N-Q 1 quantnq63009.htm 6.30.09 N-Q

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-03790

 

Quantitative Group of Funds

55 Old Bedford Road, Lincoln, MA 01773

 

Willard L. Umphrey, Quantitative Group of Funds

55 Old Bedford Road, Lincoln, MA 01773

(Name and address of agent for service)

 

 

781-259-1144

(Registrant’s telephone number)

 

 

 

 

 

 

Date of fiscal year end: March 31

Date of reporting period: June 30, 2009

 

Item 1. Schedule of Investments

 

 

 

QUANT SMALL CAP FUND

 

 

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (unaudited)

 

 

 

 

 

June 30, 2009

 

 

 

 

 

 

 

 

 

 

 

 

Common Stock - 98.1%

 

 

 

 

 

 

 

 

Shares

 

Value

 

BANKS - 1.3%

 

 

 

 

 

 

CoBiz Financial, Inc.

 

28,127

$

180,294

 

 

Pinnacle Financial Partners, Inc. (a)

 

56,886

 

757,721

 

 

Wintrust Financial Corporation

 

8,160

 

131,213

 

 

 

 

 

 

1,069,228

 

CHEMICALS - 1.3%

 

 

 

 

 

 

LSB Industries, Inc. (a)(b)

 

64,578

 

1,044,226

 

 

 

 

 

 

 

 

COMMERCIAL SERVICES & SUPPLIES - 6.7%

 

 

 

 

 

 

Clean Harbors, Inc. (a)

 

13,223

 

713,910

 

 

Coinstar, Inc. (a)

 

23,770

 

634,659

 

 

FTI Consulting, Inc. (a)

 

33,274

 

1,687,657

 

 

Kforce, Inc. (a)

 

96,225

 

795,781

 

 

Waste Connections, Inc. (a)

 

57,636

 

1,493,349

 

 

 

 

 

 

5,325,356

 

COMMUNICATIONS EQUIPMENT - 3.7%

 

 

 

 

 

 

Comtech Telecommunications Corp. (a)

 

25,697

 

819,220

 

 

NICE-Systems, Ltd. (a)(c)

 

90,797

 

2,094,687

 

 

 

 

 

 

2,913,907

 

CONTAINERS & PACKAGING - 2.9%

 

 

 

 

 

 

Silgan Holdings, Inc.

 

31,795

 

1,558,909

 

 

Sonoco Products Company

 

30,874

 

739,432

 

 

 

 

 

 

2,298,341

 

DIVERSIFIED COMMUNICATION SERVICES - 0.9%

 

 

 

 

 

 

Hughes Communications, Inc. (a)

 

32,064

 

732,021

 

 

 

 

 

 

 

 

ELECTRIC UTILITIES - 1.3%

 

 

 

 

 

 

Ormat Technologies, Inc. (b)

 

25,931

 

1,045,279

 

 

 

 

 

 

 

 

ELECTRICAL EQUIPMENT - 0.5%

 

 

 

 

 

 

American Superconductor Corporation (a)(b)

 

14,596

 

383,145

 

 

 

 

 

 

 

 

ENERGY EQUIPMENT & SERVICES - 4.5%

 

 

 

 

 

 

Core Laboratories N.V.

 

40,917

 

3,565,917

 

 

 

 

 

 

 

 

FOOD PRODUCTS - 9.7%

 

 

 

 

 

 

Dean Foods Company (a)

 

154,855

 

2,971,667

 

 

Diamond Foods, Inc.

 

61,070

 

1,703,853

 

 

The Hain Celestial Group, Inc. (a)(b)

 

22,939

 

358,078

 

 

Smart Balance, Inc. (a)

 

19,675

 

133,987

 

 

United Natural Foods, Inc. (a)

 

97,757

 

2,566,121

 

 

 

 

 

 

7,733,706

 

 

 

HEALTH CARE EQUIPMENT & SERVICES - 9.9%

 

 

 

 

 

 

Haemonetics Corporation (a)

 

12,804

 

729,828

 

 

inVentiv Health, Inc. (a)

 

60,385

 

817,009

 

 

Omnicell, Inc. (a)

 

118,121

 

1,269,801

 

 

Psychiatric Solutions, Inc. (a)

 

38,405

 

873,330

 

 

Schein (Henry), Inc. (a)

 

30,577

 

1,466,167

 

 

Universal Health Services, Inc.

 

21,376

 

1,044,218

 

 

Varian Medical Systems, Inc. (a)

 

11,950

 

471,188

 

 

ZOLL Medical Corporation (a)

 

64,118

 

1,240,042

 

 

 

 

 

 

7,911,583

 

HOTELS, RESTAURANTS & LEISURE - 0.7%

 

 

 

 

 

 

California Pizza Kitchen, Inc. (a)

 

42,830

 

569,211

 

 

 

 

 

 

 

 

INSURANCE - 1.5%

 

 

 

 

 

 

Aspen Insurance Holdings Limited

 

29,298

 

654,517

 

 

Brown & Brown, Inc.

 

27,110

 

540,302

 

 

 

 

 

 

1,194,819

 

INVESTMENT BROKERAGE - 0.9%

 

 

 

 

 

 

optionsXpress Holdings, Inc.

 

46,495

 

722,067

 

 

 

 

 

 

 

 

MACHINERY - 5.0%

 

 

 

 

 

 

ESCO Technologies, Inc. (a)

 

29,873

 

1,338,310

 

 

Gardner Denver, Inc. (a)

 

30,901

 

777,778

 

 

Harsco Corporation

 

40,146

 

1,136,132

 

 

Smith & Wesson Holding Corporation (a)

 

139,164

 

790,451

 

 

 

 

 

 

4,042,671

 

MEDIA - 5.2%

 

 

 

 

 

 

Discovery Communications, Inc. (a)

 

14,298

 

322,420

 

 

Lions Gate Entertainment Corporation (a)(b)

 

32,919

 

184,346

 

 

Regal Entertainment Group

 

274,003

 

3,641,500

 

 

 

 

 

 

4,148,266

 

METALS & MINING - 3.1%

 

 

 

 

 

 

Compass Minerals International, Inc.

 

44,966

 

2,469,083

 

 

 

 

 

 

 

 

OIL & GAS - 1.3%

 

 

 

 

 

 

Natural Gas Services Group, Inc. (a)(b)

 

52,069

 

692,518

 

 

Sandridge Energy, Inc. (a)

 

45,667

 

389,083

 

 

 

 

 

 

1,081,601

 

PERSONAL PRODUCTS - 1.0%

 

 

 

 

 

 

NBTY, Inc. (a)

 

28,799

 

809,828

 

 

 

 

 

 

 

 

PHARMACEUTICALS - 1.6%

 

 

 

 

 

 

Par Pharmaceutical Companies, Inc. (a)

 

86,877

 

1,316,187

 

 

 

 

 

 

 

 

REAL ESTATE - 10.7%

 

 

 

 

 

 

AMB Property Corporation

 

28,262

 

531,608

 

 

Entertainment Properties Trust

 

175,294

 

3,611,056

 

 

Hersha Hospitality Trust

 

441,839

 

1,095,761

 

 

 

 

Ventas, Inc.

 

110,567

 

3,301,531

 

 

 

 

 

 

8,539,956

 

RETAILING - 4.6%

 

 

 

 

 

 

GUESS?, Inc.

 

94,868

 

2,445,697

 

 

Urban Outfitters, Inc. (a)

 

28,134

 

587,157

 

 

Zumiez, Inc. (a)

 

83,471

 

668,603

 

 

 

 

 

 

3,701,457

 

SOFTWARE & SERVICES - 11.9%

 

 

 

 

 

 

3PAR, Inc. (a)

 

46,142

 

572,161

 

 

Acacia Research (a)

 

122,196

 

961,682

 

 

Alliance Data Systems Corporation (a)(b)

 

49,109

 

2,022,800

 

 

Blackboard, Inc. (a)(b)

 

60,763

 

1,753,620

 

 

Constant Contact, Inc. (a)(b)

 

46,921

 

930,913

 

 

Internet Capital Group, Inc. (a)

 

153,554

 

1,033,418

 

 

STEC, Inc. (a)(b)

 

41,541

 

963,336

 

 

Synaptics Incorporated (a)(b)

 

11,407

 

440,881

 

 

Ulticom, Inc. (a)(b)

 

158,173

 

316,346

 

 

Verint Systems, Inc. (a)(b)

 

49,441

 

509,242

 

 

 

 

 

 

9,504,399

 

TELECOMMUNICATION SERVICES - 0.2%

 

 

 

 

 

 

Atlantic Tele-Network, Inc.

 

4,257

 

167,258

 

 

 

 

 

 

 

 

TEXTTILE & APPAREL - 1.2%

 

 

 

 

 

 

Central Garden & Pet Company (a)

 

35,976.00

 

395,376

 

 

Phillips-Van Heusen Corporation

 

19,968.00

 

572,882

 

 

 

 

 

 

968,258

 

WIRELESS TELECOMMUNICATION SERVICES - 6.5%

 

 

 

 

 

 

Crown Castle International Corporation (a)

 

76,652

 

1,841,181

 

 

SBA Communications Corporation (a)(b)

 

136,598

 

3,352,115

 

 

 

 

 

 

5,193,296

 

 

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

78,451,066

 

 

(Cost $88,811,840)

 

 

 

 

 

 

 

 

 

 

 

 

SHORT TERM INVESTMENTS - 2.4%

 

 

 

 

 

 

 

 

Par Value

 

Value

 

 

State Street Bank & Trust Co., Repurchase Agreement

 

 

 

 

 

 

.00001%, 7/01/09, (Dated 06/30/09), Collateralized by $1,915,000 par

 

 

 

 

 

 

U.S. Treasury Bill- zero coupon due 12/24/09,

 

 

 

 

 

 

Market Value $1,911,745, Repurcchase Proceeds $1,874,000

 

 

 

 

 

 

(Cost $1,874,000)

$

1,874,000

 

1,874,000

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) - 100.5%

 

 

 

80,325,066

 

 

(Cost $90,685,840)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 7.8%

 

 

 

 

 

 

 

 

 

 

 

 

Money Market - 7.8%

 

 

 

 

 

 

JP Morgan Prime Money Market Fund - Inst.

 

6,261,595

 

6,261,595

 

 

(Cost $6,261,595)

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 108.3% (d)

 

 

 

86,586,661

 

 

(Cost $96,947,435)

 

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (8.3%)

 

 

 

(6,646,247)

 

NET ASSETS - 100%

 

 

$

79,940,414

 

 

 

 

 

 

 

 

(a)

Non-income producing security

 

 

 

 

 

(b)

All or a portion of this security was out on loan.

 

 

 

 

 

(c)

ADR - American Depositary Receipts

 

 

 

 

 

 

 

 

 

 

 

 

The Portfolio is actively managed and holdings are subject to change. 

 

 

 

 

There is no guarantee the Fund will continue to invest in the securities referenced. 

 

 

 

Reference to specific securities or holdings should not be considered recommendations for action by investors.

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

Quant Small Cap Fund

 

In September 2006, the Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that a Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurement for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three board levels listed below:

 

•

Level 1 – quoted prices in active markets for identical securities

•

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

•

Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)

 

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

 

The following is a summary of the inputs used as June 30, 2009 in valuing the Small Cap Fund’s investments carried at value:

 

Valuation Inputs

Investments in Securities

Liabilities in Securities Sold Short

Other Financial Instruments*

Level 1

$74,451,066

$ --

$ --

Level 2

8,135,595

--

--

Level 3

--

--

--

Total

$82,586,661

$ --

$ --

*Other Financial Instruments include derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts.

 

SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Investments in Securities

Other Financial Instruments*

Balance as of 03/31/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 06/30/09

$ --

$ --

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

 

QUANT LONG / SHORT FUND

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

 

 

 

 

June 30, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stock - 99.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long Positions - 128.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Value

 

 

 

 

 

 

 

 

AEROSPACE & DEFENSE - 2.7%

 

 

 

 

 

 

 

 

 

 

 

 

General Dynamics Corporation (b)

10,460

$

579,379

 

 

 

 

 

 

 

 

 

Lockheed Martin Corporation (b)

6,446

 

519,870

 

 

 

 

 

 

 

 

 

Raytheon Company (b)

5,418

 

240,722

 

 

 

 

 

 

 

 

 

 

 

 

1,339,971

 

 

 

 

 

 

 

 

AIRLINES - 1.3%

 

 

 

 

 

 

 

 

 

 

 

 

Copa Holdings, S.A.

1

 

41

 

 

 

 

 

 

 

 

 

Southwest Airlines Co. (b)

97,343

 

655,118

 

 

 

 

 

 

 

 

 

 

 

 

655,159

 

 

 

 

 

 

 

 

AUTOMOBILES - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

Ford Motor Company (a)(b)

10,439

 

63,365

 

 

 

 

 

 

 

 

 

WABCO Holdings Inc. (b)

4,408

 

78,021

 

 

 

 

 

 

 

 

 

 

 

 

141,386

 

 

 

 

 

 

 

 

BANKS - 8.6%

 

 

 

 

 

 

 

 

 

 

 

 

Bank of America Corporation (b)

73,884

 

975,269

 

 

 

 

 

 

 

 

 

Bank of Hawaii Corporation (b)

11,330

 

405,954

 

 

 

 

 

 

 

 

 

BOK Financial Corporation (b)

2,343

 

88,261

 

 

 

 

 

 

 

 

 

MBIA, Inc. (b)

23,268

 

100,750

 

 

 

 

 

 

 

 

 

Northern Trust Corporation (b)

11,467

 

615,549

 

 

 

 

 

 

 

 

 

TFS Financial Corporation

1

 

11

 

 

 

 

 

 

 

 

 

The Bank of New York Mellon Corporation (b)

40,030

 

1,173,279

 

 

 

 

 

 

 

 

 

U.S. Bancorp (b)

52,269

 

936,660

 

 

 

 

 

 

 

 

 

 

 

 

4,295,733

 

 

 

 

 

 

 

 

BEVERAGES - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

Brown-Forman Corporation (b)

3,278

 

140,888

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BIOTECHNOLOGY - 1.1%

 

 

 

 

 

 

 

 

 

 

 

 

Gilead Sciences, Inc. (a)(b)

11,739

 

549,855

 

 

 

 

 

 

 

 

 

Illumina, Inc. (a)

1

 

39

 

 

 

 

 

 

 

 

 

 

 

 

549,894

 

 

 

 

 

 

 

 

BUILDING PRODUCTS - 0.1%

 

 

 

 

 

 

 

 

 

 

 

 

Crane Co.

1,760

 

39,266

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CHEMICALS - 1.1%

 

 

 

 

 

 

 

 

 

 

 

 

Ashland, Inc. (b)

1,759

 

49,340

 

 

 

 

 

 

 

 

 

CF Industries Holdings, Inc. (b)

300

 

22,242

 

 

 

 

 

 

 

 

 

Eastman Chemical Company

1

 

38

 

 

 

 

 

 

 

 

 

Ecolab, Inc. (b)

4,679

 

182,434

 

 

 

 

 

 

 

 

 

Huntsman Corporation (b)

8,467

 

42,589

 

 

 

 

 

 

 

 

 

Terra Industries, Inc., (b)

5,926

 

143,528

 

 

 

 

 

 

 

 

 

 

 

The Dow Chemical Company (b)

8,809

 

142,177

 

 

 

 

 

 

 

 

 

 

 

 

582,348

 

 

 

 

 

 

 

 

COMMERCIAL SERVICES AND SUPPLIES - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

Hewitt Associates, Inc. (a)(b)

4,951

 

147,441

 

 

 

 

 

 

 

 

 

Waste Management, Inc.

5

 

141

 

 

 

 

 

 

 

 

 

 

 

 

147,582

 

 

 

 

 

 

 

 

COMMUNICATIONS EQUIPMENT - 5.9%

 

 

 

 

 

 

 

 

 

 

 

 

Corning Incorporated (b)

94,061

 

1,510,620

 

 

 

 

 

 

 

 

 

Motorola, Inc. (b)

144,265

 

956,477

 

 

 

 

 

 

 

 

 

QUALCOMM Incorporated (b)

11,600

 

524,320

 

 

 

 

 

 

 

 

 

 

 

 

2,991,417

 

 

 

 

 

 

 

 

COMPUTERS & PERIPHERALS - 4.5%

 

 

 

 

 

 

 

 

 

 

 

 

Apple, Inc. (a)

437

 

62,242

 

 

 

 

 

 

 

 

 

Dell, Inc. (a)(b)

10,792

 

148,174

 

 

 

 

 

 

 

 

 

Hewlett-Packard Company

41,585

 

1,607,260

 

 

 

 

 

 

 

 

 

International Business Machines (b)

1,620

 

169,160

 

 

 

 

 

 

 

 

 

Lexmark International, Inc. (a)(b)

15,882

 

251,730

 

 

 

 

 

 

 

 

 

 

 

 

2,238,566

 

 

 

 

 

 

 

 

CONSTRUCTION ENGINEERING - 3.2%

 

 

 

 

 

 

 

 

 

 

 

 

Fluor Corporation (b)

21,999

 

1,128,329

 

 

 

 

 

 

 

 

 

Jacobs Engineering Group, Inc. (a)(b)

4,796

 

201,863

 

 

 

 

 

 

 

 

 

The Shaw Group, Inc. (a)(b)

9,875

 

270,674

 

 

 

 

 

 

 

 

 

 

 

 

1,600,866

 

 

 

 

 

 

 

 

CONSUMER SERVICES - 0.4%

 

 

 

 

 

 

 

 

 

 

 

 

H&R Block, Inc. (b)

13,142

 

226,437

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CONTAINERS & PACKAGING - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

Pactiv Corporation (a)(b)

6,867

 

149,014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DISTRIBUTORS - 0.1%

 

 

 

 

 

 

 

 

 

 

 

 

CarMax, Inc. (a)(b)

2,666

 

39,190

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DIVERSIFIED FINANCIAL SERVICES - 11.1%

 

 

 

 

 

 

 

 

 

 

 

 

American Express Company (b)

21,232

 

493,432

 

 

 

 

 

 

 

 

 

BlackRock, Inc. (b)

3,606

 

632,564

 

 

 

 

 

 

 

 

 

Discover Financial Services (b)

33,004

 

338,951

 

 

 

 

 

 

 

 

 

Franklin Resources, Inc. (b)

10,971

 

790,022

 

 

 

 

 

 

 

 

 

INVESCO Ltd

123

 

2,192

 

 

 

 

 

 

 

 

 

Principal Financial Group, Inc.

1

 

19

 

 

 

 

 

 

 

 

 

State Street Corporation

55

 

2,596

 

 

 

 

 

 

 

 

 

T. Rowe Price Group, Inc. (b)

24,458

 

1,019,165

 

 

 

 

 

 

 

 

 

TD AMERITRADE Holding Corporation

1

 

17

 

 

 

 

 

 

 

 

 

The Charles Schwab Corporation (b)

71,388

 

1,252,145

 

 

 

 

 

 

 

 

 

Visa, Inc. (b)

16,384

 

1,020,068

 

 

 

 

 

 

 

 

 

 

 

 

5,551,171

 

 

 

 

 

 

 

 

DIVERSIFIED TELECOMMUNICATION SERVICES - 4.0%

 

 

 

 

 

 

 

 

 

 

 

 

AT&T Corporation (b)

46,660

 

1,159,035

 

 

 

 

 

 

 

 

 

Embarq Corporation (b)

885

 

37,223

 

 

 

 

 

 

 

 

 

 

 

Sprint Nextel Corporation (b)

170,221

 

818,763

 

 

 

 

 

 

 

 

 

 

 

 

2,015,021

 

 

 

 

 

 

 

 

ELECTRIC UTILITIES - 3.3%

 

 

 

 

 

 

 

 

 

 

 

 

NRG Energy, Inc. (b)

35,929

 

932,717

 

 

 

 

 

 

 

 

 

PPL Corporation (b)

22,469

 

740,578

 

 

 

 

 

 

 

 

 

The AES Corporation (a)

1

 

12

 

 

 

 

 

 

 

 

 

 

 

 

1,673,307

 

 

 

 

 

 

 

 

ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.8%

 

 

 

 

 

 

 

 

 

 

 

 

Agilent Technologies, Inc. (a)(b)

2,997

 

60,869

 

 

 

 

 

 

 

 

 

AVX Corporation

1

 

10

 

 

 

 

 

 

 

 

 

Ingram Micro, Inc. (a)(b)

19,047

 

333,323

 

 

 

 

 

 

 

 

 

Tech Data Corporation (a)(b)

15,741

 

514,888

 

 

 

 

 

 

 

 

 

 

 

 

909,090

 

 

 

 

 

 

 

 

ENERGY EQUIPMENT & SERVICES - 0.0%

 

 

 

 

 

 

 

 

 

 

 

 

Rowan Companies, Inc.

1

 

19

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FOOD PRODUCTS - 3.9%

 

 

 

 

 

 

 

 

 

 

 

 

Bunge Limited (b)

8,444

 

508,751

 

 

 

 

 

 

 

 

 

Sara Lee Corporation (b)

39,797

 

388,419

 

 

 

 

 

 

 

 

 

Tyson Foods, Inc. (b)

83,097

 

1,047,853

 

 

 

 

 

 

 

 

 

 

 

 

1,945,023

 

 

 

 

 

 

 

 

FOOD STAPLES & DRUG RETAILING - 4.8%

 

 

 

 

 

 

 

 

 

 

 

 

BJ’s Wholesale Club, Inc. (a)(b)

6,061

 

195,346

 

 

 

 

 

 

 

 

 

Costco Wholesale Corporation (b)

15,382

 

702,958

 

 

 

 

 

 

 

 

 

Dean Foods Company

1

 

19

 

 

 

 

 

 

 

 

 

PepsiCo, Inc.

848

 

28,696

 

 

 

 

 

 

 

 

 

SYSCO Corporation (b)

46,060

 

1,035,429

 

 

 

 

 

 

 

 

 

Walgreen Co. (b)

14,783

 

434,620

 

 

 

 

 

 

 

 

 

 

 

 

2,397,068

 

 

 

 

 

 

 

 

HEALTH CARE EQUIPMENT & SERVICES - 5.3%

 

 

 

 

 

 

 

 

 

 

 

 

Express Scripts, Inc. (a)

126

 

8,662

 

 

 

 

 

 

 

 

 

Humana, Inc. (a)(b)

4,541

 

146,493

 

 

 

 

 

 

 

 

 

McKesson Corporation (b)

32,764

 

1,441,616

 

 

 

 

 

 

 

 

 

Stryker Corporation (b)

17,003

 

675,699

 

 

 

 

 

 

 

 

 

UnitedHealth Group Inc. (b)

2,956

 

73,841

 

 

 

 

 

 

 

 

 

Zimmer Holdings, Inc. (a)(b)

7,490

 

319,074

 

 

 

 

 

 

 

 

 

 

 

 

2,665,385

 

 

 

 

 

 

 

 

HEALTH CARE PROVIDERS & SERVICES - 1.9%

 

 

 

 

 

 

 

 

 

 

 

 

Aetna, Inc. (b)

3,262

 

81,713

 

 

 

 

 

 

 

 

 

Cardinal Health, Inc.

1

 

30

 

 

 

 

 

 

 

 

 

Coventry Health Care, Inc. (a)(b)

7,014

 

131,232

 

 

 

 

 

 

 

 

 

Health Net, Inc. (a)(b)

16,100

 

250,355

 

 

 

 

 

 

 

 

 

Hill-Rom Holdings, Inc. (b)

12,680

 

205,670

 

 

 

 

 

 

 

 

 

Tenet Healthcare Corporation (a)(b)

97,960

 

276,247

 

 

 

 

 

 

 

 

 

 

 

 

945,247

 

 

 

 

 

 

 

 

HOTELS, RESTAURANTS & LEISURE - 1.3%

 

 

 

 

 

 

 

 

 

 

 

 

Brinker International, Inc. (b)

16,659

 

283,703

 

 

 

 

 

 

 

 

 

Las Vegas Sands Corp. (a)(b)

39,295

 

308,859

 

 

 

 

 

 

 

 

 

 

 

Marriott International, Inc. (b)

2,958

 

65,274

 

 

 

 

 

 

 

 

 

Starbucks Corporation (a)

1

 

14

 

 

 

 

 

 

 

 

 

 

 

 

657,850

 

 

 

 

 

 

 

 

HOUSEHOLD DURABLES - 0.0%

 

 

 

 

 

 

 

 

 

 

 

 

Centex Corporation (b)

772

 

6,531

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INDUSTRIAL CONGLOMERATES - 1.8%

 

 

 

 

 

 

 

 

 

 

 

 

KBR, Inc. (b)

47,928

 

883,792

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INSURANCE - 0.6%

 

 

 

 

 

 

 

 

 

 

 

 

Allied World Assurance Company Holdings, Ltd.

996

 

40,667

 

 

 

 

 

 

 

 

 

American Financial Group, Inc. (b)

1,543

 

33,298

 

 

 

 

 

 

 

 

 

Torchmark Corporation (b)

5,614

 

207,942

 

 

 

 

 

 

 

 

 

 

 

 

281,907

 

 

 

 

 

 

 

 

IT CONSULTING & SERVICES - 1.6%

 

 

 

 

 

 

 

 

 

 

 

 

Accenture, Ltd. (b)

11,091

 

371,105

 

 

 

 

 

 

 

 

 

MasterCard Incorporated (b)

1,758

 

294,131

 

 

 

 

 

 

 

 

 

Sun Microsystems, Inc. (a)(b)

4,632

 

42,707

 

 

 

 

 

 

 

 

 

The Western Union Company (b)

7,422

 

121,721

 

 

 

 

 

 

 

 

 

 

 

 

829,664

 

 

 

 

 

 

 

 

MACHINERY - 2.9%

 

 

 

 

 

 

 

 

 

 

 

 

AGCO Corporation (a)(b)

26,866

 

780,995

 

 

 

 

 

 

 

 

 

Flowserve Corporation

233

 

16,266

 

 

 

 

 

 

 

 

 

Harsco Corporation (b)

10,508

 

297,376

 

 

 

 

 

 

 

 

 

Joy Global, Inc. (b)

4,800

 

171,456

 

 

 

 

 

 

 

 

 

The Timken Company (b)

10,825

 

184,891

 

 

 

 

 

 

 

 

 

 

 

 

1,450,984

 

 

 

 

 

 

 

 

MEDIA - 4.8%

 

 

 

 

 

 

 

 

 

 

 

 

Comcast Corporation (b)

129,423

 

1,875,339

 

 

 

 

 

 

 

 

 

DISH Network Corporation (a)

20,536

 

332,889

 

 

 

 

 

 

 

 

 

Disney (Walt) Company (b)

7,519

 

175,418

 

 

 

 

 

 

 

 

 

Scripps Networks Interactive, Inc.

412

 

11,466

 

 

 

 

 

 

 

 

 

 

 

 

2,395,112

 

 

 

 

 

 

 

 

METALS & MINING - 0.8%

 

 

 

 

 

 

 

 

 

 

 

 

Cliffs Natural Resources Inc. (b)

8,582

 

210,001

 

 

 

 

 

 

 

 

 

Commercial Metals Company (b)

2,754

 

44,147

 

 

 

 

 

 

 

 

 

Peabody Energy Corporation

166

 

5,007

 

 

 

 

 

 

 

 

 

United States Steel Corporation (b)

4,093

 

146,284

 

 

 

 

 

 

 

 

 

 

 

 

405,439

 

 

 

 

 

 

 

 

OIL & GAS - 17.2%

 

 

 

 

 

 

 

 

 

 

 

 

Apache Corporation (b)

1,673

 

120,707

 

 

 

 

 

 

 

 

 

Arch Coal, Inc.

1

 

15

 

 

 

 

 

 

 

 

 

Cabot Oil & Gas Corporation (b)

10

 

306

 

 

 

 

 

 

 

 

 

Chevron Corporation (b)

27,716

 

1,836,185

 

 

 

 

 

 

 

 

 

ConocoPhillips (b)

13,520

 

568,651

 

 

 

 

 

 

 

 

 

Exxon Mobil Corporation

32,198

 

2,250,962

 

 

 

 

 

 

 

 

 

Hess Corporation

18,382

 

988,033

 

 

 

 

 

 

 

 

 

Marathon Oil Corporation

3,512

 

105,817

 

 

 

 

 

 

 

 

 

 

 

Murphy Oil Corporation (b)

16,761

 

910,458

 

 

 

 

 

 

 

 

 

Occidental Petroleum Corporation (b)

25,324

 

1,666,572

 

 

 

 

 

 

 

 

 

Pioneer Natural Resources Company (b)

8,244

 

210,222

 

 

 

 

 

 

 

 

 

 

 

 

8,657,928

 

 

 

 

 

 

 

 

PAPER & FOREST PRODUCTS - 0.3%

 

 

 

 

 

 

 

 

 

 

 

 

International Paper Company (b)

9,130

 

138,137

 

 

 

 

 

 

 

 

 

MeadWestvaco Corporation (b)

2,419

 

39,696

 

 

 

 

 

 

 

 

 

Sonoco Products Company

1

 

24

 

 

 

 

 

 

 

 

 

 

 

 

177,857

 

 

 

 

 

 

 

 

PERSONAL PRODUCTS - 0.5%

 

 

 

 

 

 

 

 

 

 

 

 

Avon Products, Inc.

392

 

10,106

 

 

 

 

 

 

 

 

 

The Estee Lauder Companies, Inc. (b)

7,312

 

238,883

 

 

 

 

 

 

 

 

 

 

 

 

248,989

 

 

 

 

 

 

 

 

PHARMACEUTICALS & BIOTECHNOLOGY - 10.4%

 

 

 

 

 

 

 

 

 

 

 

 

AmerisourceBergen Corporation (b)

73,866

 

1,310,383

 

 

 

 

 

 

 

 

 

Amgen Inc. (a)(b)

18,130

 

959,802

 

 

 

 

 

 

 

 

 

Biogen Idec, Inc. (a)(b)

11,116

 

501,887

 

 

 

 

 

 

 

 

 

Forest Laboratories, Inc. (a)(b)

11,986

 

300,969

 

 

 

 

 

 

 

 

 

Johnson & Johnson

9,088

 

516,199

 

 

 

 

 

 

 

 

 

Merck & Co., Inc. (b)

13,092

 

366,052

 

 

 

 

 

 

 

 

 

Pfizer Inc. (b)

41,895

 

628,425

 

 

 

 

 

 

 

 

 

Schering-Plough Corporation

10,110

 

253,963

 

 

 

 

 

 

 

 

 

Wyeth

8,279

 

375,784

 

 

 

 

 

 

 

 

 

 

 

 

5,213,464

 

 

 

 

 

 

 

 

REAL ESTATE - 0.6%

 

 

 

 

 

 

 

 

 

 

 

 

Hospitality Properties Trust

1

 

12

 

 

 

 

 

 

 

 

 

Public Storage (b)

4,407

 

288,570

 

 

 

 

 

 

 

 

 

 

 

 

288,582

 

 

 

 

 

 

 

 

RETAILING - 2.2%

 

 

 

 

 

 

 

 

 

 

 

 

Amazon.com, Inc. (a)(b)

1,457

 

121,893

 

 

 

 

 

 

 

 

 

Barnes & Noble, Inc. (b)

249

 

5,137

 

 

 

 

 

 

 

 

 

Big Lots, Inc. (a)(b)

13,336

 

280,456

 

 

 

 

 

 

 

 

 

Foot Locker, Inc. (b)

2

 

21

 

 

 

 

 

 

 

 

 

J. C. Penney Company, Inc. (b)

2,830

 

81,249

 

 

 

 

 

 

 

 

 

RadioShack Corporation (b)

15,655

 

218,544

 

 

 

 

 

 

 

 

 

The Gap, Inc. (b)

18,469

 

302,891

 

 

 

 

 

 

 

 

 

The TJX Companies, Inc. (b)

1,409

 

44,327

 

 

 

 

 

 

 

 

 

Thor Industries, Inc.

62

 

1,139

 

 

 

 

 

 

 

 

 

Williams-Sonoma, Inc.

4,354

 

51,682

 

 

 

 

 

 

 

 

 

 

 

 

1,107,339

 

 

 

 

 

 

 

 

ROAD & RAIL - 0.0%

 

 

 

 

 

 

 

 

 

 

 

 

CSX Corporation

30

 

1,039

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SEMICONDUCTOR EQUIPMENT - 7.0%

 

 

 

 

 

 

 

 

 

 

 

 

Analog Devices, Inc. (b)

11,598

 

287,398

 

 

 

 

 

 

 

 

 

Intel Corporation (b)

110,905

 

1,835,478

 

 

 

 

 

 

 

 

 

Texas Instruments Inc. (b)

64,424

 

1,372,231

 

 

 

 

 

 

 

 

 

 

 

 

3,495,107

 

 

 

 

 

 

 

 

 

 

SOFTWARE & SERVICES - 5.6%

 

 

 

 

 

 

 

 

 

 

 

 

Computer Sciences Corporation (a)

1

 

44

 

 

 

 

 

 

 

 

 

Compuware Corporation (a)

14

 

96

 

 

 

 

 

 

 

 

 

eBay, Inc. (a)(b)

52,575

 

900,610

 

 

 

 

 

 

 

 

 

Electronic Arts, Inc. (a)(b)

38,671

 

839,934

 

 

 

 

 

 

 

 

 

Microsoft Corporation (b)

40,549

 

963,850

 

 

 

 

 

 

 

 

 

salesforce.com, inc. (a)(b)

951

 

36,300

 

 

 

 

 

 

 

 

 

VeriSign, Inc. (a)

453

 

8,371

 

 

 

 

 

 

 

 

 

Yahoo! Inc. (a)(b)

4,167

 

65,255

 

 

 

 

 

 

 

 

 

 

 

 

2,814,460

 

 

 

 

 

 

 

 

TEXTILES & APPAREL - 0.4%

 

 

 

 

 

 

 

 

 

 

 

 

Guess?, Inc. (b)

8,156

 

210,261

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOBACCO - 2.4%

 

 

 

 

 

 

 

 

 

 

 

 

Philip Morris International Inc. (a)

27,948

 

1,219,092

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UTILITIES - 0.6%

 

 

 

 

 

 

 

 

 

 

 

 

Energen Corporation (b)

7,642

 

304,916

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WIRELESS TELECOMMUNICATIONS - 1.6%

 

 

 

 

 

 

 

 

 

 

 

 

NII Holdings, Inc. (a)(b)

33,501

 

638,864

 

 

 

 

 

 

 

 

 

United States Cellular Corporation (a)

4,002

 

153,877

 

 

 

 

 

 

 

 

 

 

 

 

792,741

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL LONG POSITIONS - 128.9%

 

 

64,682,102

 

 

 

 

 

 

 

 

 

(Cost $61,322,479)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short Positions - (29.8%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AEROSPACE & DEFENSE - (0.1%)

 

 

 

 

 

 

 

 

 

 

 

 

BE Aerospace, Inc. (a)

(1,593)

 

(22,875)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AIRLINES - (0.3%)

 

 

 

 

 

 

 

 

 

 

 

 

AMR Corporation (a)

(30,700)

 

(123,414)

 

 

 

 

 

 

 

 

 

Continental Airlines, Inc. (a)

(2,204)

 

(19,527)

 

 

 

 

 

 

 

 

 

Delta Air Lines, Inc. (a)

(2,930)

 

(16,965)

 

 

 

 

 

 

 

 

 

 

 

 

(159,906)

 

 

 

 

 

 

 

 

BANKS - (0.5%)

 

 

 

 

 

 

 

 

 

 

 

 

Comerica Inc.

(6,050)

 

(127,958)

 

 

 

 

 

 

 

 

 

Huntington Bancshares Incorporated

(13,796)

 

(57,667)

 

 

 

 

 

 

 

 

 

KeyCorp

(2)

 

(11)

 

 

 

 

 

 

 

 

 

Regions Financial Corporation

(537)

 

(2,169)

 

 

 

 

 

 

 

 

 

Synovus Financial Corp.

(20,064)

 

(59,991)

 

 

 

 

 

 

 

 

 

Zions Bancorporation

(810)

 

(9,364)

 

 

 

 

 

 

 

 

 

 

 

 

(257,160)

 

 

 

 

 

 

 

 

BIOTECHNOLOGY - (1.5%)

 

 

 

 

 

 

 

 

 

 

 

 

BioMarin Pharmaceutical, Inc. (a)

(5,014)

 

(78,269)

 

 

 

 

 

 

 

 

 

Vertex Pharmaceuticals Incorporated (a)

(18,771)

 

(668,998)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(747,267)

 

 

 

 

 

 

 

 

BUILDING PRODUCTS - (0.3%)

 

 

 

 

 

 

 

 

 

 

 

 

Owens Corning (a)

(12,269)

 

(156,798)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

COMMERCIAL SERVICES AND SUPPLIES - (0.6%)

 

 

 

 

 

 

 

 

 

 

 

 

FTI Consulting, Inc. (a)

(385)

 

(19,527)

 

 

 

 

 

 

 

 

 

The Brink’s Company

(1,130)

 

(32,804)

 

 

 

 

 

 

 

 

 

Weight Watchers International, Inc.

(8,944)

 

(230,487)

 

 

 

 

 

 

 

 

 

 

 

 

(282,818)

 

 

 

 

 

 

 

 

COMMUNICATIONS EQUIPMENT - (0.9%)

 

 

 

 

 

 

 

 

 

 

 

 

Ciena Corporation (a)

(43,433)

 

(449,532)

 

 

 

 

 

 

 

 

 

F5 Networks, Inc. (a)

(106)

 

(3,666)

 

 

 

 

 

 

 

 

 

 

 

 

(453,198)

 

 

 

 

 

 

 

 

CONSTRUCTION & ENGINEERING - (0.2%)

 

 

 

 

 

 

 

 

 

 

 

 

Eagle Materials, Inc.

(984)

 

(24,836)

 

 

 

 

 

 

 

 

 

Vulcan Materials Company

(1,172)

 

(50,513)

 

 

 

 

 

 

 

 

 

 

 

 

(75,349)

 

 

 

 

 

 

 

 

CONTAINERS & PACKAGING - (0.2%)

 

 

 

 

 

 

 

 

 

 

 

 

Jarden Corporation (a)

(6,055)

 

(113,531)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DIVERSIFIED FINANCIAL SERVICES - (4.7%)

 

 

 

 

 

 

 

 

 

 

 

 

Affiliated Managers Group, Inc. (a)

(2,771)

 

(161,244)

 

 

 

 

 

 

 

 

 

Ameriprise Financial, Inc.

(628)

 

(15,242)

 

 

 

 

 

 

 

 

 

Capital One Financial Corporation

(10,110)

 

(221,207)

 

 

 

 

 

 

 

 

 

First Horizon National Corporation

(19,057)

 

(228,684)

 

 

 

 

 

 

 

 

 

Interactive Brokers Group, Inc. (a)

(426)

 

(6,616)

 

 

 

 

 

 

 

 

 

Jefferies Group, Inc.

(14,742)

 

(314,447)

 

 

 

 

 

 

 

 

 

Lazard, Ltd

(12,115)

 

(326,136)

 

 

 

 

 

 

 

 

 

Legg Mason, Inc.

(17,474)

 

(426,016)

 

 

 

 

 

 

 

 

 

SLM Corporation

(55,601)

 

(571,022)

 

 

 

 

 

 

 

 

 

The Nasdaq Stock Market, Inc. (a)

(1,347)

 

(28,705)

 

 

 

 

 

 

 

 

 

The Student Loan Corporation

(877)

 

(32,624)

 

 

 

 

 

 

 

 

 

 

 

 

(2,331,943)

 

 

 

 

 

 

 

 

ELECTRONIC EQUIPMENT & INSTRUMENTS - (0.2%)

 

 

 

 

 

 

 

 

 

 

 

 

Itron, Inc. (a)

(1,982)

 

(109,149)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FOOD PRODUCTS - (0.1%)

 

 

 

 

 

 

 

 

 

 

 

 

Smithfield Foods, Inc. (a)

(1)

 

(14)

 

 

 

 

 

 

 

 

 

The J. M. Smucker Company

(1,477)

 

(71,871)

 

 

 

 

 

 

 

 

 

 

 

 

(71,885)

 

 

 

 

 

 

 

 

HEALTH CARE EQUIPMENT & SERVICES - (1.8%)

 

 

 

 

 

 

 

 

 

 

 

 

HLTH Corporation (a)

(906)

 

(11,869)

 

 

 

 

 

 

 

 

 

Hologic, Inc. (a)

(35,970)

 

(511,853)

 

 

 

 

 

 

 

 

 

Inverness Medical Innovations, Inc. (a)

(7,035)

 

(250,305)

 

 

 

 

 

 

 

 

 

Kinetic Concepts, Inc. (a)

(5,440)

 

(148,240)

 

 

 

 

 

 

 

 

 

 

 

 

(922,267)

 

 

 

 

 

 

 

 

HEALTH CARE PROVIDERS & SERVICES - (0.4%)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

DaVita, Inc. (a)

(3,603)

 

(178,204)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

HOUSEHOLD DURABLES - (1.4%)

 

 

 

 

 

 

 

 

 

 

 

 

KB Home

(2,580)

 

(35,294)

 

 

 

 

 

 

 

 

 

M.D.C. Holdings, Inc.

(5,406)

 

(162,775)

 

 

 

 

 

 

 

 

 

Toll Brothers, Inc. (a)

(29,609)

 

(502,465)

 

 

 

 

 

 

 

 

 

 

 

 

(700,534)

 

 

 

 

 

 

 

 

INSURANCE - (1.8%)

 

 

 

 

 

 

 

 

 

 

 

 

Genworth Financial, Inc.

(27,026)

 

(188,912)

 

 

 

 

 

 

 

 

 

Hartford Financial Services Group, Inc.

(22,996)

 

(272,962)

 

 

 

 

 

 

 

 

 

Markel Corporation (a)

(417)

 

(117,469)

 

 

 

 

 

 

 

 

 

OneBeacon Insurance Group, Ltd.

(904)

 

(10,568)

 

 

 

 

 

 

 

 

 

Protective Life Corporation

(7,106)

 

(81,293)

 

 

 

 

 

 

 

 

 

Prudential Financial Inc.

(252)

 

(9,379)

 

 

 

 

 

 

 

 

 

RenaissanceRe Holdings, Ltd.

(1,800)

 

(83,772)

 

 

 

 

 

 

 

 

 

XL Capital, Ltd.

(11,988)

 

(137,382)

 

 

 

 

 

 

 

 

 

 

 

 

(901,737)

 

 

 

 

 

 

 

 

MACHINERY - (0.5%)

 

 

 

 

 

 

 

 

 

 

 

 

Oshkosh Corporation

(9,842)

 

(143,103)

 

 

 

 

 

 

 

 

 

The Manitowoc Company, Inc.

(20,234)

 

(106,431)

 

 

 

 

 

 

 

 

 

 

 

 

(249,534)

 

 

 

 

 

 

 

 

MEDIA - (1.9%)

 

 

 

 

 

 

 

 

 

 

 

 

Brocade Communications Systems, Inc. (a)

(1,030)

 

(8,054)

 

 

 

 

 

 

 

 

 

Clear Channel Outdoor Holdings, Inc. (a)

(2)

 

(11)

 

 

 

 

 

 

 

 

 

Liberty Entertainment Group (a)

(20,407)

 

(545,887)

 

 

 

 

 

 

 

 

 

Liberty Media Capital (a)

(23,864)

 

(323,596)

 

 

 

 

 

 

 

 

 

Time Warner Cable, Inc. (a)

(2,110)

 

(66,824)

 

 

 

 

 

 

 

 

 

 

 

 

(944,372)

 

 

 

 

 

 

 

 

METALS & MINING - (0.0%)

 

 

 

 

 

 

 

 

 

 

 

 

Century Aluminum Company (a)

(877)

 

(5,464)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OIL & GAS - (3.9%)

 

 

 

 

 

 

 

 

 

 

 

 

El Paso Corporation

(69,039)

 

(637,230)

 

 

 

 

 

 

 

 

 

Helix Energy Solutions Group, Inc. (a)

(108)

 

(1,174)

 

 

 

 

 

 

 

 

 

Newfield Exploration Company (a)

(3,388)

 

(110,686)

 

 

 

 

 

 

 

 

 

Plains Exploration & Production Company (a)

(31,409)

 

(859,350)

 

 

 

 

 

 

 

 

 

Quicksilver Resources, Inc. (a)

(29,210)

 

(271,361)

 

 

 

 

 

 

 

 

 

W&T Offshore, Inc.

(5,238)

 

(51,018)

 

 

 

 

 

 

 

 

 

 

 

 

(1,930,819)

 

 

 

 

 

 

 

 

PHARMACEUTICALS & BIOTECHNOLOGY - (1.5%)

 

 

 

 

 

 

 

 

 

 

 

 

King Pharmaceuticals, Inc. (a)

(63,979)

 

(616,118)

 

 

 

 

 

 

 

 

 

Perrigo Company

(5,213)

 

(144,817)

 

 

 

 

 

 

 

 

 

 

 

 

(760,935)

 

 

 

 

 

 

 

 

REAL ESTATE - (0.8%)

 

 

 

 

 

 

 

 

 

 

 

 

CB Richard Ellis Group, Inc. (a)

(20,783)

 

(194,529)

 

 

 

 

 

 

 

 

 

Taubman Centers, Inc.

(7,100)

 

(190,706)

 

 

 

 

 

 

 

 

 

The St. Joe Company

(1,332)

 

(35,285)

 

 

 

 

 

 

 

 

 

UDR, Inc.

(1)

 

(10)

 

 

 

 

 

 

 

 

 

 

 

Walter Investment Management Corp.

(1)

 

(13)

 

 

 

 

 

 

 

 

 

 

 

 

(420,543)

 

 

 

 

 

 

 

 

RETAILING - (0.5%)

 

 

 

 

 

 

 

 

 

 

 

 

AutoZone, Inc. (a)

(1,461)

 

(220,772)

 

 

 

 

 

 

 

 

 

O’Reilly Automotive, Inc. (a)

(1,119)

 

(42,611)

 

 

 

 

 

 

 

 

 

 

 

 

(263,383)

 

 

 

 

 

 

 

 

SEMICONDUCTOR EQUIPMENT - (3.8%)

 

 

 

 

 

 

 

 

 

 

 

 

Cypress Semiconductor Corporation (a)

(61,284)

 

(563,813)

 

 

 

 

 

 

 

 

 

International Rectifier Corp. (a)

(12,540)

 

(185,717)

 

 

 

 

 

 

 

 

 

KLA-Tencor Corporation

(3,224)

 

(81,406)

 

 

 

 

 

 

 

 

 

Lam Research Corporation (a)

(24,538)

 

(637,988)

 

 

 

 

 

 

 

 

 

Linear Technology Corporation

(9,697)

 

(226,425)

 

 

 

 

 

 

 

 

 

Rambus Inc. (a)

(13,488)

 

(208,929)

 

 

 

 

 

 

 

 

 

 

 

 

(1,904,278)

 

 

 

 

 

 

 

 

SOFTWARE & SERVICES - (0.5%)

 

 

 

 

 

 

 

 

 

 

 

 

Nuance Communications, Inc. (a)

(22,504)

 

(272,074)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WATER UTILITIES - (0.0%)

 

 

 

 

 

 

 

 

 

 

 

 

American Water Works Company, Inc.

(853)

 

(16,301)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

WIRELESS TELECOMMUNICATIONS - (1.4%)

 

 

 

 

 

 

-

 

 

 

 

 

Leap Wireless International, Inc. (a)

(6,170)

 

(203,178)

 

 

 

 

 

 

 

 

 

SBA Communications Corporation (a)

(19,660)

 

(482,457)

 

 

 

 

 

 

 

 

 

 

 

 

(685,635)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT POSITIONS (29.8%)

 

 

(14,937,959)

 

 

 

 

 

 

 

 

 

(Proceeds $12,388,558)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) - 99.1%

 

$

49,744,143

 

 

 

 

 

 

 

 

 

(Cost $48,933,921)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 15.5%

 

 

 

 

 

 

 

 

 

 

 

 

 

Par Value

 

Value

 

 

 

 

 

 

 

 

Registered Money Market - 15.5%

 

 

 

 

 

 

 

 

 

 

 

 

State Street Navigator Securities Lending Prime Portfolio

0

 

7,785,307

 

 

 

 

 

 

 

 

 

(Cost $7,785,307)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS 114.6%

 

$

57,529,450

 

 

 

 

 

 

 

 

 

(Cost $56,719,228)

 

 

 

 

 

 

 

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (14.6%)

 

 

(7,340,922)

 

 

 

 

 

 

 

 

NET ASSETS - 100%

 

$

50,188,528

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a)

Non-Income producing security

 

 

 

 

 

 

 

 

 

 

 

(b)

All or a portion of this securty was out on loan.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

 

 

 

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

All long security holdings are held as collateral for short security positions.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

Quant Long/Short Fund

 

In September 2006, the Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that a Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurement for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three board levels listed below:

 

•

Level 1 – quoted prices in active markets for identical securities

•

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

•

Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)

 

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

 

The following is a summary of the inputs used as June 30, 2009 in valuing the Long/Short Fund’s investments carried at value:

 

Valuation Inputs

Investments in Securities

Liabilities in Securities Sold Short

Other Financial Instruments*

Level 1

$64,682,102

$ (14,937,959)

$ --

Level 2

7,785,307

--

--

Level 3

--

--

--

Total

$72,467,409

$ (14,937,959)

$ --

*Other Financial Instruments include derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts.

 

SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Investments in Securities

Other Financial Instruments*

Balance as of 03/31/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 06/30/09

$ --

$ --

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

 

QUANT EMERGING MARKETS FUND

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (unaudited)

 

 

 

 

June 30, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 82.7%

 

 

 

 

 

 

 

Shares

 

Value

BRAZIL - 8.5%

 

 

 

 

 

Banco do Brasil SA

 

197,160

 

2,124,573

 

Brasil Telecom Participacoes SA

 

48,274

 

859,624

 

CIA Saneamento Basico De SP

 

142,805

 

2,109,198

 

Empresa Brasileira de Aeronautica (Embraer)

 

305,938

 

1,268,580

 

Gerdau SA (c)

 

242,970

 

2,543,896

 

Itau Unibanco Banco Multiplo SA (c)

 

24,530

 

388,310

 

Petroleo Brasileiro SA (a)

 

134,447

 

2,742,295

 

Petroleo Brasileiro SA (c)

 

153,329

 

5,115,055

 

Souza Cruz SA (a)

 

21,660

 

615,142

 

Usinas Siderurgicas de Minas Gerais SA (c)

 

93,423

 

2,017,003

 

 

 

 

 

19,783,676

CHILE - 1.2%

 

 

 

 

 

Banco Santander-Chile (c)

 

46,929

 

2,191,115

 

Enersis S.A. (c)

 

30,276

 

559,198

 

 

 

 

 

2,750,313

CHINA - 18.3%

 

 

 

 

 

Bank of China Ltd. (a)

 

8,291,178

 

3,947,645

 

Beijing Enterprises Holdings Limited (a)

 

8,500

 

42,500

 

Central China Real Estate Ltd. (a)

 

390,000

 

128,825

 

China Blue Chemical Ltd.

 

520,000

 

275,095

 

China Construction Bank Corporation

 

6,862,850

 

5,313,140

 

China Mobile Limited

 

535,924

 

5,366,121

 

China Petroleum & Chemical Corporation (Sinopec Corp.)

 

4,851,040

 

3,705,545

 

China Pharmaceutical Group Limited

 

1,527,768

 

784,578

 

China Telecom Corporation Limited

 

3,680,000

 

1,832,866

 

CNOOC Limited

 

3,837,393

 

4,758,337

 

Dongfeng Motor Group

 

3,369,669

 

2,860,939

 

GZI Real Estate Investment Trust

 

661,000

 

214,930

 

Huabao Intl Hldg Inc.

 

1,000,245

 

967,973

 

Industrial and Commercial Bank of China

 

3,286,000

 

2,293,825

 

Lite-On Technology Corp.

 

699,000

 

607,178

 

NetEase.com, Inc. (a) (c)

 

39,953

 

1,405,546

 

PetroChina Company Limited

 

142,762

 

158,419

 

Renhe Commercial Holdings (a) (b)

 

6,828,000

 

1,409,642

 

Shenzhen Investment Limited

 

380,594

 

161,076

 

Shenzhen International Holdings Limited

 

17,117,046

 

1,170,577

 

Shenzhou International Group

 

429,000

 

188,205

 

Sinolink Worldwide Holdings Limited

 

2,992,000

 

474,856

 

Skyworth Digital Holdings Limited (a)

 

1,310,000

 

299,185

 

Tencent Holdings Ltd (b)

 

135,286

 

1,572,799

 

Yanzhou Coal Mining

 

1,528,850

 

2,106,840

 

 

 

Zhaojin Mining Industry Company Ltd. (a)

 

333,641

 

541,571

 

 

 

 

 

42,588,213

CZECH REPUBLIC - 0.8%

 

 

 

 

 

Komerční banka

 

12,639

 

1,750,859

HONG KONG - 1.4%

 

 

 

 

 

CNPC (Hong Kong) Limited

 

2,540,000

 

2,110,644

 

Hopewell Holdings Limited (a)

 

350,500

 

1,094,458

 

 

 

 

 

3,205,102

HUNGARY - 0.5%

 

 

 

 

 

Egis Gyogyszergyar Rt. (Egis)

 

3,503

 

315,164

 

Magyar Telekom Telecommunica

 

307,278

 

902,298

 

 

 

 

 

1,217,462

INDONESIA- 1.2%

 

 

 

 

 

PT Bank Mandiri

 

1,314,000

 

408,714

 

PT Bank Rakyat Indonesia

 

2,819,500

 

1,740,176

 

PT Astra International Tbk

 

224,500

 

523,448

 

 

 

 

 

2,672,338

ISRAEL - 2.2%

 

 

 

 

 

Partner Communications Company Ltd.

 

153,625

 

2,613,583

 

Teva Pharmaceutical Industries Ltd.

 

49,235

 

2,399,453

 

 

 

 

 

5,013,036

MALAYSIA - 2.6%

 

 

 

 

 

British American Tobacco

 

24,993

 

318,190

 

Genting Plantation Berhad

 

311,124

 

486,823

 

PPB Group

 

496,586

 

1,638,804

 

Public Bank Berhad

 

399,394

 

1,028,312

 

Tenaga Nasional

 

933,014

 

2,030,599

 

UMW Holdings

 

390,354

 

660,770

 

 

 

 

 

6,163,498

MEXICO - 2.5%

 

 

 

 

 

America Movil SAB de CV

 

428,081

 

830,401

 

Banco Compartamos SA de CV (a)

 

217,783

 

701,070

 

Cemex SAB de CV (a) (c)

 

83,856

 

783,215

 

Consorcio Ara S.A. de CV

 

1,219,889

 

530,696

 

Grupo Carso SA DE Cv-ser A1

 

327,665

 

880,653

 

Grupo Mexico SAB de CV

 

978,494

 

1,069,774

 

Grupo Televisa SA (c)

 

44,131

 

750,227

 

Telefonos De Mexico SAB de CV International (Telmex) (b)

 

323,282

 

263,853

 

 

 

 

 

5,809,889

PHILIPPINES - 0.5%

 

 

 

 

 

First Philippine Holdings Corporation (a)

 

392,362

 

240,513

 

Metropolitan Bank & Trust

 

334,800

 

219,142

 

Petron Corporation

 

3,886,290

 

436,072

 

Philippines Long Distance Telelephone Company (c)

 

4,550

 

226,226

 

 

 

 

 

1,121,953

POLAND - 1.0%

 

 

 

 

 

Asseco Poland SA (a)

 

24,096

 

412,555

 

 

 

KGHM Polska Miedz S.A.

 

19,845

 

508,566

 

Telekomunikacja PO

 

268,888

 

1,299,523

 

 

 

 

 

2,220,644

RUSSIA - 6.4%

 

 

 

 

 

Evraz Group SA (a) (d)

 

24,378

 

461,963

 

Gazprom (c)

 

322,163

 

6,523,801

 

JSC MMC Norilsk Nickel (c)

 

258,934

 

2,382,193

 

LUKoil (c)

 

89,421

 

3,967,610

 

SEVERSTAL (a) (d)

 

286,061

 

1,550,450

 

SISTEMA JSFC (d)

 

5,557

 

67,073

 

 

 

 

 

14,953,090

SOUTH AFRICA - 9.1%

 

 

 

 

 

Absa Group Limited

 

163,869

 

2,328,136

 

Adcock Ingram Holdings Ltd. (a)

 

86,176

 

474,594

 

African Bank Investments Limited

 

55,276

 

198,258

 

African Rainbow Minerals Limited

 

15,880

 

266,427

 

ArcelorMittal South Africa

 

141,591

 

1,746,457

 

FirstRand Limited

 

628,665

 

1,141,625

 

Gold Fields Limited

 

189,599

 

2,290,126

 

Impala Platinum Holdings Limited

 

92,144

 

2,028,537

 

Investec Limited (a)

 

186,817

 

1,023,060

 

Liberty Holdings Ltd.

 

149,577

 

1,159,330

 

Metropolitan Holdings Ltd.

 

829,809

 

1,248,599

 

MTN Group Limited

 

30,551

 

466,837

 

Nampak Limited

 

132,804

 

249,570

 

Remgro Limited

 

222,487

 

2,129,611

 

Santam Limited (a)

 

28,915

 

317,439

 

Shoprite Holdings Ltd.

 

89,342

 

634,654

 

Standard Bank Group Limited

 

275,671

 

3,158,155

 

Woolworths Holdings Limited (a)

 

177,572

 

297,005

 

 

 

 

 

21,158,420

SOUTH KOREA - 11.9%

 

 

 

 

 

CJ O SHOPPING Co., Ltd. (a)

 

2,338

 

115,987

 

Daishin Securities Company (a)

 

33,510

 

410,343

 

Dongbu Insurance Co., Ltd.

 

7,160

 

147,252

 

Hyundai Department Store Co., Ltd. (a)

 

27,689

 

1,947,435

 

Hyundai Heavy Industries Co., Ltd.

 

14,165

 

2,118,162

 

Hyundai Marine & Fire Insurance, Co., Ltd.

 

83,651

 

1,044,037

 

Hyundai Mipo Dockyard Co., Ltd.

 

10,330

 

1,025,743

 

Kangwon Land Inc. (a)

 

71,620

 

916,367

 

Korea Zinc Inc.

 

16,173

 

1,758,280

 

KT&G Corporation

 

30,441

 

1,720,438

 

LG Chemical

 

22,048

 

2,414,299

 

LG Corp.

 

66,163

 

3,162,861

 

LG Display Co., Ltd. (a)

 

42,300

 

1,055,881

 

LG Electronics Inc.

 

11,470

 

1,053,409

 

PacifiCorp

 

1,796

 

164,945

 

Posco

 

2,071

 

688,464

 

 

 

Samsung Electronics Co., Ltd.

 

9,379

 

4,358,388

 

Samsung Heavy Industries

 

89,270

 

2,032,128

 

SK Holdings Co., Ltd.

 

14,320

 

1,197,127

 

SK Telecom

 

3,148

 

429,963

 

 

 

 

 

27,761,509

TAIWAN - 11.4%

 

 

 

 

 

AU Optronics Corp. (a)

 

2,378,000

 

2,319,293

 

Chunghwa Telecom Co., Ltd.

 

1,593,987

 

3,182,144

 

Compal Electronics, Inc. (a)

 

593,000

 

481,666

 

Formosa Plastics Corporation

 

1,224,000

 

2,182,383

 

Fubon Financial HL

 

1,034,000

 

967,504

 

HannStar Display Corporation

 

1,271,000

 

257,609

 

HTC Corporation

 

29,738

 

420,556

 

Hua Nan Financial Holdings Co., Ltd. (a)

 

1,649,760

 

990,560

 

Inventec Appliances Corp. (a)

 

328,042

 

323,943

 

MediaTek Incorporation

 

149,517

 

1,786,366

 

Quanta Computer

 

2,851,525

 

4,606,243

 

Siliconware Precision Industries Company

 

738,422

 

856,353

 

Taiwan Cement Coporation

 

487,000

 

466,071

 

Taiwan Semiconductor Mfg. Co. Ltd.

 

3,125,019

 

5,209,952

 

U-Ming Marine Transport Corporation

 

410,485

 

800,702

 

Utd Micro Elect

 

5,020,669

 

1,683,248

 

 

 

 

 

26,534,593

THAILAND - 2.4%

 

 

 

 

 

Cp All Pcl

 

1,648,042

 

827,165

 

Electricity Generating PCL

 

36,000

 

79,249

 

Krung Thai Bank Pub.,Co.,Ltd.

 

4,455,126

 

1,170,337

 

PTT Chemical

 

243,505

 

373,441

 

PTT Explortn & Prd.

 

439,947

 

1,756,172

 

PTT Public Company Limited

 

173,611

 

1,192,397

 

Siam Commercial Bank Public Company Limited (a)

 

136,638

 

300,788

 

 

 

 

 

5,699,549

TURKEY - 0.8%

 

 

 

 

 

Turkiye IS Bankasi AS C

 

626,784

 

1,847,192

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

192,251,336

 

(Cost $185,540,841)

 

 

 

 

 

 

 

 

 

 

Preferred Stock - 6.7%

 

 

 

 

BRAZIL - 6.7%

 

 

 

 

 

Bradespar SA

 

140,108

 

1,824,861

 

Eletropaulo Metropolitana Preferred-B

 

108,421

 

1,915,778

 

Fertilizantes Fosfatados SA (a)

 

180,750

 

1,374,822

 

Itau Unibanco Banco Multiplo SA

 

71,337

 

1,128,762

 

Itausa-Investimentos Itau SA

 

606,136

 

2,689,141

 

Lojas Americanas SA (a)

 

26,130

 

122,042

 

Telemar Norte Leste SA

 

74,621

 

2,069,114

 

Telecomunicacoes de Sao Paulo S.A.

 

22,461

 

501,101

 

 

 

Ultrapar Participacoes SA (a)

 

9,900

 

312,992

 

Usinas Siderurgicas de Minas Gerais-pf A

 

122,627

 

2,596,036

 

Vale SA (a)

 

64,086

 

973,273

TOTAL PREFERRED STOCK

 

 

 

15,507,922

 

(Cost $11,863,442)

 

 

 

 

 

 

 

 

 

 

Exchange Traded Funds- 9.3%

 

 

 

 

INDIA - 6.3%

 

 

 

 

 

PowerShares India Portfolio

 

252,600

 

4,574,586

 

WisdomTree India Earnings Fund

 

579,458

 

10,053,596

 

 

 

 

 

14,628,182

OTHER - 3.0%

 

 

 

 

 

iShares MSCI Emerging Markets Index Fund

 

215,393

 

6,942,117

 

 

 

 

 

 

TOTAL EXCHANGE TRADED FUNDS

 

 

 

21,570,299

 

(Cost $21,267,357)

 

 

 

 

 

 

 

 

 

 

Short Term Investments - 1.9%

 

Par Value

 

Value

 

 

 

 

 

 

 

State Street Bank & Trust Co., Repurchase Agreement

 

 

 

 

 

.00001%, 07/01/09, (Dated 06/30/09), Collateralized by

 

 

 

 

 

$4,490,000 U.S. Treasury Bills--zero coupon

 

 

 

 

 

due 12/10/09, Market Value $4,483,714, Repurchase

 

 

 

 

 

Proceeds $4,391,000 (Cost $4,391,000)

$

4,391,000

 

4,391,000

 

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED)

 

 

 

233,720,557

 

(Cost $223,062,640)

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 0.8%

 

 

 

 

 

 

 

 

 

 

Money Market - 0.8%

 

 

 

 

 

JP Morgan Prime Money Market Fund - Inst.

 

1,791,577

 

1,791,577

 

(Cost $1,791,577)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 101.4%

 

 

 

235,512,134

(Cost $224,854,217)

 

 

 

 

OTHER ASSETS & LIABILITIES (Net) - (1.4%)

 

 

 

(3,201,862)

NET ASSETS - 100%

 

 

$

232,310,272

 

 

 

 

 

 

(a)

Non-income producing security.

 

 

 

 

(b)

All or a portion of this security was out on loan.

 

 

 

 

(c)

ADR - American Depositary Receipts

 

 

 

 

(d)

GDR - Global Depositary Receipts

 

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

 

SECTOR ALLOCATIONS (as a percentage of Total Common, Preferred Stock, and Exchange Traded Funds)

 

Financials

 

 

 

21.3%

 

Energy

 

 

 

15.2%

 

Materials

 

 

 

14.2%

 

Information Technology

 

 

 

11.8%

 

Telecommunication Services

 

 

 

9.1%

 

Industrials

 

 

 

6.9%

 

Consumer Discretionary

 

 

 

4.6%

 

Utilities

 

 

 

3.0%

 

Consumer Staples

 

 

 

2.8%

 

Healthcare

 

 

 

1.8%

 

Exchange Traded Funds

 

 

 

9.3%

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

Quant Emerging Markets Fund

 

In September 2006, the Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that a Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurement for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three board levels listed below:

 

•

Level 1 – quoted prices in active markets for identical securities

•

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

•

Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)

 

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

 

The following is a summary of the inputs used as June 30, 2009 in valuing the Emerging Markets Fund’s investments carried at value:

 

Valuation Inputs

Investments in Securities

Liabilities in Securities Sold Short

Other Financial Instruments*

Level 1

$229,329,557

$ --

$ (98,938)

Level 2

6,182,577

--

--

Level 3

--

--

--

Total

$235,512,134

$ --

$ (98,938)

*Other Financial Instruments include derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts.

 

SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Investments in Securities

Other Financial Instruments*

Balance as of 03/31/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 06/30/09

$ --

$ --

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

 

QUANT FOREIGN VALUE FUND

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

 

 

 

 

 

June 30, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stock - 97.9%

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Value

 

 

 

 

 

AUSTRALIA - 2.9%

 

 

 

 

 

 

 

 

 

 

BHP Billiton Ltd.

 

341,850

$

9,559,319

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AUSTRIA - 3.1%

 

 

 

 

 

 

 

 

 

 

Andritz AG

 

243,460

 

10,205,791

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BELGIUM - 2.4%

 

 

 

 

 

 

 

 

 

 

KBC Groep N.V. (a)

 

52,156

 

950,595

 

 

 

 

 

 

Solvay S.A.

 

84,380

 

7,113,422

 

 

 

 

 

 

 

 

 

 

8,064,017

 

 

 

 

 

CANADA - 2.6%

 

 

 

 

 

 

 

 

 

 

Methanex Corporation

 

719,207

 

8,746,385

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FINLAND - 9.6%

 

 

 

 

 

 

 

 

 

 

Cargotec Corp., Class B

 

386,850

 

6,633,106

 

 

 

 

 

 

Kone Corporation OYJ-B

 

376,800

 

11,532,209

 

 

 

 

 

 

Konecranes OYJ

 

275,280

 

6,464,536

 

 

 

 

 

 

Yit OYJ

 

726,067

 

7,532,797

 

 

 

 

 

 

 

 

 

 

32,162,648

 

 

 

 

 

FRANCE - 6.6%

 

 

 

 

 

 

 

 

 

 

Christian Dior S.A.

 

125,573

 

9,360,753

 

 

 

 

 

 

Imerys S.A. (b)

 

84,552

 

3,485,625

 

 

 

 

 

 

Tecnip S.A.

 

188,600

 

9,225,513

 

 

 

 

 

 

 

 

 

 

22,071,891

 

 

 

 

 

GERMANY - 9.4%

 

 

 

 

 

 

 

 

 

 

BASF SE

 

205,700

 

8,170,126

 

 

 

 

 

 

Demag Cranes AG

 

128,000

 

2,892,830

 

 

 

 

 

 

Hannover Rueckvers (a)

 

181,700

 

6,715,034

 

 

 

 

 

 

Muenchener Ruckvers AG

 

41,100

 

5,542,677

 

 

 

 

 

 

Tognum AG

 

601,900

 

7,898,562

 

 

 

 

 

 

 

 

 

 

31,219,229

 

 

 

 

 

INDIA - 0.5%

 

 

 

 

 

 

 

 

 

 

Infosys Technologies Ltd (c)

 

48,800

 

1,794,864

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IRELAND - 9.4%

 

 

 

 

 

 

 

 

 

 

Bank of Ireland (a)

 

715,939

 

1,691,312

 

 

 

 

 

 

CRH PLC

 

481,406

 

10,979,814

 

 

 

 

 

 

Greencore Group PLC

 

5,346,976

 

9,819,849

 

 

 

 

 

 

Smurfit Kappa PLC (a)

 

2,345,413

 

12,659,832

 

 

 

 

 

 

 

 

 

 

31,178,660

 

 

 

 

 

ITALY - 2.7%

 

 

 

 

 

 

 

 

 

 

 

 

Trevi Finanziaria SpA

 

776,466

 

9,019,092

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

JAPAN - 16.0%

 

 

 

 

 

 

 

 

 

 

Asahi Breweries Ltd.

 

460,500

 

6,623,597

 

 

 

 

 

 

Culture Convenience Club Co., Ltd.

 

429,900

 

3,682,437

 

 

 

 

 

 

Iino Kaiun Kaisha, Ltd.

 

1,076,000

 

6,416,053

 

 

 

 

 

 

Kansai Electric Power Company Inc.

 

262,600

 

5,800,456

 

 

 

 

 

 

KDDI Corporation

 

1,204

 

6,392,699

 

 

 

 

 

 

Meiji Dairies Corporation

 

186,300

 

7,496,049

 

 

 

 

 

 

Nippon Yusen Kabushiki Kaisha

 

1,141,000

 

4,934,118

 

 

 

 

 

 

Showa Denko K.K.

 

3,379,000

 

6,062,087

 

 

 

 

 

 

Tokyo Electric Power Company Inc.

 

227,200

 

5,843,161

 

 

 

 

 

 

 

 

 

 

53,250,657

 

 

 

 

 

NORWAY - 1.4%

 

 

 

 

 

 

 

 

 

 

Camillo Eitzen & Co. ASA

 

649,849

 

1,130,312

 

 

 

 

 

 

DnB NOR ASA  (a)

 

446,823

 

3,400,163

 

 

 

 

 

 

 

 

 

 

4,530,475

 

 

 

 

 

SOUTH AFRICA - 3.1%

 

 

 

 

 

 

 

 

 

 

Metorex Ltd. (a)

 

4,759,918

 

1,844,334

 

 

 

 

 

 

Sasol Ltd.

 

241,135

 

8,408,347

 

 

 

 

 

 

 

 

 

 

10,252,681

 

 

 

 

 

SOUTH KOREA - 5.5%

 

 

 

 

 

 

 

 

 

 

Samsung Electronics Company Ltd.

 

24,085

 

11,192,213

 

 

 

 

 

 

SK Telecom Company Ltd.

 

51,793

 

7,074,047

 

 

 

 

 

 

 

 

 

 

18,266,260

 

 

 

 

 

SWEDEN - 6.1%

 

 

 

 

 

 

 

 

 

 

Autoliv Inc. (a)(c)

 

237,234

 

6,825,222

 

 

 

 

 

 

Duni AB

 

1,179,500

 

5,720,693

 

 

 

 

 

 

Investor AB

 

502,056

 

7,727,135

 

 

 

 

 

 

 

 

 

 

20,273,050

 

 

 

 

 

SWITZERLAND - 1.9%

 

 

 

 

 

 

 

 

 

 

Novartis AG

 

155,500

 

6,300,980

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

THAILAND - 2.1%

 

 

 

 

 

 

 

 

 

 

Thai Oil Plc

 

6,724,400

 

7,006,639

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

UNITED KINGDOM - 12.6%

 

 

 

 

 

 

 

 

 

 

Barratt Developments PLC (a)

 

2,975,894

 

7,220,192

 

 

 

 

 

 

Bellway PLC

 

937,770

 

9,401,764

 

 

 

 

 

 

Lloyds TSB Group PLC (a)

 

2,812,529

 

3,235,190

 

 

 

 

 

 

Persimmon PLC (a)

 

1,109,088

 

6,385,183

 

 

 

 

 

 

Taylor Wimpey PLC (a)

 

28,480,391

 

15,693,870

 

 

 

 

 

 

 

 

 

 

41,936,199

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

325,838,837

 

 

 

 

 

 

(Cost $562,901,610)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrants - 1.2%

 

 

 

 

 

 

 

 

 

 

 

IRELAND - 1.2%

 

 

 

 

 

 

 

 

 

 

CRH PLC

 

173,816

 

3,972,147

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL WARRANTS - 1.2%

 

 

 

3,972,147

 

 

 

 

 

 

(Cost $4,822,681)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short Term Investments - 2.6%

 

Par Value

 

Value

 

 

 

 

 

COMMERCIAL PAPER - 2.6%

 

 

 

 

 

 

 

 

 

 

State Street Global Advisors FDS, 0.242%, due 7/01/2009

$

 

 

4,845,569

 

 

 

 

 

 

(Cost $4,845,569)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Toyota Motor Credit, 0.16%, due 7/01/2009

$

 

 

3,839,000

 

 

 

 

 

 

(Cost $3,839,000)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL SHORT TERM INVESTMENTS - 2.6%

 

 

 

8,684,569

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) 101.70%

 

 

 

338,495,553

 

 

 

 

 

 

(Cost $576,408,860)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 5.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market - 5.6%

 

 

 

 

 

 

 

 

 

 

JP Morgan Prime Money Market Fund

 

 

 

3,278,485

 

 

 

 

 

 

(Cost $3,278,485)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 107.3%

 

 

 

341,774,038

 

 

 

 

 

(Cost $579,687,345)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (7.3%)

 

 

 

(9,000,084)

 

 

 

 

 

NET ASSETS - 100%

 

 

$

332,773,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(a)

Non-income producing security

 

 

 

 

 

 

 

 

 

(b)

All or a portion of this security was out on loan.

 

 

 

 

 

 

 

 

 

(c)

ADR - American Depository Receipts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

 

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SECTOR ALLOCATIONS (as a percentage of Total Common and Preferred Stock)

 

 

 

 

 

 

 

Industrials

 

 

 

22.6%

 

 

 

 

 

Materials

 

 

 

20.8%

 

 

 

 

 

Consumer Discretionary

 

 

 

19.5%

 

 

 

 

 

Financials

 

 

 

8.9%

 

 

 

 

 

Energy

 

 

 

7.5%

 

 

 

 

 

 

 

Consumer Staples

 

 

 

7.3%

 

 

 

 

 

Telecommunication Services

 

 

 

4.1%

 

 

 

 

 

Information Technology

 

 

 

3.9%

 

 

 

 

 

Utilities

 

 

 

3.5%

 

 

 

 

 

Health Care

 

 

 

1.9%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

Quant Foreign Value Fund

 

In September 2006, the Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that a Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurement for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three board levels listed below:

 

•

Level 1 – quoted prices in active markets for identical securities

•

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

•

Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)

 

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

 

The following is a summary of the inputs used as June 30, 2009 in valuing the Foreign Value Fund’s investments carried at value:

 

Valuation Inputs

Investments in Securities

Liabilities in Securities Sold Short

Other Financial Instruments*

Level 1

$322,804,344

$ --

$ (29,774)

Level 2

18,969,694

--

--

Level 3

--

--

--

Total

$341,774,038

$ --

$ (29,774)

*Other Financial Instruments include derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts.

 

SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Investments in Securities

Other Financial Instruments*

Balance as of 03/31/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 06/30/09

$ --

$ --

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

 

QUANT FOREIGN VALUE SMALL CAP FUND

 

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (Unaudited)

 

 

 

 

June 30, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 85.5%

 

 

 

 

 

 

 

Shares

 

Value

AUSTRALIA - 2.4%

 

 

 

 

 

Austal Limited

 

402,800

$

905,118

 

 

 

 

 

 

BELGIUM - 2.6%

 

 

 

 

 

Barco NV

 

28,600

 

977,971

 

 

 

 

 

 

CHINA - 9.7%

 

 

 

 

 

NagaCorp Ltd.

 

5,698,237

 

757,309

 

Sichuan Expressway Company Limited (a)

 

2,408,000

 

984,943

 

Sichuan Xinhua Winshare Chainstore Co., Ltd.

 

1,722,900

 

626,909

 

Sinopec Kantons Holdings Limited

 

3,125,000

 

552,416

 

VTech Holdings Limited

 

115,200

 

786,328

 

 

 

 

 

3,707,905

FRANCE - 1.2%

 

 

 

 

 

Bonduelle SA

 

6,100

 

476,785

 

 

 

 

 

 

GERMANY - 1.3%

 

 

 

 

 

Demag Cranes AG

 

20,600

 

465,565

 

 

 

 

 

 

INDIA - 12.7%

 

 

 

 

 

KRBL Limited Derivative (a)

 

431,300

 

858,287

 

LIC Housing Finance Ltd. Derivative (a)

 

102,900

 

1,328,439

 

NIIT Technologies Derivative(a)

 

423,000

 

884,070

 

South Indian Bank Derivative (a)

 

425,600

 

808,640

 

Usha Martin Group Derivative (a)

 

952,100

 

990,184

 

 

 

 

 

4,869,620

IRELAND - 7.6%

 

 

 

 

 

Glanbia plc

 

138,900

 

428,423

 

 

 

Grafton Group plc

 

196,700

 

722,526

 

Greencore Group plc

 

437,246

 

803,054

 

IFG Group plc

 

167,800

 

182,323

 

United Drug

 

278,000

 

771,717

 

 

 

 

 

2,908,043

ITALY - 3.8%

 

 

 

 

 

De’Longhi SpA

 

261,200

 

747,052

 

Trevi Finanziaria SpA

 

62,100

 

721,327

 

 

 

 

 

1,468,379

JAPAN - 5.3%

 

 

 

 

 

Accordia Golf Co., Ltd.

 

953

 

771,848

 

Culture Convenience Club Co., Ltd.

 

77,000

 

659,567

 

Iino Kaiun Kaisha, Ltd.

 

96,400

 

574,821

 

 

 

 

 

2,006,236

NORWAY - 6.1%

 

 

 

 

 

ABG Sundal Collier Holding ASA

 

603,800

 

656,386

 

SpareBank 1 Nord-Norge

 

130,680

 

862,514

 

SpareBank 1 Midt-Norge

 

66,700

 

820,905

 

 

 

 

 

2,339,805

RUSSIA - 0.8%

 

 

 

 

 

Bank Vozrozhdenie

 

17,400

 

316,158

 

 

 

 

 

 

SINGAPORE - 3.7%

 

 

 

 

 

Breadtalk Group Ltd.

 

2,138,000

 

575,803

 

China Fishery Group Limited

 

1,195,700

 

842,216

 

 

 

 

 

1,418,019

SOUTH AFRICA - 2.2%

 

 

 

 

 

Metorex Limited (a)

 

238,700

 

92,490

 

New Clicks Holdings

 

313,700

 

743,480

 

 

 

 

 

835,970

SWEDEN - 5.3%

 

 

 

 

 

Duni AB

 

127,100

 

616,448

 

Nolato AB

 

111,900

 

694,689

 

Transcom WorldWide S.A.

 

242,900

 

719,420

 

 

 

 

 

2,030,557

SWITZERLAND - 2.9%

 

 

 

 

 

 

 

Bobst Group SA

 

18,000

 

505,130

 

Vetropack Holding AG

 

426

 

621,254

 

 

 

 

 

1,126,384

UNITED KINGDOM - 17.9%

 

 

 

 

 

Alternative Networks plc

 

255,300

 

417,843

 

Character Group plc

 

769,600

 

449,400

 

Clarkson plc

 

25,000

 

255,371

 

CSR plc (a)

 

150,400

 

865,256

 

Filtrona plc

 

223,600

 

448,715

 

Galliford Try

 

886,800

 

703,821

 

Halfords Group plc

 

110,196

 

564,176

 

Hampson Industries plc

 

311,900

 

348,870

 

Healthcare Locums plc

 

280,000

 

879,692

 

Keller Group plc

 

59,400

 

540,808

 

The Restaurant Group plc

 

229,200

 

539,126

 

Vitec Group plc

 

192,761

 

824,388

 

 

 

 

 

6,837,466

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

32,689,981

 

(Cost $34,136,277)

 

 

 

 

 

 

 

 

 

 

Preferred Stock - 0.5%

 

 

 

 

GERMANY - 0.5%

 

 

 

 

 

Drägerwerk AG

 

8,400

 

209,509

 

(Cost $527,966)

 

 

 

 

 

 

 

 

 

 

Exchange Traded Funds - 3.1%

 

 

 

 

OTHER - 3.1%

 

 

 

 

 

iShares MSCI EAFE Small Cap Index Fund

 

19,500

 

584,805

 

SPDR S&P International Small Cap Fund

 

27,600

 

586,776

TOTAL EXCHANGE TRADED FUNDS

 

 

 

1,171,581

 

(Cost $1,447,294)

 

 

 

 

 

 

 

 

 

 

Short Term Investments - 10.6%

 

Par Value

 

 

COMMERCIAL PAPER - 10.6%

 

 

 

 

 

State Street Global Advisors FDS, 0.242%, due 7/01/2009

$

 

 

4,034,746

 

(Cost $4,034,746)

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 99.7%

 

 

 

38,105,817

 

(Cost $40,146,283)

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - 0.3%

 

 

 

113,845

NET ASSETS - 100%

 

 

$

38,219,662

 

 

 

 

 

 

(a)

Non-income producing security

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

SECTOR ALLOCATIONS (as a percentage of Total Common and Preferred Stock)

 

 

Industrials

 

 

 

22.1%

Consumer Discretionary

 

 

 

20.6%

Financials

 

 

 

17.6%

Information Technology

 

 

 

14.5%

Consumer Staples

 

 

 

11.7%

Health Care

 

 

 

5.5%

Materials

 

 

 

3.4%

Exchange Traded Funds

 

 

 

3.4%

Telecommunication Services

 

 

 

1.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

Quant Foreign Value Small Cap Fund

 

In September 2006, the Statement of Financial Accounting Standards No. 157, “Fair Value Measurements” (“SFAS 157”), was issued and is effective for fiscal years beginning after November 15, 2007. In accordance with SFAS 157, fair value is defined as the price that a Fund would receive to sell an investment or pay to transfer a liability in a timely transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. SFAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurement for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three board levels listed below:

 

•

Level 1 – quoted prices in active markets for identical securities

•

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

•

Level 3 – significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments)

 

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

 

The following is a summary of the inputs used as June 30, 2009 in valuing the Foreign Value Small Cap Fund’s investments carried at value:

 

Valuation Inputs

Investments in Securities

Liabilities in Securities Sold Short

Other Financial Instruments*

Level 1

$28,885,293

$ --

$ --

Level 2

9,220,524

--

--

Level 3

--

--

--

Total

$38,105,817

$ --

$ --

*Other Financial Instruments include derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and swap contracts.

 

SFAS 157 also requires a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value:

 

 

Investments in Securities

Other Financial Instruments*

Balance as of 03/31/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 06/30/09

$ --

$ --

 

 

Securities valuation policies and other investment related disclosures are hereby incorporated by reference from the annual and semi-annual reports previously filed with the Securities and Exchange Commission on Form N-CSR.

 

 

 

 

Item 2. Controls and Procedures

 

(a) The registrant’s principal executive officer and principal financial officer have concluded, based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) of the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of the report that the registrant’s disclosure controls and procedures are reasonable designed to ensure that information required to be disclosed by the registrant’s Form N-Q is recorded, processed, summarized and reported with the required time periods and that information required to be disclosed by the registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the registrant’s management, including its principal executive and financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

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

 

Item 3. Exhibits

 

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Investment Company Act of 1940, as amended are filed herewith.

 

SIGNATURES

 

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

 

Registrant: The Quantitative Group of Funds

 

By:

/s/ Willard L. Umphrey

Willard L. Umphrey

Chairman, President and Trustee

Date: August 25, 2009

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:

/s/ Willard L. Umphrey

Willard L. Umphrey

Chairman, President and Trustee (Principal Executive Officer)

Date: August 25, 2009

 

By:

/s/ Leon Okurowski

Leon Okurowski

Treasurer (Principal Financial Officer)

Date: August 25, 2009