N-Q 1 formnqmain.htm FORM N-Q 12.31.09

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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: December 31, 2009

 

Item 1. Schedule of Investments

 

 

 

QUANT SMALL CAP FUND

 

 

 

 

 

 

 

 

 

 

SCHEDULE OF INVESTMENTS (unaudited)

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 100.0%

 

 

 

 

 

 

 

Shares

 

Value

BANKS - 2.3%

 

 

 

 

 

CoBiz Financial, Inc.

 

99,875

$

474,406

 

F.N.B. Corporation

 

65,438

 

444,324

 

Pinnacle Financial Partners, Inc. (a)(b)

 

17,813

 

253,301

 

WestAmerica Bancorporation (b)

 

17,370

 

961,777

 

 

 

 

 

2,133,808

BIOTECHNOLOGY - 1.0%

 

 

 

 

 

United Therapeutics Corporation (a)

 

17,549

 

923,955

 

 

 

 

 

 

CHEMICALS - 0.9%

 

 

 

 

 

LSB Industries, Inc. (a)(b)

 

62,397

 

879,798

 

 

 

 

 

 

COMMERCIAL SERVICES & SUPPLIES - 7.3%

 

 

 

 

 

Acacia Research Corporation (a)(b)

 

118,070

 

1,075,618

 

Clean Harbors, Inc. (a)

 

6,388

 

380,789

 

Coinstar, Inc. (a)

 

10,742

 

298,412

 

FTI Consulting, Inc. (a)

 

32,150

 

1,516,194

 

inVentiv Health, Inc. (a)

 

58,346

 

943,455

 

Kforce, Inc. (a)

 

70,084

 

876,050

 

Waste Connections, Inc. (a)

 

55,690

 

1,856,705

 

 

 

 

 

6,947,223

COMMUNICATIONS EQUIPMENT - 5.0%

 

 

 

 

 

Atheros Communications, Inc. (a)

 

32,121

 

1,099,823

 

Comtech Telecommunications Corp. (a)(b)

 

24,830

 

870,292

 

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

 

87,731

 

2,723,170

 

 

 

 

 

4,693,285

CONSTRUCTION & ENGINEERING - 0.4%

 

 

 

 

 

Mastec, Inc. (a)(b)

 

32,126

 

401,575

 

 

 

 

 

 

CONTAINERS & PACKAGING - 2.8%

 

 

 

 

 

Silgan Holdings, Inc.

 

30,721

 

1,778,131

 

Sonoco Products Company (b)

 

29,832

 

872,586

 

 

 

 

 

 

 

2,650,717

DIVERSIFIED FINANCIALS - 2.9%

 

 

 

 

 

Fifth Street Finance Corp.

 

76,117

 

817,497

 

First Cash Financial Services, Inc. (a)

 

13,055

 

289,690

 

optionsXpress Holdings, Inc. (a)

 

44,925

 

694,091

 

Tower Bancorp, Inc. (a)

 

32,876

 

751,217

 

TradeStation Group, Inc.

 

25,100

 

198,039

 

 

 

 

 

2,750,534

DIVERSIFIED TELECOMMUNICATION SERVICES - 0.4%

 

 

 

 

 

Hughes Communications, Inc. (a)

 

15,491

 

403,231

 

 

 

 

 

 

ELECTRIC UTILITIES - 1.0%

 

 

 

 

 

Ormat Technologies, Inc. (b)

 

25,055

 

948,081

 

 

 

 

 

 

ELECTRICAL EQUIPMENT - 1.7%

 

 

 

 

 

American Superconductor Corporation (a)(b)

 

17,881

 

731,333

 

Finisar Corporation (a)(b)

 

99,338

 

886,095

 

 

 

 

 

1,617,428

ENERGY EQUIPMENT & SERVICES - 4.9%

 

 

 

 

 

Core Laboratories N.V. (b)

 

39,535

 

4,669,874

 

 

 

 

 

 

FOOD DRUG & RETAILING - 2.4%

 

 

 

 

 

United Natural Foods, Inc. (a)

 

85,578

 

2,288,356

 

 

 

 

 

 

FOOD PRODUCTS - 3.6%

 

 

 

 

 

Central Garden & Pet Company (a)

 

34,761

 

371,943

 

Dean Foods Company (c)

 

55,109

 

994,166

 

Diamond Foods, Inc.

 

54,043

 

1,920,688

 

Smart Balance, Inc. (a)

 

19,011

 

114,066

 

 

 

 

 

3,400,863

HEALTH CARE EQUIPMENT & SUPPLIES - 2.3%

 

 

 

 

 

Haemonetics Corporation (a)

 

12,372

 

682,316

 

NuVasive, Inc. (a)

 

12,931

 

413,533

 

Sirona Dental Systems, Inc. (a)

 

31,675

 

1,005,365

 

SXC Health Solutions, Corp. (a)

 

1,875

 

101,156

 

 

 

 

 

2,202,370

HEALTH CARE PROVIDERS & SERVICES - 3.7%

 

 

 

 

 

 

 

BioScrip, Inc. (a)

 

5,838

 

48,806

 

Henry Schein, Inc. (a)

 

29,545

 

1,554,067

 

Select Medical Holdings Corporation (a)

 

62,630

 

665,130

 

Universal Health Services, Inc.,

 

41,308

 

1,259,894

 

 

 

 

 

3,527,897

HOTELS, RESTAURANTS & LEISURE - 0.6%

 

 

 

 

 

California Pizza Kitchen, Inc. (a)

 

41,384

 

556,615

 

 

 

 

 

 

INSURANCE - 0.8%

 

 

 

 

 

Aspen Insurance Holdings Limited

 

28,308

 

720,439

 

 

 

 

 

 

INTERNET & CATALOG RETAIL - 1.3%

 

 

 

 

 

NutriSystem, Inc.

 

40,834

 

1,272,796

 

 

 

 

 

 

INTERNET SOFTWARE & SERVICES - 3.3%

 

 

 

 

 

3PAR, Inc. (a)(b)

 

44,584

 

528,320

 

Athenahealth, Inc. (a)(b)

 

25,446

 

1,151,177

 

Blue Coat Systems, Inc. (a)

 

17,060

 

486,892

 

Internet Capital Group, Inc. (a)

 

150,489

 

1,000,752

 

 

 

 

 

3,167,141

IT CONSULTING & SERVICES - 3.2%

 

 

 

 

 

Alliance Data Systems Corporation (a)(b)

 

47,451

 

3,064,860

 

 

 

 

 

 

MACHINERY - 2.7%

 

 

 

 

 

Gardner Denver, Inc. (a)

 

29,857

 

1,270,415

 

Harsco Corporation

 

38,790

 

1,250,202

 

 

 

 

 

2,520,617

MEDIA - 6.0%

 

 

 

 

 

Regal Entertainment Group

 

310,594

 

4,484,977

 

TiVo, Inc. (a)

 

120,169

 

1,223,320

 

 

 

 

 

5,708,297

METALS & MINING - 4.6%

 

 

 

 

 

Compass Minerals International, Inc. (b)

 

63,931

 

4,295,524

 

 

 

 

 

 

OIL & GAS - 2.4%

 

 

 

 

 

Aegean Marine Petroleum Network, Inc. (a)

 

37,819

 

1,039,266

 

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

 

40,699

 

767,176

 

 

 

Sandridge Energy, Inc. (a)

 

44,125

 

416,099

 

 

 

 

 

2,222,541

PERSONAL PRODUCTS - 1.3%

 

 

 

 

 

NBTY, Inc. (a)(b)

 

27,827

 

1,211,588

 

 

 

 

 

 

PHARMACEUTICALS - 0.5%

 

 

 

 

 

Targacept, Inc. (a)

 

22,367

 

467,918

 

 

 

 

 

 

REAL ESTATE - 11.3%

 

 

 

 

 

AMB Property Corporation

 

27,307

 

697,694

 

Entertainment Properties Trust

 

124,718

 

4,398,804

 

Hersha Hospitality Trust

 

462,868

 

1,453,405

 

Ventas, Inc. (b)

 

96,150

 

4,205,601

 

 

 

 

 

10,755,504

ROAD & RAIL - 0.1%

 

 

 

 

 

RailAmerica, Inc. (a)

 

10,353

 

126,307

 

 

 

 

 

 

SEMICONDUCTOR EQUIPMENT & PRODUCTS - 2.1%

 

 

 

 

 

Entegris, Inc. (a)

 

205,928

 

1,087,300

 

Kulicke & Soffa Industries, Inc. (a)

 

168,110

 

906,113

 

 

 

 

 

1,993,413

SOFTWARE - 4.8%

 

 

 

 

 

Blackboard, Inc. (a)

 

58,711

 

2,664,892

 

Eclipsys Corporation (a)

 

16,024

 

296,764

 

SuccessFactors, Inc. (a)(b)

 

15,908

 

263,755

 

Ulticom, Inc. (a)(b)

 

38,207

 

366,978

 

Verint Systems Inc. (a)(b)

 

47,771

 

919,592

 

 

 

 

 

4,511,981

SPECIAL RETAIL - 1.1%

 

 

 

 

 

Zumiez, Inc. (a)

 

80,652

 

1,025,893

 

 

 

 

 

 

TEXTILES & APPAREL - 5.3%

 

 

 

 

 

GUESS?, Inc. (b)

 

91,664

 

3,877,387

 

Phillips-Van Heusen Corporation

 

19,294

 

784,880

 

True Religion Apparel, Inc.

 

19,826

 

366,583

 

 

 

 

 

5,028,850

WIRELESS TELECOMMUNICATION SERVICES - 6.0%

 

 

 

 

 

 

 

Crown Castle International Corporation (a)(b)

 

30,910

 

1,206,726

 

SBA Communications Corporation (a)(b)

 

131,985

 

4,508,608

 

 

 

 

 

5,715,334

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

94,804,613

 

(Cost $84,315,971)

 

 

 

 

 

 

 

 

 

 

SHORT TERM INVESTMENTS - 0.2%

 

 

 

 

 

 

 

Par Value

 

Value

 

State Street Bank & Trust Co., Repurchase Agreement

 

 

 

 

 

.005%, 01/04/10, (Dated 12/31/09), Collateralized by $185,000 par

 

 

 

 

 

U.S. Treasury Bill--zero coupon due 07/01/10,

 

 

 

 

 

Market Value $184,815, Repurchase Proceeds $181,000

 

 

 

 

 

(Cost $181,000)

$

181,000

$

181,000

 

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) - 100.2%

 

 

 

94,985,613

 

(Cost $84,496,971)

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 28.6%

 

 

 

 

 

 

 

 

 

 

Money Market - 28.6%

 

 

 

 

 

JP Morgan Prime Money Market Fund - Inst.

 

27,075,090

 

27,075,090

 

(Cost $27,075,090)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 128.8% (d)

 

 

 

122,060,703

 

(Cost $111,572,061)

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (28.8%)

 

 

 

(27,308,267)

NET ASSETS - 100%

 

 

$

94,752,436

 

 

 

 

 

 

(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 December 31, 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

$94,804,613

$ --

$ --

Level 2

5,148,334

--

--

Level 3

--

--

--

Total

$99,952,947

$ --

$ --

*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 06/30/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 12/31/09

$ --

$ --

 

 

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)

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 99.0%

 

 

 

 

 

 

 

 

 

 

Long Positions - 128.8%

 

 

 

 

 

 

Shares

 

Value

 

AEROSPACE & DEFENSE - 1.6%

 

 

 

 

 

General Dynamics Corporation

12,778

$

871,076

 

 

 

 

 

 

 

AIRLINES - 2.0%

 

 

 

 

 

Southwest Airlines Co. (b)

95,532

 

1,091,931

 

 

 

 

 

 

 

AUTOMOBILES - 3.2%

 

 

 

 

 

Autoliv, Inc. (b)

4,306

 

186,708

 

 

Ford Motor Company (a) (b)

150,392

 

1,503,920

 

 

 

 

 

1,690,628

 

BANKS - 3.5%

 

 

 

 

 

Bank of America Corporation (b)

1,245

 

18,750

 

 

Hudson City Bancorp, Inc. (b)

11,977

 

164,444

 

 

M&T Bank Corporation (b)

4,673

 

312,577

 

 

New York Community Bancorp, Inc. (b)

10,134

 

147,044

 

 

The PNC Financial Services Group, Inc. (b)

561

 

29,615

 

 

U.S. Bancorp (b)

54,864

 

1,234,989

 

 

 

 

 

1,907,419

 

BEVERAGES - 0.1%

 

 

 

 

 

The Pepsi Bottling Group, Inc.

814

 

30,525

 

 

 

 

 

 

 

BIOTECHNOLOGY - 0.4%

 

 

 

 

 

Gilead Sciences, Inc. (a) (b)

4,668

 

202,031

 

 

 

 

 

 

 

BUILDING PRODUCTS - 0.4%

 

 

 

 

 

Crane Co. (b)

7,363

 

225,455

 

 

 

 

 

 

 

CHEMICALS - 3.1%

 

 

 

 

 

Cabot Corporation (b)

289

 

7,581

 

 

CF Industries Holdings, Inc.

289

 

26,235

 

 

Eastman Chemical Company (b)

3,283

 

197,768

 

 

Huntsman Corporation (b)

127,482

 

1,439,272

 

 

 

 

 

 

 

1,670,856

 

COMMERCIAL SERVICES & SUPPLIES - 0.7%

 

 

 

 

 

Career Education Corporation (a) (b)

16,779

 

391,118

 

 

 

 

 

 

 

COMMUNICATIONS EQUIPMENT - 5.8%

 

 

 

 

 

Corning Incorporated (b)

126,967

 

2,451,733

 

 

Motorola, Inc. (b)

85,827

 

666,017

 

 

 

 

 

3,117,750

 

COMPUTERS & PERIPHERALS - 6.3%

 

 

 

 

 

Dell, Inc. (a) (b)

7,070

 

101,525

 

 

International Business Machines (b)

25,263

 

3,306,927

 

 

 

 

 

3,408,452

 

CONSTRUCTION ENGINEERING - 2.2%

 

 

 

 

 

Fluor Corporation

25,683

 

1,156,762

 

 

 

 

 

 

 

DIVERSIFIED FINANCIAL SERVICES - 15.2%

 

 

 

 

 

American Express Company (b)

62,660

 

2,538,983

 

 

BlackRock, Inc. (b)

4,090

 

949,698

 

 

Discover Financial Services (b)

98,313

 

1,446,184

 

 

Moody's Corporation (b)

30,187

 

809,012

 

 

T. Rowe Price Group, Inc. (b)

46,048

 

2,452,056

 

 

 

 

 

8,195,933

 

DIVERSIFIED TELECOMMUNICATION SERVICES - 3.1%

 

 

 

 

 

AT&T Corporation (b)

26,412

 

740,328

 

 

Sprint Nextel Corporation (b)

250,272

 

915,996

 

 

 

 

 

1,656,324

 

ELECTRIC UTILITIES - 2.4%

 

 

 

 

 

DTE Energy Company (b)

7,850

 

342,182

 

 

FirstEnergy Corp. (b)

16,481

 

765,542

 

 

Mirant Corporation (a) (b)

13,561

 

207,076

 

 

 

 

 

1,314,800

 

ELECTRICAL EQUIPMENT - 0.3%

 

 

 

 

 

Hubbell Incorporated (b)

3,329

 

157,462

 

 

Thomas & Betts Corporation (a) (b)

677

 

24,230

 

 

 

 

 

181,692

 

ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.5%

 

 

 

 

 

 

 

Ingram Micro, Inc. (a) (b)

15,045

 

262,535

 

 

Jabil Circuit, Inc. (b)

8,356

 

145,144

 

 

Molex Incorporated (b)

2,303

 

49,630

 

 

Tech Data Corporation (a) (b)

19,049

 

888,826

 

 

 

 

 

1,346,135

 

ENERGY EQUIPMENT & SERVICES - 0.2%

 

 

 

 

 

BJ Services Company (b)

1,691

 

31,453

 

 

Helmerich & Payne, Inc. (b)

882

 

35,174

 

 

Patterson-UTI Energy, Inc. (b)

2,546

 

39,081

 

 

 

 

 

105,708

 

FOOD PRODUCTS - 2.3%

 

 

 

 

 

Sara Lee Corporation (b)

76,007

 

925,765

 

 

Tyson Foods, Inc. (b)

26,955

 

330,738

 

 

 

 

 

1,256,503

 

FOOD STAPLES & DRUG RETAILING - 4.9%

 

 

 

 

 

SYSCO Corporation (b)

78,465

 

2,192,312

 

 

Walgreen Co. (b)

13,187

 

484,227

 

 

 

 

 

2,676,539

 

HEALTH CARE EQUIPMENT & SERVICES - 3.6%

 

 

 

 

 

IMS Health Incorporated

1,005

 

21,165

 

 

McKesson Corporation (b)

16,468

 

1,029,250

 

 

Medtronic, Inc. (b)

416

 

18,296

 

 

Stryker Corporation (b)

9,604

 

483,754

 

 

The Cooper Companies, Inc. (b)

1,368

 

52,148

 

 

Zimmer Holdings, Inc. (a) (b)

5,876

 

347,330

 

 

 

 

 

1,951,943

 

HEALTH CARE PROVIDERS & SERVICES - 5.2%

 

 

 

 

 

Cardinal Health, Inc. (b)

74,295

 

2,395,271

 

 

Community Health Systems, Inc. (a) (b)

1,284

 

45,710

 

 

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

1,699

 

41,269

 

 

Tenet Healthcare Corporation (a) (b)

58,821

 

317,045

 

 

 

 

 

2,799,295

 

HOTELS, RESTAURANTS & LEISURE - 1.0%

 

 

 

 

 

Las Vegas Sands Corp. (a) (b)

34,391

 

513,802

 

 

 

 

 

 

 

 

 

INDUSTRIAL CONGLOMERATES - 0.3%

 

 

 

 

 

KBR, Inc. (b)

7,094

 

134,786

 

 

 

 

 

 

 

INSURANCE - 0.2%

 

 

 

 

 

Torchmark Corporation (b)

2,040

 

89,658

 

 

 

 

 

 

 

IT CONSULTING & SERVICES - 0.1%

 

 

 

 

 

Affiliated Computer Services, Inc. (a) (b)

543

 

32,412

 

 

Sun Microsystems, Inc. (a) (b)

4,453

 

41,724

 

 

 

 

 

74,136

 

MACHINERY - 1.6%

 

 

 

 

 

AGCO Corporation (a) (b)

13,016

 

420,937

 

 

Illinois Tool Works Inc. (b)

8,341

 

400,285

 

 

Joy Global, Inc. (b)

677

 

34,926

 

 

 

 

 

856,148

 

MEDIA - 6.1%

 

 

 

 

 

CBS Corporation Class B (b)

655

 

9,203

 

 

Comcast Corporation (b)

147,999

 

2,495,263

 

 

DISH Network Corporation (a) (b)

22,137

 

459,786

 

 

The DIRECTV Group, Inc. (a)

2,522

 

83,226

 

 

The New York Times Company

20,965

 

259,127

 

 

 

 

 

3,306,605

 

METALS & MINING - 0.8%

 

 

 

 

 

Cliffs Natural Resources Inc. (b)

9,096

 

419,235

 

 

 

 

 

 

 

OFFICE ELECTRONICS - 0.1%

 

 

 

 

 

Xerox Corporation (b)

4,132

 

34,957

 

 

 

 

 

 

 

OIL & GAS - 14.9%

 

 

 

 

 

Chevron Corporation (b)

41,305

 

3,180,072

 

 

ConocoPhillips

7,122

 

363,721

 

 

Exxon Mobil Corporation

2,009

 

136,994

 

 

Hess Corporation

35,613

 

2,154,586

 

 

Murphy Oil Corporation (b)

27,134

 

1,470,663

 

 

Whiting Petroleum Corporation (a) (b)

8,361

 

597,393

 

 

XTO Energy, Inc.

3,167

 

147,360

 

 

 

 

 

8,050,789

 

 

 

PERSONAL PRODUCTS - 0.5%

 

 

 

 

 

The Estee Lauder Companies, Inc. (b)

5,440

 

263,078

 

 

 

 

 

 

 

PHARMACEUTICALS & BIOTECHNOLOGY - 13.4%

 

 

 

 

 

AmerisourceBergen Corporation (b)

79,429

 

2,070,714

 

 

Amgen Inc. (a)

38,709

 

2,189,768

 

 

Biogen Idec, Inc. (a) (b)

35,241

 

1,885,394

 

 

Johnson & Johnson

7,905

 

509,161

 

 

Pfizer Inc.

29,947

 

544,736

 

 

 

 

 

7,199,773

 

REAL ESTATE - 1.9%

 

 

 

 

 

Chimera Investment Corporation (b)

246,582

 

956,738

 

 

HRPT Properties Trust (b)

6,829

 

44,184

 

 

 

 

 

1,000,922

 

RETAILING - 0.5%

 

 

 

 

 

Barnes & Noble, Inc. (b)

2,540

 

48,438

 

 

Big Lots, Inc. (a) (b)

7,325

 

212,279

 

 

Black & Decker Corporation (b)

333

 

21,588

 

 

 

 

 

282,305

 

ROAD & RAIL - 0.3%

 

 

 

 

 

Burlington Northern Santa Fe Corporation

1,446

 

142,604

 

 

 

 

 

 

 

SEMICONDUCTOR EQUIPMENT - 5.9%

 

 

 

 

 

Intel Corporation

45,549

 

929,200

 

 

Microchip Technology Incorporated (b)

1,561

 

45,363

 

 

Texas Instruments Inc. (b)

85,142

 

2,218,800

 

 

 

 

 

3,193,363

 

SOFTWARE & SERVICES - 7.3%

 

 

 

 

 

eBay, Inc. (a) (b)

12,648

 

297,734

 

 

Microsoft Corporation (b)

118,233

 

3,604,924

 

 

 

 

 

3,902,658

 

TOBACCO - 3.1%

 

 

 

 

 

Philip Morris International Inc. (a) (b)

34,272

 

1,651,568

 

 

 

 

 

 

 

UTILITIES - 0.9%

 

 

 

 

 

Energen Corporation (b)

9,766

 

457,049

 

 

 

 

 

 

 

 

 

WIRELESS TELECOMMUNICATIONS - 0.9%

 

 

 

 

 

NII Holdings, Inc. (a) (b)

15,151

 

508,770

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL LONG POSITIONS - 128.8%

 

 

69,331,081

 

 

(Cost $60,573,837)

 

 

 

 

 

 

 

 

 

 

Short Positions - (29.8%)

 

 

 

 

 

 

 

 

 

 

AEROPSPACE & DEFENSE - (0.0%)

 

 

 

 

 

BE Aerospace, Inc. (a)

(890)

 

(20,915)

 

 

 

 

 

 

 

AUTOMOBILES & COMPONENTS - (0.1%)

 

 

 

 

 

The Goodyear Tire & Rubber Company (a)

(1,963)

 

(27,678)

 

 

 

 

 

 

 

BANKS - (0.3%)

 

 

 

 

 

Synovus Financial Corp.

(20,021)

 

(41,043)

 

 

TFS Financial Corporation

(10,187)

 

(123,670)

 

 

 

 

 

(164,713)

 

BIOTECHNOLOGY - (4.4%)

 

 

 

 

 

Dendreon Corporation (a)

(26,345)

 

(692,347)

 

 

United Therapeutics Corporation (a)

(7,560)

 

(398,034)

 

 

Vertex Pharmaceuticals Incorporated (a)

(29,750)

 

(1,274,787)

 

 

 

 

 

(2,365,168)

 

COMMERCIAL SERVICES AND SUPPLIES - (0.8%)

 

 

 

 

 

Global Payments, Inc.

(2,781)

 

(149,785)

 

 

The Brink's Company

(8,280)

 

(270,259)

 

 

 

 

 

(420,044)

 

COMMUNICATIONS EQUIPMENT - (1.1%)

 

 

 

 

 

Ciena Corporation (a)

(54,026)

 

(585,642)

 

 

 

 

 

 

 

COMPUTERS &PERIPHERALS - (0.2%)

 

 

 

 

 

SanDisk Corporation (a)

(3,329)

 

(96,508)

 

 

 

 

 

 

 

DIVERSIFIED FINANCIAL SERVICES - (3.5%)

 

 

 

 

 

First Horizon National Corporation

(24,356)

 

(326,374)

 

 

GLG Partners Inc. (a)

(38,369)

 

(123,548)

 

 

Interactive Brokers Group, Inc. (a)

(7,369)

 

(130,579)

 

 

Jefferies Group, Inc.

(2,194)

 

(52,064)

 

 

 

 

Lazard, Ltd

(8,983)

 

(341,084)

 

 

Legg Mason, Inc.

(830)

 

(25,033)

 

 

SLM Corporation

(66,833)

 

(753,208)

 

 

The Student Loan Corporation

(2,397)

 

(111,628)

 

 

 

 

 

(1,863,518)

 

GAS UTILITES - (0.2%)

 

 

 

 

 

Petrohawk Energy Corporation (a)

(3,959)

 

(94,976)

 

 

 

 

 

 

 

HEALTH CARE EQUIPMENT & SERVICES - (2.3%)

 

 

 

 

 

Hologic, Inc. (a)

(83,351)

 

(1,208,589)

 

 

WebMD Health Corp. (a)

(163)

 

(6,274)

 

 

 

 

 

(1,214,863)

 

INSURANCE - (1.0%)

 

 

 

 

 

Aon Corporation

(795)

 

(30,481)

 

 

Brown & Brown, Inc.

(509)

 

(9,147)

 

 

Genworth Financial, Inc.

(20,338)

 

(230,836)

 

 

Hartford Financial Services Group, Inc.

(12,309)

 

(286,307)

 

 

 

 

 

(556,771)

 

IT CONSULTING & SERVICES - (0.1%)

 

 

 

 

 

MasterCard Incorporated

(294)

 

(75,258)

 

 

 

 

 

 

 

MACHINERY - (0.1%)

 

 

 

 

 

PACCAR Inc

(1,606)

 

(58,250)

 

 

 

 

 

 

 

MEDIA - (2.3%)

 

 

 

 

 

Central European Media Enterprises Ltd. (a)

(2,689)

 

(63,487)

 

 

Clear Channel Outdoor Holdings, Inc. (a)

(22,829)

 

(237,193)

 

 

Liberty Media Capital (a)

(36,810)

 

(879,023)

 

 

The DIRECTV Group, Inc. (a)

(2,522)

 

(83,226)

 

 

 

 

 

(1,262,929)

 

OIL & GAS - (3.9%)

 

 

 

 

 

El Paso Corporation

(81,405)

 

(800,211)

 

 

EXCO Resources, Inc. (a)

(9,300)

 

(197,439)

 

 

Exterran Holdings, Inc. (a)

(9,271)

 

(198,863)

 

 

Plains Exploration & Production Company (a)

(9,392)

 

(259,783)

 

 

Range Resources Corporation

(10,387)

 

(517,792)

 

 

 

 

Forest Oil Corporation (a)

(5,197)

 

(115,633)

 

 

 

 

 

(2,089,721)

 

PHARMACEUTICALS & BIOTECHNOLOGY - (3.3%)

 

 

 

 

 

Abraxis BioScience, Inc. (a)

(4,281)

 

(173,595)

 

 

King Pharmaceuticals, Inc. (a)

(131,160)

 

(1,609,333)

 

 

 

 

 

(1,782,928)

 

REAL ESTATE - (1.0%)

 

 

 

 

 

ProLogis

(40,069)

 

(548,545)

 

 

 

 

 

 

 

SEMICONDUCTOR EQUIPMENT - (2.6%)

 

 

 

 

 

Cypress Semiconductor Corporation (a)

(75,994)

 

(802,497)

 

 

Rambus Inc. (a)

(24,116)

 

(588,430)

 

 

 

 

 

(1,390,927)

 

SOFTWARE & SERVICES - (2.6%)

 

 

 

 

 

Cadence Design Systems, Inc. (a)

(90,016)

 

(539,196)

 

 

Nuance Communications, Inc. (a)

(57,143)

 

(888,002)

 

 

 

 

 

(1,427,198)

 

 

 

 

 

 

 

TOTAL SHORT POSITIONS (29.8%)

 

 

(16,046,552)

 

 

(Proceeds $14,085,526)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED) - 99.0%

 

$

53,284,529

 

 

(Cost $46,488,311)

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 15.7%

 

 

 

 

 

 

Par Value

 

Value

 

Registered Money Market - 15.7%

 

 

 

 

 

State Street Navigator Securities Lending Prime Portfolio

8,744,659

 

8,744,659

 

 

(Cost $8,744,659)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS 114.7%

 

$

62,029,188

 

 

(Cost $55,232,970)

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (14.7%)

 

 

(8,182,724)

 

NET ASSETS - 100%

 

$

53,846,464

 

 

 

 

 

 

 

 

 

 

 

 

 

(a)

Non-Income producing security

 

 

 

 

(b)

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

 

 

 

 

 

 

 

 

 

 

Short security positions may be held with cash collateral for securities loand.

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

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 December 31, 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

$69,331,081

$ (16,046,552)

$ --

Level 2

8,744,659

--

--

Level 3

--

--

--

Total

$78,075,740

$ (16,046,552)

$ --

*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 06/30/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 12/31/09

$ --

$ --

 

 

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)

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 88.2%

 

 

 

 

 

 

 

Shares

 

Value

BRAZIL - 12.4%

 

 

 

 

 

Banco Bradesco SA (c)

 

151,103

$

$3,304,623

 

Banco do Brasil SA

 

170,764

 

2,908,914

 

Brasil Telecom Participacoes SA

 

61,310

 

967,386

 

Cielo SA

 

105,443

 

927,729

 

Companhia de Bebidas das Americas (c)

 

32,379

 

3,273,193

 

Empresa Brasileira de Aeronautica SA (a)

 

49,971

 

272,569

 

Energias do Brasil SA (a)

 

22,409

 

431,214

 

Equatorial Energia SA (a)

 

37,087

 

385,016

 

Gerdau SA (a)(c)

 

111,629

 

1,901,042

 

Light SA

 

106,195

 

1,582,418

 

M. Dias Branco SA (a)

 

4,099

 

98,743

 

Obrascon Huarte Lain Brasil SA

 

14,640

 

285,495

 

Petroleo Brasileiro SA

 

255,851

 

6,111,955

 

Petroleo Brasileiro SA (c)

 

169,096

 

7,167,979

 

Redecard SA (a)

 

39,209

 

652,171

 

Sabesp Cia Saneame

 

75,957

 

1,497,793

 

Souza Cruz SA

 

50,478

 

1,672,274

 

Sul America SA (a)

 

42,324

 

1,262,073

 

Tele Norte Leste Participacoes SA (a)(c)

 

88,106

 

1,887,231

 

Vivo Participacoes SA (a)(c)

 

15,831

 

490,761

 

 

 

 

 

37,080,579

CHILE - 1.3%

 

 

 

 

 

Banco Santander Chile (c)

 

27,332

 

1,770,567

 

Enersis SA (c)

 

87,519

 

2,000,684

 

 

 

 

 

3,771,251

CHINA - 17.6%

 

 

 

 

 

Bank of China Ltd.

 

8,821,678

 

4,778,376

 

Central China Real Estate Ltd. (a)

 

2,040,000

 

584,067

 

China Construction Bank (a)

 

6,989,566

 

6,012,511

 

China Foods Ltd.

 

392,000

 

351,359

 

China Mobile Limited

 

239,224

 

2,247,575

 

China Molybdenum Co., Ltd. (a)

 

1,778,330

 

1,431,122

 

China Petroleum & Chemical Corporation

 

589,340

 

525,959

 

China Pharmaceutical Group Limited

 

2,669,768

 

1,483,989

 

China Telecom Corporation Limited

 

1,267,897

 

529,796

 

China Unicom (Hong Kong) Ltd. (a)

 

550,000

 

729,181

 

CNOOC Limited

 

3,188,002

 

5,007,785

 

CNPC Hong Kong Limited

 

1,872,100

 

2,496,487

 

Digital China Holdings Limited

 

89,649

 

120,243

 

 

 

Dongfeng Motor Group Company Limited

 

2,212,345

 

3,189,881

 

Fufeng Group Limited (a)

 

288,000

 

206,884

 

Geely Automobile Holdings Limited (a)(b)

 

1,444,795

 

795,635

 

Golden Eagle Retail Group Ltd. (a)

 

202,769

 

413,702

 

Great Eagle Holdings Limited

 

82,000

 

213,622

 

GZI Real Estate Investment Trust

 

661,000

 

250,627

 

Hopewell Holdings Limited (a)

 

306,006

 

990,566

 

Industrial & Commercial Bank of China Ltd. (a)

 

753,896

 

626,148

 

Renhe Commercial Holdings

 

8,116,000

 

1,842,190

 

Shanghai Industrial Holdings Limited

 

110,000

 

563,910

 

Shenzhou International Group

 

439,276

 

577,853

 

Sino Biopharmaceutical Limited

 

918,036

 

293,624

 

Sinolink Worldwide Holdings Limited

 

6,590,000

 

1,274,842

 

Sinotrans Shipping Limited

 

2,849,500

 

1,333,998

 

Skyworth Digital Holdings Limited

 

3,418,000

 

3,508,851

 

Tencent Holdings Limited

 

128,169

 

2,788,546

 

TPV Technology Limited (a)

 

496,000

 

305,766

 

Weichai Power Company Ltd. (a)

 

55,000

 

445,099

 

Yanzhou Coal Mining Company Limited

 

1,595,971

 

3,536,128

 

Zhejiang Expressway Co., Ltd.

 

1,733,358

 

1,607,300

 

Zijin Mining Group Co., Ltd. (a)

 

1,702,285

 

1,628,981

 

 

 

 

 

52,692,603

CZECH REPUBLIC - 0.7%

 

 

 

 

 

Komercni Banka AS

 

10,497

 

2,242,860

HUNGARY - 0.7%

 

 

 

 

 

Egis Gyogyszergyar Nyrt.

 

4,136

 

412,266

 

Magyar Telekom Telecommunications PLC

 

402,066

 

1,559,611

 

 

 

 

 

1,971,877

INDONESIA - 2.8%

 

 

 

 

 

PT Aneka Tambang Tbk (a)

 

6,325,500

 

1,481,224

 

PT Astra International Tbk

 

537,747

 

1,986,144

 

PT Bank Mandiri

 

4,036,054

 

2,019,101

 

PT Bank Rakyat Indonesia

 

2,006,148

 

1,633,532

 

PT Semen Gresik

 

1,395,000

 

1,121,048

 

 

 

 

 

8,241,049

ISRAEL - 1.5%

 

 

 

 

 

Bezeq Israel Telecom Ltd. (a)

 

438,565

 

1,108,331

 

Check Point Software Technologies Ltd. (a)

 

9,978

 

338,055

 

Israel Discount Bank Ltd. (a)

 

127,370

 

302,462

 

Partner Communications Company Ltd.

 

70,430

 

1,425,325

 

Teva Pharmaceutical Industries Ltd.

 

26,112

 

1,470,264

 

 

 

 

 

4,644,437

MALAYSIA - 2.4%

 

 

 

 

 

AMMB Holdings Berhad (a)

 

147,200

 

214,953

 

Hong Leong Bank Berhad

 

323,400

 

767,886

 

Hong Leong Financial Group Berhad

 

131,300

 

286,068

 

KLCC Property Holdings Berhad

 

137,400

 

138,042

 

Lafarge Malayan Cement Berhad

 

227,600

 

415,450

 

 

 

Public Bank Berhad

 

510,694

 

1,685,410

 

RHB Capital Berhad

 

349,100

 

540,371

 

Telekom Malaysia Berhad

 

1,541,900

 

1,377,983

 

Tenaga Nasional Berhad

 

700,972

 

1,719,674

 

Top Glove Berhad (a)

 

62,800

 

184,512

 

 

 

 

 

7,330,349

MEXICO - 4.3%

 

 

 

 

 

America Movil SAB de C.V., Series L

 

496,761

 

1,170,277

 

Banco Compartamos SA de CV (a)(b)

 

171,459

 

886,352

 

Embotelladoras Arca SAB de C.V.

 

80,953

 

269,610

 

Fomento Economico Mexicano SAB (c)

 

24,660

 

1,180,721

 

Gruma SAB de C.V. (a)

 

252,098

 

443,926

 

Grupo Bimbo, SA de C.V. (a)

 

170,062

 

1,109,329

 

Grupo Carso SAB de C.V., Series A

 

361,558

 

1,107,265

 

Grupo Continental SAB de C.V. (a)

 

47,366

 

119,963

 

Grupo Mexico SAB de C.V., Series B

 

1,044,747

 

2,388,441

 

Grupo Simec SA de C.V., Series B (a)

 

125,719

 

349,302

 

Grupo Televisa SA (c)

 

99,192

 

2,059,226

 

Industrias CH SAB de C.V. Series B (a)

 

88,986

 

313,055

 

Telefonos de Mexico SA (c)

 

84,347

 

1,398,473

 

 

 

 

 

12,795,940

PHILIPPINES - 0.7%

 

 

 

 

 

Philippine Long Distance Telephone Company (c)

 

22,915

 

1,298,593

 

Robinsons Land Corporation (a)

 

711,700

 

200,132

 

SM Investments Corporation (a)

 

86,470

 

607,890

 

 

 

 

 

2,106,615

POLAND - 0.8%

 

 

 

 

 

Asseco Poland SA (a)

 

4,124

 

90,622

 

KGHM Polska Miedz SA

 

61,326

 

2,269,193

 

 

 

 

 

2,359,815

RUSSIA - 7.0%

 

 

 

 

 

Evraz Group SA (a)(d)

 

64,577

 

1,824,300

 

Gazprom (a)(c)

 

307,902

 

7,851,501

 

LUKOIL (c)

 

87,008

 

4,985,558

 

Mobile TeleSystems (a)(c)

 

27,095

 

1,324,675

 

Novolipetsk Steel (a)(d)

 

29,269

 

898,558

 

Severstal (a)(d)

 

287,096

 

2,727,412

 

Surgutneftegaz (a)(c)

 

157,242

 

1,399,454

 

 

 

 

 

21,011,458

SINGAPORE - 0.7%

 

 

 

 

 

Yangzijiang Shipbuilding Holdings Limited (a)(b)

 

2,334,000

 

2,011,854

SOUTH AFRICA - 5.7%

 

 

 

 

 

Absa Group Limited

 

172,707

 

3,006,652

 

ArcelorMittal South Africa Limited

 

159,967

 

2,232,224

 

Barloworld Limited (a)

 

238,634

 

1,458,072

 

Bidvest Group Limited

 

99,271

 

1,734,931

 

Emira Property Fund (a)

 

31,776

 

49,507

 

Foschini Limited (a)

 

38,594

 

316,281

 

 

 

Fountainhead Property Trust Management Limited

 

201,541

 

172,018

 

Group Five Limited

 

49,946

 

260,514

 

Imperial Holdings Limited

 

24,227

 

289,986

 

Investec Limited

 

226,216

 

1,631,973

 

Kumba Iron Ore Limited

 

4,560

 

188,423

 

Metropolitan Holdings Limited

 

802,230

 

1,458,551

 

Remgro Limited

 

45,732

 

552,656

 

Sanlam Limited (a)

 

626,653

 

1,931,429

 

Santam Limited

 

28,915

 

425,033

 

Woolworths Holdings Limited

 

598,753

 

1,447,958

 

 

 

 

 

17,156,208

SOUTH KOREA - 12.5%

 

 

 

 

 

Busan Bank

 

161,991

 

1,940,595

 

Cheil Worldwide Inc. (a)

 

4,008

 

1,084,197

 

Daegu Bank (a)

 

119,537

 

1,765,634

 

Daishin Securities Company (a)

 

104,760

 

1,412,423

 

Dongbu Insurance Co., Ltd.

 

16,960

 

471,890

 

GS Engineering & Construction Corp. (a)

 

18,469

 

1,720,850

 

Hanwha Chemical Corporation (a)

 

152,620

 

1,769,355

 

Hyosung Corporation (a)

 

26,539

 

1,941,753

 

Hyundai Department Store Co., Ltd. (a)

 

23,864

 

2,305,502

 

Kangwon Land Inc. (a)

 

111,120

 

1,574,512

 

KCC Corporation (a)

 

599

 

191,098

 

Korea Zinc Co., Ltd. (a)

 

18,256

 

3,198,200

 

KP Chemical Corp. (a)

 

144,324

 

949,374

 

LG Chem Ltd.

 

19,515

 

3,829,346

 

LG Corp.

 

45,982

 

2,866,779

 

LG Display Co., Ltd. (a)

 

77,320

 

2,606,162

 

LG Electronics, Inc.

 

17,355

 

1,810,801

 

Samsung Electronics Co., Ltd.

 

5,800

 

3,979,647

 

Samsung SDI Co., Ltd.

 

2,168

 

276,475

 

Woori Investment & Securities Co., Ltd. (a)

 

109,840

 

1,570,524

 

 

 

 

 

37,265,117

TAIWAN - 12.1%

 

 

 

 

 

Advanced Semiconductor Engineering, Inc. (a)

 

1,106,000

 

997,596

 

AU Optronics Corporation

 

2,700,754

 

3,276,200

 

China Bills Finance Corporation

 

509,470

 

145,904

 

Compal Electronics, Inc.

 

1,818,460

 

2,521,454

 

CTCI Corporation

 

350,000

 

358,918

 

Eternal Chemical Co., Ltd. (a)

 

932,000

 

983,430

 

Hua Nan Financial Holdings Co., Ltd.

 

173

 

109

 

Lite-On Technology Corp.

 

1,309,405

 

1,967,075

 

Macronix International Co., Ltd.

 

1,733,136

 

991,602

 

MediaTek, Inc.

 

192,011

 

3,349,762

 

Quanta Computer, Inc.

 

1,563,707

 

3,402,658

 

Siliconware Precision Industries Company

 

1,285,996

 

1,742,940

 

Taiwan Cooperative Bank

 

703,383

 

442,020

 

Taiwan Semiconductor Manufacturing Co., Ltd.

 

3,322,500

 

6,700,054

 

 

 

TSRC Corporation

 

661,000

 

817,338

 

Tung Ho Steel Enterprise Corporation (a)

 

690,000

 

747,491

 

U-Ming Marine Transport Corporation

 

791,485

 

1,608,458

 

United Microelectronics Corporation (a)

 

5,001,212

 

2,689,412

 

Walsin Lihwa Corporation (a)

 

253,000

 

94,524

 

Wistron Corporation

 

980,943

 

1,904,535

 

WPG Holdings Co., Ltd.

 

727,529

 

1,266,949

 

 

 

 

 

36,008,429

THAILAND - 2.9%

 

 

 

 

 

Bangkok Bank PCL (b)(e)

 

439,600

 

1,529,502

 

CP ALL PCL

 

911,372

 

677,925

 

Kasikornbank PCL (b)(e)

 

96,400

 

245,771

 

Krung Thai Bank PCL

 

8,266,910

 

2,442,384

 

PTT Exploration & Production PCL

 

110,326

 

486,440

 

Siam Cement PCL (e)

 

231,240

 

1,629,916

 

Siam Commercial Bank PCL

 

136,638

 

355,529

 

Thai Airways International PCL (a)

 

1,147,500

 

640,177

 

Thai Oil PCL (a)

 

447,712

 

574,076

 

 

 

 

 

8,581,720

TURKEY - 2.1%

 

 

 

 

 

Akbank TAS (a)

 

50,173

 

317,094

 

Akcansa Cimento AS (a)

 

30,177

 

134,210

 

Albaraka Turk Katilim Bankasi AS (a)

 

80,540

 

119,039

 

Haci Omer Sabanci Holding AS (a)

 

36,619

 

140,819

 

Turkcell Iletisim Hizmetleri AS (a)

 

67,610

 

479,295

 

Turkiye Halk Bankasi AS (a)

 

292,168

 

2,325,229

 

Turkiye Is Bankasi

 

625,724

 

2,636,390

 

 

 

 

 

6,152,076

TOTAL COMMON STOCK

 

 

 

 

 

(Cost $207,126,076)

 

 

 

263,424,237

 

 

 

 

 

 

Preferred Stock - 4.3%

 

 

 

 

BRAZIL - 4.3%

 

 

 

 

 

Banco Industrial e Comercial SA

 

36,799

 

256,443

 

Banco Panamericano SA

 

107,404

 

649,907

 

Banrisul SA

 

55,882

 

471,159

 

Brasil Telecom Participacoes SA

 

88,470

 

849,941

 

Braskem SA (a)

 

134,255

 

1,084,204

 

Companhia Paranaense de Energia-Copel

 

14,404

 

306,008

 

Eletropaulo Metropolitana SA

 

85,318

 

1,688,254

 

Itau Unibanco Holding SA

 

44,365

 

984,503

 

Metalurgica Gerdau SA (a)

 

95,233

 

1,907,391

 

Pao de Acucar SA

 

47,108

 

1,756,789

 

Telecomunicacoes de Sao Paulo SA

 

36,618

 

914,452

 

Vale SA (a)

 

74,744

 

1,809,118

TOTAL PREFERRED STOCK

 

 

 

 

 

(Cost $9,270,684)

 

 

 

12,678,169

 

 

 

 

 

 

 

 

Exchange Traded Funds - 7.5%

 

 

 

 

INDIA - 7.5%

 

 

 

 

 

iPath MSCI India Index ETN (a)

 

124,753

 

7,991,677

 

PowerShares India Portfolio

 

159,756

 

3,525,815

 

WisdomTree India Earnings Fund

 

496,023

 

10,947,228

TOTAL EXCHANGE TRADED FUNDS

 

 

 

22,464,720

 

(Cost $18,603,532)

 

 

 

 

 

 

 

 

 

 

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

 

 

 

298,567,126

 

(Cost $235,000,292)

 

 

 

 

 

 

 

 

 

 

INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED - 1.7%

 

Par Value

 

Value

 

 

 

 

 

 

Money Market - 1.7%

 

 

 

 

 

JP Morgan Prime Money Market Fund - Inst.

$

4,967,334

$

4,967,334

 

(Cost $4,967,334)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 101.7%

 

 

 

303,534,460

(Cost $239,967,626)

 

 

 

 

OTHER ASSETS & LIABILITIES (Net) - (1.7%)

 

 

 

(4,914,843)

NET ASSETS - 100%

 

 

$

298,619,617

 

 

 

 

 

 

(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

 

 

 

 

(e)

NVDR - Non Voting Depository Receipts

 

 

 

 

 

 

 

 

 

 

The percentage of each investment category is calculated as a

 

 

 

 

percentage of net assets.

 

 

 

 

 

 

 

 

 

 

 

SECTOR ALLOCATIONS (as a percentage of Net Assets)

 

 

 

 

 

Financials

 

 

 

22.2%

 

Information Technology

 

 

 

14.4%

 

Materials

 

 

 

14.1%

 

Energy

 

 

 

13.5%

 

Exchange Traded Funds

 

 

 

7.5%

 

Consumer Discretionary

 

 

 

7.1%

 

Telecommunication Services

 

 

 

6.6%

 

Industrials

 

 

 

6.4%

 

Consumer Staples

 

 

 

3.7%

 

Utilities

 

 

 

3.2%

 

Healthcare

 

 

 

1.3%

 

Cash and other assets and liabilities (Net)

 

 

 

0.0%

 

 

 

 

 

 

 

 

 

 

 

 

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 December 31, 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

$298,567,126

$ --

$ (1,388)

Level 2

27,075,090

--

--

Level 3

--

--

--

Total

$325,642,216

$ --

$ (1,388)

*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 06/30/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 12/31/09

$ --

$ --

 

 

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)

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 100.0%

 

 

 

 

 

 

 

Shares

 

Value

AUSTRALIA - 2.9%

 

 

 

 

 

BHP Billiton Ltd.

 

315,050

$

12,195,214

 

 

 

 

 

 

AUSTRIA - 2.4%

 

 

 

 

 

Andritz AG

 

170,160

 

9,883,125

 

 

 

 

 

 

BELGIUM - 3.5%

 

 

 

 

 

KBC Groep N.V. (a)

 

219,385

 

9,551,919

 

Solvay S.A.

 

45,180

 

4,892,694

 

 

 

 

 

14,444,613

CANADA - 2.2%

 

 

 

 

 

Methanex Corporation

 

472,307

 

9,243,786

 

 

 

 

 

 

FINLAND - 9.2%

 

 

 

 

 

Cargotec Corp., Class B

 

386,850

 

10,707,603

 

Kone Corporation OYJ-B

 

306,200

 

13,149,656

 

Konecranes OYJ

 

148,280

 

4,055,350

 

Yit OYJ

 

516,067

 

10,689,104

 

 

 

 

 

38,601,713

FRANCE - 6.2%

 

 

 

 

 

Christian Dior S.A.

 

94,773

 

9,748,425

 

Imerys S.A.

 

84,552

 

5,092,085

 

Technip S.A.

 

157,200

 

11,131,325

 

 

 

 

 

25,971,835

GERMANY - 11.4%

 

 

 

 

 

BASF SE

 

149,600

 

9,319,416

 

Demag Cranes AG

 

128,000

 

4,278,642

 

Hannover Rueckvers

 

181,700

 

8,519,279

 

Muenchener Ruckvers AG

 

41,100

 

6,402,047

 

Symrise AG 

 

494,700

 

10,622,362

 

Tognum AG

 

507,500

 

8,438,426

 

 

 

 

 

47,580,172

 

 

INDIA - 3.1%

 

 

 

 

 

Infosys Technologies Ltd (b)

 

48,800

 

2,697,176

 

State Bank of India (b)

 

105,000

 

10,395,000

 

 

 

 

 

13,092,176

IRELAND - 7.0%

 

 

 

 

 

CRH PLC

 

326,751

 

8,923,104

 

Greencore Group PLC

 

4,543,458

 

9,052,370

 

Smurfit Kappa PLC (a)

 

1,288,967

 

11,455,153

 

 

 

 

 

29,430,627

ITALY - 2.9%

 

 

 

 

 

Trevi Finanziaria SpA

 

776,466

 

12,276,239

 

 

 

 

 

 

JAPAN - 14.1%

 

 

 

 

 

Asahi Breweries Ltd.

 

460,500

 

8,468,965

 

Culture Convenience Club Co., Ltd.

 

429,900

 

2,059,678

 

Iino Kaiun Kaisha, Ltd.

 

1,076,000

 

4,554,130

 

Kansai Electric Power Company Inc.

 

389,700

 

8,791,170

 

KDDI Corporation

 

1,204

 

6,376,324

 

Meiji Dairies Corporation

 

186,300

 

7,024,525

 

Nippon Yusen Kabushiki Kaisha

 

2,061,000

 

6,309,861

 

Showa Denko K.K.

 

3,379,000

 

6,715,168

 

Tokyo Electric Power Company Inc.

 

343,300

 

8,611,081

 

 

 

 

 

58,910,902

NORWAY - 3.6%

 

 

 

 

 

Camillo Eitzen & Co. ASA

 

588,679

 

1,310,637

 

DnB NOR ASA 

 

1,088,542

 

11,788,890

 

Eitzen Chemical ASA

 

5,824,000

 

1,849,495

 

 

 

 

 

14,949,022

SOUTH AFRICA - 2.6%

 

 

 

 

 

Metorex Ltd.

 

4,759,918

 

3,101,806

 

Sasol Ltd.

 

190,535

 

7,692,386

 

 

 

 

 

10,794,192

SOUTH KOREA - 4.5%

 

 

 

 

 

Samsung Electronics Company Ltd.

 

16,285

 

11,173,890

 

SK Telecom Company Ltd.

 

51,793

 

7,538,945

 

 

 

 

 

 

 

18,712,835

SWEDEN - 9.2%

 

 

 

 

 

Autoliv Inc.

 

237,234

 

10,286,466

 

Duni AB

 

1,179,500

 

9,643,711

 

Investor AB

 

502,056

 

9,325,401

 

Svenska Handelsbanken AB

 

328,500

 

9,375,220

 

 

 

 

 

38,630,798

SWITZERLAND - 2.0%

 

 

 

 

 

Novartis AG

 

155,500

 

8,483,729

 

 

 

 

 

 

THAILAND - 2.1%

 

 

 

 

 

Thai Oil Plc

 

6,724,400

 

8,622,318

 

 

 

 

 

 

UNITED KINGDOM - 11.1%

 

 

 

 

 

Barratt Developments PLC (a)

 

5,648,556

 

11,321,252

 

Bellway PLC

 

780,770

 

10,323,138

 

Lloyds TSB Group PLC (a)

 

6,581,317

 

5,392,255

 

Persimmon PLC (a)

 

1,109,088

 

8,416,605

 

Taylor Wimpey PLC (a)

 

17,610,191

 

11,072,584

 

 

 

 

 

46,525,834

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

418,349,130

 

(Cost $490,929,257)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 100.0%

 

 

 

418,349,130

 

(Cost $490,929,257)

 

 

 

 

 

 

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - 0.0%

 

 

 

(222,893)

NET ASSETS - 100%

 

 

$

418,126,237

 

 

 

 

 

 

(a)

Non-income producing security

 

 

 

 

(b)

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 Net Assets)

 

 

 

 

Industrials

 

 

 

20.9%

Materials

 

 

 

19.5%

Consumer Discretionary

 

 

 

17.4%

 

 

Financials

 

 

 

16.9%

Energy

 

 

 

6.6%

Consumer Staples

 

 

 

5.9%

Utilities

 

 

 

4.2%

Information Technology

 

 

 

3.3%

Telecommunication Services

 

 

 

3.3%

Health Care

 

 

 

2.0%

 

 

 

 

 

 

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 December 31, 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

$409,726,812

$ --

$ 1,316

Level 2

8,622,319

--

--

Level 3

--

--

--

Total

$418,349,131

$ --

$ 1,316

*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 06/30/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 12/31/09

$ --

$ --

 

 

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)

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

Common Stock - 82.5%

 

 

 

 

 

 

 

Shares

 

Value

AUSTRALIA - 1.5%

 

 

 

 

 

Austal Limited

 

812,600

$

1,692,373

 

 

 

 

 

 

BELGIUM - 1.6%

 

 

 

 

 

Barco NV (a)

 

43,300

 

1,768,267

 

 

 

 

 

 

CAMBODIA - 1.6%

 

 

 

 

 

NagaCorp Ltd.

 

15,887,637

 

1,762,128

 

 

 

 

 

 

CHINA - 6.5%

 

 

 

 

 

Sichuan Expressway Company Limited

 

4,413,200

 

2,373,392

 

Sichuan Xinhua Winshare Chainstore Co., Ltd.

 

4,687,300

 

1,922,338

 

Sinopec Kantons Holdings Limited

 

4,500,400

 

1,381,363

 

VTech Holdings Limited

 

165,200

 

1,587,253

 

 

 

 

 

7,264,346

FRANCE - 1.7%

 

 

 

 

 

Bonduelle SA

 

16,500

 

1,879,316

 

 

 

 

 

 

GERMANY - 1.6%

 

 

 

 

 

Demag Cranes AG

 

55,300

 

1,848,507

 

 

 

 

 

 

INDIA - 9.9%

 

 

 

 

 

KRBL Limited Derivative

 

612,300

 

2,816,580

 

LIC Housing Finance Ltd. Derivative

 

102,900

 

1,775,025

 

NIIT Technologies Derivative

 

637,400

 

2,460,364

 

South Indian Bank Derivative

 

631,600

 

2,027,436

 

Usha Martin Group Derivative

 

1,196,900

 

2,058,668

 

 

 

 

 

11,138,073

IRELAND - 8.2%

 

 

 

 

 

Glanbia plc

 

459,100

 

1,901,834

 

Grafton Group plc

 

379,900

 

1,600,973

 

Greencore Group plc

 

911,797

 

1,816,688

 

IFG Group plc

 

1,556,935

 

2,068,990

 

 

 

United Drug

 

604,300

 

1,845,014

 

 

 

 

 

9,233,499

ITALY - 2.8%

 

 

 

 

 

De'Longhi SpA

 

433,100

 

1,963,297

 

Trevi Finanziaria SpA

 

73,700

 

1,165,227

 

 

 

 

 

3,128,524

JAPAN - 4.5%

 

 

 

 

 

Accordia Golf Co., Ltd.

 

1,953

 

2,087,480

 

Culture Convenience Club Co., Ltd.

 

282,600

 

1,353,954

 

Iino Kaiun Kaisha, Ltd.

 

391,400

 

1,656,586

 

 

 

 

 

5,098,020

NORWAY - 5.3%

 

 

 

 

 

ABG Sundal Collier Holding ASA

 

1,450,700

 

1,997,995

 

SpareBank 1 Nord-Norge

 

221,180

 

2,061,359

 

SpareBank 1 Midt-Norge

 

98,900

 

1,877,600

 

 

 

 

 

5,936,954

RUSSIA - 1.7%

 

 

 

 

 

Bank Vozrozhdenie

 

48,500

 

1,888,105

 

 

 

 

 

 

SINGAPORE - 5.4%

 

 

 

 

 

Breadtalk Group Ltd.

 

3,838,000

 

1,831,850

 

China Fishery Group Limited

 

2,077,600

 

2,042,449

 

MobileOne

 

1,639,900

 

2,207,951

 

 

 

 

 

6,082,250

SOUTH AFRICA - 3.0%

 

 

 

 

 

Clicks Group Limited

 

496,600

 

1,833,341

 

Metorex Limited (a)

 

2,324,900

 

1,515,024

 

 

 

 

 

3,348,365

SWEDEN - 4.8%

 

 

 

 

 

Duni AB

 

203,300

 

1,662,201

 

Nolato AB

 

222,800

 

1,837,205

 

Transcom WorldWide S.A. (a)

 

353,500

 

1,926,834

 

 

 

 

 

5,426,240

SWITZERLAND - 3.5%

 

 

 

 

 

Bobst Group SA (a)

 

53,100

 

1,922,798

 

Vetropack Holding AG

 

1,226

 

2,048,069

 

 

 

 

 

 

 

3,970,867

UNITED KINGDOM - 18.9%

 

 

 

 

 

Alternative Networks plc

 

1,017,000

 

2,136,976

 

Character Group plc (a)

 

1,402,900

 

1,632,656

 

Clarkson plc

 

156,600

 

1,873,091

 

CSR plc (a)

 

185,300

 

1,225,294

 

Filtrona plc

 

680,900

 

2,080,082

 

Galliford Try

 

332,778

 

1,667,445

 

Halfords Group plc

 

253,553

 

1,636,452

 

Hampson Industries plc

 

1,708,489

 

1,864,023

 

Healthcare Locums plc

 

358,600

 

1,607,005

 

Keller Group plc

 

168,900

 

1,762,224

 

The Restaurant Group plc

 

613,400

 

1,854,047

 

Vitec Group plc

 

308,101

 

1,937,216

 

 

 

 

 

21,276,511

 

 

 

 

 

 

TOTAL COMMON STOCK

 

 

 

92,742,345

 

(Cost $80,141,072)

 

 

 

 

 

 

 

 

 

 

Preferred Stock - 1.7%

 

 

 

 

GERMANY - 1.7%

 

 

 

 

 

Drägerwerk AG

 

43,700

 

1,872,297

 

(Cost $1,550,503)

 

 

 

 

 

 

 

 

 

 

Exchange Traded Funds - 3.4%

 

 

 

 

OTHER - 3.4%

 

 

 

 

 

iShares MSCI EAFE Small Cap Index Fund

 

52,600

 

1,883,606

 

SPDR S&P International Small Cap Fund

 

75,000

 

1,899,750

TOTAL EXCHANGE TRADED FUNDS

 

 

 

3,783,356

 

(Cost $3,783,356)

 

 

 

 

 

 

 

 

 

 

Short Term Investments - 12.4%

 

Par Value

 

Value

COMMERCIAL PAPER - 12.4%

 

 

 

 

 

State Street Global Advisors FDS, 0.01%, due 1/04/2010

$

13,886,450

 

13,886,450

 

(Cost $13,886,450)

 

 

 

 

 

 

 

 

 

 

TOTAL INVESTMENTS - 100.0%

 

 

 

112,284,448

 

(Cost $99,361,381)

 

 

 

 

 

 

OTHER ASSETS & LIABILITIES (NET) - (0.0%)

 

 

 

133,883

NET ASSETS - 100%

 

 

$

112,418,331

 

 

 

 

 

 

(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 Net Assets)

 

 

 

 

Industrials

 

 

 

20.8%

Consumer Discretionary

 

 

 

15.8%

Financials

 

 

 

12.2%

Consumer Staples

 

 

 

10.9%

Information Technology

 

 

 

9.6%

Materials

 

 

 

5.0%

Health Care

 

 

 

4.8%

Telecommunication Services

 

 

 

3.9%

Exchange Traded Funds

 

 

 

3.4%

Energy

 

 

 

1.2%

Cash and Other Assets

 

 

 

12.4%

 

 

 

 

 

 

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 December 31, 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

$85,371,820

$ --

$ (2,340)

Level 2

15,774,555

--

11,138,073

Level 3

--

--

--

Total

$101,146,375

$ --

$ 11,135,733

*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 06/30/09

$ --

$ --

Realized gain (loss)

--

--

Change in unrealized appreciation (depreciation)

--

--

Net purchases (sales)

--

--

Net transfers in (out) of Level 3

--

--

Balance as of 12/31/09

$ --

$ --

 

 

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: February 16, 2010

 

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: February 16, 2010

 

By:

/s/ Leon Okurowski

Leon Okurowski

Treasurer (Principal Financial Officer)

Date: February 16, 2010