2,600		7,124
Dynavax Technologies Corp.*		1,020		17,197
Emergent BioSolutions, Inc.*		1,058		28,809
Enzo Biochem, Inc.*		1,300		5,772
Epizyme, Inc.*		600		11,322
Exact Sciences Corp.*		3,100		85,064
Exelixis, Inc.*		6,969		10,035
Five Prime Therapeutics, Inc.*		500		13,500
Foundation Medicine, Inc.*		700		15,554
Galena Biopharma, Inc.*		3,600		5,436
Geron Corp.*		5,050		16,412
Halozyme Therapeutics, Inc.*		3,589		34,634
Idera Pharmaceuticals, Inc.*		2,300		10,143
ImmunoGen, Inc.*		3,263		19,904
Immunomedics, Inc.*		2,936		14,093
Inovio Pharmaceuticals, Inc.*		2,500		22,950
Insmed, Inc.*		1,600		24,752
Intrexon Corp.*		1,400		38,542
Karyopharm Therapeutics, Inc.*		400		14,972
Kite Pharma, Inc.*		400		23,068
KYTHERA Biopharmaceuticals, Inc.*		600		20,808
Lexicon Pharmaceuticals, Inc.*		8,826		8,031
Ligand Pharmaceuticals, Inc.*		844		44,909
MacroGenics, Inc.*		900		31,563
Merrimack Pharmaceuticals, Inc.*		3,500		39,550
Momenta Pharmaceuticals, Inc.*		1,882		22,659
Neuralstem, Inc.*		3,100		8,432
Newlink Genetics Corp.*		600		23,850
Novavax, Inc.*		9,929		58,879
NPS Pharmaceuticals, Inc.*		3,957		141,542
Omeros Corp.*		1,000		24,780
OncoMed Pharmaceuticals, Inc.*		600		13,056
Oncothyreon, Inc.*		3,300		6,270
Organovo Holdings, Inc.*		2,700		19,575
OvaScience, Inc.*		600		26,532
Oxford ImmunoteC Global PLC*		200		2,724
Pacific Biosciences of California, Inc.*		2,400		18,816
PDL BioPharma, Inc.		6,217		47,933
Peregrine Pharmaceuticals, Inc.*		5,800		8,062
Prothena Corp. PLC*		900		18,684
PTC Therapeutics, Inc.*		900		46,593
Puma Biotechnology, Inc.*		900		170,343
Repligen Corp.*		1,300		25,740
Retrophin, Inc.*		700		8,568
Rigel Pharmaceuticals, Inc.*		2,690		6,106
RTI Surgical, Inc.*		2,035		10,582


	Number of Shares		Value†
COMMON STOCKS — (continued)
Biotechnology— (continued)
Sage Therapeutics, Inc.*		300	$	10,980
Sangamo Biosciences, Inc.*		2,403		36,550
Sequenom, Inc.*		5,097		18,859
Spectrum Pharmaceuticals, Inc.*		2,414		16,729
Stemline Therapeutics, Inc.*		400		6,824
Sunesis Pharmaceuticals, Inc.*		1,400		3,570
The Medicines Co.*		2,392		66,187
Theravance Biopharma, Inc.*		1,000		14,920
Theravance, Inc.		3,200		45,280
Ultragenyx Pharmaceutical, Inc.*		300		13,164
Verastem, Inc.*		600		5,484
Versartis, Inc.*		200		4,490
XOMA Corp.*		3,600		12,924
ZIOPHARM Oncology, Inc.*		3,700		18,759

				2,014,844

Building Materials — 1.2%
AAON, Inc.		1,585		35,488
Apogee Enterprises, Inc.		1,043		44,192
Boise Cascade Co.*		1,600		59,440
Builders FirstSource, Inc.*		2,173		14,929
Comfort Systems USA, Inc.		1,227		21,006
Continental Building Products, Inc.*		700		12,411
Drew Industries, Inc.*		991		50,610
Gibraltar Industries, Inc.*		1,101		17,902
Griffon Corp.		1,256		16,705
Headwaters, Inc.*		2,880		43,171
Louisiana-Pacific Corp.*		5,394		89,325
LSI Industries, Inc.		1,314		8,922
Masonite International Corp.*		1,200		73,752
NCI Building Systems, Inc.*		1,264		23,409
Nortek, Inc.*		400		32,532
Patrick Industries, Inc.*		300		13,194
PGT, Inc.*		1,700		16,371
Ply Gem Holdings, Inc.*		600		8,388
Quanex Building Products Corp.		1,425		26,762
Simpson Manufacturing Co., Inc.		1,685		58,301
Stock Building Supply Holdings, Inc.*		300		4,596
Trex Co., Inc.*		1,262		53,736
Universal Forest Products, Inc.		783		41,656
US Concrete, Inc.*		600		17,070

				783,868

Chemicals — 2.0%
A. Schulman, Inc.		1,188		48,150
Aceto Corp.		1,042		22,611
American Vanguard Corp.		1,078		12,526
Axiall Corp.		2,800		118,916
Balchem Corp.		1,205		80,301
Chemtura Corp.*		2,914		72,063
Ferro Corp.*		2,638		34,189
H.B. Fuller Co.		1,980		88,169
Hawkins, Inc.		449		19,455
Innophos Holdings, Inc.		796		46,526
Innospec, Inc.		900		38,430
Intrepid Potash, Inc.*		2,100		29,148


	Number of Shares		Value†

Chemicals — (continued)
KMG Chemicals, Inc.		200	$	4,000
Kraton Performance Polymers, Inc.*		1,241		25,800
Kronos Worldwide, Inc.		900		11,718
Landec Corp.*		1,218		16,821
Minerals Technologies, Inc.		1,328		92,230
Oil-Dri Corp. of America		97		3,165
Olin Corp.		3,092		70,405
OM Group, Inc.		1,254		37,369
OMNOVA Solutions, Inc.*		2,368		19,276
PolyOne Corp.		3,555		134,770
Quaker Chemical Corp.		511		47,032
Rentech, Inc.*		7,187		9,056
Sensient Technologies Corp.		1,974		119,111
Stepan Co.		708		28,377
Tronox Ltd., Class A		2,400		57,312
Zep, Inc.		1,092		16,544

				1,303,470

Coal — 0.2%
Alpha Natural Resources, Inc.*		8,300		13,861
Arch Coal, Inc.		7,900		14,062
Cloud Peak Energy, Inc.*		2,600		23,868
SunCoke Energy, Inc.		2,341		45,275
Walter Energy, Inc.		2,400		3,312
Westmoreland Coal Co.*		600		19,926

				120,304

Commercial Services — 5.5%
ABM Industries, Inc.		2,139		61,282
Acacia Research Corp.		1,880		31,847
Albany Molecular Research, Inc.*		900		14,652
American Public Education, Inc.*		755		27,837
AMN Healthcare Services, Inc.*		1,909		37,416
ARC Document Solutions, Inc.*		1,436		14,676
Arrowhead Research Corp.*		2,100		15,498
Ascent Capital Group Inc., Class A*		531		28,106
Barrett Business Services, Inc.		342		9,371
Bridgepoint Education, Inc.*		480		5,434
Bright Horizons Family Solutions, Inc.*		1,200		56,412
Capella Education Co.		407		31,323
Cardtronics, Inc.*		1,763		68,017
Career Education Corp.*		2,300		16,008
Carriage Services, Inc.		600		12,570
CBIZ, Inc.*		1,340		11,470
CDI Corp.		741		13,123
Cenveo, Inc.*		1,299		2,728
Chemed Corp.		629		66,466
Civeo Corp.		3,700		15,207
Collectors Universe, Inc.		400		8,344
Convergys Corp.		3,983		81,134
CorVel Corp.*		462		17,196
CRA International, Inc.*		274		8,308
Cross Country Healthcare, Inc.*		1,084		13,528
Deluxe Corp.		1,907		118,711
Electro Rent Corp.		715		10,039
Ennis, Inc.		858		11,557


	Number of Shares		Value†
COMMON STOCKS — (continued)
Commercial Services — (continued)
Euronet Worldwide, Inc.*		1,955	$	107,330
EVERTEC, Inc.		2,600		57,538
ExamWorks Group, Inc.*		1,300		54,067
ExlService Holdings, Inc.*		1,200		34,452
Forrester Research, Inc.		375		14,760
Franklin Covey Co.*		241		4,666
FTI Consulting, Inc.*		1,556		60,108
Global Cash Access Holdings, Inc.*		2,396		17,131
Grand Canyon Education, Inc.*		1,756		81,935
Great Lakes Dredge & Dock Corp.*		2,751		23,549
Green Dot Corp.*		1,400		28,686
H&E Equipment Services, Inc.		1,159		32,556
Healthcare Services Group, Inc.		2,680		82,892
Healthequity, Inc.*		600		15,270
Heartland Payment Systems, Inc.		1,469		79,253
Heidrick & Struggles International, Inc.		669		15,421
Hill International, Inc.*		1,500		5,760
HMS Holdings Corp.*		3,415		72,193
Huron Consulting Group, Inc.*		928		63,466
ICF International, Inc.*		748		30,653
Information Services Group, Inc.*		2,000		8,440
Insperity, Inc.		924		31,314
ITT Educational Services, Inc.*		900		8,649
K12, Inc.*		1,152		13,674
Kelly Services, Inc., Class A		1,014		17,258
Kforce, Inc.		1,086		26,205
Korn/Ferry International*		1,790		51,480
Landauer, Inc.		480		16,387
Liberty Tax, Inc.*		200		7,148
LifeLock, Inc.*		3,200		59,232
Matthews International Corp., Class A		1,205		58,647
MAXIMUS, Inc.		2,688		147,410
McGrath RentCorp		953		34,175
Medifast, Inc.*		331		11,105
MoneyGram International, Inc.*		878		7,981
Monro Muffler Brake, Inc.		1,237		71,499
Monster Worldwide, Inc.*		3,900		18,018
Multi-Color Corp.		567		31,423
National Research Corp.		687		9,611
Navigant Consulting, Inc.*		1,984		30,494
On Assignment, Inc.*		2,152		71,425
PAREXEL International Corp.*		2,199		122,176
Paylocity Holding Corp.*		300		7,833
Pendrell Corp.*		5,800		8,004
Performant Financial Corp.*		900		5,985
PHH Corp.*		1,989		47,656
PRGX Global, Inc.*		600		3,432
Quad/Graphics, Inc.		1,000		22,960
Rent-A-Center, Inc.		1,953		70,933
Resources Connection, Inc.		1,322		21,747
RPX Corp.*		2,100		28,938
ServiceSource International, Inc.*		2,400		11,232
Sotheby’s		2,341		101,084
SP Plus Corp.*		793		20,007
Steiner Leisure Ltd.*		543		25,092
Strayer Education, Inc.*		400		29,712


	Number of Shares		Value†

Commercial Services — (continued)
Team Health Holdings, Inc.*		2,772	$	159,473
Team, Inc.*		792		32,044
TeleTech Holdings, Inc.*		707		16,742
The Advisory Board Co.*		1,350		66,123
The Brink’s Co.		2,010		49,064
The Corporate Executive Board Co.		1,269		92,041
The Hackett Group, Inc.		516		4,536
The Providence Service Corp.*		400		14,576
Tree.com, Inc.*		200		9,668
TriNet Group, Inc.*		700		21,896
TrueBlue, Inc.*		1,576		35,066
Universal Technical Institute, Inc.		525		5,166
Viad Corp.		771		20,555
Weight Watchers International, Inc.*		1,200		29,808
WEX, Inc.*		1,457		144,127
Xoom Corp.*		1,300		22,763

				3,671,960

Computers — 2.2%
A10 Networks, Inc.*		800		3,488
Agilysys, Inc.*		376		4,734
CACI International, Inc., Class A*		950		81,871
Carbonite, Inc.*		800		11,416
Ciber, Inc.*		3,557		12,627
Computer Task Group, Inc.		579		5,518
Cray, Inc.*		1,699		58,582
Datalink Corp.*		900		11,610
Digimarc Corp.		300		8,145
Dot Hill Systems Corp.*		2,700		11,934
Electronics for Imaging, Inc.*		1,824		78,122
iGATE Corp.*		1,457		57,522
Immersion Corp.*		842		7,974
Insight Enterprises, Inc.*		1,543		39,948
j2 Global, Inc.		1,874		116,188
LivePerson, Inc.*		1,925		27,143
Manhattan Associates, Inc.*		2,968		120,857
Maxwell Technologies, Inc.*		1,366		12,458
Mentor Graphics Corp.		3,876		84,962
Mercury Systems, Inc.*		1,036		14,421
MTS Systems Corp.		560		42,017
NetScout Systems, Inc.*		1,365		49,877
Nimble Storage, Inc.*		400		11,000
Qualys, Inc.*		700		26,425
Quantum Corp.*		8,761		15,419
RealD, Inc.*		1,608		18,974
Science Applications International Corp.		1,600		79,248
Silicon Graphics International Corp.*		1,366		15,545
Silver Spring Networks, Inc.*		1,500		12,645
Spansion, Inc., Class A*		2,200		75,284
Super Micro Computer, Inc.*		1,271		44,332
Sykes Enterprises, Inc.*		1,536		36,050
Synaptics, Inc.*		1,416		97,477
Syntel, Inc.*		1,160		52,177
The KEYW Holding Corp.*		1,300		13,494
Unisys Corp.*		2,124		62,616
Varonis Systems, Inc.*		300		9,849


	Number of Shares		Value†
COMMON STOCKS — (continued)
Computers — (continued)
Violin Memory, Inc.*		3,500	$	16,765
Virtusa Corp.*		889		37,045
Vocera Communications, Inc.*		800		8,336

				1,494,095

Cosmetics & Personal Care — 0.1%
Elizabeth Arden, Inc.*		760		16,256
Inter Parfums, Inc.		624		17,129
Revlon, Inc., Class A*		570		19,471

				52,856

Distribution & Wholesale — 1.0%
Beacon Roofing Supply, Inc.*		1,981		55,072
Core-Mark Holding Co., Inc.		882		54,622
Houston Wire & Cable Co.		969		11,580
MWI Veterinary Supply, Inc.*		426		72,382
Owens & Minor, Inc.		2,476		86,932
Pool Corp.		1,776		112,669
Rentrak Corp.*		365		26,579
ScanSource, Inc.*		1,181		47,429
Speed Commerce, Inc.*		2,800		8,652
Titan Machinery, Inc.*		523		7,291
United Stationers, Inc.		1,519		64,041
Watsco, Inc.		1,038		111,066

				658,315

Diversified Financial Services — 2.7%
Aircastle Ltd.		2,576		55,049
Altisource Portfolio Solutions SA*		500		16,895
Ashford, Inc.*		26		2,444
BGC Partners, Inc., Class A		6,907		63,199
Blackhawk Network Holdings, Inc.*		500		19,400
Blackhawk Network Holdings, Inc., Class B*		1,500		56,535
Calamos Asset Management, Inc., Class A		469		6,247
Cohen & Steers, Inc.		817		34,379
Consumer Portfolio Services, Inc.*		1,100		8,096
Cowen Group, Inc., Class A*		5,390		25,872
Credit Acceptance Corp.*		220		30,010
Diamond Hill Investment Group, Inc.		50		6,902
Ellie Mae, Inc.*		1,200		48,384
Encore Capital Group, Inc.*		997		44,267
Enova International, Inc.*		1,029		22,906
Evercore Partners, Inc., Class A		1,222		63,996
FBR & Co.*		277		6,811
Federal Agricultural Mortgage Corp., Class C		300		9,102
Financial Engines, Inc.		1,900		69,445
FXCM, Inc.		2,000		33,140
Gain Capital Holdings, Inc.		800		7,216
GAMCO Investors, Inc., Class A		262		23,302
GFI Group, Inc.		2,924		15,936
Greenhill & Co., Inc.		1,100		47,960
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		600		8,538
Higher One Holdings, Inc.*		1,500		6,315
INTL. FCstone, Inc.*		793		16,312
Investment Technology Group, Inc.*		1,500		31,230


	Number of Shares		Value†

Diversified Financial Services — (continued)
J.G. Wentworth Company, Class A*		400	$	4,264
Janus Capital Group, Inc.		5,600		90,328
KCG Holdings, Inc.*		2,175		25,339
Ladder Capital Corp.Class A*		600		11,766
Ladenburg Thalmann Financial Services, Inc.*		4,000		15,800
Manning & Napier, Inc.		300		4,146
MarketAxess Holdings, Inc.		1,499		107,493
Marlin Business Services Corp.		200		4,106
Moelis & Co., Class A		300		10,479
Nelnet, Inc., Class A		799		37,018
NewStar Financial, Inc.*		1,300		16,640
Nicholas Financial, Inc.*		300		4,470
Om Asset Management PLC*		900		14,616
Oppenheimer Holdings, Inc., Class A		238		5,534
Outerwall, Inc.*		750		56,415
PennyMac Financial Service, Class A*		500		8,650
Piper Jaffray Cos.*		687		39,908
PRA Group, Inc.*		1,948		112,848
Pzena Investment Management, Inc., Class A		130		1,230
RCS Capital Corp.		500		6,120
Regional Management Corp.*		200		3,162
Springleaf Holdings, Inc.*		900		32,553
Stifel Financial Corp.*		2,506		127,856
Stonegate Mortgage Corp.*		300		3,588
SWS Group, Inc.*		768		5,307
Teton Advisors, Inc., Class B~		2		104
Virtus Investment Partners, Inc.		272		46,373
Wageworks, Inc.*		1,400		90,398
Walter Investment Management Corp.*		1,353		22,338
Westwood Holdings Group, Inc.		311		19,226
WisdomTree Investments, Inc.		3,800		59,565
World Acceptance Corp.*		362		28,761

				1,796,289

Electric — 2.1%
ALLETE, Inc.		1,651		91,036
Ameresco, Inc., Class A*		1,100		7,700
Atlantic Power Corp.		4,127		11,184
Avista Corp.		2,239		79,149
Black Hills Corp.		1,748		92,714
Cleco Corp.		2,371		129,314
Dynegy, Inc.*		4,800		145,680
El Paso Electric Co.		1,577		63,175
Empire District Electric Co.		1,719		51,123
EnerNOC, Inc.*		1,300		20,085
IDACORP, Inc.		2,001		132,446
MGE Energy, Inc.		1,342		61,209
NorthWestern Corp.		1,780		100,713
NRG Yield, Inc., Class A		1,000		47,140
Ormat Technologies, Inc.		700		19,026
Otter Tail Corp.		1,292		40,000
PNM Resources, Inc.		2,910		86,223
Portland General Electric Co.		2,956		111,826
UIL Holdings Corp.		2,191		95,396
Unitil Corp.		663		24,312

				1,409,451


	Number of Shares		Value†
COMMON STOCKS — (continued)
Electrical Components & Equipment — 1.0%
Advanced Energy Industries, Inc.*		1,393	$	33,014
Belden, Inc.		1,655		130,430
Capstone Turbine Corp.*		13,500		9,981
Encore Wire Corp.		771		28,781
EnerSys, Inc.		1,823		112,516
Generac Holdings, Inc.*		2,649		123,867
General Cable Corp.		1,900		28,310
GrafTech International Ltd.*		4,400		22,264
Graham Corp.		466		13,407
Insteel Industries, Inc.		691		16,294
Littelfuse, Inc.		878		84,876
Powell Industries, Inc.		429		21,051
PowerSecure International, Inc.*		800		9,320
Revolution Lighting Technologies, Inc.*		2,200		2,970
Universal Display Corp.*		1,549		42,985
Vicor Corp.*		422		5,106

				685,172

Electronics — 2.2%
American Science & Engineering, Inc.		278		14,428
Analogic Corp.		507		42,897
Applied Optoelectronics, Inc.*		700		7,854
Badger Meter, Inc.		459		27,242
Bel Fuse, Inc., Class B		269		7,354
Benchmark Electronics, Inc.*		2,077		52,839
Brady Corp., Class A		1,857		50,770
Checkpoint Systems, Inc.*		1,545		21,213
Coherent, Inc.*		973		59,081
Control4 Corp.*		400		6,148
CTS Corp.		1,263		22,519
Cui Global, Inc.*		700		5,215
Electro Scientific Industries, Inc.		693		5,378
ESCO Technologies, Inc.		1,034		38,155
FARO Technologies, Inc.*		620		38,862
FEI Co.		1,646		148,716
Fluidigm Corp.*		1,100		37,103
II-VI, Inc.*		2,056		28,064
InvenSense, Inc.*		2,800		45,528
Itron, Inc.*		1,500		63,435
Kemet Corp.*		1,100		4,620
Kimball Electronics, Inc.*		933		11,215
Mesa Laboratories, Inc.		100		7,731
Methode Electronics, Inc.		1,460		53,305
Multi-Fineline Electronix, Inc.*		152		1,707
Newport Corp.*		1,463		27,958
NVE Corp.*		209		14,795
OSI Systems, Inc.*		757		53,573
Park Electrochemical Corp.		833		20,767
Plexus Corp.*		1,403		57,818
Rofin-Sinar Technologies, Inc.*		1,186		34,121
Rogers Corp.*		660		53,750
Sanmina Corp.*		3,326		78,261
Sparton Corp.*		400		11,336
Stoneridge, Inc.*		1,473		18,943
TASER International, Inc.*		2,011		53,251
TTM Technologies, Inc.*		2,359		17,763


	Number of Shares		Value†

Electronics — (continued)
Viasystems Group, Inc.*		100	$	1,628
Vishay Precision Group, Inc.*		300		5,148
Watts Water Technologies, Inc., Class A		1,117		70,862
Woodward, Inc.		2,523		124,207

				1,445,560

Energy-Alternate Sources — 0.4%
Abengoa Yield PLC		1,200		32,784
Amyris, Inc.*		400		824
Clean Energy Fuels Corp.*		2,900		14,486
Enphase Energy, Inc.*		400		5,716
FuelCell Energy, Inc.*		6,981		10,751
FutureFuel Corp.		1,100		14,322
Green Plains, Inc.		1,467		36,352
Pacific Ethanol, Inc.*		900		9,297
Pattern Energy Group, Inc.		1,600		39,456
Plug Power, Inc.*		6,800		20,400
Renewable Energy Group, Inc.*		900		8,739
REX American Resources Corp.*		192		11,898
Solazyme, Inc.*		3,100		7,998
Terraform Power, Inc., Class A		1,000		30,880

				243,903

Engineering & Construction — 0.8%
Aegion Corp.*		1,555		28,938
Argan, Inc.		536		18,031
Dycom Industries, Inc.*		1,453		50,986
EMCOR Group, Inc.		2,663		118,477
Engility Holdings, Inc.*		700		29,960
Exponent, Inc.		520		42,900
Granite Construction, Inc.		1,444		54,901
Layne Christensen Co.*		926		8,834
MasTec, Inc.*		2,464		55,711
McDermott International, Inc.*		9,300		27,063
Mistras Group, Inc.*		800		14,664
MYR Group, Inc.*		983		26,934
Orion Marine Group, Inc.*		1,137		12,564
Sterling Construction Co., Inc.*		353		2,256
Tutor Perini Corp.*		1,397		33,626
VSE Corp.		104		6,853

				532,698

Entertainment — 0.8%
AMC Entertainment Holdings, Inc., Class A		800		20,944
Carmike Cinemas, Inc.*		800		21,016
Churchill Downs, Inc.		520		49,556
Eros International PLC*		900		19,044
International Speedway Corp.		1,100		34,815
Isle of Capri Casinos, Inc.*		841		7,039
Marriott Vacations Worldwide Corp.		1,000		74,540
National CineMedia, Inc.		2,374		34,114
Penn National Gaming, Inc.*		3,200		43,936
Pinnacle Entertainment, Inc.*		2,182		48,550
Reading International, Inc., Class A*		700		9,282
Scientific Games Corp., Class A*		1,900		24,187
SFX Entertainment, Inc.*		1,500		6,795


	Number of Shares		Value†
COMMON STOCKS — (continued)
Entertainment — (continued)
Speedway Motorsports, Inc.		316	$	6,911
Vail Resorts, Inc.		1,346		122,661

				523,390

Environmental Control — 0.6%
Advanced Emissions Solutions, Inc.*		800		18,232
Calgon Carbon Corp.*		2,162		44,926
Casella Waste Systems, Inc., Class A*		2,300		9,292
Ceco Environmental Corp.		709		11,018
Darling Ingredients, Inc.*		6,467		117,441
Energy Recovery, Inc.*		1,918		10,108
Heritage-Crystal Clean, Inc.*		200		2,466
MSA Safety, Inc.		1,221		64,823
Nuverra Environmental Solutions, Inc.*		441		2,447
Tetra Tech, Inc.		2,364		63,119
U.S. Ecology, Inc.		742		29,769

				373,641

Food — 2.0%
B&G Foods, Inc.		2,172		64,943
Boulder Brands, Inc.*		2,579		28,524
Cal-Maine Foods, Inc.		1,246		48,631
Calavo Growers, Inc.		451		21,332
Chiquita Brands International, Inc.*		1,824		26,375
Dean Foods Co.		3,700		71,706
Diamond Foods, Inc.*		776		21,907
Fairway Group Holdings Corp.*		600		1,890
Fresh Del Monte Produce, Inc.		1,216		40,797
Ingles Markets, Inc., Class A		604		22,402
Inventure Foods, Inc.*		500		6,370
J&J Snack Foods Corp.		532		57,866
John B. Sanfilippo & Son, Inc.		400		18,200
Lancaster Colony Corp.		672		62,926
Lifeway Foods, Inc.*		87		1,612
NutriSystem, Inc.		1,037		20,273
Post Holdings, Inc.*		1,700		71,213
Sanderson Farms, Inc.		934		78,479
Seaboard Corp.*		11		46,178
Seneca Foods Corp., Class A*		211		5,703
Senomyx, Inc.*		1,800		10,818
Snyder’s-Lance, Inc.		1,879		57,404
SpartanNash Co.		1,530		39,994
SUPERVALU, Inc.*		7,700		74,690
The Chefs’ Warehouse Holdings, Inc.*		750		17,280
The Fresh Market, Inc.*		1,700		70,040
Tootsie Roll Industries, Inc.		811		24,857
TreeHouse Foods, Inc.*		1,614		138,045
United Natural Foods, Inc.*		1,900		146,918
Village Super Market, Inc., Class A		268		7,335
Weis Markets, Inc.		466		22,284

				1,326,992

Forest Products & Paper — 0.6%
Clearwater Paper Corp.*		778		53,332
Deltic Timber Corp.		392		26,813
KapStone Paper and Packaging Corp.		3,240		94,964


	Number of Shares		Value†

Forest Products & Paper — (continued)
Neenah Paper, Inc.		574	$	34,595
Orchids Paper Products Co.		400		11,644
P.H. Glatfelter Co.		1,659		42,421
Resolute Forest Products*		2,700		47,547
Schweitzer-Mauduit International, Inc.		1,176		49,745
Wausau Paper Corp.		1,781		20,250

				381,311

Gas — 1.2%
Chesapeake Utilities Corp.		535		26,568
New Jersey Resources Corp.		1,632		99,879
Northwest Natural Gas Co.		1,050		52,395
One Gas, Inc.		2,000		82,440
Piedmont Natural Gas Co., Inc.		3,051		120,240
South Jersey Industries, Inc.		1,340		78,966
Southwest Gas Corp.		1,794		110,887
The Laclede Group, Inc.		1,656		88,099
WGL Holdings, Inc.		1,994		108,912

				768,386

Hand & Machine Tools — 0.1%
Franklin Electric Co., Inc.		1,970		73,934

Healthcare Products — 3.8%
Abaxis, Inc.		829		47,112
ABIOMED, Inc.*		1,489		56,671
Accelerate Diagnostics, Inc.*		951		18,250
Accuray, Inc.*		2,738		20,672
Affymetrix, Inc.*		2,371		23,402
AngioDynamics, Inc.*		958		18,212
AtriCure, Inc.*		1,200		23,952
Atrion Corp.		37		12,580
BioTelemetry, Inc.*		800		8,024
Cantel Medical Corp.		1,275		55,157
Cardiovascular Systems, Inc.*		1,200		36,096
Cepheid, Inc.*		2,680		145,095
Cerus Corp.*		3,600		22,464
Cimpress NV*		1,300		97,292
CONMED Corp.		1,003		45,095
CryoLife, Inc.		1,399		15,851
Cyberonics, Inc.*		1,032		57,462
Cynosure, Inc., Class A*		694		19,030
DexCom, Inc.*		2,942		161,957
Endologix, Inc.*		2,298		35,136
Exactech, Inc.*		209		4,926
GenMark Diagnostics, Inc.*		1,200		16,332
Genomic Health, Inc.*		509		16,273
Globus Medical, Inc.*		2,600		61,802
Greatbatch, Inc.*		993		48,955
Haemonetics Corp.*		1,946		72,819
Hanger, Inc.*		1,408		30,835
HeartWare International, Inc.*		689		50,593
ICU Medical, Inc.*		479		39,230
Insulet Corp.*		2,146		98,845
Integra LifeSciences Holdings Corp.*		1,026		55,640
Invacare Corp.		1,190		19,944


	Number of Shares		Value†
COMMON STOCKS — (continued)
Healthcare Products — (continued)
K2M Group Holdings, Inc.*		300	$	6,261
LDR Holding Corp.*		700		22,946
Luminex Corp.*		1,353		25,382
Masimo Corp.*		1,904		50,151
Merge Healthcare, Inc.*		1,657		5,899
Meridian Bioscience, Inc.		1,760		28,970
Merit Medical Systems, Inc.*		1,875		32,494
MiMedx Group, Inc.*		3,200		36,896
Nanostring Technologies, Inc.*		600		8,358
Natus Medical, Inc.*		1,175		42,347
Navidea Biopharmaceuticals, Inc.*		6,000		11,340
NuVasive, Inc.*		1,706		80,455
NxStage Medical, Inc.*		2,284		40,952
OraSure Technologies, Inc.*		2,201		22,318
Orthofix International N.V.*		671		20,170
PhotoMedex, Inc.*		700		1,071
Quidel Corp.*		1,051		30,395
Rockwell Medical, Inc.*		1,800		18,504
Spectranetics Corp.*		1,465		50,660
STAAR Surgical Co.*		1,400		12,754
STERIS Corp.		2,332		151,230
SurModics, Inc.*		373		8,243
Symmetry Surgical, Inc.*		436		3,396
Tandem Diabetes Care, Inc.*		400		5,080
The Female Health Co.		904		3,544
Thoratec Corp.*		2,200		71,412
Tornier N.V.*		1,200		30,600
Unilife Corp.*		3,410		11,424
Utah Medical Products, Inc.		200		12,010
Vascular Solutions, Inc.*		483		13,118
Volcano Corp.*		1,964		35,116
West Pharmaceutical Services, Inc.		2,678		142,577
Wright Medical Group, Inc.*		1,861		50,005
Zeltiq Aesthetics, Inc.*		1,100		30,701

				2,552,483

Healthcare Services — 1.8%
Acadia Healthcare Co., Inc.*		1,700		104,057
Addus Homecare Corp.*		400		9,708
Adeptus Health, Inc., Class A*		100		3,740
Air Methods Corp.*		1,487		65,473
Alliance Healthcare Services, Inc.*		200		4,198
Almost Family, Inc.*		177		5,124
Amedisys, Inc.*		1,006		29,526
Amsurg Corp.*		1,623		88,827
Bio-Reference Labs, Inc.*		1,007		32,355
Capital Senior Living Corp.*		1,036		25,807
Catalent, Inc.*		2,000		55,760
Five Star Quality Care, Inc.*		2,500		10,375
Gentiva Health Services, Inc.*		1,123		21,393
HealthSouth Corp.		3,436		132,149
Healthways, Inc.*		1,258		25,009
IPC The Hospitalist Co., Inc.*		647		29,691
Kindred Healthcare, Inc.		2,486		45,195
LHC Group, Inc.*		382		11,911
Magellan Health Services, Inc.*		1,041		62,491


	Number of Shares		Value†

Healthcare Services — (continued)
Molina Healthcare, Inc.*		1,168	$	62,523
National Healthcare Corp.		406		25,513
NeoStem, Inc.*		1,400		5,278
RadNet, Inc.*		1,500		12,810
Select Medical Holdings Corp.		3,100		44,640
Skilled Healthcare Group, Inc., Class A*		561		4,808
Surgical Care Affiliates, Inc.*		400		13,460
The Ensign Group, Inc.		740		32,849
Triple-S Management Corp., Class B*		791		18,913
U.S. Physical Therapy, Inc.		591		24,798
Universal American Corp.*		1,780		16,518
WellCare Health Plans, Inc.*		1,726		141,635

				1,166,534

Holding Companies — 0.1%
FCB Financial Holdings Inc*		500		12,320
Harbinger Group, Inc.*		3,375		47,790
National Bank Holdings Corp.		1,400		27,174
Resource America, Inc., Class A		1,000		9,040

				96,324

Home Builders — 0.8%
Beazer Homes USA, Inc.*		924		17,889
Cavco Industries, Inc.*		369		29,251
Hovnanian Enterprises, Inc., Class A*		4,810		19,865
Installed Building Products, Inc.*		600		10,692
KB Home		3,400		56,270
LGI Homes, Inc.*		400		5,968
M/I Homes, Inc.*		836		19,194
MDC Holdings, Inc.		1,500		39,705
Meritage Homes Corp.*		1,490		53,625
Standard Pacific Corp.*		5,590		40,751
The New Home Co., Inc.*		600		8,688
The Ryland Group, Inc.		1,746		67,326
TRI Pointe Homes, Inc.*		5,700		86,925
UCP, Inc., Class A*		500		5,250
WCI Communities, Inc.*		400		7,832
William Lyon Homes, Class A*		600		12,162
Winnebago Industries, Inc.		1,122		24,415

				505,808

Home Furnishings — 0.5%
American Woodmark Corp.*		369		14,923
Daktronics, Inc.		1,209		15,125
DTS, Inc.*		703		21,617
Ethan Allen Interiors, Inc.		1,028		31,837
Flexsteel Industries, Inc.		200		6,450
iRobot Corp.*		1,082		37,567
Kimball International, Inc., Class B		1,244		11,345
La-Z-Boy, Inc.		1,962		52,660
Norcraft Cos, Inc.*		500		9,650
Select Comfort Corp.*		2,072		56,006
Skullcandy, Inc.*		407		3,740
TiVo, Inc.*		3,955		46,827
Universal Electronics, Inc.*		600		39,018


	Number of Shares		Value†
COMMON STOCKS — (continued)
Home Furnishings — (continued)
VOXX International Corp.*		825	$	7,227

				353,992

Hotels & Resorts — 0.1%
Caesars Entertainment Corp.*		2,000		31,380
La Quinta Holdings Inc*		1,800		39,708

				71,088

Household Products & Wares — 0.4%
ACCO Brands Corp.*		4,393		39,581
Central Garden & Pet Co., Class A*		1,202		11,479
CSS Industries, Inc.		212		5,860
Helen of Troy Ltd.*		1,095		71,241
Prestige Brands Holdings, Inc.*		1,972		68,468
Tumi Holdings, Inc.*		1,800		42,714
WD-40 Co.		546		46,453

				285,796

Housewares — 0.0%
Libbey, Inc.*		800		25,152
Lifetime Brands, Inc.		200		3,440

				28,592

Insurance — 3.1%
Ambac Financial Group, Inc.*		1,700		41,650
American Equity Investment Life Holding Co.		2,876		83,950
AMERISAFE, Inc.		708		29,991
AmTrust Financial Services, Inc.		1,067		60,019
Argo Group International Holdings Ltd.		1,041		57,744
Atlas Financial Holdings, Inc.*		400		6,528
Baldwin & Lyons, Inc., Class B		325		8,378
Citizens, Inc.*		1,466		11,142
CNO Financial Group, Inc.		7,993		137,639
Crawford & Co., Class B		1,538		15,811
Donegal Group, Inc., Class A		283		4,522
eHealth, Inc.*		720		17,942
EMC Insurance Group, Inc.		100		3,546
Employers Holdings, Inc.		1,282		30,140
Enstar Group Ltd.*		274		41,892
Essent Group Ltd.*		1,700		43,707
FBL Financial Group, Inc., Class A		327		18,976
Federated National Holding Co.		500		12,080
Fidelity & Guaranty Life		500		12,135
First American Financial Corp.		4,173		141,465
Global Indemnity PLC*		383		10,866
Greenlight Capital Re, Ltd., Class A*		1,128		36,829
Hallmark Financial Services, Inc.*		255		3,083
HCI Group, Inc.		300		12,972
Hilltop Holdings, Inc.*		2,792		55,700
Horace Mann Educators Corp.		1,509		50,069
Infinity Property & Casualty Corp.		420		32,449
Kansas City Life Insurance Co.		73		3,506
Kemper Corp.		1,800		64,998
Maiden Holdings Ltd.		2,268		29,008
Meadowbrook Insurance Group, Inc.		1,518		12,842
MGIC Investment Corp.*		12,827		119,548


	Number of Shares		Value†

Insurance — (continued)
Montpelier Re Holdings Ltd.		1,507	$	53,981
National General Holdings Corp.		1,500		27,915
National Interstate Corp.		402		11,980
National Western Life Insurance Co., Class A		52		14,001
NMI Holdings, Inc., Class A*		2,100		19,173
OneBeacon Insurance Group Ltd., Class A		1,100		17,820
Platinum Underwriters Holdings Ltd.		956		70,190
Primerica, Inc.		2,100		113,946
Radian Group, Inc.		7,603		127,122
RLI Corp.		1,722		85,067
Safety Insurance Group, Inc.		482		30,853
Selective Insurance Group, Inc.		2,175		59,095
State Auto Financial Corp.		776		17,243
Stewart Information Services Corp.		808		29,928
Symetra Financial Corp.		2,900		66,845
The Navigators Group, Inc.*		395		28,969
The Phoenix Cos., Inc.*		146		10,055
Third Point Reinsurance Ltd.*		2,300		33,327
United Fire Group, Inc.		680		20,216
United Insurance Holdings Corp.		800		17,560
Universal Insurance Holdings, Inc.		1,251		25,583

				2,091,996

Internet — 2.3%
1-800-Flowers.com, Inc., Class A*		737		6,073
Angie’s List, Inc.*		1,600		9,968
Bankrate, Inc.*		2,723		33,847
Barracuda Networks, Inc.*		200		7,168
Bazaarvoice, Inc.*		1,900		15,276
Blucora, Inc.*		1,496		20,720
Blue Nile, Inc.*		439		15,808
Boingo Wireless, Inc.*		900		6,903
Brightcove, Inc.*		1,200		9,336
BroadSoft, Inc.*		1,261		36,594
ChannelAdvisor Corp.*		900		19,422
Chegg, Inc.*		3,100		21,421
Cinedigm Corp., Class A*		2,500		4,050
Cogent Communications Group, Inc.		1,819		64,374
comScore, Inc.*		1,359		63,098
Constant Contact, Inc.*		1,165		42,756
Coupons.com, Inc.*		500		8,875
Covisint Corp.*		1,206		3,196
Dealertrack Technologies, Inc.*		2,096		92,874
Dice Holdings, Inc.*		1,163		11,642
Endurance International Group Holdings, Inc.*		1,400		25,802
ePlus, Inc.*		174		13,170
FTD Cos, Inc.*		818		28,483
Global Eagle Entertainment, Inc.*		1,500		20,415
Global Sources Ltd.*		316		2,010
GrubHub, Inc.*		400		14,528
HealthStream, Inc.*		900		26,532
Internap Corp.*		1,921		15,291
IntraLinks Holdings, Inc.*		1,700		20,230
Limelight Networks, Inc.*		1,172		3,246
Lionbridge Technologies, Inc.*		2,243		12,897
Liquidity Services, Inc.*		1,035		8,456


	Number of Shares		Value†
COMMON STOCKS — (continued)
Internet — (continued)
Marketo, Inc.*		1,100	$	35,992
ModusLink Global Solutions, Inc.*		945		3,544
New Media Investment Group, Inc.		1,300		30,719
NIC, Inc.		2,629		47,296
Orbitz Worldwide, Inc.*		1,476		12,147
Overstock.com, Inc.*		571		13,858
Perficient, Inc.*		1,245		23,194
Q2 Holdings, Inc.*		600		11,304
QuinStreet, Inc.*		1,815		11,017
ReachLocal, Inc.*		200		688
RealNetworks, Inc.*		515		3,626
Reis, Inc.		400		10,468
RetailMeNot, Inc.*		1,300		19,006
Rightside Group Ltd.*		260		1,747
RingCentral, Inc., Class A*		1,200		17,904
Safeguard Scientifics, Inc.*		1,050		20,811
Sapient Corp.*		4,452		110,766
Shutterfly, Inc.*		1,590		66,295
Shutterstock, Inc.*		600		41,460
SPS Commerce, Inc.*		700		39,641
Stamps.com, Inc.*		462		22,171
TechTarget, Inc.*		500		5,685
TeleCommunication Systems, Inc., Class A*		1,400		4,368
Textura Corp.*		800		22,776
Travelzoo, Inc.*		311		3,925
Truecar, Inc.*		200		4,580
Trulia, Inc.*		1,486		68,401
Unwired Planet, Inc.*		1,950		1,950
VASCO Data Security International, Inc.*		1,028		29,000
VirnetX Holding Corp.*		1,583		8,691
Wayfair, Inc., Class A*		500		9,925
Web.com Group, Inc.*		2,000		37,980
WebMD Health Corp.*		1,486		58,771
Wix.com Ltd.*		300		6,300
XO Group, Inc.*		859		15,642
Zendesk, Inc.*		400		9,748
Zix Corp.*		3,548		12,773

				1,528,630

Investment Companies — 0.1%
Arlington Asset Investment Corp., Class A		900		23,949
Caesars Acquisition Co., Class A*		1,900		19,589

				43,538

Iron & Steel — 0.2%
AK Steel Holding Corp.*		7,200		42,768
Commercial Metals Co.		4,700		76,563
Ryerson Holding Corp.*		800		7,944
Schnitzer Steel Industries, Inc., Class A		900		20,304
Shiloh Industries, Inc.*		400		6,292
Universal Stainless & Alloy Products, Inc.*		333		8,375

				162,246

Leisure Time — 0.7%
Arctic Cat, Inc.		444		15,762
Black Diamond, Inc.*		1,300		11,375


	Number of Shares		Value†

Leisure Time — (continued)
Brunswick Corp.		3,468	$	177,770
Callaway Golf Co.		2,746		21,144
ClubCorp Holdings, Inc.		800		14,344
Diamond Resorts International, Inc.*		1,400		39,060
Escalade, Inc.		600		9,054
Fox Factory Holding Corp.*		500		8,115
Interval Leisure Group, Inc.		1,416		29,580
Johnson Outdoors, Inc.		200		6,240
Life Time Fitness, Inc.*		1,559		88,271
Malibu Boats, Inc., Class A*		500		9,635
Marine Products Corp.		160		1,350
Nautilus, Inc.*		1,300		19,734
Travelport Worldwide Ltd.		1,200		21,600

				473,034

Lodging — 0.1%
Boyd Gaming Corp.*		3,000		38,340
Intrawest Resorts Holdings, Inc.*		200		2,388
Monarch Casino & Resort, Inc.*		185		3,069
Morgans Hotel Group Co.*		1,494		11,713
The Marcus Corp.		933		17,270

				72,780

Machinery — Construction & Mining — 0.1%
Astec Industries, Inc.		698		27,438
Hyster-Yale Materials Handling, Inc.		444		32,501

				59,939

Machinery — Diversified — 0.9%
Alamo Group, Inc.		317		15,356
Albany International Corp., Class A		1,132		43,005
Altra Industrial Motion Corp.		1,003		28,475
Applied Industrial Technologies, Inc.		1,582		72,123
Briggs & Stratton Corp.		1,936		39,533
Chart Industries, Inc.*		1,177		40,254
Cognex Corp.*		3,314		136,968
Columbus McKinnon Corp.		685		19,207
DXP Enterprises, Inc.*		522		26,377
Global Power Equipment Group, Inc.		900		12,429
Hurco Cos., Inc.		200		6,818
Intevac, Inc.*		800		6,216
Kadant, Inc.		499		21,302
Lindsay Corp.		453		38,840
Manitex International, Inc.*		500		6,355
NACCO Industries, Inc., Class A		222		13,178
Power Solutions International, Inc.*		100		5,161
Tennant Co.		736		53,117
The ExOne Co.*		500		8,400
The Gorman-Rupp Co.		751		24,122
Twin Disc, Inc.		235		4,667
Xerium Technologies, Inc.*		400		6,312

				628,215

Media — 1.1%
A.H. Belo Corp., Class A		1,100		11,418
Central European Media Enterprises Ltd., Class A*		3,100		9,951


	Number of Shares		Value†
COMMON STOCKS — (continued)
Media — (continued)
Crown Media Holdings, Inc., Class A*		217	$	768
Cumulus Media, Inc., Class A*		5,200		21,996
Daily Journal Corp.*		2		526
Demand Media, Inc.*		260		1,591
Dex Media, Inc.*		700		6,279
E.W. Scripps Co., Class A*		1,206		26,954
Entercom Communications Corp., Class A*		700		8,512
Entravision Communications Corp., Class A		2,800		18,144
Gray Television, Inc.*		2,000		22,400
Hemisphere Media Group, Inc.*		600		8,094
Houghton Mifflin Harcourt Co.*		4,300		89,053
Journal Communications, Inc., Class A*		1,784		20,391
Lee Enterprises, Inc.*		1,700		6,256
Martha Stewart Living Omnimedia, Inc., Class A*		562		2,422
Media General, Inc.*		2,200		36,806
Meredith Corp.		1,300		70,616
Nexstar Broadcasting Group, Class A		1,100		56,969
Saga Communications, Inc.		133		5,783
Scholastic Corp.		956		34,818
Sinclair Broadcast Group, Inc., Class A		2,817		77,073
The McClatchy Co., Class A*		2,400		7,968
The New York Times Co., Class A		5,321		70,344
Time, Inc.		4,300		105,823
World Wrestling Entertainment, Inc., Class A		1,314		16,215

				737,170

Metal Fabricate/Hardware — 0.9%
A.M. Castle & Co.*		435		3,471
Advanced Drainage Systems, Inc.		700		16,086
Ampco-Pittsburgh Corp.		214		4,120
CIRCOR International, Inc.		735		44,306
Dynamic Materials Corp.		690		11,054
Furmanite Corp.*		1,354		10,588
Global Brass & Copper Holdings, Inc.		600		7,896
Haynes International, Inc.		564		27,354
L.B. Foster Co., Class A		366		17,777
Mueller Industries, Inc.		2,188		74,698
Mueller Water Products, Inc., Class A		6,192		63,406
NN, Inc.		700		14,392
Northwest Pipe Co.*		483		14,548
Olympic Steel, Inc.		231		4,107
Omega Flex, Inc.		59		2,231
RBC Bearings, Inc.		937		60,465
Rexnord Corp.*		3,000		84,630
RTI International Metals, Inc.*		1,113		28,114
Sun Hydraulics Corp.		859		33,827
Worthington Industries, Inc.		1,984		59,699

				582,769

Mining — 0.6%
Allied Nevada Gold Corp.*		4,000		3,480
Century Aluminum Co.*		2,154		52,558
Coeur Mining, Inc.*		3,828		19,561
Globe Specialty Metals, Inc.		2,414		41,593
Gold Resource Corp.		1,300		4,394
Hecla Mining Co.		12,817		35,759


	Number of Shares		Value†

Mining — (continued)
Horsehead Holding Corp.*		1,983	$	31,391
Kaiser Aluminum Corp.		716		51,144
Materion Corp.		857		30,192
Molycorp, Inc.*		5,800		5,107
Noranda Aluminium Holding Corp.		2,500		8,800
Ring Energy, Inc.*		800		8,400
Stillwater Mining Co.*		4,524		66,684
United States Lime & Minerals, Inc.		29		2,113
US Silica Holdings, Inc.		2,100		53,949

				415,125

Miscellaneous Manufacturing — 1.8%
Actuant Corp., Class A		2,506		68,263
American Railcar Industries, Inc.		400		20,600
AZZ, Inc.		976		45,794
Barnes Group, Inc.		2,065		76,426
Blount International, Inc.*		1,995		35,052
Chase Corp.		200		7,198
CLARCOR, Inc.		1,998		133,147
EnPro Industries, Inc.*		917		57,551
Fabrinet*		1,500		26,610
Federal Signal Corp.		2,343		36,176
FreightCar America, Inc.		570		14,997
GP Strategies Corp.*		400		13,572
Handy & Harman Ltd.*		200		9,206
Harsco Corp.		3,200		60,448
Hillenbrand, Inc.		2,374		81,903
John Bean Technologies Corp.		1,229		40,385
Koppers Holdings, Inc.		820		21,304
LSB Industries, Inc.*		749		23,548
Lydall, Inc.*		600		19,692
Movado Group, Inc.		760		21,561
Myers Industries, Inc.		1,125		19,800
NL Industries, Inc.		90		774
Park-Ohio Holdings Corp.		400		25,212
Polypore International, Inc.*		1,800		84,690
Proto Labs, Inc.*		900		60,444
Raven Industries, Inc.		1,346		33,650
Smith & Wesson Holding Corp.*		2,179		20,635
Standex International Corp.		500		38,630
Sturm Ruger & Co., Inc.		819		28,362
Tredegar Corp.		1,061		23,862
TriMas Corp.*		1,795		56,165
Trinseo SA*		600		10,470

				1,216,127

Office & Business Equipment — 0.0%
Eastman Kodak Co.*		800		17,368

Office Furnishings — 0.4%
Herman Miller, Inc.		2,232		65,688
HNI Corp.		1,643		83,891
Interface, Inc.		2,595		42,740
Knoll, Inc.		1,953		41,345
Steelcase, Inc., Class A		3,131		56,201

				289,865


	Number of Shares		Value†
COMMON STOCKS — (continued)
Oil & Gas — 1.6%
Abraxas Petroleum Corp.*		4,100	$	12,054
Adams Resources & Energy, Inc.		100		4,995
Alon USA Energy, Inc.		952		12,062
American Eagle Energy Corp.*		1,200		747
Apco Oil and Gas International, Inc.*		258		3,620
Approach Resources, Inc.*		1,341		8,569
Bill Barrett Corp.*		2,025		23,065
Bonanza Creek Energy, Inc.*		1,300		31,200
BPZ Resources, Inc.*		4,183		1,209
Callon Petroleum Co.*		2,000		10,900
Carrizo Oil & Gas, Inc.*		1,765		73,424
Clayton Williams Energy, Inc.*		217		13,845
Comstock Resources, Inc.		1,987		13,531
Contango Oil & Gas Co.*		703		20,556
Delek US Holdings, Inc.		2,298		62,689
Diamondback Energy, Inc.*		1,600		95,648
Eclipse Resources Corp.*		1,400		9,842
Emerald Oil, Inc.*		2,200		2,640
Energy XXI Bermuda Ltd.		3,733		12,170
Evolution Petroleum Corp.		500		3,715
EXCO Resources, Inc.		6,375		13,834
FX Energy, Inc.*		1,389		2,153
Gastar Exploration, Inc.*		2,600		6,266
Goodrich Petroleum Corp.*		1,281		5,688
Halcon Resources Corp.*		9,876		17,579
Harvest Natural Resources, Inc.*		1,400		2,534
Hercules Offshore, Inc.*		6,105		6,105
Isramco, Inc.*		21		2,898
Jones Energy, Inc.*		600		6,846
Magnum Hunter Resources Corp.*		7,500		23,550
Matador Resources Co.*		2,900		58,667
Midstates Petroleum Co., Inc.*		1,100		1,661
Miller Energy Resources, Inc.*		1,900		2,375
Northern Oil & Gas, Inc.*		2,253		12,729
Panhandle Oil and Gas, Inc., Class A		634		14,760
Parker Drilling Co.*		5,217		16,016
Parsley Energy, Inc., Class A*		2,000		31,920
PDC Energy, Inc.*		1,412		58,273
Penn Virginia Corp.*		2,412		16,112
PetroQuest Energy, Inc.*		1,539		5,756
Quicksilver Resources, Inc.*		4,600		912
Resolute Energy Corp.*		3,000		3,960
Rex Energy Corp.*		1,800		9,180
Rosetta Resources, Inc.*		2,237		49,907
RSP Permian, Inc.*		900		22,626
Sanchez Energy Corp.*		1,900		17,651
Stone Energy Corp.*		2,079		35,093
Swift Energy Co.*		1,889		7,650
Synergy Resources Corp.*		2,500		31,350
Transatlantic Petroleum Ltd.*		1,000		5,390
Trecora Resources*		1,000		14,700
Triangle Petroleum Corp.*		2,800		13,384
Vaalco Energy, Inc.*		2,430		11,081
W&T Offshore, Inc.		1,643		12,060
Warren Resources, Inc.*		3,605		5,804


	Number of Shares		Value†

Oil & Gas — (continued)
Western Refining, Inc.		2,037	$	76,958

				1,039,909

Oil & Gas Services — 0.9%
Basic Energy Services, Inc.*		1,188		8,328
C&J Energy Services, Inc.*		1,830		24,174
CARBO Ceramics, Inc.		800		32,040
CHC Group Ltd.*		1,400		4,508
Dawson Geophysical Co.		215		2,629
Exterran Holdings, Inc.		2,300		74,934
Flotek Industries, Inc.*		2,000		37,460
Forum Energy Technologies, Inc.*		2,300		47,679
Geospace Technologies Corp.*		476		12,614
Gulf Island Fabrication, Inc.		518		10,044
Helix Energy Solutions Group, Inc.*		4,101		88,992
Hornbeck Offshore Services, Inc.*		1,378		34,409
ION Geophysical Corp.*		5,465		15,029
Key Energy Services, Inc.*		5,224		8,724
Matrix Service Co.*		987		22,030
Mitcham Industries, Inc.*		300		1,779
Natural Gas Services Group, Inc.*		594		13,686
Newpark Resources, Inc.*		3,512		33,504
North Atlantic Drilling Ltd.		2,800		4,564
Pioneer Energy Services Corp.*		2,650		14,681
SEACOR Holdings, Inc.*		700		51,667
Tesco Corp.		1,400		17,948
TETRA Technologies, Inc.*		2,979		19,900
Thermon Group Holdings, Inc.*		1,100		26,609
Vantage Drilling Co.*		9,090		4,443
Willbros Group, Inc.*		1,517		9,511

				621,886

Packaging and Containers — 0.4%
AEP Industries, Inc.*		138		8,025
Berry Plastics Group, Inc.*		3,500		110,425
Graphic Packaging Holding Co.*		12,787		174,159
UFP Technologies, Inc.*		200		4,917

				297,526

Pharmaceuticals — 4.5%
ACADIA Pharmaceuticals, Inc.*		3,000		95,250
AcelRx Pharmaceuticals, Inc.*		900		6,057
Achillion Pharmaceuticals, Inc.*		3,400		41,650
Actinium Pharmaceuticals, Inc.*		800		4,712
Aegerion Pharmaceuticals, Inc.*		1,100		23,034
Aerie Pharmaceuticals, Inc.*		300		8,757
Agios Pharmaceuticals, Inc.*		500		56,020
Akebia Therapeutics, Inc.*		300		3,492
Akorn, Inc.*		2,413		87,351
Alimera Sciences, Inc.*		1,100		6,094
Ampio Pharmaceuticals, Inc.*		1,200		4,116
Anacor Pharmaceuticals, Inc.*		1,300		41,925
Anika Therapeutics, Inc.*		500		20,370
Antares Pharma, Inc.*		5,200		13,364
Aratana Therapeutics, Inc.*		900		16,038
Array BioPharma, Inc.*		5,848		27,661


	Number of Shares		Value†
COMMON STOCKS — (continued)
Pharmaceuticals — (continued)
Auspex Pharmaceuticals, Inc.*		400	$	20,992
Auxilium Pharmaceuticals, Inc.*		1,865		64,128
AVANIR Pharmaceuticals, Inc., Class A*		7,577		128,430
Bio-Path Holdings, Inc.*		3,400		9,044
BioDelivery Sciences International, Inc.*		1,900		22,838
BioScrip, Inc.*		2,011		14,057
Biospecifics Technologies Corp.*		100		3,862
Cempra, Inc.*		900		21,159
ChemoCentryx, Inc.*		1,000		6,830
Chimerix, Inc.*		1,100		44,286
Clovis Oncology, Inc.*		1,000		56,000
Corcept Therapeutics, Inc.*		2,900		8,700
Cytori Therapeutics, Inc.*		3,510		1,715
Depomed, Inc.*		1,983		31,946
Derma Sciences, Inc.*		700		6,517
Diplomat Pharmacy, Inc.*		600		16,422
Dyax Corp.*		5,020		70,581
Enanta Pharmaceuticals, Inc.*		400		20,340
Endocyte, Inc.*		1,500		9,435
Fibrogen, Inc.*		400		10,936
Galectin Therapeutics, Inc.*		800		2,776
Heron Therapeutics, Inc.*		900		9,054
Horizon Pharma PLC*		2,400		30,936
Hyperion Therapeutics, Inc.*		400		9,600
IGI Laboratories, Inc.*		1,800		15,840
Immune Design Corp.*		100		3,078
Impax Laboratories, Inc.*		2,837		89,876
Infinity Pharmaceuticals, Inc.*		1,828		30,875
Insys Therapeutics, Inc.*		300		12,648
Intra-Cellular Therapies, Inc.*		800		14,120
Ironwood Pharmaceuticals, Inc.*		4,461		68,343
Isis Pharmaceuticals, Inc.*		4,510		278,447
Keryx Biopharmaceuticals, Inc.*		3,500		49,525
Kindred Biosciences, Inc.*		500		3,725
Lannett Co., Inc.*		997		42,751
MannKind Corp.*		8,904		46,434
Nanoviricides, Inc.*		1,500		4,080
Natural Grocers By Vitamin Cottage, Inc.*		400		11,268
Nature’s Sunshine Products, Inc.		200		2,964
Nektar Therapeutics*		4,833		74,912
Neogen Corp.*		1,502		74,484
Neurocrine Biosciences, Inc.*		2,777		62,038
Nevro Corp.*		300		11,601
Northwest Biotherapeutics, Inc.*		1,600		8,560
Nutraceutical International Corp.*		196		4,226
Ohr Pharmaceutical, Inc.*		1,000		8,340
Omega Protein Corp.*		500		5,285
Ophthotech Corp.*		600		26,922
OPKO Health, Inc.*		7,176		71,688
Orexigen Therapeutics, Inc.*		4,188		25,379
Osiris Therapeutics, Inc.*		773		12,360
Otonomy, Inc.*		300		9,999
Pacira Pharmaceuticals, Inc.*		1,400		124,124
Pain Therapeutics, Inc.*		1,200		2,436
Pernix Therapeutics Holdings, Inc.*		1,500		14,085
PharMerica Corp.*		1,220		25,266


	Number of Shares		Value†

Pharmaceuticals — (continued)
Phibro Animal Health Corp., Class A		700	$	22,085
Portola Pharmaceuticals, Inc.*		1,500		42,480
POZEN, Inc.*		1,002		8,016
PRA Health Sciences, Inc.*		800		19,376
Progenics Pharmaceuticals, Inc.*		2,601		19,664
Radius Health, Inc.*		200		7,782
Raptor Pharmaceutical Corp.*		2,600		27,352
Receptos, Inc.*		800		98,008
Regulus Therapeutics, Inc.*		500		8,020
Relypsa, Inc.*		700		21,560
Repros Therapeutics, Inc.*		900		8,973
Revance Therapeutics, Inc.*		400		6,776
Sagent Pharmaceuticals, Inc.*		1,000		25,110
Sarepta Therapeutics, Inc.*		1,400		20,258
Sciclone Pharmaceuticals, Inc.*		2,277		19,947
Sucampo Pharmaceuticals, Inc., Class A*		171		2,442
Supernus Pharmaceuticals, Inc.*		1,400		11,620
Synageva BioPharma Corp.*		800		74,232
Synergy Pharmaceuticals, Inc.*		4,300		13,115
Synta Pharmaceuticals Corp.*		1,921		5,091
Synutra International, Inc.*		311		1,891
TESARO, Inc.*		600		22,314
Tetraphase Pharmaceuticals, Inc.*		900		35,739
TG Therapeutics, Inc.*		1,200		19,008
TherapeuticsMD, Inc.*		3,200		14,240
Threshold Pharmaceuticals, Inc.*		2,000		6,360
USANA Health Sciences, Inc.*		224		22,980
Vanda Pharmaceuticals, Inc.*		1,241		17,771
Vital Therapies, Inc.*		300		7,479
VIVUS, Inc.*		3,770		10,858
Xencor, Inc.*		400		6,416
XenoPort, Inc.*		1,927		16,900
Zogenix, Inc.*		4,600		6,302
Zs Pharma, Inc.*		300		12,471

				2,974,790

Pipelines — 0.2%
Primoris Services Corp.		1,490		34,628
SemGroup Corp.		1,700		116,263

				150,891

Real Estate — 0.4%
Alexander & Baldwin, Inc.		1,800		70,668
AV Homes, Inc.*		195		2,841
Consolidated-Tomoka Land Co.		124		6,919
Forestar Group, Inc.*		1,163		17,910
FRP Holdings, Inc.*		369		14,469
HFF, Inc., Class A		1,400		50,288
Kennedy-Wilson Holdings, Inc.		2,681		67,829
Marcus & Millichap, Inc.*		200		6,650
RE/MAX Holdings, Inc., Class A		400		13,700
The St. Joe Co.*		2,500		45,975

				297,249


	Number of Shares		Value†
COMMON STOCKS — (continued)
Retail — 6.1%
Aeropostale, Inc.*		3,184	$	7,387
America’s Car-Mart, Inc.*		227		12,117
American Eagle Outfitters, Inc.		7,600		105,488
ANN, Inc.*		1,785		65,117
Asbury Automotive Group, Inc.*		1,149		87,232
Barnes & Noble, Inc.*		1,400		32,508
bebe Stores, Inc.		1,517		3,322
Big 5 Sporting Goods Corp.		581		8,500
Biglari Holdings, Inc.*		70		27,966
BJ’s Restaurants, Inc.*		820		41,172
Bloomin’ Brands, Inc.*		3,000		74,280
Bob Evans Farms, Inc.		1,042		53,330
Bravo Brio Restaurant Group, Inc.*		500		6,955
Brown Shoe Co., Inc.		1,654		53,176
Buffalo Wild Wings, Inc.*		747		134,744
Build-A-Bear Workshop, Inc.*		700		14,070
Burlington Stores, Inc.*		1,200		56,712
Carrols Restaurant Group, Inc.*		1,713		13,070
Casey’s General Stores, Inc.		1,440		130,061
Cash America International, Inc.		1,125		25,447
Christopher & Banks Corp.*		1,500		8,565
Chuy’s Holdings, Inc.*		600		11,802
Citi Trends, Inc.*		503		12,701
Conn’s, Inc.*		1,104		20,634
Cracker Barrel Old Country Store, Inc.		724		101,910
Del Frisco’s Restaurant Group, Inc.*		1,000		23,740
Denny’s Corp.*		3,552		36,621
Destination Maternity Corp.		578		9,219
Destination XL Group, Inc.*		1,500		8,190
DineEquity, Inc.		671		69,542
El Pollo Loco Holdings Inc*		400		7,988
Express, Inc.*		3,154		46,332
Ezcorp, Inc., Class A*		1,766		20,751
Fiesta Restaurant Group, Inc.*		1,113		67,670
First Cash Financial Services, Inc.*		1,162		64,689
Five Below, Inc.*		2,100		85,743
Francesca’s Holdings Corp.*		1,658		27,689
Fred’s, Inc., Class A		1,431		24,914
Genesco, Inc.*		895		68,575
Group 1 Automotive, Inc.		907		81,285
Guess?, Inc.		2,400		50,592
Haverty Furniture Cos., Inc.		950		20,910
hhgregg, Inc.*		662		5,011
Hibbett Sports, Inc.*		955		46,251
HSN, Inc.		1,279		97,204
Ignite Restaurant Group, Inc.*		300		2,361
Jack in the Box, Inc.		1,514		121,059
Jamba, Inc.*		940		14,185
Kirkland’s, Inc.*		427		10,094
Krispy Kreme Doughnuts, Inc.*		2,622		51,758
Lands’ End, Inc.*		700		37,772
Lithia Motors, Inc., Class A		894		77,501
Lumber Liquidators Holdings, Inc.*		1,033		68,498
MarineMax, Inc.*		1,000		20,050
Mattress Firm Holding Corp.*		600		34,848
Nathan’s Famous, Inc.*		100		8,000


	Number of Shares		Value†

Retail — (continued)
New York & Co., Inc.*		583	$	1,539
Noodles & Co.*		300		7,905
Office Depot, Inc.*		20,810		178,446
Pacific Sunwear of California, Inc.*		2,100		4,578
Papa John’s International, Inc.		1,210		67,518
PC Connection, Inc.		565		13,871
PetMed Express, Inc.		1,113		15,994
Pier 1 Imports, Inc.		3,644		56,118
Popeyes Louisiana Kitchen, Inc.*		959		53,963
Potbelly Corp.*		300		3,861
Pricesmart, Inc.		731		66,682
Red Robin Gourmet Burgers, Inc.*		520		40,027
Regis Corp.*		1,832		30,704
Restoration Hardware Holdings, Inc.*		1,200		115,212
Roundy’s, Inc.*		900		4,356
Ruby Tuesday, Inc.*		2,213		15,137
Rush Enterprises, Inc., Class A*		1,435		45,992
Ruth’s Hospitality Group, Inc.		1,695		25,425
Sears Hometown and Outlet Stores, Inc.*		300		3,945
Shoe Carnival, Inc.		758		19,473
Sonic Automotive, Inc., Class A		1,534		41,479
Sonic Corp.		2,132		58,054
Stage Stores, Inc.		1,381		28,587
Stein Mart, Inc.		1,261		18,436
Systemax, Inc.*		262		3,537
Texas Roadhouse, Inc.		2,570		86,763
The Bon-Ton Stores, Inc.		500		3,705
The Buckle, Inc.		1,049		55,093
The Cato Corp., Class A		1,104		46,567
The Cheesecake Factory, Inc.		1,916		96,394
The Children’s Place, Inc.		894		50,958
The Container Store Group, Inc.*		600		11,478
The Finish Line, Inc., Class A		1,793		43,588
The Men’s Wearhouse, Inc.		1,856		81,942
The Pantry, Inc.*		954		35,355
The Pep Boys — Manny, Moe, & Jack*		2,305		22,635
Tile Shop Holdings, Inc.*		1,300		11,544
Tilly’s, Inc.*		400		3,876
Tuesday Morning Corp.*		1,629		35,349
Vera Bradley, Inc.*		800		16,304
Vitamin Shoppe, Inc.*		1,200		58,296
West Marine, Inc.*		664		8,579
Winmark Corp.		100		8,692
Zoe’s Kitchen, Inc.*		200		5,982
Zumiez, Inc.*		703		27,157

				4,048,404

Savings & Loans — 1.7%
Astoria Financial Corp.		3,201		42,765
Banc of California, Inc.		800		9,176
Bank Mutual Corp.		2,432		16,684
BankFinancial Corp.		609		7,223
BBX Capital Corp.*		400		6,580
Beneficial Mutual Bancorp, Inc.*		1,249		15,325
Berkshire Hills Bancorp, Inc.		1,102		29,379
BofI Holding, Inc.*		500		38,905


	Number of Shares		Value†
COMMON STOCKS — (continued)
Savings & Loans — (continued)
Brookline Bancorp, Inc.		3,222	$	32,317
Capitol Federal Financial, Inc.		5,600		71,568
Charter Financial Corp.		900		10,305
Clifton Bancorp, Inc.		1,146		15,574
Dime Community Bancshares, Inc.		1,030		16,769
ESB Financial Corp.		232		4,394
EverBank Financial Corp.		3,600		68,616
First Defiance Financial Corp.		300		10,218
First Financial Northwest, Inc.		600		7,224
Flagstar Bancorp, Inc.*		800		12,584
Flushing Financial Corp.		1,338		27,121
Fox Chase Bancorp, Inc.		420		7,001
Home Loan Servicing Solutions Ltd.		2,800		54,656
Homestreet, Inc.		600		10,446
HomeTrust Bancshares, Inc.*		900		14,994
Investors Bancorp, Inc.		14,055		157,767
Kearny Financial Corp.*		852		11,715
Meridian Bancorp, Inc.*		1,074		12,050
Meta Financial Group, Inc.		200		7,008
Northfield Bancorp, Inc.		2,193		32,457
Northwest Bancshares, Inc.		3,775		47,301
OceanFirst Financial Corp.		327		5,605
Oritani Financial Corp.		1,718		26,457
Pacific Premier Bancorp, Inc.*		700		12,131
Provident Financial Services, Inc.		2,403		43,398
Sterling Bancorp, Inc.		2,927		42,090
Territorial Bancorp, Inc.		243		5,237
United Community Financial Corp.		1,700		9,129
United Financial Bancorp, Inc.		2,131		30,601
Washington Federal, Inc.		4,000		88,600
Waterstone Financial, Inc.		1,500		19,725
WSFS Financial Corp.		357		27,450

				1,108,545

Semiconductors — 3.5%
Alpha & Omega Semiconductor Ltd.*		400		3,540
Ambarella, Inc.*		1,100		55,792
Amkor Technology, Inc.*		3,211		22,798
Applied Micro Circuits Corp.*		2,958		19,286
Axcelis Technologies, Inc.*		6,100		15,616
Brooks Automation, Inc.		2,477		31,582
Cabot Microelectronics Corp.*		961		45,474
Cascade Microtech, Inc.*		700		10,227
Cavium, Inc.*		2,079		128,524
CEVA, Inc.*		671		12,172
Cirrus Logic, Inc.*		2,481		58,477
Cohu, Inc.		904		10,758
Cypress Semiconductor Corp.		6,200		88,536
Diodes, Inc.*		1,399		38,570
DSP Group, Inc.*		557		6,055
Emulex Corp.*		2,106		11,941
Entegris, Inc.*		5,270		69,617
Entropic Communications, Inc.*		3,832		9,695
Exar Corp.*		1,532		15,626
Fairchild Semiconductor International, Inc.*		4,900		82,712
FormFactor, Inc.*		2,172		18,679


	Number of Shares		Value†

Semiconductors — (continued)
Gerber Scientific, Inc.*~		500	$	0
GSl Group, Inc.*		1,500		22,080
Inphi Corp.*		1,100		20,328
Integrated Device Technology, Inc.*		5,093		99,823
Integrated Silicon Solution, Inc.		1,000		16,570
International Rectifier Corp.*		2,800		111,720
Intersil Corp., Class A		5,100		73,797
IXYS Corp.		1,266		15,952
Kopin Corp.*		1,507		5,455
Lattice Semiconductor Corp.*		4,924		33,926
MaxLinear, Inc., Class A*		1,400		10,374
Micrel, Inc.		1,845		26,771
Microsemi Corp.*		3,693		104,807
MKS Instruments, Inc.		1,996		73,054
Monolithic Power Systems, Inc.		1,467		72,969
Nanometrics, Inc.*		900		15,138
Omnivision Technologies, Inc.*		2,119		55,094
Pericom Semiconductor Corp.*		646		8,747
Photronics, Inc.*		2,192		18,216
PMC-Sierra, Inc.*		6,900		63,204
Power Integrations, Inc.		1,095		56,655
QLogic Corp.*		3,200		42,624
Quicklogic Corp.*		2,500		7,850
Rambus, Inc.*		4,623		51,269
Rubicon Technology, Inc.*		1,123		5,132
Rudolph Technologies, Inc.*		1,654		16,920
Semtech Corp.*		2,609		71,930
Silicon Image, Inc.*		2,739		15,119
Silicon Laboratories, Inc.*		1,700		80,954
Tessera Technologies, Inc.		2,123		75,918
TriQuint Semiconductor, Inc.*		6,477		178,441
Ultra Clean Holdings, Inc.*		900		8,352
Ultratech, Inc.*		978		18,152
Veeco Instruments, Inc.*		1,393		48,588
Vitesse Semiconductor Corp.*		2,900		10,962
Xcerra Corp.*		2,466		22,589

				2,315,157

Software — 4.9%
2U, Inc.*		600		11,796
ACI Worldwide, Inc.*		4,527		91,310
Actua Corp.*		1,428		26,375
Actuate Corp.*		1,940		12,804
Acxiom Corp.*		2,967		60,141
Advent Software, Inc.		2,035		62,352
Amber Road, Inc.*		600		6,132
American Software, Inc., Class A		593		5,402
Aspen Technology, Inc.*		3,553		124,426
Audience, Inc.*		400		1,760
AVG Technologies NV*		1,400		27,636
Benefitfocus, Inc.*		200		6,568
Blackbaud, Inc.		1,750		75,705
Bottomline Technologies, Inc.*		1,545		39,058
Callidus Software, Inc.*		2,000		32,660
Castlight Health, Inc., Class B*		400		4,680
CommVault Systems, Inc.*		1,848		95,523


	Number of Shares		Value†
COMMON STOCKS — (continued)
Software — (continued)
Computer Programs & Systems, Inc.		447	$	27,155
Cornerstone OnDemand, Inc.*		2,100		73,920
CSG Systems International, Inc.		1,281		32,115
Cvent, Inc.*		800		22,272
Demandware, Inc.*		1,200		69,048
Digi International, Inc.*		657		6,104
Digital River, Inc.*		1,388		34,325
E2open, Inc.*		1,100		10,571
Ebix, Inc.		1,336		22,699
Envestnet, Inc.*		1,300		63,882
EPAM Systems, Inc.*		1,400		66,850
Epiq Systems, Inc.		1,168		19,949
Fair Isaac Corp.		1,288		93,122
Fleetmatics Group PLC*		1,500		53,235
Glu Mobile, Inc.*		4,000		15,600
Guidance Software, Inc.*		400		2,900
Guidewire Software, Inc.*		2,700		136,701
Imperva, Inc.*		800		39,544
inContact, Inc.*		2,100		18,459
Infoblox, Inc.*		2,100		42,441
InnerWorkings, Inc.*		1,724		13,430
Interactive Intelligence Group, Inc.*		597		28,596
Jive Software, Inc.*		1,500		9,045
Kofax Ltd.*		3,100		21,793
Luxoft Holding, Inc.*		300		11,553
ManTech International Corp., Class A		1,039		31,409
Mavenir Systems, Inc.*		200		2,712
MedAssets, Inc.*		2,448		48,372
Medidata Solutions, Inc.*		2,088		99,702
MicroStrategy, Inc., Class A*		318		51,643
Model N, Inc.*		300		3,186
Monotype Imaging Holdings, Inc.		1,599		46,099
Omnicell, Inc.*		1,435		47,527
Opower, Inc.*		600		8,538
PDF Solutions, Inc.*		1,200		17,832
Pegasystems, Inc.		1,260		26,170
Progress Software Corp.*		1,986		53,662
Proofpoint, Inc.*		1,500		72,345
PROS Holdings, Inc.*		917		25,199
QAD, Inc.		92		2,081
Qlik Technologies, Inc.*		3,441		106,293
Quality Systems, Inc.		1,704		26,565
Rally Software Development Corp.*		1,000		11,370
RealPage, Inc.*		2,000		43,920
Rocket Fuel, Inc.*		800		12,896
Rosetta Stone, Inc.*		1,202		11,732
Sapiens International Corp. N.V.*		800		5,896
SciQuest, Inc.*		900		13,005
Seachange International, Inc.*		1,273		8,122
SS&C Technologies Holdings, Inc.		2,700		157,923
Synchronoss Technologies, Inc.*		1,346		56,344
SYNNEX Corp.		1,094		85,507
Take-Two Interactive Software, Inc.*		3,044		85,323
Tangoe, Inc.*		1,769		23,050
The Ultimate Software Group, Inc.*		1,116		163,846
Tyler Technologies, Inc.*		1,252		137,019


	Number of Shares		Value†

Software — (continued)
Verint Systems, Inc.*		2,195	$	127,925

				3,232,850

Storage & Warehousing — 0.2%
Mobile Mini, Inc.		1,877		76,037
Wesco Aircraft Holdings, Inc.*		2,140		29,917

				105,954

Telecommunications — 3.2%
8X8, Inc.*		3,400		31,144
ADTRAN, Inc.		2,205		48,069
Alliance Fiber Optic Products, Inc.		600		8,706
Anixter International, Inc.*		1,034		91,468
Aruba Networks, Inc.*		4,213		76,592
Atlantic Tele-Network, Inc.		349		23,589
Black Box Corp.		562		13,432
CalAmp Corp.*		1,400		25,620
Calix, Inc.*		1,487		14,900
Ciena Corp.*		3,900		75,699
Cincinnati Bell, Inc.*		7,785		24,834
Clearfield, Inc.*		400		4,924
Comtech Telecommunications Corp.		552		17,399
Comverse, Inc.*		990		18,592
Consolidated Communications Holdings, Inc.		1,841		51,235
DigitalGlobe, Inc.*		2,869		88,853
EarthLink Holdings Corp.		4,016		17,630
Extreme Networks, Inc.*		3,147		11,109
Fairpoint Communications, Inc.*		600		8,526
Finisar Corp.*		3,821		74,166
General Communication, Inc., Class A*		986		13,557
Gigamon, Inc.*		1,000		17,730
Globalstar, Inc.*		11,000		30,250
Gogo Inc*		2,200		36,366
GTT Communications, Inc.*		800		10,584
Harmonic, Inc.*		2,870		20,119
Hawaiian Telcom Holdco, Inc.*		500		13,785
IDT Corp., Class B		800		16,248
Infinera Corp.*		4,694		69,096
Inteliquent, Inc.		1,226		24,066
Intelsat SA*		1,200		20,832
InterDigital, Inc.		1,494		79,033
Iridium Communications, Inc.*		3,500		34,125
Ixia*		2,113		23,771
KVH Industries, Inc.*		354		4,478
LogMeIn, Inc.*		881		43,468
Loral Space & Communications, Inc.*		546		42,976
Lumos Networks Corp.		782		13,153
MagicJack VocalTec Ltd.*		700		5,684
NETGEAR, Inc.*		1,329		47,286
NeuStar, Inc., Class A*		2,000		55,600
NTELOS Holdings Corp.		382		1,601
Numerex Corp.*		800		8,848
Oclaro, Inc.*		3,000		5,340
ORBCOMM, Inc.*		2,000		13,080
ParkerVision, Inc.*		4,100		3,731
Plantronics, Inc.		1,667		88,384


	Number of Shares		Value†
COMMON STOCKS — (continued)
Telecommunications — (continued)
Polycom, Inc.*		5,500	$	74,250
Preformed Line Products Co.		45		2,458
Premiere Global Services, Inc.*		1,656		17,587
Procera Networks, Inc.*		700		5,033
RF Micro Devices, Inc.*		11,251		186,654
RigNet, Inc.*		500		20,515
Ruckus Wireless, Inc.*		2,700		32,454
Shenandoah Telecommunications Co.		859		26,844
ShoreTel, Inc.*		2,281		16,765
Sonus Networks, Inc.*		9,215		36,584
Spok Holdings, Inc.		1,112		19,304
Telenav, Inc.*		300		2,001
Tessco Technologies, Inc.		200		5,800
Ubiquiti Networks, Inc.		1,200		35,568
ViaSat, Inc.*		1,562		98,453
Vonage Holdings Corp.*		6,100		23,241
Vringo, Inc.*		2,800		1,540
West Corp.		1,500		49,500

				2,124,229

Textiles — 0.2%
Culp, Inc.		300		6,504
G&K Services, Inc., Class A		776		54,979
The Dixie Group, Inc.*		900		8,253
UniFirst Corp.		577		70,077

				139,813

Toys, Games & Hobbies — 0.0%
JAKKS Pacific, Inc.*		584		3,971
LeapFrog Enterprises, Inc.*		2,776		13,103

				17,074

Transportation — 2.0%
Air Transport Services Group, Inc.*		2,085		17,848
Arcbest Corp.		995		46,138
Ardmore Shipping Corp.		800		9,576
Atlas Air Worldwide Holdings, Inc.*		1,048		51,666
Baltic Trading Ltd.		2,200		5,522
Bristow Group, Inc.		1,350		88,816
CAI International, Inc.*		660		15,312
Celadon Group, Inc.		935		21,215
DHT Holdings, Inc.*		2,900		21,199
Dorian LPG Ltd.*		400		5,556
Echo Global Logistics, Inc.*		800		23,360
Era Group, Inc.*		800		16,920
Forward Air Corp.		1,196		60,243
Frontline Ltd.*		1,200		3,012
GasLog Ltd.		1,700		34,595
Gulfmark Offshore, Inc., Class A		979		23,907
Heartland Express, Inc.		1,967		53,129
Hub Group, Inc., Class A*		1,443		54,949
International Shipholding Corp.		141		2,101
Knight Transportation, Inc.		2,264		76,206
Knightsbridge Tankers Ltd.		1,174		5,318
Marten Transport Ltd.		1,151		25,161
Matson, Inc.		1,600		55,232


	Number of Shares		Value†

Transportation — (continued)
Navios Maritime Acq Corp.		3,700	$	13,431
Navios Maritime Holdings, Inc.		3,200		13,152
Nordic American Offshore Ltd.		900		11,052
Nordic American Tankers Ltd.		3,567		35,920
PHI, Inc.*		593		22,178
Quality Distribution, Inc.*		800		8,512
Roadrunner Transportation Systems, Inc.*		1,000		23,350
Safe Bulkers, Inc.		1,700		6,647
Saia, Inc.*		961		53,201
Scorpio Bulkers, Inc.*		5,200		10,244
Scorpio Tankers, Inc.		6,300		54,747
Ship Finance International Ltd.		2,284		32,250
Swift Transportation Co.*		3,300		94,479
Teekay Tankers Ltd., Class A		3,193		16,157
Universal Truckload Services, Inc.		100		2,851
UTi Worldwide, Inc.*		3,400		41,038
Werner Enterprises, Inc.		1,752		54,575
XPO Logistics, Inc.*		2,041		83,436
YRC Worldwide, Inc.*		1,300		29,237

				1,323,438

Trucking and Leasing — 0.2%
Greenbrier Cos., Inc.		1,047		56,255
TAL International Group, Inc.		1,293		56,336
Textainer Group Holdings Ltd.		812		27,868

				140,459

Water — 0.3%
American States Water Co.		1,524		57,394
Artesian Resources Corp., Class A		113		2,553
California Water Service Group		1,766		43,461
Connecticut Water Service, Inc.		319		11,576
Middlesex Water Co.		531		12,245
PICO Holdings, Inc.*		792		14,929
SJW Corp.		488		15,675
York Water Co.		697		16,177

				174,010

TOTAL COMMON STOCKS (Cost $43,386,157)				61,437,694

REAL ESTATE INVESTMENT TRUSTS — 9.4%
Apartments — 0.3%
American Residential Properties, Inc.*		1,300		22,841
Associated Estates Realty Corp.		2,156		50,041
Campus Crest Communities, Inc.		2,300		16,813
Education Realty Trust, Inc.		1,901		69,557
Silver Bay Realty Trust Corp.		1,637		27,109
Trade Street Residential, Inc.		1,200		9,228

				195,589

Building & Real Estate — 1.4%
Agree Realty Corp.		596		18,530
Altisource Residential Corp.		2,200		42,680
Anworth Mortgage Asset Corp.		3,731		19,588
Apollo Commercial Real Estate Finance, Inc.		1,600		26,176


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Building & Real Estate — (continued)
Ares Commercial Real Estate Corp.		1,000	$	11,480
Capstead Mortgage Corp.		3,475		42,673
Colony Financial, Inc.		4,316		102,807
CYS Investments, Inc.		5,856		51,064
Dynex Capital, Inc.		2,307		19,033
Getty Realty Corp.		1,163		21,178
Gramercy Property Trust, Inc.		7,200		49,680
Hatteras Financial Corp.		3,800		70,034
Invesco Mortgage Capital, Inc.		4,907		75,862
iStar Financial, Inc.*		3,318		45,291
New York Mortgage Trust, Inc.		3,400		26,214
PennyMac Mortgage Investment Trust		2,692		56,774
Redwood Trust, Inc.		3,377		66,527
Resource Capital Corp.		4,700		23,688
Select Income REIT		1,500		36,615
Starwood Waypoint Residential Trust		1,600		42,192
Sun Communities, Inc.		1,890		114,269

				962,355

Diversified — 0.9%
AG Mortgage Investment Trust, Inc.		1,188		22,061
Armada Hoffler Properties, Inc.		800		7,592
CatchMark Timber Trust, Inc., Class A		700		7,924
CorEnergy Infrastructure Trust, Inc.		1,500		9,720
CoreSite Realty Corp.		700		27,335
DuPont Fabros Technology, Inc.		2,450		81,438
EPR Properties		2,210		127,362
New York REIT, Inc.		6,200		65,658
PS Business Parks, Inc.		765		60,848
STAG lndustrial, Inc.		2,100		51,450
The Geo Group, Inc.		2,768		111,717
UMH Properties, Inc.		968		9,244
Whitestone REIT		800		12,088

				594,437

Diversified Financial Services — 0.6%
American Capital Mortgage Investment Corp.		2,043		38,490
Apollo Residential Mortgage, Inc.		1,332		21,006
ARMOUR Residential REIT, Inc.		14,200		52,256
DCT Industrial Trust, Inc.		3,220		114,825
New Residential Investment Corp.		5,600		71,512
Owens Realty Mortgage, Inc.		300		4,395
RAIT Financial Trust		3,606		27,658
STORE Capital Corp.		1,200		25,932
Western Asset Mortgage Capital Corp.		1,597		23,476

				379,550

Forest Products & Paper — 0.1%
Potlatch Corp.		1,578		66,071

Healthcare — 0.9%
American Realty Capital Healthcare Trust, Inc.		6,700		79,730
Aviv REIT, Inc.		800		27,584
CareTrust REIT, Inc.		995		12,268
Healthcare Realty Trust, Inc.		3,672		100,319
LTC Properties, Inc.		1,317		56,855
Medical Properties Trust, Inc.		6,607		91,044


	Number of Shares		Value†

Healthcare — (continued)
National Health Investors, Inc.		1,457	$	101,932
Physicians Realty Trust		1,600		26,560
Sabra Healthcare REIT, Inc.		1,888		57,339
Universal Health Realty Income Trust		520		25,022

				578,653

Hotels & Resorts — 1.9%
Ashford Hospitality Prime, Inc.		864		14,826
Ashford Hospitality Trust, Inc.		2,320		24,313
Belmond Ltd.*		3,745		46,326
Chatham Lodging Trust		1,400		40,558
Chesapeake Lodging Trust		2,089		77,732
DiamondRock Hospitality Co.		7,523		111,867
FelCor Lodging Trust, Inc.		5,018		54,295
Hersha Hospitality Trust		7,669		53,913
LaSalle Hotel Properties		4,317		174,709
Pebblebrook Hotel Trust		2,709		123,612
RLJ Lodging Trust		5,000		167,650
Ryman Hospitality Properties		1,612		85,017
Strategic Hotels & Resorts, Inc.*		10,312		136,428
Summitt Hotel Properties, Inc.		3,500		43,540
Sunstone Hotel Investors, Inc.		8,032		132,608

				1,287,394

Industrial — 0.6%
Chambers Street Properties		9,300		74,958
EastGroup Properties, Inc.		1,175		74,401
First Industrial Realty Trust, Inc.		4,429		91,060
First Potomac Realty Trust		2,392		29,565
Monmouth Real Estate Investment Corp., Class A		2,049		22,683
QTS Realty Trust, Inc.		500		16,920
Rexford Industrial Realty, Inc.		2,000		31,420
Terreno Realty Corp.		1,675		34,555

				375,562

Internet — 0.0%
CyrusOne, Inc.		1,300		35,815

Mixed Industrial/Office — 0.5%
Cousins Properties, Inc.		8,761		100,050
Gladstone Commercial Corp.		652		11,195
Investors Real Estate Trust		4,618		37,729
Lexington Realty Trust		8,015		88,005
One Liberty Properties, Inc.		503		11,906
Washington Real Estate Investment Trust		2,606		72,082

				320,967

Office Property — 0.8%
American Assets Trust, Inc.		1,400		55,734
Empire State Realty Trust, Inc.		3,300		58,014
Franklin Street Properties Corp.		3,245		39,816
Government Properties Income Trust		2,744		63,140
Highwoods Properties, Inc.		3,460		153,209
Hudson Pacific Properties, Inc.		2,000		60,120
Mack-Cali Realty Corp.		3,500		66,710


	Number of Shares		Value†
REAL ESTATE INVESTMENT TRUSTS — (continued)
Office Property — (continued)
Parkway Properties, Inc.		2,980	$	54,802

				551,545

Regional Malls — 0.3%
Glimcher Realty Trust		5,816		79,912
Pennsylvania Real Estate Investment Trust		2,715		63,694
Rouse Properties, Inc.		1,400		25,928

				169,534

Storage & Warehousing — 0.4%
CubeSmart		6,325		139,593
Sovran Self Storage, Inc.		1,282		111,816

				251,409

Strip Centers — 0.7%
Acadia Realty Trust		2,520		80,716
Alexander’s, Inc.		57		24,919
AmREIT, Inc.		700		18,578
Cedar Realty Trust, Inc.		2,826		20,743
Equity One, Inc.		2,454		62,233
Excel Trust, Inc.		2,100		28,119
Inland Real Estate Corp.		3,688		40,384
Kite Realty Group Trust		1,251		35,954
Ramco-Gershenson Properties Trust		3,141		58,862
Retail Opportunity Investments Corp.		3,300		55,407
Saul Centers, Inc.		451		25,793
Urstadt Biddle Properties, Inc., Class A		816		17,854

				469,562

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $4,811,767)				6,238,443

RIGHTS — 0.0%
Chelsea Therapeutics Intl Ltd. - Contingent Rights*~		1,600		0
Clinical Data, Inc.*~		354		0
Durata Therapeutics CVR Shares~		500		580
Furiex Pharmaceuticals Rights~		300		2,931
Leap Wireless CVR~		2,300		5,796

TOTAL RIGHTS (Cost $8,671)				9,307

	Par (000)		Value† Value†
U.S. TREASURY OBLIGATIONS — 0.2%
U.S. Treasury Bills
0.005%, 04/23/15	$	60		59,993
0.000%, 01/29/15¤		65		65,000
0.000%, 03/12/15¤		15		14,999

TOTAL U.S. TREASURY OBLIGATIONS (Cost $139,999)				139,992


	Number of Shares		Value†
WARRANTS — 0.0%
Magnum Hunter Resources Corp.~ (Cost $0)*		780	$	0

SHORT-TERM INVESTMENTS — 2.3%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,542,300)		1,542,300		1,542,300

TOTAL INVESTMENTS — 104.1% (Cost $49,888,894)			$	69,367,736

Other Assets & Liabilities — (4.1%)				(2,709,750	)

TOTAL NET ASSETS — 100.0%			$	66,657,986

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $9,411.

†	See Security Valuation Note.

*	Non-income producing security.

¤	Zero Coupon Bond. The interest rate disclosed represents the effective yield from the date of acquisition to maturity.

PLC — Public Limited Company.

REIT — Real Estate Investment Trust.


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value		Value†
Advertising		0.1%	$	86,690
Aerospace & Defense		1.7%		1,036,712
Agriculture		0.3%		201,078
Airlines		0.6%		347,452
Apparel		0.9%		569,579
Auto Manufacturers		0.1%		32,136
Auto Parts & Equipment		1.3%		828,825
Banks		8.2%		5,048,238
Beverages		0.2%		134,942
Biotechnology		3.3%		2,014,844
Building Materials		1.3%		783,868
Chemicals		2.1%		1,303,470
Coal		0.2%		120,304
Commercial Services		6.0%		3,671,960
Computers		2.4%		1,494,095
Cosmetics & Personal Care		0.1%		52,856
Distribution & Wholesale		1.1%		658,315
Diversified Financial Services		2.9%		1,796,289
Electric		2.3%		1,409,451
Electrical Components & Equipment		1.1%		685,172
Electronics		2.3%		1,445,560
Energy-Alternate Sources		0.4%		243,903
Engineering & Construction		0.9%		532,698
Entertainment		0.8%		523,390
Environmental Control		0.6%		373,641
Food		2.2%		1,326,992
Forest Products & Paper		0.6%		381,311
Gas		1.2%		768,386
Hand & Machine Tools		0.1%		73,934


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value			Value†
Healthcare Products		4.2%		$	2,552,483
Healthcare Services		1.9%			1,166,534
Holding Companies		0.2%			96,324
Home Builders		0.8%			505,808
Home Furnishings		0.6%			353,992
Hotels & Resorts		0.1%			71,088
Household Products & Wares		0.5%			285,796
Housewares		—%	+		28,592
Insurance		3.4%			2,091,996
Internet		2.5%			1,528,630
Investment Companies		0.1%			43,538
Iron & Steel		0.3%			162,246
Leisure Time		0.8%			473,034
Lodging		0.1%			72,780
Machinery — Construction & Mining		0.1%			59,939
Machinery — Diversified		1.0%			628,215
Media		1.2%			737,170
Metal Fabricate/Hardware		0.9%			582,769
Mining		0.7%			415,125
Miscellaneous Manufacturing		2.0%			1,216,127
Office & Business Equipment		—%	+		17,368
Office Furnishings		0.5%			289,865
Oil & Gas		1.7%			1,039,909
Oil & Gas Services		1.0%			621,886
Packaging and Containers		0.5%			297,526
Pharmaceuticals		4.8%			2,974,790
Pipelines		0.2%			150,891
Real Estate		0.5%			297,249
Retail		6.6%			4,048,404
Savings & Loans		1.8%			1,108,545
Semiconductors		3.8%			2,315,157
Software		5.3%			3,232,850
Storage & Warehousing		0.2%			105,954
Telecommunications		3.5%			2,124,229
Textiles		0.2%			139,813
Toys, Games & Hobbies		—%	+		17,074
Transportation		2.2%			1,323,438
Trucking and Leasing		0.2%			140,459
Water		0.3%			174,010


		100.0%		$	61,437,694

+ Rounded.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Advertising	$	86,690	$	86,690	$	—	$	—
Aerospace & Defense		1,036,712		1,036,712		—		—
Agriculture		201,078		201,078		—		—
Airlines		347,452		347,452		—		—
Apparel		569,579		569,579		—		—
Auto Manufacturers		32,136		32,136		—		—
Auto Parts & Equipment		828,825		828,825		—		—
Banks		5,048,238		5,048,238		—		—


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS (continued)
Beverages	$	134,942	$	134,942	$	—	$	—
Biotechnology		2,014,844		2,014,844		—		—
Building Materials		783,868		783,868		—		—
Chemicals		1,303,470		1,303,470		—		—
Coal		120,304		120,304		—		—
Commercial Services		3,671,960		3,671,960		—		—
Computers		1,494,095		1,494,095		—		—
Cosmetics & Personal Care		52,856		52,856		—		—
Distribution & Wholesale		658,315		658,315		—		—
Diversified Financial Services		1,796,289		1,796,185		104		—
Electric		1,409,451		1,409,451		—		—
Electrical Components & Equipment		685,172		685,172		—		—
Electronics		1,445,560		1,445,560		—		—
Energy-Alternate Sources		243,903		243,903		—		—
Engineering & Construction		532,698		532,698		—		—
Entertainment		523,390		523,390		—		—
Environmental Control		373,641		373,641		—		—
Food		1,326,992		1,326,992		—		—
Forest Products & Paper		381,311		381,311		—		—
Gas		768,386		768,386		—		—
Hand & Machine Tools		73,934		73,934		—		—
Healthcare Products		2,552,483		2,552,483		—		—
Healthcare Services		1,166,534		1,166,534		—		—
Holding Companies		96,324		96,324		—		—
Home Builders		505,808		505,808		—		—
Home Furnishings		353,992		353,992		—		—
Hotels & Resorts		71,088		71,088		—		—
Household Products & Wares		285,796		285,796		—		—
Housewares		28,592		28,592		—		—
Insurance		2,091,996		2,091,996		—		—
Internet		1,528,630		1,528,630		—		—
Investment Companies		43,538		43,538		—		—
Iron & Steel		162,246		162,246		—		—
Leisure Time		473,034		473,034		—		—
Lodging		72,780		72,780		—		—
Machinery — Construction & Mining		59,939		59,939		—		—
Machinery — Diversified		628,215		628,215		—		—
Media		737,170		737,170		—		—
Metal Fabricate/Hardware		582,769		582,769		—		—
Mining		415,125		415,125		—		—
Miscellaneous Manufacturing		1,216,127		1,216,127		—		—
Office & Business Equipment		17,368		17,368		—		—
Office Furnishings		289,865		289,865		—		—


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS (continued)
Oil & Gas	$	1,039,909	$	1,039,909	$	—	$	—
Oil & Gas Services		621,886		621,886		—		—
Packaging and Containers		297,526		297,526		—		—
Pharmaceuticals		2,974,790		2,974,790		—		—
Pipelines		150,891		150,891		—		—
Real Estate		297,249		297,249		—		—
Retail		4,048,404		4,048,404		—		—
Savings & Loans		1,108,545		1,108,545		—		—
Semiconductors		2,315,157		2,315,157		—		—
Software		3,232,850		3,232,850		—		—
Storage & Warehousing		105,954		105,954		—		—
Telecommunications		2,124,229		2,124,229		—		—
Textiles		139,813		139,813		—		—
Toys, Games & Hobbies		17,074		17,074		—		—
Transportation		1,323,438		1,323,438		—		—
Trucking and Leasing		140,459		140,459		—		—
Water		174,010		174,010		—		—
REAL ESTATE INVESTMENT TRUSTS		6,238,443		6,238,443		—		—
U.S. TREASURY OBLIGATIONS		139,992		—		139,992		—
RIGHTS		9,307		—		9,307		—
SHORT-TERM INVESTMENTS		1,542,300		1,542,300		—		—

TOTAL INVESTMENTS	$	69,367,736	$	69,218,333	$	149,403	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 92.9%
Australia — 7.0%
AGL Energy Ltd.		5,172	$	56,412
ALS Ltd.		2,665		11,544
Alumina Ltd.*		24,432		35,297
Amcor Ltd.		8,920		98,141
AMP Ltd.		23,946		106,650
APA Group		8,753		52,914
Asciano Ltd.		6,807		33,336
ASX Ltd.		1,401		41,798
Aurizon Holdings Ltd.		15,495		57,987
Ausnet Services		17,025		18,393
Australia & New Zealand Banking Group Ltd.		21,015		546,809
Bank of Queensland Ltd.		2,849		28,068
Bendigo & Adelaide Bank Ltd.		3,464		36,018
BHP Billiton Ltd.		24,557		580,592
Boral Ltd.		7,228		31,018
Brambles Ltd.		11,190		96,393
Caltex Australia Ltd.		1,064		29,523
Coca-Cola Amatil Ltd.		4,861		36,701
Cochlear Ltd.		371		23,405
Commonwealth Bank of Australia		12,395		861,189
Computershare Ltd.		3,381		32,341
Crown Resorts Ltd.		2,801		28,806
CSL Ltd.		3,583		251,690
Dexus Property Group		6,834		38,686
Federation Centres		9,200		21,420
Flight Centre Travel Group Ltd.		439		11,621
Fortescue Metals Group Ltd.		13,816		30,335
Goodman Group		14,211		65,639
Harvey Norman Holdings Ltd.		3,235		8,830
Healthscope Ltd.*		7,253		16,024
Iluka Resources Ltd.		2,885		13,855
Incitec Pivot Ltd.		13,459		34,815
Insurance Australia Group Ltd.		19,230		97,641
Leighton Holdings Ltd.		829		15,095
Lend Lease Group		4,265		56,805
Macquarie Group Ltd.		2,346		110,630
Medibank Pvt. Ltd.*		21,209		41,729
Metcash Ltd.		6,248		9,416
Mirvac Group		26,971		39,015
National Australia Bank Ltd.		18,476		503,846
Newcrest Mining Ltd.		6,279		55,248
Novion Property Group		14,940		25,679
Orica Ltd.		2,861		43,841
Origin Energy Ltd.		8,774		83,015
Qantas Airways Ltd.*		6,627		12,872
QBE Insurance Group Ltd.		10,872		98,722
Ramsay Health Care Ltd.		980		45,431
REA Group Ltd.		400		14,666
Rio Tinto Ltd.		3,224		151,144
Santos Ltd.		7,589		50,693
Scentre Group*		41,494		117,560
Seek Ltd.		2,700		37,649
Sonic Healthcare Ltd.		3,379		50,836
Stockland		17,283		57,758
Suncorp Group Ltd.		9,636		110,080


	Number of Shares		Value†

Australia — (continued)
Sydney Airport		9,267	$	35,479
Tabcorp Holdings Ltd.		6,501		21,946
Tatts Group Ltd.		12,832		36,090
Telstra Corp. Ltd.		33,844		164,307
The GPT Group		14,881		52,665
The GPT Group, In Specie~		16,419		0
Toll Holdings Ltd.		4,477		21,326
TPG Telecom Ltd.		2,224		12,166
Transurban Group		14,197		98,935
Treasury Wine Estates Ltd.		5,248		20,256
Wesfarmers Ltd.		8,771		296,965
Westfield Corp.		14,100		103,358
Westpac Banking Corp.		24,415		656,661
Woodside Petroleum Ltd.		5,940		183,708
Woolworths Ltd.		9,465		235,202
WorleyParsons Ltd.		1,418		11,615

				7,116,300

Austria — 0.2%
Andritz AG		668		36,724
Erste Group Bank AG		1,965		45,703
Immoeast AG~		2,678		0
IMMOFINANZ AG		6,387		16,086
OMV AG		1,135		30,138
Raiffeisen Bank International AG		750		11,460
Vienna Insurance Group AG Wiener Versicherung Gruppe		300		13,408
Voestalpine AG		1,009		39,869

				193,388

Belgium — 1.2%
Ageas		1,719		61,120
Anheuser-Busch InBev N.V.		6,144		691,456
Belgacom S.A.		1,133		41,109
Colruyt S.A.		647		30,079
Delhaize Group S.A.		900		65,543
Groupe Bruxelles Lambert S.A.		667		56,909
KBC Groep N.V.		1,797		100,291
Solvay S.A.		480		64,951
Telenet Group Holding N.V.*		377		21,156
UCB S.A.		1,013		77,026
Umicore S.A.		1,008		40,562

				1,250,202

Bermuda — 0.0%
Seadrill Ltd.		3,129		36,203

China — 0.1%
Sands China Ltd.		19,200		93,468
Yangzijiang Shipbuilding Holdings Ltd.		19,000		17,218

				110,686

Denmark — 1.4%
A.P. Moller - Maersk A/S, B Shares		55		109,392
A.P. Moller - Maersk A/S, A Shares		31		59,322
Carlsberg A/S, B Shares		840		64,512
Coloplast A/S, B Shares		905		75,734
Danske Bank A/S		5,150		139,235


	Number of Shares		Value†
COMMON STOCKS — (continued)
Denmark — (continued)
DSV A/S		1,264	$	38,488
ISS A/S*		610		17,509
Novo Nordisk A/S, B Shares		15,346		649,133
Novozymes A/S, B Shares		1,916		80,651
Pandora A/S		923		74,816
TDC A/S		6,200		47,287
Tryg A/S		193		21,565
Vestas Wind Systems A/S*		1,794		65,152
William Demant Holding A/S*		138		10,498

				1,453,294

Finland — 0.8%
Elisa OYJ		1,000		27,295
Fortum OYJ		3,489		75,752
Kone OYJ, B Shares		2,334		106,262
Metso OYJ		661		19,790
Neste Oil OYJ		812		19,778
Nokia OYJ		28,055		221,882
Nokian Renkaat OYJ		765		18,661
Orion OYJ, B Shares		750		23,326
Sampo OYJ, A Shares		3,551		166,238
Stora Enso OYJ, R Shares		4,323		38,652
UPM-Kymmene OYJ		4,158		68,142
Wartsila OYJ Abp		1,184		52,994

				838,772

France — 8.6%
Accor S.A.		1,266		56,908
Aeroports de Paris		215		25,999
Air Liquide S.A.		2,597		321,353
Alcatel-Lucent*		21,121		75,555
Alstom S.A.		1,899		61,248
Arkema S.A.		577		38,161
AtoS S.A.		517		41,079
AXA S.A.		13,729		316,359
BNP Paribas S.A.		8,063		475,993
Bollore S.A.		4,400		20,038
Bouygues S.A.		1,207		43,583
Bureau Veritas S.A.		1,772		39,260
Cap Gemini S.A.		1,033		73,877
Carrefour S.A.		4,584		139,498
Casino Guichard Perrachon S.A.		468		43,039
Christian Dior S.A.		408		69,824
CNP Assurances		1,617		28,666
Compagnie de Saint-Gobain		3,494		148,009
Compagnie Generale des Establissements Michelin, B Shares		1,486		134,137
Credit Agricole S.A.		7,232		93,355
Danone S.A.		4,357		284,853
Dassault Systemes S.A.		976		59,517
Edenred		1,675		46,324
Electricite de France S.A.		2,020		55,607
Essilor International S.A.		1,615		180,104
Eurazeo S.A.		327		22,902
Eutelsat Communications S.A.		1,288		41,654
Fonciere Des Regions		262		24,215


	Number of Shares		Value†

France — (continued)
GDF Suez		10,880	$	253,712
Gecina S.A.		190		23,719
Groupe Eurotunnel S.A.		3,742		48,310
Hermes International		126		44,867
ICADE		313		25,044
Iliad S.A.		205		49,290
Imerys S.A.		213		15,671
JCDecaux S.A.		400		13,772
Kering		548		105,310
Klepierre		874		37,528
L’Oreal S.A.		1,894		317,003
Lafarge S.A.		1,338		93,928
Lagardere S.C.A.		948		24,688
Legrand S.A.		2,075		108,851
LVMH Moet Hennessy Louis Vuitton S.A.		2,114		334,862
Natixis		7,282		48,051
Numericable-SFR*		671		33,241
Orange S.A.		13,811		234,880
Pernod Ricard S.A.		1,689		187,712
Peugeot S.A.		3,574		43,790
Publicis Groupe S.A.		1,450		103,988
Remy Cointreau S.A.		152		10,141
Renault S.A.		1,493		108,745
Rexel S.A.		1,862		33,360
Safran S.A.		2,129		131,349
Sanofi S.A.		9,096		829,289
Schneider Electric S.A.		3,929		286,147
SCOR SE		1,378		41,754
Societe BIC S.A.		246		32,699
Societe Generale S.A.		5,416		226,661
Sodexo		765		74,882
Suez Environment Co.		2,507		43,680
Technip S.A.		838		49,918
Thales S.A.		773		41,825
Total S.A.		16,413		840,873
Unibail-Rodamco SE		725		185,989
Valeo S.A.		573		71,299
Vallourec S.A.		794		21,519
Veolia Environment S.A.		2,970		52,607
Vinci S.A.		3,607		196,952
Vivendi S.A.		9,039		224,986
Wendel S.A.		253		28,347
Zodiac Aerospace		1,348		45,384

				8,687,740

Germany — 8.0%
Adidas AG		1,710		118,752
Allianz SE		3,480		576,381
Axel Springer AG		327		19,723
BASF SE		7,014		588,342
Bayer AG		6,334		863,380
Bayerische Motoren Werke AG		2,488		268,501
Beiersdorf AG		792		64,306
Brenntag AG		1,140		63,738
Celesio AG		516		16,631
Commerzbank AG*		7,602		99,713


	Number of Shares		Value†
COMMON STOCKS — (continued)
Germany — (continued)
Continental AG		878	$	185,191
Daimler AG		7,340		609,618
Deutsche Annington Immobilien SE		1,781		60,468
Deutsche Bank AG		10,441		312,650
Deutsche Boerse AG		1,516		107,730
Deutsche Lufthansa AG		1,991		32,993
Deutsche Post AG		7,242		235,090
Deutsche Telekom AG		24,414		390,633
Deutsche Wohnen AG		2,258		53,266
E.ON SE		15,047		257,179
Fraport AG Frankfurt Airport Services Worldwide		272		15,695
Fresenius Medical Care AG & Co. KGaA		1,772		132,257
Fresenius SE & Co. KGaA		2,961		153,955
GEA Group AG		1,522		66,917
Hannover Rueck SE		474		42,760
HeidelbergCement AG		1,060		74,815
Henkel AG & Co. KGaA		823		79,723
Hugo Boss AG		325		39,758
Infineon Technologies AG		8,492		89,861
K+S AG		1,330		36,702
Kabel Deutschland Holding AG		172		23,309
LANXESS AG		691		32,002
Linde AG		1,395		256,963
MAN SE		297		33,077
Merck KGaA		1,016		95,614
Metro AG		1,107		33,839
Muenchener Ruckversicherungs AG		1,298		258,481
OSRAM Licht AG		667		26,186
ProSiebenSat.1 Media AG		1,773		74,082
RWE AG		3,801		117,317
SAP AG		7,014		489,777
Siemens AG		6,062		680,181
Symrise AG		897		54,040
Telefonica Deutschland Holding AG		4,698		24,899
ThyssenKrupp AG		3,706		94,406
TUI AG*		1,798		28,892
United Internet AG		908		40,901
Volkswagen AG		247		53,551

				8,074,245

Guernsey — 0.1%
Friends Life Group Ltd.		10,186		57,849

Hong Kong — 2.8%
AIA Group Ltd.		91,800		506,320
ASM Pacific Technology Ltd.		1,700		16,186
Bank of East Asia Ltd.		11,040		44,337
BOC Hong Kong Holdings Ltd.		27,500		91,634
Cathay Pacific Airways Ltd.		10,000		21,803
Cheung Kong Holdings Ltd.		11,000		184,215
Cheung Kong Infrastructure Holdings Ltd.		4,000		29,415
CLP Holdings Ltd.		14,000		121,232
First Pacific Co., Ltd.		15,750		15,553
Galaxy Entertainment Group Ltd.		18,000		100,021
Hang Lung Properties Ltd.		19,000		53,004


	Number of Shares		Value†

Hong Kong — (continued)
Hang Seng Bank Ltd.		5,600	$	93,075
Henderson Land Development Co., Ltd.		9,130		63,456
HKT Trust & HKT Ltd.		21,240		27,664
Hong Kong & China Gas Co., Ltd.		49,145		111,969
Hong Kong Exchanges & Clearing Ltd.		8,230		181,691
Hutchison Whampoa Ltd.		17,000		194,337
Hysan Development Co., Ltd.		6,140		27,249
Kerry Properties Ltd.		3,509		12,659
Li & Fung Ltd.		50,000		46,811
MGM China Holdings Ltd.		8,400		21,209
MTR Corp., Ltd.		11,264		46,084
New World Development Co., Ltd.		46,324		53,180
Noble Group Ltd.		38,270		32,650
NWS Holdings Ltd.		12,295		22,552
PCCW Ltd.		33,068		22,516
Power Assets Holdings Ltd.		10,000		96,680
Shangri-La Asia Ltd.		6,666		9,134
Sino Land Co., Ltd.		21,063		33,813
SJM Holdings Ltd.		17,000		26,875
Sun Hung Kai Properties Ltd.		12,161		184,245
Swire Pacific Ltd., A Shares		5,000		64,902
Swire Properties Ltd.		9,336		27,470
Techtronic Industries Co.		11,000		35,289
The Link REIT		18,176		113,796
The Wharf Holdings Ltd.		11,000		78,970
WH Group Ltd.*		23,670		13,498
Wheelock & Co., Ltd.		7,000		32,501
Yue Yuen Industrial Holdings Ltd.		7,000		25,171

				2,883,166

Ireland — 0.8%
Anglo Irish Bank Corp. PLC~		3,146		0
Bank of Ireland*		220,348		82,695
CRH PLC*		5,376		129,269
Experian PLC		7,210		121,539
James Hardie Industries PLC		3,154		33,670
Kerry Group PLC, A Shares		1,174		81,107
Ryanair Holdings PLC ADR*		59		4,205
Shire PLC		4,642		329,118

				781,603

Israel — 0.5%
Bank Hapoalim BM		8,292		38,990
Bank Leumi Le-Israel BM*		11,337		38,730
Bezeq The Israeli Telecommunication Corp., Ltd.		15,011		26,627
Delek Group Ltd.		36		9,030
Israel Chemicals Ltd.		3,410		24,536
Mizrahi Tefahot Bank Ltd.*		783		8,194
NICE Systems Ltd.		400		20,229
Teva Pharmaceutical Industries Ltd.		6,458		370,204
The Israel Corp. Ltd.*		16		7,573

				544,113

Italy — 1.9%
Assicurazioni Generali SpA		8,750		179,663
Atlantia SpA		3,091		71,841


	Number of Shares		Value†
COMMON STOCKS — (continued)
Italy — (continued)
Banca Monte Dei Paschi di Siena SpA*		34,821	$	19,837
Banco Popolare SC*		3,001		36,107
Enel Green Power SpA		13,747		28,802
Enel SpA		52,111		232,286
Eni SpA		19,331		338,612
Exor SpA		848		34,795
Finmeccanica SpA		3,179		29,548
Intesa Sanpaolo SpA		87,408		253,563
Intesa Sanpaolo SpA, RSP		4,624		11,393
Luxottica Group SpA		1,314		72,032
Mediobanca SpA		4,539		36,882
Pirelli & C. SpA		1,674		22,578
Prysmian SpA		1,833		33,404
Saipem SpA		2,015		21,123
Snam Rete Gas SpA		17,071		84,488
Telecom Italia SpA		84,348		89,956
Telecom Italia SpA, RSP		38,303		32,023
Terna Rete Elettrica Nasionale SpA		11,628		52,817
UniCredit SpA		33,145		212,315
Unione di Banche Italiane SCpA		7,359		52,634
Unipolsai SpA		8,602		23,160

				1,969,859

Japan — 19.7%
ABC-Mart, Inc.		200		9,678
Acom Co., Ltd.*		3,200		9,769
Advantest Corp.		1,200		14,873
Aeon Co., Ltd.		4,900		49,243
AEON Financial Service Co., Ltd.		700		13,826
Aeon Mall Co., Ltd.		710		12,582
Air Water, Inc.		1,000		15,839
Aisin Seiki Co., Ltd.		1,400		50,300
Ajinomoto Co., Inc.		4,000		74,468
Alfresa Holdings Corp.		1,600		19,322
Amada Co., Ltd.		3,000		25,706
ANA Holdings, Ltd.		11,000		27,199
Aozora Bank Ltd.		10,000		30,955
Asahi Glass Co., Ltd.		7,000		34,077
Asahi Group Holdings Ltd.		3,200		98,999
Asahi Kasei Corp.		9,000		82,102
Asics Corp.		1,000		24,075
Astellas Pharma, Inc.		17,000		236,676
Bandai Namco Holdings, Inc.		1,100		23,288
Benesse Holdings, Inc.		700		20,771
Bridgestone Corp.		4,800		166,473
Brother Industries Ltd.		1,500		27,191
Calbee, Inc.		400		13,779
Canon, Inc.		8,500		270,162
Casio Computer Co., Ltd.		1,500		22,946
Central Japan Railway Co.		1,100		164,864
Chiyoda Corp.		1,000		8,285
Chubu Electric Power Co., Inc.		5,100		59,930
Chugai Pharmaceutical Co., Ltd.		1,800		44,196
Citizen Holdings Co., Ltd.		1,400		10,772
Credit Saison Co., Ltd.		1,500		27,895
Dai Nippon Printing Co., Ltd.		5,000		45,033


	Number of Shares		Value†

Japan — (continued)
Daicel Corp.		2,000	$	23,361
Daihatsu Motor Co., Ltd.		1,800		23,509
Daiichi Sankyo Co., Ltd.		4,500		62,922
Daikin Industries Ltd.		1,800		115,423
Daito Trust Construction Co., Ltd.		600		68,063
Daiwa House Industry Co., Ltd.		4,300		81,232
Daiwa Securities Group, Inc.		13,000		101,792
Denso Corp.		3,600		167,788
Dentsu, Inc.		1,800		75,675
Don Quijote Holdings Co., Ltd.		400		27,499
East Japan Railway Co.		2,500		188,427
Eisai Co., Ltd.		2,000		77,346
Electric Power Development Co., Ltd.		1,000		33,791
FamilyMart Co., Ltd.		500		18,832
FANUC Corp.		1,500		247,321
Fast Retailing Co., Ltd.		400		145,558
Fuji Electric Co., Ltd.		4,000		15,948
Fuji Heavy Industries Ltd.		4,500		159,237
FUJIFILM Holdings Corp.		3,300		100,695
Fujitsu Ltd.		13,000		69,312
Fukuoka Financial Group, Inc.		6,000		30,933
GungHo Online Entertainment, Inc.		3,000		10,862
Hakuhodo DY Holdings, Inc.		2,500		23,925
Hamamatsu Photonics K.K.		500		23,801
Hankyu Hanshin Holdings, Inc.		10,000		53,641
Hino Motors Ltd.		2,000		26,327
Hirose Electric Co., Ltd.		200		23,205
Hisamitsu Pharmaceutical Co., Ltd.		400		12,613
Hitachi Chemical Co., Ltd.		1,000		17,667
Hitachi Construction Machinery Co., Ltd.		1,000		21,143
Hitachi High-Technologies Corp.		500		14,363
Hitachi Ltd.		36,000		265,708
Hitachi Metals Ltd.		2,000		33,982
Hokuhoku Financial Group, Inc.		10,000		20,165
Hokuriku Electric Power Co.		1,200		15,324
Honda Motor Co., Ltd.		12,400		363,795
Hoya Corp.		3,500		118,387
Hulic Co., Ltd.		2,500		24,993
Ibiden Co., Ltd.		1,300		19,196
Idemitsu Kosan Co., Ltd.		400		6,605
IHI Corp.		12,000		60,773
Iida Group Holdings Co., Ltd.		1,000		12,182
Inpex Corp.		7,200		80,157
Isetan Mitsukoshi Holdings Ltd.		2,500		30,935
Isuzu Motors Ltd.		4,500		54,811
ITOCHU Corp.		11,800		125,966
Itochu Technology Solutions Corp.		300		10,585
J. Front Retailing Co., Ltd.		2,000		23,164
Japan Airlines Co., Ltd.		1,000		29,649
Japan Display, Inc.		3,000		9,156
Japan Exchange Group, Inc.		2,000		46,622
Japan Prime Realty Investment Corp.		5		17,397
Japan Real Estate Investment Corp.		10		48,183
Japan Retail Fund Investment Corp.		20		42,266
Japan Tobacco, Inc.		8,300		228,439
JFE Holdings, Inc.		3,700		82,513


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
JGC Corp.		1,000	$	20,587
JSR Corp.		1,100		18,881
JTEKT Corp.		1,500		25,245
JX Holdings, Inc.		17,690		68,843
Kajima Corp.		7,000		28,786
Kakaku.Com, Inc.		1,100		15,737
Kamigumi Co., Ltd.		2,000		17,816
Kaneka Corp.		2,000		10,716
Kansai Paint Co., Ltd.		2,000		30,984
Kao Corp.		3,800		149,851
Kawasaki Heavy Industries Ltd.		10,000		45,475
KDDI Corp.		4,400		276,426
Keihan Electric Railway Co., Ltd.		3,000		16,054
Keikyu Corp.		4,000		29,595
Keio Corp.		5,000		35,968
Keisei Electric Railway Co., Ltd.		2,000		24,319
Keyence Corp.		341		151,948
Kikkoman Corp.		1,000		24,509
Kintetsu Corp.		13,000		42,743
Kirin Holdings Co., Ltd.		5,800		72,070
Kobe Steel Ltd.		26,000		44,785
Koito Manufacturing Co., Ltd.		600		18,355
Komatsu Ltd.		7,300		161,388
Konami Corp.		600		11,000
Konica Minolta, Inc.		4,000		43,584
Kubota Corp.		9,000		130,633
Kuraray Co., Ltd.		2,400		27,268
Kurita Water Industries Ltd.		800		16,682
Kyocera Corp.		2,600		118,975
Kyowa Hakko Kirin Co., Ltd.		2,000		18,833
Kyushu Electric Power Co., Inc.		2,900		29,044
Lawson, Inc.		600		36,257
LIXIL Group Corp.		2,300		48,405
M3, Inc.		1,000		16,732
Mabuchi Motor Co., Ltd.		400		15,877
Makita Corp.		800		36,050
Marubeni Corp.		13,000		77,784
Marui Group Co., Ltd.		1,500		13,530
Maruichi Steel Tube Ltd.		300		6,385
Mazda Motor Corp.		3,900		93,661
McDonald’s Holdings Co., Ltd.		700		15,321
Medipal Holdings Corp.		1,500		17,520
MEIJI Holdings Co., Ltd.		500		45,490
Minebea Co., Ltd.		2,000		29,536
Miraca Holdings, Inc.		400		17,208
Mitsubishi Chemical Holdings Corp.		9,500		46,080
Mitsubishi Corp.		10,500		192,151
Mitsubishi Electric Corp.		15,000		178,171
Mitsubishi Estate Co., Ltd.		9,000		189,638
Mitsubishi Gas Chemical Co., Inc.		3,000		15,057
Mitsubishi Heavy Industries Ltd.		24,000		132,446
Mitsubishi Logistics Corp.		1,000		14,544
Mitsubishi Materials Corp.		7,000		23,222
Mitsubishi Motors Corp.		5,200		47,504
Mitsubishi Tanabe Pharma Corp.		1,900		27,851


	Number of Shares		Value†

Japan — (continued)
Mitsubishi UFJ Financial Group, Inc.		97,200	$	534,039
Mitsubishi UFJ Lease & Finance Co., Ltd.		4,600		21,633
Mitsui & Co., Ltd.		12,700		170,093
Mitsui Chemicals, Inc.		5,000		14,162
Mitsui Fudosan Co., Ltd.		7,000		187,709
Mitsui OSK Lines Ltd.		10,000		29,627
Mixi, Inc.		200		7,374
Mizuho Financial Group, Inc.		173,980		291,643
MS&AD Insurance Group Holdings, Inc.		3,590		85,077
Murata Manufacturing Co., Ltd.		1,600		174,594
Nabtesco Corp.		700		16,918
Nagoya Railroad Co., Ltd.		7,000		26,063
NEC Corp.		21,000		61,026
Nexon Co. Ltd.		1,100		10,254
NGK Insulators Ltd.		2,000		40,997
NGK Spark Plug Co., Ltd.		1,400		42,540
NH Foods Ltd.		1,000		21,878
NHK Spring Co., Ltd.		1,200		10,442
Nidec Corp.		1,600		103,337
Nikon Corp.		2,900		38,532
Nintendo Co., Ltd.		800		83,486
Nippon Building Fund, Inc.		10		50,201
Nippon Electric Glass Co., Ltd.		2,000		9,000
Nippon Express Co., Ltd.		8,000		40,542
Nippon Paint Co., Ltd.		1,000		28,978
Nippon Prologis REIT, Inc.		10		21,713
Nippon Steel & Sumitomo Metal Corp.		59,170		146,779
Nippon Telegraph & Telephone Corp.		2,800		143,031
Nippon Yusen K.K.		13,000		36,719
Nissan Motor Co., Ltd.		19,400		169,202
Nisshin Seifun Group, Inc.		1,815		17,571
Nissin Foods Holdings Co., Ltd.		500		23,832
Nitori Holdings Co., Ltd.		600		32,237
Nitto Denko Corp.		1,200		67,051
NOK Corp.		1,000		25,453
Nomura Holdings, Inc.		28,500		161,282
Nomura Real Estate Holdings, Inc.		1,000		17,112
Nomura Research Institute Ltd.		600		18,351
NSK Ltd.		4,000		47,227
NTT Data Corp.		1,000		37,255
NTT DOCOMO, Inc.		11,400		166,019
NTT Urban Development Corp.		1,000		10,071
Obayashi Corp.		6,000		38,677
Odakyu Electric Railway Co., Ltd.		5,000		44,291
Oji Holdings Corp.		6,000		21,467
Olympus Corp.		2,000		70,061
Omron Corp.		1,600		71,577
Ono Pharmaceutical Co., Ltd.		600		53,121
Oracle Corp. Japan		200		8,149
Oriental Land Co., Ltd.		400		92,246
ORIX Corp.		9,700		122,053
Osaka Gas Co., Ltd.		16,000		59,759
Otsuka Corp.		300		9,513
Otsuka Holdings Co., Ltd.		3,000		89,944
Panasonic Corp.		16,400		193,166


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
Park24 Co., Ltd.		800	$	11,777
Rakuten, Inc.		6,200		86,216
Recruit Holdings Co., Ltd.		1,000		28,719
Resona Holdings, Inc.		17,800		89,917
Ricoh Co., Ltd.		5,000		50,545
Rinnai Corp.		300		20,158
Rohm Co., Ltd.		600		36,152
Sankyo Co., Ltd.		400		13,722
Sanrio Co., Ltd.		300		7,412
Santen Pharmaceutical Co., Ltd.		600		32,301
SBI Holdings, Inc.		1,710		18,683
Secom Co., Ltd.		1,700		97,673
Sega Sammy Holdings, Inc.		1,200		15,353
Seibu Holdings, Inc.		1,000		20,388
Seiko Epson Corp.		1,100		46,029
Sekisui Chemical Co., Ltd.		3,000		36,093
Sekisui House Ltd.		4,000		52,632
Seven & I Holdings Co., Ltd.		5,600		201,440
Seven Bank Ltd.		5,300		22,247
Sharp Corp.		11,000		24,335
Shikoku Electric Power Co., Inc.		1,300		15,769
Shimadzu Corp.		2,000		20,344
Shimamura Co., Ltd.		200		17,259
Shimano, Inc.		600		77,713
Shimizu Corp.		5,000		33,960
Shin-Etsu Chemical Co., Ltd.		3,200		208,319
Shinsei Bank Ltd.		14,000		24,366
Shionogi & Co., Ltd.		2,100		54,255
Shiseido Co., Ltd.		3,200		44,878
Showa Shell Sekiyu K.K.		1,000		9,850
SMC Corp.		400		104,890
SoftBank Corp.		7,300		434,520
Sompo Japan Nipponkoa Holdings, Inc.		2,825		71,042
Sony Corp.		8,300		169,397
Sony Financial Holdings, Inc.		1,200		17,670
Stanley Electric Co., Ltd.		1,300		28,071
Sumitomo Chemical Co., Ltd.		12,000		47,241
Sumitomo Corp.		8,100		83,193
Sumitomo Dainippon Pharma Co., Ltd.		1,400		13,557
Sumitomo Electric Industries Ltd.		5,900		73,687
Sumitomo Heavy Industries Ltd.		3,000		16,137
Sumitomo Metal Mining Co., Ltd.		4,000		59,660
Sumitomo Mitsui Financial Group, Inc.		9,600		347,066
Sumitomo Mitsui Trust Holdings, Inc.		25,430		97,404
Sumitomo Realty & Development Co., Ltd.		3,000		102,207
Sumitomo Rubber Industries Ltd.		1,200		17,839
Suntory Beverage & Food Ltd.		1,000		34,549
Suruga Bank Ltd.		1,000		18,377
Suzuken Co., Ltd.		400		11,049
Suzuki Motor Corp.		2,800		83,909
Sysmex Corp.		1,000		44,382
T&D Holdings, Inc.		5,100		61,138
Taiheiyo Cement Corp.		8,000		25,099
Taisei Corp.		8,000		45,376
Taisho Pharmaceutical Holdings Co., Ltd.		300		18,330


	Number of Shares		Value†

Japan — (continued)
Taiyo Nippon Sanso Corp.		1,000	$	11,009
Takashimaya Co., Ltd.		2,000		15,969
Takeda Pharmaceutical Co., Ltd.		5,900		244,247
TDK Corp.		900		53,006
Teijin Ltd.		6,000		15,947
Terumo Corp.		2,200		49,932
The Bank of Kyoto Ltd.		3,000		25,079
The Bank of Yokohama Ltd.		10,000		54,313
The Chiba Bank Ltd.		5,000		32,764
The Chugoku Bank Ltd.		1,000		13,631
The Chugoku Electric Power Co., Inc.		2,100		27,456
The Dai-ichi Life Insurance Co., Ltd.		8,500		129,029
The Gunma Bank Ltd.		3,000		19,469
The Hachijuni Bank Ltd.		4,000		25,694
The Hiroshima Bank Ltd.		4,000		19,038
The Iyo Bank Ltd.		2,000		21,661
The Joyo Bank Ltd.		6,000		29,711
The Kansai Electric Power Co., Inc.		5,900		56,127
The Shizuoka Bank Ltd.		4,000		36,577
The Yokohama Rubber Co., Ltd.		2,000		18,211
THK Co., Ltd.		1,000		24,032
Tobu Railway Co., Ltd.		9,000		38,485
Toho Co., Ltd.		900		20,421
Toho Gas Co., Ltd.		3,000		14,677
Tohoku Electric Power Co., Inc.		3,100		36,073
Tokio Marine Holdings, Inc.		5,400		175,380
Tokyo Electric Power Co., Inc.*		12,200		49,621
Tokyo Electron Ltd.		1,400		106,162
Tokyo Gas Co., Ltd.		17,000		91,726
Tokyo Tatemono Co., Ltd.		3,000		21,833
Tokyu Corp.		10,000		61,965
Tokyu Fudosan Holdings Corp.		4,000		27,753
TonenGeneral Sekiyu K.K.		2,000		17,073
Toppan Printing Co., Ltd.		4,000		25,990
Toray Industries, Inc.		11,000		87,890
Toshiba Corp.		32,000		134,954
TOTO Ltd.		2,000		23,265
Toyo Seikan Group Holdings Ltd.		1,000		12,422
Toyo Suisan Kaisha Ltd.		600		19,319
Toyoda Gosei Co., Ltd.		400		8,046
Toyota Industries Corp.		1,200		61,502
Toyota Motor Corp.		20,900		1,302,434
Toyota Tsusho Corp.		1,800		41,814
Trend Micro, Inc.		800		22,107
Unicharm Corp.		3,000		71,907
United Urban Investment Corp.		19		29,908
USS Co., Ltd.		2,200		33,802
West Japan Railway Co.		1,300		61,462
Yahoo! Japan Corp.		10,400		37,273
Yakult Honsha Co., Ltd.		700		36,949
Yamada Denki Co., Ltd.		8,300		27,847
Yamaguchi Financial Group, Inc.		2,000		20,554
Yamaha Corp.		1,600		23,584
Yamaha Motor Co., Ltd.		2,400		48,018
Yamato Holdings Co., Ltd.		2,800		55,445


	Number of Shares		Value†
COMMON STOCKS — (continued)
Japan — (continued)
Yamato Kogyo Co., Ltd.		300	$	8,391
Yamazaki Baking Co., Ltd.		1,000		12,339
Yaskawa Electric Corp.		2,000		25,546
Yokogawa Electric Corp.		2,000		21,946

				20,030,112

Jersey — 0.1%
Randgold Resources Ltd.		735		49,899

Luxembourg — 0.4%
Altice S.A.*		694		54,804
ArcelorMittal		8,260		90,496
Millicom International Cellular S.A.		489		36,232
RTL Group S.A.		294		28,035
SES S.A.		2,387		85,646
Tenaris S.A.		3,987		60,247

				355,460

Macau — 0.0%
Wynn Macau Ltd.		12,400		34,594

Netherlands — 4.5%
Aegon N.V.		13,094		98,414
Airbus Group N.V.		4,420		218,517
Akzo Nobel N.V.		1,753		121,290
ASML Holding N.V.		2,705		292,269
CNH Industrial N.V.		7,320		59,256
Corio N.V.		573		28,061
Delta Lloyd N.V.		1,629		35,822
Gemalto N.V.		668		54,517
Heineken Holdings N.V.		898		56,216
Heineken N.V.		1,880		133,495
ING Groep N.V.*		29,258		378,005
Koninklijke Ahold NV		7,270		129,209
Koninklijke Boskalis Westminster N.V.		632		34,574
Koninklijke DSM N.V.		1,421		86,671
Koninklijke KPN N.V.		25,159		79,436
Koninklijke Philips N.V.		7,261		210,468
Koninklijke Vopak N.V.		584		30,299
NN Group NV*		843		25,167
OCI N.V.*		783		27,225
QIAGEN N.V.*		1,994		46,446
Randstad Holding N.V.		923		44,412
Reed Elsevier N.V.		5,178		123,654
Royal Dutch Shell PLC, A Shares		30,175		1,007,029
Royal Dutch Shell PLC, B Shares		18,661		644,759
TNT Express N.V.		3,470		23,133
Unilever N.V.		12,393		484,787
Wolters Kluwer N.V.		2,160		65,913

				4,539,044

New Zealand — 0.2%
Auckland International Airport Ltd.		7,482		24,619
Contact Energy Ltd.		2,990		14,849
Fletcher Building Ltd.		4,795		30,893
Meridian Energy Ltd.		7,526		10,281
Mighty River Power Ltd.		4,163		9,655


	Number of Shares		Value†

New Zealand — (continued)
Ryman Healthcare Ltd.		2,831	$	18,779
Spark New Zealand Ltd.		16,634		40,323

				149,399

Norway — 0.6%
DNB ASA		7,620		112,400
Gjensidige Forsikring ASA		1,418		23,138
Norsk Hydro ASA		10,203		57,474
Orkla ASA		6,430		43,772
Statoil ASA		8,879		156,331
Telenor ASA		6,070		122,788
Yara International ASA		1,246		55,487

				571,390

Portugal — 0.1%
Banco Comercial Portugues S.A.*		240,809		18,896
Banco Espirito Santo S.A.*~		27,017		0
EDP — Energias de Portugal S.A.		16,826		65,245
Galp Energia SGPS, S.A.		2,726		27,683
Jeronimo Martins SGPS, S.A.		2,107		21,113

				132,937

Singapore — 1.5%
Ascendas Real Estate Investment Trust		15,000		26,906
CapitaCommercial Trust		16,000		21,124
CapitaLand Ltd.		18,000		44,754
CapitaMall Trust		21,700		33,318
City Developments Ltd.		3,000		23,145
ComfortDelGro Corp. Ltd.		14,000		27,397
DBS Group Holdings Ltd.		13,514		209,215
Genting Singapore PLC		54,000		43,783
Global Logistic Properties Ltd.		26,000		48,474
Golden Agri-Resources Ltd.		65,000		22,496
Hutchison Port Holdings Trust		35,100		24,219
Jardine Cycle & Carriage Ltd.		1,000		32,038
Keppel Corp. Ltd.		11,600		77,318
Keppel Land Ltd.		5,431		13,991
Oversea-Chinese Banking Corp. Ltd.		23,096		181,719
Sembcorp Industries Ltd.		9,000		30,141
SembCorp Marine Ltd.		7,000		17,176
Singapore Airlines Ltd.		4,000		34,894
Singapore Exchange Ltd.		6,000		35,275
Singapore Press Holdings Ltd.		10,000		31,745
Singapore Technologies Engineering Ltd.		12,000		30,715
Singapore Telecommunications Ltd.		63,000		184,924
StarHub Ltd.		5,000		15,622
Suntec Real Estate Investment Trust		16,000		23,669
United Overseas Bank Ltd.		9,609		177,325
UOL Group Ltd.		4,128		21,580
Wilmar International Ltd.		17,000		41,423

				1,474,386

Spain — 3.2%
Abertis Infraestructuras S.A.		3,451		68,433
ACS Actividades de Construccion y Servicios S.A.		1,370		47,752
Amadeus IT Holding S.A.		3,040		121,075


	Number of Shares		Value†
COMMON STOCKS — (continued)
Spain — (continued)
Banco Bilbao Vizcaya Argentaria S.A.		45,630	$	430,949
Banco Bilbao Vizcaya Argentaria SA*		45,630		4,362
Banco de Sabadell S.A.		26,016		68,837
Banco Popular Espanol S.A.		13,439		66,991
Banco Santander S.A.		94,069		789,534
Bankia S.A.*		36,141		53,631
Bankinter S.A.		4,820		38,723
CaixaBank		17,000		89,078
Distribuidora Internacional de Alimentacion S.A.		4,084		27,674
Enagas S.A.		1,740		54,882
Ferrovial S.A.		3,441		68,022
Gas Natural SDG S.A.		2,914		73,202
Grifols S.A.		1,252		49,959
Iberdrola S.A.		39,157		263,948
Inditex S.A.		8,156		232,654
Mapfre S.A.		8,177		27,638
Red Electrica Corporacion S.A.		908		80,042
Repsol S.A.		8,161		152,781
Repsol SA*		8,161		4,513
Telefonica S.A.		32,047		460,117
Zardoya Otis S.A.		1,544		17,122

				3,291,919

Sweden — 2.8%
Alfa Laval AB		2,688		50,830
Assa Abloy AB, B Shares		2,432		128,450
Atlas Copco AB, A Shares		5,275		146,780
Atlas Copco AB, B Shares		2,722		69,677
Boliden AB		1,883		30,099
Electrolux AB, B Shares		1,720		50,257
Elekta AB, B Shares		3,250		33,227
Getinge AB, B Shares		1,448		32,974
Hennes & Mauritz AB, B Shares		7,149		297,005
Hexagon AB, B Shares		2,081		64,198
Husqvarna AB, B Shares		2,834		20,831
ICA Gruppen AB		521		20,287
Industrivarden AB, C Shares		1,227		21,298
Investment AB Kinnevik, B Shares		1,832		59,575
Investor AB, B Shares		3,414		124,126
Lundin Petroleum AB*		1,488		21,294
Nordea Bank AB		22,880		264,854
Sandvik AB		8,213		79,856
Securitas AB, B Shares		1,984		24,002
Skandinaviska Enskilda Banken AB, A Shares		12,133		154,072
Skanska AB, B Shares		2,985		64,089
SKF AB, B Shares		3,338		70,317
Svenska Cellulosa AB SCA, B Shares		4,703		101,391
Svenska Handelsbanken AB, A Shares		3,762		176,016
Swedbank AB, A Shares		6,778		168,168
Swedish Match AB		1,496		46,876
Tele2 AB, B Shares		2,927		35,469
Telefonaktiebolaget LM Ericsson, B Shares		22,907		277,360
TeliaSonera AB		18,708		120,281
Volvo AB, B Shares		11,928		128,626

				2,882,285


	Number of Shares		Value†

Switzerland — 9.3%
ABB Ltd.		16,654	$	352,368
Actelion Ltd.		725		83,463
Adecco S.A.		1,364		93,760
Aryzta AG		739		56,792
Baloise Holding AG		408		52,147
Barry Callebaut AG		17		17,429
Chocoladefabriken Lindt & Spruengli AG		1		57,702
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates		7		34,611
Cie Financiere Richemont S.A.		3,943		349,581
Coca-Cola HBC AG		1,371		26,103
Credit Suisse Group AG		11,441		287,412
EMS-Chemie Holding AG		65		26,314
Geberit AG		269		91,003
Givaudan S.A.		74		132,745
Glencore PLC		80,695		372,475
Holcim Ltd.		1,694		121,094
Julius Baer Group Ltd.		1,895		86,522
Kuehne + Nagel International AG		444		60,311
Lonza Group AG		459		51,680
Nestle S.A.		24,807		1,808,455
Novartis AG		17,687		1,640,354
Pargesa Holding S.A.		272		20,989
Partners Group Holding AG		138		40,149
Roche Holding AG		5,401		1,463,359
Schindler Holding AG		145		20,789
Schindler Holding AG, Participation Certificates		349		50,383
SGS S.A.		43		87,805
Sika AG		18		53,099
Sonova Holding AG		427		62,731
STMicroelectronics N.V.		4,919		36,703
Sulzer AG		188		20,111
Swiss Life Holding AG		272		64,288
Swiss Prime Site AG		430		31,538
Swiss Re AG		2,781		232,969
Swisscom AG		183		96,027
Syngenta AG		696		223,874
The Swatch Group AG		253		112,397
The Swatch Group AG, Registered Shares		366		31,587
Transocean Ltd.		3,010		55,233
UBS Group AG		27,777		477,478
Wolseley PLC		2,086		119,261
Zurich Insurance Group AG		1,128		352,503

				9,455,594

United Kingdom — 17.1%
3i Group PLC		8,442		58,864
Aberdeen Asset Management PLC		7,687		51,364
Admiral Group PLC		1,518		31,142
Aggreko PLC		2,157		50,301
AMEC PLC		2,494		32,938
Anglo American PLC		10,459		193,538
Antofagasta PLC		3,403		39,652
ARM Holdings PLC		11,309		173,734


	Number of Shares		Value†
COMMON STOCKS — (continued)
United Kingdom — (continued)
Ashtead Group PLC		3,679	$	65,339
Associated British Foods PLC		2,872		140,410
AstraZeneca PLC		9,647		681,376
Aviva PLC		21,899		164,536
Babcock International Group PLC		1,759		28,816
BAE Systems PLC		25,041		183,130
Barclays PLC		124,639		468,560
BG Group PLC		25,932		347,015
BHP Billiton PLC		16,047		343,909
BP PLC		141,388		897,473
British American Tobacco PLC		14,337		776,937
British Sky Broadcasting Group PLC		7,899		110,241
BT Group PLC		61,952		385,346
Bunzl PLC		2,435		66,566
Burberry Group PLC		3,582		90,882
Capita PLC		5,526		92,658
Carnival PLC		1,577		71,747
Centrica PLC		37,872		164,040
Cobham PLC		8,466		42,500
Compass Group PLC		12,494		213,559
Croda International PLC		1,214		50,107
Diageo PLC		19,141		548,335
Direct Line Insurance Group PLC		10,377		46,941
Dixons Carphone PLC		7,844		56,344
easyJet PLC		1,334		34,523
Fiat Chrysler Automobiles NV*		6,477		75,261
Fresnillo PLC		1,200		14,262
G4S PLC		12,521		54,011
GKN PLC		13,828		73,603
GlaxoSmithKline PLC		37,191		797,882
Hammerson PLC		5,215		48,838
Hargreaves Lansdown PLC		1,892		29,604
HSBC Holdings PLC		146,604		1,385,375
ICAP PLC		4,325		30,285
IMI PLC		1,958		38,306
Imperial Tobacco Group PLC		7,218		317,733
Indivior PLC*		4,937		11,496
Inmarsat PLC		3,494		43,324
Intercontinental Hotels Group PLC		1,628		65,505
International Consolidated Airlines Group S.A. (London Main Market Exchange)		2,764		20,808
International Consolidated Airlines Group S.A. (Spanish Stock Exchange)*		5,668		42,223
Intertek Group PLC		1,257		45,493
Intu Properties PLC		5,533		28,605
Investec PLC		4,543		38,063
ITV PLC		30,751		102,577
J. Sainsbury PLC		9,762		37,278
Johnson Matthey PLC		1,610		84,704
Kingfisher PLC		18,641		98,539
Land Securities Group PLC		5,665		101,832
Legal & General Group PLC		43,740		168,887
Lloyds Banking Group PLC		435,019		511,696
London Stock Exchange Group PLC		1,764		60,698
Marks & Spencer Group PLC		12,979		96,102


	Number of Shares		Value†

United Kingdom — (continued)
Meggitt PLC		5,739	$	46,166
Melrose Industries PLC		8,437		34,925
Merlin Entertainments PLC		3,376		20,890
National Grid PLC		28,998		411,462
Next PLC		1,232		130,662
Old Mutual PLC		38,468		113,372
Pearson PLC		5,952		109,923
Persimmon PLC		2,549		62,257
Petrofac Ltd.		1,906		20,764
Prudential PLC		19,482		450,415
Reckitt Benckiser Group PLC		4,937		399,868
Reed Elsevier PLC		8,393		143,369
Rexam PLC		5,992		42,184
Rio Tinto PLC		9,679		446,174
Rolls-Royce Holdings PLC		14,045		188,679
Royal Bank of Scotland Group PLC*		19,867		120,875
Royal Mail PLC		5,386		35,892
RSA Insurance Group PLC		7,501		50,643
SABMiller PLC		7,313		381,236
Schroders PLC		799		33,208
Segro PLC		6,316		36,182
Severn Trent PLC		2,104		65,622
Smith & Nephew PLC		7,021		126,607
Smiths Group PLC		3,378		57,440
Sports Direct International PLC*		2,156		23,718
SSE PLC		7,227		182,606
Standard Chartered PLC		18,669		279,212
Standard Life PLC		19,605		121,439
Subsea 7 S.A.		1,806		18,481
Tate & Lyle PLC		3,269		30,629
Tesco PLC		64,072		186,815
The British Land Co. PLC		7,874		94,950
The Sage Group PLC		8,870		64,064
The Weir Group PLC		1,674		48,003
Travis Perkins PLC		2,061		59,324
Tullow Oil PLC		7,372		47,508
Unilever PLC		9,733		395,435
United Utilities Group PLC		4,694		66,673
Vodafone Group PLC		201,988		692,543
W.M. Morrison Supermarkets PLC		17,966		51,262
Whitbread PLC		1,474		109,085
William Hill PLC		7,259		40,789
WPP PLC		9,883		205,484

				17,372,648

TOTAL COMMON STOCKS (Cost $76,948,101)				94,337,087

PREFERRED STOCKS — 0.6%
Germany — 0.6%
Bayerische Motoren Werke AG		477		38,971
Fuchs Petrolub SE		598		23,818
Henkel AG & Co. KGaA		1,395		150,267
Porsche Automobil Holding SE		1,203		97,290
Volkswagen AG		1,220		271,152

				581,498


	Number of Shares		Value†
PREFERRED STOCKS — (continued)
United Kingdom — 0.0%
Rolls-Royce Holdings PLC, Series C~		1,264,050	$	1,970

TOTAL PREFERRED STOCKS (Cost $360,949)				583,468

WARRANTS — 0.0%
Belgium — 0.0%
Anheuser-Busch InBev N.V.* 02/27/13 (Cost $0)		256		0

SHORT-TERM INVESTMENTS — 1.1%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,086,303)		1,086,303		1,086,303

TOTAL INVESTMENTS — 94.6% (Cost $78,395,353)			$	96,006,858

Other Assets & Liabilities — 5.4%				5,503,384

TOTAL NET ASSETS — 100.0%			$	101,510,242

†	See Security Valuation Note.

*	Non-income producing security.

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $1,970.

ADR — American Depository Receipt.

PLC — Public Limited Company.

REIT — Real Estate Investment Trust.


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value			Value†
Advertising		0.4%		$	422,844
Aerospace & Defense		0.8%			738,419
Agriculture		1.5%			1,433,904
Airlines		0.3%			261,169
Apparel		0.8%			748,191
Auto Manufacturers		3.8%			3,612,481
Auto Parts & Equipment		1.3%			1,219,421
Banks		14.5%			13,654,594
Beverages		2.5%			2,361,781
Biotechnology		0.3%			332,341
Building & Real Estate		0.1%			62,257
Building Materials		1.2%			1,088,896
Building-Maintenance Service		—%			17,509
Chemicals		3.8%			3,555,174
Commercial Services		1.6%			1,518,549
Computers		0.4%			381,485
Cosmetics & Personal Care		0.7%			647,945
Distribution & Wholesale		0.9%			889,111
Diversified		—%	+		26,906
Diversified Financial Services		1.6%			1,467,817
Diversified Operations		0.2%			163,327
Electric		2.8%			2,642,198
Electrical Components & Equipment		1.1%			1,067,818


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value			Value†
Electronics		1.4%		$	1,292,545
Energy-Alternate Sources		0.2%			150,366
Engineering & Construction		1.2%			1,136,890
Entertainment		0.2%			184,425
Environmental Control		—%	+		16,682
Food		5.2%			4,955,753
Forest Products & Paper		0.2%			229,652
Gas		1.0%			976,096
Hand & Machine Tools		0.4%			367,237
Healthcare Products		1.0%			932,371
Healthcare Services		0.3%			274,823
Holding Companies		0.6%			565,622
Home Builders		0.2%			182,139
Home Furnishings		0.5%			437,155
Hotels & Resorts		0.3%			254,080
Household Products & Wares		0.6%			533,121
Industrial		0.2%			188,679
Insurance		5.8%			5,444,047
Internet		0.3%			331,962
Investment Companies		0.4%			355,678
Iron & Steel		0.6%			571,556
Leisure Time		0.3%			248,036
Lodging		0.3%			311,047
Machinery — Construction & Mining		0.4%			398,988
Machinery — Diversified		1.2%			1,121,089
Media		1.2%			1,115,486
Metal Fabricate/Hardware		0.4%			334,145
Mining		2.7%			2,550,903
Miscellaneous Manufacturing		1.3%			1,199,203
Mixed Industrial/Office		0.5%			470,180
Office & Business Equipment		0.4%			366,736
Oil & Gas		5.5%			5,175,171
Oil & Gas Services		0.1%			124,743
Packaging and Containers		0.2%			152,747
Pharmaceuticals		8.6%			8,158,025
Pipelines		0.1%			52,914
Real Estate		1.9%			1,772,861
Real Estate Investment Trusts		1.0%			970,578
Real Estate Management Services		0.1%			60,468
Retail		3.0%			2,819,936
Semiconductors		0.8%			751,067
Shipbuilding		—%	+		34,394
Software		0.8%			793,049
Storage & Warehousing		—%	+		14,544
Telecommunications		5.6%			5,272,076
Textiles		0.1%			131,105
Toys, Games & Hobbies		0.1%			114,186
Transportation		1.9%			1,812,056
Travel Services		—%	+		28,892
Venture Capital		0.1%			58,864
Water		0.2%			228,582


		100.0%		$	94,337,087

+ Rounded.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Australia	$	7,116,300	$	98,141	$	7,018,159	$	—
Austria		193,388		—		193,388		—
Belgium		1,250,202		—		1,250,202		—
Bermuda		36,203		—		36,203		—
China		110,686		—		110,686		—
Denmark		1,453,294		10,498		1,442,796		—
Finland		838,772		—		838,772		—
France		8,687,740		115,230		8,572,510		—
Germany		8,074,245		28,892		8,045,353		—
Guernsey		57,849		—		57,849		—
Hong Kong		2,883,166		188,271		2,694,895		—
Ireland		781,603		4,205		777,398		—
Israel		544,113		—		544,113		—
Italy		1,969,859		—		1,969,859		—
Japan		20,030,112		28,719		20,001,393		—
Jersey		49,899		—		49,899		—
Luxembourg		355,460		54,804		300,656		—
Macau		34,594		—		34,594		—
Netherlands		4,539,044		—		4,539,044		—
New Zealand		149,399		—		149,399		—
Norway		571,390		—		571,390		—
Portugal		132,937		—		132,937		—
Singapore		1,474,386		24,219		1,450,167		—
Spain		3,291,919		8,875		3,283,044		—
Sweden		2,882,285		33,227		2,849,058		—
Switzerland		9,455,594		477,478		8,978,116		—
United Kingdom		17,372,648		83,243		17,289,405		—
PREFERRED STOCKS
Germany		581,498		—		581,498		—
United Kingdom		1,970		—		1,970		—
SHORT-TERM INVESTMENTS		1,086,303		1,086,303		—		—

TOTAL INVESTMENTS	$	96,006,858	$	2,242,105	$	93,764,753	$	—

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

$95,591,855 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 95.4%
Australia — 4.0%
CSL Ltd.		119,759	$	8,412,558
Ramsay Health Care Ltd.		149,842		6,946,403

				15,358,961

Brazil — 1.2%
Cielo S.A.		286,837		4,496,463

Canada — 6.7%
Alimentation Couche Tard, Inc., Class B		137,652		5,768,872
Enbridge, Inc.		176,277		9,064,200
Shaw Communications, Inc., Class B		77,179		2,082,598
Silver Wheaton Corp.		83,302		1,694,290
The Bank of Nova Scotia		123,056		7,023,449

				25,633,409

China — 4.8%
Alibaba Group Holding Ltd. ADR*		9,643		1,002,293
Baidu, Inc. ADR*		32,916		7,503,861
Sands China Ltd.		1,129,306		5,497,626
Tencent Holdings Ltd.		306,440		4,433,859

				18,437,639

Denmark — 3.4%
Coloplast A/S, B Shares		27,769		2,323,834
Novo Nordisk A/S, B Shares		254,182		10,751,844

				13,075,678

France — 8.3%
Air Liquide S.A.		42,168		5,217,869
Bureau Veritas S.A.		291,943		6,468,291
Essilor International S.A.		59,296		6,612,666
Hermes International		13,253		4,719,176
L’Oreal S.A.		31,430		5,260,511
Pernod Ricard S.A.		32,245		3,583,644

				31,862,157

Germany — 1.0%
Bayer AG		27,654		3,769,484

Hong Kong — 2.8%
Cheung Kong Infrastructure Holdings Ltd.		286,990		2,110,458
Galaxy Entertainment Group Ltd.		571,344		3,174,796
The Link REIT		851,386		5,330,323

				10,615,577

India — 12.2%
HDFC Bank Ltd.~		1,007,018		17,291,403
Hindustan Unilever Ltd.		246,723		2,965,017
Housing Development Finance Corp.		880,878		15,796,218
ITC Ltd.		1,793,081		10,445,356

				46,497,994

Ireland — 1.2%
Paddy Power PLC		54,225		4,465,478

Japan — 1.3%
Daito Trust Construction Co., Ltd.		42,500		4,821,109


	Number of Shares		Value†

Netherlands — 5.3%
Core Laboratories N.V.		33,893	$	4,078,684
Unilever N.V.		410,088		16,041,755

				20,120,439

South Africa — 1.4%
Naspers Ltd., N Shares		40,418		5,228,280

Spain — 1.5%
Grifols S.A.		139,452		5,564,643

Switzerland — 15.3%
Chocoladefabriken Lindt & Spruengli AG, Participation Certificates		1,142		5,646,585
Cie Financiere Richemont S.A.		85,732		7,600,881
DKSH Holding AG		50,905		3,875,354
Nestle S.A.		223,932		16,324,870
Roche Holding AG		62,320		16,885,119
SGS S.A.		3,967		8,100,496

				58,433,305

United Kingdom — 18.0%
British American Tobacco PLC		426,142		23,093,084
Diageo PLC		330,840		9,477,617
Domino’s Pizza Group PLC		402,463		4,394,252
Persimmon PLC		227,122		5,547,216
Reckitt Benckiser Group PLC		179,986		14,577,800
SABMiller PLC		218,773		11,404,915

				68,494,884

United States — 7.0%
Philip Morris International, Inc.		224,994		18,325,761
The Priceline Group, Inc.*		7,409		8,447,816

				26,773,577

TOTAL COMMON STOCKS (Cost $290,299,819)				363,649,077

PREFERRED STOCKS — 1.7%
Brazil — 1.7%
Itau Unibanco Holding S.A. ADR (Cost $6,663,303)		494,676		6,435,735

SHORT-TERM INVESTMENTS — 1.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $5,613,507)		5,613,507		5,613,507

TOTAL INVESTMENTS — 98.6% (Cost $302,576,629)			$	375,698,319

Other Assets & Liabilities — 1.4%				5,200,175

TOTAL NET ASSETS — 100.0%			$	380,898,494

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $17,291,403.

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

PLC — Public Limited Company.

REIT — Real Estate Investment Trust.


Country Weightings as of 12/31/2014††
United Kingdom	18	%
Switzerland	16
India	12
United States	9
France	8
Canada	7
Netherlands	5
Other	25

Total	100	%

†† % of total investments as of December 31, 2014


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value		Value†
Advertising		1.1%	$	3,875,354
Agriculture		14.3%		51,864,201
Apparel		1.3%		4,719,176
Banks		6.7%		24,314,852
Beverages		6.7%		24,466,176
Biotechnology		2.3%		8,412,558
Building & Real Estate		1.5%		5,547,216
Chemicals		1.0%		3,769,484
Commercial Services		5.2%		19,065,250
Cosmetics & Personal Care		1.5%		5,260,511
Diversified Financial Services		4.3%		15,796,218
Entertainment		1.2%		4,465,478
Food		10.5%		38,013,210
Gas		1.4%		5,217,869
Healthcare Products		2.5%		8,936,500
Healthcare Services		1.9%		6,946,403
Hotels & Resorts		0.9%		3,174,796
Household Products & Wares		4.8%		17,542,817
Internet		5.9%		21,387,829
Investment Companies		0.6%		2,110,458
Lodging		1.5%		5,497,626
Media		2.0%		7,310,878
Mining		0.5%		1,694,290
Oil & Gas Services		3.6%		13,142,884
Pharmaceuticals		9.1%		33,201,606
Real Estate		1.3%		4,821,109
Real Estate Investment Trusts		1.5%		5,330,323
Retail		4.9%		17,764,005


		100.0%	$	363,649,077

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Australia	$	15,358,961	$	—	$	15,358,961	$	—
Brazil		4,496,463		4,496,463		—		—
Canada		25,633,409		25,633,409		—		—
China		18,437,639		8,506,154		9,931,485		—
Denmark		13,075,678		—		13,075,678		—
France		31,862,157		—		31,862,157		—
Germany		3,769,484		—		3,769,484		—
Hong Kong		10,615,577		5,330,323		5,285,254		—
India		46,497,994		—		46,497,994		—
Ireland		4,465,478		—		4,465,478		—
Japan		4,821,109		—		4,821,109		—
Netherlands		20,120,439		4,078,684		16,041,755		—
South Africa		5,228,280		—		5,228,280		—
Spain		5,564,643		—		5,564,643		—
Switzerland		58,433,305		—		58,433,305		—
United Kingdom		68,494,884		—		68,494,884		—
United States		26,773,577		26,773,577		—		—
PREFERRED STOCKS		6,435,735		6,435,735		—		—
SHORT-TERM INVESTMENTS		5,613,507		5,613,507		—		—

TOTAL INVESTMENTS	$	375,698,319	$	86,867,852	$	288,830,467	$	—

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

$209,672,507 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 89.3%
Argentina — 0.4%
YPF S.A. ADR		24,040	$	636,339

Austria — 2.0%
Erste Group Bank AG		75,694		1,760,547
Vienna Insurance Group AG Wiener Versicherung Gruppe		31,023		1,386,544

				3,147,091

Brazil — 4.2%
BRF S.A.		149,251		3,561,991
CCR S.A.		129,990		753,572
Petroleo Brasileiro S.A.		109,773		396,029
Petroleo Brasileiro S.A. ADR		28,100		212,998
Petroleo Brasileiro S.A. ADR		21,769		158,914
Raia Drogasil S.A.		78,861		752,060
Ultrapar Participacoes S.A.		39,705		768,498

				6,604,062

Chile — 0.5%
S.A.C.I. Falabella		112,859		757,117

China — 11.3%
Bank of China Ltd., Class H		7,885,000		4,425,610
CGN Power Co. Ltd.*		300,000		130,373
China Construction Bank Corp., Class H		2,753,930		2,249,362
China Life Insurance Co. Ltd., Class H		355,000		1,390,941
China Oilfield Services Ltd., Class H		634,000		1,094,701
China Pacific Insurance Group Co. Ltd., Class H		183,200		921,682
Chongqing Changan Automobile Co. Ltd., Class B		109,700		248,410
Huadian Power International Corp. Ltd., Class H		546,000		473,674
JD.Com, Inc. ADR*		23,222		537,357
Qihoo 360 Technology Co. Ltd. ADR*		4,953		283,609
Sihuan Pharmaceutical Holdings Group Ltd.		982,000		653,186
TAL Education Group ADR*		15,958		448,260
Tencent Holdings Ltd.		263,600		3,814,010
Tsingtao Brewery Co. Ltd., Class H		80,000		539,604
Uni-President China Holdings Ltd.		608,800		560,545

				17,771,324

Colombia — 1.2%
Bancolombia S.A. ADR		1,977		94,659
Cementos Argos S.A.		88,649		380,484
Grupo Aval Acciones y Valores ADR		83,158		864,011
Grupo de Inversiones Suramericana SA		28,300		476,331

				1,815,485

Czech Republic — 0.9%
Komercni Banka, A.S.		7,134		1,468,186

Hong Kong — 3.0%
China Mengniu Dairy Co. Ltd.		197,000		811,173
China Mobile Ltd.		212,500		2,488,959
China Overseas Land & Investment Ltd.		240,000		709,975
CSPC Pharmaceutical Group Ltd.		436,000		383,229
Shenzhen International Holdings Ltd.		227,500		331,726

				4,725,062


	Number of Shares		Value†

India — 10.3%
Ashok Leyland Ltd.*		1,537,124	$	1,242,407
Bharat Petroleum Corp Ltd.		101,737		1,036,343
Glenmark Pharmaceuticals Ltd.		77,447		942,884
HDFC Bank Ltd.~		106,721		1,832,495
Hero MotoCorp Ltd.		22,990		1,128,087
ICICI Bank Ltd.		183,385		1,020,527
Idea Cellular Ltd.		244,302		591,995
IndusInd Bank Ltd.~		113,375		1,575,046
ITC Ltd.		149,514		870,974
Maruti Suzuki India Ltd.		22,891		1,205,194
Oil & Natural Gas Corp. Ltd.		229,454		1,234,803
Shree Cement Ltd.		7,078		1,051,645
Shriram Transport Finance Co. Ltd.		63,705		1,116,067
Tata Consultancy Services Ltd.		31,916		1,292,302

				16,140,769

Indonesia — 1.5%
Kalbe Farma Tbk PT		5,638,600		831,289
Link Net Tbk PT*		1,360,800		540,584
Matahari Department Store Tbk PT		767,500		924,808
Surya Citra Media Tbk PT		111,100		31,353
Xl Axiata Tbk PT		225,900		88,583

				2,416,617

Japan — 0.3%
Nexon Co. Ltd.		49,200		458,648

Malaysia — 1.2%
Astro Malaysia Holdings Bhd		730,400		631,353
IHH Healthcare Bhd		437,500		602,506
Sapurakencana Petroleum Bhd		877,100		580,281

				1,814,140

Mexico — 6.2%
Alfa S.A.B. de C.V.*		733,221		1,637,028
America Movil S.A.B. de C.V., Series L ADR		71,245		1,580,214
Cemex S.A.B. de C.V. ADR*		207,044		2,109,778
Fomento Economico Mexicano S.A.B. de C.V. ADR*		29,253		2,575,142
Grupo Financiero Banorte S.A.B. de C.V., Series O		147,447		811,502
Grupo Financiero Inbursa S.A.B de C.V., Series O		267,742		691,052
Grupo Financiero Santander Mexico S.A.B. de C.V., Series B ADR		37,606		389,598

				9,794,314

Netherlands — 0.4%
Yandex N.V., Class A*		34,854		625,978

Pakistan — 0.7%
United Bank Ltd.		634,700		1,115,721

Panama — 0.4%
Copa Holdings S.A., Class A		6,005		622,358

Peru — 1.3%
Credicorp Ltd.		12,418		1,989,115


	Number of Shares		Value†
COMMON STOCKS — (continued)
Philippines — 3.9%
BDO Unibank, Inc.		400,800	$	980,465
DMCI Holdings, Inc.		1,891,350		661,447
International Container Terminal Services, Inc.		271,320		693,352
LT Group, Inc.		1,546,800		418,422
Metro Pacific Investments Corp.		9,993,100		1,021,073
Metropolitan Bank & Trust Co.		597,510		1,101,695
SM Investments Corp.		71,530		1,292,475

				6,168,929

Poland — 2.3%
Bank Pekao S.A.		29,669		1,491,050
Bank Zachodni WBK S.A.		12,581		1,326,670
PKP Cargo S.A.		33,708		791,129

				3,608,849

Portugal — 0.8%
Jeronimo Martins SGPS, S.A.		116,121		1,163,581

Qatar — 0.5%
Ooredoo QSC		21,028		706,249

Russia — 0.9%
Mail.Ru Group Ltd. GDR*		29,327		478,030
NOVATEK OAO GDR		11,831		927,550

				1,405,580

South Africa — 4.4%
Life Healthcare Group Holdings Ltd.		144,003		531,969
MTN Group Ltd.		104,470		1,987,284
Naspers Ltd., N Shares		19,642		2,540,796
Pick n Pay Stores Ltd.		140,817		636,843
Vodacom Group Ltd.		111,426		1,232,968

				6,929,860

South Korea — 12.1%
Cosmax, Inc.*		4,543		410,110
Coway Co. Ltd.		18,158		1,384,577
Hana Financial Group, Inc.		30,060		870,606
Hotel Shilla Co. Ltd.		8,356		693,100
Hyundai Department Store Co. Ltd.		2,333		259,487
Hyundai Engineering & Construction Co. Ltd.		16,238		618,215
Hyundai Glovis Co. Ltd.		2,758		729,811
Industrial Bank of Korea		13,262		169,655
KB Financial Group, Inc.		39,464		1,290,238
Kia Motors Corp.		23,188		1,101,801
Kolao Holdings		20,107		354,874
NAVER Corp.*		2,471		1,582,515
NCSoft Corp.		3,450		565,781
Orion Corp.		210		193,894
Paradise Co. Ltd.		15,799		336,774
Samsung Electronics Co. Ltd.		2,634		3,166,712
Samsung Life Insurance Co. Ltd.		10,265		1,086,949
Seoul Semiconductor Co. Ltd.		28,508		517,866
Shinhan Financial Group Co. Ltd.		27,992		1,125,142
SK Hynix, Inc.*		42,672		1,823,606
SK Telecom Co. Ltd.		2,980		728,887

				19,010,600


	Number of Shares		Value†

Spain — 0.4%
Cemex Latam Holdings S.A.*		99,528	$	670,081

Switzerland — 1.7%
Coca-Cola HBC AG		61,961		1,179,708
DKSH Holding AG		10,304		784,435
The Swatch Group AG		1,632		725,026

				2,689,169

Taiwan — 8.7%
Advanced Semiconductor Engineering, Inc.		462,000		548,684
Catcher Technology Co. Ltd.		61,000		471,069
Cathay Financial Holding Co. Ltd.		166,000		245,288
Chailease Holding Co. Ltd.		440,250		1,090,336
Delta Electronics, Inc.		112,000		661,835
Eclat Textile Co. Ltd.		61,644		619,547
Epistar Corp.		204,000		403,716
Far Eastone Telecommunications Co. Ltd.		91,000		209,641
Fubon Financial Holding Co. Ltd.		568,310		904,595
Ginko International Co. Ltd.		28,000		295,479
Hermes Microvision, Inc.		17,012		850,781
Largan Precision Co. Ltd.		15,000		1,122,844
MediaTek, Inc.		91,000		1,322,906
Pegatron Corp.		11,000		25,143
Taiwan Mobile Co. Ltd.		114,000		376,421
Taiwan Semiconductor Manufacturing Co. Ltd.		863,769		3,805,310
Uni-President Enterprises Corp.		455,502		720,337

				13,673,932

Thailand — 4.6%
Advanced Info Service PCL NVDR		169,800		1,287,622
Bangkok Bank PCL NVDR		200,800		1,179,421
BTS Rail Mass Transit Growth Infrastructure Fund		2,420,300		728,297
Indorama Ventures PCL NVDR		874,600		533,779
Kasikornbank PCL NVDR		109,300		755,945
Land and Houses PCL NVDR		2,579,500		705,599
Minor International PCL NVDR		437,600		429,273
PTT PCL		107,200		1,055,708
Total Access Communication PCL NVDR		191,300		557,467

				7,233,111

United Kingdom — 0.9%
Mondi PLC		86,077		1,399,795

United States — 2.3%
First Cash Financial Services, Inc.*		9,480		527,751
Samsonite International S.A.		619,500		1,837,414
Yum! Brands, Inc.		17,882		1,302,704

				3,667,869

TOTAL COMMON STOCKS (Cost $122,871,884)				140,229,931


	Number of Shares		Value†
PREFERRED STOCKS — 3.8%
Brazil — 2.9%
Banco Bradesco S.A.		140,868	$	1,857,961
Itau Unibanco Holding S.A.		150,563		1,959,777
Petroleo Brasileiro S.A.		177,079		667,494

				4,485,232

Colombia — 0.7%
Bancolombia S.A.		50,149		604,362
Grupo de Inversiones Suramericana S.A.		31,247		519,359

				1,123,721

South Korea — 0.2%
Samsung Electronics Co. Ltd.		343		322,616

TOTAL PREFERRED STOCKS (Cost $7,356,700)				5,931,569

WARRANTS — 0.0%
Thailand — 0.0%
Minor International 11/25/17* (Cost $0)		23		3,386

SHORT-TERM INVESTMENTS — 1.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $2,481,654)		2,481,654		2,481,654

TOTAL INVESTMENTS — 94.7% (Cost $132,710,238)			$	148,646,540

Other Assets & Liabilities — 5.3%				8,380,865

TOTAL NET ASSETS — 100.0%			$	157,027,405

~	Fair valued security. The total market value of fair valued securities at December 31, 2014 is $3,407,541.

†	See Security Valuation Note.

*	Non-income producing security.

ADR — American Depository Receipt.

GDR — Global Depository Receipt.

NVDR — Non Voting Depositary Receipt.

PCL — Public Company Limited.

PLC — Public Limited Company.


COMMON STOCKS INDUSTRY DIVERSIFICATION (Unaudited)	% of Market Value		Value†
Advertising		0.6%	$	784,435
Agriculture		0.6%		870,974
Airlines		0.5%		622,358
Apparel		0.4%		619,547
Auto Manufacturers		2.7%		3,797,812
Banks		18.9%		26,428,321
Beverages		3.4%		4,712,876
Building Materials		3.0%		4,211,988
Chemicals		0.9%		1,302,277
Commercial Services		1.6%		2,226,910
Computers		0.9%		1,292,302
Cosmetics & Personal Care		0.3%		410,110
Diversified Financial Services		3.8%		5,306,648
Electric		0.4%		604,047
Electrical Components & Equipment		1.1%		1,537,759
Engineering & Construction		0.9%		1,279,662
Entertainment		0.2%		336,774
Environmental Control		1.0%		1,384,577
Food		5.0%		7,011,521
Forest Products & Paper		1.0%		1,399,795
Healthcare Products		0.2%		295,479
Healthcare Services		0.8%		1,134,475
Holding Companies		1.2%		1,637,028
Home Builders		0.5%		705,599
Hotels & Resorts		0.5%		693,100
Household Products & Wares		1.3%		1,837,414
Insurance		3.6%		5,031,404
Internet		6.0%		8,427,864
Investment Companies		1.0%		1,340,342
Leisure Time		0.8%		1,128,087
Media		2.3%		3,203,502
Metal Fabricate/Hardware		0.3%		471,069
Miscellaneous Manufacturing		0.8%		1,122,844
Oil & Gas		4.0%		5,658,684
Oil & Gas Services		1.2%		1,674,982
Pharmaceuticals		2.0%		2,810,588
Real Estate		1.3%		1,800,311
Retail		5.7%		7,962,418
Semiconductors		8.3%		11,588,800
Software		0.3%		458,648
Telecommunications		8.4%		11,836,290
Transportation		1.6%		2,249,237
Water		0.7%		1,021,073


		100.0%		140,229,931

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS
Argentina	$	636,339	$	636,339	$	—	$	—
Austria		3,147,091		—		3,147,091		—
Brazil		6,604,062		6,604,062		—		—
Chile		757,117		757,117		—		—
China		17,771,324		2,208,554		15,562,770		—
Colombia		1,815,485		1,815,485		—		—
Czech Republic		1,468,186		—		1,468,186		—
Hong Kong		4,725,062		—		4,725,062		—
India		16,140,769		—		16,140,769		—
Indonesia		2,416,617		540,584		1,876,033		—
Japan		458,648		—		458,648		—
Malaysia		1,814,140		—		1,814,140		—
Mexico		9,794,314		9,794,314		—		—
Netherlands		625,978		625,978		—		—
Pakistan		1,115,721		1,115,721		—		—
Panama		622,358		622,358		—		—
Peru		1,989,115		1,989,115		—		—
Philippines		6,168,929		—		6,168,929		—
Poland		3,608,849		—		3,608,849		—
Portugal		1,163,581		—		1,163,581		—
Qatar		706,249		—		706,249		—
Russia		1,405,580		1,405,580		—		—
South Africa		6,929,860		—		6,929,860		—
South Korea		19,010,600		—		19,010,600		—
Spain		670,081		670,081		—		—
Switzerland		2,689,169		—		2,689,169		—
Taiwan		13,673,932		—		13,673,932		—
Thailand		7,233,111		1,784,005		5,449,106		—
United Kingdom		1,399,795		—		1,399,795		—
United States		3,667,869		3,667,869		—		—
PREFERRED STOCKS		5,931,569		5,608,953		322,616		—
WARRANTS		3,386		—		3,386		—
SHORT-TERM INVESTMENTS		2,481,654		2,481,654		—		—

TOTAL INVESTMENTS	$	148,646,540	$	42,327,769	$	106,318,771	$	—

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

$81,056,240 was transferred from Level 1 into Level 2 at 12/31/14 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.

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
COMMON STOCKS — 3.9%
Home Builders — 0.4%
Toll Brothers, Inc.*		16,615	$	569,396

Lodging — 2.7%
Extended Stay America, Inc.		62,325		1,203,496
Hilton Worldwide Holdings, Inc.*		95,238		2,484,759

				3,688,255

Real Estate — 0.8%
Forest City Enterprises, Inc., Class A*		51,704		1,101,295

TOTAL COMMON STOCKS (Cost $4,711,761)				5,358,946

REAL ESTATE INVESTMENT TRUSTS — 96.7%
Apartments — 18.9%
American Homes 4 Rent		127,395		2,169,537
Apartment Investment & Management Co., Class A		76,968		2,859,361
Education Realty Trust, Inc.		18,108		662,572
Equity Residential		134,148		9,637,192
Essex Property Trust, Inc.		12,891		2,663,281
Home Properties, Inc.		36,981		2,425,954
Monogram Residential Trust, Inc.		29,664		274,689
UDR, Inc.		169,219		5,215,329

				25,907,915

Building & Real Estate — 1.5%
Spirit Realty Capital, Inc.		176,532		2,098,966

Diversified — 9.1%
American Assets Trust, Inc.		35,141		1,398,963
Liberty Property Trust		41,328		1,555,173
Retail Properties of America, Inc. Class A		122,816		2,049,799
Vornado Realty Trust		63,397		7,462,461

				12,466,396

Healthcare — 9.0%
Health Care REIT, Inc.		91,555		6,927,967
Healthcare Trust of America, Inc.		65,616		1,767,695
Ventas, Inc.		49,452		3,545,708

				12,241,370

Hotels & Resorts — 7.2%
Belmond Ltd.*		70,975		877,961
DiamondRock Hospitality Co.		142,831		2,123,897
Host Hotels & Resorts, Inc.		87,962		2,090,857
Strategic Hotels & Resorts, Inc.*		159,551		2,110,859
Sunstone Hotel Investors, Inc.		163,855		2,705,246

				9,908,820

Industrial — 5.5%
First Industrial Realty Trust, Inc.		59,805		1,229,591
Prologis, Inc.		130,046		5,595,879
QTS Realty Trust, Inc.		21,620		731,621

				7,557,091


	Number of Shares		Value†

Manufactured Homes — 0.8%
Sun Communities, Inc.		18,011	$	1,088,945

Office Property — 13.6%
BioMed Realty Trust, Inc.		132,634		2,856,936
Brandywine Realty Trust		131,592		2,102,840
Douglas Emmett, Inc.		71,773		2,038,353
Empire State Realty Trust, Inc.		61,498		1,081,135
Equity Commonwealth		15,249		391,442
Kilroy Realty Corp.		27,057		1,868,827
Paramount Group, Inc.*		64,465		1,198,404
SL Green Realty Corp.		59,580		7,091,212

				18,629,149

Regional Malls — 16.3%
General Growth Properties, Inc.		214,499		6,033,857
Pennsylvania Real Estate Investment Trust		50,963		1,195,592
Simon Property Group, Inc.		55,629		10,130,597
Taubman Centers, Inc.		30,607		2,338,987
The Macerich Co.		30,755		2,565,275

				22,264,308

Storage & Warehousing — 6.4%
CubeSmart		99,350		2,192,655
Extra Space Storage, Inc.		11,466		672,366
Public Storage		22,672		4,190,919
Sovran Self Storage, Inc.		18,723		1,633,020

				8,688,960

Strip Centers — 8.4%
DDR Corp.		193,038		3,544,178
Kimco Realty Corp.		21,400		537,996
Regency Centers Corp.		65,911		4,203,803
Weingarten Realty Investors		92,037		3,213,932

				11,499,909

TOTAL REAL ESTATE INVESTMENT TRUSTS (Cost $109,165,814)				132,351,829

SHORT-TERM INVESTMENTS — 3.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $4,375,901)		4,375,901		4,375,901

TOTAL INVESTMENTS — 103.8% (Cost $118,253,476)			$	142,086,676

Other Assets & Liabilities — (3.8%)				(5,225,823	)

TOTAL NET ASSETS — 100.0%			$	136,860,853

†	See Security Valuation Note.

*	Non-income producing security.

REIT — Real Estate Investment Trust.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
COMMON STOCKS	$	5,358,946	$	5,358,946	$	—	$	—
REAL ESTATE INVESTMENT TRUSTS		132,351,829		132,351,829		—		—
SHORT-TERM INVESTMENTS		4,375,901		4,375,901		—		—

TOTAL INVESTMENTS	$	142,086,676	$	142,086,676	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 67.1%
Penn Series Flexibly Managed Fund*		64,525	$	2,583,596
Penn Series Index 500 Fund*		242,576		3,876,362
Penn Series Large Cap Growth Fund*		197,120		2,584,241
Penn Series Large Cap Value Fund*		278,234		6,460,603
Penn Series Large Core Growth Fund*		40,303		646,060
Penn Series Large Core Value Fund*		216,944		3,230,302
Penn Series Large Growth Stock Fund*		94,974		2,584,241
Penn Series Mid Cap Growth Fund*		173,672		2,584,241
Penn Series Mid Cap Value Fund*		153,531		3,230,301
Penn Series Mid Core Value Fund*		144,857		2,584,241
Penn Series Real Estate Securities Fund*		143,489		2,584,241
Penn Series Small Cap Growth Fund*		68,030		1,936,820
Penn Series Small Cap Index Fund*		36,729		646,060
Penn Series Small Cap Value Fund*		92,196		2,584,241
Penn Series SMID Cap Growth Fund*		98,086		1,938,181
Penn Series SMID Cap Value Fund*		154,486		3,230,302

TOTAL AFFILIATED EQUITY FUNDS (Cost $25,182,074)				43,284,033

AFFILIATED FIXED INCOME FUNDS — 4.0%
Penn Series Quality Bond Fund* (Cost $2,317,181)		192,854		2,584,241

AFFILIATED INTERNATIONAL EQUITY FUNDS — 29.1%
Penn Series Developed International Index Fund*		447,875		5,168,482
Penn Series Emerging Markets Equity Fund*		417,198		4,522,422
Penn Series International Equity Fund*		386,697		9,044,844

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $14,992,565)				18,735,748

SHORT-TERM INVESTMENTS — 0.6%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $386,856)		386,856		386,856

TOTAL INVESTMENTS — 100.8% (Cost $42,878,676)			$	64,990,878

Other Assets & Liabilities — (0.8%)				(486,322	)

TOTAL NET ASSETS — 100.0%			$	64,504,556

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$	43,284,033	$	43,284,033	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		2,584,241		2,584,241		—		—
AFFILIATED INTERNATIONAL EQUITY FUNDS		18,735,748		18,735,748		—		—
SHORT-TERM INVESTMENTS		386,856		386,856		—		—

TOTAL INVESTMENTS	$	64,990,878	$	64,990,878	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 57.7%
Penn Series Flexibly Managed Fund*		248,825	$	9,962,957
Penn Series Index 500 Fund*		935,430		14,948,168
Penn Series Large Cap Growth Fund*		570,106		7,474,084
Penn Series Large Cap Value Fund*		965,644		22,422,252
Penn Series Large Core Growth Fund*		155,419		2,491,361
Penn Series Large Core Value Fund*		669,271		9,965,445
Penn Series Large Growth Stock Fund*		274,682		7,474,084
Penn Series Mid Cap Growth Fund*		502,291		7,474,084
Penn Series Mid Cap Value Fund*		592,054		12,456,806
Penn Series Mid Core Value Fund*		558,601		9,965,445
Penn Series Real Estate Securities Fund*		414,996		7,474,084
Penn Series Small Cap Growth Fund*		262,341		7,468,837
Penn Series Small Cap Index Fund*		283,270		4,982,722
Penn Series Small Cap Value Fund*		266,646		7,474,084
Penn Series SMID Cap Growth Fund*		252,162		4,982,723
Penn Series SMID Cap Value Fund*		357,441		7,474,084

TOTAL AFFILIATED EQUITY FUNDS (Cost $77,077,079)				144,491,220

AFFILIATED FIXED INCOME FUNDS — 18.9%
Penn Series High Yield Bond Fund*		680,700		7,474,084
Penn Series Limited Maturity Bond Fund*		866,560		9,965,445
Penn Series Quality Bond Fund*		2,231,070		29,896,336

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $42,220,970)				47,335,865

AFFILIATED INTERNATIONAL EQUITY FUNDS — 22.9%
Penn Series Developed International Index Fund*		1,511,224		17,439,529
Penn Series Emerging Markets Equity Fund*		1,149,152		12,456,807
Penn Series International Equity Fund*		1,171,653		27,404,974

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $43,842,693)				57,301,310

SHORT-TERM INVESTMENTS — 0.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $1,203,734)		1,203,734		1,203,734

TOTAL INVESTMENTS — 100.0% (Cost $164,344,476)			$	250,332,129

Other Assets & Liabilities — 0.0%				69,487

TOTAL NET ASSETS — 100.0%			$	250,401,616

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$	144,491,220	$	144,491,220	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		47,335,865		47,335,865		—		—
AFFILIATED INTERNATIONAL EQUITY FUNDS		57,301,310		57,301,310		—		—
SHORT-TERM INVESTMENTS		1,203,734		1,203,734		—		—

TOTAL INVESTMENTS	$	250,332,129	$	250,332,129	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 44.9%
Penn Series Flexibly Managed Fund*		543,842	$	21,775,433
Penn Series Index 500 Fund*		1,135,840		18,150,726
Penn Series Large Cap Growth Fund*		830,697		10,890,436
Penn Series Large Cap Value Fund*		938,022		21,780,871
Penn Series Large Core Value Fund*		731,393		10,890,436
Penn Series Large Growth Stock Fund*		266,824		7,260,290
Penn Series Mid Cap Growth Fund*		487,923		7,260,290
Penn Series Mid Cap Value Fund*		517,606		10,890,436
Penn Series Mid Core Value Fund*		610,450		10,890,436
Penn Series Real Estate Securities Fund*		403,126		7,260,290
Penn Series Small Cap Growth Fund*		254,836		7,255,194
Penn Series Small Cap Index Fund*		412,751		7,260,290
Penn Series Small Cap Value Fund*		259,019		7,260,291
Penn Series SMID Cap Growth Fund*		183,712		3,630,145
Penn Series SMID Cap Value Fund*		520,824		10,890,436

TOTAL AFFILIATED EQUITY FUNDS (Cost $88,202,580)				163,346,000

AFFILIATED FIXED INCOME FUNDS — 35.9%
Penn Series High Yield Bond Fund*		1,653,072		18,150,726
Penn Series Limited Maturity Bond Fund*		2,209,654		25,411,016
Penn Series Quality Bond Fund*		6,501,753		87,123,486

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $115,899,681)				130,685,228

AFFILIATED INTERNATIONAL EQUITY FUNDS — 17.0%
Penn Series Developed International Index Fund*		1,572,853		18,150,726
Penn Series Emerging Markets Equity Fund*		1,004,653		10,890,436
Penn Series International Equity Fund*		1,396,807		32,671,307

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $45,340,856)				61,712,469

AFFILIATED MONEY MARKET FUND — 2.0%
Penn Series Money Market Fund (Cost $7,260,351)		7,260,351		7,260,351

SHORT-TERM INVESTMENTS — 0.2%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $896,224)		896,224		896,224

TOTAL INVESTMENTS — 100.0% (Cost $257,599,692)			$	363,900,272

Other Assets & Liabilities — (0.0%)				143,817

TOTAL NET ASSETS — 100.0%			$	364,044,089

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$	163,346,000	$	163,346,000	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		130,685,228		130,685,228		—		—
AFFILIATED INTERNATIONAL EQUITY FUNDS		61,712,469		61,712,469		—		—
AFFILIATED MONEY MARKET FUNDS		7,260,351		7,260,351		—		—
SHORT-TERM INVESTMENTS		896,224		896,224		—		—

TOTAL INVESTMENTS	$	363,900,272	$	363,900,272	$	—	$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 32.8%
Penn Series Flexibly Managed Fund*		187,002	$	7,487,540
Penn Series Index 500 Fund*		200,860		3,209,747
Penn Series Large Cap Growth Fund*		163,221		2,139,831
Penn Series Large Cap Value Fund*		230,387		5,349,579
Penn Series Large Core Value Fund*		143,709		2,139,831
Penn Series Large Growth Stock Fund*		39,321		1,069,916
Penn Series Mid Cap Value Fund*		152,555		3,209,747
Penn Series Mid Core Value Fund*		119,946		2,139,831
Penn Series Real Estate Securities Fund*		118,814		2,139,832
Penn Series Small Cap Growth Fund*		37,554		1,069,165
Penn Series Small Cap Index Fund*		60,825		1,069,916
Penn Series Small Cap Value Fund*		38,170		1,069,916
Penn Series SMID Cap Growth Fund*		54,146		1,069,916
Penn Series SMID Cap Value Fund*		102,335		2,139,831

TOTAL AFFILIATED EQUITY FUNDS (Cost $19,191,665)				35,304,598

AFFILIATED FIXED INCOME FUNDS — 54.6%
Penn Series High Yield Bond Fund*		584,653		6,419,494
Penn Series Limited Maturity Bond Fund*		1,488,578		17,118,652
Penn Series Quality Bond Fund*		2,634,867		35,307,220

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $51,083,309)				58,845,366

AFFILIATED INTERNATIONAL EQUITY FUNDS — 9.9%
Penn Series Developed International Index Fund*		370,855		4,279,663
Penn Series Emerging Markets Equity Fund*		98,701		1,069,916
Penn Series International Equity Fund*		228,712		5,349,579

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $7,354,292)				10,699,158

AFFILIATED MONEY MARKET FUND — 2.0%
Penn Series Money Market Fund (Cost $2,139,849)		2,139,849		2,139,849

SHORT-TERM INVESTMENTS — 0.7%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $709,861)		709,861		709,861

TOTAL INVESTMENTS — 100.0% (Cost $80,478,976)			$	107,698,832

Other Assets & Liabilities — (0.0%)				(29,590	)

TOTAL NET ASSETS — 100.0%			$	107,669,242

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014			Level 1 Quoted Price			Level 2 Significant Observable Input			Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS		$	35,304,598		$	35,304,598		$	—		$	—
AFFILIATED FIXED INCOME FUNDS			58,845,366			58,845,366			—			—
AFFILIATED INTERNATIONAL EQUITY FUNDS			10,699,158			10,699,158			—			—
AFFILIATED MONEY MARKET FUNDS			2,139,849			2,139,849			—			—
SHORT-TERM INVESTMENTS			709,861			709,861			—			—

TOTAL INVESTMENTS		$	107,698,832		$	107,698,832		$	—		$	—

The accompanying notes are an integral part of these financial statements.


	Number of Shares		Value†
AFFILIATED EQUITY FUNDS — 17.7%
Penn Series Flexibly Managed Fund*		128,248	$	5,135,044
Penn Series Index 500 Fund*		80,356		1,284,081
Penn Series Large Cap Growth Fund*		97,947		1,284,081
Penn Series Large Cap Value Fund*		55,301		1,284,081
Penn Series Large Core Value Fund*		43,119		642,041
Penn Series Mid Cap Value Fund*		61,030		1,284,082
Penn Series Mid Core Value Fund*		35,989		642,041

TOTAL AFFILIATED EQUITY FUNDS (Cost $6,631,126)				11,555,451

AFFILIATED FIXED INCOME FUNDS — 70.0%
Penn Series High Yield Bond Fund*		467,789		5,136,326
Penn Series Limited Maturity Bond Fund*		1,228,252		14,124,897
Penn Series Quality Bond Fund*		1,964,453		26,323,672

TOTAL AFFILIATED FIXED INCOME FUNDS (Cost $38,943,560)				45,584,895

AFFILIATED INTERNATIONAL EQUITY FUNDS — 4.9%
Penn Series Developed International Index Fund*		166,908		1,926,122
Penn Series International Equity Fund*		54,899		1,284,082

TOTAL AFFILIATED INTERNATIONAL EQUITY FUNDS (Cost $2,047,518)				3,210,204

AFFILIATED MONEY MARKET FUND — 5.9%
Penn Series Money Market Fund (Cost $3,852,277)		3,852,277		3,852,277

SHORT-TERM INVESTMENTS — 1.5%
BlackRock Liquidity Funds FedFund Portfolio - Institutional Shares (Cost $980,321)		980,321		980,321

TOTAL INVESTMENTS — 100.0% (Cost $52,454,802)			$	65,183,148

Other Assets & Liabilities — (0.0%)				(282	)

TOTAL NET ASSETS — 100.0%			$	65,182,866

†	See Security Valuation Note.

*	Non-income producing security.

Summary of inputs used to value the Fund’s investments as of 12/31/2014 are as follows (See Security Valuation Note):


ASSETS TABLE
Description	Total Market Value at 12/31/2014		Level 1 Quoted Price		Level 2 Significant Observable Input		Level 3 Significant Unobservable Input
AFFILIATED EQUITY FUNDS	$	11,555,451	$	11,555,451	$	—	$	—
AFFILIATED FIXED INCOME FUNDS		45,584,895		45,584,895		—		—
AFFILIATED INTERNATIONAL EQUITY FUNDS		3,210,204		3,210,204		—		—
AFFILIATED MONEY MARKET FUNDS		3,852,277		3,852,277		—		—
SHORT-TERM INVESTMENTS		980,321		980,321		—		—

TOTAL INVESTMENTS	$	65,183,148	$	65,183,148	$	—	$	—

The accompanying notes are an integral part of these financial statements.

Penn Series Funds, Inc. (“Penn Series”) was incorporated in Maryland on April 22, 1982. Penn Series is registered under the Investment Company Act of 1940, as amended, as an open-end, diversified management investment company. Penn Series is open only to purchasers of The Penn Mutual Life Insurance Company (“Penn Mutual”) and The Penn Insurance and Annuity Company insurance contracts and certain of Penn Mutual’s employee benefit plans.

Penn Series is presently offering shares in its Money Market, Limited Maturity Bond, Quality Bond, High Yield Bond, Flexibly Managed, Balanced, 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, Aggressive Allocation, Moderately Aggressive Allocation, Moderate Allocation, Moderately Conservative Allocation and Conservative Allocation Funds (each a “Fund” and collectively, the “Funds”). Penn Series also has the authority to issue shares in three additional funds, each of which would have their own investment objective and policies.

Fund of Funds (“FOFs”) – Each Penn Series FOF seeks to achieve its investment objective by investing in other Penn Series Funds (“Underlying Funds”) and uses asset allocation strategies to determine how much to invest in the Underlying Funds. Each of the following is a Penn Series FOFs: Balanced, Aggressive Allocation, Moderately Aggressive Allocation, Moderate Allocation, Moderately Conservative Allocation and Conservative Allocation Funds.

The following significant accounting policies are followed by Penn Series in the preparation of its financial statements. The preparation of financial statements in accordance with the accounting principles generally accepted in the United States (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be material. The Funds are investment companies and follow the accounting and reporting guidance in Financial Accounting Standards Board Accounting Standards Codification (“ASC”) Topic No. 946.

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 fair 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. Securities values according to these evaluation methods are categorized as Level 1 in the fair value hierarchy described below. Debt and fixed income securities are valued by recognized independent third-party valuation services, employing valuation methodologies that utilize actual market transactions, broker-dealer supplied valuations, and matrix pricing. Matrix pricing for corporate bonds, floating rate notes, municipal securities and U.S. government and government agency obligations considers yield or price of bonds of comparable quality, coupon, maturity and type and, for asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities, also considers prepayment speed assumptions and attributes and performance of the underlying collateral. Securities valued according to these valuation methods are generally categorized as Level 2 in the fair value hierarchy described below. 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 as of the valuation date.

Options are valued at the last traded price on the market where such options are principally traded or, if there was no trade on such day, at the last bid quote. Futures contracts are valued at the last settlement price on the market where such futures contracts are principally traded. Although derivatives may be subject to netting provisions, as discussed further in Note 7, derivatives held are valued at their gross amounts.

To assess the continuing appropriateness of third party pricing service security valuations, the Adviser or sub-adviser, 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 the market by the Adviser or sub-adviser, as applicable.

Securities for which market quotations are not readily available are valued at fair value prices determined using methods approved by the Penn Series Board of Directors. The Penn Series Valuation Committee (the “Valuation Committee”), established by and subject to oversight by the Board of Directors, monitors pricing related policies and procedures and approves all fair value determinations. The Valuation Committee consists of representatives from Penn Mutual Asset Management, Inc. (“PMAM” or the “Adviser”), the investment adviser to each of the Funds, and Penn Mutual, the administrator to the Funds (the “Administrator”). The Valuation Committee regularly makes good faith judgments, using sources and information obtained, including recommendations and supporting rationales and inputs from the Adviser or the applicable sub-adviser, 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, discount rates, 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 Adviser or respective sub-adviser 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, suspended or has not begun, 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.

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. Securities valued using such valuation service are classified as Level 2 in the fair value hierarchy as these adjustment factors are considered other observable inputs to the valuation. 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 year ended December 31, 2014, if any, are shown as notes on the Schedule of Investments of the individual fund.

Significant Level 3 items at December 31, 2014 consist of $1,229,341 of equities in the Large Growth Stock Fund which were not publicly trading. The unobservable inputs used in valuing these securities include new rounds of financing, negotiated transactions of significant size between other investors in the company, relevant market valuations of peer companies and strategic events affecting the company. Significant increases (decreases) in the valuation indicated by the new rounds of financing, valuations observed through negotiated transactions between other investors in the company or changes in the market valuation of relevant peer companies would result in directionally similar changes to the fair value. Fair value determinations are reviewed and updated on a regular basis and as information becomes available, including actual purchase and sale transactions of the issue.

Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis: market value of investment securities, assets and liabilities at the current rate of exchange; purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate the portion of realized and unrealized gains and losses on investments which is due to changes in the foreign exchange rate from that which is due to changes in market prices of equity securities. Such fluctuations are included with net realized and unrealized gain or loss from investments.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

Loan Agreements — Certain Funds may invest in loan agreements, also known as bank loans, which represent an interest in amounts owed by a borrower to a syndication of lenders. Bank loans may involve multiple loans with the same borrower under a single credit agreement (each loan, a tranche), and each tranche may have different terms and associated risks. A bank or other financial institution typically acts as the agent and administers a bank loan in accordance with the associated credit agreement. Bank loans are generally noninvestment grade and often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may buy and sell bank loans in the form of either loan assignments or loan participations. A loan assignment transfers all legal, beneficial, and economic rights to the buyer. Although loan assignments continue to be administered by the agent, the buyer acquires direct rights against the borrower. In many cases, a loan assignment requires the consent of both the borrower and the agent. In contrast, a loan participation generally entitles the buyer to receive the cash flows from principal, interest, and any fee payments that the seller is entitled to receive from the borrower; however, the seller continues to hold legal title to the loan. As a result, with loan participations, the buyer generally has no right to enforce compliance with terms of the credit agreement against the borrower, and the buyer is subject to the credit risk of both the borrower and the seller. Bank loans often have extended settlement periods, during which the fund is subject to nonperformance by the counterparty.

SECURITY TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Security transactions are accounted for on the trade date. Dividend income is recorded on the ex-dividend date and interest income is accrued as earned. Discounts and premiums are accreted and amortized using the effective interest method. The cost of investment securities sold is determined by using the specific identification method for both financial reporting and income tax purposes. Expenses directly attributable to a Fund are directly charged. Common expenses of the Funds are allocated using methods approved by the Board of Directors, generally based on average net assets. Expenses included in the accompanying financial statements reflect the expenses of each Fund and do not include any expenses associated with the Underlying Funds of the FOFs.

DIVIDENDS TO SHAREHOLDERS: Except for the Money Market Fund, all or a portion of each Fund’s undistributed net investment income and accumulated net realized gain on investment and foreign exchange transactions, if any, at December 31, 2014 were deemed distributed as consent dividends to each respective Fund’s shareholders in place of regular distributions. As consent dividends, shareholders of each Fund agree to treat their share of undistributed net investment income and accumulated net realized gain on investment and foreign exchange transactions, if any, at December 31, 2014, respectively, as dividend income and net capital gains for tax purposes. In the case of the Money Market Fund, dividends paid from undistributed net investment income and accumulated net realized gain on investments are declared daily and paid monthly.

Dividends from net investment income and distributions from net realized gains are determined in accordance with federal income tax regulations which may differ from net investment income and net realized capital gains recorded in accordance with accounting principles generally accepted in the United States. To the extent that these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification. Distributions from net realized gains may involve short-term capital gains, which are included as ordinary income for tax purposes.

The character of distributions received from real estate investment trusts (“REITs”) held by a Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Funds to estimate the character of distributions received from the underlying REITs based on historical data provided by the REITs. As of year-end, differences between the estimated and actual amounts are reflected in a Fund’s records.

Effective January 1, 2015, Independence Capital Management, Inc., the investment adviser to each series of Penn Series Funds, Inc., changed its name to Penn Mutual Asset Management, Inc. (“PMAM”). With the exception of the Money Market, Limited Maturity, Quality Bond, Balanced, Aggressive Allocation, Moderately Aggressive Allocation, Moderate Allocation, Moderately Conservative Allocation and Conservative Allocation Funds, PMAM has entered into sub-advisory agreements to provide investment management services to each of the Funds.

Prior to May 1, 2014, each of the Funds paid PMAM, on a monthly basis, an advisory fee based on the average daily net assets of the Fund, at the following rates pursuant to the investment advisory agreements: Money Market Fund: 0.20% for first $100 million and 0.15% thereafter; Limited Maturity Bond Fund: 0.30%; Quality Bond Fund: 0.35% for first $100 million and 0.30% thereafter; High Yield Bond Fund: 0.50%; Flexibly Managed Fund: 0.60%; Large Growth Stock Fund: 0.65% for the first $100 million and 0.60% thereafter; Large Cap Growth Fund: 0.55%; Large Core Growth Fund: 0.60%; Large Cap Value Fund: 0.60%; Large Core Value Fund: 0.60%; Index 500 Fund: 0.07%; Mid Cap Growth Fund: 0.70%; Mid Cap Value Fund: 0.55% for the first $250 million, 0.525% for next $250 million, 0.50% for next $250 million, 0.475% for next $250 million, 0.45% for next $500 million and 0.425% thereafter; Mid Core Value Fund: 0.72%; SMID Cap Growth Fund: 0.75%; SMID Cap Value Fund: 0.95%; Small Cap Growth Fund: 0.80% for the first $25 million, 0.75% for next $25 million and 0.70% thereafter; Small Cap Value Fund: 0.85%; Small Cap Index Fund: 0.30%; Developed International Index Fund: 0.30%; International Equity Fund: 0.85%; Emerging Markets Equity Fund: 1.18% for the first $2.5 billion and 1.00% thereafter; Real Estate Securities Fund: 0.70%, Aggressive Allocation Fund: 0.10%; Moderately Aggressive Allocation Fund: 0.10%; Moderate Allocation Fund: 0.10%; Moderately Conservative Allocation Fund: 0.10% and Conservative Allocation Fund: 0.10%. The Balanced Fund does not pay an investment advisory fee to PMAM.

Effective May 1, 2014, each of the Funds pay PMAM, on a monthly basis, an advisory fee based on the average daily net assets of the Fund, at the following rates pursuant to the investment advisory agreements:

For providing investment management services to the Funds, PMAM pays each sub-adviser, on a monthly basis, a sub-advisory fee.

Under an administrative and corporate services agreement, Penn Mutual serves as administrative and corporate services agent for Penn Series. Each of the Funds pays Penn Mutual, on a quarterly basis, an annual fee equal to 0.15% of the Fund’s average daily net assets.

Under an accounting services agreement, BNY Mellon Investment Servicing (US), Inc. (“BNY Mellon”) serves as accounting agent for Penn Series. Each of the Funds, except the FOFs, International Equity Fund, Emerging Markets Equity Fund and Developed International Index Fund, pays BNY Mellon, on a monthly basis, an annual fee based on the average daily net assets of the Fund equal to 0.070% for the first $100 million, 0.050% for the next $200 million, 0.030% for the next $300 million and 0.020% thereafter. With the exception of the FOFs, International Equity Fund, Emerging Markets Equity Fund, Developed International Index Fund and Money Market Fund, the minimum annual fee each Fund must pay is $27,500. The annual accounting fee for each of the FoFs shall be an annual asset based fee of 0.01% of FOF’s average net assets, exclusive of out-of-pocket expenses. Each FOF’s minimum annual fee is $12,000. Each of the International Equity, Emerging Markets Equity and Developed International Index Funds pay BNY Mellon 0.080% on a monthly basis, an annual fee based on the average daily net assets of the Fund equal to for the first $100 million, 0.060% for the next $300 million, 0.040% for the next $200 million, and 0.030% thereafter. The minimum annual fee is $48,000 for each of the International Equity Fund, Emerging Markets Equity Fund and Developed International Index Fund. The Money Market Fund pays no minimum annual fee.

Under a transfer agency agreement, BNY Mellon serves as transfer agent for Penn Series.

The Bank of New York Mellon, Inc., serves as custodian for Penn Series. In addition to transaction charges and out-of-pocket expenses, each of the Funds pay The Bank of New York Mellon, Inc., on a monthly basis, an annual custody fee of 0.007% for U.S. securities. The Bank of New York Mellon, Inc. serves as foreign custodian for Penn Series. There is a separate custody fee schedule for foreign securities.

Each Fund bears all expenses of its operations other than those incurred by PMAM and its sub-adviser under its respective investment advisory agreement and those incurred by Penn Mutual under its administrative and corporate services agreement. PMAM and Penn Mutual have agreed to waive fees or reimburse expenses to the extent the Fund’s total expense ratio (excluding nonrecurring account fees, fees on portfolio transactions, such as exchange fees, dividends and interest on securities sold short, Acquired Fund Fees and Expenses, service fees, interest, taxes, brokerage commissions, other capitalized expenses and other non-routine expenses or extraordinary expenses not incurred in the ordinary course of a Fund’s business, but including investment advisory and administrative and corporate services fees) exceeds the applicable expense limitation for the Fund.

Effective September 10, 2009, Penn Series, on behalf of its Money Market Fund, PMAM, and Penn Mutual, entered into an agreement whereby PMAM and Penn Mutual may temporarily and voluntarily waive fees and/or reimburse expenses in excess of their current fee waiver and expense reimbursement commitments in an effort to maintain a minimum net distribution yield for the Money Market Fund. Under the agreement, PMAM and Penn Mutual may, subject to certain minimum yield criteria, as well as a prospective three-year reimbursement period, recapture from the Money Market Fund any fees or expenses waived and/or reimbursed under this arrangement. These reimbursement payments by the Fund to PMAM and/or Penn Mutual are considered “extraordinary expenses” and are not subject to any net operating expense limitations in effect at the time of such payment. This recapture could negatively affect the Fund’s future yield.

Effective May 1, 2014, Penn Mutual has eliminated the voluntary waiver on the Index 500 Fund, which waived administrative and corporate services fees so that the Fund’s total expenses did not exceed 0.35%. There were no voluntary fees waived in the Index 500 Fund during the period January 1, 2014 through April 30, 2014. Effective May 1, 2014, Penn Mutual and PMAM have eliminated their voluntarily waivers on the Emerging Markets Equity Fund, which waived a portion of their fees so that the Fund’s total expenses did not exceed 1.68%. During the period January 1, 2014 through April 30, 2014, PMAM voluntarily waived $31,604 of advisor fees in the Emerging Markets Equity Fund.

If, at the end of each month, there is no liability of PMAM and Penn Mutual to pay the Funds such excess amounts required to maintain expenses within the expense limitations described above, and if payments of the advisory fee or administrative and corporate services fee at the end of prior months during the preceding three fiscal years have been reduced in excess of that required to maintain expenses within the expense limitation, such excess reduction is eligible to be recaptured by PMAM and Penn Mutual and, if recaptured, would become payable by the Funds to PMAM and Penn Mutual along with the advisory fee or administrative and corporate services fee for that month, as applicable. Penn Mutual and/or PMAM’s election not to recapture the amount of any reduction and reimbursement to which it is entitled in no way impairs the rights of Penn Mutual and/or PMAM to subsequently recapture such amount, provided that such amount remains eligible for recapture and would not cause the Fund to exceed its expense limit for that fee payment period.

As of December 31, 2014, the following Funds had waived and/or reimbursed administrative and corporate services fees that are subject to potential recapture by Penn Mutual through the periods stated below. If not recaptured, the waiver and/or reimbursed administrative and corporate services fees will expire according to the table below:

As of December 31, 2014, the following Funds had waived and/or reimbursed advisory fees that are subject to potential recapture by PMAM through the periods stated below. If not recaptured, the waived and/or reimbursed advisory fees will expire according to the table below:

During the year ended December 31, 2014, previously waived advisory fees were recaptured by PMAM. The recaptured fees are shown as Recaptured advisory fees on the statement of operations and are as follows:

Total fees of $359,000 were paid to Directors of Penn Series, who are not interested persons of Penn Series, for the year ended December 31, 2014. Directors who are also employees of PMAM or its affiliates and Officers of the Company receive no compensation from the Company for their services.

Certain benefit plans of Penn Mutual own annuity contracts that are invested in the Penn Series Funds. The benefit plan assets that are invested in the Penn Series Funds at December 31, 2014 are as follows:

Certain Funds affect trades for security purchase and sale transactions through brokers that are affiliates of the Adviser or the sub-advisers. Commissions paid on those trades by the Funds for the year ended December 31, 2014 were as follows:

During the year ended December 31, 2014, the Funds made the following purchases and sales of portfolio securities, other than short-term securities:

Each Fund has qualified and intends to continue to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code for federal income tax purposes. As such, each Fund is required to distribute all investment company taxable income and net capital gains, if any, to its shareholders in order to avoid the imposition of entity-level federal, state, and local income taxes as well as an entity-level excise tax. Except for the Money Market Fund, to the extent any Fund had undistributed investment company taxable income and net capital gains at December 31, 2014, such undistributed investment company taxable income and net capital gains were deemed distributed as consent dividends in place of regular distributions. Accordingly, no provision has been made for federal, state, or local income and excise taxes.

On December 22, 2010, The Regulated Investment Company Modernization Act of 2010 (the “Act”) was signed into law. The Act amended several tax rules impacting the Funds. Some highlights of the enacted provisions are as follows:

The Act allows for capital losses occurring in the taxable years beginning after December 22, 2010 (“post-enactment losses”) to be carried forward indefinitely. However, the Act requires any future gains to be first offset by post-enactment losses before using capital losses incurred in the taxable years beginning prior to the effective date of the Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment loss carryforwards have an increased likelihood to expire unused. Furthermore, post-enactment losses will retain their character as either long-term capital losses or short-term capital losses rather than being considered all short-term capital losses as under previous law.

The Act provides that a RIC may elect for any taxable year to treat any portion of any qualified late-year loss for such taxable year as arising on the first day of the following taxable year. The term “qualified late-year loss” means any post-October capital loss and any late-year ordinary loss.

The Act also contains simplification provisions, which are aimed at preventing disqualification of a RIC for “inadvertent” failures of the asset diversification and/or qualifying income tests.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital or accumulated net realized gain or net investment income, as appropriate, in the period that the differences arise. Accordingly, the following permanent differences as of December 31, 2014, primarily attributable to consent dividends, reclass of capital gains tax income recognized from pass-through entities, the disallowance of net operating losses, the

tax treatment of Passive Foreign Investment Companies, the redesignation of dividend distributions, the reclassification of net foreign currency exchange gains or losses and the reclassification of paydown losses were reclassed between the following accounts:

These reclassifications had no effect on net assets or net asset value per share.

The tax character of dividends and distributions declared and paid or deemed distributed during the years ended December 31, 2014 and 2013 were as follows:

Short-term gain distributions to shareholders are treated as ordinary income for tax purposes.

At December 31, 2014, the following Funds had capital loss carryforwards (pre-enactment losses) available to offset future realized capital gains through the indicated expiration dates:

At December 31, 2014, the following Funds had capital loss carryforwards (post-enactment losses) available to offset future realized capital gains:

During the year ended December 31, 2014, the following Funds utilized capital loss carryforwards to offset realized capital gains for federal income tax purposes in the following approximate amounts:

The following Funds elected to treat the qualified late-year losses as having occurred on January 1, 2015:

At December 31, 2014, the total cost of securities and net realized gains or losses on securities sold for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund at December 31, 2014 were as follows:

The differences between book basis and tax basis appreciation are primarily due to wash sales, Passive Foreign Investment Companies, Partnership Investments, Trust Preferred Securities, real estate investment trust adjustments, and the treatment of certain corporate actions.

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

The Funds may trade derivative financial instruments in the normal course of investing activities to assist in managing exposure to market risks such as interest rates and foreign currency exchange rates. These financial instruments include written options, forward foreign currency exchange contracts and futures contracts.

The notional or contractual amounts of these instruments represent the investment the Funds have in particular classes of financial instruments and do not necessarily represent the amounts potentially subject to risk. The measurement of the risks associated with these instruments is meaningful only when all related and offsetting transactions are considered.

Futures Contracts — A futures contract is a standardized contract between two parties to buy or sell a specified asset at a specified future date at a price agreed today (the future price). The party agreeing to buy the underlying asset in the future assumes a long position. The price is determined by the instantaneous equilibrium between the forces of supply and demand among competing buy and sell orders on the exchange at the time of the purchase or sale of the contract.

To the extent permitted by the investment objective, restrictions and policies set forth in the Funds’ Prospectus and Statement of Additional Information, the Funds may participate in various derivative-based transactions. The Index 500, Developed International Index and Small Cap Index Funds employ futures to maintain market exposure and otherwise assist in attempting to replicate the performance of their respective indices. These derivatives offer unique characteristics and risks that assist the Funds in meeting their investment objectives. The Funds typically use derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of futures contracts to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Funds. By purchasing these instruments, the Funds may more effectively achieve the desired fund characteristics that assist in meeting the Funds’ investment objectives.

Futures contracts involve a number of risks, such as possible default by the counterparty to the transaction, credit risk with respect to initial and variation margins held in a brokerage account, market movement and the potential of greater loss than if these techniques had not been used by a Fund. These investments can also increase the Fund’s share price and expose the Fund to significant additional costs.

The Limited Maturity Bond, Quality Bond, Index 500, Small Cap Index and Developed International Index Funds have entered into futures contracts during the year ended December 31, 2014. Open futures contracts held by the Index 500, Developed International Index and Small Cap Index Funds at December 31, 2014 were as follows:

The total market value of futures contracts held in the Limited Maturity Bond, Quality Bond, Index 500, Developed International Index and Small Cap Index Funds as of December 31, 2014 is classified as Level 1.

Options — An option establishes a contract between two parties concerning the buying or selling of an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in some specific transaction on the asset, while the seller incurs the obligation to fulfill the transaction if so requested by the buyer. The price of an option derives from the difference between the reference price and the value of the underlying asset plus a premium based on the time remaining until the expiration of the option. The Funds may buy and sell options, or write options.

Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.

The Flexibly Managed and Mid Cap Growth Funds have purchased options to decrease exposure to equity risk. The risk associated with purchased options is limited to premium paid. The Funds also received premiums for options written. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk that there may be an illiquid market where the Funds are unable to close the contract.

Transactions in options written during the year ended December 31, 2014 for the Flexibly Managed and Mid Cap Growth Funds were as follows:

The total market value of written options held in the Flexibly Managed and Mid Cap Growth Funds as of December 31, 2014 can be found in the summary of inputs on the Schedule of Investments.

Forward Foreign Currency Contracts — A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers. The contract is marked-to-market daily and the change in market value is recorded by each Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, the Fund records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset.

The High Yield Bond, Mid Core Value and Emerging Markets Equity Funds entered into forward currency contracts in conjunction with the planned purchase or sale of foreign denominated securities in order to hedge the U.S. dollar cost or proceeds. The Funds hedge currencies in times of base currency weakness in order to reduce the volatility of returns for the local securities which the Fund owns.

Foreign forward currency contracts involve a number of risks, including the possibility of default by the counterparty to the transaction and, to the extent the portfolio manager’s judgment as to certain market movements is incorrect, the risk of losses that are greater than if the investment technique had not been used. For example, there may be an imperfect correlation between the Fund’s portfolio holdings of securities denominated in a particular currency and the forward contracts entered into by the Fund. An imperfect correlation of this type may prevent the Fund from achieving the intended hedge or expose the Fund to the risk of currency exchange loss. These investment techniques also tend to limit any potential gain that might result from an increase in the value of the hedged position. These investments can also increase the volatility of the Fund’s share price and expose the Fund to significant additional costs.

Open forward foreign currency contracts held by the High Yield Bond Fund at December 31, 2014 were as follows:

Open forward foreign currency contracts held by the Mid Core Value Fund at December 31, 2014 were as follows:

Open forward foreign currency contracts held by the Emerging Markets Equity Fund at December 31, 2014 were as follows:

The total market value of forward foreign currency contracts held in the High Yield Bond, Mid Core Value and Emerging Markets Equity Funds as of December 31, 2014 is classified as Level 2.

The following is a summary of the location of derivatives on the Funds’ Statements of Assets and Liabilities as of December 31, 2014:

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The following is a summary of the gross amount of each Fund’s derivative instrument holdings categorized by primary risk exposure as of December 31, 2014:

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may participate in International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement” or “ISDA”) with derivative contract counterparties or enter into similar agreements covering foreign exchange contracts (“Fx Letters”). An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter (“OTC”) traded derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Also, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. An Fx Letter is also a bilateral agreement between a Fund and a counterparty and is limited to cover only foreign exchange contracts. Fx Letters typically contain netting provisions covering events of default and do not require collateral to be posted. ISDAs and Fx Letters containing netting provisions may be referred to as Master Netting Agreements (“MNA”).

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker for OTC traded derivatives or by the clearing house for exchange traded derivatives. Brokers can ask for margining in excess of the minimum in certain circumstances. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts and options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

The following table presents derivative assets and liabilities net of amounts available for offset under a MNA and, as applicable, the related collateral and potential loss exposure to each Fund as of December 31, 2014:

The following is a summary of the location of derivatives on the Funds’ Statements of Operations as of December 31, 2014:

The table below summarizes the average balance of derivative holdings by Fund during the year ended December 31, 2014. The average balance of derivatives held is indicative of the trading volume of each Fund.

The Funds may invest a portion of their assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Funds’ ability to dispose of them in a timely manner and at a fair price when it is necessary or preferable to do so.

The high yield securities in which the High Yield Bond Fund may invest are predominantly speculative as to the issuer’s continuing ability to meet principal and interest payments. The value of the lower quality securities in which the High Yield Bond Fund may invest will be affected by the credit worthiness of individual issuers, general economic and specific industry conditions, and will fluctuate inversely with changes in interest rates. In addition, the secondary trading market for lower quality bonds may be less active and less liquid than the trading market for higher quality bonds.

The High Yield Bond, Flexibly Managed, Large Growth Stock, Large Cap Growth, Mid Cap Growth, Mid Core Value, Small Cap Growth Developed International Index, International Equity and the Emerging Markets Equity Funds invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation of securities markets in the respective countries.

In the general course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds and/or its affiliates that have not yet occurred. However, based on experience, management of the Funds expects the risk of loss to be remote.

On July 23, 2014, the Securities and Exchange Commission voted to amend the rules under the Investment Company Act of 1940, as amended, which currently govern the operations of the Money Market Fund (the “MMF”). The most significant change resulting from these amendments is a requirement that institutional, non-government (prime and municipal) money market funds transact fund shares based on a “Floating” market-based NAV. Retail money market funds (funds designed to ensure all beneficial owners are natural persons) and government money market funds (funds that invest at least 99.5% of their assets in cash, government securities, and repurchase agreements collateralized by government securities) may continue to transact shares at a stable $1.00 NAV calculated using the amortized cost valuation method. Among additional disclosure and other requirements, the amendments will also permit a money market fund, or, in certain circumstances, require a money market fund (other than a government money market fund) to impose liquidity fees on all redemptions, and permit a money market fund to limit (or gate) redemptions for up to ten business days in any 90-day period. The amendments have staggered compliance dates. The majority of these amendments will impact the MMF beginning on October 14, 2016. At this time, management is evaluating the implications of these amendments and their impact to the MMF’s financial statements and accompanying notes.

Penn Series was named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons (In re Tribune Co.), No. 12-cv-02652 (WHP) (S.D.N.Y.), as a result of the Penn Series Index 500 Fund’s ownership of shares in the Tribune Company (“Tribune”) in 2007. On May 20, 2014, the plaintiff in this case voluntarily dismissed the action against Penn Series, with prejudice, pursuant to a settlement agreement. Neither the litigation nor the settlement had a material adverse effect on the NAV of the Penn Series Index 500 Fund.

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

We have audited the accompanying statements of assets and liabilities of Penn Series Funds, Inc. comprised of the Money Market Fund, Limited Maturity Bond Fund, Quality Bond Fund, High Yield Bond Fund, Flexibly Managed Fund, Balanced Fund, Large Growth Stock Fund, Large Cap Growth Fund, Large Core Growth Fund, Large Cap Value Fund, Large Core Value Fund, Index 500 Fund, Mid Cap Growth Fund, Mid Cap Value Fund, Mid Core Value Fund, SMID Cap Growth Fund, SMID Cap Value Fund, Small Cap Growth Fund, Small Cap Value Fund, Small Cap Index Fund, Developed International Index Fund, International Equity Fund, Emerging Markets Equity Fund, Real Estate Securities Fund, Aggressive Allocation Fund, Moderately Aggressive Allocation Fund, Moderate Allocation Fund, Moderately Conservative Allocation Fund and Conservative Allocation Fund (collectively, the Funds), as of December 31, 2014, including the schedules of investments, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian, transfer agent, and brokers, or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Penn Series Funds, Inc. as of December 31, 2014, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

Each Fund reports the following amounts distributed during the year ended December 31, 2014 as capital gain dividends:

Each Fund reports the following percentages of ordinary income dividend paid during the year ended December 31, 2014 as being eligible for the dividends received deduction available to corporate shareholders:

The SEC has adopted a requirement that all Funds file a complete schedule of investments with the SEC for their first and third fiscal quarters on Form N-Q. For the Penn Series Funds, Inc., this would be for the fiscal quarters ending March 31 and September 30. The Form N-Q filing is made within 60 days after the end of the quarter. Penn Series Funds, Inc. filed its most recent Form N-Q with the SEC on November 19, 2014. It is available on the SEC’s website at http://www.sec.gov. or it may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. (call 1-202-551-8090 for information on the operation of the Public Reference Room).

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to securities held in the Fund’s portfolios is available, without charge and upon request, on the Fund’s website at http://www.pennmutual.com or on the SEC’s website at http://www.sec.gov. Information regarding how the Fund voted proxies for the most recent twelve-month period ended June 30, 2014 is available on the Fund’s website at http://www.pennmutual.com and on the SEC’s website at http://www.sec.gov.

Additional information about the Fund’s Directors is available in the Fund’s Statement of Additional Information, which is available upon request, without charge, by calling 1-800-523-0650.

The registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer, or controller, or persons performing similar functions. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. No substantive amendments to this code of ethics were approved during the period covered by this report.

The registrant’s Board of Directors has determined that Ms. Rebecca C. Matthias qualifies as an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Matthias is considered independent for purposes of Item 3 of Form N-CSR.

(a) - (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:

Audit fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the accountant in connection with statutory and regulatory filings. Audit-related fees include amounts for assurance and related services performed by the principal account reasonably related to the performance of the audit of the registrant’s financial statements and not reported under the caption “Audit Fees.” Tax fees include amounts related to tax compliance, tax planning, and tax advice.

(1) The registrant’s audit committee has developed an Audit and Non-Audit Services Pre-Approval Policy. A copy of this policy is filed as an exhibit to this Form N-CSR.

(2) There were no services approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(g) The registrant had no aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The schedule is included as part of the report to shareholders filed under Item 1 of this form.

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

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

The shareholder meeting voting results is included as part of the report to shareholders filed under Item 1 of this form.

(a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

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.


Management’s Discussion of Fund Performance (Unaudited)
Limited Maturity Bond Fund			2
Quality Bond Fund			4
High Yield Bond Fund			6
Flexibly Managed Fund			8
Balanced Fund			10
Large Growth Stock Fund			11
Large Cap Growth Fund			13
Large Core Growth Fund			15
Large Cap Value Fund			17
Large Core Value Fund			19
Index 500 Fund			21
Mid Cap Growth Fund			23
Mid Cap Value Fund			25
Mid Core Value Fund			27
SMID Cap Growth Fund			29
SMID Cap Value Fund			31
Small Cap Growth Fund			33
Small Cap Value Fund			35
Small Cap Index Fund			37
Developed International Index Fund			39
International Equity Fund			41
Emerging Markets Equity Fund			43
Real Estate Securities Fund			45
Aggressive Allocation Fund			47
Moderately Aggressive Allocation Fund			49
Moderate Allocation Fund			51
Moderately Conservative Allocation Fund			53
Conservative Allocation Fund			55
Important Information about Fund Expenses			57
Schedules of Investments			60
Statements of Assets and Liabilities			178
Statements of Operations			186
Statements of Changes in Net Assets			190
Financial Highlights			198
Notes to Financial Statements			213
Report of Independent Registered Public Accounting Firm			235
Tax Information			236
Disclosure of Portfolio Holdings			237
Voting Proxies on Fund Portfolio Securities			237
Fund Management			238


	Beginning Value July 1, 2014		Ending Value December 31, 2014		Annualized Expense Ratio		Expenses Paid During Period *
Money Market Fund
Actual		$1,000.00		$1,000.06		0.13%		$0.66
Hypothetical		$1,000.00		$1,024.55		0.13%		$0.66
Limited Maturity Bond Fund
Actual		$1,000.00		$997.40		0.72%		$3.62
Hypothetical		$1,000.00		$1,021.53		0.72%		$3.68


	Money Market Fund		Limited Maturity Bond Fund			Quality Bond Fund		High Yield Bond Fund

ASSETS
Investments at value	$	132,327,129	$	220,358,351		$	553,482,428	$	188,089,557
Foreign currency, at value		—		—			—		156,559
Cash		—		—			—		52,932
Due from custodian		—		73,836			—		—
Initial margin held by broker for open futures		—		1,319,093			698,000		—
Interest, dividends and reclaims receivable		26,192		1,028,847			2,980,648		3,196,738
Receivable for investment securities sold		—		—			—		460,009
Receivable for capital stock sold		510,235		2,475,766			4,167,653		3,103,739
Futures receivable		—		—			348,838		—
Net unrealized appreciation of forward foreign currency contracts		—		—			—		378,547
Other assets		3,609		6,077			14,527		5,157

Total Assets		132,867,165		225,261,970			561,692,094		195,443,238


LIABILITIES
Payable for investment securities purchased		—		2,523,451			1,466,047		689,756
Payable for capital stock redeemed		100,674		18,332			100,473		15,409
Future variation margin payable		—		441,477			—		—
Payable to investment adviser		—		85,881			206,386		90,936
Payable to The Penn Mutual Life Insurance Co.		456		83,393			211,076		73,781
Net unrealized depreciation of forward foreign currency contracts		—		—			—		9,754
Other liabilities		34,597		47,746			92,146		59,995

Total Liabilities		135,727		3,200,280			2,076,128		939,631

NET ASSETS	$	132,731,438	$	222,061,690		$	559,615,966	$	194,503,607

Investments at cost	$	132,327,129	$	221,326,119		$	540,439,761	$	190,696,759
Foreign currency at cost		—		—			—		159,450

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	132,731,438	$	223,153,201		$	546,979,424	$	198,559,852
Undistributed net investment income (loss)		—		—			—		(369,756	)
Accumulated net realized gain (loss) on investment transactions, future contracts and foreign exchange		—		(100,306	)		271,063		(1,433,818	)
Net unrealized appreciation (depreciation) in value of investments, futures contracts and foreign currency related items		—		(991,205	)		12,365,479		(2,252,671	)

NET ASSETS	$	132,731,438	$	222,061,690		$	559,615,966	$	194,503,607


Shares outstanding, $0.10 par value, 500 million shares authorized		132,715,512

Shares outstanding, $0.10 par value, 250 million shares authorized							41,756,772		17,714,759

Shares outstanding, $0.0001 par value, 250 million shares authorized				19,314,399

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	1.00	$	11.50		$	13.40	$	10.98


	Flexibly Managed Fund			Balanced Fund			Large Growth Stock Fund			Large Cap Growth Fund

ASSETS
Investments of affiliated issuers at value	$	—		$	81,477,803		$	—		$	—
Investments of unaffiliated issuers at value		3,108,345,933			247,645			281,020,360			57,889,149
Foreign currency, at value		—			—			4,991			—
Cash		230,135			—			40			500
Interest, dividends and reclaims receivable		12,497,060			4			109,647			85,915
Receivable for investment securities sold		13,363,741			696,530			451,455			1,218,063
Receivable for capital stock sold		944			71,807			751,488			—
Other assets		77,659			2,135			7,342			1,504

Total Assets		3,134,515,472			82,495,924			282,345,323			59,195,131


LIABILITIES
Call options written, at value		23,284,371			—			—			—
Foreign currency due to custodian, at value		—			—			—			16,873
Payable for investment securities purchased		31,010,700			661,324			1,060,026			5,776
Payable for capital stock redeemed		2,715,550			282			265,244			1,442,277
Payable to investment adviser		1,820,461			—			170,053			27,579
Payable to The Penn Mutual Life Insurance Co.		1,133,167			30,657			104,462			18,770
Net unrealized depreciation of forward foreign currency contracts		—			—			—			—
Other liabilities		363,043			10,016			63,764			20,748

Total Liabilities		60,327,292			702,279			1,663,549			1,532,023

NET ASSETS	$	3,074,188,180		$	81,793,645		$	280,681,774		$	57,663,108

Investments of affiliated issuers at cost	$	—		$	48,631,140		$	—		$	—
Investments of unaffiliated issuers at cost		2,628,327,639			247,645			192,025,428			47,320,046
Foreign currency at cost		—			—			5,006			(16,954	)
Call options written, premiums received		(13,029,989	)		—			—			—

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	2,607,315,347		$	52,802,156		$	191,866,118		$	47,213,507
Undistributed net investment income (loss)		(469,648	)		—			—			(86,940	)
Accumulated net realized gain (loss) on investment transactions and foreign exchange		(2,395,589	)		(3,855,174	)		(178,385	)		(32,308	)
Net unrealized appreciation (depreciation) in value of investments, written options and foreign currency related items		469,738,070			32,846,663			88,994,041			10,568,849

NET ASSETS	$	3,074,188,180		$	81,793,645		$	280,681,774		$	57,663,108


Shares outstanding, $0.10 par value, 250 million shares authorized		76,770,542						10,314,474

Shares outstanding, $0.0001 par value, 250 million shares authorized					5,071,003						4,398,641

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	40.04		$	16.13		$	27.21		$	13.11


	Large Core Growth Fund			Large Cap Value Fund			Large Core Value Fund			Index 500 Fund

ASSETS
Investments at value	$	126,396,293		$	230,154,067		$	192,422,684		$	443,570,807
Interest, dividends and reclaims receivable		38,936			331,811			319,385			582,299
Receivable for investment securities sold		—			—			—			1,651,814
Receivable for capital stock sold		—			—			216,886			—
Other assets		3,312			6,020			5,099			14,775

Total Assets		126,438,541			230,491,898			192,964,054			445,819,695


LIABILITIES
Payable for investment securities purchased		224,080			—			—			—
Payable for capital stock redeemed		93,725			1,153,409			48,861			2,554,234
Future variation margin payable		—			—			—			136,080
Payable to investment adviser		64,372			129,352			108,760			49,341
Payable to The Penn Mutual Life Insurance Co.		46,991			85,374			72,364			164,590
Other liabilities		29,132			43,604			38,577			80,625

Total Liabilities		458,300			1,411,739			268,562			2,984,870

NET ASSETS	$	125,980,241		$	229,080,159		$	192,695,492		$	442,834,825

Investments at cost	$	95,717,178		$	187,150,263		$	159,334,473		$	260,565,251

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	95,457,761		$	187,773,977		$	159,740,967		$	271,286,424
Undistributed net investment income (loss)		—			(1,343,191	)		76,589			(20,358	)
Accumulated net realized gain (loss) on investment transactions		(156,635	)		(354,431	)		(210,275	)		(11,784,305	)
Net unrealized appreciation (depreciation) in value of investments and futures contracts		30,679,115			43,003,804			33,088,211			183,353,064

NET ASSETS	$	125,980,241		$	229,080,159		$	192,695,492		$	442,834,825


Shares outstanding, $0.10 par value, 250 million shares authorized					9,863,873

Shares outstanding, $0.0001 par value, 250 million shares authorized		7,856,699						12,940,839			27,710,505

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	16.03		$	23.22		$	14.89		$	15.98


	Mid Cap Growth Fund			Mid Cap Value Fund			Mid Core Value Fund			SMID Cap Growth Fund

ASSETS
Investments at value	$	129,837,186		$	187,173,992		$	91,862,490		$	56,659,080
Cash		—			—			500			106,108
Interest, dividends and reclaims receivable		85,910			408,201			186,443			9,079
Receivable for investment securities sold		811,314			—			175,715			7,872,960
Net unrealized appreciation of forward foreign currency contracts		—			—			15,312			—
Other assets		3,388			4,829			2,197			1,656

Total Assets		130,737,798			187,587,022			92,242,657			64,648,883


LIABILITIES
Call options written, at value		27,700			—			—			—
Payable for investment securities purchased		738,223			410,533			380,330			483,019
Payable for capital stock redeemed		1,330,721			1,693,117			1,513,645			8,478,971
Payable to investment adviser		77,031			86,312			55,306			40,371
Payable to The Penn Mutual Life Insurance Co.		48,081			68,242			32,737			23,400
Net unrealized depreciation of forward foreign currency contracts		—			—			734			—
Other liabilities		29,844			35,751			30,901			21,046

Total Liabilities		2,251,600			2,293,955			2,013,653			9,046,807

NET ASSETS	$	128,486,198		$	185,293,067		$	90,229,004		$	55,602,076

Investments at cost	$	118,739,282		$	144,108,884		$	82,355,634		$	45,563,370
Call options written, premiums received		(44,824	)		—			—			—

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	117,391,290		$	143,068,925		$	81,121,299		$	44,832,102
Undistributed net investment income (loss)		35,627			(840,966	)		24,509			—
Accumulated net realized gain (loss) on investment transactions, written options and foreign exchange		(55,778	)		—			(438,094	)		(325,736	)
Net unrealized appreciation (depreciation) in value of investments, written options and foreign currency related items		11,115,059			43,065,108			9,521,290			11,095,710

NET ASSETS	$	128,486,198		$	185,293,067		$	90,229,004		$	55,602,076


Shares outstanding, $0.0001 par value, 250 million shares authorized		8,637,575			8,807,859			5,056,833			2,813,622

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	14.88		$	21.04		$	17.84		$	19.76


	SMID Cap Value Fund			Small Cap Growth Fund			Small Cap Value Fund			Small Cap Index Fund

ASSETS
Investments at value	$	75,495,736		$	104,211,963		$	246,671,105		$	69,367,736
Cash		—			—			5,150			91
Due from custodian		—			—			—			59,999
Interest, dividends and reclaims receivable		89,623			26,950			541,824			84,647
Receivable for investment securities sold		—			—			673,181			1,012,514
Receivable for capital stock sold		—			7,159,406			1,075,261			—
Other assets		1,893			2,416			6,395			1,801

Total Assets		75,587,252			111,400,735			248,972,916			70,526,788


LIABILITIES
Payable for investment securities purchased		100,072			7,380,335			173,507			—
Payable for capital stock redeemed		1,475,222			1,222,622			2,376,104			3,768,733
Future variation margin payable		—			—			—			22,551
Payable to investment adviser		59,600			59,954			148,207			17,596
Payable to The Penn Mutual Life Insurance Co.		27,213			35,064			90,806			25,427
Other liabilities		18,964			24,948			57,330			34,495

Total Liabilities		1,681,071			8,722,923			2,845,954			3,868,802

NET ASSETS	$	73,906,181		$	102,677,812		$	246,126,962		$	66,657,986

Investments at cost	$	60,800,010		$	83,840,207		$	195,493,692		$	49,888,894

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	59,413,506		$	82,309,956		$	195,487,095		$	47,547,730
Undistributed net investment income (loss)		—			9,930			—			(8,410	)
Accumulated net realized gain (loss) on investment transactions and foreign exchange		(203,051	)		(14,021	)		(537,546	)		(355,310	)
Net unrealized appreciation (depreciation) in value of investments, futures contracts and foreign currency		14,695,726			20,371,947			51,177,413			19,473,976

NET ASSETS	$	73,906,181		$	102,677,812		$	246,126,962		$	66,657,986


Shares outstanding, $0.10 par value, 250 million shares authorized					3,606,959			8,781,841

Shares outstanding, $0.0001 par value, 250 million shares authorized		3,533,821									3,790,086

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	20.91		$	28.47		$	28.03		$	17.59


	Developed International Index Fund			International Equity Fund			Emerging Markets Equity Fund			Real Estate Securities Fund

ASSETS
Investments at value	$	96,006,858		$	375,698,319		$	148,646,540		$	142,086,676
Foreign currency, at value		542,158			663,666			69,442			—
Cash		—			—			9,769			—
Interest, dividends and reclaims receivable		229,352			711,794			109,806			473,199
Receivable for investment securities sold		—			387,038			2,734,432			553,343
Receivable for capital stock sold		4,786,371			5,590,626			6,199,015			—
Net unrealized appreciation of forward foreign currency contracts		—			—			143,050			—
Other assets		219,723			1,498			3,670			3,474

Total Assets		101,784,462			383,052,941			157,915,724			143,116,692


LIABILITIES
Cash overdraft		—			—			—			145,383
Payable for investment securities purchased		18,544			1,603,705			145,513			806,545
Payable for capital stock redeemed		12,273			29,648			7,341			5,137,961
Future variation margin payable		110,090			—			—			—
Payable to investment adviser		25,081			275,180			161,548			83,934
Payable to The Penn Mutual Life Insurance Co.		37,356			143,982			59,811			50,969
Deferred Indian capital gains tax		—			123			396,338			—
Net unrealized depreciation of forward foreign currency contracts		—			—			1,679			—
Other liabilities		70,876			101,809			116,089			31,047

Total Liabilities		274,220			2,154,447			888,319			6,255,839

NET ASSETS	$	101,510,242		$	380,898,494		$	157,027,405		$	136,860,853

Investments at cost	$	78,395,353		$	302,576,629		$	132,710,238		$	118,253,476
Foreign currency at cost		555,322			686,338			69,462			—

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	88,009,574		$	321,302,596		$	148,593,170			113,182,282
Undistributed net investment income (loss)		(1,014,855	)		(7,567,472	)		(551,690	)		—
Accumulated net realized gain (loss) on investment transactions and foreign exchange		(3,035,095	)		(5,900,390	)		(6,699,021	)		(154,629	)
Net unrealized appreciation (depreciation) in value of investments, futures contracts and foreign currency related items		17,550,618			73,063,760			15,684,946			23,833,200

NET ASSETS	$	101,510,242		$	380,898,494		$	157,027,405		$	136,860,853


Shares outstanding, $0.10 par value, 250 million shares authorized					16,281,705

Shares outstanding, $0.0001 par value, 250 million shares authorized		8,793,212						14,483,747			7,599,009

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	11.54		$	23.39		$	10.84		$	18.01


	Aggressive Allocation Fund			Moderately Aggressive Allocation Fund			Moderate Allocation Fund			Moderately Conservative Allocation Fund

ASSETS
Investments of affiliated issuers at value	$	64,604,022		$	249,128,395		$	363,004,048		$	106,988,971
Investments of unaffiliated issuers at value		386,856			1,203,734			896,224			709,861
Interest, dividends and reclaims receivable		7			19			21			13
Receivable for investment securities sold		2,396,211			6,598,410			9,271,107			3,564,468
Receivable for capital stock sold		154			196,401			124,449			44,958
Other assets		1,666			6,556			9,574			2,868

Total Assets		67,388,916			257,133,515			373,305,423			111,311,139


LIABILITIES
Payable for investment securities purchased		2,393,380			6,588,844			9,053,959			3,553,532
Payable for capital stock redeemed		452,033			2			8			24,102
Payable to investment adviser		6,541			25,025			35,587			10,984
Payable to The Penn Mutual Life Insurance Co.		23,777			93,420			136,297			40,657
Other liabilities		8,629			24,608			35,483			12,622

Total Liabilities		2,884,360			6,731,899			9,261,334			3,641,897

NET ASSETS	$	64,504,556		$	250,401,616		$	364,044,089		$	107,669,242

Investments of affiliated issuers at cost	$	42,491,820		$	163,140,742		$	256,703,468		$	79,769,115
Investments of unaffiliated issuers at cost		386,856			1,203,734			896,224			709,851

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	42,828,713		$	166,568,175		$	259,398,860		$	81,137,451
Undistributed net investment income (loss)		—			—			—			—
Accumulated net realized gain (loss) on investment transactions		(436,359	)		(2,154,212	)		(1,655,351	)		(688,065	)
Net unrealized appreciation (depreciation) in value of investments		22,112,202			85,987,653			106,300,580			27,219,856

NET ASSETS	$	64,504,556		$	250,401,616		$	364,044,089		$	107,669,242


Shares outstanding, $0.0001 par value, 250 million shares authorized		4,265,963			15,914,466			25,214,772			7,900,910

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	15.12		$	15.73		$	14.44		$	13.63


	Conservative Allocation Fund

ASSETS
Investments of affiliated issuers at value	$	64,202,827
Investments of unaffiliated issuers at value		980,321
Interest, dividends and reclaims receivable		17
Receivable for investment securities sold		506,061
Receivable for capital stock sold		52,862
Other assets		1,774

Total Assets		65,743,862


LIABILITIES
Payable for investment securities purchased		503,316
Payable for capital stock redeemed		16,645
Payable to investment adviser		6,639
Payable to The Penn Mutual Life Insurance Co.		25,103
Other liabilities		9,293

Total Liabilities		560,996

NET ASSETS	$	65,182,866

Investments of affiliated issuers at cost	$	51,474,481
Investments of unaffiliated issuers at cost		980,321

COMPONENTS OF NET ASSETS:
Paid-in Capital	$	52,864,835
Undistributed net investment income (loss)		—
Accumulated net realized gain (loss) on investment transactions		(410,315	)
Net unrealized appreciation (depreciation) in value of investments		12,728,346

NET ASSETS	$	65,182,866


Shares outstanding, $0.0001 par value, 250 million shares authorized		5,124,442

NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	12.72


	Money Market Fund						Limited Maturity Bond Fund
	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/14			Year Ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)	$	13,590		$	13,151		$	1,604,138		$	1,182,668
Net realized gain (loss) on investment transactions		—			—			870,220			167,105
Net realized gain (loss) on futures contracts		—			—			(322,415	)		—
Net change in unrealized appreciation (depreciation) of investments contracts		—			—			(1,814,906	)		(1,512,020	)
Net change in unrealized appreciation (depreciation) of future contracts		—			—			(23,437	)		—

Net Increase (Decrease) in Net Assets Resulting from Operations		13,590			13,151			313,600			(162,247	)


Distributions from:
Net investment income		(13,590	)		(13,151	)		—			—

Total Distributions		(13,590	)		(13,151	)		—			—


Capital Share Transactions (1):
Shares issued		112,210,094			134,904,829			45,621,027			93,163,341
Shares issued in lieu of cash distributions		13,593			13,153			—			—
Shares redeemed		(104,373,265	)		(151,761,830	)		(67,540,093	)		(51,719,394	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		7,850,422			(16,843,848	)		(21,919,066	)		41,443,947

Total Increase (Decrease)		7,850,422			(16,843,848	)		(21,605,466	)		41,281,700

Net Assets:
Beginning of period		124,881,016			141,724,864			243,667,156			202,385,456

End of Period	$	132,731,438		$	124,881,016		$	222,061,690		$	243,667,156

Undistributed net investment income (loss)	$	—		$	—		$	—		$	—

(1) Shares Issued and Redeemed:
Shares issued		112,210,094			134,904,829			3,961,890			8,107,656
Shares issued in lieu of cash distributions		13,593			13,153			—			—
Shares redeemed		(104,373,265	)		(151,761,830	)		(5,864,076	)		(4,503,971	)

		7,850,422			(16,843,848	)		(1,902,186	)		3,603,685


	Quality Bond Fund						High Yield Bond Fund
	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/14			Year Ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)	$	10,704,702		$	10,455,707		$	10,757,499		$	11,112,337
Net realized gain (loss) on investment transactions		11,589,711			162,217			1,170,142			4,828,712
Net realized gain (loss) on futures contracts		(1,683,455	)		—			—			—
Net realized foreign exchange gain (loss)		78,966			—			1,288,588			(720,976	)
Net change in unrealized appreciation (depreciation) of investments, futures contracts and foreign currency related items		6,906,990			(26,300,466	)		(9,843,153	)		(1,253,621	)

Net Increase (Decrease) in Net Assets Resulting from Operations		27,596,914			(15,682,542	)		3,373,076			13,966,452


Capital Share Transactions (1):
Shares issued		64,744,414			138,595,418			32,275,457			27,295,243
Shares redeemed		(79,484,028	)		(144,553,737	)		(29,932,861	)		(32,193,986	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		(14,739,614	)		(5,958,319	)		2,342,596			(4,898,743	)

Total Increase (Decrease)		12,857,300			(21,640,861	)		5,715,672			9,067,709

Net Assets:
Beginning of period		546,758,666			568,399,527			188,787,935			179,720,226

End of Period	$	559,615,966		$	546,758,666		$	194,503,607		$	188,787,935

Undistributed net investment income (loss)	$	—		$	—		$	(369,756	)	$	(246,879	)

(1) Shares Issued and Redeemed:
Shares issued		4,908,765			10,832,965			2,905,150			2,636,071
Shares redeemed		(6,050,584	)		(11,195,971	)		(2,702,689	)		(3,106,563	)

		(1,141,819	)		(363,006	)		202,461			(470,492	)


	Developed International Index Fund						International Equity Fund
	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/14			Year Ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)	$	2,616,716		$	2,463,019		$	4,424,500		$	3,989,620
Net realized gain (loss) on investment transactions		(713,770	)		(1,802,237	)		16,064,701			22,058,244
Net realized gains (loss) on futures contracts		57,250			305,533			—			—
Net realized foreign exchange gain (loss)		(50,638	)		(9,919	)		(442,883	)		(491,798	)
Net change in unrealized appreciation (depreciation) of investments and foreign currency related items		(7,995,123	)		17,706,598			(8,483,026	)		(4,396,386	)
Net change in unrealized appreciation (depreciation) of futures contracts		(130,031	)		—			—			—

Net Increase (Decrease) in Net Assets Resulting from Operations		(6,215,596	)		18,662,994			11,563,292			21,159,680


Capital Share Transactions (1):
Shares issued		21,421,254			20,155,439			30,353,335			44,671,355
Shares redeemed		(16,928,155	)		(25,371,940	)		(39,206,826	)		(36,241,221	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		4,493,099			(5,216,501	)		(8,853,491	)		8,430,134

Total Increase (Decrease)		(1,722,497	)		13,446,493			2,709,801			29,589,814

Net Assets:
Beginning of period		103,232,739			89,786,246			378,188,693			348,598,879

End of Period	$	101,510,242		$	103,232,739		$	380,898,494		$	378,188,693

Undistributed net investment income (loss)	$	(1,014,855	)	$	(421,083	)	$	(7,657,472	)	$	(4,399,305	)

(1) Shares Issued and Redeemed:
Shares issued		1,771,528			1,821,911			1,292,836			2,004,226
Shares redeemed		(1,380,264	)		(2,264,532	)		(1,655,055	)		(1,620,348	)

		391,264			(442,621	)		(362,219	)		383,878


	Emerging Markets Equity Fund						Real Estate Securities Fund
	For the year ended 12/31/14			For the year ended 12/31/13			For the year ended 12/31/14			For the year ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment income (loss)	$	304,466		$	388,529		$	1,813,404		$	1,503,361
Net realized gain (loss) on investment transactions		1,914,161			222,312			9,971,688			6,127,088
Net realized foreign exchange gain (loss)		283,403			(115,528	)		—			—
Net change in unrealized appreciation (depreciation) of investments and foreign currency related items		(10,252,484	)		(2,318,916	)		21,550,613			(4,923,112	)

Net Increase (Decrease) in Net Assets Resulting from Operations		(7,750,454	)		(1,823,603	)		33,335,705			2,707,337


Capital Share Transactions (1):
Shares issued		20,116,546			27,080,779			14,877,565			24,229,101
Shares redeemed		(18,517,520	)		(14,936,714	)		(25,642,611	)		(10,792,716	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		1,599,026			12,144,065			(10,765,046	)		13,436,385

Total Increase (Decrease)		(6,151,428	)		10,320,462			22,570,659			16,143,722

Net Assets:
Beginning of period		163,178,833			152,858,371			114,290,194			98,146,472

End of Period	$	157,027,405		$	163,178,833		$	136,860,853		$	114,290,194

Undistributed net investment income (loss)	$	(551,690	)	$	(542,509	)	$	—		$	—

(1) Shares Issued and Redeemed:
Shares issued		1,781,761			2,380,504			929,018			1,704,606
Shares redeemed		(1,617,880	)		(1,314,133	)		(1,595,302	)		(756,923	)

		163,881			1,066,371			(666,284	)		947,683


	Aggressive Allocation Fund						Moderately Aggressive Allocation Fund
	For the year ended 12/31/14			For the year ended 12/31/13			For the year ended 12/31/14			For the year ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment loss	$	(204,081	)	$	(162,159	)	$	(772,032	)	$	(642,003	)
Net realized gain (loss) on investment transactions		912,874			700,038			3,441,261			3,319,129
Net change in unrealized appreciation (depreciation) of investments		3,304,304			9,317,125			12,349,357			33,132,324

Net Increase (Decrease) in Net Assets Resulting from Operations		4,013,097			9,855,004			15,018,586			35,809,450


Capital Share Transactions (1):
Shares issued		10,098,446			14,707,924			25,123,177			39,529,743
Shares redeemed		(6,486,215	)		(8,917,612	)		(20,925,530	)		(23,382,869	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		3,612,231			5,790,312			4,197,647			16,146,874

Total Increase (Decrease)		7,625,328			15,645,316			19,216,233			51,956,324

Net Assets:
Beginning of period		56,879,228			41,233,912			231,185,383			179,229,059

End of Period	$	64,504,556		$	56,879,228		$	250,401,616		$	231,185,383

Undistributed net investment income (loss)	$	—		$	—		$	—		$	—

(1) Shares Issued and Redeemed:
Shares issued		692,274			1,145,505			1,660,078			2,906,051
Shares redeemed		(443,356	)		(696,475	)		(1,370,185	)		(1,713,234	)

		248,918			449,030			289,893			1,192,817


	Moderate Allocation Fund						Moderately Conservative Allocation Fund
	For the year ended 12/31/14			For the year ended 12/31/13			For the year ended 12/31/14			For the year ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment loss	$	(1,131,190	)	$	(1,014,580	)	$	(356,665	)	$	(340,982	)
Net realized gain (loss) on investment transactions		6,721,209			6,848,949			3,086,664			2,737,934
Net change in unrealized appreciation (depreciation) of investments		13,918,874			36,953,271			2,798,243			7,065,143

Net Increase (Decrease) in Net Assets Resulting from Operations		19,508,893			42,787,640			5,528,242			9,462,095


Capital Share Transactions (1):
Shares issued		22,589,465			44,282,431			10,959,713			24,189,911
Shares redeemed		(28,218,510	)		(27,856,519	)		(20,271,176	)		(18,227,457	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		(5,629,045	)		16,425,912			(9,311,463	)		5,962,454

Total Increase (Decrease)		13,879,848			59,213,552			(3,783,221	)		15,424,549

Net Assets:
Beginning of period		350,164,241			290,950,689			111,452,463			96,027,914

End of Period	$	364,044,089		$	350,164,241		$	107,669,242		$	111,452,463

Undistributed net investment income (loss)	$	—		$	—		$	—		$	—

(1) Shares Issued and Redeemed:
Shares issued		1,612,172			3,469,988			824,976			1,960,311
Shares redeemed		(2,007,711	)		(2,154,312	)		(1,512,162	)		(1,462,960	)

		(395,539	)		1,315,676			(687,186	)		497,351


	Conservative Allocation Fund
	Year Ended 12/31/14			Year Ended 12/31/13
Increase (Decrease) in Net Assets
Operations:
Net investment loss	$	(226,472	)	$	(232,466	)
Net realized gain (loss) on investment transactions		907,517			1,818,220
Net change in unrealized appreciation (depreciation) of investments		1,841,534			1,470,305

Net Increase (Decrease) in Net Assets Resulting from Operations		2,522,579			3,056,059


Capital Share Transactions (1):
Shares issued		13,239,590			20,212,093
Shares redeemed		(18,764,183	)		(25,687,459	)

Net Increase (Decrease) in Net Assets from Capital Share Transactions		(5,524,593	)		(5,475,366	)

Total Increase (Decrease)		(3,002,014	)		(2,419,307	)

Net Assets:
Beginning of period		68,184,880			70,604,187

End of Period	$	65,182,866		$	68,184,880

Undistributed net investment income (loss)	$	—		$	—

(1) Shares Issued and Redeemed:
Shares issued		1,061,522			1,681,772
Shares redeemed		(1,497,478	)		(2,134,595	)

		(435,956	)		(452,823	)


	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Income from investment operations:
Net investment income (loss)		—	^(a)		—	^(a)		—	^(a)		—	^(a)		—	^(a)

Total from investment operations		—			—			—			—			—

Less distributions:
Net investment income		—	^(a)		—	^(a)		—	^(a)		—	^(a)		—	^(a)

Total distributions		—			—			—			—			—

Net asset value, end of period	$	1.00		$	1.00		$	1.00		$	1.00		$	1.00

Total return ¹		0.01%			0.01%			0.01%			0.01%			0.01%

Ratios/Supplemental data:
Net assets, end of period (in thousands)	$	132,731		$	124,881		$	141,725		$	154,213		$	139,988

Ratio of net expenses to average net assets		0.12%			0.16%			0.22%			0.22%			0.33%

Ratio of total expenses to average net assets		0.57%			0.48%			0.49%			0.49%			0.47%

Ratio of net investment income (loss) to average net assets		0.01%			0.01%			0.01%			0.01%			0.01%

¹ Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total returns do not reflect expenses associated with variable contracts such as administrative fees, account charges and surrender charges, which if reflected would reduce the total returns for all periods presented. ^(a)Distributions were less than one penny per share.

LIMITED MATURITY BOND FUND For a share outstanding throughout each period
	Year Ended December 31,
	2014			2013			2012			2011			2010
Net asset value, beginning of period	$	11.48		$	11.49		$	11.42		$	11.17		$	10.76

Income from investment operations:
Net investment income (loss)		0.08			0.05			0.09			0.13			0.17
Net realized and unrealized gain (loss) on investment transactions		(0.06	)		(0.06	)		(0.02	)		0.12			0.24

Total from investment operations		0.02			(0.01	)		0.07			0.25			0.41

Net asset value, end of period	$	11.50		$	11.48		$	11.49		$	11.42		$	11.17

Total return ¹		0.17%			(0.09%	)		0.61%			2.24%			3.71%

Ratios/Supplemental data:
Net assets, end of period (in thousands)	$	222,062		$	243,667		$	202,385		$	174,290		$	152,447

Ratio of total expenses to average net assets		0.67%			0.57%			0.57%			0.58%			0.58%

Ratio of net investment income (loss) to average net assets		0.67%			0.60%			0.81%			1.14%			1.56%

Portfolio turnover rate		82%			50%			31%			50%			38%


Fund	Sub-adviser	Investment Advisory Fees (As a Percentage of the Average Daily Net Assets of the Fund)
Money Market Fund	None	0.33% of the first $200,000,000; 0.31% of the next $150,000,000; 0.29% of the next $150,000,000; 0.27% over $500,000,000.

Limited Maturity Bond Fund	None	0.46% of the first $200,000,000; 0.44% of the next $150,000,000; 0.42% of the next $150,000,000; 0.40% over $500,000,000.
Quality Bond Fund	None	0.46% of the first $200,000,000; 0.44% of the next $150,000,000; 0.42% of the next $150,000,000; 0.40% over $500,000,000.

High Yield Bond Fund	T. Rowe Price Associates, Inc	0.56% of the first $250,000,000; 0.53% over $250,000,000.

Flexibly Managed Fund	T. Rowe Price Associates, Inc	0.72% of the first $500,000,000; 0.70% of the next $2,000,000,000; 0.68% of the next $1,500,000,000; 0.65% of the next $1,000,000,000; 0.62% over $5,000,000,000.

Balanced Fund	None	None

Large Growth Stock Fund	T. Rowe Price Associates, Inc	0.72% of the first $250,000,000; 0.68% of the next $250,000,000; 0.65% over $500,000,000.

Large Cap Growth Fund	Massachusetts Financial Services Company	0.55%

Large Core Growth Fund	Wells Capital Management, Inc.	0.60%

Large Cap Value Fund	Loomis, Sayles & Company, LP	0.67% of the first $150,000,000; 0.65% over $150,000,000.

Large Core Value Fund	Eaton Vance Management	0.67% of the first $150,000,000; 0.65% of the next $250,000,000; 0.60% over $400,000,000.

Index 500 Fund	State Street Global Advisors	0.14% of the first $150,000,000; 0.13% of the next $150,000,000; 0.12% over $300,000,000.

Mid Cap Growth Fund	Ivy Investment Management Company	0.70%

Mid Cap Value Fund	Neuberger Berman Management, Inc.	0.55% of the first $250,000,000; 0.525% of the next $250,000,000; 0.50% of the next $250,000,000; 0.475% of the next $250,000,000; 0.45% of the next $500,000,000; 0.425% over $1,500,000,000.


Fund	Expense Limitation		Fund	Expense Limitation
Money Market		0.80%	SMID Cap Growth		1.05%
Limited Maturity Bond		0.90%	SMID Cap Value		1.14%
Quality Bond		0.90%	Small Cap Growth		1.15%
High Yield Bond		0.90%	Small Cap Value		1.15%
Flexibly Managed		1.00%	Small Cap Index		0.55%
Balanced		0.62%	Developed International Index		0.59%
Large Growth Stock		1.00%	International Equity		1.50%
Large Cap Growth		1.00%	Emerging Markets Equity		1.85%
Large Core Growth		1.00%	Real Estate Securities		1.25%
Large Cap Value		1.00%	Aggressive Allocation*		0.33%
Large Core Value		1.00%	Moderately Aggressive Allocation*		0.33%
Index 500		0.40%	Moderate Allocation*		0.33%
Mid Cap Growth		1.00%	Moderately Conservative Allocation*		0.33%
Mid Cap Value		1.00%	Conservative Allocation*		0.33%
Mid Core Value		1.25%


	December 31, 2015		December 31, 2016		December 31, 2017
Money Market Fund	$	122,590	$	176,604	$	220,934
Balanced Fund		22,964		20,510		7,278


Emerging Markets Equity Fund	$	127,901
Aggressive Allocation Fund		598
Conservative Allocation Fund		1,285


Money Market Fund	$	11,431,881
Limited Maturity Bond Fund		46,511,309
Quality Bond Fund		40,189,327
High Yield Bond Fund		5,306,051
Flexibly Managed Fund		62,292,120
Large Growth Stock Fund		39,378,509
Index 500 Fund		20,094,774
Mid Cap Growth Fund		5,209,794
Mid Core Value Fund		4,914,080
SMID Cap Growth Fund		4,837,870
SMID Cap Value Fund		5,112,707
Small Cap Growth Fund		3,871,173
Small Cap Value Fund		8,980,791
International Equity Fund		19,026,740
Large Core Value		30,932,856
Emerging Markets Equity		3,166,782
Small Cap Index Fund		3,405,335
Developed International Index		2,767,385


	U.S. Government Securities				Other Investment Securities
	Purchases		Sales		Purchases		Sales
Limited Maturity Bond Fund	$	41,878,264	$	102,499,117	$	144,365,448	$	79,682,106
Quality Bond Fund		220,976,568		418,595,557		512,647,484		285,884,930
High Yield Bond Fund		—		—		108,452,014		102,171,232
Flexibly Managed Fund		12,789,898		201,321,410		1,942,770,764		1,798,623,400
Balanced Fund		—		—		6,729,363		11,194,608
Large Growth Stock Fund		—		—		101,008,964		109,861,975
Large Cap Growth Fund		—		—		13,782,967		17,237,333
Large Core Growth Fund		—		—		102,501,889		115,770,673
Large Cap Value Fund		—		—		48,697,241		59,825,297
Large Core Value Fund		—		—		147,814,267		159,519,759
Index 500 Fund		—		—		11,306,362		21,973,488
Mid Cap Growth Fund		—		—		173,081,446		177,139,804
Mid Cap Value Fund		—		—		53,994,381		55,871,520


	Increase (Decrease) Undistributed Net Investment Income			Increase (Decrease) Accumulated Net Realized Gains			Increase (Decrease) Paid-in-Capital
Limited Maturity Bond Fund	$	(1,604,138	)	$	(648,111	)	$	2,252,249
Quality Bond Fund		(10,704,702	)		(9,419,909	)		20,124,611
High Yield Bond Fund		(10,880,376	)		(2,074,758	)		12,955,134
Flexibly Managed Fund		(33,376,896	)		(337,945,561	)		371,322,457
Balanced Fund		162,810			(1,709,649	)		1,546,839
Large Growth Stock Fund		687,956			(37,821,788	)		37,133,832
Large Cap Growth Fund		(347,602	)		(2,883,995	)		3,231,597
Large Core Growth Fund		241,472			(17,366,381	)		17,124,909
Large Cap Value Fund		(4,322,274	)		(11,788,214	)		16,110,488
Large Core Value Fund		(2,444,387	)		(30,222,954	)		32,667,341
Index 500 Fund		(6,823,864	)		—			6,823,864
Mid Cap Growth Fund		208,455			(29,398,971	)		29,190,516
Mid Cap Value Fund		(2,270,591	)		(15,268,055	)		17,538,646
Mid Core Value Fund		(940,975	)		(8,126,683	)		9,067,658
SMID Cap Growth Fund		511,199			(7,095,131	)		6,583,932
SMID Cap Value Fund		(164,375	)		(8,045,055	)		8,209,430
Small Cap Growth Fund		382,285			(5,524,503	)		5,142,218
Small Cap Value Fund		(1,353,579	)		(26,227,380	)		27,580,959
Small Cap Index Fund		(401,339	)		(3,662,688	)		4,064,027
Developed International Index Fund		(3,210,488	)		17,360			3,193,128
International Equity Fund		(7,587,667	)		(1,507,691	)		9,095,358
Emerging Markets Equity Fund		(313,647	)		(159,760	)		473,407
Real Estate Securities Fund		(1,813,404	)		(9,896,125	)		11,709,529
Aggressive Allocation Fund		204,081			(928,988	)		724,907
Moderately Aggressive Allocation Fund		772,032			(3,445,745	)		2,673,713
Moderate Allocation Fund		1,131,190			(6,680,289	)		5,549,099
Moderately Conservative Allocation Fund		356,665			(2,988,373	)		2,631,708
Conservative Allocation Fund		226,472			(860,568	)		634,096


	Ordinary Income and Short-Term Capital Gains				Long-Term Capital Gains				Total
	2014		2013		2014		2013		2014		2013
Money Market Fund	$	13,590	$	13,151	$	—	$	—	$	13,590	$	13,151
Limited Maturity Bond Fund		1,732,444		1,232,810		519,805		116,963		2,252,249		1,349,773
Quality Bond Fund		13,678,658		10,620,923		6,445,953		—		20,124,611		10,620,923
High Yield Bond Fund		12,356,614		10,511,393		598,520		—		12,955,134		10,511,393
Flexibly Managed Fund		117,363,812		84,915,132		253,958,645		119,131,671		371,322,457		204,046,803


	Expires on December 31,
	2017		2018		Total
Index 500 Fund		—	$	2,434,673	$	2,434,673
International Equity Fund		—		5,284,998		5,284,998
Emerging Markets Equity Fund	$	4,867,907		—		4,867,907


	Short-Term Capital Loss		Long-Term Capital Loss
Developed International Index Fund	$	95,284	$	2,279,288


Quality Bond Fund	$	59,064
High Yield Bond Fund		1,637,923
Large Core Growth Fund		4,474,445
Large Core Value Fund		6,328,176
Index 500 Fund		8,491,570
International Equity Fund		10,790,373
Emerging Markets Equity Fund		3,207,765


	Late-Year Ordinary Losses		Late-Year Capital Losses
Limited Maturity Bond Fund		—	$	113,699
Quality Bond Fund		—		333,381
High Yield Bond Fund		—		1,404,145
SMID Cap Value Fund		—		144,843
Developed International Index Fund	$	32,915		248,991
International Equity Fund		92,582		—
Emerging Markets Equity Fund		—		1,076,313


	Federal Tax Cost		Unrealized Appreciation		Unrealized Depreciation			Net Unrealized Appreciation/ (Depreciation)
Money Market Fund	$	132,327,129	$	—	$	—		$	—
Limited Maturity Bond Fund		221,336,163		292,584		(1,270,396	)		(977,812	)
Quality Bond Fund		540,512,505		15,378,067		(2,408,144	)		12,969,923
High Yield Bond Fund		190,727,396		3,131,477		(5,769,316	)		(2,637,839	)
Flexibly Managed Fund		2,631,192,875		510,788,079		(33,635,021	)		477,153,058
Balanced Fund		52,733,958		32,846,663		(3,855,173	)		28,991,490
Large Growth Stock Fund		192,203,813		93,398,244		(4,581,697	)		88,816,547
Large Cap Growth Fund		47,439,295		10,926,241		(476,387	)		10,449,854
Large Core Growth Fund		95,873,813		32,878,999		(2,356,519	)		30,522,480
Large Cap Value Fund		188,847,885		48,533,091		(7,226,909	)		41,306,182
Large Core Value Fund		159,468,160		34,985,790		(2,031,266	)		32,954,524
Index 500 Fund		269,587,733		190,469,588		(16,486,514	)		173,983,074
Mid Cap Growth Fund		118,759,433		17,461,336		(6,383,584	)		11,077,752
Mid Cap Value Fund		144,949,850		47,107,768		(4,883,626	)		42,224,142
Mid Core Value Fund		82,754,642		10,578,650		(1,470,802	)		9,107,848
SMID Cap Growth Fund		45,889,106		12,237,137		(1,467,163	)		10,769,974
SMID Cap Value Fund		60,858,220		16,775,639		(2,138,123	)		14,637,516
Small Cap Growth Fund		83,844,298		21,820,210		(1,452,545	)		20,367,665
Small Cap Value Fund		196,031,237		57,746,444		(7,106,576	)		50,639,868
Small Cap Index Fund		50,257,480		23,491,625		(4,381,369	)		19,110,256


Fund	Type	Futures Contract	Expiration Date		Number Of Contracts			Units per Contract		Closing Price		Unrealized Appreciation (Depreciation)
Limited Maturity Bond	Sell/Short	US Treasury Note		3/15/2015		(50	)		1,000	$	119	$	3,125
Limited Maturity Bond	Sell/Short	US Treasury Note		3/15/2015		(100	)		1,000		127		(26,562	)
Quality Bond	Sell/Short	US Treasury Note		3/15/2015		(100	)		2,000		109		28,125
Quality Bond	Sell/Short	US Treasury Note		3/15/2015		(190	)		1,000		127		(154,375	)
Quality Bond	Sell/Short	US Treasury Bond		3/15/2015		(80	)		1,000		145		(320,000	)
Quality Bond	Sell/Short	US Ultra Bond		3/15/2015		(80	)		1,000		165		(247,188	)
Quality Bond	Sell/Short	90 DayEuro Dollar		9/16/2016		(100	)		2,500		98		16,250
Index 500	Buy/Long	E-Mini S&P 500 Index		3/15/2015		112			50		2,052		347,508
Small Cap Index	Buy/Long	Russell 2000 Mini Index		3/15/2015		3			100		1,200		(4,866	)
Developed International Index	Buy/Long	E-Mini MSCI Eafe Index		3/15/2015		50			50		1,757		(30,420	)


Flexibly Managed Fund	Number of Contracts/ Notional Amount			Premium Received
Options outstanding at December 31, 2013		29,258		$	7,233,242
Options written		70,960			17,368,857
Options repurchased		(33,898	)		(7,962,438	)
Options expired		(5,488	)		(924,316	)
Options exercised		(11,784	)		(2,685,356	)

Options outstanding at December 31, 2014		49,048		$	13,029,989